**Exhibit 13.04**

 

***ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC***

***(A Delaware Limited LiabilityCompany)***

** **

*Financial Statements as of andfor the years ended December 31, 2009 and 2008 and for the period April 2,2007 (commencement of operations) to December 31, 2007 and Report of  Independent Registered Public AccountingFirms*

* *

 

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ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited 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 for the  period April 2, 2007 (commencement of operations) to December 31,  2007                       |       | 4        |
|                                                                                                                                                                                            |       |     |
| Statements  of Changes in Members’ Capital for the years ended December 31, 2009,  2008 and for the period April 2, 2007 (commencement of operations) to  December 31, 2007 |       | 5        |
|                                                                                                                                                                                            |       |     |
| Financial  Data Highlights for the years ended December 31, 2009, 2008 and for the  period April 2, 2007 (commencement of operations) to December 31,  2007                      |       | 7        |
|                                                                                                                                                                                            |       |     |
| Notes  to Financial Statements                                                                                                                                                                  |       | 10       |

 

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### **Report of IndependentRegistered Public Accounting Firm**

###  

To****the Members of

MLTranstrend DTP Enhanced FuturesAccess LLC:

 

Inour opinion, the accompanying statement of financial condition, and the relatedstatements of operations, changes in members’ capital, and financial datahighlights present fairly, in all material respects, the financial position ofML Transtrend DTP Enhanced FuturesAccess LLC at December 31, 2009, and theresults of its operations, changes in its members’ capital, and financial datahighlights for the year then ended,****in conformitywith accounting principles generally accepted in the United States ofAmerica.  These financial statements andthe financial data highlights (hereafter referred to as the “financialstatements”) are the responsibility of the Fund’s management.  Our responsibility is to express an opinionon these financial statements based on our audit.  We conducted our audit of these statements inaccordance with the standards of the Public Company Accounting Oversight Board(United States).  Those standards requirethat we plan and perform the audit to obtain reasonable assurance about whetherthe financial statements are free of material misstatement.  An audit includes examining, on a test basis,evidence supporting the amounts and disclosures in the financial statements,assessing the accounting principles used and significant estimates made bymanagement, and evaluating the overall financial statement presentation.  We believe that our audit provides areasonable basis for our opinion.

 

 

/s/PricewaterhouseCoopers LLP

 

 

March 25,2010

1

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REPORT OF INDEPENDENTREGISTERED PUBLIC ACCOUNTING FIRM

 

To the Members of

ML Transtrend DTP EnhancedFuturesAccess LLC:

 

We have audited theaccompanying statement of financial condition of ML Transtrend DTP EnhancedFuturesAccess LLC (the “Fund”), as of December 31, 2008, and the relatedstatements of operations, changes in members’ capital, and the financial datahighlights for the year ended December 31, 2008 and for the period April 2,2007 (commencement of operations) to December 31, 2007. These financialstatements and financial data highlights are the responsibility of the Fund’smanagement. Our responsibility is to express an opinion on these financialstatements and financial data highlights based on our audits.

 

We conducted our audits inaccordance with the standards of the Public Company Accounting Oversight Board(United States). Those standards require that we plan and perform the audit toobtain reasonable assurance about whether the financial statements andfinancial data highlights are free of material misstatement. The Fund is notrequired to have, nor were we engaged to perform, an audit of its internal controlover financial reporting. Our audits included consideration of internal controlover financial reporting as a basis for designing audit procedures that areappropriate in the circumstances, but not for the purpose of expressing anopinion on the effectiveness 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, thefinancial statements and financial data highlights referred to above presentfairly, in all material respects, the financial position of ML Transtrend DTPEnhanced FuturesAccess LLC as of December 31, 2008, and the results of itsoperations, changes in members’ capital and the financial data highlights forthe year ended December 31, 2008 and for the period April 2, 2007(commencement of operations) to December 31, 2007, in conformity withaccounting principles generally accepted in the United States of America.

 

 

 

March 30,2009

 

2

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ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

STATEMENTS OF FINANCIAL CONDITION

AS OF DECEMBER 31, 2009 AND 2008

 
| ** **                                                                                                 | ** ** | **2009**    | ** **  | **2008**    | ** ** |
|------------------------------------------------------------------------------------------------------------|------------|-------------|-------------|-------------|------------|
| **ASSETS:**                                                                                                |       |        |        | ** **  |       |
| Equity in commodity  futures trading accounts:                                                             |       |        |        |        |       |
| Cash (including  restricted cash of $25,737,325 for 2009 and $15,307,220 for 2008)                         |       | $           | 236,868,172 |        | $          | 227,695,348 |   |
| Net unrealized profit  on open contracts                                                                   |       | 1,146,497   |        | 6,740,529   |       |
| Cash and cash  equivalents                                                                                 |       | 34,980      |        | 27,291      |       |
| Accrued interest  recievable                                                                               |       | 22,826      |        | 9,490       |       |
|                                                                                                       |       |        |        |        |       |
| **TOTAL  ASSETS**                                                                                          |       | $           | 238,072,475 |        | $          | 234,472,658 |   |
|                                                                                                       |       |        |        |        |       |
| **LIABILITIES  AND MEMBERS’ CAPITAL:**                                                                |       |        |        | ** **  |       |
| LIABILITIES:                                                                                               |       |        |        |        |       |
| Brokerage commissions  payable                                                                             |       | $           | 68,556      |        | $          | 37,485 |   |
| Commodity Trading  Advisor fee payable                                                                     |       | 381,285     |        | 14,552,403  |       |
| Sponsor fee payable                                                                                        |       | —      |        | —      |       |
| Redemptions payable                                                                                        |       | 1,523,104   |        | 2,375,459   |       |
| Other liabilities                                                                                          |       | 198,844     |        | 172,187     |       |
|                                                                                                       |       |        |        |        |       |
| Total liabilities                                                                                          |       | 2,171,789   |        | 17,137,534  |       |
|                                                                                                       |       |        |        |        |       |
| MEMBERS’ CAPITAL:                                                                                     |       |        |        | ** **  |       |
| Members’ Interest  (171,805,932 Units and 131,802,114 Units outstanding, unlimited Units  authorized) |       | 235,900,686 |        | 217,335,124 |       |
| Total members’ capital                                                                                |       | 235,900,686 |        | 217,335,124 |       |
|                                                                                                       |       |        |        |        |       |
| **TOTAL  LIABILITIES AND MEMBERS’ CAPITAL**                                                           |       | $           | 238,072,475 |        | $          | 234,472,658 |   |

 

See notes to financialstatements.

