**Exhibit 13.01**

 

***ML BLUETRENDFUTURESACCESS LLC***

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

 

 

*FinancialStatements as of and for the year ended December 31, 2009 and for theperiod September 1, 2008 (commencement of operations) to December 31,2008 and Report of Independent Registered Public Accounting Firms*

 

 

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ML BLUETRENDFUTURESACCESS LLC

(A DelawareLimited Liability Company)

 

TABLE OF CONTENTS

 
| ** **                                                                                                                                                                                   | **Page** |
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|----------|
|                                                                                                                                                                                         |     |
| REPORT OF INDEPENDENT  REGISTERED PUBLIC ACCOUNTING FIRMS                                                                                                                                    | 1        |
|                                                                                                                                                                                         |     |
| FINANCIAL STATEMENTS:                                                                                                                                                                        |     |
|                                                                                                                                                                                         |     |
| Statements of Financial  Condition as of December 31, 2009 and 2008                                                                                                                     | 3        |
|                                                                                                                                                                                         |     |
| Statements of  Operations for the year ended December 31, 2009  and for the period September 1, 2008 (commencement of operations) to  December 31, 2008                       | 4        |
|                                                                                                                                                                                         |     |
| Statements of Changes  in Member’s Capital for the year ended December 31, 2009  and for the period September 1, 2008 (commencement of operations) to  December 31, 2008 | 5        |
|                                                                                                                                                                                         |     |
| Financial Data  Highlights for the year ended December 31, 2009  and for the period September 1, 2008 (commencement of operations) to  December 31, 2008                      | 6        |
|                                                                                                                                                                                         |     |
| Notes to Financial  Statements                                                                                                                                                               | 8        |

 

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### **Reportof Independent Registered Public Accounting Firm**

###  

To****theMembers of

ML BlueTrendFuturesAccess LLC:

 

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

 

 

/s/PricewaterhouseCoopersLLP

 

 

March 25, 2010

 

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTINGFIRM

 

To the Member of

ML Bluetrend FuturesAccess LLC:

 

We have audited the accompanying statement offinancial condition of ML Bluetrend FuturesAccess LLC (the “Fund”), as of December 31,2008, and the related statements of operations, changes in member’s capital,and the financial data highlights for the period September 1, 2008(commencement of operations) to December 31, 2008. 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 audit.

 

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

 

In our opinion, the financial statements and financialdata highlights referred to above present fairly, in all material respects, thefinancial position of ML Bluetrend FuturesAccess LLC as of December 31,2008, the results of its operations, changes in its member’s capital, and thefinancial data highlights for the period September 1, 2008 (commencementof operations) to December 31, 2008, in conformity with accountingprinciples generally accepted in the United States of America.

 

 

 

 

March 30, 2009

 

 

2

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ML BLUETRENDFUTURESACCESS LLC

(A DelawareLimited Liability Company)

 

STATEMENTS OFFINANCIAL CONDITION

AS OF DECEMBER 31,2009 AND 2008

 
| ** **                                                                                        | ** ** | **2009**   | ** ** | **2008**   | ** ** |
|---------------------------------------------------------------------------------------------------|------------|------------|------------|------------|------------|
| **ASSETS:**                                                                                       |       |       |       |       |       |
| Equity in commodity  futures trading accounts:                                                    |       |       |       |       |       |
| Cash (including restricted cash of $11,700,317 for  2009 and $4,402,308 for 2008)                 |       | $          | 90,971,917 |       | $          | 50,865,052 |   |
| Net unrealized profit (loss) on open contracts                                                    |       | —     |       | 854,577    |       |
| Cash and cash equivalents                                                                         |       | 76,198     |       | 36,664     |       |
| Other assets                                                                                      |       | 6,080      |       | 8,952      |       |
|                                                                                              |       |       |       |       |       |
| **TOTAL ASSETS**                                                                                  |       | $          | 91,054,195 |       | $          | 51,765,245 |   |
|                                                                                              |       |       |       |       |       |
| **LIABILITIES AND MEMBERS’ CAPITAL:**                                                        |       |       |       |       |       |
| LIABILITIES:                                                                                      |       |       |       |       |       |
| Brokerage commissions payable                                                                     |       | $          | 27,169     |       | $          | 8,634 |   |
| Sponsor and Advisory fees payable                                                                 |       | 1,017,438  |       | 2,705,188  |       |
| Redemptions payable                                                                               |       | 33,400     |       | —     |       |
| Net unrealized loss on open contracts                                                             |       | 885,700    |       | —     |       |
| Other liabilities                                                                                 |       | 92,289     |       | 64,565     |       |
|                                                                                              |       |       |       |       |       |
| Total liabilities                                                                                 |       | 2,055,996  |       | 2,778,387  |       |
|                                                                                              |       |       |       |       |       |
| MEMBERS’ CAPITAL:                                                                            |       |       |       |       |       |
| Members’ Interest (74,246,182 and 40,064,174 Units  outstanding, unlimited Units authorized) |       | 88,998,199 |       | 48,986,858 |       |
| Total members’ capital                                                                       |       | 88,998,199 |       | 48,986,858 |       |
|                                                                                              |       |       |       |       |       |
| **TOTAL LIABILITIES AND MEMBERS’  CAPITAL**                                                  |       | $          | 91,054,195 |       | $          | 51,765,245 |   |

