**UNITED STATESSECURITIES AND EXCHANGE COMMISSION**

**Washington, D.C. 20549**

**FORM 10-Q**

**(MarkOne)**

| **x**                                                                                                                                                                                                                                | ** ** | **QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d)  OF THE SECURITIES**                       |
|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|------------|-----------------------------------------------------------------------------------------------|
| **EXCHANGE ACT OF 1934**                                                                                                                                                                                                             |
| ** **                                                                                                                                                                                                                           | ** ** | ** **                                                                                    |
| **For the quarterly period ended June 30, 2007**                                                                                                                                                                                     |
| ** **                                                                                                                                                                                                                           |
| **OR**                                                                                                                                                                                                                               |
| ** **                                                                                                                                                                                                                           |
| **o**                                                                                                                                                                                                                                | ** ** | **TRANSITION REPORT PURSUANT TO SECTION 13 OR  15(d) OF THE SECURITIES EXCHANGE ACT OF 1934** |
| ** **                                                                                                                                                                                                                           | ** ** | ** **                                                                                    |
| **For the transition period from                to                ** |
| ** **                                                                                                                                                                                                                           |
| **Commission File Number 0-51084**                                                                                                                                                                                                   |

 

# **ML WINTONFUTURESACCESS LLC**

(Exact Name of Registrantas

specified in its charter)

| **Delaware**                                               |   | **20-1227904**                     |
|------------------------------------------------------------|--------|------------------------------------|
| (State or other  jurisdiction of                           |   | (IRS Employer  Identification No.) |
| incorporation or  organization)                            |   |                               |
|                                                       |   |                               |
| **c/o  Merrill Lynch Alternative Investments LLC**         |
| **Princeton  Corporate Campus**                            |
| **800  Scudders Mill Road - Section 2G**                   |
| **Plainsboro,  New Jersey 08536**                          |
| (Address of  principal executive offices)                  |
| (Zip Code)                                                 |
|                                                       |
| **609-282-6996**                                           |
| (Registrant’s  telephone number, including area code) |

 

Indicateby check mark whether the registrant (1) has filed all reports required to befiled by Section 13 or 15(d) of the Securities Exchange Act of 1934 during thepreceding 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 |
|--|--------|------------------------------------------------------------|

 

Indicateby check mark whether the registrant is a large accelerated filer, anaccelerated filer, or a non-accelerated filer. See definition of “accelerated filer and large accelerated filer” inRule 12b-2 of the Exchange Act. (Check one):

|  | Large  accelerated filero |   | Accelerated  filero |   | Non-accelerated filerx |
|--|---------------------------|--------|---------------------|--------|------------------------|

 

Indicate by check mark whether registrant is a shell company (as definedby Rule 12b-2 of 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 Securities Exchange Actof 1934 subsequent to the distribution of securities under a plan confirmed bya court. 

|  |   | Yes o    No  o |
|--|--------|------------------------------------|

 

 

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**ML WINTON FUTURESACCESS LLC**

QUARTERLY REPORT FOR JUNE30, 2007 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 | 9 |
|       |       |                                                                                        |   |
| Item 3.    |       | Quantitative  and Qualitative Disclosures About Market Risk                                 | 13 |
|       |       |                                                                                        |   |
| Item 4.    |       | Controls and  Procedures                                                                    | 16 |
|       |       |                                                                                        |   |
|       | PART II    |                                                                                        |
|       |       |
| Item 1.    |       | Legal Proceedings                                                                           | 17 |
|       |       |                                                                                        |   |
| Item 2.    |       | Unregistered  Sales of Equity Securities and use of Proceeds                                | 17 |
|       |       |                                                                                        |   |
| Item 3.    |       | Defaults Upon  Senior Securities                                                            | 18 |
|       |       |                                                                                        |   |
| Item 4.    |       | Submission of  Matters to a Vote of Security Holders                                        | 18 |
|       |       |                                                                                        |   |
| Item 5.    |       | Other Information                                                                           | 18 |
|       |       |                                                                                        |   |
| Item  6.   |       | Exhibits                                                                                    | 18 |
|            |            |                                                                                             |  |  |

 

----

PART I - FINANCIALINFORMATION

Item 1.    FinancialStatements

ML WINTON FUTURESACCESS LLC

(a Delaware LimitedLiability Company)

STATEMENTS OF FINANCIALCONDITION
| ** **                                                                         | ** ** | **June 30,** | ** **  | **December 31,** | ** ** |
|------------------------------------------------------------------------------------|------------|-------------------|-------------|-----------------------|------------|
| ** **                                                                         | ** ** | **2007**          | ** **  | **2006**              | ** ** |
| ** **                                                                         | ** ** | **(unaudited)**   | ** **  | ** **            | ** ** |
|                                                                               |       |              |        |                  |       |
| **ASSETS:**                                                                        |       |              |        |                  |       |
| Equity in commodity  futures trading accounts:                                     |       |              |        |                  |       |
| Cash (including  restricted cash of $49,697,478 for 2007 and $97,706,658 for 2006) |       | $                 | 577,500,899 |                  | $          | 320,681,230 |   |
| Net unrealized  profit on open contracts                                           |       | 11,160,078        |        | 11,425,353            |       |
| Subscriptions  receivable                                                          |       | 1,913,449         |        | —                |       |
| Cash                                                                               |       | 55,600            |        | 70,297                |       |
| Accrued interest                                                                   |       | 2,376,186         |        | 1,354,727             |       |
|                                                                               |       |              |        |                  |       |
| **TOTAL  ASSETS**                                                                  |       | $                 | 593,006,212 |                  | $          | 333,531,607 |   |
|                                                                               |       |              |        |                  |       |
| **LIABILITIES AND MEMBERS’  CAPITAL:**                                        |       |              |        |                  |       |
| LIABILITIES:                                                                       |       |              |        |                  |       |
| Brokerage  commissions payable                                                     |       | $                 | 231,693     |                  | $          | 173,655 |   |
| Management fee  payable                                                            |       | 933,475           |        | 548,086               |       |
| Sponsor’s fee  payable                                                        |       | 668,361           |        | 511,423               |       |
| Performance fee  payable                                                           |       | 4,340,552         |        | 5,417,903             |       |
| Redemptions  payable                                                               |       | 8,084,399         |        | 3,409,083             |       |
| Initial offering  costs payable                                                    |       | 128,508           |        | 152,506               |       |
| Other                                                                              |       | 195,638           |        | 268,807               |       |
|                                                                               |       |              |        |                  |       |
| Total liabilities                                                                  |       | 14,582,626        |        | 10,481,463            |       |
|                                                                               |       |              |        |                  |       |
| MEMBERS’ CAPITAL:                                                             |       |              |        |                  |       |
|   Sponsor’s  Interest (19,470 Units and 19,470 Units)               |       | 24,400            |        | 23,313                |       |
|                                                                               |       |              |        |                  |       |
|   Members’  Interest (469,094,256 Units and 272,578,635 Units)      |       | 578,399,186       |        | 323,026,831           |       |
|                                                                               |       |              |        |                  |       |
| Total members’  capital                                                       |       | 578,423,586       |        | 323,050,144           |       |
|                                                                               |       |              |        |                  |       |
| **TOTAL LIABILITIES AND MEMBERS’  CAPITAL**                                   |       | $                 | 593,006,212 |                  | $          | 333,531,607 |   |

 

**NET ASSET VALUE PER UNIT (Note 2)**

(Based on 469,113,726 and 272,598,105 Unitsoutstanding, unlimited Units authorized)

See notes to financial statements.

