** **

**UNITED STATESSECURITIES AND EXCHANGE COMMISSION**

**Washington, D.C. 20549**

 

**FORM 10-Q**

 

**(Mark One)**

 
| **x** | **QUARTERLY REPORT PURSUANT TO  SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934** |
|-------|--------------------------------------------------------------------------------------------------------|

 

**For the quarterly period endedSeptember 30, 2010**

 

**OR**

 
| **o** | **TRANSITION REPORT PURSUANT TO  SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934** |
|-------|---------------------------------------------------------------------------------------------------------|

 

**For the transition period from                to                **

 

**Commission File Number 0-51084**

 

**MLWINTON FUTURESACCESS LLC**

(Exact Name of Registrant asspecified in its charter)

 

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

 

**c/o Merrill Lynch AlternativeInvestments LLC**

**Four World Financial Center, 10****th**** Floor**

**250 Vesey Street**

**New York, New York 10080**

(Address of principalexecutive offices)

(Zip Code)

 

**212-449-3517**

(Registrant’s telephonenumber, including area code)

 

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

 

Indicate by check mark whetherthe registrant has submitted electronically and posted on its corporatewebsite, if any, every Interactive Data File required to be submitted andposted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter)during the preceding 12 months (or for such shorter period that the registrantwas required to submit and post such files). Yes o  No o

 

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

 

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

 

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

 

As of September 30,2010, 518,067,553 units of limited liability company interest were outstanding.

 

 

 

----

 

**ML WINTON FUTURESACCESSLLC**

 

QUARTERLY REPORT FORSEPTEMBER 30, 2010 ON FORM 10-Q

 

Table of Contents

 
| ** **   | ** **                                                                                  | **PAGE** |
|--------------|---------------------------------------------------------------------------------------------|----------|
| PART I  |
|         |                                                                                        |     |
| Item  1.     | Financial  Statements                                                                       | 1        |
|         |                                                                                        |     |
| Item  2.     | Management’s  Discussion and Analysis of Financial Condition and Results of Operations | 18       |
|         |                                                                                        |     |
| Item  3.     | Quantitative  and Qualitative Disclosures About Market Risk                                 | 27       |
|         |                                                                                        |     |
| Item  4.     | Controls  and Procedures                                                                    | 32       |
|         |                                                                                        |     |
| PART II |
|         |                                                                                        |     |
| Item  1.     | Legal  Proceedings                                                                          | 32       |
|         |                                                                                        |     |
| Item  1A.    | Risk  Factors                                                                               | 32       |
|         |                                                                                        |     |
| Item  2.     | Unregistered  Sales of Equity Securities and Use of Proceeds                                | 33       |
|         |                                                                                        |     |
| Item  3.     | Defaults  Upon Senior Securities                                                            | 34       |
|         |                                                                                        |     |
| Item  4.     | (Removed  and Reserved)                                                                     | 34       |
|         |                                                                                        |     |
| Item  5.     | Other  Information                                                                          | 34       |
|         |                                                                                        |     |
| Item  6.     | Exhibits                                                                                    | 34       |

 

----

 

PART I - FINANCIALINFORMATION

 

Item 1.   Financial Statements

 

ML WINTON FUTURESACCESS LLC

(a Delaware LimitedLiability Company)

 

STATEMENTS OF FINANCIALCONDITION

(unaudited)

 
| ** **                                                                                                         | ** ** | **September 30,** | ** **  | **December 31,** | ** ** |
|--------------------------------------------------------------------------------------------------------------------|------------|------------------------|-------------|-----------------------|------------|
| ** **                                                                                                         | ** ** | **2010**               | ** **  | **2009**              | ** ** |
| **ASSETS:**                                                                                                        |       |                   |        |                  |       |
| Equity in commodity trading accounts:                                                                              |       |                   |        |                  |       |
| Cash (including restricted cash of $70,053,160 for  2010 and $53,748,925 for 2009)                                 |       | $                      | 807,425,807 |                  | $          | 761,893,194 |   |
| Net unrealized profit on open futures contracts                                                                    |       | 33,516,907             |        | 5,460,626             |       |
| Cash and cash equivalents                                                                                          |       | 300,000                |        | 1,102,160             |       |
| Accrued interest receivable                                                                                        |       | 2,866                  |        | —                |       |
|                                                                                                               |       |                   |        |                  |       |
| **TOTAL ASSETS**                                                                                                   |       | $                      | 841,245,580 |                  | $          | 768,455,980 |   |
|                                                                                                               |       |                   |        |                  |       |
| **LIABILITIES AND MEMBERS’ CAPITAL:**                                                                         |       |                   |        |                  |       |
| LIABILITIES:                                                                                                       |       |                   |        |                  |       |
| Brokerage commissions payable                                                                                      |       | $                      | —      |                  | $          | 115,138 |   |
| Sponsor and Advisory fees payable                                                                                  |       | 6,323,274              |        | 3,146,710             |       |
| Redemptions payable                                                                                                |       | 3,591,918              |        | 12,610,951            |       |
| Net unrealized loss on open futures contracts                                                                      |       | 2,090,509              |        | 2,155,460             |       |
| Other liabilities                                                                                                  |       | 295,197                |        | 391,254               |       |
|                                                                                                               |       |                   |        |                  |       |
| Total liabilities                                                                                                  |       | 12,300,898             |        | 18,419,513            |       |
|                                                                                                               |       |                   |        |                  |       |
| MEMBERS’ CAPITAL:                                                                                             |       |                   |        |                  |       |
| Sponsor’s Interest (19,470 Units and 19,470 Units)                                                            |       | 30,990                 |        | 28,686                |       |
| Members’ Interest (518,048,083 Units and  506,821,001 Units)                                                  |       | 828,913,692            |        | 750,007,781           |       |
| Total members’ capital                                                                                        |       | 828,944,682            |        | 750,036,467           |       |
|                                                                                                               |       |                   |        |                  |       |
| **TOTAL LIABILITIES AND MEMBERS’  CAPITAL**                                                                   |       | $                      | 841,245,580 |                  | $          | 768,455,980 |   |
| ** **                                                                                                         | ** ** | ** **             | ** **  | ** **            | ** ** |
| **NET ASSET VALUE PER UNIT:**(Based on 518,067,553 and 506,840,471 Units outstanding; unlimited  Units authorized) |       |                   |        |                  |       |
| ** **                                                                                                         | ** ** | ** **             | ** **  | ** **            | ** ** |
| Class A                                                                                                       |       | $                      | 1.6297      |                  | $          | 1.5088 |   |
| Class C                                                                                                       |       | $                      | 1.5416      |                  | $          | 1.4380 |   |
| Class D                                                                                                       |       | $                      | 1.6346      |                  | $          | 1.4964 |   |
| Class I                                                                                                       |       | $                      | 1.6540      |                  | $          | 1.5267 |   |
| Class DS                                                                                                      |       | $                      | 1.6326      |                  | $          | 1.4946 |   |
| Class DT                                                                                                      |       | $                      | 1.6879      |                  | $          | 1.5377 |   |

 

See notes to financial statements.

 

1

----

 

WINTON FUTURESACCESS LLC

(a Delaware LimitedLiability Company)

 

STATEMENTS OF OPERATIONS

(unaudited)

 
| ** **                                   | ** ** | **For the three** | ** ** | **For the three** | ** ** | **For the nine** | ** ** | **For the nine** | ** ** |
|----------------------------------------------|------------|-----------------------------|------------|-----------------------------|------------|----------------------------|------------|----------------------------|------------|
| ** **                                   | ** ** | **months ended**       | ** ** | **months ended**       | ** ** | **months ended**      | ** ** | **months ended**      | ** ** |
| ** **                                   | ** ** | **September 30,**      | ** ** | **September 30,**      | ** ** | **September 30,**     | ** ** | **September 30,**     | ** ** |
| ** **                                   | ** ** | **2010**                    | ** ** | **2009**                    | ** ** | **2010**                   | ** ** | **2009**                   | ** ** |
| **TRADING PROFIT (LOSS):**         |       |                        |       |                        |       |                       |       |                       |       |
|                                         |       |                        |       |                        |       |                       |       |                       |       |
| Realized, net                                |       | $                           | 4,925,017  |                        | $          | (11,778,258                | )          | $                          | 59,844,141 |   | $ | (54,611,721 | ) |
| Change in unrealized, net                    |       | 21,410,299                  |       | 22,314,757                  |       | 28,121,232                 |       | 9,039,356                  |       |
| Brokerage commissions                        |       | (245,453                    | )          | (203,463                    | )          | (752,723                   | )          | (596,742                   | )          |
|                                         |       |                        |       |                        |       |                       |       |                       |       |
| Total trading profit (loss)                  |       | 26,089,863                  |       | 10,333,036                  |       | 87,212,650                 |       | (46,169,107                | )          |
|                                         |       |                        |       |                        |       |                       |       |                       |       |
| **INVESTMENT INCOME:**                       | ** ** | ** **                  | ** ** | ** **                  | ** ** | ** **                 | ** ** | ** **                 | ** ** |
| Interest                                     |       | 3,756                       |       | (5,390                      | )          | 434                        |       | 52,569                     |       |
|                                         |       |                        |       |                        |       |                       |       |                       |       |
| **EXPENSES:**                                | ** ** | ** **                  | ** ** | ** **                  | ** ** | ** **                 | ** ** | ** **                 | ** ** |
| Management fee                               |       | 3,996,946                   |       | 3,708,504                   |       | 11,709,050                 |       | 11,470,161                 |       |
| Sponsor fee                                  |       | 2,453,986                   |       | 2,252,474                   |       | 7,067,177                  |       | 7,264,488                  |       |
| Performance fee                              |       | 4,087,247                   |       | —                      |       | 4,087,247                  |       | 583                        |       |
| Other                                        |       | 310,526                     |       | 396,081                     |       | 796,653                    |       | 1,054,124                  |       |
| Total expenses                               |       | 10,848,705                  |       | 6,357,059                   |       | 23,660,127                 |       | 19,789,356                 |       |
|                                         |       |                        |       |                        |       |                       |       |                       |       |
| **NET INVESTMENT LOSS**                      |       | (10,844,949                 | )          | (6,362,449                  | )          | (23,659,693                | )          | (19,736,787                | )          |
|                                         |       |                        |       |                        |       |                       |       |                       |       |
| **NET INCOME (LOSS)**                        |       | $                           | 15,244,914 |                        | $          | 3,970,587                  |       | $                          | 63,552,957 |   | $ | (65,905,894 | ) |
|                                         |       |                        |       |                        |       |                       |       |                       |       |
| **NET INCOME (LOSS) PER UNIT:**              | ** ** | ** **                  |       |                        | ** ** | ** **                 |       |                       |       |
|                                         |       |                        |       |                        |       |                       |       |                       |       |
| Weighted average number of Units outstanding | ** ** | ** **                  |       |                        | ** ** | ** **                 |       |                       |       |
| Class A                                 |       | 52,756,328                  |       | 48,330,421                  |       | 49,564,746                 |       | 48,290,312                 |       |
| Class C                                 |       | 206,912,707                 |       | 203,695,343                 |       | 203,576,592                |       | 209,769,004                |       |
| Class D                                 |       | 81,283,522                  |       | 78,318,234                  |       | 81,499,616                 |       | 78,159,645                 |       |
| Class I                                 |       | 38,216,373                  |       | 41,090,886                  |       | 37,853,927                 |       | 42,465,404                 |       |
| Class DS                                |       | 104,125,551                 |       | 101,023,751                 |       | 106,239,322                |       | 86,031,099                 |       |
| Class DT                                |       | 29,995,500                  |       | 47,750,063                  |       | 35,826,335                 |       | 50,098,593                 |       |
|                                         |       |                        |       |                        |       |                       |       |                       |       |
| Net income (loss) per weighted average Unit  |       |                        |       |                        |       |                       |       |                       |       |
| Class A                                 |       | $                           | 0.0333     |                        | $          | 0.0063                     |       | $                          | 0.1248     |   | $ | (0.1378 | ) |
| Class C                                 |       | $                           | 0.0244     |                        | $          | 0.0022                     |       | $                          | 0.1047     |   | $ | (0.1419 | ) |
| Class D                                 |       | $                           | 0.0348     |                        | $          | 0.0112                     |       | $                          | 0.1413     |   | $ | (0.1174 | ) |
| Class I                                 |       | $                           | 0.0312     |                        | $          | 0.0082                     |       | $                          | 0.1281     |   | $ | (0.1341 | ) |
| Class DS                                |       | $                           | 0.0350     |                        | $          | 0.0135                     |       | $                          | 0.1386     |   | $ | (0.1043 | ) |
| Class DT                                |       | $                           | 0.0255     |                        | $          | 0.0134                     |       | $                          | 0.1387     |   | $ | (0.1135 | ) |

 

See notes to financial statements.

