** **

**UNITED STATESSECURITIES AND EXCHANGE COMMISSION**

**Washington, D.C. 20549**

 

**FORM 10-K**

 

**x****      Annual Report Pursuant to Section 13or 15(d) of the Securities Exchange Act of 1934**

** **

**For the fiscal year ended: December 31, 2009**

** **

**or**

** **

**o****         Transition ReportPursuant to Section 13 or 15(d) of the Securities Exchange Act of1934**

** **

**Commission file number: 0-53794**

** **

**ML BLUETREND FUTURESACCESSLLC**

(Exact name of registrant as specified in its charter)

 

| **Delaware**                    | ** ** | **26-2581977**      |
|---------------------------------|------------|---------------------|
| (State or other jurisdiction of |       | (I.R.S. Employer    |
| incorporation or organization)  |       | Identification No.) |

 

**c/oMerrill Lynch Alternative Investments LLC**

**FourWorld Financial Center, 6****th**** Floor**

**250 VeseyStreet**

**New York, New York 10080**

(Address of principal executive offices)

(Zip Code)

 

**212-449-3517**

(Registrant’s telephone number, including area code)

 

Securities registeredpursuant to Section 12(b) of the Act: **None**

 

Securities registeredpursuant to Section 12(g) of the Act:**Units ofLimited Liability Company Interest**

 

Indicate by check mark ifthe registrant is a well-known seasoned issuer, as defined in Rule 405 ofthe Securities Act. Yes o No x

 

Indicate by check mark ifthe registrant is not required to file reports pursuant to Section 13 or15(d) of the Act. Yes o No x

 

Indicate by check markwhether the registrant (1) has filed all reports required to be filed by Section 13or 15(d) of the Securities Exchange Act of 1934 during the preceding 12months (or for such shorter period that the registrant was required to filesuch reports), and (2) has been subject to such filing requirements forthe past 90 days. Yes x  No o

 

Indicate by check mark whether the registrant has submittedelectronically and posted on its corporate website, if any, every InteractiveData File required to be submitted and posted pursuant to Rule 405 ofRegulation S-T (§232.405 of this chapter) during the preceding 12 months (orfor such shorter period that the registrant was required to submit and postsuch files). Yes o  No o

 

Indicate by check mark ifdisclosure of delinquent filers pursuant to Item 405 of Regulation S-K is notcontained herein, and will not be contained, to the best of registrant’sknowledge, in definitive proxy or information statements incorporated byreference in Part III of this Form 10-K or any amendment to this Form 10-K. x

 

Indicate by check mark whether the registrant is alarge accelerated filer, an accelerated filer, a non-accelerated filer, or asmaller reporting company.  See thedefinitions of “large accelerated filer,” “accelerated filer” and “smaller reportingcompany” in Rule 12b-2 of the Exchange Act. (Check one):

 

| Large accelerated filer o                |   | Accelerated filer o       |
|-----------------------------------------------|--------|--------------------------------|
|                                          |   |                           |
| Non-accelerated filer x                  |   | Small reporting company o |
| (Do not check if a smaller reporting company) |   |                           |

 

Indicate by checkmark whether the registrant is a shell company (as defined by Rule 12b-2of the Act). Yes o  No x

 

The Units of thelimited liability company interest of the registrant are not publicly traded.Accordingly, there is no aggregate market value for the registrant’soutstanding equity that is readily determinable.

 

As of February 28,2010 Units of limited liability company interest with an aggregate net assetvalue of $222,286,867 were outstanding and held by non-affiliates.

 

**Documents Incorporated byReference**

 

The registrant’s 2009 Annual Report and Reports ofIndependent Registered Public Accounting Firms, the annual report to securityholders for the year ended December 31, 2009, is incorporated by referenceinto Part II, Item 8, and Part IV hereof and filed as an Exhibit herewith.Copies of the annual report are available free of charge by contactingAlternative Investments Client Services at 1-866-MER-ALTS.

 

 

 

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**ML BLUETREND FUTURESACCESS LLC**

 

ANNUAL REPORT FOR 2009 ONFORM 10-K

 

Table of Contents

 
|          |   |                                                                                                                | **PAGE** |
|---------------|--------|---------------------------------------------------------------------------------------------------------------------|----------|
|          |   |                                                                                                                |     |
| PART I   |
|          |   |                                                                                                                |     |
| Item 1.       |   | Business                                                                                                            | 1        |
|          |   |                                                                                                                |     |
| Item 1A.      |   | Risk Factors                                                                                                        | 8        |
|          |   |                                                                                                                |     |
| Item 1B.      |   | Unresolved Staff  Comments                                                                                          | 10       |
|          |   |                                                                                                                |     |
| Item 2.       |   | Properties                                                                                                          | 10       |
|          |   |                                                                                                                |     |
| Item 3.       |   | Legal  Proceedings                                                                                                  | 10       |
|          |   |                                                                                                                |     |
| Item 4.       |   | Reserved                                                                                                            | 10       |
|          |   |                                                                                                                |     |
| PART II  |
|          |   |                                                                                                                |     |
| Item 5.       |   | Market for Registrant’s  Common Equity, Related Stockholder Matters and Issuer Purchases of Equity  Securities | 11       |
|          |   |                                                                                                                |     |
| Item 6.       |   | Selected  Financial Data                                                                                            | 13       |
|          |   |                                                                                                                |     |
| Item 7.       |   | Management’s  Discussion and Analysis of Financial Condition and Results of Operations                         | 20       |
|          |   |                                                                                                                |     |
| Item 7A.      |   | Quantitative and  Qualitative Disclosures About Market Risk                                                         | 25       |
|          |   |                                                                                                                |     |
| Item 8.       |   | Financial  Statements and Supplementary Data                                                                        | 29       |
|          |   |                                                                                                                |     |
| Item 9.       |   | Changes in and  Disagreements with Accountants on Accounting and Financial Disclosure                               | 29       |
|          |   |                                                                                                                |     |
| Item 9AT.     |   | Controls and  Procedures                                                                                            | 29       |
|          |   |                                                                                                                |     |
| Item 9B.      |   | Other  Information                                                                                                  | 30       |
|          |   |                                                                                                                |     |
| PART III |
|          |   |                                                                                                                |     |
| Item 10.      |   | Directors,  Executive Officers and Corporate Governance                                                             | 31       |
|          |   |                                                                                                                |     |
| Item 11.      |   | Executive  Compensation                                                                                             | 32       |
|          |   |                                                                                                                |     |
| Item 12.      |   | Security  Ownership of Certain Beneficial Owners and Management and Related Stockholder  Matters                    | 33       |
|          |   |                                                                                                                |     |
|          |   |                                                                                                                |     |
| Item 13.      |   | Certain  Relationships and Related Transactions and Director Independence                                           | 33       |
|          |   |                                                                                                                |     |
| Item 14.      |   | Principal  Accountant Fees and Services                                                                             | 34       |
|          |   |                                                                                                                |     |
| PART IV  |
|          |   |                                                                                                                |     |
| Item 15.      |   | Exhibits and  Financial Statement Schedules                                                                         | 35       |

 

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**PART I**

 

**Item 1:****         ****Business**

 

(a)                                  General Development of Business:

 

ML BlueTrend FuturesAccess LLC (the “Fund”) wasorganized under the Delaware Limited Liability Company Act on April 30,2008 and commenced trading activities on September 1, 2008. The Fund issuesnew units of limited liability company interest (“Units”) at Net Asset Valueper Unit (see Item 6 for discussion of net asset value and net asset value perunit for subscriptions and redemptions purposes hereinafter referred to as NetAsset Value and Net Asset Value per Unit) as of the beginning of each calendarmonth. The Fund engages in the speculative trading of futures, options onfutures and forward contracts on a wide range of commodities. BlueCrest CapitalManagement L.P. (“BlueCrest”) is the Trading Advisor of the Fund (“TradingAdvisor”).

 

Merrill Lynch AlternativeInvestments LLC (“MLAI”) is the sponsor (“Sponsor”) and manager (“Manager”) 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 Lynch (orthe “Company”) entered into an Agreement and Plan of Merger (as amended by AmendmentNo. 1 dated as of October 21, 2008, the “Merger Agreement”) with Bankof America Corporation (“Bank of America”). Pursuant to the Merger Agreement,on January 1, 2009, a wholly-owned subsidiary of Bank of America (“MergerSub”) merged with and into Merrill Lynch, with Merrill Lynch continuing as thesurviving corporation and a subsidiary of Bank of America (the “Merger”).

 

The Fundcalculates the net asset value per unit of each class of units as of the closeof business on the last business day of each calendar month and such otherdates as MLAI may determine in its discretion. The Fund’s net asset value as ofany calculation date will generally equal the value of the Fund’s account underthe management of its trading advisor as of such date, plus any other assetsheld by the Fund, minus accrued brokerage commissions, sponsor’s, managementand performance fees, organizational expense amortization and any operatingcosts and other liabilities of the Fund. MLAI is authorized to make all net asset value determinations.

 

As of December 31, 2009, the Net Asset Value ofthe Fund was $88,998,199. As of December 31, 2009, the Net Asset Value perUnit was $1.0724 for Class A, $1.0698 for Class C, $1.0750 for Class D,$1.0789 for Class I, $1.2665 for Class DS.

 

Since the Fund began trading activities, the highestmonth-end Net Asset Value per Unit  for Class Awas $1.0724 (December 31, 2009) and the lowest was $1.0208 (August 31,2009).  The highest month-end Net AssetValue per Unit for Class C was $1.1301 (November 30, 2009) and thelowest was $1.0199 (August 31, 2009). The highest month-end Net Asset Value per Unit for Class D was$1.1395 (November 30, 2009) and the lowest was $1.0221 (August 31,2009).  The highest month-end Net AssetValue per Unit for Class I was $1.1355 (November 30, 2009) and thelowest was $1.0211 (August 31, 2009). The highest month-end Net AssetValue per Unit for Class DS was $1.3191 (November 30, 2009) and thelowest was $1.0408 (September 30, 2008).

 

(b)                                 Financial Information about Segments:

 

The Fund’s business constitutes only one segment forfinancial reporting purposes, i.e*.,* aspeculative “commodity pool”. The Fund does not engage in sales of goods orservices.

 

(c)                                  Narrative Description of Business:

 

***General***

 

The Fund trades in the futures and forward marketswith the objective of achieving substantial capital appreciation.

 

The Fund and MLAI have entered into an AdvisoryAgreement with BlueCrest whereby BlueCrest trades the Fund’s assets through amanaged account using the BlueTrend Program (the “Trading Program”).  BlueCrest trades in the U.S. andinternational futures and forwards markets pursuant to the Trading Program. 

 

1

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The Trading Advisortrades the following instruments on U.S. and non-U.S. exchanges and markets: (a) futures,options, options on futures, and forward contracts on currencies, interestrates, interest rate instruments, commodities, individual stocks, stock indicesand other indices; and (b) spot currencies, in all cases ((a) and(b)) traded on regulated markets and/or OTC markets.  The Trading Advisor does not, however,currently trade futures, options, options on futures or forward contracts onindividual stocks for the Fund.  Overtime, the underlying values of futures, options, options on futures and forwardcontracts traded may also include other economic variables which are now or mayhereafter become the subject of organized futures, options or forwardtrading.  Over time, the instruments thatthe Trading Advisor trades may also include swaps or other derivative, marginedinstruments, in each case traded on regulated and/or OTC markets.

 

The applied principles ofrisk management play a dominant role in the Trading Advisor’s tradingmethodology.  The Trading Program isdesigned to pursue capital growth within the limits of a defined risktolerance.  The Trading Program isentirely based on quantitative analysis of signaled price behavior of outrightmarkets and of intra-market and/or inter-market combinations of the instrumentsconcerned, and therefore not on fundamental analysis.

 

The Trading Program may enter into both long andshort positions in any of the instruments involved, or it may have noposition.  Long and short positions arelikely to be leveraged and unhedged and/or uncovered.  The degree of leverage is implicitlydetermined by the risk/reward profile selected by the Fund.  The degree of leverage can be expressed as thenumber of contracts traded or held in position per millions of U.S. dollarsunder management.  A higher degree ofleverage represents a higher degree of risk as it goes hand in hand with ahigher number of contracts held in a position for each U.S. dollar undermanagement.  As such, a selected riskprofile has a consequence for the number of contracts traded and/or held in aposition for each U.S. dollar under management.

 

The Trading Program is systematic by nature andrequires a consistent application. Therefore, discretionary inputs are not essential to the effectivenessof the Trading Program.  Exceptionalmarket circumstances of the observed past, both favorable and unfavorable, areintegrally reflected in the presented performance profile of the TradingProgram.  While the Trading Advisorgenerally will not use discretionary inputs in trading client accounts, in theevent of exceptional market circumstances the Trading Advisor may usediscretion in an attempt to limit risk to a position or an account.  The use of discretion by the Trading Advisormay have a positive or negative impact on performance of the Fund.

 

The portfolio composition and the relativeweighting of instruments within each portfolio is defined irrespective of theoutcome of historical trades.  Theguiding principle is strategic diversification in pursuit of a maximumattainable risk spreading, taking correlation analysis and degrees of profitexpectancy into account.

 

As the applied strategies require particulartransaction sizes to allow for multiple entry and exit points and becausecertain minimum transaction sizes may be required or recommendable, theattainable degree of diversification is, among others, a function of the amountunder management.  Generally, largeraccounts have a higher degree of diversification.

 

Specific risk provisions are computed for eachmarket exposure.  The risk provisions aredesigned to have a pre-defined reliability. In all trading systems the assessment of price volatility plays aprominent role.  Risk assessments aredetermined on the basis of a regular or continuous evaluation of daily pricebehavior, possibly leading to regular adjustments during the lifetime ofexposures.

 

The applied market approach does not forecastmarkets or price levels but participates in a systematic and dynamic way insignaled price patterns.  The TradingProgram exploits directional price movement of outright prices, of time spreadsin one or more time frames and of inter-market and -product combinations.

 

Although the TradingAdvisor’s Trading Program is continually evolving, there were no fundamental ormaterial changes to the Trading Program during the 2009 fiscal year.

 

***Employees***

 

TheFund has no employees.

 

2

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**Use of Proceeds and Cash Management Income**

 

Subscription Proceeds

 

The Fund’s cash is usedas security for and to pay the Fund’s trading losses as well as its expensesand redemptions. The primary use of the proceeds of the sale of the Units is topermit BlueCrest to trade on a speculative basis in a wide range of differentfutures and forwards markets on behalf of the Fund.  While being used for this purpose, the Fund’sassets are also generally available for cash management, as more fullydescribed below under “Cash Assets”.

 

Market Sectors

 

BlueCrest applies its proprietary systems to a broadly-diversifiedportfolio of futures and forward markets pursuant to their BlueTrend Program.The BlueTrend Program may trade in the following markets:  CBOT, CME, EUREX, IME, LME, LIFFE, MATIF, ME,MEFF, NYMEX, NZFOE, SFE, SIMEX, TIFFE, TSE and may expand to include trading inother markets.