2

----

ML WINTON FUTURESACCESS LLC

(a Delaware LimitedLiability Company)

STATEMENTS OF OPERATIONS

(unaudited)
| ** **                                    | ** ** | **For the three  months ended  June 30,  2007** | ** ** | **For the three  months ended  June 30,  2006** | ** ** | **For the six  months ended  June 30,  2007** | ** ** | **For the six  months ended  June 30,  2006** | ** ** |
|-----------------------------------------------|------------|---------------------------------------------------------------------|------------|---------------------------------------------------------------------|------------|-------------------------------------------------------------------|------------|-------------------------------------------------------------------|------------|
| **TRADING  PROFIT (LOSS):**                   |       |                                                                | ** ** |                                                                |       |                                                              |       |                                                              |       |
|                                          |       |                                                                |       |                                                                |       |                                                              |       |                                                              |       |
| Realized                                      |       | $                                                                   | 49,310,202 |                                                                | $          | 260,424                                                           |       | $                                                                 | 28,158,213 |   | $ | 3,781,031 |   |
| Change in unrealized                          |       | 4,662,529                                                           |       | (1,730,160                                                          | )          | (265,275                                                          | )          | 1,462,118                                                         |       |
| Brokerage commissions                         |       | (540,299                                                            | )          | (333,206                                                            | )          | (1,129,714                                                        | )          | (673,309                                                          | )          |
| Total trading profit (loss)                   |       |                                                                |       |                                                                |       |                                                              |       |                                                              |       |
|                                          |       | 53,432,432                                                          |       | (1,802,942                                                          | )          | 26,763,224                                                        |       | 4,569,840                                                         |       |
| **INVESTMENT  INCOME:**                       |       |                                                                | ** ** |                                                                |       |                                                              |       |                                                              |       |
| Interest                                      |       |                                                                |       |                                                                |       |                                                              |       |                                                              |       |
|                                          |       | 5,784,295                                                           |       | 2,318,170                                                           |       | 10,235,058                                                        |       | 3,695,659                                                         |       |
| **EXPENSES:**                                 |       |                                                                | ** ** |                                                                |       |                                                              |       |                                                              |       |
| Management fee                                |       | 2,343,176                                                           |       | 1,031,029                                                           |       | 4,127,899                                                         | ** ** | 1,723,591                                                         |       |
| Sponsor’s fee                            |       | 1,904,344                                                           |       | 955,183                                                             |       | 3,521,735                                                         |       | 1,617,698                                                         |       |
| Performance fee                               |       | 4,340,552                                                           |       | (159,452                                                            | )          | 4,340,552                                                         |       | 1,041,022                                                         |       |
| Other                                         |       | 232,097                                                             |       | 267,809                                                             |       | 446,481                                                           |       | 344,242                                                           |       |
|                                          |       |                                                                |       |                                                                |       |                                                              |       |                                                              |       |
| Total expenses                                |       | 8,820,169                                                           |       | 2,094,569                                                           |       | 12,436,667                                                        |       | 4,726,553                                                         |       |
|                                          |       |                                                                |       |                                                                |       |                                                              |       |                                                              |       |
| **NET  INVESTMENT INCOME (LOSS)**             |       | (3,035,874                                                          | )          | 223,601                                                             |       | (2,201,609                                                        | )          | (1,030,894                                                        | )          |
|                                          |       |                                                                |       |                                                                |       |                                                              |       |                                                              |       |
| **NET  INCOME (LOSS):**                       |       | $                                                                   | 50,396,558 |                                                                | $          | (1,579,341                                                        | )          | $                                                                 | 24,561,615 |   | $ | 3,538,946 |   |
| ** **                                    |       |                                                                |       |                                                                |       |                                                              |       |                                                              |       |
| **NET  INCOME (LOSS) PER UNIT:**              |       |                                                                |       |                                                                |       |                                                              |       |                                                              |       |
| ** **                                    |       |                                                                |       |                                                                |       |                                                              |       |                                                              |       |
| Weighted average number of Units outstanding: |       |                                                                |       |                                                                |       |                                                              |       |                                                              |       |
| Class A                                       |       | 38,722,453                                                          |       | 22,583,910                                                          |       | 37,191,401                                                        |       | 20,128,954                                                        |       |
| Class C                                       |       | 210,545,139                                                         |       | 110,177,538                                                         |       | 197,663,929                                                       |       | 93,137,776                                                        |       |
| Class D                                       |       | 62,187,274                                                          |       | 25,369,863                                                          |       | 56,730,059                                                        |       | 18,136,653                                                        |       |
| Class I                                       |       | 37,972,825                                                          |       | 23,827,306                                                          |       | 36,117,859                                                        |       | 22,370,850                                                        |       |
| Class SM-D*                                   |       | 10,987,809                                                          |       |                                                                |       | 10,987,809                                                        |       |                                                              |       |
| Class TF-D**                                  |       | 98,131,157                                                          |       |                                                                |       | 98,131,157                                                        |       |                                                              |       |
|                                          |       |                                                                |       |                                                                |       |                                                              |       |                                                              |       |
| Net income (loss) per weighted average Unit:  |       |                                                                |       |                                                                |       |                                                              |       |                                                              |       |
| Class A                                       |       | $                                                                   | 0.1397     |                                                                | $          | 0.0007                                                            |       | $                                                                 | 0.0637     |   | $ | 0.0377 |   |
| Class C                                       |       | $                                                                   | 0.1325     |                                                                | $          | (0.0064                                                           | )          | $                                                                 | 0.0613     |   | $ | 0.0253 |   |
| Class D                                       |       | $                                                                   | 0.1314     |                                                                | $          | (0.0421                                                           | )          | $                                                                 | 0.0707     |   | $ | (0.0334 | ) |
| Class I                                       |       | $                                                                   | 0.1407     |                                                                | $          | 0.0075                                                            |       | $                                                                 | 0.0692     |   | $ | 0.0462 |   |
| Class SM-D*                                   |       | $                                                                   | 0.1382     |                                                                |       |                                                              | $          | 0.1382                                                            |       |   |   |
| Class TF-D**                                  |       | $                                                                   | 0.0209     |                                                                |       |                                                              | $          | 0.0209                                                            |       |   |   |

 

----

* Units issued on April 1, 2007.

** Units issued on June 1, 2007

See notes to financial statements.

