**UNITED STATES SECURITIESAND EXCHANGE COMMISSION**

**Washington, D.C.20549**

**FORM 10-Q**

**(Mark One)**

**x****QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIESEXCHANGE ACT OF 1934**

**For the quarterly period ended June30, 2007**

**OR**

**o****TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES     EXCHANGE ACT OF 1934**

**For the transition period from                to                **

**Commission File Number 0-52700**

# **ML CHESAPEAKE FUTURESACCESS LLC**

(Exact Name ofRegistrant asspecified in its charter)

| **Delaware**                     |   | **30-0408283**                     |
|----------------------------------|--------|------------------------------------|
| (State or other  jurisdiction of |   | (IRS Employer  Identification No.) |
| incorporation or  organization)  |   |                               |

 

**c/o Merrill Lynch AlternativeInvestments LLC**

**Princeton Corporate Campus**

**800 Scudders Mill Road -  Section 2G**

**Plainsboro,New Jersey 08536**

(Address ofprincipal executive offices)

(Zip Code)

**609-282-6091**

(Registrant’s telephone number, including area code)

Indicate by checkmark whether the registrant (1) has filed all reports required to be filed bySection 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding12 months (or for such shorter period that the registrant was required to filesuch reports), and (2) has been subject to such filing requirements for thepast 90 days.

Yes  x    No  o

Indicate by check mark whether the registrant is alarge accelerated filer, an accelerated filer, or a non-accelerated filer.  See definition of “accelerated filer andlarge accelerated filer” in Rule 12b-2 of the Exchange Act. (Check one):

Large acceleratedfiler  o        Acceleratedfiler  o        Non-acceleratedfiler  x

Indicate by check mark whether registrant is a shellcompany (as defined by Rule 12b-2 of the Exchange Act).

Yes  o    No  x

Indicate by check mark whether the registrant hasfiled all documents and reports required to be filed by Sections 12, 13 or15(d) of the Securities Exchange Act of 1934 subsequent to the distribution ofsecurities under a plan confirmed by a court. 

Yes  o    No  o

 

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**ML CHESAPEAKE FUTURESACCESS LLC**

QUARTERLY REPORT FOR JUNE 30, 2007 ON FORM 10-Q

Table of Contents
|         | ** ** | ** **                                                                                  | ** ** | **PAGE** |
|---------|------------|---------------------------------------------------------------------------------------------|------------|----------|
| PART I  |
|    |       |                                                                                        |       |     |
| Item 1. |       | Financial Statements                                                                        |       | 1        |
|    |       |                                                                                        |       |     |
| Item 2. |       | Management’s Discussion and Analysis of Financial  Condition and Results of Operations |       | 7        |
|    |       |                                                                                        |       |     |
| Item 3. |       | Quantitative and Qualitative Disclosures About  Market Risk                                 |       | 8        |
|    |       |                                                                                        |       |     |
| Item 4. |       | Controls and Procedures                                                                     |       | 9        |
|    |       |                                                                                        |       |     |
| PART II |
|    |       |                                                                                        |       |     |
| Item 1. |       | Legal Proceedings                                                                           |       | 10       |
|    |       |                                                                                        |       |     |
| Item 2. |       | Unregistered Sales of Equity Securities and Use of  Proceeds                                |       | 10       |
|    |       |                                                                                        |       |     |
| Item 3. |       | Defaults Upon Senior Securities                                                             |       | 10       |
|    |       |                                                                                        |       |     |
| Item 4. |       | Submission of Matters to a Vote of Security Holders                                         |       | 10       |
|    |       |                                                                                        |       |     |
| Item 5. |       | Other Information                                                                           |       | 10       |
|    |       |                                                                                        |       |     |
| Item 6. |       | Exhibits                                                                                    |       | 11       |

 

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PART I - FINANCIAL INFORMATION

