**UNITED STATES SECURITIES AND EXCHANGE COMMISSION**

**Washington,D.C. 20549**

** **

**FORM 10-Q**

** **

**(MarkOne)**

 

**x**** QUARTERLYREPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIESEXCHANGE ACT OF 1934**

 

**For thequarterly period ended March 31, 2008**

 

**OR**

 

**o****TRANSITION REPORT PURSUANT TO SECTION 13OR 15(d) OF THE SECURITIESEXCHANGE ACT OF 1934**

** **

**For thetransition period from                 to                 **

** **

**CommissionFile Number 0-51084**

 

**ML WINTON FUTURESACCESS LLC**

(Exact Name ofRegistrant as

specified in itscharter)

 

| **Delaware**                    |   | **20-1227904**                    |
|---------------------------------|--------|-----------------------------------|
| (State or other jurisdiction of |   | (IRS Employer Identification No.) |
| incorporation or organization)  |   |                              |

 

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

**Hopewell Corporate Campus, Building No. 2**

**1200 Merrill Lynch Drive - First Floor**

**Pennington, New Jersey 08534**

(Address of principalexecutive offices)

(Zip Code)

 

**609-274-5838**

(Registrant’s telephonenumber, including area code)

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

 

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

 

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

 

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

 

Indicateby check mark whether the registrant has filed all documents and reportsrequired to be filed by Sections 12, 13 or 15(d) of the SecuritiesExchange Act of 1934 subsequent to the distribution of securities under a planconfirmed by a court.
|   | Yes  o   No  o |
|--------|---------------------------------------------------|

 

Thelimited partnership units of the registrant are not publicly traded.Accordingly, there is no aggregate market value for registrant’s outstandingequity that is readily determinable.

 

 

----

 

**ML WINTON FUTURESACCESS LLC**

 

QUARTERLY REPORT FOR MARCH 31,2008 ON FORM 10-Q

 

Table of Contents

 
| ** ** | ** **                                                                                  | **PAGE** |
|------------|---------------------------------------------------------------------------------------------|----------|
|       | PART I                                                                                 |     |
|       |                                                                                        |     |
| Item 1.    | Financial Statements                                                                        | 2        |
|       |                                                                                        |     |
| Item 2.    | Management’s  Discussion and Analysis of Financial Condition and Results of Operations | 10       |
|       |                                                                                        |     |
| Item 3.    | Quantitative  and Qualitative Disclosures About Market Risk                                 | 12       |
|       |                                                                                        |     |
| Item 4.    | Controls and Procedures                                                                     | 15       |
|       |                                                                                        |     |
|       | PART II                                                                                |     |
|       |                                                                                        |     |
| Item 1.    | Legal Proceedings                                                                           | 17       |
|       |                                                                                        |     |
| Item 1A.   | Risk Factors                                                                                | 17       |
|       |                                                                                        |     |
| Item 2.    | Unregistered  Sales of Equity Securities and Use of Proceeds                                | 19       |
|       |                                                                                        |     |
| Item 3.    | Defaults Upon  Senior Securities                                                            | 19       |
|       |                                                                                        |     |
| Item 4.    | Submission of  Matters to a Vote of Security Holders                                        | 19       |
|       |                                                                                        |     |
| Item 5.    | Other Information                                                                           | 20       |
|       |                                                                                        |     |
| Item 6.    | Exhibits                                                                                    | 20       |

 

----

 

PART I - FINANCIAL INFORMATION

 

Item 1.    FinancialStatements

 

ML WINTON FUTURESACCESS LLC

(a Delaware LimitedLiability Company)

 

STATEMENTS OF FINANCIALCONDITION

 
| ** **                                                                         | ** ** | **March 31,** | ** **  | **December 31,** | ** ** |
|------------------------------------------------------------------------------------|------------|--------------------|-------------|-----------------------|------------|
| ** **                                                                         | ** ** | **2008**           | ** **  | **2007**              | ** ** |
| ** **                                                                         | ** ** | **(unaudited)**    | ** **  | ** **            | ** ** |
|                                                                               |       |               |        |                  |       |
| **ASSETS:**                                                                        |       |               |        |                  |       |
| Equity in  commodity futures trading accounts:                                     | ** ** | ** **         | ** **  | ** **            | ** ** |
| Cash (including  restricted cash of $41,903,515 for 2008 and $51,742,673 for 2007) |       | $                  | 718,779,400 |                  | $          | 619,663,052 |   |
| Net unrealized  profit (loss) on open contracts                                    |       | (5,247,157         | )           | 7,934,149             |       |
| Accrued interest                                                                   |       | 1,567,367          |        | 2,238,652             |       |
|                                                                               |       |               |        |                  |       |
| **TOTAL  ASSETS**                                                                  |       | $                  | 715,099,610 |                  | $          | 629,835,853 |   |
|                                                                               |       |               |        |                  |       |
| **LIABILITIES  AND MEMBERS’ CAPITAL:**                                        |       |               |        |                  |       |
| LIABILITIES:                                                                       |       |               |        |                  |       |
| Brokerage  commissions payable                                                     |       | $                  | 110,419     |                  | $          | 184,272 |   |
| Management fee  payable                                                            |       | 1,149,327          |        | 986,432               |       |
| Sponsor fee  payable                                                               |       | 831,642            |        | 724,472               |       |
| Performance fee  payable                                                           |       | 15,036,096         |        | 13,693,607            |       |
| Redemptions  payable                                                               |       | 21,997,669         |        | 6,907,980             |       |
| Initial offering  costs payable                                                    |       | 94,993             |        | 106,994               |       |
| Due to  affiliates                                                                 |       | 55,507             |        |                  |       |
| Other                                                                              |       | 398,530            |        | 184,407               |       |
|                                                                               |       |               |        |                  |       |
| Total  liabilities                                                                 |       | 39,674,183         |        | 22,788,164            |       |
|                                                                               |       |               |        |                  |       |
| MEMBERS’  CAPITAL:                                                            |       |               |        |                  |       |
|  Sponsor’s  Interest (19,470 Units and 19,470 Units)                     |       | 29,160             |        | 26,449                |       |
|   Members’  Interest (455,062,686 Units and 452,040,928 Units)      |       | 675,396,267        |        | 607,021,240           |       |
|                                                                               |       |               |        |                  |       |
| Total members’  capital                                                       |       | 675,425,427        |        | 607,047,689           |       |
|                                                                               |       |               |        |                  |       |
| **TOTAL  LIABILITIES AND MEMBERS’ CAPITAL**                                   |       | $                  | 715,099,610 |                  | $          | 629,835,853 |   |

 

**NET ASSETVALUE PER UNIT (Note 2)**

 

(Based on455,082,156 and 452,060,398 Units outstanding, unlimited Units authorized)

See notes tofinancial statements.

