**UNITED STATESSECURITIES AND EXCHANGE COMMISSION**

**Washington, D.C.20549**

** **

**FORM 10-Q**

** **

**(Mark One)**

 

| **x**** QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF  THE SECURITIES EXCHANGE ACT OF 1934** |
|-------------------------------------------------------------------------------------------------------------------|
|                                                                                                              |
| **For the  quarterly period ended September 30, 2008**                                                       |
|                                                                                                              |
| ** **                                                                                                        | **OR** |
|                                                                                                              |
| **o****TRANSITION REPORT PURSUANT TO  SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934**      |

 

**For the transition period from                to**

 

**Commission File Number 0-52700**

 

# **MLCHESAPEAKE FUTURESACCESS LLC**

(Exact Name of Registrant as

specified in its charter)

 

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

 

**c/oMerrill Lynch Alternative Investments LLC**

**Two WorldFinancial Center, 7th Floor**

**New York, New York 10281**

 (Address ofprincipal executive offices)

(Zip Code)

 

**212-236-2063**

(Registrant’s telephone number, including area code)

 

Indicate by check mark whether the registrant (1) hasfiled all reports required to be filed by Section 13 or 15(d) of theSecurities Exchange Act of 1934 during the preceding 12 months (or for suchshorter period that the registrant was required to file such reports), and (2) hasbeen subject to such filing requirements for the past 90 days.

Yes  x  No  o

 

Indicate by check mark whether the registrant is alarge accelerated filer, an accelerated filer, a non-accelerated filer.  See the definitions of “accelerated filer “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 | Smaller Reporting Company o |
|---------------------------|---------------------|-------------------------|-----------------------------|

 

Indicate by check markwhether registrant is a shell company (as defined by Rule 12b-2 of theExchange Act).

Yes  o  No  x

 

Indicate by check mark whether the registrant hasfiled all documents and reports required to be filed by Sections 12, 13 or 15(d) ofthe Securities Exchange Act of 1934 subsequent to the distribution ofsecurities under a plan confirmed by a court.

Yes  o  No  o

 

The limited partnership units of the registrant arenot publicly traded. Accordingly, there is no aggregate market value forregistrant’s outstanding equity that is readily determinable.

 

 

 

----

 

**ML CHESAPEAKE FUTURESACCESS LLC**

 

QUARTERLY REPORT FOR SEPTEMBER 30, 2008 ON FORM 10-Q

 

Table of Contents

 
| ** ** | ** **                                                                                  | **PAGE** |
|------------|---------------------------------------------------------------------------------------------|----------|
|       | PART I                                                                                 |     |
|       |                                                                                        |     |
| Item 1.    | Financial Statements                                                                        | 1        |
|       |                                                                                        |     |
| Item 2.    | Management’s  Discussion and Analysis of Financial Condition and Results of Operations | 10       |
|       |                                                                                        |     |
| Item 3.    | Quantitative  and Qualitative Disclosures About Market Risk                                 | 16       |
|       |                                                                                        |     |
| Item 4.    | Controls and  Procedures                                                                    | 18       |
|       |                                                                                        |     |
|       | PART II                                                                                |     |
|       |                                                                                        |     |
| Item 1.    | Legal Proceedings                                                                           | 19       |
|       |                                                                                        |     |
| Item  1A.  | Risk Factors                                                                                | 19       |
|       |                                                                                        |     |
| Item 2.    | Unregistered  Sales of Equity Securities and Use of Proceeds                                | 21       |
|       |                                                                                        |     |
| Item 3.    | Defaults Upon Senior  Securities                                                            | 22       |
|       |                                                                                        |     |
| Item 4.    | Submission of  Matters to a Vote of Security Holders                                        | 22       |
|       |                                                                                        |     |
| Item 5.    | Other Information                                                                           | 22       |
|       |                                                                                        |     |
| Item  6.   | Exhibits                                                                                    | 22       |

 

----

 

PART I - FINANCIALINFORMATION

 

Item1.    Financial Statements

 

ML CHESAPEAKE FUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OF FINANCIAL CONDITION

 
| ** **                                                                                           | ** ** | **September 30,** | ** **  | **December 31,** | ** ** |
|------------------------------------------------------------------------------------------------------|------------|------------------------|-------------|-----------------------|------------|
| ** **                                                                                           | ** ** | **2008**               | ** **  | **2007**              | ** ** |
| ** **                                                                                           | ** ** | **(unaudited)**        | ** **  | **(unaudited)**       | ** ** |
| **ASSETS:**                                                                                          |       |                   |        |                  |       |
| Equity in  commodity futures trading accounts:                                                       |       |                   |        |                  |       |
| Cash (included  restricted cash of $10,744,658 for 2008 and $15,889,006 for 2007)                    |       | $                      | 126,572,869 |                  | $          | 113,195,547 |   |
| Net unrealized  profit (loss) on open contracts                                                      |       | (371,034               | )           | 5,301,489             |       |
| Cash                                                                                                 |       | 208,448                |        | 82,836                |       |
| Deferred initial  offering costs                                                                     |       | —                 |        | 12,500                |       |
| Accrued interest                                                                                     |       | 166,964                |        | 391,180               |       |
| Other Assets                                                                                         |       | 221,304                |        | —                |       |
|                                                                                                 |       |                   |        |                  |       |
| **TOTAL  ASSETS**                                                                                    |       | $                      | 126,798,551 |                  | $          | 118,983,552 |   |
|                                                                                                 |       |                   |        |                  |       |
| **LIABILITIES  AND MEMBERS’ CAPITAL**                                                           |       |                   |        |                  |       |
| LIABILITIES:                                                                                         |       |                   |        |                  |       |
| Brokerage  commissions payable                                                                       |       | $                      | 28,345      |                  | $          | 41,616 |   |
| Management fee  payable                                                                              |       | 145,486                |        | 114,949               |       |
| Initial offering  costs payable                                                                      |       | 50,000                 |        | 50,000                |       |
| Sponsor fee  payable                                                                                 |       | 4,118                  |        | 300                   |       |
| Redemptions  payable                                                                                 |       | 87,139                 |        | 7,298,096             |       |
| Other                                                                                                |       | —                 |        | 21,218                |       |
|                                                                                                 |       |                   |        |                  |       |
| Total  liabilities                                                                                   |       | 315,088                |        | 7,526,179             |       |
|                                                                                                 |       |                   |        |                  |       |
| MEMBERS’  CAPITAL:                                                                              |       |                   |        |                  |       |
| Members’  Interest (126,028,121 and 108,911,153 Units outstanding, unlimited Units  authorized) |       | 126,483,463            |        | 111,457,373           |       |
| Total members’  capital                                                                         |       | 126,483,463            |        | 111,457,373           |       |
|                                                                                                 |       |                   |        |                  |       |
| **TOTAL  LIABILITIES AND MEMBERS’ CAPITAL**                                                     |       | $                      | 126,798,551 |                  | $          | 118,983,552 |   |
|                                                                                                 |       |                   |        |                  |       |
| **NET  ASSET VALUE PER UNIT (NOTE 3)**                                                               |       |                   |        |                  |       |

 

See notes to financialstatements.

