** **

**UNITEDSTATES SECURITIES AND EXCHANGE COMMISSION**

**Washington,D.C. 20549**

** **

**FORM 10-Q**

** **

**(Mark One)**

 

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

** **

**For the quarterly period ended June 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 ofprincipal executive offices)

(Zip Code)

 

**212-236-1974**

(Registrant’stelephone number, including area code)

 

**HopewellCorporate Campus, Building No. 2**

**1200Merrill Lynch Drive-First floor, Pennington, New Jersey 08534**

(Former name, former addressand former fiscal year, if changed since last report)

 

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   Noo

 

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):

 

| Large accelerated 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).

Yeso   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 JUNE 30, 2008 ON FORM 10-Q

 

Table of Contents

 
| ** ** | ** ** | ** **                                                                                  | ** ** | **PAGE** |
|------------|------------|---------------------------------------------------------------------------------------------|------------|----------|
|       |       | PART I                                                                                 |       |     |
|       |       | ** **                                                                                  |       |     |
| Item 1.    |       | Financial Statements                                                                        |       | 1        |
|       |       |                                                                                        |       |     |
| Item 2.    |       | Management’s Discussion and Analysis of  Financial Condition and Results of Operations |       | 10       |
|       |       |                                                                                        |       |     |
| Item 3.    |       | Quantitative and Qualitative Disclosures  About Market Risk                                 |       | 15       |
|       |       |                                                                                        |       |     |
| Item 4.    |       | Controls and Procedures                                                                     |       | 17       |
|       |       |                                                                                        |       |     |
|       |       | PART II                                                                                |       |     |
|       |       |                                                                                        |       |     |
| Item 1.    |       | Legal Proceedings                                                                           |       | 18       |
|       |       |                                                                                        |       |     |
| Item 1A.   |       | Risk Factors                                                                                |       | 18       |
|       |       |                                                                                        |       |     |
| Item 2.    |       | Unregistered Sales of Equity Securities and  Use of Proceeds                                |       | 20       |
|       |       |                                                                                        |       |     |
| Item 3.    |       | Defaults Upon Senior Securities                                                             |       | 21       |
|       |       |                                                                                        |       |     |
| Item 4.    |       | Submission of Matters to a Vote of Security  Holders                                        |       | 21       |
|       |       |                                                                                        |       |     |
| Item 5.    |       | Other Information                                                                           |       | 21       |
|       |       |                                                                                        |       |     |
| Item 6.    |       | Exhibits                                                                                    |       | 21       |

 

----

 

PART I - FINANCIAL INFORMATION

 

Item 1.    FinancialStatements

 

ML TRANSTRENDDTP ENHANCED FUTURESACCESS LLC

(a DelawareLimited Liability Company)

 

STATEMENTS OF FINANCIAL CONDITION

 
| ** **                                                                                         | ** ** | **June 30, 2008** | ** **  | **December 31, 2007** | ** ** |
|----------------------------------------------------------------------------------------------------|------------|-----------------------------|-------------|---------------------------------|------------|
| ** **                                                                                         | ** ** | **(unaudited)**             | ** **  | ** **                      | ** ** |
| ** **                                                                                         |       |                        |        |                            |       |
| **ASSETS:**                                                                                        |       |                        |        |                            |       |
| Equity in commodity futures trading  accounts:                                                     |       |                        |        |                            |       |
| Cash (including restricted cash of  $19,196,777 for 2008 and $16,474,936 for 2007)                 |       | $                           | 162,785,224 |                            | $          | 117,567,915 |   |
| Net unrealized profit (loss) on open  contracts                                                    |       | 6,377,537                   |        | 3,742,826                       |       |
| Cash                                                                                               |       | 115,119                     |        | —                          |       |
| Deferred initial offering costs                                                                    |       | —                      |        | 12,500                          |       |
| Accrued interest receivable                                                                        |       | 229,452                     |        | 420,348                         |       |
| Other                                                                                              |       | 127,896                     |        | —                          |       |
| **TOTAL ASSETS**                                                                                   |       | $                           | 169,635,228 |                            | $          | 121,743,589 |   |
| ** **                                                                                         |       |                        |        |                            |       |
| **LIABILITIES AND MEMBERS’ CAPITAL**                                                          |       |                        |        |                            |       |
| LIABILITIES:                                                                                       |       |                        |        |                            |       |
| Brokerage commissions payable                                                                      |       | $                           | 33,169      |                            | $          | 45,548 |   |
| Management fee payable                                                                             |       | 200,850                     |        | 89,876                          |       |
| Initial offering costs payable                                                                     |       | 50,000                      |        | 50,000                          |       |
| Performance fee payable                                                                            |       | 5,764,752                   |        | 4,716,569                       |       |
| Sponsor fee payable                                                                                |       | 25,258                      |        | 3,863                           |       |
| Redemptions payable                                                                                |       | 181,088                     |        | 4,152,868                       |       |
| Other                                                                                              |       | —                      |        | 28,587                          |       |
|                                                                                               |       |                        |        |                            |       |
| Total liabilities                                                                                  |       | 6,255,117                   |        | 9,087,311                       |       |
|                                                                                               |       |                        |        |                            |       |
| MEMBERS’ CAPITAL:                                                                             |       |                        |        |                            |       |
| Members’ Interest (113,020,326 and  87,680,115 Units outstanding, unlimited Units authorized) |       | 163,380,111                 |        | 112,656,278                     |       |
| Total members’ capital                                                                        |       | 163,380,111                 |        | 112,656,278                     |       |
|                                                                                               |       |                        |        |                            |       |
| **TOTAL LIABILITIES AND MEMBERS’ CAPITAL**                                                    |       | $                           | 169,635,228 |                            | $          | 121,743,589 |   |

 

**NET ASSETVALUE PER UNIT (NOTE 3)**

 

See notes to financialstatements.