 

2

----

 

WINTON FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OF OPERATIONS

(unaudited)

 
| ** **                                    | ** ** | **For the three** | ** ** | **For the three** | ** ** |
|-----------------------------------------------|------------|-----------------------------|------------|-----------------------------|------------|
| ** **                                    | ** ** | **months ended**       | ** ** | **months ended**       | ** ** |
| ** **                                    | ** ** | **March 31,**          | ** ** | **March 31,**          | ** ** |
| ** **                                    | ** ** | **2008**                    | ** ** | **2007**                    | ** ** |
| **TRADING  PROFIT (LOSS):**                   |       |                        |       |                        |       |
|                                          |       |                        |       |                        |       |
| Realized                                      |       | $                           | 95,037,222 |                        | $          | (21,151,989 | ) |
| Change in  unrealized                         |       | (13,181,306                 | )          | (4,927,804                  | )          |
| Brokerage  commissions                        |       | (366,334                    | )          | (589,415                    | )          |
|                                          |       |                        |       |                        |       |
| Total trading  profit (loss)                  |       | 81,489,582                  |       | (26,669,208                 | )          |
|                                          |       |                        |       |                        |       |
| **INVESTMENT  INCOME:**                       |       |                        |       |                        |       |
| Interest                                      |       | 5,100,439                   |       | 4,450,763                   |       |
|                                          |       |                        |       |                        |       |
| **EXPENSES:**                                 |       |                        |       |                        |       |
| Management fee                                |       | 3,345,743                   |       | 1,784,723                   |       |
| Sponsor fee                                   |       | 2,420,938                   |       | 1,617,391                   |       |
| Performance fee                               |       | 14,975,097                  |       | —                      |       |
| Other                                         |       | 402,196                     |       | 214,384                     |       |
| Total expenses                                |       | 21,143,974                  |       | 3,616,498                   |       |
|                                          |       |                        |       |                        |       |
| **NET  INVESTMENT INCOME (LOSS)**             |       | (16,043,535                 | )          | 834,265                     |       |
|                                          |       |                        |       |                        |       |
| **NET  INCOME (LOSS)**                        |       | $                           | 65,446,047 |                        | $          | (25,834,943 | ) |
|                                          |       |                        |       |                        |       |
| **NET  INCOME (LOSS) PER UNIT:**              |       |                        |       |                        |       |
|                                          |       |                        |       |                        |       |
| Weighted average  number of Units outstanding |       |                        |       |                        |       |
| Class A                                  |       | 43,219,507                  |       | 35,660,350                  |       |
| Class C                                  |       | 221,523,083                 |       | 184,782,719                 |       |
| Class D                                  |       | 77,931,958                  |       | 51,272,843                  |       |
| Class I                                  |       | 39,566,451                  |       | 34,262,893                  |       |
| Class D-SM                               |       | 16,214,393                  |       |                        |       |
| Class D-TF                               |       | 67,144,988                  |       |                        |       |
|                                          |       |                        |       |                        |       |
| Net income  (loss) per weighted average Unit  |       |                        |       |                        |       |
| Class A                                  |       | $                           | 0.1404     |                        | $          | (0.0853 | ) |
| Class C                                  |       | $                           | 0.1344     |                        | $          | (0.0855 | ) |
| Class D                                  |       | $                           | 0.1432     |                        | $          | (0.0810 | ) |
| Class I                                  |       | $                           | 0.1468     |                        | $          | (0.0829 | ) |
| Class D-SM                               |       | $                           | 0.1345     |                        |       |   |
| Class D-TF                               |       | $                           | 0.1555     |                        |       |   |

 

See notes tofinancial statements.

 

3

----

 

 

ML WINTONFUTURESACCESS LLC

(a DelawareLimited Liability Company)

 

STATEMENTS OFCHANGES IN MEMBERS’ CAPITAL

For the threemonths ended March 31, 2008 and 2007

(unaudited)

 
| ** **                 | ** ** | **Members’ Capital**  | ** ** | ** **        | ** ** | ** **      | ** ** | **Members’ Capital** | ** ** | **Members’ Capital**  | ** ** | ** **        | ** ** | ** **      | ** ** | **Members’ Capital** | ** ** |
|----------------------------|------------|---------------------------------|------------|-------------------|------------|-----------------|------------|--------------------------------|------------|---------------------------------|------------|-------------------|------------|-----------------|------------|--------------------------------|------------|
| ** **                 | ** ** | **December 31, 2006** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **March 31, 2007**   | ** ** | **December 31, 2007** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **March 31, 2008**   | ** ** |
| Class A               |       | 32,046,486                      |       | 5,654,719         |       | (1,070,224      | )          | 36,630,981                     |       | 40,108,055                      |       | 5,730,431         |       | (3,379,752      | )          | 42,458,734                     |       |
| Class C               |       | 170,519,442                     |       | 25,094,203        |       | (4,691,784      | )          | 190,921,861                    |       | 213,642,396                     |       | 15,886,471        |       | (13,828,091     | )          | 215,700,776                    |       |
| Class D               |       | 39,225,345                      |       | 14,177,559        |       | —          |       | 53,402,904                     |       | 77,864,803                      |       | 174,471           |       | (661,820        | )          | 77,377,454                     |       |
| Class I               |       | 30,787,362                      |       | 4,744,345         |       | (107,369        | )          | 35,424,338                     |       | 37,718,572                      |       | 2,759,710         |       | (2,558,201      | )          | 37,920,081                     |       |
| Class D-SM            |       |                            |       |              |       |            |       |                           |       | 13,447,784                      |       | 4,582,796         |       |            |       | 18,030,580                     |       |
| Class D-TF            |       |                            |       |              |       |            |       |                           |       | 69,259,318                      |       | —            |       | (5,684,257      | )          | 63,575,061                     |       |
|                       |       |                            |       |              |       |            |       |                           |       |                            |       |              |       |            |       |                           |       |
| Total Members’ Units  |       | 272,578,635                     |       | 49,670,826        |       | (5,869,377      | )          | 316,380,084                    |       | 452,040,928                     |       | 29,133,879        |       | (26,112,121     | )          | 455,062,686                    |       |
|                       |       |                            |       |              |       |            |       |                           |       |                            |       |              |       |            |       |                           |       |
| Class A               |       | 9,713                           |       | —            |       | —          |       | 9,713                          |       | 9,713                           |       | —            |       | —          |       | 9,713                          |       |
| Class C               |       | 9,757                           |       | —            |       | —          |       | 9,757                          |       | 9,757                           |       | —            |       | —          |       | 9,757                          |       |
| Class D               |       | —                          |       | —            |       | —          |       | —                         |       | —                          |       | —            |       | —          |       | —                         |       |
| Class I               |       | —                          |       | —            |       | —          |       | —                         |       | —                          |       | —            |       | —          |       | —                         |       |
| Class D-SM            |       | —                          |       | —            |       | —          |       | —                         |       | —                          |       | —            |       | —          |       | —                         |       |
| Class D-TF            |       | —                          |       | —            |       | —          |       | —                         |       | —                          |       | —            |       | —          |       | —                         |       |
|                       |       |                            |       |              |       |            |       |                           |       |                            |       |              |       |            |       |                           |       |
| Total Sponsor’s Units |       | 19,470                          |       | —            |       | —          |       | 19,470                         |       | 19,470                          |       | —            |       | —          |       | 19,470                         |       |

