**UNITED STATES SECURITIES ANDEXCHANGE COMMISSION**

**Washington,D.C. 20549**

**FORM 10-Q**

**(Mark One)**

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

**Forthe quarterly period ended September 30, 2007**

**OR**

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

**Forthe transition period from**                to                 

**CommissionFile Number 0-51084**

**ML WINTON FUTURESACCESS LLC**

(Exact Name of Registrantasspecified in its charter)

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

 

**c/o Merrill Lynch Alternative Investments LLCHopewell Building No. 21200 Merrill Lynch Drive - First FloorPennington, New Jersey 08534**

(Address of principal executive offices)(Zip Code)

**609-274-5838**

(Registrant’s telephonenumber, including area code)

Indicate by check mark whether the registrant (1) hasfiled all reports required to be filed by Section 13 or 15(d) of the SecuritiesExchange Act of 1934 during the preceding 12 months (or for such shorter periodthat the registrant was required to file such reports), and (2) has beensubject to such filing requirements for the past 90 days. Yes x  Noo

Indicate by check mark whether the registrant is alarge accelerated filer, an accelerated filer, or a non-accelerated filer. Seedefinition of “accelerated filer and large accelerated filer” in Rule 12b-2 ofthe Exchange Act. (Check one):

| Large accelerated filer o | Accelerated  filer o | Non-accelerated filer x |
|--------------------------------|---------------------------|------------------------------|

 

Indicate by check mark whether registrant is a shellcompany (as defined by 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 SEPTEMBER 30, 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                                 |       | 15       |
|     |       |                                                                                        |       |     |
| Item 4.  |       | Controls and Procedures                                                                     |       | 18       |
|     |       |                                                                                        |
| PART  II |       |                                                                                        |
|     |       |                                                                                        |       |     |
| Item 1.  |       | Legal Proceedings                                                                           |       | 18       |
|     |       |                                                                                        |       |     |
| Item 2.  |       | Unregistered  Sales of Equity Securities and Use of Proceeds                                |       | 18       |
|     |       |                                                                                        |       |     |
| Item 3.  |       | Defaults Upon Senior  Securities                                                            |       | 19       |
|     |       |                                                                                        |       |     |
| Item 4.  |       | Submission of  Matters to a Vote of Security Holders                                        |       | 19       |
|     |       |                                                                                        |       |     |
| Item 5.  |       | Other Information                                                                           |       | 19       |
|     |       |                                                                                        |       |     |
| Item  6. |       | Exhibits                                                                                    |       | 20       |

 

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PART I - FINANCIAL INFORMATION

Item 1. Financial Statements

ML WINTONFUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OF FINANCIALCONDITION
| ** **                                                                         | ** ** | **September 30,** | ** **  | **December 31,** | ** ** |
|------------------------------------------------------------------------------------|------------|------------------------|-------------|-----------------------|------------|
| ** **                                                                         | ** ** | **2007  (unaudited)**  | ** **  | **2006**              | ** ** |
|                                                                               |       |                   |        |                  |       |
| **ASSETS:**                                                                        |       |                   |        |                  |       |
| Equity in commodity  futures trading accounts:                                     |       |                   |        |                  |       |
| Cash (including  restricted cash of $47,323,253 for 2007 and $97,706,658 for 2006) |       | $                 | 575,109,175 |                  | $     | 320,681,230 |   |
| Net unrealized  profit on open contracts                                           |       | 43,155,546             |        | 11,425,353            |       |
| Cash                                                                               |       | 15,876                 |        | 70,297                |       |
| Accrued interest                                                                   |       | 2,414,719              |        | 1,354,727             |       |
|                                                                               |       |                   |        |                  |       |
| **TOTAL  ASSETS**                                                                  |       | $                      | 620,695,316 |                  | $          | 333,531,607 |   |
|                                                                               |       |                   |        |                  |       |
| **LIABILITIES AND MEMBERS’  CAPITAL:**                                        |       |                   |        |                  |       |
| LIABILITIES:                                                                       |       |                   |        |                  |       |
| Brokerage  commissions payable                                                     |       | $                      | 171,134     |                  | $          | 173,655 |   |
| Management fee  payable                                                            |       | 988,772                |        | 548,086               |       |
| Sponsor’s fee  payable                                                        |       | 716,266                |        | 511,423               |       |
| Performance fee  payable                                                           |       | 8,573,077              |        | 5,417,903             |       |
| Redemptions  payable                                                               |       | 14,260,589             |        | 3,409,083             |       |
| Initial offering  costs payable                                                    |       | 118,992                |        | 152,506               |       |
| Other                                                                              |       | 42,834                 |        | 268,807               |       |
|                                                                               |       |                   |        |                  |       |
| Total  liabilities                                                                 |       | 24,871,664             |        | 10,481,463            |       |
|                                                                               |       |                   |        |                  |       |
| MEMBERS’ CAPITAL:                                                             |       |                   |        |                  |       |
| Sponsor’s Interest  (19,470 Units)                                            |       | 25,319                 |        | 23,313                |       |
| Members’ Interest  (464,451,774 Units and 272,578,635 Units)                  |       | 595,798,333            |        | 323,026,831           |       |
|                                                                               |       |                   |        |                  |       |
| Total members’  capital                                                       |       | 595,823,652            |        | 323,050,144           |       |
|                                                                               |       |                   |        |                  |       |
| **TOTAL LIABILITIES AND MEMBERS’  CAPITAL**                                   |       | $                      | 620,695,316 |                  | $          | 333,531,607 |   |

 

**NETASSET VALUE PER UNIT (Note 2)**

(Based on464,471,244 and 272,598,105 Units outstanding, unlimited Units authorized)

See notes tofinancial statements.

