**UNITED STATES SECURITIESAND EXCHANGE COMMISSION**

**Washington, D.C.20549**

**FORM 10-Q**

| **(Mark One)**                                                                                                                                                                                                                                         |
|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                                                                                                                                   |
| **x****QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES  EXCHANGE ACT OF 1934**                                                                                                                                                      |
|                                                                                                                                                                                                                                                   |
| **For the quarterly period ended September 30,  2007**                                                                                                                                                                                                 |
| ** **                                                                                                                                                                                                                                             |
| **                                        OR** |
|                                                                                                                                                                                                                                                   |
| **o****TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES**                                                                                                                                                                           |
| **     EXCHANGE ACT OF  1934**                                                                                                                                                                                                |

 

**For the transition period from                to                 **

**Commission File Number 0-52384**

# **ML CHESAPEAKE FUTURESACCESS LLC**

(Exact Name ofRegistrant as

specified in its charter)

| **Delaware**                     | ** ** | **30-040823**                      |
|----------------------------------|------------|------------------------------------|
| (State or other  jurisdiction of |       | (IRS Employer  Identification No.) |
| incorporation or  organization)  |       |                               |

 

**c/o Merrill Lynch AlternativeInvestments LLC**

**Hopewell Building No. 2**

**1200 Merrill Lynch Drive - FirstFloor**

**Pennington,New Jersey 08534**

(Address ofprincipal executive offices)

(Zip Code)

**609-274-5838**

(Registrant’s telephone number, including area code)

Indicate by check mark whether the registrant (1) hasfiled all reports required to be filed by Section 13 or 15(d) of the SecuritiesExchange Act of 1934 during the preceding 12 months (or for such shorter periodthat the registrant was required to file such reports), and (2) has beensubject to such filing requirements for the past 90 days.

|  |   | Yes x  No o |
|--|--------|------------------|

 

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

| Large accelerated filer  o |   | Accelerated filer  o |   | Non-accelerated filer  x |
|--------------------------------------|--------|--------------------------------|--------|------------------------------------|

 

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

| Yes o  No x |
|------------------|

 

Indicate by check mark whether the registrant hasfiled all documents and reports required to be filed by Sections 12, 13 or15(d) of the Securities Exchange Act of 1934 subsequent to the distribution ofsecurities under a plan confirmed by a court.      Yes o   No o

 

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**ML CHESAPEAKE FUTURESACCESS LLC**

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

Table of Contents
|         | ** ** | ** **                                                                                  | ** ** | **PAGE** |
|---------|------------|---------------------------------------------------------------------------------------------|------------|----------|
|    |       |                                                                                        |       |     |
|    |       | PART I                                                                                      |       |     |
|    |       |                                                                                        |       |     |
| Item 1. |       | Financial Statements                                                                        |       | 1        |
|    |       |                                                                                        |       |     |
| Item 2. |       | Management’s Discussion and Analysis of Financial  Condition and Results of Operations |       | 7        |
|    |       |                                                                                        |       |     |
| Item 3. |       | Quantitative and Qualitative Disclosures About  Market Risk                                 |       | 10       |
|    |       |                                                                                        |       |     |
| Item 4. |       | Controls and Procedures                                                                     |       | 12       |
|    |       |                                                                                        |       |     |
|    |       | PART II                                                                                     |       |     |
|    |       |                                                                                        |       |     |
| Item 1. |       | Legal Proceedings                                                                           |       | 13       |
|    |       |                                                                                        |       |     |
| Item 2. |       | Unregistered Sales of Equity Securities and Use of  Proceeds                                |       | 13       |
|    |       |                                                                                        |       |     |
| Item 3. |       | Defaults Upon Senior Securities                                                             |       | 14       |
|    |       |                                                                                        |       |     |
| Item 4. |       | Submission of Matters to a Vote of Security Holders                                         |       | 14       |
|    |       |                                                                                        |       |     |
| Item 5. |       | Other Information                                                                           |       | 14       |
|    |       |                                                                                        |       |     |
| Item 6. |       | Exhibits                                                                                    |       | 14       |

 

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PART I - FINANCIAL INFORMATION

Item 1.    Financial Statements

ML CHESAPEAKEFUTURESACCESS LLC

(a DelawareLimited Liability Company)

