**Exhibit13.05**

 

***ML WINTON FUTURESACCESS LLC***

***(A Delaware Limited Liability Company)***

 

*FinancialStatements as of and for the years ended*

*December 31,2009, 2008 and 2007*

*and Report of Independent Registered Public Accounting Firms*

* *

 

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ML WINTONFUTURESACCESS LLC

(A DelawareLimited Liability Company)

 

TABLE OF CONTENTS

 
| ** **                                                                                                 | **Page** |
|------------------------------------------------------------------------------------------------------------|----------|
|                                                                                                       |     |
| REPORT  OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRMS                                                  | 1        |
|                                                                                                       |     |
| FINANCIAL STATEMENTS:                                                                                      |     |
|                                                                                                       |     |
| Statements  of Financial Condition as of December 31, 2009 and 2008                                   | 3        |
|                                                                                                       |     |
| Statements  of Operations for the years ended December 31, 2009, 2008 and 2007                        | 4        |
|                                                                                                       |     |
| Statements of  Changes in Members’ Capital for the years ended December 31, 2009, 2008  and 2007 | 5        |
|                                                                                                       |     |
| Financial  Data Highlights for the years ended December 31, 2009, 2008 and 2007                       | 7        |
|                                                                                                       |     |
| Notes  to Financial Statements                                                                             | 10       |

 

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### Reportof Independent Registered Public Accounting Firm

###  

To****theMembers of

ML Winton FuturesAccessLLC:

 

In our opinion, theaccompanying statement of financial condition, and the related statements ofoperations, changes in members’ capital, and financial data highlights presentfairly, in all material respects, the financial position of ML WintonFuturesAccess LLC at December 31, 2009, and the results of its operations,changes in its members’ capital, and financial data highlights for the yearthen ended,****in conformity with accountingprinciples generally accepted in the United States of America.  These financial statements and the financialdata highlights (hereafter referred to as the “financial statements”) are theresponsibility of the Fund’s management. Our responsibility is to express an opinion on these financialstatements based on our audit.  Weconducted our audit of these statements in accordance with the standards of thePublic Company Accounting Oversight Board (United States).  Those standards require that we plan andperform the audit to obtain reasonable assurance about whether the financialstatements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting theamounts and disclosures in the financial statements, assessing the accountingprinciples used and significant estimates made by management, and evaluatingthe overall financial statement presentation. We believe that our audit provides a reasonable basis for our opinion.

 

 

/s/PricewaterhouseCoopersLLP

 

 

March 25,2010

 

1

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTINGFIRM

 

To the Members of

ML Winton FuturesAccessLLC:

 

We have audited the accompanying statement offinancial condition of ML Winton FuturesAccess LLC (the “Fund”), as of December 31,2008, and the related statements of operations, changes in members’ capital,and the financial data highlights for each of the two years in the period endedDecember 31, 2008. These financial statements and financial datahighlights are the responsibility of the Fund’s management. Our responsibilityis to express an opinion on these financial statements and financial datahighlights based on our audits.

 

We conducted our audits in accordance with thestandards of the Public Company Accounting Oversight Board (United States).Those standards require that we plan and perform the audit to obtain reasonableassurance about whether the financial statements and financial data highlightsare free of material misstatement. The Fund is not required to have, nor werewe engaged to perform, an audit of its internal control over financialreporting. Our audits included consideration of internal control over financialreporting as a basis for designing audit procedures that are appropriate in thecircumstances, but not for the purpose of expressing an opinion on theeffectiveness of the Fund’s internal control over financial reporting.Accordingly, we express no such opinion. An audit also includes examining, on atest basis, evidence supporting the amounts and disclosures in the financialstatements, assessing the accounting principles used and significant estimatesmade by management, as well as evaluating the overall financial statementpresentation. We believe that our audits provide a reasonable basis for ouropinion.

 

In our opinion, the financial statements and financialdata highlights referred to above present fairly, in all material respects, thefinancial position of ML Winton FuturesAccess LLC as of December 31, 2008,the results of its operations, changes in its members’ capital, and thefinancial data highlights for each of the two years in the period ended December 31,2008, in conformity with accounting principles generally accepted in the UnitedStates of America.

 

 

 

 

March 30, 2009

 

 

2

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ML WINTONFUTURESACCESS LLC

(A DelawareLimited Liability Company)

 

STATEMENTS OFFINANCIAL CONDITION

AS OF DECEMBER 31,2009 and 2008

 
| ** **                                                                                                                      | ** ** | **2009**    | ** **  | **2008**    | ** ** |
|---------------------------------------------------------------------------------------------------------------------------------|------------|-------------|-------------|-------------|------------|
| **ASSETS:**                                                                                                                     |       |        |        |        |       |
| Equity in commodity futures trading accounts:                                                                                   |       |        |        |        |       |
| Cash (including restricted cash of $53,748,925 for  2009 and $40,230,744 for 2008)                                              |       | $           | 761,893,194 |        | $          | 849,579,676 |   |
| Net unrealized profit on open contracts                                                                                         |       | 3,305,166   |        | 14,731,114  |       |
| Cash and cash equivalents                                                                                                       |       | 1,102,160   |        | 163,743     |       |
| Accrued interest receivable                                                                                                     |       | —      |        | 39,428      |       |
|                                                                                                                            |       |        |        |        |       |
| **TOTAL ASSETS**                                                                                                                |       | $           | 766,300,520 |        | $          | 864,513,961 |   |
|                                                                                                                            |       |        |        |        |       |
| **LIABILITIES AND MEMBERS’ CAPITAL:**                                                                                      |       |        |        |        |       |
| LIABILITIES:                                                                                                                    |       |        |        |        |       |
| Brokerage commissions payable                                                                                                   |       | $           | 115,138     |        | $          | 89,151 |   |
| Commodity Trading Advisor fee payable                                                                                           |       | 3,146,710   |        | 32,146,734  |       |
| Redemptions payable                                                                                                             |       | 12,610,951  |        | 27,903,546  |       |
| Other liabilities                                                                                                               |       | 391,254     |        | 385,970     |       |
|                                                                                                                            |       |        |        |        |       |
| Total liabilities                                                                                                               |       | 16,264,053  |        | 60,525,401  |       |
|                                                                                                                            |       |        |        |        |       |
| MEMBERS’ CAPITAL:                                                                                                          |       |        |        |        |       |
| Sponsor’s Interest (19,470 Units and 19,470 Units)                                                                         |       | 28,686      |        | 31,415      |       |
| Members’ Interest (506,821,001 Units and 500,089,110  Units)                                                               |       | 750,007,781 |        | 803,957,145 |       |
| Total members’ capital                                                                                                     |       | 750,036,467 |        | 803,988,560 |       |
|                                                                                                                            |       |        |        |        |       |
| **TOTAL LIABILITIES AND MEMBERS’  CAPITAL**                                                                                |       | $           | 766,300,520 |        | $          | 864,513,961 |   |
|                                                                                                                            |       |        |        |        |       |
| **NET  ASSET VALUE PER UNIT (SEE NOTE 6)**(Based on  506,840,471 and 500,108,580 Units outstanding, unlimited Units authorized) |       |        |        |        |       |

 

See notes tofinancial statements.

