**UNITED STATES SECURITIES AND EXCHANGE COMMISSION**

**Washington, D.C.20549**

 

**FORM 10-Q**

 

**(Mark One)**

 

**x****      QUARTERLYREPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACTOF 1934**

 

**For thequarterly period ended March 31, 2010**

 

**OR**

 

**o****         TRANSITIONREPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACTOF 1934**

 

**For thetransition period from                to                **

 

**CommissionFile Number 0-52384**

 

# **ML TRANSTREND DTP ENHANCEDFUTURESACCESS LLC**

(Exact Name of Registrant as

specified in its charter)

 

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

 

**c/oMerrill Lynch Alternative Investments LLC**

**Four World Financial Center, 6****th**** Floor**

**250 Vesey Street**

**New York, New York 10080**

(Address of principal executive offices)

(Zip Code)

 

**212-449-3517**

(Registrant’s telephone number, including area code)

 

**Two World Financial Center, 7****th**** Floor**

**New York, New York 10281**

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

 

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

 

Indicate by check markwhether the registrant has submitted electronically and posted on its corporatewebsite, if any, every Interactive Data File required to be submitted andposted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter)during the preceding 12 months (or for such shorter period that the registrantwas required to submit and post such files).  Yes o No o

 

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

 

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

 

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

 

Asof March 31, 2010, 171,822,919 units of limited liability company interestwere outstanding.

 

 

 

----

 

**ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC**

 

QUARTERLY REPORT FOR MARCH 31, 2010 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 | 15       |
|         |                                                                                        |     |
| Item 3.      | Quantitative and  Qualitative Disclosures About Market Risk                                 | 21       |
|         |                                                                                        |     |
| Item 4T.     | Controls and  Procedures                                                                    | 25       |
|         |                                                                                        |     |
| PART II |
|         |                                                                                        |     |
| Item 1.      | Legal Proceedings                                                                           | 25       |
|         |                                                                                        |     |
| Item 1A.     | Risk Factors                                                                                | 25       |
|         |                                                                                        |     |
| Item 2.      | Unregistered  Sales of Equity Securities and Use of Proceeds                                | 26       |
|         |                                                                                        |     |
| Item 3.      | Defaults Upon  Senior Securities                                                            | 27       |
|         |                                                                                        |     |
| Item 4.      | (Removed and Reserved)                                                                      | 27       |
|         |                                                                                        |     |
| Item 5.      | Other Information                                                                           | 27       |
|         |                                                                                        |     |
| Item  6.     | Exhibits                                                                                    | 27       |

 

----

 

PART I - FINANCIALINFORMATION

 

Item1.    Financial Statements

 

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OF FINANCIAL CONDITION

(unaudited)

 
| ** **                                                                                                | ** ** | **March 31,** | ** **  | **December 31 ,** | ** ** |
|-----------------------------------------------------------------------------------------------------------|------------|--------------------|-------------|------------------------|------------|
| ** **                                                                                                | ** ** | **2010**           | ** **  | **2009**               | ** ** |
| **ASSETS:**                                                                                               |       |               |        |                   |       |
| Equity in commodity futures trading accounts:                                                             |       |               |        |                   |       |
| Cash (including restricted cash of $48,752,887 for  2010 and $25,737,325 for 2009)                        |       | $                  | 246,655,068 |                   | $          | 236,868,172 |   |
| Net unrealized profit on open contracts                                                                   |       | 19,191,007         |        | 1,146,497              |       |
| Cash and cash equivalents                                                                                 |       | 191,157            |        | 34,980                 |       |
| Other assets                                                                                              |       | 24,905             |        | 22,826                 |       |
|                                                                                                      |       |               |        |                   |       |
| **TOTAL ASSETS**                                                                                          |       | $                  | 266,062,137 |                   | $          | 238,072,475 |   |
|                                                                                                      |       |               |        |                   |       |
| **LIABILITIES AND MEMBERS’ CAPITAL:**                                                                |       |               |        |                   |       |
| LIABILITIES:                                                                                              |       |               |        |                   |       |
| Brokerage commissions payable                                                                             |       | $                  | —      |                   | $          | 68,556 |   |
| Sponsor and Advisory fees payable                                                                         |       | 424,523            |        | 381,285                |       |
| Redemptions payable                                                                                       |       | 13,920,258         |        | 1,523,104              |       |
| Other liabilities                                                                                         |       | 204,287            |        | 198,844                |       |
|                                                                                                      |       |               |        |                   |       |
| Total liabilities                                                                                         |       | 14,549,068         |        | 2,171,789              |       |
|                                                                                                      |       |               |        |                   |       |
| MEMBERS’ CAPITAL:                                                                                    |       |               |        |                   |       |
| Members’ Interest (171,822,919 Units and 171,805,932  Units outstanding; unlimited Units authorized) |       | 251,513,069        |        | 235,900,686            |       |
| Total members’ capital                                                                               |       | 251,513,069        |        | 235,900,686            |       |
|                                                                                                      |       |               |        |                   |       |
| **TOTAL LIABILITIES AND MEMBERS’  CAPITAL**                                                          |       | $                  | 266,062,137 |                   | $          | 238,072,475 |   |
| ** **                                                                                                | ** ** | ** **         | ** **  | ** **             | ** ** |
| **NET ASSET VALUE PER UNIT (SEE NOTE  4)**                                                                |       |               |        |                   |       |

 

See notes to financialstatements.

 

1

----

 

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OF OPERATIONS

(unaudited)

 
| ** **                                   | ** ** | **For the three months  ended** | ** ** | **For the three months  ended** | ** ** |
|----------------------------------------------|------------|---------------------------------|------------|---------------------------------|------------|
| ** **                                   | ** ** | **March 31, 2010**         | ** ** | **March 31, 2009**         | ** ** |
| **TRADING PROFIT (LOSS):**                   | ** ** | ** **                      | ** ** | ** **                      | ** ** |
|                                         |       |                            |       |                            |       |
| Realized, net                                |       | $                               | 224,397    |                            | $          | 1,273,883 |   |
| Change in unrealized, net                    |       | 18,044,510                      |       | (6,678,484                      | )          |
| Brokerage commissions                        |       | (413,130                        | )          | (191,792                        | )          |
|                                         |       |                            |       |                            |       |
| Total trading profit (loss)                  |       | 17,855,777                      |       | (5,596,393                      | )          |
|                                         |       |                            |       |                            |       |
| **INVESTMENT INCOME:**                       |       |                            |       |                            |       |
| Interest                                     |       | (542                            | )          | 16,504                          |       |
|                                         |       |                            |       |                            |       |
| **EXPENSES:**                                |       |                            |       |                            |       |
| Management fee                               |       | 1,074,877                       |       | 891,480                         |       |
| Sponsor fee                                  |       | 107,888                         |       | 98,318                          |       |
| Performance fee                              |       | —                          |       | 326                             |       |
| Other                                        |       | 134,414                         |       | 128,729                         |       |
| Total expenses                               |       | 1,317,179                       |       | 1,118,853                       |       |
|                                         |       |                            |       |                            |       |
| **NET INVESTMENT LOSS**                      |       | (1,317,721                      | )          | (1,102,349                      | )          |
|                                         |       |                            |       |                            |       |
| **NET INCOME (LOSS)**                        |       | $                               | 16,538,056 |                            | $          | (6,698,742 | ) |
|                                         |       |                            |       |                            |       |
| **NET INCOME (LOSS) PER UNIT:**              |       |                            |       |                            |       |
|                                         |       |                            |       |                            |       |
| Weighted average number of Units outstanding |       |                            |       |                            |       |
| Class A                                 |       | 2,329,421                       |       | 1,038,103                       |       |
| Class C                                 |       | 14,474,474                      |       | 11,172,583                      |       |
| Class D                                 |       | 2,000,000                       |       | 978,915                         |       |
| Class I                                 |       | 467,877                         |       | 476,684                         |       |
| Class DS                                |       | 117,925,319                     |       | 71,113,841                      |       |
| Class DT                                |       | 43,255,346                      |       | 50,402,891                      |       |
|                                         |       |                            |       |                            |       |
| Net income (loss) per weighted average Unit  |       |                            |       |                            |       |
| Class A                                 |       | $                               | 0.0700     |                            | $          | (0.0506 | ) |
| Class C                                 |       | $                               | 0.0577     |                            | $          | (0.0501 | ) |
| Class D                                 |       | $                               | 0.0592     |                            | $          | (0.0376 | ) |
| Class I                                 |       | $                               | 0.0585     |                            | $          | (0.0387 | ) |
| Class DS                                |       | $                               | 0.0947     |                            | $          | (0.0518 | ) |
| Class DT                                |       | $                               | 0.0978     |                            | $          | (0.0466 | ) |

 

See notes tofinancial statements.