 

The Fund’s commitments to different types of markets —U.S. and non-U.S., regulated and non-regulated — differ substantially from timeto time, as well as over time.  The Fundhas no policy restricting its relative commitment to any of these differenttypes of markets.

 

3

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CONDENSED SCHEDULEOF 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 | % |   |   |

 

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

 

4

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Market Types

 

The Fund trades on avariety of United States and foreign futures exchanges.  Substantially all of the Fund’s off-exchangetrading takes place in the highly liquid, institutionally-based currencyforward markets.

 

Many of the Fund’scurrency trades are executed in the spot and forward foreign exchange markets(the “FX Markets”) where there are no direct execution costs.  Instead, the participants, banks and dealersin the FX Markets take a “spread” between the prices at which they are preparedto buy and sell a particular currency and such spreads are built into thepricing of the spot or forward contracts with the Fund.

 

Custody of Assets

 

Substantially allof the Fund’s assets are currently held in one or more Commodity FuturesTrading Commission (“CFTC”) regulated customer accounts at MLPF&S.

 

Cash Assets

 

The Fund will generallyearn interest, as described below, on its “Cash Assets”, which can be generallydescribed as the cash actually held by the Fund plus its “open trade equity”(unrealized gain and loss marked to market daily on open positions).   Cash Assets are held primarily in U.S.dollars, and to a lesser extent in foreign currencies, and are comprised of theFund’s cash balances held in the offset accounts (as described below) — whichinclude “open trade equity” (unrealized gain and loss on open positions) onUnited States futures contracts, which is paid into or out of the Fund’saccount on a daily basis; the Fund’s cash balance in foreign currencies derivedfrom its trading in non-U.S. dollar denominated futures and options contracts,which includes open trade equity on those exchanges which settle gains andlosses on open positions in such contracts prior to closing out suchpositions.  Cash Assets do not include,and the Fund does not earn interest income on the Fund’s gains or losses on itsopen forward, commodity option and certain foreign futures positions since suchgains and losses are not collected or paid until such positions are closed out.

 

The Fund’s Cash Assetsmay be greater than, less than, or equal to the Fund’s Net Asset Value (onwhich the redemption value of the Units is based) primarily because Net AssetValue reflects all gains and losses on open positions as well as accrued butunpaid expenses.

 

Interest Earned on theFund’s U.S. Dollar Cash Assets

 

The Fund’s U.S. dollarCash Assets are held in cash at MLPF&S, which utilizes offset accounts

 

Certain of each FuturesAccess Fund’s U.S. dollar “CashAssets” (as defined below) are held by MLPF&S in customer segregatedaccounts and primarily invested in CFTC-eligible investments (including,without limitation, commercial paper, U.S. government and government agencysecurities, prime non-U.S. government securities, corporate notes and moneymarket funds). Cash Assets may also be maintained in “offset accounts” at majorU.S. banks, interest bearing savings accounts maintained with major U.S. banksunaffiliated with Merrill Lynch and/or money market investment funds that aremanaged by third party managers, including affiliates of Merrill Lynch.

 

Offset accounts are non-interest bearing demanddeposit accounts maintained with banks unaffiliated with Merrill Lynch.MLPF&S may in the future elect to maintain accounts of this nature with oneor more of its affiliates. Offset account deposits reduce Merrill Lynch’sborrowing costs with such banks. An integral feature of the offset arrangementsis that the participating banks specifically acknowledge that the offsetaccounts are for the benefit of MLPF&S’ customers, not subject to anyMerrill Lynch liability.

 

To the extent that Cash Assets are placed withaffiliates of Merrill Lynch, Merrill Lynch indirectly receives certain economicbenefits and therefore has a conflict of interest in selecting such thirdparties. For example, Merrill Lynch may invest in money market funds managed byBlackRock, Inc. or its affiliates (“BlackRock”). Merrill Lynch is asubstantial stockholder in BlackRock and, therefore, potentially benefits fromits economic interest in BlackRock whenever BlackRock receives compensation formanaging Cash Assets invested in money market investment funds managed byBlackRock.

 

5

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Interest Paid by MerrillLynch on the Fund’s Non-U.S. Dollar Cash Assets

 

Each FuturesAccess Fund will generally earn interest,as described below, on its Cash Assets, which can be generally described as thecash actually held by such FuturesAccess Fund, plus its “open trade equity”(unrealized gain and loss marked to market daily on open positions). CashAssets are held primarily in U.S. dollars, and to a lesser extent in non-U.S.currencies, and comprise the following: (a) each FuturesAccess Fund’s cashbalances, plus open trade equity on U.S. futures; and (b) eachFuturesAccess Fund’s cash balances held in non-U.S. currencies as a result ofrealized profits and losses derived from its trading in non-U.S.dollar-denominated futures and options contracts, plus open trade equity onthose exchanges which settle gains and losses on open positions in suchcontracts prior to closing out such positions. Cash Assets do not include, andthe FuturesAccess Funds do not earn interest income on, the FuturesAccess Funds’gains or losses on their open forward, commodity option and certain non-U.S.futures positions as such gains and losses are not collected or paid until suchpositions are closed out.

 

Each FuturesAccess Fund’s Cash Assets may be greaterthan, less than or equal to such FuturesAccess Fund’s Net Asset Value (on whichthe redemption value of the Units is based) primarily because Net Asset Valuereflects all gains and losses on open positions as well as accrued but unpaidexpenses.

 

MLPF&S intends to pay interest on theFuturesAccess Funds’ Cash Assets (irrespective of how such Cash Assets are heldor invested) at the most favorable rate payable by MLPF&S to accounts ofMerrill Lynch affiliates, from time to time, although the actual rate paid toFuturesAccess Funds may be lower. In no event, however, will the rate so paidon such Cash Assets be less than 75% of such prevailing rate. MLPF&Sretains the additional economic benefit derived from possession of theFuturesAccess Funds’ Cash Assets.

 

MLPF&S, in the course of acting as commoditybroker for the FuturesAccess Funds, lends certain currencies to, and borrowscertain currencies from, the FuturesAccess Funds. In the course of doing so,MLPF&S both retains certain amounts of interest and receives other economicbenefits. In doing so, MLPF&S follows its standard procedures (as such proceduresmay change over time) for paying interest on the assets of the commodity poolssponsored by MLAI and other MLPF&S affiliates and traded throughMLPF&S.

 

***Charges***

 

The followingtable summarizes the charges incurred by the Fund for the year ended December 31,2009 and for the period September 1, 2008 (commencement of operations) to December 31,2008.

 
| ** **       | ** ** | **2009**   | ** ** | **2008**          | ** ** |
|------------------|------------|------------|------------|-------------------|------------|
| ** **       | ** ** | ** ** | ** ** | **% of  Average** | ** ** | ** ** | ** ** | **% of  Average** | ** ** |
| ** **       | ** ** | **Dollar** | ** ** | **Month-End**     | ** ** | **Dollar** | ** ** | **Month-End** | ** ** |
| **Charges**      | ** ** | **Amount** | ** ** | **Net  Assets**   | ** ** | **Amount** | ** ** | **Net  Assets (1)** | ** ** |
| Other Expenses   |       | $          | 293,309    |              | 0.48       | % | $ | 77,733 |   | 0.19 | % |
| Sponsor fees     |       | 76,798     |       | 0.15              | %          | — |   | 0.00 | % |
| Management fees  |       | 1,255,634  |       | 2.06              | %          | 290,672 |   | 0.70 | % |
| Performance fees |       | 839,877    |       | 1.38              | %          | 2,619,030 |   | 6.26 | % |
| Total            |       | $          | 2,465,618  |              | 4.07       | % | $ | 2,987,435 |   | 7.15 | % |

 

----

(1) Not annualized

 

The foregoing table doesnot reflect the bid-ask spreads paid by the Fund on its forward trading, or thebenefits which may be derived by Merrill Lynch from the deposit of certain ofthe Fund’s U.S. dollar assets maintained at MLPF&S.

 

TheFund’s average month-end Net Asset Values during 2009 and 2008 equaled$61,066,568, $41,805,928, respectively.

 

During 2009, the Fundearned $7,933 in interest income, or approximately 0.01% of the Fund’s averagemonth-end Net Asset Values. During 2008, the Fund earned $91,446 in interestincome, or approximately 0.22% of the Fund’s average month-end Net AssetValues.

 

6

----

 

**Descriptionof Current Charges**

 
| **Recipient**                                                                                | ** ** | **Nature of Payment**   | ** ** | **Amount of Payment**                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |
|----------------------------------------------------------------------------------------------|------------|-------------------------|------------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| ** **                                                                                   | ** ** | ** **              | ** ** | ** **                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |
| MLPF&S                                                                                   |       | Brokerage Commissions   |       | During 2009 and 2008 the round-turn (each purchase  and sale or sale and purchase of a single futures contract) rate of the  Fund’s flat-rate Brokerage Commissions were approximately $6.85 and $9.51,  respectively.                                                                                                                                                                                                                                                                                                                                      |
|                                                                                         |       |                    |       |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |
| MLPF&S                                                                                   |       | Use of assets           |       | Merrill Lynch may derive an economic benefit from  the deposit of certain of the Fund’s U.S. dollar assets in accounts  maintained at MLPF&S.                                                                                                                                                                                                                                                                                                                                                                                                           |
|                                                                                         |       |                    |       |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |
| MLAI                                                                                         |       | Sponsor Fees            |       | A flat-rate monthly charge of 0.125 of 1% (1.50%  annual rate) on Class A units, flat-rate monthly charge of 0.2083 of 1%  (2.50% annual rate) on Class C units, a flat-rate monthly charge of  0.0917 of 1% (1.10% annual rate) on Class I units (including the monthly  interest credit and before reduction for accrued month-end redemptions,  distributions, brokerage commissions, sponsor fees, management fees or  performance fees, in each case as of the end of the month of determination).  Class D does not pay a sponsor fee. |
|                                                                                         |       |                    |       |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |
| MLPF&S                                                                                   |       | Sales Commissions       |       | Class A Units are subject to a sales commission  paid to MLPF&S ranging from 1.0% to 2.5%. Class D and Class I  Units are subject to sales commissions up to 0.5%. Sales  commissions are deducted from proceeds prior to entering the Fund. Shares  purchased and reflected in the Fund records are net of any commissions charged  by MLPF&S. Class C  and DS Units are not subject to any sales commissions.                                                                                                                      |
|                                                                                         |       |                    |       |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |
| Merrill Lynch International Bank (“MLIB”) (or an  affiliate); Other counterparties |       | Bid—ask spreads    |       | Bid—ask spreads are not accounted for separately as  an accounting item because bid-ask spreads are an integral part of the price  paid or received on all contracts for generally accepted accounting  principles.                                                                                                                                                                                                                                                                                                                                         |
|                                                                                         |       |                    |       |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |
| MLIB (or an affiliate); Other counterparties                                                 |       | EFP differentials       |       | Certain of the Fund’s currency trades may be  executed in the form of “exchange of futures for physical” transactions, in  which a counterparty (which may be MLIB or an affiliate) receives an  additional “differential” spread for exchanging the Fund’s cash currency  positions for equivalent futures positions.                                                                                                                                                                                                             |
|                                                                                         |       |                    |       |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |
| BLUECREST                                                                                    |       | Annual Performance Fees |       | 25% of any New Trading Profits, as defined,  generated by the Fund as a whole, as of the end of each calendar year. “New  Trading Profits” equal any increase in the Net Asset Value of the Fund, prior  to reduction for any accrued performance fee, as of the current performance  fee calculation date over the Fund’s “High Water Mark.”The “High Water Mark” attributable  to the Fund equals                                                                                                                           |

 

7

----

 
|               |   |                                                               |   | the highest Net Asset Value after reduction for the  performance fee then paid, as of any preceding performance fee calculation  date. Net Asset Value, solely for purposes of calculating the performance  fee, does not include any interest income earned by the Fund. |
|--------------------|--------|--------------------------------------------------------------------|--------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|               |   |                                                               |   |                                                                                                                                                                                                                                                                      |
| BLUECREST and MLAI |   | Management fees                                                    |   | All classes pay a flat-rate monthly charge of 0.1667  of 1% of the Fund’s month-end assets (a 2.0% annual rate). MLAI receives 50%  of the 2% annual rate.                                                                                                           |
|               |   |                                                               |   |                                                                                                                                                                                                                                                                      |
| Others             |   | Operating expense of Fund including audit, legal and  tax services |   | Actual payments to third parties.                                                                                                                                                                                                                                         |
|               |   |                                                               |   |                                                                                                                                                                                                                                                                      |
| MLAI; Others       |   | Initial Offering Costs reimbursed                                  |   | Actual costs incurred.                                                                                                                                                                                                                                                    |

 

***Regulation***

 

The CFTC has delegated to the National FuturesAssociation responsibility for the registration of “commodity trading advisors,”“commodity pool operators,” “futures commission merchants,” “introducingbrokers” and their respective associated persons, and “floor brokers” and “floortraders.”  The Commodity Exchange Actrequires commodity pool operators such as MLAI, commodity trading advisors suchas the Trading Advisor and commodity brokers or futures commission merchants (“FCMs”)such as MLPF&S to be registered and to comply with various reporting andrecord keeping requirements.  CFTCregulations also require FCMs to maintain a minimum level of net capital.  In addition, the CFTC and certain commoditiesexchanges have established limits referred to as “speculative position limits”on the maximum net long or net short speculative positions that any person mayhold or control in any particular futures or options contracts traded on U.S.commodities exchanges.  All accountsowned or managed by the Trading Advisor will be combined for position limitpurposes.  The Trading Advisor could berequired to liquidate positions in order to comply with such limits.  Any such liquidation could result insubstantial costs to the Fund.  Inaddition, many futures exchanges impose limits beyond which the price of a futurescontract may not trade during the course of a trading day, and there is apotential for a futures contract to reach its daily price limit for severaldays in a row, making it impossible for the Trading Advisor to liquidate aposition and thereby experiencing dramatic losses.  Currency forward contracts are not currentlysubject to regulation by any U.S. government agency.

 

Other than inrespect of the registration requirements pertaining to the Fund’s securitiesunder Section 12(g) of the Securities Exchange Act of 1934, the Fundis generally not subject to regulation by the Securities and ExchangeCommission (the “SEC”).  However, MLAI isregistered as an “investment adviser” under the Investment Advisers Act of1940.  MLPF&S is also regulated bythe SEC and the Financial Industry Regulatory Authority (“FINRA”).

 

(d)                                 Financial Information about GeographicAreas

 

The Fund does notengage in material operations in foreign countries, nor is a material portionof the Fund’s revenue derived from customers in foreign countries.

 

The Fund trades ona number of foreign commodity exchanges. The Fund does not engage in the sales of goods or services.

 

**Item1A:  Risk Factors**

 

## **Past Performance Not Necessarily Indicative of Future Results**

##  

Pastperformance is not necessarily indicative of future results.  The trading advisor’s past performance maynot be representative of how it may trade in the future for the Fund.