 

See notes to financial statements.

 

4

----

 

ML WINTONFUTURESACCESS LLC

(a DelawareLimited Liability Company)

 

STATEMENTS OFCHANGES IN MEMBERS’ CAPITAL

For the threemonths ended March 31, 2008 and 2007

(unaudited)

 
| ** **                    | ** ** | **Members’ Capital**  | ** **  | ** **        | ** ** | ** **      | ** ** | **Net Income** | ** ** | **Members’ Capital** | ** ** | **Members’ Capital**  | ** ** | ** **        | ** **  | ** **      | ** ** | **Net Income** | ** ** | **Members’ Capital** | ** ** |
|-------------------------------|------------|---------------------------------|-------------|-------------------|------------|-----------------|------------|---------------------|------------|--------------------------------|------------|---------------------------------|------------|-------------------|-------------|-----------------|------------|---------------------|------------|--------------------------------|------------|
| ** **                    | ** ** | **December 31, 2006** | ** **  | **Subscriptions** | ** ** | **Redemptions** | ** ** | **(Loss)**          | ** ** | **March 31, 2007**   | ** ** | **December 31, 2007** | ** ** | **Subscriptions** | ** **  | **Redemptions** | ** ** | **(Loss)**          | ** ** | **March 31, 2008**   | ** ** |
| Class A                  |       | $                               | 38,699,738  |              | $          | 6,865,013       |       | $                   | (1,230,798 | )                              | $          | (3,041,516                      | )          | $                 | 41,292,437  |            | $          | 55,236,501          |       | $                              | 8,375,565  |   | $ | (5,130,440 | ) | $ | 6,069,676 |   | $ | 64,551,302 |   |
| Class C                  |       | 202,215,652                     |        | 29,756,642        |       | (5,337,875      | )          | (15,795,257         | )          | 210,839,162                    |       | 286,078,081                     |       | 22,538,552        |        | (20,351,831     | )          | 29,783,218          |       | 318,048,020                    |       |
| Class D                  |       | 44,952,646                      |        | 16,512,992        |       | —          |       | (4,155,653          | )          | 57,309,985                     |       | 103,236,597                     |       | 239,396           |        | (964,753        | )          | 11,161,926          |       | 113,673,166                    |       |
| Class I                  |       | 37,158,795                      |        | 5,766,374         |       | (129,766        | )          | (2,840,938          | )          | 39,954,465                     |       | 52,132,196                      |       | 3,871,716         |        | (3,897,071      | )          | 5,808,339           |       | 57,915,180                     |       |
| Class D-SM               |       | —                          |        | —            |       | —          |       | —              |       | —                         |       | 17,829,738                      |       | 6,477,740         |        | —          |       | 2,180,208           |       | 26,487,686                     |       |
| Class D-TF               |       | —                          |        | —            |       | —          |       | —              |       | —                         |       | 92,508,127                      |       | —            |        | (8,227,183      | )          | 10,439,969          |       | 94,720,913                     |       |
|                          |       |                            |        |              |       |            |       |                |       |                           |       |                            |       |              |        |            |       |                |       |                           |       |
| Total Members’ Interests |       | $                               | 323,026,831 |              | $          | 58,901,021      |       | $                   | (6,698,439 | )                              | $          | (25,833,364                     | )          | $                 | 349,396,049 |            | $          | 607,021,240         |       | $                              | 41,502,969 |   | $ | (38,571,278 | ) | $ | 65,443,336 |   | $ | 675,396,267 |   |
|                          |       |                            |        |              |       |            |       |                |       |                           |       |                            |       |              |        |            |       |                |       |                           |       |
| Class A                  |       | $                               | 11,737      |              | $          | —          |       | $                   | —     |                           | $          | (782                            | )          | $                 | 10,955      |            | $          | 13,381              |       | $                              | —     |   | $ | — |   | $ | 1,390 |   | $ | 14,771 |   |
| Class C                  |       | 11,576                          |        | —            |       | —          |       | (797                | )          | 10,779                         |       | 13,068                          |       | —            |        | —          |       | 1,321               |       | 14,389                         |       |
| Class D                  |       | —                          |        | —            |       | —          |       | —              |       | —                         |       | —                          |       | —            |        | —          |       | —              |       | —                         |       |
| Class I                  |       | —                          |        | —            |       | —          |       | —              |       | —                         |       | —                          |       | —            |        | —          |       | —              |       | —                         |       |
| Class D-SM               |       | —                          |        | —            |       | —          |       | —              |       | —                         |       | —                          |       | —            |        | —          |       | —              |       | —                         |       |
| Class D-TF               |       | —                          |        | —            |       | —          |       | —              |       | —                         |       | —                          |       | —            |        | —          |       | —              |       | —                         |       |
|                          |       |                            |        |              |       |            |       |                |       |                           |       |                            |       |              |        |            |       |                |       |                           |       |
| Total Sponsor’s Interest |       | $                               | 23,313      |              | $          | —          |       | $                   | —     |                           | $          | (1,579                          | )          | $                 | 21,734      |            | $          | 26,449              |       | $                              | —     |   | $ | — |   | $ | 2,711 |   | $ | 29,160 |   |
|                          |       |                            |        |              |       |            |       |                |       |                           |       |                            |       |              |        |            |       |                |       |                           |       |
| Total Members’ Capital   |       | $                               | 323,050,144 |              | $          | 58,901,021      |       | $                   | (6,698,439 | )                              | $          | (25,834,943                     | )          | $                 | 349,417,783 |            | $          | 607,047,689         |       | $                              | 41,502,969 |   | $ | (38,571,278 | ) | $ | 65,446,047 |   | $ | 675,425,427 |   |