 

3

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ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

STATEMENTS OF OPERATIONS

FOR THE YEARS ENDED DECEMBER 31, 2009, 2008 AND FOR THE PERIOD APRIL 2,2007 

(COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2007

 
| ** **                                    | ** ** | **2009**    | ** **  | **2008**    | ** ** | **2007**   | ** ** |
|-----------------------------------------------|------------|-------------|-------------|-------------|------------|------------|------------|
| **TRADING  PROFIT (LOSS):**                   |       |        |        |        |       |       |       |
|                                          |       |        |        |        |       |       |       |
| Realized, net                                 |       | $           | (30,087,116 | )           | $          | 58,391,558 |       | $ | 18,830,414 |   |
| Change in unrealized,  net                    |       | (5,594,032  | )           | 2,997,703   |       | 3,742,826  |       |
| Brokerage commissions                         |       | (1,209,739  | )           | (642,724    | )          | (580,731   | )          |
|                                          |       |        |        |        |       |       |       |
| Total trading profit  (loss)                  |       | (36,890,887 | )           | 60,746,537  |       | $          | 21,992,509 |   |
|                                          |       |        |        |        |       |       |       |
| **INVESTMENT  INCOME:**                       |       |        |        |        |       |       |       |
| Interest                                      |       | 17,531      |        | 2,502,184   |       | 3,463,933  |       |
|                                          |       |        |        |        |       |       |       |
| **EXPENSES:**                                 |       |        |        |        |       |       |       |
| Management fee                                |       | 3,904,212   |        | 2,462,288   |       | 862,994    |       |
| Sponsor fee                                   |       | 453,477     |        | 255,504     |       | 9,750      |       |
| Performance fee                               |       | 326         |        | 14,415,123  |       | 5,282,368  |       |
| Other                                         |       | 572,395     |        | 626,258     |       | 155,223    |       |
| Total expenses                                |       | 4,930,410   |        | 17,759,173  |       | 6,310,335  |       |
|                                          |       |        |        |        |       |       |       |
| **NET  INVESTMENT LOSS**                      |       | (4,912,879  | )           | (15,256,989 | )          | (2,846,402 | )          |
|                                          |       |        |        |        |       |       |       |
| **NET  INCOME (LOSS)**                        |       | $           | (41,803,766 | )           | $          | 45,489,548 |       | $ | 19,146,107 |   |
|                                          |       |        |        |        |       |       |       |
| **NET  INCOME (LOSS) PER UNIT:**              |       |        |        |        |       |       |       |
|                                          |       |        |        |        |       |       |       |
| Weighted average number  of Units outstanding |       |        |        |        |       |       |       |
| Class A*                                 |       | 1,786,054   |        | 638,706     |       | 39,446     |       |
| Class C**                                |       | 13,264,190  |        | 7,827,256   |       | 610,408    |       |
| Class D***                               |       | 1,152,610   |        | 1,758,848   |       | 1,149,319  |       |
| Class I****                              |       | 956,805     |        | 735,189     |       | 590,000    |       |
| Class DS*****                            |       | 87,628,053  |        | 39,395,367  |       | 11,953,746 |       |
| Class DT******                           |       | 46,262,586  |        | 63,481,706  |       | 90,305,640 |       |
|                                          |       |        |        |        |       |       |       |
| Net income (loss) per  weighted average Unit  |       |        |        |        |       |       |       |
| Class A*                                 |       | $           | (0.2701     | )           | $          | 0.3033     |       | $ | (0.0411 | ) |
| Class C**                                |       | $           | (0.2511     | )           | $          | 0.2791     |       | $ | 0.0961 |   |
| Class D***                               |       | $           | (0.2186     | )           | $          | 0.2716     |       | $ | (0.0447 | ) |
| Class I****                              |       | $           | (0.2848     | )           | $          | 0.3109     |       | $ | 0.0609 |   |
| Class DS*****                            |       | $           | (0.2948     | )           | $          | 0.4174     |       | $ | 0.2973 |   |
| Class DT******                           |       | $           | (0.2521     | )           | $          | 0.4089     |       | $ | 0.1722 |   |

 

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*Class A commencedon September 1, 2007.

**Class C commencedon July 1, 2007.

***Class D commencedon November 1, 2007.

****Class Icommenced on October 1, 2007.

*****Class DS waspreviously known as Class D-SM and commenced on April 2, 2007.

******Class DT waspreviously known as Class D-TF and commenced on June 1, 2007.

 

See notes to financialstatements.

 

4

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ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE YEARS ENDED DECEMBER 31, 2009, 2008 AND FOR THE PERIOD APRIL 2,2007

(COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2007 (IN UNITS)

 
| ** **                 | ** ** | **Initial Offering** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital  December 31, 2007** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital  December 31, 2008** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital  December 31, 2009** | ** ** |
|----------------------------|------------|---------------------------|------------|-------------------|------------|-----------------|------------|-------------------------------------------------------------|------------|-------------------|------------|-----------------|------------|-------------------------------------------------------------|------------|-------------------|------------|-----------------|------------|-------------------------------------------------------------|------------|
| Class A*              |       | —                    |       | 107,731           |       | —          |       | 107,731                                                     |       | 961,358           |       | (131,633        | )          | 937,456                                                     |       | 1,476,622         |       | (142,255        | )          | 2,271,823                                                   |       |
| Class C**             |       | —                    |       | 821,211           |       | (68,985         | )          | 752,226                                                     |       | 10,739,116        |       | (1,092,947      | )          | 10,398,395                                                  |       | 6,948,101         |       | (2,863,733      | )          | 14,482,763                                                  |       |
| Class D***            |       | —                    |       | 1,548,637         |       | (798,637        | )          | 750,000                                                     |       | 2,794,704         |       | (2,565,789      | )          | 978,915                                                     |       | 2,000,000         |       | (978,915        | )          | 2,000,000                                                   |       |
| Class I****           |       | —                    |       | 590,000           |       | —          |       | 590,000                                                     |       | 203,514           |       | (13,367         | )          | 780,147                                                     |       | 1,335,257         |       | (1,613,404      | )          | 502,000                                                     |       |
| Class DS*****         |       | 12,000,000                |       | 2,810,880         |       | (1,044,151      | )          | 13,766,729                                                  |       | 56,371,806        |       | (2,852,864      | )          | 67,285,671                                                  |       | 41,935,733        |       | —          |       | 109,221,404                                                 |       |
| Class DT******        |       | —                    |       | 105,166,376       |       | (33,452,947     | )          | 71,713,429                                                  |       | 1,498,340         |       | (21,790,239     | )          | 51,421,530                                                  |       | 872,634           |       | (8,966,222      | )          | 43,327,942                                                  |       |
|                       |       |                      |       |              |       |            |       |                                                        |       |              |       |            |       |                                                        |       |              |       |            |       |                                                        |       |
| Total  Members’ Units |       | 12,000,000                |       | 111,044,835       |       | (35,364,720     | )          | 87,680,115                                                  |       | 72,568,838        |       | (28,446,839     | )          | 131,802,114                                                 |       | 54,568,347        |       | (14,564,529     | )          | 171,805,932                                                 |       |

 

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*Class A commencedon September 1, 2007.