3

----

ML WINTON FUTURESACCESS LLC

(a Delaware LimitedLiability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

For the six months ended June 30, 2006 and 2007

(unaudited)
| ** **                 | ** ** | **Members’ Capital  December 31, 2005** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital  June 30, 2006** | ** ** | **Members’ Capital  December 31, 2006** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital  June 30, 2007** | ** ** |
|----------------------------|------------|-------------------------------------------------------------|------------|-------------------|------------|-----------------|------------|---------------------------------------------------------|------------|-------------------------------------------------------------|------------|-------------------|------------|-----------------|------------|---------------------------------------------------------|------------|
| Class A                    |       | 15,522,119                                                  |       | 10,840,381        |       | (1,158,674      | )          | 25,203,826                                              |       | 32,046,486                                                  |       | 9,848,340         |       | (3,600,524      | )          | 38,294,302                                              |       |
| Class C                    |       | 62,583,887                                                  |       | 63,211,281        |       | (4,515,296      | )          | 121,279,872                                             |       | 170,519,442                                                 |       | 57,037,461        |       | (14,103,677     | )          | 213,453,226                                             |       |
| Class D                    |       | 9,764,594                                                   |       | 23,355,449        |       | —          |       | 33,120,043                                              |       | 39,225,345                                                  |       | 35,076,069        |       | (2,235,281      | )          | 72,066,133                                              |       |
| Class I                    |       | 17,936,086                                                  |       | 8,007,813         |       | (1,708,411      | )          | 24,235,488                                              |       | 30,787,362                                                  |       | 8,123,828         |       | (686,547        | )          | 38,224,643                                              |       |
| Class SM-D*                |       | —                                                      |       | —            |       | —          |       | —                                                  |       | —                                                      |       | 11,180,471        |       | (330,690        | )          | 10,849,781                                              |       |
| Class TF-D**               |       | —                                                      |       | —            |       | —          |       | —                                                  |       | —                                                      |       | 98,131,157        |       | (1,924,986      | )          | 96,206,171                                              |       |
|                       |       |                                                        |       |              |       |            |       |                                                    |       |                                                        |       |              |       |            |       |                                                    |       |
| Total Members’  Units |       | 105,806,686                                                 |       | 105,414,924       |       | (7,382,381      | )          | 203,839,229                                             |       | 272,578,635                                                 |       | 219,397,326       |       | (22,881,705     | )          | 469,094,256                                             |       |
|                       |       |                                                        |       |              |       |            |       |                                                    |       |                                                        |       |              |       |            |       |                                                    |       |
| 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 SM-D*                |       | —                                                      |       | —            |       | —          |       | —                                                  |       | —                                                      |       | —            |       | —          |       | —                                                  |       |
| Class TF-D**               |       | —                                                      |       | —            |       | —          |       | —                                                  |       | —                                                      |       | —            |       | —          |       | —                                                  |       |
|                       |       |                                                        |       |              |       |            |       |                                                    |       |                                                        |       |              |       |            |       |                                                    |       |
| Total Sponsor’s Units |       | 19,470                                                      |       | —            |       | —          |       | 19,470                                                  |       | 19,470                                                      |       | —            |       | —          |       | 19,470                                                  |       |

 

----

* Units issued onApril 1, 2007.

** Units issued on June 1, 2007.

See notes to financial statements.

4

----

ML WINTON FUTURESACCESS LLC

(a Delaware LimitedLiability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

For the six months ended June 30, 2006 and 2007 (continued)

(unaudited)

 
| ** **                     | ** ** | **Members’ Capital  December 31, 2005** | ** **  | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net Income** | ** ** | **Members’ Capital  June 30, 2006** | ** ** | **Members’ Capital  December 31, 2006** | ** ** | **Subscriptions** | ** **  | **Redemptions** | ** ** | **Net Income** | ** ** | **Members’ Capital  June 30, 2007** | ** **  |
|--------------------------------|------------|-------------------------------------------------------------|-------------|-------------------|------------|-----------------|------------|---------------------|------------|---------------------------------------------------------|------------|-------------------------------------------------------------|------------|-------------------|-------------|-----------------|------------|---------------------|------------|---------------------------------------------------------|-------------|
| Class A                        |       | $                                                           | 16,602,088  |              | $          | 12,109,747      |       | $                   | (1,320,030 | )                                                       | $          | 757,543                                                     |       | $                 | 28,149,348  |            | $          | 38,699,738          |       | $                                                       | 11,829,177  |   | $ | (4,369,358 | ) | $ | 2,366,752 |   | $ | 48,526,309 |   |
| Class C                        |       | 66,470,039                                                  |        | 69,942,327        |       | (4,973,611      | )          | 2,351,650           |       | 133,790,405                                             |       | 202,215,652                                                 |       | 66,749,684        |        | (16,751,108     | )          | 12,107,826          |       | 264,322,054                                             |        |
| Class D                        |       | 9,797,722                                                   |        | 25,658,995        |       | —          |       | (605,064            | )          | 34,851,653                                              |       | 44,952,646                                                  |       | 40,915,987        |        | (2,618,075      | )          | 4,012,939           |       | 87,263,497                                              |        |
| Class I                        |       | 19,077,399                                                  |        | 8,813,260         |       | (1,925,443      | )          | 1,033,978           |       | 26,999,194                                              |       | 37,158,795                                                  |       | 9,700,869         |        | (844,815        | )          | 2,500,698           |       | 48,515,547                                              |        |
| Class SM-D*                    |       | —                                                      |        | —            |       | —          |       | —              |       | —                                                  |       | —                                                      |       | 12,000,000        |        | (380,333        | )          | 1,518,838           |       | 13,138,505                                              |        |
| Class TF-D**                   |       | —                                                      |        | —            |       | —          |       | —              |       | —                                                  |       | —                                                      |       | 116,913,460       |        | (2,333,661      | )          | 2,053,475           |       | 116,633,274                                             |        |
|                           |       |                                                        |        |              |       |            |       |                |       |                                                    |       |                                                        |       |              |        |            |       |                |       |                                                    |        |
| Total Members’  Interests |       | $                                                           | 111,947,248 |              | $          | 116,524,329     |       | $                   | (8,219,084 | )                                                       | $          | 3,538,107                                                   |       | $                 | 223,790,600 |            | $          | 323,026,831         |       | $                                                       | 258,109,177 |   | $ | (27,297,350 | ) | $ | 24,560,528 |   | $ | 578,399,186 |   |
|                           |       |                                                        |        |              |       |            |       |                |       |                                                    |       |                                                        |       |              |        |            |       |                |       |                                                    |        |
| Class A                        |       | $                                                           | 10,410      |              | $          | —          |       | $                   | —     |                                                    | $          | 450                                                         |       | $                 | 10,860      |            | $          | 11,737              |       | $                                                       | —      |   | $ | — |   | $ | 577 |   | $ | 12,314 |   |
| Class C                        |       | 10,384                                                      |        | —            |       | —          |       | 389                 |       | 10,773                                                  |       | 11,576                                                      |       | —            |        | —          |       | 510                 |       | 12,086                                                  |        |
| Class D                        |       | —                                                      |        | —            |       | —          |       | —              |       | —                                                  |       | —                                                      |       | —            |        | —          |       | —              |       | —                                                  |        |
| Class I                        |       | —                                                      |        | —            |       | —          |       | —              |       | —                                                  |       | —                                                      |       | —            |        | —          |       | —              |       | —                                                  |        |
| Class SM-D*                    |       | —                                                      |        | —            |       | —          |       | —              |       | —                                                  |       | —                                                      |       | —            |        | —          |       | —              |       | —                                                  |        |
| Class TF-D**                   |       | —                                                      |        | —            |       | —          |       | —              |       | —                                                  |       | —                                                      |       | —            |        | —          |       | —              |       | —                                                  |        |
|                           |       |                                                        |        |              |       |            |       |                |       |                                                    |       |                                                        |       |              |        |            |       |                |       |                                                    |        |
| Total Sponsor’s  Interest |       | $                                                           | 20,794      |              | $          | —          |       | $                   | —     |                                                    | $          | 839                                                         |       | $                 | 21,633      |            | $          | 23,313              |       | $                                                       | —      |   | $ | — |   | $ | 1,087 |   | $ | 24,400 |   |
|                           |       |                                                        |        |              |       |            |       |                |       |                                                    |       |                                                        |       |              |        |            |       |                |       |                                                    |        |
| Total Members’ Capital    |       | $                                                           | 111,968,042 |              | $          | 116,524,329     |       | $                   | (8,219,084 | )                                                       | $          | 3,538,946                                                   |       | $                 | 223,812,233 |            | $          | 323,050,144         |       | $                                                       | 258,109,177 |   | $ | (27,297,350 | ) | $ | 24,561,615 |   | $ | 578,423,586 |   |