 

See notes to financial statements.

 

5

----

 

ML WINTON FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

NOTES TO FINANCIALSTATEMENTS

(unaudited)

 

1.               SUMMARYOF SIGNIFICANT ACCOUNTING POLICIES

 

ML Winton FuturesAccess LLC (the “Fund”) was organized under theDelaware Limited Liability Company Act on May 17, 2004 and commencedtrading activities on February 1, 2005. The Fund issues new units oflimited liability company interest (“Units”) at Net Asset Value per Unit as ofthe beginning of each calendar month. The Fund engages in the speculativetrading of futures, options on futures and forward contracts on a wide range ofcommodities. Winton Capital Management Limited (“Winton”) is the tradingadvisor of the Fund.

 

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

 

In the opinion ofmanagement, the financial statements contain all adjustments necessary topresent fairly the financial position of the Fund as of March 31, 2008 andthe results of its operations for the three months ended March 31, 2008and 2007.  However, the operating resultsfor the interim periods may not be indicative of the results for the full year.

 

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

 

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

 

2.               NETASSET VALUE PER UNIT

 

For financialreporting purposes, in conformity with U.S. GAAP, the Fund deducted the totalinitial offering costs at inception from Members’ Capital for purposes ofdetermining Net Asset Value.  For allother purposes, including computing Net Asset Value for purposes of membersubscription and redemption activity, such costs are amortized over 60 months.Consequently, the Net Asset Value and Net Asset Value per Unit of the differentClasses for financial reporting purposes and for all other purposes at March 31,2008 are as follows:

 

6

----

 

March 31,2008

 
| ** **      | ** ** | **Net Asset Value** | ** **  | **Net Asset Value per Unit** | ** ** |
|-----------------|------------|-------------------------------|-------------|--------------------------------------------------|------------|
| ** **      | ** ** | **All Other  Purposes**  | ** **  | **Financial  Reporting**                         | ** ** | **Number of Units** | ** ** | **All Other  Purposes** | ** ** | **Financial  Reporting** | ** ** |
| Class A    |       | $                             | 64,584,215  |                                             | $          | 64,566,073 |   | 42,468,447 |   | $ | 1.5208 |   | $ | 1.5203 |   |
| Class C    |       | 318,115,058                   |        | 318,062,409                                      |       | 215,710,533 |   | 1.4747 |   | 1.4745 |   |
| Class D    |       | 113,674,187                   |        | 113,673,166                                      |       | 77,377,454 |   | 1.4691 |   | 1.4691 |   |
| Class I    |       | 57,938,361                    |        | 57,915,180                                       |       | 37,920,081 |   | 1.5279 |   | 1.5273 |   |
| Class D-SM |       | 26,487,686                    |        | 26,487,686                                       |       | 18,030,580 |   | 1.4690 |   | 1.4690 |   |
| Class D-TF |       | 94,720,913                    |        | 94,720,913                                       |       | 63,575,061 |   | 1.4899 |   | 1.4899 |   |
|            |       | $                             | 675,520,420 |                                             | $          | 675,425,427 |   | 455,082,156 |   |   |   |   |   |
|                 |            |                               |             |                                                  |            |  |  |  |  |  |  |  |  |  |  |

 

December 31,2007

 
| ** ** | ** ** | **Net Asset Value** | ** **  | **Net Asset Value per Unit** | ** ** |
|------------|------------|-------------------------------|-------------|--------------------------------------------------|------------|
| ** ** | ** ** | **All Other  Purposes**  | ** **  | **Financial  Reporting**                         | ** ** | **Number of Units** | ** ** | **All Other  Purposes** | ** ** | **Financial  Reporting** | ** ** |
| Class A    |       | $                             | 55,269,166  |                                             | $          | 55,249,882 |   | 40,117,768 |   | $ | 1.3777 |   | $ | 1.3772 |   |
| Class C    |       | 286,151,621                   |        | 286,091,149                                      |       | 213,652,153 |   | 1.3393 |   | 1.3391 |   |
| Class D    |       | 103,239,603                   |        | 103,236,597                                      |       | 77,864,803 |   | 1.3259 |   | 1.3258 |   |
| Class I    |       | 52,156,427                    |        | 52,132,196                                       |       | 37,718,572 |   | 1.3828 |   | 1.3821 |   |
| Class D-SM |       | 17,829,738                    |        | 17,829,738                                       |       | 13,447,784 |   | 1.3258 |   | 1.3258 |   |
| Class D-TF |       | 92,508,127                    |        | 92,508,127                                       |       | 69,259,318 |   | 1.3357 |   | 1.3357 |   |
|       |       | $                             | 607,154,682 |                                             | $          | 607,047,689 |   | 452,060,398 |   |   |   |   |   |
|            |            |                               |             |                                                  |            |  |  |  |  |  |  |  |  |  |  |

 

3.               MARKETAND CREDIT RISK

 

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.

 

7

----

 

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 on monitoringthe trading of Winton, calculating the Net Asset Value of the Fund as of theclose of business on each day and reviewing outstanding positions forover-concentrations.  While MLAI does notintervene in the markets to hedge or diversify the Fund’s market exposure, MLAImay urge Winton to reallocate positions in an attempt to avoidover-concentrations.  However, suchinterventions are expected to be unusual. It is expected that MLAI’s basic risk control procedures will consistsimply of the ongoing process of advisor monitoring, with the market riskcontrols being applied by Winton.