STATEMENT OFFINANCIAL CONDITION

(unaudited)
| ** **                                                                                | ** ** | **September 30, 2007** | ** **  |
|-------------------------------------------------------------------------------------------|------------|----------------------------------|-------------|
|                                                                                      |       |                             |        |
| **ASSETS:**                                                                               | ** ** | ** **                       | ** **  |
| Equity in commodity  futures trading accounts:                                            |       |                             |        |
| Cash (included  restricted cash of $20,174,508)                                           |       | $                                | 111,285,137 |   |
| Net unrealized  profit on open contracts                                                  |       | 12,184,531                       |        |
| Cash                                                                                      |       | 26,763                           |        |
| Deferred initial  offering costs                                                          |       | 24,999                           |        |
| Accrued interest                                                                          |       | 435,680                          |        |
|                                                                                      |       |                             |        |
| **TOTAL  ASSETS**                                                                         |       | $                                | 123,957,110 |   |
|                                                                                      |       |                             |        |
| **LIABILITIES AND MEMBERS’  CAPITAL**                                                | ** ** | ** **                       | ** **  |
| LIABILITIES:                                                                              |       |                             |        |
| Brokerage  commissions payable                                                            |       | $                                | 52,041      |   |
| Management fee  payable                                                                   |       | 115,509                          |        |
| Initial offering  costs payable                                                           |       | 50,000                           |        |
| Sponsor’s fee  payable                                                               |       | 219                              |        |
| Redemptions  payable                                                                      |       | 7,700,395                        |        |
| Other                                                                                     |       | 29,764                           |        |
|                                                                                      |       |                             |        |
| Total  liabilities                                                                        |       | 7,947,928                        |        |
|                                                                                      |       |                             |        |
| MEMBERS’ CAPITAL:                                                                    |       |                             |        |
|  Members’ Interest (124,509,126 Units  outstanding, unlimited Units authorized) |       | 116,009,182                      |        |
| Total members’  capital                                                              |       | 116,009,182                      |        |
|                                                                                      |       |                             |        |
| **TOTAL LIABILITIES AND MEMBERS’  CAPITAL**                                          |       | $                                | 123,957,110 |   |

 

**NETASSET VALUE PER UNIT (NOTE 2)**

** **

See notes to financialstatements.

1

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ML CHESAPEAKEFUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OFOPERATIONS