**Class C commencedon July 1, 2007.

***Class D commencedon November 1, 2007.

****Class Icommenced on October 1, 2007.

*****Class DS waspreviously known as Class D-SM and commenced on April 2, 2007.

******Class DT waspreviously known as Class D-TF and commenced on June 1, 2007.

 

See notes to financialstatements.

 

5

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ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE YEARS ENDED DECEMBER 31, 2009, 2008 AND FOR THE PERIOD APRIL 2,2007 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2007

 
|   |   | **Initial Offering** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net Income  (Loss)** | ** ** | **Members’ Capital  December 31, 2007** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net Income  (Loss)** | ** ** | **Members’ Capital  December 31, 2008** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net Income  (Loss)** | ** ** | **Members’ Capital  December 31, 2009** | ** ** |
|--------|--------|---------------------------|------------|-------------------|------------|-----------------|------------|-----------------------------|------------|-------------------------------------------------------------|------------|-------------------|------------|-----------------|------------|-----------------------------|------------|-------------------------------------------------------------|------------|-------------------|------------|-----------------|------------|-----------------------------|------------|-------------------------------------------------------------|------------|
|   |   |                      |       |              |       |            |       |                        |       |                                                        |       |              |       |            |       |                        |       |                                                        |       |              |       |            |       |                        |       |                                                        |       |
| Class A*               |       | $          | —     |        | $          | 120,107     |       | $          | —      |       | $          | (1,623     | )          | $           | 118,484     |       | $          | 1,151,996   |       | $          | (166,535    | )           | $          | 193,721     |       | $           | 1,297,666   |   | $ | 1,957,694  |   | $ | (174,096    | ) | $ | (482,333    | ) | $ | 2,598,931   |   |
|-----------------------------|------------|------------|------------|-------------|------------|-------------|------------|------------|-------------|------------|------------|------------|------------|-------------|-------------|------------|------------|-------------|------------|------------|-------------|-------------|------------|-------------|------------|-------------|-------------|--------|---|------------|--------|---|-------------|---|---|-------------|---|---|-------------|--------|
| Class C**              |       | —     |       | 810,690     |       | (71,378     | )          | 58,667     |        | 797,979    |       | 12,097,536 |       | (1,345,352  | )           | 2,184,634  |       | 13,734,797  |       | 8,754,398  |        | (3,506,260  | )          | (3,331,361  | )          | 15,651,574  |        |
| Class D***             |       | —     |       | 1,500,000   |       | (747,045    | )          | (51,379    | )           | 701,576    |       | 2,724,999  |       | (2,699,332  | )           | 477,767    |       | 1,205,010   |       | 2,000,000  |        | (1,133,727  | )          | (251,902    | )          | 1,819,381   |        |
| Class I****            |       | —     |       | 590,000     |       | —      |       | 35,944     |        | 625,944    |       | 231,056    |       | (16,232     | )           | 228,547    |       | 1,069,315   |       | 1,768,505  |        | (1,994,556  | )          | (272,480    | )          | 570,784     |        |
| Class DS*****          |       | 12,000,000 |       | 3,599,514   |       | (1,225,985  | )          | 3,553,619  |        | 17,927,148 |       | 81,391,656 |       | (4,000,000  | )           | 16,445,572 |       | 111,764,376 |       | 66,276,040 |        | —      |       | (25,829,034 | )          | 152,211,382 |        |
| Class DT******         |       |       |       | 116,913,460 |       | (39,979,192 | )          | 15,550,879 |        | 92,485,147 |       | 2,130,197  |       | (32,310,691 | )           | 25,959,307 |       | 88,263,960  |       | 1,392,375  |        | (14,971,045 | )          | (11,636,656 | )          | 63,048,634  |        |
| ** **                  | ** ** | ** ** | ** ** | ** **  | ** ** | ** **  | ** ** | ** ** | ** **  | ** ** | ** ** | ** ** | ** ** | ** **  | ** **  | ** ** | ** ** | ** **  | ** ** | ** ** | ** **  | ** **  | ** ** | ** **  | ** ** | ** **  | ** **  |
| Total Members’ Capital |       | $          | 12,000,000 |        | $          | 123,533,771 |       | $          | (42,023,600 | )          | $          | 19,146,107 |       | $           | 112,656,278 |       | $          | 99,727,440  |       | $          | (40,538,142 | )           | $          | 45,489,548  |       | $           | 217,335,124 |   | $ | 82,149,012 |   | $ | (21,779,684 | ) | $ | (41,803,766 | ) | $ | 235,900,686 |   |

 

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*Class A commencedon September 1, 2007.

**Class C commencedon July 1, 2007.

***Class D commencedon November 1, 2007.

****Class Icommenced on October 1, 2007.

*****Class DS waspreviously known as Class D-SM and commenced on April 2, 2007.

******Class DT waspreviously known as Class D-TF and commenced on June 1, 2007.

 

See notes to financialstatements.

