** **

** **

**UNITEDSTATESSECURITIES AND EXCHANGE COMMISSION**

**Washington,D.C. 20549**

** **

**FORM 10-Q**

** **

**(MarkOne)**

** **

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

** **

**For the quarterly period ended September 30,2009**

** **

**OR**

** **

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

** **

**For the transition period from                 to                **

** **

**Commission File Number 0-52384**

** **

# **ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC**

(Exact Name of Registrantas

specified in its charter)

 

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

 

**c/o Merrill Lynch Alternative Investments LLC**

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

**250 Vesey Street**

**New York, New York 10080**

 (Address of principal executive offices)

(Zip Code)

 

**212-449-3517**

(Registrant’s telephonenumber, including area code)

 

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

**New York, New York 10281**

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

 

Indicate by checkmark whether the registrant (1) has filed all reports required to be filedby Section 13 or 15(d) of the Securities Exchange Act of 1934 duringthe preceding 12 months (or for such shorter period that the registrant wasrequired to file such reports), and (2) has been subject to such filingrequirements for the past 90 days.  Yes x   No o

 

Indicate by checkmark whether the registrant has submitted electronically and posted on itscorporate Web site, if any, every Interactive Data File required to besubmitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 ofthis chapter) during the preceding 12 months (or for such shorter period thatthe registrant was required to submit and post such files).  Yes o  No o

 

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

 

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

 

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

 

As of September 30, 2009, 158,646,709 units of membership wereoutstanding.

 

 

 

----

 

**ML TRANSTREND DTP ENHANCEDFUTURESACCESS LLC**

 

QUARTERLY REPORT FORSEPTEMBER 30, 2009 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 | 14         |
|       |                                                                                        |       |
| Item  3.   | Quantitative  and Qualitative Disclosures About Market Risk                                 | 25         |
|       |                                                                                        |       |
| Item  4T.  | Controls  and Procedures                                                                    | 29         |
|       |                                                                                        |       |
|       | PART II                                   |       |
|       |                                                                                        |       |
| Item  1.   | Legal  Proceedings                                                                          | 29         |
|       |                                                                                        |       |
| Item  1A.  | Risk  Factors                                                                               | 29         |
|       |                                                                                        |       |
| Item  2.   | Unregistered  Sales of Equity Securities and Use of Proceeds                                | 30         |
|       |                                                                                        |       |
| Item  3.   | Defaults  Upon Senior Securities                                                            | 31         |
|       |                                                                                        |       |
| Item  4.   | Submission  of Matters to a Vote of Security Holders                                        | 31         |
|       |                                                                                        |       |
| Item  5.   | Other  Information                                                                          | 31         |
|       |                                                                                        |       |
| Item  6.   | Exhibits                                                                                    | 31         |

 

----

 

PART I -FINANCIAL INFORMATION

 

Item 1.             Financial Statements

 

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(a Delaware LimitedLiability Company)

 

STATEMENTS OF FINANCIALCONDITION

(unaudited)

 
| ** **                                                                                                | ** ** | **September 30,** | ** **  | **December 31 ,** | ** ** |
|-----------------------------------------------------------------------------------------------------------|------------|------------------------|-------------|------------------------|------------|
| ** **                                                                                                | ** ** | **2009**               | ** **  | **2008**               | ** ** |
| **ASSETS:**                                                                                               |       |                   |        |                   |       |
| Equity in commodity futures trading accounts:                                                             |       |                   |        |                   |       |
| Cash (including restricted cash of $28,277,246 for  2009 and $15,307,220 for 2008)                        |       | $                      | 235,157,280 |                   | $          | 227,695,348 |   |
| Net unrealized profit on open contracts                                                                   |       | 5,672,633              |        | 6,740,529              |       |
| Cash                                                                                                      |       | 205,654                |        | 27,291                 |       |
| Prepaid Fees or Prepaid Expenses                                                                          |       | 25,326                 |        | —                 |       |
| Accrued interest                                                                                          |       | 281                    |        | 9,490                  |       |
|                                                                                                      |       |                   |        |                   |       |
| **TOTAL  ASSETS**                                                                                         |       | $                      | 241,061,174 |                   | $          | 234,472,658 |   |
|                                                                                                      |       |                   |        |                   |       |
| **LIABILITIES  AND MEMBERS’ CAPITAL:**                                                               |       |                   |        |                   |       |
| LIABILITIES:                                                                                              |       |                   |        |                   |       |
| Brokerage commissions payable                                                                             |       | $                      | 80,398      |                   | $          | 37,485 |   |
| Management fee payable                                                                                    |       | 343,377                |        | 380,618                |       |
| Sponsor fee payable                                                                                       |       | 42,337                 |        | 31,557                 |       |
| Redemptions payable                                                                                       |       | 470,729                |        | 2,375,459              |       |
| Performance fee payable                                                                                   |       | —                 |        | 14,140,228             |       |
| Other                                                                                                     |       | 192,219                |        | 172,187                |       |
|                                                                                                      |       |                   |        |                   |       |
| Total liabilities                                                                                         |       | 1,129,060              |        | 17,137,534             |       |
|                                                                                                      |       |                   |        |                   |       |
| MEMBERS’ CAPITAL:                                                                                    |       |                   |        |                   |       |
| Members’ Interest (158,646,709 Units and 131,802,114  Units outstanding; unlimited Units authorized) |       | 239,932,114            |        | 217,335,124            |       |
| Total members’ capital                                                                               |       | 239,932,114            |        | 217,335,124            |       |
|                                                                                                      |       |                   |        |                   |       |
| **TOTAL  LIABILITIES AND MEMBERS’ CAPITAL**                                                          |       | $                      | 241,061,174 |                   | $          | 234,472,658 |   |
| ** **                                                                                                | ** ** | ** **             | ** **  | ** **             | ** ** |
| **NET  ASSET VALUE PER UNIT (SEE NOTE 4)**                                                                |       |                   |        |                   |       |

 

See notes tofinancial statements.

 

1

----

 

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OFOPERATIONS

(unaudited)

 
| ** **                                   | ** ** | **For the three  months ended** | ** **  | **For the three  months ended** | ** ** | **For the nine months  ended** | ** ** | **For the nine months  ended** | ** **  |
|----------------------------------------------|------------|---------------------------------|-------------|---------------------------------|------------|--------------------------------|------------|--------------------------------|-------------|
| ** **                                   | ** ** | **September 30, 2009**     | ** **  | **September 30, 2008**     | ** ** | **September 30, 2009**    | ** ** | **September 30, 2008**    | ** **  |
| **TRADING  PROFIT (LOSS):**                  | ** ** | ** **                      | ** **  | ** **                      | ** ** | ** **                     | ** ** | ** **                     | ** **  |
|                                         |       |                            |        |                            |       |                           |       |                           |        |
| Realized                                     |       | $                               | (13,717,236 | )                               | $          | 2,429,392                      |       | $                              | (13,184,564 | ) | $ | 24,183,775 |   |
| Change in unrealized, net                    |       | 3,776,785                       |        | 359,681                         |       | (1,067,896                     | )          | 2,994,392                      |        |
| Brokerage commissions                        |       | (330,300                        | )           | (205,124                        | )          | (821,592                       | )          | (502,570                       | )           |
|                                         |       |                            |        |                            |       |                           |       |                           |        |
| Total trading profit (loss)                  |       | (10,270,751                     | )           | 2,583,949                       |       | (15,074,052                    | )          | 26,675,597                     |        |
|                                         |       |                            |        |                            |       |                           |       |                           |        |
| **INVESTMENT  INCOME:**                      |       |                            |        |                            |       |                           |       |                           |        |
| Interest                                     |       | (111                            | )           | 746,056                         |       | 21,114                         |       | 2,316,942                      |        |
|                                         |       |                            |        |                            |       |                           |       |                           |        |
| **EXPENSES:**                                |       |                            |        |                            |       |                           |       |                           |        |
| Management fee                               |       | 1,018,187                       |        | 659,355                         |       | 2,855,143                      |       | 1,598,827                      |        |
| Sponsor fee                                  |       | 125,080                         |        | 78,290                          |       | 334,232                        |       | 162,815                        |        |
| Performance fee                              |       | —                          |        | 447,866                         |       | 326                            |       | 6,207,193                      |        |
| Other                                        |       | 145,177                         |        | 130,629                         |       | 394,484                        |       | 252,998                        |        |
| Total expenses                               |       | 1,288,444                       |        | 1,316,140                       |       | 3,584,185                      |       | 8,221,833                      |        |
|                                         |       |                            |        |                            |       |                           |       |                           |        |
| **NET  INVESTMENT LOSS**                     |       | (1,288,555                      | )           | (570,084                        | )          | (3,563,071                     | )          | (5,904,891                     | )           |
|                                         |       |                            |        |                            |       |                           |       |                           |        |
| **NET  INCOME (LOSS)**                       |       | $                               | (11,559,306 | )                               | $          | 2,013,865                      |       | $                              | (18,637,123 | ) | $ | 20,770,706 |   |
|                                         |       |                            |        |                            |       |                           |       |                           |        |
| **NET  INCOME (LOSS) PER UNIT:**             |       |                            |        |                            |       |                           |       |                           |        |
|                                         |       |                            |        |                            |       |                           |       |                           |        |
| Weighted average number of Units outstanding |       |                            |        |                            |       |                           |       |                           |        |
| Class A*                                |       | 2,096,674                       |        | 802,872                         |       | 1,611,171                      |       | 557,572                        |        |
| Class C**                               |       | 14,506,578                      |        | 10,069,660                      |       | 12,738,648                     |       | 6,918,309                      |        |
| Class D***                              |       | 652,610                         |        | 1,780,711                       |       | 870,147                        |       | 1,929,738                      |        |
| Class I****                             |       | 1,426,887                       |        | 767,867                         |       | 841,165                        |       | 724,711                        |        |
| Class DS*****                           |       | 93,753,406                      |        | 47,131,909                      |       | 81,547,491                     |       | 31,960,844                     |        |
| Class DT******                          |       | 43,746,729                      |        | 61,990,342                      |       | 47,021,748                     |       | 66,647,872                     |        |
|                                         |       |                            |        |                            |       |                           |       |                           |        |
| Net income (loss) per weighted average Unit  |       |                            |        |                            |       |                           |       |                           |        |
| Class A*                                |       | $                               | (0.0678     | )                               | $          | 0.0132                         |       | $                              | (0.1298     | ) | $ | 0.1083 |   |
| Class C**                               |       | $                               | (0.0663     | )                               | $          | 0.0056                         |       | $                              | (0.1289     | ) | $ | 0.0942 |   |
| Class D***                              |       | $                               | (0.0507     | )                               | $          | 0.0117                         |       | $                              | (0.0820     | ) | $ | 0.1397 |   |
| Class I****                             |       | $                               | (0.0649     | )                               | $          | 0.0090                         |       | $                              | (0.1378     | ) | $ | 0.1509 |   |
| Class DS*****                           |       | $                               | (0.0751     | )                               | $          | 0.0178                         |       | $                              | (0.1367     | ) | $ | 0.1570 |   |
| Class DT******                          |       | $                               | (0.0753     | )                               | $          | 0.0175                         |       | $                              | (0.1165     | ) | $ | 0.2200 |   |

 

----

*Class Acommenced on September 1, 2007.

**Class Ccommenced on July 1, 2007.

***Class Dcommenced on November 1, 2007.

****Class Icommenced on October 1, 2007.

*****Class DSwas previously known as Class D-SM and commenced on April 2, 2007.

******Class DTwas previously known as Class D-TF and commenced on June 1, 2007.

See notes tofinancial statements.