(unaudited)
| ** **                                    | ** ** | ** **                       | ** **  | **For the period**             | ** ** |
|-----------------------------------------------|------------|----------------------------------|-------------|------------------------------------------|------------|
| ** **                                    | ** ** | **For the three**      | ** **  | **April 2, 2007**              | ** ** |
| ** **                                    | ** ** | **months ended**            | ** **  | **(commencement**                        | ** ** |
| ** **                                    | ** ** | **months ended**            | ** **  | **of operations)**                       | ** ** |
| ** **                                    | ** ** | **September 30, 2007** | ** **  | **to September 30, 2007** | ** ** |
| **TRADING  PROFIT (LOSS):**                   | ** ** | ** **                       | ** **  | ** **                               | ** ** |
|                                          |       |                             |        |                                     |       |
| Realized                                      |       | $                                | (30,303,529 | )                                        | $          | (29,994,047 | ) |
| Change in unrealized                          |       | 11,062,170                       |        | 12,184,531                               |       |
| Brokerage commissions                         |       | (99,317                          | )           | (225,345                                 | )          |
|                                          |       |                             |        |                                     |       |
| Total trading loss                            |       | (19,340,676                      | )           | (18,034,861                              | )          |
|                                          |       |                             |        |                                     |       |
| **INVESTMENT  INCOME:**                       | ** ** | ** **                       | ** **  | ** **                               | ** ** |
| Interest                                      |       | 1,435,825                        |        | 2,047,964                                |       |
|                                          |       |                             |        |                                     |       |
| **EXPENSES:**                                 | ** ** | ** **                       | ** **  | ** **                               | ** ** |
| Management fee                                |       | 321,220                          |        | 483,592                                  |       |
| Sponsor’s fee                            |       | 415                              |        | 415                                      |       |
| Incentive fee                                 |       | (221,557                         | )           | —                                   |       |
| Other                                         |       | 58,769                           |        | 104,427                                  |       |
|                                          |       |                             |        |                                     |       |
| Total expenses                                |       | 158,847                          |        | 588,434                                  |       |
|                                          |       |                             |        |                                     |       |
| **NET  INVESTMENT INCOME**                    |       | 1,276,978                        |        | 1,459,530                                |       |
|                                          |       |                             |        |                                     |       |
| **NET  LOSS**                                 |       | $                                | (18,063,698 | )                                        | $          | (16,575,331 | ) |
|                                          |       |                             |        |                                     |       |
| **NET  INCOME (LOSS) PER UNIT:**              | ** ** | ** **                       | ** **  | ** **                               | ** ** |
|                                          |       |                             |        |                                     |       |
| Weighted average  number of Units outstanding |       |                             |        |                                     |       |
|                                          |       |                             |        |                                     |       |
| Class A*                                      |       | 9,750                            |        | 9,750                                    |       |
| Class C**                                     |       | 73,186                           |        | 73,186                                   |       |
| Class D-SM                                    |       | 13,971,852                       |        | 12,980,537                               |       |
| Class D-TF***                                 |       | 111,090,716                      |        | 110,256,623                              |       |
| Class I**                                     |       | 10,000                           |        | 10,000                                   |       |
|                                          |       |                             |        |                                     |       |
| Net income  (loss) per weighted average Unit  |       |                             |        |                                     |       |
|                                          |       |                             |        |                                     |       |
| Class A*                                      |       | $                                | 0.1150      |                                     | $          | 0.1150 |   |
| Class C**                                     |       | $                                | (0.0682     | )                                        | $          | (0.0682 | ) |
| Class D-SM                                    |       | $                                | (0.1381     | )                                        | $          | (0.0515 | ) |
| Class D-TF***                                 |       | $                                | (0.1452     | )                                        | $          | (0.1442 | ) |
| Class I**                                     |       | $                                | (0.1503     | )                                        | $          | (0.1503 | ) |

 

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*Class A commenced on September 1, 2007

**Class C and Class I commenced on July 1, 2007

***Class D-TF commenced on June 1, 2007

 

See notes tofinancial statements.

2

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ML CHESAPEAKEFUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENT OFCHANGES IN MEMBERS’ CAPITAL

For the periodApril 2, 2007 (commencement of operations) to September 30, 2007

(unaudited)
|                           | ** ** | ** **                | ** ** | ** **        | ** ** | ** **      | ** ** | **Members’ Capital**   | ** ** |
|---------------------------|------------|---------------------------|------------|-------------------|------------|-----------------|------------|----------------------------------|------------|
| ** **                | ** ** | **Initial Offering** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **September 30, 2007** | ** ** |
|                      |       |                      |       |              |       |            |       |                             |       |
| Class A*                  |       | —                    |       | 9,750             |       | —          |       | 9,750                            |       |
| Class C**                 |       | —                    |       | 111,004           |       | —          |       | 111,004                          |       |
| Class D-SM                |       | 12,000,000                |       | 3,642,226         |       | (723,437        | )          | 14,918,789                       |       |
| Class D-TF***             |       | —                    |       | 117,614,729       |       | (8,155,146      | )          | 109,459,583                      |       |
| Class I**                 |       | —                    |       | 10,000            |       | —          |       | 10,000                           |       |
|                      |       |                      |       |              |       |            |       |                             |       |
| Total Members’ Units |       | 12,000,000                |       | 121,387,709       |       | (8,878,583      | )          | 124,509,126                      |       |