 

1

----

 

ML TRANSTRENDDTP ENHANCED FUTURESACCESS LLC

(a DelawareLimited Liability Company)

 

STATEMENTS OF OPERATIONS

(unaudited)

 
| ** **                                    | ** ** | ** **                  | ** ** | ** **                            | ** ** | **For the period**        | ** ** |
|-----------------------------------------------|------------|-----------------------------|------------|---------------------------------------|------------|-------------------------------------|------------|
| ** **                                    | ** ** | ** **                  | ** ** | ** **                            | ** ** | **April 2, 2007**         | ** ** |
| ** **                                    | ** ** | **For the three** | ** ** | **For the six months** | ** ** | **(commencement**                   | ** ** |
| ** **                                    | ** ** | **months ended**       | ** ** | **ended**                             | ** ** | **of operations)**             | ** ** |
| ** **                                    | ** ** | **June 30, 2008** | ** ** | **June 30, 2008**           | ** ** | **to June 30, 2007** | ** ** |
| **TRADING PROFIT (LOSS):**          |       |                        |       |                                  |       |                                |       |
|                                          |       |                        |       |                                  |       |                                |       |   |   |   |
| Realized                                      |       | $                           | 8,806,795  |                                  | $          | 21,754,383                          |       | $ | (785,673 | ) |
| Change in unrealized                          |       | 4,556,749                   |       | 2,634,711                             |       | 9,441,155                           |       |
| Brokerage commissions                         |       | (154,649                    | )          | (297,446                              | )          | (205,803                            | )          |
|                                          |       |                        |       |                                  |       |                                |       |
| Total trading profit (loss)                   |       | 13,208,895                  |       | 24,091,648                            |       | 8,449,679                           |       |
| ** **                                    |       |                        |       |                                  |       |                                |       |
| **INVESTMENT INCOME:**                        |       |                        |       |                                  |       |                                |       |
| Interest                                      |       | 681,201                     |       | 1,570,886                             |       | 1,138,374                           |       |
| ** **                                    |       |                        |       |                                  |       |                                |       |
| **EXPENSES:**                                 |       |                        |       |                                  |       |                                |       |
| Management fee                                |       | 550,724                     |       | 939,472                               |       | 169,683                             |       |
| Performance fee                               |       | 3,146,133                   |       | 5,759,327                             |       | 2,061,085                           |       |
| Sponsor fee                                   |       | 67,937                      |       | 84,525                                |       | —                              |       |
| Other                                         |       | 71,141                      |       | 122,369                               |       | 45,655                              |       |
|                                          |       |                        |       |                                  |       |                                |       |
| Total expenses                                |       | 3,835,935                   |       | 6,905,693                             |       | 2,276,423                           |       |
|                                          |       |                        |       |                                  |       |                                |       |
| **NET INVESTMENT INCOME (LOSS)**              |       | (3,154,734                  | )          | (5,334,807                            | )          | (1,138,049                          | )          |
| ** **                                    |       |                        |       |                                  |       |                                |       |
| **NET INCOME (LOSS)**                         |       | $                           | 10,054,161 |                                  | $          | 18,756,841                          |       | $ | 7,311,630 |   |
| ** **                                    |       |                        |       |                                  |       |                                |       |
| **NET INCOME (LOSS) PER UNIT:**               |       |                        |       |                                  |       |                                |       |
|                                          |       |                        |       |                                  |       |                                |       |
| Weighted average number of Units  outstanding |       |                        |       |                                  |       |                                |       |
| Class A*                                      |       | 670,313                     |       | 434,922                               |       | —                              |       |
| Class C**                                     |       | 8,707,764                   |       | 5,342,633                             |       | —                              |       |
| Class D***                                    |       | 2,118,709                   |       | 2,004,251                             |       | —                              |       |
| Class I****                                   |       | 745,607                     |       | 703,133                               |       | —                              |       |
| Class DS*****                                 |       | 31,628,430                  |       | 24,375,311                            |       | 11,794,741                          |       |
| Class DT******                                |       | 65,947,721                  |       | 68,976,637                            |       | 105,166,376                         |       |
| Net income (loss) per weighted average Unit   |       |                        |       |                                  |       |                                |       |
| Class A*                                      |       | $                           | 0.0596     |                                  | $          | 0.1144                              |       | $ | — |   |
| Class C**                                     |       | $                           | 0.0556     |                                  | $          | 0.1115                              |       | $ | — |   |
| Class D***                                    |       | $                           | 0.0684     |                                  | $          | 0.1241                              |       | $ | — |   |
| Class I****                                   |       | $                           | 0.0730     |                                  | $          | 0.1457                              |       | $ | — |   |
| Class DS*****                                 |       | $                           | 0.0829     |                                  | $          | 0.1715                              |       | $ | 0.1918 |   |
| Class DT******                                |       | $                           | 0.1017     |                                  | $          | 0.1969                              |       | $ | 0.0480 |   |

 

----

| *      | 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 six months ended June 30,2008 and the period April 2, 2007 (commencement of operations) to June 30,2007

(unaudited)