 

8

----

 

## **Volatile Markets; Highly Leveraged Trading**

##  

Futuresand forward trading is highly leveraged, and market price levels are volatileand materially affected by unpredictable factors such as weather andgovernmental intervention.  Thecombination of leverage and volatility creates a high degree of risk.

 

## **Importance of General Market Conditions**

##  

Overallmarket or economic conditions — which neither MLAI nor the trading advisor canpredict or control — have a material effect on the performance of any managedfutures strategy.

 

## **Possibility of Additional Government or Market Regulation.**

##  

Marketdisruptions and the dramatic increase in the capital allocated to alternativeinvestment strategies during recent years have led to increased governmental aswell as self-regulatory scrutiny of the alternative investment funds industryin general.  In addition, certainlegislation proposing greater regulation of the industry periodically isconsidered by the U.S. Congress, as well as the governing bodies of foreignjurisdictions. It is impossible to predict what, if any, changes in theregulations applicable to the Fund, its Manager (MLAI), the markets in whichthey trade and invest or the counterparties with which they do business may beinstituted in the future. Any such regulation could have a material adverseimpact on the profit potential of the Fund, as well as require increasedtransparency as to the identity of the Fund’s members.

 

## **Forward Trading**

##  

TheFund will trade currencies in the forward markets in addition to trading infutures markets.  The forward markets areover-the-counter, non-exchange traded markets, and in trading in these markets,the Fund will be dependent on the credit standing of the counterparties withwhich they trade, without the financial support of any clearinghousesystem.  In addition, the prices offeredfor the same forward contract may vary significantly among different forwardmarket participants.  Forward marketscounterparties are under no obligation to enter into forward transactions withthe Fund, including transactions through which the Fund is attempting toliquidate open positions.

 

***Effectsof Speculative Position Limits***

*** ***

The CFTC and the U.S. commodities exchanges haveestablished limits referred to as “speculative position limits” on the maximumnet long or net short speculative positions that any person may hold or controlin any particular futures or options contracts traded on U.S. commoditiesexchanges.  For example, the CFTCcurrently imposes speculative position limits on a number of agriculturalcommodities (e.g., corn, oats, wheat, soybeans and cotton). All commodityaccounts controlled by the Trading Advisor and its principals and theiraffiliates are combined for speculative position limit purposes.  The Trading Advisor could be required toliquidate positions held for the Fund, or may not be able to fully implementtrading instructions generated by its trading models, in order to comply withsuch limits.  Any such liquidation orlimited implementation could result in substantial costs to the Fund.

 

## **Increased Assets Under Management**

##  

Thereappears to be a tendency for the rates of return achieved by managed futuresadvisors to decline as assets under management increase.  The Trading Advisor has not agreed to limitthe amount of additional equity which it may manage.

 

## **Trading Advisor Risk**

##  

TheFund is subject to the risk of the bad judgment, negligence or misconduct ofits Trading Advisor.  There have been anumber of instances in recent years in which private investment funds haveincurred substantial losses due to Trading Advisor misconduct.

 

## **Changes in Trading Strategy**

##  

The trading advisor may make materialchanges in its trading strategies without the knowledge or seeking approval ofMLAI.

 

9

----

 

## **Illiquid Markets**

##  

Certainpositions held by the Fund may become illiquid, preventing the Fund’s TradingAdvisor from acquiring positions otherwise indicated by its strategy or makingit impossible for the trading advisor to close out positions against which themarket is moving.

 

Certainfutures markets are subject to “daily price limits,” restricting the maximum amountby which the price of a particular contract can change during any given tradingday.  Once a contract’s price has moved “thelimit,” it may be impossible or economically non-viable to execute trades insuch contract.  From time to time, priceshave moved “the limit” for a number of consecutive days, making itimpossible for traders against whose positions the market was moving to preventlarge losses.

 

## **Trading on Non-U.S. Exchanges**

##  

TheTrading Advisor may trade extensively on non-U.S. exchanges.  These exchanges are not regulated by anyUnited States governmental agency.  TheFund could incur substantial losses trading on foreign exchanges to which itwould not have been subject had its Trading Advisor limited its trading to U.S.markets.

 

Theprofits and losses derived from trading foreign futures and forwards willgenerally be denominated in foreign currencies; consequently, the Fund will besubject to a certain degree of exchange-rate risk in trading such contracts.

 

***TheFund Could Lose Assets and Have Its Trading Disrupted Due to the Bankruptcy ofOne of the Parties***

*** ***

The Fund is subject to the risk of insolvency of its counterparties, anexchange, a clearinghouse or MLPF&S. Fund assets could be lost or impounded during lengthy bankruptcyproceedings.  Were a substantial portionof the Fund’s capital tied up in a bankruptcy, MLAI might suspend or limittrading, 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.

 

**Item 1B: UnresolvedStaff Comments**

 

Not applicable.

 

**Item 2:****         ****Properties**

 

The Fund does notuse any physical properties in the conduct of its business.

 

The Fund’s sponsoroffices are the administrative offices of MLAI (Merrill Lynch AlternativeInvestments LLC, Four World Financial Center, 6th Floor, 250 Vesey Street New York, New York10080).  MLAI performs administrativeservices for the Fund from MLAI’s offices.

 

**Item 3:****         ****Legal Proceedings**

 

None.

 

**Item 4:****         ****Reserved**

 

10

----

 

**PART II**

 

**Item 5:****         ****Market for Registrant’s Common Equity, RelatedStockholder Matters and Issuer Purchases of Equity Securities**

 

Item 5(a)

 

(a)                                  Market Information:

 

There is noestablished public trading market for the Units, and none is likely todevelop.  Members may redeem Units on tendays written notice to MLAI as of the last day of each month at their Net AssetValue, subject to certain early redemption charges.

 

(b)                                 Holders:

 

As of December 31,2009, there were 314 holders of Units including MLAI, none of whom owned 5% ormore of the Fund’s Units.

 

(c)                                  Dividends:

 

MLAI has not madeand does not contemplate making any distributions on the Units.

 

(d)                                 Securities Authorized for Issuance UnderEquity Compensation Plans:

 

Not applicable.

 

(e)                                  Performance Graph:

 

Not applicable.

 

11

----

 

(f)            Recent Sales of Unregistered Securities:

 

Issuance to accreditedinvestors pursuant to Regulation D and Section 4(6) under theSecurities Act.  The selling agent of thefollowing Class of Units was MLPF&S.

 

CLASS A

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-09     |       | $                | —     |       | —     |   | $ | — |   |
| Feb-09     |       | —           |       | —     |       | — |   |
| Mar-09     |       | —           |       | —     |       | — |   |
| Apr-09     |       | —           |       | —     |       | — |   |
| May-09     |       | —           |       | —     |       | — |   |
| Jun-09     |       | —           |       | —     |       | — |   |
| Jul-09     |       | —           |       | —     |       | — |   |
| Aug-09     |       | 143,325          |       | 143,325    |       | 1.0000 |   |
| Sep-09     |       | 128,698          |       | 126,076    |       | 1.0208 |   |
| Oct-09     |       | 697,120          |       | 653,591    |       | 1.0666 |   |
| Nov-09     |       | 34,124           |       | 31,942     |       | 1.0683 |   |
| Dec-09     |       | 629,422          |       | 555,144    |       | 1.1338 |   |
| Jan-10     |       | 611,375          |       | 570,100    |       | 1.0724 |   |
| Feb-10     |       | 446,318          |       | 432,144    |       | 1.0328 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS C

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-09     |       | $                | —     |       | —     |   | $ | — |   |
| Feb-09     |       | —           |       | —     |       | — |   |
| Mar-09     |       | —           |       | —     |       | — |   |
| Apr-09     |       | —           |       | —     |       | — |   |
| May-09     |       | —           |       | —     |       | — |   |
| Jun-09     |       | —           |       | —     |       | — |   |
| Jul-09     |       | —           |       | —     |       | — |   |
| Aug-09     |       | 1,548,809        |       | 1,548,809  |       | 1.0000 |   |
| Sep-09     |       | 1,313,436        |       | 1,287,809  |       | 1.0199 |   |
| Oct-09     |       | 2,341,651        |       | 2,199,146  |       | 1.0648 |   |
| Nov-09     |       | 1,702,452        |       | 1,597,646  |       | 1.0656 |   |
| Dec-09     |       | 3,529,498        |       | 3,123,173  |       | 1.1301 |   |
| Jan-10     |       | 2,800,138        |       | 2,617,441  |       | 1.0698 |   |
| Feb-10     |       | 2,434,944        |       | 2,365,401  |       | 1.0294 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS D

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-09     |       | $                | —     |       | —     |   | $ | — |   |
| Feb-09     |       | —           |       | —     |       | — |   |
| Mar-09     |       | —           |       | —     |       | — |   |
| Apr-09     |       | —           |       | —     |       | — |   |
| May-09     |       | —           |       | —     |       | — |   |
| Jun-09     |       | —           |       | —     |       | — |   |
| Jul-09     |       | —           |       | —     |       | — |   |
| Aug-09     |       | 1,126,139        |       | 1,126,139  |       | 1.0000 |   |
| Sep-09     |       | —           |       | —     |       | 1.0221 |   |
| Oct-09     |       | 3,896,902        |       | 3,644,349  |       | 1.0693 |   |
| Nov-09     |       | —           |       | —     |       | 1.0723 |   |
| Dec-09     |       | 6,226,446        |       | 5,464,191  |       | 1.1395 |   |
| Jan-10     |       | —           |       | —     |       | 1.0750 |   |
| Feb-10     |       | 482,139          |       | 465,116    |       | 1.0366 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS I

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-09     |       | $                | —     |       | —     |   | $ | — |   |
| Feb-09     |       | —           |       | —     |       | — |   |
| Mar-09     |       | —           |       | —     |       | — |   |
| Apr-09     |       | —           |       | —     |       | — |   |
| May-09     |       | —           |       | —     |       | — |   |
| Jun-09     |       | —           |       | —     |       | — |   |
| Jul-09     |       | —           |       | —     |       | — |   |
| Aug-09     |       | 204,995          |       | 204,995    |       | 1.0000 |   |
| Sep-09     |       | 1,891,473        |       | 1,852,388  |       | 1.0211 |   |
| Oct-09     |       | 1,080,002        |       | 1,011,901  |       | 1.0673 |   |
| Nov-09     |       | 410,619          |       | 384,007    |       | 1.0693 |   |
| Dec-09     |       | 1,327,536        |       | 1,169,120  |       | 1.1355 |   |
| Jan-10     |       | 1,026,564        |       | 951,491    |       | 1.0789 |   |
| Feb-10     |       | 1,575,618        |       | 1,515,892  |       | 1.0394 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS DS

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-09     |       | $                | 1,348,342  |       | 1,102,668  |   | $ | 1.2227 |   |
| Feb-09     |       | 2,168,541        |       | 1,792,775  |       | 1.2096 |   |
| Mar-09     |       | 826,512          |       | 680,929    |       | 1.2138 |   |
| Apr-09     |       | 997,696          |       | 830,790    |       | 1.2009 |   |
| May-09     |       | 3,367,135        |       | 2,941,757  |       | 1.1446 |   |
| Jun-09     |       | —           |       | —     |       | 1.1820 |   |
| Jul-09     |       | 2,547,592        |       | 2,207,045  |       | 1.1543 |   |
| Aug-09     |       | 483,349          |       | 417,688    |       | 1.1572 |   |
| Sep-09     |       | 628,347          |       | 531,282    |       | 1.1827 |   |
| Oct-09     |       | —           |       | —     |       | 1.2374 |   |
| Nov-09     |       | —           |       | —     |       | 1.2409 |   |
| Dec-09     |       | —           |       | —     |       | 1.3191 |   |
| Jan-10     |       | 1,383,609        |       | 1,092,467  |       | 1.2665 |   |
| Feb-10     |       | 62,143,584       |       | 50,887,311 |       | 1.2212 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

----

(1) Beginning of the month Net Asset Value

 

Class A Unitsare subject to sales commission paid to MLPF&S ranging from 1.0% to 2.5%. Class Dand Class I Units are subject to sales commissions up to 0.50%. The rateassessed to a given subscription is based upon the subscription amount. Salescommissions are directly deducted from subscription amount. Class C, Class DSand Class DT Units are not subject to any sales commissions.

 

12

----

 

Item 5(b)

 

Not applicable.

 

Item 5(c)

 

Not applicable.

 

**Item 6:****  ****Selected Financial Data**

 

The followingselected financial data has been derived from the financial statements of theFund.

 
| **Statements  of Operations** | ** ** | **For  the year  ended  December 31,  2009** | ** ** | **For  the period ended  December 31, 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 fees               |       | 1,255,634                                         |       | 290,672                                           |       |
| Performance fees              |       | 839,877                                           |       | 2,619,030                                         |       |
| Sponsor fees                  |       | 76,798                                            |       | —                                            |       |
| Other                         |       | 293,309                                           |       | 77,733                                            |       |
| Total Expenses                |       | 2,465,618                                         |       | 2,987,435                                         |       |
|                          |       |                                              |       |                                              |       |
| NET INVESTMENT INCOME (LOSS)  |       | (2,457,685                                        | )          | (2,895,989                                        | )          |
|                          |       |                                              |       |                                              |       |
| NET INCOME (LOSS)             |       | $                                                 | 2,424,633  |                                              | $          | 7,946,204 |   |

 
| **Balance Sheet Data**                     | ** ** | **December 31,  2009** | ** ** | **December 31,  2008** | ** ** |
|--------------------------------------------|------------|-----------------------------|------------|-----------------------------|------------|
|                                       |       |                        |       |                        |       |
| Members’  Capital                     |       | $                           | 88,998,199 |                        | $          | 48,986,858 |   |
| Net  Asset Value per Series A Unit*   |       | 1.0724                      |       | —                      |       |
| Net  Asset Value per Series C Unit*   |       | 1.0698                      |       | —                      |       |
| Net  Asset Value per Series D Unit*   |       | 1.0750                      |       | —                      |       |
| Net  Asset Value per Series I Unit*   |       | 1.0789                      |       | —                      |       |
| Net  Asset Value per Series DS Unit** |       | 1.2665                      |       | 1.2227                      |       |
|                                            |            |                             |            |                             |            |  |  |

 

----

*Units issued on August 1, 2009.

**Units issued on September 1, 2008.

 

13

----

 

As of December 31,2009 and 2008 the Net Asset Value per Unit of the different Classes are asfollows:

 
| 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 |   |
|                              |            |  |  |  |

 

MLAI believes thatthe Net Asset Value used to calculate subscription and redemption value andreport performance to investors throughout the year is the most valuablefinancial information to the Members of the Fund.

