**UNITED STATES SECURITIESAND EXCHANGE COMMISSION**

**Washington, D.C. 20549**

 

**FORM 10-Q**

** **

**(Mark One)**

** **

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

** **

**For the quarterly period ended June 30,2010**

** **

**OR**

** **

**o****         TRANSITION REPORTPURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF1934**

** **

**For the transition period from              to              **

** **

**Commission File Number 0-52384**

** **

**MLTRANSTREND DTP ENHANCED FUTURESACCESS LLC**

(ExactName of Registrant as

specifiedin its charter)

 

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

 

**c/oMerrill Lynch Alternative Investments LLC**

**FourWorld Financial Center, 10****th**** Floor**

**250Vesey Street**

**NewYork, New York 10080**

(Addressof principal executive offices)

(ZipCode)

 

**212-449-3517**

(Registrant’stelephone number, including area code)

 

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 check mark whether the registrant is a large acceleratedfiler, an accelerated filer, a non-accelerated filer, or a smaller reportingcompany.  See the definitions of “largeaccelerated filer,” “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

 

As of June 30, 2010,173,684,462 units of limited liability company interest were outstanding.

 

 

 

----

 

**MLTRANSTREND DTP ENHANCED FUTURESACCESS LLC**

 

QUARTERLYREPORT FOR JUNE 30, 2010 ON FORM 10-Q

 

Tableof Contents

 
| ** ** | ** **                                                                                  | ** ** | **PAGE** |
|------------|---------------------------------------------------------------------------------------------|------------|----------|
|       |                                                                                        |       |     |
|       | PART I                                                                                 |       |     |
|       |                                                                                        |       |     |
| Item  1.   | Financial  Statements                                                                       |       | 1        |
|       |                                                                                        |       |     |
| Item  2.   | Management’s  Discussion and Analysis of Financial Condition and Results of Operations |       | 17       |
|       |                                                                                        |       |     |
| Item  3.   | Quantitative  and Qualitative Disclosures About Market Risk                                 |       | 26       |
|       |                                                                                        |       |     |
| Item  4.   | Controls  and Procedures                                                                    |       | 31       |
|       |                                                                                        |       |     |
|       | PART II                                                                                |       |     |
|       |                                                                                        |       |     |
| Item  1.   | Legal  Proceedings                                                                          |       | 31       |
|       |                                                                                        |       |     |
| Item  1A.  | Risk  Factors                                                                               |       | 31       |
|       |                                                                                        |       |     |
| Item  2.   | Unregistered  Sales of Equity Securities and Use of Proceeds                                |       | 32       |
|       |                                                                                        |       |     |
| Item  3.   | Defaults  Upon Senior Securities                                                            |       | 33       |
|       |                                                                                        |       |     |
| Item  4.   | (Removed  and Reserved)                                                                     |       | 33       |
|       |                                                                                        |       |     |
| Item  5.   | Other  Information                                                                          |       | 33       |
|       |                                                                                        |       |     |
| Item  6.   | Exhibits                                                                                    |       | 33       |

 

----

 

PART I- FINANCIAL INFORMATION

 

Item 1.   Financial Statements

 

MLTRANSTREND DTP ENHANCED FUTURESACCESS LLC

(aDelaware Limited Liability Company)

 

STATEMENTSOF FINANCIAL CONDITION

(unaudited)

 
| ** **                                                                                                | ** ** | **June 30,** | ** **  | **December 31 ,** | ** ** |
|-----------------------------------------------------------------------------------------------------------|------------|-------------------|-------------|------------------------|------------|
| ** **                                                                                                | ** ** | **2010**          | ** **  | **2009**               | ** ** |
| **ASSETS:**                                                                                               |       |              |        |                   |       |
| Equity in commodity futures trading accounts:                                                             |       |              |        |                   |       |
| Cash (including restricted cash of $18,266,516 for  2010 and $25,737,325 for 2009)                        |       | $                 | 242,651,003 |                   | $          | 236,868,172 |   |
| Net unrealized profit on open futures contracts                                                           |       | 3,662,022         |        | 2,439,651              |       |
| Cash and cash equivalents                                                                                 |       | 284,812           |        | 34,980                 |       |
| Other assets                                                                                              |       | 22,651            |        | 22,826                 |       |
|                                                                                                      |       |              |        |                   |       |
| **TOTAL ASSETS**                                                                                          |       | $                 | 246,620,488 |                   | $          | 239,365,629 |   |
|                                                                                                      |       |              |        |                   |       |
| **LIABILITIES AND MEMBERS’ CAPITAL:**                                                                |       |              |        |                   |       |
| LIABILITIES:                                                                                              |       |              |        |                   |       |
| Brokerage commissions payable                                                                             |       | $                 | —      |                   | $          | 68,556 |   |
| Sponsor and Advisory fees payable                                                                         |       | 398,181           |        | 381,285                |       |
| Redemptions payable                                                                                       |       | 831,502           |        | 1,523,104              |       |
| Net unrealized loss on open futures contracts                                                             |       | 580,454           |        | 1,293,154              |       |
| Other liabilities                                                                                         |       | 121,121           |        | 198,844                |       |
|                                                                                                      |       |              |        |                   |       |
| Total liabilities                                                                                         |       | 1,931,258         |        | 3,464,943              |       |
|                                                                                                      |       |              |        |                   |       |
| MEMBERS’ CAPITAL:                                                                                    |       |              |        |                   |       |
| Members’ Interest (173,684,462 Units and  171,805,932 Units outstanding; unlimited Units authorized) |       | 244,689,230       |        | 235,900,686            |       |
| Total members’ capital                                                                               |       | 244,689,230       |        | 235,900,686            |       |
|                                                                                                      |       |              |        |                   |       |
| **TOTAL LIABILITIES AND MEMBERS’  CAPITAL**                                                          |       | $                 | 246,620,488 |                   | $          | 239,365,629 |   |
| ** **                                                                                                | ** ** | ** **        | ** **  | ** **             | ** ** |
| **NET ASSET VALUE PER UNIT:**                                                                             |       |              |        |                   |       |
| ** **                                                                                                | ** ** | ** **        | ** **  | ** **             | ** ** |
| Class A                                                                                              |       | $                 | 1.1659      |                   | $          | 1.1440 |   |
| Class C                                                                                              |       | $                 | 1.0959      |                   | $          | 1.0807 |   |
| Class D                                                                                              |       | $                 | 0.9341      |                   | $          | 0.9097 |   |
| Class I                                                                                              |       | $                 | 1.1612      |                   | $          | 1.1369 |   |
| Class DS                                                                                             |       | $                 | 1.4310      |                   | $          | 1.3936 |   |
| Class DT                                                                                             |       | $                 | 1.5017      |                   | $          | 1.4551 |   |

 

See notes to financial statements.

 

1

----

 

MLTRANSTREND DTP ENHANCED FUTURESACCESS LLC

(aDelaware Limited Liability Company)

 

STATEMENTSOF OPERATIONS

(unaudited)

 
| ** **                                   | ** ** | **For the three  months ended** | ** ** | **For the three  months ended** | ** ** | **For the six  months ended** | ** ** | **For the six  months ended** | ** ** |
|----------------------------------------------|------------|------------------------------------------------|------------|------------------------------------------------|------------|----------------------------------------------|------------|----------------------------------------------|------------|
| ** **                                   | ** ** | **June 30, 2010**                    | ** ** | **June 30, 2009**                    | ** ** | **June 30, 2010**                  | ** ** | **June 30, 2009**                  | ** ** |
| **TRADING PROFIT (LOSS):**                   |       |                                           |       |                                           | ** ** | ** **                                   | ** ** | ** **                                   | ** ** |
|                                         |       |                                           |       |                                           |       |                                         |       |                                         |       |
| Realized, net                                |       | $                                              | 9,009,729  |                                           | $          | (741,211                                     | )          | $                                            | 9,234,126  |   | $ | 532,672 |   |
| Change in unrealized, net                    |       | (16,109,439                                    | )          | 1,833,803                                      |       | 1,935,071                                    |       | (4,844,681                                   | )          |
| Brokerage commissions                        |       | (332,182                                       | )          | (299,500                                       | )          | (745,312                                     | )          | (491,292                                     | )          |
|                                         |       |                                           |       |                                           |       |                                         |       |                                         |       |
| Total trading profit (loss)                  |       | (7,431,892                                     | )          | 793,092                                        |       | 10,423,885                                   |       | (4,803,301                                   | )          |
|                                         |       |                                           |       |                                           |       |                                         |       |                                         |       |
| **INVESTMENT INCOME:**                       | ** ** | ** **                                     | ** ** | ** **                                     |       |                                         |       |                                         |       |
| Interest                                     |       | (1,422                                         | )          | 4,721                                          |       | (1,964                                       | )          | 21,225                                       |       |
|                                         |       |                                           |       |                                           |       |                                         |       |                                         |       |
| **EXPENSES:**                                | ** ** | ** **                                     | ** ** | ** **                                     |       |                                         |       |                                         |       |
| Management fee                               |       | 1,089,143                                      |       | 945,476                                        |       | 2,164,020                                    |       | 1,836,956                                    |       |
| Sponsor fee                                  |       | 110,876                                        |       | 110,834                                        |       | 218,764                                      |       | 209,152                                      |       |
| Performance fee                              |       | —                                         |       | —                                         |       | —                                       |       | 326                                          |       |
| Other                                        |       | 116,429                                        |       | 120,578                                        |       | 250,843                                      |       | 249,307                                      |       |
| Total expenses                               |       | 1,316,448                                      |       | 1,176,888                                      |       | 2,633,627                                    |       | 2,295,741                                    |       |
|                                         |       |                                           |       |                                           |       |                                         |       |                                         |       |
| **NET INVESTMENT LOSS**                      |       | (1,317,870                                     | )          | (1,172,167                                     | )          | (2,635,591                                   | )          | (2,274,516                                   | )          |
|                                         |       |                                           |       |                                           |       |                                         |       |                                         |       |
| **NET INCOME (LOSS)**                        |       | $                                              | (8,749,762 | )                                              | $          | (379,075                                     | )          | $                                            | 7,788,294  |   | $ | (7,077,817 | ) |
|                                         |       |                                           |       |                                           |       |                                         |       |                                         |       |
| **NET INCOME (LOSS) PER UNIT:**              | ** ** | ** **                                     |       |                                           |       |                                         |       |                                         |       |
|                                         |       |                                           |       |                                           |       |                                         |       |                                         |       |
| Weighted average number of Units outstanding |       |                                           |       |                                           |       |                                         |       |                                         |       |
| Class A                                 |       | 2,568,659                                      |       | 1,698,737                                      |       | 2,449,040                                    |       | 1,368,420                                    |       |
| Class C                                 |       | 13,920,043                                     |       | 12,536,784                                     |       | 14,197,259                                   |       | 11,854,683                                   |       |
| Class D                                 |       | 2,000,000                                      |       | 978,915                                        |       | 2,000,000                                    |       | 978,915                                      |       |
| Class I                                 |       | 525,587                                        |       | 619,923                                        |       | 496,732                                      |       | 548,304                                      |       |
| Class DS                                |       | 113,851,251                                    |       | 79,775,228                                     |       | 115,888,285                                  |       | 75,444,534                                   |       |
| Class DT                                |       | 39,134,043                                     |       | 46,915,623                                     |       | 41,194,694                                   |       | 48,659,257                                   |       |
|                                         |       |                                           |       |                                           |       |                                         |       |                                         |       |
| Net income (loss) per weighted average Unit  |       |                                           |       |                                           |       |                                         |       |                                         |       |
| Class A                                 |       | $                                              | (0.0493    | )                                              | $          | (0.0085                                      | )          | $                                            | 0.0149     |   | $ | (0.0490 | ) |
| Class C                                 |       | $                                              | (0.0491    | )                                              | $          | (0.0096                                      | )          | $                                            | 0.0107     |   | $ | (0.0574 | ) |
| Class D                                 |       | $                                              | (0.0348    | )                                              | $          | (0.0015                                      | )          | $                                            | 0.0244     |   | $ | (0.0391 | ) |
| Class I                                 |       | $                                              | (0.0455    | )                                              | $          | (0.0079                                      | )          | $                                            | 0.0070     |   | $ | (0.0426 | ) |
| Class DS                                |       | $                                              | (0.0519    | )                                              | $          | (0.0054                                      | )          | $                                            | 0.0454     |   | $ | (0.0545 | ) |
| Class DT                                |       | $                                              | (0.0496    | )                                              | $          | 0.0035                                       |       | $                                            | 0.0555     |   | $ | (0.0449 | ) |