 

----

* Units issued on April 1, 2007.

** Units issued on June 1, 2007.

See notes to financial statements.

5

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ML WINTON FUTURESACCESS LLC

(a Delaware LimitedLiability Company)

NOTES TO FINANCIALSTATEMENTS

(unaudited)

1.     SUMMARYOF SIGNIFICANT ACCOUNTING POLICIES

In the opinion ofmanagement, the financial statements contain all adjustments necessary topresent fairly the financial position of ML Winton FuturesAccess LLC (the “Fund”)as of June 30, 2007, and the results of its operations for the three and sixmonths ended June 30, 2007 and 2006. However, the operating results for the interim periods may not be indicativeof 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 (“US 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, 2006.  Class SM-D commenced trading on April 1,2007. Class TF-D commenced trading on June 1, 2007. Class SM-D Units pay Wintonannual management fees of 2.00 % of the Class’ average month-end net assets.The Class pays performance fees at 20% of any New Trading Profit, asdefined.  Class TF-D Units pay Wintonannual management fees of 1.50 % of the Class’ average month-end net assets.The Class pays performance fees at 15% of any New Trading Profit, as defined.Class SM-D and Class TF-D Units do not pay sponsor fees.

The preparation offinancial statements in conformity with US 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 financial reportingpurposes, in conformity with US GAAP, the Fund deducted the total initialoffering costs at inception from Members’ Capital for purposes of determiningNet Asset Value.  For all other purposes,including computing Net Asset Value for purposes of member subscription andredemption activity, such costs are amortized over 60 months. Consequently, theNet Asset Value and Net Asset Value per Unit of the different Classes forfinancial reporting purposes and for all other purposes are as follows:

6

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At June 30, 2007 the Net Asset Values of the differentseries of Units are as follows:
|                  | ** ** | **Net Asset Value** | ** **  | ** **               | ** ** | **Net Asset Value per Unit** | ** ** |
|------------------|------------|-------------------------------|-------------|--------------------------|------------|--------------------------------------------------|------------|
| ** **       | ** ** | **All Other  Purposes**  | ** **  | **Financial  Reporting** | ** ** | **Number of  Units**                        | ** ** | **All Other  Purposes** | ** ** | **Financial  Reporting** | ** ** |
|  Class A    |       | $                             | 48,560,005  |                     | $          | 48,538,623                                       |       | 38,304,015 |   | $ | 1.2678 |   | $ | 1.2672 |   |
|  Class C    |       | 264,408,170                   |        | 264,334,140              |       | 213,462,983                                      |       | $ | 1.2387 |   | $ | 1.2383 |   |
|  Class D    |       | 87,270,318                    |        | 87,263,497               |       | 72,066,133                                       |       | $ | 1.2110 |   | $ | 1.2109 |   |
|  Class I    |       | 48,541,822                    |        | 48,515,547               |       | 38,224,643                                       |       | $ | 1.2699 |   | $ | 1.2692 |   |
|  Class SM-D |       | 13,138,505                    |        | 13,138,505               |       | 10,849,781                                       |       | $ | 1.2109 |   | $ | 1.2109 |   |
|  Class TF-D |       | 116,633,274                   |        | 116,633,274              |       | 96,206,171                                       |       | $ | 1.2123 |   | $ | 1.2123 |   |
|             |       | $                             | 578,552,094 |                     | $          | 578,423,586                                      |       | 469,113,726 |   |   |   |   |   |

 

At December 31, 2006 the Net Asset Values of thedifferent series of Units are as follows:
|               | ** ** | **Net Asset Value** | ** **  | ** **                   | ** ** | **Net Asset Value per Unit** | ** ** |
|---------------|------------|-------------------------------|-------------|------------------------------|------------|--------------------------------------------------|------------|
| ** **    | ** ** | **All Other  Purposes**  | ** **  | **Financial**

**Reporting** | ** ** | **Number of  Units**                        | ** ** | **All Other  Purposes** | ** ** | **Financial  Reporting** | ** ** |
|  Class A |       | $                             | 38,735,519  |                         | $          | 38,711,475                                       |       | 32,056,199 |   | $ | 1.2084 |   | $ | 1.2076 |   |
|  Class C |       | 202,316,205                   |        | 202,227,228                  |       | 170,529,199                                      |       | $ | 1.1864 |   | $ | 1.1859 |   |
|  Class D |       | 44,963,275                    |        | 44,952,646                   |       | 39,225,345                                       |       | $ | 1.1463 |   | $ | 1.1460 |   |
|  Class I |       | 37,187,652                    |        | 37,158,795                   |       | 30,787,362                                       |       | $ | 1.2079 |   | $ | 1.2069 |   |
|          |       | $                             | 323,202,651 |                         | $          | 323,050,144                                      |       | 272,598,105 |   |   |   |   |   |

 

3.       MARKETAND CREDIT RISK

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

MarketRisk

Derivativeinstruments involve varying degrees of market risk.  Changes in the level or volatility ofinterest rates, foreign currency exchange rates or the market values of thefinancial instruments or commodities underlying such derivative instrumentsfrequently result in changes in the Fund’s Net unrealized profit 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.