Item 1.    Financial Statements

ML CHESAPEAKEFUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENT OFFINANCIAL CONDITION

(unaudited)
| ** **                                                                               | ** ** | **June 30,  2007** | ** **  |
|------------------------------------------------------------------------------------------|------------|-------------------------|-------------|
|                                                                                     |       |                    |        |
| **ASSETS:**                                                                              | ** ** | ** **              | ** **  |
| Equity in commodity  futures trading accounts:                                           |       |                    |        |
| Cash (included  restricted cash of $29,440,601)                                          |       | $                       | 127,218,959 |   |
| Net unrealized  profit on open contracts                                                 |       | 1,122,360               |        |
| Deferred initial  offering costs                                                         |       | 37,500                  |        |
| Subscription  receivable                                                                 |       | 1,913,460               |        |
| Accrued interest                                                                         |       | 510,963                 |        |
|                                                                                     |       |                    |        |
| **TOTAL  ASSETS**                                                                        |       | $                       | 130,803,242 |   |
|                                                                                     |       |                    |        |
| **LIABILITIES AND MEMBERS’  CAPITAL**                                               | ** ** | ** **              | ** **  |
| LIABILITIES:                                                                             |       |                    |        |
| Brokerage  commissions payable                                                           |       | $                       | 74,151      |   |
| Management fee  payable                                                                  |       | 119,508                 |        |
| Initial offering  costs payable                                                          |       | 50,000                  |        |
| Incentive fee  payable                                                                   |       | 221,557                 |        |
| Redemptions  payable                                                                     |       | 510,363                 |        |
| Other                                                                                    |       | 33,158                  |        |
|                                                                                     |       |                    |        |
| Total  liabilities                                                                       |       | 1,008,737               |        |
|                                                                                     |       |                    |        |
| MEMBERS’ CAPITAL:                                                                   |       |                    |        |
|  Members’ Capital (119,198,233 Units  Outstanding, unlimited units authorized) |       | 129,794,505             |        |
| Total members’  capital                                                             |       | 129,794,505             |        |
|                                                                                     |       |                    |        |
| **TOTAL LIABILITIES AND MEMBERS’  CAPITAL**                                         |       | $                       | 130,803,242 |   |

 

**NET ASSET VALUE PER UNIT (NOTE 2)**

See notes to financial statements.

1

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ML CHESAPEAKEFUTURESACCESS LLC 

(a Delaware Limited Liability Company)

STATEMENT OFOPERATIONS

(unaudited)
| ** **                                    | ** ** | **For the period April 1, 2007  (Inception date)  to June 30, 2007** | ** ** |
|-----------------------------------------------|------------|-------------------------------------------------------------------------------------------------------------------|------------|
| **TRADING  PROFIT:**                          | ** ** | ** **                                                                                                        | ** ** |
|                                          |       |                                                                                                              |       |
| Realized                                      |       | $                                                                                                                 | 309,482    |   |
| Change in unrealized                          |       | 1,122,360                                                                                                         |       |
| Brokerage commissions                         |       | (126,027                                                                                                          | )          |
|                                          |       |                                                                                                              |       |
| Total trading profit                          |       | 1,305,815                                                                                                         |       |
|                                          |       |                                                                                                              |       |
| **INVESTMENT  INCOME:**                       | ** ** | ** **                                                                                                        | ** ** |
| Interest                                      |       | 612,139                                                                                                           |       |
|                                          |       |                                                                                                              |       |
| **EXPENSES:**                                 | ** ** | ** **                                                                                                        | ** ** |
| Management fee                                |       | 162,372                                                                                                           |       |
| Incentive fee                                 |       | 221,557                                                                                                           |       |
| Other                                         |       | 45,658                                                                                                            |       |
|                                          |       |                                                                                                              |       |
| Total expenses                                |       | 429,587                                                                                                           |       |
|                                          |       |                                                                                                              |       |
| **NET  INVESTMENT INCOME**                    |       | 182,552                                                                                                           |       |
|                                          |       |                                                                                                              |       |
| **NET  INCOME**                               |       | $                                                                                                                 | 1,488,367  |   |
|                                          |       |                                                                                                              |       |
| **NET  INCOME PER UNIT:**                     | ** ** | ** **                                                                                                        | ** ** |
|                                          |       |                                                                                                              |       |
| Weighted average  number of Units outstanding |       |                                                                                                              |       |
| Class D-SM                                    |       | 12,036,203                                                                                                        |       |
| Class D-TF                                    |       | 107,754,341                                                                                                       |       |
|                                          |       |                                                                                                              |       |
| Net income per  weighted average Unit         |       |                                                                                                              |       |
| Class D-SM                                    |       | $                                                                                                                 | 0.1052     |   |
| Class D-TF                                    |       | 0.0021                                                                                                            |       |