 

2

----

 

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(a Delaware LimitedLiability Company)

 

STATEMENTS OF CHANGES INMEMBERS’ CAPITAL

For the nine months endedSeptember 30, 2009 and 2008

(unaudited in Units)

 
| ** **                | ** ** | **Members’ Capital  December 31, 2007** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital  September 30, 2008** | ** ** | **Members’ Capital  December 31, 2008** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital  September 30, 2009** | ** ** |
|---------------------------|------------|-------------------------------------------------------------|------------|-------------------|------------|-----------------|------------|--------------------------------------------------------------|------------|-------------------------------------------------------------|------------|-------------------|------------|-----------------|------------|--------------------------------------------------------------|------------|
| Class A*             |       | 107,731                                                     |       | 790,211           |       | (83,945         | )          | 813,997                                                      |       | 937,456                                                     |       | 1,280,352         |       | (83,741         | )          | 2,134,067                                                    |       |
| Class C**            |       | 752,226                                                     |       | 9,979,786         |       | (418,499        | )          | 10,313,513                                                   |       | 10,398,395                                                  |       | 6,196,513         |       | (2,009,655      | )          | 14,585,253                                                   |       |
| Class D***           |       | 750,000                                                     |       | 2,794,704         |       | (1,763,993      | )          | 1,780,711                                                    |       | 978,915                                                     |       | 0                 |       | (978,915        | )          | 0                                                            |       |
| Class I****          |       | 590,000                                                     |       | 177,867           |       | (13,367         | )          | 754,500                                                      |       | 780,147                                                     |       | 1,319,301         |       | (657,858        | )          | 1,441,590                                                    |       |
| Class DS*****        |       | 13,766,729                                                  |       | 42,665,181        |       | (2,852,864      | )          | 53,579,046                                                   |       | 67,285,671                                                  |       | 29,554,355        |       | —          |       | 96,840,026                                                   |       |
| Class DT******       |       | 71,713,429                                                  |       | 1,498,340         |       | (17,517,593     | )          | 55,694,176                                                   |       | 51,421,530                                                  |       | —            |       | (7,775,757      | )          | 43,645,773                                                   |       |
|                      |       |                                                        |       |              |       |            |       |                                                         |       |                                                        |       |              |       |            |       |                                                         |       |
| Total Members’ Units |       | 87,680,115                                                  |       | 57,906,089        |       | (22,650,261     | )          | 122,935,943                                                  |       | 131,802,114                                                 |       | 38,350,521        |       | (11,505,926     | )          | 158,646,709                                                  |       |

 

----

*Class Acommenced on September 1, 2007.

**Class Ccommenced on July 1, 2007.

***Class Dcommenced on November 1, 2007.

****Class Icommenced on October 1, 2007.

*****Class DSwas previously known as Class D-SM and commenced on April 2, 2007.

******Class DTwas previously known as Class D-TF and commenced on June 1, 2007.

 

See notes tofinancial statements.

 

3

----

 

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(a Delaware LimitedLiability Company)

 

STATEMENTS OF CHANGES INMEMBERS’ CAPITAL

For the nine months endedSeptember 30, 2009 and 2008

(unaudited)

 
| ** **                  | ** ** | **Members’ Capital  December 31, 2007** | ** **  | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net Income  (Loss)** | ** **  | **Members’ Capital  September 30, 2008** | ** ** | **Members’ Capital  December 31, 2008** | ** ** | **Subscriptions** | ** **  | **Redemptions** | ** ** | **Net Income   (Loss)** | ** ** | **Members’ Capital  September 30, 2009** | ** **  |
|-----------------------------|------------|-------------------------------------------------------------|-------------|-------------------|------------|-----------------|------------|-----------------------------|-------------|--------------------------------------------------------------|------------|-------------------------------------------------------------|------------|-------------------|-------------|-----------------|------------|-----------------------------------|------------|--------------------------------------------------------------|-------------|
| Class A*               |       | $                                                           | 118,484     |              | $          | 923,132         |       | $                           | (102,102    | )                                                            | $          | 60,359                                                      |       | $                 | 999,873     |            | $          | 1,297,666                         |       | $                                                            | 1,712,003   |   | $ | (106,754 | ) | $ | (209,125 | ) | $ | 2,693,790 |   |
| Class C**              |       | 797,979                                                     |        | 11,148,232        |       | (478,308        | )          | 651,830                     |        | 12,119,733                                                   |       | 13,734,797                                                  |       | 7,881,411         |        | (2,538,190      | )          | (1,642,124                        | )          | $                                                            | 17,435,894  |   |
| Class D***             |       | 701,576                                                     |        | 2,724,999         |       | (1,762,514      | )          | 269,593                     |        | 1,933,654                                                    |       | 1,205,010                                                   |       | 0                 |        | (1,133,727      | )          | (71,283                           | )          | 0                                                            |        |
| Class I****            |       | 625,944                                                     |        | 197,059           |       | (16,232         | )          | 109,357                     |        | 916,128                                                      |       | 1,069,315                                                   |       | 1,748,507         |        | (895,249        | )          | (115,886                          | )          | $                                                            | 1,806,687   |   |
| Class DS*****          |       | 17,927,148                                                  |        | 59,953,718        |       | (4,000,001      | )          | 5,017,310                   |        | 78,898,175                                                   |       | 111,764,376                                                 |       | 47,738,039        |        | —          |       | (11,148,314                       | )          | $                                                            | 148,354,101 |   |
| Class DT******         |       | 92,485,147                                                  |        | 2,130,197         |       | (25,196,667     | )          | 14,662,257                  |        | 84,080,934                                                   |       | 88,263,960                                                  |       | —            |        | (13,171,927     | )          | (5,450,391                        | )          | $                                                            | 69,641,642  |   |
| ** **                  | ** ** | ** **                                                  | ** **  | ** **        | ** ** | ** **      | ** ** | ** **                  | ** **  | ** **                                                   | ** ** | ** **                                                  | ** ** | ** **        | ** **  | ** **      | ** ** | ** **                        | ** ** | ** **                                                   | ** **  |
| Total Members’ Capital |       | $                                                           | 112,656,278 |              | $          | 77,077,337      |       | $                           | (31,555,824 | )                                                            | $          | 20,770,706                                                  |       | $                 | 178,948,497 |            | $          | 217,335,124                       |       | $                                                            | 59,079,960  |   | $ | (17,845,847 | ) | $ | (18,637,123 | ) | $ | 239,932,114 |   |

 

----

*Class Acommenced on September 1, 2007.

**Class Ccommenced on July 1, 2007.

***Class Dcommenced on November 1, 2007.

****Class Icommenced on October 1, 2007.

*****Class DSwas previously known as Class D-SM and commenced on April 2, 2007.

******Class DTwas previously known as Class D-TF and commenced on June 1, 2007.

 

See notes tofinancial statements.

 

4

----

 

ML TRANSTREND DTPENHANCED FUTURESACCESS LLC

(A DelawareLimited Liability Company)

 

FINANCIAL DATAHIGHLIGHTS

FOR THE THREEMONTHS ENDED SEPTEMBER 30, 2009

 

The following perUnit data and ratios have been derived from information provided in the financialstatements.

 
| ** **                                               | ** ** | **2009**         | ** ** | **2009**         | ** ** | **2009**         | ** ** | **2009**         | ** ** | **2009**           | ** ** | **2009**            | ** ** |
|----------------------------------------------------------|------------|------------------|------------|------------------|------------|------------------|------------|------------------|------------|--------------------|------------|---------------------|------------|
| ** **                                               | ** ** | **Class A** | ** ** | **Class C** | ** ** | **Class D** | ** ** | **Class I** | ** ** | **Class DS*** | ** ** | **Class DT**** | ** ** |
| **Per Unit Operating Performance:**                      |       |             |       |             |       |             |       |             |       |               |       |                |       |
|                                                     |       |             |       |             |       |             |       |             |       |               |       |                |       |
| Net asset value, beginning of period                     |       | $                | 1.3301     |             | $          | 1.2629           |       | $                | 1.1919     |               | $          | 1.3193              |       | $ | 1.6082 |   | $ | 1.6709 |   |
|                                                     |       |             |       |             |       |             |       |             |       |               |       |                |       |
| Realized and change in unrealized trading profit  (loss) |       | (0.0541          | )          | (0.0513          | )          | (0.0284          | )          | (0.0537          | )          | (0.0654            | )          | (0.0680             | )          |
| Brokerage commissions                                    |       | (0.0018          | )          | (0.0017          | )          | (0.0010          | )          | (0.0018          | )          | (0.0021            | )          | (0.0022             | )          |
| Interest income                                          |       | (0.0000          | )          | (0.0000          | )          | (0.0000          | )          | (0.0000          | )          | (0.0000            | )          | (0.0000             | )          |
| Expenses                                                 |       | (0.0119          | )          | (0.0145          | )          | (0.1625          | )          | (0.0105          | )          | (0.0087            | )          | (0.0051             | )          |
|                                                     |       |             |       |             |       |             |       |             |       |               |       |                |       |
| Net asset value, end of period                           |       | $                | 1.2623     |             | $          | 1.1954           |       | $                | 1.0000     |               | $          | 1.2533              |       | $ | 1.5320 |   | $ | 1.5956 |   |
|                                                     |       |             |       |             |       |             |       |             |       |               |       |                |       |
| **Total Return:**                                        |       |             |       |             |       |             |       |             |       |               |       |                |       |
|                                                     |       |             |       |             |       |             |       |             |       |               |       |                |       |
| Total return before Performance fees                     |       | -5.10            | %          | -5.34            | %          | -2.84            | %          | -5.01            | %          | -4.74              | %          | -4.50               | %          |
| Performance fees                                         |       | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00               | %          | 0.00                | %          |
| Total return after Performance fees                      |       | -5.10            | %          | -5.34            | %          | -2.84            | %          | -5.01            | %          | -4.74              | %          | -4.50               | %          |
|                                                     |       |             |       |             |       |             |       |             |       |               |       |                |       |
| **Ratios to Average Members’ Capital:**             |       |             |       |             |       |             |       |             |       |               |       |                |       |
|                                                     |       |             |       |             |       |             |       |             |       |               |       |                |       |
| Expenses (excluding Performance fees)                    |       | 0.93             | %          | 1.18             | %          | 0.37             | %          | 0.83             | %          | 0.56               | %          | 0.31                | %          |
| Performance fees                                         |       | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00               | %          | 0.00                | %          |
| Expenses (including Performance fees)                    |       | 0.93             | %          | 1.18             | %          | 0.37             | %          | 0.83             | %          | 0.56               | %          | 0.31                | %          |
|                                                     |       |             |       |             |       |             |       |             |       |               |       |                |       |
| Net investment income (loss)                             |       | -0.93            | %          | -1.18            | %          | -0.37            | %          | -0.83            | %          | -0.56              | %          | -0.31               | %          |

 

----

*Class DS andwas previously known as Class D-SM.

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

See notes tofinancial statements.