The Sponsor of theFund, Merrill Lynch Alternative Investments LLC (“MLAI”), has procedures inplace intended to control market risk exposure, although there can be noassurance that they will, in fact, succeed in doing so.  These procedures focus primarily onmonitoring the trading of Winton

7

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Capital ManagementLimited (“Winton”), calculating the Net Asset Value of the Fund as of the closeof 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 clearing housearrangements 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 & Co. Inc., (“MerrillLynch”) entities as clearing brokers.

The Fund, in its normalcourse of business, enters into various contracts, with Merrill Lynch PierceFenner & Smith Inc. (“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 on the Statementsof Financial Condition.

4.     RECENT ACCOUNTING PRONOUNCEMENTS

In June 2006, the FinancialAccounting Standards Board (“FASB”) issued Interpretation No. 48 (“FIN 48”),Accounting for Uncertainty in Income Taxes – an interpretation of FASBStatement No. 109.  In May 2007, FASBamended this guidance by issuing FASB Staff Position No. FIN 48-1, Definitionof settlement in FASB Interpretation No. 48. FIN 48, as amended, prescribes the minimum recognition threshold a taxposition must meet in connection with accounting for uncertainties in incometax positions taken or expected to be taken by an entity before being measuredand recognized in the financial statements. Adoption of FIN 48, as amended, is required for fiscal years beginningafter December 15, 2006.  The Fund hasevaluated its tax positions and has determined that the implementation of thispronouncement does not have a material impact to the financial statements.

In September 2006, theFASB issued Statement of Financial Accounting Standards No. 157, Fair ValueMeasurements (“FAS 157”).  FAS 157 establishes a common definitionfor fair value under accounting principles generally accepted in the UnitedStates of America, establishes a framework for measuring fair value and expandsdisclosure requirements about such fair value measurements.  FAS 157 iseffective for fiscal years beginning after November 15, 2007.  The Fund iscurrently evaluating the impact of adopting FAS 157 on its financialstatements.

8

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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 that the Net Asset Value used tocalculate subscription and redemption value and to    report performance to investors throughoutthe year is the most valuable to the Members of the Fund.   Therefore, the charts below referencing NetAsset Value and performance measurements are based on the Net Asset Value forall other purposes, as discussed in Note 2 to the Financial Statements.

                                      ClassA

|      | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** |
|------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|
| 2006 |       | $        | 1.1029     |     | $          | 1.0768   |       | $        | 1.1124     |    | $          | 1.1783   |       | $ | 1.1326 |   | $ | 1.1180 |   |
| 2007 |       | $        | 1.2584     |     | $          | 1.1800   |       | $        | 1.1279     |    | $          | 1.1924   |       | $ | 1.2488 |   | $ | 1.2678 |   |

 

                                      ClassC

|      | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** |
|------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|
| 2006 |       | $        | 1.0943     |     | $          | 1.0675   |       | $        | 1.1018     |    | $          | 1.1659   |       | $ | 1.1191 |   | $ | 1.1041 |   |
| 2007 |       | $        | 1.2345     |     | $          | 1.1568   |       | $        | 1.1047     |    | $          | 1.1670   |       | $ | 1.2212 |   | $ | 1.2387 |   |

 

                                      ClassD

|      | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** |
|------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|
| 2006 |       | $        | 1.0360     |     | $          | 1.0131   |       | $        | 1.0479     |    | $          | 1.1113   |       | $ | 1.0646 |   | $ | 1.0528 |   |
| 2007 |       | $        | 1.1952     |     | $          | 1.1216   |       | $        | 1.0733     |    | $          | 1.1362   |       | $ | 1.1914 |   | $ | 1.2110 |   |

 

                                      ClassI

|      | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** |
|------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|
| 2006 |       | $        | 1.0972     |     | $          | 1.0715   |       | $        | 1.1073     |    | $          | 1.1732   |       | $ | 1.1283 |   | $ | 1.1154 |   |
| 2007 |       | $        | 1.2583     |     | $          | 1.1805   |       | $        | 1.1287     |    | $          | 1.1937   |       | $ | 1.2505 |   | $ | 1.2699 |   |

 

                                      ClassSM-D

|      | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** |
|------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|
| 2006 |       | N/A      |       | N/A      |       | N/A      |       | N/A      |       | N/A     |       | N/A      |       |
| 2007 |       | N/A      |       | N/A      |       | $        | 1.0733     |     | $          | 1.1362  |       | $        | 1.1914     |   | $ | 1.2109 |   |
|      |            |          |            |          |            |          |            |          |            |         |            |          |            |  |  |  |  |

 

                                      ClassTF-D

|      | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** |
|------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|
| 2006 |       | N/A      |       | N/A      |       | N/A      |       | N/A      |       | N/A     |       | N/A      |       |
| 2007 |       | N/A      |       | N/A      |       | N/A      |       | N/A      |       | $       | 1.1914     |     | $          | 1.2123 |   |
|      |            |          |            |          |            |          |            |          |            |         |            |          |            |  |  |

 

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Performance Summary

January 1, 2007 to June 30, 2007

January 1, 2007 to March 31, 2007

TheFund posted an overall loss with the metals sector posting gains and energy,agriculture, currencies, stock indices and interest rates sectors postedlosses.

Themetals sector was the only profitable sector for the Fund.  Profits were generated mid-quarter which offsetthe losses posted at the beginning and of the quarter.

Theenergy sector posted losses for the Fund. In a continuation of the price action witnessed in December, the rise inU.S. equity markets and the decline in crude oil prices led to significant gainsat the beginning of the quarter. However, losses were posted mid-quarterthrough the end of the quarter due to volatility in the market.

Theagricultural sector posted losses for the Fund. The agricultural market wassoft and was attributed to the difficult trading environment resulting in theFund posting losses for the sector.

Thecurrency sector posted losses for the Fund. The quarter began with gains beingposted to the Fund only to be offset with losses mid-quarter through the end ofthe quarter.

Thestock indices sector posted losses for the Fund. The markets were choppy andexposures changed continuously. Due to the rise in the U.S. equity markets thestock indices sector posted significant gains for the Fund. The steady gainsmade throughout mid-quarter were erased in several volatile trading sessions asa sharp drop in the Chinese stock market sparked a sell off in global equitieswhich fed through into the fixed income markets.  The quarter ended as high levels of marketvolatility together with increased correlation across asset classes postedlosses for the Fund.

Theinterest rate sector was the least profitable for the Fund. The quarter beganwith gains being posted to the Fund due to the surprise increase in the UnitedKingdom interest rates by the Monetary Police Committee which led to a strongperformance in the short term interest rate positions. However, mid-quarterthrough the end of the quarter the sector posted losses for the Fund due tohigh levels of market volatility.

April1, 2007 to June 30, 2007

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

Thecurrency sector posted the highest profits for the Fund. The strength in boththe euro and British sterling currencies were the main drivers behind thebeginning of the quarter’s profits being posted to the Fund which continuedthrough the mid-quarter. Market volatility increased at the end of the quarterleading to strong returns in the currency markets.