 

See notes to financialstatements.

2

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ML CHESAPEAKEFUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENT OFCHANGES IN MEMBERS’ CAPITAL

For the periodApril 1, 2007 (Inception date) to June 30, 2007 

(unaudited)
| ** **                | ** ** | **Initial Offering** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital  June 30, 2007** | ** ** |
|---------------------------|------------|---------------------------|------------|-------------------|------------|-----------------|------------|---------------------------------------------------------|------------|
|                      |       |                      |       |              |       |            |       |                                                    |       |
| Class D-SM                |       | 12,000,000                |       | 54,304            |       | (140,939        | )          | 11,913,365                                              |       |
| Class D-TF*               |       | —                    |       | 107,754,341       |       | (469,473        | )          | 107,284,868                                             |       |
|                      |       |                      |       |              |       |            |       |                                                    |       |
| Total Members’ Units |       | 12,000,000                |       | 107,808,645       |       | (610,412        | )          | 119,198,233                                             |       |

 
| ** **                   | ** ** | **Initial Offering** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net Income** | ** ** | **Members’ Capital  June 30, 2007** | ** ** |
|------------------------------|------------|---------------------------|------------|-------------------|------------|-----------------|------------|---------------------|------------|---------------------------------------------------------|------------|
|                         |       |                      |       |              |       |            |       |                |       |                                                    |       |
| Class D-SM                   |       | $                         | 12,000,000 |              | $          | 55,960          |       | $                   | (152,919   | )                                                       | $          | 1,261,192 |   | $ | 13,164,233 |   |
| Class D-TF*                  |       | —                    |       | 116,913,460       |       | (510,363        | )          | 227,175             |       | 116,630,272                                             |       |
|                         |       |                      |       |              |       |            |       |                |       |                                                    |       |
| Total Members’ Interest |       | $                         | 12,000,000 |              | $          | 116,969,420     |       | $                   | (663,282   | )                                                       | $          | 1,488,367 |   | $ | 129,794,505 |   |

 

*Classcommenced on June 1, 2007

 

Seenotes to financial statements.

3

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ML CHESAPEAKEFUTURESACCESS LLC

(a Delaware Limited Liability Company)

NOTES TO FINANCIALSTATEMENTS

(unaudited)

1.     SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

In the opinion ofmanagement, the financial statements contain all adjustments necessary topresent fairly the financial position of ML Chesapeake FuturesAccess LLC (the “Fund”)as of June 30, 2007, and the results of its operations for the six months endedJune 30, 2007.  However, the operatingresults for the interim period may not be indicative of the results for thefull year. The Fund commenced operations on April 1, 2007 and has a fiscal yearend of December 31.

Certaininformation and footnote disclosures normally included in annual financialstatements prepared in accordance with accounting principles generally acceptedin the United States of America (“US GAAP”) have been omitted.  It is suggested that these financialstatements be read in conjunction with the Fund’s Form 10 filed with theSecurities and Exchange Commission.