 

MONTH-END NET ASSET VALUE PER INITIAL UNITCLASS A

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **June** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** | **Oct.** | ** ** | **Nov.** | ** ** | **Dec.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|----------|------------|----------|------------|----------|------------|
| 2009       |       | n/a      |       | n/a      |       | n/a      |       | n/a      |       | n/a     |       | n/a      |       | n/a      |       | $        | 1.0208     |      | $          | 1.0666   |       | $        | 1.0683     |     | $          | 1.1338 |   | $ | 1.0724 |   |
|            |            |          |            |          |            |          |            |          |            |         |            |          |            |          |            |          |            |           |            |          |            |          |            |          |            |  |  |  |  |  |

 

MONTH-ENDNET ASSET VALUE PER INITIAL UNIT CLASS C

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **June** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** | **Oct.** | ** ** | **Nov.** | ** ** | **Dec.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|----------|------------|----------|------------|----------|------------|
| 2009       |       | n/a      |       | n/a      |       | n/a      |       | n/a      |       | n/a     |       | n/a      |       | n/a      |       | $        | 1.0199     |      | $          | 1.0648   |       | $        | 1.0656     |     | $          | 1.1301 |   | $ | 1.0698 |   |
|            |            |          |            |          |            |          |            |          |            |         |            |          |            |          |            |          |            |           |            |          |            |          |            |          |            |  |  |  |  |  |

 

MONTH-ENDNET ASSET VALUE PER INITIAL UNIT CLASS D

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **June** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** | **Oct.** | ** ** | **Nov.** | ** ** | **Dec.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|----------|------------|----------|------------|----------|------------|
| 2009       |       | n/a      |       | n/a      |       | n/a      |       | n/a      |       | n/a     |       | n/a      |       | n/a      |       | $        | 1.0221     |      | $          | 1.0693   |       | $        | 1.0723     |     | $          | 1.1395 |   | $ | 1.0750 |   |
|            |            |          |            |          |            |          |            |          |            |         |            |          |            |          |            |          |            |           |            |          |            |          |            |          |            |  |  |  |  |  |

 

MONTH-ENDNET ASSET VALUE PER INITIAL UNIT CLASS I

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **June** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** | **Oct.** | ** ** | **Nov.** | ** ** | **Dec.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|----------|------------|----------|------------|----------|------------|
| 2009       |       | n/a      |       | n/a      |       | n/a      |       | n/a      |       | n/a     |       | n/a      |       | n/a      |       | $        | 1.0211     |      | $          | 1.0673   |       | $        | 1.0693     |     | $          | 1.1355 |   | $ | 1.0789 |   |
|            |            |          |            |          |            |          |            |          |            |         |            |          |            |          |            |          |            |           |            |          |            |          |            |          |            |  |  |  |  |  |

 

MONTH-ENDNET ASSET VALUE PER INITIAL UNIT CLASS DS

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **June** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** | **Oct.** | ** ** | **Nov.** | ** ** | **Dec.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|----------|------------|----------|------------|----------|------------|
| 2008       |       | n/a      |       | n/a      |       | n/a      |       | n/a      |       | n/a     |       | n/a      |       | n/a      |       | n/a      |       | $         | 1.0408     |     | $          | 1.1416   |       | $        | 1.1916     |   | $ | 1.2227 |   |
|            |            |          |            |          |            |          |            |          |            |         |            |          |            |          |            |          |            |           |            |          |            |          |            |          |            |  |  |  |  |
| 2009 |   | $ | 1.2096 |   | $ | 1.2138 |   | $ | 1.2009 |   | $ | 1.1446 |   | $ | 1.1820 |   | $ | 1.1543 |   | $ | 1.1572 |   | $ | 1.1827 |   | $ | 1.2374 |   | $ | 1.2409 |   | $ | 1.3191 |   | $ | 1.2665 |   |
|------|--------|---|--------|--------|---|--------|--------|---|--------|--------|---|--------|--------|---|--------|--------|---|--------|--------|---|--------|--------|---|--------|--------|---|--------|--------|---|--------|--------|---|--------|--------|---|--------|--------|

 

14

----

 

**MLBLUETREND FUTURESACCESS LLC**

**(CLASS AUNITS)**(5)

**December 31,2009**

 

*Type ofPool:*  Single Advisor Non-“Principal Protected”(1)

*Inceptionof Trading:* August 1,2009

*AggregateSubscriptions:*$1,632,689

*CurrentCapitalization: * $1,619,480

*WorstMonthly Drawdown(2): *(5.42)% ( December 2009 )

*WorstPeak-to-Valley Drawdown(3): *(5.42)% ( December 2009)

 

*Net Asset Value per Unit forClass A, December 31, 2009:*   $1.0724

 

**Monthly Rates of Return (4)**

 

| **Month**                       | ** ** | **2009** | ** ** |
|---------------------------------|------------|----------|------------|
| January                         |       | 0.00     | %          |
| February                        |       | —   |       |
| March                           |       | —   |       |
| April                           |       | —   |       |
| May                             |       | —   |       |
| June                            |       | —   |       |
| July                            |       | —   |       |
| August                          |       | 2.08     |       |
| September                       |       | 4.49     |       |
| October                         |       | 0.16     |       |
| November                        |       | 6.13     |       |
| December                        |       | (5.42    | )          |
| Compound  Annual Rate of Return |       | 7.23     | %          |

 

----

(1) Certainfunds are structured so as to guarantee to investors that their investment willbe worth no less than a specified amount (typically, the initial purchaseprice) as of a date certain after the date of investment.  The CFTC refers to such funds as “principalprotected”.

 

(2) WorstMonthly Drawdown represents the largest negative Monthly Rate of Returnexperienced since August 1, 2009 by the Fund; a drawdown is measured onthe basis of month-end Net Asset Value only, and does not reflect intra-monthfigures.

 

(3) WorstPeak-to-Valley Drawdown represents the greatest percentage decline since August 1,2009 from a month-end cumulative Monthly Rate of Return without such cumulativeMonthly Rate of Return being equaled or exceeded as of a subsequentmonth-end.  For example, if the MonthlyRate of Return was (1)% in each of January and February, 1% in March and(2)% in April, the Peak-to-Valley Drawdown would still be continuing at the endof April in the amount of approximately (3)%, whereas if the Monthly Rateof Return had been approximately 3% in March, the Peak-to-Valley Drawdown wouldhave ended as of the end of February at approximately the (2)% level.

 

(4) MonthlyRate of Return is the net performance of the Fund during the month ofdetermination (including interest income and after all expenses have beenaccrued or paid) divided by the total capital of the Fund as of the beginningof such month*.*

 

(5) Theinformation presented is based on Net Asset Value and Net Asset Value per Unit.The inception to date total return is 7.24%.

 

15

----

 

**MLBLUETREND FUTURESACCESS LLC**

**(CLASS CUNITS)**(5)

**December 31,2009**

 

*Type ofPool:*  Single Advisor Non-“Principal Protected”(1)

*Inceptionof Trading:* August 1,2009

*AggregateSubscriptions:*   $10,435,845

*CurrentCapitalization: * $10,404,329

*WorstMonthly Drawdown(2): *(5.34)% (December 2009)

*WorstPeak-to-Valley Drawdown(3): *(5.34)% (December 2009)

 

*Net Asset Value per Unit forClass C, December 31, 2009:*   $1.0698

 

**Monthly Rates of Return (4)**

 

| **Month**                       | ** ** | **2009** | ** ** |
|---------------------------------|------------|----------|------------|
| January                         |       | 0.00     | %          |
| February                        |       | —   |       |
| March                           |       | —   |       |
| April                           |       | —   |       |
| May                             |       | —   |       |
| June                            |       | —   |       |
| July                            |       | —   |       |
| August                          |       | 1.99     |       |
| September                       |       | 4.40     |       |
| October                         |       | 0.08     |       |
| November                        |       | 6.05     |       |
| December                        |       | (5.34    | )          |
| Compound  Annual Rate of Return |       | 6.93     | %          |

 

----

(1) Certainfunds are structured so as to guarantee to investors that their investment willbe worth no less than a specified amount (typically, the initial purchaseprice) as of a date certain after the date of investment.  The CFTC refers to such funds as “principalprotected”.

 

(2) WorstMonthly Drawdown represents the largest negative Monthly Rate of Returnexperienced since August 1, 2009 by the Fund; a drawdown is measured onthe basis of month-end Net Asset Value only, and does not reflect intra-monthfigures.

 

(3) WorstPeak-to-Valley Drawdown represents the greatest percentage decline since August 1,2009 from a month-end cumulative Monthly Rate of Return without such cumulativeMonthly Rate of Return being equaled or exceeded as of a subsequentmonth-end.  For example, if the MonthlyRate of Return was (1)% in each of January and February, 1% in March and(2)% in April, the Peak-to-Valley Drawdown would still be continuing at the endof April in the amount of approximately (3)%, whereas if the Monthly Rateof Return had been approximately 3% in March, the Peak-to-Valley Drawdown wouldhave ended as of the end of February at approximately the (2)% level.

 

(4) MonthlyRate of Return is the net performance of the Fund during the month ofdetermination (including interest income and after all expenses have beenaccrued or paid) divided by the total capital of the Fund as of the beginningof such month*.*

 

(5) Theinformation presented is based on Net Asset Value and Net Asset Value per Unit.The inception to date total return is 6.98%.

 

16

----

 

**MLBLUETREND FUTURESACCESS LLC**

**(CLASS DUNITS)**(5)

**December 31,2009**

 

*Type ofPool:*  Single Advisor Non-“Principal Protected”(1)

*Inceptionof Trading:* August 1,2009

*AggregateSubscriptions:*   $11,249,487

*CurrentCapitalization: * $11,002,450

*WorstMonthly Drawdown(2): *(5.66)% (December 2009)

*WorstPeak-to-Valley Drawdown(3): *(5.66)% ( December 2009 )

 

*Net Asset Value per Unit forClass D, December 31, 2009:*   $1.0750

 

**Monthly Rates of Return (4)**

 

| **Month**                       | ** ** | **2009** | ** ** |
|---------------------------------|------------|----------|------------|
| January                         |       | 0.00     | %          |
| February                        |       | —   |       |
| March                           |       | —   |       |
| April                           |       | —   |       |
| May                             |       | —   |       |
| June                            |       | —   |       |
| July                            |       | —   |       |
| August                          |       | 2.21     |       |
| September                       |       | 4.62     |       |
| October                         |       | 0.28     |       |
| November                        |       | 6.27     |       |
| December                        |       | (5.66    | )          |
| Compound  Annual Rate of Return |       | 7.56     | %          |

 

----

(1) Certainfunds are structured so as to guarantee to investors that their investment willbe worth no less than a specified amount (typically, the initial purchaseprice) as of a date certain after the date of investment.  The CFTC refers to such funds as “principalprotected”.

 

(2) WorstMonthly Drawdown represents the largest negative Monthly Rate of Returnexperienced since August 1, 2009 by the Fund; a drawdown is measured onthe basis of month-end Net Asset Value only, and does not reflect intra-monthfigures.

 

(3) WorstPeak-to-Valley Drawdown represents the greatest percentage decline since August 1,2009 from a month-end cumulative Monthly Rate of Return without such cumulativeMonthly Rate of Return being equaled or exceeded as of a subsequentmonth-end.  For example, if the MonthlyRate of Return was (1)% in each of January and February, 1% in March and(2)% in April, the Peak-to-Valley Drawdown would still be continuing at the endof April in the amount of approximately (3)%, whereas if the Monthly Rateof Return had been approximately 3% in March, the Peak-to-Valley Drawdown wouldhave ended as of the end of February at approximately the (2)% level.

 

(4) MonthlyRate of Return is the net performance of the Fund during the month ofdetermination (including interest income and after all expenses have been accruedor paid) divided by the total capital of the Fund as of the beginning of suchmonth*.*

 

(5) Theinformation presented is based on Net Asset Value and Net Asset Value per Unit.. The inception to date total return is 7.50%.

 

17

----

 

**MLBLUETREND FUTURESACCESS LLC**

**(CLASS IUNITS)**(5)

**December 31,2009**

 

*Type ofPool:*  Single Advisor Non-“Principal Protected”(1)

*Inceptionof Trading:* August 1,2009

*AggregateSubscriptions:* $4,914,625

*CurrentCapitalization: * $4,987,007

*WorstMonthly Drawdown(2): *(4.98)% ( December 2009 )

*WorstPeak-to-Valley Drawdown(3): *(4.98)% ( December 2009)

 

*Net Asset Value per Unit forClass I, December 31, 2009:*   1.0789

 

**Monthly Rates of Return (4)**

 

| **Month**                       | ** ** | **2009** | ** ** |
|---------------------------------|------------|----------|------------|
| January                         |       | 0.00     | %          |
| February                        |       | —   |       |
| March                           |       | —   |       |
| April                           |       | —   |       |
| May                             |       | —   |       |
| June                            |       | —   |       |
| July                            |       | —   |       |
| August                          |       | 2.11     |       |
| September                       |       | 4.52     |       |
| October                         |       | 0.19     |       |
| November                        |       | 6.19     |       |
| December                        |       | (4.98    | )          |
| Compound  Annual Rate of Return |       | 7.89     | %          |

 

----

(1) Certainfunds are structured so as to guarantee to investors that their investment willbe worth no less than a specified amount (typically, the initial purchaseprice) as of a date certain after the date of investment.  The CFTC refers to such funds as “principalprotected”.

 

(2) WorstMonthly Drawdown represents the largest negative Monthly Rate of Returnexperienced since August 1, 2009 by the Fund; a drawdown is measured onthe basis of month-end Net Asset Value only, and does not reflect intra-monthfigures.

 

(3) WorstPeak-to-Valley Drawdown represents the greatest percentage decline since August 1,2009 from a month-end cumulative Monthly Rate of Return without such cumulativeMonthly Rate of Return being equaled or exceeded as of a subsequentmonth-end.  For example, if the MonthlyRate of Return was (1)% in each of January and February, 1% in March and(2)% in April, the Peak-to-Valley Drawdown would still be continuing at the endof April in the amount of approximately (3)%, whereas if the Monthly Rateof Return had been approximately 3% in March, the Peak-to-Valley Drawdown wouldhave ended as of the end of February at approximately the (2)% level.

 

(4) MonthlyRate of Return is the net performance of the Fund during the month ofdetermination (including interest income and after all expenses have beenaccrued or paid) divided by the total capital of the Fund as of the beginningof such month*.*

 

(5) Theinformation presented is based on Net Asset Value and Net Asset Value per Unit.The inception to date total return is 7.89%.