 

3

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ML WINTONFUTURESACCESS LLC

(A DelawareLimited Liability Company)

 

STATEMENTS OFOPERATIONS

FOR THE YEARSENDED DECEMBER 31, 2009, 2008 AND 2007

 
| ** **                                   | ** ** | **2009**    | ** **  | **2008**    | ** ** | **2007**    | ** ** |
|----------------------------------------------|------------|-------------|-------------|-------------|------------|-------------|------------|
| **TRADING PROFIT (LOSS):**                   |       |        |        |        |       |        |       |
|                                         |       |        |        |        |       |        |       |
| Realized, net                                |       | $           | (26,823,655 | )           | $          | 168,699,930 |       | $ | 89,611,147 |   |
| Change in unrealized, net                    |       | (11,425,948 | )           | 6,796,965   |       | (3,491,204  | )          |
| Brokerage commissions                        |       | (772,176    | )           | (1,087,424  | )          | (1,996,947  | )          |
|                                         |       |        |        |        |       |        |       |
| Total trading profit (loss)                  |       | (39,021,779 | )           | 174,409,471 |       | 84,122,996  |       |
|                                         |       |        |        |        |       |        |       |
| **INVESTMENT INCOME:**                       |       |        |        |        |       |        |       |
| Interest                                     |       | 51,172      |        | 12,915,952  |       | 24,566,411  |       |
|                                         |       |        |        |        |       |        |       |
| **EXPENSES:**                                |       |        |        |        |       |        |       |
| Management fee                               |       | 15,244,224  |        | 14,943,538  |       | 9,953,107   |       |
| Sponsor fee                                  |       | 9,536,904   |        | 10,272,451  |       | 7,766,920   |       |
| Performance fee                              |       | 583         |        | 30,491,051  |       | 14,101,642  |       |
| Other                                        |       | 1,349,841   |        | 1,848,834   |       | 1,060,592   |       |
| Total expenses                               |       | 26,131,552  |        | 57,555,874  |       | 32,882,261  |       |
|                                         |       |        |        |        |       |        |       |
| **NET INVESTMENT LOSS**                      |       | (26,080,380 | )           | (44,639,922 | )          | (8,315,850  | )          |
|                                         |       |        |        |        |       |        |       |
| **NET INCOME (LOSS)**                        |       | $           | (65,102,159 | )           | $          | 129,769,549 |       | $ | 75,807,146 |   |
|                                         |       |        |        |        |       |        |       |
| **NET INCOME (LOSS) PER UNIT:**              |       |        |        |        |       |        |       |
|                                         |       |        |        |        |       |        |       |
| Weighted average number of Units outstanding |       |        |        |        |       |        |       |
| Class A                                 |       | 48,198,593  |        | 45,671,837  |       | 38,654,024  |       |
| Class C                                 |       | 207,735,197 |        | 228,198,956 |       | 209,605,792 |       |
| Class D                                 |       | 77,890,809  |        | 84,449,914  |       | 66,453,273  |       |
| Class I                                 |       | 42,085,476  |        | 41,268,952  |       | 37,583,741  |       |
| Class DS*                               |       | 90,918,631  |        | 38,738,811  |       | 11,479,777  |       |
| Class DT**                              |       | 48,703,745  |        | 61,195,917  |       | 85,438,228  |       |
|                                         |       |        |        |        |       |        |       |
| Net income (loss) per weighted average Unit  |       |        |        |        |       |        |       |
| Class A                                 |       | $           | (0.1384     | )           | $          | 0.2623      |       | $ | 0.1769 |   |
| Class C                                 |       | $           | (0.1465     | )           | $          | 0.2389      |       | $ | 0.1652 |   |
| Class D                                 |       | $           | (0.1125     | )           | $          | 0.2646      |       | $ | 0.1936 |   |
| Class I                                 |       | $           | (0.1324     | )           | $          | 0.2784      |       | $ | 0.1850 |   |
| Class DS*                               |       | $           | (0.0921     | )           | $          | 0.2676      |       | $ | 0.2436 |   |
| Class DT**                              |       | $           | (0.1096     | )           | $          | 0.3117      |       | $ | 0.1372 |   |

 

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*Class DS waspreviously known as Class D-SM. Units issued on April 2, 2007.

**Class DTwas previously known as Class D-TF. Units issued on June 1, 2007.

 

See notes tofinancial statements.

 

4

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ML WINTONFUTURESACCESS LLC

(A DelawareLimited Liability Company)

 

STATEMENTS OFCHANGES IN MEMBERS’ CAPITAL

FOR THE YEARSENDED DECEMBER 31, 2009, 2008 AND 2007 (IN UNITS)

 
| ** **                 | ** ** | **Members’ Capital  December 31, 2006** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital  December 31, 2007** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital  December 31, 2008** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital  December 31, 2009** | ** ** |
|----------------------------|------------|-------------------------------------------------------------|------------|-------------------|------------|-----------------|------------|-------------------------------------------------------------|------------|-------------------|------------|-----------------|------------|-------------------------------------------------------------|------------|-------------------|------------|-----------------|------------|-------------------------------------------------------------|------------|
| Class A               |       | 32,046,486                                                  |       | 15,602,742        |       | (7,541,173      | )          | 40,108,055                                                  |       | 17,386,886        |       | (11,645,525     | )          | 45,849,416                                                  |       | 11,525,953        |       | (10,168,031     | )          | 47,207,338                                                  |       |
| Class C               |       | 170,519,442                                                 |       | 86,078,957        |       | (42,956,003     | )          | 213,642,396                                                 |       | 60,897,518        |       | (59,370,841     | )          | 215,169,073                                                 |       | 35,352,821        |       | (51,685,753     | )          | 198,836,141                                                 |       |
| Class D               |       | 39,225,345                                                  |       | 42,664,247        |       | (4,024,789      | )          | 77,864,803                                                  |       | 23,739,729        |       | (28,552,965     | )          | 73,051,567                                                  |       | 8,842,395         |       | (5,412,438      | )          | 76,481,524                                                  |       |
| Class I               |       | 30,787,362                                                  |       | 13,970,225        |       | (7,039,015      | )          | 37,718,572                                                  |       | 12,586,459        |       | (7,231,204      | )          | 43,073,827                                                  |       | 8,544,937         |       | (14,463,262     | )          | 37,155,502                                                  |       |
| Class DS*             |       | —                                                      |       | 14,542,754        |       | (1,094,970      | )          | 13,447,784                                                  |       | 58,487,988        |       | (2,749,330      | )          | 69,186,442                                                  |       | 36,951,720        |       | —          |       | 106,138,162                                                 |       |
| Class DT**            |       | —                                                      |       | 98,131,157        |       | (28,871,839     | )          | 69,259,318                                                  |       | —            |       | (15,500,533     | )          | 53,758,785                                                  |       | 459,179           |       | (13,215,630     | )          | 41,002,334                                                  |       |
|                       |       |                                                        |       |              |       |            |       |                                                        |       |              |       |            |       |                                                        |       |              |       |            |       |                                                        |       |
| Total Members’ Units  |       | 272,578,635                                                 |       | 270,990,082       |       | (91,527,789     | )          | 452,040,928                                                 |       | 173,098,580       |       | (125,050,398    | )          | 500,089,110                                                 |       | 101,677,005       |       | (94,945,114     | )          | 506,821,001                                                 |       |
|                       |       |                                                        |       |              |       |            |       |                                                        |       |              |       |            |       |                                                        |       |              |       |            |       |                                                        |       |
| Class A               |       | 9,713                                                       |       | —            |       | —          |       | 9,713                                                       |       | —            |       | —          |       | 9,713                                                       |       | —            |       | —          |       | 9,713                                                       |       |
| Class C               |       | 9,757                                                       |       | —            |       | —          |       | 9,757                                                       |       | —            |       | —          |       | 9,757                                                       |       | —            |       | —          |       | 9,757                                                       |       |
|                       |       |                                                        |       |              |       |            |       |                                                        |       |              |       |            |       |                                                        |       |              |       |            |       |                                                        |       |
| Total Sponsor’s Units |       | 19,470                                                      |       | —            |       | —          |       | 19,470                                                      |       | —            |       | —          |       | 19,470                                                      |       | —            |       | —          |       | 19,470                                                      |       |

 

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*Class DS waspreviously known as Class D-SM. Units issued on April 2, 2007.

**Class DTwas previously known as Class D-TF. Units issued on June 1, 2007.

 

See notes to financial statements.