2.              NET ASSET VALUE PERUNIT

For financial reporting purposes, in conformity withUS GAAP, the Fund amortizes over a twelve-month period the initial offeringcosts for purposes of determining Net Asset Value. Such costs initially werepaid by Merrill Lynch Alternative Investments (“MLAI”).  For all other purposes, including computingNet Asset Value for purposes of member subscription and redemption activity,such costs are amortized over 60 months. Consequently, the Net Asset Value andNet Asset Value per Unit of the different Classes for financial reportingpurposes and for all other purposes are as follows:

At June 30, 2007 the Net Asset Values of the differentClasses of Units are as follows:
|             | ** ** | **Net Asset Value**    | ** **  | ** **                   | ** ** | **Net Asset Value per Unit** | ** ** |
|-------------|------------|----------------------------------|-------------|------------------------------|------------|--------------------------------------------------|------------|
| ** **  | ** ** | **All Other Purposes** | ** **  | **Financial Reporting** | ** ** | **Number of Units**                    | ** ** | **All Other  Purposes** | ** ** | **Financial  Reporting** | ** ** |
| Class D-SM  |       | $                                | 13,171,232  |                         | $          | 13,164,233                                       |       | 11,913,365 |   | $ | 1.1056 |   | $ | 1.1049 |   |
| Class D-TF* |       | 116,633,274                      |        | 116,630,272                  |       | 107,284,868                                      |       | 1.0871 |   | 1.0871 |   |
|        |       | $                                | 129,804,506 |                         | $          | 129,794,505                                      |       | 119,198,233 |   |   |   |   |   |
|             |            |                                  |             |                              |            |                                                  |            |  |  |  |  |  |  |  |  |

 

*Class commenced on June 1, 2007

4

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3.              MARKET AND CREDIT RISKS

The nature of this Fund hascertain risks, which cannot be presented on the financial statements.  The following summarizes some of those risks.

Market Risk

Derivative instrumentsinvolve varying degrees of market risk. Changes in the level or volatility of interest rates, foreign currencyexchange rates or the market values of the financial instruments or commoditiesunderlying such derivative instruments frequently result in changes in the Fund’sNet unrealized profit on such derivative instruments as reflected in theStatement of Financial Condition.  TheFund’s exposure to market risk is influenced by a number of factors, including therelationships among the derivative instruments held by the Fund as well as thevolatility and liquidity of the markets in which the derivative instruments aretraded. Investments in foreign markets may also entail legal and politicalrisks.

The Sponsor of the Fund, MLAI, has procedures in placeintended to control market risk exposure, although there can be no assurancethat they will, in fact, succeed in doing so. These procedures focus primarily on monitoring the trading of ChesapeakeCapital, the trading advisor, calculating the Net Asset Value of the Fund as ofthe close of business on each day and reviewing outstanding positions forover-concentrations.  While MLAI does notintervene in the markets to hedge or diversify the Fund’s market exposure, MLAImay urge Chesapeake Capital to reallocate positions in an attempt to avoidover-concentrations.  However, suchinterventions are expected to be unusual. It is expected that MLAI’s basic risk control procedures will consist ofthe ongoing process of advisor monitoring, with the market risk controls beingapplied by Chesapeake Capital .

Credit Risk

The risks associated withexchange-traded contracts are typically perceived to be less than thoseassociated with over-the-counter (non-exchange-traded) transactions, becauseexchanges typically provide clearinghouse arrangements in which the collectivecredit (in some cases limited in amount, in some cases not) of the members ofthe exchange is pledged to support the financial integrity of the exchange.  In over-the-counter transactions, on theother hand, traders must rely solely on the credit of their respectiveindividual counterparties. Margins, which may be subject to loss in the eventof a default, are generally required in exchange trading, and counterpartiesmay also require margin in the over-the-counter markets.

The credit riskassociated with these instruments from counterparty nonperformance is the Netunrealized profit, if any, included in the Statement of Financial Condition.The Fund attempts to mitigate this risk by dealing exclusively with MerrillLynch & Co. Inc. (“Merrill Lynch”) entities as clearing brokers.