 

5

----

 

ML TRANSTREND DTPENHANCED FUTURESACCESS LLC

(A DelawareLimited Liability Company)

 

FINANCIAL DATAHIGHLIGHTS

FOR THE NINEMONTHS ENDED SEPTEMBER 30, 2009

 

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

 
| ** **                                               | ** ** | **2009**         | ** ** | **2009**         | ** ** | **2009**         | ** ** | **2009**         | ** ** | **2009**           | ** ** | **2009**            | ** ** |
|----------------------------------------------------------|------------|------------------|------------|------------------|------------|------------------|------------|------------------|------------|--------------------|------------|---------------------|------------|
| ** **                                               | ** ** | **Class A** | ** ** | **Class C** | ** ** | **Class D** | ** ** | **Class I** | ** ** | **Class DS*** | ** ** | **Class DT**** | ** ** |
| **Per Unit Operating Performance:**                      |       |             |       |             |       |             |       |             |       |               |       |                |       |
|                                                     |       |             |       |             |       |             |       |             |       |               |       |                |       |
| Net asset value, beginning of period                     |       | $                | 1.3842     |             | $          | 1.3209           |       | $                | 1.2310     |               | $          | 1.3707              |       | $ | 1.6610 |   | $ | 1.7165 |   |
|                                                     |       |             |       |             |       |             |       |             |       |               |       |                |       |
| Realized and change in unrealized trading profit  (loss) |       | (0.0798          | )          | (0.0758          | )          | (0.0514          | )          | (0.0792          | )          | (0.0965            | )          | (0.1002             | )          |
| Brokerage commissions                                    |       | (0.0047          | )          | (0.0045          | )          | (0.0037          | )          | (0.0047          | )          | (0.0057            | )          | (0.0059             | )          |
| Interest income                                          |       | 0.0001           |       | 0.0001           |       | 0.0001           |       | 0.0001           |       | 0.0002             |       | 0.0002              |       |
| Expenses                                                 |       | (0.0375          | )          | (0.0453          | )          | (0.1760          | )          | (0.0336          | )          | (0.0270            | )          | (0.0150             | )          |
|                                                     |       |             |       |             |       |             |       |             |       |               |       |                |       |
| Net asset value, end of period                           |       | $                | 1.2623     |             | $          | 1.1954           |       | $                | 1.0000     |               | $          | 1.2533              |       | $ | 1.5320 |   | $ | 1.5956 |   |
|                                                     |       |             |       |             |       |             |       |             |       |               |       |                |       |
| **Total Return:**                                        |       |             |       |             |       |             |       |             |       |               |       |                |       |
|                                                     |       |             |       |             |       |             |       |             |       |               |       |                |       |
| Total return before Performance fees                     |       | -8.81            | %          | -9.49            | %          | -5.93            | %          | -8.53            | %          | -7.78              | %          | -7.08               | %          |
| Performance fees                                         |       | -0.01            | %          | -0.01            | %          | 0.00             | %          | -0.05            | %          | 0.00               | %          | 0.00                | %          |
| Total return after Performance fees                      |       | -8.82            | %          | -9.50            | %          | -5.93            | %          | -8.58            | %          | -7.78              | %          | -7.08               | %          |
|                                                     |       |             |       |             |       |             |       |             |       |               |       |                |       |
| **Ratios to Average Members’ Capital:**             |       |             |       |             |       |             |       |             |       |               |       |                |       |
|                                                     |       |             |       |             |       |             |       |             |       |               |       |                |       |
| Expenses (excluding Performance fees)                    |       | 2.80             | %          | 3.55             | %          | 1.50             | %          | 2.50             | %          | 1.68               | %          | 0.93                | %          |
| Performance fees                                         |       | 0.01             | %          | 0.01             | %          | 0.00             | %          | 0.05             | %          | 0.00               | %          | -0.01               | %          |
| Expenses (including Performance fees)                    |       | 2.81             | %          | 3.56             | %          | 1.50             | %          | 2.55             | %          | 1.68               | %          | 0.92                | %          |
|                                                     |       |             |       |             |       |             |       |             |       |               |       |                |       |
| Net investment income (loss)                             |       | -2.81            | %          | -3.56            | %          | -1.50            | %          | -2.55            | %          | -1.68              | %          | -0.92               | %          |

 

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*Class DS andwas previously known as Class D-SM.

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

See notes tofinancial statements.

 

6

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ML TRANSTREND DTPENHANCED FUTURESACCESS LLC

(a Delaware LimitedLiability Company)

 

NOTES TO FINANCIALSTATEMENTS

(unaudited)

 

1.              SUMMARY OF SIGNIFICANT ACCOUNTINGPOLICIES

 

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

 

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

 

In the opinion ofmanagement, these interim financial statements contain all adjustments,consisting only of normal recurring adjustments, necessary for a fair statementof the financial position of the Fund as of September  30, 2009 and theresults of its operations for the three and nine months ended September 30,2009 and 2008.  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.  These financial statements should be read inconjunction with the financial statements and notes thereto included in theFund’s Annual Report on Form 10-K filed with the Securities and ExchangeCommission for the period ended December 31, 2008.

 

In July 2009,the Financial Accounting Standards Board (“FASB”) issued Accounting StandardsCodification (“ASC”) 105, *Generally AcceptedAccounting Principles,*(ASC 105), which approved the FASB AccountingStandards Codification (the “Codification”) as the single source ofauthoritative nongovernmental GAAP. The Codification is effective for interimor annual periods ending after September 15, 2009. All existing accountingstandards have been superseded and all other accounting literature not includedin the Codification will be considered nonauthoritative. ASC 105 was notintended to change the accounting literature and did not impact the Fund’sfinancial condition or results of operations. All accounting references within this report are in accordance with thenew Codification.

 

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.

 

7

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2.              CONDENSED SCHEDULE OF INVESTMENTS

 

The Fund’sinvestments, defined as Net unrealized profit (loss) on open contracts on theStatements of Financial Condition, as of September 30, 2009 and December 31,2008, are as follows:

 

**September 30,2009**

 
|                        |       |                    |       |                   |       |                           |       |               |       |                    |       |                           |       |                            |       |                           |       |                            |       |
|-----------------------------|------------|-------------------------|------------|------------------------|------------|--------------------------------|------------|--------------------|------------|-------------------------|------------|--------------------------------|------------|---------------------------------|------------|--------------------------------|------------|---------------------------------|------------|
| ** **                  | ** ** | **Long Positions** | ** ** | ** **             | ** ** | **Short Positions**       | ** ** | ** **         | ** ** | **Net Unrealized** | ** ** | ** **                     | ** ** | ** **                      | ** ** |
| **Commodity Industry** | ** ** | **Number of**      | ** ** | **Unrealized**         | ** ** | **Percent of**            | ** ** | **Number of** | ** ** | **Unrealized**          | ** ** | **Percent of**            | ** ** | **Profit (Loss)**          | ** ** | **Percent of**            | ** ** | ** **                      | ** ** |
| **Sector**                  | ** ** | **Contracts**           | ** ** | **Profit (Loss)** | ** ** | **Members’ Capital** | ** ** | **Contracts**      | ** ** | **Profit (Loss)**  | ** ** | **Members’ Capital** | ** ** | **on Open Positions** | ** ** | **Members’ Capital** | ** ** | **Maturity Dates**              | ** ** |
| ** **                  | ** ** | ** **              | ** ** | ** **             | ** ** | ** **                     | ** ** | ** **         | ** ** | ** **              | ** ** | ** **                     | ** ** | ** **                      | ** ** | ** **                     | ** ** | ** **                      | ** ** |
| Agriculture                 |       | 244                     |       | $                      | (30,094    | )                              | -0.01      | %                  | (985       | )                       | $          | 177,083                        |       | 0.07                            | %          | $                              | 146,989    |                            | 0.06       | % | December  2009 - March 2010 |   |
| Currencies                  |       | 914                     |       | 2,245,270              |       | 0.94                           | %          | (1,832             | )          | 1,331,333               |       | 0.55                           | %          | 3,576,603                       |       | 1.49                           | %          | March  2010                     |       |
| Energy                      |       | 2                       |       | (2,870                 | )          | 0.00                           | %          | (512               | )          | (1,215,520              | )          | -0.51                          | %          | (1,218,390                      | )          | -0.51                          | %          | December  2009 - March 2010     |       |
| Interest rates              |       | 7,350                   |       | 2,580,864              |       | 1.08                           | %          | (467               | )          | (132,067                | )          | -0.06                          | %          | 2,448,797                       |       | 1.02                           | %          | December  2009 - March 2012     |       |
| Metals                      |       | 754                     |       | 2,310,003              |       | 0.96                           | %          | (485               | )          | (1,833,320              | )          | -0.76                          | %          | 476,683                         |       | 0.20                           | %          | January 2010  - March 2010 |       |
| Stock indices               |       | 939                     |       | 241,951                |       | 0.10                           | %          |               |       |                    |       | 0.00                           | %          | 241,951                         |       | 0.10                           | %          | January 2010  - March 2010 |       |
|                        |       |                    |       |                   |       |                           |       |               |       |                    |       |                           |       |                            |       |                           |       |                            |       |
| Total                       |       |                    |       | $                      | 7,345,124  |                           | 3.07       | %                  |       |                    | $          | (1,672,491                     | )          | -0.71                           | %          | $                              | 5,672,633  |                            | 2.36       | % |   |   |

 

**December 31,2008**

** **
|                        |       |                    |       |                   |       |                           |       |               |       |                    |       |                           |       |                            |       |                           |       |                                 |       |
|-----------------------------|------------|-------------------------|------------|------------------------|------------|--------------------------------|------------|--------------------|------------|-------------------------|------------|--------------------------------|------------|---------------------------------|------------|--------------------------------|------------|--------------------------------------|------------|
| ** **                  | ** ** | **Long Positions** | ** ** | ** **             | ** ** | **Short Positions**       | ** ** | ** **         | ** ** | **Net Unrealized** | ** ** | ** **                     | ** ** | ** **                      | ** ** |
| **Commodity Industry** | ** ** | **Number of**      | ** ** | **Unrealized**         | ** ** | **Percent of**            | ** ** | **Number of** | ** ** | **Unrealized**          | ** ** | **Percent of**            | ** ** | **Profit (Loss)**          | ** ** | **Percent of**            | ** ** | ** **                           | ** ** |
| **Sector**                  | ** ** | **Contracts**           | ** ** | **Profit (Loss)** | ** ** | **Members’ Capital** | ** ** | **Contracts**      | ** ** | **Profit (Loss)**  | ** ** | **Members’ Capital** | ** ** | **on Open Positions** | ** ** | **Members’ Capital** | ** ** | **Maturity Dates**              | ** ** |
| ** **                  | ** ** | ** **              | ** ** | ** **             | ** ** | ** **                     | ** ** | ** **         | ** ** | ** **              | ** ** | ** **                     | ** ** | ** **                      | ** ** | ** **                     | ** ** | ** **                           | ** ** |
| Agriculture                 |       | 90                      |       | $                      | 151,485    |                           | 0.07       | %                  | (476       | )                       | $          | (432,610                       | )          | -0.20                           | %          | $                              | (281,125   | )                                    | -0.13      | % | February 09  - December 09 |   |
| Currencies                  |       | 126                     |       | 618,638                |       | 0.28                           | %          | (192               | )          | (185,546                | )          | -0.09                          | %          | 433,092                         |       | 0.19                           | %          | March 2009                      |       |
| Energy                      |       | —                  |       | —                 |       | 0.00                           | %          | (328               | )          | 489,104                 |       | 0.23                           | %          | 489,104                         |       | 0.23                           | %          | February 09  - December 09 |       |
| Interest rates              |       | 4,057                   |       | 4,178,934              |       | 1.92                           | %          | (1,398             | )          | (913,221                | )          | -0.42                          | %          | 3,265,713                       |       | 1.50                           | %          | March 09  - December 11    |       |
| Metals                      |       | 305                     |       | (3,140,161             | )          | -1.44                          | %          | (450               | )          | 6,168,912               |       | 2.84                           | %          | 3,028,751                       |       | 1.40                           | %          | January 09  - May 09       |       |
| Stock indices               |       | —                  |       | —                 |       | 0.00                           | %          | (410               | )          | (195,006                | )          | -0.09                          | %          | (195,006                        | )          | -0.09                          | %          | January 09  - March 09     |       |
|                        |       |                    |       |                   |       |                           |       |               |       |                    |       |                           |       |                            |       |                           |       |                                 |       |
| Total                       |       |                    |       | $                      | 1,808,896  |                           | 0.83       | %                  |       |                    | $          | 4,931,633                      |       | 2.27                            | %          | $                              | 6,740,529  |                                 | 3.10       | % |   |   |

 

No individual contract’s unrealized profit or losscomprised greater than 5% of the Partners’ Capital as of September 30,2009 or December 31, 2008.