 

2

----

ML WINTON FUTURESACCESS LLC

(a Delaware LimitedLiability Company)

 

STATEMENTS OF CHANGES INMEMBERS’ CAPITAL

For the nine months ended September 30,2010 and 2009

(unaudited) (in Units)

 
| ** **                 | ** ** | **Members’ Capital  December 31,2008** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital  September 30, 2009** | ** ** | **Members’ Capital  December 31, 2009** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital  September 30, 2010** | ** ** |
|----------------------------|------------|-------------------------------------------------------|------------|-------------------|------------|-----------------|------------|--------------------------------------------------------------|------------|-------------------------------------------------------------|------------|-------------------|------------|-----------------|------------|--------------------------------------------------------------|------------|
| Class A               |       | 45,849,416                                            |       | 9,950,735         |       | (8,234,239      | )          | 47,565,912                                                   |       | 47,207,338                                                  |       | 14,947,161        |       | (5,381,665      | )          | 56,772,834                                                   |       |
| Class C               |       | 215,169,073                                           |       | 28,649,326        |       | (44,094,154     | )          | 199,724,245                                                  |       | 198,836,141                                                 |       | 34,802,821        |       | (23,057,840     | )          | 210,581,122                                                  |       |
| Class D               |       | 73,051,567                                            |       | 6,041,151         |       | (2,711,187      | )          | 76,381,531                                                   |       | 76,481,524                                                  |       | 8,191,253         |       | (2,979,453      | )          | 81,693,324                                                   |       |
| Class I               |       | 43,073,827                                            |       | 7,952,058         |       | (9,891,534      | )          | 41,134,351                                                   |       | 37,155,502                                                  |       | 4,491,371         |       | (3,551,230      | )          | 38,095,643                                                   |       |
| Class DS              |       | 69,186,442                                            |       | 34,891,377        |       | —          |       | 104,077,819                                                  |       | 106,138,162                                                 |       | 2,905,250         |       | (5,202,017      | )          | 103,841,395                                                  |       |
| Class DT              |       | 53,758,785                                            |       | 459,179           |       | (7,785,464      | )          | 46,432,500                                                   |       | 41,002,334                                                  |       | —            |       | (13,938,569     | )          | 27,063,765                                                   |       |
|                       |       |                                                  |       |              |       |            |       |                                                         |       |                                                        |       |              |       |            |       |                                                         |       |
| Total Members’ Units  |       | 500,089,110                                           |       | 87,943,826        |       | (72,716,578     | )          | 515,316,358                                                  |       | 506,821,001                                                 |       | 65,337,856        |       | (54,110,774     | )          | 518,048,083                                                  |       |
|                       |       |                                                  |       |              |       |            |       |                                                         |       |                                                        |       |              |       |            |       |                                                         |       |
| Class A               |       | 9,713                                                 |       | —            |       | —          |       | 9,713                                                        |       | 9,713                                                       |       | —            |       | —          |       | 9,713                                                        |       |
| Class C               |       | 9,757                                                 |       | —            |       | —          |       | 9,757                                                        |       | 9,757                                                       |       | —            |       | —          |       | 9,757                                                        |       |
|                       |       |                                                  |       |              |       |            |       |                                                         |       |                                                        |       |              |       |            |       |                                                         |       |
| Total Sponsor’s Units |       | 19,470                                                |       | —            |       | —          |       | 19,470                                                       |       | 19,470                                                      |       | —            |       | —          |       | 19,470                                                       |       |

 

Seenotes to financial statements.

 

3

----

 

ML WINTON FUTURESACCESS LLC

(a Delaware LimitedLiability Company)

 

STATEMENTS OF CHANGES INMEMBERS’ CAPITAL

For the nine months ended September 30,2010 and 2009

(unaudited)

 
| ** **                    | ** ** | **Members’ Capital  December 31, 2008** | ** **  | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net Income  (Loss)** | ** **   | **Members’ Capital  September 30, 2009** | ** ** | **Members’ Capital  December 31, 2009** | ** ** | **Subscriptions** | ** **  | **Redemptions** | ** ** | **Net Income  (Loss)** | ** ** | **Members’ Capital  September 30, 2010** | ** ** |
|-------------------------------|------------|-------------------------------------------------------------|-------------|-------------------|------------|-----------------|------------|-----------------------------|--------------|--------------------------------------------------------------|------------|-------------------------------------------------------------|------------|-------------------|-------------|-----------------|------------|-----------------------------|------------|--------------------------------------------------------------|------------|
| Class A                  |       | $                                                           | 75,377,293  |              | $          | 15,777,283      |       | $                           | (12,754,541  | )                                                            | $          | (6,639,858                                                  | )          | $                 | 71,760,177  |            | $          | 71,227,277                  |       | $                                                            | 23,557,909 |   | $ | (8,446,913 | ) | $ | 6,184,617 |   | $ | 92,522,890 |   |
| Class C                  |       | 340,542,258                                                 |        | 43,359,316        |       | (66,271,637     | )          | (29,735,962                 | )            | 287,893,975                                                  |       | 285,929,558                                                 |       | 51,355,044        |        | (33,956,280     | )          | 21,305,178                  |       | 324,633,500                                                  |       |
| Class D                  |       | 117,366,051                                                 |        | 9,663,521         |       | (3,989,217      | )          | (9,183,574                  | )            | 113,856,781                                                  |       | 114,447,349                                                 |       | 12,218,319        |        | (4,647,328      | )          | 11,517,442                  |       | 133,535,782                                                  |       |
| Class I                  |       | 71,357,222                                                  |        | 12,705,694        |       | (15,661,749     | )          | (5,672,454                  | )            | 62,728,713                                                   |       | 56,724,216                                                  |       | 7,029,542         |        | (5,593,240      | )          | 4,847,857                   |       | 63,008,375                                                   |       |
| Class DS                 |       | 111,018,099                                                 |        | 52,913,336        |       | —          |       | (8,980,195                  | )            | 154,951,240                                                  |       | 158,630,745                                                 |       | 4,405,527         |        | (8,232,407      | )          | 14,727,068                  |       | 169,530,933                                                  |       |
| Class DT                 |       | 88,296,222                                                  |        | 714,029           |       | (12,285,078     | )          | (5,691,153                  | )            | 71,034,020                                                   |       | 63,048,636                                                  |       | —            |        | (22,334,915     | )          | 4,968,491                   |       | 45,682,212                                                   |       |
| ** **                    | ** ** | ** **                                                  | ** **  | ** **        | ** ** | ** **      | ** ** | ** **                  | ** **   | ** **                                                   | ** ** | ** **                                                  | ** ** | ** **        | ** **  | ** **      | ** ** | ** **                  | ** ** | ** **                                                   | ** ** |
| Total Members’ Interest  |       | $                                                           | 803,957,145 |              | $          | 135,133,179     |       | $                           | (110,962,222 | )                                                            | $          | (65,903,196                                                 | )          | $                 | 762,224,906 |            | $          | 750,007,781                 |       | $                                                            | 98,566,341 |   | $ | (83,211,083 | ) | $ | 63,550,653 |   | $ | 828,913,692 |   |
|                          |       |                                                        |        |              |       |            |       |                        |         |                                                         |       |                                                        |       |              |        |            |       |                        |       |                                                         |       |
| Class A                  |       | $                                                           | 15,971      |              | $          | —          |       | $                           | —       |                                                         | $          | (1,318                                                      | )          | $                 | 14,653      |            | $          | 14,655                      |       | $                                                            | —     |   | $ | — |   | $ | 1,269 |   | $ | 15,924 |   |
| Class C                  |       | 15,444                                                      |        | —            |       | —          |       | (1,380                      | )            | 14,064                                                       |       | 14,031                                                      |       | —            |        | —          |       | 1,035                       |       | 15,066                                                       |       |
|                          |       |                                                        |        |              |       |            |       |                        |         |                                                         |       |                                                        |       |              |        |            |       |                        |       |                                                         |       |
| Total Sponsor’s Interest |       | $                                                           | 31,415      |              | $          | —          |       | $                           | —       |                                                         | $          | (2,698                                                      | )          | $                 | 28,717      |            | $          | 28,686                      |       | $                                                            | —     |   | $ | — |   | $ | 2,304 |   | $ | 30,990 |   |
|                          |       |                                                        |        |              |       |            |       |                        |         |                                                         |       |                                                        |       |              |        |            |       |                        |       |                                                         |       |
| Total Members’ Capital   |       | $                                                           | 803,988,560 |              | $          | 135,133,179     |       | $                           | (110,962,222 | )                                                            | $          | (65,905,894                                                 | )          | $                 | 762,253,623 |            | $          | 750,036,467                 |       | $                                                            | 98,566,341 |   | $ | (83,211,083 | ) | $ | 63,552,957 |   | $ | 828,944,682 |   |

 

See notes to financial statements.

 

4

----

 

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

FINANCIAL DATA HIGHLIGHTS

For the three months ended September 30, 2010 (unaudited)

The following per Unit data and ratios have been derived frominformation provided in the financial statements.

 
| ** **                                                      | ** ** | **Class A** | ** ** | **Class C** | ** ** | **Class D** | ** ** | **Class I** | ** ** | **Class DS** | ** ** | **Class DT** | ** ** |
|-----------------------------------------------------------------|------------|------------------|------------|------------------|------------|------------------|------------|------------------|------------|-------------------|------------|-------------------|------------|
| **Per Unit Operating Performance:**              |       |             |       |             |       |             |       |             |       |              |       |              |       |
| ** **                                                      |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net asset value, beginning of period                            |       | $                | 1.6010     |             | $          | 1.5182           |       | $                | 1.5998     |              | $          | 1.6232            |       | $ | 1.5978 |   | $ | 1.6480 |   |
|                                                            |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net realized and net change in unrealized trading  profit(loss) |       | 0.0521           |       | 0.0493           |       | 0.0522           |       | 0.0529           |       | 0.0521            |       | 0.0538            |       |
| Brokerage commissions                                           |       | (0.0005          | )          | (0.0005          | )          | (0.0005          | )          | (0.0005          | )          | (0.0005           | )          | (0.0005           | )          |
| Interest income                                                 |       | 0.0000           |       | 0.0000           |       | 0.0000           |       | 0.0000           |       | 0.0000            |       | 0.0000            |       |
| Expenses                                                        |       | (0.0229          | )          | (0.0254          | )          | (0.0169          | )          | (0.0216          | )          | (0.0168           | )          | (0.0134           | )          |
|                                                            |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net asset value, end of period                                  |       | $                | 1.6297     |             | $          | 1.5416           |       | $                | 1.6346     |              | $          | 1.6540            |       | $ | 1.6326 |   | $ | 1.6879 |   |
|                                                            |       |             |       |             |       |             |       |             |       |              |       |              |       |
| **Total Return: (a)**                                           |       |             |       |             |       |             |       |             |       |              |       |              |       |
|                                                            |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Total return before Performance fees                            |       | 2.31             | %          | 2.41             | %          | 2.69             | %          | 2.41             | %          | 2.69              | %          | 2.82              | %          |
| Performance fees                                                |       | -0.52            | %          | -0.52            | %          | -0.52            | %          | -0.52            | %          | -0.52             | %          | -0.41             | %          |
| Total return after Performance fees                             |       | 1.79             | %          | 1.89             | %          | 2.17             | %          | 1.89             | %          | 2.17              | %          | 2.41              | %          |
|                                                            |       |             |       |             |       |             |       |             |       |              |       |              |       |
| **Ratios to Average Members’ Capital:**                    |       |             |       |             |       |             |       |             |       |              |       |              |       |
|                                                            |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Expenses (excluding Performance fees)                           |       | 1.17             | %          | 0.82             | %          | 0.54             | %          | 0.82             | %          | 0.54              | %          | 0.42              | %          |
| Performance fees                                                |       | 0.52             | %          | 0.51             | %          | 0.51             | %          | 0.51             | %          | 0.51              | %          | 0.40              | %          |
| Expenses (including Performance fees)                           |       | 1.69             | %          | 1.33             | %          | 1.05             | %          | 1.33             | %          | 1.05              | %          | 0.82              | %          |
|                                                            |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net investment income (loss)                                    |       | -1.69            | %          | -1.33            | %          | -1.06            | %          | -1.33            | %          | -1.06             | %          | -0.81             | %          |

 

----

(a) Thetotal return calculations are based on compounded monthly returns and arecalculated for each class taken as a whole. An individual members’ return mayvary from these returns based on timing of capital transactions.

 

See notes to financial statements.