2

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WINTON FUTURESACCESS LLC(a Delaware Limited Liability Company)

STATEMENTS OF INCOME(unaudited)
| ** **                                     | ** ** | **For the three** | ** ** | **For the three** | ** ** | **For the nine** | ** ** | **For the nine** | ** ** |
|------------------------------------------------|------------|-----------------------------|------------|-----------------------------|------------|----------------------------|------------|----------------------------|------------|
| ** **                                     | ** ** | **months ended**       | ** ** | **months ended**       | ** ** | **months ended**      | ** ** | **months ended**      | ** ** |
| ** **                                     | ** ** | **September**               | ** ** | **September 30,**      | ** ** | **September 30,**     | ** ** | **September 30,**     | ** ** |
| ** **                                     | ** ** | **2007**                    | ** ** | **2006**                    | ** ** | **2007**                   | ** ** | **2006**                   | ** ** |
| **TRADING PROFIT (LOSS):**                     |       |                        | ** ** |                        |       |                       |       |                       |       |
|                                           |       |                        |       |                        |       |                       |       |                       |       |
| Realized                                       |       | $                           | (6,455,238 | )                           | $          | (1,028,303                 | )          | $                          | 21,702,975 |   | $ | 2,752,728 |   |
| Change in  unrealized                          |       | 31,995,468                  |       | 7,300,858                   |       | 31,730,193                 |       | 8,762,976                  |       |
| Brokerage  commissions                         |       | (429,814                    | )          | (410,695                    | )          | (1,559,528                 | )          | (1,084,004                 | )          |
|                                           |       |                        |       |                        |       |                       |       |                       |       |
| Total trading  profit                          |       | 25,110,416                  |       | 5,861,860                   |       | 51,873,640                 |       | 10,431,700                 |       |
|                                           |       |                        | ** ** |                        |       |                       |       |                       |       |
| **INVESTMENT INCOME:**                         |       |                        |       |                        |       |                       |       |                       |       |
| Interest                                       |       | 7,447,099                   |       | 3,188,961                   |       | 17,682,157                 |       | 6,884,620                  |       |
|                                           |       |                        |       |                        |       |                       |       |                       |       |
| **EXPENSES:**                                  |       |                        | ** ** |                        |       |                       |       |                       |       |
| Management fee                                 |       | 2,842,149                   |       | 1,297,959                   |       | 6,970,048                  | ** ** | 3,021,550                  |       |
| Sponsor’s fee                             |       | 2,058,722                   |       | 1,199,069                   |       | 5,580,457                  |       | 2,816,767                  |       |
| Performance fee                                |       | 4,232,525                   |       | 842,821                     |       | 8,573,077                  |       | 1,883,843                  |       |
| Other                                          |       | 258,221                     |       | 327,199                     |       | 704,702                    |       | 671,441                    |       |
|                                           |       |                        |       |                        |       |                       |       |                       |       |
| Total expenses                                 |       | 9,391,617                   |       | 3,667,048                   |       | 21,828,284                 |       | 8,393,601                  |       |
|                                           |       |                        |       |                        |       |                       |       |                       |       |
|                                           |       |                        | ** ** |                        |       |                       |       |                       |       |
| **NET INVESTMENT LOSS**                        |       | (1,944,518                  | )          | (478,087                    | )          | (4,146,127                 | )          | (1,508,981                 | )          |
|                                           |       |                        |       |                        |       |                       |       |                       |       |
| **NET INCOME**                                 |       | $                           | 23,165,898 |                        | $          | 5,383,773                  |       | $                          | 47,727,513 |   | $ | 8,922,719 |   |
| ** **                                     |       |                        |       |                        |       |                       |       |                       |       |
| **NET INCOME PER UNIT:**                       |       |                        |       |                        |       |                       |       |                       |       |
| Weighted average number  of Units outstanding: |       |                        |       |                        |       |                       |       |                       |       |
| Class A                                        |       | 39,498,578                  |       | 28,150,737                  |       | 37,960,460                 |       | 22,802,881                 |       |
| Class C                                        |       | 222,707,215                 |       | 140,187,239                 |       | 206,011,691                |       | 108,820,930                |       |
| Class D                                        |       | 75,712,622                  |       | 34,282,064                  |       | 63,057,580                 |       | 23,518,456                 |       |
| Class I                                        |       | 40,473,108                  |       | 26,949,391                  |       | 37,569,609                 |       | 23,897,030                 |       |
| Class SM-D*                                    |       | 11,411,813                  |       |                        |       | 11,199,811                 |       |                       |       |
| Class TF-D**                                   |       | 89,699,838                  |       |                        |       | 91,807,668                 |       |                       |       |
|                                           |       |                        |       |                        |       |                       |       |                       |       |
| Net income per  weighted average Unit:         |       |                        |       |                        |       |                       |       |                       |       |
| Class A                                        |       | $                           | 0.0505     |                        | $          | 0.0251                     |       | $                          | 0.1149     |   | $ | 0.0642 |   |
| Class C                                        |       | $                           | 0.0457     |                        | $          | 0.0215                     |       | $                          | 0.1081     |   | $ | 0.0494 |   |
| Class D                                        |       | $                           | 0.0536     |                        | $          | 0.0281                     |       | $                          | 0.1280     |   | $ | 0.0152 |   |
| Class I                                        |       | $                           | 0.0524     |                        | $          | 0.0258                     |       | $                          | 0.1230     |   | $ | 0.0724 |   |
| Class SM-D*                                    |       | $                           | 0.0489     |                        |       |                       | $          | 0.1854                     |       |   |   |
| Class TF-D**                                   |       | $                           | 0.0476     |                        |       |                       | $          | 0.0689                     |       |   |   |

 

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* Units issued onApril 1, 2007.

** Units issued onJune 1, 2007

 

See notes tofinancial statements.

 

3

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ML WINTON FUTURESACCESS LLC(a Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITALFor the nine months ended September 30, 2006 and 2007 (unaudited)
| ** **                 | ** ** | **Members’ Capital  December 31, 2005** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital  September 30, 2006** | ** ** | **Members’ Capital  December 31, 2006** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital  September 30, 2007** | ** ** |
|----------------------------|------------|-------------------------------------------------------------|------------|-------------------|------------|-----------------|------------|--------------------------------------------------------------|------------|-------------------------------------------------------------|------------|-------------------|------------|-----------------|------------|--------------------------------------------------------------|------------|
| Class A                    |       | 15,522,119                                                  |       | 16,002,668        |       | (2,002,843      | )          | 29,521,944                                                   |       | 32,046,486                                                  |       | 12,245,733        |       | (4,569,690      | )          | 39,722,529                                                   |       |
| Class C                    |       | 62,583,887                                                  |       | 92,286,155        |       | (7,869,594      | )          | 147,000,448                                                  |       | 170,519,442                                                 |       | 74,331,088        |       | (25,820,679     | )          | 219,029,851                                                  |       |
| Class D                    |       | 9,764,594                                                   |       | 24,559,770        |       | —          |       | 34,324,364                                                   |       | 39,225,345                                                  |       | 40,147,918        |       | (3,857,944      | )          | 75,515,319                                                   |       |
| Class I                    |       | 17,936,086                                                  |       | 11,702,871        |       | (2,077,606      | )          | 27,561,351                                                   |       | 30,787,362                                                  |       | 11,428,229        |       | (3,366,320      | )          | 38,849,271                                                   |       |
| Class SM-D*                |       | —                                                      |       | —            |       | —          |       | —                                                       |       | —                                                      |       | 12,111,517        |       | (1,094,970      | )          | 11,016,547                                                   |       |
| Class TF-D**               |       | —                                                      |       | —            |       | —          |       | —                                                       |       | —                                                      |       | 98,131,157        |       | (17,812,900     | )          | 80,318,257                                                   |       |
|                       |       |                                                        |       |              |       |            |       |                                                         |       |                                                        |       |              |       |            |       |                                                         |       |
| Total Members’ Units  |       | 105,806,686                                                 |       | 144,551,464       |       | (11,950,043     | )          | 238,408,107                                                  |       | 272,578,635                                                 |       | 248,395,642       |       | (56,522,503     | )          | 464,451,774                                                  |       |
|                       |       |                                                        |       |              |       |            |       |                                                         |       |                                                        |       |              |       |            |       |                                                         |       |
| 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                                                       |       |

