** **

**UNITEDSTATES SECURITIES AND EXCHANGE COMMISSION**

**Washington,D.C. 20549**

 

**FORM 10-Q**

** **

**(Mark One)**

** **

**x**** QUARTERLY REPORT PURSUANTTO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934**

** **

**For the quarterly period ended September 30, 2008**

** **

**OR**

** **

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

** **

**For the transition period from                to**

** **

**Commission File Number 0-52384**

** **

**ML TRANSTREND DTP ENHANCEDFUTURESACCESS LLC**

(Exact Name ofRegistrant as

specified inits charter)

 

| **Delaware**                    | ** ** | **30-0408288**                    |
|---------------------------------|------------|-----------------------------------|
| (State or other jurisdiction of |       | (IRS Employer Identification No.) |
| incorporation or organization)  |       |                              |

 

**c/o Merrill Lynch Alternative Investments LLC**

**Two WorldFinancial Center, 7th Floor**

**New York,New York 10281**

(Address of principalexecutive offices)

(Zip Code)

 

**212-236-2063**

(Registrant’stelephone number, including area code)

 

Indicate bycheck mark whether the registrant (1) has filed all reports required to befiled by Section 13 or 15(d) of the Securities Exchange Act of 1934during the preceding 12 months (or for such shorter period that the registrantwas required to file such reports), and (2) has been subject to suchfiling requirements for the past 90 days.

Yes x   No o

 

Indicate by check markwhether the registrant is a large accelerated filer, an accelerated filer, or anon-accelerated filer.  See definition of“accelerated filer and large accelerated filer” in Rule 12b-2 of theExchange Act. (Check one):

 

Largeaccelerated filer o                Accelerated filer o               Non-accelerated filer x               Smaller Reporting Company o

 

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

Yes o   No x

 

Indicate by check markwhether the registrant has filed all documents and reports required to be filedby Sections 12, 13 or 15(d) of the Securities Exchange Act of 1934subsequent to the distribution of securities under a plan confirmed by a court.

Yeso   No o

 

The limited partnershipunits of the registrant are not publicly traded. Accordingly, there is noaggregate market value for registrant’s outstanding equity that is readilydeterminable.

 

 

 

----

 

**MLTRANSTREND DTP ENHANCED FUTURESACCESS LLC**

 

QUARTERLYREPORT FOR SEPTEMBER 30, 2008 ON FORM 10-Q

 

Table ofContents

 
| ** ** | ** ** | ** **                                                                                  | ** ** | **PAGE** |
|------------|------------|---------------------------------------------------------------------------------------------|------------|----------|
|       |       | PART I                                                                                 |       |     |
|       |       | ** **                                                                                  |       |     |
| Item 1.    |       | Financial Statements                                                                        |       | 1        |
|       |       |                                                                                        |       |     |
| Item 2.    |       | Management’s Discussion and Analysis of Financial Condition and  Results of Operations |       | 10       |
|       |       |                                                                                        |       |     |
| Item 3.    |       | Quantitative and Qualitative Disclosures About Market Risk                                  |       | 17       |
|       |       |                                                                                        |       |     |
| Item 4.    |       | Controls and Procedures                                                                     |       | 20       |
|       |       |                                                                                        |       |     |
|       |       | PART II                                                                                |       |     |
|       |       |                                                                                        |       |     |
| Item 1.    |       | Legal Proceedings                                                                           |       | 21       |
|       |       |                                                                                        |       |     |
| Item 1A.   |       | Risk Factors                                                                                |       | 21       |
|       |       |                                                                                        |       |     |
| Item 2.    |       | Unregistered Sales of Equity Securities and Use of Proceeds                                 |       | 23       |
|       |       |                                                                                        |       |     |
| Item 3.    |       | Defaults Upon Senior Securities                                                             |       | 24       |
|       |       |                                                                                        |       |     |
| Item 4.    |       | Submission of Matters to a Vote of Security Holders                                         |       | 24       |
|       |       |                                                                                        |       |     |
| Item 5.    |       | Other Information                                                                           |       | 24       |
|       |       |                                                                                        |       |     |
| Item 6.    |       | Exhibits                                                                                    |       | 24       |

 

----

 

PART I - FINANCIAL INFORMATION

 

Item 1.    FinancialStatements

 

ML TRANSTRENDDTP ENHANCED FUTURESACCESS LLC

(a DelawareLimited Liability Company)

 

STATEMENTS OFFINANCIAL CONDITION

 
| ** **                                                                                         | ** ** | **September 30, 2008** | ** **  | **December 31, 2007** | ** ** |
|----------------------------------------------------------------------------------------------------|------------|----------------------------------|-------------|---------------------------------|------------|
| ** **                                                                                         | ** ** | **(unaudited)**                  | ** **  | **(unaudited)**                 | ** ** |
|                                                                                               |       |                             |        |                            |       |
| **ASSETS:**                                                                                        |       |                             |        |                            |       |
| Equity in commodity futures trading  accounts:                                                     |       |                             |        |                            |       |
| Cash (including restricted cash of  $14,752,231 for 2008 and $16,474,936 for 2007)                 |       | $                                | 188,220,458 |                            | $          | 117,567,915 |   |
| Net unrealized profit (loss) on open  contracts                                                    |       | 6,737,218                        |        | 3,742,826                       |       |
| Cash                                                                                               |       | 115,942                          |        | —                          |       |
| Deferred initial offering costs                                                                    |       | —                           |        | 12,500                          |       |
| Accrued interest receivable                                                                        |       | 246,537                          |        | 420,348                         |       |
| Other                                                                                              |       | 197,529                          |        | —                          |       |
| **TOTAL ASSETS**                                                                                   |       | $                                | 195,517,684 |                            | $          | 121,743,589 |   |
|                                                                                               |       |                             |        |                            |       |
| **LIABILITIES AND MEMBERS’ CAPITAL**                                                          |       |                             |        |                            |       |
| LIABILITIES:                                                                                       |       |                             |        |                            |       |
| Brokerage commissions payable                                                                      |       | $                                | 39,767      |                            | $          | 45,548 |   |
| Management fee payable                                                                             |       | 241,651                          |        | 89,876                          |       |
| Initial offering costs payable                                                                     |       | 50,000                           |        | 50,000                          |       |
| Performance fee payable                                                                            |       | 6,212,618                        |        | 4,716,569                       |       |
| Sponsor fee payable                                                                                |       | 27,551                           |        | 3,863                           |       |
| Redemptions payable                                                                                |       | 5,997,599                        |        | 4,152,868                       |       |
| Miscellaneous payable                                                                              |       | 4,000,001                        |        | —                          |       |
| Other                                                                                              |       | —                           |        | 28,587                          |       |
|                                                                                               |       |                             |        |                            |       |
| Total liabilities                                                                                  |       | 16,569,187                       |        | 9,087,311                       |       |
|                                                                                               |       |                             |        |                            |       |
| MEMBERS’ CAPITAL:                                                                             |       |                             |        |                            |       |
| Members’ Interest (122,935,943 and  87,680,115 Units outstanding, unlimited Units authorized) |       | 178,948,497                      |        | 112,656,278                     |       |
| Total members’ capital                                                                        |       | 178,948,497                      |        | 112,656,278                     |       |
|                                                                                               |       |                             |        |                            |       |
| **TOTAL LIABILITIES AND MEMBERS’ CAPITAL**                                                    |       | $                                | 195,517,684 |                            | $          | 121,743,589 |   |

 

**NET ASSET VALUE PER UNIT (NOTE 3)**

 

See notes to financial statements.

 

1

----

 

ML TRANSTRENDDTP ENHANCED FUTURESACCESS LLC

(a DelawareLimited Liability Company)

 

STATEMENTS OFOPERATIONS

(unaudited)

 
| ** **                                    | ** ** | **For the three months  ended** | ** ** | **For the three months**