 

5

----

 

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

FINANCIAL DATA HIGHLIGHTS

For the nine months ended September 30, 2010 (unaudited)

The following per Unit data and ratios have been derived frominformation provided in the financial statements.

 
| ** **                                                      | ** ** | **Class A** | ** ** | **Class C** | ** ** | **Class D** | ** ** | **Class I** | ** ** | **Class DS** | ** ** | **Class DT** | ** ** |
|-----------------------------------------------------------------|------------|------------------|------------|------------------|------------|------------------|------------|------------------|------------|-------------------|------------|-------------------|------------|
| **Per Unit Operating Performance:**                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
|                                                            |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net asset value, beginning of period                            |       | $                | 1.5088     |             | $          | 1.4380           |       | $                | 1.4964     |              | $          | 1.5267            |       | $ | 1.4946 |   | $ | 1.5377 |   |
|                                                            |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net realized and net change in unrealized trading  profit(loss) |       | 0.1735           |       | 0.1647           |       | 0.1730           |       | 0.1758           |       | 0.1728            |       | 0.1781            |       |
| Brokerage commissions                                           |       | (0.0015          | )          | (0.0014          | )          | (0.0015          | )          | (0.0015          | )          | (0.0015           | )          | (0.0015           | )          |
| Interest income                                                 |       | 0.0000           |       | 0.0000           |       | 0.0000           |       | 0.0000           |       | 0.0000            |       | 0.0000            |       |
| Expenses                                                        |       | (0.0511          | )          | (0.0597          | )          | (0.0333          | )          | (0.0470          | )          | (0.0333           | )          | (0.0264           | )          |
|                                                            |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net asset value, end of period                                  |       | $                | 1.6297     |             | $          | 1.5416           |       | $                | 1.6346     |              | $          | 1.6540            |       | $ | 1.6326 |   | $ | 1.6879 |   |
|                                                            |       |             |       |             |       |             |       |             |       |              |       |              |       |
| **Total Return: (a)**                                           |       |             |       |             |       |             |       |             |       |              |       |              |       |
|                                                            |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Total return before Performance fees                            |       | 8.56             | %          | 7.75             | %          | 9.79             | %          | 8.89             | %          | 9.79              | %          | 10.20             | %          |
| Performance fees                                                |       | -0.52            | %          | -0.52            | %          | -0.52            | %          | -0.52            | %          | -0.52             | %          | -0.41             | %          |
| Total return after Performance fees                             |       | 8.04             | %          | 7.23             | %          | 9.27             | %          | 8.37             | %          | 9.27              | %          | 9.79              | %          |
|                                                            |       |             |       |             |       |             |       |             |       |              |       |              |       |
| **Ratios to Average Members’  Capital:**                   |       |             |       |             |       |             |       |             |       |              |       |              |       |
|                                                            |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Expenses (excluding Performance fees)                           |       | 2.74             | %          | 3.50             | %          | 1.61             | %          | 2.44             | %          | 1.61              | %          | 1.23              | %          |
| Performance fees                                                |       | 0.51             | %          | 0.52             | %          | 0.51             | %          | 0.51             | %          | 0.51              | %          | 0.40              | %          |
| Expenses (including Performance fees)                           |       | 3.25             | %          | 4.02             | %          | 2.12             | %          | 2.95             | %          | 2.12              | %          | 1.63              | %          |
|                                                            |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net investment income (loss)                                    |       | -3.26            | %          | -4.02            | %          | -2.13            | %          | -2.96            | %          | -2.13             | %          | -1.63             | %          |

 

----

(a) The total return calculations arebased on compounded monthly returns and are calculated for each class taken asa whole. An individual members’ return may vary from these returns based ontiming of capital transactions. 

 

See notes to financial statements.

 

6

----

 

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

FINANCIAL DATA HIGHLIGHTS

For the three months ended September 30, 2009 (unaudited)

The following per Unit data and ratios have been derived frominformation provided in the financial statements.

 
| ** **                                               | ** ** | **Class A** | ** ** | **Class C** | ** ** | **Class D** | ** ** | **Class I** | ** ** | **Class DS *** | ** ** | **Class DT **** | ** ** |
|----------------------------------------------------------|------------|------------------|------------|------------------|------------|------------------|------------|------------------|------------|--------------------------|------------|---------------------------|------------|
| **Per Unit Operating Performance:**                      |       |             |       |             |       |             |       |             |       |                     |       |                      |       |
|                                                     |       |             |       |             |       |             |       |             |       |                     |       |                      |       |
| Net asset value, beginning of period                     |       | $                | 1.5024     |             | $          | 1.4391           |       | $                | 1.4789     |                     | $          | 1.5172                    |       | $ | 1.4771 |   | $ | 1.5159 |   |
|                                                     |       |             |       |             |       |             |       |             |       |                     |       |                      |       |
| Realized and change in unrealized trading profit  (loss) |       | 0.0202           |       | 0.0196           |       | 0.0202           |       | 0.0207           |       | 0.0202                   |       | 0.0207                    |       |
| Brokerage commissions                                    |       | (0.0004          | )          | (0.0004          | )          | (0.0004          | )          | (0.0004          | )          | (0.0004                  | )          | (0.0004                   | )          |
| Interest income                                          |       | (0.0000          | )          | (0.0000          | )          | (0.0000          | )          | (0.0000          | )          | (0.0000                  | )          | (0.0000                   | )          |
| Expenses                                                 |       | (0.0136          | )          | (0.0168          | )          | (0.0081          | )          | (0.0125          | )          | (0.0081                  | )          | (0.0064                   | )          |
|                                                     |       |             |       |             |       |             |       |             |       |                     |       |                      |       |
| Net asset value, end of period                           |       | $                | 1.5086     |             | $          | 1.4415           |       | $                | 1.4906     |                     | $          | 1.5250                    |       | $ | 1.4888 |   | $ | 1.5298 |   |
|                                                     |       |             |       |             |       |             |       |             |       |                     |       |                      |       |
| **Total Return: (a)**                                    |       |             |       |             |       |             |       |             |       |                     |       |                      |       |
|                                                     |       |             |       |             |       |             |       |             |       |                     |       |                      |       |
| Total return before Performance fees                     |       | 0.41             | %          | 0.51             | %          | 0.79             | %          | 0.51             | %          | 0.79                     | %          | 0.92                      | %          |
| Performance fees                                         |       | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00                     | %          | 0.00                      | %          |
| Total return after Performance fees                      |       | 0.41             | %          | 0.51             | %          | 0.79             | %          | 0.51             | %          | 0.79                     | %          | 0.92                      | %          |
|                                                     |       |             |       |             |       |             |       |             |       |                     |       |                      |       |
| **Ratios to Average Members’  Capital:**            |       |             |       |             |       |             |       |             |       |                     |       |                      |       |
|                                                     |       |             |       |             |       |             |       |             |       |                     |       |                      |       |
| Expenses (excluding Performance fees)                    |       | 1.18             | %          | 0.83             | %          | 0.55             | %          | 0.83             | %          | 0.55                     | %          | 0.43                      | %          |
| Performance fees                                         |       | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00                     | %          | 0.00                      | %          |
| Expenses (including Performance fees)                    |       | 1.18             | %          | 0.83             | %          | 0.55             | %          | 0.83             | %          | 0.55                     | %          | 0.43                      | %          |
|                                                     |       |             |       |             |       |             |       |             |       |                     |       |                      |       |
| Net investment income (loss)                             |       | -1.18            | %          | -0.83            | %          | -0.55            | %          | -0.83            | %          | -0.55                    | %          | -0.43                     | %          |

 

----

*Class DSand was previously known as Class D-SM.

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

(a) Thetotal return calculations are based on compounded monthly returns and arecalculated for each class taken as a whole. An individual members’ return mayvary from these returns based on timing of capital transactions.

 

Seenotes to financial statements.

 

7

----

 

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

FINANCIAL DATA HIGHLIGHTS

For the nine months ended September 30, 2009 (unaudited)

The following per Unit data and ratios have been derived frominformation provided in the financial statements.

 
| ** **                                               | ** ** | **Class A** | ** ** | **Class C** | ** ** | **Class D** | ** ** | **Class I** | ** ** | **Class DS *** | ** ** | **Class DT **** | ** ** |
|----------------------------------------------------------|------------|------------------|------------|------------------|------------|------------------|------------|------------------|------------|--------------------------|------------|---------------------------|------------|
| **Per Unit Operating Performance:**                      |       |             |       |             |       |             |       |             |       |                     |       |                      |       |
|                                                     |       |             |       |             |       |             |       |             |       |                     |       |                      |       |
| Net asset value, beginning of period                     |       | $                | 1.6440     |             | $          | 1.5827           |       | $                | 1.6066     |                     | $          | 1.6566                    |       | $ | 1.6046 |   | $ | 1.6425 |   |
|                                                     |       |             |       |             |       |             |       |             |       |                     |       |                      |       |
| Realized and change in unrealized trading profit  (loss) |       | (0.0915          | )          | (0.0879          | )          | (0.0897          | )          | (0.0922          | )          | (0.0895                  | )          | (0.0918                   | )          |
| Brokerage commissions                                    |       | (0.0012          | )          | (0.0011          | )          | (0.0012          | )          | (0.0012          | )          | (0.0012                  | )          | (0.0012                   | )          |
| Interest income                                          |       | 0.0001           |       | 0.0001           |       | 0.0001           |       | 0.0001           |       | 0.0001                   |       | 0.0001                    |       |
| Expenses                                                 |       | (0.0428          | )          | (0.0523          | )          | (0.0252          | )          | (0.0383          | )          | (0.0252                  | )          | (0.0198                   | )          |
|                                                     |       |             |       |             |       |             |       |             |       |                     |       |                      |       |
| Net asset value, end of period                           |       | $                | 1.5086     |             | $          | 1.4415           |       | $                | 1.4906     |                     | $          | 1.5250                    |       | $ | 1.4888 |   | $ | 1.5298 |   |
|                                                     |       |             |       |             |       |             |       |             |       |                     |       |                      |       |
| **Total Return: (a)**                                    |       |             |       |             |       |             |       |             |       |                     |       |                      |       |
|                                                     |       |             |       |             |       |             |       |             |       |                     |       |                      |       |
| Total return before Performance fees                     |       | -8.25            | %          | -8.94            | %          | -7.21            | %          | -7.98            | %          | -7.21                    | %          | -6.86                     | %          |
| Performance fees                                         |       | 0.00             | %          | 0.00             | %          | -0.01            | %          | 0.00             | %          | -0.01                    | %          | 0.00                      | %          |
| Total return after Performance fees                      |       | -8.25            | %          | -8.94            | %          | -7.22            | %          | -7.98            | %          | -7.22                    | %          | -6.86                     | %          |
|                                                     |       |             |       |             |       |             |       |             |       |                     |       |                      |       |
| **Ratios to Average Members’  Capital:**            |       |             |       |             |       |             |       |             |       |                     |       |                      |       |
|                                                     |       |             |       |             |       |             |       |             |       |                     |       |                      |       |
| Expenses (excluding Performance fees)                    |       | 2.76             | %          | 3.51             | %          | 1.64             | %          | 2.46             | %          | 1.63                     | %          | 1.26                      | %          |
| Performance fees                                         |       | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.01                     | %          | -0.01                     | %          |
| Expenses (including Performance fees)                    |       | 2.76             | %          | 3.51             | %          | 1.64             | %          | 2.46             | %          | 1.64                     | %          | 1.25                      | %          |
|                                                     |       |             |       |             |       |             |       |             |       |                     |       |                      |       |
| Net investment income (loss)                             |       | -2.76            | %          | -3.50            | %          | -1.64            | %          | -2.46            | %          | -1.64                    | %          | -1.25                     | %          |

 

----

*Class DSand was previously known as Class D-SM.

**Class DT was previously known as Class D-TF.

(a) Thetotal return calculations are based on compounded monthly returns and arecalculated for each class taken as a whole. An individual members’ return mayvary from these returns based on timing of capital transactions.

 

See notes to financial statements.

 

8

----

 

ML WINTON FUTURESACCESS LLC

(a Delaware LimitedLiability Company)

 

NOTES TO FINANCIAL STATEMENTS

(unaudited)

 

1.               SUMMARY OF SIGNIFICANTACCOUNTING POLICIES

 

ML Winton FuturesAccess LLC (the “Fund”), a Merrill Lynch FuturesAccessProgram (the “Program”) fund, was organized under the Delaware LimitedLiability Company Act on May 17, 2004 and commenced trading activities on February 1,2005. The Fund issues new units of limited liability company interest (“Units”)at Net Asset Value per Unit (see Item 2 for discussion of net asset value andnet asset value per unit for subscriptions and redemptions purposes hereinafterreferred to as Net Asset Value and Net Asset Value per Unit) as of thebeginning of each calendar month. The Fund engages in the speculative tradingof futures, options on futures and forward contracts on a wide range ofcommodities. Winton Capital Management (“Winton” or “trading advisor”) is thetrading advisor of the Fund.

 

Merrill Lynch Alternative Investments LLC (“MLAI” or the “Sponsor”) isthe Sponsor of the Fund. MLAI is an indirect wholly-owned subsidiary of MerrillLynch & Co., Inc. (“Merrill Lynch”). Merrill Lynch, Pierce,Fenner & Smith Incorporated (“MLPF&S”), a wholly-owned subsidiaryof Merrill Lynch, is the Fund’s commodity broker. Merrill Lynch is awholly-owned subsidiary of Bank of America Corporation.