 
| ** **                 | ** ** | ** **                | ** ** | ** **        | ** ** | ** **      | ** ** | **Members’ Capital** | ** ** | **Members’ Capital**  | ** ** | ** **        | ** ** | ** **      | ** ** | **Members’Capital**    | ** ** |
|----------------------------|------------|---------------------------|------------|-------------------|------------|-----------------|------------|--------------------------------|------------|---------------------------------|------------|-------------------|------------|-----------------|------------|-----------------------------|------------|
| ** **                 | ** ** | **Initial Offering** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **June 30, 2007**    | ** ** | **December 31, 2007** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **June 30, 2008** | ** ** |
|                       |       |                      |       |              |       |            |       |                           |       |                            |       |              |       |            |       |                        |       |
| Class A*                   |       | —                    |       | —            |       | —          |       | —                         |       | 107,731                         |       | 761,499           |       | (83,945         | )          | 785,285                     |       |
| Class C**                  |       | —                    |       | —            |       | —          |       | —                         |       | 752,226                         |       | 8,714,622         |       | (94,809         | )          | 9,372,039                   |       |
| Class D***                 |       | —                    |       | —            |       | —          |       | —                         |       | 750,000                         |       | 2,794,704         |       | (1,763,993      | )          | 1,780,711                   |       |
| Class I****                |       | —                    |       | —            |       | —          |       | —                         |       | 590,000                         |       | 161,275           |       | —          |       | 751,275                     |       |
| Class DS*****              |       | 12,000,000                |       | —            |       | (375,815        | )          | 11,624,185                     |       | 13,766,729                      |       | 22,802,224        |       | —          |       | 36,568,953                  |       |
| Class DT******             |       | —                    |       | 105,166,376       |       | (4,603,998      | )          | 100,562,378                    |       | 71,713,429                      |       | 670,936           |       | (8,622,302      | )          | 63,762,063                  |       |
|                       |       |                      |       |              |       |            |       |                           |       |                            |       |              |       |            |       |                        |       |
| Total Members’  Units |       | 12,000,000                |       | 105,166,376       |       | (4,979,813      | )          | 112,186,563                    |       | 87,680,115                      |       | 35,905,260        |       | (10,565,049     | )          | 113,020,326                 |       |

 

----

| *      | 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. |
|-------------------------------------|

 

3

----

 

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(a Delaware LimitedLiability Company)

 

STATEMENTS OF CHANGES INMEMBERS’ CAPITAL

For the six months ended June 30,2008 and the period April 2, 2007 (commencement of operations) to June 30,2007

(unaudited)

 
| ** **                    | ** ** | ** **                | ** ** | ** **        | ** ** | ** **      | ** ** | ** **          | ** ** | **Members’ Capital** | ** ** | **Members’ Capital**  | ** ** | ** **        | ** **  | ** **      | ** ** | ** **          | ** ** | **Members’ Capital** | ** ** |
|-------------------------------|------------|---------------------------|------------|-------------------|------------|-----------------|------------|---------------------|------------|--------------------------------|------------|---------------------------------|------------|-------------------|-------------|-----------------|------------|---------------------|------------|--------------------------------|------------|
| ** **                    | ** ** | **Initial Offering** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net Income** | ** ** | **June 30, 2007**    | ** ** | **December 31, 2007** | ** ** | **Subscriptions** | ** **  | **Redemptions** | ** ** | **Net Income** | ** ** | **June 30, 2008**    | ** ** |
|                          |       |                      |       |              |       |            |       |                |       |                           |       |                            |       |              |        |            |       |                |       |                           |       |   |   |   |   |   |   |   |   |   |   |
| Class A*                      |       | $                         | —     |              | $          | —          |       | $                   | —     |                           | $          | —                          |       | $                 | —      |            | $          | 118,484             |       | $                              | 889,009    |   | $ | (102,102 | ) | $ | 49,752 |   | $ | 955,143 |   |
| Class C**                     |       | —                    |       | —            |       | —          |       | —              |       | —                         |       | 797,979                         |       | 9,704,657         |        | (110,443        | )          | 595,735             |       | 10,987,928                     |       |
| Class D***                    |       | —                    |       | —            |       | —          |       | —              |       | —                         |       | 701,576                         |       | 2,724,999         |        | (1,762,514      | )          | 248,766             |       | 1,912,827                      |       |
| Class I****                   |       | —                    |       | —            |       | —          |       | —              |       | —                         |       | 625,944                         |       | 177,059           |        | —          |       | 102,472             |       | 905,475                        |       |
| Class DS*****                 |       | 12,000,000                |       | —            |       | (403,756        | )          | 2,262,521           |       | 13,858,765                     |       | 17,927,148                      |       | 31,648,171        |        | —          |       | 4,180,571           |       | 53,755,890                     |       |
| Class DT******                |       | —                    |       | 116,913,460       |       | (5,339,717      | )          | 5,049,109           |       | 116,622,852                    |       | 92,485,147                      |       | 898,855           |        | (12,100,699     | )          | 13,579,545          |       | 94,862,848                     |       |
|                          |       |                      |       |              |       |            |       |                |       |                           |       |                            |       |              |        |            |       |                |       |                           |       |
| Total Members’  Interest |       | $                         | 12,000,000 |              | $          | 116,913,460     |       | $                   | (5,743,473 | )                              | $          | 7,311,630                       |       | $                 | 130,481,617 |            | $          | 112,656,278         |       | $                              | 46,042,750 |   | $ | (14,075,758 | ) | $ | 18,756,841 |   | $ | 163,380,111 |   |

 

----

| *      | 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. |
|-------------------------------------|

 

4

----

 

ML TRANSTREND DTPENHANCED FUTURESACCESS LLC

(a Delaware LimitedLiability Company)

 

NOTES TO FINANCIALSTATEMENTS

(unaudited)

 

1.     SUMMARY OF SIGNIFICANTACCOUNTING POLICIES

 

ML Transtrend DTP EnhancedFuturesAccess LLC (the “Fund”) was organized under the Delaware LimitedLiability Company Act on March 8, 2007 and commenced trading activities onApril 2, 2007. The Fund issues new units of limited liability companyinterest (“Units”) at Net Asset Value per Unit as of the beginning of eachcalendar month. The Fund engages in the speculative trading of futures, optionson futures and forward contracts on a wide range of commodities. TranstrendB.V. (“Transtrend”) is the trading advisor of the Fund.

 

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

 

In the opinion ofmanagement, the financial statements contain all adjustments necessary topresent fairly the financial position of the Fund as of June 30, 2008 andthe results of its operations for the three and six months ended June 30,2008 and for the period April 2, 2007 (commencement of operations) to June 30,2007.  However, the operating results forthe interim 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 expenses duringthe reporting period.  Actual resultscould differ from those estimates. Certain prior year items have beenreclassified to conform to the current year presentation.