**ended** | ** ** | **For the nine months  ended** | ** ** | **For the period  April 2, 2007  (commencement  of operations)** | ** ** |
|-----------------------------------------------|------------|------------------------------------------------|------------|----------------------------------------------------|------------|-----------------------------------------------|------------|-------------------------------------------------------------------------------------------|------------|
| ** **                                    | ** ** | **September 30, 2008**                    | ** ** | **September 30, 2007**                        | ** ** | **September 30, 2008**                   | ** ** | **to September 30, 2007**                                                            | ** ** |
| **TRADING PROFIT (LOSS):**                    |       |                                           |       |                                               |       |                                          |       |                                                                                      |       |
|                                          |       |                                           |       |                                               |       |                                          |       |                                                                                      |       |
| Realized                                      |       | $                                              | 2,429,392  |                                               | $          | 2,341,778                                     |       | $                                                                                         | 24,183,775 |   | $ | 1,556,105 |   |
| Change in unrealized                          |       | 359,681                                        |       | (841,290                                           | )          | 2,994,392                                     |       | 8,599,865                                                                                 |       |
| Brokerage commissions                         |       | (205,124                                       | )          | (198,399                                           | )          | (502,570                                      | )          | (404,202                                                                                  | )          |
|                                          |       |                                           |       |                                               |       |                                          |       |                                                                                      |       |
| Total trading profit (loss)                   |       | 2,583,949                                      |       | 1,302,089                                          |       | 26,675,597                                    |       | 9,751,768                                                                                 |       |
|                                          |       |                                           |       |                                               |       |                                          |       |                                                                                      |       |
| **INVESTMENT INCOME:**                        |       |                                           |       |                                               |       |                                          |       |                                                                                      |       |
| Interest                                      |       | 746,056                                        |       | 1,008,635                                          |       | 2,316,942                                     |       | 2,147,009                                                                                 |       |
|                                          |       |                                           |       |                                               |       |                                          |       |                                                                                      |       |
| **EXPENSES:**                                 |       |                                           |       |                                               |       |                                          |       |                                                                                      |       |
| Management fee                                |       | 659,355                                        |       | 342,000                                            |       | 1,598,827                                     |       | 511,683                                                                                   |       |
| Performance fee                               |       | 447,866                                        |       | 260,355                                            |       | 6,207,193                                     |       | 2,321,440                                                                                 |       |
| Sponsor fee                                   |       | 78,290                                         |       | 3,048                                              |       | 162,815                                       |       | 3,048                                                                                     |       |
| Other                                         |       | 130,629                                        |       | 58,846                                             |       | 252,998                                       |       | 104,501                                                                                   |       |
|                                          |       |                                           |       |                                               |       |                                          |       |                                                                                      |       |
| Total expenses                                |       | 1,316,140                                      |       | 664,249                                            |       | 8,221,833                                     |       | 2,940,672                                                                                 |       |
|                                          |       |                                           |       |                                               |       |                                          |       |                                                                                      |       |
| **NET INVESTMENT INCOME (LOSS)**              |       | (570,084                                       | )          | 344,386                                            |       | (5,904,891                                    | )          | (793,663                                                                                  | )          |
|                                          |       |                                           |       |                                               |       |                                          |       |                                                                                      |       |
| **NET INCOME (LOSS)**                         |       | $                                              | 2,013,865  |                                               | $          | 1,646,475                                     |       | $                                                                                         | 20,770,706 |   | $ | 8,958,105 |   |
|                                          |       |                                           |       |                                               |       |                                          |       |                                                                                      |       |
| **NET INCOME (LOSS) PER UNIT:**               |       |                                           |       |                                               |       |                                          |       |                                                                                      |       |
|                                          |       |                                           |       |                                               |       |                                          |       |                                                                                      |       |
| Weighted average number of Units  outstanding |       |                                           |       |                                               |       |                                          |       |                                                                                      |       |
| Class A*                                 |       | 802,872                                        |       | 9,750                                              |       | 557,572                                       |       | 9,750                                                                                     |       |
| Class C**                                |       | 10,069,660                                     |       | 504,099                                            |       | 6,918,309                                     |       | 504,099                                                                                   |       |
| Class D***                               |       | 1,780,711                                      |       | —                                             |       | 1,929,738                                     |       | —                                                                                    |       |
| Class I****                              |       | 767,867                                        |       | —                                             |       | 724,711                                       |       | —                                                                                    |       |
| Class DS*****                            |       | 47,131,909                                     |       | 11,836,266                                         |       | 31,960,844                                    |       | 11,815,504                                                                                |       |
| Class DT******                           |       | 61,990,342                                     |       | 95,370,695                                         |       | 66,647,872                                    |       | 97,819,616                                                                                |       |
| Net income (loss) per weighted average Unit   |       |                                           |       |                                               |       |                                          |       |                                                                                      |       |
| Class A*                                 |       | $                                              | 0.0132     |                                               | $          | 0.0779                                        |       | $                                                                                         | 0.1083     |   | $ | 0.0779 |   |
| Class C**                                |       | $                                              | 0.0056     |                                               | $          | 0.0291                                        |       | $                                                                                         | 0.0942     |   | $ | 0.0291 |   |
| Class D***                               |       | $                                              | 0.0117     |                                               | $          | —                                        |       | $                                                                                         | 0.1397     |   | $ | — |   |
| Class I****                              |       | $                                              | 0.0090     |                                               | $          | —                                        |       | $                                                                                         | 0.1509     |   | $ | — |   |
| Class DS*****                            |       | $                                              | 0.0178     |                                               | $          | 0.0169                                        |       | $                                                                                         | 0.1570     |   | $ | 0.2084 |   |
| Class DT******                           |       | $                                              | 0.0175     |                                               | $          | 0.0150                                        |       | $                                                                                         | 0.2200     |   | $ | 0.0662 |   |

 

----

| *      | Class A  commenced on September 1, 2007                                    |
|--------|--------------------------------------------------------------------------------------|
| **     | Class C  commenced on July 1, 2007                                         |
| ***    | Class D  commenced on November 1, 2007                                     |
| ****   | Class I  commenced on October 1, 2007                                      |
| *****  | Class DS  was previously known as class D-SM                                    |
| ****** | Class DT  commenced on June 1, 2007 and was previously known as class D-TF |

 

See notes to financial statements.

 

2

----

 

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(a Delaware LimitedLiability Company)

 

STATEMENTS OF CHANGES INMEMBERS’ CAPITAL

For the nine months endedSeptember 30, 2008 and the period April 2, 2007 (commencement ofoperations) to September 30, 2007

(unaudited)

 
| ** **                 | ** ** | ** **                | ** ** | ** **        | ** ** | ** **      | ** ** | **Members’ Capital**   | ** ** | **Members’ Capital**  | ** ** | ** **        | ** ** | ** **      | ** ** | **Members’ Capital**   | ** ** |
|----------------------------|------------|---------------------------|------------|-------------------|------------|-----------------|------------|----------------------------------|------------|---------------------------------|------------|-------------------|------------|-----------------|------------|----------------------------------|------------|
| ** **                 | ** ** | **Initial Offering** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **September 30, 2007** | ** ** | **December 31, 2007** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **September 30, 2008** | ** ** |
|                       |       |                      |       |              |       |            |       |                             |       |                            |       |              |       |            |       |                             |       |
| Class A*              |       | —                    |       | 9,750             |       | —          |       | 9,750                            |       | 107,731                         |       | 790,211           |       | (83,945         | )          | 813,997                          |       |
| Class C**             |       | —                    |       | 659,114           |       | (27,091         | )          | 632,023                          |       | 752,226                         |       | 9,979,786         |       | (418,499        | )          | 10,313,513                       |       |
| Class D***            |       | —                    |       | —            |       | —          |       | —                           |       | 750,000                         |       | 2,794,704         |       | (1,763,993      | )          | 1,780,711                        |       |
| Class I****           |       | —                    |       | —            |       | —          |       | —                           |       | 590,000                         |       | 177,867           |       | (13,367         | )          | 754,500                          |       |
| Class DS*****         |       | 12,000,000                |       | 341,860           |       | (715,603        | )          | 11,626,257                       |       | 13,766,729                      |       | 42,665,181        |       | (2,852,864      | )          | 53,579,046                       |       |
| Class DT******        |       | —                    |       | 105,166,376       |       | (19,076,462     | )          | 86,089,914                       |       | 71,713,429                      |       | 1,498,340         |       | (17,517,593     | )          | 55,694,176                       |       |
|                       |       |                      |       |              |       |            |       |                             |       |                            |       |              |       |            |       |                             |       |
| Total Members’  Units |       | 12,000,000                |       | 106,177,100       |       | (19,819,156     | )          | 98,357,944                       |       | 87,680,115                      |       | 57,906,089        |       | (22,650,261     | )          | 122,935,943                      |       |

 

----

| *      | Class A commenced on September 1, 2007                                     |
|--------|--------------------------------------------------------------------------------------|
| **     | Class C commenced on July 1, 2007                                          |
| ***    | Class D commenced on November 1, 2007                                      |
| ****   | Class I commenced on October 1, 2007                                       |
| *****  | Class DS was previously known as class D-SM                                     |
| ****** | Class DT commenced on June 1, 2007 and was  previously known as class D-TF |

 

See notes to financialstatements.

 

3

----

 

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(a Delaware LimitedLiability Company)

 

STATEMENTS OF CHANGES INMEMBERS’ CAPITAL

For the nine months endedSeptember 30, 2008 and the period April 2, 2007 (commencement ofoperations) to September 30, 2007

(unaudited)

 
| ** **                    | ** ** | ** **                | ** ** | ** **        | ** ** | ** **      | ** ** | ** **          | ** **  | **Members’ Capital**   | ** ** | **Members’ Capital**  | ** ** | ** **        | ** **  | ** **      | ** ** | ** **          | ** ** | **Members’ Capital**   | ** ** |
|-------------------------------|------------|---------------------------|------------|-------------------|------------|-----------------|------------|---------------------|-------------|----------------------------------|------------|---------------------------------|------------|-------------------|-------------|-----------------|------------|---------------------|------------|----------------------------------|------------|
| ** **                    | ** ** | **Initial Offering** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net Income** | ** **  | **September 30, 2007** | ** ** | **December 31, 2007** | ** ** | **Subscriptions** | ** **  | **Redemptions** | ** ** | **Net Income** | ** ** | **September 30, 2008** | ** ** |
|                          |       |                      |       |              |       |            |       |                |        |                             |       |                            |       |              |        |            |       |                |       |                             |       |
| Class A*                 |       | $                         | —     |              | $          | 9,750           |       | $                   | —      |                             | $          | 760                             |       | $                 | 10,510      |            | $          | 118,484             |       | $                                | 923,132    |   | $ | (102,102 | ) | $ | 60,359 |   | $ | 999,873 |   |
| Class C**                |       | —                    |       | 640,397           |       | (26,928         | )          | 14,683              |        | 628,152                          |       | 797,979                         |       | 11,148,232        |        | (478,308        | )          | 651,830             |       | 12,119,733                       |       |
| Class D***               |       | —                    |       | —            |       | —          |       | —              |        | —                           |       | 701,576                         |       | 2,724,999         |        | (1,762,514      | )          | 269,593             |       | 1,933,654                        |       |
| Class I****              |       | —                    |       | —            |       | —          |       | —              |        | —                           |       | 625,944                         |       | 197,059           |        | (16,232         | )          | 109,357             |       | 916,128                          |       |
| Class DS*****            |       | 12,000,000                |       | 407,564           |       | (793,058        | )          | 2,462,551           |        | 14,077,057                       |       | 17,927,148                      |       | 59,953,718        |        | (4,000,001      | )          | 5,017,310           |       | 78,898,175                       |       |
| Class DT******           |       | —                    |       | 116,913,460       |       | (21,574,749     | )          | 6,480,111           |        | 101,818,822                      |       | 92,485,147                      |       | 2,130,197         |        | (25,196,667     | )          | 14,662,257          |       | 84,080,934                       |       |
|                          |       |                      |       |              |       |            |       |                |        |                             |       |                            |       |              |        |            |       |                |       |                             |       |
| Total Members’  Interest |       | $                         | 12,000,000 |              | $          | 117,971,171     |       | $                   | (22,394,735 | )                                | $          | 8,958,105                       |       | $                 | 116,534,541 |            | $          | 112,656,278         |       | $                                | 77,077,337 |   | $ | (31,555,824 | ) | $ | 20,770,706 |   | $ | 178,948,497 |   |

 

----

*          Class A commenced on September 1,2007

**        Class C commenced on July 1,2007

***      Class D commenced on November 1,2007

****    Class I commenced on October 1,2007

*****  Class DS was previously known as classD-SM 

******Class DTcommenced on June 1, 2007 and was previously known as class D-TF

 

See notes to financialstatements.