 

**NETASSET VALUE PER UNIT (SEE NOTE 6)**

 

See notes tofinancial statements.

 

3

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ML BLUETRENDFUTURESACCESS LLC

(A DelawareLimited Liability Company)

 

STATEMENTS OFOPERATIONS

FOR THE YEAR ENDEDDECEMBER 31, 2009 AND FOR THE PERIOD SEPTEMBER 1, 2008

(COMMENCEMENT OFOPERATIONS) TO DECEMBER 31, 2008

 
| ** **                                    | ** ** | **2009**   | ** ** | **2008**   | ** ** |
|-----------------------------------------------|------------|------------|------------|------------|------------|
| **TRADING PROFIT (LOSS):**                    |       |       |       |       |       |
|                                          |       |       |       |       |       |
| Realized,  net                                |       | $          | 6,853,155  |       | 10,029,274 |   |
| Change  in unrealized, net                    |       | (1,740,277 | )          | 854,577    |       |
| Brokerage  commissions                        |       | (230,560   | )          | (41,658    | )          |
|                                          |       |       |       |       |       |
| Total  trading profit (loss)                  |       | 4,882,318  |       | 10,842,193 |       |
|                                          |       |       |       |       |       |
| **INVESTMENT INCOME:**                        |       |       |       |       |       |
| Interest                                      |       | 7,933      |       | 91,446     |       |
|                                          |       |       |       |       |       |
| **EXPENSES:**                                 |       |       |       |       |       |
| Management  fee                               |       | 1,255,634  |       | 290,672    |       |
| Sponsor  fee                                  |       | 76,798     |       | —     |       |
| Performance  fee                              |       | 839,877    |       | 2,619,030  |       |
| Other                                         |       | 293,309    |       | 77,733     |       |
| Total  expenses                               |       | 2,465,618  |       | 2,987,435  |       |
|                                          |       |       |       |       |       |
| **NET INVESTMENT LOSS**                       |       | (2,457,685 | )          | (2,895,989 | )          |
|                                          |       |       |       |       |       |
| **NET INCOME (LOSS)**                         |       | $          | 2,424,633  |       | $          | 7,946,204 |   |
|                                          |       |       |       |       |       |
| **NET INCOME (LOSS) PER UNIT:**               |       |       |       |       |       |
|                                          |       |       |       |       |       |
| Weighted  average number of Units outstanding |       |       |       |       |       |
| Class  A*                                     |       | 760,146    |       | —     |       |
| Class  C*                                     |       | 5,162,237  |       | —     |       |
| Class  D*                                     |       | 4,405,587  |       | —     |       |
| Class  I*                                     |       | 2,681,473  |       | —     |       |
| Class  DS**                                   |       | 46,657,079 |       | 36,281,167 |       |
|                                          |       |       |       |       |       |
| Net  income (loss) per weighted average Unit  |       |       |       |       |       |
| Class  A*                                     |       | $          | (0.0174    | )          | $          | — |   |
| Class  C*                                     |       | $          | 0.0004     |       | $          | — |   |
| Class  D*                                     |       | $          | (0.0561    | )          | $          | — |   |
| Class  I*                                     |       | $          | 0.0270     |       | $          | — |   |
| Class  DS**                                   |       | $          | 0.0559     |       | $          | 0.2190 |   |

 

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*Units issued on August 1,2009.

**Units issued on September 1,2008.

 

See notes tofinancial statements.