 

Credit Risk

 

The risksassociated with exchange-traded contracts are typically perceived to be lessthan those associated with over-the-counter (non-exchange-traded) transactions,because exchanges typically (but not universally) provide clearinghousearrangements in which the collective credit (in some cases limited in amount,in some cases not) of the members of the exchange is pledged to support thefinancial integrity of the exchange.  Inover-the-counter transactions, on the other hand, traders must rely solely onthe credit of their respective individual counterparties.  Margins, which may be subject to loss in theevent of a default, are generally required in exchange trading, andcounterparties may also require margin in the over-the-counter markets.  The credit risk associated with theseinstruments from counterparty nonperformance is the Net unrealized profit, ifany, included in the Statements of Financial Condition. The Fund attempts tomitigate this risk by dealing exclusively with Merrill Lynch entities asclearing brokers.

 

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

 

4.               RECENT ACCOUNTING PRONOUNCEMENTS

 

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

 

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).

 

FAS 157 established ahierarchal disclosure framework which prioritizes and ranks the level of marketprice observability used in measuring investments at fair value. Market priceobservability is impacted by a number of factors, including the type ofinvestment and the characteristics specific to the investment. Investments withreadily available active quoted prices or for which fair value can be measuredfrom actively quoted prices generally will have a higher degree of market priceobservability and a lesser degree of judgment used in measuring fair value.

 

8

----

 

Investments measured andreported at fair value are classified and disclosed in one of the followingcategories:

 

Level I – Quoted pricesare available in active markets for identical investments as of the reportingdate. The type of investments included in Level I are publicly tradedinvestments. As required by FAS 157, the Fund does not adjust the quoted pricefor these investments even in situations where the Fund holds a large positionand a sale could reasonably impact the quoted price.

 

Level II – Pricing inputsare other than quoted prices in active markets, which are either directly orindirectly observable as of the reporting date, and fair value is determinedthrough the use of models or other valuation methodologies. Investments whichare generally included in this category are investments valued using marketdata.

 

Level III – Pricinginputs are unobservable and include situations where there is little, if any, marketactivity for the investment. Fair value for these investments is determinedusing valuation methodologies that consider a range of factors, including butnot limited to the price at which the investment was acquired, the nature ofthe investment, local market conditions, trading values on public exchanges forcomparable securities, current and projected operating performance andfinancing transactions subsequent to the acquisition of the investment. Theinputs into the determination of fair value require significant managementjudgment. Due to the inherent uncertainty of these estimates, these values maydiffer materially from the values that would have been used had a ready marketfor these investments existed. Investments that are included in this categorygenerally are privately held debt and equity securities.

 

In certain cases,the inputs used to measure fair value may fall into different levels of thefair value hierarchy. In such cases, an investment’s level within the fairvalue hierarchy is based on the lowest level of input that is significant tothe fair value measurement. The Sponsor’s assessment of the significance of aparticular input to the fair value measurement in its entirety requiresjudgment, and considers factors specific to the investment.

 

The followingtable summarizes the valuation of the Fund’s investments by the above FAS 157fair value hierarchy levels as of March 31, 2008:

 
| ** **                                      | ** ** | **Total** | ** ** | **Level I** | ** ** | **Level II** | ** ** | **Level III** | ** ** |
|-------------------------------------------------|------------|-----------|------------|------------------|------------|-------------------|------------|--------------------|------------|
| Net unrealized  profit (loss) on open contracts |       | $         | (5,247,157 | )                | $          | (5,247,157        | )          | $                  | N/A        |   | $ | N/A |   |
|                                                 |            |           |            |                  |            |                   |            |                    |            |  |  |  |  |

 

In March 2008,the FASB released Statement of Financial Accounting Standards No. 161,Disclosures about Derivative Instruments and Hedging Activities – an amendmentto FASB Statement No. 133 (“FAS 161”). FAS 161 requires qualitativedisclosures about objectives and strategies for using derivatives, quantitativedisclosures about fair value amounts of and gains and losses on derivativeinstruments, and disclosures about credit-risk related contingent features inderivative agreements. The application of FAS 161 is required for fiscal yearsbeginning after November 15, 2008 and interim periods within those fiscalyears. Currently, the Fund is evaluating the implications of FAS 161 on itsfinancial statements.

 

9

----

 

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

 

MONTH-END NET ASSET VALUE PER UNIT

(NON US GAAP)

 

MLAI believes thatthe Net Asset Value used to calculate subscription and redemption value and toreport performance to investors throughout the year is the most valuable to theMembers of the Fund.   Therefore, thecharts below referencing Net Asset Value and performance measurements are basedon the Net Asset Value for all other purposes, as discussed in Note 2 to theFinancial Statements.

 

Class A

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|
| 2007       |       | $        | 1.2584     |     | $          | 1.1800   |       | $ | 1.1279 |   |
| 2008       |       | $        | 1.4285     |     | $          | 1.5377   |       | $ | 1.5208 |   |

 

Class C

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|
| 2007       |       | $        | 1.2345     |     | $          | 1.1568   |       | $ | 1.1047 |   |
| 2008       |       | $        | 1.3876     |     | $          | 1.4924   |       | $ | 1.4747 |   |

 

Class D

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|
| 2007       |       | $        | 1.1952     |     | $          | 1.1216   |       | $ | 1.0733 |   |
| 2008       |       | $        | 1.3765     |     | $          | 1.4836   |       | $ | 1.4691 |   |

 

Class I

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|
| 2007       |       | $        | 1.2583     |     | $          | 1.1805   |       | $ | 1.1287 |   |
| 2008       |       | $        | 1.4343     |     | $          | 1.5444   |       | $ | 1.5279 |   |

 

Class D-SM

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|
| 2007       |       | N/A      |       | N/A      |       | N/A      |       |
| 2008       |       | $        | 1.3765     |     | $          | 1.4835   |       | $ | 1.4690 |   |
|            |            |          |            |          |            |          |            |  |  |  |

 

Class D-TF

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|
| 2007       |       | N/A      |       | N/A      |       | N/A      |       |
| 2008       |       | $        | 1.3901     |     | $          | 1.5051   |       | $ | 1.4899 |   |
|            |            |          |            |          |            |          |            |  |  |  |

 

10

----

 

PerformanceSummary

 

January 1,2008 to March 31, 2008

 

TheFund posted profits for the quarter with the interest rates, currencies,agriculture, energy and the metals sectors posting gains while the stockindices sector posted losses.