Theinterest rate sector posted profits for the Fund. Profits were posted to theFund throughout the quarter. A growing appetite for risk mid quarter, led to anincrease demand not only for stocks across the globe, but also fed through intothe fixed income markets, as bonds sold off and short term interest rateexpectations increased in both the United States and Europe. Strong returnswere also posted in the fixed income markets as both short and long terminterest rate expectations rose as the quarter ended.

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Thestock indices sector posted profits for the Fund. The continued recovery inglobal equity markets at the beginning of the quarter was one of the maindrivers in strong gains being posted for the Fund. Equity markets continued torally mid quarter through the end of the quarter as a combination of M&Aactivity and a growing appetite for risk led to an increased demand for stocksacross the globe.

Theagricultural sector posted profits for the Fund. The agricultural market wassoft which attributed to the difficult trading environment resulting in theFund posting losses the beginning of the quarter which was offset by gains frommid-quarter through the end of the quarter.

The energy sector also posted profits for the Fund.Profits were posted at the beginning of the quarter through the mid-quarteronly. Trading at quarter’s end was difficult because of weather conditions andgeopolitical pressure.

Themetals sector posted losses for the Fund. Profits were posted at the beginning of the quarter as metals benefitedfrom the re-emergence of stable trends as prices driven by tighteningfundamentals and demand growth rallied. Mid quarter prices were driven down dueto profit-taking and concerns over the strength of future Chinese demand. Thequarter ended with losses due to supply tightness and bouts of increased riskaversion.

January1, 2006 to June 30, 2006

January1, 2006 to March 31, 2006

TheFund posted an overall profit with metals, stock indices and interest rates postinggains while energy, agriculture, currencies posted losses.

Themetals sector was the most profitable for the Fund. Base metal prices werebolstered by continuing demand from China’s expanding economy and shortcovering just prior to the Chinese New Year. Both aluminum and zinc reached alltime highs beginning of the quarter. Precious metals and energies endured avolatile period during the Iran/U.S./Europe nuclear standoff, with goldreaching a 25 year high. The quarter ended with gold and silver continuing tosurge upwards, with silver posting a 22 year high. This was driven by strongdemand and anticipation of the launch of a new wave of instruments that willopen up these markets to a wider audience of investors. Base metals weresimilarly well supported with several markets, including zinc and copper,trading at record highs.

Thestock indices posted profits for the Fund. Higher equity and lower fixed incomeprices were largely a result of better than expected sentiment indicators andcompany earnings reports. Equity markets continued mid-quarter with theirbullish run, with the European bourses leading the charge. A combination ofstrong corporate earnings and solid consumer demand led to several indicesposting four to five year highs. The disappointing U.S. retail sales andconsumer price figures coupled with a bout of profit taking led to a somewhatexaggerated end of the quarter spike in fixed income markets. However, this wassteadily erased by the continuation of the drift downward in bond prices as asubsequent succession of stronger than expected consumer confidence indicatorsled to increased expectations of a lengthening cycle of the U.S. interest rateincreases. The markets now seem comfortable with the new U. S. FederalChairman, Bernanke, wherein there will be no major disruption and that thegeneral philosophy behind the Federal Reserve’s approach will remain broadlyunchanged.

Theinterest rate sector also posted profits for the Fund.   Gains were made in short end ratesmid-quarter due to the on-going strength of the U.S. economy which led to aflattening of the yield curve. However, this was slightly tempered by aninteresting retracement as disappointing consumer confidence and manufacturingactivity numbers led to a fall in implied short term interest rates. Quarterended with

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expectationsof further European Central Bank rate hikes led to a twenty basis point declinein Euribor futures which proved to be the main profit driver in the interestrate sector.

Theenergy sector posted losses for the Fund. Midway through the end of the quarter, once again, forced the sectorinto a period of increased volatility, as both military and terroristactivities in the key energy production areas led to rising energy prices.

Theagricultural sector posted losses for the Fund. The agricultural market wassoft which attributed to the difficult trading environment resulting in theFund posting losses for the sector.

Thecurrency sector was the least profitable for the Fund. The currency marketremained mostly directionless throughout the beginning of the quarter.Currencies were the main focus of attention in the latter half of themid-quarter, as the market began to forecast on the end of the Bank of Japan’spolicy of quantitative easing with optimism rising that this would be soonerrather than later.  The Japanese yenenjoyed strong buying support: as the U.S. dollar and Japanese yen moved downfrom an intra month high of 119.45 to close at 115.75. Financial markets weresomewhat range bound at the end of the quarter with foreign exchange markets inparticular enjoying a period of relative calm.

April1, 2006 to June 30, 2006

TheFund posted an overall loss with the metal and the energy sectors posting gainswhile the currency, interest rate, agricultural commodities and stock indicessectors posted losses.

Themetals sector was the most profitable for the Fund. Large gains were posted inboth the base and precious metal markets. As prices surged higher, there weresome predictable bouts of profit taking, but the overall upward trend stillremained strong. During mid-quarter there was an equity market sell-off and acontinuing surge in base metal markets. Having reached local highs mid-quarter,global equity markets tumbled sharply. The prevailing mood in the marketsturned negative during several trading sessions. This was led by the suddenpull back in base metals, with copper generating much of the momentum. Havingrallied 23% in eight trading sessions, bouts of profit taking led to growingconcern of price exuberance and copper proceeded to decline by around 12% in aweek. This volatility unnerved many investors and fed through into the othermetal markets. This coincided with a growing concern that the Federal Reservewould continue to raise short term rates, as inflationary fears mounted. As aresult the equity positions suffered across all geographical sectors, whereinthe long metals positions posted strong gains despite the price volatility.Precious metals were similarly active, with the gold contract for June deliveryrallying 10% in the opening eight trading sessions, before declining below June’sopen level and finally finishing flat. The recent increase in volatility inglobal financial markets led to risk reduction in portfolios across the boardwhich brought a subsequent decline in market activity at quarter’s end.

Theenergy sector posted profits for the Fund. The quarter began with strong performance in the energy markets as crudeoil traded consistently above $70.00 and even briefly breached the $75.00level. Mid-quarter financial markets endured a period of high volatility acrossall asset classes. Energies produced modest gains at quarter’s end as futuresfinished mostly higher on concern that peak gasoline demand during the holidayperiod will strain fuel supplies.

Thecurrency sector was not profitable for the Fund. Currency positions postedsmall losses at the beginning of the quarter due to low volatility and rangebound trading. The long awaited breaching of the 116 level in the U.S.dollar/Japanese yen led to some volatile price action as the Japanese yen beganto strengthen, heading towards a 113 handle as speculators and domesticend-users repositioned themselves accordingly. There was a sharp sell-off seenin several emerging market currencies mid-quarter. Decline

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inmarket activity at the end of the quarter was due to recent increase involatility in global financial markets which led to risk reduction inportfolios across the board.