 
| ** **                         | ** ** | ** **                | ** ** | ** **        | ** ** | ** **      | ** ** | **Net Income** | ** ** | **Members’ Capital**   | ** ** |
|------------------------------------|------------|---------------------------|------------|-------------------|------------|-----------------|------------|---------------------|------------|----------------------------------|------------|
| ** **                         | ** ** | **Initial Offering** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **(Loss)**          | ** ** | **September 30, 2007** | ** ** |
| ** **                         | ** ** | ** **                | ** ** | ** **        | ** ** | ** **      | ** ** | ** **          | ** ** | ** **                       | ** ** |
| Class A*                           |       | $                         | —     |              | $          | 9,750           |       | $                   | —     |                             | $          | 1,121 |   | $ | 10,871 |   |
| Class C**                          |       | —                    |       | 98,971            |       | —          |       | (4,989              | )          | 93,982                           |       |
| Class D-SM                         |       | 12,000,000                |       | 3,448,646         |       | (702,564        | )          | (668,970            | )          | 14,077,112                       |       |
| Class D-TF***                      |       | —                    |       | 125,380,824       |       | (7,661,114      | )          | (15,900,990         | )          | 101,818,720                      |       |
| Class I**                          |       | —                    |       | 10,000            |       | —          |       | (1,503              | )          | 8,497                            |       |
|                               |       |                      |       |              |       |            |       |                |       |                             |       |
|  Total Members’ Interest |       | $                         | 12,000,000 |              | $          | 128,948,191     |       | $                   | (8,363,678 | )                                | $          | (16,575,331 | ) | $ | 116,009,182 |   |

 

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* Class A commenced on September 1, 2007

** Class C and Class I commenced on July 1, 2007

*** Class D-TF commenced on June 1, 2007

 

See notes tofinancial statements.

3

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ML CHESAPEAKEFUTURESACCESS LLC 

(a Delaware Limited Liability Company)

NOTES TO FINANCIALSTATEMENTS

(unaudited)

1.     SUMMARY OFSIGNIFICANT ACCOUNTING POLICIES

In the opinion ofmanagement, the financial statements contain all adjustments necessary to presentfairly the financial position of ML Chesapeake FuturesAccess LLC (the “Fund”)as of September 30, 2007, the results of its operations for the three monthsended September 30, 2007 and for the period April 2, 2007 (commencement ofoperations) to September 30, 2007. However, the operating results for the interim period may not beindicative of the results for the full year. The Fund commenced operations onApril 2, 2007 and has a fiscal year end of December 31.

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

The preparation offinancial statements in conformity with US GAAP requires management to makeestimates and assumptions that affect the reported amounts of assets andliabilities and disclosure of contingent assets and liabilities at the date ofthe financial statements and the reported amounts of revenues and expensesduring the reporting period.  Actualresults could differ from those estimates.

2.     NET ASSET VALUE PER UNIT

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

At September 30, 2007 the Net Asset Values of thedifferent Classes of Units are as follows:
|               | ** ** | **Net Asset Value**    | ** **  | ** **                   | ** ** | **Net Asset Value per Unit** | ** ** |
|---------------|------------|----------------------------------|-------------|------------------------------|------------|--------------------------------------------------|------------|
| ** **    | ** ** | **All Other Purposes** | ** **  | **Financial Reporting** | ** ** | **Number of Units**                    | ** ** | **All Other   Purposes** | ** ** | **Financial   Reporting** | ** ** |
|          |       |                             |        |                         |       |                                             |       |   |   |   |   |
| Class A*      |       | $                                | 10,871      |                         | $          | 10,871                                           |       | 9,750 |   | $ | 1.1149 |   | $ | 1.1150 |   |
| Class C**     |       | 93,991                           |        | 93,982                       |       | 111,004                                          |       | 0.8467 |   | 0.8467 |   |
| Class D-SM    |       | 14,077,865                       |        | 14,077,112                   |       | 14,918,789                                       |       | 0.9436 |   | 0.9436 |   |
| Class D-TF*** |       | 101,837,958                      |        | 101,818,720                  |       | 109,459,583                                      |       | 0.9304 |   | 0.9302 |   |
| Class I**     |       | 8,497                            |        | 8,497                        |       | 10,000                                           |       | 0.8497 |   | 0.8497 |   |
|          |       | $                                | 116,029,182 |                         | $          | 116,009,182                                      |       | 124,509,126 |   |   |   |   |   |
|               |            |                                  |             |                              |            |                                                  |            |  |  |  |  |  |  |  |  |

 

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* Class A commenced on September 1, 2007

** Class C and Class I commenced on July 1, 2007   

*** Class D-TF commenced on June 1, 2007

4

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3.     MARKET AND CREDIT RISKS

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

Market Risk

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

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

Credit Risk

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

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

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

5

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4.     RECENT ACCOUNTINGPRONOUNCEMENT

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

6

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Item 2.    Management’s Discussion andAnalysis of Financial Condition and Results of Operations

MONTH-END NETASSET VALUE PER UNIT

(NON US GAAP)

MLAI believes thatthe Net Asset Value used to calculate subscription and redemption value and toreport performance to investors throughout the year 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 2 to theFinancial Statements.