The Fund, in its normal course of business, entersinto various contracts, with Merrill Lynch Pierce Fenner & Smith Inc. (“MLPF&S”)acting as its commodity broker.  Pursuantto the brokerage arrangement with MLPF&S (which includes a nettingarrangement), to the extent that such trading results in receivables from andpayables to MLPF&S, these receivables and payables are offset and reportedas a net receivable or payable and included in Equity in commodity futurestrading accounts in the Statement of Financial Condition.

5

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4.              RECENTACCOUNTING PRONOUNCEMENTS

In June 2006, the Financial Accounting Standards Board (“FASB”) issuedInterpretation No. 48 (“FIN 48”), Accounting for Uncertainty in Income Taxes –an interpretation of FASB Statement No. 109. In May 2007, FASB amended this guidance by issuing FASB Staff PositionNo. FIN 48-1, Definition of settlement in FASB Interpretation No48.  FIN 48, as amended, prescribes the minimumrecognition threshold a tax position must meet in connection with accountingfor uncertainties in income tax positions taken or expected to be taken by anentity before being measured and recognized in the financial statements.  Adoption of FIN 48, as amended, is requiredfor fiscal years beginning after December 15, 2006.  The Fund has evaluated its tax positions andhas determined that the implementation of this pronouncement does not have amaterial impact to the financial statements.

In September 2006, the FASB issued Statement ofFinancial Accounting Standards No. 157, Fair Value Measurements (“FAS 157”). FAS 157 establishes a common definition for fair value under accountingprinciples generally accepted in the United States of America, establishes aframework for measuring fair value and expands disclosure requirements aboutsuch fair value measurements.  FAS 157 is effective for fiscal yearsbeginning after November 15, 2007.  The Fund is currently evaluating theimpact of adopting FAS 157 on its financial statements.

6

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Item 2:             Management’sDiscussion and Analysis of Financial Condition and Results of Operations

MONTH-END NETASSET VALUE PER UNIT

(NON US GAAP)

MLAI believes that the Net Asset Value used to calculatesubscription and redemption value and to   report performance to investors throughout the year is the most valuableto the Members of the Fund.   Therefore,the charts below referencing Net Asset Value and performance measurements arebased on the Net Asset Value for all other purposes, as discussed in Note 2 tothe Financial Statements.

Class D-SM
|      | ** ** | **Apr.** | ** ** | **May.** | ** ** | **Jun.** | ** ** |
|------|------------|----------|------------|----------|------------|----------|------------|
| 2007 |       | $        | 1.0305     |     | 1.0850     |     | 1.1056     |   |
|      |            |          |            |          |            |          |            |  |

 

Class D-TF
|      | ** ** | **Apr.** | ** ** | **May.** | ** ** | **Jun.** | ** ** |
|------|------------|----------|------------|----------|------------|----------|------------|
| 2007 |       | N/A      |       | $        | 1.0850     |     | 1.0871     |   |
|      |            |          |            |          |            |          |            |  |

 

Performance Summary

April 1, 2007 to June 30, 2007

Chesapeake recorded a positive return for the secondquarter primarily due to significant gains in the financial sectors. Strongperformance in global stocks led performance for the quarter followed by theinterest rate and the currency cross rate sectors.  Overall performance in the commodity sectorswas mixed for the quarter with energies and grains generating small gains andthe metal sector netting the largest loss. The following is an overview for each month:

The portfolio posted strong performance inApril as seven of its nine sectors were profitable.  All financial sectors recorded gains forthe month, led by stocks, while the metal sector was the most profitableamong the commodities.

The stock sector contributed significantly to April’sreturn as many of the major indexes experienced strong rallies forthe month.  Collectively, our Non-US index positions led performance withour DAX, Share Price, CAC-40 and Euro Stoxx 50 index positions all postingsolid gains.   U.S. stock markets alsoexperienced strong rallies in April, which proved profitable for our Dow,S&P and NASDAQ index positions. Performance in the currency sectors was driven by our yen related crossrate positions including our Euro-Yen, Aussie-Yen, Canadian dollar-Yen,Sterling-Yen and Franc-Yen positions. Other notable profitable currency positions for the month were our NewZealand dollar, Swedish Krona, Euro, Yen and British pound positions.  Performance in the interest rate sector wasmixed for the month with gains coming primarily from our European positions.