 

6

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ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

FINANCIAL DATA HIGHLIGHTS

FOR THE YEAR ENDED DECEMBER 31, 2009

 

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

 
| ** **                                                       | ** ** | **Class A** | ** ** | **Class C** | ** ** | **Class D** | ** ** | **Class I** | ** ** | **Class DS (a)** | ** ** | **Class DT (a)** | ** ** |
|------------------------------------------------------------------|------------|------------------|------------|------------------|------------|------------------|------------|------------------|------------|-----------------------|------------|-----------------------|------------|
|                                                             |       |             |       |             |       |             |       |             |       |                  |       |                  |       |
| **Per Unit Operating Performance:**                              |       |             |       |             |       |             |       |             |       |                  |       |                  |       |
|                                                             |       |             |       |             |       |             |       |             |       |                  |       |                  |       |
| Net  asset value, beginning of year                              |       | $                | 1.3842     |             | $          | 1.3209           |       | $                | 1.2310     |                  | $          | 1.3707                |       | $ | 1.6610 |   | $ | 1.7165 |   |
|                                                             |       |             |       |             |       |             |       |             |       |                  |       |                  |       |
| Net  realized and net change in unrealized trading profit (loss) |       | (0.1849          | )          | (0.1752          | )          | (0.1347          | )          | (0.1835          | )          | (0.2242               | )          | (0.2333               | )          |
| Brokerage  commissions                                           |       | (0.0066          | )          | (0.0063          | )          | (0.0052          | )          | (0.0066          | )          | (0.0080               | )          | (0.0083               | )          |
| Interest  income                                                 |       | 0.0001           |       | 0.0001           |       | 0.0001           |       | 0.0001           |       | 0.0001                |       | 0.0001                |       |
| Expenses                                                         |       | (0.0488          | )          | (0.0588          | )          | (0.1815          | )          | (0.0438          | )          | (0.0353               | )          | (0.0199               | )          |
|                                                             |       |             |       |             |       |             |       |             |       |                  |       |                  |       |
| Net  asset value, end of year                                    |       | $                | 1.1440     |             | $          | 1.0807           |       | $                | 0.9097     |                  | $          | 1.1369                |       | $ | 1.3936 |   | $ | 1.4551 |   |
|                                                             |       |             |       |             |       |             |       |             |       |                  |       |                  |       |
| **Total Return: (b)**                                            |       |             |       |             |       |             |       |             |       |                  |       |                  |       |
|                                                             |       |             |       |             |       |             |       |             |       |                  |       |                  |       |
| Total  return before Performance fees                            |       | -17.36           | %          | -18.18           | %          | -14.43           | %          | -17.02           | %          | -16.11                | %          | -15.26                | %          |
| Performance  fees                                                |       | -0.01            | %          | -0.01            | %          | 0.00             | %          | -0.05            | %          | 0.00                  | %          | 0.00                  | %          |
| Total  return after Performance fees                             |       | -17.37           | %          | -18.19           | %          | -14.43           | %          | -17.07           | %          | -16.11                | %          | -15.26                | %          |
|                                                             |       |             |       |             |       |             |       |             |       |                  |       |                  |       |
| **Ratios to Average Members’ Capital:**                     |       |             |       |             |       |             |       |             |       |                  |       |                  |       |
|                                                             |       |             |       |             |       |             |       |             |       |                  |       |                  |       |
| Expenses  (excluding Performance fees)                           |       | 3.74             | %          | 4.73             | %          | 2.05             | %          | 3.34             | %          | 2.24                  | %          | 1.25                  | %          |
| Performance  fees                                                |       | 0.01             | %          | 0.01             | %          | 0.00             | %          | 0.05             | %          | 0.00                  | %          | -0.01                 | %          |
| Expenses  (including Performance fees)                           |       | 3.75             | %          | 4.74             | %          | 2.05             | %          | 3.39             | %          | 2.24                  | %          | 1.24                  | %          |
|                                                             |       |             |       |             |       |             |       |             |       |                  |       |                  |       |
| Net  investment income (loss)                                    |       | -3.73            | %          | -4.73            | %          | -2.05            | %          | -3.38            | %          | -2.24                 | %          | -1.23                 | %          |

 

----

(a) Class DSand DT were previously known as Class D-SM and Class D-TF,respectively.

 

(b) The total returncalculations are based on compounded monthly returns and is calculated for eachclass taken as a whole.

 

An individualmembers’ return may vary from these returns based on timing of capitaltransactions.

 

See notes to financial statements.

 

7

----

 

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

FINANCIAL DATA HIGHLIGHTS

FOR THE YEAR ENDED DECEMBER 31, 2008

 

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

 
| ** **                                                       | ** ** | **Class A** | ** ** | **Class C** | ** ** | **Class D** | ** ** | **Class I** | ** ** | **Class DS (a)** | ** ** | **Class DT (a)** | ** ** |
|------------------------------------------------------------------|------------|------------------|------------|------------------|------------|------------------|------------|------------------|------------|-----------------------|------------|-----------------------|------------|
|                                                             |       |             |       |             |       |             |       |             |       |                  |       |                  |       |
| **Per Unit Operating Performance:**                              |       |             |       |             |       |             |       |             |       |                  |       |                  |       |
|                                                             |       |             |       |             |       |             |       |             |       |                  |       |                  |       |
| Net  asset value, beginning of year                              |       | $                | 1.0998     |             | $          | 1.0608           |       | $                | 0.9354     |                  | $          | 1.0609                |       | $ | 1.3022 |   | $ | 1.2896 |   |
|                                                             |       |             |       |             |       |             |       |             |       |                  |       |                  |       |
| Net  realized and net change in unrealized trading profit (loss) |       | 0.4412           |       | 0.4233           |       | 0.3864           |       | 0.4338           |       | 0.5275                |       | 0.5367                |       |
| Brokerage  commissions                                           |       | (0.0048          | )          | (0.0046          | )          | (0.0042          | )          | (0.0047          | )          | (0.0058               | )          | (0.0058               | )          |
| Interest  income                                                 |       | 0.0198           |       | 0.0190           |       | 0.0172           |       | 0.0194           |       | 0.0237                |       | 0.0238                |       |
| Expenses                                                         |       | (0.1718          | )          | (0.1776          | )          | (0.1038          | )          | (0.1387          | )          | (0.1866               | )          | (0.1278               | )          |
|                                                             |       |             |       |             |       |             |       |             |       |                  |       |                  |       |
| Net  asset value, end of year                                    |       | $                | 1.3842     |             | $          | 1.3209           |       | $                | 1.2310     |                  | $          | 1.3707                |       | $ | 1.6610 |   | $ | 1.7165 |   |
|                                                             |       |             |       |             |       |             |       |             |       |                  |       |                  |       |
| **Total Return: (b)**                                            |       |             |       |             |       |             |       |             |       |                  |       |                  |       |
|                                                             |       |             |       |             |       |             |       |             |       |                  |       |                  |       |
| Total  return before Performance fees                            |       | 38.77            | %          | 37.45            | %          | 41.02            | %          | 39.45            | %          | 40.89                 | %          | 42.47                 | %          |
| Performance  fees                                                |       | -9.96            | %          | -10.04           | %          | -7.25            | %          | -7.94            | %          | -10.11                | %          | -7.16                 | %          |
| Total  return after Performance fees                             |       | 25.83            | %          | 24.48            | %          | 31.59            | %          | 29.19            | %          | 27.54                 | %          | 33.10                 | %          |
|                                                             |       |             |       |             |       |             |       |             |       |                  |       |                  |       |
| **Ratios to Average Members’ Capital:**                     |       |             |       |             |       |             |       |             |       |                  |       |                  |       |
|                                                             |       |             |       |             |       |             |       |             |       |                  |       |                  |       |
| Expenses  (excluding Performance fees)                           |       | 3.96             | %          | 4.97             | %          | 2.43             | %          | 3.55             | %          | 2.43                  | %          | 1.39                  | %          |
| Performance  fees                                                |       | 10.13            | %          | 10.24            | %          | 7.21             | %          | 7.95             | %          | 10.30                 | %          | 7.11                  | %          |
| Expenses  (including Performance fees)                           |       | 14.09            | %          | 15.21            | %          | 9.64             | %          | 11.50            | %          | 12.73                 | %          | 8.50                  | %          |
|                                                             |       |             |       |             |       |             |       |             |       |                  |       |                  |       |
| Net  investment income (loss)                                    |       | -12.39           | %          | -13.51           | %          | -7.95            | %          | -9.79            | %          | -11.03                | %          | -6.79                 | %          |