 

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* Units issued onApril 1, 2007.

** Units issued onJune 1, 2007.

 

See notes tofinancial statements.

4

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ML WINTON FUTURESACCESS LLC(a Delaware Limited Liability Company)

STATEMENTS OFCHANGES IN MEMBERS’ CAPITALFor the nine months ended September 30, 2006 and 2007 (continued)(unaudited)

 
| ** **                    | ** ** | **Members’ Capital  December 31, 2005** | ** **  | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net Income** | ** **  | **Members’ Capital  September 30, 2006** | ** ** | **Members’ Capital  December 31, 2006** | ** ** | **Subscriptions** | ** **  | **Redemptions** | ** ** | **Net Income** | ** ** | **Members’ Capital  September 30, 2007** | ** **  |
|-------------------------------|------------|-------------------------------------------------------------|-------------|-------------------|------------|-----------------|------------|---------------------|-------------|--------------------------------------------------------------|------------|-------------------------------------------------------------|------------|-------------------|-------------|-----------------|------------|---------------------|------------|--------------------------------------------------------------|-------------|
| Class A                       |       | $                                                           | 16,602,088  |              | $          | 17,928,641      |       | $                   | (2,282,397  | )                                                            | $          | 1,463,149                                                   |       | $                 | 33,711,481  |            | $          | 38,699,738          |       | $                                                            | 14,833,148  |   | $ | (5,593,008 | ) | $ | 4,360,290 |   | $ | 52,300,168 |   |
| Class C                       |       | 66,470,039                                                  |        | 102,257,045       |       | (8,740,901      | )          | 5,370,608           |        | 165,356,791                                                  |       | 202,215,652                                                 |       | 87,937,514        |        | (31,326,244     | )          | 22,274,826          |       | 281,101,748                                                  |        |
| Class D                       |       | 9,797,722                                                   |        | 26,928,777        |       | —          |       | 358,553             |        | 37,085,052                                                   |       | 44,952,646                                                  |       | 47,008,983        |        | (4,667,336      | )          | 8,068,323           |       | 95,362,616                                                   |        |
| Class I                       |       | 19,077,399                                                  |        | 12,957,727        |       | (2,336,935      | )          | 1,729,119           |        | 31,427,310                                                   |       | 37,158,795                                                  |       | 13,857,688        |        | (4,355,405      | )          | 4,622,448           |       | 51,283,526                                                   |        |
| Class SM-D*                   |       | —                                                      |        | —            |       | —          |       | —              |        | —                                                       |       | —                                                      |       | 13,127,403        |        | (1,291,973      | )          | 2,076,887           |       | 13,912,317                                                   |        |
| Class TF-D**                  |       | —                                                      |        | —            |       | —          |       | —              |        | —                                                       |       | —                                                      |       | 116,913,460       |        | (21,398,235     | )          | 6,322,733           |       | 101,837,958                                                  |        |
|                          |       |                                                        |        |              |       |            |       |                |        |                                                         |       |                                                        |       |              |        |            |       |                |       |                                                         |        |
| Total Members’ Interest  |       | $                                                           | 111,947,248 |              | $          | 160,072,190     |       | $                   | (13,360,233 | )                                                            | $          | 8,921,429                                                   |       | $                 | 267,580,634 |            | $          | 323,026,831         |       | $                                                            | 293,678,196 |   | $ | (68,632,201 | ) | $ | 47,725,507 |   | $ | 595,798,333 |   |
|                          |       |                                                        |        |              |       |            |       |                |        |                                                         |       |                                                        |       |              |        |            |       |                |       |                                                         |        |
| Class A                       |       | $                                                           | 10,410      |              | $          | —          |       | $                   | —      |                                                         | $          | 691                                                         |       | $                 | 11,101      |            | $          | 11,737              |       | $                                                            | —      |   | $ | — |   | $ | 1,057 |   | $ | 12,794 |   |
| Class C                       |       | 10,384                                                      |        | —            |       | —          |       | 599                 |        | 10,983                                                       |       | 11,576                                                      |       | —            |        | —          |       | 949                 |       | 12,525                                                       |        |
| Class D                       |       | —                                                      |        | —            |       | —          |       | —              |        | —                                                       |       | —                                                      |       | —            |        | —          |       | —              |       | —                                                       |        |
| Class I                       |       | —                                                      |        | —            |       | —          |       | —              |        | —                                                       |       | —                                                      |       | —            |        | —          |       | —              |       | —                                                       |        |
| Class SM-D*                   |       | —                                                      |        | —            |       | —          |       | —              |        | —                                                       |       | —                                                      |       | —            |        | —          |       | —              |       | —                                                       |        |
| Class TF-D**                  |       | —                                                      |        | —            |       | —          |       | —              |        | —                                                       |       | —                                                      |       | —            |        | —          |       | —              |       | —                                                       |        |
|                          |       |                                                        |        |              |       |            |       |                |        |                                                         |       |                                                        |       |              |        |            |       |                |       |                                                         |        |
| Total Sponsor’s Interest |       | $                                                           | 20,794      |              | $          | —          |       | $                   | —      |                                                         | $          | 1,290                                                       |       | $                 | 22,084      |            | $          | 23,313              |       | $                                                            | —      |   | $ | — |   | $ | 2,006 |   | $ | 25,319 |   |
|                          |       |                                                        |        |              |       |            |       |                |        |                                                         |       |                                                        |       |              |        |            |       |                |       |                                                         |        |
| Total Members’ Capital   |       | $                                                           | 111,968,042 |              | $          | 160,072,190     |       | $                   | (13,360,233 | )                                                            | $          | 8,922,719                                                   |       | $                 | 267,602,718 |            | $          | 323,050,144         |       | $                                                            | 293,678,196 |   | $ | (68,632,201 | ) | $ | 47,727,513 |   | $ | 595,823,652 |   |

 

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* Units issued onApril 1, 2007.