 

4

----

 

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

NOTES TO FINANCIALSTATEMENTS

(unaudited)

 

1.               SUMMARY OFSIGNIFICANT ACCOUNTING POLICIES

 

ML Transtrend DTP Enhanced FuturesAccess LLC (the “Fund”) was organizedunder the Delaware Limited Liability Company Act on March 8, 2007 andcommenced trading activities on April 2, 2007. The Fund issues new unitsof limited liability company interest (“Units”) at Net Asset Value per Unit asof the beginning of each calendar month. The Fund engages in the speculativetrading of futures, options on futures and forward contracts on a wide range ofcommodities. Transtrend B.V. (“Transtrend”) is the trading advisor of the Fund.

 

Merrill Lynch Alternative Investments LLC (“MLAI”) is the Sponsor (“Sponsor”)and Manager (“Manager”) of the Fund. MLAI is an indirect wholly-ownedsubsidiary of Merrill Lynch & Co., Inc. (“Merrill Lynch”).Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”), awholly-owned subsidiary of Merrill Lynch, is the Fund’s commodity broker.

 

In the opinion ofmanagement, the financial statements contain all adjustments necessary topresent fairly the financial position of the Fund as of September 30, 2008and the results of its operations for the three and nine months ended September 30,2008 and for the three months ended September 30, 2007 and for the period April 2,2007 (commencement of operations) to September 30, 2007.  However, the operating results for theinterim period may not be indicative of the results for the full year.

 

Certaininformation and footnote disclosures normally included in annual financialstatements prepared in accordance with accounting principles generally acceptedin the United States of America (“U.S. GAAP”) have been omitted.  It is suggested that these financialstatements be read in conjunction with the financial statements and notesthereto included in the Fund’s Annual Report on Form 10-K filed with theSecurities Exchange Commission for the period ended December 31, 2007.

 

The preparation offinancial statements in conformity with U.S. GAAP requires management to makeestimates and assumptions that affect the reported amounts of assets andliabilities and disclosure of contingent assets and liabilities at the date ofthe financial statements and the reported amounts of revenues and expensesduring the reporting period.  Actualresults could differ from those estimates. Certain prior year items have beenreclassified to conform to the current year presentation.

 

2.               FAIRVALUE OF INVESTMENTS

 

In September 2006,the Financial Accounting Standards Board (“FASB”) issued Statement of FinancialAccounting Standards No. 157, Fair Value Measurement (“FAS 157”). FAS 157defines fair value, establishes a framework for measuring fair value andexpands disclosures about fair value measurements. The Fund adopted FAS 157 asof January 1, 2008. The adoption of FAS 157 did not have a material impacton the Fund’s financial statements.

 

Fair value of aninvestment is the amount that would be received to sell the investment in anorderly transaction between market participants at the measurement date (i.e.the exit price).

 

5

----

 

FAS 157 established ahierarchal disclosure framework which prioritizes and ranks the level of marketprice observability used in measuring investments at fair value. Market priceobservability is impacted by a number of factors, including the type ofinvestment and the characteristics specific to the investment. Investments withreadily available active quoted prices or for which fair value can be measuredfrom actively quoted prices generally will have a higher degree of market priceobservability and a lesser degree of judgment used in measuring fair value.

 

Investments measured andreported at fair value are classified and disclosed in one of the followingcategories:

 

Level I – Quoted pricesare available in active markets for identical investments as of the reportingdate. The type of investments included in Level I are publicly tradedinvestments. As required by FAS 157, the Fund does not adjust the quoted pricefor these investments even in situations where the Fund holds a large positionand a sale could reasonably impact the quoted price.

 

Level II – Pricing inputsare other than quoted prices in active markets, which are either directly orindirectly observable as of the reporting date, and fair value is determinedthrough the use of generally accepted and understood models or other valuationmethodologies. Investments which are generally included in this category areinvestments valued using market data.

 

Level III – Pricinginputs are unobservable and include situations where there is little, if any,market activity for the investment. Fair value for these investments is determinedusing valuation methodologies that consider a range of factors, including butnot limited the nature of the investment, local market conditions, tradingvalues on public exchanges for comparable securities, current and projectedoperating performance and financing transactions subsequent to the acquisitionof the investment. The inputs into the determination of fair value requiresignificant management judgment. Due to the inherent uncertainty of theseestimates, these values may differ materially from the values that would havebeen used had a ready market for these investments existed. Investments thatare included in this category generally are privately held debt and equitysecurities.

 

In certain cases,the inputs used to measure fair value may fall into different levels of thefair value hierarchy. In such cases, an investment’s level within the fairvalue hierarchy is based on the lowest level of input that is significant tothe fair value measurement. The Sponsor’s assessment of the significance of aparticular input to the fair value measurement in its entirety requiresjudgment, and considers factors specific to the investment.

 

The followingtable summarizes the valuation of the Fund’s investments by the above FAS 157fair value hierarchy levels as of September 30, 2008:

 
| ** **                                      | ** ** | **Total** | ** ** | **Level I** | ** ** | **Level II** | ** ** | **Level III** | ** ** |
|-------------------------------------------------|------------|-----------|------------|------------------|------------|-------------------|------------|--------------------|------------|
| Net unrealized  profit (loss) on open contracts |       | $         | 6,737,218  |             | $          | 6,737,218         |       | N/A                |       | N/A |   |
|                                                 |            |           |            |                  |            |                   |            |                    |            |  |  |

 

6

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3.               NET ASSET VALUE PERUNIT

 

For financialreporting purposes, in conformity with U.S. GAAP, the Fund amortizes over atwelve-month period the total initial offering costs payable to MLAI forpurposes of determining Net Asset Value. For all other purposes, including computing Net Asset Value for purposesof member subscription and redemption activity, such costs are amortized over60 months.  Consequently, the Net AssetValue and Net Asset Value per Unit of the different Classes for financialreporting purposes and for all other purposes at September 30, 2008 and December 31,2007 are as follows:

 

September 30,2008

 
| ** **    | ** ** | **Net Asset Value**    | ** **  | ** **               | ** ** | **Net Asset Value per Unit** | ** ** |
|---------------|------------|----------------------------------|-------------|--------------------------|------------|--------------------------------------------------|------------|
| ** **    | ** ** | **All Other Purposes** | ** **  | **Financial  Reporting** | ** ** | **Number of  Units**                        | ** ** | **All Other**

**Purposes** | ** ** | **Financial  Reporting** | ** ** |
| Class A  |       | $                                | 999,889     |                     | $          | 999,873                                          |       | 813,997 |   | $ | 1.2284 |   | $ | 1.2283 |   |
| Class C  |       | 12,119,819                       |        | 12,119,733               |       | 10,313,513                                       |       | 1.1751 |   | 1.1751 |   |
| Class D  |       | 1,933,763                        |        | 1,933,654                |       | 1,780,711                                        |       | 1.0859 |   | 1.0859 |   |
| Class I  |       | 916,197                          |        | 916,128                  |       | 754,500                                          |       | 1.2143 |   | 1.2142 |   |
| Class DS |       | 78,900,501                       |        | 78,898,175               |       | 53,579,046                                       |       | 1.4726 |   | 1.4726 |   |
| Class DT |       | 84,108,333                       |        | 84,080,934               |       | 55,694,176                                       |       | 1.5102 |   | 1.5097 |   |
|          |       |                             |        |                     |       |                                             |       |   |   |   |   |
|          |       | $                                | 178,978,502 |                     | $          | 178,948,497                                      |       | 122,935,943 |   |   |   |   |   |
|               |            |                                  |             |                          |            |                                                  |            |  |  |  |  |  |  |  |  |

 

December 31, 2007

 
| ** **    | ** ** | **Net Asset Value** | ** **  | ** **               | ** ** | **Net Asset Value per Unit** | ** ** |
|---------------|------------|-------------------------------|-------------|--------------------------|------------|--------------------------------------------------|------------|
| ** **    | ** ** | **All Other  Purposes**  | ** **  | **Financial  Reporting** | ** ** | **Number of**

**Units**                    | ** ** | **All Other  Purposes** | ** ** | **Financial  Reporting** | ** ** |
| Class A  |       | $                             | 118,495     |                     | $          | 118,484                                          |       | 107,731 |   | $ | 1.0999 |   | $ | 1.0998 |   |
| Class C  |       | 798,078                       |        | 797,979                  |       | 752,226                                          |       | 1.0610 |   | 1.0608 |   |
| Class D  |       | 701,608                       |        | 701,576                  |       | 750,000                                          |       | 0.9355 |   | 0.9354 |   |
| Class I  |       | 625,977                       |        | 625,944                  |       | 590,000                                          |       | 1.0610 |   | 1.0609 |   |
| Class DS |       | 17,928,995                    |        | 17,927,148               |       | 13,766,729                                       |       | 1.3023 |   | 1.3022 |   |
| Class DT |       | 92,508,129                    |        | 92,485,147               |       | 71,713,429                                       |       | 1.2900 |   | 1.2896 |   |
|          |       |                          |        |                     |       |                                             |       |   |   |   |   |
|          |       | $                             | 112,681,282 |                     | $          | 112,656,278                                      |       | 87,680,115 |   |   |   |   |   |
|               |            |                               |             |                          |            |                                                  |            |  |  |  |  |  |  |  |  |

 

7

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4.               MARKET AND CREDIT RISKS

 

Thenature of this Fund has certain risks, which cannot be presented on thefinancial statements.  The followingsummarizes some of those risks.