 

2.     FAIR VALUE 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.

 

Fairvalue of an investment is the amount that would be received to sell theinvestment in an orderly transaction between market participants at themeasurement date (i.e. the exit price).

 

5

----

 

FAS157 established a hierarchal disclosure framework which prioritizes and ranksthe level of market price observability used in measuring investments at fairvalue. Market price observability is impacted by a number of factors, includingthe type of investment and the characteristics specific to the investment.Investments with readily available active quoted prices or for which fair valuecan be measured from actively quoted prices generally will have a higher degreeof market price observability and a lesser degree of judgment used in measuringfair value.

 

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

 

LevelI – Quoted prices are available in active markets for identical investments asof the reporting date. The type of investments included in Level I are publiclytraded investments. As required by FAS 157, the Fund does not adjust the quotedprice for these investments even in situations where the Fund holds a largeposition and a sale could reasonably impact the quoted price.

 

LevelII – Pricing inputs are other than quoted prices in active markets, which areeither directly or indirectly observable as of the reporting date, and fairvalue is determined through the use of models or other valuation methodologies.Investments which are generally included in this category are investmentsvalued using market data.

 

LevelIII – Pricing inputs are unobservable and include situations where there islittle, if any, market activity for the investment. Fair value for theseinvestments is determined using valuation methodologies that consider a rangeof factors, including but not limited to the price at which the investment wasacquired, the nature of the investment, local market conditions, trading valueson public exchanges for comparable securities, current and projected operatingperformance and financing transactions subsequent to the acquisition of theinvestment. The inputs into the determination of fair value require significantmanagement judgment. Due to the inherent uncertainty of these estimates, thesevalues may differ materially from the values that would have been used had a readymarket for these investments existed. Investments that are included in thiscategory generally are privately held debt and equity securities.

 

In certain cases, the inputs used to measure fairvalue may fall into different levels of the fair value hierarchy. In suchcases, an investment’s level within the fair value hierarchy is based on thelowest level of input that is significant to the fair value measurement. TheSponsor’s assessment of the significance of a particular input to the fairvalue measurement in its entirety requires judgment, and considers factorsspecific to the investment.

 

The following table summarizes the valuation of theFund’s investments by the above FAS 157 fair value hierarchy levels as of June 30,2008:

 
| ** **                                                     | ** ** | **Total** | ** ** | **Level I** | ** ** | **Level II** | ** ** | **Level III** | ** ** |
|----------------------------------------------------------------|------------|-----------|------------|------------------|------------|-------------------|------------|--------------------|------------|
| Net unrealized profit (loss)  on open contracts |       | $         | 6,377,537  |             | $          | 6,377,537         |       | N/A                |       | N/A |   |
|                                                                |            |           |            |                  |            |                   |            |                    |            |  |  |

 

6

----

 

3.     NET ASSET VALUE PER UNIT

 

For financial reporting purposes, in conformity withU.S. GAAP, the Fund amortizes over a twelve-month period the total initialoffering costs payable to MLAI for purposes of determining Net AssetValue.  For all other purposes, includingcomputing Net Asset Value for purposes of member subscription and redemption activity,such costs are amortized over 60 months. Consequently, the Net Asset Value and Net Asset Value per Unit of thedifferent Classes for financial reporting purposes and for all other purposesat June 30, 2008 and December 31, 2007 are as follows:

 

June 30, 2008

 
| ** ** | ** ** | **Net Asset Value**    | ** **  | ** **    | ** ** | **Net Asset Value per Unit** | ** ** |
|------------|------------|----------------------------------|-------------|---------------|------------|--------------------------------------------------|------------|
| ** ** | ** ** | ** **                       | ** **  | **Financial** | ** ** | **Number of**                               | ** ** | **All Other** | ** ** | **Financial** | ** ** |
| ** ** | ** ** | **All Other Purposes** | ** **  | **Reporting** | ** ** | **Units**                                        | ** ** | **Purposes** | ** ** | **Reporting** | ** ** |
| Class A    |       | $                                | 955,174     |          | $          | 955,143                                          |       | 785,285 |   | $ | 1.2163 |   | $ | 1.2163 |   |
| Class C    |       | 10,988,181                       |        | 10,987,928    |       | 9,372,039                                        |       | 1.1724 |   | 1.1724 |   |
| Class D    |       | 1,912,963                        |        | 1,912,827     |       | 1,780,711                                        |       | 1.0743 |   | 1.0742 |   |
| Class I    |       | 905,556                          |        | 905,475       |       | 751,275                                          |       | 1.2054 |   | 1.2053 |   |
| Class DS   |       | 53,759,188                       |        | 53,755,890    |       | 36,568,953                                       |       | 1.4701 |   | 1.4700 |   |
| Class DT   |       | 94,891,555                       |        | 94,862,848    |       | 63,762,063                                       |       | 1.4882 |   | 1.4878 |   |
|       |       |                             |        |          |       |                                             |       |   |   |   |   |
|       |       | $                                | 163,412,617 |          | $          | 163,380,111                                      |       | 113,020,326 |   |   |   |   |   |
|            |            |                                  |             |               |            |                                                  |            |  |  |  |  |  |  |  |  |

 

December 31, 2007

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

 

The nature of this Fund has certain risks, which cannot be presented onthe financial statements.  The followingsummarizes some of those risks.

 

Market Risk

 

Derivative instruments involve varying degrees of market risk.  Changes in the level or volatility ofinterest rates, foreign currency exchange rates or the market values of thefinancial instruments or commodities underlying such derivative instrumentsfrequently result in changes in the Fund’s Net unrealized profit (loss) on 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 risks associated withexchange-traded contracts are typically perceived to be less than thoseassociated with over-the-counter (non-exchange-traded) transactions, becauseexchanges typically provide clearinghouse arrangements in which the collectivecredit (in some cases limited in amount, in some cases not) of the members ofthe exchange is pledged to support the financial integrity of 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 risk associated withthese instruments from counterparty nonperformance is the Net unrealizedprofit, if any, included in the Statements of Financial Condition. The Fundattempts to mitigate this risk by dealing exclusively with Merrill Lynchentities as clearing brokers.