** Units issued onJune 1, 2007.

 

See notes tofinancial statements.

5

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ML WINTON FUTURESACCESS LLC(a Delaware Limited Liability Company)

NOTES TO FINANCIALSTATEMENTS(unaudited)

1.      SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

In the opinion of management, the financial statementscontain all adjustments necessary to present fairly the financial position ofML Winton FuturesAccess LLC (the “Fund”) as of September 30, 2007, and theresults of its operations for the three and nine months ended September 30,2007 and 2006.  However, the operatingresults for the interim periods may not be indicative of the results for thefull year.

Certain information and footnote disclosures normally included inannual financial statements prepared in accordance with accounting principlesgenerally accepted in the United States of America (“US GAAP”) have beenomitted.  It is suggested that thesefinancial statements be read in conjunction with the financial statements andnotes thereto 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 is allocatedannual management fees of 2.00 % of the Class’ average month-end net assets.The Class is allocated performance fees at 20% of any New Trading Profit, asdefined.  Class TF-D is allocated annualmanagement fees of 1.50 % of the Class’ average month-end net assets. The Classis allocated 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.               NET ASSET VALUE PERUNIT

For financial reporting purposes, in conformity with US GAAP, the Funddeducted the total initial offering costs at inception from Members’ Capitalfor purposes of determining Net Asset Value. For all other purposes, including computing Net Asset Value for purposesof member subscription and redemption activity, such costs are amortized over60 months. Consequently, the Net Asset Value and Net Asset Value per Unit ofthe different Classes for financial reporting purposes and for all otherpurposes are as follows:

6

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At September 30, 2007 theNet Asset Values of the different 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    |       | $                            | 52,333,327  |                         | $          | 52,312,962 |   | 39,732,242 |   | $ | 1.3172 |   | $ | 1.3166 |   |
| Class C    |       | 281,182,710                  |        | 281,114,273                  |       | 219,039,608 |   | 1.2837 |   | 1.2834 |   |
| Class D    |       | 95,367,574                   |        | 95,362,616                   |       | 75,515,319 |   | 1.2629 |   | 1.2628 |   |
| Class I    |       | 51,308,757                   |        | 51,283,526                   |       | 38,849,271 |   | 1.3207 |   | 1.3201 |   |
| Class SM-D |       | 13,912,317                   |        | 13,912,317                   |       | 11,016,547 |   | 1.2629 |   | 1.2629 |   |
| Class TF-D |       | 101,837,958                  |        | 101,837,958                  |       | 80,318,257 |   | 1.2679 |   | 1.2679 |   |
|       |       | $                            | 595,942,643 |                         | $          | 595,823,652 |   | 464,471,244 |   |   |   |   |   |
|            |            |                              |             |                              |            |  |  |  |  |  |  |  |  |  |  |

 

At December 31, 2006 theNet Asset Values of the different 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.      MARKET AND CREDIT RISK

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

Market Risk

Derivative instrumentsinvolve varying degrees of market risk. Changes in the level or volatility of interest rates, foreign currencyexchange rates or the market values of the financial instruments or commoditiesunderlying such derivative instruments frequently result in changes in the Fund’sNet unrealized profit on such derivative instruments as reflected in theStatements of Financial Condition.  TheFund’s exposure to market risk is influenced by a number of factors, includingthe relationships among the derivative instruments held by the Fund as well asthe volatility and liquidity of the markets in which the derivative instrumentsare traded. Investments in foreign markets may also entail legal and politicalrisks.

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 clearinghousearrangements in which the collective credit (in some cases limited in amount,in some cases not) of the members of the exchange is pledged to support thefinancial integrity of the exchange.  Inover-the-counter transactions, on the other hand, traders must rely solely onthe credit of their respective individual counterparties.  Margins, which may be subject to loss in theevent of a default, are generally required in exchange trading, andcounterparties may also require margin in the over-the-counter markets.  The credit risk associated with theseinstruments from counterparty nonperformance is the Net unrealized profit, ifany, included in the Statements of Financial Condition. The Fund attempts tomitigate this risk by dealing exclusively with Merrill Lynch & Co. Inc., (“MerrillLynch”) entities as clearing brokers.

The Fund, in its normal course of business, entersinto various contracts, with Merrill Lynch Pierce Fenner & Smith Inc. (“MLPF&S”)acting as its commodity broker.  Pursuantto the brokerage arrangement with MLPF&S (which includes a nettingarrangement), to the extent that such trading results in receivables from andpayables to MLPF&S, these receivables and payables are offset and reportedas a net receivable or payable and included in Equity in commodity futurestrading accounts on the Statements of Financial Condition.

4.               RECENT ACCOUNTING PRONOUNCEMENT

In September 2006, the FASB issued Statement ofFinancial Accounting Standards No. 157, Fair Value Measurements (“FAS 157”). FAS 157 establishes a common definition for fair value under accounting principlesgenerally accepted in the United States of America, establishes a framework formeasuring fair value and expands disclosure requirements about such fair valuemeasurements.  FAS 157 is effective for fiscal years beginning afterNovember 15, 2007.  The Fund is currently evaluating the impact ofadopting FAS 157 on its financial statements.

8

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

MONTH-END NETASSET VALUE PER UNIT(NON US GAAP)

 

MLAI believes that the Net Asset Value used tocalculate subscription and redemption value and to report performance toinvestors throughout the year is the most valuable to the Members of the Fund.Therefore, the charts below referencing Net Asset Value and performancemeasurements are based on the Net Asset Value for all other purposes, asdiscussed in Note 2 to the Financial Statements.