 

5

----

 

ML WINTONFUTURESACCESS LLC

(A DelawareLimited Liability Company)

 

STATEMENTS OFCHANGES IN MEMBERS’ CAPITAL

FOR THE YEARSENDED DECEMBER 31, 2009, 2008 AND 2007
|                          |       |                                                        |        |              |       |            |       |                |         |                                                        |       |              |       |            |        |                |       |                                                        |       |              |         |            |       |                                               |       |                                                        |        |   |   |        |   |   |         |   |   |        |   |   |        |   |
|-------------------------------|------------|-------------------------------------------------------------|-------------|-------------------|------------|-----------------|------------|---------------------|--------------|-------------------------------------------------------------|------------|-------------------|------------|-----------------|-------------|---------------------|------------|-------------------------------------------------------------|------------|-------------------|--------------|-----------------|------------|----------------------------------------------------|------------|-------------------------------------------------------------|-------------|--------|--------|-------------|--------|--------|--------------|--------|--------|-------------|--------|--------|-------------|--------|
| ** **                    | ** ** | **Members’ Capital  December 31, 2006** | ** **  | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net Income** | ** **   | **Members’ Capital  December 31, 2007** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** **  | **Net Income** | ** ** | **Members’ Capital  December 31, 2008** | ** ** | **Subscriptions** | ** **   | **Redemptions** | ** ** | **Net  Income**** ****/**** ****(Loss)** | ** ** | **Members’ Capital  December 31, 2009** | ** **  |
| Class A                  |       | $                                                           | 38,699,738  |              | $          | 19,375,017      |       | $                   | (9,674,408   | )                                                           | $          | 6,836,154         |       | $               | 55,236,501  |                | $          | 26,212,557                                                  |       | $                 | (18,049,428  | )               | $          | 11,977,663                                         |       | $                                                           | 75,377,293  |   | $      | 18,170,302  |   | $      | (15,664,489  | )      | $      | (6,655,829  | )      | $      | 71,227,277  |   |
| Class C                  |       | 202,215,652                                                 |        | 103,312,911       |       | (54,082,928     | )          | 34,632,446          |         | 286,078,081                                                 |       | 89,405,799        |       | (89,455,971     | )           | 54,514,349          |       | 340,542,258                                                 |       | 53,081,427        |         | (77,293,306     | )          | (30,400,821                                        | )          | 285,929,558                                                 |        |
| Class D                  |       | 44,952,646                                                  |        | 50,306,937        |       | (4,888,155      | )          | 12,865,169          |         | 103,236,597                                                 |       | 35,615,932        |       | (43,832,109     | )           | 22,345,631          |       | 117,366,051                                                 |       | 13,863,515        |         | (8,015,389      | )          | (8,766,828                                         | )          | 114,447,349                                                 |        |
| Class I                  |       | 37,158,795                                                  |        | 17,356,300        |       | (9,334,899      | )          | 6,952,000           |         | 52,132,196                                                  |       | 19,076,750        |       | (11,340,105     | )           | 11,488,381          |       | 71,357,222                                                  |       | 13,603,227        |         | (22,682,367     | )          | (5,553,866                                         | )          | 56,724,216                                                  |        |
| Class DS*                |       | —                                                      |        | 16,325,317        |       | (1,291,973      | )          | 2,796,394           |         | 17,829,738                                                  |       | 86,822,929        |       | (4,000,000      | )           | 10,365,432          |       | 111,018,099                                                 |       | 55,991,904        |         | —          |       | (8,379,258                                         | )          | 158,630,745                                                 |        |
| Class DT**               |       | —                                                      |        | 116,913,460       |       | (36,127,180     | )          | 11,721,847          |         | 92,508,127                                                  |       | —            |       | (23,285,032     | )           | 19,073,127          |       | 88,296,222                                                  |       | 714,029           |         | (20,618,787     | )          | (5,342,828                                         | )          | 63,048,636                                                  |        |
|                          |       |                                                        |        |              |       |            |       |                |         |                                                        |       |              |       |            |        |                |       |                                                        |       |              |         |            | ** ** | ** **                                         | ** ** | ** **                                                  | ** **  |
| Total Members’ Interest  |       | $                                                           | 323,026,831 |              | $          | 323,589,942     |       | $                   | (115,399,543 | )                                                           | $          | 75,804,010        |       | $               | 607,021,240 |                | $          | 257,133,967                                                 |       | $                 | (189,962,645 | )               | $          | 129,764,583                                        |       | $                                                           | 803,957,145 |   | $      | 155,424,404 |   | $      | (144,274,338 | )      | $      | (65,099,430 | )      | $      | 750,007,781 |   |
|                          |       |                                                        |        |              |       |            |       |                |         |                                                        |       |              |       |            |        |                |       |                                                        |       |              |         |            |       |                                               |       |                                                        |        |
| Class A                  |       | $                                                           | 11,737      |              | $          | —          |       | $                   | —       |                                                        | $          | 1,644             |       | $               | 13,381      |                | $          | —                                                      |       | $                 | —       |            | $          | 2,590                                              |       | $                                                           | 15,971      |   | $      | —      |   | $      | —       |   | $      | (1,316      | )      | $      | 14,655      |   |
| Class C                  |       | 11,576                                                      |        | —            |       | —          |       | 1,492               |         | 13,068                                                      |       | —            |       | —          |        | 2,376               |       | 15,444                                                      |       | —            |         | —          |       | (1,413                                             | )          | 14,031                                                      |        |
|                          |       |                                                        |        |              |       |            |       |                |         |                                                        |       |              |       |            |        |                |       |                                                        |       |              |         |            |       |                                               |       |                                                        |        |
| Total Sponsor’s Interest |       | $                                                           | 23,313      |              | $          | —          |       | $                   | —       |                                                        | $          | 3,136             |       | $               | 26,449      |                | $          | —                                                      |       | $                 | —       |            | $          | 4,966                                              |       | $                                                           | 31,415      |   | $      | —      |   | $      | —       |   | $      | (2,729      | )      | $      | 28,686      |   |
|                          |       |                                                        |        |              |       |            |       |                |         |                                                        |       |              |       |            |        |                |       |                                                        |       |              |         |            |       |                                               |       |                                                        |        |
| Total Members’ Capital   |       | $                                                           | 323,050,144 |              | $          | 323,589,942     |       | $                   | (115,399,543 | )                                                           | $          | 75,807,146        |       | $               | 607,047,689 |                | $          | 257,133,967                                                 |       | $                 | (189,962,645 | )               | $          | 129,769,549                                        |       | $                                                           | 803,988,560 |   | $      | 155,424,404 |   | $      | (144,274,338 | )      | $      | (65,102,159 | )      | $      | 750,036,467 |   |

 

----

*Class DS waspreviously known as Class D-SM. Units issued on April 2, 2007.

**Class DTwas previously known as Class D-TF. Units issued on June 1, 2007.

 

See notes tofinancial statements.

 

6

----

 

ML WINTONFUTURESACCESS LLC

(A DelawareLimited Liability Company)

 

FINANCIAL DATAHIGHLIGHTS

FOR THE YEAR ENDEDDECEMBER 31, 2009

 

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

 
| ** **                                                      | ** ** | **Class A** | ** ** | **Class C** | ** ** | **Class D** | ** ** | **Class I** | ** ** | **Class DS(a)** | ** ** | **Class DT(b)** | ** ** |
|-----------------------------------------------------------------|------------|------------------|------------|------------------|------------|------------------|------------|------------------|------------|----------------------|------------|----------------------|------------|
| **Per Unit Operating Performance:**                             |       |             |       |             |       |             |       |             |       |                 |       |                 |       |
| ** **                                                      |       |             |       |             |       |             |       |             |       |                 |       |                 |       |
| Net asset value, beginning of year                              |       | $                | 1.6440     |             | $          | 1.5827           |       | $                | 1.6066     |                 | $          | 1.6566               |       | $ | 1.6046 |   | $ | 1.6425 |   |
|                                                            |       |             |       |             |       |             |       |             |       |                 |       |                 |       |
| Net realized and net change in unrealized trading  profit(loss) |       | (0.0771          | )          | (0.0741          | )          | (0.0754          | )          | (0.0777          | )          | (0.0753              | )          | (0.0772              | )          |
| Brokerage commissions                                           |       | (0.0015          | )          | (0.0015          | )          | (0.0015          | )          | (0.0015          | )          | (0.0015              | )          | (0.0015              | )          |
| Interest income                                                 |       | 0.0001           |       | 0.0001           |       | 0.0001           |       | 0.0001           |       | 0.0001               |       | 0.0001               |       |
| Expenses                                                        |       | (0.0567          | )          | (0.0692          | )          | (0.0334          | )          | (0.0508          | )          | (0.0333              | )          | (0.0262              | )          |
|                                                            |       |             |       |             |       |             |       |             |       |                 |       |                 |       |
| Net asset value, end of year                                    |       | $                | 1.5088     |             | $          | 1.4380           |       | $                | 1.4964     |                 | $          | 1.5267               |       | $ | 1.4946 |   | $ | 1.5377 |   |
|                                                            |       |             |       |             |       |             |       |             |       |                 |       |                 |       |
| **Total  Return: (c)**                                          |       |             |       |             |       |             |       |             |       |                 |       |                 |       |
|                                                            |       |             |       |             |       |             |       |             |       |                 |       |                 |       |
| Total return before Performance fees                            |       | -8.24            | %          | -9.16            | %          | -6.85            | %          | -7.87            | %          | -6.85                | %          | -6.38                | %          |
| Performance fees                                                |       | 0.00             | %          | 0.00             | %          | -0.01            | %          | 0.00             | %          | -0.01                | %          | 0.00                 | %          |
| Total return after Performance fees                             |       | -8.24            | %          | -9.16            | %          | -6.86            | %          | -7.87            | %          | -6.86                | %          | -6.38                | %          |
|                                                            |       |             |       |             |       |             |       |             |       |                 |       |                 |       |
| **Ratios  to Average Members’ Capital:**                   |       |             |       |             |       |             |       |             |       |                 |       |                 |       |
|                                                            |       |             |       |             |       |             |       |             |       |                 |       |                 |       |
| Expenses (excluding Performance fees)                           |       | 3.68             | %          | 4.68             | %          | 2.18             | %          | 3.28             | %          | 2.17                 | %          | 1.67                 | %          |
| Performance fees                                                |       | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.01                 | %          | -0.01                | %          |
| Expenses (including Performance fees)                           |       | 3.68             | %          | 4.68             | %          | 2.18             | %          | 3.28             | %          | 2.18                 | %          | 1.66                 | %          |
|                                                            |       |             |       |             |       |             |       |             |       |                 |       |                 |       |
| Net investment income (loss)                                    |       | -3.67            | %          | -4.67            | %          | -2.18            | %          | -3.27            | %          | -2.18                | %          | -1.66                | %          |