 

18

----

 

**MLBLUETREND FUTURESACCESS LLC**

**(CLASS DSUNITS)**(5)

**December 31,2009**

 

*Type ofPool:*  Single Advisor Non-“Principal Protected”(1)

*Inceptionof Trading:* September 1,2008

*AggregateSubscriptions:*   $53,408,167

*CurrentCapitalization: * $60,984,933

*WorstMonthly Drawdown(2): *(4.69)% ( April 2009 )

*WorstPeak-to-Valley Drawdown(3): *(6.39)% ( January - April 2009)

 

*Net Asset Value per Unit for Class DS,December 31, 2009:*   1.2665

 

**MonthlyRates of Return (4)**

 
| **Month**                       | ** ** | **2009** | ** ** | **2008** | ** ** |
|---------------------------------|------------|----------|------------|----------|------------|
| January                         |       | -1.08    | %          | —   |       |
| February                        |       | 0.35     |       | —   |       |
| March                           |       | (1.06    | )          | —   |       |
| April                           |       | (4.69    | )          | —   |       |
| May                             |       | 3.27     |       | —   |       |
| June                            |       | (2.34    | )          | —   |       |
| July                            |       | 0.25     |       | —   |       |
| August                          |       | 2.20     |       | —   |       |
| September                       |       | 4.63     |       | 4.08     | %          |
| October                         |       | 0.28     |       | 9.68     |       |
| November                        |       | 6.30     |       | 4.38     |       |
| December                        |       | (3.99    | )          | 2.62     |       |
| Compound  Annual Rate of Return |       | 3.29     | %          | 22.27    | %          |

 

----

(1) Certainfunds are structured so as to guarantee to investors that their investment willbe worth no less than a specified amount (typically, the initial purchaseprice) as of a date certain after the date of investment.  The CFTC refers to such funds as “principalprotected”.

 

(2) WorstMonthly Drawdown represents the largest negative Monthly Rate of Returnexperienced since September 1, 2008 by the Fund; a drawdown is measured onthe basis of month-end Net Asset Value only, and does not reflect intra-monthfigures.

 

(3) WorstPeak-to-Valley Drawdown represents the greatest percentage decline since September 1,2008 from a month-end cumulative Monthly Rate of Return without such cumulativeMonthly Rate of Return being equaled or exceeded as of a subsequentmonth-end.  For example, if the MonthlyRate of Return was (1)% in each of January and February, 1% in March and(2)% in April, the Peak-to-Valley Drawdown would still be continuing at the endof April in the amount of approximately (3)%, whereas if the Monthly Rateof Return had been approximately 3% in March, the Peak-to-Valley Drawdown wouldhave ended as of the end of February at approximately the (2)% level.

 

(4) MonthlyRate of Return is the net performance of the Fund during the month ofdetermination (including interest income and after all expenses have beenaccrued or paid) divided by the total capital of the Fund as of the beginningof such month*.*

 

(5) Theinformation presented is based on Net Asset Value and Net Asset Value per Unit.The inception to date total return is 26.64%.

 

19

----

 

**Item 7:****            ****Management’s Discussionand Analysis of Financial Condition and Results of Operations**

 

***OperationalOverview***

 

This performancesummary is an outline description of how the Fund performed in the past, notnecessarily any indication of how it will perform in the future.  In addition, the general causes to whichcertain price movements are attributed may or may not in fact have caused suchmovements, but simply occurred at or about the same time.

 

The Fund isunlikely to be profitable in markets in which such trends do not occur.  Static or erratic prices are likely to resultin losses.  Similarly, unexpected events(for example, a political upheaval, natural disaster or governmentalintervention) can lead to major short-term losses, as well as gains.

 

While there can beno assurance that the Fund will be profitable under any given market condition,markets in which substantial and sustained price movements occur typicallyoffer the best profit potential for the Fund.

 

***Resultsof Operations***

 

General

 

BlueCrest’sobjective in providing trading management services is to effect appreciation ofthe assets of its clients through the speculative trading of financialinstruments of any kind, which includes without limitation: (i) futurescontracts that are now traded, or may be traded in the future, on exchangeslocated in the United States and abroad and options on such futures contractsand (ii) foreign currencies, foreign currency futures contracts, foreigncurrency forward contracts, foreign currency forward contracts and optionsrelating thereto.

 

***PerformanceSummary***

 

This performancesummary is an outline description of how the Fund performed in the past, notnecessarily any indication of how it will perform in the future.  In addition, the general causes to whichcertain price movements are attributed may or may not have caused such movements,but simply occurred at or about the same time.

 

Year ended December 31, 2009

 
| ** **                               | ** ** | **Total  Trading  Profit (Loss)** | ** ** |
|------------------------------------------|------------|-----------------------------------|------------|
| Stock  Indices                           |       | $                                 | 6,832,896  |   |
| Metals                                   |       | 41,606                            |       |
| Agricultural  Commodities                |       | (259,796                          | )          |
| Currencies                               |       | (1,372,119                        | )          |
| Energy                                   |       | (1,594,326                        | )          |
| Interest  Rates                          |       | 1,464,617                         |       |
| Subtotal                                 |       | 5,112,878                         |       |
| Change  in Brokerage Commissions Payable |       | (230,560                          | )          |
| Total                                    |       | $                                 | 4,882,318  |   |

 

TheFund experienced a net trading profit before brokerage commissions and relatedfees of $5,112,878.  Profits wereprimarily attributable to the stock indices, interest rates and metals sectorsposting profits and the agriculture, currencies and energy sectors postedlosses.

 

Losses were posted to the Fund at the beginning of thefirst quarter. The Fund’s fixed income related positions were the majordetractor from performance as bond yields rose against the Fund’s longpositions.  The Fund’s currency positionsposted overall gains due to the Fund’s long U.S. dollar positions versus theBritish pound and the Australian dollar. The commodities and equities sectors contributed marginally to the Fund’sreturn at the end of January. Profits were posted to the Fund in the middle ofthe first quarter as equity-index related positions were the best performingsector for the Fund.  While the Fund’stotal equity exposure was a small net short position, the recent fall in equitymarkets

 

20

----

 

was large enough to produce profits for the Fund.  All other sectors posted losses for theFund.  The Fund had been concentratingits exposure in the last three months in fixed income as the Fund’s overalllong exposure produced mixed results with overall losses to the Fund.  The Fund’s currency sector positions alsoposted losses, primarily due to the Fund’s long positions in the Euro and shortpositions in the Australian dollar. The Fund had long fixed-income relatedpositions going into March and the choppiness in the markets did notchange its positioning significantly. With yields ending the month lower across the board, the Fund was ableto generate strong profits in fixed income, which were not enough to offsetlosses from the Fund’s positions in currencies and short position incommodities.  The Fund’s biggest lossescame from its currency positions.  TheFund was correctly positioned with respect to long positions in the Euro andshort positions in the British pound; however the Fund was incorrectlypositioned with respect to short positions in the Australian dollar, whichexperienced the largest price movement over the period.  The Fund’s commodity short positions postedlosses as most commodities ended the month higher resulting in losses beingposted to the Fund at the end of the first quarter.

 

Losses were posted to the Fund at the beginning of thesecond quarter. The Fund’s losses in equity indices, currencies and commoditieswere muted due to the reduction of its positions in these sectors.  Fixed income was the worst performing sector,followed by currencies.  Beginning thesecond quarter on a slightly bearish tone, the commodity markets were volatileas the change in economic sentiment took effect.  Despite higher than expected U.S. oilinventory numbers, energies were generally buoyed by the improved outlook andthe volatility in the markets led to a reduction in the Fund’s exposure, resultingin losses posted for the Fund.  The Fundposted losses in the metals and agricultural markets due to their volatility.Profits were posted to the Fund in the middle of the second quarter in allsectors with the exception of currencies. As investor sentiment generally became more optimistic that the worst ofthe recent economic crisis had occurred, and the Fund was well positioned asequities moved higher, energies rose and short rates rallied.  The U.S. dollar was sold off as investorssold their ‘safe’ U.S. assets and chased yield. Profits were posted to the Fund from long positions in the New Zealanddollar versus the U.S. dollar and short positions in the U.S. dollar versus theSouth African rand, however, these positions could not offset the losses fromthe Fund’s short positions in the British pound and Swedish krona.  The improvement in sentiment and the weakUnited States dollar pushed energies higher as oil traded up to $66 per barrel,a level not seen since the beginning of November 2008.  The metals sector posted profits to the Funddue to its long positions in gold and silver. The agriculture sector posted profits due to a rally in soymeal andsoybeans. Losses were posted to the Fund at the end of the second quarter asshort term rates suffered a sharp reversal during the first week of June andthe U.S. dollar had a similar reversal, gaining against most currencies. The uptrends in equities and commodities reversed in the middle of June assentiment became risk averse again, resulting in losses being posted to theFund.  Declines in non-farm payrollscaused liquidation of long positions in the rates markets, erasing virtuallyall of the market’s 2009 gains.  Bondsalso suffered a sell off due to inflation fears.  The Fund posted profits in energies as oiltraded above $73 a barrel to hit a seven month high, due to the improved growthprospects and a drawdown in Department of Energy inventory numbers.  The Fund posted profits in agriculturaldespite a fall in corn.  The Fund postedlosses in metals due to it not being positioned to benefit from the falls inprecious metals, particularly the slump in silver.

 

Profits were posted tothe Fund at the beginning of the third quarter as corporate earnings came inbetter than expected plus a series of economic figures that indicated the worstmay be over including an upward revision to the United States Gross DomesticProduct giving equity markets a lift in the final days of the July. Longpositions in equities performed strongly as stock indices rebounded with manytrading to 2009 highs. The early sell off of energies and the Fund’s subsequentrisk reduction resulted in the Fund not benefiting from the energy rally,resulting in losses posted to the Fund. The currency sector posted profits tothe Fund due to the rally in the New Zealand dollar, Australian dollar and theCanadian dollar. The agriculture sector posted losses to the Fund as the shortpositions in wheat and corn could not compensate for losses sustained in shortpositions in soybean and soymeal and the metals sector posted profits for theFund due to a rally in copper. Profits were posted to the Fund in the middle ofthe third quarter as the United States Gross Domestic Product rate of declinediminished; homes sales were buoyed and confidence bounced. The United Kingdomand Europe also had positive figures as European business and consumerconfidence rose plus the United Kingdom consumer spending and retail sales werealso up. Equities were the most profitable sector as the MSCI World Index (U.S.dollar) rose. The Fund held onto its long positions in stocks from July andadded to them during the early part of August with the European stockindices posting the highest profits to the Fund. The United States FederalReserve Chairman Bernanke’s comments on holding interest rates for an extendedperiod contributed to the Fund posting profits in short position in theinterest rate sector. Short positions in natural gas posted profits to the Fundwhich could not offset losses in the energies sector, the poorest performingsector in August. Long positions held in the currency market began to prosperas the New Zealand dollar versus the U.S. dollar rallied and the British poundversus the Australian dollar fell. Short positions in wheat and corn were profitablebut could not compensate for the for swift price action in the soy complexresulting in losses being posted to the Fund. The metals sector was flat asprofits from long base positions were unable to compensate for the lossessustained from the gold and silver positions. Profits were posted tothe Fund at the end of the third quarter due to the Fund’s long positions inequity indices in all geographies which benefited from continued up trends inmost markets except in Asia.  Fixedincome posted profits to the Fund due to the Fund’s maintaining its longpositioning at both the short and long ends of the yield curve and continued to

 

21

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ride the trends in those markets. The currency sector posted profits tothe Fund due to two primary currency positions, the long positions in theAustralian dollar, the short positions in the euro and British pound. The shortpositions in the euro lost money but that was offset by gains in the longpositions in the Australian dollar and the short position in the Britishpound.  The energy sector posted lossesto the Fund. In addition to overall choppiness, there was a big reversal innatural gas and the Fund’s short positions in natural gas which rallied overthe month caused significant losses. All other commodity sectors were roughlyflat as the third quarter ended.

 

Profits were posted tothe Fund at the beginning of the fourth quarter due to key macroeconomic datareleases, including improved household and business confidence. Fixed incomefutures rallied as sentiment began to swing back towards interest rates beingon hold for an extended period of time. The long equities positions rallied forthe reasons outlined earlier with the Fund viewing most dips within the month ofOctober as buying opportunities. Losses were posted to the Fund in theenergy sector due to long positions in crude oil and refined energy productsafter unexpected build up in inventories caused a large sell off. The currencysector also posted profits to the Fund. The United States dollar Index Future traded down to levels not seensince September 2008 as Central Banks and macro funds shunned the UnitedStates dollar on improving global sentiment. The agriculture sector postedprofits to the Fund due to short wheat positions which benefited from bearishharvest yields pushing it to a year low. The metals sector also posted profitsto the Fund due to long gold and silver positions, the former trading above$1000. Profits were posted to the Fund in the middle of the fourth quarter dueto large fixed income and equity long positions. On the macroeconomics front anumber of better than expected U.S. figures and comments from the U.S. FederalReserve Chairman Ben Bernanke signaling interest rates would remain on hold foran extended period of time resulted in short positions in interest rates topost profits to the Fund and stock indices to bounce from their selloff in October. Despite fears of aDubai default at the end of November the stock indices posted profits tothe Fund due to gains in the Standard & Poors 500 Index, the FinancialTimes and Stock Exchange and Deutscher Aktien-Index up at the end of the month.Energies posted losses for the Fund trading in a relatively narrow range as themodel retained its long albeit much reduced oil and oil products positionagainst short positions in natural gas. Currencies posted profits to the Fund due to the Fund’s continuing tohold short positions in the U.S. dollar. The metals sector posted profits tothe Fund due to the rise in gold with its best monthly return in ten months andsilver also rallied but not as high as gold. Most agricultural positions weremuch reduced as wheat rallied and soy moved higher resulting in profits beingposted to the Fund. Losses were posted to the Fund at the end ofthe fourth quarter as its long positions in equities failed to offset thelosses sustained from rising yields and volatile energy prices. Profits wereposted to the Fund in stock indices due to its long positions across allindices.  Small cap outperformed largecap as the Russell 2000 was the program’s best monthly performer. Interestrates posted losses to the Fund as better than expected economic figures pluscontinued comments from the U.S. Federal Reserve stating interest rates willremain low caused inflation expectations to rise and subsequently, yields torise. Short rates and bonds were aggressively sold off in relatively thinmarkets amid a high supply of new issues. Unlike previous months, positive datain December fed into the U.S. dollar strength as the U.S. Dollar IndexFutures index climbed resulting in losses being posted to the Fund. The Fundwas positioned to gain from the U.S. dollar weakness plus the New Zealanddollar and the Norwegian krone only to be reversed in December resultingin losses. Long positions were held across all energy products in with anemphasis in oil. West Texas Intermediate Crude Oil prices fell in the beginningof December only to rebound by the end of the month as the energy sectorposted losses to the Fund. The agriculture sector posted losses to the Fund dueto the volatile crop markets. The Fund was not positioned for the sell off inprecious metals resulting in losses being posted to the Fund at the end of thefourth quarter.

 

22

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Period endedDecember 31, 2008

 
| ** **                               | ** ** | **Total Trading  Profit (Loss)** | ** ** |
|------------------------------------------|------------|----------------------------------|------------|
|                                     |       |                             |       |
| Stock  Indices                           |       | $                                | 3,801,550  |   |
| Metals                                   |       | 494,013                          |       |
| Agricultural  Commodities                |       | 151,137                          |       |
| Currencies                               |       | 1,420,774                        |       |
| Energy                                   |       | 680,435                          |       |
| Interest  Rates                          |       | 4,306,568                        |       |
| Subtotal                                 |       | 10,854,477                       |       |
| Change  in Brokerage Commissions Payable |       | (12,284                          | )          |
| Total                                    |       | $                                | 10,842,193 |   |

 

From September 1, 2008, the date the Fundcommenced trading, through June 30, 2009, the Fund’s sole investor wasSystematic Momentum, a fund of funds allocating and reallocating its capitalunder the direction of the Sponsor.