 

The Fund, in its normalcourse of business, enters into various contracts, with MLPF&S acting asits commodity broker.  Pursuant to thebrokerage arrangement with MLPF&S (which includes a netting arrangement),to the extent that such trading results in receivables from and payables toMLPF&S, these receivables and payables are offset and reported as a netreceivable or payable and included in Equity in commodity futures tradingaccounts in the Statements of Financial Condition.

 

8

----

 

5.     RECENT ACCOUNTINGPRONOUNCEMENTS

 

In March 2008, the FASB released Statement ofFinancial Accounting Standards No. 161, Disclosures about DerivativeInstruments and Hedging Activities – an amendment to FASB Statement No. 133(“FAS 161”). FAS 161 requires qualitative disclosures about objectives andstrategies for using derivatives, quantitative disclosures about fair valueamounts of and gains and losses on derivative instruments, and disclosuresabout credit-risk related contingent features in derivative agreements. Theapplication of FAS 161 is required for fiscal years beginning after November 15,2008 and interim periods within those fiscal years. Currently, the Fund isevaluating the implications of FAS 161 on its financial statements.

 

In May 2008, the FASB issued Statement ofFinancial Accounting Standards No. 162, “*TheHierarchy of Generally Accepted Accounting Principles*” (“FAS 162”).FAS 162 identifies the sources of accounting principles and the framework forselecting the accounting principles used in preparing financial statements ofnongovernmental entities that are presented in conformity with U.S. GAAP.Currently, U.S. GAAP hierarchy is provided in the American Institute ofCertified Public Accountants U.S. Auditing Standards (“AU”) Section 411, “*The Meaning of Present Fairly in Conformity With Generally AcceptedAccounting Principles*” (“AU Section 411”). FAS 162 is effective60 days following the SEC’s approval of the Public Company Accounting OversightBoard’s amendments to AU Section 411. The Fund does not expect theadoption of FAS 162 to have an impact on its financial statements.

 

9

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

 

MONTH-END NET ASSET VALUE PER 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.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|
| 2008       |       | $        | 1.0964     |     | $          | 1.1567   |       | $        | 1.1632     |    | $          | 1.1633   |       | $ | 1.1945 |   | $ | 1.2163 |   |
|            |            |          |            |          |            |          |            |          |            |         |            |          |            |  |  |  |  |  |  |

 

Class C

 

| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|
| 2008       |       | $        | 1.0567     |     | $          | 1.1139   |       | $        | 1.1208     |    | $          | 1.1141   |       | $ | 1.1465 |   | $ | 1.1724 |   |
|            |            |          |            |          |            |          |            |          |            |         |            |          |            |  |  |  |  |  |  |

 

Class D

 

| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|
| 2008       |       | $        | 0.9336     |     | $          | 0.9862   |       | $        | 0.9960     |    | $          | 1.0015   |       | $ | 1.0470 |   | $ | 1.0743 |   |
|            |            |          |            |          |            |          |            |          |            |         |            |          |            |  |  |  |  |  |  |

 

Class I

 

| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|
| 2008       |       | $        | 1.0579     |     | $          | 1.1165   |       | $        | 1.1325     |    | $          | 1.1384   |       | $ | 1.1761 |   | $ | 1.2054 |   |
|            |            |          |            |          |            |          |            |          |            |         |            |          |            |  |  |  |  |  |  |

 

Class DS

 

| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|
| 2007       |       | N/A      |       | N/A      |       | N/A      |       | $        | 1.0532     |    | $          | 1.1117   |       | $ | 1.1922 |   |
| 2008       |       | $        | 1.2998     |     | $          | 1.3730   |       | $        | 1.3922     |    | $          | 1.3951   |       | $ | 1.4378 |   | $ | 1.4701 |   |
|            |            |          |            |          |            |          |            |          |            |         |            |          |            |  |  |  |  |  |  |

 

Class DT

 

| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|
| 2007       |       | N/A      |       | N/A      |       | N/A      |       | N/A      |       | N/A     |       | $        | 1.1598     |   |
| 2008       |       | $        | 1.2885     |     | $          | 1.3623   |       | $        | 1.3854     |    | $          | 1.3980   |       | $ | 1.4479 |   | $ | 1.4882 |   |
|            |            |          |            |          |            |          |            |          |            |         |            |          |            |  |  |  |  |  |  |

 

10

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PerformanceSummary

 

January 1,2008 to June 30, 2008

 

January 1,2008 to March 31, 2008

 

The Fund was profitable for the first quarter of2008.  The interest rates, agriculture,energy and stock indices sectors were profitable.  The metals and currency sectors werenot profitable.

 

Theinterest rate sector was the most profitable for the quarter.  In order to support the troubled bankingsector and to stimulate economic growth, the U.S. Federal Reserve Banksubstantially reduced the American base rate twice during the second half ofJanuary. This move caused strong positive results on various short and longterm interest rate positions anticipating a stronger divergence betweenAmerican and European rates. The expectation that various European centralbanks would  have to lower their baserates sooner or later led to a more and more inverse looking yield curve in themoney markets. This development was advantageous for existing positions. On theother hand, higher inflation fears helped cause a fall in bond prices, leadingto losses on purchased positions mid-quarter. The Australian central bankcontinued its tightening policy and noted that further rate hikes may be neededto curb rising inflation. Short sales in the Australian money markets earnedgains from this development. In March, the financial world was stunned by thedemise of the U.S. investment bank Bear Stearns. Thanks to variousliquidity-expanding measures by the U.S. Federal Reserve and other leadingcentral banks, the negative impact was limited.