 

  Market Risk

 

Derivativeinstruments involve varying degrees of market risk.  Changes in the level or volatility ofinterest rates, foreign currency exchange rates or the market values of thefinancial instruments or commodities underlying such derivative instrumentsfrequently result in changes in the Fund’s Net unrealized profit (loss) on suchderivative instruments as reflected in the Statements of FinancialCondition.  The Fund’s exposure to marketrisk is influenced by a number of factors, including the relationships amongthe derivative instruments held by the Fund as well as the volatility andliquidity of the markets in which the derivative instruments are traded.Investments in foreign markets may also entail legal and political risks.

 

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

 

Credit Risk

 

The risksassociated with exchange-traded contracts are typically perceived to be lessthan those associated with over-the-counter (non-exchange-traded) transactions,because exchanges typically provide clearinghouse arrangements in which thecollective credit (in some cases limited in amount, in some cases not) of themembers of the exchange is pledged to support the financial integrity of theexchange.  In over-the-countertransactions, on the other hand, traders must rely solely on the credit oftheir respective individual counterparties. Margins, which may be subject toloss in the event of a default, are generally required in exchange trading, andcounterparties may 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 Statements of Financial Condition.The Fund attempts to mitigate this risk by dealing exclusively with MerrillLynch entities as clearing brokers.

 

The Fund, in its normal course of business, entersinto various contracts, with MLPF&S acting as its commodity broker.  Pursuant to the brokerage arrangement withMLPF&S (which includes a netting arrangement), to the extent that such tradingresults in receivables from and payables to MLPF&S, these receivables andpayables are offset and reported as a net receivable or payable and included inEquity in commodity futures trading accounts in the Statements of FinancialCondition.

 

8

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5.               RECENTACCOUNTING PRONOUNCEMENTS

 

In March 2008,the FASB released Statement of Financial Accounting Standards No. 161,Disclosures about Derivative Instruments and Hedging Activities – an amendmentto FASB Statement No. 133 (“FAS 161”). FAS 161 requires qualitativedisclosures about objectives and strategies for using derivatives, quantitativedisclosures about fair value amounts of and gains and losses on derivativeinstruments, and disclosures about credit-risk related contingent features inderivative agreements. The application of FAS 161 is required for fiscal yearsbeginning after November 15, 2008 and interim periods within those fiscalyears. Currently, the Fund is evaluating the implications of FAS 161 on itsfinancial statements.

 

InMay 2008, the FASB issued Statement of Financial Accounting Standards No. 162,“*The Hierarchy of Generally Accepted AccountingPrinciples*” (“FAS 162”). FAS 162 identifies the sources ofaccounting principles and the framework for selecting the accounting principlesused in preparing financial statements of nongovernmental entities that arepresented in conformity with U.S. GAAP. Currently, U.S. GAAP hierarchy isprovided in the American Institute of Certified Public Accountants U.S.Auditing Standards (“AU”) Section 411, “*The Meaningof Present Fairly in Conformity With Generally Accepted Accounting Principles*”(“AU Section 411”). FAS 162 is effective 60 days following the SEC’sapproval of the Public Company Accounting Oversight Board’s amendments to AU Section 411.The Fund does not expect the adoption of FAS 162 to have an impact on itsfinancial statements.

 

9

----

 

Item 2. Management’s Discussion and Analysis ofFinancial Condition and Results of Operations

 

MONTH-END NET ASSET VALUEPER UNIT

(NON U.S. GAAP)

 

MLAI believes thatthe Net Asset Value used to calculate subscription and redemption value and to reportperformance to investors throughout the period is the most valuable to theMembers of the Fund.  Therefore, thecharts below referencing Net Asset Value and performance measurements are basedon the Net Asset Value for all other purposes, as discussed in Note 3 to thefinancial statements.

 

Class A

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|
| 2007       |       | N/A      |       | N/A      |       | N/A      |       | N/A      |       | N/A     |       | N/A      |       | N/A      |       | N/A      |       | $         | 1.0780     |   |
| 2008       |       | $        | 1.0964     |     | $          | 1.1567   |       | $        | 1.1632     |    | $          | 1.1633   |       | $        | 1.1945     |     | $          | 1.2163    |       | $ | 1.1875 |   | $ | 1.1684 |   | $ | 1.2284 |   |
|            |            |          |            |          |            |          |            |          |            |         |            |          |            |          |            |          |            |           |            |  |  |  |  |  |  |  |  |  |

 

Class C

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|
| 2007       |       | N/A      |       | N/A      |       | N/A      |       | N/A      |       | N/A     |       | N/A      |       | $        | 0.9522     |     | $          | 0.9228    |       | $ | 0.9940 |   |
| 2008       |       | $        | 1.0567     |     | $          | 1.1139   |       | $        | 1.1208     |    | $          | 1.1141   |       | $        | 1.1465     |     | $          | 1.1724    |       | $ | 1.1390 |   | $ | 1.1189 |   | $ | 1.1751 |   |
|            |            |          |            |          |            |          |            |          |            |         |            |          |            |          |            |          |            |           |            |  |  |  |  |  |  |  |  |  |

 

Class D

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|
| 2008       |       | $        | 0.9336     |     | $          | 0.9862   |       | $        | 0.9960     |    | $          | 1.0015   |       | $        | 1.0470     |     | $          | 1.0743    |       | $ | 1.0468 |   | $ | 1.0313 |   | $ | 1.0859 |   |
|            |            |          |            |          |            |          |            |          |            |         |            |          |            |          |            |          |            |           |            |  |  |  |  |  |  |  |  |  |

 

Class I

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|
| 2008       |       | $        | 1.0579     |     | $          | 1.1165   |       | $        | 1.1325     |    | $          | 1.1384   |       | $        | 1.1761     |     | $          | 1.2054    |       | $ | 1.1727 |   | $ | 1.1542 |   | $ | 1.2143 |   |
|            |            |          |            |          |            |          |            |          |            |         |            |          |            |          |            |          |            |           |            |  |  |  |  |  |  |  |  |  |

 

Class DS

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|
| 2007       |       | N/A      |       | N/A      |       | N/A      |       | $        | 1.0532     |    | $          | 1.1117   |       | $        | 1.1922     |     | $          | 1.1542    |       | $ | 1.1218 |   | $ | 1.2109 |   |
| 2008       |       | $        | 1.2998     |     | $          | 1.3730   |       | $        | 1.3922     |    | $          | 1.3951   |       | $        | 1.4378     |     | $          | 1.4701    |       | $ | 1.4266 |   | $ | 1.4021 |   | $ | 1.4726 |   |
|            |            |          |            |          |            |          |            |          |            |         |            |          |            |          |            |          |            |           |            |  |  |  |  |  |  |  |  |  |

 

Class DT

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|
| 2007       |       | N/A      |       | N/A      |       | N/A      |       | N/A      |       | N/A     |       | $        | 1.1598     |     | $          | 1.1254   |       | $         | 1.0950     |   | $ | 1.1829 |   |
| 2008       |       | $        | 1.2885     |     | $          | 1.3623   |       | $        | 1.3854     |    | $          | 1.3980   |       | $        | 1.4479     |     | $          | 1.4882    |       | $ | 1.4508 |   | $ | 1.4320 |   | $ | 1.5102 |   |
|            |            |          |            |          |            |          |            |          |            |         |            |          |            |          |            |          |            |           |            |  |  |  |  |  |  |  |  |  |

 

10

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PerformanceSummary

 

January 1,2008 to September 30, 2008

 

January 1,2008 to March 31, 2008

 

TheFund was profitable for the first quarter of 2008.  The interest rates, agriculture, energy andstock indices sectors were profitable. The metals and currencysectors were not profitable.

 

The interest rate sector wasthe most profitable for the quarter.  Inorder to support the troubled banking sector and to stimulate economic growth,the U.S. Federal Reserve Bank substantially reduced the American base ratetwice during the second half of January. This move caused strong positiveresults on various short and long term interest rate positions anticipating astronger divergence between American and European rates. The expectation thatvarious European central banks would have to lower their base rates sooner orlater led to a more and more inverse looking yield curve in the money markets.This development was advantageous for existing positions. On the other hand,higher inflation fears helped cause a fall in bond prices, leading to losses onpurchased positions mid-quarter. The Australian central bank continued itstightening policy and noted that further rate hikes may be needed to curb risinginflation. Short sales in the Australian money markets earned gains from thisdevelopment. In March, the financial world was stunned by the demise of theU.S. investment bank Bear Stearns. Thanks to various liquidity-expandingmeasures by the U.S. Federal Reserve and other leading central banks, thenegative impact was limited.

 

The agriculture sector wasalso profitable for the quarter.  Losseswere booked on aluminum, copper and nickel sales early in the quarter.Notwithstanding the jumpy nature of the commodity markets, good profits wereachieved mid-quarter with corn, soybean and sugar purchases as these productseventually continued their trends. Long positions in coffee, cocoa and cottonbooked excellent results. Purchases of agricultural goods such as corn, wheatand soybeans not only profited from a weaker U.S. dollar but also from anincreasing worldwide scarcity of supplies. At the end of the quarter, purchasesof coffee, soybeans and soybean oil suffered losses. On the other hand, lowerprices meant that short positions in the meat complex achieved gains.

 

The energy sector wasprofitable for the quarter.  The quarterstarted with energy contracts distinguished by choppy prices and had negativeresults as a consequence. Purchased crude oil, heating oil and gasoline droppedin price while sold natural gas contracts rose in price. The energy marketscontributed to the excellent results later in the quarter thanks to an upwardtrend in natural gas prices and new record prices for crude oil and its derivedproducts. At the end of the quarter, listed products in the energy marketsshowed sharp falls but did eventually experience a slight recovery. Mainly dueto profits earned with purchases of natural gas and heating oil.

 

The stock indices sector wasprofitable for the quarter.  Theperception of the credit crisis having its toll on the real economy sent stockmarkets spiraling lower. Sentiment was further worsened after a massive forcedliquidation of an allegedly fraudulent stock indices position by the number twoFrench bank Société Générale.  Newpositions were entered into mainly on the sell side. Good results were bookedon sales of Italian and American blue-chip indices while small losses were feltin the German market.  The South KoreanKospi200 index recovered somewhat after its drop at the beginning of thequarter. A short position therefore suffered. Profits posted to the Fundmid-quarter were a result of the short sales in Australia and the U.S. A longposition in the Canadian index also contributed to the positive results.