 

The Program is a group of commodity pools sponsored by MLAI (each a “ProgramFund” or collectively, “Program Funds”) each of which places substantially allof its assets in a managed futures and forward trading account managed by asingle or multiple commodity trading advisors. Each Program Fund is generallysimilar to the Fund in terms of fees, Classes of Units and redemption rights.Each of the Program Funds implements a different trading strategy.

 

TheFund offers six Classes of Units:  Class A,Class C, Class D, Class DT, Class DS, and Class I.  Each Class of Units except for Class DTand Class DS was offered at $1.00 per Unit during the initial offeringperiod and subsequently is offered at Net Asset Value per Unit.  Class DS commenced on April 2, 2007and was offered at $1.0733 and Class DT commenced on June 1, 2007 andwas offered at $1.1914.  The six Classesof Units are subject to different Sponsor fees.

 

Interestsin the Fund are not insured or otherwise protected by the Federal DepositInsurance Corporation or any other government authority.  Interests are not deposits or otherobligations of, and are not guaranteed by, Bank of America Corporation or anyof its affiliates or by any bank. Interests are subject to investment risks, including the possible lossof the full amount invested.

 

9

----

 

In the opinion of management, these interim financial statementscontain all adjustments, consisting only of normal recurring adjustments,necessary for a fair statement of the financial position of the Fund as of September 30,2010 and the results of its operations for the three and nine months ended September 30,2010 and 2009.  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 (“U.S. GAAP”) have beenomitted.  These financial statementsshould be read in conjunction with the financial statements and notes theretoincluded in the Fund’s Annual Report on Form 10-K filed with the Securitiesand Exchange Commission for the year ended December 31, 2009. Certainprior period items have been reclassified to conform to the current periodpresentation.

 

Estimates

 

The preparation of financial statements in conformity with U.S. GAAPrequires management to make estimates and assumptions that may affect thereported amounts of assets and liabilities and disclosure of contingent assetsand liabilities at the date of the financial statements as well as the reportedamounts of revenues and expenses during the reporting period.  Actual results could differ from thoseestimates.

 

10

----

 

2.               CONDENSED SCHEDULES OFINVESTMENTS

 

The Fund’s investments, defined as Net unrealized profit (loss) on opencontracts in the Statements of Financial Condition, as of September 30,2010 and December 31, 2009 are as follows:

 

**September 30, 2010**

 
| ** **                  | ** ** | **Long Positions** | ** ** | **Short Positions** | ** ** | **Net Unrealized**        | ** ** | ** **         | ** ** | ** **             | ** ** |
|-----------------------------|------------|-------------------------|------------|--------------------------|------------|--------------------------------|------------|--------------------|------------|------------------------|------------|
| **Commodity Industry** | ** ** | **Number of**      | ** ** | **Unrealized**           | ** ** | **Percent of**            | ** ** | **Number of** | ** ** | **Unrealized**         | ** ** | **Percent of** | ** ** | **Profit (Loss)** | ** ** | **Percent of** | ** ** | ** ** | ** ** |
| **Sector**                  | ** ** | **Contracts**           | ** ** | **Profit (Loss)**   | ** ** | **Members’ Capital** | ** ** | **Contracts**      | ** ** | **Profit (Loss)** | ** ** | **Members’ Capital** | ** ** | **on Open Positions** | ** ** | **Members’ Capital** | ** ** | **Maturity Dates** | ** ** |
|                        |       |                    |       |                     |       |                           |       |               |       |                   |       |   |   |   |   |   |   |   |   |
| Agriculture                 |       | 3,219                   |       | $                        | 2,050,392  |                           | 0.25       | %                  | (482       | )                      | (93,078    | ) | -0.01 | % | $ | 1,957,314 |   | 0.24 | % | October 2010  - April 2011 |   |
| Currencies                  |       | 4,530                   |       | 12,245,043               |       | 1.48                           | %          | (776               | )          | (5,392,881             | )          | -0.65 | % | 6,852,162 |   | 0.83 | % | December 2010 |   |
| Energy                      |       | 167                     |       | 429,554                  |       | 0.05                           | %          | (747               | )          | (1,668,353             | )          | -0.20 | % | (1,238,799 | ) | -0.15 | % | October 2010  - January 2011 |   |
| Interest rates              |       | 21,003                  |       | 13,467,914               |       | 1.62                           | %          | (161               | )          | (441                   | )          | 0.00 | % | 13,467,473 |   | 1.62 | % | October 2010  - December 2012 |   |
| Metals                      |       | 1,402                   |       | 11,008,615               |       | 1.33                           | %          | (153               | )          | (1,055,343             | )          | -0.13 | % | 9,953,272 |   | 1.20 | % | November 2010  - September 2011 |   |
| Stock indices               |       | 3,127                   |       | 570,295                  |       | 0.07                           | %          | (163               | )          | (135,319               | )          | -0.02 | % | 434,976 |   | 0.05 | % | October 2010  - December 2010 |   |
|                        |       |                    |       |                     |       |                           |       |               |       |                   |       |   |   |   |   |   |   |   |   |
| Total                       |       |                    |       | $                        | 39,771,813 |                           | 4.80       | %                  |       |                   | $          | (8,345,415 | ) | -1.01 | % | $ | 31,426,398 |   | 3.79 | % |   |   |
|                             |            |                         |            |                          |            |                                |            |                    |            |                        |            |  |  |  |  |  |  |  |  |  |  |  |

 

**December 31, 2009**

 
|                        |       | **Long Positions** |       | **Short Positions** |       |                           |       |               |       |                   |       |
|-----------------------------|------------|-------------------------|------------|--------------------------|------------|--------------------------------|------------|--------------------|------------|------------------------|------------|
| **Commodity Industry** | ** ** | **Number of**      | ** ** | **Unrealized**           | ** ** | **Percent of**            | ** ** | **Number of** | ** ** | **Unrealized**         | ** ** | **Percent of** | ** ** | **Profit (Loss)** | ** ** | **Percent of** | ** ** | ** ** |   |
| **Sector**                  | ** ** | **Contracts**           | ** ** | **Profit (Loss)**   | ** ** | **Members’ Capital** | ** ** | **Contracts**      | ** ** | **Profit (Loss)** | ** ** | **Members’ Capital** | ** ** | **on Open Positions** | ** ** | **Members’ Capital** | ** ** | **Maturity Dates** |   |
| ** **                  | ** ** | ** **              | ** ** | ** **               | ** ** | ** **                     | ** ** | ** **         | ** ** | ** **             | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** |   |
| Agriculture                 |       | 1,102                   |       | $                        | 1,087,413  |                           | 0.14       | %                  | (989       | )                      | $          | (286,832 | ) | -0.04 | % | $ | 800,581 |   | 0.10 | % | January 10  - November 10 |   |
| Currencies                  |       | 2,892                   |       | (2,562,251               | )          | -0.34                          | %          | (302               | )          | (169,839               | )          | -0.02 | % | (2,732,090 | ) | -0.36 | % | March 10 |   |
| Energy                      |       | 106                     |       | 134,142                  |       | 0.02                           | %          | (255               | )          | (642,428               | )          | -0.09 | % | (508,286 | ) | -0.07 | % | January 10  - December 10 |   |
| Interest rates              |       | 7,633                   |       | (179,602                 | )          | -0.03                          | %          | (460               | )          | 17,539                 |       | 0.00 | % | (162,063 | ) | -0.03 | % | January 10  - June 10 |   |
| Metals                      |       | 1,420                   |       | 3,027,127                |       | 0.40                           | %          | (106               | )          | (880,988               | )          | -0.13 | % | 2,146,139 |   | 0.27 | % | January 10  - April 10 |   |
| Stock indices               |       | 5,218                   |       | 3,774,920                |       | 0.50                           | %          | (16                | )          | (14,035                | )          | 0.00 | % | 3,760,885 |   | 0.50 | % | January 10  - March 10 |   |
|                        |       |                    |       |                     |       |                           |       |               |       |                   |       |   |   |   |   |   |   |   |   |
| Total                       |       |                    |       | $                        | 5,281,749  |                           | 0.69       | %                  |       |                   | $          | (1,976,583 | ) | -0.28 | % | $ | 3,305,166 |   | 0.41 | % |   |   |

 

No individual contract’sunrealized gain or loss comprised greater than 5% of the Members’ Capital as ofSeptember 30, 2010 and December 31, 2009.

 

11

----

 

3.               FAIR VALUE OFINVESTMENTS

 

TheFinancial Accounting Standards Board (“FASB”) issued the Accounting StandardsCodification (“ASC”) which provides authoritative guidance on fair valuemeasurement. This guidance defines fair value, establishes a framework formeasuring fair value and expands disclosures about fair value measurements.

 

Fairvalue of an investment is the amount that would be received to sell theinvestment in an orderly transaction between market participants at themeasurement date (i.e. the exit price). Allinvestments (including derivative financial instruments and derivativecommodity instruments) are held for trading purposes.  The investments are recorded on trade dateand open contracts are recorded at fair value (described below) at themeasurement date. Investments denominated in foreign currencies are translatedinto U.S. dollars at the exchange rates prevailing at the measurementdate.  Gains or losses are realized whencontracts are liquidated.  Unrealizedgains or losses on open contracts are included in Equity in a commodity tradingaccount.  Any change in net unrealizedgain or loss from the preceding period is reported in the Statement ofOperations.

 

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

 

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

 

LevelI — Quoted prices are available in active markets for identical investments asof the reporting date. The type of investments included in Level I are publiclytraded investments. As required by the fair market value measurement guidance,the Fund does not adjust the quoted price for these investments even insituations where the Fund holds a large position and a sale could reasonablyimpact the quoted price.

 

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

 

LevelIII — Pricing inputs are unobservable and include situations where there islittle, if any, market activity for the investment. Fair value for theseinvestments is determined using valuation methodologies that consider a rangeof factors, including but not limited to the nature of the investment, localmarket conditions, trading values on public exchanges for comparablesecurities, current and projected operating performance and financingtransactions subsequent to the acquisition of the investment. The inputs intothe determination of fair value require significant management judgment. Due tothe inherent uncertainty of these estimates, these values may differ materiallyfrom the values that would have been used had a ready market for theseinvestments existed. Investments that are included in this category generallyare privately held debt and equity securities.

 

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In certain cases, the inputs used to measure fair value may fall intodifferent levels of the fair value hierarchy. In such cases, an investment’slevel within the fair value hierarchy is based on the lowest level of inputthat is significant to the fair value measurement. MLAI’s assessment of thesignificance of a particular input to the fair value measurement in itsentirety requires judgment, and considers factors specific to the investment.

 

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

 

Exchangetraded investments are fair valued by the Fund by using the reported closingprice on the primary exchange where it trades such investments.  These closing prices are observed through theclearing broker and third party pricing services. For non-exchange tradedinvestments, quoted values and other data provided by nationally recognizedindependent pricing sources are used by the Fund as inputs into its process fordetermining fair values.

 

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

 

TheFund has determined that Level I securities would include all of its futuresand options contracts where it believes that quoted prices are available in anactive market.

 

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

 

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The Fund’s net unrealized profit (loss) on open forward and futurescontracts by the above fair value hierarchy levels as of September 30,2010 and December 31, 2009 are as follows:

 
| **Net unrealized profit (loss)  on open contracts** | ** ** | **Total** | ** ** | **Level I** | ** ** | **Level II** | ** ** | **Level III** | ** ** |
|------------------------------------------------------------------------------|------------|-----------|------------|------------------|------------|-------------------|------------|--------------------|------------|
|                                                                         |       |      |       |             |       |              |       |               |       |
| Futures                                                                      |       |      |       |             |       |              |       |               |       |
| Long                                                                         |       | $         | 39,771,813 |             | 38,233,588 |              | 1,538,225  |               | —     |   |
| Short                                                                        |       | $         | (8,345,415 | )                | (7,290,072 | )                 | (1,055,343 | )                  | —     |   |
|                                                                         |       | $         | 31,426,398 |             | $          | 30,943,516        |       | $                  | 482,882    |   | $ | — |   |
|                                                                         |       |      |       |             |       |              |       |               |       |
| Forwards                                                                     |       |      |       |             |       |              |       |               |       |
| Long                                                                         |       | $         | —     |             | —     |              | —     |               | —     |   |
| Short                                                                        |       | $         | —     |             | —     |              | —     |               | —     |   |
|                                                                         |       | $         | —     |             | $          | —            |       | $                  | —     |   | $ | — |   |
|                                                                         |       |      |       |             |       |              |       |               |       |
| September 30, 2010                                                      |       | $         | 31,426,398 |             | $          | 30,943,516        |       | $                  | 482,882    |   | $ | — |   |

 
| **Net unrealized profit (loss)** | ** ** | ** ** | ** ** | ** **       | ** ** | ** **        | ** ** | ** **         | ** ** |
|-------------------------------------------------|------------|------------|------------|------------------|------------|-------------------|------------|--------------------|------------|
| **on open contracts**                 | ** ** | **Total**  | ** ** | **Level I** | ** ** | **Level II** | ** ** | **Level III** | ** ** |
|                                            |       |       |       |             |       |              |       |               |       |
| Futures                                         |       |       |       |             |       |              |       |               |       |
| Long                                            |       | $          | 5,281,749  |             | 2,081,900  |              | 3,199,849  |               | —     |   |
| Short                                           |       | $          | (1,976,583 | )                | (1,095,596 | )                 | (880,987   | )                  | —     |   |
|                                            |       | $          | 3,305,166  |             | $          | 986,304           |       | $                  | 2,318,862  |   | $ | — |   |
|                                            |       |       |       |             |       |              |       |               |       |
| Forwards                                        |       |       |       |             |       |              |       |               |       |
| Long                                            |       | $          | —     |             | —     |              | —     |               | —     |   |
| Short                                           |       | $          | —     |             | —     |              | —     |               | —     |   |
|                                            |       | $          | —     |             | $          | —            |       | $                  | —     |   | $ | — |   |
|                                            |       |       |       |             |       |              |       |               |       |
| December 31, 2009                          |       | $          | 3,305,166  |             | $          | 986,304           |       | $                  | 2,318,862  |   | $ | — |   |

 

The Fund’s volume of trading futures as of the period and year ended September 30,2010 and the December 31, 2009, respectively, are representative of theactivity throughout these periods.