 

Theagriculture sector was also profitable for the quarter.  Losses were booked on aluminum, copper andnickel sales early in the quarter. Notwithstanding the jumpy nature of thecommodity markets, good profits were achieved mid-quarter with corn, soybeanand sugar purchases as these products eventually continued their trends. Longpositions in coffee, cocoa and cotton booked excellent results. Purchases ofagricultural goods such as corn, wheat and soybeans not only profited from aweaker U.S. dollar but also from an increasing worldwide scarcity of supplies.At the end of the quarter, purchases of coffee, soybeans and soybean oilsuffered losses. On the other hand, lower prices meant that short positions inthe meat complex achieved gains.

 

Theenergy sector was profitable for the quarter. The quarter started with energy contracts distinguished by choppy pricesand had negative results as a consequence. Purchased crude oil, heating oil andgasoline dropped in price while sold natural gas contracts rose in price. Theenergy markets contributed to the excellent results later in the quarter thanksto an upward trend in natural gas prices and new record prices for crude oiland its derived products. At the end of the quarter, listed products in theenergy markets showed sharp falls but did eventually experience a slightrecovery. Mainly due to profits earned with purchases of natural gas andheating oil.

 

Thestock indices sector was profitable for the quarter.  The perception of the credit crisis havingits toll on the real economy sent stock markets spiraling lower. Sentiment wasfurther worsened after a massive forced liquidation of an allegedly fraudulentstock indices position by the number two French bank Société Générale.  New positions were entered into mainly on thesell side. Good results were booked on sales of Italian and American blue-chipindices while small losses were felt in the German market.  The South Korean Kospi200 index recoveredsomewhat after its drop at the beginning of the quarter. A short positiontherefore suffered. Profits posted to the Fund mid-quarter were a result of theshort sales in Australia and the U.S. A long position in the Canadian indexalso contributed to the positive results.

 

11

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Themetals sector posted slight losses for the quarter.  At the beginning of the quarter, trends ingold and silver continued, albeit with some dips, which helped long positionsgain profit.  Profits were also earnedlater in the quarter due to higher prices for precious metals such as silverand platinum and base metals such as copper and lead. A short position innickel did however need to be liquidated with a loss. At the end of thequarter, a sharp correction led to negative results on long positions ofvarious base and precious metals.

 

The currency 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 postedprofits for the quarter with the energy, agriculture, stock indices, currenciesand the metals sector posting gains while the interest rate sector postedlosses.

 

The energy sectorposted profits for the Fund. The upward trend of energy prices continuedstrongly at the beginning of the quarter as profits were posted to the Fund.The exceptionally 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 agriculturesector posted profits for the Fund. Losses were posted to the Fund at thebeginning of the quarter. The relative weakness of wheat prices against theprice of soybeans generated gains being posted to the Fund. However this wasnot enough to offset the losses from the falling prices of lean hogs and livecattle reversed resulting in losses on short positions. Favorable expectationsfor the upcoming wheat harvest put wheat prices under pressure which led to profitsbeing posted to the Fund as a result of short positions in wheat. Risingsoybean prices 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 indicesposted profits for the Fund. Several short positions, such as the Nasdaq-100index ended the month of April with losses being posted to the Fund.Although investors had to contend with various uncertainties, many stockexchanges showed certain resilience. Long positions in Canada, the UnitedStates and Brazil were profitable for the Fund mid-quarter. Despite the civilunrest in South Africa, stocks in this country still proved to be desirable.Purchases in the South African stock index added to the profits being posted tothe Fund. A wave of sell swept over the stock markets all over the world as thequarter ended. Short positions on various European exchanges posted profits forthe Fund. 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.

 

The currencysector posted profits for the Fund. Profits were posted to the Fund at thebeginning of the quarter. The U.S. dollar, after reaching new record lowsagainst several currencies recovered strongly. As a result, short positionsagainst the Swiss Franc and the euro suffered. The Japanese yen lostsubstantial ground as the Japanese yen purchases paid for with U.S. dollars andthe Mexican pesos posting losses for

 

12

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the Fund.  However, the short sales against the euro,Swiss franc and the Australian dollar resulted in profits for the Fund. Longpositions in the Australian dollar and the Mexican peso against the U.S. dollaralso generated profits being posted for the Fund. Purchases of Australiandollars against various other currencies posted profits for the Fund mid-quarter.Many emerging currencies saw their relative values rise mid-quarter with longpositions in the Hungarian forint, Polish zloty, Turkish lira and the Mexicanpesos all profited posting profits to the Fund. Purchases of New Zealanddollars financed with euros and U.S. dollars led to losses being posted to theFund at the end of the quarter as did sales of Swiss francs versus the euro andBritish pound. The lack of trend shown by the Canadian dollar against the U.S.dollar and the Japanese yen also led to losses being posted to the Fund at theend of the quarter.

 

The metals sectorposted profits for the Fund. Base metal positions added profits being posted tothe Fund at the beginning of the quarter as a result of rising copper pricesand a slipping zinc price. The inconsistent direction of gold and silver pricesled to 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 ratesector posted losses for the Fund. Losses were posted to the Fund at thebeginning of the quarter. The interest rate markets were mainly driven byincreased attention to inflationary risks. More market participants were of theopinion that the interest rate cut by the U.S. Federal Reserve on April 30,2008 could 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.

 

PerformanceSummary

 

April 2, 2007to June 30, 2007

 

April 2, 2007to June 30, 2007

 

The Fund postedprofits for the quarter with currencies, energy, and the interest rate sectorsposting gains while agriculture, stock indices and the metal sectors postedlosses.

 

The currencysector posted profits for the Fund.  Aslower growing pace of the economy in the United States pushed the U.S. dollarto a historic low against the euro at the beginning of the quarter. Purchasesof euros, 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 New

 

13

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Zealand caused anappreciation of the local currency as well as bringing up the Australiandollar. The appreciation of the British pound against the Swiss franc and theeuro also generated profits for the Fund.