 

11

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The metals sector postedslight losses for the quarter.  At thebeginning of the quarter, trends in gold and silver continued, albeit with somedips, which helped long positions gain profit. Profits were also earned later in the quarter due to higher prices forprecious metals such as silver and platinum and base metals such as copper andlead. A short position in nickel did however need to be liquidated with a loss.At the end of the quarter, a sharp correction led to negative results on longpositions of various base and precious metals.

 

Thecurrency sector posted losses for the quarter. At the beginning of the quarter,increasing fears in themarket led to a flight out of high interest currencies, such as the Turkishlira. The U.S. dollar and the Euro also dropped against the Japanese yen whichresulted in losses for short Japanese yen positions. Due to a lack of a cleartrend for the greenback against the Australian dollar, the British pound andthe Hungarian forint, small losses were suffered.  A seriously slowing economy mid-quarter, agenerous monetary policy and increasing inflation did not do the U.S. dollarany favors. Some of the losses experienced early in the quarter were reversedbut not enough leaving the sector at a loss for the quarter.

 

April 1, 2008to June 30, 2008

 

The Fund posted profitsfor the quarter with the energy, agriculture, stock indices, currencies and themetals sector posting gains while the interest rate sector posted losses.

 

The energy sector postedprofits for the Fund. The upward trend of energy prices continued strongly atthe beginning of the quarter as profits were posted to the Fund. Theexceptionally favorable results on long positions were the most importantdeterminants of the overall profits. Base metal positions also added profits asa result of a rising copper price. Profits continued to be posted to the Fundmid-quarter as the energy markets reached new high levels especially positionsin crude oil and gasoline. Profits continued to be posted to the Fund at theend of the quarter as prices continued to rise. Purchases of Brent crude oiland gasoline were particularly profitable.

 

The agriculture sectorposted profits for the Fund. Losses were posted to the Fund at the beginning ofthe quarter. The relative weakness of wheat prices against the price ofsoybeans generated gains being posted to the Fund. However this was not enoughto offset the losses from the falling prices of lean hogs and live cattlereversed resulting in losses on short positions. Favorable expectations for theupcoming wheat harvest put wheat prices under pressure which led to profitsbeing posted to the Fund as a result of short positions in wheat. Rising soybeanprices and falling sugar prices were also profitable for the Fund atmid-quarter. Heavy rainfall and flooding in the United States formed a threatfor the upcoming corn and soybean harvest. Rapidly rising prices helpedexisting long positions post profits to the Fund at the end of the quarter.Losses felt on sugar sales were more than compensated for by profits earned onpurchased cocoa.

 

Stock indices postedprofits for the Fund. Several short positions, such as the Nasdaq-100 indexended the month of April with losses being posted to the Fund. Althoughinvestors had to contend with various uncertainties, many stock exchangesshowed certain resilience. Long positions in Canada, the United States andBrazil were profitable for the Fund mid-quarter. Despite the civil unrest inSouth Africa, stocks in this country still proved to be desirable. Purchases inthe South African stock index added to the profits being posted to the Fund. Awave of sell swept over the stock markets all over the world as the quarterended. Short positions on various European exchanges posted profits for theFund. The biggest profits came from Italy, Spain, Turkey and Sweden. Thebanking and insurance and the automobile sectors contributed primarily to thosegeographic areas. The downward trend of the Australian stock market led toprofits being posted to the Fund at the end of the quarter.

 

12

----

 

The currency sectorposted profits for the Fund. Profits were posted to the Fund at the beginningof the quarter. The U.S. dollar, after reaching new record lows against severalcurrencies recovered strongly. As a result, short positions against the SwissFranc and the euro suffered. The Japanese yen lost substantial ground as theJapanese yen purchases paid for with U.S. dollars and the Mexican pesos postinglosses for the Fund.  However, the shortsales against the euro, Swiss franc and the Australian dollar resulted inprofits for the Fund. Long positions in the Australian dollar and the Mexicanpeso against the U.S. dollar also generated profits being posted for the Fund.Purchases of Australian dollars against various other currencies posted profitsfor the Fund mid-quarter. Many emerging currencies saw their relative valuesrise mid-quarter with long positions in the Hungarian forint, Polish zloty,Turkish lira and the Mexican pesos all profited posting profits to the Fund.Purchases of New Zealand dollars financed with euros and U.S. dollars led tolosses being posted to the Fund at the end of the quarter as did sales of Swissfrancs versus the euro and British pound. The lack of trend shown by theCanadian dollar against the U.S. dollar and the Japanese yen also led to lossesbeing posted to the Fund at the end of the quarter.

 

The metals sector postedprofits for the Fund. Base metal positions added profits being posted to theFund at the beginning of the quarter as a result of rising copper prices and aslipping zinc price. The inconsistent direction of gold and silver prices ledto losses on purchased contracts and long positions in copper also sufferedresulting in losses being posted to the Fund mid-quarter. Gains on zinc salesand losses on aluminum sales balanced each other out posting profits for theFund at the end of the quarter.

 

The interest rate sectorposted losses for the Fund. Losses were posted to the Fund at the beginning ofthe quarter. The interest rate markets were mainly driven by increasedattention to inflationary risks. More market participants were of the opinionthat the interest rate cut by the U.S. Federal Reserve on April 30, 2008could be the last one for the time being. During the month of April interestrates on the U.S. dollar and capital markets steadily increased, also relativeto comparable rates in Europe. This development led to losses on variouspositions. The interest allowance on British pound deposits surged after thenews that the daily United Kingdom interest rate fixing has possibly beenmanipulated by involved banks which influenced several related positionsnegatively. Long positions in Japanese government bonds also generated losses.Inflation figures released mid-quarter in various countries and regions raisedconcerns causing interest rates to rise quickly. Various positions in the moneyand capital markets of Australia and the United Kingdom profited from therising rates. A steepening of the yield curve in the United States also had apositive effect as profits were posted for the Fund.  While the United States Federal Reserve keptthe official base rate unchanged at its June meeting, most marketparticipants started to take into account a rate rise by the European CentralBank in July. The underlying money and capital markets reflected thisdifference of monetary policy. Interest rates on the European mainland and inthe United Kingdom rose at a much faster pace than rates in the Unite States.Diverse positions took advantage of this development and the quarter ended withprofits being posted for the Fund.

 

July 1, 2008to September 30, 2008

 

TheFund posted profits for the quarter with the stock indices, energy and themetals sectors posting gains while the interest rate, agriculture andcurrencies sectors posted losses.

 

Stockindices posted profits for the Fund. Short positions in the Australian, Italianand a Pan-European midcap index were profitable for the Fund. However, it wasnot enough to offset short sales in Hong Kong, Poland and the United Stateswhich generated losses being posted to the Fund.  The stock market indices of Hong Kong and Singaporeended the month at lower levels. Short positions were therefore profitable. Theprofits and losses earned in the rest of Europe and the United States balancedeach other out with losses being posted to the Fund in the middle of thequarter. The continuation of the downward trend in several stock indices had apositive effect on existing positions. The biggest contribution came fromEurope with Italy, Sweden and Poland being the leaders. The quarter ended withprofits posted to the Fund due to positions in Asia, South Africa and NorthAmerica.

 

13

----

 

The energy sector postedprofits for the Fund.  Quickly sinkingenergy prices changed existing purchases of crude oil, and natural gas intolosses being posted to the Fund at the beginning of the quarter. The energyprices continued to fall in August and the sector posted profits to theFund due to sales in natural gas and heating oil. Sales of various energyproducts posted profits to the Fund as the quarter ended due to energy pricescontinuing on a downward spin.

 

The metals sector postedprofits for the Fund. Losses were posted to the Fund at the beginning of thequarter due to losses in long positions in platinum, silver, copper andaluminum. Losses on nickel sales were more than compensated by gains onaluminum and copper sales. However, choppy gold prices led to losses on bothlong and short positions in the middle of the quarter posting losses to theFund. The prices of virtually every commodity traded dropped heavily inSeptember. Short positions in base metals, silver and platinum posted profitsto the Fund. The price of gold did jump up at one point, due to investorslosing faith in the continued functioning of the financial system. The quarterended with profits being posted to the Fund.

 

The interest rate sectorposted losses for the Fund. Inflation fears diminished as commodity pricesstarted to decrease at the beginning of the quarter. Subsequently, theattention of market participants quickly shifted towards the effects of afurther deteriorating economic outlook. Declining European interest rates alsogenerated losses to the Fund on various positions. However, the convergence ofshort term interest rates between the United Kingdom and mainland Europe wasprofitable but not enough to offset losses. A slowing world economy andcommodities halting their price increase spawned the hope that inflation wouldstart to come down. Government bond prices went up as a result of thesedevelopments with purchases in the United States, Canada and Australiagenerated profits for the Fund. A disappointing economic performance and aweakening housing market in the United Kingdom exerted its influence in fallingmoney market rates and strengthening the inversion of the yield curve. Thisprocess worked well for existing positions as profits were posted to the Fundin the middle of the quarter. Although the presentation of the American rescueplan for the plagued banking sector (Troubled Assets Relief Program) caused strongmovements in the interest rate markets against the existing trends wasprofitable for the Fund. Long positions held in anticipating a future drop inthe American Federal Fund interest rate earned excellent profits. Theflattening of the yield curves in the United States and the United Kingdom wasalso profitable for the Fund. Purchases in the Canadian bond markets sufferedlosses while comparable positions in the United States and Australia postedprofits for the Fund as the quarter ended.

 

The agriculture sectorposted losses for the Fund.  Variouscommodity markets saw price decreases of many percentages at the beginning ofthe quarter.  The declining prices ofsoy, corn, sugar, coffee and cocoa added to the losses being posted to the Funddespite a favorable contribution on short sales in wheat. Losses continued tobe posted to the Fund in the middle of the quarter due to sales of wheat,soybeans and coffee not producing the desired results for the Fund.  The consistent erosion of price levels inwheat, soybeans, soybean oil, cotton and meats were the cause of profits beingposted to the Fund at the end of the quarter.