 

----

(a) Class DSwas previously known as Class D-SM.

(b) Class DTwas previously known as Class D-TF.

(c) Thetotal return calculations are based on compounded monthly returns and iscalculated for each class taken as a whole.

 

Anindividual members’ return may vary from these returns based on timing ofcapital transactions.

 

See notes to financialstatements.

 

7

----

 

ML WINTONFUTURESACCESS LLC

(A DelawareLimited Liability Company)

 

FINANCIAL DATAHIGHLIGHTS

FOR THE YEAR ENDEDDECEMBER 31, 2008

 

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

 
| ** **                                                | ** ** | **Class A** | ** ** | **Class C** | ** ** | **Class D** | ** ** | **Class I** | ** ** | **Class DS(a)** | ** ** | **Class DT(b)** | ** ** |
|-----------------------------------------------------------|------------|------------------|------------|------------------|------------|------------------|------------|------------------|------------|----------------------|------------|----------------------|------------|
| **Per Unit Operating Performance:**                       |       |             |       |             |       |             |       |             |       |                 |       |                 |       |
| ** **                                                |       |             |       |             |       |             |       |             |       |                 |       |                 |       |
| Net asset value, beginning of year                        |       | $                | 1.3772     |             | $          | 1.3391           |       | $                | 1.3258     |                 | $          | 1.3821               |       | $ | 1.3258 |   | $ | 1.3357 |   |
|                                                      |       |             |       |             |       |             |       |             |       |                 |       |                 |       |
| Net realized and net change in unrealized trading  profit |       | 0.3662           |       | 0.3547           |       | 0.3547           |       | 0.3682           |       | 0.3521               |       | 0.3589               |       |
| Brokerage commissions                                     |       | (0.0023          | )          | (0.0022          | )          | (0.0022          | )          | (0.0023          | )          | (0.0022              | )          | (0.0022              | )          |
| Interest income                                           |       | 0.0271           |       | 0.0263           |       | 0.0262           |       | 0.0273           |       | 0.0260               |       | 0.0265               |       |
| Expenses                                                  |       | (0.1242          | )          | (0.1352          | )          | (0.0979          | )          | (0.1187          | )          | (0.0971              | )          | (0.0764              | )          |
|                                                      |       |             |       |             |       |             |       |             |       |                 |       |                 |       |
| Net asset value, end of year                              |       | $                | 1.6440     |             | $          | 1.5827           |       | $                | 1.6066     |                 | $          | 1.6566               |       | $ | 1.6046 |   | $ | 1.6425 |   |
|                                                      |       |             |       |             |       |             |       |             |       |                 |       |                 |       |
| **Total  Return: (c)**                                    |       |             |       |             |       |             |       |             |       |                 |       |                 |       |
|                                                      |       |             |       |             |       |             |       |             |       |                 |       |                 |       |
| Total return before Performance fees                      |       | 24.39            | %          | 23.18            | %          | 26.27            | %          | 24.89            | %          | 26.09                | %          | 26.91                | %          |
| Performance fees                                          |       | -4.48            | %          | -4.48            | %          | -4.48            | %          | -4.48            | %          | -4.45                | %          | -3.45                | %          |
| Total return after Performance fees                       |       | 19.36            | %          | 18.19            | %          | 21.18            | %          | 19.85            | %          | 21.03                | %          | 22.97                | %          |
|                                                      |       |             |       |             |       |             |       |             |       |                 |       |                 |       |
| **Ratios  to Average Members’ Capital:**             |       |             |       |             |       |             |       |             |       |                 |       |                 |       |
|                                                      |       |             |       |             |       |             |       |             |       |                 |       |                 |       |
| Expenses (excluding Performance fees)                     |       | 3.82             | %          | 4.84             | %          | 2.31             | %          | 3.42             | %          | 2.29                 | %          | 1.79                 | %          |
| Performance fees                                          |       | 4.35             | %          | 4.35             | %          | 4.35             | %          | 4.35             | %          | 4.32                 | %          | 3.33                 | %          |
| Expenses (including Performance fees)                     |       | 8.17             | %          | 9.19             | %          | 6.66             | %          | 7.77             | %          | 6.61                 | %          | 5.12                 | %          |
|                                                      |       |             |       |             |       |             |       |             |       |                 |       |                 |       |
| Net investment income (loss)                              |       | -6.37            | %          | -7.38            | %          | -4.85            | %          | -5.96            | %          | -4.82                | %          | -3.32                | %          |

 

----

(a) Class DSwas previously known as Class D-SM.

(b) Class DTwas previously known as Class D-TF.

(c) Thetotal return calculations are based on compounded monthly returns and iscalculated for each class taken as a whole.

 

Anindividual members’ return may vary from these returns based on timing ofcapital transactions.

 

See notes to financialstatements.

 

8

----

 

ML WINTON FUTURESACCESSLLC

(A DelawareLimited Liability Company)

 

FINANCIAL DATAHIGHLIGHTS

FOR THE YEAR ENDEDDECEMBER 31, 2007

 