 

See notes to financial statements.

 

2

----

 

 

MLTRANSTREND DTP ENHANCED FUTURESACCESS LLC

(aDelaware Limited Liability Company)

 

STATEMENTSOF CHANGES IN MEMBERS’ CAPITAL

Forthe six months ended June 30, 2010 and 2009

(unaudited)(in Units)

 
| ** **                 | ** ** | **Members’ Capital  December 31, 2008** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital June  30, 2009** | ** ** | **Members’ Capital  December 31, 2009** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital  June 30, 2010** | ** ** |
|----------------------------|------------|-------------------------------------------------------------|------------|-------------------|------------|-----------------|------------|---------------------------------------------------------|------------|-------------------------------------------------------------|------------|-------------------|------------|-----------------|------------|---------------------------------------------------------|------------|
| Class A               |       | 937,456                                                     |       | 948,011           |       | —          |       | 1,885,467                                               |       | 2,271,823                                                   |       | 753,755           |       | (283,186        | )          | 2,742,392                                               |       |
| Class C               |       | 10,398,395                                                  |       | 3,265,422         |       | (1,190,611      | )          | 12,473,206                                              |       | 14,482,763                                                  |       | 2,459,183         |       | (2,919,973      | )          | 14,021,973                                              |       |
| Class D               |       | 978,915                                                     |       | —            |       | —          |       | 978,915                                                 |       | 2,000,000                                                   |       | —            |       | —          |       | 2,000,000                                               |       |
| Class I               |       | 780,147                                                     |       | 503,957           |       | (621,521        | )          | 662,583                                                 |       | 502,000                                                     |       | 153,050           |       | (103,423        | )          | 551,627                                                 |       |
| Class DS              |       | 67,285,671                                                  |       | 19,276,302        |       | —          |       | 86,561,973                                              |       | 109,221,404                                                 |       | 14,500,728        |       | (7,658,580      | )          | 116,063,552                                             |       |
| Class DT              |       | 51,421,530                                                  |       | —            |       | (7,605,638      | )          | 43,815,892                                              |       | 43,327,942                                                  |       | 351,090           |       | (5,374,114      | )          | 38,304,918                                              |       |
|                       |       |                                                        |       |              |       |            |       |                                                    |       |                                                        |       |              |       |            |       |                                                    |       |
| Total  Members’ Units |       | 131,802,114                                                 |       | 23,993,692        |       | (9,417,770      | )          | 146,378,036                                             |       | 171,805,932                                                 |       | 18,217,806        |       | (16,339,276     | )          | 173,684,462                                             |       |

 

See notes to financial statements.

 

3

----

 

 

MLTRANSTREND DTP ENHANCED FUTURESACCESS LLC

(aDelaware Limited Liability Company)

 

STATEMENTSOF CHANGES IN MEMBERS’ CAPITAL

Forthe six months ended June 30, 2010 and 2009

(unaudited)

 
| ** **                   | ** ** | **Members’ Capital  December 31, 2008** | ** **  | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net Income  (Loss)** | ** **  | **Members’ Capital  June 30, 2009** | ** ** | **Members’ Capital  December 31, 2009** | ** ** | **Subscriptions** | ** **  | **Redemptions** | ** ** | **Net Income  (Loss)** | ** ** | **Members’ Capital  June 30, 2010** | ** ** |
|------------------------------|------------|-------------------------------------------------------------|-------------|-------------------|------------|-----------------|------------|-----------------------------|-------------|---------------------------------------------------------|------------|-------------------------------------------------------------|------------|-------------------|-------------|-----------------|------------|-----------------------------|------------|---------------------------------------------------------|------------|
| Class A                 |       | $                                                           | 1,297,666   |              | $          | 1,277,228       |       | $                           | —      |                                                    | $          | (66,992                                                     | )          | $                 | 2,507,902   |            | $          | 2,598,931                   |       | $                                                       | 880,547    |   | $ | (318,432 | ) | $ | 36,387 |   | $ | 3,197,433 |   |
| Class C                 |       | 13,734,797                                                  |        | 4,245,684         |       | (1,548,155      | )          | (680,528                    | )           | 15,751,798                                              |       | 15,651,574                                                  |       | 2,731,982         |        | (3,168,087      | )          | 151,676                     |       | 15,367,145                                              |       |
| Class D                 |       | 1,205,010                                                   |        | —            |       | —          |       | (38,202                     | )           | 1,166,808                                               |       | 1,819,381                                                   |       | —            |        | —          |       | 48,875                      |       | 1,868,256                                               |       |
| Class I                 |       | 1,069,315                                                   |        | 676,867           |       | (848,756        | )          | (23,288                     | )           | 874,138                                                 |       | 570,784                                                     |       | 180,541           |        | (114,253        | )          | 3,455                       |       | 640,527                                                 |       |
| Class DS                |       | 111,764,376                                                 |        | 31,559,917        |       | —          |       | (4,111,686                  | )           | 139,212,607                                             |       | 152,211,382                                                 |       | 20,047,176        |        | (11,428,432     | )          | 5,261,888                   |       | 166,092,014                                             |       |
| Class DT                |       | 88,263,960                                                  |        | —            |       | (12,895,720     | )          | (2,157,121                  | )           | 73,211,119                                              |       | 63,048,634                                                  |       | 516,790           |        | (8,327,582      | )          | 2,286,013                   |       | 57,523,855                                              |       |
| ** **                   | ** ** | ** **                                                  | ** **  | ** **        | ** ** | ** **      | ** ** | ** **                  | ** **  | ** **                                              | ** ** | ** **                                                  | ** ** | ** **        | ** **  | ** **      | ** ** | ** **                  | ** ** | ** **                                              | ** ** |
| Total  Members’ Capital |       | $                                                           | 217,335,124 |              | $          | 37,759,696      |       | $                           | (15,292,631 | )                                                       | $          | (7,077,817                                                  | )          | $                 | 232,724,372 |            | $          | 235,900,686                 |       | $                                                       | 24,357,036 |   | $ | (23,356,786 | ) | $ | 7,788,294 |   | $ | 244,689,230 |   |

 

See notes to financial statements.

 

4

----

 

 

MLTRANSTREND DTP ENHANCED FUTURESACCESS LLC

(ADelaware Limited Liability Company)

 

FINANCIALDATA HIGHLIGHTS

FORTHE THREE MONTHS ENDED JUNE 30, 2010 (unaudited)

 

Thefollowing per Unit data and ratios have been derived from information providedin the financial statements.

 
| ** **                                                       | ** ** | **Class A** | ** ** | **Class C** | ** ** | **Class D** | ** ** | **Class I** | ** ** | **Class DS** | ** ** | **Class DT** | ** ** |
|------------------------------------------------------------------|------------|------------------|------------|------------------|------------|------------------|------------|------------------|------------|-------------------|------------|-------------------|------------|
| **Per Unit Operating Performance:**                              |       |             |       |             |       |             |       |             |       |              |       |              |       |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net asset value, beginning of period                             |       | $                | 1.2139     |             | $          | 1.1439           |       | $                | 0.9689     |              | $          | 1.2077            |       | $ | 1.4843 |   | $ | 1.5538 |   |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net Realized and net change in unrealized trading  profit (loss) |       | (0.0353          | )          | (0.0332          | )          | (0.0283          | )          | (0.0352          | )          | (0.0433           | )          | (0.0454           | )          |
| Brokerage commissions                                            |       | (0.0016          | )          | (0.0015          | )          | (0.0013          | )          | (0.0015          | )          | (0.0020           | )          | (0.0021           | )          |
| Interest income                                                  |       | (0.0000          | )          | (0.0000          | )          | (0.0000          | )          | (0.0000          | )          | (0.0000           | )          | (0.0000           | )          |
| Expenses                                                         |       | (0.0111          | )          | (0.0133          | )          | (0.0052          | )          | (0.0098          | )          | (0.0080           | )          | (0.0046           | )          |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net asset value, end of period                                   |       | $                | 1.1659     |             | $          | 1.0959           |       | $                | 0.9341     |              | $          | 1.1612            |       | $ | 1.4310 |   | $ | 1.5017 |   |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| **Total Return: (a)**                                            |       |             |       |             |       |             |       |             |       |              |       |              |       |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Total return before Performance fees                             |       | -3.95            | %          | -4.19            | %          | -3.59            | %          | -3.85            | %          | -3.59             | %          | -3.35             | %          |
| Performance fees                                                 |       | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00              | %          | 0.00              | %          |
| Total return after Performance fees                              |       | -3.95            | %          | -4.19            | %          | -3.59            | %          | -3.85            | %          | -3.59             | %          | -3.35             | %          |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| **Ratios to Average Members’  Capital:**                    |       |             |       |             |       |             |       |             |       |              |       |              |       |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Expenses (excluding Performance fees)                            |       | 0.92             | %          | 1.17             | %          | 0.54             | %          | 0.82             | %          | 0.54              | %          | 0.30              | %          |
| Performance fees                                                 |       | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00              | %          | 0.00              | %          |
| Expenses (including Performance fees)                            |       | 0.92             | %          | 1.17             | %          | 0.54             | %          | 0.82             | %          | 0.54              | %          | 0.30              | %          |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net investment income (loss)                                     |       | -0.92            | %          | -1.17            | %          | -0.55            | %          | -0.82            | %          | -0.55             | %          | -0.30             | %          |

 

----

(a) Thetotal return calculations are based on compounded monthly returns and iscalculated for each class taken as a whole. An individual members’ return mayvary from these returns based on timing of capital transactions.