 

Therewere no significant transfers to or from Level I or II during the quarter andperiod ended September 30, 2010.

 

The Fund engages in the speculative trading of futures, options onfutures and forward contracts on a wide range of commodities. Such contractsmeet the definition of a derivative as noted in the guidance for accounting for derivative and hedgingactivities. The fair value amounts of and the gains and losses 

 

14

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on derivative instruments is disclosed in the statements of financialcondition and statements of operations, respectively. There are no creditrelated contingent features embedded in these derivative contracts.

 

Thefollowing table indicates the trading gains and losses, by commodity industrysector, on derivative instruments for each of the three month and nine monthperiods ended September 30, 2010 and 2009:

 
| ** **                              | ** ** | **For the three months ended** | ** ** | **For the nine months ended** | ** ** |
|-----------------------------------------|------------|----------------------------------------------------|------------|---------------------------------------------------|------------|
| ** **                              | ** ** | **September 30, 2010**                   | ** ** | **September 30, 2010**                  | ** ** |
| **Commodity Industry Sector** | ** ** | **Gain (loss) from trading**        | ** ** | **Gain (loss) from trading**       | ** ** |
|                                    |       |                                               |       |                                              |       |
| Agriculture                             |       | $                                                  | (5,577,669 | )                                                 | (3,813,506 | ) |
| Currencies                              |       | (4,698,321                                         | )          | 25,391,299                                        |       |
| Energy                                  |       | (5,729,477                                         | )          | (14,661,413                                       | )          |
| Interest rates                          |       | 38,968,549                                         |       | 91,138,697                                        |       |
| Metals                                  |       | 5,419,928                                          |       | 9,256,537                                         |       |
| Stock indices                           |       | (2,047,694                                         | )          | (19,346,241                                       | )          |
|                                    |       |                                               |       |                                              |       |
| Total                                   |       | $                                                  | 26,335,316 |                                              | 87,965,373 |   |

 
| ** **                              | ** ** | **For the three months ended** | ** ** | **For the nine months ended** | ** **  |
|-----------------------------------------|------------|----------------------------------------------------|------------|---------------------------------------------------|-------------|
| ** **                              | ** ** | **September 30, 2009**                   | ** ** | **September 30, 2009**                  | ** **  |
| **Commodity Industry Sector** | ** ** | **Gain (loss) from trading**        | ** ** | **Gain (loss) from trading**       | ** **  |
|                                    |       |                                               |       |                                              |        |
| Agriculture                             |       | $                                                  | (54,176    | )                                                 | 5,548,347   |   |
| Currencies                              |       | 10,685,650                                         |       | (9,299,725                                        | )           |
| Energy                                  |       | (4,607,969                                         | )          | (8,964,646                                        | )           |
| Interest rates                          |       | 13,652,216                                         |       | (7,264,243                                        | )           |
| Metals                                  |       | 2,284,217                                          |       | (7,344,569                                        | )           |
| Stock indices                           |       | (11,423,439                                        | )          | (18,247,529                                       | )           |
|                                    |       |                                               |       |                                              |        |
| Total                                   |       | $                                                  | 10,536,499 |                                              | (45,572,365 | ) |

 

TheFund is subject to the risk of insolvency of a counterparty, an exchange, aclearinghouse or MLPF&S.  Fund assetscould be lost or impounded during lengthy bankruptcy proceedings.  Were a substantial portion of the Fund’scapital tied up in a bankruptcy or other similar types of proceedings, MLAImight suspend or limit trading, perhaps causing the Fund to miss significantprofit opportunities.  There areincreased risks in dealing with unregulated trading counterparties includingthe risk that assets may not benefit from the protection afforded to “customerfunds” deposited with regulated dealers and brokers.

 

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4.               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 (loss) 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.

 

MLAI,has procedures in place intended to control market risk exposure, althoughthere can be no assurance that they will, in fact, succeed in doing so.  These procedures focus primarily onmonitoring the trading of Winton, calculating the Net Asset Value of the Fundas of the close of business on each day and reviewing outstanding positions forover-concentrations.  While MLAI does notintervene in the markets to hedge or diversify the Fund’s market exposure, MLAImay urge Winton to reallocate positions in an attempt to avoidover-concentrations.  However, suchinterventions are expected to be unusual. It is expected that MLAI’s basic risk control procedures consist simplyof the ongoing process of advisor monitoring, with the market risk controlsbeing applied by Winton.

 

CreditRisk

 

Therisks associated with exchange-traded contracts are typically perceived to beless than those associated with over-the-counter (non-exchange-traded)transactions, because exchanges typically (but not universally) provideclearinghouse arrangements in which the collective credit (in some caseslimited in amount, in some cases not) of the members of the exchange is pledgedto support the financial integrity of the exchange.  In over-the-counter transactions, on theother hand, traders must rely solely on the credit of their respectiveindividual counterparties.  Margins,which may be subject to loss in the event of a default, are generally requiredin exchange trading, and counterparties may also require margin in theover-the-counter markets.

 

Thecredit risk associated with these instruments from counterparty nonperformanceis the net unrealized profit on open contracts, if any, included in theStatements of Financial Condition. The Fund attempts to mitigate this risk bydealing exclusively with Merrill Lynch entities as clearing brokers.

 

TheFund, in its normal course of business, enters into various contracts withMLPF&S acting as its commodity broker. Pursuant to the brokerage arrangement with MLPF&S (which includes anetting arrangement), to the extent that such trading results in receivablesfrom and payables to MLPF&S, these receivables and payables are offset andreported as a net receivable or payable and included in Equity in commoditytrading accounts in the Statements of Financial Condition.

 

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Indemnifications

 

In the normal course ofbusiness, the Fund has entered, or may in the future enter into agreements thatobligate the Fund to indemnify third parties, including affiliates of the Fund,for breach of certain representations and warranties made by the Fund. Noclaims have actually been made with respect to such indemnities and anyquantification would involve hypothetical claims that have not been made. Basedon the Fund’s experience, MLAI expected the risk of loss to be remote and,therefore, no provision has been recorded.

 

5.               RECENT ACCOUNTINGPRONOUNCEMENTS

 

In January 2010, the FASB issued an update to the fair valuemeasurements disclosure. Pursuant to this update, additional disclosures in thefinancial statements relating to transfers in and out of Levels 1 and 2 fairvalue measurements and separate disclosure of purchases, sales, issuances, andsettlements in Level 3 rollforward, will be required. In addition, this updateprovides clarifications on i) the level of aggregation of classes of assets andliabilities disclosed in the fair value measurement disclosures and ii)disclosures relating to the inputs and valuation techniques for Level 2 andLevel 3 fair value measurements. The new disclosures and clarifications ofexisting disclosures are effective for annual reporting periods beginning afterDecember 15, 2009, except for the disclosures about purchases, sales,issuances, and settlements in the Level 3 roll forward which are effective forfiscal years beginning after December 15, 2010. This update furtherenhances the fair value disclosures and the Manager has determined that theadoption of this update on January 1, 2010, did not have a material impactto the Fund’s financial statements.

 

6.               SUBSEQUENT EVENTS

 

Managementhas evaluated the impact of subsequent events on the Fund and has determinedthat there were no subsequent events that require adjustments to, or disclosurein, the financial statements.

 

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Item2. Management’s Discussion and Analysis of Financial Condition and Results ofOperations

 

MONTH-END NET ASSET VALUEPER UNIT

 

MLAI believes that the Net Asset Value used to calculate subscriptionand redemption value and to report performance to investors throughout the yearis a useful performance measure for the investors of the Fund.  Therefore, the charts below referencing NetAsset Value and performance measurements are based on the Net Asset Value forfinancial reporting purposes.

 

The Fund calculates the Net Asset Value per unitof each class of units as of the close of business on the last business day ofeach calendar month and such other dates as MLAI may determine in itsdiscretion. The Fund’s “Net Asset Value” as of any calculation date willgenerally equal the value of the Fund’s account under the management of itstrading advisor as of such date, plus any other assets held by the Fund, minusaccrued brokerage commissions, sponsor’s, management and performance fees, andany operating costs and other liabilities of the Fund. MLAI is authorized tomake all Net Asset Value determinations.

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS A

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **Jul.** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|
| 2009       |       | $        | 1.6553     |     | $          | 1.6464   |       | $        | 1.6155     |    | $          | 1.5632   |       | $        | 1.5257     |     | $          | 1.5024    |       | $ | 1.4745 |   | $ | 1.4752 |   | $ | 1.5086 |   |
| 2010       |       | $        | 1.4713     |     | $          | 1.5023   |       | $        | 1.5668     |    | $          | 1.5878   |       | $        | 1.5790     |     | $          | 1.6010    |       | $ | 1.5506 |   | $ | 1.6239 |   | $ | 1.6297 |   |

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS C

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **Jul.** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|
| 2009       |       | $        | 1.5921     |     | $          | 1.5822   |       | $        | 1.5513     |    | $          | 1.4998   |       | $        | 1.4626     |     | $          | 1.4391    |       | $ | 1.4112 |   | $ | 1.4107 |   | $ | 1.4415 |   |
| 2010       |       | $        | 1.4011     |     | $          | 1.4295   |       | $        | 1.4896     |    | $          | 1.5083   |       | $        | 1.4986     |     | $          | 1.5182    |       | $ | 1.4692 |   | $ | 1.5374 |   | $ | 1.5416 |   |

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS D

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **Jul.** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|
| 2009       |       | $        | 1.6193     |     | $          | 1.6126   |       | $        | 1.5842     |    | $          | 1.5349   |       | $        | 1.4999     |     | $          | 1.4789    |       | $ | 1.4532 |   | $ | 1.4558 |   | $ | 1.4906 |   |
| 2010       |       | $        | 1.4610     |     | $          | 1.4937   |       | $        | 1.5598     |    | $          | 1.5827   |       | $        | 1.5758     |     | $          | 1.5998    |       | $ | 1.5514 |   | $ | 1.6268 |   | $ | 1.6346 |   |

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS I

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **Jul.** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|
| 2009       |       | $        | 1.6687     |     | $          | 1.6603   |       | $        | 1.6297     |    | $          | 1.5774   |       | $        | 1.5401     |     | $          | 1.5172    |       | $ | 1.4894 |   | $ | 1.4907 |   | $ | 1.5250 |   |
| 2010       |       | $        | 1.4892     |     | $          | 1.5211   |       | $        | 1.5870     |    | $          | 1.6088   |       | $        | 1.6004     |     | $          | 1.6232    |       | $ | 1.5726 |   | $ | 1.6475 |   | $ | 1.6540 |   |

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS DS

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **Jul.** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|
| 2009       |       | $        | 1.6173     |     | $          | 1.6106   |       | $        | 1.5822     |    | $          | 1.5329   |       | $        | 1.4980     |     | $          | 1.4771    |       | $ | 1.4514 |   | $ | 1.4540 |   | $ | 1.4888 |   |
| 2010       |       | $        | 1.4592     |     | $          | 1.4919   |       | $        | 1.5579     |    | $          | 1.5807   |       | $        | 1.5739     |     | $          | 1.5978    |       | $ | 1.5495 |   | $ | 1.6248 |   | $ | 1.6326 |   |

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS DT

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **Jul.** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|
| 2009       |       | $        | 1.6568     |     | $          | 1.6500   |       | $        | 1.6217     |    | $          | 1.5718   |       | $        | 1.5367     |     | $          | 1.5159    |       | $ | 1.4902 |   | $ | 1.4934 |   | $ | 1.5298 |   |
| 2010       |       | $        | 1.5020     |     | $          | 1.5362   |       | $        | 1.6048     |    | $          | 1.6291   |       | $        | 1.6227     |     | $          | 1.6480    |       | $ | 1.5988 |   | $ | 1.6788 |   | $ | 1.6879 |   |

 

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Liquidity and Capital Resources

 

The Fund does not engage in the sale of goods orservices.  The Fund’s assets are its (i) equityin its trading account, consisting of cash and cash equivalents (and restrictedcash) and (ii) interest receivable. Because of the low margin deposits normally required in commodityfutures trading relatively small price movements may result in substantiallosses to the Fund.  While substantiallosses could lead to a material decrease in liquidity, no such material lossesoccurred during the third quarter of 2010 and there was no impact on the Fund’sliquidity.