 

4

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ML BLUETRENDFUTURESACCESS LLC

(A DelawareLimited Liability Company)

 

STATEMENTS OFCHANGES IN MEMBERS’ CAPITAL

FOR THE YEAR ENDEDDECEMBER 31, 2009 AND FOR THE PERIOD SEPTEMBER 1, 2008 (COMMENCEMENT OFOPERATIONS) TO DECEMBER 31, 2008

 
| ** **                | ** ** | **Initial Offering** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital  December 31, 2008** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital  December 31, 2009** | ** ** |
|---------------------------|------------|----------------------|------------|-------------------|------------|-----------------|------------|---------------------------------------------------|------------|-------------------|------------|-----------------|------------|---------------------------------------------------|------------|
|                      |       |                 |       |              |       |            |       |                                              |       |              |       |            |       |                                              |       |
| Class A*             |       | —               |       | —            |       | —          |       | —                                            |       | 1,510,078         |       | —          |       | 1,510,078                                         |       |
| Class C*             |       | —               |       | —            |       | —          |       | —                                            |       | 9,756,583         |       | (31,221         | )          | 9,725,362                                         |       |
| Class D*             |       | —               |       | —            |       | —          |       | —                                            |       | 10,234,679        |       | —          |       | 10,234,679                                        |       |
| Class I*             |       | —               |       | —            |       | —          |       | —                                            |       | 4,622,411         |       | —          |       | 4,622,411                                         |       |
| Class DS**           |       | 34,615,818           |       | 5,448,356         |       | —          |       | 40,064,174                                        |       | 10,504,934        |       | (2,415,456      | )          | 48,153,652                                        |       |
|                      |       |                 |       |              |       |            |       |                                              |       |              |       |            |       |                                              |       |
| Total Member’s Units |       | 34,615,818           |       | 5,448,356         |       | —          |       | 40,064,174                                        |       | 36,628,685        |       | (2,446,677      | )          | 74,246,182                                        |       |

 
| ** **                   | ** ** | **Initial Offering** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net Income** | ** ** | **Members’ Capital  December 31, 2008** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net Income** | ** ** | **Members’ Capital  December 31, 2009** | ** ** |
|------------------------------|------------|----------------------|------------|-------------------|------------|-----------------|------------|----------------|------------|---------------------------------------------------|------------|-------------------|------------|-----------------|------------|----------------|------------|---------------------------------------------------|------------|
| Class A*                |       | $                    | —     |              | $          | —          |       | $              | —     |                                              | $          | —            |       | $               | —     |           | $          | 1,632,689                                         |       | $ | — |   | $ | (13,209 | ) | $ | 1,619,480 |   |
| Class C*                |       | —               |       | —            |       | —          |       | —         |       | —                                            |       | 10,435,845        |       | (33,400         | )          | 1,884          |       | 10,404,329                                        |       |
| Class D*                |       | —               |       | —            |       | —          |       | —         |       | —                                            |       | 11,249,487        |       | —          |       | (247,037       | )          | 11,002,450                                        |       |
| Class I*                |       | —               |       | —            |       | —          |       | —         |       | —                                            |       | 4,914,625         |       | —          |       | 72,382         |       | 4,987,007                                         |       |
| Class DS**              |       | 34,615,818           |       | 6,424,836         |       | —          |       | 7,946,204      |       | 48,986,858                                        |       | 12,367,513        |       | (2,980,051      | )          | 2,610,613      |       | 60,984,933                                        |       |
| ** **                   | ** ** | ** **           | ** ** | ** **        | ** ** | ** **      | ** ** | ** **     | ** ** | ** **                                        | ** ** | ** **        | ** ** | ** **      | ** ** | ** **     | ** ** | ** **                                        | ** ** |
| Total Member’s Interest |       | $                    | 34,615,818 |              | $          | 6,424,836       |       | $              | —     |                                              | $          | 7,946,204         |       | $               | 48,986,858 |           | $          | 40,600,159                                        |       | $ | (3,013,451 | ) | $ | 2,424,633 |   | $ | 88,998,199 |   |

 

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*Units issued on August 1,2009.

**Units issued on September 1,2008.

 

See notes tofinancial statements.

 

5

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ML BLUETRENDFUTURESACCESS LLC

(A DelawareLimited Liability Company)

 

FINANCIAL DATAHIGHLIGHTS

FOR THE YEAR ENDEDDECEMBER 31, 2009

 