 

Seenotes to financial statements.

 

5

----

 

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

FINANCIAL DATA HIGHLIGHTS

FOR THE SIX MONTHS ENDED JUNE 30, 2010 (unaudited)

 

The following per Unit data and ratios have been derived frominformation provided in the financial statements.

 
| ** **                                                       | ** ** | **Class A** | ** ** | **Class C** | ** ** | **Class D** | ** ** | **Class I** | ** ** | **Class DS** | ** ** | **Class DT** | ** ** |
|------------------------------------------------------------------|------------|------------------|------------|------------------|------------|------------------|------------|------------------|------------|-------------------|------------|-------------------|------------|
| **Per Unit Operating Performance:**                              |       |             |       |             |       |             |       |             |       |              |       |              |       |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| 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) |       | 0.0470           |       | 0.0443           |       | 0.0375           |       | 0.0468           |       | 0.0574            |       | 0.0600            |       |
| Brokerage commissions                                            |       | (0.0035          | )          | (0.0033          | )          | (0.0028          | )          | (0.0035          | )          | (0.0043           | )          | (0.0045           | )          |
| Interest income                                                  |       | (0.0000          | )          | (0.0000          | )          | (0.0000          | )          | (0.0000          | )          | (0.0000           | )          | (0.0000           | )          |
| Expenses                                                         |       | (0.0216          | )          | (0.0258          | )          | (0.0103          | )          | (0.0190          | )          | (0.0157           | )          | (0.0089           | )          |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net asset value, end of period                                   |       | $                | 1.1659     |             | $          | 1.0959           |       | $                | 0.9341     |              | $          | 1.1612            |       | $ | 1.4310 |   | $ | 1.5017 |   |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| **Total Return: (a)**                                            |       |             |       |             |       |             |       |             |       |              |       |              |       |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Total return before Performance fees                             |       | 1.92             | %          | 1.41             | %          | 2.69             | %          | 2.12             | %          | 2.69              | %          | 3.20              | %          |
| Performance fees                                                 |       | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00              | %          | 0.00              | %          |
| Total return after Performance fees                              |       | 1.92             | %          | 1.41             | %          | 2.69             | %          | 2.12             | %          | 2.69              | %          | 3.20              | %          |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| **Ratios to Average Members’  Capital:**                    |       |             |       |             |       |             |       |             |       |              |       |              |       |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Expenses (excluding Performance fees)                            |       | 1.86             | %          | 2.36             | %          | 1.11             | %          | 1.66             | %          | 1.11              | %          | 0.60              | %          |
| Performance fees                                                 |       | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00              | %          | 0.00              | %          |
| Expenses (including Performance fees)                            |       | 1.86             | %          | 2.36             | %          | 1.11             | %          | 1.66             | %          | 1.11              | %          | 0.60              | %          |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net investment income (loss)                                     |       | -1.86            | %          | -2.36            | %          | -1.11            | %          | -1.66            | %          | -1.11             | %          | -0.60             | %          |

 

----

(a) Thetotal return calculations are based on compounded monthly returns and iscalculated for each class taken as a whole. An individual members’ return mayvary from these returns based on timing of capital transactions.

 

See notes to financial statements.

 

6

----

 

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED JUNE 30, 2009 (unaudited)

 

The following per Unit data and ratios have been derived frominformation provided in the financial statements.

 
| ** **                                               | ** ** | **Class A** | ** ** | **Class C** | ** ** | **Class D** | ** ** | **Class I** | ** ** | **Class DS *** | ** ** | **Class DT **** | ** ** |
|----------------------------------------------------------|------------|------------------|------------|------------------|------------|------------------|------------|------------------|------------|---------------------|------------|----------------------|------------|
| **Per Unit Operating Performance:**                      |       |             |       |             |       |             |       |             |       |                |       |                 |       |
|                                                     |       |             |       |             |       |             |       |             |       |                |       |                 |       |
| Net asset value, beginning of period                     |       | $                | 1.3368     |             | $          | 1.2724           |       | $                | 1.1934     |                | $          | 1.3245               |       | $ | 1.6103 |   | $ | 1.6683 |   |
|                                                     |       |             |       |             |       |             |       |             |       |                |       |                 |       |
| Realized and change in unrealized trading profit  (loss) |       | 0.0076           |       | 0.0073           |       | 0.0068           |       | 0.0076           |       | 0.0092              |       | 0.0095               |       |
| Brokerage commissions                                    |       | (0.0018          | )          | (0.0017          | )          | (0.0016          | )          | (0.0017          | )          | (0.0021             | )          | (0.0022              | )          |
| Interest income                                          |       | 0.0000           |       | 0.0000           |       | 0.0000           |       | 0.0000           |       | 0.0000              |       | 0.0000               |       |
| Expenses                                                 |       | (0.0125          | )          | (0.0151          | )          | (0.0067          | )          | (0.0111          | )          | (0.0092             | )          | (0.0047              | )          |
|                                                     |       |             |       |             |       |             |       |             |       |                |       |                 |       |
| Net asset value, end of period                           |       | $                | 1.3301     |             | $          | 1.2629           |       | $                | 1.1919     |                | $          | 1.3193               |       | $ | 1.6082 |   | $ | 1.6709 |   |
|                                                     |       |             |       |             |       |             |       |             |       |                |       |                 |       |
| **Total Return: (a)**                                    |       |             |       |             |       |             |       |             |       |                |       |                 |       |
|                                                     |       |             |       |             |       |             |       |             |       |                |       |                 |       |
| Total return before Performance fees                     |       | -0.50            | %          | -0.75            | %          | -0.13            | %          | -0.40            | %          | -0.40               | %          | 0.12                 | %          |
| Performance fees                                         |       | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00                | %          | 0.00                 | %          |
| Total return after Performance fees                      |       | -0.50            | %          | -0.75            | %          | -0.13            | %          | -0.40            | %          | -0.40               | %          | 0.12                 | %          |
|                                                     |       |             |       |             |       |             |       |             |       |                |       |                 |       |
| **Ratios to Average Members’  Capital:**            |       |             |       |             |       |             |       |             |       |                |       |                 |       |
|                                                     |       |             |       |             |       |             |       |             |       |                |       |                 |       |
| Expenses (excluding Performance fees)                    |       | 0.94             | %          | 1.19             | %          | 0.56             | %          | 0.84             | %          | 0.84                | %          | 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             | %          | 0.84                | %          | 0.31                 | %          |
|                                                     |       |             |       |             |       |             |       |             |       |                |       |                 |       |
| Net investment income (loss)                             |       | -0.94            | %          | -1.19            | %          | -0.56            | %          | -0.84            | %          | -0.56               | %          | -0.31                | %          |

 

----

*Class DSand was previously known as Class D-SM.

**Class DTwas previously known as Class D-TF.

(a) Thetotal return calculations are based on compounded monthly returns and iscalculated for each class taken as a whole. An individual members’ return mayvary from these returns based on timing of capital transactions.

 

Seenotes to financial statements.

 

7

----

 

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

FINANCIAL DATA HIGHLIGHTS

FOR THE SIX MONTHS ENDED JUNE 30, 2009 (unaudited)

 

The following per Unit data and ratios have been derived frominformation provided in the financial statements.

 
| ** **                                               | ** ** | **Class A** | ** ** | **Class C** | ** ** | **Class D** | ** ** | **Class I** | ** ** | **Class DS *** | ** ** | **Class DT **** | ** ** |
|----------------------------------------------------------|------------|------------------|------------|------------------|------------|------------------|------------|------------------|------------|---------------------|------------|----------------------|------------|
| **Per Unit Operating Performance:**                      |       |             |       |             |       |             |       |             |       |                |       |                 |       |
|                                                     |       |             |       |             |       |             |       |             |       |                |       |                 |       |
| Net asset value, beginning of period                     |       | $                | 1.3842     |             | $          | 1.3209           |       | $                | 1.2310     |                | $          | 1.3707               |       | $ | 1.6610 |   | $ | 1.7165 |   |
|                                                     |       |             |       |             |       |             |       |             |       |                |       |                 |       |
| Realized and change in unrealized trading profit  (loss) |       | (0.0257          | )          | (0.0245          | )          | (0.0230          | )          | (0.0255          | )          | (0.0310             | )          | (0.0321              | )          |
| Brokerage commissions                                    |       | (0.0029          | )          | (0.0028          | )          | (0.0026          | )          | (0.0029          | )          | (0.0035             | )          | (0.0037              | )          |
| Interest income                                          |       | 0.0001           |       | 0.0001           |       | 0.0001           |       | 0.0001           |       | 0.0002              |       | 0.0002               |       |
| Expenses                                                 |       | (0.0256          | )          | (0.0308          | )          | (0.0136          | )          | (0.0231          | )          | (0.0185             | )          | (0.0100              | )          |
|                                                     |       |             |       |             |       |             |       |             |       |                |       |                 |       |
| Net asset value, end of period                           |       | $                | 1.3301     |             | $          | 1.2629           |       | $                | 1.1919     |                | $          | 1.3193               |       | $ | 1.6082 |   | $ | 1.6709 |   |
|                                                     |       |             |       |             |       |             |       |             |       |                |       |                 |       |
| **Total Return: (a)**                                    |       |             |       |             |       |             |       |             |       |                |       |                 |       |
|                                                     |       |             |       |             |       |             |       |             |       |                |       |                 |       |
| Total return before Performance fees                     |       | -3.91            | %          | -4.39            | %          | -3.19            | %          | -3.71            | %          | -3.71               | %          | -2.70                | %          |
| Performance fees                                         |       | -0.01            | %          | -0.01            | %          | 0.00             | %          | -0.05            | %          | -0.05               | %          | 0.00                 | %          |
| Total return after Performance fees                      |       | -3.92            | %          | -4.40            | %          | -3.19            | %          | -3.76            | %          | -3.76               | %          | -2.70                | %          |
|                                                     |       |             |       |             |       |             |       |             |       |                |       |                 |       |
| **Ratios to Average Members’  Capital:**            |       |             |       |             |       |             |       |             |       |                |       |                 |       |
|                                                     |       |             |       |             |       |             |       |             |       |                |       |                 |       |
| Expenses (excluding Performance fees)                    |       | 1.87             | %          | 2.37             | %          | 1.12             | %          | 1.67             | %          | 1.67                | %          | 0.62                 | %          |
| Performance fees                                         |       | 0.01             | %          | 0.01             | %          | 0.00             | %          | 0.05             | %          | 0.05                | %          | -0.01                | %          |
| Expenses (including Performance fees)                    |       | 1.88             | %          | 2.38             | %          | 1.12             | %          | 1.72             | %          | 1.72                | %          | 0.61                 | %          |
|                                                     |       |             |       |             |       |             |       |             |       |                |       |                 |       |
| Net investment income (loss)                             |       | -1.87            | %          | -2.37            | %          | -1.11            | %          | -1.71            | %          | -1.11               | %          | -0.60                | %          |

 

----

*Class DSand was previously known as Class D-SM.