The commodity sectors produced mixed results in Aprilwith the metal, energy and soft sectors recording gains and the meat and grainsectors netting losses.  Our nickel position was the most profitablewithin the metal sector followed by aluminum and gold.  Gains in the energy sector came primarilyfrom our light crude position.   Other positive contributors in Aprilwere our cotton, sugar and soybean oil positions while some of the notablelosing positions included our cocoa, soymeal, soybean, corn and K.C. wheatpositions.

7

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The portfolioadded to its yearly gain with strong performance in May.  The financial sectors contributedsignificantly to May’s return led by the stock and interest rate sectors.  The grain sector also boosted performancewhile other commodity sectors had minimal impact on May’s return.

Global equitiesled performance in the portfolio for the second straight month. The stocksector had a significant impact on May’s return as all index positions recordedgains for the month.  The largest gainscame from our S&P Canada-60, IBEX-35 Stock Index (Spain) and DAX Indexpositions.  The interest rate sector alsorecorded strong profits in May with our European positions collectively havingthe biggest impact.  The currency sectorshad little effect on May’s performance although a number of positions includingour Brazilian real and Canadian dollar-yen positions posted solid gains.

Overall, thecommodity sectors made a positive contribution in May.  The grain and energy sectors were profitablefor the month, while the meat, softs and metals sectors suffered losses.  Despite sharp price declines near month-endin many of the agricultural markets, higher prices for the month in the grainsector resulted in profits for our soybean, soymeal, soybean oil, and cornpositions.  Our cocoa and Light crudepositions also benefited from favorable price movement.

Losses for the month came primarily from the metalssectors as metal prices weakened in May amid concerns of a potential slowdownin Chinese demand due to recent government actions.  Other losses in May came from our cattle,coffee and cotton positions.

The favorable tradingenvironment that the portfolio experienced over the first two months of thesecond quarter continued into June.  Forthe month, six of nine sectors were profitable.

Overall, the financial markets accounted for themajority of profits in June.  Thecurrency sectors collectively recorded the largest gain for the month led byour Yen and Australian dollar related positions.   The interest rate sector also had a positiveimpact on the period’s return with European positions collectively posting thelargest gains.  Additional profits camefrom our Australian interest rate positions while our U.S. and Canadianpositions added marginally to profits for the month.  The stock sector had mixed performance forthe period and our Far East Index positions netted a gain by month end.  Our European and U.S. Index positionscollectively recorded losses.

Performance in the commodity sectors was mixed for themonth.  The softs, meats and grainsectors posted small gains in June while the metals and energy sectors incurredlosses.  The metal sector posted the largestloss as falling prices adversely affected our nickel, zinc, aluminum, silverand gold positions.

Item 3:  Quantifying The Fund’s Trading Value At Risk

QuantitativeForward-Looking Statements

Thefollowing quantitative disclosures regarding the Fund’s market risk exposurescontain “forward-looking statement” within the meaning of the safe harbor formcivil liability provided for such statements by the Private SecuritiesLitigation Reform Act of 1995 (set forth in Section 27A of the Securities Actof 1933 and Section 21E of the Securities Exchange Act of 1934).  All quantitative disclosures in this sectionare deemed to be forward-looking statements for purposes of the safe harbor,except for statements of historical fact.

TheFund’s risk exposure in the various market sectors traded by Chesapeake isquantified below in terms of Value at Risk. Due to the Fund’s mark-to-market accounting, any loss in the fair valueof the Fund’s open positions is directly reflected in the Fund’s earnings(realized or unrealized) and cash flow (at least in the case of exchange-tradedcontracts in which profits and losses on open positions are settled dailythrough variation margin).