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

 
| ** **                                                | ** ** | **Class A*** | ** ** | **Class C*** | ** ** | **Class D*** | ** ** | **Class I*** | ** ** | **Class DS** | ** ** |
|-----------------------------------------------------------|------------|-------------------|------------|-------------------|------------|-------------------|------------|-------------------|------------|-------------------|------------|
| **Per Unit Operating Performance:**                       |       |              |       |              |       |              |       |              |       |              |       |
|                                                      |       |              |       |              |       |              |       |              |       |              |       |
| Net asset value, beginning of year                        |       | $                 | 1.0000     |              | $          | 1.0000            |       | $                 | 1.0000     |              | $          | 1.0000 |   | $ | 1.2227 |   |
|                                                      |       |              |       |              |       |              |       |              |       |              |       |
| Net realized and net change in unrealized trading  profit |       | 0.1577            |       | 0.1576            |       | 0.1580            |       | 0.1580            |       | 0.0891            |       |
| Brokerage commissions                                     |       | (0.0019           | )          | (0.0019           | )          | (0.0019           | )          | (0.0019           | )          | (0.0043           | )          |
| Interest income                                           |       | 0.0000            |       | 0.0000            |       | 0.0000            |       | 0.0000            |       | 0.0002            |       |
| Expenses                                                  |       | (0.0834           | )          | (0.0859           | )          | (0.0811           | )          | (0.0772           | )          | (0.0412           | )          |
|                                                      |       |              |       |              |       |              |       |              |       |              |       |
| Net asset value, end of year                              |       | $                 | 1.0724     |              | $          | 1.0698            |       | $                 | 1.0750     |              | $          | 1.0789 |   | $ | 1.2665 |   |
|                                                      |       |              |       |              |       |              |       |              |       |              |       |
| **Total Return: (a) (b)**                            |       |              |       |              |       |              |       |              |       |              |       |
|                                                      |       |              |       |              |       |              |       |              |       |              |       |
| Total return before Performance fees                      |       | 9.67              | %          | 9.21              | %          | 10.38             | %          | 9.85              | %          | 4.40              | %          |
| Performance fees                                          |       | -2.44             | %          | -2.28             | %          | -2.82             | %          | -2.04             | %          | -1.11             | %          |
| Total return after Performance fees                       |       | 7.23              | %          | 6.93              | %          | 7.56              | %          | 7.81              | %          | 3.29              | %          |
|                                                      |       |              |       |              |       |              |       |              |       |              |       |
| **Ratios to Average Member’s Capital:  (a)**         |       |              |       |              |       |              |       |              |       |              |       |
|                                                      |       |              |       |              |       |              |       |              |       |              |       |
| Expenses (excluding Performance fees)                     |       | 1.75              | %          | 2.17              | %          | 1.12              | %          | 1.58              | %          | 2.48              | %          |
| Performance fees                                          |       | 2.35              | %          | 2.18              | %          | 2.75              | %          | 1.92              | %          | 0.95              | %          |
| Expenses (including Performance fees)                     |       | 4.10              | %          | 4.35              | %          | 3.87              | %          | 3.50              | %          | 3.43              | %          |
|                                                      |       |              |       |              |       |              |       |              |       |              |       |
| Net investment income (loss)                              |       | 4.10              | %          | 4.35              | %          | 3.86              | %          | 3.51              | %          | 3.42              | %          |

 

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 (a) The ratios to averagemembers’ capital have been annualized. The total return ratios are notannualized.

 

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

 

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

*Units issued on August 1, 2009.

 

See notes tofinancial statements.

 

6

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ML BLUETRENDFUTURESACCESS LLC

(A DelawareLimited Liability Company)

 

FINANCIAL DATAHIGHLIGHTS

FOR THE PERIOD SEPTEMBER1, 2008 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2008

 

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

 
| ** **                                                | ** ** | **Class DS** | ** ** |
|-----------------------------------------------------------|------------|-------------------|------------|
| **Per Unit Operating Performance:**                       |       |              |       |
|                                                      |       |              |       |
| Net asset value, beginning of year                        |       | $                 | 1.0000     |   |
|                                                      |       |              |       |
| Net realized and net change in unrealized trading  profit |       | 0.3047            |       |
| Brokerage commissions                                     |       | (0.0011           | )          |
| Interest income                                           |       | 0.0026            |       |
| Expenses                                                  |       | (0.0835           | )          |
|                                                      |       |              |       |
| Net asset value, end of year                              |       | $                 | 1.2227     |   |
|                                                      |       |              |       |
| **Total Return: (a) (b)**                            |       |              |       |
|                                                      |       |              |       |
| Total return before Performance fees                      |       | 30.29             | %          |
| Performance fees                                          |       | -6.68             | %          |
| Total return after Performance fees                       |       | 22.27             | %          |
|                                                      |       |              |       |
| **Ratios to Average Member’s Capital:  (a)**         |       |              |       |
|                                                      |       |              |       |
| Expenses (excluding Performance fees)                     |       | 2.70              | %          |
| Performance fees                                          |       | 6.62              | %          |
| Expenses (including Performance fees)                     |       | 9.32              | %          |
|                                                      |       |              |       |
| Net investment income (loss)                              |       | -8.58             | %          |

 

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 (a) The ratios to average members’capital have been annualized. The total return ratios are not annualized. 

 

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

 

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

See notes tofinancial statements.