 

8

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TheFund’s net unrealized profit (loss) on open forward and futures contracts as ofSeptember 30, 2009 and December 31, 2008 are as follows:

 
| **September 30, 2009** | ** ** | **Unrealized  Long Positions** | ** ** | **Unrealized  Short Positions** | ** ** | **Total**  | ** ** |
|-----------------------------|------------|--------------------------------|------------|---------------------------------|------------|------------|------------|
| Futures                     |       | $                              | 7,345,124  |                            | $          | (1,672,491 | )          | $ | 5,672,633 |   |
| Forwards                    |       | —                         |       | —                          |       | —     |       |
| Total                       |       | $                              | 7,345,124  |                            | $          | (1,672,491 | )          | $ | 5,672,633 |   |

 
| **December 31,  2008** | ** ** | **Unrealized Long Positions** | ** ** | **Unrealized Short Positions** | ** ** | **Total** | ** ** |
|-----------------------------|------------|-------------------------------|------------|--------------------------------|------------|-----------|------------|
| Futures                     |       | $                             | 1,808,896  |                           | $          | 4,931,633 |       | $ | 6,740,529 |   |
| Forwards                    |       | —                        |       | —                         |       | —    |       |
| Total                       |       | $                             | 1,808,896  |                           | $          | 4,931,633 |       | $ | 6,740,529 |   |

 

3.    FAIRVALUE OF INVESTMENTS

 

In September 2006,the FASB issued guidance on fair value measurement. This guidance defines fairvalue, establishes a framework for measuring fair value and expands disclosuresabout fair value measurements. The Fund adopted this guidance as of January 1,2008. The adoption of this guidance did not have a material impact on the Fund’sfinancial statements.

 

Fair value of aninvestment is the amount that would be received to sell the investment in anorderly transaction between market participants at the measurement date (i.e.the exit price). All investments (includingderivative financial instruments and derivative commodity instruments) are heldfor trading purposes.  The investmentsare recorded on trade date and open contracts are recorded at fair value(described below) at the measurement date. Investments denominated in foreigncurrencies are translated into U.S. dollars at the exchange rates prevailing atthe measurement date.  Gains or lossesare realized when contracts are liquidated. Unrealized gains or losses on open contracts are included in equity incommodity futures trading account.  Anychange in net unrealized gain or loss from the preceding period is reported inthe Statement of Operations.

 

Thefair value measurement guidance established a hierarchal disclosure frameworkwhich prioritizes and ranks the level of market price observability used inmeasuring investments at fair value. Market price observability is impacted bya number of factors, including the type of investment and the characteristicsspecific to the investment. Investments with readily available active quotedprices or for which fair value can be measured from actively quoted pricesgenerally will have a higher degree of market price observability and a lesserdegree of judgment used in measuring fair value.

 

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

 

LevelI – Quoted prices are available in active markets for identical investments asof the reporting date. The type of investments included in Level I are publiclytraded investments. As required, the Fund does not adjust the quoted price forthese investments even in situations where the Fund holds a large position anda sale could reasonably impact the quoted price.

 

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

 

9

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Level III– Pricing inputs are unobservable and include situations where there is little,if any, market activity for the investment. Fair value for these investments isdetermined using valuation methodologies that consider a range of factors,including but not limited the nature of the investment, local marketconditions, trading values on public exchanges for comparable securities,current and projected operating performance and financing transactionssubsequent to the acquisition of the investment. The inputs into thedetermination of fair value require significant management judgment. Due to theinherent uncertainty of these estimates, these values may differ materiallyfrom the values that would have been used had a ready market for theseinvestments existed.

 

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

 

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

 

Exchangetraded investments are fair valued by the Fund by using the reported closingprice on the primary exchange where it trades such investments. These closingprices are observed through the clearing broker and third party pricingservices. For non exchange traded investments, quoted values and other dataprovided by nationally recognized independent pricing sources are used as inputsinto its process for determining fair values.

 

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

 

Uponadoption of the fair value measurement guidance, the Fund has determined thatLevel I securities would include all of its futures and options contracts whereit believes that quoted prices are available in an active market.

 

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

 

The following table summarizes the valuation of theFund’s investments by the above fair value hierarchy levels as of September 30,2009 and December 31, 2008:

 
| ** **                                      | ** ** | **Total** | ** ** | **Level I** | ** ** | **Level II** | ** ** | **Level III** | ** ** |
|-------------------------------------------------|------------|-----------|------------|-------------|------------|--------------|------------|---------------|------------|
| Net unrealized profit  (loss) on open contracts |       |      |       |        |       |         |       |          |       |
| September 30, 2009                         |       | $         | 5,672,633  |        | $          | 5,672,633    |       | N/A           |       | N/A |   |
| December 31, 2008                          |       | $         | 6,740,529  |        | $          | 6,740,529    |       | N/A           |       | N/A |   |

 

10

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Effective January 1,2009 the Fund adopted the guidance on disclosures about derivative instrumentsand hedging activities which requires qualitative disclosures about objectivesand strategies 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. Thisguidance only expands the disclosure requirements for derivative instrumentsand related hedging activities and has no impact on Statement of FinancialCondition or Statement of Operations and Expenses and Partners’ Capital.

 

The Fund engages in the speculative trading of futures, options onfutures and forward contracts on a wide range of commodities. Such contractsmeet the definition of a derivative as noted in the guidance for accounting for derivative and hedgingactivities. The fair value amounts of and the gains and losses onderivative instruments is disclosed in the statement of financial condition andstatement of operations respectively. There are no credit related contingentfeatures embedded in these derivative contracts.

 

The followingtable indicates the trading gains and losses, by commodity industry sector. Onderivative instruments for each of the three month and nine month periods endedSeptember 30, 2009:

 
| ** **                     | ** ** | **For the three months  ended** | ** ** | **For the nine months  ended** | ** ** |
|--------------------------------|------------|---------------------------------|------------|--------------------------------|------------|
| ** **                     | ** ** | **September 30, 2009**     | ** ** | **September 30, 2009**    | ** ** |
| **Commodity  Industry Sector** | ** ** | **Gain (loss) from trading**    | ** ** | **Gain (loss) from trading**   | ** ** |
|                           |       |                            |       |                           |       |
| Agriculture                    |       | 442,145                         |       | $                              | 834,427    |   |
| Currencies                     |       | 437,657                         |       | 4,854,415                      |       |
| Energy                         |       | (11,213,936                     | )          | (12,481,683                    | )          |
| Interest rates                 |       | (4,306,334                      | )          | (9,792,904                     | )          |
| Metals                         |       | 422,454                         |       | (1,702,780                     | )          |
| Stock indices                  |       | 4,277,563                       |       | 4,036,065                      |       |
|                           |       |                            |       |                           |       |
| Total                          |       | $                               | (9,940,451 | )                              | $          | (14,252,460 | ) |
|                                |            |                                 |            |                                |            |  |  |

 

The Fund is subject to the risk of insolvency of acounterparty, an exchange, a clearinghouse or MLPF&S.  Fund assets could be lost or impounded duringlengthy bankruptcy 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 increased risksin dealing with unregulated trading counterparties including the risk thatassets may not benefit from the protection afforded to “customer funds”deposited with regulated dealers and brokers.

 

11

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4.    NETASSET VALUE PER UNIT

 

The Net Asset Value per Unit of the different Classesat September 30, 2009 and December 31, 2008 are as follows:

 

September 30, 2009

 
| ** **    | ** ** | **Net Asset Value per Unit** | ** ** |
|---------------|------------|------------------------------|------------|
| Class A  |       | $                            | 1.2623     |   |
| Class C  |       | 1.1954                       |       |
| Class D  |       | 1.0000                       |       |
| Class I  |       | 1.2533                       |       |
| Class DS |       | 1.5320                       |       |
| Class DT |       | 1.5956                       |       |
|               |            |                              |            |  |

 

December 31, 2008

 
| ** ** | ** ** | **Net Asset Value per Unit** | ** ** |
|------------|------------|------------------------------|------------|
| Class A    |       | $                            | 1.3842     |   |
| Class C    |       | 1.3209                       |       |
| Class D    |       | 1.2310                       |       |
| Class I    |       | 1.3707                       |       |
| Class DS   |       | 1.6610                       |       |
| Class DT   |       | 1.7165                       |       |
|            |            |                              |            |  |

 

5.    MARKETAND CREDIT RISKS

 

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

 

Market Risk

 

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

 

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

 

12

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Credit Risk

 

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

 

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

 

6.    RECENTACCOUNTING PRONOUNCEMENTS

 

In April 2009, the FASB issued guidance on determining fair value when the volume andlevel of activity for the asset or liability have significantly decreased andidentifying**transactions**that**arenot orderly*.*This alsoprovides additional guidance for estimating fair value in accordance with the fair value measurements when thevolume and level of activity for the asset or liability have significantlydecreased. This guidance also identifies circumstances that indicate atransaction is not orderly. The guidance emphasizes that even if there has beena significant decrease in the volume and level of activity for the asset orliability and regardless of the valuation technique(s) used, the objectiveof a fair value measurement remains the same. Fair value is the price thatwould be received to sell an asset or paid to transfer a liability in anorderly transaction (that is, not a forced liquidation or distressed sale)between market participants at the measurement date under current marketconditions. The guidance also contains enhanced disclosure requirements wherebyfair value disclosures as well as certain disaggregated information will bedisclosed. The adoption of this guidance has no impact on the financialstatements.

 

In September 2009, theFASB issued Accounting Standards Update No. 2009-12, *Investments in Certain Entities That Calculate NetAsset Value per Share (or Its Equivalent)*(the “ASU 2009-12”)*,*which is effective for interim or annualfinancial periods ending after December 15, 2009. At this time, the Manageris evaluating the implications of this statement.  However, the adoptionis not expected to have material impact on the Fund’s financial statements.

 

7.    SUBSEQUENTEVENTS

 

The Fund has performed anevaluation of subsequent events through November 12, 2009, which is thedate the financial statements were issued, and determined that there are nosubsequent events that require an adjustment of or disclosure in the financialstatements.

 

13

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

 

MONTH-END NET ASSET VALUEPER UNIT

 

MLAI believes thatthe Net Asset Value used to calculate subscription and redemption value andto    report performance to investorsthroughout the period is the most valuable performance measure to the Membersof the Fund. Therefore, the charts below referencing Net Asset Value andperformance measurements are based on the Net Asset Value for financialreporting purposes as discussed in Note 4 to the financial statements.

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS A

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **June** | ** ** | **July** | ** ** | **August** | ** ** | **September** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|------------|------------|---------------|------------|
| 2008       |       | $        | 1.0964     |     | $          | 1.1567   |       | $        | 1.1632     |    | $          | 1.1633   |       | $        | 1.1945     |       | $          | 1.2163        |       | $ | 1.1875 |   | $ | 1.1684 |   | $ | 1.2284 |   |
| 2009       |       | $        | 1.3808     |     | $          | 1.3886   |       | $        | 1.3368     |    | $          | 1.3365   |       | $        | 1.3550     |       | $          | 1.3301        |       | $ | 1.2825 |   | $ | 1.2892 |   | $ | 1.2623 |   |

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS C

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **June** | ** ** | **July** | ** ** | **August** | ** ** | **September** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|------------|------------|---------------|------------|
| 2008       |       | $        | 1.0567     |     | $          | 1.1139   |       | $        | 1.1208     |    | $          | 1.1141   |       | $        | 1.1465     |       | $          | 1.1724        |       | $ | 1.1390 |   | $ | 1.1189 |   | $ | 1.1751 |   |
| 2009       |       | $        | 1.3165     |     | $          | 1.3228   |       | $        | 1.2724     |    | $          | 1.2710   |       | $        | 1.2876     |       | $          | 1.2629        |       | $ | 1.2166 |   | $ | 1.2219 |   | $ | 1.1954 |   |

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS D

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **June** | ** ** | **July** | ** ** | **August** | ** ** | **September** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|------------|------------|---------------|------------|
| 2008       |       | $        | 0.9336     |     | $          | 0.9862   |       | $        | 0.9960     |    | $          | 1.0015   |       | $        | 1.0470     |       | $          | 1.0743        |       | $ | 1.0468 |   | $ | 1.0313 |   | $ | 1.0859 |   |
| 2009       |       | $        | 1.2296     |     | $          | 1.2380   |       | $        | 1.1935     |    | $          | 1.1946   |       | $        | 1.2127     |       | $          | 1.1919        |       | $ | 1.1507 |   | $ | 1.1581 |   | $ | 1.0000 |   |

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS I

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **June** | ** ** | **July** | ** ** | **August** | ** ** | **September** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|------------|------------|---------------|------------|
| 2008       |       | $        | 1.0579     |     | $          | 1.1165   |       | $        | 1.1325     |    | $          | 1.1384   |       | $        | 1.1761     |       | $          | 1.2054        |       | $ | 1.1727 |   | $ | 1.1542 |   | $ | 1.2143 |   |
| 2009       |       | $        | 1.3678     |     | $          | 1.3760   |       | $        | 1.3246     |    | $          | 1.3247   |       | $        | 1.3435     |       | $          | 1.3193        |       | $ | 1.2725 |   | $ | 1.2795 |   | $ | 1.2533 |   |