 

Theinterest rates sector posted profits for the Fund. The Fund profited at thebeginning of the quarter by rises in bonds and interest rate futures, led bythe aggressive U.S. Federal Reserve cutting interest rates by a total of 125basis points. Profits continued to be posted for the Fund through mid-quarter.The quarter ended with profits being posted for the fund due to the U.S.Federal Reserve lowering overnight rates by 75 basis points to 2.25% which wasthe 6th reduction since September 2007.

 

Thecurrency sector posted profits for the Fund. Profits were posted for the Fundthroughout the quarter. The U.S. dollar renewed its overall decline mid-quarterwith the Fund’s long positions in the Euro benefiting resulting in profitsbeing posted for the Fund. The dominant theme at the end of the quarter was thecontinued weakness of the U.S. dollar which the Fund exploited primarily withthe U.S. dollar versus the Euro and the U.S. dollar versus the Japanese yenposting profits for the Fund.

 

Theagriculture sector posted profits for the Fund. Profits were posted for theFund at the beginning of the quarter through the middle of the quarter due tothe Fund’s long positions in the sector. The reversal of the recent up trendsin grains caused losses being posted for the Fund at the end of the quarter.

 

Theenergy sector posted profits for the Fund. Losses were posted for the Fund atthe beginning of the quarter from the falling back of energy prices from recenthighs. The Fund experienced renewed strength in the commodity markets with longpositions in the energy sectors posting profits for the Fund at the middle ofthe quarter which continued through the end of the quarter.

 

Themetals sector posted profits for the Fund. Profits were posted to the Fund atthe beginning of the year. The Fund’s long positions in precious metalsaccounted for much of the gains posted for the Fund in the middle of thequarter. The Fund struggled in the final weeks of the quarter with lossesposted for the Fund from precious metals by the subsequent largest one day dropin gold since 1981.

 

The stock indices postedlosses for the Fund. The stock sector suffered the largest losses among thefinancial sectors as global equities experienced sharp losses to begin the NewYear. Despite the overall volatility in global equities, the stock sectorposted gains for the Fund mid-quarter through the end of the quarter.

 

January 1,2007 to March 31, 2007

 

The Fund posted anoverall loss with the metals sector posting gains and energy, agriculture,currencies, stock indices and interest rates sectors posted losses.

 

The metals sector was theonly profitable sector for the Fund. Profits were generated mid-quarter which offset the losses posted at thebeginning and of the quarter.

 

The energy sector postedlosses for the Fund.  In a continuationof the price action witnessed in December, the rise in U.S. equity markets andthe decline in crude oil prices led to significant gains at the beginning ofthe quarter. However, losses were posted mid-quarter through the end of thequarter due to volatility in the market.

 

11

----

 

The agricultural sectorposted losses for the Fund. The agricultural market was soft and was attributedto the difficult trading environment resulting in the Fund posting losses forthe sector.

 

The currency sectorposted losses for the Fund. The quarter began with gains being posted to theFund only to be offset with losses mid-quarter through the end of the quarter.

 

The stock indices sectorposted losses for the Fund. The markets were choppy and exposures changedcontinuously. Due to the rise in the U.S. equity markets the stock indicessector posted significant gains for the Fund. The steady gains made throughoutmid-quarter were erased in several volatile trading sessions as a sharp drop inthe Chinese stock market sparked a sell off in global equities which fedthrough into the fixed income markets. The quarter ended as high levels of market volatility together withincreased correlation across asset classes posted losses for the Fund.

 

The interest rate sectorwas the least profitable for the Fund. The quarter began with gains beingposted to the Fund due to the surprise increase in the United Kingdom interestrates by the Monetary Police Committee which led to a strong performance in theshort term interest rate positions. However, mid-quarter through the end of thequarter the sector posted losses for the Fund due to high levels of marketvolatility.

 

Item3.    Quantitative and QualitativeDisclosures About Market Risk

 

The Fund is a speculative commodity pool. The marketsensitive instruments held by it are acquired for speculative trading purposesand all or substantially all of the Fund’s assets are subject to the risk oftrading loss.  Unlike an operatingcompany, the risk of market sensitive instruments is integral, not incidental,to the Fund’s main line of business.

 

Market movements result in frequent changes in thefair market value of the Fund’s open positions and, consequently, in itsearnings and cash flow. The Fund’s market risk is influenced by a wide varietyof factors, including the level and volatility of interest rates, exchangerates, equity price levels, the market value of financial instruments andcontracts, the diversification effects among the Fund’s open positions and theliquidity of the markets in which it trades.

 

The Fund, under the direction of Winton, rapidlyacquires and liquidates both long and short positions in currency markets.  Consequently, it is not possible to predict howa particular future market scenario will affect performance, and the Fund’spast performance is not necessarily indicative of its future results.

 

Value at Risk is a measure of the maximum amount whichthe Fund could reasonably be expected to lose in a given market sector.However, the inherent uncertainty of the Fund’s speculative trading and therecurrence in the markets traded by the Fund of market movements far exceedingexpectations could result in actual trading or non-trading losses far beyond theindicated Value at Risk or the Fund’s experience to date (i.e., “risk of ruin”).In light of the foregoing, as well as the risks and uncertainties intrinsic toall future projections, the quantifications included in this section should notbe considered to constitute any assurance or representation that the Fund’slosses in any market sector will be limited to Value at Risk or by the Fund’sattempts to manage its market risk.

 

12

----

 

Quantifying The Fund’s Trading Value At Risk

 

Quantitative Forward-Looking Statements

 

The following quantitative disclosures regarding theFund’s market risk exposures contain “forward-looking statement” within themeaning of the safe harbor from civil liability provided for such statements bythe Private Securities Litigation Reform Act of 1995 (set forth in Section 27Aof the Securities Act of 1933 and Section 21E of the Securities ExchangeAct of 1934).  All quantitativedisclosures in this section are deemed to be forward-looking statements forpurposes of the safe harbor, except for statements of historical fact.