 

2

----

 

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

For the three months ended March 31, 2010 and2009

(unaudited in Units)

 
| ** **                | ** ** | **Members’ Capital  December 31, 2008** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital  March 31, 2009** | ** ** | **Members’ Capital  December 31, 2009** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital  March 31, 2010** | ** ** |
|---------------------------|------------|-------------------------------------------------------------|------------|-------------------|------------|-----------------|------------|----------------------------------------------------------|------------|-------------------------------------------------------------|------------|-------------------|------------|-----------------|------------|----------------------------------------------------------|------------|
| Class A              |       | 937,456                                                     |       | 174,842           |       | —          |       | 1,112,298                                                |       | 2,271,823                                                   |       | 213,010           |       | (175,723        | )          | 2,309,110                                                |       |
| Class C              |       | 10,398,395                                                  |       | 1,840,409         |       | (781,468        | )          | 11,457,336                                               |       | 14,482,763                                                  |       | 971,941           |       | (2,127,817      | )          | 13,326,887                                               |       |
| Class D              |       | 978,915                                                     |       | —            |       | —          |       | 978,915                                                  |       | 2,000,000                                                   |       | —            |       | —          |       | 2,000,000                                                |       |
| Class I              |       | 780,147                                                     |       | 167,519           |       | (606,592        | )          | 341,074                                                  |       | 502,000                                                     |       | 9,298             |       | (73,703         | )          | 437,595                                                  |       |
| Class DS             |       | 67,285,671                                                  |       | 5,196,197         |       | —          |       | 72,481,868                                               |       | 109,221,404                                                 |       | 10,301,091        |       | (5,896,208      | )          | 113,626,287                                              |       |
| Class DT             |       | 51,421,530                                                  |       | —            |       | (2,903,464      | )          | 48,518,066                                               |       | 43,327,942                                                  |       | 84,676            |       | (3,289,578      | )          | 40,123,040                                               |       |
|                      |       |                                                        |       |              |       |            |       |                                                     |       |                                                        |       |              |       |            |       |                                                     |       |
| Total Members’ Units |       | 131,802,114                                                 |       | 7,378,967         |       | (4,291,524      | )          | 134,889,557                                              |       | 171,805,932                                                 |       | 11,580,016        |       | (11,563,029     | )          | 171,822,919                                              |       |

 

See notes tofinancial statements.

 

3

----

 

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

For the three months ended March 31, 2010 and2009

(unaudited)

 
| ** **                  | ** ** | **Members’ Capital  December 31, 2008** | ** **  | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net Income  (Loss)** | ** ** | **Members’ Capital  March 31, 2009** | ** ** | **Members’ Capital  December 31, 2009** | ** ** | **Subscriptions** | ** **  | **Redemptions** | ** ** | **Net Income  (Loss)** | ** ** | **Members’ Capital  March 31, 2010** | ** ** |
|-----------------------------|------------|-------------------------------------------------------------|-------------|-------------------|------------|-----------------|------------|-----------------------------|------------|----------------------------------------------------------|------------|-------------------------------------------------------------|------------|-------------------|-------------|-----------------|------------|-----------------------------|------------|----------------------------------------------------------|------------|
| Class A                |       | $                                                           | 1,297,666   |              | $          | 241,794         |       | $                           | —     |                                                     | $          | (52,510                                                     | )          | $                 | 1,486,950   |            | $          | 2,598,931                   |       | $                                                        | 233,997    |   | $ | (193,039 | ) | $ | 163,116 |   | $ | 2,803,005 |   |
| Class C                |       | 13,734,797                                                  |        | 2,429,953         |       | (1,026,556      | )          | (559,750                    | )          | 14,578,444                                               |       | 15,651,574                                                  |       | 1,019,138         |        | (2,261,418      | )          | 834,933                     |       | 15,244,227                                               |       |
| Class D                |       | 1,205,010                                                   |        | —            |       | —          |       | (36,796                     | )          | 1,168,214                                                |       | 1,819,381                                                   |       | —            |        | —          |       | 118,434                     |       | 1,937,815                                                |       |
| Class I                |       | 1,069,315                                                   |        | 229,870           |       | (828,980        | )          | (18,466                     | )          | 451,739                                                  |       | 570,784                                                     |       | 9,999             |        | (79,686         | )          | 27,390                      |       | 528,487                                                  |       |
| Class DS               |       | 111,764,376                                                 |        | 8,635,114         |       | —          |       | (3,682,940                  | )          | 116,716,550                                              |       | 152,211,382                                                 |       | 14,032,875        |        | (8,751,742      | )          | 11,165,669                  |       | 168,658,184                                              |       |
| Class DT               |       | 88,263,960                                                  |        | —            |       | (4,973,067      | )          | (2,348,280                  | )          | 80,942,613                                               |       | 63,048,634                                                  |       | 116,743           |        | (5,052,540      | )          | 4,228,514                   |       | 62,341,351                                               |       |
| ** **                  | ** ** | ** **                                                  | ** **  | ** **        | ** ** | ** **      | ** ** | ** **                  | ** ** | ** **                                               | ** ** | ** **                                                  | ** ** | ** **        | ** **  | ** **      | ** ** | ** **                  | ** ** | ** **                                               | ** ** |
| Total Members’ Capital |       | $                                                           | 217,335,124 |              | $          | 11,536,731      |       | $                           | (6,828,603 | )                                                        | $          | (6,698,742                                                  | )          | $                 | 215,344,510 |            | $          | 235,900,686                 |       | $                                                        | 15,412,752 |   | $ | (16,338,425 | ) | $ | 16,538,056 |   | $ | 251,513,069 |   |

 

See notes tofinancial statements.

 

4

----

 

ML TRANSTREND DTPENHANCED FUTURESACCESS LLC

(A DelawareLimited Liability Company)

 

FINANCIAL DATAHIGHLIGHTS

FOR THE THREEMONTHS ENDED MARCH 31, 2010 (unaudited)

 

The following perUnit data and ratios have been derived from information provided in thefinancial statements.

 
| **Per Unit Operating Performance:**                              | ** ** | **Class A** | ** ** | **Class C** | ** ** | **Class D** | ** ** | **Class I** | ** ** | **Class DS** | ** ** | **Class DT** | ** ** |
|------------------------------------------------------------------|------------|------------------|------------|------------------|------------|------------------|------------|------------------|------------|-------------------|------------|-------------------|------------|
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net asset value, beginning of period                             |       | $                | 1.1440     |             | $          | 1.0807           |       | $                | 0.9097     |              | $          | 1.1369            |       | $ | 1.3936 |   | $ | 1.4551 |   |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net Realized and net change in unrealized trading  profit (loss) |       | 0.0823           |       | 0.0776           |       | 0.0657           |       | 0.0819           |       | 0.1007            |       | 0.1054            |       |
| Brokerage commissions                                            |       | (0.0019          | )          | (0.0018          | )          | (0.0015          | )          | (0.0019          | )          | (0.0023           | )          | (0.0024           | )          |
| Interest income                                                  |       | (0.0000          | )          | (0.0000          | )          | (0.0000          | )          | (0.0000          | )          | (0.0000           | )          | (0.0000           | )          |
| Expenses                                                         |       | (0.0105          | )          | (0.0126          | )          | (0.0050          | )          | (0.0092          | )          | (0.0077           | )          | (0.0043           | )          |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net asset value, end of period                                   |       | $                | 1.2139     |             | $          | 1.1439           |       | $                | 0.9689     |              | $          | 1.2077            |       | $ | 1.4843 |   | $ | 1.5538 |   |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| **Total Return: (a)**                                            |       |             |       |             |       |             |       |             |       |              |       |              |       |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Total return before Performance fees                             |       | 6.11             | %          | 5.85             | %          | 6.51             | %          | 6.22             | %          | 6.51              | %          | 6.78              | %          |
| Performance fees                                                 |       | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00              | %          | 0.00              | %          |
| Total return after Performance fees                              |       | 6.11             | %          | 5.85             | %          | 6.51             | %          | 6.22             | %          | 6.51              | %          | 6.78              | %          |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| **Ratios to Average Members’ Capital:**                     |       |             |       |             |       |             |       |             |       |              |       |              |       |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Expenses (excluding Performance fees)                            |       | 0.94             | %          | 1.19             | %          | 0.56             | %          | 0.84             | %          | 0.56              | %          | 0.31              | %          |
| Performance fees                                                 |       | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00              | %          | 0.00              | %          |
| Expenses (including Performance fees)                            |       | 0.94             | %          | 1.19             | %          | 0.56             | %          | 0.84             | %          | 0.56              | %          | 0.31              | %          |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net investment income (loss)                                     |       | -0.94            | %          | -1.19            | %          | -0.56            | %          | -0.84            | %          | -0.56             | %          | -0.31             | %          |

 

----

(a) Thetotal return calculations are based on compounded monthly returns and iscalculated for each class taken as a whole. 

 

Anindividual members’ return may vary from these returns based on timing ofcapital transactions.

 

See notes to financialstatements.