Exchangemaintenance margin requirements have been used by the Fund as the measure ofits Value at Risk.  Maintenance marginrequirements are set by exchanges to equal or exceed the maximum loss in thefair value of any given contract incurred in 95%-99% of the one-day timeperiods included in the historical sample (generally approximately one year)researched for purposes of establishing margin

8

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levels.  The maintenance margin levels are establishedby dealers and exchanges using historical price studies as well as anassessment of current market volatility (including the implied volatility of theoptions on a given futures contract) and economic fundamentals to provide aprobabilistic estimate of the maximum expected near-term one-day pricefluctuation.

In the case of market sensitive instruments which are notexchange-traded (almost exclusively currencies in the case of the Fund), themargin requirements for the equivalent futures positions have been used asValue at Risk.  In those rare cases inwhich a futures-equivalent margin is not available, dealers’ margins have beenused.

100% positive correlation in the different positions held in eachmarket risk category has been assumed. Consequently, the margin requirements applicable to the open contractshave been aggregated to determine each trading category’s aggregate Value atRisk.  The diversification effectsresulting from the fact that the Fund’s positions are rarely, if ever, 100%positively correlated have not been reflected.

The following table indicates the average, highest andlowest trading Value at Risk associated with the Fund’s open positions bymarket category for the fiscal period. For the three months ended June 30, 2007, the Fund’s average Month-endNet Asset Value for all other purposes was approximately $41,774,098.
|                           | ** ** | **June 30, 2007** | ** ** |
|---------------------------|------------|-----------------------------|------------|
| ** **                | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
| **Market Sector**    | ** ** | **Value at Risk** | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                      |       |                        |       |   |   |   |   |   |   |
| Agricultural  Commodities |       | $                           | 211,318    |   | 0.51 | % | $ | 560,788 |   | $ | 32,895 |   |
| Energy                    |       | 16,743                      |       | 0.04 | % | 33,382 |   | 2,880 |   |
| Interest Rates            |       | 8,937,074                   |       | 21.39 | % | 22,462,646 |   | 2,055,678 |   |
| Metals                    |       | 200,589                     |       | 0.48 | % | 494,759 |   | 51,938 |   |
| Stock Futures             |       | 258,917                     |       | 0.62 | % | 637,727 |   | 61,527 |   |
| Stock Indices             |       | 459,699                     |       | 1.10 | % | 1,169,033 |   | 99,185 |   |
| Currencies                |       | 501,618                     |       | 1.20 | % | 1,224,309 |   | 128,903 |   |
|                      |       |                        |       |   |   |   |   |   |   |
| TOTAL                     |       | $                           | 10,585,958 |   | 25.34 | % | $ | 26,582,643 |   | $ | 2,433,006 |   |

 

 

**Non-Trading Risk**

Foreign Currency Balances;Cash on Deposit with MLPF&S

The Fund has non-tradingmarket risk on its foreign cash balances not needed for margin. However, thesebalances (as well as the market risk they represent) are immaterial.

The Fund also hasnon-trading market risk on the approximately 90%-95% of its assets which areheld in cash at MLPF&S. The value of this cash is not interest ratesensitive, but there is cash flow risk in that if interest rates decline sowill the cash flow generated on these monies. This cash flow risk isimmaterial.

Item4. Controls and Procedures

MLAI, the Sponsorof ML Chesapeake FuturesAccess LLC (the “Fund”), with the participation of theSponsor’s Chief Executive Officer and the Chief Financial Officer, hasevaluated the effectiveness of the design and operation of its disclosurecontrols and procedures with respect to the Fund as of the end of the period ofthis quarterly report, and, based on this evaluation, has concluded that thesedisclosure controls and procedures are effective.  Additionally, there were no significantchanges in the Fund’s internal controls or in other factors that couldsignificantly affect these controls subsequent to the date of this evaluation,including any corrective actions with regard to significant deficiencies andmaterial weaknesses.