 

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

 

For the nine months ended September 30, 2010,Fund capital increased 10.52% from $750,036,467 to $828,944,682.  This increase was attributable to the netgain from operations of $63,552,957, coupled with the redemption of 54,110,774Redeemable Units resulting in an outflow of $83,211,083.  The cash outflow was offset with cash inflowof $98,566,341 due to subscription of 65,337,856 units.  Future redemptions could impact the amount offunds available for investment in commodity contract positions in subsequentmonths.

 

Critical Accounting Policies

 

Statement of Cash Flows

 

The Fund is not required to provide a Statement ofCash Flows.

 

Investments

 

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

 

Cash Equivalents

 

The Fund considered all highly liquid investments, with a maturity ofthree months or less when acquired, to be cash equivalents. Cash equivalentswere recorded at amortized cost which approximated fair value (Level II seeNote 3). Cash was held at a nationally recognized financial institution.

 

Fair Value Measurements

 

Fair value is defined as the price that would bereceived to sell an asset or paid to transfer a liability in an orderlytransaction between market participants at the measurement date.  For more information on our treatment of fairvalue, see Note 3, Fair Value of Investments.

 

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Futures Contracts

 

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

 

Forward Foreign Currency Contracts

 

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

 

Interest Rates and Income

 

The Fund currently earns interest based on the prevailingFed Funds rate plus a spread for short cash positions and minus a spread forlong cash positions. The current short term interest rates have remainedextremely low when compared with historical rates and thus has contributednegligible amounts to overall Fund performance.

 

Income Taxes

 

No provision for income taxes has been made in the accompanyingfinancial statements as each Member is individually responsible for reportingincome or loss based on such Member’s share of the Fund’s income and expensesas reported for income tax purposes.

 

The Fund follows the ASC guidance onaccounting for uncertainty in income taxes. This guidance provides how uncertain tax positions should be recognized,measured, presented and disclosed in the financial statements.  This guidance also requires the evaluation oftax positions taken or expected to be taken in the course of preparing the Fund’sfinancial statements to determine whether the tax positions are “more-likely-than-not”to be sustained by the applicable tax authority.  Tax positions with respect to tax at the Fundlevel not deemed to meet the “more-likely-than-not” threshold would be recordedas a tax benefit or expense in the current year.  MLAI has analyzed the Fund’s tax positionsand has concluded that no provision for income tax is required in the Fund’sfinancial statements. The following are the major tax jurisdictions for theFund and the earliest tax year subject to examination: United States — 2007.

 

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Results of Operations

 

January 1, 2010 through March 31, 2010

 

TheFund experienced a net trading profit of $36,899,735 before brokeragecommissions and related fees in the first quarter of 2010. Profits wereattributable to currencies, interest rates, stock indices, agriculture, metalsand agriculture sectors.

 

Thecurrency sector posted profits to the Fund. Losses were posted to the Fund atthe beginning of the quarter. The Fund reintroduced currency forwards tradingon the Brazilian real and the Russian ruble due to the Fund’s intention to onlyuse currency forwards when the Fund is unable to gain satisfactory liquidity inthe futures markets. Profits were posted to the Fund in the middle of thequarter. Concerns over Greek Sovereign Debt andits impact on the euro formedthe back drop to January’s trading as the euro continuedits fall against the U.S. dollar and the short euro positions. Profits wereposted to the Fund at the end of the quarter due to the continued concern overthe economic situation in Greece with the risk of a similar story playing outin other European countries. The euro rallied for the first two weeks of March beforereversing resulting in new lows for the year plus the weakness in the Britishsterling resulting in profits being posted to the Fund.

 

Theinterest rate sector posted profits to the Fund. Profits were posted to theFund at the beginning through the middle of the quarter due to gains in theshort term interest rates.  Losses wereposted to the Fund at the end of the quarter due to the lack of clear directionin the bond markets.

 

Thestock indices sector posted profits to the Fund. Losses were posted to the Fundat the beginning of the quarter. January started well through the middleof the month. The Obama administration’s announcement of its intention toreduce speculative activities by banks started a sharp sell-off in equitymarkets, wiping out earlier gains. These losses occurred in long equitypositions. Profits were posted to the Fund in the middle of the quarter. StockIndex futures posted modest gains, with positions sizably reduced from theprevious month.  Profits were posted tothe Fund at the end of the quarter. The stock markets put in a strongperformance with the Dow Jones up, reaching a level not seen since September 2008.

 

Theagriculture sector posted profits to the Fund. Profits were posted to the Fundat the beginning of the quarter due to long positions in the sugar markets,whose price rallied due to supply concerns. Losses were posted to the Fund inthe middle of the quarter. The longer term bull market in sugar reversedsharply from multi-year highs as output in both Brazil and India rose. Profitswere posted to the Fund at the end of the quarter. Crops were up in March andthe center of the action in the commodities markets has been sugar, where overthe course of February and March it has gone from a 25 year high ofaround $29 down to $16.

 

Themetals sector posted profits to the Fund. Losses were posted to the Fund at thebeginning of the quarter. Poorer growth outlook resulted in many commoditiesmarkets selling off. The month of February was, to a large degree,dominated by news flow relating to the debt crisis within the Euro zone. Theprevailing macroeconomic sentiment oscillated between risk aversion andinflationary concerns with the former being marginally dominant. As a result,the Fund posted profits in the middle of the quarter. Profits were seen inindustrial metals in March, especially nickel which reached a twenty two monthhigh. The quarter ended with profits being posted to the Fund.

 

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Theenergy sector posted profits to the Fund. Losses were posted to the Fund at thebeginning through the middle of the quarter due to poorer growth outlookresulting in many commodities markets selling off.  Also, oil prices faced additional downwardpressure due to an increase in inventories and milder weather in the UnitedStates. The quarter ended with profits being posted to the Fund as commoditymarkets generally follow the direction of stock markets and finished the monthof March higher.

 

April 1,2010 through June 30, 2010

 

The Fund experienced a nettrading profit of $24, 730,322 before brokerage commissions and related fees inthe second quarter of 2010. Profits were attributable to interest rates,currencies and metals sectors while agriculture, energy and stock indicessectors posted losses.

 

The interest rate sectorposted profits to the Fund. Profits were posted to the Fund at the beginning ofthe quarter as bond markets rallied. Despite the concerns over sovereign debt,a rally in government bonds continued in May resulting in profits postedto the Fund in the middle of quarter. Greek, Portuguese and Spanish bond yieldshave continued to rise in June reflecting continued skepticism aboutlonger term viability. However, bond yields in the larger developed countriesfell, as doubts about the cyclical recovery rose, in part in response to weakerdata, not least in China, but also in part due to uncertainty concerning theright course for policy. The quarter ended with profits being posted to theFund.

 

The currency sector postedprofits to the Fund. The euro’s slide toward $1.32 in April was thebiggest contributor to the sector’s posting profits to the Fund. Profitscontinued to be posted to the Fund in the middle of the quarter with thetrading program’s short positions in euro and British pound positions coveringlosses from long positions in the Australian and Canadian dollar. Chinaannounced that it was to break the China yuan’s strict U.S. dollar peg, pavingthe way for a controlled level of appreciation. The currency peg had strainedrelations between the U.S. and China which had been accused of holding itscurrency at an artificially low level so as to help domestic exporters at theexpense of their foreign counterparts. The quarter ended with losses beingposted to the Fund.

 

The metals sector postedprofits to the Fund. The prices of base metals did not show any recovery afterthe major events in April which posted losses for the Fund but were offsetby existing long positions in precious metals resulting in profits being postedto the Fund at the beginning of the quarter. The month of May began with avery difficult first week, which ultimately determined the month-end result.Concerns about the euro continued and would spill over to the commodity marketsin the beginning of May. The fear was that the instability in Europe would on alarger scale be harmful to economic growth resulting in losses being posted tothe Fund in the middle of the quarter. Precious metals continued to appreciatein June resulting in profits being posted to the Fund.

 

The agriculture sectorposted losses to the Fund. Losses were posted to the Fund at the beginning andend of the quarter. Profits were posted to the Fund in the middle of thequarter due to short positions in grains.

 

The energy sector postedlosses to the Fund. Profits were posted to the Fund at the beginning of thequarter resulting from purchases in liquid energy products. Due to thedeclining prices in the energy markets, which started in the beginning of May,purchases of crude oil, heating oil and gasoline provided

 

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the biggest contribution tothe negative outcome of this sector resulting in losses posted to the Fund inthe middle of the quarter. The downward trends in the oil markets, initializedin May, did not continue in June resulting in losses being posted to theFund.

 

The stock indices postedlosses to the Fund. Profits were posted to the Fund at the beginning of thequarter.  The major events in the secondhalf of April, the closing of European airports due to the volcano ashproblems, the indictment against Goldman Sachs by the Securities and ExchangeCommission and when Standard & Poor downgraded Greece and Portugalwere strongly felt in the stock markets. Many equity indices, especiallyEuropean, did not recover from these shocks however, the markets in the UnitedStates especially in the small and midcap indices, showed the highestresilience resulting in profits being posted to the Fund. The most dramaticevent in the month of May was the so called “flash crash” in U.S. equitieson May 6th caused by an alleged trading irregularity resulting in lossesbeing posted to the Fund in the middle of the quarter. Equities continued theirdownward slide in June as concerns regarding European financial stabilityand global growth plagued markets. While stock indices globally reboundedslightly in the middle of June, the last two weeks were particularly volatileand stocks sold off resulting in losses being posted to the Fund at the end ofthe quarter.

 

July 1, 2010 to September 30,2010

 

The Fund experienced a nettrading profit of $26,335,316 before brokerage commissions and related fees inthe third quarter of 2010. Profits were attributable to the interest rate andmetal sectors while stock indices, currency, agriculture and the energy sectorsposted losses.

 

Theinterest rate sector posted profits to the Fund.  Profits were posted to the Fund at thebeginning of the quarter. July saw the defensive mood of the previous twomonths reverse with a rally in global equities, a stalling of the rise inGovernment bonds and a further recovery in the euro. Short term interest rates,driven by falls in U.S. and the LIBOR rates, were the best performing sector.Profits continued to be posted to the Fund in the middle of the quarter due tothe rally in U.S. government bonds that has lasted since April 2010. TheU.S. ten year note futures moved back to levels not seen since the end of 2008,while the German bund futures have moved far beyond their 2008 highs. Investorsappear to be seeking comfort in the perceived safety of the fixed incomemarkets. A U.S. government auction of 7 year securities at the end of August wascompleted at all time record low yields, with reports of strong privateinvestor flows into bond funds. The start of September saw a sell-off ingovernment bonds, in tandem with a rally in world equity markets. A statementby the U.S. Federal Reserve towards the end of the month drove expectations offurther quantitative easing so government bonds resumed their upward ascentresulting in losses being posted to the Fund at the end of the quarter.

 

The metals sector postedprofits to the Fund. Losses were posted to the Fund at the beginning of thequarter as the Fund’s trading program gave back a portion of the year’s gainswith precious metals contributing to the losses. Price movements in gold wereopposite to those of the prior month with precious metals contributing toprofits being post to the Fund in the middle of the quarter. Profits continuedto be posted at the end of the quarter as base metals moved higher at the endof September and gold prices hit fresh highs.

 

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The stock indices postedlosses to the Fund. Losses were posted to the Fund at the beginning of thequarter through the middle of the quarter. August brought weak economicnumbers creating fears that the recovery in the U.S. was losing traction.  Data released showed a substantial fall inthe sales of existing U.S. homes in July, back to levels not seen for nearly 20years. The fall in stock markets went back to levels not seen since the startof July. The quarter ended with profits being posted to the Fund. The start of September wasa sell off in government bonds, in tandem with a rally in world equity markets.Equity markets in yet another reversal of fortune closed the month up.

 

The currency sector postedlosses to the Fund. Losses were posted to the Fund at the beginning of thequarter.  The currency sector was theleast performing sector in July resulting in losses attributable to theprice movements in the euro. Only to be reversed in August as pricemovements in the euro was opposite to those of the prior month resulting inprofits being posted to the Fund in the middle of the quarter. September’spinnacle of excitement was the Bank of Japan intervening to sell the Japaneseyen which had hit a 15 year high against the U.S. dollar. After a large one dayfall in the Japanese yen U.S. dollar exchange rate, the market resumed itsascent, suggesting that the willingness of the Bank of Japan to intervenefurther may be tested. The quarter ended with profits being posted to the Fundfor the currency sector in September.