 

September 1, 2008 to December 31, 2008

 

TheFund experienced a net trading profit before brokerage commissions and relatedfees from September 1, 2008 to December 31, 2008 of $10,854,477.  Profits were primarily attributable to all ofthe Fund’s sectors which are agriculture, energy, interest rates, metals, stockindices and currencies.

 

The Fund posted an overall gain in September 2008,with the biggest gain attributable to returns from short equity positions asequity prices continued to slide.  Othercontributing factors to the Fund’s overall gain came from long positions inshort term interest rates and short positions in crops and metals.  Currency positions were the largest detractorfrom performance as the U.S. dollar continued to rally against the previouslyestablished negative long-term trends particularly in the U.S. dollar versusthe Euro.  The Fund has since reducedcurrency positions significantly.

 

The Fund posted an overall gain in October 2008amidst a difficult market environment. The biggest contribution to this overall gain in October continuedto be the Fund’s short equity-related positions as equity prices continued toslide.  The Fund also posted gains onreturns from its FX positions and also from short positions incommodities.  Long positions in fixedincome, primarily on the short end of the curve, also contributed to the Fund’sgains.

 

In November 2008, the Fund posted an overallgain, with the largest portion attributable to long positions in fixed-incomerelated instruments, as central banks around the world continued to cutinterest rates, resulting in lower yields. The Fund also profited from short equity positions, short positions inBritish pounds and Australian dollars versus the U.S. dollar and short energypositions.

 

The Fund posted anoverall gain in December 2008.  Thelargest contributors to the Fund’s gains were its long positions infixed-income related instruments across the curve, as yields continued to falldramatically.  Short positions incommodities such as energy and long positions in the Euro versus shortpositions in the British pound also posted gains for the Fund.  Equity-related returns were flat on the monthas risk in stocks was minimal.

 

23

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Variables Affecting Performance

 

The principal variablesthat determine the net performance of the Fund are gross profitability from theFund’s trading activities and interest income.

 

The Fund currently earnsinterest based on the prevailing Fed Funds rate plus a spread for short cashpositions and minus a spread for long cash positions.  The current short term interest rates haveremained extremely low when compared with historical rates and thus hascontributed negligible amounts to overall Fund performance.

 

During the period setforth above in “Selected Financial Data”, the interest rates in many countrieswere at unusually low levels. In addition, low interest rates are frequentlyassociated with reduced fixed income market volatility, and in static marketsthe Fund’s profit potential generally tends to be diminished.  On the other hand, during periods of higherinterest rates, the relative attractiveness of a high risk investment such asthe Fund may be reduced as compared to high yielding and much lower riskfixed-income investments.

 

The Fund’s ManagementFees and Sponsor Fees are a constant percentage of the Fund’s assets.  Brokerage Commissions, which are not based ona percentage of the Fund’s assets, are based on actual round turns.  The Performance Fees payable to BlueCrest arebased on the new Trading Profits generated by the Fund excluding interest andafter reduction of the Brokerage Commissions.

 

Unlike many investmentfields, there is no meaningful distinction in the operation of the Fund betweenrealized and unrealized profits.  Most ofthe contracts traded by the Fund are highly liquid and can be closed out at anytime.

 

Except in unusualcircumstances, factors—regulatory approvals, cost of goods sold, employeerelations and the like—which often materially affect an operating business,have no material impact on the Fund.

 

***Liquidity;Capital Resources***

 

The Fund borrowsonly to a limited extent and only on a strictly short-term basis in order tofinance losses on non-U.S. dollar denominated trading positions pending theconversion of the Fund’s U.S. dollar deposits. These borrowings are at aprevailing short-term rate in the relevant currency.

 

Substantially allof the Fund’s assets are held in cash. The Net Asset Value of the Fund’s cashis not affected by inflation. However, changes in interest rates could causeperiods of strong up or down price trends, during which the Fund’s profitpotential generally increases. Inflation in commodity prices could alsogenerate price movements, which the strategies might successfully follow.

 

Becausesubstantially all of the Fund’s assets are held in cash, the Fund should beable to close out any or all of its open trading positions and liquidate any orall of its securities holdings quickly and at market prices, except in veryunusual circumstances. This permits the Fund to limit losses as well as reducemarket exposure on short notice should its strategies indicate doing so. Inaddition, because there is a readily available market value for the Fund’s positionsand assets, the Fund’s monthly Net Asset Value calculations are precise, andinvestors need to provide ten business days notice to receive the fullredemption proceeds of their Units on the last business day of any month.

 

As a commoditypool, the Fund maintains an extremely large percentage of its assets in cash,which it must have available to post initial and variation margin on futurescontracts.  This cash is also used tofund redemptions.  While the Fund has theability to fund redemption proceeds from liquidating positions, as a practicalmatter positions are not liquidated to fund redemptions.  In the event that positions were liquidatedto fund redemptions, MLAI, as the Manager of the Fund, has the ability tooverride decisions of the Trading Advisor to fund redemptions if necessary, butin practice the Trading Advisor would determine in its discretion whichinvestments should be liquidated.

 

(The Fund has noapplicable off-balance sheet arrangements or tabular disclosure of contractualobligations of the type described in Items 3.03(a)(4) and 3.03(a)(5) ofRegulation S-K.)

 

***RecentAccounting Developments***

 

Recent accountingdevelopments are discussed in Exhibit 13.01.

 

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**Item 7A:****Quantitative andQualitative Disclosures About Market Risks**

 

Introduction

 

The Fund is a speculativecommodity pool. The market sensitive instruments held by it are acquired forspeculative trading purposes and all or substantially all of the Fund’s assetsare subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments isintegral, not incidental, to the Fund’s main line of business.

 

Market movements resultin frequent changes in the fair market value of the Fund’s open positions and,consequently, in its earnings and cash flow. The Fund’s market risk isinfluenced by a wide variety of factors, including the level and volatility ofinterest rates, exchange rates, equity price levels, the market value offinancial instruments and contracts, the diversification effects among the Fund’sopen positions and the liquidity of the markets in which it trades.

 

The Fund, under thedirection of BlueCrest, rapidly acquires and liquidates both long and shortpositions in currency markets. Consequently, it is not possible to predict how a particular futuremarket scenario will affect performance, and the Fund’s past performance is notnecessarily indicative of its future results.

 

Value at Risk is ameasure of the maximum amount which the Fund could reasonably be expected tolose in a given market sector. However, the inherent uncertainty of the Fund’sspeculative trading and the recurrence in the markets traded by the Fund ofmarket movements far exceeding expectations could result in actual trading ornon-trading losses far beyond the indicated Value at Risk or the Fund’sexperience to date (i.e., “risk of ruin”). In light of the foregoing, as wellas the risks and uncertainties intrinsic to all future projections, thequantifications included in this section should not be considered to constituteany assurance or representation that the Fund’s losses in any market sectorwill be limited to Value at Risk or by the Fund’s attempts to manage its marketrisk.

 

Quantifying The Fund’s Trading Value At Risk

 

QuantitativeForward-Looking Statements

 

The followingquantitative disclosures regarding the Fund’s market risk exposures contain “forward-lookingstatement” within the meaning of the safe harbor from civil liability providedfor such statements by the Private Securities Litigation Reform Act of 1995(set forth in Section 27A of the Securities Act of 1933 and Section 21Eof the Securities Exchange Act of 1934). All quantitative disclosures in this section are deemed to beforward-looking statements for purposes of the safe harbor, except forstatements of historical fact.

 

The Fund’s risk exposurein the various market sectors traded by the Fund is quantified below in termsof Value at Risk.  Due to the Fund’s fairvalue accounting, any loss in the fair value of the Fund’s open positions isdirectly reflected in the Fund’s earnings (realized or unrealized) and cashflow (at least in the case of exchange-traded contracts in which profits andlosses on open positions are settled daily through variation margin).

 

Exchange maintenancemargin requirements have been used by the Fund as the measure of its Value atRisk.  Maintenance margin requirementsare set by exchanges to equal or exceed the maximum loss in the fair value of anygiven contract incurred in 95%-99% of the one-day time periods included in thehistorical sample (generally approximately one year) researched for purposes ofestablishing margin levels.  Themaintenance margin levels are established by dealers and exchanges usinghistorical price studies as well as an assessment of current market volatility(including the implied volatility of the options on a given futures contract)and economic fundamentals to provide a probabilistic estimate of the maximumexpected near-term one-day price fluctuation.

 

In the case ofmarket sensitive instruments which are not exchange-traded (almost exclusivelycurrencies in the case of the Fund), the margin requirements for the equivalentfutures positions have been used as Value at Risk.  In those rare cases in which afutures-equivalent margin is not available, dealers’ margins have been used.

 

100% positivecorrelation in the different positions held in each market risk category hasbeen assumed.  Consequently, the marginrequirements applicable to the open contracts have been aggregated to determineeach trading category’s aggregate Value at Risk.  The diversification effects resulting fromthe fact that the Fund’s positions are rarely, if ever, 100% positivelycorrelated have not been reflected.

 

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***The Fund’s Trading Value at Riskin Different Market Sectors***

 

The followingtable indicates the average, highest and lowest trading Value at Riskassociated with the Fund’s open positions by market category for the fiscalperiods. During the years ended December 31, 2009 and 2008, the Fund’saverage month-end Net Asset Value was approximately $61,066,658 and$41,805,928, respectively.

 

**December 31,2009**

 
| ** **         | ** ** | **Average Value** | ** ** | **% of Average**   | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|--------------------|------------|-------------------|------------|--------------------|------------|-------------------|------------|------------------|------------|
| **Market  Sector** | ** ** | **at Risk**       | ** ** | **Capitalization** | ** ** | **at Risk**       | ** ** | **at Risk**      | ** ** |
|               |       |              |       |               |       |              |       |             |       |
| Agriculture        |       | 12,924            |       | 0.02               | %          | 26,489            |       | 2,790            |       |
| Currencies         |       | 51,778            |       | 0.08               | %          | 181,592           |       | 1,994            |       |
| Energy             |       | 107,757           |       | 0.18               | %          | 297,378           |       | 4,902            |       |
| Interest  Rates    |       | 5,900,760         |       | 9.66               | %          | 10,777,045        |       | 3,028,763        |       |
| Metals             |       | 24,028            |       | 0.04               | %          | 68,527            |       | 4,051            |       |
| Stock  Indices     |       | 217,874           |       | 0.36               | %          | 734,880           |       | 9,805            |       |
|               |       |              |       |               |       |              |       |             |       |
| Total              |       | 6,315,120         |       | 10.33              | %          | 12,085,914        |       | 3,052,303        |       |

 

**December 31,2008**

 
| ** **         | ** ** | **Average Value** | ** ** | **% of Average**   | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|--------------------|------------|-------------------|------------|--------------------|------------|-------------------|------------|------------------|------------|
| **Market  Sector** | ** ** | **at Risk**       | ** ** | **Capitalization** | ** ** | **at Risk**       | ** ** | **at Risk**      | ** ** |
|               |       |              |       |               |       |              |       |             |       |
| Agriculture        |       | $                 | 9,193      |               | 0.02       | %                 | $          | 12,073           |       | $ | 5,601 |   |
| Currencies         |       | 23,859            |       | 0.06               | %          | 35,515            |       | 11,374           |       |
| Energy             |       | 19,281            |       | 0.05               | %          | 23,984            |       | 15,292           |       |
| Interest  Rates    |       | 2,114,861         |       | 5.06               | %          | 2,819,418         |       | 1,731,202        |       |
| Metals             |       | 12,429            |       | 0.03               | %          | 24,924            |       | 4,706            |       |
| Stock  Indices     |       | 81,211            |       | 0.19               | %          | 193,271           |       | 23,960           |       |
|               |       |              |       |               |       |              |       |             |       |
| Total              |       | $                 | 2,260,834  |               | 5.41       | %                 | $          | 3,109,185        |       | $ | 1,792,135 |   |

 

Material Limitations onValue at Risk as an Assessment of Market Risk.

 

The face value ofthe market sector instruments held by the Fund is typically many times theapplicable maintenance margin requirement (maintenance margin requirementsgenerally ranging between approximately 1% and 10% of contract face value) aswell as many times the capitalization of the Fund.  The magnitude of the Fund’s open positionscreates a “risk of ruin” not typically found in most other investmentvehicles.  Because of the size of itspositions, certain market conditions — unusual, but historically recurring fromtime to time — could cause the Fund to incur severe losses over a short periodof time.   The foregoing Value at Risktable — as well as the past performance of the Fund — gives no indication ofthis “risk of ruin.”

 

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**Non-Trading Risk**

 

Foreign Currency Balances; Cash on Deposit with MLPF&S

 

The Fund hasnon-trading market risk on its foreign cash balances not needed for margin.However, these balances (as well as the market risk they represent) areimmaterial.

 

The Fund also hasnon-trading market risk on the approximately 90%-95% of its assets which areheld in cash at MLPF&S or BalckRock. The value of this cash is not interestrate sensitive, but there is cash flow risk in that if interest rates declineso will the cash flow generated on these monies.

 

**Qualitative Disclosures Regarding Primary TradingRisk Exposures**

 

The following qualitative disclosures regarding theFund’s market risk exposures — except for (i) those disclosures that arestatements of historical fact and (ii) the descriptions of how the Fundmanages its primary market risk exposures — constitute forward-lookingstatements within the meaning of Section 27A of the Securities Act and Section 21Eof the Securities Exchange Act. The Fund’s primary market risk exposures as wellas the strategies used and to be used by MLAI and BlueCrest for managing suchexposures are subject to numerous uncertainties, contingencies and risks, anyone of which could cause the actual results of the Fund’s risk controls todiffer materially from the objectives of such strategies. Governmentinterventions, defaults and expropriations, illiquid markets, the emergence ofdominant fundamental factors, political upheavals, changes in historical pricerelationships, and an influx of new market participants, increased regulationand many other factors could result in material losses as well as in materialchanges to the risk exposures and the risk management strategies of the Fund.There can be no assurance that the Fund’s current market exposure and/or riskmanagement strategies will not change materially or that any such strategieswill be effective in either the short- or long-term. Investors must be preparedto lose all or substantially all of the time value of their investment in theFund.

 

The following were the primary trading risk exposuresof the Fund as of December 31, 2009, by market sector.