 

7

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ML BLUETRENDFUTURESACCESS LLC

(A DelawareLimited Liability Company)

 

NOTES TO FINANCIALSTATEMENTS

 

1.                    SUMMARY OFSIGNIFICANT ACCOUNTING POLICIES

 

Organization

 

ML BlueTrendFuturesAccess LLC (the “Fund”), a Merrill Lynch FuturesAccess Program (the “Program”)fund, was organized under the Delaware Limited Liability Company Act on April 30,2008 and commenced trading activities on September 1, 2008. The Fundengages in the speculative trading of futures, options on futures and forwardcontracts on a wide range of commodities. BlueCrest Capital Management L.P. (“BlueCrest”)is the trading advisor of the Fund.

 

Merrill Lynch AlternativeInvestments LLC (“MLAI” or the “Sponsor”) is the Sponsor of the Fund. MLAI isan 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’scommodity broker.

 

OnSeptember 15, 2008, Merrill Lynch entered into an Agreement and Plan ofMerger (as amended by Amendment No. 1 dated as of October 21, 2008,the “Merger Agreement”) with Bank of America Corporation (“Bank of America”).Pursuant to the Merger Agreement, on January 1, 2009, a wholly-ownedsubsidiary of Bank of America merged with and into Merrill Lynch, with MerrillLynch continuing as the surviving corporation and a subsidiary of Bank ofAmerica.

 

The Program is a group ofcommodity pools sponsored by MLAI (each pool is a “Program Fund” orcollectively, “Program Funds”) each of which places substantially all of itsassets in a managed futures or forward trading account managed by a single ormultiple commodity trading advisors. Each Program Fund is generally similar interms of fees, Classes of Units and redemption rights.  Each of the Program Funds implements adifferent trading strategy.

 

TheFund offers five Classes of Units:  Class A,Class C, Class D, Class DS and Class I.  Each Class of Units was offered at $1.00per Unit during the initial offering period and subsequently is offered at NetAsset Value per Unit (see Note 6).  Thefive Classes of Units are subject to 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.

 

8

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Statement of Cash Flows

 

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

 

RevenueRecognition

 

Commodity futures,options on futures and forward contract transactions are recorded on tradedate. Open contracts are reflected in Net unrealized profit (loss) on opencontracts in the Statement of Financial Condition as the difference between theoriginal contract value and the market value (for those commodity interests forwhich market quotations are readily available) or at fair value.  The change in unrealized profit (loss) onopen contracts from one period to the next is reflected in Change in unrealizedunder Trading profit (loss) in the Statement of Operations.

 

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

 

Foreign CurrencyTransactions

 

TheFund’s functional currency is the U.S. dollar; however, it transacts businessin U.S. dollars and in currencies other than the U.S. dollar.  Assets and liabilities denominated incurrencies other than the U.S. dollar are translated into U.S. dollars at therates in effect at the date of the Statement of Financial Condition.  Income and expense items denominated incurrencies other than the U.S. dollar are translated into U.S. dollars at therates in effect during the year.  Gainsand losses resulting from the translation to U.S. dollars are included inTrading Profit(Loss) in the Statements of Operations.

 

Cash and Cash Equivalents

 

TheFund considers all highly liquid investments, with a maturity of three monthsor less when acquired, to be cash equivalents. Cash equivalents were recordedat amortized cost which approximated fair value (Level II see Note 3). Cash washeld at a nationally recognized financial institution.

 

Cash at Broker /Equity in Commodity Futures Trading Accounts

 

A portion of the assetsmaintained at MLPF&S is restricted cash required to meet maintenance marginrequirements.

 

9

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OperatingExpenses, Offering Costs and Selling Commissions

 

TheFund pays for all routine operating costs (including ongoing offering costs,administration, custody, transfer, exchange and redemption processing, legal,regulatory filing, tax, audit, escrow, accounting and printing fees andexpenses) 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.

 

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 — 2008.

 

Distributions

 

The Members areentitled to receive, equally per Unit, any distributions which may be made bythe Fund.  No such distributions havebeen declared for the year ended December 31, 2009 and for the periodended 2008.

 

Subscriptions

 

Units are offered as of the close of business at theend of each month.  Units are purchasedas of the first business day of any month at Net Asset Value (see Note 6), butthe subscription request must be submitted at least three calendar days beforethe end of the preceding month. Subscriptions submitted less than three days before the end of a monthwill be applied to Units subscriptions as of the beginning of the second monthafter receipt, unless revoked by MLAI.

 

Redemptions andExchanges

 

A Member mayredeem or exchange some or all of such Member’s Units at Net Asset Value as ofthe close of business, on the last business day of any month, upon ten calendardays’ notice (“notice period”).

 

An investor in the Fundcan exchange these Units for Units of the same Class in other ProgramFunds as of the beginning of each calendar month upon at least ten days priornotice.  The minimum exchange amount is$10,000.