 

The currency sector postedlosses for the Fund. A favorable verdict by the Turkish Constitutional Courtfor the ruling AK party pushed the value of the Turkish lira against the Euroand the U.S. dollar higher, resulting in profits being posted to the Fund atthe beginning of the quarter.  Purchasesof Mexican pesos, South African rands, Polish zlotys and Rumanian leiscontributed highly to the profits being posted to the Fund. A weakeningJapanese yen versus the Australian dollar, the Euro and the British pound alsoposted profits to the Fund. However, many emerging market currencies lostserious terrain against the U.S. dollar causing losses to be posted to the Fundin the middle of the quarter.  Thepurchases of the Eastern European currencies, the South African rand and theBrazilian real also suffered losses. Other contributing factors for lossesbeing posted to the Fund was the strong Japanese yen against various currenciesas well as purchases of Euros against the Swiss franc, purchases of Britishpounds versus the Swiss franc and the Canadian dollar. The U.S. dollarcontinued its upward course in September due to U.S. dollar purchasesagainst the Australian and New Zealand dollars and various European currenciesposting profits to the Fund. Sales of Euros versus the Norwegian crowngenerated losses while Euro sales versus the Canadian dollar and Japanese yenproduced gains. The depreciation of the Taiwanese dollar, which suffered from aflight of capital from emerging markets delivered profits as the quarter ended.

 

14

----

 

PerformanceSummary

 

April 2, 2007to September 30, 2007

 

April 2, 2007to June 30, 2007

 

The Fund posted profitsfor the quarter with currencies, energy, and the interest rate sectors postinggains while agriculture, stock indices and the metal sectors posted losses.

 

The currency sectorposted profits for the Fund.  A slowergrowing pace of the economy in the United States pushed the U.S. dollar to ahistoric low against the euro at the beginning of the quarter. Purchases ofeuros, British pounds, Australian and New Zealand dollars versus the U.S.dollar produced profits being posted to the Fund. The currencies of emergingeconomies such as the Hungarian forint, Turkish lira and Israel shekel alsogenerated healthy profits due to their appreciation against the U.S. dollar.Sales of the Japanese yen, which again weakened in relation to other importantcurrencies, also appeared to be highly profitable. In relation to the euro,gains were earned on long positions in the Polish zloty. The weaker Japaneseyen and the stronger Canadian dollar formed the basis of profits being postedto the Fund mid-quarter. Profits were also earned on short positions in theJapanese yen against the U.S. dollar and Mexican nuevo peso.  The Canadian dollar also strengthened versusthe British pound. Profits were posted to the Fund at the quarters end due tothe weakness of the Japanese yen, which reached new historical lows versusvarious currencies. An unexpected rate hike from the Central Bank of NewZealand caused an appreciation of the local currency as well as bringing up theAustralian dollar. The appreciation of the British pound against the Swissfranc and the euro also generated profits for the Fund.

 

Theenergy sector posted profits for the Fund. The price development of variousenergy products showed a choppy course with small losses being posted at thebeginning of the quarter through mid-quarter. Profits were posted at thequarters end trading in a difficult trading environment due to weatherconditions and geopolitical pressure.

 

Theinterest rate sector posted profits for the Fund. Positive indicationsregarding the economic recovery in Europe led to rising interest rates in boththe short- and long-term segments. Various short positions in several money andcapital markets profited from this development. Also, a steepening yield curvein the euro and the diminishing difference between euro and the U.S. dollardeposits were successfully exploited. After the Bank of England was called toanswer to the British Parliament in April regarding the high level ofinflation, a rate hike was seen mid-quarter. Other major countries alsoexperienced rising money and capital market rates on the basis of robusteconomic growth expectations combined with increased inflationary pressures.Various short positions in money and capital market products were thereforevery profitable. Sales in government bond contracts in Australia, Germany, theUnited Kingdom and the United States all achieved good results at the quarter’send. Profits were also earned with rising money market rates in Europe.

 

The agricultural sectorposted losses for the Fund.  More thanusual rain and frost in North America and extreme drought in Europe brought anabrupt end to falling wheat prices at the beginning of the quarter which didnot offset short sales that closed out with losses being post to the Fund.Soybean purchases did return a profit mid-quarter due to rising prices afterlower than expected crop prospects. Meat and hog purchases did not fare aswell. Losses on corn purchases were partially offset by long positions insoybeans and wheat. The cluster eventually ended in the gain.

 

The metals sector postedlosses for the Fund. The metals markets at the beginning of the quarterachieved positive results with purchases of platinum, nickel and zinc whichcould not offset losses suffered on silver purchases. Purchases of metalcontracts were closed with losses due to earlier rising trends not continuingin May. The purchases of gold and silver, as well as copper and nickel, werehowever loss-making which produced losses being posted to the Fund at quarter’send.

 

15

----

 

Stock indices postedlosses for the Fund. Profits were posted to the Fund at the beginning ofquarter with purchases of various index futures, especially in Europe and theUnited States. Within Europe, positions in Germany, Switzerland and Sweden werethe lead performers. A climate of heightened merger and acquisition activityand a still relatively low interest rate perception gave enough impetus forfurther rises in stock market levels mid-quarter. Exceptional results wereachieved through purchases of broad-based indices in South Korea, as well asCanada, the United Kingdom and the United States. Chinese government officialshinted at the possibility to introduce various new regulations in June whichcould ease cross-border investment and at the same time narrow the gap betweenrespectively higher mainland China and lower Hong Kong equity valuations. Thelocal Chinese stock market fell harshly while a euphoric mood reigned over theHong Kong stock market, which led to existing long positions delivering profitsto the Fund. However, various stock markets in Europe and North Americasuffered under the weight of higher interest rates and worries regarding thehousing and mortgage market in the United States. As a consequence, the quarterended with losses being posted to the Fund.

 

July 1, 2007to September 30, 2007

 

The Fund posted profitsfor the third quarter with energy, interest rates, and the agriculture sectorsposted gains while the metals, stock indices and the currency sectors postedlosses.

 

Theenergy sector posted profits for the Fund. While crude oil prices steadilyrose, natural gas prices reached new lows and profits were made with bothdevelopments at the beginning of the quarter. Losses posted to the Fundmid-quarter were offset at the end of the quarter. The strong march upwards inenergy prices translated into excellent profits posted to the Fund on purchasesof crude oil and its derived fuels at the end of the quarter.

 

Theinterest rate sector posted profits for the Fund. Losses were posted to theFund at the beginning of the quarter as interest rate markets were primarilyfocused on the worsening conditions of the sub-prime mortgage sector and itsfollow-on effect to other credit markets. Furthermore, doubts were raised aboutthe attainability of sharply priced takeovers. This all led to a flight to safegovernment bonds, which in turn brought down money market rates. Gains werebooked with positions profiting from a slower fall of rates in the U.S. incomparison to Europe was not enough to offset losses. The situation regardingthe American housing market strongly influenced the turnaround seen from arising to a falling long term interest rate. The back end of the curve in theU.S. declined in a stronger fashion than seen in the United Kingdom and Europe.This development was profitable for British and European capital and moneymarket sales versus purchased American equivalents and was the determinate forthe sector’s gains

mid-quarter.The aggressive cut of the federal fund rate led to a strong reduction of therate difference between the United States and Europe. This convergence wastaken advantage of through the capital markets as well as the money markets asprofits were posted to the Fund as the quarter ended.

 

Theagriculture sector posted profits for the Fund. Due to promising prospects forthe upcoming corn harvest, corn prices fell which favored short positions ingrain posting profits for the Fund at the beginning of the quarter. In contrastto many other markets, fundamental reasons did play an important role in theworld markets for wheat. Lower harvest expectations resulted in handsomeprofits for the Fund mid-quarter. Wheat purchases also scored well when pricessharply rose after news released on low supply figures and difficult weatherconditions in important wheat growing areas. Further expected scarcity invarious commodities forced wheat, soybean, and soybean meal and soybean oilprices upwards resulting in gains posted for the Fund at the end of thequarter.

 

Themetals sector posted losses for the Fund. Copper and lead purchases postedprofits to the Fund which was not enough to offset losses in purchases of goldand silver. Long positions in aluminum also posted losses for the Fund at thebeginning of the quarter. The commodity markets were in general defined by amassive liquidation of positions leading to the breaking of existingtrends.  Even a safe haven such as goldwas sold “en masse” as fears had reached their peak posting losses for theFund. The quarter ended with small profits being posted to the Fund due to therising trend of gold and copper prices as well as the falling price ofaluminum.

 

16

----

 

Stock indices postedlosses for the Fund. The sudden change of investor sentiment took its toll atthe beginning of the quarter especially in the United States where many indicesearlier in the quarter reached new contract highs and in Europe losses werefelt. The stock markets in Australia and Japan also put in a disappointingperformance. Positive exceptions were the purchases in Hong Kong and SouthKorea which limited the losses for the Fund. The stock market was distinguishedby an increasing risk awareness and aversion. Financial stocks had anespecially difficult time due to uncertainties of potential sub-prime relatedlosses mid-quarter. Purchases in Hong Kong experienced a significant loss whileprofits were recorded on sales in Japan. Despite investor concern, most stockindices worldwide, partly due to the confidence instilled by the central banks,the quarter ended with profits being posted to the Fund. This developmentproduced a positive result for various long positions. Positions in technology andtelecom related stock indices did especially well. Other over-achievers werepurchases of Chinese, South African and Canadian stock indices.