Class A

|      | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **July** | ** ** | **August** | ** ** | **Sept.** | ** ** |
|------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|------------|------------|-----------|------------|
| 2006 |       | $        | 1.1029     |     | $          | 1.0768   |       | $        | 1.1124     |    | $          | 1.1783   |       | $        | 1.1326     |       | $          | 1.1180    |       | $ | 1.1124 |   | $ | 1.1577 |   | $ | 1.1428 |   |
| 2007 |       | $        | 1.2584     |     | $          | 1.1800   |       | $        | 1.1279     |    | $          | 1.1924   |       | $        | 1.2488     |       | $          | 1.2678    |       | $ | 1.2516 |   | $ | 1.2421 |   | $ | 1.3172 |   |

 

Class C

|      | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **July** | ** ** | **August** | ** ** | **Sept.** | ** ** |
|------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|------------|------------|-----------|------------|
| 2006 |       | $        | 1.0943     |     | $          | 1.0675   |       | $        | 1.1018     |    | $          | 1.1659   |       | $        | 1.1191     |       | $          | 1.1041    |       | $ | 1.0975 |   | $ | 1.1413 |   | $ | 1.1256 |   |
| 2007 |       | $        | 1.2345     |     | $          | 1.1568   |       | $        | 1.1047     |    | $          | 1.1670   |       | $        | 1.2212     |       | $          | 1.2387    |       | $ | 1.2219 |   | $ | 1.2116 |   | $ | 1.2837 |   |

 

Class D

|      | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **July** | ** ** | **August** | ** ** | **Sept.** | ** ** |
|------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|------------|------------|-----------|------------|
| 2006 |       | $        | 1.0360     |     | $          | 1.0131   |       | $        | 1.0479     |    | $          | 1.1113   |       | $        | 1.0646     |       | $          | 1.0528    |       | $ | 1.0489 |   | $ | 1.0932 |   | $ | 1.0808 |   |
| 2007 |       | $        | 1.1952     |     | $          | 1.1216   |       | $        | 1.0733     |    | $          | 1.1362   |       | $        | 1.1914     |       | $          | 1.2110    |       | $ | 1.1971 |   | $ | 1.1894 |   | $ | 1.2629 |   |

 

Class I

|      | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **July** | ** ** | **August** | ** ** | **Sept.** | ** ** |
|------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|------------|------------|-----------|------------|
| 2006 |       | $        | 1.0972     |     | $          | 1.0715   |       | $        | 1.1073     |    | $          | 1.1732   |       | $        | 1.1283     |       | $          | 1.1154    |       | $ | 1.1100 |   | $ | 1.1558 |   | $ | 1.1414 |   |
| 2007 |       | $        | 1.2583     |     | $          | 1.1805   |       | $        | 1.1287     |    | $          | 1.1937   |       | $        | 1.2505     |       | $          | 1.2699    |       | $ | 1.2542 |   | $ | 1.2450 |   | $ | 1.3207 |   |

 

Class SM-D

|      | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **July** | ** ** | **August** | ** ** | **Sept.** | ** ** |
|------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|------------|------------|-----------|------------|
| 2006 |       | N/A      |       | N/A      |       | N/A      |       | 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     |       | $         | 1.1971     |   | $ | 1.1894 |   | $ | 1.2629 |   |
|      |            |          |            |          |            |          |            |          |            |         |            |          |            |          |            |            |            |           |            |  |  |  |  |  |  |  |

 

Class TF-D

|      | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **July** | ** ** | **August** | ** ** | **Sept.** | ** ** |
|------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|------------|------------|-----------|------------|
| 2006 |       | N/A      |       | N/A      |       | N/A      |       | 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   |       | $          | 1.1971     |      | $          | 1.1867 |   | $ | 1.2679 |   |
|      |            |          |            |          |            |          |            |          |            |         |            |          |            |          |            |            |            |           |            |  |  |  |  |  |

 

9

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Performance Summary

January 1, 2007 to September 30, 2007

January 1, 2007 to March 31, 2007

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

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

The energy sectorposted losses for the Fund.  In acontinuation of the price action witnessed in December, the rise in U.S. equitymarkets and the decline in crude oil prices led to significant gains at thebeginning of the quarter. However, losses were posted mid-quarter through theend of the quarter due to volatility in the market.

The agriculturalsector posted losses for the Fund. The agricultural market was soft and wasattributed to the difficult trading environment resulting in the Fund postinglosses for the sector.

The currencysector posted losses for the Fund. The quarter began with gains being posted tothe Fund only to be offset with losses mid-quarter through the end of thequarter.

The stock indicessector posted losses for the Fund. The markets were choppy and exposureschanged continuously. Due to the rise in the U.S. equity markets the stockindices sector posted significant gains for the Fund. The steady gains madethroughout mid-quarter were erased in several volatile trading sessions as asharp 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.

The interest ratesector was the least profitable for the Fund. The quarter began with gainsbeing posted to the Fund due to the surprise increase in the United Kingdominterest 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.

April 1, 2007 toJune 30, 2007

The Fund postedgains for the quarter with currencies, interest rates, stock indices,agriculture and energy sectors posting gains while the metal sector postedlosses.

The currencysector posted the highest profits for the Fund. The strength in both the euroand British sterling currencies were the main drivers behind the beginning ofthe quarter’s profits being posted to the Fund which continued through themid-quarter. Market volatility increased at the end of the quarter leading tostrong returns in the currency markets.

The interest ratesector posted profits for the Fund. Profits were posted to the Fund throughoutthe quarter. A growing appetite for risk mid quarter, led to an increase demandnot only for stocks across the globe, but also fed through into the fixedincome markets, as bonds sold off and short term interest rate expectationsincreased in both the United States and Europe. Strong returns were also postedin the fixed income markets as both short and long term interest rateexpectations rose as the quarter ended.

10

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The stock indicessector posted profits for the Fund. The continued recovery in global equitymarkets at the beginning of the quarter was one of the main drivers in stronggains being posted for the Fund. Equity markets continued to rally mid quarterthrough the end of the quarter as a combination of M&A activity and agrowing appetite for risk led to an increased demand for stocks across theglobe.

The agriculturalsector posted profits for the Fund. The agricultural market was soft whichattributed to the difficult trading environment resulting in the Fund postinglosses the beginning of the quarter which was offset by gains from mid-quarterthrough the end of the quarter.

The energy sector also posted profits for the Fund. Profits were postedat the beginning of the quarter through the mid-quarter only. Trading atquarter’s end was difficult because of weather conditions and geopoliticalpressure.

The metals sectorposted losses for the Fund.  Profits wereposted at the beginning of the quarter as metals benefited from there-emergence of stable trends as prices driven by tightening fundamentals anddemand growth rallied. Mid quarter prices were driven down due to profit-takingand concerns over the strength of future Chinese demand. The quarter ended withlosses due to supply tightness and bouts of increased risk aversion.

July 1, 2007 toSeptember 30, 2007

The Fund postedgains for the third quarter with agriculture, interest rates, energy, and thecurrency sectors posting gains while the metals sector and the stock indicesposted losses.

The agriculturesector posted profits for the Fund. The agriculture market posted losses at thebeginning of the quarter which was offset with gains to the Fund mid-quarterthrough the end. The quarter ended as the grain markets outperformed due to thegovernment crop reports highlighting global supply constraints supported risingcommodity prices.