 

10

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Redemption requests areaccepted within the notice period.  TheFund does not accept any redemption requests after the notice period.  All redemption requests received after thenotice period will be processed for the following month.

 

Dissolution of theFund

 

The Fund may terminate ifcertain circumstances occur as set forth in the private placement memorandum,which include but are not limited to the following:

 

a)      Bankruptcy, dissolution,withdrawal or other termination of the trading advisor of this Fund.

 

b)     Any event which would makeunlawful the continued existence of this Fund.

 

c)      Determination by MLAI toliquidate or withdraw from the Fund.

 

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2.               CONDENSEDSCHEDULE OF INVESTMENTS

 

The Fund’sinvestments, defined as Net unrealized profit (loss) on open contracts in theStatements of Financial Condition, as of December 31, 2009 and 2008 are asfollows:

 

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                 |       | 37                      |       | $                        | 18,635     |                           | 0.02       | %                  | (44        | )                      | $          | (17,718 | ) | -0.02 | % | $ | 917 |   | 0.00 | % | March 10 |   |
| Currencies                  |       | 47,800,234              |       | (66,336                  | )          | -0.07                          | %          | (42,482,119        | )          | (240,350               | )          | -0.27 | % | (306,686 | ) | -0.34 | % | March 10 |   |
| Energy                      |       | 379                     |       | 481,139                  |       | 0.54                           | %          | —             |       | —                 |       | 0.00 | % | 481,139 |   | 0.54 | % | January 10 -  April 10 |   |
| Interest rates              |       | 3,437                   |       | (2,232,094               | )          | -2.51                          | %          | —             |       | —                 |       | 0.00 | % | (2,232,094 | ) | -2.51 | % | March 10 -  December 10 |   |
| Metals                      |       | 89                      |       | 73,051                   |       | 0.08                           | %          | (24                | )          | (163,255               | )          | -0.18 | % | (90,204 | ) | -0.10 | % | January 10 - March 10 |   |
| Stock indices               |       | 1,249                   |       | 1,261,228                |       | 1.42                           | %          | —             |       |                   |       | 0.00 | % | 1,261,228 |   | 1.42 | % | January 10 -  March 10 |   |
|                        |       |                    |       |                     |       |                           |       |               |       |                   |       |   |   |   |   |   |   |   |   |
| Total                       |       |                    |       | $                        | (464,377   | )                              | -0.52      | %                  |       |                   | $          | (421,323 | ) | -0.47 | % | $ | (885,700 | ) | -0.99 | % |   |   |

 

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                 |       | —                  |       | $                        | —     |                           | 0.00       | %                  | (41        | )                      | $          | (103,870 | ) | -0.21 | % | $ | (103,870 | ) | -0.21 | % | March 09 |   |
| Currencies                  |       | 14,277                  |       | (5,406                   | )          | -0.01                          | %          | (14,445            | )          | (33,643                | )          | -0.07 | % | (39,049 | ) | -0.08 | % | March 09 |   |
| Energy                      |       | —                  |       | —                   |       | 0.00                           | %          | (40                | )          | (60,135                | )          | -0.12 | % | (60,135 | ) | -0.12 | % | January 09 -  April 09 |   |
| Interest rates              |       | 1,514                   |       | 991,695                  |       | 2.02                           | %          | —             |       | —                 |       | 0.00 | % | 991,695 |   | 2.02 | % | March 09 -  December 10 |   |
| Metals                      |       | 59                      |       | (202,669                 | )          | -0.41                          | %          | (75                | )          | 320,376                |       | 0.65 | % | 117,707 |   | 0.24 | % | January 09 -  March 09 |   |
| Stock indices               |       | —                  |       | —                   |       | 0.00                           | %          | (72                | )          | (51,771                | )          | -0.11 | % | (51,771 | ) | -0.11 | % | January 09 -  March 09 |   |
|                        |       |                    |       |                     |       |                           |       |               |       |                   |       |   |   |   |   |   |   |   |   |
| Total                       |       |                    |       | $                        | 783,620    |                           | 1.60       | %                  |       |                   | $          | 70,957 |   | 0.14 | % | $ | 854,577 |   | 1.74 | % |   |   |

 

Noindividual contract’s unrealized profit or loss comprised greater than 5% ofthe Member’s Capital as of December 31, 2009 and 2008.