 

**Interest Rates**.

 

Interest rate movements directly affect the price ofderivative sovereign bond positions held by the Fund and indirectly the valueof its stock index and currency positions. Interest rate movements in onecountry as well as relative interest rate movements between countriesmaterially impact the Fund’s profitability. The Fund’s primary interest rateexposure is to interest rate fluctuations in the United States and the otherG-7 countries.  However, the Fund alsotakes positions in the government debt of smaller nations e.g., Australia. MLAIanticipates that G-7 interest rates will remain the primary market exposure ofthe Fund for the foreseeable future.

 

**Currencies**.

 

The Fund trades in a number of currencies. The Funddoes not anticipate that the risk profile of the Fund’s currency sector willchange significantly in the future. The currency trading Value at Risk figureincludes foreign margin amounts converted into U.S. dollars with an incrementaladjustment to reflect the exchange rate risk of maintaining Value at Risk in afunctional currency other than U.S. dollars.

 

**Metals**.

 

The Fund’s metals market exposure is to fluctuationsin the price of precious and non-precious metals.

 

**Agricultural Commodities.**

 

The Fund’s primary agricultural commodities exposureis to agricultural price movements which are often directly affected by severeor unexpected weather conditions. Soybeans, grains, and livestock accounted forthe substantial bulk of the Fund’s agricultural commodities exposure as of December 31,2009. However, it is anticipated that the Fund will maintain an emphasis oncotton, grains and sugar, in which the Fund has historically taken its largestpositions.

 

**Energy**.

 

The Fund’s primary energymarket exposure is to natural gas and crude oil price movements, oftenresulting from political developments in the Middle East. Oil prices can bevolatile and substantial profits and losses have been and are expected tocontinue to be experienced in this market.

 

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**Qualitative Disclosures RegardingNon-Trading Risk Exposure**

 

The following were theonly non-trading risk exposures of the Fund as of December 31, 2009.

 

**ForeignCurrency Balances****.**

 

The Fund’s primary foreign currency balances are inJapanese Yen, Swedish Krona and Euros.

 

**U.S. Dollar Cash Balance**.

 

TheFund holds U.S. dollars only in cash at MLPF&S or BlackRock. The Fund hasimmaterial cash flow interest rate risk on its cash on deposit with MLPF&Sin that declining interest rates would cause the income from such cash todecline.

 

**Qualitative DisclosuresRegarding Means of Managing Risk Exposure**

** **

#### **Trading Risk**

#### ** **

MLAI has procedures in place intended to controlmarket risk, although there can be no assurance that they will, in fact,succeed in doing so. While MLAI does not intervene in the markets to hedge ordiversify the Fund’s market exposure, MLAI may urge BlueCrest to reallocatepositions in an attempt to avoid over-concentrations.  However, such interventions are unusual,except in cases in which it appears that BlueCrest has begun to deviate frompast practice and trading policies or to be trading erratically, MLAI’s basiccontrol procedures consist of simply of the ongoing process of monitoringBlueCrest with the market risk controls being applied by BlueCrest itself.

 

Risk Management

 

BlueCrest attempts to control risk in all aspects of the investmentprocess — from confirmation of a trend to determining the optimal exposure in agiven market, and to money management issues such as the startup or upgrade ofinvestor accounts.  BlueCrest doublechecks the accuracy of market data, and will not trade a market withoutmultiple price sources for analytical input. In constructing a portfolio, BlueCrest seeks to control overall risk aswell as the risk of any one position, and BlueCrest trades only markets thathave been identified as having positive performance characteristics.  Trading discipline requires plans for theexit of a market as well as for entry. BlueCrest factors the point of exit into the decision to enter (stoploss).  The size of the Funds’ positionsin a particular market is not a matter of how large a return can be generatedbut of how much risk it is willing to take relative to that expected return.

 

To attempt to reduce therisk of volatility while maintaining the potential for excellent performance,proprietary research is conducted on an ongoing basis to refine the BlueCrestinvestment strategies.  Research maysuggest substitution of alternative investment methodologies with respect toparticular contracts; this may occur, for example, when the testing of a newmethodology has indicated that its use might have resulted in differenthistorical performance.  In addition,risk management research and analysis may suggest modifications regarding therelative weighting among various contracts, the addition or deletion ofparticular contracts for a program, or a change in position size in relation toaccount equity.  The weighting of capitalcommitted to various markets in the investment programs is dynamic, andBlueCrest may vary the weighting at its discretion as market conditions, liquidity,position limit considerations and other factors warrant.

 

BlueCrest may determinethat risks arise when markets are illiquid or erratic, which may occurcyclically during holiday seasons, or on the basis of irregularly occurringmarket events.  In such cases, BlueCrestat its sole discretion may override computer-generated signals and may at timesuse discretion in the application of its quantitative models, which may affectperformance positively or negatively.

 

Adjustments in position size in relation to accountequity have been and continue to be an integral part of BlueCrest’s investmentstrategy.  At its discretion, BlueCrestmay adjust the size of a position in relation to equity in certain markets orentire programs.  Such adjustments may bemade at certain times for some programs but not for others.

 

Factors which may affect the decision to adjust thesize of a position in relation to account equity include ongoing research,program volatility, assessments of current market volatility and risk exposure,subjective judgment, and evaluation of these and other general marketconditions

 

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## Non-Trading Risk

##  

TheFund controls the non-trading exchange rate risk by regularly convertingforeign balances back into U.S. dollars at least once per week, and morefrequently if a particular foreign currency balance becomes unusually high.

 

TheFund has cash flow interest rate risk on its cash on deposit with MLPF&Sand in the BlackRock sponsored money market mutual fund in that declininginterest rates would cause the income from such cash to decline. However, acertain amount of cash or cash equivalents must be held by the Fund in order tofacilitate margin payments and pay expenses and redemptions. MLAI does not takeany steps to limit the cash flow risk on its cash held on deposit at MLPF&Sand in the BlackRock sponsored money market mutual fund.

 

**Item 8: FinancialStatements and Supplementary Data**

 

Net Income(Loss)by Quarter

Six Quartersthrough December 31, 2009

 
| ** **                                            | ** ** | **Fourth**  | ** ** | **Third**   | ** ** | **Second**  | ** ** | **First**   | ** ** | **Fourth**  | ** ** | **Third**    | ** ** |
|-------------------------------------------------------|------------|-------------|------------|-------------|------------|-------------|------------|-------------|------------|-------------|------------|--------------|------------|
| ** **                                            | ** ** | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter**  | ** ** |
| ** **                                            | ** ** | **2009**    | ** ** | **2009**    | ** ** | **2009**    | ** ** | **2009**    | ** ** | **2008**    | ** ** | **2008 (2)** | ** ** |
| Total  Income (Loss)                                  |       | $           | 1,805,924  |        | $          | 5,417,563   |       | $           | (1,709,522 | )           | $          | (623,717     | )          | $ | 8,951,466 |   | $ | 1,982,173 |   |
| Total  Expenses                                       |       | 907,022     |       | 946,316     |       | 315,035     |       | 297,243     |       | 2,518,515   |       | 468,920      |       |
| Net  Income (Loss)                                    |       | $           | 898,902    |        | $          | 4,471,247   |       | $           | (2,024,557 | )           | $          | (920,960     | )          | $ | 6,432,951 |   | $ | 1,513,253 |   |
|                                                  |       |        |       |        |       |        |       |        |       |        |       |         |       |
| Net  Income (Loss) per weighted average Unit (1) |       | $           | 0.0134     |        | $          | 0.0854      |       | $           | (0.0439    | )           | $          | (0.0216      | )          | $ | 0.1746 |   | $ | 0.0437 |   |

 

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(1) The netincome per weighted average unit is based on the weighted average of the totalunits for each quarter.

(2) Commencementof operations on September 1, 2008.

 

The financialstatements required by this Item are included in Exhibit 13.01.

 

The supplementaryfinancial information (“information about oil and gas producing activities”)specified by Item 302(b) of Regulation S-K is not applicable.

 

**Item 9: Changesin and Disagreements with Accountants on Accounting and Financial Disclosure**

 

The Board ofManagers of MLAI, the Manager of the Fund, dismissed Deloitte & Toucheas the independent registered public accounting firm for the Fund, effective April 20,2009. The Board of Managers of the Manager, on behalf of the Fund, approved theengagement of PricewaterhouseCoopers LLP as the independent registered publicaccounting form of the Fund effective April 20, 2009.

 

There were nodisagreements with the respective independent registered public accountingfirms on accounting and financial disclosure.

 

**Item 9A(T): Controls and Procedures**

 

MLAI’s ChiefExecutive Officer and the Chief Financial Officer, on behalf of the Fund, hasevaluated the effectiveness of the design and operation of its disclosurecontrols and procedures with respect to the Fund as of and for the year whichended December 31, 2009, and, based on its evaluation, has concluded thatthese disclosure controls and procedures are effective.

 

29

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*Changesin Internal Control over Financial Reporting*

 

No change ininternal control over financial reporting (as defined in Rule 13a-15(f) underthe Securities Exchange Act of 1934) occurred during the quarter ended December 31,2009 that has materially affected, or is reasonable likely to materially affect,the Fund’s internal control, over financial reporting.

 

*Management’sReport on Internal Control over Financial Reporting:*

 

The Fund’smanagement is responsible for establishing and maintaining adequate internalcontrol over financial reporting.  TheFund’s internal control over financial reporting is a process designed underthe supervision of MLAI’s Chief Executive Officer and the Chief FinancialOfficer, on behalf of the Fund and is effected by management, other personneland service providers to provide reasonable assurance regarding the reliabilityof financial reporting and the preparation of financial statements for externalpurposes in accordance with generally accepted accounting principles andincluded those policy and procedures that:

 

·                  Pertain to the maintenance of records that in reasonable detailaccurately and fairly reflect the transactions and dispositions of the assetsof the Fund.

 

·                  Provide reasonable assurance that transactions arerecorded as necessary to permit preparation of financial statements inaccordance with generally accepted accounting principles, and that  receipts and expenditures of the Fund arebeing made only in accordance with authorizations of management and directorsof the Fund; and

 

·                  Provide reasonable assurance regarding prevention ortimely detection of unauthorized acquisitions, use or disposition of the Fund’sassets that could have a material effect on the financial statements.

 

Because of itsinherent limitations, internal control over financial reporting can provideonly reasonable assurance with respect to financial statement preparation andpresentation.  Projections of anyevaluation of effectiveness to future periods are subject to the risks thatcontrols may become inadequate because of changes in condition, or that thedegree of compliance with the policies or procedures may deteriorate.

 

The Fund’smanagement assessed the effectiveness of the Funds’ internal control overfinancial reporting as of December 31, 2009.  In making this assessment, management usedthe criteria set forth by the Committee of Sponsoring Organizations of theTreadway Commission (COSO) in “Internal Control-Integrated Framework”.

 

Based on itsassessment the Fund’s management concluded that at December 31, 2009, theFund’s internal control over financial reporting was effective.

 

This annual reportdoes not include an attestation report of the Fund’s independent registeredpublic accounting firm regarding internal control over financial reporting.Management’s report was not subject to attestation by the Fund’s independentregistered public accounting firm pursuant to temporary rules of theSecurities and Exchange Commission that permit the Fund to provide onlymanagement’s report for this annual report.

 

**Item9B:  Other Information**

 

Not applicable.

 

30

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**PART III**

 

**Item 10: Directors, Executive Officers andCorporate Governance**

 

10(a) and 10(b)                 Identification of Directors and Executive Officers:

 

As a limited liabilitycompany, the Fund has no officers or directors and is managed by MLAI. Tradingdecisions are made by BlueCrest on behalf of the Fund.

 

The managers andexecutive officers of MLAI and their respective business backgrounds are asfollows:

 
| **Justin C. Ferri**  |   | Chief Executive  Officer, President and Manager |
|----------------------|--------|-------------------------------------------------|
| ** **           |   |                                            |
| **Barbra E. Kocsis** |   | Chief Financial Officer                         |
| ** **           |   |                                            |
| **Deann Morgan**     |   | Vice President and  Manager                     |

 

Justin C. Ferri is theChief Executive Officer, President and Manager of MLAI. Mr. Ferri, 34 years old,**has been the Chief ExecutiveOfficer and President of MLAI since August 2009. Mr. Ferri has been aManager of MLAI and has been listed as a principal of MLAI since July 29,2008. He has been registered with NFA as an associated person of MLAI since September 11,2009. He also serves as Managing Director within the Merrill Lynch GlobalWealth & Investment Management group and the Global InvestmentsSolutions group (“GWIM” and “GIS,” respectively), responsible for heading GWIM’sAlternative Investments business. In addition, Mr. Ferri serves as VicePresident of IQ Investment Advisors LLC (“IQ”), an indirect, wholly-ownedinvestment adviser subsidiary of Merrill Lynch & Co., and serves asPresident of each of IQ’s publicly traded closed-end mutual fund companies.Prior to his role in GIS, Mr. Ferri was a Director in the MLPF&SGlobal Private Client Market Investments & Origination group, andbefore that, he served as a Vice President and head of the MLPF&S GlobalPrivate Client Rampart Equity Derivatives team. Prior to joining Merrill Lynchin 2002, Mr. Ferri was a Vice President within the Quantitative Developmentgroup of mPower Advisors LLC from 1999 to 2002, and prior to that, he worked inthe Private Client division of J.P. Morgan & Co. He holds a B.A.degree from Loyola College in Maryland.

 

Barbra E. Kocsis**is the Chief Financial Officer forMLAI. Ms. Kocsis, 43 years old, has been the Chief Financial Officer ofMLAI since October 2006. Ms. Kocsis has been listed with the NFA as aprincipal of MLAI since May 21, 2007 and is a Director within the MerrillLynch Global Wealth Management Investment Services group, positions she hasheld since October 2006. Prior to serving in her current roles, she wasthe Fund Controller of MLAI from May 1999 to September 2006. Beforejoining MLAI, Ms. Kocsis held various accounting and tax positions atDerivatives Portfolio Management LLC from May 1992 until May 1999, atwhich time she held the position of accounting director. Prior to that, she wasan associate at Coopers & Lybrand in both the audit and tax practicesfrom September 1988 to February 1992. She graduated *cum laude*from Monmouth College with aBachelor of Science in Business Administration - Accounting.

 

Deann Morgan**is a Vice President and Manager of MLAI. Ms. Morgan,40 years old, hasbeen a Vice President of MLAI and Managing Director of GIS since March 2008.As Managing Director of GIS, Ms. Morgan heads Alternative InvestmentsOrigination. From April 2006 until March 2008, Ms. Morgan was aDirector for Merrill Lynch’s Investments, Wealth Management &Insurance group, where she was responsible for origination of private equityand listed alternative investments. Between August 2004 and April 2006,Ms. Morgan worked for Merrill Lynch’s Investment Banking Group coveringAsian corporate clients. She received her M.B.A. from University of Chicago andher B.B.A. from University of Michigan. Ms. Morgan has been registeredwith NFA as an associated person and listed as a principal of MLAI since August 21,2009. Ms. Morgan has also been registered with NFA as an associated personof MLPF&S since April 13, 2009.