 

1

----

 

ML CHESAPEAKE FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OF OPERATIONS

(unaudited)

 
| ** **                                     | ** ** | **For the three  months ended** | ** **  | **For the three  months ended** | ** ** | **For the nine  month ended** | ** ** | **For the period  April 2, 2007  (commencement of operations)** | ** ** |
|------------------------------------------------|------------|------------------------------------------------|-------------|------------------------------------------------|------------|----------------------------------------------|------------|-----------------------------------------------------------------------------------------------|------------|
| ** **                                     | ** ** | **September 30, 2008**               | ** **  | **September 30, 2007**               | ** ** | **September 30, 2008**             | ** ** | **to September 30, 2007**                                                      | ** ** |
| **TRADING  PROFIT (LOSS):**                    |       |                                           |        |                                           |       |                                         |       |                                                                                          |       |
|                                           |       |                                           |        |                                           |       |                                         |       |                                                                                          |       |
| Realized                                       |       | $                                              | (30,291,304 | )                                              | $          | (30,303,529                                  | )          | $                                                                                             | 921,500    |   | $ | (29,994,047 | ) |
| Change in  unrealized                          |       | (10,309,004                                    | )           | 11,062,170                                     |       | (5,672,523                                   | )          | 12,184,531                                                                                    |       |
| Brokerage  commissions                         |       | (63,645                                        | )           | (99,317                                        | )          | (224,948                                     | )          | (225,345                                                                                      | )          |
|                                           |       |                                           |        |                                           |       |                                         |       |                                                                                          |       |
| Total trading  profit (loss)                   |       | (40,663,953                                    | )           | (19,340,676                                    | )          | (4,975,971                                   | )          | (18,034,861                                                                                   | )          |
|                                           |       |                                           |        |                                           |       |                                         |       |                                                                                          |       |
| **INVESTMENT  INCOME:**                        |       |                                           |        |                                           |       |                                         |       |                                                                                          |       |
| Interest                                       |       | 581,436                                        |        | 1,435,825                                      |       | 2,069,986                                    |       | 2,047,964                                                                                     |       |
|                                           |       |                                           |        |                                           |       |                                         |       |                                                                                          |       |
| **EXPENSES:**                                  |       |                                           |        |                                           |       |                                         |       |                                                                                          |       |
| Management fee                                 |       | 490,603                                        |        | 321,220                                        |       | 1,347,054                                    |       | 483,592                                                                                       |       |
| Performance fee                                |       | (5,425,130                                     | )           | (221,557                                       | )          | 241,786                                      |       | —                                                                                        |       |
| Sponsor fee                                    |       | 9,625                                          |        | 415                                            |       | 12,154                                       |       | 415                                                                                           |       |
| Other                                          |       | 110,027                                        |        | 58,769                                         |       | 219,319                                      |       | 104,427                                                                                       |       |
|                                           |       |                                           |        |                                           |       |                                         |       |                                                                                          |       |
| Total expenses                                 |       | (4,814,875                                     | )           | 158,847                                        |       | 1,820,313                                    |       | 588,434                                                                                       |       |
|                                           |       |                                           |        |                                           |       |                                         |       |                                                                                          |       |
| **NET  INVESTMENT INCOME (LOSS)**              |       | 5,396,311                                      |        | 1,276,978                                      |       | 249,673                                      |       | 1,459,530                                                                                     |       |
|                                           |       |                                           |        |                                           |       |                                         |       |                                                                                          |       |
| **NET  INCOME (LOSS)**                         |       | $                                              | (35,267,642 | )                                              | $          | (18,063,698                                  | )          | $                                                                                             | (4,726,298 | ) | $ | (16,575,331 | ) |
|                                           |       |                                           |        |                                           |       |                                         |       |                                                                                          |       |
| **NET  INCOME (LOSS) PER UNIT:**               |       |                                           |        |                                           |       |                                         |       |                                                                                          |       |
|                                           |       |                                           |        |                                           |       |                                         |       |                                                                                          |       |
| Weighted average  number of Units outstanding: |       |                                           |        |                                           |       |                                         |       |                                                                                          |       |
| Class A*                                  |       | 161,946                                        |        | 9,750                                          |       | 88,614                                       |       | 9,750                                                                                         |       |
| Class C**                                 |       | 1,538,061                                      |        | 73,186                                         |       | 606,783                                      |       | 73,186                                                                                        |       |
| Class DS***                               |       | 50,092,559                                     |        | 13,971,852                                     |       | 36,335,088                                   |       | 12,980,537                                                                                    |       |
| Class DT****                              |       | 76,361,187                                     |        | 111,090,716                                    |       | 81,123,444                                   |       | 110,256,623                                                                                   |       |
| Class I**                                 |       | 47,305                                         |        | 10,000                                         |       | 28,295                                       |       | 10,000                                                                                        |       |
|                                           |       |                                           |        |                                           |       |                                         |       |                                                                                          |       |
| Net income  (loss) per weighted average Unit:  |       |                                           |        |                                           |       |                                         |       |                                                                                          |       |
| Class A*                                  |       | $                                              | (0.3281     | )                                              | $          | 0.1150                                       |       | $                                                                                             | (0.4107    | ) | $ | 0.1150 |   |
| Class C**                                 |       | $                                              | (0.2477     | )                                              | $          | (0.0682                                      | )          | $                                                                                             | (0.5621    | ) | $ | (0.0682 | ) |
| Class DS***                               |       | $                                              | (0.2789     | )                                              | $          | (0.1381                                      | )          | $                                                                                             | (0.1684    | ) | $ | (0.0515 | ) |
| Class DT****                              |       | $                                              | (0.2731     | )                                              | $          | (0.1452                                      | )          | $                                                                                             | 0.0219     |   | $ | (0.1442 | ) |
| Class I**                                 |       | $                                              | (0.2622     | )                                              | $          | (0.1503                                      | )          | $                                                                                             | (0.2838    | ) | $ | (0.1503 | ) |

 

----

*       Class Acommenced on September 1, 2007.

**     Class Cand Class I commenced on July 1, 2007.

***   Class DSwas previously known as Class D-SM.

**** Class DT waspreviously know as Class D-TF and commenced on June 1, 2007.

Seenotes to financial statements.

 

2

----

 

ML CHESAPEAKE FUTURESACCESS LLC

(a Delaware LimitedLiability Company)

 

STATEMENTS OF CHANGES INMEMBERS’ CAPITAL

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

(unaudited)

 
| ** **                 | ** ** | ** **                | ** ** | ** **        | ** ** | ** **      | ** ** | **Members’ Capital**   | ** ** | **Members’ Capital**  | ** ** | ** **        | ** ** | ** **      | ** ** | **Members’ Capital**   | ** ** |
|----------------------------|------------|---------------------------|------------|-------------------|------------|-----------------|------------|----------------------------------|------------|---------------------------------|------------|-------------------|------------|-----------------|------------|----------------------------------|------------|
| ** **                 | ** ** | **Initial Offering** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **September 30, 2007** | ** ** | **December 31, 2007** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **September 30, 2008** | ** ** |
|                       |       |                      |       |              |       |            |       |                             |       |                            |       |              |       |            |       |                             |       |
| Class A*              |       | —                    |       | 9,750             |       | —          |       | 9,750                            |       | 29,496                          |       | 208,355           |       | (43,313         | )          | 194,538                          |       |
| Class C**             |       | —                    |       | 111,004           |       | —          |       | 111,004                          |       | 111,004                         |       | 2,084,411         |       | (178,441        | )          | 2,016,974                        |       |
| Class DS***           |       | 12,000,000                |       | 3,642,226         |       | (723,437        | )          | 14,918,789                       |       | 18,218,323                      |       | 38,404,660        |       | (10,855,895     | )          | 45,767,088                       |       |
| Class DT****          |       | —                    |       | 117,614,729       |       | (8,155,146      | )          | 109,459,583                      |       | 90,542,330                      |       | 5,762,736         |       | (18,306,077     | )          | 77,998,989                       |       |
| Class I**             |       | —                    |       | 10,000            |       | —          |       | 10,000                           |       | 10,000                          |       | 40,532            |       | —          |       | 50,532                           |       |
|                       |       |                      |       |              |       |            |       |                             |       |                            |       |              |       |            |       |                             |       |
| Total Members’  Units |       | 12,000,000                |       | 121,387,709       |       | (8,878,583      | )          | 124,509,126                      |       | 108,911,153                     |       | 46,500,694        |       | (29,383,726     | )          | 126,028,121                      |       |

 

----

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

Seenotes to financial statements.