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS DS

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **June** | ** ** | **July** | ** ** | **August** | ** ** | **September** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|------------|------------|---------------|------------|
| 2008       |       | $        | 1.2998     |     | $          | 1.3730   |       | $        | 1.3922     |    | $          | 1.3951   |       | $        | 1.4378     |       | $          | 1.4701        |       | $ | 1.4266 |   | $ | 1.4021 |   | $ | 1.4726 |   |
| 2009       |       | $        | 1.6591     |     | $          | 1.6705   |       | $        | 1.6103     |    | $          | 1.6119   |       | $        | 1.6363     |       | $          | 1.6082        |       | $ | 1.5526 |   | $ | 1.5626 |   | $ | 1.5320 |   |

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS DT

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **June** | ** ** | **July** | ** ** | **August** | ** ** | **September** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|------------|------------|---------------|------------|
| 2008       |       | $        | 1.2885     |     | $          | 1.3623   |       | $        | 1.3854     |    | $          | 1.3980   |       | $        | 1.4479     |       | $          | 1.4882        |       | $ | 1.4508 |   | $ | 1.4320 |   | $ | 1.5102 |   |
| 2009       |       | $        | 1.7163     |     | $          | 1.7296   |       | $        | 1.6688     |    | $          | 1.6719   |       | $        | 1.6986     |       | $          | 1.6709        |       | $ | 1.6144 |   | $ | 1.6262 |   | $ | 1.5956 |   |

 

14

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Liquidity and Capital Resources

 

The Fund does not engage in the sale of goods or services.  The Fund’s assets are its (i) equity inits trading account, consisting of cash and cash equivalents and (ii) interestreceivable. Because of the low margin deposits normally required in commodityfutures trading relatively small price movements may result in substantiallosses to the Fund.  While substantiallosses could lead to a material decrease in liquidity, no such material lossesoccurred during the third quarter of 2009 and there was no impact on the Fund’sliquidity.

 

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

 

For the nine months ended September 30, 2009,Fund capital increased 10.40% from $217,335,124 to $239,932,114.  This increase was attributable to the netloss from operations of $18,637,123, coupled with the redemption of 11,505,926Redeemable Units resulting in an outflow of $17,845,847.  The cash outflow was offset with cash inflowof $59,079,960 due to subscription of 38,350,521 units.  Future redemptions could impact the amount offunds available for investment in commodity contract positions in subsequentmonths.

 

Critical Accounting Policies

 

Use of Estimates

 

The preparation of financial statements andaccompanying notes in conformity with U.S. generally accepted accountingprinciples (“GAAP”‘) requires management to make estimates and assumptions thataffect the reported amounts of assets and liabilities, income and expenses, andrelated disclosures of contingent assets and liabilities in the financialstatements and accompanying notes.  As aresult, actual results could differ from these estimates.

 

Statement of Cash Flows

 

The Fund has elected not to provide a Statement ofCash Flows as permitted by the ASC guidance for Statement of Cash Flowsspecifically related to the exemption of certain enterprises and theclassification of cash flows from certain securities acquired for resale.

 

Investments

 

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

 

Fair Value Measurements

 

The Fund adopted guidance on fair value measurementsas of January 1, 2008 which defines fair value as the price that would bereceived to sell an asset or paid to transfer a liability in an orderlytransaction between market participants at the measurement date.  The Fund did not apply the deferral allowedfor nonfinancial assets and nonfinancial liabilities measured at fair value ona nonrecurring basis. For more information on our fair value, see Note 3, FairValue of Investments.

 

15

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Futures Contracts

 

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

 

Forward Foreign Currency Contracts

 

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

 

Income Taxes

 

Income taxes have not been provided as each memberis individually liable for the taxes, if any, on their share of the Fund’sincome and expenses and Members’ Capital.

 

In 2007, the Fund adopted the ASC guidance onaccounting for uncertainty in income taxes. This guidance provides how uncertain tax positions should be recognized,measured, presented and disclosed in the financial statements.  The guidance also requires the evaluation oftax positions taken or expected to be taken in the course of preparing the Fund’sfinancial statements to determine whether the tax positions are “more-likely-than-not”to be sustained by the applicable tax authority.  Tax positions with respect to tax at the Fundlevel not deemed to meet the “more-likely-than-not” threshold would be recordedas a tax benefit or expense in the current year.  MLAI has concluded that the adoption of thisguidance had no impact on the operations of the Fund for the period ended September 30,2009 and that no provision for income tax is required in the Fund’s financialstatements.

 

Results of Operations

 

January 1, 2009 through March 31,2009

 

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

 

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

 

16

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Themetals sector posted losses for the Fund. Sales in precious and base metalswere basically uneventful except for aluminum which returned profits for theFund at the beginning of the quarter. Profits were posted to the Fund in themiddle of the quarter due to long positions in gold as investors were buyinggold in mass due to their waning confidence in the financial system pushingprices upwards. The quarter ended with losses being posted to the Fund asprevious sales of lead and zinc had negative results. Also, the price of goldcould not hold its upward trend which led to additional losses.

 

Stockindices posted losses for the Fund. Profits were posted to the Fund at the beginning of the quarter. Newoptimism almost let the stock markets stage a recovery, but too much doubtstill persisted. These mixed sentiments and its translation to the markets wasnot an ideal environment for clear trends to flourish. Many existing positionsremained short but, along with some new short positions, did not produce anynoteworthy results. Profits were posted to the Fund in the middle of thequarter due to various short positions, especially in Europe. The maincontributions came from Spain, Italy and Poland. Due to volatility in themarkets losses were posted to the Fund at the end of the quarter. A sale in thepan-European utilities index added to the gains, while a losing position in Swedenwas the only exception in Europe. Losses in Taiwan were more than compensatedby profits in Australia and South Africa. After reaching new lows during thefirst few days of March, the stock markets showed a strong recovery. Sales inboth geographic and industry orientated indices lost money. The poorestperformers were China, South Korea, South Africa and Australia.

 

Thecurrency sector posted losses for the Fund. Losses were posted to the Fund atthe beginning of the quarter. Shortly after the year started, several trendreversals were seen as the U.S. dollar strengthened against various currencies.Some of these movements hurt existing positions, such as long positions inSouth African rand versus the U.S. dollar and the euro plus a long position inthe Turkish lira against the U.S. dollar. The Canadian dollar showed some extra strength in the beginning of themonth as it followed crude oil prices upwards. This had a negative impact onCanadian dollar sales versus the U.S. dollar and the euro. The Russiangovernment tried to control the ruble’s depreciation this month by expandingits basket trading band but the currency still fell faster than desired.Therefore, ruble sales and also Hungarian forint sales, due to the EasternEuropean currencies still being associated with Russia, earned profits versusthe euro.  Profits were posted to theFund in the middle of the quarter. The weakness of the Swedish crown was takenadvantage of through sales versus the Norwegian crown and the U.S. dollar.Emerging market currencies also felt pressure as sales in the Taiwan andSingapore dollars and the Colombian peso were also profitable for the Fund. TheU.S. dollar appreciated against the currencies of the more developed countrieswith various positions earning gains as a consequence. The announcedquantitative easing in the United States abruptly ended the upward march of theU.S. dollar. This movement was the most important cause of the losses beingposted to the Fund at the end of the quarter. Purchases of U.S. dollars versusvarious emerging and developed currencies suddenly dropped. Euros sold againstHong Kong dollars did not deliver the desired result posting losses for theFund. Sales of Turkish lira against euros, together with purchases of SouthAfrican rand versus various other currencies proved to be the top positiveexceptions which were not enough to offset the losses posted to the Fund.

 

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

 

Theinterest rate sector posted losses for the Fund. Losses were posted for theFund at the beginning of the quarter. The interest rate markets looked to befollowing on from last year with their upward trends. However, considerationsthat the crisis was perhaps moving a step closer to being under controlreversed these movements. Long capital market positions in Japan, UnitedKingdom, United States and Canada all suffered losses. Short positions inEurope also failed to add gains. Losses were posted to the Fund in the middleof the quarter. Downward pressure was placed on rates due to the somber outlookof the 

17

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economy.On the other hand, upward pressure was put on rates due to serious questionsbeing asked about the expensive financing plans of governments and their negativeimplications. A purchase of South Korean government debt generated a loss plusvarious positions in the British money market also did not bring the desiredresult. Losses were posted to the Fund at the end of the quarter. Although themarket had considered that the announcement of the U.S. Federal Reserve to usequantitative easing was still a surprise when they announced it. Interest ratemarkets reacted heavily whereby positions counting on lower rates in Europethan in the U.S. suffered losses. Purchases of government debt in Germany,Japan and South Korea booked a negative result and positions in Australia alsoposted losses for the Fund.

 

April 1, 2009through June 30, 2009

 

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

 

Thecurrency sector posted profits for the Fund. Profits were posted to the Fund atthe beginning of the quarter due to currencies of various commodity richcountries as a rising trend in positions in South Africa, Russia, Australia,Brazil and Colombia against major currencies profited from this move. Purchasesof Mexican pesos were initially beneficial however, at the end of April thepesos was strongly affected due to the fear of the Swine Flu outbreak. Alsolong positions in the Swiss franc and short positions in the Canadian dollarversus the euro proved unprofitable. Profits continued to be posted to the Fundin the middle of the quarter. Many currencies appreciated versus the U.S.dollar mainly caused by the increasing amount of debt of the U.S. government. InSouth America, buying of Colombian pesos, Brazilian real and Mexican pesosagainst the U.S. dollar posted profits for the Fund. The best earnings withinthe currency sector were achieved through the buying of “commodity” currenciessuch as the South African rand and Australian dollars versus various othercurrencies. Furthermore, long positions in the Russian ruble, the Swiss francand the Hungarian forint also did well. The only significant loss felt wasTurkish liras purchased with euros. The trend where emerging market currencies wereappreciating against Western currencies continued its course at the end of thequarter. Profits were posted to the Fund at the end of the quarter withpurchases of the Czech koruna, the Hungarian forint and the South African rand.The Swiss central bank intervention led to a sharp fall in the value of theSwiss franc, which was unfavorable for positions versus the U.S. dollar butfavorable for short positions against other European currencies. British poundsbought with U.S. and Canadian dollars were also profitable for the Fund.

 

The agriculture sectorposted profits for the Fund. Profits were posted to the Fund at the beginningof the quarter. Short positions in corn turned negative when themarket price reversed after Russia and China declared an import stop forAmerican pig meat. However, these losses were more than compensated for throughprofits from purchases in the soy complex and sales in hogs. Profits continuedto be posted to the Fund in the middle of the quarter as sugar buying deliveredprofits. Corn sales caused losses but were more than made up for with purchasesin soybeans and soybean meal. Profits continued to be posted to the Fund at theend of the quarter as long coffee positions experienced losses but were later compensated withgains achieved with short corn and wheat positions. Cattle sales experiencedlosses which were made up for through short positions in the lean hog markets.

 

The stock indices postedprofits for the Fund. Profits were posted to the Fund at the beginning of thequarter as equity prices continued their course of recovery from the previousmonth. Long positions in Asia and North America, especially in Taiwan and SouthKorea generated profits to the Fund while short positions in Europe, mostlylimited in size, posted losses to the Fund. Profits were posted to the fund inthe middle of the quarter due to the majority of indices worldwide ended themonth higher. In Asia, long positions in Taiwan and China made the highestcontributions to the profit earned. Purchases of the Indian index also didwell, partially due to the positive sentiment following the election results.In Europe, profits being posted to the Fund were achieved by purchases in theNetherlands and in the pan-European raw material sector index. Losses wereposted to the Fund at the end of the quarter. In Asia, long positions in Hong Kong and China earnedgains and short positions in Taiwan suffered losses. Losses were also posted tothe Fund due to purchases of German indices and in the pan-European oil and gassector indices.

