**UNITED STATESSECURITIES AND EXCHANGE COMMISSION**

**Washington,D.C. 20549**

** **

**FORM 10-Q**

** **

**(MarkOne)**

** **

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

** **

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

** **

**OR**

** **

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

** **

**For the transition period from                to                **

** **

**Commission File Number 0-51084**

 

# **ML WINTON FUTURESACCESS LLC**

(Exact Name of Registrantasspecified in its charter)

 

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

 

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

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

**250 Vesey Street**

**New York, New York 10080**

 (Address of principal executive offices)

(Zip Code)

 

**212-449-3517**

(Registrant’s telephonenumber, including area code)

 

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

**New York, New York 10281**

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

 

Indicate by checkmark whether the registrant (1) has filed all reports required to be filedby Section 13 or 15(d) of the Securities Exchange Act of 1934 duringthe preceding 12 months (or for such shorter period that the registrant was requiredto file such reports), and (2) has been subject to such filingrequirements for the past 90 days.  Yes x Noo

 

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

 

Indicate by checkmark whether the registrant is a large accelerated filer, an accelerated filer,a non-accelerated filer, or a smaller reporting company.  See the definitions of “large acceleratedfiler,” “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 30,2009, 515,535,828 units of membership were outstanding.

 

 

 

----

 

**ML WINTON FUTURESACCESS LLC**

 

QUARTERLY REPORT FORSEPTEMBER 30, 2009 ON FORM 10-Q

 

Table of Contents

 
|      |                                                                                        | **PAGE** |
|-----------|---------------------------------------------------------------------------------------------|----------|
|      | PART I                                                                                 |     |
|      |                                                                                        |     |
| Item  1.  | Financial  Statements                                                                       | 1        |
|      |                                                                                        |     |
| Item  2.  | Management’s  Discussion and Analysis of Financial Condition and Results of Operations | 15       |
|      |                                                                                        |     |
| Item  3.  | Quantitative  and Qualitative Disclosures About Market Risk                                 | 23       |
|      |                                                                                        |     |
| Item  4T. | Controls  and Procedures                                                                    | 28       |
|      |                                                                                        |     |
|      | PART II                                                                                |     |
|      |                                                                                        |     |
| Item  1.  | Legal  Proceedings                                                                          | 29       |
|      |                                                                                        |     |
| Item  1A. | Risk  Factors                                                                               | 29       |
|      |                                                                                        |     |
| Item  2.  | Unregistered  Sales of Equity Securities and Use of Proceeds                                | 29       |
|      |                                                                                        |     |
| Item  3.  | Defaults  Upon Senior Securities                                                            | 31       |
|      |                                                                                        |     |
| Item  4.  | Submission  of Matters to a Vote of Security Holders                                        | 31       |
|      |                                                                                        |     |
| Item  5.  | Other  Information                                                                          | 31       |
|      |                                                                                        |     |
| Item  6.  | Exhibits                                                                                    | 31       |

 

----

 

PART I - FINANCIALINFORMATION

 

Item1.    Financial Statements

 

ML WINTON FUTURESACCESSLLC

(a Delaware LimitedLiability Company)

 

STATEMENTS OF FINANCIALCONDITION

(unaudited)

 
| ** **                                                                                  | ** ** | **September 30,** | ** **        | **December 31,** | ** ** |
|---------------------------------------------------------------------------------------------|------------|------------------------|-------------------|-----------------------|------------|
| ** **                                                                                  | ** ** | **2009**               | ** **        | **2008**              | ** ** |
| **ASSETS:**                                                                                 |       |                   |              |                  |       |
| Equity in commodity futures trading accounts:                                               |       |                   |              |                  |       |
| Cash (including restricted cash of $59,565,610 for  2009 and $40,230,744 for 2008)          |       | $                      |  750,922,943 |                  | $          |  849,579,676 |   |
| Net unrealized profit on open contracts                                                     |       | 23,772,902             |              | 14,731,114            |       |
| Cash                                                                                        |       | 249,174                |              | 163,743               |       |
| Accrued interest                                                                            |       | —                 |              | 39,428                |       |
|                                                                                        |       |                   |              |                  |       |
| **TOTAL  ASSETS**                                                                           |       | $                      |  774,945,019 |                  | $          |  864,513,961 |   |
|                                                                                        |       |                   |              |                  |       |
| **LIABILITIES  AND MEMBERS’ CAPITAL:**                                                 |       |                   |              |                  |       |
| LIABILITIES:                                                                                |       |                   |              |                  |       |
| Brokerage commissions payable                                                               |       | $                      |  142,129     |                  | $          |  89,151 |   |
| Management fee payable                                                                      |       | 1,260,153              |              | 1,400,958             |       |
| Sponsor fee payable                                                                         |       | 726,434                |              | 902,258               |       |
| Redemptions payable                                                                         |       | 10,136,579             |              | 27,903,546            |       |
| Performance fee payable                                                                     |       | 33,300                 |              | 29,843,518            |       |
| Other                                                                                       |       | 392,801                |              | 385,970               |       |
|                                                                                        |       |                   |              |                  |       |
| Total liabilities                                                                           |       | 12,691,396             |              | 60,525,401            |       |
|                                                                                        |       |                   |              |                  |       |
| MEMBERS’ CAPITAL:                                                                      |       |                   |              |                  |       |
| Sponsor’s Interest (19,470 Units)                                                      |       | 28,717                 |              | 31,415                |       |
| Members’ Interest (515,316,358 Units and 500,089,110  Units)                           |       | 762,224,906            |              | 803,957,145           |       |
| Total members’ capital                                                                 |       | 762,253,623            |              | 803,988,560           |       |
|                                                                                        |       |                   |              |                  |       |
| **TOTAL  LIABILITIES AND MEMBERS’ CAPITAL**                                            |       | $                      |  774,945,019 |                  | $          |  864,513,961 |   |
| ** **                                                                                  | ** ** | ** **             | ** **        | ** **            | ** ** |
| **NET  ASSET VALUE PER UNIT (SEE NOTE 4)**                                                  |       |                   |              |                  |       |
| ** **                                                                                  | ** ** | ** **             | ** **        | ** **            | ** ** |
| (Based on 515,335,828 and 500,108,580  Units outstanding; unlimited Units  authorized) |       |                   |              |                  |       |