 

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3.                     FAIR VALUE OF INVESTMENTS

 

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

 

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 financial instruments and derivativecommodity instruments) are held for trading purposes.  The investments are recorded on trade dateand open contracts are recorded at fair value (described below) at themeasurement date. Investments denominated in foreign currencies are translatedinto U.S. dollars at the exchange rates prevailing at the measurementdate.  Gains or losses are realized whencontracts are liquidated.  Unrealizedgains or losses on open contracts are included in Equity in commodity futurestrading account.  Any change in net unrealizedgain or loss from the preceding year is reported in the Statements ofOperations.

 

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

 

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

 

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

 

LevelII — Pricing inputs are other than quoted prices in active markets, which areeither directly or indirectly observable as of the reporting date, and fairvalue is determined through the use of generally accepted and understood modelsor other valuation methodologies. Investments which are generally included 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 particular input to the Fair Value Measurement in itsentirety requires judgment, 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.

 

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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.

 

The Fund’s net unrealizedprofit (loss) on open forward and futures contracts as of December 31,2009 and 2008 are as follows:

 
| **December 31, 2009** | ** ** | **Unrealized Long Positions** | ** ** | **Unrealized Short Positions** | ** ** | **Total** | ** ** |
|----------------------------|------------|-------------------------------|------------|--------------------------------|------------|-----------|------------|
| Futures                    |       | $                             | (398,041   | )                              | $          | (180,973  | )          | $ | (579,014 | ) |
| Forwards                   |       | (66,336                       | )          | (240,350                       | )          | $         | (306,686   | ) |
| Total                      |       | $                             | (464,377   | )                              | $          | (421,323  | )          | $ | (885,700 | ) |

 
| **December 31, 2008** | ** ** | **Unrealized Long Positions** | ** ** | **Unrealized Short Positions** | ** ** | **Total** | ** ** |
|---------------------------------|------------|-----------------------------------------|------------|------------------------------------------|------------|-----------|------------|
| Futures                         |       | $                                       | 783,620    |                                     | $          | 70,957    |       | $ | 854,577 |   |
| Forwards                        |       | —                                  |       | —                                   |       | —    |       |
| Total                           |       | $                                       | 783,620    |                                     | $          | 70,957    |       | $ | 854,577 |   |

 

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

 

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                               |       | $         | (885,700   | )           | $          | (686,831     | )          | $             | (198,869   | ) | $ | — |   |
| December 31, 2008                               |       | $         | 854,577    |        | $          | 854,577      |       | $             | —     |   | $ | — |   |

 

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.

 

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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                   |       | $                            | (259,796   | ) |
| Currencies                    |       | (1,372,119                   | )          |
| Energy                        |       | (1,594,326                   | )          |
| Interest rates                |       | 1,464,617                    |       |
| Metals                        |       | 41,606                       |       |
| Stock indices                 |       | 6,832,896                    |       |
|                          |       |                         |       |
| Total                         |       | $                            | 5,112,878  |   |

 

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 other similar types of proceedings, MLAImight suspend or limit trading, perhaps causing the Fund to miss significantprofit opportunities.  There areincreased risks in dealing with unregulated trading counterparties includingthe risk that assets may not benefit from the protection afforded to “customerfunds” deposited with regulated dealers and brokers.

 

4.                     RELATED PARTYTRANSACTIONS

 

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

 

Merrill Lynch charges theFund at prevailing local interest rates for financing realized and unrealizedlosses on the Fund’s non-U.S. dollar-denominated positions. Such amounts are nettedagainst interest income due 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 andDS 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 ratecharged to the Fund for the year ended December 31, 2009 and for theperiod September 1, 2008 (commencement of operations) to December 31,2008 was approximately $6.85 and $9.51, respectively (not including, incalculating round-turn, forward contracts on a futures-equivalent basis).

 

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Brokerage Commissions,Interest and Sponsor fees as seen on the Statements of Operations are allreceived from or paid to related parties.

 

TheFund holds cash at an unaffiliated bank which invests such cash in a moneymarket fund which is managed by BlackRock, a related party to MLAI.  TheCash and cash equivalents as seen on the Statements of Financial Condition isthe amount held by the related party.

 

5.                     ADVISORYAGREEMENT

 

The Fund and BlueCresthave entered into an Advisory Agreement. This agreement shall continue ineffect until December 31, 2010. Thereafter, this agreement shall be automatically renewed for successiveone year period, on the same terms, unless terminated at any time by eitherBlueCrest or the Fund upon 120 days’ written notice to the other party.  BlueCrest 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.

 

Performance fees paid bythe Fund are calculated as 25% of any New Trading Profit, as defined in theprivate placement memorandum, and are recognized by BlueCrest as of either theend of each calendar year. Performance fees are also paid out in respect ofUnits redeemed as of the end of interim months, to the extent of the applicablepercentage of any New Trading Profit attributable to such Units. Thetermination of the Advisory Agreement shall be treated as an Incentive Feecalculation date.