 

----

(a) Class DSand DT were previously known as Class D-SM and Class D-TF, respectively.

 

(b) The total returncalculations are based on compounded monthly returns and is calculated for eachclass taken as a whole.

 

An individualmembers’ return may vary from these returns based on timing of capitaltransactions.

 

See notes tofinancial statements.

 

8

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ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

FINANCIAL DATA HIGHLIGHTS

FOR THE PERIOD APRIL 2, 2007 (COMMENCEMENT OF OPERATIONS)

TO DECEMBER 31, 2007

 

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

 
| ** **                                                       | ** ** | **Class A** | ** ** | **Class C** | ** ** | **Class D** | ** ** | **Class I** | ** ** | **Class DS (d)** | ** ** | **Class DT (d)** | ** ** |
|------------------------------------------------------------------|------------|------------------|------------|------------------|------------|------------------|------------|------------------|------------|-----------------------|------------|-----------------------|------------|
|                                                             |       |             |       |             |       |             |       |             |       |                  |       |                  |       |
| **Per Unit Operating Performance:**                              |       |             |       |             |       |             |       |             |       |                  |       |                  |       |
|                                                             |       |             |       |             |       |             |       |             |       |                  |       |                  |       |
| Net  asset value, beginning of period                            |       | $                | 1.0000     |             | $          | 1.0000           |       | $                | 1.0000     |                  | $          | 1.0000                |       | $ | 1.0000 |   | $ | 1.1117 |   |
|                                                             |       |             |       |             |       |             |       |             |       |                  |       |                  |       |
| Net  realized and net change in unrealized trading profit (loss) |       | 0.2254           |       | 0.1277           |       | (0.0149          | )          | 0.1061           |       | 0.3563                |       | 0.2073                |       |
| Brokerage  commissions (c)                                       |       | (0.0024          | )          | (0.0031          | )          | (0.0010          | )          | (0.0016          | )          | (0.0115               | )          | (0.0049               | )          |
| Interest  income (c)                                             |       | 0.0165           |       | 0.0210           |       | 0.0070           |       | 0.0116           |       | 0.0452                |       | 0.0321                |       |
| Expenses  (c)                                                    |       | (0.1397          | )          | (0.0848          | )          | (0.0557          | )          | (0.0552          | )          | (0.0878               | )          | (0.0566               | )          |
|                                                             |       |             |       |             |       |             |       |             |       |                  |       |                  |       |
| Net  asset value, end of period                                  |       | $                | 1.0998     |             | $          | 1.0608           |       | $                | 0.9354     |                  | $          | 1.0609                |       | $ | 1.3022 |   | $ | 1.2896 |   |
|                                                             |       |             |       |             |       |             |       |             |       |                  |       |                  |       |
| **Total Return:** (b)                                            |       |             |       |             |       |             |       |             |       |                  |       |                  |       |
|                                                             |       |             |       |             |       |             |       |             |       |                  |       |                  |       |
| Total  return before Performance fees                            |       | 21.36            | %          | 11.79            | %          | -0.64            | %          | 10.71            | %          | 37.24                 | %          | 20.48                 | %          |
| Performance  fees                                                |       | -9.85            | %          | -5.56            | %          | -5.80            | %          | -4.67            | %          | -5.79                 | %          | -4.33                 | %          |
| Total  return after Performance fees                             |       | 9.93             | %          | 6.08             | %          | -6.46            | %          | 6.10             | %          | 30.22                 | %          | 16.01                 | %          |
|                                                             |       |             |       |             |       |             |       |             |       |                  |       |                  |       |
| **Ratios to Average Net Assets:**(a)                             |       |             |       |             |       |             |       |             |       |                  |       |                  |       |
|                                                             |       |             |       |             |       |             |       |             |       |                  |       |                  |       |
| Expenses  (excluding Performance fees)                           |       | 4.48             | %          | 5.06             | %          | 3.32             | %          | 3.36             | %          | 2.39                  | %          | 1.24                  | %          |
| Performance  fees                                                |       | 40.41            | %          | 12.77            | %          | 50.19            | %          | 17.81            | %          | 7.63                  | %          | 7.18                  | %          |
| Expenses  (including Performance fees)                           |       | 44.89            | %          | 17.83            | %          | 53.51            | %          | 21.17            | %          | 10.02                 | %          | 8.42                  | %          |
|                                                             |       |             |       |             |       |             |       |             |       |                  |       |                  |       |
| Net  investment income (loss)                                    |       | -39.59           | %          | -13.40           | %          | -46.79           | %          | -16.71           | %          | -4.86                 | %          | -3.65                 | %          |

 

----

(a) The ratios havebeen annualized.

 

(b) The total returncalculations are based on compounded monthly returns and is calculated for eachclass taken as a whole.

 

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

 

(c) Per Unit data iscalculated using weighted average Units outstanding during the period.

 

(d) Class DSand DT were previously known as Class D-SM and Class D-TF,respectively.

 

See notes to financialstatements.