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

 
| ** **                                                | ** ** | **Class A** | ** ** | **Class C** | ** ** | **Class D** | ** ** | **Class I** | ** ** | **Class DS (a)** | ** ** | **Class DT (b)** | ** ** |
|-----------------------------------------------------------|------------|------------------|------------|------------------|------------|------------------|------------|------------------|------------|----------------------------|------------|----------------------------|------------|
| **Per Unit Operating Performance:**                       |       |             |       |             |       |             |       |             |       |                       |       |                       |       |
| ** **                                                |       |             |       |             |       |             |       |             |       |                       |       |                       |       |
| Net asset value, beginning of year                        |       | $                | 1.2076     |             | $          | 1.1859           |       | $                | 1.1460     |                       | $          | 1.2069                     |       | $ | 1.0733 |   | $ | 1.1914 |   |
|                                                      |       |             |       |             |       |             |       |             |       |                       |       |                       |       |
| Net realized and net change in unrealized trading  profit |       | 0.1949           |       | 0.1901           |       | 0.1869           |       | 0.1954           |       | 0.2642                     |       | 0.1433                     |       |
| Brokerage commissions                                     |       | (0.0052          | )          | (0.0051          | )          | (0.0050          | )          | (0.0052          | )          | (0.0031                    | )          | (0.0024                    | )          |
| Interest income                                           |       | 0.0611           |       | 0.0597           |       | 0.0583           |       | 0.0612           |       | 0.0442                     |       | 0.0349                     |       |
| Expenses                                                  |       | (0.0812          | )          | (0.0915          | )          | (0.0604          | )          | (0.0762          | )          | (0.0528                    | )          | (0.0315                    | )          |
|                                                      |       |             |       |             |       |             |       |             |       |                       |       |                       |       |
| Net asset value, end of year                              |       | $                | 1.3772     |             | $          | 1.3391           |       | $                | 1.3258     |                       | $          | 1.3821                     |       | $ | 1.3258 |   | $ | 1.3357 |   |
|                                                      |       |             |       |             |       |             |       |             |       |                       |       |                       |       |
| **Total  Return: (c)**                                    |       |             |       |             |       |             |       |             |       |                       |       |                       |       |
|                                                      |       |             |       |             |       |             |       |             |       |                       |       |                       |       |
| Total return before Performance fees                      |       | 16.90            | %          | 15.74            | %          | 18.66            | %          | 17.36            | %          | 26.53                      | %          | 13.70                      | %          |
| Performance fees                                          |       | -2.74            | %          | -2.73            | %          | -2.79            | %          | -2.73            | %          | -2.65                      | %          | -1.54                      | %          |
| Total return after Performance fees                       |       | 14.03            | %          | 12.90            | %          | 15.68            | %          | 14.49            | %          | 23.53                      | %          | 12.11                      | %          |
|                                                      |       |             |       |             |       |             |       |             |       |                       |       |                       |       |
| **Ratios  to Average Members’ Capital:**             |       |             |       |             |       |             |       |             |       |                       |       |                       |       |
|                                                      |       |             |       |             |       |             |       |             |       |                       |       |                       |       |
| Expenses (excluding Performance fees)                     |       | 3.84             | %          | 4.89             | %          | 2.31             | %          | 3.43             | %          | 2.28                       | %          | 1.76                       | %          |
| Performance fees                                          |       | 2.84             | %          | 2.87             | %          | 2.99             | %          | 2.85             | %          | 2.53                       | %          | 1.49                       | %          |
| Expenses (including Performance fees)                     |       | 6.68             | %          | 7.76             | %          | 5.30             | %          | 6.28             | %          | 4.81                       | %          | 3.25                       | %          |
|                                                      |       |             |       |             |       |             |       |             |       |                       |       |                       |       |
| Net investment income (loss)                              |       | -1.71            | %          | -2.77            | %          | -0.30            | %          | -1.29            | %          | -0.77                      | %          | 0.60                       | %          |

 

----

(a) Class DS was previously known as Class D-SM.  Units issued on April 2, 2007.

(b) Class DT was previously known as Class D-TF.  Units issued on June 1, 2007.

(c) The total return calculations are based on compounded monthlyreturns and is calculated for each class taken as a whole.

 

An individual members’ return may vary from these returns based ontiming of capital transactions.

 

See notes tofinancial statements.

 

9

----

 

ML WINTONFUTURESACCESS LLC

(A DelawareLimited Liability Company)

 

NOTES TO FINANCIALSTATEMENTS

 

1.                    SUMMARY OF SIGNIFICANT ACCOUNTINGPOLICIES

 

                             Organization

 

ML Winton FuturesAccess LLC (the “Fund”), a MerrillLynch FuturesAccess Program (the “Program”) fund, was organized under theDelaware Limited Liability Company Act on May 17, 2004 and commencedtrading activities on February 1, 2005. The Fund engages in thespeculative trading of futures, options on futures and forward contracts on awide range of commodities. Winton Capital Management (“Winton”) is the tradingadvisor of the Fund.

 

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

 

The Program is agroup of commodity pools sponsored by MLAI (each a “Program Fund” orcollectively, “Program Funds”) each of which places substantially all of itsassets in a managed futures and forward trading account managed by a single ormultiple commodity trading advisors. Each Program Fund is generally similar tothe Fund in terms of fees, Classes of Units and redemption rights. Each of theProgram Funds implements a different trading strategy.

 

TheFund offers six Classes of Units:  Class A,Class C, Class D, Class DT, Class DS, and Class I.  Each Class of Units except for Class DTand Class DS was offered at $1.00 per Unit during the initial offeringperiod and subsequently is offered at Net Asset Value per Unit (see Note6).  Class DS commenced on April 2,2007 and was offered at $1.0733 and Class DT commenced on June 1,2007 and was offered at $1.1914.  The sixClasses of Units are subject to different Sponsor fees.

 

Interests in the Fund are not insured or otherwise protected by theFederal Deposit Insurance Corporation or any other government authority.  Interests are not deposits or otherobligations of, and are not guaranteed by, Bank of America Corporation or anyof its affiliates or by any bank. Interests are subject to investment risks, including the possible lossof the full amount invested.

 

10

----

 

Estimates

 

The preparation offinancial statements in conformity with accounting principles generallyaccepted in the United States of America (“U.S. GAAP”) requires management tomake estimates and assumptions that affect the reported amounts of assets andliabilities and disclosure of contingent assets and liabilities at the date ofthe financial statements and the reported amounts of revenues and expensesduring the reporting period.  Actualresults could differ from those estimates. Certainprior year items have been reclassified to conform to the current yearpresentation.

 

Statement of Cash Flows

 

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

 

Revenue Recognition

 

Commodity futures, options on futures and forward contract transactionsare recorded on trade date. Open contracts are reflected in Net unrealizedprofit (loss) on open contracts in the Statements of Financial Condition as thedifference between the original contract value and the market value (for thosecommodity interests for which market quotations are readily available) or atfair value.  The change in unrealizedprofit (loss) on open contracts from one period to the next is reflected inChange in unrealized under Trading profit (loss) in the Statements ofOperations.

 

Trading profit (loss) is reduced for brokerage commission costs.

 

Foreign Currency Transactions

 

The Fund’s functional currency is the U.S. dollar; however, ittransacts business in U.S. dollars and in currencies other than the U.S.dollar.  Assets and liabilitiesdenominated in currencies other than the U.S. dollar are translated into U.S.dollars at the rates in effect at the date of the Statements of FinancialCondition.  Income and expense itemsdenominated in currencies other than the U.S. dollar are translated into U.S. dollarsat the rates in effect during the year. Profits and losses resulting from the translation to U.S. dollars areincluded in Trading Profit(Loss) in the Statements of Operations.

 

Cash and Cash Equivalents

 

The Fund considered all highly liquid investments, with a maturity ofthree months or less when acquired, to be cash equivalents. Cash equivalentswere recorded at amortized cost which approximated fair value (Level II seeNote 3). Cash was held at a nationally recognized financial institution.

 

Cash at Broker / Equity in Commodity Futures Trading Accounts

 

A portion of the assets maintained at MLPF&S is restricted cashrequired to meet maintenance margin requirements.

 

Operating Expenses, Offering Costs and Selling Commissions

 

The Fund pays for all routine operating costs (including ongoingoffering costs, administration, custody, transfer, exchange and redemptionsprocess, legal, regulatory filing, tax, audit, escrow, accounting and printingfees and expenses) incurred by the Fund.

 

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

 

11

----

 

Income Taxes

 

No provision for income taxes has been made in the accompanying financialstatements as each Member is individually responsible for reporting income orloss based on such Member’s share of the Fund’s income and expenses as reportedfor income tax purposes.

 

The Fund follows the ASC guidance on accounting for uncertainty in incometaxes.  This guidance provides howuncertain tax positions should be recognized, measured, presented and disclosedin the financial statements.  Thisguidance also requires the evaluation of tax positions taken or expected to betaken in the course of preparing the Fund’s financial statements to determinewhether the tax positions are “more-likely-than-not” to be sustained by theapplicable tax authority.  Tax positionswith 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 currentyear.  MLAI has analyzed the Fund’s taxpositions and has concluded that no provision for income tax is required in theFund’s financial statements. The following are the major tax jurisdictions forthe Fund and the earliest tax year subject to examination: United States —2006.

 

Distributions

 

The Members are entitled to receive, equally per Unit, anydistributions which may be made by the Fund. No such distributions have been declared for the years ended December 31,2009, 2008 and 2007.

 

Subscriptions

 

Units are offered as of the close of business at the end of eachmonth.  Units are purchased as of thefirst business day of any month at Net Asset Value (see Note 6), but the subscriptionrequest must be submitted at least three calendar days before the end of thepreceding month.  Subscriptions submittedless than three days before the end of a month will be applied to Unitssubscriptions as of the beginning of the second month after receipt, unlessrevoked by MLAI.