 

6.                     NET ASSETVALUE PER UNIT

 

The Net Asset Value perUnit of the different Classes as of December 31, 2009 and 2008 are:

 
| December 31,2009             |   |
|------------------------------|--------|
| ** **                   |   |
| **Net Asset Value per Unit** |   |
| Class A                 |   | $ | 1.0724 |   |
| Class C                 |   | 1.0698 |   |
| Class D                 |   | 1.0750 |   |
| Class I                 |   | 1.0789 |   |
| Class DS                |   | 1.2665 |   |
|                         |   |
| December 31,2008        |   |
| ** **                   |   |
| **Net Asset Value per Unit** |   |
| Class A                 |   | $ | — |   |
| Class C                 |   | — |   |
| Class D                 |   | — |   |
| Class I                 |   | — |   |
| Class DS                |   | 1.2227 |   |

 

7.                     WEIGHTEDAVERAGE UNITS

 

Theweighted average number of Units outstanding for each Class is computedfor purposes of calculating net income per weighted average Unit.  The weighted average number of Unitsoutstanding for each Class for the year ended December 31, 2009 andfor the period ended December 31, 2008 equals the Units outstanding as ofsuch date, adjusted proportionately for Units sold or redeemed based on therespective length of time each was outstanding during the year.

 

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8.                     RECENTACCOUNTING PRONOUNCEMENT

 

InJuly 2009, the Financial Accounting Standards Board (“FASB”) issuedAccounting Standards Codification (“ASC”) 105, *GenerallyAccepted Accounting Principles,*(ASC 105), which approved the FASBAccounting Standards 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.

 

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 guidancealso contains enhanced disclosure requirements whereby fair value disclosuresas well as certain disaggregated information will be disclosed. The adoption ofthis guidance had no impact on the financial statements.

 

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 roll forward, 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 ANDCREDIT RISK

 

The nature of thisFund has certain risks, which cannot all be presented on the financialstatements.  The following summarizessome 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 the financialinstruments or commodities underlying such derivative instruments frequentlyresult in changes in the Fund’s net unrealized profit on open contracts on such

 

17

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derivative instruments as reflected in the Statements of FinancialCondition.  The Fund’s exposure to marketrisk is influenced by a number of factors, including the relationships amongthe derivative instruments held by the Fund as well as the volatility andliquidity of the markets in which the derivative instruments are traded.  Investments in foreign markets may alsoentail legal and political risks.

 

MLAI has procedures in place intended to control market risk exposure,although there can be no assurance that they will, in fact, succeed in doingso.  These procedures focus primarily onmonitoring the trading of BlueTrend, calculating the Net Asset Value of theFund as of the close of business on each day and reviewing outstandingpositions for over-concentrations.  WhileMLAI does not intervene in the markets to hedge or diversify the Fund’s marketexposure, MLAI may urge BlueTrend to reallocate positions in an attempt toavoid over-concentrations.  However, suchinterventions are expected to be unusual. It is expected that MLAI’s basic risk control procedures will consist ofthe ongoing process of advisor monitoring, with the market risk controls beingapplied by BlueTrend.

 

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.

 

TheFund, in its normal course of business, enters into various contracts, with MLPF&Sacting as its commodity broker.  Pursuantto the brokerage arrangement with MLPF&S (which includes a nettingarrangement), to the extent that such trading results in receivables from andpayables to MLPF&S, these receivables and payables are offset and reportedas a net receivable or payable and included in Equity in commodity futurestrading accounts in the Statements of Financial Condition.

 

Indemnifications

 

In the normal course of business, the Fund has entered, or may in thefuture enter into agreements, that obligate the Fund to indemnify thirdparties, including affiliates of the Fund, for breach of certainrepresentations and warranties made by the Fund. No claims have actually beenmade with respect to such indemnities and any quantification would involvehypothetical claims that have not been made. Based on the Fund’s experience,MLAI expected the risk of loss to be remote and, therefore, no provision hasbeen recorded.

 

10.               SUBSEQUENT EVENT

 

ThroughFebruary 28, 2010 the Fund received subscriptions of $132,756,455. Management has evaluated the impact of subsequent events on the Fund andhas determined that there were no subsequent events that require adjustmentsto, or disclosure in, the financial statements.

 

18

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*     *    *     *     *    *     *     *    *     *      *

 

To the best of theknowledge and belief of the

undersigned, theinformation contained in this

reportis accurate and complete.

 

|   |  |   |
|--------|--|--------|

Barbra E. Kocsis

Chief FinancialOfficer

Merrill LynchAlternative Investments LLC

Sponsor of

ML BlueTrendFuturesAccess LLC

 

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