Class A

 
|      |   | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** |   |
|------|--------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|--------|
| 2007 |   | N/A      |       | N/A     |       | N/A      |       | N/A      |       | N/A      |       | $         | 1.1149 |   |
|      |        |          |            |         |            |          |            |          |            |          |            |           |        |  |

 

Class C

 
|      |   | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** |   |
|------|--------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|--------|
| 2007 |   | N/A      |       | N/A     |       | N/A      |       | $        | 0.9131     |     | $          | 0.7601    |   | $ | 0.8467 |   |
|      |        |          |            |         |            |          |            |          |            |          |            |           |        |  |  |  |

 

Class D-SM

 
|      | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** |
|------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|
| 2007 |       | $        | 1.0305     |    | $          | 1.0850   |       | $        | 1.1056     |     | $          | 1.0134    |       | $ | 0.8453 |   | $ | 0.9436 |   |
|      |            |          |            |         |            |          |            |          |            |          |            |           |            |  |  |  |  |  |  |

 

Class D-TF

 
|      |   | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** |   |
|------|--------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|--------|
| 2007 |   | N/A      |       | N/A     |       | $        | 1.0871     |     | $          | 0.9975   |       | $         | 0.8327 |   | $ | 0.9304 |   |
|      |        |          |            |         |            |          |            |          |            |          |            |           |        |  |  |  |  |

 

Class I

 
|      |   | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** |   |
|------|--------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|--------|
| 2007 |   | N/A      |       | N/A     |       | N/A      |       | $        | 0.9142     |     | $          | 0.7619    |   | $ | 0.8497 |   |
|      |        |          |            |         |            |          |            |          |            |          |            |           |        |  |  |  |

 

Performance Summary

April 1, 2007 to September 30, 2007

April 1, 2007 to June 30, 2007

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

7

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

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

The commoditysectors produced mixed results in April with the metal, energy and soft sectorsrecording gains and the meat and grain sectors netting losses.  Our nickelposition was the most profitable within the metal sector followed by aluminumand gold.  Gains in the energy sectorcame primarily from our light crude position.   Other positivecontributors in April were our cotton, sugar and soybean oil positions whilesome of the notable losing positions included our cocoa, soymeal, soybean, cornand K.C. wheat positions.

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

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

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

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

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

Overall, the financial markets accounted for the majorityof profits in June.  The currency sectorscollectively recorded the largest gain for the month led by our Yen andAustralian dollar related positions.  The interest rate sector also had a positive impact on the period’sreturn with European positions collectively posting the largest gains.  Additional profits came from our Australianinterest rate positions while our U.S. and Canadian positions added marginallyto profits for the month.  The stocksector had mixed performance for the period and our Far East Index positionsnetted a gain by month end.  Our Europeanand U.S. Index positions collectively recorded losses. Performance in thecommodity

8

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sectors was mixed for the month.  The softs, meats and grain sectors postedsmall gains in June while the metals and energy sectors incurred losses.  The metal sector posted the largest loss asfalling prices adversely affected our nickel, zinc, aluminum, silver and goldpositions.

July 1, 2007 to September 30, 2007

The Fund postedoverall losses with the agriculture sector posting gains while energy, metals,stock indices, currencies and the interest rate sectors posted losses for theFund.

The agriculturesector posted profits for the Fund. The agriculture market was soft whichattributed to the difficult trading environment resulting in the losses postedfor the Fund at the beginning of the quarter through mid-quarter. The grainsector was the most profitable at the end of the quarter as wheat, soybean,soybean oil and soy meal positions all benefited from higher prices.

The energy sectorposted losses to the Fund from the beginning of the quarter through the middleof the quarter. Market strength boosted performance in the energy sector atquarter’s end with London gas, oil and light crude oil positions posting gainsfor the Fund.

The metals sectorposted losses for the Fund. Performance in the metals sector was virtually flatat the beginning of the quarter posting losses for the Fund which continuedthrough mid-quarter. However, the quarter ended with profits being posted tothe Fund as the market environment began to improve.