Theinterest rate sector posted losses for the Fund.   Gains were recorded in the fixed incomemarkets, as they continued to sell off at the beginning of the quarter. Thiswas driven by the continued strength of the U.S. economy. A succession of solideconomic data releases underpinned this price action. However, there was achange of tone with Federal Reserve Chairman Bernanke’s testimony to Congressleading to a strong bounce in the U.S. Treasury market, as his comments on theturning point of the rate cycle were taken to be more calm than expected.  Short end U.S. interest rates were pushedhigher mid-quarter as traders became more hawkish.  However, in Europe there was more stabilityin rates as the front end of the yield curve held firm. Bond markets rallied asinvestors’ “flight to quality” took hold; although this was then counteractedby growing inflationary fears leading to a stalemate at the longer end of thecurve. The recent increase in volatility in global financial markets led torisk reduction in portfolios across the board which brought a subsequentdecline in market activity at quarter’s end. Returns for the month were largelydriven by the FOMC decision, which delivered the anticipated 25 basis pointincrease in rates along with comments suggesting economic growth in the U.S.has been slowing.

Theagricultural sector posted losses for the Fund. The agricultural market wassoft which attributed to the difficult trading environment resulting in theFund posting losses for the sector.

Thestock indices sector was the least profitable for the Fund. At the beginning ofthe quarter the sector posted profits for the Fund as the Far East indices werepushed higher driven by the inflow of new domestic investment linked with thebeginning of the financial year. Having reached local highs mid-quarter, globalequity markets tumbled sharply. The S&P and the DJ Eurostoxx futures postedmonth on month declines of 3.3% and 4.1%, respectively. The quarter ended withstocks rallying due to the Federal Reserve comments, than an end of therate-hike cycle environment would lift the damper on growth.

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 predicthow a particular future market scenario will affect performance, and the Fund’spast performance is not necessarily indicative of its future results.

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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 beyondthe indicated Value at Risk or the Fund’s experience to date (i.e., “risk ofruin”). In light of the foregoing, as well as the risks and uncertaintiesintrinsic to all future projections, the quantifications included in thissection should not be considered to constitute any assurance or representationthat the Fund’s losses in any market sector will be limited to Value at Risk orby the Fund’s attempts to manage its market risk.

Quantifying The Fund’s Trading Value At Risk

Quantitative Forward-Looking Statements

The following quantitative disclosures regarding theFund’s market risk exposures contain “forward-looking statement” within themeaning of the safe harbor form 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 Exchange Act of1934).  All quantitative disclosures inthis section are deemed to be forward-looking statements for purposes of thesafe harbor, except for statements of historical fact.

The Fund’s risk exposure in the various market sectorstraded by APM 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.  The maintenancemargin levels are established by dealers and exchanges using historical pricestudies as well as an assessment of current market volatility (including theimplied 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.

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***The Fund’s Trading Value at Riskin 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 six months ended June 30, 2007, theFund’s average Month-end Net Asset Value for all other purposes wasapproximately $398,643,270.  For the sixmonths ended June 30, 2006, the Fund’s average Month-end Net Asset Value forall other purposes was approximately $161,963,688.

**June 30, 2007**
| ** **             | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|------------------------|------------|-----------------------------|------------|----------------------------|------------|------------------------|------------|-----------------------|------------|
| **Market Sector** | ** ** | **Value at Risk** | ** ** | **Capitalization**         | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                   |       |                        |       |                       |       |                   |       |                  |       |
| Agriculture            |       | $                           | 324,168    |                       | 0.08       | %                      | $          | 765,859               |       | $ | 33,930 |   |
| Currencies             |       | 1,559,508                   |       | 0.39                       | %          | 2,641,921              |       | 293,028               |       |
| Energy                 |       | 184,402                     |       | 0.05                       | %          | 431,703                |       | 57,256                |       |
| Interest Rates         |       | 36,784,349                  |       | 9.23                       | %          | 58,968,343             |       | 19,875,531            |       |
| Metals                 |       | 443,167                     |       | 0.11                       | %          | 700,634                |       | 265,629               |       |
| Stock Indices          |       | 2,842,687                   |       | 0.71                       | %          | 4,289,811              |       | 1,339,072             |       |
|                   |       |                        |       |                       |       |                   |       |                  |       |
|  TOTAL            |       | $                           | 42,138,281 |                       | 10.57      | %                      | $          | 67,798,271            |       | $ | 21,864,446 |   |

 

**June 30, 2006**
| ** **        | ** ** | **Average  Value at Risk** | ** ** | **% of Average  Capitalization** | ** ** | **Highest Value  At Risk** | ** ** | **Lowest Value  At Risk** | ** ** |
|-------------------|------------|----------------------------|------------|----------------------------------|------------|----------------------------|------------|---------------------------|------------|
| **Market Sector** | ** ** | ** **                 |
|              |       |                       |       |                             |       |                       |       |                      |       |
| Agriculture       |       | $                          | 52,854     |                             | 0.03       | %                          | $          | 101,508                   |       | $ | 2,118 |   |
| Currencies        |       | 213,065                    |       | 0.13                             | %          | 483,242                    |       | 32,679                    |       |
| Energy            |       | 107,429                    |       | 0.07                             | %          | 323,197                    |       | 9,055                     |       |
| Interest Rates    |       | 17,182,019                 |       | 10.61                            | %          | 20,788,129                 |       | 15,812,961                |       |
| Metals            |       | 183,221                    |       | 0.11                             | %          | 504,247                    |       | 64,439                    |       |
| Stock Indices     |       | 648,735                    |       | 0.40                             | %          | 1,223,569                  |       | 186,815                   |       |
|              |       |                       |       |                             |       |                       |       |                      |       |
|  TOTAL       |       | $                          | 18,387,323 |                             | 11.35      | %                          | $          | 23,423,892                |       | $ | 16,108,067 |   |

 

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.”

15

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**Non-TradingRisk**

ForeignCurrency Balances; Cash on Deposit with MLPF&S

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

TheFund also has non-trading market risk on the approximately 90%-95% of itsassetswhich 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.

Item 4. Controls and Procedures

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

16

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PART II - OTHERINFORMATION

Item 1.            Legal Proceedings

On July 31, 2007, the CFTC issued an orderagainst MLAI and an advisory affiliate, to which MLAI and the affiliateconsented, containing findings, which MLAI and the affiliate neither admittednor denied, that MLAI and the affiliate filed with the NFA a number of annualreports for commodity pools for which they acted as commodity pool operatorsafter the deadline established by the CFTC’s regulations, in violation of CFTCRegulation 4.22(c). MLAI and the affiliate were ordered to cease and desistfrom violating Regulation 4.22(c) and to pay a civil penalty in the amount of$500,000.

Item 2             Unregistered Salesof Equity Securities and 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.