 

Redemptions and Exchanges

 

A Member may redeem or exchange some or all of such Member’s Units atNet Asset Value (see Note 6) as of the close of business, on the last businessday of any month, upon ten calendar days’ notice (“notice period”).

 

An investor in the Fund can exchange these Units for Units of the same Class inother Program Funds as of the beginning of each calendar month upon at leastten days prior notice.  The minimumexchange amount is $10,000.

 

Redemption requests are accepted within the notice period.  The Fund does not accept any redemptionrequests after the notice period.  Allredemption requests received after the notice period will be processed for thefollowing month.

 

Dissolution of the Fund

 

The Fund may terminate if certain circumstances occur as set forth inthe private placement memorandum, which include but are not limited to thefollowing:

 

(a)                            Bankruptcy,dissolution, withdrawal or other termination of the trading advisor of thisFund.

(b)                           Any event whichwould make unlawful the continued existence of this Fund.

(c)                            Determinationby MLAI to liquidate or withdraw from the Fund.

 

12

----

 

2.               CONDENSED SCHEDULES OF INVESTMENTS

 

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

 

2009

 
| ** **                  | ** ** | **Long Positions** | ** ** | **Short Positions**    | ** ** | **Net Unrealized**        | ** ** | ** **         | ** ** | ** **             | ** ** |
|-----------------------------|------------|--------------------|------------|------------------------|------------|--------------------------------|------------|--------------------|------------|------------------------|------------|
| **Commodity Industry** | ** ** | **Number of** | ** ** | **Unrealized**         | ** ** | **Percent of**            | ** ** | **Number of** | ** ** | **Unrealized**         | ** ** | **Percent of** | ** ** | **Profit (Loss)** | ** ** | **Percent of** | ** ** | ** ** | ** ** |
| **Sector**                  | ** ** | **Contracts**      | ** ** | **Profit (Loss)** | ** ** | **Members’ Capital** | ** ** | **Contracts**      | ** ** | **Profit (Loss)** | ** ** | **Members’ Capital** | ** ** | **on Open Positions** | ** ** | **Members’ Capital** | ** ** | **Maturity Dates** | ** ** |
|                        |       |               |       |                   |       |                           |       |               |       |                   |       |   |   |   |   |   |   |   |   |
| Agriculture                 |       | 1,102              |       | $                      | 1,087,413  |                           | 0.14       | %                  | (989       | )                      | $          | (286,832 | ) | -0.04 | % | $ | 800,581 |   | 0.10 | % | January 10  - November 10 |   |
| Currencies                  |       | 2,892              |       | (2,562,251             | )          | -0.34                          | %          | (302               | )          | (169,839               | )          | -0.02 | % | (2,732,090 | ) | -0.36 | % | March 10 |   |
| Energy                      |       | 106                |       | 134,142                |       | 0.02                           | %          | (255               | )          | (642,428               | )          | -0.09 | % | (508,286 | ) | -0.07 | % | January 10  - December 10 |   |
| Interest rates              |       | 7,633              |       | (179,602               | )          | -0.03                          | %          | (460               | )          | 17,539                 |       | 0.00 | % | (162,063 | ) | -0.03 | % | January 10  - June 10 |   |
| Metals                      |       | 1,420              |       | 3,027,127              |       | 0.40                           | %          | (106               | )          | (880,988               | )          | -0.13 | % | 2,146,139 |   | 0.27 | % | January 10  - April 10 |   |
| Stock indices               |       | 5,218              |       | 3,774,920              |       | 0.50                           | %          | (16                | )          | (14,035                | )          | 0.00 | % | 3,760,885 |   | 0.50 | % | January 10  - March 10 |   |
|                        |       |               |       |                   |       |                           |       |               |       |                   |       |   |   |   |   |   |   |   |   |
| Total                       |       |               |       | $                      | 5,281,749  |                           | 0.69       | %                  |       |                   | $          | (1,976,583 | ) | -0.28 | % | $ | 3,305,166 |   | 0.41 | % |   |   |

 

2008

 
| ** **                  | ** ** | **Long Positions** | ** ** | **Short Positions**    | ** ** | **Net Unrealized**        | ** ** | ** **         | ** ** | ** **             | ** ** |
|-----------------------------|------------|--------------------|------------|------------------------|------------|--------------------------------|------------|--------------------|------------|------------------------|------------|
| **Commodity Industry** | ** ** | **Number of** | ** ** | **Unrealized**         | ** ** | **Percent of**            | ** ** | **Number of** | ** ** | **Unrealized**         | ** ** | **Percent of** | ** ** | **Profit (Loss)** | ** ** | **Percent of** | ** ** | ** ** | ** ** |
| **Sector**                  | ** ** | **Contracts**      | ** ** | **Profit (Loss)** | ** ** | **Members’ Capital** | ** ** | **Contracts**      | ** ** | **Profit (Loss)** | ** ** | **Members’ Capital** | ** ** | **on Open Positions** | ** ** | **Members’ Capital** | ** ** | **Maturity Dates** | ** ** |
|                        |       |               |       |                   |       |                           |       |               |       |                   |       |   |   |   |   |   |   |   |   |
| Agriculture                 |       | 197                |       | $                      | 390,804    |                           | 0.05       | %                  | (2,131     | )                      | $          | (3,807,410 | ) | -0.47 | % | $ | (3,416,606 | ) | -0.42 | % | January 09  - November 10 |   |
| Currencies                  |       | 759                |       | 1,426,021              |       | 0.18                           | %          | (1,366             | )          | (4,720,175             | )          | -0.59 | % | (3,294,154 | ) | -0.41 | % | March 09 |   |
| Energy                      |       | —             |       | —                 |       | 0.00                           | %          | (313               | )          | 1,169,490              |       | 0.15 | % | 1,169,490 |   | 0.15 | % | January 09  - December 10 |   |
| Interest rates              |       | 10,483             |       | 17,823,721             |       | 2.21                           | %          | (88                | )          | (21,657                | )          | 0.00 | % | 17,802,064 |   | 2.21 | % | January 09  - June 10 |   |
| Metals                      |       | 238                |       | (635,812               | )          | -0.08                          | %          | (558               | )          | 3,463,278              |       | 0.42 | % | 2,827,466 |   | 0.34 | % | January 09  - April 09 |   |
| Stock indices               |       | 10                 |       | 1,903                  |       | 0.00                           | %          | (384               | )          | (359,049               | )          | -0.04 | % | (357,146 | ) | -0.04 | % | January 09  - March 09 |   |
|                        |       |               |       |                   |       |                           |       |               |       |                   |       |   |   |   |   |   |   |   |   |
| Total                       |       |               |       | $                      | 19,006,637 |                           | 2.36       | %                  |       |                   | $          | (4,275,523 | ) | -0.53 | % | $ | 14,731,114 |   | 1.83 | % |   |   |

 

No individualcontract’s unrealized profit or loss comprised greater than 5% of Members’Capital as of December 31, 2009 and 2008.

 

13

----

 

3.               FAIR VALUE OF INVESTMENTS

 

TheFASB’s ASC’s provide authoritative guidance on fair value measurement. Thisguidance defines fair value, establishes a framework for measuring fair valueand expands disclosures about fair value measurements.

 

Fairvalue of an investment is the amount that would be received to sell theinvestment in an orderly transaction between market participants at themeasurement date (i.e. the exit price). Allinvestments (including derivative financial instruments and derivative commodityinstruments) are held for trading purposes. The investments are recorded on trade date and open contracts arerecorded at fair value (described below) at the measurement date. Investmentsdenominated in foreign currencies are translated into U.S. dollars at theexchange rates prevailing at the measurement date.  Gains or losses are realized when contractsare liquidated.  Unrealized gains orlosses on open contracts are included in Equity in commodity futures tradingaccount.  Any change in net unrealizedgain or loss from the preceding year is reported in the Statement ofOperations.

 

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

 

Investmentsmeasured and reported at fair value are classified and disclosed in one of thefollowing categories:

 

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

 

LevelII — Pricing inputs are other than quoted prices in active markets, which areeither directly or indirectly observable as of the reporting date, and fairvalue is determined through the use of generally accepted and understood modelsor other valuation methodologies. Investments which are generally included in thiscategory are investments valued using market data.