The stock indicessector posted losses to the Fund. The stock index positions experiencedsignificant volatility at the beginning of the quarter resulting in profitgivebacks. The largest losses came collectively from the European and U.S.positions. Other notable losses came from the Share Price Index and Nikkeipositions. The market volatility continued through mid-quarter as losses wereposted to the Fund. The period between the 9th and16th of August saw a significant increase involatility with trend reversals in the majority of markets. Performance fromthe stock sector at the quarter’s end produced gains for the Fund due to theH-shares and Hang Seng index positions.

The currency sectorposted losses to the Fund. The fallout from the stock reversal also had anegative effect on the currency positions at the beginning of the quarterposting losses for the Fund. August 16th was one of the worst days that the Fund hadexperienced with severe moves against almost every position with the financialmarkets incurring the losses for the Fund. The currency markets posted gains atthe end of the quarter with the Canadian dollar, Norwegian krone and Europositions producing the largest gains for the Fund.

The interest ratesector posted losses throughout the quarter. The stock reversal also had animpact on the Fund’s interest rate positions posting losses for the Fund at thebeginning of the quarter. The largest losses posted for the Fund were collectivelycoming from the European and U.S. fixed income. Losses continued to be postedmid-quarter due to significant increase in volatility with trend reversals inthe majority of markets represented in the portfolio. Losses continued to beposted for the Fund through the end of the quarter.

9

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Item 3.   Quantitative and Qualitative DisclosuresAbout Market Risk

Introduction

The Fund is a speculative commodity pool. The market sensitiveinstruments held by it are acquired for speculative trading purposes and all orsubstantially all of the Fund’s assets are subject to the risk of tradingloss.  Unlike an operating company, therisk of market sensitive instruments is integral, not incidental, to the Fund’smain line of business.

Market movements result in frequent changes in the fair market value ofthe Fund’s open positions and, consequently, in its earnings and cash flow. TheFund’s market risk is influenced by a wide variety of factors, including thelevel and volatility of interest rates, exchange rates, equity price levels,the market value of financial instruments and contracts, the diversificationeffects among the Fund’s open positions and the liquidity of the markets inwhich it trades.

The Fund, under the direction of Chesapeake Capital, rapidly acquiresand liquidates both long and short positions in a wide range of differentmarkets.  Consequently, it is notpossible 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 which the Fund couldreasonably be expected to lose in a given market sector. However, the inherentuncertainty of the Fund’s speculative trading and the recurrence in the marketstraded by the Fund of market movements far exceeding expectations could resultin actual trading or non-trading losses far beyond the indicated Value at Riskor the Fund’s experience to date (i.e., “risk of ruin”). In light of theforegoing, as well as the risks and uncertainties intrinsic to all futureprojections, the quantifications included in this section should not beconsidered to constitute any assurance or representation that the Fund’s lossesin any market sector will be limited to Value at Risk or by the Fund’s attemptsto manage its market risk.

Quantifying TheFund’s Trading Value At Risk

QuantitativeForward-Looking Statements.

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

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

Exchangemaintenance margin requirements have been used by the Fund as the measure ofits Value at Risk.  Maintenance marginrequirements are set by exchanges to equal or exceed the maximum loss in thefair value of any given contract incurred in 95%-99% of the one-day timeperiods included in the historical sample (generally approximately one year)researched for purposes of establishing margin levels.  The maintenance margin levels are establishedby dealers and exchanges using historical price studies as well as anassessment of current market volatility (including the implied volatility ofthe options on a given futures contract) and economic fundamentals to provide aprobabilistic estimate of the maximum expected near-term one-day pricefluctuation.