2007

CLASS A
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV(1)** | ** ** |
| Jan-07     |       |             | $          | 2,290,381  |       | 1,895,383  |       | $ | 1.2084 |   |
| Feb-07     |       |             | 2,224,923  |       | 1,768,057  |       | 1.2584     |   |
| Mar-07     |       |             | 2,349,709  |       | 1,991,279  |       | 1.1800     |   |
| Apr-07     |       |             | 1,638,261  |       | 1,452,488  |       | 1.1279     |   |
| May-07     |       |             | 2,055,498  |       | 1,723,833  |       | 1.1924     |   |
| Jun-07     |       |             | 1,270,405  |       | 1,017,300  |       | 1.2488     |   |
| Jul-07     |       |             | 1,093,073  |       | 862,181    |       | 1.2678     |   |
|            |            |                  |            |            |            |            |            |  |  |  |  |  |  |  |  |  |

 

CLASS C
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV(1)** | ** ** |
| Jan-07     |       |             | $          | 8,061,043  |       | 6,794,541  |       | $ | 1.1864 |   |
| Feb-07     |       |             | 8,365,835  |       | 6,776,699  |       | 1.2345     |   |
| Mar-07     |       |             | 13,329,764 |       | 11,522,963 |       | 1.1568     |   |
| Apr-07     |       |             | 15,044,810 |       | 13,617,678 |       | 1.1047     |   |
| May-07     |       |             | 9,279,296  |       | 7,951,410  |       | 1.1670     |   |
| Jun-07     |       |             | 12,668,936 |       | 10,374,170 |       | 1.2212     |   |
| Jul-07     |       |             | 8,313,131  |       | 6,711,174  |       | 1.2387     |   |
|            |            |                  |            |            |            |            |            |  |  |  |

 

CLASS D
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV(1)** | ** ** |
| Jan-07     |       |             | $          | 9,405,997  |       | 8,205,528  |       | $ | 1.1463 |   |
| Feb-07     |       |             | 6,637,998  |       | 5,553,880  |       | 1.1952     |   |
| Mar-07     |       |             | 468,998    |       | 418,151    |       | 1.1216     |   |
| Apr-07     |       |             | 3,620,000  |       | 3,372,775  |       | 1.0733     |   |
| May-07     |       |             | 1,999,999  |       | 1,760,253  |       | 1.1362     |   |
| Jun-07     |       |             | 18,782,995 |       | 15,765,482 |       | 1.1914     |   |
| Jul-07     |       |             | 2,999,998  |       | 2,477,290  |       | 1.2110     |   |
|            |            |                  |            |            |            |            |            |  |  |  |

 

CLASS I
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV(1)** | ** ** |
| Jan-07     |       |             | $          | 2,703,690  |       | 2,238,339  |       | $ | 1.2079 |   |
| Feb-07     |       |             | 1,687,619  |       | 1,341,190  |       | 1.2583     |   |
| Mar-07     |       |             | 1,375,065  |       | 1,164,816  |       | 1.1805     |   |
| Apr-07     |       |             | 2,385,203  |       | 2,113,230  |       | 1.1287     |   |
| May-07     |       |             | 717,845    |       | 601,361    |       | 1.1937     |   |
| Jun-07     |       |             | 831,447    |       | 664,892    |       | 1.2505     |   |
| Jul-07     |       |             | 1,427,994  |       | 1,124,493  |       | 1.2699     |   |
|            |            |                  |            |            |            |            |            |  |  |  |

 

CLASS SM-D
| ** ** | ** ** | **Subcription** | ** ** | ** ** | ** ** | ** ** | ** ** |
|------------|------------|-----------------|------------|------------|------------|------------|------------|
| ** ** | ** ** | **Amount**      | ** ** | **Units**  | ** ** | **NAV(1)** | ** ** |
| Apr-07     |       |            | $          | 12,000,000 |       | 11,180,471 |       | $ | 1.0733 |   |
| May-07     |       |            | —     |       | —     |       | 1.1914     |   |
| Jun-07     |       |            | —     |       | —     |       | 1.2109     |   |
| Jul-07     |       |            | 1,127,404  |       | 931,046    |       | 1.2109     |   |
|            |            |                 |            |            |            |            |            |  |  |  |

 

CLASS TF-D
| ** ** | ** ** | **Subcription** | ** **  | ** ** | ** ** | ** ** | ** ** |
|------------|------------|-----------------|-------------|------------|------------|------------|------------|
| ** ** | ** ** | **Amount**      | ** **  | **Units**  | ** ** | **NAV(1)** | ** ** |
| Apr-07     |       |            | $           | —     |       | —     |       | $ | — |   |
| May-07     |       |            | —      |       | —     |       | —     |   |
| Jun-07     |       |            | 116,913,460 |       | 98,131,157 |       | 1.1914     |   |
| Jul-07     |       |            | —      |       | —     |       | 1.2123     |   |
|            |            |                 |             |            |            |            |            |  |  |  |

 

 

----

(1) Net AssetValue for all other purposes.

17

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(b)   None.

(c)   None.

Item 3.            Defaults Upon Senior Securities

       None.

Item 4.            Submission of Matters to a Vote of SecurityHolders

       None.

Item 5.            Other Information

       None.

Item 6.            Exhibits

The following exhibitsare incorporated by reference or are filed herewith to this Quarterly Report onForm 10-Q:

31.01 and 31.02             Rule13a-14(a)/15d-14(a) Certifications

Exhibit 31.01 and 31.02:               Are filed herewith.

32.01 and 32.02             Section 1350Certifications

Exhibit 32.01 and 32.02                Are filedherewith.

18

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**SIGNATURES**

Pursuant to the requirements of the Securities ExchangeAct of 1934, the registrant has duly caused this report to be signed on itsbehalf by the undersigned thereunto duly authorized.
|                        |   | ML WINTON FUTURESACCESS LLC                                                                                                          |
|------------------------|--------|--------------------------------------------------------------------------------------------------------------------------------------|
|                   |   |                                                                                                                                 |
|                   |   |                                                                                                                                 |
|                   |   | By: MERRILL  LYNCH ALTERNATIVE                                                                                                       |
|                   |   |                 INVESTMENTS  LLC                     |
|                   |   |                    (General  Partner) |
|                   |   |                                                                                                                                 |
|                   |   |                                                                                                                                 |
| Date: August 14,  2007 |   | By                                                                                                                                   | /s/ ROBERT D. OLLWERTHER |   |
|                   |   |                                                                                                                                 | Robert D.  Ollwerther |
|                   |   |                                                                                                                                 | Chief Executive  Officer and President |
|                   |   |                                                                                                                                 | (Principal Executive Officer) |
|                   |   |                                                                                                                                 |
|                   |   |                                                                                                                                 |
| Date: August 14,  2007 |   |                                                                                                                                 |
|                   |   | By                                                                                                                                   | /s/ BARBRA E.  KOCSIS |   |
|                   |   |                                                                                                                                 | Barbra E. Kocsis |
|                   |   |                                                                                                                                 | Chief Financial  Officer |
|                   |   |                                                                                                                                 | (Principal  Financial and Accounting Officer) |
|                        |        |                                                                                                                                      |  |  |  |

 

19

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