 

The agriculture sectorposted losses to the Fund. Losses were posted to the Fund at the beginningthrough the middle of the quarter with crops contributing to the losses. In September grainsmoved higher and in cotton futures the market hit a 15 year high. The quarterended with profits being posted to the Fund for the agriculture sector inSeptember.

 

The energy sector postedlosses to the Fund. Losses were posted to the Fund at the beginning of thequarter only to be reversed in August. Profits were posted to the Fund in themiddle of the quarter as crude oil price movements were opposite to the priormonth. In September, crude oil ended the month close to where it startedresulting in losses being posted to the Fund.

 

January 1, 2009 through March 31, 2009

 

The Fund experienced a net trading loss beforebrokerage commissions and related fees in the first quarter of 2009 of$6,805,508.  The Fund posted overalllosses for the quarter with the stock indices, agriculture and the energysectors posting gains while the metals, interest rates and currencies sectorsposting losses.

 

Thestock indices sector posted profits for the Fund. Profits were posted to theFund at the beginning through the middle of the quarter as the global financialand commodity markets worsened. No regions, countries, sectors or companiesappeared to be immune from the recessionary conditions. Against thisrecessionary background and with volatility levels still elevated, the Fundkept its low margin exposure as profits were made in short positions inequities with most stock indices falling more than 10% in February. March proveda difficult month to navigate as markets either reversed previous direction orsimply became range bound resulting in losses being posted to the Fund.

 

Theagriculture sector posted profits for the Fund. Profits were posted to the Fundat the beginning through the middle of the quarter. The continued plunge indemand and concomitant build up in stock levels kept a lid on prices inFebruary. Grain markets came under renewed price pressure as the Fund profitedfrom short positions in grains. Losses were posted to the Fund at the end ofthe quarter due to volatility in the markets.

 

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Theenergy sector posted profits for the Fund throughout the quarter as a rally inenergy derived from crude oil prices.

 

Themetals sector posted losses for the Fund. Profits were posted to the Fund atthe beginning of the quarter. Losses were posted for the Fund from the middleto the end of the quarter due to the commodity sector mixed with the mainfeatures being the vacillations in the gold price making it hard to gainheadway.

 

Theinterest rates sector posted losses for the Fund. Losses were posted to theFund at the beginning of the quarter due to losses in Bonds as yields rose inthe United States. Yields in the 10 year bond markets firmed up fractionallybut not enough to offset losses posted to the Fund in the middle of thequarter. The macro economic background continues to weigh heavily on sentiment,and the discussion or implementation of aggressive “quantitative easing” bygovernments created sharp moves during the month of March. The short term ratescontinue to decline at the end of the quarter resulting in profits being postedto the Fund.

 

Thecurrency sector posted losses for the Fund. Profits were posted to the Fund atthe beginning of the quarter as the U.S. dollar and the Japanese yen remainstrong while the British sterling remained under pressure. Losses were postedto the Fund in the middle of the quarter from the fluctuating currency marketswhere losses occurred from the weakening of the U.S. dollar. The long exposurein the U.S. dollar was damaged by both the increasing indebtedness of theUnited States following President Obama’s latest fiscal stimulus package andrumors of it being sidelined as the reserve currency and the Japanese yenposition also suffered posting losses as the quarter ended.

 

April 1, 2009 to June 30, 2009

 

The Fund experienced a net trading loss beforebrokerage commissions and related fees in the second quarter of 2009 of$(49,303,355).  The Fund postedlosses for the quarter with the agriculture sector posted gains and the energy,metals, currencies, stock indices and interest rates sectors posted losses.

 

Theagriculture sector posted profits for the Fund. Profits were posted to the Fundat the beginning of quarter as general trading conditions returned to somethingapproaching normality with daily ranges more constrained and volatilitydeclining. Losses were posted to the Fund in the middle of the quarter in theagricultural complex due to the program had a mixture of long and shorts withinthe same sector i.e. long soybeans/short bean oil. Profits were posted to theFund at the end of the quarter due to crops doing well.

 

Theenergy sector posted losses for the Fund. Losses were posted to the Fund at thebeginning of the quarter. Losses continued to be posted to the Fund as crudeoil was up in May, despite inventories at 19 year highs, demand falling andoffshore floating storage estimated at over 100 million barrels.  Losses were posted to the Fund at the end ofthe quarter as commodities retreated in June.

 

Themetals sector posted losses for the Fund. Losses were posted to the Fund at thebeginning of the quarter as gold went lower against their recent trend. Losseswere also posted to the Fund in the middle through the end of the quarter asbase metals retreated.

 

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Thecurrency sector posted losses for the Fund. Losses were posted to the Fund atthe beginning of the quarter due to the currency markets were in flux with theJapanese yen remaining steady and the U.S. dollar marginally low. Losses wereposted to the Fund in the middle of the quarter from the fluctuating currencymarkets where losses occurred from the weakening of the U.S. dollar. Thequarter ended with profits being posted to the Fund as the month of June wasclearly a “game of two halves” with a subtle and possibly significant change inrecent investor appetite for risky assets being reversed.

 

Thestock indices sector posted losses for the Fund. The flurry of “green shoots”of recovery, which started mid March, began to wane (at least temporarily), andthere is renewed talk of “yellow weeds” appearing. As such, Equities came offthe boil as the S&P ended flat and markets such as Russia fell from theirhighs resulting in losses posted the Fund in April. The underlying structure ofmarkets exposure for the Fund during May was somewhat out of sync that therecent market action with this new sense of relative confidence has engenderedposting losses to the Fund. Against this recessionary background and withvolatility in global markets the Fund posted profits at the end of the quarter.

 

Theinterest rates sector posted losses for the Fund. Losses were posted to theFund at the beginning of the quarter due to bonds yield rising on the ten yearU.S. Treasury note. Profits were posted to the Fund in the middle of thequarter due to short positions in the German Government bund but long theAustralian ten year bond.  Losses wereposted to the Fund at the end of the quarter with the Fund losing in the Bondsector and also in short term interest rates.

 

July 1, 2009 to September 30, 2009

 

Thefund experienced a net trading profit of $10,536,499 before brokeragecommissions and related fees in the third quarter of 2009. The fund postedoverall profits for the quarter with interest rates, currencies and metalssectors posting gains while the agriculture, energy and stock indices sectorsposted losses.

 

Theinterest rate sector posted overall profits for the Fund. Losses were posted tothe Fund at the beginning of the quarter. Uncertainty continued in the fixedincome markets, with U.S. Federal Reserve Chairman Bernanke tempering theoptimism by saying that interest rates will need to remain low for “an extendedperiod”. Against this background the Fund’s returns were dominated by losses inequity and bond sectors.  Profits wereposted to the Fund in the middle of the quarter due to continued economicrecovery, with a further stream of positive data being released. At the annualJackson Hole meeting of Central Bankers, they chose not to declare an end tothe Global Crisis, with U.S. Federal Reserve Chairman Bernanke stating that “criticalchallenges remain”. The U.S. Federal Reserve again committed to leavinginterest rates near zero for an “extended period” while the Bank of Englandmoved to continue its program of quantitative easing. Profits were posted tothe Fund at the end of the quarter due to short term interest rate whichregistered further gains and have become the Fund’s best performing sector forthis year.

 

Thecurrency sector posted profits for the Fund. Profits were posted to the Fund atthe beginning and end of the quarter as currency positions continued to bringsome diversification to the Fund with margin to equity rising. At the end ofthe quarter, the currencies sector was the strongest sector due to the benefitsfrom the falling United States dollar.

 

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Themetals sector posted profits for the Fund. Losses were posted to the Fund atthe beginning of the quarter only. Profits were posted to the Fund throughoutthe remainder of the quarter. Gold was close in reaching an all time high atthe end of the quarter as the level of debt by Governments created a real fearof future inflation in debtor economies.

 

Theagriculture sector posted losses for the Fund. Overall losses were posted tothe Fund at the beginning and end of the quarter due to volatility in theglobal markets.

 

Theenergy sector posted losses to the Fund throughout the quarter with crude oilstarting the quarter by falling $10 a barrel to $60 a barrel. At the end of thequarter, system changes were focused on the energies sector, where a newforecasting variable was added, albeit at a very low weight.

 

TheStock Indices Sector posted losses for the Fund. Losses were posted to the Fundat the beginning of the quarter due to economic sentiment continuing to hang onthe metaphor of “green shoots”. In August, the Dow Jones was up 46% from its March low.The last time that the Dow managed this level of return in the space of sixmonths was in 1975, when it staged a recovery from the 1973-74 stock marketcrash. During this move the Fund’s stock index systems have been slow toreverse their short positions resulting in losses being posted to the Fund.Global stock indices continued their strong rally into September, causing muchcomment as to weather the moves were sustainable as there seems little doubtthat these are the direct result of Government and Central Bank stimulus.Therefore, the quarter ended with profits being posted to the Fund.

 

The Fund has no applicable off-balance sheet arrangements or tabulardisclosure of contractual obligations of the type described in Items 303(a)(4) and303(a)(5) of Regulation S-K.

 

Item 3.  Quantitative andQualitative Disclosures About Market Risk

 

Introduction

 

The Fund is a speculative commodity pool. The market sensitiveinstruments held by it are acquired for speculative trading purposes and all orsubstantially all of the Fund’s assets are subject to the risk of tradingloss.  Unlike an operating company, the riskof market sensitive instruments is integral, not incidental, to the Fund’s mainline of business.

 

Market movements result in frequent changes in the fair market value ofthe Fund’s open positions and, consequently, in its earnings and cash flow. TheFund’s market risk is influenced by a wide variety of factors, including thelevel and volatility of interest rates, exchange rates, equity price levels,the market value of financial instruments and contracts, the diversificationeffects among the Fund’s open positions and the liquidity of the markets inwhich it trades.

 

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

 

Value at Risk is a measure of the maximum amount which the Fund couldreasonably be expected to lose in a given market sector. However, the inherentuncertainty of the Fund’s speculative trading and the recurrence in the marketstraded by the Fund of market movements far exceeding expectations could resultin actual trading or non-trading losses far beyond the indicated Value at Riskor the Fund’s 

 

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experience to date (i.e., “risk of ruin”). In light of the foregoing,as well as the risks and uncertainties intrinsic to all future projections, thequantifications included in this section should not be considered to constituteany assurance or representation that the Fund’s losses in any market sectorwill be limited to Value at Risk or by the Fund’s attempts to manage its marketrisk.

 

Quantifying The Fund’s Trading Value At Risk

 

Quantitative Forward-Looking Statements

 

The following quantitative disclosures regarding the Fund’s market riskexposures contain “forward-looking statement” within the meaning of the safeharbor from civil liability provided for such statements by the PrivateSecurities Litigation Reform Act of 1995 (set forth in Section 27A of theSecurities Act of 1933 and Section 21E of the Securities Exchange Act of1934).  All quantitative disclosures inthis section are deemed to be forward-looking statements for purposes of thesafe harbor, except for statements of historical fact.

 

The Fund’s risk exposure in the various market sectors traded by Wintonis quantified below in terms of Value at Risk. Due to the Fund’s fair value accounting, any loss in the fair value ofthe Fund’s open positions is directly reflected in the Fund’s earnings(realized or unrealized) and cash flow (at least in the case of exchange-tradedcontracts in which profits and losses on open positions are settled dailythrough variation margin).

 

Maintenance margin requirements have been used by the Fund as themeasure of its Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceedthe maximum loss in the fair value of any given contract incurred in 95%-99% ofthe one-day time periods included in the historical sample (generallyapproximately one year) researched for purposes of establishing marginlevels.  The maintenance margin levelsare established by dealers and exchanges using historical price studies as wellas an assessment of current market volatility (including the implied volatilityof the options on a given futures contract) and economic fundamentals toprovide a probabilistic estimate of the maximum expected near-term one-dayprice fluctuation.

 

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

 

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

 

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***The Fund’s Trading Value at Risk in Different Market Sectors***

 

The following table indicates the average, highest andlowest trading Value at Risk associated with the Fund’s open positions bymarket category for the fiscal period. For the nine months ended September 30,2010 and 2009, the Fund’s average Month-end Net Asset Value was approximately$779,598,117 and $773,083,280 respectively.