**Class DT was previously known asClass D-TF.

(a) Thetotal return calculations are based on compounded monthly returns and iscalculated for each class taken as a whole. An individual members’ return mayvary from these returns based on timing of capital transactions.

 

See notes to financial statements.

 

8

----

 

 

MLTRANSTREND DTP ENHANCED FUTURESACCESS LLC

(aDelaware Limited Liability Company)

 

NOTESTO FINANCIAL STATEMENTS

(unaudited)

 

1.     SUMMARY OF SIGNIFICANTACCOUNTING POLICIES

 

ML Transtrend DTP Enhanced FuturesAccess LLC (the “Fund”), a MerrillLynch FuturesAccess Program (the “Program”) fund, was organized under theDelaware Limited Liability Company Act on March 8, 2007 and commencedtrading activities on April 2, 2007. The Fund issues new units of limitedliability company interest (“Units”) at Net Asset Value per Unit (see Item 2for 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 commodity futures contracts,options on futures and forward contracts on a wide range of commodities.Transtrend B.V. (“Transtrend” or “trading advisor”) is the trading advisor ofthe Fund.

 

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

 

The Program is a group of commodity pools sponsored by MLAI (each poolis a “Program Fund” or collectively, “Program Funds”) each of which placessubstantially all of its assets in a managed futures or forward trading accountmanaged by a single or multiple commodity trading advisors. Each Program Fundis generally similar in terms of fees, Classes of Units and redemptionrights.  Each of the Program Fundsimplements a different trading strategy.

 

The Fund offers six Classes of Units: Class A, Class C, Class D, Class DS, Class DTand Class I.  Each Class ofUnits, except for Class DT offered at $1.1117, was offered at $1.00 perUnit during the initial offering period and subsequently is offered at NetAsset Value per Unit.  The six Classes ofUnits are subject to different sponsor fees.

 

Interestsin the Fund are not insured or otherwise protected by the Federal DepositInsurance Corporation or any other government authority.  Interests are not deposits or otherobligations of, and are not guaranteed by, Bank of America or any of itsaffiliates or by any bank.  Interests aresubject to investment risks, including the possible loss of the full amountinvested.

 

In the opinion of management, these interim financial statementscontain all adjustments, consisting only of normal recurring adjustments,necessary for a fair statement of the financial position of the Fund as of June 30,2010 and the results of its operations for the three and six months ended June 30,2010 and 2009.  However, the operatingresults for the interim period may not be indicative of the results for thefull year.

 

9

----

 

Certain information and footnote disclosures normally included inannual financial statements prepared in accordance with accounting principlesgenerally accepted in the United States of America (“U.S. GAAP”) have beenomitted. These financial statements should be read in conjunction with thefinancial statements and notes thereto included in the Fund’s Annual Report on Form 10-Kfiled with the Securities and Exchange Commission for the period ended December 31,2009. Certain prior year items have been reclassified to conform to the currentyear presentation.

 

Estimates

 

The preparation of financial statements in conformity with U.S. GAAP requiresmanagement to make estimates and assumptions that may affect the reportedamounts of assets and liabilities and disclosure of contingent assets andliabilities at the date of the financial statements as well as the reportedamounts of revenues and expenses during the reporting period.  Actual results could differ from thoseestimates.

 

10

----

 

 

2.               CONDENSEDSCHEDULE OF INVESTMENTS

 

The Fund’s investments, defined as Net unrealized profit (loss) on opencontracts on the Statements of Financial Condition, as of June 30, 2010and December 31, 2009, are as follows:

 

**June 30, 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                 |       | 193                     |       | $                        | (107,893   | )                              | -0.04      | %                  | (910       | )                      | $          | (303,430 | ) | -0.12 | % | $ | (411,323 | ) | -0.16 | % | August 2010 -  July 2011 |   |
| Currencies                  |       | 788                     |       | (803,906                 | )          | -0.33                          | %          | (736               | )          | (792,684               | )          | -0.32 | % | (1,596,590 | ) | -0.65 | % | September 2010 |   |
| Energy                      |       | 147                     |       | (434,485                 | )          | -0.18                          | %          | (167               | )          | (1,541                 | )          | 0.00 | % | (436,026 | ) | -0.18 | % | July 2010 -  January 2011 |   |
| Interest  rates             |       | 6,323                   |       | 5,264,022                |       | 2.15                           | %          | (1,772             | )          | (321,808               | )          | -0.13 | % | 4,942,214 |   | 2.02 | % | July 2010 -  March 2013 |   |
| Metals                      |       | 724                     |       | (4,972,674               | )          | -2.03                          | %          | (618               | )          | 5,766,911              |       | 2.36 | % | 794,237 |   | 0.33 | % | July 2010 -  April 2011 |   |
| Stock  indices              |       | 950                     |       | (797,751                 | )          | -0.33                          | %          | (162               | )          | 586,807                |       | 0.24 | % | (210,944 | ) | -0.09 | % | July 2010 -  September 2010 |   |
|                        |       |                    |       |                     |       |                           |       |               |       |                   |       |   |   |   |   |   |   |   |   |
| Total                       |       |                    |       | $                        | (1,852,687 | )                              | -0.76      | %                  |       |                   | $          | 4,934,255 |   | 2.03 | % | $ | 3,081,568 |   | 1.27 | % |   |   |

 

**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 | ) | -0.18 | % | 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 loss comprised greaterthan 5% of the Partners’ Capital as of June 30, 2010 and December 31,2009.

 

11

----

 

 

3.               FAIR VALUE OF INVESTMENTS

 

The Financial Accounting Standards Board (“FASB”) issued the AccountingStandards Codification (“ASC”) which provides authoritative guidance on fairvalue measurement. This guidance defines fair value, establishes a frameworkfor measuring fair value and expands disclosures about fair value measurements.

 

Fairvalue of an investment is the amount that would be received to sell theinvestment in an orderly transaction between market participants at themeasurement date (i.e. the exit price). Allinvestments (including derivative financial instruments and derivativecommodity instruments) are held for trading purposes.  The investments are recorded on trade dateand open contracts are recorded at fair value (described below) at themeasurement date. Investments denominated in foreign currencies are translatedinto U.S. dollars at the exchange rates prevailing at the measurementdate.  Gains or losses are realized whencontracts are liquidated.  Unrealizedgains or losses on open contracts are included in Equity in commodity futurestrading account.  Any change in netunrealized gain or loss from the preceding period is reported in the Statementsof Operations.

 

The fair value measurement guidance established a hierarchal disclosureframework which prioritizes and ranks the level of market price observabilityused in measuring investments at fair value. Market price observability isimpacted by a number of factors, including the type of investment and thecharacteristics specific to the investment. Investments with readily availableactive quoted prices or for which fair value can be measured from activelyquoted prices generally will have a higher degree of market price observabilityand a lesser degree of judgment used in measuring fair value.

 

Investments measured and reported at fair value are classified anddisclosed in one of the following categories:

 

Level I — Quoted prices are available in active markets for identicalinvestments as of the reporting date. The type of investments included in LevelI are publicly traded investments. As required by the fair market valuemeasurement guidance, the Fund does not adjust the quoted price for theseinvestments even in situations where the Fund holds a large position and a salecould reasonably impact the quoted price.

 

Level II — Pricing inputs are other than quoted prices in activemarkets, which are either directly or indirectly observable as of the reportingdate, and fair value is determined through the use of generally accepted and understoodmodels or other valuation methodologies. Investments which are generallyincluded in this category are investments valued using market data.

 

Level III — Pricing inputs are unobservable and include situationswhere there is little, if any, market activity for the investment. Fair valuefor these investments is determined using valuation methodologies that considera range of factors, including but not limited to the nature of the investment,local market 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 the 

 

12

----

 

significance of a particular input to the Fair Value Measurement in itsentirety requires judgment, and considers factors specific to the investment.

 

Followingis a description of the valuation methodologies used for investments, as wellas the general classification of such investments pursuant to the valuationhierarchy.

 

Exchangetraded investments are fair valued by the Fund by using the reported closingprice on the primary exchange where it trades such investments.  These closing prices are observed through theclearing broker and third party pricing services. For non-exchange tradedinvestments, quoted values and other data provided by nationally recognizedindependent pricing sources are used as inputs into its process for determiningfair values.

 

Theindependent pricing sources obtain market quotations and actual transactionprices for securities that have quoted prices in active markets. Each sourcehas its own proprietary method for determining the fair value of securitiesthat are not actively traded. In general, these methods involve the use of “matrixpricing” in which the independent pricing source uses observable market inputsincluding, but not limited to, investment yields, credit risks and spreads,benchmarking of like securities, broker-dealer quotes, reported trades andsector groupings to determine a reasonable fair market value.

 

TheFund has determined that Level I securities would include all of its futuresand options contracts where it believes that quoted prices are available in anactive market.

 

Wherethe Fund believes that quoted market prices are not available or that themarket is not active, fair values are estimated by using quoted prices ofsecurities with similar characteristics, pricing models or matrix pricing andthese are generally classified as Level II securities. The Fund determined thatLevel II securities would include its forward contracts.