 

3

----

 

ML CHESAPEAKE FUTURESACCESS LLC

(a Delaware LimitedLiability Company)

 

STATEMENTS OF CHANGES INMEMBERS’ CAPITAL

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

(unaudited)

 
| ** **                    | ** ** | ** **                | ** ** | ** **        | ** ** | ** **      | ** ** | ** **                      | ** ** | **Members’ Capital**   | ** ** | **Members’ Capital**  | ** ** | ** **        | ** **  | ** **      | ** ** | ** **                      | ** ** | **Members’ Capital**   | ** ** |
|-------------------------------|------------|---------------------------|------------|-------------------|------------|-----------------|------------|---------------------------------|------------|----------------------------------|------------|---------------------------------|------------|-------------------|-------------|-----------------|------------|---------------------------------|------------|----------------------------------|------------|
| ** **                    | ** ** | **Initial Offering** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net Income (Loss)** | ** ** | **September 30, 2007** | ** ** | **December 31, 2007** | ** ** | **Subscriptions** | ** **  | **Redemptions** | ** ** | **Net Income (Loss)** | ** ** | **September 30, 2008** | ** ** |
|                          |       |                      |       |              |       |            |       |                            |       |                             |       |                            |       |              |        |            |       |                            |       |                             |       |
| Class A*                 |       | $                         | —     |              | $          | 9,750           |       | —                          |       | $                                | 1,121      |                            | $          | 10,871            |        | $               | 35,885     |                            | $          | 283,510                          |       | $ | (59,218 | ) | $ | (36,390 | ) | $ | 223,787 |   |
| Class C**                |       | —                    |       | 98,971            |       | —          |       | (4,989                          | )          | 93,982                           |       | 102,301                         |       | 2,134,944         |        | (164,493        | )          | (341,045                        | )          | 1,731,707                        |       |
| Class DS***              |       | 12,000,000                |       | 3,448,646         |       | (702,564        | )          | (668,970                        | )          | 14,077,112                       |       | 18,829,228                      |       | 44,675,263        |        | (11,729,795     | )          | (6,119,305                      | )          | 45,655,391                       |       |
| Class DT****             |       | —                    |       | 125,380,824       |       | (7,661,114      | )          | (15,900,990                     | )          | 101,818,720                      |       | 92,480,677                      |       | 6,538,250         |        | (21,969,454     | )          | 1,778,473                       |       | 78,827,946                       |       |
| Class I**                |       | —                    |       | 10,000            |       | —          |       | (1,503                          | )          | 8,497                            |       | 9,282                           |       | 43,381            |        | —          |       | (8,031                          | )          | 44,632                           |       |
|                          |       |                      |       |              |       |            |       |                            |       |                             |       |                            |       |              |        |            |       |                            |       |                             |       |
| Total Members’  Interest |       | $                         | 12,000,000 |              | $          | 128,948,191     |       | $                               | (8,363,678 | )                                | $          | (16,575,331                     | )          | $                 | 116,009,182 |            | $          | 111,457,373                     |       | $                                | 53,675,348 |   | $ | (33,922,960 | ) | $ | (4,726,298 | ) | $ | 126,483,463 |   |
|                               |            |                           |            |                   |            |                 |            |                                 |            |                                  |            |                                 |            |                   |             |                 |            |                                 |            |                                  |            |  |  |  |  |  |  |  |  |  |  |

 

----

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

See notes tofinancial statements.

 

4

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ML CHESAPEAKEFUTURESACCESS LLC

(a Delaware LimitedLiability Company)

 

NOTES TO FINANCIALSTATEMENTS

(unaudited)

 

1.               SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

 

ML ChesapeakeFuturesAccess LLC (the “Fund”) was organized under the Delaware Limited LiabilityCompany Act on March 8, 2007 and commenced trading activities on April 2,2007. The Fund issues new units of limited liability company interest (“Units”)at Net Asset Value per Unit. The Fund engages in the speculative trading offutures, options on futures and forward contracts on a wide range ofcommodities. Chesapeake Capital Corporation (“Chesapeake”) is the tradingadvisor of the Fund.

 

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

 

In the opinion of management, the financial statementscontain all adjustments necessary to present fairly the financial position ofthe Fund as of September 30, 2008 and the results of its operations forthe three and nine months ended September 30, 2008 and for the three monthsended September 30, 2007 and for the period April 2, 2007(commencement of operations) to September 30, 2007. However, the operatingresults for the interim period may not be indicative of the results for thefull year.

 

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

 

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

 

2.               FAIR VALUE OF INVESTMENTS

 

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

 

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

 

FAS157 established a hierarchal disclosure framework which prioritizes and ranksthe level of market price observability used in measuring investments at fairvalue. Market price observability is impacted by

 

5

----

 

anumber of factors, including the type of investment and the characteristicsspecific to the investment. Investments with readily available active quotedprices or for which fair value can be measured from actively quoted pricesgenerally will have a higher degree of market price observability and a lesserdegree of judgment used in measuring fair value.

 

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

 

Level I – Quoted prices are available in active marketsfor identical investments as of the reporting date. The type of investmentsincluded in Level I are publicly traded investments. As required by FAS 157,the Fund does not adjust the quoted price for these investments even insituations where the Fund holds a large position and a sale could reasonablyimpact the quoted price.

 

Level II – Pricing inputs are other than quoted pricesin active markets, which are either directly or indirectly observable as of thereporting date, and fair value is determined through the use of generallyaccepted and understood models or other valuation methodologies. Investmentswhich are generally included in this category are investments valued usingmarket data.

 

Level III – Pricing inputs are unobservable andinclude situations where there is little, if any, market activity for theinvestment. Fair value for these investments is determined using valuationmethodologies that consider a range of factors, including but not limited tothe nature of the investment, local market conditions, trading values on publicexchanges for comparable securities, current and projected operatingperformance and financing transactions subsequent to the acquisition of theinvestment. The inputs into the determination of fair value require significantmanagement judgment. Due to the inherent uncertainty of these estimates, thesevalues may differ materially from the values that would have been used had aready market for these investments existed. Investments that are included inthis category generally are privately held debt and equity securities.

 

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

 

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

 
| ** **                                     | ** ** | **Total** | ** ** | **Level I** | ** ** | **Level II** | ** ** | **Level III** | ** ** |
|------------------------------------------------|------------|-----------|------------|------------------|------------|-------------------|------------|--------------------|------------|
| Net unrealized  profit (loss) on open contract |       | $         | (371,034   | )                | $          | (371,034          | )          | N/A                |       | N/A |   |
|                                                |            |           |            |                  |            |                   |            |                    |            |  |  |

 

6

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3.               NET ASSET VALUE PER UNIT

 

For financial reporting purposes, in conformity withU.S. GAAP, the Fund amortizes over a twelve-month period the initial offeringcosts for purposes of determining Net Asset Value. For all other purposes,including computing Net Asset Value for purposes of member subscription andredemption activity, such costs are amortized over 60 months. Consequently, theNet Asset Value and Net Asset Value per Unit of the different Classes forfinancial reporting purposes and for all other purposes at September 30,2008 and December 31, 2007 are as follows:

 