 

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

 

The interest rate sector posted profits for the Fund. Positive indications regarding theeconomic recovery in Europe led to rising interest rates in both the short- andlong-term segments. Various short positions in several money and capitalmarkets profited from this development. Also, a steepening yield curve in theeuro and the diminishing difference between euro and the U.S. dollar depositswere successfully exploited. After the Bank of England was called to answer tothe British Parliament in April regarding the high level of inflation, arate hike was seen mid-quarter. Other major countries also experienced risingmoney and capital market rates on the basis of robust economic growthexpectations combined with increased inflationary pressures. Various shortpositions in money and capital market products were therefore very profitable.Sales in government bond contracts in Australia, Germany, the United Kingdomand the United States all achieved good results at the quarter’s end. Profitswere also earned with rising money market rates in Europe.

 

The agriculturalsector posted losses for the Fund.  Morethan usual rain and frost in North America and extreme drought in Europebrought an abrupt end to falling wheat prices at the beginning of the quarterwhich did not offset short sales that closed out with losses being post to theFund. Soybean purchases did return a profit mid-quarter due to rising pricesafter lower than expected crop prospects. Meat and hog purchases did not fareas well. Losses on corn purchases were partially offset by long positions in soybeansand wheat. The cluster eventually ended in the gain.

 

The metals sectorposted losses 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.

 

Stock indicesposted losses 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.

 

14

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Item 3. Quantitative andQualitative Disclosures About Market Risk

 

Introduction

 

The Fund is a speculative commodity pool. The marketsensitive instruments held by it are acquired for speculative trading purposesand all or substantially all of the Fund’s assets are subject to the risk oftrading loss.  Unlike an operatingcompany, the risk of market sensitive instruments is integral, not incidental,to the Fund’s main line of business.

 

Market movements result in frequent changes in thefair market value of the Fund’s open positions and, consequently, in itsearnings and cash flow. The Fund’s market risk is influenced by a wide varietyof factors, including the level and volatility of interest rates, exchangerates, equity price levels, the market value of financial instruments andcontracts, the diversification effects among the Fund’s open positions and theliquidity of the markets in which it trades.

 

The Fund, under the direction of the trading advisors,rapidly acquires and liquidates both long and short positions in a wide rangeof different markets.  Consequently, itis not possible to predict how a particular future market scenario will affectperformance, and the Fund’s past performance is not necessarily indicative ofits future results.

 

Value at Risk is a measure of the maximum amount whichthe Fund could reasonably be expected to lose in a given market sector.However, the inherent uncertainty of the Fund’s speculative trading and therecurrence in the markets traded by the Fund of market movements far exceedingexpectations could result in actual trading or non-trading losses far beyondthe indicated Value at Risk or the Fund’s experience to date (i.e., “risk ofruin”). In light of the foregoing, as well as the risks and uncertaintiesintrinsic to all future projections, the quantifications included in thissection should not be considered to constitute any assurance or representationthat the Fund’s losses in any market sector will be limited to Value at Risk orby the Fund’s attempts to manage its market risk.

 

Quantifying The Fund’s Trading Value At Risk

 

Quantitative Forward-Looking Statements.

 

The following quantitative disclosures regarding theFund’s market risk exposures contain “forward-looking statement” within themeaning of the safe harbor from civil liability provided for such statements bythe Private Securities Litigation Reform Act of 1995 (set forth in Section 27Aof the Securities Act of 1933 and Section 21E of the Securities ExchangeAct of 1934).  All quantitativedisclosures in this section are deemed to be forward-looking statements forpurposes of the safe harbor, except for statements of historical fact.

 

The Fund’s risk exposure in the various market sectorstraded by Transtrend is quantified below in terms of Value at Risk.  Due to the Fund’s mark-to-market accounting,any loss in the fair value of the Fund’s open positions is directly reflectedin the Fund’s earnings (realized or unrealized) and cash flow (at least in thecase of exchange-traded contracts in which profits and losses on open positionsare settled daily through variation margin)

 

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

 

15

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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.

 

***TheFund’s Trading Value at Risk in Different Market Sectors***

 

The followingtable indicates the average, highest and lowest trading Value at Risk associatedwith the Fund’s open positions by market category for the fiscal period. Forthe six months ended June 30, 2008 and the three months ended June 30,2007 the Fund’s average Month-end Net Asset Value for all other purposes was$133,956, 326 and $41,949,971, respectively.

 

**June 30, 2008**

 
| ** **                | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|---------------------------|------------|-----------------------------|------------|----------------------------|------------|------------------------|------------|-----------------------|------------|
| **Market Sector**    | ** ** | **Value at Risk** | ** ** | **Capitalization**         | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                      |       |                        |       |                       |       |                   |       |                  |       |
| Agricultural  Commodities |       | $                           | 491,982    |                       | 0.37       | %                      | $          | 1,434,454             |       | $ | 22,634 |   |
| Energy                    |       | 1,043,817                   |       | 0.78                       | %          | 2,117,492              |       | 14,776                |       |
| Interest Rates            |       | 6,152,742                   |       | 4.59                       | %          | 7,994,825              |       | 2,635,987             |       |
| Metals                    |       | 386,759                     |       | 0.29                       | %          | 903,788                |       | 79,610                |       |
| Currencies                |       | 2,524,178                   |       | 1.88                       | %          | 4,641,576              |       | 292,385               |       |
| Stock Indices             |       | 752,686                     |       | 0.56                       | %          | 1,378,417              |       | 223,135               |       |
|                      |       |                        |       |                       |       |                   |       |                  |       |
| TOTAL                     |       | $                           | 11,352,164 |                       | 8.47       | %                      | $          | 18,470,552            |       | $ | 3,268,527 |   |

 