 

The Fund’s net unrealized profit (loss) on open forward and futurescontracts by the above fair value hierarchy levels as of June 30, 2010,and December 31, 2009 are as follows:

 
| **Net unrealized profit (loss)  on open contracts** | ** ** | **Total** | ** ** | **Level I** | ** ** | **Level II** | ** ** | **Level III** | ** ** |
|-----------------------------------------------------|------------|-----------|------------|------------------|------------|-------------------|------------|--------------------|------------|
|                                                |       |      |       |             |       |              |       |               |       |
| Futures                                             |       |      |       |             |       |              |       |               |       |
| Long                                                |       | $         | (1,852,687 | )                | 3,369,516  |              | (5,222,203 | )                  | —     |   |
| Short                                               |       | $         | 4,934,255  |             | (784,669   | )                 | 5,718,924  |               |       |   |
|                                                |       | $         | 3,081,568  |             | $          | 2,584,847         |       | $                  | 496,721    |   | $ | — |   |
|                                                |       |      |       |             |       |              |       |               |       |
| Forwards                                            |       |      |       |             |       |              |       |               |       |
| Long                                                |       | $         | —     |             | —     |              | —     |               | —     |   |
| Short                                               |       | $         | —     |             | —     |              | —     |               | —     |   |
|                                                |       | $         | —     |             | $          | —            |       | $                  | —     |   | $ | — |   |
|                                                |       |      |       |             |       |              |       |               |       |
| June 30, 2010                                  |       | $         | 3,081,568  |             | $          | 2,584,847         |       | $                  | 496,721    |   | $ | — |   |

 

13

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| **Net unrealized profit (loss)  on open contracts** | ** ** | **Total** | ** ** | **Level I** | ** ** | **Level II** | ** ** | **Level III** | ** ** |
|-----------------------------------------------------|------------|-----------|------------|-------------|------------|--------------|------------|---------------|------------|
|                                                |       |      |       |        |       |         |       |          |       |
| Futures                                             |       |      |       |        |       |         |       |          |       |
| Long                                                |       | $         | 2,630,401  |        | 2,630,401  |         | —     |          | —     |   |
| Short                                               |       | $         | (1,483,904 | )           | (1,483,904 | )            | —     |          | —     |   |
|                                                |       | $         | 1,146,497  |        | $          | 1,146,497    |       | $             | —     |   | $ | — |   |
|                                                |       |      |       |        |       |         |       |          |       |
| Forwards                                            |       |      |       |        |       |         |       |          |       |
| Long                                                |       | $         | —     |        | —     |         | —     |          | —     |   |
| Short                                               |       | $         | —     |        | —     |         | —     |          | —     |   |
|                                                |       | $         | —     |        | $          | —       |       | $             | —     |   | $ | — |   |
|                                                |       |      |       |        |       |         |       |          |       |
| December 31, 2009                              |       | $         | 1,146,497  |        | $          | 1,146,497    |       | $             | —     |   | $ | — |   |

 

The Fund’s volume of trading forward and futures as of the period andyear ended June 30, 2010 and December 31, 2009, respectively, arerepresentative of the activity throughout these periods.

 

There were no significant transfers to or from Level I or II during thequarter and period ended June 30, 2010.

 

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 following table indicates the trading gains and losses, bycommodity industry sector on derivative instruments for each of the three monthand six month periods ended June 30, 2010 and 2009:

 
| ** **                              | ** ** | **For the three months ended** | ** ** | **For the six months ended** | ** ** |
|-----------------------------------------|------------|----------------------------------------------------|------------|--------------------------------------------------|------------|
| ** **                              | ** ** | **June 30, 2010**                        | ** ** | **June 30, 2010**                      | ** ** |
| **Commodity Industry Sector** | ** ** | **Gain (loss) from trading**        | ** ** | **Gain (loss) from trading**      | ** ** |
|                                    |       |                                               |       |                                             |       |
| Agriculture                             |       | $                                                  | (2,675,089 | )                                                | $          | (2,634,062 | ) |
| Currencies                              |       | (4,525,290                                         | )          | 1,980,610                                        |       |
| Energy                                  |       | (10,196,949                                        | )          | (4,528,564                                       | )          |
| Interest rates                          |       | 16,540,115                                         |       | 22,344,603                                       |       |
| Metals                                  |       | 2,070,554                                          |       | 2,297,046                                        |       |
| Stock indices                           |       | (8,313,051                                         | )          | (8,290,436                                       | )          |
|                                    |       |                                               |       |                                             |       |
| Total                                   |       | $                                                  | (7,099,710 | )                                                | $          | 11,169,197 |   |

 

14

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| ** **                              | ** ** | **For the three months ended** | ** ** | **For the six months ended** | ** ** |
|-----------------------------------------|------------|----------------------------------------------------|------------|--------------------------------------------------|------------|
| ** **                              | ** ** | **June 30, 2009**                        | ** ** | **June 30, 2009**                      | ** ** |
| **Commodity Industry Sector** | ** ** | **Gain (loss) from trading**        | ** ** | **Gain (loss) from trading**      | ** ** |
|                                    |       |                                               |       |                                             |       |
| Agriculture                             |       | $                                                  | 2,623,275  |                                             | $          | 392,283 |   |
| Currencies                              |       | 5,593,632                                          |       | 4,416,757                                        |       |
| Energy                                  |       | (4,016,377                                         | )          | (1,267,747                                       | )          |
| Interest rates                          |       | (2,247,233                                         | )          | (5,486,570                                       | )          |
| Metals                                  |       | (1,629,932                                         | )          | (2,125,233                                       | )          |
| Stock indices                           |       | 769,227                                            |       | (241,499                                         | )          |
|                                    |       |                                               |       |                                             |       |
| Total                                   |       | $                                                  | 1,092,592  |                                             | $          | (4,312,009 | ) |

 

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 bankruptcy proceedings.  Were a substantial portion of the Fund’scapital tied up in a bankruptcy or other similar types of proceedings, MLAImight suspend or limit trading, perhaps causing the Fund to miss significantprofit opportunities.  There areincreased risks in dealing with unregulated trading counterparties includingthe risk that assets may not benefit from the protection afforded to “customerfunds” deposited with regulated dealers and brokers.

 

4.               MARKET AND CREDIT RISKS

 

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

 

Market Risk

 

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

 

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

 

15

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Credit Risk

 

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

 

The credit risk associated with these instruments from counterpartynonperformance is the net unrealized profit on open contracts, if any, includedin the Statements of Financial Condition. The Fund attempts to mitigate thisrisk by dealing exclusively with Merrill Lynch entities as clearing brokers.

 

The Fund, in its normal course of business, enters into variouscontracts, 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.

 

Indemnifications

 

In the normal course of business, the Fund has entered, or may in thefuture enter into agreements that obligate the Fund to indemnify third parties,including affiliates of the Fund, for breach of certain representations andwarranties made by the Fund. No claims have actually been made with respect tosuch indemnities and any quantification would involve hypothetical claims thathave not been made. Based on the Fund’s experience, MLAI expected the risk ofloss to be remote and, therefore, no provision has been recorded.

 

5.               RECENTACCOUNTING 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.

 

6.               SUBSEQUENTEVENTS

 

Management has evaluated the impact of subsequent events on the Fundand has determined that there were no subsequent events that requireadjustments to, or disclosure in, the financial statements.

 

16

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Item 2. Management’s Discussion and Analysis of Financial Condition andResults of Operations

 

MONTH-ENDNET ASSET VALUE PER UNIT

 

MLAI believes that the Net Asset Value used to calculate subscriptionand redemption value and to report performance to investors throughout theperiod is a useful performance measure for the investors of the Fund.Therefore, the charts below referencing Net Asset Value and performancemeasurements are based on the Net Asset Value for financial reporting purposes.

 

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.

 

MONTH-END NET ASSET VALUE PER INITIAL UNITCLASS A

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **June** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|
| 2009       |       | $        | 1.3808     |     | $          | 1.3886   |       | $        | 1.3368     |    | $          | 1.3365   |       | $ | 1.3550 |   | $ | 1.3301 |   |
| 2010       |       | $        | 1.0816     |     | $          | 1.0975   |       | $        | 1.2139     |    | $          | 1.2405   |       | $ | 1.1682 |   | $ | 1.1659 |   |

 

MONTH-END NET ASSET VALUE PER INITIAL UNITCLASS C

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **June** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|
| 2009       |       | $        | 1.3165     |     | $          | 1.3228   |       | $        | 1.2724     |    | $          | 1.2710   |       | $ | 1.2876 |   | $ | 1.2629 |   |
| 2010       |       | $        | 1.0209     |     | $          | 1.0351   |       | $        | 1.1439     |    | $          | 1.1680   |       | $ | 1.0990 |   | $ | 1.0959 |   |

 

MONTH-END NET ASSET VALUE PER INITIAL UNITCLASS D

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **June** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|
| 2009       |       | $        | 1.2296     |     | $          | 1.2380   |       | $        | 1.1935     |    | $          | 1.1946   |       | $ | 1.2127 |   | $ | 1.1919 |   |
| 2010       |       | $        | 0.8612     |     | $          | 0.8749   |       | $        | 0.9689     |    | $          | 0.9914   |       | $ | 0.9348 |   | $ | 0.9341 |   |

 

MONTH-ENDNET ASSET VALUE PER INITIAL UNIT CLASS I

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **June** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|
| 2009       |       | $        | 1.3678     |     | $          | 1.3760   |       | $        | 1.3246     |    | $          | 1.3247   |       | $ | 1.3435 |   | $ | 1.3193 |   |
| 2010       |       | $        | 1.0754     |     | $          | 1.0915   |       | $        | 1.2077     |    | $          | 1.2346   |       | $ | 1.1631 |   | $ | 1.1612 |   |

 

MONTH-ENDNET ASSET VALUE PER INITIAL UNIT CLASS DS

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **June** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|
| 2009       |       | $        | 1.6591     |     | $          | 1.6705   |       | $        | 1.6103     |    | $          | 1.6119   |       | $ | 1.6363 |   | $ | 1.6082 |   |
| 2010       |       | $        | 1.3193     |     | $          | 1.3403   |       | $        | 1.4843     |    | $          | 1.5188   |       | $ | 1.4321 |   | $ | 1.4310 |   |

 

MONTH-ENDNET ASSET VALUE PER INITIAL UNIT CLASS DT

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **June** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|
| 2009       |       | $        | 1.7163     |     | $          | 1.7296   |       | $        | 1.6688     |    | $          | 1.6719   |       | $ | 1.6986 |   | $ | 1.6709 |   |
| 2010       |       | $        | 1.3787     |     | $          | 1.4019   |       | $        | 1.5538     |    | $          | 1.5912   |       | $ | 1.5016 |   | $ | 1.5017 |   |

 

17

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Liquidity and Capital Resources

 

The Fund does not engage in the sale of goodsor services.  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 six months ended June 30, 2010,Fund capital increased 3.73% from $235,900,686 to $244,689,230.  This increase was attributable to the netgain from operations of $7,788,294, coupled with the redemption of 16,339,276Redeemable Units resulting in an outflow of $23,356,786.  The cash outflow was offset with cash inflowof $24,357,036 due to subscription of 18,217,806 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 aStatement of Cash Flows.