September 30, 2008

 
| ** **    | ** ** | **Net Asset Value**    | ** **  | ** **               | ** ** | **Net Asset Value per Unit** | ** ** |
|---------------|------------|----------------------------------|-------------|--------------------------|------------|--------------------------------------------------|------------|
| ** **    | ** ** | **All Other Purposes** | ** **  | **Financial  Reporting** | ** ** | **Number of  Units**                        | ** ** | **All Other  Purposes** | ** ** | **Financial  Reporting** | ** ** |
|          |       |                             |        |                     |       |                                             |       |   |   |   |   |
| Class A  |       | $                                | 223,787     |                     | $          | 223,787                                          |       | 194,538 |   | $ | 1.1504 |   | $ | 1.1504 |   |
| Class C  |       | 1,731,707                        |        | 1,731,707                |       | 2,016,974                                        |       | 0.8586 |   | 0.8586 |   |
| Class DS |       | 45,658,323                       |        | 45,655,391               |       | 45,767,088                                       |       | 0.9976 |   | 0.9976 |   |
| Class DT |       | 78,860,010                       |        | 78,827,946               |       | 77,998,989                                       |       | 1.0110 |   | 1.0106 |   |
| Class I  |       | 44,634                           |        | 44,632                   |       | 50,532                                           |       | 0.8833 |   | 0.8833 |   |
|          |       | $                                | 126,518,461 |                     | $          | 126,483,463                                      |       | 126,028,121 |   |   |   |   |   |
|               |            |                                  |             |                          |            |                                                  |            |  |  |  |  |  |  |  |  |

 

December 31, 2007

 
| ** **    | ** ** | **Net Asset Value** | ** **  | ** **               | ** ** | **Net Asset Value per Unit** | ** ** |
|---------------|------------|-------------------------------|-------------|--------------------------|------------|--------------------------------------------------|------------|
| ** **    | ** ** | **All Other  Purposes**  | ** **  | **Financial  Reporting** | ** ** | **Number of  Units**                        | ** ** | **All Other  Purposes** | ** ** | **Financial  Reporting** | ** ** |
| ** **    | ** ** | ** **                    | ** **  | ** **               | ** ** | ** **                                       | ** ** | ** ** | ** ** | ** ** | ** ** |
| Class A  |       | $                             | 35,888      |                     | $          | 35,885                                           |       | 29,496 |   | $ | 1.2167 |   | $ | 1.2166 |   |
| Class C  |       | 102,319                       |        | 102,301                  |       | 111,004                                          |       | 0.9218 |   | 0.9216 |   |
| Class DS |       | 18,831,754                    |        | 18,829,228               |       | 18,218,323                                       |       | 1.0337 |   | 1.0335 |   |
| Class DT |       | 92,508,127                    |        | 92,480,677               |       | 90,542,330                                       |       | 1.0217 |   | 1.0214 |   |
| Class I  |       | 9,283                         |        | 9,282                    |       | 10,000                                           |       | 0.9283 |   | 0.9282 |   |
|          |       | $                             | 111,487,371 |                     | $          | 111,457,373                                      |       | 108,911,153 |   |   |   |   |   |
|               |            |                               |             |                          |            |                                                  |            |  |  |  |  |  |  |  |  |

 

7

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4.               MARKET AND CREDIT RISKS

 

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

 

Market Risk

 

Derivative instruments involve varyingdegrees of market risk.  Changes in thelevel or volatility of interest rates, foreign currency exchange rates or themarket values of the financial instruments or commodities underlying suchderivative instruments frequently result in changes in the Fund’s Net unrealizedprofit (loss) on such derivative instruments as reflected in the Statements ofFinancial Condition.  The Fund’s exposureto market risk is influenced by a number of factors, including therelationships among the derivative instruments held by the Fund as well as thevolatility and liquidity of the markets in which the derivative instruments aretraded. Investments in foreign markets may also entail legal and politicalrisks.

 

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

 

Credit Risk

 

The risksassociated with exchange-traded contracts are typically perceived to be lessthan those associated with over-the-counter (non-exchange-traded) transactions,because exchanges typically provide clearinghouse arrangements in which thecollective credit (in some cases limited in amount, in some cases not) of themembers of the exchange is pledged to support the financial integrity of theexchange. In over-the-counter transactions, on the other hand, traders mustrely solely on the credit of their respective individual counterparties. Margins,which may be subject to loss in the event of a default, are generally requiredin exchange trading, and counterparties may also require margin in theover-the-counter markets.

 

The credit riskassociated with these instruments from counterparty nonperformance is the Netunrealized profit, if any, included in the Statements of Financial Condition.The Fund attempts to mitigate this risk by dealing exclusively with MerrillLynch entities as clearing brokers.

 

The Fund, in itsnormal course of business, enters into various contracts, with MLPF&Sacting as its commodity broker.  Pursuantto the brokerage arrangement with MLPF&S (which includes a nettingarrangement), to the extent that such trading results in receivables from andpayables to MLPF&S, these receivables and payables are offset and reportedas a net receivable or payable and included in Equity in commodity futurestrading accounts in the Statements of Financial Condition.

 

8

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5.               RECENT ACCOUNTING PRONOUNCEMENTS

 

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

 

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

 

9

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Item 2. Management’sDiscussion and Analysis of Financial Condition and Results of Operations

 

MONTH-END NET ASSET VALUEPER UNIT

(NON U.S. GAAP)

 

MLAI believes that the Net Asset Value used tocalculate subscription and redemption value and to    report performance to investors throughoutthe year is the most valuable to the Members of the Fund. Therefore, the chartsbelow referencing Net Asset Value and performance measurements are based on theNet Asset Value for all other purposes, as discussed in Note 3 to the financialstatements.

 

Class A

 

| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|
| 2007       |       | N/A      |       | N/A      |       | N/A      |       | N/A      |       | N/A     |       | N/A      |       | N/A      |       | N/A      |       | $         | 1.1149     |   |
| 2008       |       | $        | 1.2427     |     | $          | 1.4514   |       | $        | 1.3446     |    | $          | 1.3505   |       | $        | 1.3731     |     | $          | 1.4894    |       | $ | 1.3476 |   | $ | 1.2475 |   | $ | 1.1504 |   |
|            |            |          |            |          |            |          |            |          |            |         |            |          |            |          |            |          |            |           |            |  |  |  |  |  |  |  |  |  |

 

Class C

 

| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|
| 2007       |       | N/A      |       | N/A      |       | N/A      |       | N/A      |       | N/A     |       | N/A      |       | $        | 0.9131     |     | $          | 0.7601    |       | $ | 0.8467 |   |
| 2008       |       | $        | 0.9406     |     | $          | 1.0978   |       | $        | 1.0249     |    | $          | 1.0335   |       | $        | 1.0510     |     | $          | 1.1338    |       | $ | 1.0130 |   | $ | 0.9318 |   | $ | 0.8586 |   |
|            |            |          |            |          |            |          |            |          |            |         |            |          |            |          |            |          |            |           |            |  |  |  |  |  |  |  |  |  |

 

Class DS

 

| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|
| 2007       |       | N/A      |       | N/A      |       | N/A      |       | $        | 1.0305     |    | $          | 1.0850   |       | $        | 1.1056     |     | $          | 1.0134    |       | $ | 0.8453 |   | $ | 0.9436 |   |
| 2008       |       | $        | 1.0570     |     | $          | 1.2362   |       | $        | 1.1451     |    | $          | 1.1530   |       | $        | 1.1755     |     | $          | 1.2778    |       | $ | 1.1638 |   | $ | 1.0805 |   | $ | 0.9976 |   |
|            |            |          |            |          |            |          |            |          |            |         |            |          |            |          |            |          |            |           |            |  |  |  |  |  |  |  |  |  |

 