 

5

----

 

ML TRANSTREND DTPENHANCED FUTURESACCESS LLC

(A DelawareLimited Liability Company)

 

FINANCIAL DATAHIGHLIGHTS

FOR THE THREEMONTHS ENDED MARCH 31, 2009 (unaudited)

 

The following perUnit data and ratios have been derived from information provided in thefinancial statements.

 
| **Per Unit Operating Performance:**                              | ** ** | **Class A** | ** ** | **Class C** | ** ** | **Class D** | ** ** | **Class I** | ** ** | **Class DS** | ** ** | **Class DT** | ** ** |
|------------------------------------------------------------------|------------|------------------|------------|------------------|------------|------------------|------------|------------------|------------|-------------------|------------|-------------------|------------|
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net asset value, beginning of period                             |       | 1.3842           |       | 1.3209           |       | 1.2310           |       | 1.3707           |       | 1.6610            |       | 1.7165            |       |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net Realized and net change in unrealized trading  profit (loss) |       | (0.0334          | )          | (0.0318          | )          | (0.0298          | )          | (0.0331          | )          | (0.0402           | )          | (0.0416           | )          |
| Brokerage commissions                                            |       | (0.0012          | )          | (0.0011          | )          | (0.0011          | )          | (0.0012          | )          | (0.0014           | )          | (0.0015           | )          |
| Interest income                                                  |       | 0.0001           |       | 0.0001           |       | 0.0001           |       | 0.0001           |       | 0.0001            |       | 0.0001            |       |
| Expenses                                                         |       | (0.0129          | )          | (0.0157          | )          | (0.0067          | )          | (0.0119          | )          | (0.0092           | )          | (0.0047           | )          |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net asset value, end of period                                   |       | $                | 1.3368     |             | $          | 1.2724           |       | $                | 1.1935     |              | $          | 1.3246            |       | $ | 1.6103 |   | $ | 1.6688 |   |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| **Total Return: (a)**                                            |       |             |       |             |       |             |       |             |       |              |       |              |       |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Total return before Performance fees                             |       | -3.42            | %          | -3.67            | %          | -3.06            | %          | -3.33            | %          | -3.06             | %          | -2.82             | %          |
| Performance fees                                                 |       | -0.01            | %          | -0.01            | %          | 0.00             | %          | -0.05            | %          | 0.00              | %          | 0.00              | %          |
| Total return after Performance fees                              |       | -3.43            | %          | -3.68            | %          | -3.06            | %          | -3.38            | %          | -3.06             | %          | -2.82             | %          |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| **Ratios to Average Members’ Capital:**                     |       |             |       |             |       |             |       |             |       |              |       |              |       |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Expenses (excluding Performance fees)                            |       | 0.93             | %          | 1.18             | %          | 0.56             | %          | 0.83             | %          | 0.56              | %          | 0.31              | %          |
| Performance fees                                                 |       | 0.01             | %          | 0.01             | %          | 0.00             | %          | 0.05             | %          | 0.00              | %          | -0.01             | %          |
| Expenses (including Performance fees)                            |       | 0.94             | %          | 1.19             | %          | 0.56             | %          | 0.88             | %          | 0.56              | %          | 0.30              | %          |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net investment income (loss)                                     |       | -0.93            | %          | -1.18            | %          | -0.55            | %          | -0.87            | %          | -0.55             | %          | -0.29             | %          |
|                                                                  |            |                  |            |                  |            |                  |            |                  |            |                   |            |                   |            |  |  |  |  |  |  |

 

----

(a) Thetotal return calculations are based on compounded monthly returns and iscalculated for each class taken as a whole. 

 

Anindividual members’ return may vary from these returns based on timing ofcapital transactions.

 

See notes tofinancial statements.

 

6

----

 

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

NOTES TO FINANCIALSTATEMENTS

(unaudited)

 

1.     SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

 

ML Transtrend DTP Enhanced FuturesAccess LLC (the “Fund”) was organizedunder the Delaware Limited Liability Company Act on March 8, 2007 andcommenced trading activities on April 2, 2007. The Fund issues new unitsof limited liability company interest (“Units”) at Net Asset Value per Unit(see Item 2 for discussion of net asset value and net asset value per unit forsubscriptions and redemptions purposes hereinafter referred to as Net AssetValue and Net Asset Value per Unit) as of the beginning of each calendar month.The Fund engages in the speculative trading of futures, options on futures andforward contracts on a wide range of commodities. Transtrend B.V. (“Transtrend”)is the Trading Advisor of the Fund (“Trading Advisor”).

 

Merrill Lynch Alternative Investments LLC (“MLAI”) is the sponsor (“Sponsor”)and manager (“Manager”) of the Fund. MLAI is an indirect wholly-ownedsubsidiary of Merrill Lynch & Co., Inc. (“Merrill Lynch”).Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”), awholly-owned subsidiary of Merrill Lynch, is the Fund’s commodity broker. On September 15,2008, Merrill Lynch (or the “Company”) entered into an Agreement and Plan ofMerger (as amended by Amendment No. 1 dated as of October 21, 2008,the “Merger Agreement”) with Bank of America Corporation (“Bank of America”).Pursuant to the Merger Agreement, on January 1, 2009, a wholly-ownedsubsidiary of Bank of America (“Merger Sub”) merged with and into MerrillLynch, with Merrill Lynch continuing as the surviving corporation and asubsidiary of Bank of America (the “Merger”).

 

In the opinion of management,these interim financial statements contain all adjustments, consisting only ofnormal recurring adjustments, necessary for a fair statement of the financialposition of the Fund as of March 31, 2010 and the results of itsoperations for the three months ended March 31, 2010 and 2009.  However, the operating results for theinterim period may not be indicative of the results for the full year.

 

Certaininformation and footnote disclosures normally included in annual financialstatements prepared in accordance with accounting principles generally acceptedin the United States of America (“U.S. GAAP”) have been omitted.  These financial statements should be read inconjunction with the financial statements and notes thereto included in theFund’s Annual Report on Form 10-K filed with the Securities and ExchangeCommission for the period ended December 31, 2009.

 

TheFund offers six Classes of Units:  Class A,Class C, Class D, Class DS, Class DT and Class I.  Each Class of Units, except for Class DToffered at $1.1117, was offered at $1.00 per Unit during the initial offeringperiod and subsequently is offered at Net Asset Value per Unit (see Note4).  The six Classes of Units are subjectto different sponsor fees.

 

7

----

 

Interests in the Fund arenot insured or otherwise protected by the Federal Deposit Insurance Corporationor any other government authority. Interests are not deposits or other obligations of, and are notguaranteed by, Bank of America or any of its affiliates or by any bank.  Interests are subject to investment risks,including the possible loss of the full amount invested.

 

Estimates

 

The preparation offinancial statements in conformity with accounting principles generallyaccepted in the United States of America, U.S. GAAP, requires management tomake estimates 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.

 

8

----

 

2.               CONDENSED SCHEDULE OF INVESTMENTS

 

The Fund’sinvestments, defined as Net unrealized profit (loss) on open contracts on theStatements of Financial Condition, as of March 31, 2010 and December 31,2009, are as follows:

 

**March 31,2010**

 
| ** **                  | ** ** | **Long Positions** | ** ** | **Short Positions**    | ** ** | **Net Unrealized**             | ** ** | ** **         | ** ** | ** **             | ** ** |
|-----------------------------|------------|--------------------|------------|------------------------|------------|--------------------------------|------------|--------------------|------------|------------------------|------------|
| **Commodity Industry** | ** ** | **Number of** | ** ** | **Unrealized**         | ** ** | **Percent of**            | ** ** | **Number of** | ** ** | **Unrealized**         | ** ** | **Percent of** | ** ** | **Profit (Loss)** | ** ** | **Percent of** | ** ** | ** ** | ** ** |
| **Sector**                  | ** ** | **Contracts**      | ** ** | **Profit (Loss)** | ** ** | **Members’ Capital** | ** ** | **Contracts**      | ** ** | **Profit (Loss)** | ** ** | **Members’ Capital** | ** ** | **on Open Positions** | ** ** | **Members’ Capital** | ** ** | **Maturity Dates** | ** ** |
|                        |       |               |       |                   |       |                           |       |               |       |                   |       |   |   |   |   |   |   |   |   |
| Agriculture                 |       | 348                |       | $                      | (133,126   | )                              | -0.05      | %                  | (1,272     | )                      | $          | 1,607,519 |   | 0.64 | % | $ | 1,474,393 |   | 0.59 | % | April 2010 -  December 2010 |   |
| Currencies                  |       | 3,283              |       | 3,093,034              |       | 1.23                           | %          | (1,465             | )          | 1,671,591              |       | 0.66 | % | 4,764,625 |   | 1.89 | % | June 2010 |   |
| Energy                      |       | 723                |       | 1,595,526              |       | 0.64                           | %          | (1,007             | )          | 4,430,860              |       | 1.76 | % | 6,026,386 |   | 2.40 | % | April 2010 -  December 2010 |   |
| Interest rates              |       | 8,160              |       | 2,933,705              |       | 1.17                           | %          | (4,892             | )          | 513,399                |       | 0.20 | % | 3,447,104 |   | 1.37 | % | April 2010 -  March 2013 |   |
| Metals                      |       | 1,053              |       | 5,607,383              |       | 2.23                           | %          | (485               | )          | (4,232,673             | )          | -1.68 | % | 1,374,710 |   | 0.55 | % | April 2010 -  February 2011 |   |
| Stock indices               |       | 4,716              |       | 2,103,789              |       | 0.84                           | %          | —             |       |                   |       | 0.00 | % | 2,103,789 |   | 0.84 | % | April 2010 -  June 2010 |   |
|                        |       |               |       |                   |       |                           |       |               |       |                   |       |   |   |   |   |   |   |   |   |
| Total                       |       |               |       | $                      | 15,200,311 |                           | 6.06       | %                  |       |                   | $          | 3,990,696 |   | 1.58 | % | $ | 19,191,007 |   | 7.64 | % |   |   |

 