 

18

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The metals sector postedlosses for the Fund. Losses were posted to the Fund at the beginning of thequarter.  Short positions in aluminumand nickel as well as a long position in silver produced losses. Profits wereposted to the Fund in the middle of the quarter due to long positions in gold,tin and zinc. The quarter ended with losses being posted to the Fund due to gold purchases and aluminum sales both ledto losses.

 

The interest rate sectorposted losses for the Fund. Losses were posted to the Fund at the beginning ofthe quarter. The expectation of further buying of debt paper bythe U.S. Federal Government could not outweigh the increasing strength shown inthe equity markets. As such, various interest rate markets kept losing groundand this led to losses in long positions in the U.S. money and capital marketproducts. South Korean government bonds however showed an uptrend, whichresulted in profits being posted to the Fund. This uptrend could not outweighthe losses being posted to the Fund. Profits were posted to the Fund in themiddle of the quarter. An improved economic outlook and the first creepingdoubts regarding the credit ratings of the United States and the United Kingdomgovernments both led to a steepening of the interest rate curve. Variouspositions in the U.S. money markets played out successfully on thisdevelopment. Purchases of South Korean and German long term government debt weretherefore loss-makers. These losses were however more than compensated for bysales in Australian, U.S. and United Kingdom debt. Losses were posted to theFund at the end of the quarter. The steepening trend of the interest rate curveaccelerated during the first few days of June. Doubts over the economicsituation however abruptly broke this trend. European positions anticipating aflattening of the curve were unfortunately not able to perform well. Purchasesof American, British and German government bonds were loss-making. In thePacific region, sales of Australian state bonds and later buying of Japaneseobligations resulted in profits being posted to the Fund. Due to spawningdoubts regarding the credit-worthiness of the American government, profits wereearned with the relative weakness of the U.S. treasuries. However, this was notenough to outweigh the losses being posted to the Fund as the quarter ended.

 

The energy sector postedlosses for the Fund. Profits were posted to the Fund at the beginning of thequarter resulting from sales of natural gas. Losses were posted to theFund in the middle of the quarter. Various fossil fuel prices rose this monthas the U.S. dollar weakened and the economic outlook was perceived to beimproving. Sales in natural gas and heating oil therefore suffered significantlosses but were partially compensated with gasoline and crude oil buying. The quarter ended with losses beingposted to the Fund due to sales in natural gas.

 

July 1, 2009to September 30, 2009

 

The Fund experienced a net trading loss of $9,940,451 before brokerage commissions and related fees in the third quarter of2009.  The Fund posted overall lossesprimarily attributable to the Fund’s stock indices, metals, agriculture andcurrencies sectors posting gains while the interest rates and energy sectorsposted losses.

 

The stock indices postedprofits for the Fund. Profits were posted to the Fund at the beginning of thequarter due to the Fund’s existing and new long positions in the Asianmarkets such as China, Taiwan and South Korea. Positions in Canada and Swedenalso contributed to profits being posted to the Fund. Profits continued to beposted to the Fund in the middle of the quarter as almost all stock indicescontinued forth with their rising trends. Profits were posted to the Fund dueto purchases in Australia, France and the United Kingdom. Success was alsoachieved with a pan-European insurance sector position. Losses were felt on long positions inTaiwan and China as a consequence of Chinese Central Bank monetary tighteningfears. The quarter ended with profits being posted to the Fund.  Just a few Asian countries,such as Japan and China, went against the trend, partly caused by anappreciating Japanese yen. This was not favorable for long positions. Theselosses were however more than made up for through long positions in variousEuropean countries, Australia, Taiwan and Canada.

 

19

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TheMetals sector posted profits for the Fund. Losses were posted to the Fund atthe beginning of the quarter due to gold prices being inconsistent and led tolosses on purchases and sales. Profits were posted to the Fund in the middle ofthe quarter. Gold and silver buying created losses but were outweighed by thepositive results earned with purchases of copper and tin. The quarter endedwith profits being posted to the Fund due to rising prices of silver.

 

Theagriculture sector posted profits for the Fund. Profits were posted to the Fundat the beginning of the quarter due to the downward trends in corn and wheatprices resulting from favorable harvest expectations. Profits continued to beposted to the Fund in the middle of the quarter as sugar prices exploded upwardfollowing bad harvest expectations. Profits were also earned with sales of cornand wheat. Profits made from rising prices in cacao as well as falling wheatprices produced profits however, could not overcome the losses from the shortpositions in corn, coffee and lean hog resulting in losses being posted to theFund at the end of the quarter.

 

Thecurrency sector posted profits for the Fund. Profits were posted to the Fund atthe beginning of the quarter with purchases of Turkish lira and various EasternEuropean currencies plus long positions in Brazil and Colombia. In August, theupward trend of emerging market currencies halted. Purchases of the Mexicanpeso, Turkish lira, Russian ruble and South African rand posted losses to theFund. Losses were also posted to the Fund in the middle of the quarter due toEuros purchased with the United States dollar, Japanese yen and Swiss francsand the Canadian dollar purchases versus Japanese yen sales. The United Statesdollar fell against several other currencies such as purchases of Japanese yen,Australian and Canadian dollars producing profits to the Fund in September.Profits were also posted to the Fund through currencies from emerging marketssuch as Russia, South Africa and South Korea. One of the few currenciesperforming weaker than the United States dollar was the British pound, due tothe central bank wanting to keep a weaker pound for competitive purposes. Salesof British pounds versus the euro and South African rand also produced profitsto the Fund at the end of the quarter.

 

Theinterest rate sector posted losses for the Fund. Losses were posted to the Fundat the beginning of the quarter. Most positions in the interest rate marketswere loss making as they mainly anticipated lower rates. Positions put on tofollow trends in Trans Atlantic rate differences also posted losses for theFund. However, the anticipated lower interest rates positions proved profitablefor Fund in the middle of the quarter as profits were posted to the Fund. Thequarter ended with profits being posted to the Fund as most positionsanticipated declining interest rates resulting in profits.

 

Theenergy sector posted losses for the Fund. Losses were posted to the Fund at thebeginning of the quarter. Large supplies and low expected sales of natural gaspushed prices to lower levels which were advantageous for short positions.Sharp price swing in crude oil prices produced losses for the Fund on both longand short positions in various oil related products. Profits were posted to theFund in the middle of the quarter as prices found a new multi year low whichoutweighed the losses form the purchases of crude oil and gasoline. The suddenbreak in the downward trend of natural gas prices was not favorable forexisting short positions resulting in losses being posted to the Fund at the endof the quarter. Also, the crude oil market did not show any distinct trends soboth buys and sells suffered posting losses for the Fund.

 

January 1,2008 to March 31, 2008

 

The Fund experienced a net trading profit beforebrokerage commissions and related fees in the first quarter of 2008 of$11,025,550  Gains were primarilyattributable to the Fund’s trading in interest rates, agriculture, energy andstock indices sectors, offset with loss from metals and currency sector.

 

The interest rate sector wasthe most profitable for the quarter.  Inorder to support the troubled banking sector and to stimulate economic growth,the U.S. Federal Reserve Bank substantially reduced the American base ratetwice during the second half of January. This move caused strong positiveresults on various short and long term interest rate positions anticipating astronger divergence between American and European rates. The expectation thatvarious European central banks would have to lower their base

 

20

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rates sooner or later led toa more and more inverse looking yield curve in the money markets. Thisdevelopment was advantageous for existing positions. On the other hand, higherinflation fears helped cause a fall in bond prices, leading to losses onpurchased positions mid-quarter. The Australian central bank continued itstightening policy and noted that further rate hikes may be needed to curbrising inflation. Short sales in the Australian money markets earned gains fromthis development. In March, the financial world was stunned by the demise ofthe U.S. investment bank Bear Stearns. Thanks to various liquidity-expandingmeasures by the U.S. Federal Reserve and other leading central banks, thenegative impact was limited.

 

The agriculture sector wasalso profitable for the quarter.  Losseswere booked on aluminum, copper and nickel sales early in the quarter.Notwithstanding the jumpy nature of the commodity markets, good profits were achievedmid-quarter with corn, soybean and sugar purchases as these products eventuallycontinued their trends. Long positions in coffee, cocoa and cotton bookedexcellent results. Purchases of agricultural goods such as corn, wheat andsoybeans not only profited from a weaker U.S. dollar but also from anincreasing worldwide scarcity of supplies. At the end of the quarter, purchasesof coffee, soybeans and soybean oil suffered losses. On the other hand, lowerprices meant that short positions in the meat complex achieved gains.

 

The energy sector wasprofitable for the quarter.  The quarterstarted with energy contracts distinguished by choppy prices and had negativeresults as a consequence. Purchased crude oil, heating oil and gasoline droppedin price while sold natural gas contracts rose in price. The energy marketscontributed to the excellent results later in the quarter thanks to an upwardtrend in natural gas prices and new record prices for crude oil and its derivedproducts. At the end of the quarter, listed products in the energy marketsshowed sharp falls but did eventually experience a slight recovery. Mainly dueto profits earned with purchases of natural gas and heating oil.

 

The stock indices sector wasprofitable for the quarter.  Theperception of the credit crisis having its toll on the real economy sent stockmarkets spiraling lower. Sentiment was further worsened after a massive forcedliquidation of an allegedly fraudulent stock indices position by the number twoFrench bank Société Générale.  Newpositions were entered into mainly on the sell side. Good results were bookedon sales of Italian and American blue-chip indices while small losses were feltin the German market.  The South KoreanKospi200 index recovered somewhat after its drop at the beginning of thequarter. A short position therefore suffered. Profits posted to the Fundmid-quarter were a result of the short sales in Australia and the U.S. A longposition in the Canadian index also contributed to the positive results.

 

The metals sector postedslight losses for the quarter.  At thebeginning of the quarter, trends in gold and silver continued, albeit with somedips, which helped long positions gain profit. Profits were also earned later in the quarter due to higher prices forprecious metals such as silver and platinum and base metals such as copper andlead. A short position in nickel did however need to be liquidated with a loss.At the end of the quarter, a sharp correction led to negative results on longpositions of various base and precious metals.

 

Thecurrency sector posted losses for the quarter. At the beginning of the quarter,increasing fears in the market led to a flight out of high interestcurrencies, such as the Turkish lira. The U.S. dollar and the Euro also droppedagainst the Japanese yen which resulted in losses for short Japanese yenpositions. Due to a lack of a clear trend for the greenback against theAustralian dollar, the British pound and the Hungarian forint, small losseswere suffered.  A seriously slowingeconomy mid-quarter, a generous monetary policy and increasing inflation didnot do the U.S. dollar any favors. Some of the losses experienced early in thequarter were reversed but not enough leaving the sector at a loss for thequarter.

 

21

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April 1, 2008to June 30, 2008

 

The Fund experienced a net trading profit beforebrokerage commissions and related fees in the second quarter of 2008 of$13,363,544.  Profits were primarilyattributable to the Fund’s trading in energy, agriculture, stock indices, currencies and themetals sector posting gains while the interest rate sector posted losses.

 

The energy sector postedprofits for the Fund. The upward trend of energy prices continued strongly atthe beginning of the quarter as profits were posted to the Fund. Theexceptionally favorable results on long positions were the most importantdeterminants of the overall profits. Base metal positions also added profits asa result of a rising copper price. Profits continued to be posted to the Fundmid-quarter as the energy markets reached new high levels especially positionsin crude oil and gasoline. Profits continued to be posted to the Fund at theend of the quarter as prices continued to rise. Purchases of Brent crude oiland gasoline were particularly profitable.

 

The agriculture sectorposted profits for the Fund. Losses were posted to the Fund at the beginning ofthe quarter. The relative weakness of wheat prices against the price ofsoybeans generated gains being posted to the Fund. However this was not enoughto offset the losses from the falling prices of lean hogs and live cattlereversed resulting in losses on short positions. Favorable expectations for theupcoming wheat harvest put wheat prices under pressure which led to profitsbeing posted to the Fund as a result of short positions in wheat. Risingsoybean prices and falling sugar prices were also profitable for the Fund atmid-quarter. Heavy rainfall and flooding in the United States formed a threatfor the upcoming corn and soybean harvest. Rapidly rising prices helpedexisting long positions post profits to the Fund at the end of the quarter.Losses felt on sugar sales were more than compensated for by profits earned onpurchased cocoa.