 

The currency sectorposted losses for the Fund. Though the unwinding of the Japanese yen financedloans, so called “carry trades”, the value of the Japanese yen shot up againstthe other important currencies. This development explains most of the lossesposted to the Fund at the beginning of the quarter. Losses continued to beposted to the Fund mid-quarter as the currency markets were also scathed by theincreased uncertainties. The U.S. dollar appreciated against many othercurrencies with losses on purchases of the Australian and New Zealand dollars;Euros and the British pound as a consequence. The British pound also weakenedagainst sold Swiss francs, however, the British pound proved profitable versuspurchases of Canadian dollars. The U.S. dollar footed the bill at quarter’s endwith the American housing and mortgage market, a forceful rate cut andincreasing fear for inflation. Terrain was lost not just against the main G7 currenciesbut especially in relation to emerging markets currencies. Purchases of SouthAfrican rand, the Hungarian forint, the Czech crown and the Indian rupee allscored excellently against the greenback. Furthermore, profits were earned onvarious purchases of a strengthening Canadian dollar as it reached parityversus the U.S. dollar for the first time in 31 years. The appreciation of theTurkish lira versus the Euro and the U.S. dollar also generated a positivecontribution.

 

Item 3. Quantitative and Qualitative Disclosures AboutMarket Risk

 

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 the trading advisors, rapidly acquires and liquidates both longand short positions in a wide range of different markets.  Consequently, it is not possible to predicthow a particular future market scenario will affect performance, and the Fund’spast performance is not necessarily 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.

 

17

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Quantifying The Fund’sTrading 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 Transtrend is quantified below in termsof Value at Risk.  Due to the Fund’smark-to-market accounting, any loss in the fair value of the Fund’s openpositions is directly reflected in the Fund’s earnings (realized or unrealized)and cash flow (at least in the case of exchange-traded contracts in whichprofits and losses on open positions are settled daily through variationmargin)

 

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 ofany given contract incurred in 95%-99% of the one-day time periods included inthe historical sample (generally approximately one year) researched forpurposes of establishing margin levels. The maintenance margin levels are established by dealers and exchangesusing historical price studies as well as an assessment of current marketvolatility (including the implied volatility of the options on a given futurescontract) and economic fundamentals to provide a probabilistic estimate of themaximum expected near-term one-day price fluctuation.

 

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.

 

18

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***TheFund’s Trading Value at Risk in 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 fiscalperiod. For the nine months ended September 30, 2008 and the period April 2,2007 (commencement of operations) to September 30, 2007 the Fund’s averageMonth-end Net Asset Value for all other purposes was $144,125,263 and$74,009,187, respectively.

 

**September 30, 2008**

 

| ** **                | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|---------------------------|------------|-----------------------------|------------|----------------------------|------------|------------------------|------------|-----------------------|------------|
| **Market Sector**    | ** ** | **Value at Risk** | ** ** | **Capitalization**         | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                      |       |                        |       |                       |       |                   |       |                  |       |
| Agricultural  Commodities |       | $                           | 458,082    |                       | 0.32       | %                      | $          | 1,434,454             |       | $ | 22,634 |   |
| Energy                    |       | 745,650                     |       | 0.52                       | %          | 2,117,492              |       | 14,776                |       |
| Interest Rates            |       | 7,558,860                   |       | 5.24                       | %          | 11,295,729             |       | 2,635,987             |       |
| Metals                    |       | 354,427                     |       | 0.25                       | %          | 903,788                |       | 13,098                |       |
| Currencies                |       | 2,065,060                   |       | 1.43                       | %          | 4,641,576              |       | 73,562                |       |
| Stock Indices             |       | 694,629                     |       | 0.48                       | %          | 1,378,418              |       | 77,844                |       |
|                      |       |                        |       |                       |       |                   |       |                  |       |
| TOTAL                     |       | $                           | 11,876,708 |                       | 8.24       | %                      | $          | 21,771,457            |       | $ | 2,837,901 |   |

 

**September 30, 2007**

 

| ** **                | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|---------------------------|------------|-----------------------------|------------|----------------------------|------------|------------------------|------------|-----------------------|------------|
| **Market Sector**    | ** ** | **Value at Risk** | ** ** | **Capitalization**         | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                      |       |                        |       |                       |       |                   |       |                  |       |
| Agricultural  Commodities |       | $                           | 327,669    |                       | 0.44       | %                      | $          | 1,442,390             |       | $ | 2,538 |   |
| Energy                    |       | 1,051,189                   |       | 1.42                       | %          | 5,878,073              |       | 6,362                 |       |
| Interest Rates            |       | 7,168,370                   |       | 9.69                       | %          | 15,556,636             |       | 1,931,446             |       |
| Metals                    |       | 534,318                     |       | 0.72                       | %          | 1,641,701              |       | —                |       |
| Currencies                |       | 2,167,848                   |       | 2.93                       | %          | 8,032,323              |       | 102,024               |       |
| Stock Indices             |       | 1,814,423                   |       | 2.45                       | %          | 4,147,527              |       | 92,733                |       |
|                      |       |                        |       |                       |       |                   |       |                  |       |
| TOTAL                     |       | $                           | 13,063,817 |                       | 17.65      | %                      | $          | 36,698,650            |       | $ | 2,135,103 |   |

 

19

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Material Limitations on Value at Riskas an Assessment of Market Risk

 

The face value of the market sectorinstruments held by the Fund is typically many times the applicable maintenancemargin requirement (maintenance margin requirements generally ranging betweenapproximately 1% and 10% of contract face value) as well as many times thecapitalization of the Fund.  Themagnitude of the Fund’s open positions creates a “risk of ruin” not typicallyfound in most other investment vehicles. Because of the size of its positions, certain market conditions —unusual, but historically recurring from time to time — could cause the Fund toincur severe losses over a short period of time.  The foregoing Value at Risk table — as wellas the past performance of the Fund — gives no indication of this “risk ofruin.”

** **

**Non-TradingRisk**

 

ForeignCurrency Balances; Cash on Deposit with MLPF&S

 

TheFund has non-trading market risk on its foreign cash balances not needed formargin. However, these balances (as well as the market risk they represent) areimmaterial.

 

TheFund also has non-trading market risk on the approximately 90%-95% of itsassets which are held in cash at MLPF&S. The value of this cash is notinterest rate sensitive, but there is cash flow risk in that if interest ratesdecline so will the cash flow generated on these monies. This cash flow risk isimmaterial.

 

Qualitative Disclosures Regarding Primary Trading Risk Exposures

 

Thefollowing qualitative disclosures regarding the Fund’s market risk exposures —except for (i) those disclosures that are statements of historical factand (ii) the descriptions of how the Fund manages its primary market riskexposures — constitute forward-looking statements within the meaning of Section 27Aof the Securities Act and Section 21E of the Securities Exchange Act. TheFund’s primary market risk exposures as well as the strategies used and to beused by MLAI and Transtrend for managing such exposures are subject to numerousuncertainties, contingencies and risks, any one of which could cause the actualresults of the Fund’s risk controls to differ materially from the objectives ofsuch strategies.

 

Governmentinterventions, defaults and expropriations, illiquid markets, the emergence ofdominant fundamental factors, political upheavals, changes in historical pricerelationships, an influx of new market participants, increased regulation andmany other factors could result in material losses as well as in materialchanges to the risk exposures and the risk management strategies of the Fund. Therecan 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.

 

Item 4. Controls and Procedures

 

MLAI, the Sponsorof ML Transtrend DTP Enhanced FuturesAccess LLC, 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.

 

20

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PART II -OTHER INFORMATION

 

Item 1.                                   Legal Proceedings

 

None.

 

Item 1A.  Risk Factors

 

## PastPerformance Not Necessarily Indicative of Future Results

 

Past performance is not necessarily indicativeof future results.  The trading advisor’spast performance may not be representative of how it may trade in the futurefor the Fund.

 

## VolatileMarkets; Highly Leveraged Trading

 

Futures and forward trading is highly leveraged,and market price levels are volatile and materially affected by unpredictablefactors such as weather and governmental intervention.  The combination of leverage and volatilitycreates a high degree of risk.

 

## Importanceof General Market Conditions

 

Overall market or economic conditions — whichneither MLAI nor the trading advisor can predict or control — have a materialeffect on the performance of any managed futures strategy.

##  

## ForwardTrading

 

The Fund will trade currencies in the forwardmarkets in addition to in the futures markets. The forward markets are over-the-counter, non-exchange markets, and intrading in these markets, the Fund will be dependent on the credit standing ofthe counterparties with which they trade, without the financial support of anyclearinghouse system.  In addition, the pricesoffered for the same forward contract may vary significantly among differentforward market participants.  Forwardmarket counterparties are under no obligation to enter into forwardtransactions with a Fund, including transactions through which the Fund isattempting to liquidate open positions.

 

## IncreasedAssets Under Management

 

There appears to be a tendency for the rates ofreturn achieved by managed futures advisors to decline as assets undermanagement increase.  The trading advisorhas not agreed to limit the amount of additional equity which it may manage.

 

## TradingAdvisor Risk

 

The Fund is subject to the risk of the badjudgment, negligence or misconduct of its trading advisor.  There have been a number of instances inrecent years in which private investment funds have incurred substantial lossesdue to manager misconduct.

 

21

----

 

## Changesin Trading Strategy

 

The trading advisor may make materialchanges in its trading strategies without the knowledge of MLAI.

 

## IlliquidMarkets

 

Certain positions held by the Fund may becomeilliquid, preventing the Fund’s trading advisor from acquiring positionsotherwise indicated by its strategy or making it impossible for the tradingadvisor to close out positions against which the market is moving.

 

Certain futures markets are subject to “dailyprice limits,” restricting the maximum amount by which the price of aparticular contract can change during any given trading day.  Once a contract’s price has moved “the limit,”it may be impossible or economically non-viable to execute trades in suchcontract.  From time to time, prices havemoved “the limit” for a number of consecutive days, making it impossible fortraders against whose positions the market was moving to prevent large losses.

 

## Tradingon Non-U.S. Exchanges

 

The trading advisor may tradeextensivelyon non-U.S. exchanges.  These exchangesare not regulated by any United States governmental agency.  The Fund could incur substantial lossestrading on foreign exchanges to which it would not have been subject had itstrading advisor limited its trading to U.S. markets.

 

The profits and losses derived from tradingforeign futures and options will generally be denominated in foreigncurrencies; consequently, the Fund will be subject to a certain degree ofexchange-rate risk in trading such contracts.