 

Investments

 

All investments (including derivatives) areheld for trading purposes.  Investmentsare recorded 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.

 

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 wouldbe received 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.

 

18

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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 thosecontracts where the Fund agrees to receive or deliver a fixed quantity offoreign currency for an agreed-upon price on an agreed future date.  Foreign currency contracts are valued daily,and the Fund’s net equity therein, representing unrealized gain or loss on thecontracts as measured by the difference between the forward foreign exchangerates at the dates of entry into the contracts and the forward rates at thereporting date, is included in the Statements of Financial Condition.  Realized gains (losses) and changes inunrealized gains (losses) on foreign currency contracts are recognized in theperiod in which the contract is closed or the changes occur, respectively andare included in the Statements of Operations and Statements of Changes inMembers’ Capital.

 

Interest Rates and Income

 

The Fund currently earns interest based on theprevailing Fed Funds rate plus a spread for short cash positions and minus aspread for long cash positions. The current short term interest rates haveremained extremely low when compared with historical rates and thus hascontributed negligible 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 onaccounting for uncertainty in income taxes. This guidance 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.

 

19

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Results of Operations

 

January 1, 2010 through March 31,2010

 

The Fund experienced a net trading profitbefore brokerage commissions and related fees of $18,268,907 for the firstquarter of 2010.  The profits wereprimarily attributable to the Fund trading in currencies, interest rates,energy, metals, agriculture and stock indices sectors.

 

The currency sector posted profits to the Fund. Losses were posted tothe Fund at the beginning of the first quarter as sales in Japanese yen versusvarious commodity-linked currencies performed badly due to the fall incommodity prices. The U.S. dollar unexpectedly appreciated against numerousother currencies and on balance this also delivered a negative contribution.Euro sales against the Russian ruble, the Turkish lira, the Mexican peso andthe Australian 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 verywell. The quarter ended with profits being posted to the Fund.

 

The interest 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.

 

The energy sector posted profits to the Fund. Purchases of crude oil,gasoline, heating oil and gas oil all lost money after prices fell due to lessfavorable economic outlooks. Therefore, losses were posted to the Fund at thebeginning of the quarter. Most energy market prices turned mid-February, so losseswere felt on short positions in crude oil, gas oil and gasoline. Natural gasprices did however continue falling so short positions 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.

 

20

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The metals sector posted profits to the Fund.  Various metal prices depreciated in January whichled to losses on long positions in copper, aluminum and silver resulting inlosses being posted to the Fund. Gold purchases were profitable but not enoughto offset losses being posted to the Fund in the middle of the quarter. Thecommodity markets experienced a variety of different trends with base metalsprices increasing resulting in profits. The quarter ended with profits beingposted to the Fund

 

The agriculture sector posted profits to the Fund. Profits were postedto the Fund at 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 suffered. Short positions in soybeans also yielded a lossresulting in losses being posted to the Fund in the middle of the quarter. Thecommodity markets experienced a variety of different trends. Also, base metalsand cattle prices increased, while the grain markets weakened. Through thismixture of trends and their diversifying character, the agriculture sectorposted profits to the Fund at the end of the quarter.

 

Stock indices posted profits to theFund.  The stock markets continuedtheir way upwards during the beginning 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 beginning of February the stock marketsfell further, but then recovered and stabilized. Small losses were posted tothe Fund with positions in the Australian, Swedish and Turkish indices. On thecontrary, sales in the Italian index produced a small profit. In general thereseemed to be a lack of clear trends in this sector which resulted in lossesbeing posted to the Fund in the middle of the quarter. The returning confidencein a recovering global economy was accompanied by gently rising equity marketsand a falling expected volatility. Profits were posted to the Fund throughpurchases in particular in the United States, Canada, Mexico, Japan, Thailand,Malaysia, Sweden, Hungary, Switzerland, United Kingdom, Germany and severalEuropean sector indices. Also, selling positions in the volatility indexgenerated gains. The quarter ended with profits being posted to the Fund.

 

April 1, 2010 through June 30, 2010

 

The Fund experienced a net trading loss of$7,099,710 before commissions and related fees in the second quarter of 2010.The Fund’s profits were primarily attributable to the interest rate and metalssectors posting profits. The agriculture, currency, stock indices and energysectors posted losses.

 

The interest rate sector posted profits to the Fund.Profits were posted to the Fund at the beginning of the quarter as the unrestduring the second half of April led to a flight to quality. The majortrends in March continued in April: strong equities, a weak U.S dollar andeuro and strong metals and liquid energy products. In the second half of April thesetrends were interrupted in response to major events. The events were theclosing of European airports due to the volcano ash problems, the indictmentagainst Goldman Sachs by the Securities and Exchange Commission and whenStandard & Poor downgraded Greece and Portugal. Purchases of Europeanand American government bonds offered protection against the sharp pricefluctuations. Buys of Japanese and Korean state debt paper even generatedprofits. The money market interest rates showed a more variable picture withmixed results. During the extreme events in the first week of May, purchases ofsafe government bonds offered traditional protection as profits were posted tothe Fund in the middle of the quarter. These positions not only provided a profitin the first week of May but also contributed through the month. Thepessimistic mood in Europe was accompanied by a flight to government bonds,particularly non-

 

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euro-denominated.Positions anticipating this development benefitted from the rising prices ofBritish, American, Mexican, Japanese and Australian paper resulting in profitsbeing posted to the Fund at the end of the quarter.

 

Themetals sector posted profits to the Fund. The prices of base metals did notshow any recovery after the major events in April which posted losses forthe Fund but were offset by existing long positions in precious metalsresulting in profits being posted to the Fund at the beginning of the quarter.The month of May began with a very difficult first week, which ultimatelydetermined the month-end result. Concerns continued in April about the euro spilled over to thecommodity markets in the beginning of May. The fear was that the instability inEurope would on a larger scale be harmful to economic growth. Purchases of goldand silver provided similar protection as bonds, protection against the sharpprice fluctuations resulting in profits being posted to the Fund in middle ofthe quarter. Precious metals continued to appreciate in June resulting inprofits being posted to the Fund at the end of the quarter.

 

Theagriculture sector posted losses to the Fund. Sales in sugar and purchases insoybeans posted profits to the Fund which were offset by losses in shortpositions in corn and wheat resulting in losses posted to the Fund at thebeginning of the quarter.  Losses wereposted to the Fund in the middle of the quarter due to long positions insoybeans. The only true excitement in June was found in the coffee market.Reports regarding smaller than expected supplies drove prices up in two weekstime. This was unfavorable for a short position in Robusta coffee, but thisloss was more than offset by gains on long positions in the Arabica flavor.Very nice trends were also seen in a few very small commodity markets, such asUnited States rice, European rapeseed and South African maize. These wereprofited from to the extent that the size of these markets allowed.Unfortunately the larger commodity markets offered fewer opportunitiesresulting in losses being posted to the Fund at the end of the quarter. Cottonprices fell immediately after new highs had been reached.

 

Thecurrency sector posted losses to the Fund. Profits were posted to the Fund atthe beginning of the quarter due to purchases of the Philippine peso and theMalaysian ringgit contributed to the result. In South America, a firm Brazilianreal together with purchases in the Mexican peso also contributed to profitsbeing posted to the Fund. Long positions in Turkish lira, Russian ruble and theAustralian and New Zealand dollar also added to the overall positive result.Losses were posted to the Fund in the middle of the quarter. The carry tradeswere under the most pressure during the events in the first part of the monthof May.  In the final weeks of May,purchases of the Brazilian real and Turkish lira and sales of Swiss francscontributing to limiting the losses posted to the Fund in the middle of thequarter. There were no major gains or losses recorded in any position duringthe month of June. For various reasons the trading programs did not or hardlyparticipate in the rise of the Swiss franc against other European currencies,but they did participate in the British pound. In the other currency pairs, theoutcome was exactly what a trend following strategy pursues in a sidewaysenvironment: a limited number of positions with a slight loss resulting inlosses being posted to the Fund at the end of the quarter.

 

Thestock indices posted losses to the Fund. Losses were posted to the Fund at thebeginning of the quarter. The major events in the second half of April, theclosing of European airports due to the volcano ash problems, the indictmentagainst Goldman Sachs by the Securities and Exchange Commission and again, tendays later when Standard & Poor downgraded Greece and Portugal werestrongly felt in the stock markets. Many equity indices, especially European,did not recover from these shocks and purchases generated losses to the Fund.Indices that showed more resistance, like Sweden, Turkey, Malaysia andSingapore, were able to remain profitable. The markets in the United States,especially in the small and midcap indices, showed the highest resilience.However, the profits could not fully offset the losses posted to the Fund inApril.  Purchases of mostly non-euroequity markets suffered harshly in the first week of May. In the second

 

22

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halfof the month, a small portion of that loss was made up with more balancedpositions but not enough to offset losses resulting in losses being posted tothe Fund in the middle of the quarter. The limited positions held in the equitymarkets in June were the most affected by the varying moods. When optimismin Southeast Asia emerged, losses were suffered on short positions in Hong Kongand Singapore. When this optimism did not push onwards, carefully built up longpositions in Europe were also hurt. In the last days of June, small profits onAmerican short positions could not prevent the losses posted to the Fund at theend of the quarter.

 

Theenergy sector posted losses to the Fund. Purchases in liquid energy productsand emission rights resulted in profits posted to the Fund at the beginning ofthe quarter. Due to the declining prices in the energy markets, which startedin the beginning of May, purchases of crude oil, heating oil and gasolineprovided the biggest contribution to the negative outcome of this sectorresulting in losses posted to the Fund in the middle of the quarter. Thedownward trends in the oil markets, initialized in May, did not continue in June resultingin losses being posted to the Fund.

 

January 1, 2009 through March 31,2009

 

The Fund experienced a net trading lossbefore brokerage 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.

 

The energy sector posted profits for the Fund. Natural gas pricestrended downwards at the beginning of the quarter which the Fund took advantageof through various short positions resulting in profits being posted for theFund. Profits continued to be posted to the Fund in the middle of the quartermainly earned by natural gas and heating oil sales. Disappointing results fromheating oil sales were more than compensated for through profits being postedto Fund at the end of the quarter resulting from natural gas sales.

 

The metals sector posted losses for the Fund. Sales in precious andbase metals were basically uneventful except for aluminum which returnedprofits for the Fund at the beginning of the quarter. Profits were posted tothe Fund in the middle of the quarter due to long positions in gold asinvestors were buying gold in mass due to their waning confidence in thefinancial system pushing prices upwards. The quarter ended with losses beingposted to the Fund as previous sales of lead and zinc had negative results.Also, the price of gold could not hold its upward trend which led to additionallosses.