**December 31,2009**

 
| ** **                  | ** ** | **Long Positions** | ** ** | **Short Positions**    | ** ** | **Net Unrealized**             | ** ** | ** **         | ** ** | ** **             | ** ** |
|-----------------------------|------------|--------------------|------------|------------------------|------------|--------------------------------|------------|--------------------|------------|------------------------|------------|
| **Commodity Industry** | ** ** | **Number of** | ** ** | **Unrealized**         | ** ** | **Percent of**            | ** ** | **Number of** | ** ** | **Unrealized**         | ** ** | **Percent of** | ** ** | **Profit (Loss)** | ** ** | **Percent of** | ** ** | ** ** | ** ** |
| **Sector**                  | ** ** | **Contracts**      | ** ** | **Profit (Loss)** | ** ** | **Members’ Capital** | ** ** | **Contracts**      | ** ** | **Profit (Loss)** | ** ** | **Members’ Capital** | ** ** | **on Open Positions** | ** ** | **Members’ Capital** | ** ** | **Maturity Dates** | ** ** |
|                        |       |               |       |                   |       |                           |       |               |       |                   |       |   |   |   |   |   |   |   |   |
| Agriculture                 |       | 675                |       | $                      | 512,058    |                           | 0.22       | %                  | (292       | )                      | $          | (132,212 | ) | -0.06 | % | $ | 379,846 |   | 0.16 | % | February 10 -  December 10 |   |
| Currencies                  |       | 1,308              |       | (670,422               | )          | -0.28                          | %          | (854               | )          | 1,521,277              |       | 0.64 | % | 850,855 |   | 0.36 | % | April 10 |   |
| Energy                      |       | 494                |       | (135,491               | )          | -0.06                          | %          | (67                | )          | (277,177               | )          | -0.12 | % | (412,668 | ) | -0.17 | % | February 10 -  December 10 |   |
| Interest rates              |       | 4,183              |       | (1,938,988             | )          | -0.82                          | %          | (1,837             | )          | 429,159                |       | 0.18 | % | (1,509,829 | ) | -0.64 | % | March 10 -  December 12 |   |
| Metals                      |       | 759                |       | 3,324,393              |       | 1.41                           | %          | (376               | )          | (3,024,951             | )          | -1.28 | % | 299,442 |   | 0.13 | % | January 10 -  April 10 |   |
| Stock indices               |       | 2,214              |       | 1,538,851              |       | 0.65                           | %          | —             |       | —                 |       | 0.00 | % | 1,538,851 |   | 0.65 | % | January 10 -  March 10 |   |
|                        |       |               |       |                   |       |                           |       |               |       |                   |       |   |   |   |   |   |   |   |   |
| Total                       |       |               |       | $                      | 2,630,401  |                           | 1.12       | %                  |       |                   | $          | (1,483,904 | ) | -0.63 | % | $ | 1,146,497 |   | 0.49 | % |   |   |

 

No individual contract’s unrealized profit or losscomprised greater than 5% of the Partners’ Capital as of March 31, 2010and December 31, 2009.

 

9

----

 

3.     FAIR VALUE OF INVESTMENTS

 

TheFinancial Accounting Standards Board (“FASB”) issued the Accounting StandardsCodification (“ASC”) which provides authoritative guidance on fair value measurement.This guidance defines fair value, establishes a framework for measuring fairvalue and expands disclosures about fair value measurements.

 

Fair value of an investmentis the amount that would be received to sell the investment in an orderlytransaction between market participants at the measurement date (i.e. the exitprice). All investments (including derivative financialinstruments and derivative commodity instruments) are held for tradingpurposes.  The investments are recordedon trade date and open contracts are recorded at fair value (described below)at the measurement date. Investments denominated in foreign currencies aretranslated into U.S. dollars at the exchange rates prevailing at themeasurement date.  Gains or losses arerealized when contracts are liquidated. Unrealized gains or losses on open contracts are included in Equity incommodity futures trading account.  Anychange in net unrealized gain or loss from the preceding period is reported inthe Statements of Operations.

 

Thefair value measurement guidance established a hierarchal disclosure frameworkwhich prioritizes and ranks the level of market price observability used inmeasuring investments at fair value. Market price observability is impacted bya number of factors, including the type of investment and the characteristicsspecific to the investment. Investments with readily available active quotedprices or for which fair value can be measured from actively quoted pricesgenerally will have a higher degree of market price observability and a lesserdegree of judgment used in measuring fair 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 the fair market value measurement guidance,the Fund does not adjust the quoted price for these investments even insituations where the Fund holds a large position and a sale could reasonablyimpact 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 generally accepted and understood modelsor other valuation methodologies. Investments which are generally included inthis category are investments valued 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 nature of the investment, localmarket conditions, trading values on public exchanges for comparablesecurities, current and projected operating performance and financingtransactions subsequent to the acquisition of the investment. The inputs intothe determination of fair value require significant management judgment. Due tothe inherent uncertainty of these estimates, these values may differ materiallyfrom the values that would have been used had a ready market for theseinvestments existed.

 

In certain cases, the inputs used to measure fair value may fall intodifferent levels of the fair value hierarchy. In such cases, an investment’slevel within the fair value hierarchy is based on the lowest level of inputthat is significant to the Fair Value Measurement. MLAI’s assessment of thesignificance of a particular input to the Fair Value Measurement in itsentirety requires judgment, and considers factors specific to the investment.

 

10

----

 

Following is a descriptionof the valuation methodologies used for investments, as well as the generalclassification of such investments pursuant to the valuation hierarchy.

 

Exchange traded investmentsare fair valued by the Fund by using the reported closing price on the primaryexchange where it trades such investments. These closing prices are observed through the clearing broker and thirdparty pricing services. For non-exchange traded investments, quoted values andother data provided by nationally recognized independent pricing sources areused as inputs into its process for determining fair values.

 

The independent pricingsources obtain market quotations and actual transaction prices for securitiesthat have quoted prices in active markets. Each source has its own proprietarymethod for determining the fair value of securities that are not activelytraded. In general, these methods involve the use of “matrix pricing” in whichthe independent pricing source uses observable market inputs including, but notlimited to, investment yields, credit risks and spreads, benchmarking of likesecurities, broker-dealer quotes, reported trades and sector groupings todetermine a reasonable fair market value.

 

The Fund has determined thatLevel I securities would include all of its futures and options contracts whereit believes that quoted prices are available in an active market.

 

Where the Fund believes thatquoted market prices are not available or that the market is not active, fairvalues are estimated by using quoted prices of securities with similarcharacteristics, pricing models or matrix pricing and these are generallyclassified as Level II securities. The Fund determined that Level II securitieswould include its forward contracts.

 

TheFund’s net unrealized profit (loss) on open forward and futures contracts as ofMarch 31, 2010, and December 31, 2009 are as follows:

 

March 31, 2010

 
| ** ** | ** ** | **Unrealized Long Positions** | ** ** | **Unrealized Short Positions** | ** ** | **Total** | ** ** |
|------------|------------|-------------------------------|------------|--------------------------------|------------|-----------|------------|
| Futures    |       | $                             | 15,200,311 |                           | $          | 3,990,696 |       | $ | 19,191,007 |   |
| Total      |       | 15,200,311                    |       | 3,990,696                      |       | $         | 19,191,007 |   |
|            |            |                               |            |                                |            |           |            |  |  |  |

 

December 31, 2009

 
| ** ** | ** ** | **Unrealized Long Positions** | ** ** | **Unrealized Short Positions** | ** ** | **Total**  | ** ** |
|------------|------------|-------------------------------|------------|--------------------------------|------------|------------|------------|
| Futures    |       | $                             | 2,630,401  |                           | $          | (1,483,904 | )          | $ | 1,146,497 |   |
| Total      |       | $                             | 2,630,401  |                           | $          | (1,483,904 | )          | $ | 1,146,497 |   |

 

The Fund’s volumeof trading forward and futures as of the quarter and year ended March 31,2010 and December 31, 2009, respectively are representative of theactivity throughout these periods.

 

The following table summarizes the valuation of the Fund’s investmentsby the above fair value hierarchy levels as of March 31, 2010 and December 31,2009:

 
| **Net unrealized**     | ** ** | ** ** | ** ** | ** **  | ** ** | ** **   | ** ** | ** **    | ** ** |
|------------------------|------------|------------|------------|-------------|------------|--------------|------------|---------------|------------|
| **profit (loss)**      | ** ** | ** ** | ** ** | ** **  | ** ** | ** **   | ** ** | ** **    | ** ** |
| **on open contracts**  | ** ** | **Total**  | ** ** | **Level I** | ** ** | **Level II** | ** ** | **Level III** | ** ** |
|                   |       |       |       |        |       |         |       |          |       |
| March 31, 2010    |       | $          | 19,191,007 |        | $          | 18,337,367   |       | $             | 853,640    |   | $ | — |   |
| December 31, 2009 |       | $          | 1,146,497  |        | $          | 617,693      |       | $             | 528,804    |   | $ | — |   |

 

There were no significanttransfers to or from Level I or II during the quarter ended March 31,2010.

 

11

----

 

The Fund engages in the speculative trading of futures, options onfutures and forward contracts on a wide range of commodities. Such contractsmeet the definition of a derivative as noted in the guidance for derivatives and hedging activities.The fair value amounts of and the gains and losses on derivative instruments isdisclosed in the Statements of Financial Condition and Statements ofOperations, respectively. There are no credit related contingent featuresembedded in these derivative contracts.