 

LevelIII — Pricing inputs are unobservable and include situations where there islittle, if any, market activity for the investment. Fair value for theseinvestments is determined using valuation methodologies that consider a rangeof factors, including but not limited to the nature of the investment, localmarket conditions, trading values on public exchanges for comparablesecurities, current and projected operating performance and financing transactionssubsequent to the acquisition of the investment. The inputs into thedetermination of fair value require significant management judgment. Due to theinherent uncertainty of these estimates, these values may differ materiallyfrom the values that would have been used had a ready market for theseinvestments existed. Investments that are included in this category generallyare privately held debt and equity securities.

 

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

 

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

 

Exchange traded investments are fair valued by theFund by using the reported closing price on the primary exchange where ittrades such investments.  These closingprices are observed through the clearing broker and third party pricingservices. For non-exchange traded investments, quoted values and other dataprovided by nationally recognized independent pricing sources are used asinputs into its process for determining fair values.

 

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

 

The Fund has determined that Level I securitieswould include all of its futures and options contracts where it believes thatquoted prices are available in an active market.

 

Where the Fund believes that quoted market pricesare not available or that the market is not active, fair values are estimatedby using quoted prices of securities with similar characteristics, pricingmodels or matrix pricing and these are generally classified as Level IIsecurities. The Fund determined that Level II securities would include itsforward contracts.

 

TheFund’s net unrealized profit (loss) on open forward and futures contracts as ofDecember 31, 2009 and 2008 are as follows:

 
| **December 31, 2009** | ** ** | **Unrealized Long  Positions** | ** ** | **Unrealized Short  Positions** | ** ** | **Total**  | ** ** |
|----------------------------|------------|--------------------------------|------------|---------------------------------|------------|------------|------------|
| Futures                    |       | $                              | 5,281,749  |                            | $          | (1,976,583 | )          | $ | 3,305,166 |   |
| Forwards                   |       | —                         |       | —                          |       | —     |       |
| Total                      |       | $                              | 5,281,749  |                            | $          | (1,976,583 | )          | $ | 3,305,166 |   |

 
| **December 31, 2008** | ** ** | **Unrealized Long Positions** | ** ** | **Unrealized Short Positions** | ** ** | **Total**  | ** ** |
|---------------------------------|------------|-----------------------------------------|------------|------------------------------------------|------------|------------|------------|
| Futures                         |       | $                                       | 19,006,637 |                                     | $          | (4,275,523 | )          | $ | 14,731,114 |   |
| Forwards                        |       | —                                  |       | —                                   |       | —     |       |
| Total                           |       | $                                       | 19,006,637 |                                     | $          | (4,275,523 | )          | $ | 14,731,114 |   |

 

The Fund’s volume of trading forward and futures as ofthe end of this year is representative of the activity throughout the year.

 

The following table summarizes the valuation of theFund’s investments by the above fair value hierarchy levels as of December 31,2009 and 2008:

 
| **Net unrealized**     | ** ** | ** ** | ** ** | ** **  | ** ** | ** **   | ** ** | ** **    | ** ** |
|------------------------|------------|------------|------------|-------------|------------|--------------|------------|---------------|------------|
| **profit (loss)**      | ** ** | ** ** | ** ** | ** **  | ** ** | ** **   | ** ** | ** **    | ** ** |
| **on open contracts**  | ** ** | **Total**  | ** ** | **Level I** | ** ** | **Level II** | ** ** | **Level III** | ** ** |
|                   |       |       |       |        |       |         |       |          |       |
| December 31, 2009 |       | $          | 3,305,166  |        | $          | 986,304      |       | $             | 2,318,862  |   | $ | — |   |
| December 31, 2008 |       | $          | 14,731,114 |        | $          | 14,731,114   |       | $             | —     |   | $ | — |   |

 

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Effective January 1, 2009, the Fund adopted the FASB’s guidance ondisclosures about derivative instruments and hedging activities which requiresqualitative disclosures about objectives and strategies for using derivatives,quantitative disclosures about fair value amounts of and gains and losses onderivative instruments, and disclosures about credit-risk-related contingentfeatures in derivative agreements. This guidance only expands the disclosurerequirements for derivative instruments and related hedging activities and hasno impact on Statements of Financial Condition or Statements of Operations orStatements of Changes in Members’ Capital.

 

The Fund engages in the speculative trading of futures, options onfutures and forward contracts on a wide range of commodities. Such contractsmeet the definition of a derivative as noted in the guidance for derivatives and hedging. The fairvalue amounts of and the gains and losses on derivative instruments isdisclosed in the Statements of Financial Condition and Statements of Operations,respectively. There are no credit related contingent features embedded in thesederivative contracts.

 

The followingtable indicates the trading gains and losses, by commodity industry sector, onderivative instruments for the year ended December 31, 2009:

 
| **Commodity Industry Sector** | ** ** | **Gain (loss) from trading** | ** **  |
|-------------------------------|------------|------------------------------|-------------|
|                          |       |                         |        |
| Agriculture                   |       | $                            | 2,114,401   |   |
| Currencies                    |       | (12,121,842                  | )           |
| Energy                        |       | (12,677,833                  | )           |
| Interest rates                |       | (8,522,945                   | )           |
| Metals                        |       | 3,421,909                    |        |
| Stock indices                 |       | (10,463,293                  | )           |
|                          |       |                         |        |
| Total                         |       | $                            | (38,249,603 | ) |

 

The Fund is subject to the risk of insolvency of acounterparty, an exchange, a clearinghouse or MLPF&S.  Fund assets could be lost or impounded duringlengthy bankruptcy proceedings.  Were asubstantial portion of the Fund’s capital tied up in a bankruptcy or othersimilar proceedings, MLAI might suspend or limit trading, perhaps causing theFund to miss significant profit opportunities. There are increased risks in dealing with unregulated tradingcounterparties including the risk that assets may not benefit from theprotection afforded to “customer funds” deposited with regulated dealers andbrokers.

 

4.               RELATED PARTY TRANSACTIONS

 

The Fund’s U.S.dollar assets are maintained at MLPF&S. On assets held in U.S. dollars,Merrill Lynch credits the Fund with interest at the most favorable rate payableby MLPF&S to accounts of Merrill Lynch affiliates but not less than 75% ofsuch prevailing rate.  The Fund iscredited with interest on any of its assets and net gains actually held byMLPF&S non-U.S. dollar currencies at a prevailing local rate received byMerrill Lynch.  Merrill Lynch may derivecertain economic benefit, in excess of the interest which Merrill Lynch pays tothe Fund, from possession of such assets.

 

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Merrill Lynch charges the Fund at prevailing localinterest rates for financing realized and unrealized losses on the Fund’snon-U.S. dollar-denominated positions. Such amounts are netted against interest income due to theinsignificance of such amounts.

 

The Fund charges Sponsorfees on the month-end net assets after all other charges at annual rates equalto 1.50% for Class A, 2.50% for Class C, and 1.10% on Class I.  Class D, DS, and DT are not charged aSponsor Fee.   Sponsor Fees are paid toMLAI.

 

The Fund pays brokerage commissions on actual cost perround turn. The average round-turn commission rate charged to the Fund for theyears ended December 31, 2009, 2008 and 2007 was approximately $6.50,$7.16 and $9.58, respectively (not including, in calculating round-turn,forward contracts on a futures-equivalent basis).

 

BrokerageCommissions, Interest and Sponsor fees as seen on the Statements of Operationsare all received from or paid to related parties.

 

The Fund holds cash at an unaffiliated bank whichinvests such cash in a money market fund which is managed by BlackRock, arelated party to MLAI.  The Cash and cash equivalents as seen on theStatements of Financial Condition is the amount held by the related party.

 

5.               ADVISORY AGREEMENT

 

The Fund and Winton have entered into an AdvisoryAgreement.  This agreement shall continuein effect until December 31, 2014. Thereafter, this agreement shall beautomatically renewed for successive three-year periods, on the same terms,unless terminated by either Winton or the Fund upon 90 days’ notice to theother party. Winton determines the commodity futures, options on futures andforward contract trades to be made on behalf of their respective Fund accounts,subject to certain trading policies and to certain rights reserved by MLAI.

 

TheFund charges annual management fees on the Fund’s average month-end net assetsallocated to them after reduction for the brokerage commissions accrued withrespect to such assets and are payable to Winton on a monthly basis. ManagementFees are 2.0% for all classes except for Class DT which charges a 1.5%Fee.  Winton pays MLAI 25% of themanagement fees on all classes except Class DT in return for sponsoringand providing ongoing administration and operational support to the Fund.