 

Stock indices posted losses for the Fund.  Profits were posted to the Fund at thebeginning of the quarter. New optimism almost let the stock markets stage arecovery, but too much doubt still persisted. These mixed sentiments and itstranslation to the markets was not an ideal environment for clear trends toflourish. 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.

 

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The currency sector posted losses for the Fund. Losses were posted tothe Fund at the beginning of the quarter. Shortly after the year started,several trend reversals were seen as the U.S. dollar strengthened againstvarious currencies. Some of these movements hurt existing positions, such aslong positions in South African rand versus the U.S. dollar and the euro plus along position in the Turkish lira against the U.S. dollar.  The Canadian dollar showed some extrastrength in the beginning of January as it followed crude oil pricesupwards. This had a negative impact on Canadian dollar sales versus the U.S.dollar and the euro. The Russian government tried to control the ruble’sdepreciation during the month of January month by expanding its baskettrading band but the currency still fell faster than desired. Therefore, rublesales and also Hungarian forint sales, due to the Eastern European currenciesstill being associated with Russia, earned profits versus the euro.  Profits were posted to the Fund in the middleof the quarter. The weakness of the Swedish crown was taken advantage ofthrough sales versus the Norwegian crown and the U.S. dollar. Emerging marketcurrencies also felt pressure as sales in the Taiwan and Singapore dollars andthe Colombian peso were also profitable for the Fund. The U.S. dollarappreciated against the currencies of the more developed countries with variouspositions earning gains as a consequence. The announced quantitative easing inthe United States abruptly ended the upward march of the U.S. dollar. Thismovement was the most important cause of the losses being posted to the Fund atthe end of the quarter. Purchases of U.S. dollars versus various emerging anddeveloped currencies suddenly dropped. Euros sold against Hong Kong dollars didnot deliver the desired result posting losses for the Fund. Sales of Turkishlira against euros, together with purchases of South African rand versusvarious other currencies proved to be the top positive exceptions which werenot enough to offset the losses posted to the Fund.

 

The agriculture sector posted losses for the Fund. Losses were postedto the Fund at the beginning of the quarter due to volatility in the markets.Profits were posted to the Fund in the middle of the quarter. The Fund profitedfrom the downward trends in wheat and soybeans. Sugar was one of the fewcommodities which ended the month higher which played out well for purchasedpositions. The quarter ended with losses being posted to the Fund. The financialmarket recovery, the weakening U.S. dollar and unrest amongst farmers inArgentina, an important agro-exporter, were the right ingredients for aturnaround in grain prices. Short positions in soybeans, soybean meal, corn andwheat suffered losses. Prices of gold and sugar could not hold their upwardtrend which led to additional losses being posted to the Fund.

 

The interest rate sector posted losses for the Fund. Losses were postedfor the Fund at the beginning of the quarter. The interest rate markets lookedto be following on from last year with their upward trends. However,considerations that the crisis was perhaps moving a step closer to being undercontrol reversed these movements. Long capital market positions in Japan,United Kingdom, United States and Canada all suffered losses. Short positionsin Europe also failed to add gains. Losses were posted to the Fund in themiddle of the quarter. Downward pressure was placed on rates due to the somberoutlook of the economy. On the other hand, upward pressure was put on rates dueto serious questions being asked about the expensive financing plans ofgovernments and their negative implications. A purchase of South Koreangovernment debt generated a loss plus various positions in the British money marketalso did not bring the desired result. Losses were posted to the Fund at theend of the quarter. Although the market had considered an announcement of theU.S. Federal Reserve to use quantitative easing was still a surprise when theyannounced it. Interest rate markets reacted heavily whereby positions countingon lower rates in Europe than in the U.S. suffered losses. Purchases ofgovernment debt in Germany, Japan and South Korea booked a negative result andpositions in Australia also posted losses for the Fund.

 

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April 1, 2009 through June 30, 2009

 

The Fund experienced a net trading profitbefore brokerage commissions and related fees in the second quarter of 2009 of$ 1,092,592.  Profits were primarilyattributable to the Fund’s currency, agriculture, and stock indices sectorsposting gains while the metals, interest rates and energy sectors postedlosses.

 

The currency sector posted profits for the Fund. Profits were posted tothe Fund at the beginning of the quarter due to currencies of various commodityrich countries as a rising trend in positions in South Africa, Russia,Australia, Brazil and Colombia against major currencies profited from thismove. Purchases of Mexican pesos were initially beneficial however, at the endof April the pesos was strongly affected due to the fear of the Swine Fluoutbreak. Also long positions in the Swiss franc and short positions in theCanadian dollar versus the euro proved unprofitable. Profits continued to be postedto the Fund in the middle of the quarter. Many currencies appreciated versusthe U.S. dollar mainly caused by the increasing amount of debt of the U.S.government. In South America, buying of Colombian pesos, Brazilian real andMexican pesos against the U.S. dollar posted profits for the Fund. The bestearnings within the currency sector were achieved through the buying of “commodity”currencies such as the South African rand and Australian dollars versus variousother currencies. Furthermore, long positions in the Russian ruble, the Swissfranc and the Hungarian forint also did well. The only significant loss feltwas Turkish liras purchased with euros. The trend where emerging marketcurrencies were appreciating against Western currencies continued its course atthe end of the quarter. Profits were posted to the Fund at the end of thequarter with purchases of the Czech koruna, the Hungarian forint and the SouthAfrican rand. The Swiss central bank intervention led to a sharp fall in thevalue of the Swiss franc, which was unfavorable for positions versus the U.S.dollar but favorable for short positions against other European currencies.British pounds bought with U.S. and Canadian dollars were also profitable forthe Fund.

 

The agriculture sector posted profits for the Fund. Profits were postedto the Fund at the beginning of the quarter. Short positions in corn turnednegative when the market price reversed after Russia and China declared animport stop for American pig meat. However, these losses were more thancompensated for through profits from purchases in the soy complex and sales inhogs. Profits continued to be posted to the Fund in the middle of the quarteras sugar buying delivered profits. Corn sales caused losses but were more thanmade up for with purchases in soybeans and soybean meal. Profits continued tobe posted to the Fund at the end of the quarter as long coffee positionsexperienced losses but were later compensated with gains achieved with shortcorn and wheat positions. Cattle sales experienced losses which were made upfor through short positions in the lean hog markets.

 

The stock indices posted profits for the Fund. Profits were posted tothe Fund at the beginning of the quarter as equity prices continued theircourse of recovery from the previous month. Long positions in Asia and NorthAmerica, especially in Taiwan and South Korea generated profits to the Fundwhile short positions in Europe, mostly limited in size, posted losses to theFund. Profits were posted to the fund in the middle of the quarter due to themajority of indices worldwide ended the month higher. In Asia, long positionsin Taiwan and China made the highest contributions to the profit earned.Purchases of the Indian index also did well, partially due to the positivesentiment following the election results. In Europe, profits being posted tothe Fund were achieved by purchases in the Netherlands and in the pan-Europeanraw material sector index. Losses were posted to the Fund at the end of thequarter. In Asia, long positions in Hong Kong and China earned gains and shortpositions in Taiwan suffered losses. Losses were also posted to the Fund due topurchases of German indices and in the pan-European oil and gas sector indices.

 

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The metals sector posted losses for the Fund. Losses were posted to theFund at the beginning of the quarter. Short positions in aluminum and nickel as well as a long position insilver produced losses. Profits were posted to the Fund in the middle of thequarter due to long positions in gold, tin and zinc. The quarter ended withlosses being posted to the Fund due to gold purchases and aluminum sales bothled to losses.

 

The interest rate sector posted losses for the Fund. Losses were postedto the Fund at the beginning of the quarter. The expectation of further buyingof debt paper by the U.S. Federal Government could not outweigh the increasingstrength shown in the equity markets. As such, various interest rate marketskept losing ground and this led to losses in long positions in the U.S. moneyand capital market products. South Korean government bonds however showed anuptrend, which resulted in profits being posted to the Fund. This uptrend couldnot outweigh the losses being posted to the Fund. Profits were posted to theFund in the middle of the quarter. An improved economic outlook and the firstcreeping doubts regarding the credit ratings of the United States and theUnited Kingdom governments both led to a steepening of the interest rate curve.Various positions in the U.S. money markets played out successfully on thisdevelopment. Purchases of South Korean and German long term government debtwere therefore loss-makers. These losses were however more than compensated forby sales in Australian, U.S. and United Kingdom debt. Losses were posted to theFund at the end of the quarter. The steepening trend of the interest rate curveaccelerated during the first few days of June. Doubts over the economicsituation however abruptly broke this trend. European positions anticipating aflattening of the curve were unfortunately not able to perform well. Purchasesof American, British and German government bonds were loss-making. In thePacific region, sales of Australian state bonds and later buying of Japaneseobligations resulted in profits being posted to the Fund. Due to spawningdoubts regarding the credit-worthiness of the American government, profits wereearned with the relative weakness of the U.S. treasuries. However, this was notenough to outweigh the losses being posted to the Fund as the quarter ended.

 

The energy sector posted losses for the Fund. Profits were posted tothe Fund at the beginning of the quarter resulting from sales of natural gas.Losses were posted to the Fund in the middle of the quarter Various fossil fuelprices rose this month as the U.S. dollar weakened and the economic outlook wasperceived to be improving. Sales in natural gas and heating oil thereforesuffered significant losses but were partially compensated with gasoline andcrude oil buying. The quarter ended with losses being posted to the Fund due tosales in natural gas.

 

The Fund has no applicable off-balance sheet arrangements or tabulardisclosure of contractual obligations of the type described in Items 303(a)(4) and303(a)(5) of Regulation S-K.

 

Item 3. Quantitative and Qualitative Disclosures About Market Risk

 

Introduction

 

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

 

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

 

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The Fund, under the direction of the trading advisors, rapidly acquiresand liquidates both long and short positions in a wide range of differentmarkets.  Consequently, it is notpossible to predict how a particular future market scenario will affect performance,and the Fund’s past performance is not necessarily indicative of its futureresults.

 

Value at Risk is a measure of the maximum amount which the Fund couldreasonably be expected to lose in a given market sector. However, the inherentuncertainty of the Fund’s speculative trading and the recurrence in the marketstraded by the Fund of market movements far exceeding expectations could resultin actual trading or non-trading losses far beyond the indicated Value at Riskor the Fund’s experience to date (i.e., “risk of ruin”). In light of theforegoing, as well as the risks and uncertainties intrinsic to all futureprojections, the quantifications included in this section should not beconsidered to constitute any assurance or representation that the Fund’s lossesin any market sector will be limited to Value at Risk or by the Fund’s attemptsto manage its market risk.