 

The followingtable indicates the trading gains and losses, by commodity industry sector onderivative instruments for each of the three month periods ended March 31,2010 and 2009:

 
| ** **                    | ** ** | **For the three months ended** | ** ** | **For the three months ended** | ** ** |
|-------------------------------|------------|--------------------------------|------------|--------------------------------|------------|
| ** **                    | ** ** | **March 31, 2010**        | ** ** | **March 31, 2009**        | ** ** |
| **Commodity Industry Sector** | ** ** | **Gain (loss) from trading**   | ** ** | **Gain (loss) from trading**   | ** ** |
|                          |       |                           |       |                           |       |
| Agriculture                   |       | 41,027                         |       | $                              | (2,230,993 | ) |
| Currencies                    |       | 6,505,908                      |       | (1,176,875                     | )          |
| Energy                        |       | 5,668,384                      |       | 2,748,630                      |       |
| Interest rates                |       | 5,804,484                      |       | (3,239,336                     | )          |
| Metals                        |       | 226,488                        |       | (495,301                       | )          |
| Stock indices                 |       | 22,616                         |       | (1,010,726                     | )          |
|                          |       |                           |       |                           |       |
| Total                         |       | $                              | 18,268,907 |                           | $          | (5,404,601 | ) |
|                               |            |                                |            |                                |            |  |  |

 

The Fund is subject to the risk of insolvency of a counterparty, anexchange, a clearinghouse or MLPF&S. Fund assets could be lost or impounded during lengthy bankruptcyproceedings.  Were a substantial portionof the Fund’s capital tied up in a bankruptcy or other similar types ofproceedings, MLAI might suspend or limit trading, perhaps causing the Fund tomiss significant profit opportunities. There are increased risks in dealing with unregulated tradingcounterparties including the risk that assets may not benefit from theprotection afforded to “customer funds” deposited with regulated dealers andbrokers.

 

4.     NET ASSET VALUE PER UNIT

 

The Net AssetValue per Unit of the different Classes at March 31, 2010 and December 31,2009 are as follows:

 

March 31,2010

 
| **Net Asset Value** |   |
|---------------------|--------|
| Class A        |   | $ | 1.2139 |   |
| Class C        |   | 1.1439 |   |
| Class D        |   | 0.9689 |   |
| Class I        |   | 1.2077 |   |
| Class DS       |   | 1.4843 |   |
| Class DT       |   | 1.5538 |   |
|                     |        |  |  |  |

 

December 31, 2009

 
| **Net Asset Value** | ** ** |
|---------------------|------------|
| Class A        |       | $ | 1.1440 |   |
| Class C        |       | 1.0807 |   |
| Class D        |       | 0.9097 |   |
| Class I        |       | 1.1369 |   |
| Class DS       |       | 1.3936 |   |
| Class DT       |       | 1.4551 |   |
|                     |            |  |  |  |

 

12

----

 

5.     MARKET AND CREDIT RISKS

 

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

 

Market Risk

 

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

 

MLAI hasprocedures in place intended to control market risk exposure, although therecan be no assurance that they will, in fact, succeed in doing so.  These procedures focus primarily onmonitoring the trading of Transtrend, calculating the Net Asset Value of the Fundas of the 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 Transtrend 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 Transtrend.

 

Credit Risk

 

The risks associatedwith exchange-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 riskassociated with these instruments from counterparty nonperformance is the netunrealized profit on open contracts, if any, included in the Statements ofFinancial Condition. The Fund attempts to mitigate this risk by dealingexclusively with Merrill Lynch entities as clearing brokers.

 

The Fund, in its normal course of business, entersinto various contracts, with MLPF&S acting as its commodity broker.  Pursuant to the brokerage arrangement withMLPF&S (which includes a netting arrangement), to the extent that suchtrading results in receivables from and payables to MLPF&S, thesereceivables and payables are offset and reported as a net receivable or payableand included in Equity in commodity futures trading accounts in the Statementsof Financial Condition.

 

13

----

 

Indemnifications

 

In the normalcourse of business, the Fund has entered, or may in the future enter intoagreements that obligate the Fund to indemnify third parties, includingaffiliates of the Fund, for breach of certain representations and warrantiesmade by the Fund. No claims have actually been made with respect to suchindemnities and any quantification would involve hypothetical claims that havenot been made. Based on the Fund’s experience, MLAI expected the risk of loss tobe remote and, therefore, no provision has been recorded.

 

6.     RECENT ACCOUNTING PRONOUNCEMENTS

 

In January 2010, the FASB issued an update to the fair valuemeasurements disclosure. Pursuant to this update, additional disclosures in thefinancial statements relating to transfers in and out of Levels 1 and 2 fairvalue measurements and separate disclosure of purchases, sales, issuances, andsettlements in Level 3 roll forward, will be required. In addition, this updateprovides clarifications on i) the level of aggregation of classes of assets andliabilities disclosed in the fair value measurement disclosures and ii)disclosures relating to the inputs and valuation techniques for Level 2 andLevel 3 fair value measurements. The new disclosures and clarifications ofexisting disclosures are effective for annual reporting periods beginning afterDecember 15, 2009, except for the disclosures about purchases, sales,issuances, and settlements in the Level 3 roll forward which are effective forfiscal years beginning after December 15, 2010. This update furtherenhances the fair value disclosures and the Sponsor has determined that theadoption of this update on January 1, 2010, did not have a material impactto the Fund’s financial statements.

 

7.     SUBSEQUENT EVENTS

 

Managementhas evaluated the impact of subsequent events on the Fund and has determinedthat there were no subsequent events that require adjustments to, or disclosurein, the financial statements.

 

14

----

 

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

 

MONTH-END NET ASSET VALUE PER UNIT

 

MLAI believes thatthe Net Asset Value used to calculate subscription and redemption value and toreport performance to investors throughout the period is a useful performancemeasure for the investors of the Fund. Therefore, the charts below referencingNet Asset Value and performance measurements are based on the Net Asset Valuefor financial reporting purposes as discussed in Note 4 to the financialstatements.

 

The Fund calculates the Net Asset Value per unitof each class of units as of the close of business on the last business day ofeach calendar month and such other dates as MLAI may determine in itsdiscretion. The Fund’s “Net Asset Value” as of any calculation date willgenerally equal the value of the Fund’s account under the management of itstrading advisor as of such date, plus any other assets held by the Fund, minusaccrued brokerage commissions, sponsor’s, management and performance fees,organizational expense amortization and any operating costs and otherliabilities of the Fund.  MLAI isauthorized to make all net asset value determinations.

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS A

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|
| 2009       |       | $        | 1.3808     |     | $          | 1.3886   |       | $ | 1.3368 |   |
| 2010       |       | $        | 1.0816     |     | $          | 1.0975   |       | $ | 1.2139 |   |

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS C

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|
| 2009       |       | $        | 1.3165     |     | $          | 1.3228   |       | $ | 1.2724 |   |
| 2010       |       | $        | 1.0209     |     | $          | 1.0351   |       | $ | 1.1439 |   |

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS D

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|
| 2009       |       | $        | 1.2296     |     | $          | 1.2380   |       | $ | 1.1935 |   |
| 2010       |       | $        | 0.8612     |     | $          | 0.8749   |       | $ | 0.9689 |   |

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS I

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|
| 2009       |       | $        | 1.3678     |     | $          | 1.3760   |       | $ | 1.3246 |   |
| 2010       |       | $        | 1.0754     |     | $          | 1.0915   |       | $ | 1.2077 |   |

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS DS

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|
| 2009       |       | $        | 1.6591     |     | $          | 1.6705   |       | $ | 1.6103 |   |
| 2010       |       | $        | 1.3193     |     | $          | 1.3403   |       | $ | 1.4843 |   |

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS DT

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|
| 2009       |       | $        | 1.7163     |     | $          | 1.7296   |       | $ | 1.6688 |   |
| 2010       |       | $        | 1.3787     |     | $          | 1.4019   |       | $ | 1.5538 |   |

 

15

----

 

Liquidity and Capital Resources

 

The Fund does not engage in the sale of goods orservices.  The Fund’s assets are its (i) equityin its trading account, consisting of cash and cash equivalents and (ii) interestreceivable. Because of the low margin deposits normally required in commodityfutures trading relatively small price movements may result in substantiallosses to the Fund.  While substantiallosses could lead to a material decrease in liquidity, no such material lossesoccurred during the first quarter of 2010 and there was no impact on the Fund’sliquidity.

 

The Fund’s capital consists of the capitalcontributions of the members as increased or decreased by gains or losses ontrading, expenses, interest income, redemptions of Redeemable Units anddistributions of profits, if any.

 

For the three months ended March 31, 2010, Fundcapital increased 6.62% from $235,900,686 to $251,513,069.  This increase was attributable to the netgain from operations of $16,538,056, coupled with the redemption of 11,563,029Redeemable Units resulting in an outflow of $16,338,425.  The cash outflow was offset with cash inflowof $15,412,752 due to subscription of 11,580,016 units.  Future redemptions could impact the amount offunds available for investment in commodity contract positions in subsequentmonths.

 

Critical Accounting Policies

 

Statement of Cash Flows

 

The Fund is not required to provide a Statement ofCash Flows.

 

Investments

 

All investments (including derivatives) are held fortrading purposes.  Investments arerecorded on trade date and open contracts are recorded at fair value (asdescribed below) at the measurement date. Investments denominated in foreign currencies are translated into U.S.dollars at the exchange rates prevailing at the measurement date.  Gains or losses are realized when contractsare liquidated.  Unrealized gains orlosses on open contracts are included as a component of equity in tradingaccount on the Statements of Financial Condition.  Realized gains or losses and any change innet unrealized gains or losses from the preceding period are reported in theStatements of Operations and Statements of Members’ Capital.