 

9

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ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

NOTES TO FINANCIAL STATEMENTS

 

1.       SUMMARY OF SIGNIFICANTACCOUNTING POLICIES

 

Organization

 

MLTranstrend DTP Enhanced FuturesAccess LLC (the “Fund”), a Merrill LynchFuturesAccess Program (the “Program”) fund, was organized under the DelawareLimited Liability Company Act on March 8, 2007 and commenced tradingactivities on April 2, 2007. The Fund engages in the speculative tradingof commodity futures contracts, options on futures and forward contracts on awide range of commodities. Transtrend B.V. (“Transtrend”) is the tradingadvisor of the Fund.

 

MerrillLynch Alternative Investments LLC (“MLAI” or the “Sponsor”) is the Sponsor ofthe Fund. MLAI is an indirect wholly-owned subsidiary of Merrill Lynch &Co., Inc. (“Merrill Lynch”). Merrill Lynch, Pierce, Fenner &Smith Incorporated (“MLPF&S”), a wholly-owned subsidiary of Merrill Lynch,is the Fund’s commodity broker. On September 15, 2008, Merrill Lynchentered into an Agreement and Plan of Merger (as amended by Amendment No. 1dated as of October 21, 2008, the “Merger Agreement”) with Bank of AmericaCorporation (“Bank of America”). Pursuant to the Merger Agreement, on January 1,2009, a wholly-owned subsidiary of Bank of America merged with and into MerrillLynch, with Merrill Lynch continuing as the surviving corporation and asubsidiary of Bank of America.

 

TheProgram is a group of commodity pools sponsored by MLAI (each pool is a “ProgramFund” or collectively, “Program Funds”) each of which places substantially allof its assets in a managed futures or forward trading account managed by asingle or multiple commodity trading advisors. Each Program Fund is generallysimilar in terms of fees, Classes of Units and redemption rights.  Each of the Program Funds implements adifferent trading strategy.

 

TheFund offers six Classes of Units:  Class A,Class C, Class D, Class DS, Class DT and Class I.  Each Class of Units, except for Class DToffered at $1.1117, was offered at $1.00 per Unit during the initial offeringperiod and subsequently is offered at Net Asset Value per Unit (see Note6).  The six Classes of Units are subjectto different sponsor fees.

 

Interestsin the Fund are not insured or otherwise protected by the Federal DepositInsurance 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.

 

Estimates

 

The preparation of financial statements in conformity with accountingprinciples generally accepted in the United States of America (“U.S. GAAP”)requires management to make estimates and assumptions that affect the reportedamounts of assets and liabilities and disclosure of contingent assets andliabilities at the date of the financial statements and the reported amounts ofrevenues and expenses during the reporting period.  Actual results could differ from thoseestimates. Certain prior year itemshave been reclassified to conform to the current year presentation.

 

10

----

 

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.

 

ForeignCurrency Transactions

 

The Fund’s functionalcurrency is the U.S. dollar; however, it transacts business in U.S. dollars andin currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S.dollar are translated into U.S. dollars at the rates in effect at the date ofthe Statements of Financial Condition. Income and expense items denominated in currencies other than the U.S.dollar are translated into U.S. dollars at the rates in effect during the year.  Profit and losses resulting from thetranslation to U.S. dollars are included in Trading Profit(loss) in theStatements 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.

 

Cashat Broker/Equity in Commodity Futures Trading Accounts

 

Aportion of the assets maintained at MLPF&S is restricted cash required tomeet maintenance margin requirements.

 

OperatingExpenses, Offering Costs and Selling Commissions

 

The Fund pays for all routine operating costs (including ongoingoffering costs, administration, custody, transfer, exchange and redemptionprocessing, legal, regulatory filing, tax, audit, escrow, accounting andprinting fees 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 0.50%.  The rate assessed to a given subscription isbased upon the subscription amount. Sales commissions are directly deducted from subscription amounts.  Class C, Class DS and Class DTUnits are not subject to any sales commissions.

 

11

----

 

Income Taxes

 

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

 

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

 

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 period ended 2007.

 

Subscriptions

 

Units are offered as of the close of business at the end of each month.Units are purchased as of the first business day of any month at Net AssetValue (see Note 6), but the subscription request must be submitted at leastthree calendar days before the end of the preceding month.  Subscriptions submitted less than three daysbefore the end of a month will be applied to Units subscriptions as of thebeginning of the second month after receipt, unless revoked 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”).

 

Aninvestor 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.

 

12

----

 

Dissolution of the Fund

 

TheFund may terminate if certain circumstances occur as set forth in the privateplacement memorandum, which include but are not limited to the following:

 

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

(b)       Any event which wouldmake unlawful the continued existence of this Fund.

(c)        Determination by MLAIto liquidate or withdraw from the Fund.

 

13

----

 

2.               CONDENSED SCHEDULE OFINVESTMENTS

 

TheFund’s investments, defined as Net unrealized profit on open contracts in theStatements of   Financial Condition, asof December 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                 |       | 675                     |       | $                        | 512,058    |                           | 0.22       | %                  | (292       | )                      | $          | (132,212 | ) | -0.06 | % | $ | 379,846 |   | 0.16 | % | February 10 -  December 10 |   |
| Currencies                  |       | 1,308                   |       | (670,422                 | )          | -0.28                          | %          | (854               | )          | 1,521,277              |       | 0.64 | % | 850,855 |   | 0.36 | % | April 10 |   |
| Energy                      |       | 494                     |       | (135,491                 | )          | -0.06                          | %          | (67                | )          | (277,177               | )          | -0.12 | % | (412,668 | ) | -0.18 | % | February 10 -  December 10 |   |
| Interest  rates             |       | 4,183                   |       | (1,938,988               | )          | -0.82                          | %          | (1,837             | )          | 429,159                |       | 0.18 | % | (1,509,829 | ) | -0.64 | % | March 10 -  December 12 |   |
| Metals                      |       | 759                     |       | 3,324,393                |       | 1.41                           | %          | (376               | )          | (3,024,951             | )          | -1.28 | % | 299,442 |   | 0.13 | % | January 10 -  April 10 |   |
| Stock  indices              |       | 2,214                   |       | 1,538,851                |       | 0.65                           | %          | —             |       | —                 |       | 0.00 | % | 1,538,851 |   | 0.65 | % | January 10 -  March 10 |   |
|                        |       |                    |       |                     |       |                           |       |               |       |                   |       |   |   |   |   |   |   |   |   |
| Total                       |       |                    |       | $                        | 2,630,401  |                           | 1.12       | %                  |       |                   | $          | (1,483,904 | ) | -0.63 | % | $ | 1,146,497 |   | 0.49 | % |   |   |

 