 

Quantifying The Fund’s Trading Value At Risk

 

Quantitative Forward-Looking Statements

 

The following quantitative disclosures regarding the Fund’s market riskexposures contain “forward-looking statement” within the meaning of the safeharbor from civil liability provided for such statements by the PrivateSecurities Litigation Reform Act of 1995 (set forth in Section 27A of theSecurities Act of 1933 and Section 21E of the Securities Exchange Act of1934).  All quantitative disclosures inthis section are deemed to be forward-looking statements for purposes of thesafe harbor, except for statements of historical fact.

 

The Fund’s risk exposure in the various market sectors traded byTranstrend 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 the Fund as themeasure 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 wellas an assessment of current market volatility (including the implied volatilityof the options on a given futures contract) and economic fundamentals toprovide a probabilistic estimate of the maximum expected near-term one-dayprice 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.

 

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***The Fund’s Trading Value at Risk in DifferentMarket Sectors***

 

The following table indicates the average, highest and lowest tradingValue at Risk associated with the Fund’s open positions by market category forthe fiscal period. For the six months ended June 30, 2010 and 2009 theFund’s average Month-end Net Asset Value was $241,770,462 and $221,317,748respectively.

 

**June 30, 2010**

 
| ** **               | ** ** | **Average Value** | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|--------------------------|------------|------------------------|------------|----------------------------|------------|------------------------|------------|-----------------------|------------|
| **Market Sector**   | ** ** | **at Risk**       | ** ** | **Capitalization**         | ** ** | **at Risk**       | ** ** | **at Risk**      | ** ** |
|                     |       |                   |       |                       |       |                   |       |                  |       |
| Agricultural Commodities |       | 2,204,722              |       | 0.91                       | %          | 3,644,533              |       | 1,184,779             |       |
| Currencies               |       | 7,273,969              |       | 3.01                       | %          | 12,294,354             |       | 3,996,697             |       |
| Energy                   |       | 8,316,525              |       | 3.44                       | %          | 13,186,378             |       | 4,060,278             |       |
| Interest Rates           |       | 3,528,401              |       | 1.46                       | %          | 7,542,633              |       | 939,365               |       |
| Metals                   |       | 1,398,324              |       | 0.58                       | %          | 3,008,013              |       | 364,706               |       |
| Stock Indices            |       | 2,936,046              |       | 1.21                       | %          | 4,603,316              |       | 1,454,327             |       |
|                     |       |                   |       |                       |       |                   |       |                  |       |
| Total                    |       | 25,657,987             |       | 10.61                      | %          | 44,279,227             |       | 12,000,152            |       |

 

**June 30, 2009**

 
| ** **               | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|--------------------------|------------|-----------------------------|------------|----------------------------|------------|------------------------|------------|-----------------------|------------|
| **Market Sector**   | ** ** | **Value at Risk** | ** ** | **Capitalization**         | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                     |       |                        |       |                       |       |                   |       |                  |       |
| Agricultural Commodities |       | $                           | 589,102    |                       | 0.27       | %                      | $          | 1,936,252             |       | $ | 176,741 |   |
| Currencies               |       | 501,562                     |       | 0.23                       | %          | 1,112,839              |       | 98,339                |       |
| Energy                   |       | 761,212                     |       | 0.34                       | %          | 1,310,961              |       | 147,133               |       |
| Interest Rates           |       | 15,363,422                  |       | 6.94                       | %          | 18,757,370             |       | 9,699,195             |       |
| Metals                   |       | 39,217                      |       | 0.02                       | %          | 82,763                 |       | 4,430                 |       |
| Stock Indices            |       | 695,206                     |       | 0.31                       | %          | 1,574,200              |       | 54,488                |       |
|                     |       |                        |       |                       |       |                   |       |                  |       |
| TOTAL                    |       | $                           | 17,949,721 |                       | 8.11       | %                      | $          | 24,774,385            |       | $ | 10,180,326 |   |

 

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Material Limitations on Value at Risk as anAssessment of Market Risk

 

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

 

Non-TradingRisk

 

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

 

The following qualitative disclosures regarding the Fund’s market riskexposures — except for (i) those disclosures that are statements ofhistorical fact and (ii) the descriptions of how the Fund manages itsprimary market risk exposures — constitute forward-looking statements withinthe meaning of Section 27A of the Securities Act and Section 21E ofthe Securities Exchange Act. The Fund’s primary market risk exposures as well asthe strategies used and to be used by MLAI and Transtrend for managing suchexposures are subject to numerous uncertainties, contingencies and risks, anyone of which could cause the actual results of the Fund’s risk controls todiffer materially from the objectives of such strategies. Governmentinterventions, defaults and expropriations, illiquid markets, the emergence ofdominant fundamental factors, political upheavals, changes in historical pricerelationships, and an influx of new market participants, increased regulationand many other factors could result in material losses as well as in materialchanges to the risk exposures and the risk management strategies of the Fund.There can be no assurance that the Fund’s current market exposure and/or riskmanagement strategies will not change materially or that any such strategieswill be effective in either the short- or long-term. Investors must be preparedto lose all or substantially all of the time value of their investment in theFund.

 

The following were the primary trading risk exposures of the Fund as ofJune 30, 2010, by market sector.

 

Interest Rates

 

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.

 

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However, the Fund also takes positions in the government debt ofsmaller nations e.g., Australia. MLAI anticipates that G-7 interest rates willremain the primary 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.

 

Stock Indices

 

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 June 30,2010. 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

 

The Fund’s primary energy market exposure is to natural gas and crudeoil price movements, often resulting from political developments in the MiddleEast. Oil prices can be volatile and substantial profits and losses have beenand are expected to continue to be experienced in this market.

 

Qualitative Disclosures Regarding Non-Trading Risk Exposure

 

The following were the only non-trading risk exposures of the Fund asof June 30, 2010.

 

Foreign Currency 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 at MLPF&S or BlackRock.The Fund has immaterial cash flow interest rate risk on its cash on depositwith MLPF&S in that declining interest rates would cause the income fromsuch cash to decline.

 

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Item 4. 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 (as defined in Rule 13a-15(e) underthe Securities Act of 1934) with respect to the Fund as of the end of theperiod covered by this quarterly report, and, based on this evaluation, hasconcluded that these disclosure controls and procedures are effective. Nochange in internal control over financial reporting (as defined in Rule 13a-15(f) underthe Securities Exchange Act of 1934) occurred during the quarter ended June 30,2010 that has materially affected, or is reasonably likely to materiallyaffect, the Fund’s internal control over financial reporting.

 

PART II - OTHER INFORMATION

 

Item 1.  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.

 

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Item 2.            UnregisteredSales of Equity Securities and Use of Proceeds

 

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

 

CLASS A

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-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 |   |
| May-10     |       | 210,735          |       | 169,879    |       | 1.2405 |   |
| Jun-10     |       | 367,568          |       | 314,645    |       | 1.1682 |   |
| Jul-10     |       | 97,835           |       | 83,914     |       | 1.1659 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

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 |   |
| May-10     |       | 1,087,992        |       | 931,500    |       | 1.1680 |   |
| Jun-10     |       | 265,855          |       | 241,906    |       | 1.0990 |   |
| Jul-10     |       | 483,993          |       | 441,640    |       | 1.0959 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS D

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-10     |       | $                | —     |       | —     |   | $ | 0.9097 |   |
| Feb-10     |       | —           |       | —     |       | 0.8612 |   |
| Mar-10     |       | —           |       | —     |       | 0.8749 |   |
| Apr-10     |       | —           |       | —     |       | 0.9689 |   |
| May-10     |       | —           |       | —     |       | 0.9914 |   |
| Jun-10     |       | —           |       | —     |       | 0.9348 |   |
| Jul-10     |       | —           |       | —     |       | 0.9341 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

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 |   |
| May-10     |       | —           |       | —     |       | 1.2346 |   |
| Jun-10     |       | 79,998           |       | 68,780     |       | 1.1631 |   |
| Jul-10     |       | 40,000           |       | 34,447     |       | 1.1612 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

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 |   |
| May-10     |       | —           |       | —     |       | 1.5188 |   |
| Jun-10     |       | 6,014,301        |       | 4,199,637  |       | 1.4321 |   |
| Jul-10     |       | 173,268          |       | 121,082    |       | 1.4310 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

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 |   |
| May-10     |       | —           |       | —     |       | 1.5912 |   |
| Jun-10     |       | 400,047          |       | 266,414    |       | 1.5016 |   |
| Jul-10     |       | —           |       | —     |       | 1.5017 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

----

(1) Beginning of the month Net Asset Value

 

Class A Units are subject to sales commission paid to MLPF&Sranging from 1.0% to 2.5%. Class D and Class I Units are subject tosales commissions up to 0.50%. The rate assessed to a given subscription isbased upon the subscription amount. Sales commissions are directly deductedfrom subscription amount. Class C, Class DS and Class DT Unitsare not subject to any sales commissions.

 

(b)         None.

(c)          None.

 

32

----

 

Item 3.                                     Defaults Upon SeniorSecurities

 

None.

 

Item 4.                                     (Removed and Reserved)

 

Item 5.                                     Other Information

 

None.

 

Item 6.                                     Exhibits

 

Thefollowing exhibits are filed herewith to this Quarterly Report on Form 10-Q:

 

31.01and

31.02                                             Rule 13a-14(a)/15d-14(a) Certifications

 

Exhibit 31.01

and 31.02                      Are filed herewith.

 

32.01and

32.02                                             Section 1350Certifications

 

Exhibit 32.01

and 32.02                      Are filed herewith.

 

33

----

 

**SIGNATURES**

 

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

 

 
|                        | ML  TRANSTREND DTP ENHANCED FUTURESACCESS LLC. |
|-----------------------------|------------------------------------------------|
|                        |                                           |   |   |
|                        |                                           |   |   |
|                        |                                           | By: | MERRILL  LYNCH ALTERNATIVE |
|                        |                                           |   | INVESTMENTS  LLC |
|                        |                                           |   | (Manager) |
|                        |                                           |   |   |
|                        |                                           |   |   |
| Date: August 13, 2010  |                                           | By: | /s/ JUSTIN C. FERRI |
|                        |                                           |   | Justin  C. Ferri |
|                        |                                           |   | Chief  Executive Officer, President and Manager |
|                        |                                           |   | (Principal  Executive Officer) |
|                        |                                           |   |   |
|                        |                                           |   |   |
| Date:  August 13, 2010 |                                           | By: | /s/  BARBRA E. KOCSIS |
|                        |                                           |   | Barbra  E. Kocsis |
|                        |                                           |   | Chief  Financial Officer |
|                        |                                           |   | (Principal  Financial and Accounting Officer) |

 

34

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