10

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

The Fund’s Trading Value at Risk in Different Market Sectors

The following table indicates the average, highest and lowest tradingValue at Risk associated with the Fund’s open positions by market category forthe fiscal period.  For the period April2, 2007 (commencement of operations) to September 30, 2007, the Fund’s averageMonth-end Net Asset Value for all other purposes was approximately $72,196,458.

 
| ** **                | ** ** | **September  30, 2007**     | ** ** |
|---------------------------|------------|-----------------------------|------------|
|                           | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
| **Market Sector**    | ** ** | **Value at Risk** | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                      |       |                        |       |   |   |   |   |   |   |
| Agricultural  Commodities |       | $                           | 418,897    |   | 0.58 | % | $ | 838,236 |   | $ | 32,895 |   |
| Energy                    |       | 188,474                     |       | 0.26 | % | 622,524 |   | 2,880 |   |
| Interest Rates            |       | 12,046,270                  |       | 16.69 | % | 22,724,149 |   | 2,055,678 |   |
| Metals                    |       | 214,911                     |       | 0.30 | % | 494,759 |   | 51,938 |   |
| Stock Futures             |       | 328,120                     |       | 0.45 | % | 637,727 |   | 61,527 |   |
| Stock Indices             |       | 540,182                     |       | 0.75 | % | 1,169,033 |   | 99,185 |   |
| Currencies                |       | 643,482                     |       | 0.89 | % | 1,228,336 |   | 67,021 |   |
|                      |       |                        |       |   |   |   |   |   |   |
| TOTAL                     |       | $                           | 14,380,336 |   | 19.92 | % | $ | 27,714,764 |   | $ | 2,371,124 |   |

 

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 positions createsa “risk of ruin” not typically found in most other investment vehicles.  Because of the size of its positions, certainmarket conditions — unusual, but historically recurring from time to time —could cause the Fund to incur severe losses over a short period of time.   The foregoing Value at Risk table — as wellas the past performance of the Fund — gives no indication of this “risk ofruin.”

**Non-Trading Risk**

Foreign Currency Balances;Cash on Deposit with MLPF&S

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

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

11

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Item4. Controls and Procedures

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

12

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PART II - OTHER INFORMATION

Item1.           LegalProceedings

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

Item2.           UnregisteredSales of Equity Securities and Use of Proceeds

(a) Issuance to accredited investors pursuant toRegulation D and Section 4(6) under the Securities Act.  The selling agent of the following Class ofUnits was MLPF&S.
| **CLASS A** | ** ** | ** **       | ** ** | ** ** | ** ** | ** **       | ** ** |
|------------------|------------|------------------|------------|------------|------------|------------------|------------|
| ** **       | ** ** | **Subscription** | ** ** | ** ** | ** ** |
| ** **       | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Apr-07           |       | —           |       | —     |       | n/a              |       |
| May-07           |       | —           |       | —     |       | n/a              |       |
| Jun-07           |       | —           |       | —     |       | n/a              |       |
| Jul-07           |       | —           |       | —     |       | n/a              |       |
| Aug-07           |       | —           |       | —     |       | n/a              |       |
| Sep-07           |       | $                | 9,750      |       | 9,750      |             | $          | 1.0000 |   |
| Oct-07           |       | —           |       | —     |       | 1.1149           |       |
|                  |            |                  |            |            |            |                  |            |  |  |

 
| **CLASS C** | ** ** | ** **       | ** ** | ** ** | ** ** | ** **       | ** ** |
|------------------|------------|------------------|------------|------------|------------|------------------|------------|
| ** **       | ** ** | **Subscription** | ** ** | ** ** | ** ** |
| ** **       | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Apr-07           |       | —           |       | —     |       | n/a              |       |
| May-07           |       | —           |       | —     |       | n/a              |       |
| Jun-07           |       | —           |       | —     |       | n/a              |       |
| Jul-07           |       | $                | 30,441     |       | 30,441     |             | $          | 1.0000 |   |
| Aug-07           |       | 43,530           |       | 47,673     |       | 0.9131           |       |
| Sep-07           |       | 25,000           |       | 32,890     |       | 0.7601           |       |
| Oct-07           |       | —           |       | —     |       | 0.8467           |       |
|                  |            |                  |            |            |            |                  |            |  |  |

 
| **CLASS D-SM** | ** ** | ** **       | ** ** | ** ** | ** ** | ** **       | ** ** |
|---------------------|------------|------------------|------------|------------|------------|------------------|------------|
| ** **          | ** ** | **Subscription** | ** ** | ** ** | ** ** |
| ** **          | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Apr-07              |       | $                | 12,000,000 |       | 12,000,000 |             | $          | 1.0000 |   |
| May-07              |       | 55,960           |       | 54,304     |       | 1.0305           |       |
| Jun-07              |       | —           |       | —     |       | 1.0850           |       |
| Jul-07              |       | 1,094,676        |       | 990,119    |       | 1.1056           |       |
| Aug-07              |       | 615,438          |       | 607,300    |       | 1.0134           |       |
| Sep-07              |       | 1,682,572        |       | 1,990,503  |       | 0.8453           |       |
| Oct-07              |       | —           |       | —     |       | 0.9436           |       |
|                     |            |                  |            |            |            |                  |            |  |  |