Class DT

 

| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|
| 2007       |       | N/A      |       | N/A      |       | N/A      |       | N/A      |       | N/A     |       | $        | 1.0871     |     | $          | 0.9975   |       | $         | 0.8327     |   | $ | 0.9304 |   |
| 2008       |       | $        | 1.0457     |     | $          | 1.2239   |       | $        | 1.1391     |    | $          | 1.1516   |       | $        | 1.1779     |     | $          | 1.2847    |       | $ | 1.1754 |   | $ | 1.0941 |   | $ | 1.0110 |   |
|            |            |          |            |          |            |          |            |          |            |         |            |          |            |          |            |          |            |           |            |  |  |  |  |  |  |  |  |  |

 

Class I

 

| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|
| 2007       |       | N/A      |       | N/A      |       | N/A      |       | N/A      |       | N/A     |       | N/A      |       | $        | 0.9142     |     | $          | 0.7619    |       | $ | 0.8497 |   |
| 2008       |       | $        | 0.9484     |     | $          | 1.1081   |       | $        | 1.0269     |    | $          | 1.0367   |       | $        | 1.0580     |     | $          | 1.1515    |       | $ | 1.0328 |   | $ | 0.9575 |   | $ | 0.8833 |   |
|            |            |          |            |          |            |          |            |          |            |         |            |          |            |          |            |          |            |           |            |  |  |  |  |  |  |  |  |  |

 

10

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Performance Summary

 

January 1, 2008 to September 30, 2008

 

January 1, 2008 to March 31, 2008

 

The Fund posted gains forthe quarter with the agriculture, currencies, energy, interest rates, andmetals sectors posting gains while stock futures sector posted losses for theFund.

 

The agriculture sector posted profits to the Fund. At the beginning ofthe quarter, profits were posted to the Fund due to continuing trends in thegrain markets resulting in strong performance in the grain sector. Higherprices across this sector benefited corn, soybean, soybean oil, soybean mealand wheat positions. Additional commodity profits came from the softs as higherprices proved to be beneficial for the Fund’s position in London coffee as wellas the London and U.S. cocoa positions, with cocoa prices reaching a five-yearhigh during January. The grain sector netted the largest profits posted to theFund in the middle of the quarter as a result of record prices in the soybeanand wheat markets. The soybean oil position produced the largest gain as pricesexperienced their largest monthly increase in nearly 25 years. The soybean andsoybean meal positions also continued to benefit from higher prices with soybeansrecording their biggest monthly gain in nearly 3 years. Additional profits wereposted to the Fund in the grain complex in the wheat positions as prices surgedto record levels and also from the Fund’s corn position as prices climbed morethan 10% in the month of February. The food and fiber sector also recordedprofits posted to the Fund due to a strong performance in cocoa, coffee, cottonand sugar. After a strong start in 2008 with profitable performance in January andFebruary, the Fund gave up some of those early year gains resulting in lossesposted to the Fund at quarters end. After trading at record levels in February,the grain sector recorded the largest give back as the Fund’s soybean oil,soybean and soybean meal positions suffered as a result of dropping prices.Performance in the food and fiber sector also posted losses to the Fund due tothe coffee, cocoa, sugar and cotton positions experienced losses as the resultof weakening prices. Quarter ended with losses being posted to the Fund.

 

The currency sector posted profits to the Fund. The currency sectorsrecorded mixed performance at the beginning of the quarter resulting in lossesfor the Fund. The U.S. dollar positions posted gains while the currency crossrate positions collectively posted losses. The currency rate sector providedthe largest gains mid-quarter for the Fund. In the currency markets the mostprofitable positions were the Fund’s Euro versus Czech krona, Norwegian krone,Australian dollar, Brazilian real and Russian ruble positions. The currencypositions continued its profitability for the Fund as the quarter ended. TheFund’s Euro, Euro/British pound, Swiss franc, Japanese yen and Russian rublepositions recorded the biggest gains.

 

The energy sector posted profits for the Fund. Market weakness in theenergy markets resulted in losses for the Fund’s energy positions at thebeginning of the quarter. Gains were posted to the Fund mid-quarter due to theFund’s London gas oil, heating oil and crude oil positions all experienced soldgains. The energy sector continued to post gains to the Fund at quarter’s end.

 

The interest rate sector posted profits for the Fund. Led by the Fund’sU.S. and European positions, the interest rate sector was profitable at thebeginning of the quarter. The Australian and U.S. positions collectivelyaccounted for the majority of the profits being posted to the Fund atmid-quarter. Due to a volatile market performance in the interest rate sectorwas negative which caused losses to be posted to the Fund at the end of thequarter.

 

The metals sector also posted profits for the Fund. At the beginning ofthe year performance in the metals sector was mixed although profits posted tothe Fund from the gold and silver positions more than offset the loss from theFund’s aluminum position. Gold rose to record levels mid-quarter in London andNew York while silver prices reached their highest level since October 1980posting profits to the Fund. The quarter ended with the Fund’s gold, silver andaluminum positions posting losses. Gold prices dropped more than 5% for themonth and suffered their biggest weekly drop in 25 years during the third weekof

 

11

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March. Silver prices followed the same pattern and dropped nearly 9% inMarch after reaching a 28 year high in February. For the quarter, goldprices rose over 10% while silver prices closed the quarter up over 20%.

 

The stock indices posted losses for the Fund. The stock sector sufferedthe largest losses among the financial sectors as global equities experiencedsharp losses to begin the New Year. Despite the overall volatility in globalequities, the stock sector posted a small gain for the Fund mid-quarter. Thequarter ended with losses being posted to the Fund due to the volatility in thefinancial sectors.

 

April 1, 2008 to June 30, 2008

 

The Fund posted gains forthe quarter with the energy, agriculture, currencies, metals and stock indicessectors posting gains while the interest rate sector posted losses for the Fund.

 

The energy sector posted profits for the Fund. Profits were posted tothe Fund at the beginning of the quarter as higher oil prices continued tobenefit from the Fund’s energy positions. Even though crude oil prices droppedalmost $4 a barrel over the last two trading days of April after reachinga record level of nearly $120 a barrel in April 28, crude oil pricesclosed the month nearly 75% higher than a year ago. Profits continued to beposted to the Fund mid-quarter as crude prices climbed to $135 a barrel in NewYork trading on May 22nd before closing the month slightlyabove the $127 level. Crude oil prices continued to escalate, crossing the $143a barrel level in late June trading before closing the month around the$140 level, an increase of nearly $13 a barrel from the end of May. Brentcrude, light crude and natural gas positions recorded the largest gains in theenergy sector at the end of the quarter.

 

The agriculture sector posted profits to the Fund. At the beginning ofthe quarter, profits were posted to the Fund. In the grain sector, the Fund’scorn position was the most profitable as prices rose for the eighth straightmonth. Other profits in the grain sector came from soybean oil, soymeal andsoybean positions. Over the past twelve months corn and soybean prices havesoared over 50%. Grain sectors finished the month of May with relativelyflat performance while the softs and meat sectors experienced negativeperformance. Profits were posted to the Fund at the end of the quarter asprices moved higher in cocoa, coffee and sugar. Cocoa prices strengthened in June asnews broke that the quality of the current crop in the Ivory Coast, the world’sbiggest grower, had worsened.

 

The currency sector posted profits to the Fund. The currency sectorsrecorded mixed performance at the beginning of the quarter resulting in lossesfor the Fund. The largest gains among the Fund’s currency positions were theBrazilian real, Mexican peso, and Australian dollar positions while the largestlosses were from the Japanese yen, South African rand and Swiss francpositions. Profits were posted to the Fund mid-quarter due to a rally in theU.S. dollar positions. Profits continued to be posted to the Fund as thequarter ended.