 

The Fund Could Lose Assets and Have Its Trading Disrupted Due to theBankruptcy of One of the Parties

 

The Fund is subject to therisk of insolvency of a counterparty, an exchange, 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 profit opportunities.There are increased risks in dealing with unregulated trading counterpartiesincluding the risk that assets may not benefit from the protection afforded to “customerfunds” deposited with regulated dealers and brokers.

 

22

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Item 2.           UnregisteredSales of Equity Securities and Use of Proceeds

 

(a) Issuanceto accredited investors pursuant to Regulation D and Section 4(6) underthe Securities Act.  The selling agent ofthe following Class of Units was MLPF&S.

 

CLASS A

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
|       |       |             |       |       |       |   |   |
| Jan-08     |       |             | $          | 30,034     |       | 27,306 |   | $ | 1.0999 |   |
| Feb-08     |       |             | —     |       | —     |   | 1.0964 |   |
| Mar-08     |       |             | 223,796    |       | 193,478    |   | 1.1567 |   |
| Apr-08     |       |             | 165,199    |       | 142,021    |   | 1.1632 |   |
| May-08     |       |             | 233,402    |       | 200,638    |   | 1.1633 |   |
| Jun-08     |       |             | 236,578    |       | 198,056    |   | 1.1945 |   |
| Jul-08     |       |             | 14,625     |       | 12,024     |   | 1.2163 |   |
| Aug-08     |       |             | —     |       | —     |   | 1.1875 |   |
| Sep-08     |       |             | 19,498     |       | 16,688     |   | 1.1684 |   |
| Oct-08     |       |             | —     |       | —     |   | 1.2284 |   |
|            |            |                  |            |            |            |  |  |  |  |  |

 

CLASS C

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV ****(1)** | ** ** |
|       |       |             |       |       |       |   |   |
| Jan-08     |       |             | $          | 287,996    |       | 271,438 |   | $ | 1.0610 |   |
| Feb-08     |       |             | 648,889    |       | 614,071    |   | 1.0567 |   |
| Mar-08     |       |             | 1,819,415  |       | 1,633,374  |   | 1.1139 |   |
| Apr-08     |       |             | 4,974,290  |       | 4,438,160  |   | 1.1208 |   |
| May-08     |       |             | 1,409,719  |       | 1,265,343  |   | 1.1141 |   |
| Jun-08     |       |             | 564,348    |       | 492,236    |   | 1.1465 |   |
| Jul-08     |       |             | 426,989    |       | 364,201    |   | 1.1724 |   |
| Aug-08     |       |             | 481,594    |       | 422,822    |   | 1.1390 |   |
| Sep-08     |       |             | 534,992    |       | 478,141    |   | 1.1189 |   |
| Oct-08     |       |             | 170,735    |       | 145,294    |   | 1.1751 |   |
|            |            |                  |            |            |            |  |  |  |  |  |

 

CLASS DS

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV ****(1)** | ** ** |
|       |       |             |       |       |       |   |   |
| Jan-08     |       |             | $          | 1,711,290  |       | 1,314,052 |   | $ | 1.3023 |   |
| Feb-08     |       |             | 2,146,082  |       | 1,651,086  |   | 1.2998 |   |
| Mar-08     |       |             | 3,874,691  |       | 2,822,062  |   | 1.3730 |   |
| Apr-08     |       |             | 9,518,352  |       | 6,836,914  |   | 1.3922 |   |
| May-08     |       |             | 7,721,392  |       | 5,534,651  |   | 1.3951 |   |
| Jun-08     |       |             | 6,676,364  |       | 4,643,459  |   | 1.4378 |   |
| Jul-08     |       |             | 7,432,868  |       | 5,056,029  |   | 1.4701 |   |
| Aug-08     |       |             | 6,514,880  |       | 4,566,718  |   | 1.4266 |   |
| Sep-08     |       |             | 14,357,799 |       | 10,240,210 |   | 1.4021 |   |
| Oct-08     |       |             | 7,770,404  |       | 5,276,656  |   | 1.4726 |   |
|            |            |                  |            |            |            |  |  |  |  |  |

 

CLASS D

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV ****(1)** | ** ** |
|       |       |             |       |       |       |   |   |
| Jan-08     |       |             | $          | 750,000    |       | 801,796 |   | $ | 0.9355 |   |
| Feb-08     |       |             | —     |       | —     |   | 0.9336 |   |
| Mar-08     |       |             | 999,999    |       | 1,013,993  |   | 0.9862 |   |
| Apr-08     |       |             | 975,000    |       | 978,915    |   | 0.9960 |   |
| May-08     |       |             | —     |       | —     |   | 1.0015 |   |
| Jun-08     |       |             | —     |       | —     |   | 1.0470 |   |
| Jul-08     |       |             | —     |       | —     |   | 1.0743 |   |
| Aug-08     |       |             | —     |       | —     |   | 1.0468 |   |
| Sep-08     |       |             | —     |       | —     |   | 1.0313 |   |
| Oct-08     |       |             | —     |       | —     |   | 1.0859 |   |
|            |            |                  |            |            |            |  |  |  |  |  |

 

CLASS I

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV ****(1)** | ** ** |
|       |       |             |       |       |       |   |   |
| Jan-08     |       |             | $          | 24,874     |       | 23,444 |   | $ | 1.0610 |   |
| Feb-08     |       |             | 50,000     |       | 47,263     |   | 1.0579 |   |
| Mar-08     |       |             | 52,606     |       | 47,117     |   | 1.1165 |   |
| Apr-08     |       |             | 39,579     |       | 34,949     |   | 1.1325 |   |
| May-08     |       |             | —     |       | —     |   | 1.1384 |   |
| Jun-08     |       |             | 10,000     |       | 8,502      |   | 1.1761 |   |
| Jul-08     |       |             | 20,000     |       | 16,592     |   | 1.2054 |   |
| Aug-08     |       |             | —     |       | —     |   | 1.1727 |   |
| Sep-08     |       |             | —     |       | —     |   | 1.1542 |   |
| Oct-08     |       |             | —     |       | —     |   | 1.2143 |   |
|            |            |                  |            |            |            |  |  |  |  |  |

 

CLASS DT

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV ****(1)** | ** ** |
|       |       |             |       |       |       |   |   |
| Jan-08     |       |             | $          | —     |       | — |   | $ | 1.2900 |   |
| Feb-08     |       |             | 264,708    |       | 205,439    |   | 1.2885 |   |
| Mar-08     |       |             | 634,147    |       | 465,497    |   | 1.3623 |   |
| Apr-08     |       |             | —     |       | —     |   | 1.3854 |   |
| May-08     |       |             | —     |       | —     |   | 1.3980 |   |
| Jun-08     |       |             | —     |       | —     |   | 1.4479 |   |
| Jul-08     |       |             | 1,231,342  |       | 827,404    |   | 1.4882 |   |
| Aug-08     |       |             | —     |       | —     |   | 1.4508 |   |
| Sep-08     |       |             | —     |       | —     |   | 1.4320 |   |
| Oct-08     |       |             | —     |       | —     |   | 1.5102 |   |
|            |            |                  |            |            |            |  |  |  |  |  |

 

----

(1) Net AssetValue for all other purposes.

 

(b)         None.

(c)          None.

 

23

----

 

Item 3.                                  Defaults Upon SeniorSecurities

 

None.

 

Item 4.                                  Submission of Mattersto a Vote of Security Holders

 

None.

 

Item 5.                                  Other Information

 

On September 15, 2008,Merrill Lynch & Co., Inc. (“Merrill Lynch”) and Bank of AmericaCorporation (“Bank of America”) entered into an Agreement and Plan of Merger(the “Merger Agreement”).  The Merger Agreement provides that, on theterms and conditions set forth therein, a wholly owned subsidiary of Bank ofAmerica will merge into Merrill Lynch and Merrill Lynch will continue as thesurviving corporation as a wholly owned subsidiary of Bank of America (the “Merger). The Merger has been approved by the board of directors of each of Merrill Lynchand Bank of America and is scheduled to close in the first quarter of 2009 orearlier, subject to shareholder approval at both companies, customary closingconditions and standard regulatory approvals.

 

Item 6.                                   Exhibits

 

The followingexhibits are incorporated by reference or are filed herewith to this QuarterlyReport on Form 10-Q:

 
| 31.01 and 31.02              | Rule 13a-14(a)/15d-14(a) Certifications |
|------------------------------|---------------------------------------------------|
|                         |                                              |
| Exhibit 31.01 and 31.02 | Are filed  herewith.                              |
|                         |                                              |
| 32.01 and 32.02              | Section 1350  Certifications                 |
|                         |                                              |
| Exhibit 32.01 and 32.02 | Are filed  herewith.                              |

 

24

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**SIGNATURES**

 

Pursuant to therequirements of the Securities Exchange Act of 1934, the registrant has dulycaused this report to be signed on its behalf by the undersigned thereunto dulyauthorized.

 

 
|                          | ML  TRANSTREND DTP ENHANCED FUTURESACCESS LLC |
|-------------------------------|-----------------------------------------------|
| .                             |                                          |   |   |
|                          |                                          |   |   |
|                          |                                          | By: | MERRILL  LYNCH ALTERNATIVE |
|                          |                                          |   | INVESTMENTS LLC |
|                          |                                          |   | (Manager) |
|                          |                                          |   |   |
|                          |                                          |   |   |
| Date: November 14, 2008  |                                          | By | /s/ PAUL MORTON |
|                          |                                          |   |  Paul Morton |
|                          |                                          |   |  Chief Executive Officer, President and  Manager |
|                          |                                          |   |  (Principal Executive Officer) |
|                          |                                          |   |   |
|                          |                                          |   |   |
| Date:  November 14, 2008 |                                          | By | /s/  BARBRA E. KOCSIS |
|                          |                                          |   | Barbra  E. Kocsis |
|                          |                                          |   | Chief  Financial Officer |
|                          |                                          |   | (Principal Financial and Accounting Officer) |

 

25

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