 

**September 30, 2010**

 
| ** **             | ** ** | **Average**                 | ** **       | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|------------------------|------------|-----------------------------|------------------|----------------------------|------------|------------------------|------------|-----------------------|------------|
| **Market Sector** | ** ** | **Value at Risk** | ** **       | **Capitalization**         | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                   |       |                        |             |                       |       |                   |       |                  |       |
| Agriculture            |       | $                           |  4,129,843  |                       | 0.53       | %                      | $          |  7,364,790       |       | $ |  1,685,932 |   |
| Currencies             |       | 11,013,227                  |             | 1.41                       | %          | 18,820,682             |       | 6,616,319             |       |
| Energy                 |       | 2,764,137                   |             | 0.35                       | %          | 4,820,597              |       | 1,150,205             |       |
| Interest Rates         |       | 11,664,672                  |             | 1.50                       | %          | 17,843,118             |       | 6,417,324             |       |
| Metals                 |       | 14,229,232                  |             | 1.83                       | %          | 23,221,359             |       | 10,045,055            |       |
| Stock Indices          |       | 6,523,989                   |             | 0.84                       | %          | 13,498,387             |       | 373,571               |       |
|                   |       |                        |             |                       |       |                   |       |                  |       |
| TOTAL                  |       | $                           |  50,325,100 |                       | 6.46       | %                      | $          |  85,568,933      |       | $ |  26,288,406 |   |

 

**September 30, 2009**

 
| ** **             | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|------------------------|------------|-----------------------------|------------|----------------------------|------------|------------------------|------------|-----------------------|------------|
| **Market Sector** | ** ** | **Value at Risk** | ** ** | **Capitalization**         | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                   |       |                        |       |                       |       |                   |       |                  |       |
| Agriculture            |       | $                           | 326,739    |                       | 0.04       | %                      | $          | 707,394               |       | $ | 10,427 |   |
| Currencies/FX          |       | 2,352,545                   |       | 0.30                       | %          | 4,619,813              |       | 626,499               |       |
| Energy                 |       | 175,249                     |       | 0.02                       | %          | 337,061                |       | 35,708                |       |
| Interest Rates         |       | 34,838,989                  |       | 4.51                       | %          | 42,048,600             |       | 30,410,845            |       |
| Metals                 |       | 322,198                     |       | 0.04                       | %          | 1,083,466              |       | 58,410                |       |
| Stock Indices          |       | 742,764                     |       | 0.10                       | %          | 1,761,946              |       | 260,665               |       |
|                   |       |                        |       |                       |       |                   |       |                  |       |
| TOTAL                  |       | $                           | 38,758,484 |                       | 5.02       | %                      | $          | 50,558,280            |       | $ | 31,402,554 |   |

 

Material Limitations on Value at Risk as an Assessmentof Market Risk

 

The face value of the market sector instruments held bythe Fund 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.”

 

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Non-TradingRisk

 

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.

 

The Fund also hasnon-trading market risk on the approximately 90%-95% of its assets which areheld in cash at MLPF&S or BlackRock. The value of this cash is not interestrate sensitive, but there is cash flow risk in that if interest rates declineso will the cash flow generated on these monies.

 

Qualitative Disclosures Regarding Primary Trading Risk Exposures

 

Thefollowing qualitative disclosures regarding the Fund’s market risk exposures — exceptfor (i) those disclosures that are statements of historical fact and (ii) thedescriptions of how the Fund manages its primary market risk exposures — constituteforward-looking statements within the meaning of Section 27A of theSecurities Act and Section 21E of the Securities Exchange Act. The Fund’sprimary market risk exposures as well as the strategies used and to be used byMLAI and Winton for managing such exposures are subject to numerousuncertainties, contingencies and risks, any one of which could cause the actualresults of the Fund’s risk controls to differ materially from the objectives ofsuch strategies. Government interventions, defaults and expropriations,illiquid markets, the emergence of dominant fundamental factors, politicalupheavals, changes in historical price relationships, an influx of new marketparticipants, increased regulation and many other factors could result inmaterial losses as well as in material changes to the risk exposures and therisk management strategies of the Fund. There can be no assurance that the Fund’scurrent market exposure and/or risk management strategies will not changematerially or that any such strategies will be effective in either the short-or long-term. Investors must be prepared to lose all or substantially all ofthe time value of their investment in the Fund.

 

The following were the primary trading risk exposures of the Fund as ofSeptember 30, 2010, by market sector.

 

InterestRates

 

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

 

Currencies

 

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

 

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StockIndices

 

The Fund’s primary equity exposure is to S&P 500, Nikkei and GermanDAX equity index price movements. The Fund is primarily exposed to the risk ofadverse price trends or static markets in the major U.S., European and Asianindices.

 

Metals

 

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

 

Agricultural Commodities

 

The Fund’s primary agricultural commodities exposure is to agriculturalprice movements which are often directly affected by severe or unexpectedweather conditions. Soybeans, grains, livestock, cotton, corn and coffeeaccounted for the substantial bulk of the Fund’s agricultural commoditiesexposure as of September 30, 2010.

 

Energy

 

The Fund’s primary energy market exposure is to natural gas and crudeoil price movements, often resulting from political developments in the MiddleEast. Oil prices can be volatile and substantial profits and losses have beenand are expected to continue to be experienced in this market.

 

QualitativeDisclosures Regarding Non-Trading Risk Exposure

 

Thefollowing were the only non-trading risk exposures of the Fund as of September 30,2010.

 

ForeignCurrency Balances

 

The Fund’s primary foreign currency balances are in Australian dollars,British pounds and Euros.

 

U.S. Dollar Cash Balance

 

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

 

31

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Item 4. Controls and Procedures

 

MLAI, the Sponsor of ML Winton FuturesAccess LLC,with the participation of the Sponsor’s Chief Executive Officer and the ChiefFinancial Officer, has evaluated the effectiveness of the design and operationof its disclosure controls and procedures (as defined in Rule 13a-15(e) underthe Securities Exchange Act of 1934) with respect to the Fund as of the end ofthe period covered by this quarterly report, and, based on this evaluation, hasconcluded that these disclosure controls and procedures are effective.  No change in internal control over financialreporting (as defined in Rule 13a-15(f) under the Securities ExchangeAct of 1934) occurred during the quarter ended September 30, 2010 that hasmaterially affected, or is reasonably likely to materially affect, the Fund’sinternal control over financial reporting.

 

PART II - OTHER INFORMATION

 

Item 1.          LegalProceedings

 

None.

 

Item 1A.  Risk Factors

 

There are no materialchanges from risk factors as previously disclosed in the Annual Report on Form 10-Kfor the year ended December 31, 2009, filed with the Securities andExchange Commission on March 31, 2010.

 

32

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Item 2. Unregistered Salesof Equity Securities and Use of Proceeds

 

(a) Issuance toaccredited investors pursuant to Regulation D and Section 4 (6) underthe Securities Act.  The selling agent ofthe following Class of Units was MLPF&S.

 

CLASS A

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-10     |       | $                | 556,716    |       | 368,979    |   | $ | 1.5088 |   |
| Feb-10     |       | 993,760          |       | 675,430    |       | 1.4713 |   |
| Mar-10     |       | 827,770          |       | 551,002    |       | 1.5023 |   |
| Apr-10     |       | 1,429,934        |       | 912,646    |       | 1.5668 |   |
| May-10     |       | 1,213,233        |       | 764,096    |       | 1.5878 |   |
| Jun-10     |       | 975,750          |       | 617,955    |       | 1.5790 |   |
| Jul-10     |       | 798,827          |       | 498,955    |       | 1.6010 |   |
| Aug-10     |       | 8,109,999        |       | 5,230,233  |       | 1.5506 |   |
| Sep-10     |       | 8,651,920        |       | 5,327,865  |       | 1.6239 |   |
| Oct-10     |       | 4,477,146        |       | 2,747,221  |       | 1.6297 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS C

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-10     |       | $                | 2,840,699  |       | 1,975,452  |   | $ | 1.4380 |   |
| Feb-10     |       | 8,747,139        |       | 6,243,051  |       | 1.4011 |   |
| Mar-10     |       | 4,669,404        |       | 3,266,459  |       | 1.4295 |   |
| Apr-10     |       | 4,488,838        |       | 3,013,452  |       | 1.4896 |   |
| May-10     |       | 3,824,111        |       | 2,535,379  |       | 1.5083 |   |
| Jun-10     |       | 4,131,162        |       | 2,756,680  |       | 1.4986 |   |
| Jul-10     |       | 4,220,657        |       | 2,780,040  |       | 1.5182 |   |
| Aug-10     |       | 8,033,542        |       | 5,467,970  |       | 1.4692 |   |
| Sep-10     |       | 10,399,492       |       | 6,764,338  |       | 1.5374 |   |
| Oct-10     |       | 9,197,509        |       | 5,966,210  |       | 1.5416 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS D

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-10     |       | $                | 4,627,153  |       | 3,092,190  |   | $ | 1.4964 |   |
| Feb-10     |       | 5,623,168        |       | 3,848,849  |       | 1.4610 |   |
| Mar-10     |       | 600,000          |       | 401,687    |       | 1.4937 |   |
| Apr-10     |       | 44,999           |       | 28,849     |       | 1.5598 |   |
| May-10     |       | —           |       | —     |       | 1.5827 |   |
| Jun-10     |       | 323,000          |       | 204,975    |       | 1.5758 |   |
| Jul-10     |       | —           |       | —     |       | 1.5998 |   |
| Aug-10     |       | —           |       | —     |       | 1.5514 |   |
| Sep-10     |       | 999,999          |       | 614,703    |       | 1.6268 |   |
| Oct-10     |       | —           |       | —     |       | 1.6346 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS I

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-10     |       | $                | 582,776    |       | 381,723    |   | $ | 1.5267 |   |
| Feb-10     |       | 797,710          |       | 535,664    |       | 1.4892 |   |
| Mar-10     |       | 2,013,802        |       | 1,323,911  |       | 1.5211 |   |
| Apr-10     |       | 213,824          |       | 134,735    |       | 1.5870 |   |
| May-10     |       | 385,642          |       | 239,706    |       | 1.6088 |   |
| Jun-10     |       | 374,216          |       | 233,828    |       | 1.6004 |   |
| Jul-10     |       | 1,116,935        |       | 688,107    |       | 1.6232 |   |
| Aug-10     |       | 558,062          |       | 354,866    |       | 1.5726 |   |
| Sep-10     |       | 986,575          |       | 598,831    |       | 1.6475 |   |
| Oct-10     |       | 238,613          |       | 144,264    |       | 1.6540 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS DS

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-10     |       | $                | 1,745,510  |       | 1,167,878  |   | $ | 1.4946 |   |
| Feb-10     |       | 637,381          |       | 436,802    |       | 1.4592 |   |
| Mar-10     |       | —           |       | —     |       | 1.4919 |   |
| Apr-10     |       | 1,372,782        |       | 881,175    |       | 1.5579 |   |
| May-10     |       | —           |       | —     |       | 1.5807 |   |
| Jun-10     |       | —           |       | —     |       | 1.5739 |   |
| Jul-10     |       | —           |       | —     |       | 1.5978 |   |
| Aug-10     |       | 649,853          |       | 419,395    |       | 1.5495 |   |
| Sep-10     |       | —           |       | —     |       | 1.6248 |   |
| Oct-10     |       | —           |       | —     |       | 1.6326 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS DT

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-10     |       | $                | —     |       | —     |   | $ | 1.5377 |   |
| Feb-10     |       | —           |       | —     |       | 1.5020 |   |
| Mar-10     |       | —           |       | —     |       | 1.5362 |   |
| Apr-10     |       | —           |       | —     |       | 1.6048 |   |
| May-10     |       | —           |       | —     |       | 1.6291 |   |
| Jun-10     |       | —           |       | —     |       | 1.6227 |   |
| Jul-10     |       | —           |       | —     |       | 1.6480 |   |
| Aug-10     |       | —           |       | —     |       | 1.5988 |   |
| Sep-10     |       | —           |       | —     |       | 1.6788 |   |
| Oct-10     |       | —           |       | —     |       | 1.6879 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

----

(1) Beginning of the monthNet Asset Value

 

(b) Class AUnits are subject to a sales commission paid to MLPF&S ranging from 1.0% to2.5%. Class D and Class I Units are subject to sales commissions upto 0.5%.  The rate assessed to a givensubscription is based upon the subscription amount.  Sales commissions are directly deducted fromsubscription amounts.  Class C, Class DSand Class DT Units are not subject to any sales commissions.

 

33

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(b)   Not applicable.

(c)   Not applicable.

 

Item3.          Defaults UponSenior Securities

None.

 

Item4.          (Reserved andRemoved)

 

Item5.          OtherInformation

None.

 

Item6.          Exhibits

 

The following exhibits are filed herewith to this Quarterly Report on Form 10-Q:

 

31.01 and

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

 

Exhibit 31.01

and 31.02       Are filedherewith.

 

32.01 and

32.02               Section 1350Certifications

 

Exhibit 32.01

and 32.02       Are filedherewith.

 

34

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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 12, 2010 | By:                          | /s/  JUSTIN C. FERRI |
|                          |                         | Justin  C. Ferri |
|                          |                         | Chief  Executive Officer, President and Manager |
|                          |                         | (Principal  Executive Officer) |
|                          |                         |   |
| Date:  November 12, 2010 |                         |   |
|                          | By:                          | /s/  BARBRA E. KOCSIS |
|                          |                         | Barbra  E. Kocsis |
|                          |                         | Chief  Financial Officer |
|                          |                         | (Principal  Financial and Accounting Officer) |

 

35

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