 

The metals sector also posted profits for the Fund. Losses were postedto the Fund at the beginning of the quarter as gold prices fell for the secondstraight month and led the losses among the metal positions.Losses continued tobe posted through mid-quarter due to a relatively flat performance in metals.The quarter ended with profits posted to the Fund due to the Gold positionsrecording the largest gain in the metals sector as prices climbed about 4% forthe month. Also, copper, aluminum and silver also benefited from higher pricesas the quarter ended.

 

The stock indices posted profits for the Fund. Profits were posted tothe Fund at the beginning of the quarter through the mid-quarter despite theoverall volatility in global equities. The quarter ended with losses beingposted to the Fund as the volatility in the financial markets continued.

 

12

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The interest rate sector posted losses for the Fund. Losses were postedat the beginning of the quarter with the exception of the Aussie bank bill andAussie ten year bond positions, all interest rate positions were unprofitable.Losses continued to be posted mid-quarter which came collectively from the Fund’sU.S. positions in the interest rate sector. The quarter ended with profitsbeing posted to the Fund.

 

July 1, 2008 to September 30, 2008

 

The Fund posted overalllosses for the third quarter due to volatility in the markets.

 

The stock indices posted losses for the Fund throughout the quarter asstocks reacted to the global credit crisis.

 

Due to a volatile market performance in the interest rate sector whichwas negative which caused losses to be posted to the Fund throughout thequarter.

 

The metals sector postedlosses for the Fund. Losses were posted to the Fund at the beginning of thequarter through the middle of the quarter. The losses in metals came fromprecious metals as a stronger dollar sent precious metal prices significantlylower. Gold prices experienced their biggest monthly loss in 25 years, fallingnearly $90. Other losses in metals came from copper and aluminum positions.Copper prices fell for the second straight month as rising inventories signaledslowing demand. The quarter ended with losses being posted to the Fund ascopper and gold positions continued to fall.

 

The currency sector posted losses for the Fund. Collectively, thecurrency positions posted losses for the Fund at the beginning of the quarter.Losses were posted to the Fund in the middle of the quarter as the U.S. dollaradvanced against most major currencies on speculation that the economicslowdown which began in the United States would spread to the rest of theworld. The U.S. dollar gained nearly 6% versus the Euro and experienced itsbiggest monthly gain since the European currency began trading in 1999. Losses continuedto be posted to the Fund at the end of the quarter due to the Brazilian realand Mexican peso positions.

 

The agriculture sector posted losses to the Fund. Losses were posted tothe Fund at the beginning of the quarter as corn contributed to losses asprices plunged from record levels. Grain positions suffered from lower pricesin August as global demand eased posting losses to the Fund. The quarterended with losses being posted to the Fund due to the corn position posting thelargest loss in the grains as prices touched an eight month low.

 

The energy sector posted losses for the Fund. Losses were posted to theFund at the beginning of the quarter due to natural gas plummeting over 30%.Losses continued to be posted in the middle of the quarter through the end ofthe quarter as crude oil prices fell to its largest quarterly drop in 17 years.

 

13

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Performance Summary

 

April 2, 2007 to September 30, 2007

 

April 2, 2007 to June 30, 2007

 

Chesapeakerecorded a positive return for the second quarter primarily due to significantgains in the financial sectors. Strong performance in global stocks ledperformance for the quarter followed by the interest rate and the currencycross rate sectors. Overall performance in the commodity sectors was mixed forthe quarter with energies and grains generating small gains and the metalsector netting the largest loss. The following is an overview for each month:

 

Theportfolio posted strong performance in April as sevenof its nine sectors were profitable. All financial sectorsrecorded gains for the month, led by stocks, while the metal sector wasthe most profitable among the commodities.

 

Thestock sector contributed significantly to April’s return as many of themajor indexes experienced strong rallies for the month. Collectively, our Non-US index positions led performance with our DAX, SharePrice, CAC-40 and Euro Stoxx 50 index positions all posting solid gains. U.S.stock markets also experienced strong rallies in April, which proved profitablefor our Dow, S&P and NASDAQ index positions. Performance in the currencysectors was driven by our yen related cross rate positions including ourEuro-Yen, Aussie-Yen, Canadian dollar-Yen, Sterling-Yen and Franc-Yen positions.Other notable profitable currency positions for the month were our New Zealanddollar, Swedish Krona, Euro, Yen and British pound positions. Performance inthe interest rate sector was mixed for the month with gains coming primarilyfrom our European positions.

 

The commodity sectors produced mixed results in April withthe metal, energy and soft sectors recording gains and the meat and grainsectors netting losses.  Our nickel position was the most profitablewithin the metal sector followed by aluminum and gold. Gains in the energysector came primarily from our light crude position.   Other positivecontributors in April were our cotton, sugar and soybean oil positionswhile some of the notable losing positions included our cocoa, soymeal,soybean, corn and K.C. wheat positions.

 

The portfolio added to its yearly gain with strongperformance in May. The financial sectors contributed significantly to May’sreturn led by the stock and interest rate sectors. The grain sector alsoboosted performance while other commodity sectors had minimal impact on May’sreturn.

 

Global equities led performance in the portfolio forthe second straight month. The stock sector had a significant impact on May’sreturn as all index positions recorded gains for the month. The largest gainscame from our S&P Canada-60, IBEX-35 Stock Index (Spain) and DAX Indexpositions. The interest rate sector also recorded strong profits in May withour European positions collectively having the biggest impact. The currencysectors had little effect on May’s performance although a number of positionsincluding our Brazilian real and Canadian dollar-yen positions posted solidgains.

 

Overall, the commodity sectors made a positivecontribution in May. The grain and energy sectors were profitable for themonth, while the meat, softs and metals sectors suffered losses. Despite sharpprice declines near month-end in many of the agricultural markets, higherprices for the month in the grain s sector resulted in profits for our soybean,soymeal, soybean oil, and corn positions. Our cocoa and Light crude positionsalso benefited from favorable price movement.

 

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

 

14

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

 

Overall, the financial markets accounted for themajority of profits in June. The currency sectors collectively recorded thelargest gain for the month led by our Yen and Australian dollar relatedpositions. The interest rate sector also had a positive impact on the period’sreturn with European positions collectively posting the largest gains. Additionalprofits came from our Australian interest rate positions while our U.S. andCanadian positions added marginally to profits for the month. The stock sectorhad mixed performance for the period and our Far East Index positions netted again by month end. Our European and U.S. Index positions collectively recordedlosses.

 

Performance in the commodity sectors was mixed for themonth. The softs, meats and grain sectors posted small gains in June whilethe metals and energy sectors incurred losses. The metal sector posted thelargest loss as falling prices adversely affected our nickel, zinc, aluminum,silver and gold positions.

 

July 1, 2007 to September 30, 2007

 

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

 

The agriculture sector posted profits for the Fund.The agriculture market was soft which attributed to the difficult tradingenvironment resulting in the losses posted for the Fund at the beginning of thequarter through mid-quarter. The grain sector was the most profitable at theend of the quarter as wheat, soybean, soybean oil and soy meal positions allbenefited from higher prices.

 

The energy sector posted losses to the Fund from thebeginning of the quarter through the middle of the quarter. Market strengthboosted performance in the energy sector at quarter’s end with London gas, oiland light crude oil positions posting gains for the Fund.

 

The metals sector posted losses for the Fund.Performance in the metals sector was virtually flat at the beginning of thequarter posting losses for the Fund which continued through mid-quarter.However, the quarter ended with profits being posted to the Fund as the marketenvironment began to improve.