 

Stock indices postedprofits for the Fund. Several short positions, such as the Nasdaq-100 indexended the month of April with losses being posted to the Fund. Althoughinvestors had to contend with various uncertainties, many stock exchangesshowed certain resilience. Long positions in Canada, the United States andBrazil were profitable for the Fund mid-quarter. Despite the civil unrest inSouth Africa, stocks in this country still proved to be desirable. Purchases inthe South African stock index added to the profits being posted to the Fund. Awave of sell swept over the stock markets all over the world as the quarterended. Short positions on various European exchanges posted profits for theFund. The biggest profits came from Italy, Spain, Turkey and Sweden. Thebanking and insurance and the automobile sectors contributed primarily to thosegeographic areas. The downward trend of the Australian stock market led toprofits being posted to the Fund at the end of the quarter.

 

The currency sectorposted profits for the Fund. Profits were posted to the Fund at the beginningof the quarter. The U.S. dollar, after reaching new record lows against severalcurrencies recovered strongly. As a result, short positions against the SwissFranc and the euro suffered. The Japanese yen lost substantial ground as the Japaneseyen purchases paid for with U.S. dollars and the Mexican pesos posting lossesfor the Fund.  However, the short salesagainst the euro, Swiss franc and the Australian dollar resulted in profits forthe Fund. Long positions in the Australian dollar and the Mexican peso againstthe U.S. dollar also generated profits being posted for the Fund. Purchases ofAustralian dollars against various other currencies posted profits for the Fundmid-quarter. Many emerging currencies saw their relative values rise mid-quarterwith long positions in the Hungarian forint, Polish zloty, Turkish lira and theMexican pesos all profited posting profits to the Fund. Purchases of NewZealand dollars financed with euros and U.S. dollars led to losses being postedto the Fund at the end of the quarter as did sales of Swiss francs versus theeuro and British pound. The lack of trend shown by the Canadian dollar againstthe U.S. dollar and the Japanese yen also led to losses being posted to theFund at the end of the quarter.

 

The metals sector postedprofits for the Fund. Base metal positions added profits being posted to theFund at the beginning of the quarter as a result of rising copper prices and aslipping zinc price. The inconsistent direction of gold and silver prices ledto losses on purchased contracts and long positions in copper also sufferedresulting in losses being posted to the Fund mid-quarter. Gains on zinc salesand losses on aluminum sales balanced each other out posting profits for theFund at the end of the quarter.

 

22

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The interest ratesector posted losses for the Fund. Losses were posted to the Fund at thebeginning of the quarter. The interest rate markets were mainly driven byincreased attention to inflationary risks. More market participants were of theopinion that the interest rate cut by the U.S. Federal Reserve on April 30,2008 could be the last one for the time being. During the month of April interestrates on the U.S. dollar and capital markets steadily increased, also relativeto comparable rates in Europe. This development led to losses on variouspositions. The interest allowance on British pound deposits surged after thenews that the daily United Kingdom interest rate fixing has possibly beenmanipulated by involved banks which influenced several related positionsnegatively. Long positions in Japanese government bonds also generated losses.Inflation figures released mid-quarter in various countries and regions raisedconcerns causing interest rates to rise quickly. Various positions in the moneyand capital markets of Australia and the United Kingdom profited from therising rates. A steepening of the yield curve in the United States also had apositive effect as profits were posted for the Fund.  While the United States Federal Reserve keptthe official base rate unchanged at its June meeting, most marketparticipants started to take into account a rate rise by the European CentralBank in July. The underlying money and capital markets reflected thisdifference of monetary policy. Interest rates on the European mainland and inthe United Kingdom rose at a much faster pace than rates in the Unite States.Diverse positions took advantage of this development and the quarter ended withprofits being posted for the Fund

 

July 1, 2008to September 30, 2008

 

TheFund posted profits for the quarter with the stock indices, energy and themetals sectors posting gains while the interest rate, agriculture andcurrencies sectors posted losses.

 

Stockindices posted profits for the Fund. Short positions in the Australian, Italianand a Pan-European midcap index were profitable for the Fund. However, it wasnot enough to offset short sales in Hong Kong, Poland and the United Stateswhich generated losses being posted to the Fund.    The stock market indices of Hong Kong andSingapore ended the month at lower levels. Short positions were thereforeprofitable. The profits and losses earned in the rest of Europe and the UnitedStates balanced each other out with losses being posted to the Fund in themiddle of the quarter. The continuation of the downward trend in several stockindices had a positive effect on existing positions. The biggest contributioncame from Europe with Italy, Sweden and Poland being the leaders. The quarterended with profits posted to the Fund due to positions in Asia, South Africaand North America.

 

The energy sector postedprofits for the Fund.  Quickly sinkingenergy prices changed existing purchases of crude oil, and natural gas into lossesbeing posted to the Fund at the beginning of the quarter. The energy pricescontinued to fall in August and the sector posted profits to the Fund dueto sales in natural gas and heating oil. Sales of various energy productsposted profits to the Fund as the quarter ended due to energy prices continuingon a downward spin.

 

The metals sector postedprofits for the Fund. Losses were posted to the Fund at the beginning of thequarter due to losses in long positions in platinum, silver, copper and aluminum.Losses on nickel sales were more than compensated by gains on aluminum andcopper sales. However, choppy gold prices led to losses on both long and shortpositions in the middle of the quarter posting losses to the Fund. The pricesof virtually every commodity traded dropped heavily in September. Shortpositions in base metals, silver and platinum posted profits to the Fund. Theprice of gold did jump up at one point, due to investors losing faith in thecontinued functioning of the financial system. The quarter ended with profitsbeing posted to the Fund.

 

23

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The interest rate sectorposted losses for the Fund. Inflation fears diminished as commodity pricesstarted to decrease at the beginning of the quarter. Subsequently, theattention of market participants quickly shifted towards the effects of afurther deteriorating economic outlook. Declining European interest rates alsogenerated losses to the Fund on various positions. However, the convergence ofshort term interest rates between the United Kingdom and mainland Europe wasprofitable but not enough to offset losses. A slowing world economy andcommodities halting their price increase spawned the hope that inflation wouldstart to come down. Government bond prices went up as a result of thesedevelopments with purchases in the United States, Canada and Australiagenerated profits for the Fund. A disappointing economic performance and aweakening housing market in the United Kingdom exerted its influence in fallingmoney market rates and strengthening the inversion of the yield curve. Thisprocess worked well for existing positions as profits were posted to the Fundin the middle of the quarter. Although the presentation of the American rescueplan for the plagued banking sector (Troubled Assets Relief Program) causedstrong movements in the interest rate markets against the existing trends wasprofitable for the Fund. Long positions held in anticipating a future drop inthe American Federal Fund interest rate earned excellent profits. Theflattening of the yield curves in the United States and the United Kingdom wasalso profitable for the Fund. Purchases in the Canadian bond markets sufferedlosses while comparable positions in the United States and Australia postedprofits for the Fund as the quarter ended.

 

The agriculture sectorposted losses for the Fund.  Variouscommodity markets saw price decreases of many percentages at the beginning ofthe quarter.  The declining prices of soy,corn, sugar, coffee and cocoa added to the losses being posted to the Funddespite a favorable contribution on short sales in wheat. Losses continued tobe posted to the Fund in the middle of the quarter due to sales of wheat,soybeans and coffee not producing the desired results for the Fund.  The consistent erosion ofprice levels in wheat, soybeans, soybean oil, cotton and meats were the causeof profits being posted to the Fund at the end of the quarter.

 

The currency sector postedlosses for the Fund. A favorable verdict by the Turkish Constitutional Courtfor the ruling AK party pushed the value of the Turkish lira against the Euroand the U.S. dollar higher, resulting in profits being posted to the Fund atthe beginning of the quarter.  Purchasesof Mexican pesos, South African rands, Polish zlotys and Rumanian leiscontributed highly to the profits being posted to the Fund. A weakeningJapanese yen versus the Australian dollar, the Euro and the British pound alsoposted profits to the Fund. However, many emerging market currencies lostserious terrain against the U.S. dollar causing losses to be posted to the Fundin the middle of the quarter.  Thepurchases of the Eastern European currencies, the South African rand and theBrazilian real also suffered losses. Other contributing factors for lossesbeing posted to the Fund was the strong Japanese yen against various currenciesas well as purchases of Euros against the Swiss franc, purchases of Britishpounds versus the Swiss franc and the Canadian dollar. The U.S. dollar continuedits upward course in September due to U.S. dollar purchases against theAustralian and New Zealand dollars and various European currencies postingprofits to the Fund. Sales of Euros versus the Norwegian crown generated losseswhile Euro sales versus the Canadian dollar and Japanese yen produced gains.The depreciation of the Taiwanese dollar, which suffered from a flight ofcapital from emerging markets delivered profits as the quarter ended.

 

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

 

24

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Item 3. Quantitative andQualitative Disclosures 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 the trading advisors, rapidly acquires and liquidates both longand short positions in a wide range of different markets.  Consequently, it is not possible to predicthow a particular future market scenario will affect performance, and the Fund’spast performance is not necessarily 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 Transtrend 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 maintenance margin requirements have been used by the Fund asthe measure of its Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceedthe maximum loss in the fair value of any given contract incurred in 95%-99% ofthe one-day time periods included in the historical sample (generallyapproximately one year) researched for purposes of establishing marginlevels.  The maintenance margin levelsare established by dealers and exchanges using historical price studies as wellas an assessment of current market volatility (including the implied volatilityof the options on a given futures contract) and economic fundamentals toprovide a probabilistic estimate of the maximum expected near-term one-dayprice fluctuation.

 

In the case of market sensitive instruments which are notexchange-traded (almost exclusively currencies in the case of the Fund), themargin requirements for the equivalent futures positions have been used asValue at Risk.  In those rare cases inwhich a futures-equivalent margin is not available, dealers’ margins have beenused.

 

25

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

 

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

 

The following tableindicates the average, highest and lowest trading Value at Risk associated withthe Fund’s open positions by market category for the fiscal period. For thenine months ended September 30, 2009 and 2008 the Fund’s average Month-endNet Asset Value for all other purposes was $226,231,468 and $144,125,265,respectively.

 

**September 30,2009**

 
| ** **               | ** ** | **Average Value** | ** ** | **% of Average**   | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|--------------------------|------------|-------------------|------------|--------------------|------------|-------------------|------------|------------------|------------|
| **Market  Sector**       | ** ** | **at Risk**       | ** ** | **Capitalization** | ** ** | **at Risk**       | ** ** | **at Risk**      | ** ** |
|                     |       |              |       |               |       |              |       |             |       |
| Agricultural Commodities |       | 535,966           |       | 0.24               | %          | 1,936,252         |       | 176,741          |       |
| Currencies               |       | 518,409           |       | 0.23               | %          | 1,112,839         |       | 98,339           |       |
| Energy                   |       | 581,759           |       | 0.26               | %          | 1,310,961         |       | 64,169           |       |
| Interest Rates           |       | 17,439,041        |       | 7.71               | %          | 23,788,243        |       | 9,699,195        |       |
| Metals                   |       | 146,906           |       | 0.06               | %          | 401,508           |       | 4,430            |       |
| Stock Indices            |       | 899,322           |       | 0.40               | %          | 1,848,502         |       | 54,488           |       |
| Total                    |       | 20,121,403        |       | 8.90               | %          | 30,398,305        |       | 10,097,362       |       |

 

**September 30,2008**

 
| ** **               | ** ** | **Average**       | ** ** | **% of Average**   | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|--------------------------|------------|-------------------|------------|--------------------|------------|-------------------|------------|------------------|------------|
| **Market  Sector**       | ** ** | **Value at Risk** | ** ** | **Capitalization** | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                     |       |              |       |               |       |              |       |             |       |
| Agricultural Commodities |       | $                 | 458,082    |               | 0.32       | %                 | $          | 1,434,454        |       | $ | 22,634 |   |
| Energy                   |       | 745,650           |       | 0.52               | %          | 2,117,492         |       | 14,776           |       |
| Interest Rates           |       | 7,558,860         |       | 5.24               | %          | 11,295,729        |       | 2,635,987        |       |
| Metals                   |       | 354,427           |       | 0.25               | %          | 903,788           |       | 13,098           |       |
| Currencies               |       | 2,065,060         |       | 1.43               | %          | 4,641,576         |       | 73,562           |       |
| Stock Indices            |       | 694,629           |       | 0.48               | %          | 1,378,418         |       | 77,844           |       |
| TOTAL                    |       | $                 | 11,876,708 |               | 8.24       | %                 | $          | 21,771,457       |       | $ | 2,837,901 |   |

 

26

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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-Trading Risk

 

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 Transtrend for managing such exposures are subject to numerousuncertainties, contingencies and risks, any one of which could cause the actualresults of the Fund’s risk controls to differ materially from the objectives ofsuch strategies. Government interventions, defaults and expropriations,illiquid markets, the emergence of dominant fundamental factors, politicalupheavals, changes in historical price relationships, and an influx of newmarket participants, increased regulation and many other factors could resultin material losses as well as in material changes to the risk exposures and therisk management strategies of the Fund. There can be no assurance that the Fund’scurrent market exposure and/or risk management strategies will not changematerially or that any such strategies will be effective in either the short-or long-term. Investors must be prepared to lose all or substantially all ofthe time value of their investment in the Fund.