9

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PART II - OTHER INFORMATION

Item1.            Legal Proceedings

On July 31, 2007, the CFTC issued an order against MLAI and an advisoryaffiliate, to which MLAI and the affiliate consented, containing findings,which MLAI and the affiliate neither admitted nor denied, that MLAI and theaffiliate filed with the NFA a number of annual reports for commodity pools forwhich they acted as commodity pool operators after the deadline established bythe CFTC’s regulations, in violation of CFTC Regulation 4.22(c). MLAI and theaffiliate were ordered to cease and desist from violating Regulation 4.22(c)and to pay a civil penalty in the amount of $500,000.

Item2.            Unregistered Sales ofEquity Securities and Use of Proceeds

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

CLASS D-SM
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV(1)** | ** ** |
| Apr-07     |       |             | $          | 12,000,000 |       | 12,000,000 |       | $ | 1.0000 |   |
| May-07     |       |             | 55,960     |       | 54,304     |       | 1.0305     |   |
| Jun-07     |       |             | —     |       | —     |       | 1.0850     |   |
| Jul-07     |       |             | 1,094,676  |       | 990,119    |       | 1.1056     |   |
|            |            |                  |            |            |            |            |            |  |  |  |

 

CLASS D-TF
| ** ** | ** ** | **Subscription** | ** **  | ** ** | ** **  | ** ** | ** ** |
|------------|------------|------------------|-------------|------------|-------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** **  | **Units**  | ** **  | **NAV(1)** | ** ** |
| Apr-07     |       |             | $           | —     |        | —     |       | n/a |   |
| May-07     |       |             | —      |       | —      |       | n/a        |   |
| Jun-07     |       |             | 116,913,460 |       | 107,754,341 |       | 1.0850     |   |
| Jul-07     |       |             | —      |       | —      |       | 1.0871     |   |
|            |            |                  |             |            |             |            |            |  |  |

 

CLASS I*

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV(1)** | ** ** |
|       |       |             |       |       |       |       |       |   |
| Apr-07     |       |             | $          | —     |       | —     |       | n/a |   |
| May-07     |       |             | —     |       | —     |       | n/a        |   |
| Jun-07     |       |             | —     |       | —     |       | n/a        |   |
| Jul-07     |       |             | 10,000     |       | 10,000     |       | 1.0000     |   |
|            |            |                  |            |            |            |            |            |  |  |

 

* Commencement of operations on July 1, 2007.

 

(b)  None.

(c)   None.

Item3.            Defaults Upon SeniorSecurities

None.

Item4.            Submission of Mattersto a Vote of Security Holders

None.

Item5.            Other Information

None.

10

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Item6.            Exhibits

The following exhibits are incorporated by referenceor are filed herewith to this Quarterly Report on Form 10-Q:

31.01 and 31.02             Rule13a-14(a)/15d-14(a) Certifications

Exhibit 31.01 and 31.02:               Are filed herewith.

32.01 and 32.02             Section1350 Certifications

Exhibit 32.01 and 32.02                Are filed herewith.

11

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**SIGNATURES**

Pursuant to the requirements of the Securities Exchange Act of 1934,the registrant has duly caused this report to be signed on its behalf by theundersigned thereunto duly authorized.

 
|                        | ML CHESAPEAKE FUTURESACCESS LLC |
|------------------------|---------------------------------|
|                   |                            |
|                   |                            |
|                   | By: MERRILL LYNCH ALTERNATIVE   |
|                   | INVESTMENTS LLC                 |
|                   | (Manager)                       |
|                   |                            |
|                   |                            |
| Date: August 14,  2007 | By                              | /s/ ROBERT D. OLLWERTHER |   |
|                   |                            | Robert D. Ollwerther |
|                   |                            | Chief Executive Officer and President |
|                   |                            | (Principal Executive Officer) |
|                   |                            |
|                   |                            |
| Date: August 14,  2007 |                            |
|                   | By                              | /s/ BARBRA E. KOCSIS |   |
|                   |                            | Barbra E. Kocsis |
|                   |                            | Chief Financial Officer |
|                   |                            | (Principal Financial and Accounting Officer) |
|                        |                                 |  |  |  |

 

12

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