 

Cashand Cash Equivalents

 

The Fund considered all highly liquid investments, with a maturity ofthree months or less when acquired, to be cash equivalents. Cash equivalentswere recorded at amortized cost which approximated fair value (Level II seeNote 3).  Cash was held at a nationally recognized financial institution.

 

Fair Value Measurements

 

Fair value is defined as the price that would bereceived to sell an asset or paid to transfer a liability in an orderlytransaction between market participants at the measurement date.  The Fund did not apply the deferral allowedfor nonfinancial assets and nonfinancial liabilities measured at fair value ona nonrecurring basis. For more information on our fair value, see Note 3, FairValue of Investments.

 

16

----

 

Futures Contracts

 

The Fund trades futures contracts.  A futures contract is a firm commitment tobuy or sell a specified quantity of investments, currency or a standardizedamount of a deliverable grade commodity, at a specified price on a specifiedfuture date, unless the contract is closed before the delivery date or if thedelivery quantity is something where physical delivery cannot occur (such asS&P 500 Index), whereby such contract is settled in cash.  Payments (“variation margin”) may be made orreceived by the Fund each business day, depending on the daily fluctuations inthe value of the underlying contracts, and are recorded as unrealized gains orlosses by the Fund.  When the contract isclosed, the Fund records a realized gain or loss equal to the differencebetween the value of the contract at the time it was opened and the value atthe time it was closed.  Becausetransactions in futures contracts require participants to make both initialmargin deposits of cash or other assets and variation margin deposits, throughthe futures broker, directly with the exchange on which the contracts aretraded, credit exposure is limited. Realized gains (losses) and changes in unrealized gains (losses) onfutures contracts are included in the Statements of Operations and Statementsof Changes in Members’ Capital.

 

Forward Foreign Currency Contracts

 

Foreign currency contracts are those contracts wherethe Fund agrees to receive or deliver a fixed quantity of foreign currency foran agreed-upon price on an agreed future date. Foreign currency contracts are valued daily, and the Fund’s net equitytherein, representing unrealized gain or loss on the contracts as measured bythe difference between the forward foreign exchange rates at the dates of entryinto the contracts and the forward rates at the reporting date, is included inthe Statements of Financial Condition. Realized gains (losses) and changes in unrealized gains (losses) on foreigncurrency contracts are recognized in the period in which the contract is closedor the changes occur, respectively and are included in the Statement ofOperations and Statement of Changes in Members’ Capital.

 

Interest Rates and Income

 

The Fund currently earns interest based on the prevailingFed Funds rate plus a spread for short cash positions and minus a spread forlong cash positions. The current short term interest rates have remainedextremely low when compared with historical rates and thus has contributednegligible amounts to overall Fund performance.

 

Income Taxes

 

No provision for income taxes has been made in the accompanyingfinancial statements as the Member is individually responsible for reportingincome or loss based on such Member’s share of the Fund’s income and expensesas reported for income tax purposes.

 

The Fund follows the ASC guidance on accounting foruncertainty in income taxes.  Thisguidance provides how uncertain tax positions should be recognized, measured,presented and disclosed in the financial statements.  This guidance also requires the evaluation oftax positions taken or expected to be taken in the course of preparing the Fund’sfinancial statements to determine whether the tax positions are “more-likely-than-not”to be sustained by the applicable tax authority.  Tax positions with respect to tax at the Fundlevel not deemed to meet the “more-likely-than-not” threshold would be recordedas a tax benefit or expense in the current year.  MLAI has analyzed the Fund’s tax positionsand has concluded that no provision for income tax is required in the Fund’sfinancial statements. The following are the major tax jurisdictions for theFund and the earliest tax year subject to examination: United States – 2007.

 

17

----

 

Results of Operations

 

January 1, 2010 through March 31, 2010

 

The Fund experienced a net trading profit beforebrokerage commissions and related fees of $18,268,907 for the first quarter of2010.  The profits were primarilyattributable to the Fund trading in currencies, interest rates, energy, metals,agriculture and stock indices sectors.

 

Thecurrency sector posted profits to the Fund. Losses were posted to the Fund atthe beginning of the first quarter as sales in Japanese yen versus variouscommodity-linked currencies performed badly due to the fall in commodityprices. The U.S. dollar unexpectedly appreciated against numerous othercurrencies and on balance this also delivered a negative contribution. Eurosales against the Russian ruble, the Turkish lira, the Mexican peso and theAustralian dollar were however successful which was not enough to offsetlosses. The financial crisis in Greece and other Southern European countriespressed heavily on the euro in February. Therefore, sales of the euro againstthe Russian ruble, the Japanese yen, the Mexican peso and the Australian dollarresulted in profits being posted to the Fund in the middle of the quarter. TheUnited Kingdom also had to face financial problems and sales in the Britishpound also resulted in profits being posted to the Fund. Positions in theCanadian dollar against the Japanese yen produced losses for the Fund which wasnot enough to offset profits. The search in the interest rate markets,resulting in different choices in different countries, ensured for many goodtrends in the currency markets. In particular, profits were achieved throughthe strength of the Mexican peso, the Canadian and Australian dollars, theSouth African rand and the Russian ruble. Many Asian currencies, such as thosefrom Indonesia, Malaysia, India and the Philippines, also performed very well.The quarter ended with profits being posted to the Fund.

 

Theinterest rate sector posted profits to the Fund.  During the month of January, interest ratesfell in both Europe and the United States. The sector was positioned correctlyexpecting lower interest rates in the United Kingdom, Germany and the UnitedStates which resulted in profits being posted to the Fund at the beginning ofthe first quarter. Increasing concerns about various economies in Europeresulted in European money market interest rates dropping during the month ofFebruary. The sector was positioned correctly anticipating declining interestrates and a flatter yield curve in Europe resulting in profits being posted tothe Fund in the middle of the quarter. The global interest rate markets weredominated by a political quest to find the right balance. On the one hand, thequest was to stimulate the economy with low interest rates but with risingbudget deficits; on the other hand, the quest was to strive to prevent newbubbles and implement (forced) tighter budget policy. Where this pursuitpointed to a certain direction, as in South Korea, Australia and Italy, gainswere earned from the resulting trends. Elsewhere, the outcome was a variety oflimited losses resulting in losses being posted to the Fund at the end of thequarter.

 

Theenergy sector posted profits to the Fund. Purchases of crude oil, gasoline,heating oil and gas oil all lost money after prices fell due to less favorableeconomic outlooks. Therefore, losses were posted to the Fund at the beginningof the quarter. Most energy market prices turned mid-February, so losses werefelt on short positions in crude oil, gasoil and gasoline. Natural gas pricesdid however continue falling so short positions here earned good results butnot enough to offset losses being posted to the Fund in the middle of thequarter. Significantly lower electricity prices were seen in March and,associated with this, a decline in gas prices. On the opposite side, prices ofcrude oil and its derivatives in fact rose resulting in profits being posted tothe Fund at the end of the quarter.

 

Themetals sector posted profits to the Fund. Various metal prices depreciated in January which led to losses onlong positions in copper, aluminum and silver resulting in losses being postedto the Fund. Gold purchases were profitable but not enough to offset lossesbeing posted to the Fund in the middle of the quarter. The commodity marketsexperienced a variety of different trends with base metals prices increasingresulting in profits. The quarter ended with profits being posted to the Fund

 

18

----

 

Theagriculture sector posted profits to the Fund. Profits were posted to the Fundat the beginning of the quarter. Long positions in corn performeddisappointingly due to corn prices collapsing after it became known that theUnited States corn harvest in 2009 was higher than expected. These losses werepartially compensated through gains earned with soybeans and wheat sales. Withsugar prices continuing their rise in January, long positions were profitable.The increase in sugar prices came to an end in early February and existinglong positions notably suffered. Short positions in soybeans also yielded aloss resulting in losses being posted to the Fund in the middle of the quarter.The commodity markets experienced a variety of different trends. Also, basemetals and cattle prices increased, while the grain markets weakened. Throughthis mixture of trends and their diversifying character, the agriculture sectorposted profits to the Fund at the end of the quarter.

 

Stock indices posted profits to the Fund.  The stock markets continuedtheir way upwards during the first days of 2010. The enthusiasm did waver afterPresident Obama announced that banks’ abilities to take on risk would berestricted. A sizable correction followed, so profits already earned in severalindices evaporated. The losses suffered were especially felt in Australia,South Korea, Hong Kong and Canada. The sector closed with losses being postedto the Fund in January. During the first few days of February the stockmarkets fell further, but then recovered and stabilized. Small losses wereposted to the Fund with positions in the Australian, Swedish and Turkishindices. On the contrary, sales in the Italian index produced a small profit.In general there seemed to be a lack of clear trends in this sector whichresulted in losses being posted to the Fund in the middle of the quarter. Thereturning confidence in a recovering global economy was accompanied by gentlyrising equity markets and a falling expected volatility. Profits were posted tothe Fund through purchases in particular in the United States, Canada, Mexico,Japan, Thailand, Malaysia, Sweden, Hungary, Switzerland, United Kingdom,Germany and several European sector indices. Also, selling positions in thevolatility index generated gains. The quarter ended with profits being postedto the Fund.

 

January 1, 2009 through March 31, 2009

 

The Fund experienced a net trading loss beforebrokerage commissions and related fees in the first quarter of 2009 of$5,404,601.  Losses were primarilyattributable to the Fund’s energy sector posting gains while the metals, stockindices, currencies, agriculture and interest rate sectors posted losses.