 

The Fund’s risk exposure in the various market sectorstraded by Winton is quantified below in terms of Value at Risk.  Due to the Fund’s mark-to-market accounting,any loss in the fair value of the Fund’s open positions is directly reflectedin the Fund’s earnings (realized or unrealized) and cash flow (at least in thecase of exchange-traded contracts in which profits and losses on open positionsare settled daily through variation margin).

 

Exchange maintenance margin requirements have beenused by the Fund as the measure of its Value at Risk.  Maintenance margin requirements are set byexchanges to equal or exceed the maximum loss in the fair value of any givencontract incurred in 95%-99% of the one-day time periods included in thehistorical sample (generally approximately one year) researched for purposes ofestablishing margin levels.  Themaintenance margin levels are established by dealers and exchanges using historicalprice studies as well as an assessment of current market volatility (includingthe implied volatility of the options on a given futures contract) and economicfundamentals to provide a probabilistic estimate of the maximum expectednear-term one-day price fluctuation.

 

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

 

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

*** ***

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

 

The following table indicates the average, highest and lowesttrading Value at Risk associated with the Fund’s open positions by marketcategory for the fiscal period. For the three months ended March 31, 2008and 2007, the Fund’s average Month-end Net Asset Value for all other purposeswas approximately $651,944,781 and $345,983,922, respectively.

 

13

----

 

**March 31,2008**

 

| ** **             | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|------------------------|------------|-----------------------------|------------|----------------------------|------------|------------------------|------------|-----------------------|------------|
| **Market Sector** | ** ** | **Value at Risk** | ** ** | **Capitalization**         | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                   |       |                        |       |                       |       |                   |       |                  |       |
| Agriculture            |       | $                           | 2,636,378  |                       | 0.40       | %                      | $          | 3,763,862             |       | $ | 1,942,039 |   |
| Currencies             |       | 7,881,802                   |       | 1.21                       | %          | 9,107,802              |       | 5,953,074             |       |
| Energy                 |       | 2,367,820                   |       | 0.36                       | %          | 3,251,428              |       | 1,223,758             |       |
| Interest Rates         |       | 22,433,074                  |       | 3.44                       | %          | 25,053,498             |       | 17,648,522            |       |
| Metals                 |       | 1,697,987                   |       | 0.26                       | %          | 2,316,236              |       | 1,304,635             |       |
| Stock Indices          |       | 922,925                     |       | 0.14                       | %          | 1,569,755              |       | 95,514                |       |
|                   |       |                        |       |                       |       |                   |       |                  |       |
| TOTAL                  |       | $                           | 37,939,986 |                       | 5.81       | %                      | $          | 45,062,581            |       | $ | 28,167,542 |   |

 

**March 31,2007**

 

| ** **             | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|------------------------|------------|-----------------------------|------------|----------------------------|------------|------------------------|------------|-----------------------|------------|
| **Market Sector** | ** ** | **Value at Risk** | ** ** | **Capitalization**         | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                   |       |                        |       |                       |       |                   |       |                  |       |
| Agriculture            |       | $                           | 332,885    |                       | 0.10       | %                      | $          | 765,859               |       | $ | 33,930 |   |
| Currencies             |       | 1,225,462                   |       | 0.35                       | %          | 2,641,920              |       | 293,029               |       |
| Energy                 |       | 253,960                     |       | 0.07                       | %          | 431,703                |       | 115,880               |       |
| Interest Rates         |       | 39,221,409                  |       | 11.34                      | %          | 58,968,343             |       | 19,875,531            |       |
| Metals                 |       | 520,528                     |       | 0.15                       | %          | 700,634                |       | 422,600               |       |
| Stock Indices          |       | 3,959,002                   |       | 1.14                       | %          | 4,289,811              |       | 3,613,874             |       |
|                   |       |                        |       |                       |       |                   |       |                  |       |
| TOTAL                  |       | $                           | 45,513,246 |                       | 13.15      | %                      | $          | 67,798,270            |       | $ | 24,354,844 |   |

 

Material Limitations on Value at Risk as an Assessment ofMarket Risk

 

The face value of the market sector instruments held by theFund is typically many times the applicable maintenance margin requirement(maintenance margin requirements generally ranging between approximately 1% and10% of contract face value) as well as many times the capitalization of theFund.  The magnitude of the Fund’s openpositions creates a “risk of ruin” not typically found in most other investmentvehicles.  Because of the size of itspositions, certain market conditions — unusual, but historically recurring fromtime to time — could cause the Fund to incur severe losses over a short periodof time.   The foregoing Value at Risktable — as well as the past performance of the Fund — gives no indication ofthis “risk of ruin.”

 

**Non-Trading Risk**

** **

Foreign Currency Balances;Cash on Deposit with MLPF&S

 

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

 

14

----

 

The Fund also has non-trading market risk on the approximately 90%-95%of its assets which are held in cash at MLPF&S. The value of this cash isnot interest rate sensitive, but there is cash flow risk in that if interestrates decline so will the cash flow generated on these monies. This cash flowrisk is immaterial.

 

Qualitative Disclosures Regarding Primary Trading Risk Exposures

 

Thefollowing qualitative disclosures regarding the Fund’s market risk exposures –except for (i) those disclosures that are statements of historical factand (ii) the descriptions of how the Fund manages its primary market riskexposures – constitute forward-looking statements within the meaning of Section 27Aof the Securities Act and Section 21E of the Securities Exchange Act. TheFund’s primary market risk exposures as well as the strategies used and to beused by MLAI and Winton 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, an influx of new marketparticipants, increased regulation and many other factors could result in materiallosses as well as in material changes to the risk exposures and the riskmanagement 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.

 

Item4. Controls and Procedures

 

MLAI’sChief Executive Officer and the Chief Financial Officer, on behalf of the Fund,have evaluated the effectiveness of the design and operation of the disclosurecontrols and procedures with respect to the Fund as of and for the quarterwhich ended March 31, 2008, and, based on this evaluation, have concludedthat these disclosure controls and procedures are effective. Additionally,there were no significant changes in the Fund’s internal controls overfinancial reporting which materially affect such internal controls.

 

*Changes in Internal Controls over Financial Reporting*

 

Nochange in internal controls over financial reporting (as defined in Rule 13a-15(f) underthe Exchange Act) occurred during the quarter which ended March 31, 2008that has materially affected, or is reasonable likely to materially affect, theFund’s internal controls, over financial reporting.