The interest ratesector posted profits to the Fund. Profits were incurred mid-quarter only dueto the net long positions in the short term interest rate. However, the quarterended with losses in which a number of small losses in short rates contributedto an overall modest loss coupled with increases in the markets’ volatility.

The energy sectorposted profits to the Fund at the beginning of the quarter and at the end ofthe quarter due to profits on purchases of crude oil and derived fuels.

The currencysector posted losses to the Fund due to significant volatility in the market.Losses were posted to the Fund at the beginning of the quarter throughmid-quarter as the New Zealand dollar and the Australian dollar in particularwere under severe pressure. However, the quarter ended with profits beingposted to the Fund due to the continued weakness in the U.S. dollar which ledto strong gains in the currency sector.

The metals sectorposted losses to the Fund. Profits that were posted to the Fund at thebeginning of the quarter and quarter’s end were offset by losses mid-quarterdue to a very volatile market.

The stock indicessector posted losses to the Fund. Losses were posted to the Fund at thebeginning of the quarter as investors began scaling back risk tolerance whichled to a 3.6% drop in the Standard and Poors 500 Index. The stock market wasdistinguished by increasing risk awareness and aversion mid-quarter asfinancial stocks had an especially difficult time due to uncertainties ofpotential sub-prime related losses. However, the quarter ended with profitsbeing posted to the Fund as most stock indices worldwide, partly due to theconfidence instilled by the central banks ended the quarter higher.

11

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January 1, 2006 toSeptember 30, 2006

January 1, 2006 toMarch 31, 2006

The Fund posted anoverall profit with metals, stock indices and interest rates posting gainswhile energy, agriculture, currencies posted losses.

The metals sectorwas the most profitable for the Fund. Base metal prices were bolstered bycontinuing demand from China’s expanding economy and short covering just priorto the Chinese New Year. Both aluminum and zinc reached all time highsbeginning of the quarter. Precious metals and energies endured a volatileperiod during the Iran/U.S./Europe nuclear standoff, with gold reaching a 25year high. The quarter ended with gold and silver continuing to surge upwards,with silver posting a 22 year high. This was driven by strong demand andanticipation of the launch of a new wave of instruments that will open up thesemarkets to a wider audience of investors. Base metals were similarly wellsupported with several markets, including zinc and copper, trading at recordhighs.

The stock indicesposted profits for the Fund. Higher equity and lower fixed income prices werelargely a result of better than expected sentiment indicators and companyearnings reports. Equity markets continued mid-quarter with their bullish run,with the European bourses leading the charge. A combination of strong corporateearnings and solid consumer demand led to several indices posting four to fiveyear highs. The disappointing U.S. retail sales and consumer price figurescoupled with a bout of profit taking led to a somewhat exaggerated end of thequarter spike in fixed income markets. However, this was steadily erased by thecontinuation of the drift downward in bond prices as a subsequent succession ofstronger than expected consumer confidence indicators led to increasedexpectations of a lengthening cycle of the U.S. interest rate increases. Themarkets now seem comfortable with the new U. S. Federal Chairman, Bernanke,wherein there will be no major disruption and that the general philosophybehind the Federal Reserve’s approach will remain broadly unchanged.

The interest ratesector 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. Quarter endedwith expectations of further European Central Bank rate hikes led to a twentybasis point decline in Euribor futures which proved to be the main profitdriver in the interest rate sector.

The energy sectorposted losses for the Fund. Midway through the end of the quarter, once again,forced the sector into a period of increased volatility, as both military andterrorist activities in the key energy production areas led to rising energyprices.

The agriculturalsector posted losses for the Fund. The agricultural market was soft whichattributed to the difficult trading environment resulting in the Fund postinglosses for the sector.

The currencysector was the least profitable for the Fund. The currency market remainedmostly directionless throughout the beginning of the quarter. Currencies werethe main focus of attention in the latter half of the mid-quarter, as themarket began to forecast on the end of the Bank of Japan’s policy ofquantitative easing with optimism rising that this would be sooner rather thanlater.  The Japanese yen enjoyed strongbuying support: as the U.S. dollar and Japanese yen moved down from an intramonth high of 119.45 to close at 115.75. Financial markets were somewhat rangebound at the end of the quarter with foreign exchange markets in particularenjoying a period of relative calm.

12

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April 1, 2006 toJune 30, 2006

The Fund posted anoverall loss with the metal and the energy sectors posting gains while thecurrency, interest rate, agricultural commodities and stock indices sectorsposted losses.

The metals sectorwas the most profitable for the Fund. Large gains were posted in both the baseand precious metal markets. As prices surged higher, there were somepredictable bouts of profit taking, but the overall upward trend still remainedstrong. During mid-quarter there was an equity market sell-off and a continuingsurge in base metal markets. Having reached local highs mid-quarter, globalequity markets tumbled sharply. The prevailing mood in the markets turnednegative during several trading sessions. This was led by the sudden pull backin base metals, with copper generating much of the momentum. Having rallied 23%in eight trading sessions, bouts of profit taking led to growing concern ofprice exuberance and copper proceeded to decline by around 12% in a week. Thisvolatility unnerved many investors and fed through into the other metalmarkets. This coincided with a growing concern that the Federal Reserve wouldcontinue to raise short term rates, as inflationary fears mounted. As a resultthe equity positions suffered across all geographical sectors, wherein the longmetals positions posted strong gains despite the price volatility. Preciousmetals were similarly active, with the gold contract for June delivery rallying10% in the opening eight trading sessions, before declining below June’s openlevel and finally finishing flat. The recent increase in volatility in globalfinancial markets led to risk reduction in portfolios across the board whichbrought a subsequent decline in market activity at quarter’s end.

The energy sectorposted profits for the Fund.  The quarterbegan with strong performance in the energy markets as crude oil tradedconsistently above $70.00 and even briefly breached the $75.00 level.Mid-quarter financial markets endured a period of high volatility across allasset 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.

The currencysector was not profitable for the Fund. Currency positions posted small lossesat the beginning of the quarter due to low volatility and range bound trading.The long awaited breaching of the 116 level in the U.S. dollar/Japanese yen ledto some volatile price action as the Japanese yen began to strengthen, headingtowards a 113 handle as speculators and domestic end-users repositionedthemselves accordingly. There was a sharp sell-off seen in several emergingmarket currencies mid-quarter. Decline in market activity at the end of thequarter was due to recent increase in volatility in global financial marketswhich led to risk reduction in portfolios across the board.