 

The stock indices sector posted losses to the Fund.The stock index positions experienced significant volatility at the beginningof the quarter resulting in profit givebacks. The largest losses camecollectively from the European and U.S. positions. Other notable losses camefrom the Share Price Index and Nikkei positions. The market volatilitycontinued through mid-quarter as losses were posted to the Fund. The periodbetween the 9th and 16th of August saw a significantincrease in volatility with trend reversals in the majority of markets.Performance from the stock sector at the quarter’s end produced gains for theFund due to the H-shares and Hang Seng index positions.

 

The currency sector posted losses to the Fund. Thefallout from the stock reversal also had a negative effect on the currencypositions at the beginning of the quarter posting losses for the Fund. August 16thwas one of the worst days that the Fund had experienced with severe movesagainst almost every position with the financial markets incurring the lossesfor the Fund. The currency markets posted gains at the end of the quarter withthe Canadian dollar, Norwegian krone and Euro positions producing the largestgains for the Fund.

 

The interest rate sector posted losses throughout thequarter. The stock reversal also had an impact on the Fund’s interest ratepositions posting losses for the Fund at the beginning of the quarter. Thelargest losses posted for the Fund were collectively coming from the Europeanand U.S. fixed income. Losses continued to be posted mid-quarter due tosignificant increase in volatility with trend reversals in the majority ofmarkets represented in the portfolio. Losses continued to be posted for theFund through the end of the quarter.

 

15

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Item3.   Quantitative and QualitativeDisclosures About Market Risk

 

Introduction

 

The Fund is a speculativecommodity pool. The market sensitive instruments held by it are acquired forspeculative trading purposes and all or substantially all of the Fund’s assetsare subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments isintegral, not incidental, to the Fund’s main line of business.

 

Market movements resultin frequent changes in the fair market value of the Fund’s open positions and,consequently, in its earnings and cash flow. The Fund’s market risk isinfluenced by a wide variety of factors, including the level and volatility ofinterest rates, exchange rates, equity price levels, the market value offinancial instruments and contracts, the diversification effects among the Fund’sopen positions and the liquidity of the markets in which it trades.

 

The Fund, under thedirection of Chesapeake rapidly acquires and liquidates both long and shortpositions in a wide range of different markets. Consequently, it is not possible to predict how a particular futuremarket scenario will affect performance, and the Fund’s past performance is notnecessarily indicative of its future results.

 

Value at Risk is ameasure of the maximum amount which the Fund could reasonably be expected tolose in a given market sector. However, the inherent uncertainty of the Fund’sspeculative trading and the recurrence in the markets traded by the Fund ofmarket movements far exceeding expectations could result in actual trading ornon-trading losses far beyond the indicated Value at Risk or the Fund’sexperience to date (i.e., “risk of ruin”). In light of the foregoing, as wellas the risks and uncertainties intrinsic to all future projections, thequantifications included in this section should not be considered to constituteany assurance or representation that the Fund’s losses in any market sectorwill be limited to Value at Risk or by the Fund’s attempts to manage its marketrisk.

 

Quantifying The Fund’sTrading Value At Risk

 

QuantitativeForward-Looking Statements.

 

The followingquantitative disclosures regarding the Fund’s market risk exposures contain “forward-lookingstatement” within the meaning of the safe harbor from civil liability providedfor such statements by the Private Securities Litigation Reform Act of 1995(set forth in Section 27A of the Securities Act of 1933 and Section 21Eof the Securities Exchange Act of 1934). All quantitative disclosures in this section are deemed to beforward-looking statements for purposes of the safe harbor, except forstatements of historical fact.

 

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

 

Exchange maintenancemargin requirements have been used by the Fund as the measure of its Value atRisk.  Maintenance margin requirementsare set by exchanges to equal or exceed the maximum loss in the fair value ofany given contract incurred in 95%-99% of the one-day time periods included inthe historical sample (generally approximately one year) researched forpurposes of establishing margin levels. The maintenance margin levels are established by dealers and exchangesusing historical price studies as well as an assessment of current marketvolatility (including the implied volatility of the

 

16

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options on a givenfutures contract) and economic fundamentals to provide a probabilistic estimateof the maximum expected near-term one-day price fluctuation.

 

In the case of market sensitive instruments which are notexchange-traded (almost exclusively currencies in the case of the Fund), the marginrequirements for the equivalent futures positions have been used as Value atRisk.  In those rare cases in which afutures-equivalent margin is not available, dealers’ margins have been used.

 

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.

 

***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 nine months ended September 30, 2008, the Fund’saverage month-end Net Asset value for all other purposes was $129,203,318. Forthe period ended April 2, 2007 (commencement of operations) to September 30,2007, the Fund’s average month-end Net Asset value for all other purposes was$72,196,458.

 

**September 30, 2008**

 
| ** **                | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|---------------------------|------------|-----------------------------|------------|----------------------------|------------|------------------------|------------|-----------------------|------------|
| **Market Sector**    | ** ** | **Value at Risk** | ** ** | **Capitalization**         | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                      |       |                        |       |                       |       |                   |       |                  |       |
| Agricultural  Commodities |       | $                           | 1,158,510  |                       | 0.90       | %                      | $          | 2,492,604             |       | $ | 84,089 |   |
| Energy                    |       | 978,556                     |       | 0.76                       | %          | 1,868,932              |       | 238,279               |       |
| Interest Rates            |       | 8,900,615                   |       | 6.89                       | %          | 11,890,492             |       | 4,271,602             |       |
| Metals                    |       | 500,040                     |       | 0.39                       | %          | 1,042,773              |       | 37,794                |       |
| Stock Futures             |       | 232,669                     |       | 0.18                       | %          | 437,674                |       | 41,050                |       |
| Currencies                |       | 1,653,775                   |       | 1.28                       | %          | 3,589,501              |       | 81,043                |       |
|                      |       |                        |       |                       |       |                   |       |                  |       |
| TOTAL                     |       | $                           | 13,424,165 |                       | 10.40      | %                      | $          | 21,321,976            |       | $ | 4,753,857 |   |

 

**September 30, 2007**

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

 

17

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Material Limitations on Value at Riskas an Assessment of Market Risk

 

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

 

**Non-TradingRisk**

 

ForeignCurrency Balances; Cash on Deposit with MLPF&S

 

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

 

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

 

Qualitative Disclosures Regarding Primary Trading Risk Exposures

 

Thefollowing qualitative disclosures regarding the Fund’s market risk exposures — exceptfor (i) those disclosures that are statements of historical fact and (ii) thedescriptions of how the Fund manages its primary market risk exposures — constituteforward-looking statements within the meaning of Section 27A of theSecurities Act and Section 21E of the Securities Exchange Act. The Fund’sprimary market risk exposures as well as the strategies used and to be used byMLAI and Chesapeake for managing such exposures are subject to numerousuncertainties, contingencies and risks, any one of which could cause the actualresults of the Fund’s risk controls to differ materially from the objectives ofsuch strategies.

 

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

 

Item 4.  Controlsand Procedures

 

MLAI, the Sponsorof ML Chesapeake FuturesAccess LLC, with the participation of the Sponsor’sChief Executive Officer and the Chief Financial Officer, has evaluated theeffectiveness of the design and operation of its disclosure controls andprocedures with respect to the Fund as of the end of the period of thisquarterly report, and, based on this evaluation, has concluded that thesedisclosure controls and procedures are effective.  Additionally, there were no significantchanges in the Fund’s internal controls or in other factors that couldsignificantly affect these controls subsequent to the date of this evaluation,including any corrective actions with regard to significant deficiencies andmaterial weaknesses.

 

18

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PART II -OTHER INFORMATION

 

Item 1.            LegalProceedings

 

None.