 

31

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MLAI acts as the sponsor, general partner or managerto seven public futures funds whose units of limited partner or memberinterests are registered under the Securities Exchange Act of 1934: ML AspectFutures Access LLC, ML  BlueTrendFuturesAccess LLC, ML Select Futures I L.P., ML Systematic MomentumFuturesAccess LLC, ML Transtrend DTP Enhanced FuturesAccess LLC, MLTrend-Following Futures Fund L.P, and ML Winton FuturesAccess LLC. Because MLAIserves as the sole sponsor, general partner or manager of each of these Funds,the officers and managers of MLAI effectively manage them as officers anddirectors of such funds.

 

(c)                                  Identification of Certain SignificantEmployees:

 

None.

 

(d)                                 Family Relationships:

 

None.

 

(e)                                  Business Experience:

 

See Item 10(a) and(b) above.

 

(f)                                    Involvement in Certain Legal Proceedings:

 

None.

 

(g)                                 Promoters and Control Persons:

 

Not applicable.

 

(h)                                 Section 16(a) BeneficialOwnership Reporting Compliance:

 

Not applicable.

 

Code of Ethics:

 

MLAI and Merrill Lynchhave adopted a code of ethics which applies to the Fund’s (MLAI’s) principalexecutive officer and principal financial officer or persons performing similarfunctions on behalf of the Fund.  A copyof the code of ethics is available to any person, without charge, upon requestby calling 1-866-MER-ALTS.

 

Nominating Committee:

 

Not applicable. (Neitherthe Fund nor MLAI has a nominating committee.)

 

Audit Committee: AuditCommittee Financial Expert:

 

Not applicable. (Neitherthe Fund nor MLAI has an audit committee. There are no listed shares of the Fund or MLAI.)

 

**Item 11: ExecutiveCompensation**

 

The managers andofficers of MLAI are remunerated by Merrill Lynch in their respectivepositions. The Fund does not have any officers, managers or employees.  The Fund pays Brokerage Commissions to anaffiliate of MLAI and Sponsor Fees to MLAI. MLAI or its affiliates may also receive certain economic benefits frompossession of the Fund’s U.S. dollar assets. The managers and officers receive no “other compensation” from the Fund,and the managers receive no compensation for serving as managers of MLAI.  There are no compensation plans orarrangements relating to a change in control of either the Fund or MLAI.

 

32

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**Item 12: SecurityOwnership of Certain Beneficial Owners and Management and Related StockholderMatters**

 

(a)                                  Security Ownership of Certain BeneficialOwners:

 

Not applicable.(The Units represent limited liability company interests. The Fund is managedby its Manager, MLAI.)

 

(b)                                 Security Ownership of Management:

 

As of December 31,2009, MLAI owned no Unit-equivalent Member interests. The principals of MLAIdid not own any Units, and BlueCrest did not own any Units.

 

(c)                                  Changes in Control:

 

None.

 

(d)                                 Securities Authorized for Issuance UnderEquity Compensation Plans:

 

Not applicable.

 

**Item 13: CertainRelationships and Related Transactions, and Director Independence**

 

(a)                                  Transactions between Merrill Lynch andthe Fund

 

Some of theservice providers to the Fund are affiliates of Merrill Lynch. However, none ofthe fees paid by the Fund to such Merrill Lynch affiliates were negotiated andsuch fees charged to the Fund might be higher than would have been obtained inarms-length negotiations.

 

The Fund pays indirectly Merrill Lynch throughMLPF&S and MLAI substantial Brokerage Commissions and Sponsor Fees as wellas bid-ask spreads on forward currency trades. The Fund also pays MLPF&S interest on short-term loans extended byMLPF&S to cover losses on foreign currency positions.

 

Within the Merrill Lynch organization, MLAI is thebeneficiary of the revenues received by different Merrill Lynch entities fromthe Fund.  MLAI controls the managementof the Fund and serves as its promoter. Although MLAI has not sold any assets, directly or indirectly, to theFund, MLAI makes substantial profits from the Fund due to the foregoingrevenues.

 

No loans have been, are, or will beoutstanding between MLAI or any of its principals and the Fund.

 

MLAI pays substantial selling commissionsand trailing commissions to MLPF&S for distributing the Units.  MLAI is ultimately paid back for theseexpenditures from the revenues it receives from the Fund.

 

(b)                                 Certain Business Relationships:

 

MLPF&S, anaffiliate of MLAI, acts as the principal commodity broker for the Fund.

 

In 2009, the Fundexpensed:  (i) Brokerage Commissionsof $230,560 to MLPF&S and $1,255,634 in management fees earned by BlueTrendand MLAI, (ii) Sponsor Fees of $76,798 to MLAI. In addition, MLAI and itsaffiliates may have derived certain economic benefits from possession of aportion of the Fund’s assets, as well as from foreign exchange and EFP trading.

 

See Item 1(c), “NarrativeDescription of Business — Charges” and “— Description of Current Charges”for a discussion of other business dealings between MLAI affiliates and theFund.

 

(c)                                  Indebtedness of Management:

 

None.

 

33

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(d)                                 Transactions with Promoters:

 

Not applicable.

 

(e)                                  Director Independence:

 

No person whoserved as a manager of MLAI would be considered independent (based on thedefinition of an independent director under NASDAQ rules).

 

**Item 14: PrincipalAccountant Fees and Services**

 

(a)                                  AuditFees

 

Aggregate fees billed for professional services rendered byPricewaterhouseCoopers LLP in connection with the audit of the Fund’s financialstatements as of and for the year ended December 31, 2009 were $69,000.

 

Aggregate fees billed for professional services rendered by Deloitte &Touche LLP in connection with the audit of the Fund’s financial statements asof and for the period ended December 31, 2008 were $63,000 for the period.

 

(b)                                 Audit-RelatedFees

 

There were noother audit-related fees billed for the year ended December 31, 2009,related to the Fund.

 

(c)                                  TaxFees

 

No fees werebilled by PricewaterhouseCoopers LLP or any member firms ofPricewaterhouseCoopers and their respective affiliates for the year ended December 31,2009 for professional services rendered to the Fund in connection with taxcompliance, tax advice and tax planning.

 

Aggregate feesbilled for professional services rendered by Deloitte Tax LLP in connectionwith the tax compliance, advice and preparation of the Fund’s tax returns forthe year ended December 31, 2009 and the period ended December 31,2008 were $13,600 and $16,000 for each period, respectively.

 

(d)                                 AllOther Fees

 

No fees werebilled by PricewaterhouseCoopers LLP or any member firms ofPricewaterhouseCoopers and their respective affiliates for the year ended December 31,2009 and for any other professional services in relation to the Fund.

 

No fees werebilled by Deloitte & Touche LLP, Deloitte Tax LLP, or any member firmsof Deloitte Touche Tohmatsu and their respective affiliates during the yearended December 31, 2008 for any other professional services in relation tothe Fund.

 

Neither the Fundnor MLAI has an audit committee to pre-approve principal accountant fees andservices.  In lieu of an audit committee,the managers and the principal financial officer pre-approve all billings priorto the commencement of services.

 

34

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#### **PART IV**

#### ** **

**Item 15: Exhibitsand Financial Statement Schedules**

 
|   |                                                                                                                                                                                          | **Page:**  |
|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|------------|
|   |                                                                                                                                                                                          | ** ** |
| 1.     | Financial Statements (found in Exhibit 13.01):                                                                                                                                           | ** ** |
|   |                                                                                                                                                                                          |       |
|   | REPORTS OF INDEPENDENT  REGISTERED PUBLIC ACCOUNTING FIRMS  FINANCIAL STATEMENTS:                                                                                                             | 1          |
|   |                                                                                                                                                                                          |       |
|   | Statements of  Financial Condition as of December 31, 2009                                                                                                                               | 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          |
|   |                                                                                                                                                                                          |       |

 
| 2.     | Financial  Statement Schedules:                                                                                                                                                                                                                        |   |
|--------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--------|
|   |                                                                                                                                                                                                                                                   |   |
|   | Financial  statement schedules not included in this Form 10-K have been omitted for  the reason that they are not required or are not applicable or that  equivalent information has been included in the financial statements or notes  thereto. |   |
|   |                                                                                                                                                                                                                                                   |   |
| 3.     | Exhibits:                                                                                                                                                                                                                                              |   |
|   |                                                                                                                                                                                                                                                   |   |
|   | The following  exhibits are incorporated by reference or are filed herewith to this Annual  Report on Form 10-K:                                                                                                                                  |   |

 
| **Designation**    | ** ** | **Description**                                                                                                                                                                                                                                                                       |
|--------------------|------------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|               |       |                                                                                                                                                                                                                                                                                  |
| 3.01               |       | Certificate of  Formation of ML BlueTrend FuturesAccess LLC.                                                                                                                                                                                                                          |
|               |       |                                                                                                                                                                                                                                                                                  |
| Exhibit 3.01: |       | Is incorporated  by reference from Exhibit 3.01 contained in the Registrant’s  Registration Statement on Form 10 (File No. 000-53794) under the  Securities Exchange Act of 1934, filed on September 29, 2009 (“Initial  Registration Statement”). |

 

35

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| 3.02                         |   | Amended and  Restated Limited Liability Company Operating Agreement of ML BlueTrend  FuturesAccess LLC                                                                                                                                                                                                                        |
|------------------------------|--------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|                         |   |                                                                                                                                                                                                                                                                                                                          |
| Exhibit 3.02            |   | Is filed  herewith.                                                                                                                                                                                                                                                                                                           |
|                         |   |                                                                                                                                                                                                                                                                                                                          |
| 10.01                        |   | Institutional  Futures Client Account between ML BlueTrend FuturesAccess LLC and Merrill  Lynch, Pierce, Fenner & Smith Incorporated.                                                                                                                                                                                |
|                         |   |                                                                                                                                                                                                                                                                                                                          |
| Exhibit 10.01:          |   | Is incorporated by  reference from Exhibit 10.1 contained in the Initial Registrant’s  Registration Statement.                                                                                                                                                                                                      |
|                         |   |                                                                                                                                                                                                                                                                                                                          |
| 10.02                        |   | Advisory  Agreement by and among ML BlueTrend FuturesAccess LLC, and Merrill Lynch  Alternative Investments LLC and BlueCrest Capital Management L.P.                                                                                                                                                                         |
|                         |   |                                                                                                                                                                                                                                                                                                                          |
| Exhibit 10.02:          |   | Is incorporated  by reference from Exhibit 10.02 contained in the Registrant’s Amendment  No. 2 to Registration Statement on Form 10 (File No. 000-53794)  under the Securities Exchange Act of 1934, filed on December 16, 2009  (“Amendment No. 2 to Registration Statement”). |
|                         |   |                                                                                                                                                                                                                                                                                                                          |
| 10.03                        |   | Amendment to ML  FuturesAccess Advisory Agreement among ML BlueTrend Futures Access LLC,  Merrill Lynch Alternative Investments LLC and BlueCrest Capital Management  L.P.                                                                                                                                                    |
|                         |   |                                                                                                                                                                                                                                                                                                                          |
| Exhibit 10.03           |   | Is incorporated  by reference from Exhibit 10.03 contained in Amendment No. 2 to  Registration Statement.                                                                                                                                                                                                           |
|                         |   |                                                                                                                                                                                                                                                                                                                          |
| 13.01                        |   | 2009 Annual  Report and Report of Independent Registered Public Accounting Firm.                                                                                                                                                                                                                                              |
|                         |   |                                                                                                                                                                                                                                                                                                                          |
| Exhibit 13.01:          |   | Is filed  herewith.                                                                                                                                                                                                                                                                                                           |
|                         |   |                                                                                                                                                                                                                                                                                                                          |
| 31.01 and 31.02              |   | Rule 13a-14(a)/15d-14(a) Certifications                                                                                                                                                                                                                                                                             |
|                         |   |                                                                                                                                                                                                                                                                                                                          |
| Exhibit 31.01and 31.02: |   | Are filed herewith.                                                                                                                                                                                                                                                                                                           |
|                         |   |                                                                                                                                                                                                                                                                                                                          |
| 32.01 and 32.02              |   | Section 1350  Certifications                                                                                                                                                                                                                                                                                             |
|                         |   |                                                                                                                                                                                                                                                                                                                          |
| Exhibit 32.01and 32.02: |   | Are filed herewith.                                                                                                                                                                                                                                                                                                           |

 

36

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**SIGNATURES**

 

Pursuant to the requirements of Section 13 or 15(d) ofthe Securities Exchange Act of 1934, the Registrant has duly caused this reportto be signed on its behalf by the undersigned, thereunto duly authorized.

 
| **ML BLUETREND FUTURESACCESS LLC**                         |
|------------------------------------------------------------|
| By: **MERRILL LYNCH  ALTERNATIVE INVESTMENTS LLC,**Manager |
| By: /s/Justin C. Ferri                                     |   |
| Justin C. Ferri                                            |   |
| Chief Executive  Officer, President and Manager            |   |
| (Principal  Executive Officer)                             |   |

 

 

Pursuant to the requirements of Section 13 or 15(d) ofthe Securities Exchange Act of 1934, this report has been signed on March 31,2010 by the following persons on behalf of the Registrant and in the capacitiesindicated.

 
| **Signature**         | ** ** | **Title**                                       | ** ** | **Date**             |
|-----------------------|------------|-------------------------------------------------|------------|----------------------|
|                  |       |                                            |       |                 |
| /s/ Justin C.  Ferri  |       | Chief Executive  Officer, President and Manager |       | March 31,  2010 |
| Justin C. Ferri       |       |                                            |       |                 |
|                  |       |                                            |       |                 |
| /s/ Barbra E.  Kocsis |       | Chief Financial  Officer                        |       | March 31,  2010 |
| Barbra E. Kocsis      |       | (Principal  Financial and Accounting Officer)   |       |                 |
|                  |       |                                            |       |                 |
| s/ Deann Morgan       |       | Vice President  and Manager                     |       | March 31,  2010 |
| Deann Morgan          |       |                                            |       |                 |

 

(Being the principal executive officer, the principalfinancial and accounting officer and a majority of the managers of MerrillLynch Alternative Investments LLC)

 

37

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**ML BLUETREND FUTURESACCESS LLC**

 

2009 FORM 10-K

 

INDEX TO EXHIBITS

 
| ** **                    | ** ** | **Exhibit**                                                                                            |
|-------------------------------|------------|--------------------------------------------------------------------------------------------------------|
|                          |       |                                                                                                   |
| Exhibit 3.02             |       | Amended and  Restated Limited Liability Company Operating Agreement of ML BlueTrend  FuturesAccess LLC |
|                          |       |                                                                                                   |
| Exhibit 13.01            |       | 2009 Annual  Report and Report of Independent Registered Public Accounting Firm                        |
|                          |       |                                                                                                   |
| Exhibit 31.01  and 31.02 |       | Rule 13a -  14(a) / 15d - 14(a) Certifications                                          |
|                          |       |                                                                                                   |
| Exhibit 32.01  and 32.02 |       | Sections 1350  Certifications                                                                          |

 

38

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