 

The following were the primary trading risk exposures of the Fund as ofSeptember 30, 2009, by market sector.

 

Interest Rates

 

Interest rate risk is the principal market exposure of the Fund.  Interest rate movements directly affect theprice of derivative sovereign bond positions held by the Fund and indirectlythe value of its stock index and currency positions. Interest rate movements inone country as well as relative interest rate movements between countriesmaterially impact the Fund’s profitability. The Fund’s primary interest rateexposure is to interest rate fluctuations in the United States and the otherG-7 countries.  However, the Fund alsotakes positions in the government debt of smaller nations e.g., Australia. MLAIanticipates that G-7 interest rates will remain the primary market exposure ofthe Fund for the foreseeable future.

 

27

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Currencies

 

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

 

Metals

 

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

 

Agricultural Commodities

 

The Fund’s primary agricultural commodities exposure is to agriculturalprice movements which are often directly affected by severe or unexpectedweather conditions. Soybeans, grains, and livestock accounted for thesubstantial bulk of the Fund’s agricultural commodities exposure as of September 30,2009. However, it is anticipated that the Fund will maintain an emphasis oncotton, grains and sugar, in which the Fund has historically taken its largestpositions.

 

Energy

 

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

 

QualitativeDisclosures Regarding Non-Trading Risk Exposure

 

The following were the only non-trading risk exposures of the Fund asof September 30, 2009.

 

Foreign Currency Balances

 

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

 

U.S. Dollar Cash Balance

 

The Fund holds U.S. dollars only in cash at MLPF&S. The Fund hasimmaterial cash flow interest rate risk on its cash on deposit with MLPF&Sin that declining interest rates would cause the income from such cash todecline.

 

28

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Item4T. Controls and Procedures

 

MLAI, the Sponsorof ML Transtrend DTP Enhanced FuturesAccess LLC, with the participation of theSponsor’s Chief Executive Officer and the Chief Financial Officer, hasevaluated the effectiveness of the design and operation of its disclosurecontrols and procedures with respect to the Fund as of the end of the period ofthis quarterly report, and, based on this evaluation, has concluded that thesedisclosure controls and procedures are effective.  Additionally, there were no significantchanges in the Fund’s internal controls or in other factors during the latestfiscal quarter that has materially affected, or is reasonably likely tomaterially affect, the Fund’s internal control over financial reporting.

 

PART II - OTHERINFORMATION

 

Item 1.                                   Legal Proceedings

 

None.

 

Item 1A.  Risk Factors

 

Thereare no material changes from risk factors as previously disclosed in the AnnualReport on Form 10-K for the year ended December 31, 2008, filed March 31,2009.

 

29

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Item 2.                                   Unregistered Sales of Equity Securitiesand Use of Proceeds

 

(a)          Issuance to accredited investors pursuant toRegulation D and Section 4(6) under the Securities Act.  The selling agent of the following Class ofUnits was MLPF&S.

 

CLASS A

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-09     |       | $                | —     |       | —     |   | $ | 1.3842 |   |
| Feb-09     |       | 175,498          |       | 127,099    |       | 1.3808 |   |
| Mar-09     |       | 66,296           |       | 47,743     |       | 1.3886 |   |
| Apr-09     |       | 428,992          |       | 320,910    |       | 1.3368 |   |
| May-09     |       | 460,194          |       | 344,328    |       | 1.3365 |   |
| Jun-09     |       | 146,248          |       | 107,931    |       | 1.3550 |   |
| Jul-09     |       | 221,319          |       | 166,393    |       | 1.3301 |   |
| Aug-09     |       | 92,621           |       | 72,219     |       | 1.2825 |   |
| Sep-09     |       | 120,835          |       | 93,729     |       | 1.2892 |   |
| Oct-09     |       | 40,240           |       | 31,878     |       | 1.2623 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS C

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-09     |       | $                | 842,986    |       | 638,239    |   | $ | 1.3208 |   |
| Feb-09     |       | 681,985          |       | 518,029    |       | 1.3165 |   |
| Mar-09     |       | 904,982          |       | 684,141    |       | 1.3228 |   |
| Apr-09     |       | 1,313,747        |       | 1,032,495  |       | 1.2724 |   |
| May-09     |       | 261,991          |       | 206,130    |       | 1.2710 |   |
| Jun-09     |       | 239,993          |       | 186,388    |       | 1.2876 |   |
| Jul-09     |       | 1,827,473        |       | 1,447,045  |       | 1.2629 |   |
| Aug-09     |       | 1,171,251        |       | 962,725    |       | 1.2166 |   |
| Sep-09     |       | 637,003          |       | 521,321    |       | 1.2219 |   |
| Oct-09     |       | 430,444          |       | 360,084    |       | 1.1954 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS D

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-09     |       | $                | —     |       | —     |   | $ | 1.2311 |   |
| Feb-09     |       | —           |       | —     |       | 1.2296 |   |
| Mar-09     |       | —           |       | —     |       | 1.2380 |   |
| Apr-09     |       | —           |       | —     |       | 1.1935 |   |
| May-09     |       | —           |       | —     |       | 1.1946 |   |
| Jun-09     |       | —           |       | —     |       | 1.2127 |   |
| Jul-09     |       | —           |       | —     |       | 1.1919 |   |
| Aug-09     |       | —           |       | —     |       | 1.1507 |   |
| Sep-09     |       | —           |       | —     |       | 1.1581 |   |
| Oct-09     |       | —           |       | —     |       | 1.0000 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS I

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-09     |       | $                | 24,874     |       | 18,147     |   | $ | 1.3707 |   |
| Feb-09     |       | 90,000           |       | 65,799     |       | 1.3678 |   |
| Mar-09     |       | 114,996          |       | 83,573     |       | 1.3760 |   |
| Apr-09     |       | 350,998          |       | 264,984    |       | 1.3246 |   |
| May-09     |       | —           |       | —     |       | 1.3247 |   |
| Jun-09     |       | 95,999           |       | 71,454     |       | 1.3435 |   |
| Jul-09     |       | 956,494          |       | 725,001    |       | 1.3193 |   |
| Aug-09     |       | 81,316           |       | 63,903     |       | 1.2725 |   |
| Sep-09     |       | 33,830           |       | 26,440     |       | 1.2795 |   |
| Oct-09     |       | —           |       | —     |       | 1.2533 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS DS

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-09     |       | $                | 3,291,720  |       | 1,981,651  |   | $ | 1.6611 |   |
| Feb-09     |       | 3,857,424        |       | 2,325,010  |       | 1.6591 |   |
| Mar-09     |       | 1,485,970        |       | 889,536    |       | 1.6705 |   |
| Apr-09     |       | 5,356,769        |       | 3,326,566  |       | 1.6103 |   |
| May-09     |       | 1,848,595        |       | 1,146,842  |       | 1.6119 |   |
| Jun-09     |       | 15,719,439       |       | 9,606,697  |       | 1.6363 |   |
| Jul-09     |       | 5,653,190        |       | 3,515,228  |       | 1.6082 |   |
| Aug-09     |       | 6,623,065        |       | 4,265,790  |       | 1.5526 |   |
| Sep-09     |       | 3,901,867        |       | 2,497,035  |       | 1.5626 |   |
| Oct-09     |       | —           |       | —     |       | 1.5320 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS DT

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-09     |       | $                | —     |       | —     |   | $ | 1.7170 |   |
| Feb-09     |       | —           |       | —     |       | 1.7163 |   |
| Mar-09     |       | —           |       | —     |       | 1.7296 |   |
| Apr-09     |       | —           |       | —     |       | 1.6688 |   |
| May-09     |       | —           |       | —     |       | 1.6719 |   |
| Jun-09     |       | —           |       | —     |       | 1.6986 |   |
| Jul-09     |       | —           |       | —     |       | 1.6709 |   |
| Aug-09     |       | —           |       | —     |       | 1.6144 |   |
| Sep-09     |       | —           |       | —     |       | 1.6262 |   |
| Oct-09     |       | —           |       | —     |       | 1.5956 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

----

(1) Beginningof the month Net Asset Value for all other purposes

 

(b)         None.

(c)          None.

 

30

----

 
| Item 3. | Defaults Upon Senior  Securities                                                                                         |
|---------|--------------------------------------------------------------------------------------------------------------------------|
|    |                                                                                                                     |
|    | None.                                                                                                                    |
|    |                                                                                                                     |
| Item 4. | Submission of Matters to  a Vote of Security Holders                                                                     |
|    |                                                                                                                     |
|    | None.                                                                                                                    |
|    |                                                                                                                     |
| Item 5. | Other Information                                                                                                        |
|    |                                                                                                                     |
|    | None.                                                                                                                    |
|    |                                                                                                                     |
| Item 6. | Exhibits                                                                                                                 |
|    |                                                                                                                     |
|    | The following exhibits  are incorporated by reference or are filed herewith to this Quarterly Report  on Form 10-Q: |
|    |                                                                                                                     |
|    | 31.01 and                                                                                                                |
|    | 31.02                                                                                                                    | Rule 13a-14(a)/15d-14(a) Certifications |
|    |                                                                                                                     |
|    | Exhibit 31.01                                                                                                       |
|    | and 31.02                                                                                                           | Are filed herewith. |
|    |                                                                                                                     |
|    | 32.01 and                                                                                                                |
|    | 32.02                                                                                                                    | Section 1350  Certifications |
|    |                                                                                                                     |
|    | Exhibit 32.01                                                                                                       |
|    | and 32.02                                                                                                                | Are filed herewith. |

 

31

----

 

**SIGNATURES**

 

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

 

 
|                          | ML TRANSTREND DTP  ENHANCED FUTURESACCESS LLC |
|-------------------------------|-----------------------------------------------|
|                          |                                          |
|                          |                                          |
|                          | By:                                           | MERRILL LYNCH ALTERNATIVE  INVESTMENTS LLC |
|                          |                                          | (Manager) |
|                          |                                          |
|                          |                                          |
| Date:  November 12, 2009 | By                                            | /s/  JUSTIN C. FERRI |
|                          |                                          | Justin  C. Ferri |
|                          |                                          | Chief Executive  Officer, President and Manager |
|                          |                                          | (Principal Executive  Officer) |
|                          |                                          |   |
|                          |                                          |   |
| Date: November 12,  2009 | By                                            | /s/ BARBRA E. KOCSIS |
|                          |                                          | Barbra E. Kocsis |
|                          |                                          | Chief Financial Officer |
|                          |                                          | (Principal Financial and Accounting Officer) |
|                               |                                               |  |  |

 

32

----