 

Item 1A.         Risk Factors

 

## PastPerformance Not Necessarily Indicative of Future Results

##  

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

 

## VolatileMarkets; Highly Leveraged Trading

##  

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

 

## Importanceof General Market Conditions

##  

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

##  

## ForwardTrading

##  

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

 

## IncreasedAssets Under Management

##  

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

 

## TradingAdvisor Risk

##  

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

 

19

----

 

## Changesin Trading Strategy

##  

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

 

## IlliquidMarkets

##  

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

 

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

 

## Tradingon Non-U.S. Exchanges

##  

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

 

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

 

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

 

The Fund issubject to the risk of insolvency of a counterparty, an exchange, a clearinghouse orMLPF&S. Fund assets could be lost or impounded during lengthybankruptcy proceedings.  Were asubstantial portion of the Fund’s capital tied up in a bankruptcy, MLAI mightsuspend or limit trading, perhaps causing the Fund to miss significant profitopportunities. There are increasedrisks in dealing with unregulated trading counterparties including the riskthat assets may not benefit from the protection afforded to “customer funds”deposited with regulated dealers and brokers.

 

20

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Item 2.                                   Unregistered Salesof Equity Securities and Use of Proceeds

 

(a)         Issuance to accreditedinvestors pursuant to Regulation D and Section 4(6) under theSecurities Act.  The selling agent of thefollowing Class of Units was MLPF&S.

 

CLASS A

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV ****(1)** | ** ** |
|       |       |             |       |       |       |   |   |
| Jan-08     |       |             | $          | —     |       | — |   | $ | 1.2168 |   |
| Feb-08     |       |             | —     |       | —     |   | 1.2427 |   |
| Mar-08     |       |             | —     |       | —     |   | 1.4514 |   |
| Apr-08     |       |             | 32,192     |       | 23,941     |   | 1.3446 |   |
| May-08     |       |             | 29,999     |       | 22,213     |   | 1.3505 |   |
| Jun-08     |       |             | 25,348     |       | 18,461     |   | 1.3731 |   |
| Jul-08     |       |             | 73,124     |       | 49,096     |   | 1.4894 |   |
| Aug-08     |       |             | 64,349     |       | 47,751     |   | 1.3476 |   |
| Sep-08     |       |             | 58,498     |       | 46,893     |   | 1.2475 |   |
| Oct-08     |       |             | —     |       | —     |   | 1.1504 |   |
|            |            |                  |            |            |            |  |  |  |  |  |

 

CLASS C

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV ****(1)** | ** ** |
|       |       |             |       |       |       |   |   |   |
| Jan-08     |       |             | $          | 22,000     |       | 23,866 |   | $ | 0.9218 |   |
| Feb-08     |       |             | —     |       | —     |   | 0.9406 |   |
| Mar-08     |       |             | —     |       | —     |   | 1.0978 |   |
| Apr-08     |       |             | —     |       | —     |   | 1.0249 |   |
| May-08     |       |             | 26,999     |       | 26,124     |   | 1.0335 |   |
| Jun-08     |       |             | 125,997    |       | 119,883    |   | 1.0510 |   |
| Jul-08     |       |             | 383,987    |       | 338,673    |   | 1.1338 |   |
| Aug-08     |       |             | 1,341,966  |       | 1,324,744  |   | 1.0130 |   |
| Sep-08     |       |             | 233,995    |       | 251,121    |   | 0.9318 |   |
| Oct-08     |       |             | —     |       | —     |   | 0.8586 |   |
|            |            |                  |            |            |            |  |  |  |  |  |

 

CLASS I

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV ****(1)** | ** ** |
|       |       |             |       |       |       |   |   |   |
| Jan-08     |       |             | $          | —     |       | — |   | $ | 0.9283 |   |
| Feb-08     |       |             | 10,004     |       | 10,548     |   | 0.9484 |   |
| Mar-08     |       |             | —     |       | —     |   | 1.1081 |   |
| Apr-08     |       |             | —     |       | —     |   | 1.0269 |   |
| May-08     |       |             | —     |       | —     |   | 1.0367 |   |
| Jun-08     |       |             | —     |       | —     |   | 1.0580 |   |
| Jul-08     |       |             | 23,378     |       | 20,302     |   | 1.1515 |   |
| Aug-08     |       |             | 9,999      |       | 9,682      |   | 1.0328 |   |
| Sep-08     |       |             | —     |       | —     |   | 0.9575 |   |
| Oct-08     |       |             | —     |       | —     |   | 0.8833 |   |
|            |            |                  |            |            |            |  |  |  |  |  |

 

CLASS DS

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV ****(1)** | ** ** |
|       |       |             |       |       |       |   |   |   |
| Jan-08     |       |             | $          | 808,530    |       | 782,171 |   | $ | 1.0337 |   |
| Feb-08     |       |             | 1,663,127  |       | 1,573,441  |   | 1.0570 |   |
| Mar-08     |       |             | 1,415,132  |       | 1,144,744  |   | 1.2362 |   |
| Apr-08     |       |             | 11,871,999 |       | 10,367,653 |   | 1.1451 |   |
| May-08     |       |             | 7,543,674  |       | 6,542,648  |   | 1.1530 |   |
| Jun-08     |       |             | 7,171,397  |       | 6,100,720  |   | 1.1755 |   |
| Jul-08     |       |             | 4,035,171  |       | 3,157,905  |   | 1.2778 |   |
| Aug-08     |       |             | 10,166,233 |       | 8,735,378  |   | 1.1638 |   |
| Sep-08     |       |             | —     |       | —     |   | 1.0805 |   |
| Oct-08     |       |             | —     |       | —     |   | 0.9976 |   |
|            |            |                  |            |            |            |  |  |  |  |  |

 

CLASS DT

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV ****(1)** | ** ** |
|       |       |             |       |       |       |   |   |   |
| Jan-08     |       |             | $          | —     |       | — |   | $ | 1.0217 |   |
| Feb-08     |       |             | —     |       | —     |   | 1.0457 |   |
| Mar-08     |       |             | —     |       | —     |   | 1.2239 |   |
| Apr-08     |       |             | 2,947,716  |       | 2,587,759  |   | 1.1391 |   |
| May-08     |       |             | —     |       | —     |   | 1.1516 |   |
| Jun-08     |       |             | —     |       | —     |   | 1.1779 |   |
| Jul-08     |       |             | —     |       | —     |   | 1.2847 |   |
| Aug-08     |       |             | 1,688,517  |       | 1,436,547  |   | 1.1754 |   |
| Sep-08     |       |             | 1,902,017  |       | 1,738,430  |   | 1.0941 |   |
| Oct-08     |       |             | —     |       | —     |   | 1.0110 |   |
|            |            |                  |            |            |            |  |  |  |  |  |

 

----

(1) Net Asset Valuefor all other purposes.

 

(b)         None.

(c)          None.

 

21

----

 

Item 3.            DefaultsUpon Senior Securities

 

None.

 

Item 4.            Submissionof Matters to a Vote of Security Holders

 

None.

 

Item 5.            OtherInformation

 

On September 15, 2008,Merrill Lynch & Co., Inc. (“Merrill Lynch”) and Bank ofAmerica  Corporation (“Bank of America”)entered into an Agreement and Plan of Merger (the “Merger Agreement”). The Merger Agreement provides that, on the terms and conditions set forththerein, a wholly owned subsidiary of Bank of America will merge into MerrillLynch and Merrill Lynch will continue as the surviving corporation as a whollyowned subsidiary of Bank of America (the “Merger).  The Merger has beenapproved by the board of directors of each of Merrill Lynch and Bank of Americaand is scheduled to close in the first quarter of 2009 or earlier, subject toshareholder approval at both companies, customary closing conditions andstandard regulatory approvals.

 

Item 6.            Exhibits

 

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

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

 

22

----

 

**SIGNATURES**

 

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

 

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

 

23

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