 

Theenergy sector posted profits for the Fund. Natural gas prices trended downwardsat the beginning of the quarter which the Fund took advantage of throughvarious short positions resulting in profits being posted for the Fund. Profitscontinued to be posted to the Fund in the middle of the quarter mainly earnedby natural gas and heating oil sales. Disappointing results from heating oilsales were more than compensated for through profits being posted to Fund atthe end of the quarter resulting from natural gas sales.

 

Themetals sector posted losses for the Fund. Sales in precious and base metalswere basically uneventful except for aluminum which returned profits for theFund at the beginning of the quarter. Profits were posted to the Fund in themiddle of the quarter due to long positions in gold as investors were buyinggold in mass due to their waning confidence in the financial system pushing pricesupwards. The quarter ended with losses being posted to the Fund as previoussales of lead and zinc had negative results. Also, the price of gold could nothold its upward trend which led to additional losses.

 

Stockindices posted losses for the Fund. Profits were posted to the Fund at the beginning of the quarter. Newoptimism almost let the stock markets stage a recovery, but too much doubtstill persisted. These mixed sentiments and its translation to the markets wasnot an ideal environment for clear trends to 

 

19

----

 

flourish.Many existing positions remained short but, along with some new shortpositions, did not produce any noteworthy results. Profits were posted to theFund in the middle of the quarter due to various short positions, especially inEurope. The main contributions came from Spain, Italy and Poland. Due tovolatility in the markets losses were posted to the Fund at the end of thequarter. A sale in the pan-European utilities index added to the gains, while alosing position in Sweden was the only exception in Europe. Losses in Taiwanwere more than compensated by profits in Australia and South Africa. Afterreaching new lows during the first few days of March, the stock markets showeda strong recovery. Sales in both geographic and industry orientated indiceslost money. The poorest performers were China, South Korea, South Africa andAustralia.

 

Thecurrency sector posted losses for the Fund. Losses were posted to the Fund atthe beginning of the quarter. Shortly after the year started, several trendreversals were seen as the U.S. dollar strengthened against various currencies.Some of these movements hurt existing positions, such as long positions inSouth African rand versus the U.S. dollar and the euro plus a long position inthe Turkish lira against the U.S. dollar. The Canadian dollar showed some extra strength in the beginning of January asit followed crude oil prices upwards. This had a negative impact on Canadiandollar sales versus the U.S. dollar and the euro. The Russian government triedto control the ruble’s depreciation during the month of January month byexpanding its basket trading band but the currency still fell faster thandesired. Therefore, ruble sales and also Hungarian forint sales, due to theEastern European currencies still being associated with Russia, earned profitsversus the euro.  Profits were posted tothe Fund in the middle of the quarter. The weakness of the Swedish crown wastaken advantage of through sales versus the Norwegian crown and the U.S.dollar. Emerging market currencies also felt pressure as sales in the Taiwanand Singapore dollars and the Colombian peso were also profitable for the Fund.The U.S. dollar appreciated against the currencies of the more developedcountries with various positions earning gains as a consequence. The announcedquantitative easing in the United States abruptly ended the upward march of theU.S. dollar. This movement was the most important cause of the losses being postedto the Fund at the end of the quarter. Purchases of U.S. dollars versus variousemerging and developed currencies suddenly dropped. Euros sold against HongKong dollars did not deliver the desired result posting losses for the Fund.Sales of Turkish lira against euros, together with purchases of South Africanrand versus various other currencies proved to be the top positive exceptionswhich were not enough to offset the losses posted to the Fund.

 

Theagriculture sector posted losses for the Fund. Losses were posted to the Fundat the beginning of the quarter due to volatility in the markets. Profits wereposted to the Fund in the middle of the quarter. The Fund profited from thedownward trends in wheat and soybeans. Sugar was one of the few commoditieswhich ended the month higher which played out well for purchased positions. Thequarter ended with losses being posted to the Fund. The financial marketrecovery, the weakening U.S. dollar and unrest amongst farmers in Argentina, animportant agro-exporter, were the right ingredients for a turnaround in grainprices. Short positions in soybeans, soybean meal, corn and wheat sufferedlosses. Prices of gold and sugar could not hold their upward trend which led toadditional losses being posted to the Fund.

 

Theinterest rate sector posted losses for the Fund. Losses were posted for theFund at the beginning of the quarter. The interest rate markets looked to befollowing on from last year with their upward trends. However, considerationsthat the crisis was perhaps moving a step closer to being under controlreversed these movements. Long capital market positions in Japan, UnitedKingdom, United States and Canada all suffered losses. Short positions inEurope also failed to add gains. Losses were posted to the Fund in the middleof the quarter. Downward pressure was placed on rates due to the somber outlookof the economy. On the other hand, upward pressure was put on rates due toserious questions being asked about the expensive financing plans of governmentsand their negative implications. A purchase of South Korean government debtgenerated a loss plus various positions in the British money market also didnot bring the desired result. Losses were posted to the Fund at the end of thequarter. Although the market had considered an announcement of the U.S. FederalReserve to use quantitative easing was still a surprise when they announced it.Interest rate markets reacted heavily whereby positions counting on 

 

20

----

 

lowerrates in Europe than in the U.S. suffered losses. Purchases of government debtin Germany, Japan and South Korea booked a negative result and positions inAustralia also posted losses for the Fund.

 

The Fund has noapplicable off-balance sheet arrangements or tabular disclosure of contractualobligations of the type described in Items 303(a)(4) and 303(a)(5) ofRegulation S-K.

 

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 the recurrencein 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 fair value accounting, anyloss in the fair value of the Fund’s open positions is directly reflected inthe 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).

 

Maintenance margin requirements have been used by theFund as the measure of its Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceedthe maximum loss in the fair value of any given contract incurred in 95%-99% ofthe one-day time periods included in the historical sample (generallyapproximately one year) researched for purposes of establishing marginlevels.  The maintenance margin levelsare established by dealers and exchanges using historical price studies as well

 

21

----

 

as an assessment of current market volatility(including the implied volatility of the options on a given futures contract)and economic fundamentals to provide a probabilistic estimate of the maximumexpected near-term one-day price fluctuation.

 

In the case 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 following table indicates the average, highest andlowest trading Value at Risk associated with the Fund’s open positions bymarket category for the fiscal period. For the three months ended March 31,2010 and 2009 the Fund’s average Month-end Net Asset Value for all otherpurposes was $218,273,721

and $239,276,583, respectively.

 

**March 31,2010**

 
| ** **               | ** ** | **Average Value** | ** ** | **% of Average**   | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|--------------------------|------------|-------------------|------------|--------------------|------------|-------------------|------------|------------------|------------|
| **Market Sector**        | ** ** | **at Risk**       | ** ** | **Capitalization** | ** ** | **at Risk**       | ** ** | **at Risk**      | ** ** |
|                     |       |              |       |               |       |              |       |             |       |
| Agricultural Commodities |       | 2,304,497         |       | 0.96               | %          | 3,226,130         |       | 1,461,117        |       |
| Currencies               |       | 7,447,175         |       | 3.11               | %          | 10,425,510        |       | 4,721,722        |       |
| Energy                   |       | 9,419,325         |       | 3.94               | %          | 13,186,378        |       | 5,972,121        |       |
| Interest Rates           |       | 5,387,872         |       | 2.25               | %          | 7,542,633         |       | 3,416,064        |       |
| Metals                   |       | 2,148,691         |       | 0.90               | %          | 3,008,013         |       | 1,362,331        |       |
| Stock Indices            |       | 3,288,252         |       | 1.37               | %          | 4,603,316         |       | 2,084,845        |       |
|                     |       |              |       |               |       |              |       |             |       |
| Total                    |       | 29,995,812        |       | 12.53              | %          | 41,991,980        |       | 19,018,200       |       |

 

**March 31,2009**

 
| ** **               | ** ** | **Average**       | ** ** | **% of Average**   | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|--------------------------|------------|-------------------|------------|--------------------|------------|-------------------|------------|------------------|------------|
| **Market Sector**        | ** ** | **Value at Risk** | ** ** | **Capitalization** | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                     |       |              |       |               |       |              |       |             |       |
| Agricultural Commodities |       | $                 | 611,728    |               | 0.28       | %                 | $          | 1,835,183        |       | $ | 54,563 |   |
| Currencies               |       | 2,978,135         |       | 1.36               | %          | 8,934,405         |       | 637,862          |       |
| Energy                   |       | 1,855,457         |       | 0.85               | %          | 5,566,370         |       | 30,688           |       |
| Interest Rates           |       | 9,223,360         |       | 4.23               | %          | 27,670,079        |       | 3,103,476        |       |
| Metals                   |       | 570,995           |       | 0.26               | %          | 1,712,985         |       | 329,033          |       |
| Stock Indices            |       | 778,289           |       | 0.36               | %          | 2,334,867         |       | 262,707          |       |
|                     |       |              |       |               |       |              |       |             |       |
| TOTAL                    |       | $                 | 16,017,964 |               | 7.34       | %                 | $          | 48,053,889       |       | $ | 4,418,329 |   |

 

22

----

 

Material Limitations on Value at Risk as an Assessment ofMarket Risk

 

The face value of the market sector instruments held by theFund is typically many times the applicable maintenance margin requirement(maintenance margin requirements generally ranging between approximately 1% and10% of contract face value) as well as many times the capitalization of theFund.  The magnitude of the Fund’s openpositions creates 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

 

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 or BlackRock. 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

 

Thefollowing qualitative disclosures regarding the Fund’s market risk exposures —except for (i) those disclosures that are statements of historical factand (ii) the descriptions of how the Fund manages its primary market riskexposures — constitute forward-looking statements within the meaning of Section 27Aof the Securities Act and Section 21E of the Securities Exchange Act. TheFund’s primary market risk exposures as well as the strategies used and to beused by MLAI and Transtrend for managing such exposures are subject to numerousuncertainties, contingencies and risks, any one of which could cause the actualresults of the Fund’s risk controls to differ materially from the objectives ofsuch strategies. Government interventions, defaults and expropriations,illiquid markets, the emergence of dominant fundamental factors, politicalupheavals, changes in historical price relationships, and an influx of newmarket participants, increased regulation and many other factors could resultin material 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.