 

*Management’s Report on Internal Control over FinancialReporting:*

 

TheFund’s management is responsible for establishing and maintaining adequateinternal controls over financial reporting.  The Fund’s internal controlsover financial reporting is a process designed under the supervision of MLAI’sChief Executive Officer and the Chief Financial Officer, on behalf of the Fundand is effected by management, other personnel and service providers to providereasonable assurance regarding the reliability of financial reporting and thepreparation of financial statements for external purposes in accordance withU.S. GAAP include policies and procedures that:

 

·      Pertain to the maintenance of records that in reasonable detailaccurately and fairly reflect the transactions and dispositions of the assetsof the Fund.

 

·      Provide reasonable assurance that transactions are recorded asnecessary to permit preparation of financial statements in accordance with U.S.GAAP and that receipts and

 

15

----

 

expendituresof the Fund are being made only in accordance with authorizations of managementof the Fund and Board of Managers of MLAI LLC.

 

·      Provide reasonable assurance regarding prevention or timelydetection of unauthorized acquisitions, use or disposition of the Fund’s assetsthat could have a material effect on the financial statements of the Fund.

 

Becauseof its inherent limitations, internal controls over financial reporting canonly provide reasonable assurance with respect to financial statementpreparation and presentation.  Projections of any evaluation ofeffectiveness to future periods are subject to the risks that controls maybecome inadequate because of changes in condition, or that the degree ofcompliance with the policies or procedures may deteriorate.

 

TheFund’s management assessed the effectiveness of the Fund’s internal controlsover financial reporting as March 31, 2008.  In making this assessment,management used the criteria set forth by the Committee of SponsoringOrganizations of the Treadway Commission (COSO) in “Internal Control-IntegratedFramework”.

 

Basedon its assessment the Fund’s management concluded that at March 31, 2008the Fund’s internal controls over financial reporting was effective.

 

16

----

 

PART II - OTHER INFORMATION

 

Item 1.            Legal Proceedings

 

None.

 

Item 1A.  Risk Factors

 

## Past Performance Not Necessarily Indicative of Future Results

##  

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

 

## Volatile Markets; Highly Leveraged Trading

##  

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

 

## Importance of General Market Conditions

##  

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

 

## Forward Trading

##  

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

 

## Increased Assets Under Management

##  

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

 

## Trading Advisor Risk

##  

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

 

17

----

 

## Changes in Trading Strategy

##  

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

 

## Illiquid Markets

##  

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

 

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

 

## Trading on Non-U.S. Exchanges

##  

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

 

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

 

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

 

The Fund is subject to therisk of insolvency of a counterparty, an exchange, a clearinghouse or MLPF&S.Fund assets could be lost or impounded during lengthy bankruptcyproceedings.  Were a substantial portionof the Fund’s capital tied up in a bankruptcy, MLAI might suspend or limittrading, perhaps causing the Fund to miss significant profit opportunities.There are increased risks in dealing with unregulated trading counterpartiesincluding the risk that assets may not benefit from the protection afforded to “customerfunds” deposited with regulated dealers and brokers.

 

18

----

 

Item 2.          Unregistered Sales of Equity Securities andUse of Proceeds

 

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

 

CLASS A

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
|       |       |             |       |       |       |   |   |
| Jan-08     |       | $                | 2,895,925  |       | 2,102,000  |   | $ | 1.3777 |   |
| Feb-08     |       | $                | 1,305,519  |       | 913,909    |   | 1.4285 |   |
| Mar-08     |       | $                | 4,174,121  |       | 2,714,522  |   | 1.5377 |   |
| Apr-08     |       | 3,387,092        |       | 2,227,178  |       | 1.5208 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS C

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
|       |       |             |       |       |       |   |   |
| Jan-08     |       | $                | 6,097,898  |       | 4,553,049  |   | $ | 1.3393 |   |
| Feb-08     |       | 6,267,310        |       | 4,516,655  |       | 1.3876 |   |
| Mar-08     |       | 10,173,344       |       | 6,816,767  |       | 1.4924 |   |
| Apr-08     |       | 14,855,255       |       | 10,073,408 |       | 1.4747 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS D-SM

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
|       |       |             |       |       |       |   |   |
| Jan-08     |       | $                | 1,810,547  |       | 1,365,626  |   | $ | 1.3258 |   |
| Feb-08     |       | 1,356,925        |       | 985,779    |       | 1.3765 |   |
| Mar-08     |       | 3,310,268        |       | 2,231,391  |       | 1.4835 |   |
| Apr-08     |       | 10,150,741       |       | 6,909,967  |       | 1.4690 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS D

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
|       |       |             |       |       |       |   |   |
| Jan-08     |       | $                | 20,000     |       | 15,084     |   | $ | 1.3259 |   |
| Feb-08     |       | 219,396          |       | 159,387    |       | 1.3765 |   |
| Mar-08     |       | —           |       | —     |       | 1.4836 |   |
| Apr-08     |       | 1,004,998        |       | 684,091    |       | 1.4691 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS I

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
|       |       |             |       |       |       |   |   |
| Jan-08     |       | $                | 2,820,899  |       | 2,039,991  |   | $ | 1.3828 |   |
| Feb-08     |       | 790,980          |       | 551,475    |       | 1.4343 |   |
| Mar-08     |       | 259,837          |       | 168,244    |       | 1.5444 |   |
| Apr-08     |       | 871,988          |       | 570,710    |       | 1.5279 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS D-TF

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
|       |       |             |       |       |       |   |   |
| Jan-08     |       | $                | —     |       | —     |   | $ | 1.3357 |   |
| Feb-08     |       | —           |       | —     |       | 1.3901 |   |
| Mar-08     |       | —           |       | —     |       | 1.5051 |   |
| Apr-08     |       | —           |       | —     |       | 1.4899 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

----

(1) Net Asset Valuefor all other purposes.

 

(b)   None.

(c)   None.

 

Item 3.          DefaultsUpon Senior Securities

 

None.

 

Item 4.          Submissionof Matters to a Vote of Security Holders

 

None.

 

19

----

 

Item 5.          Other Information

 

None.

 

Item 6.          Exhibits

 

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

 

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

 

Exhibit 31.01and 31.02  Arefiled herewith.

 

32.01 and 32.02               Section 1350Certifications

 

Exhibit 32.01and 32.02  Arefiled herewith.

 

20

----

 

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

 

21

----