**June 30, 2007**

 
| ** **                | ** ** | **Average**                 | ** ** | **%**** of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|---------------------------|------------|-----------------------------|------------|--------------------------------|------------|------------------------|------------|-----------------------|------------|
| **Market Sector**    | ** ** | **Value at Risk** | ** ** | **Capitalization**             | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                      |       |                        |       |                           |       |                   |       |                  |       |
| Agricultural  Commodities |       | $                           | 152,354    |                           | 0.36       | %                      | $          | 270,353               |       | $ | 8,631 |   |
| Energy                    |       | 80,087                      |       | 0.19                           | %          | 171,482                |       | 6,664                 |       |
| Interest Rates            |       | 10,815,945                  |       | 25.78                          | %          | 16,669,580             |       | 2,023,152             |       |
| Metals                    |       | 19,095                      |       | 0.05                           | %          | 50,412                 |       | —                |       |
| Currencies                |       | 5,629                       |       | 0.01                           | %          | 15,604                 |       | 310                   |       |
| Stock Indices             |       | 1,562,695                   |       | 3.73                           | %          | 2,553,034              |       | 155,076               |       |
|                      |       |                        |       |                           |       |                   |       |                  |       |
| TOTAL                     |       | $                           | 12,635,805 |                           | 30.12      | %                      | $          | 19,730,465            |       | $ | 2,193,833 |   |

 

16

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MaterialLimitations on Value at Risk as an Assessment of Market Risk

 

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

 

**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 its assetswhich are held in cash at MLPF&S. The value of this cash is not interestrate sensitive, but there is cash flow risk in that if interest rates declineso will the cash flow generated on these monies. This cash flow risk isimmaterial.

 

Qualitative Disclosures Regarding Primary Trading Risk Exposures

 

The following qualitative disclosures regarding the Fund’s market riskexposures — except for (i) those disclosures that are statements ofhistorical fact and (ii) the descriptions of how the Fund manages itsprimary market risk exposures — constitute forward-looking statements withinthe meaning of Section 27A of the Securities Act and Section 21E ofthe Securities Exchange Act. The Fund’s primary market risk exposures as wellas the strategies used and to be used by MLAI and Transtrend for managing suchexposures are subject to numerous uncertainties, contingencies and risks, anyone of which could cause the actual results of the Fund’s risk controls todiffer materially from the objectives of such strategies.

 

Government interventions, defaults and expropriations, illiquidmarkets, the emergence of dominant fundamental factors, political upheavals,changes in historical price relationships, an influx of new marketparticipants, increased regulation and many other factors could result inmaterial losses as well as in material changes to the risk exposures and therisk management strategies of the Fund. There can be no assurance that the Fund’scurrent market exposure and/or risk management strategies will not changematerially or that any such strategies will be effective in either the short-or long-term. Investors must be prepared to lose all or substantially all ofthe time value of their investment in the Fund.

 

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.

 

17

----

 

PART II - OTHERINFORMATION

 

Item 1.                                     Legal Proceedings

 

None.

 

Item1A.                           Risk Factors

 

## Past Performance Not Necessarily Indicativeof 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.

 

## Volatile Markets; 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.

 

## Importance of 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.

 

## Forward Trading

##  

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, theprices offered for the same forward contract may vary significantly amongdifferent forward market participants. Forward market counterparties are under no obligation to enter intoforward transactions with a Fund, including transactions through which the Fundis attempting to liquidate open positions.

 

## Increased Assets 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.

 

## Trading Advisor 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.

 

18

----

 

## Changes in Trading Strategy

##  

The trading advisor may make material changes inits trading strategies without the knowledge of MLAI.

 

## Illiquid Markets

##  

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.

 

## Trading on 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 TradingDisrupted Due to the Bankruptcy 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.

 

19

----

 

Item 2.                                     Unregistered Sales of Equity Securitiesand Use of Proceeds

 

(a) Issuance toaccredited 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 |   |
|            |            |                  |            |            |            |  |  |  |  |  |

 

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 |   |
|            |            |                  |            |            |            |  |  |  |  |  |

 

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 |   |
|            |            |                  |            |            |            |  |  |  |  |  |

 

CLASS D

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV ****(1)** | ** ** |
|       |       |             |       |       |       |   |   |
| Jan-08     |       |             | $          | 750,000    |       | 801,796 |   | $ | 0.9354 |   |
| 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 |   |
|            |            |                  |            |            |            |  |  |  |  |  |

 

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 |   |
|            |            |                  |            |            |            |  |  |  |  |  |

 

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     |       |             | 1,231,343  |       | 827,404    |   | 1.4882 |   |
|            |            |                  |            |            |            |  |  |  |  |  |

 

----

(1) Net AssetValue for all other purposes. 

 

(b)         None.

(c)          None.

 

20

----

 

Item 3.                                  Defaults Upon Senior Securities

 

None.

 

Item 4.                                  Submission of Matters to a Vote ofSecurity Holders

 

None.

 

Item 5.                                  Other Information

 

None.

 

Item 6.                                  Exhibits

 

The following exhibits are incorporated by referenceor are filed herewith to this Quarterly Report 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.

 

21

----

 

**SIGNATURES**

 

Pursuantto the requirements of the Securities Exchange Act of 1934, the registrant hasduly caused this report to be signed on its behalf by the undersigned thereuntoduly authorized.

 

 
|                       | ML  TRANSTREND DTP ENHANCED FUTURESACCESS LLC |
|----------------------------|-----------------------------------------------|
|                       |                                          |
|                       |                                          |
|                       | By:  MERRILL LYNCH ALTERNATIVE                |
|                       | INVESTMENTS LLC                               |
|                       |   (Manager)                         |
|                       |                                          |
|                       |                                          |
| Date: August 13, 2008 | By                                            | /s/ PAUL MORTON |
|                       |                                          |  Paul Morton |
|                       |                                          | Chief  Executive Officer, President and Manager  (Principal Executive Officer) |
|                       |                                          |
|                       |                                          |
| Date: August 13, 2008 | By                                            | /s/ BARBRA E. KOCSIS |
|                       |                                          |  Barbra E. Kocsis |
|                       |                                          | Chief  Financial Officer  (Principal Financial and Accounting Officer) |
|                            |                                               |  |  |  |

 

22

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