 

The following were the primary trading risk exposures of the Fund as ofMarch 31, 2010, by market sector.

 

InterestRates

 

Interest rate risk is the principal market exposure of the Fund.  Interest rate movements directly affect theprice of derivative sovereign bond positions held by the Fund and indirectlythe value of its stock index and currency positions. Interest rate movements inone country as well as relative interest rate movements between countriesmaterially impact the Fund’s profitability. The Fund’s primary interest rateexposure is to interest rate fluctuations in the United States and the otherG-7 countries.  However, the 

 

23

----

 

Fund also takes positions in the government debt of smaller nationse.g., Australia. MLAI anticipates that G-7 interest rates will remain theprimary market exposure of the Fund for the foreseeable future.

 

Currencies

 

The Fund trades in a number of currencies. The Fund does not anticipatethat the risk profile of the Fund’s currency sector will change significantlyin the future. The currency trading Value at Risk figure includes foreignmargin amounts converted into U.S. dollars with an incremental adjustment toreflect the exchange rate risk of maintaining Value at Risk in a functionalcurrency other than U.S. dollars.

 

StockIndices

 

The Fund’s primary equity exposure is to S&P 500, Nikkei and GermanDAX equity index price movements. The Fund is primarily exposed to the risk ofadverse price trends or static markets in the major U.S., European and Asianindices.

 

Metals

 

The Fund’s metals market exposure is to fluctuations in the price ofprecious and non-precious metals.

 

Agricultural Commodities

 

The Fund’s primary agricultural commodities exposure is to agriculturalprice movements which are often directly affected by severe or unexpectedweather conditions. Soybeans, grains, and livestock accounted for thesubstantial bulk of the Fund’s agricultural commodities exposure as of March 31,2010. However, it is anticipated that the Fund will maintain an emphasis oncotton, grains and sugar, in which the Fund has historically taken its largestpositions.

 

Energy

 

TheFund’s primary energy market exposure is to natural gas and crude oil pricemovements, often resulting from political developments in the Middle East. Oilprices can be volatile and substantial profits and losses have been and areexpected to continue to be experienced in this market.

 

QualitativeDisclosures Regarding Non-Trading Risk Exposure

 

The following were the only non-trading riskexposures of the Fund as of March 31, 2010.

 

ForeignCurrency Balances

 

The Fund’s primary foreign currency balances are in Japanese yen,Swedish krona and Euros.

 

U.S. Dollar Cash Balance

 

The Fund holds U.S. dollars only in cash atMLPF&S or BlackRock. The Fund has immaterial cash flow interest rate riskon its cash on deposit with MLPF&S in that declining interest rates wouldcause the income from such cash to decline.

 

24

----

 

Item 4T. Controls and Procedures

 

MLAI, the Manager of ML Transtrend DTP EnhancedFuturesAccess LLC, with the participation of the Manager’s Chief ExecutiveOfficer and the Chief Financial Officer, has evaluated the effectiveness of thedesign and operation of its disclosure controls and procedures with respect tothe Fund as of the end of the period of this quarterly report, and, based onthis evaluation, has concluded that these disclosure controls and proceduresare effective. No change in internal control over financial reporting (asdefined in Rule 13a-15(f) under the Securities Exchange Act of 1934)occurred during the quarter ended March 31, 2010 that has materiallyaffected, or is reasonably likely to materially affect, the Fund’s internalcontrol over financial reporting.

 

PART II - OTHERINFORMATION

 

Item1.            Legal Proceedings

 

None.

 

Item 1A.  Risk Factors

 

There are no materialchanges from risk factors as previously disclosed in the Annual Report on Form 10-Kfor the year ended December 31, 2009, filed with the Securities andExchange Commission on March 31, 2010.

 

25

----

 

Item2.            Unregistered Sales of Equity Securitiesand 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)** | ** ** |
| Jan-10     |       | $                | 48,749     |   | 42,613 |   | $ | 1.1440 |   |
| Feb-10     |       | 119,923          |       | 110,876 |   | 1.0816 |   |
| Mar-10     |       | 65,325           |       | 59,521 |   | 1.0975 |   |
| Apr-10     |       | 68,247           |       | 56,221 |   | 1.2139 |   |
|            |            |                  |            |  |  |  |  |  |  |

 

CLASS C

 
| ** ** | ** ** | **Subscription** | ** ** |
|------------|------------|------------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units** | ** ** | **NAV (1)** | ** ** |
| Jan-10     |       | $                | 343,994    |   | 318,307 |   | $ | 1.0807 |   |
| Feb-10     |       | 102,999          |       | 100,890 |   | 1.0209 |   |
| Mar-10     |       | 572,145          |       | 552,744 |   | 1.0351 |   |
| Apr-10     |       | 358,997          |       | 313,836 |   | 1.1439 |   |
|            |            |                  |            |  |  |  |  |  |  |

 

CLASS D

 
| ** ** | ** ** | **Subscription** | ** ** |
|------------|------------|------------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units** | ** ** | **NAV (1)** | ** ** |
| Jan-10     |       | $                | —     |   | — |   | $ | 0.9097 |   |
| Feb-10     |       | —           |       | — |   | 0.8612 |   |
| Mar-10     |       | —           |       | — |   | 0.8749 |   |
| Apr-10     |       | —           |       | — |   | 0.9689 |   |
|            |            |                  |            |  |  |  |  |  |  |

 

CLASS I

 
| ** ** | ** ** | **Subscription** | ** ** |
|------------|------------|------------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units** | ** ** | **NAV (1)** | ** ** |
| Jan-10     |       | $                | —     |   | — |   | $ | 1.1369 |   |
| Feb-10     |       | 9,999            |       | 9,298 |   | 1.0754 |   |
| Mar-10     |       | —           |       | — |   | 1.0915 |   |
| Apr-10     |       | 90,544           |       | 74,972 |   | 1.2077 |   |
|            |            |                  |            |  |  |  |  |  |  |

 

CLASS DS

 
| ** ** | ** ** | **Subscription** | ** ** |
|------------|------------|------------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units** | ** ** | **NAV (1)** | ** ** |
| Jan-10     |       | $                | 8,164,872  |   | 5,858,835 |   | $ | 1.3936 |   |
| Feb-10     |       | 5,399,875        |       | 4,092,985 |   | 1.3193 |   |
| Mar-10     |       | 468,128          |       | 349,271 |   | 1.3403 |   |
| Apr-10     |       | —           |       | — |   | 1.4843 |   |
|            |            |                  |            |  |  |  |  |  |  |

 

CLASS DT

 
| ** ** | ** ** | **Subscription** | ** ** |
|------------|------------|------------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units** | ** ** | **NAV (1)** | ** ** |
| Jan-10     |       | $                | —     |   | — |   | $ | 1.4551 |   |
| Feb-10     |       | 116,743          |       | 84,676 |   | 1.3787 |   |
| Mar-10     |       | —           |       | — |   | 1.4019 |   |
| Apr-10     |       | —           |       | — |   | 1.5538 |   |
|            |            |                  |            |  |  |  |  |  |  |

 

----

(1) Beginningof the month Net Asset Value

 

(b)  None.

(c)  None.

 

26

----

 

Item3.            Defaults Upon Senior Securities

 

None.

 

Item4.            (Removed and Reserved)

 

Item5.            Other Information

 

None.

 

 

Item 6.            Exhibits

 

The following exhibitsare 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.

 

27

----

 

**SIGNATURES**

 

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

 

 
|                          | ML TRANSTREND DTP  ENHANCED FUTURESACCESS LLC |
|-------------------------------|-----------------------------------------------|
|                          |                                          |
|                          |                                          |
|                          | By:                                           | MERRILL LYNCH  ALTERNATIVE |
|                          |                                          | INVESTMENTS LLC |
|                          |                                          | (Manager) |
|                          |                                          |   |
|                          |                                          |   |
| Date: May 14,  2010 | By:                                           | /s/  JUSTIN C. FERRI |
|                          |                                          | Justin  C. Ferri |
|                          |                                          | Chief Executive  Officer, President and Manager |
|                          |                                          | (Principal Executive Officer) |
|                          |                                          |   |
|                          |                                          |   |
| Date: May 14,  2010 | By:                                           | /s/ BARBRA E. KOCSIS |
|                          |                                          | Barbra E. Kocsis |
|                          |                                          | Chief Financial Officer |
|                          |                                          | (Principal Financial and Accounting Officer) |

 

28

----