The interest ratesector posted losses for the Fund.  Gains were recorded in the fixed income markets, as they continued tosell off at the beginning of the quarter. This was driven by the continuedstrength of the U.S. economy. A succession of solid economic data releasesunderpinned this price action. However, there was a change of tone with FederalReserve Chairman Bernanke’s testimony to Congress leading to a strong bounce inthe U.S. Treasury market, as his comments on the turning point of the ratecycle were taken to be more calm than expected. Short end U.S. interest rates were pushed higher mid-quarter as tradersbecame more hawkish.  However, in Europethere was more stability in rates as the front end of the yield curve heldfirm. Bond markets rallied as investors’ “flight to quality” took hold;although this was then counteracted by growing inflationary fears leading to astalemate at the longer end of the curve. 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. Returnsfor the month were largely driven by the FOMC decision, which delivered theanticipated 25 basis point increase in rates along with comments suggestingeconomic growth in the U.S. has been slowing.

13

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The agriculturalsector posted losses for the Fund. The agricultural market was soft whichattributed to the difficult trading environment resulting in the Fund postinglosses for the sector.

The stock indicessector was the least profitable for the Fund. At the beginning of the quarterthe sector posted profits for the Fund as the Far East indices were pushedhigher 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.

July 1, 2006 toSeptember 30, 2006

The Fund posted anoverall gain with interest rates, currencies, metals and stock indices sectorsposting gains while agriculture and energy sectors posted losses.

The interest ratesector was the most profitable for the Fund. U.S. Federal Reserve ChairmanBernanke’s two day meeting with the Senate banking committee and his overalltone was read as dovish by the markets as expectations of further rate hikesreceded. This increase in the uncertainty forced many market participants toreduce positions and wait for the dust to settle before re-entering the market.Gains were posted mid-quarter as weaker than forecast U.S. inflation andhousing numbers fueled speculation that the U.S. Federal Reserve will leaverates on hold this year. The growing perception that the interest rate cyclehas turned in the U.S. was the dominant theme as the quarter ended. This wasdriven by the slowing U.S. housing market and the ensuing drag on consumerspending.

The currencysector posted profits for the Fund. The British pound gained strongly againstthe U.S. dollar. In contrast to the U.S., the U.K. economy continued to poststrong growth numbers with retail sales coming in stronger than expected.Currencies were the strongest performing sector mid-quarter due to marketexpectations for European interest rate rises and poor economic data fromJapan. Weak Japanese industrial production and lower retail sales data alsoassisted the strong gains in fixed income as Japanese bonds surged. Fixedincome returns were further bolstered as U.S. and European bonds moved higher.Currency markets were tentatively range bound at quarter’s end. The continuingstrength of the British pound has led to some questioning of its currentlevels.

The metals sectorposted profits for the Fund. Base metals continued to exhibit significant shortterm price swings at the beginning of the quarter as trading volumes weakened.Gains were posted mid-quarter as nickel prices reached their highest level in19 years on speculation that global inventories will be eroded by rising demandfrom makers of stainless steel. Precious metals declined across the board atquarter’s end with gold down 5% and silver falling 12%.

The stock indicesalso posted profits for the Fund. Global markets traded in a relatively lowvolume environment at the beginning of the quarter. Short term price volatilitycontinued to create periods of intense activity but on the whole, most tradersseemed content to sit on the sidelines leaving little risk in the market.Profits were posted mid through the end of the quarter.

The agriculturalsector posted losses for the Fund. The agricultural market was directionlesswhich attributed to the difficult trading environment resulting in the Fundposting losses for the sector.

The energy sectorwas the least profitable for the Fund. Losses were posted throughout thequarter. Prices fell mid quarter due to the news that British Petroleum woulddrop plans to shut the largest U.S. oil field. A combination of factors, includingthe calming of the situation in the Middle East and growing levels ofinventories, led to a strong decline in the price of oil at quarter’s end. Thisbriefly led to crude trading below the $60 level for the first time since Marchof 2006.

14

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Item 3.   Quantitative and Qualitative DisclosuresAbout Market Risk

The Fund is aspeculative commodity pool. The market sensitive instruments held by it areacquired for speculative trading purposes and all or substantially all of theFund’s assets are subject to the risk of trading loss.  Unlike an operating company, the risk ofmarket sensitive instruments is integral, not incidental, to the Fund’s mainline of business.

Market movementsresult in frequent changes in the fair market value of the Fund’s openpositions and, consequently, in its earnings and cash flow. The Fund’s marketrisk is influenced by a wide variety of factors, including the level andvolatility of interest rates, exchange rates, equity price levels, the marketvalue of financial instruments and contracts, the diversification effects amongthe Fund’s open positions and the liquidity of the markets in which it trades.

The Fund, underthe direction of Winton, rapidly acquires and liquidates both long and shortpositions in currency markets. Consequently, it is not possible to predict how a particular futuremarket scenario will affect performance, and the Fund’s past performance is notnecessarily indicative of its future results.

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

Quantifying TheFund’s Trading Value At Risk

QuantitativeForward-Looking Statements

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

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

Exchangemaintenance margin requirements have been used by the Fund as the measure ofits Value at Risk.  Maintenance marginrequirements are set by exchanges to equal or exceed the maximum loss in thefair value of any given contract incurred in 95%-99% of the one-day timeperiods included in the historical sample (generally approximately one year)researched for purposes of establishing margin levels.  The maintenance margin levels are establishedby dealers and exchanges using historical price studies as well as anassessment of current market volatility (including the implied volatility ofthe options on a given futures contract) and economic fundamentals to provide aprobabilistic estimate of the maximum expected near-term one-day pricefluctuation.

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 as

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Value at Risk.  In those rare casesin which a futures-equivalent margin is not available, dealers’ margins havebeen used.

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

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

The following table indicates the average, highest and lowesttrading Value at Risk associated with the Fund’s open positions by marketcategory for the fiscal period. For the nine months ended September 30, 2007,the Fund’s average Month-end Net Asset Value for all other purposes wasapproximately $452,731,023  For the ninemonths ended September 30, 2006, the Fund’s average Month-end Net Asset Valuefor all other purposes was approximately $190,404,000.