 
| **CLASS D-TF** | ** ** | ** **       | ** **  | ** ** | ** **  | ** **       | ** ** |
|---------------------|------------|------------------|-------------|------------|-------------|------------------|------------|
| ** **          | ** ** | **Subscription** | ** **  | ** ** | ** **  |
| ** **          | ** ** | **Amount**       | ** **  | **Units**  | ** **  | **NAV (1)** | ** ** |
| Apr-07              |       | —           |        | —     |        | n/a              |       |
| May-07              |       | —           |        | —     |        | n/a              |       |
| Jun-07              |       | $                | 116,913,460 |       | 107,754,341 |             | $          | 1.0850 |   |
| Jul-07              |       | —           |        | —     |        | 1.0871           |       |
| Aug-07              |       | 1,553,261        |        | 1,557,154  |        | 0.9975           |       |
| Sep-07              |       | 6,914,103        |        | 8,303,234  |        | 0.8327           |       |
| Oct-07              |       | —           |        | —     |        | 0.9304           |       |
|                     |            |                  |             |            |             |                  |            |  |  |

 
| **CLASS I** | ** ** | ** **       | ** ** | ** ** | ** ** | ** **       | ** ** |
|------------------|------------|------------------|------------|------------|------------|------------------|------------|
| ** **       | ** ** | **Subscription** | ** ** | ** ** | ** ** |
| ** **       | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Apr-07           |       | —           |       | —     |       | n/a              |       |
| May-07           |       | —           |       | —     |       | n/a              |       |
| Jun-07           |       | —           |       | —     |       | n/a              |       |
| Jul-07           |       | $                | 10,000     |       | 10,000     |             | $          | 1.0000 |   |
| Aug-07           |       | —           |       | —     |       | 0.9142           |       |
| Sep-07           |       | —           |       | —     |       | 0.7619           |       |
| Oct-07           |       | —           |       | —     |       | 0.8497           |       |
|                  |            |                  |            |            |            |                  |            |  |  |

----

* Class A commenced on September 1, 2007

** Class C and Class I commenced on July 1, 2007   

*** Class D-TF commenced on June 1, 2007

(1)         Beginning of the monthNet Asset Value for all other purposes.  

(b)   None.

(c)   None.

13

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Item 3.           Defaults Upon SeniorSecurities

None.

Item 4.           Submission of Mattersto a Vote of Security Holders

None.

Item 5.           Other Information

None.

Item 6.           Exhibits

The following exhibits are incorporated by reference or are filed herewithto 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.

14

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**SIGNATURES**

Pursuant to the requirements of the Securities Exchange Act of 1934,the registrant has duly caused this report to be signed on its behalf by theundersigned thereunto duly authorized.
|                         | ML CHESAPEAKE FUTURESACCESS LLC                      |
|-------------------------|------------------------------------------------------|
|                    |                                                 |
|                    |                                                 |
|                    |                                                 |   |
|                    | By: MERRILL  LYNCH ALTERNATIVE                       |   |
|                    |       INVESTMENTS  LLC |   |
|                    | (Manager)                                  |   |
|                    |                                                 |
|                    |                                                 |
| Date: November 14, 2007 | By                                                   | /s/ ROBERT D. OLLWERTHER |   |
|                    |                                                 | Robert D. Ollwerther |
|                    |                                                 | Chief Executive Officer and President |
|                    |                                                 | (Principal Executive Officer) |
|                    |                                                 |   |
|                    |                                                 |   |
| Date: November 14, 2007 |                                                 |   |
|                    | By                                                   | /s/ BARBRA E. KOCSIS |   |
|                    |                                                 | Barbra E. Kocsis |
|                    |                                                 | Chief Financial Officer |
|                    |                                                 | (Principal Financial and Accounting Officer) |
|                         |                                                      |  |  |  |  |

 

15

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