 

Performancefees are charged by the Fund on any New Trading Profit, as defined in theprivate placement memorandum, and are payable to Winton as of either the end ofeach calendar year or upon any interim period for which there are netredemption of Units, to the extent of the applicable percentage of any NewTrading Profit attributable to such Units. The Fund charges a 20% performancefee for all classes except Class DT which is charged a performance fee of15%.  Winton pays MLAI 25% of anyPerformance fees paid by the Fund not including Class DT.

 

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6.               NET ASSET VALUE PER UNIT

 

TheNet Asset Value per Unit of the different Classes as of December 31, 2009and 2008 are:

 

December 31, 2009

 

| **Net Asset Value** | ** ** |
|---------------------|------------|
| Class A        |       | $ | 1.5088 |   |
| Class C        |       | 1.4380 |   |
| Class D        |       | 1.4964 |   |
| Class I        |       | 1.5267 |   |
| Class DS       |       | 1.4946 |   |
| Class DT       |       | 1.5377 |   |
|                     |            |  |  |  |

 

December 31, 2008

 

| **Net Asset Value** | ** ** |
|---------------------|------------|
| Class A        |       | $ | 1.6440 |   |
| Class C        |       | 1.5827 |   |
| Class D        |       | 1.6066 |   |
| Class I        |       | 1.6566 |   |
| Class DS       |       | 1.6046 |   |
| Class DT       |       | 1.6425 |   |
|                     |            |  |  |  |

 

7.               WEIGHTED AVERAGE UNITS

 

The weighted average number of Units outstanding foreach Class is computed for purposes of calculating net income (loss) perweighted average Unit.  The weightedaverage number of Units outstanding for the years ended December 31, 2009,2008 and 2007 equals the Units outstanding as of such date, adjustedproportionately for Units sold or redeemed based on the respective length oftime each was outstanding during the year.

 

8.               RECENT ACCOUNTINGPRONOUNCEMENTS

 

In July 2009,the Financial Accounting Standards Board (“FASB”) issued Accounting StandardsCodification (“ASC”) 105, *Generally AcceptedAccounting Principles,*(ASC 105), which approved the FASB AccountingStandards Codification (the “Codification”) as the single source ofauthoritative nongovernmental GAAP. The Codification is effective for interimor annual periods ending after September 15, 2009. All existing accountingstandards have been superseded and all other accounting literature not includedin the Codification are considered nonauthoritative. ASC 105 was not intendedto change the accounting literature and did not impact the Fund’s financialcondition or results of operations.  Allaccounting references within this report are in accordance with the new Codification.

 

In April 2009, the FASB issued guidance on determining**fair**value**when**the**volume**and**level**of activity for the asset or liabilityhave significantly decreased and identifying transactions that are not orderly.This guidance**providesadditional guidance for estimating fair value in accordance with FASB guidanceon fair value measurements,when the volume and level of activity for the asset or liability havesignificantly decreased. This guidance also identifies circumstances thatindicate a transaction is not orderly. The guidance emphasizes that even ifthere has been a significant decrease in the volume and level of activity forthe asset or liability and regardless of the valuation technique(s) used,the objective of a fair value measurement remains the same. Fair value is theprice that would be received to sell an asset or paid to transfer a liabilityin an orderly transaction (that is, not a forced liquidation or distressedsale) between market participants at the measurement date under current marketconditions. The guidance also contains enhanced disclosure requirements wherebyfair value disclosures as well as certain disaggregated information will bedisclosed. The adoption of this guidance had no impact on the financialstatements.

 

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In September 2009, theFASB issued *Accounting Standards Update No. 2009-12, Investments in Certain Entities ThatCalculate Net Asset Value per Share (or Its Equivalent) (the “ASU2009-12”),*which is effectivefor interim or annual financial periods ending after December 15,2009.  The adoption of this guidance had no impact on thefinancial statements.

 

In January 2010, theFASB issued an update to the fair value measurements disclosure. Pursuant tothis update, additional disclosures in the financial statements relating totransfers in and out of Levels 1 and 2 fair value measurements and separatedisclosure of purchases, sales, issuances, and settlements in Level 3rollforward, will be required. In addition, this update provides clarificationson i) the level of aggregation of classes of assets and liabilities disclosedin the fair value measurement disclosures and ii) disclosures relating to theinputs and valuation techniques for Level 2 and Level 3 fair valuemeasurements. The new disclosures and clarifications of existing disclosuresare effective for annual reporting periods beginning after December 15,2009, except for the disclosures about purchases, sales, issuances, andsettlements in the Level 3 roll forward which are effective for fiscal yearsbeginning after December 15, 2010. This update further enhances the fairvalue disclosures and the Manager has determined that the adoption of thisupdate would not have a material impact to the Fund’s financial statements.

 

9.               MARKET AND CREDIT RISK

 

The nature of this Fund has certain risks, whichcannot all be presented on the financial statements.  The following summarizes some of those risks.

 

### Market Risk

###  

Derivative instruments involve varying degrees of marketrisk.  Changes in the level or volatilityof interest rates, foreign currency exchange rates or the market values of thefinancial instruments or commodities underlying such derivative instrumentsfrequently result in changes in the Fund’s net unrealized profit (loss) on opencontracts on such derivative instruments as reflected in the Statements ofFinancial Condition.  The Fund’s exposureto market risk is influenced by a number of factors, including therelationships among the derivative instruments held by the Fund as well as thevolatility and liquidity of the markets in which the derivative instruments aretraded.  Investments in foreign marketsmay also entail legal and political risks.

 

MLAI has procedures in place intended to controlmarket risk exposure, although there can be no assurance that they will, infact, succeed in doing so.  Theseprocedures focus primarily on monitoring the trading of Winton, calculating theNet Asset Value of the Fund as of the close of business on each day and reviewingoutstanding positions for over-concentrations. While MLAI does not intervene in the markets to hedge or diversify theFund’s market exposure, MLAI may urge Winton to reallocate positions in anattempt to avoid over-concentrations. However, such interventions are expected to be unusual.  It is expected that MLAI’s basic risk controlprocedures will consist of the ongoing process of advisor monitoring, with themarket risk controls being applied by Winton.

 

Credit Risk

 

The risks associated withexchange-traded contracts are typically perceived to be less than thoseassociated with over-the-counter (non-exchange-traded) transactions, becauseexchanges typically provide clearinghouse arrangements in which the collectivecredit (in some cases limited in amount, in some cases not) of the members ofthe exchange is pledged to support the financial integrity of theexchange.  In over-the-countertransactions, on the other hand, traders must rely solely on the credit oftheir respective individual counterparties. Margins, which may be subject to loss in the event of a

 

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default, are generallyrequired in exchange trading, and counterparties may also require margin in theover-the-counter markets.

 

The credit riskassociated with these instruments from counterparty nonperformance is the Netunrealized profit on open contracts, if any, included in the Statements ofFinancial Condition. The Fund attempts to mitigate this risk by dealingexclusively with Merrill Lynch entities as clearing brokers.

 

The Fund, in its normalcourse of business, enters into various contracts, with MLPF&S acting asits commodity broker.  Pursuant to thebrokerage arrangement with MLPF&S (which includes a netting arrangement),to the extent that such trading results in receivables from and payables toMLPF&S, these receivables and payables are offset and reported as a netreceivable or payable and included in Equity in commodity futures tradingaccounts in the Statements of Financial Condition.

 

Indemnifications

 

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

 

10.         SUBSEQUENT EVENTS

 

Management has evaluated the impact of subsequentevents on the Fund and has determined that there were no subsequent events thatrequire adjustments to, or disclosure in, the financial statements.

 

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*     *    *     *     *    *     *     *    *     *      *

 

To the best of the knowledge and belief of the

undersigned, the information contained in this

reportis accurate and complete.

 

 
|   |                                           |   |
|--------|-------------------------------------------|--------|
|   | Barbra E. Kocsis                          |   |
|   | Chief Financial Officer                   |   |
|   | Merrill Lynch Alternative Investments LLC |   |
|   | Sponsor of                                |   |
|   | ML Winton FuturesAccess LLC               |   |

 

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