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                 |       | 90                      |       | $                        | 151,485    |                           | 0.07       | %                  | (476       | )                      | $          | (432,610 | ) | -0.20 | % | $ | (281,125 | ) | -0.13 | % | February 09 -  December 09 |   |
| Currencies                  |       | 126                     |       | 618,638                  |       | 0.28                           | %          | (192               | )          | (185,546               | )          | -0.09 | % | 433,092 |   | 0.19 | % | March 09 |   |
| Energy                      |       | —                  |       | —                   |       | 0.00                           | %          | (328               | )          | 489,104                |       | 0.23 | % | 489,104 |   | 0.23 | % | February 09 -  December 09 |   |
| Interest  rates             |       | 4,057                   |       | 4,178,934                |       | 1.92                           | %          | (1,398             | )          | (913,221               | )          | -0.42 | % | 3,265,713 |   | 1.50 | % | March 09 -  December 11 |   |
| Metals                      |       | 305                     |       | (3,140,161               | )          | -1.44                          | %          | (450               | )          | 6,168,912              |       | 2.84 | % | 3,028,751 |   | 1.40 | % | January 09 -  May 09 |   |
| Stock  indices              |       | —                  |       | —                   |       | 0.00                           | %          | (410               | )          | (195,006               | )          | -0.09 | % | (195,006 | ) | -0.09 | % | January 09 -  March 09 |   |
|                        |       |                    |       |                     |       |                           |       |               |       |                   |       |   |   |   |   |   |   |   |   |
| Total                       |       |                    |       | $                        | 1,808,896  |                           | 0.83       | %                  |       |                   | $          | 4,931,633 |   | 2.27 | % | $ | 6,740,529 |   | 3.10 | % |   |   |

 

No individual contract’s unrealized profit orloss comprised greater than 5% of the Members’ Capital as of December 31,2009 and 2008.

 

14

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3.     FAIR VALUE OF INVESTMENTS

 

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

 

Fair value of an investmentis the amount that would be received to sell the investment in an orderlytransaction between market participants at the measurement date (i.e. the exitprice). All investments (including derivative financialinstruments and derivative commodity instruments) are held for tradingpurposes.  The investments are recordedon trade date and open contracts are recorded at fair value (described below)at the measurement date. Investments denominated in foreign currencies aretranslated into U.S. dollars at the exchange rates prevailing at themeasurement date.  Gains or losses arerealized when contracts are liquidated. Unrealized gains or losses on open contracts are included in Equity incommodity futures trading account.  Anychange in net unrealized gain or loss from the preceding year is reported inthe Statements of Operations.

 

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 inthis category 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.

 

In certain cases, the inputs used to measure fair value may fall intodifferent levels of the fair value hierarchy. In such cases, an investment’slevel within the fair value hierarchy is based on the lowest level of inputthat is significant to the Fair Value Measurement. MLAI’s assessment of thesignificance of a 

 

15

----

 

particular input to the Fair Value Measurement in its entirety requiresjudgment, and considers factors specific to the investment.

 

Following is a descriptionof the valuation methodologies used for investments, as well as the generalclassification of such investments pursuant to the valuation hierarchy.

 

Exchange traded investmentsare fair valued by the Fund by using the reported closing price on the primaryexchange where it trades such investments. These closing prices are observed through the clearing broker and thirdparty pricing services. For non-exchange traded investments, quoted values andother data provided by nationally recognized independent pricing sources areused as inputs into its process for determining fair values.

 

The independent pricingsources obtain market quotations and actual transaction prices for securitiesthat have quoted prices in active markets. Each source has its own proprietarymethod for determining the fair value of securities that are not activelytraded. In general, these methods involve the use of “matrix pricing” in whichthe independent pricing source uses observable market inputs including, but notlimited to, investment yields, credit risks and spreads, benchmarking of likesecurities, broker-dealer quotes, reported trades and sector groupings todetermine a reasonable fair market value.

 

The Fund has determined thatLevel I securities would include all of its futures and options contracts whereit believes that quoted prices are available in an active market.

 

Where the Fund believes thatquoted market prices are not available or that the market is not active, fairvalues are estimated by using quoted prices of securities with similarcharacteristics, pricing models or matrix pricing and these are generallyclassified as Level II securities. The Fund determined that Level II securitieswould include its forward 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                     |       | $                             | 2,630,401  |                           | $          | (1,483,904 | )          | $ | 1,146,497 |   |
| Forwards                    |       | —                        |       | —                         |       | —     |       |
| Total                       |       | $                             | 2,630,401  |                           | $          | (1,483,904 | )          | $ | 1,146,497 |   |

 
| **December 31,  2008** | ** ** | **Unrealized Long Positions** | ** ** | **Unrealized Short Positions** | ** ** | **Total** | ** ** |
|-----------------------------|------------|-------------------------------|------------|--------------------------------|------------|-----------|------------|
| Futures                     |       | $                             | 1,808,896  |                           | $          | 4,931,633 |       | $ | 6,740,529 |   |
| Forwards                    |       | —                        |       | —                         |       | —    |       |
| Total                       |       | $                             | 1,808,896  |                           | $          | 4,931,633 |       | $ | 6,740,529 |   |

 

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

 

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The following table summarizes the valuation of the Fund’s investmentsby 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 |       | $          | 1,146,497  |        | $          | 617,693      |       | $             | 528,804    |   | $ | — |   |
| December 31, 2008 |       | $          | 6,740,529  |        | $          | 6,740,529    |       | $             | —     |   | $ | — |   |

 

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 ofOperations, respectively. There are no credit related contingent featuresembedded in these derivative 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                    |       | $                            | (1,089,234  | ) |
| Currencies                     |       | (2,785,506                   | )           |
| Energy                         |       | (22,155,899                  | )           |
| Interest rates                 |       | (13,716,230                  | )           |
| Metals                         |       | 1,294,047                    |        |
| Stock indices                  |       | 2,771,674                    |        |
|                           |       |                         |        |
| Total                          |       | $                            | (35,681,148 | ) |

 

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TheFund is subject to the risk of insolvency of a counterparty, an exchange, aclearinghouse or MLPF&S.  Fund assetscould be lost or impounded during lengthy bankruptcy proceedings.  Were a substantial portion of the Fund’scapital tied up in a bankruptcy or similar types of proceedings, MLAI mightsuspend or limit trading, perhaps causing the Fund to miss significant profitopportunities.  There are increased risksin dealing with unregulated trading counterparties including the risk thatassets may not benefit from the protection afforded to “customer funds”deposited with regulated dealers and brokers.