**September30, 2007**

 
| ** **             | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|------------------------|------------|-----------------------------|------------|----------------------------|------------|------------------------|------------|-----------------------|------------|
| **Market Sector** | ** ** | **Value at Risk** | ** ** | **Capitalization**         | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                   |       |                        |       |                       |       |                   |       |                  |       |
| Agriculture            |       | $                           | 558,275    |                       | 0.12       | %                      | $          | 1,240,260             |       | $ | 33,930 |   |
| Currencies             |       | 2,732,485                   |       | 0.60                       | %          | 5,797,524              |       | 293,029               |       |
| Energy                 |       | 490,940                     |       | 0.11                       | %          | 1,349,934              |       | 57,256                |       |
| Interest Rates         |       | 34,027,008                  |       | 7.52                       | %          | 58,968,343             |       | 19,875,531            |       |
| Metals                 |       | 473,138                     |       | 0.10                       | %          | 861,221                |       | 227,208               |       |
| Stock Indices          |       | 2,413,119                   |       | 0.53                       | %          | 4,289,811              |       | 568,124               |       |
|                   |       |                        |       |                       |       |                   |       |                  |       |
| TOTAL                  |       | $                           | 40,694,965 |                       | 8.98       | %                      | $          | 72,507,093            |       | $ | 21,055,078 |   |

 

**September30, 2006**
| ** **             | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|------------------------|------------|-----------------------------|------------|----------------------------|------------|------------------------|------------|-----------------------|------------|
| **Market Sector** | ** ** | **Value at Risk** | ** ** | **Capitalization**         | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                   |       |                        |       |                       |       |                   |       |                  |       |
| Agriculture            |       | $                           | 49,902     |                       | 0.03       | %                      | $          | 101,508               |       | $ | 2,118 |   |
| Currencies             |       | 1,315,398                   |       | 0.69                       | %          | 5,472,408              |       | 40,415                |       |
| Energy                 |       | 281,704                     |       | 0.15                       | %          | 1,089,207              |       | 9,055                 |       |
| Interest Rates         |       | 18,721,313                  |       | 9.83                       | %          | 30,930,200             |       | 15,812,961            |       |
| Metals                 |       | 404,822                     |       | 0.21                       | %          | 1,380,209              |       | 64,439                |       |
| Stock Indices          |       | 1,007,356                   |       | 0.53                       | %          | 2,808,459              |       | 186,815               |       |
|                   |       |                        |       |                       |       |                   |       |                  |       |
| TOTAL                  |       | $                           | 21,780,495 |                       | 11.44      | %                      | $          | 41,781,991            |       | $ | 16,115,803 |   |

 

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Material Limitations on Value at Risk as an Assessment ofMarket Risk

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

**Non-Trading Risk**

Foreign Currency Balances;Cash on Deposit with MLPF&S

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

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The Fund also hasnon-trading market risk on the approximately 90%-95% of its assets which areheld in cash at MLPF&S. The value of this cash is not interest ratesensitive, but there is cash flow risk in that if interest rates decline sowill 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.

PART II - OTHERINFORMATION

Item 1.                                   LegalProceedings

On July 31, 2007, the CFTC issued an order against MLAI and an advisoryaffiliate, to which MLAI and the affiliate consented, containing findings,which MLAI and the affiliate neither admitted nor denied, that MLAI and theaffiliate filed with the NFA a number of annual reports for commodity pools forwhich they acted as commodity pool operators after the deadline established bythe CFTC’s regulations, in violation of CFTC Regulation 4.22(c). MLAI and theaffiliate were ordered to cease and desist from violating Regulation 4.22(c)and to pay a civil penalty in the amount of $500,000.

Item 2.                                   UnregisteredSales of Equity Securities and Use of Proceeds

(a)            Issuance to accreditedinvestors pursuant to Regulation D and Section 4(6) under the SecuritiesAct.  The selling agent of the followingClass of Units was MLPF&S.

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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 |   |
| Aug-07     |       | 528,453          |       | 422,222    |       | 1.2516 |   |
| Sep-07     |       | 1,382,445        |       | 1,112,990  |       | 1.2421 |   |
| Oct-07     |       | 1,203,329        |       | 913,551    |       | 1.3172 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

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 |   |
| Aug-07     |       | 6,287,231        |       | 5,145,454  |       | 1.2219 |   |
| Sep-07     |       | 6,587,468        |       | 5,436,999  |       | 1.2116 |   |
| Oct-07     |       | 5,693,131        |       | 4,434,939  |       | 1.2837 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS SM-D
| ** ** | ** ** | **Subcription** | ** ** | ** ** | ** ** |
|------------|------------|-----------------|------------|------------|------------|
| ** ** | ** ** | **Amount**      | ** ** | **Units**  | ** ** | **NAV(1)** | ** ** |
| Apr-07     |       | $               | 12,000,000 |       | 11,180,471 |   | $ | 1.0733 |   |
| May-07     |       | —          |       | —     |       | 1.1362 |   |
| Jun-07     |       | —          |       | —     |       | 1.1914 |   |
| Jul-07     |       | 1,127,403       |       | 931,046    |       | 1.2109 |   |
| Aug-07     |       | —          |       | —     |       | 1.1970 |   |
| Sep-07     |       | —          |       | —     |       | 1.1894 |   |
| Oct-07     |       | 165,547         |       | 131,085    |       | 1.2629 |   |
|            |            |                 |            |            |            |  |  |  |  |

 

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     |       | 18,782,994       |       | 15,765,482 |       | 1.1914 |   |
| Jul-07     |       | 2,999,998        |       | 2,477,290  |       | 1.2110 |   |
| Aug-07     |       | 1,092,999        |       | 913,039    |       | 1.1971 |   |
| Sep-07     |       | 2,000,000        |       | 1,681,520  |       | 1.1894 |   |
| Oct-07     |       | —           |       | —     |       | 1.2629 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

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 |   |
| Aug-07     |       | 2,022,985        |       | 1,612,968  |       | 1.2542 |   |
| Sep-07     |       | 705,840          |       | 566,940    |       | 1.2450 |   |
| Oct-07     |       | 154,814          |       | 117,221    |       | 1.3207 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

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 |   |
| Aug-07     |       | —          |       | —     |       | 1.1971 |   |
| Sep-07     |       | —          |       | —     |       | 1.1867 |   |
| Oct-07     |       | —          |       | —     |       | 1.2679 |   |
|            |            |                 |            |            |            |  |  |  |  |

 

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(1) Beginning ofthe monthNetAsset Value for all other purposes

(b)         None.

(c)          None.

Item3.                                   DefaultsUpon Senior Securities

None.

Item4.                                   Submissionof Matters to a Vote of Security Holders

None.

Item5.                                   OtherInformation

None.

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Item 6.                                     Exhibits

The following exhibits are incorporated by reference or are filedherewith to this Quarterly Report on Form 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                                             Section1350 Certifications

Exhibit 32.01

and 32.02                      Are filed herewith.

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**SIGNATURES**

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

 

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