 

4.     RELATED PARTY TRANSACTIONS

 

The Fund’s U.S. dollar assets are maintained at MLPF&S. On assetsheld in U.S. dollars, Merrill Lynch credits the Fund with interest at the mostfavorable rate payable by MLPF&S to accounts of Merrill Lynch affiliatesbut not less than 75% of such prevailing rate. The Fund is credited with interest on any of its assets and net profitsactually held by MLPF&S non-U.S. dollar currencies at a prevailing localrate received by Merrill Lynch.  MerrillLynch may derive certain economic benefit, in excess of the interest whichMerrill Lynch pays to the Fund, from possession of such assets.

 

Merrill Lynch charges the Fund at prevailing local interest rates forfinancing realized and unrealized losses on the Fund’s non-U.S.dollar-denominated positions. Such amounts are netted against interest incomedue to the insignificance of such amounts.

 

TheFund charges Sponsor fees on the month-end net assets after all other chargesat annual rates equal to 1.50% for Class A, 2.50% for Class C, and1.10% on Class I.  Class D, DS,and DT are not charged a Sponsor Fee.  Sponsor fees are paid to MLAI.

 

The fund pays brokerage commissions on actual cost per round turn.  The average round-turn commission rate chargedto the Fund for the years ended December 31, 2009, 2008 and for the periodApril 2, 2007 (commencement of operations) to December 31, 2007 wasapproximately $9.58, $10.37 and $9.57, respectively (not including, incalculating 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.

 

TheFund holds cash at an unaffiliated bank which invests such cash in a money marketfund which is managed by BlackRock, a related party to MLAI.  The Cash andcash equivalents as seen on the Statements of Financial Condition is the amountheld by the related party.

 

5.     ADVISORYAGREEMENT

 

TheFund and Transtrend have entered into an Advisory Agreement. This agreementshall continue in effect until December 31, 2016.  Thereafter, this agreement shall beautomatically renewed for successive one-year periods, on the same terms,unless terminated at any time by either Transtrend or the Fund upon 90 days’written notice to the other party. Transtrend determines the commodity futures,options on futures and forward contract trades to be made on behalf of theirrespective Fund accounts, subject to certain trading policies and to certainrights reserved by MLAI.

 

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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 Transtrend on a monthly basis.Management Fees are 2.0% for all classes except for Class DT which chargesa 1.0% Fee.  Transtrend pays MLAI 50% ofthe management fees on all classes except Class DT in return forsponsoring and providing ongoing administration and operational support to theFund.

 

Performancefees are charged by the Fund on any New Trading Profit, as defined in theprivate placement memorandum, and are payable to Transtrend as of either theend of each 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 25% performancefee for all classes.

 

6.     NET ASSET VALUEPER 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        |   | $ | 1.1440 |   |
| Class C        |   | 1.0807 |   |
| Class D        |   | 0.9097 |   |
| Class I        |   | 1.1369 |   |
| Class DS       |   | 1.3936 |   |
| Class DT       |   | 1.4551 |   |
|                     |        |  |  |  |

 

December 31, 2008

 
| **Net Asset Value** | ** ** |
|---------------------|------------|
| Class A        |       | $ | 1.3842 |   |
| Class C        |       | 1.3209 |   |
| Class D        |       | 1.2310 |   |
| Class I        |       | 1.3707 |   |
| Class DS       |       | 1.6610 |   |
| Class DT       |       | 1.7165 |   |
|                     |            |  |  |  |

 

7.     WEIGHTED AVERAGE UNITS

 

The weightedaverage number of Units outstanding for each Class is computed forpurposes of calculating net income per weighted average Unit.  The weighted average number of Unitsoutstanding for each Class for the years ended December 31, 2009,2008 and for the period ended December 31, 2007 equals the Unitsoutstanding as of such date, adjusted proportionately for Units sold orredeemed based on the respective length of time each was outstanding during theyear.

 

8.     RECENT ACCOUNTING PRONOUNCEMENTS

 

In July 2009, theFinancial 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 newCodification.

 

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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.

 

In September 2009, the FASB issued *AccountingStandards Update No. 2009-12, Investments in Certain Entities That Calculate Net Asset Value perShare (or Its Equivalent) (the “ASU 2009-12”),*which is effective for interim or annual financial periodsending after December 15, 2009.  Theadoption of this guidance had no impact on the financial statements.

 

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

 

9.     MARKET AND CREDIT RISK

 

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

 

### Market Risk

###  

Derivative instruments involve varying degrees of market risk.  Changes in the level or volatility ofinterest rates, foreign currency exchange rates or the market values of thefinancial instruments or commodities underlying such derivative instrumentsfrequently result in changes in the Fund’s net unrealized profit(loss) on 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.

 

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MLAI has procedures in place intended tocontrol market risk exposure, although there can be no assurance that theywill, in fact, succeed in doing so. These procedures focus primarily on monitoring the trading ofTranstrend, calculating the Net Asset Value of the Fund as of the close ofbusiness on each day and reviewing outstanding positions for over-concentrations.  While MLAI does not intervene in the marketsto hedge or diversify the Fund’s market exposure, MLAI may urge Transtrend toreallocate positions in an attempt to avoid over-concentrations.  However, such interventions are expected tobe unusual.  It is expected that MLAI’sbasic risk control procedures will consist of the ongoing process of advisormonitoring, with the market risk controls being applied by Transtrend.

 

Credit Risk

 

The risks associated with exchange-traded contracts are typicallyperceived to be less than those associated with over-the-counter(non-exchange-traded) transactions, because exchanges typically provideclearinghouse arrangements in which the collective credit (in some caseslimited in amount, in some cases not) of the members of the exchange is pledgedto support the financial integrity of the exchange.  In over-the-counter transactions, on theother hand, traders must rely solely on the credit of their respectiveindividual counterparties.  Margins,which may be subject to loss in the event of a default, are generally requiredin exchange trading, and counterparties may also require margin in theover-the-counter markets.

 

The credit risk associated with these instruments from counterpartynonperformance is the Net unrealized profit (loss) on open contracts, if any,included in the Statements of Financial Condition. The Fund attempts tomitigate this risk by dealing exclusively with Merrill Lynch entities asclearing 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 EVENT

 

Management has evaluated theimpact of subsequent events on the Fund and has determined that there were nosubsequent events that require adjustments to, or disclosure in, the financialstatements.

 

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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 Transtrend DTP Enhanced FuturesAccess LLC |

 

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