 

See notes tofinancial statements.

 

1

----

 

WINTONFUTURESACCESS 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,** | ** **        |
| ** **                                   | ** ** | **2009**               | ** **        | **2008**               | ** ** | **2009**               | ** ** | **2008**               | ** **        |
|                                         |       |                   |              |                   |       |                   |       |                   |              |
| **TRADING  PROFIT (LOSS):**                  |       |                   |              |                   |       |                   |       |                   |              |
| Realized                                     |       | $                      |  (11,778,258 | )                      | $          |  (28,352,200      | )          | $                      |  (54,611,721 | ) | $ |  81,846,519 |   |
| Change in unrealized, net                    |       | 22,314,757             |              | (30,851,844            | )          | 9,039,356              |       | (7,829,096             | )                 |
| Brokerage commissions                        |       | (203,463               | )                 | (261,011               | )          | (596,742               | )          | (910,442               | )                 |
|                                         |       |                   |              |                   |       |                   |       |                   |              |
| Total trading profit (loss)                  |       | 10,333,036             |              | (59,465,055            | )          | (46,169,107            | )          | 73,106,981             |              |
|                                         |       |                   |              |                   |       |                   |       |                   |              |
| **INVESTMENT  INCOME:**                      | ** ** | ** **             | ** **        | ** **             | ** ** | ** **             | ** ** | ** **             | ** **        |
| Interest                                     |       | (5,390                 | )                 | 3,632,539              |       | 52,569                 |       | 12,209,816             |              |
|                                         |       |                   |              |                   |       |                   |       |                   |              |
| **EXPENSES:**                                | ** ** | ** **             | ** **        | ** **             | ** ** | ** **             | ** ** | ** **             | ** **        |
| Management fee                               |       | 3,708,504              |              | 3,800,396              |       | 11,470,161             |       | 10,781,276             |              |
| Sponsor fee                                  |       | 2,252,474              |              | 2,580,675              |       | 7,264,488              |       | 7,556,325              |              |
| Performance fee                              |       | —                 |              | (12,354,958            | )          | 583                    |       | 11,751,260             |              |
| Other                                        |       | 396,081                |              | 358,427                |       | 1,054,124              |       | 1,043,973              |              |
| Total expenses                               |       | 6,357,059              |              | (5,615,460             | )          | 19,789,356             |       | 31,132,834             |              |
|                                         |       |                   |              |                   |       |                   |       |                   |              |
| **NET  INVESTMENT LOSS**                     |       | (6,362,449             | )                 | 9,247,999              |       | (19,736,787            | )          | (18,923,018            | )                 |
|                                         |       |                   |              |                   |       |                   |       |                   |              |
| **NET  INCOME (LOSS)**                       |       | $                      |  3,970,587   |                   | $          |  (50,217,056      | )          | $                      |  (65,905,894 | ) | $ |  54,183,963 |   |
|                                         |       |                   |              |                   |       |                   |       |                   |              |
| **NET  INCOME (LOSS) PER UNIT:**             |       |                   |              |                   |       |                   |       |                   |              |
|                                         |       |                   |              |                   |       |                   |       |                   |              |
| Weighted average number of Units outstanding |       |                   |              |                   |       |                   |       |                   |              |
| Class A                                 |       | 48,330,421             |              | 46,558,456             |       | 48,290,312             |       | 45,084,680             |              |
| Class C                                 |       | 203,695,343            |              | 234,140,456            |       | 209,769,004            |       | 227,484,892            |              |
| Class D                                 |       | 78,318,234             |              | 92,889,619             |       | 78,159,645             |       | 83,956,966             |              |
| Class I                                 |       | 41,090,886             |              | 42,555,410             |       | 42,465,404             |       | 40,185,227             |              |
| Class DS*                               |       | 101,023,751            |              | 45,105,598             |       | 86,031,099             |       | 30,547,965             |              |
| Class DT**                              |       | 47,750,063             |              | 59,280,933             |       | 50,098,593             |       | 62,927,835             |              |
|                                         |       |                   |              |                   |       |                   |       |                   |              |
| Net income (loss) per weighted average Unit  |       |                   |              |                   |       |                   |       |                   |              |
| Class A                                 |       | $                      |  0.0063      |                   | $          |  (0.0994          | )          | $                      |  (0.1378     | ) | $ |  0.1135 |   |
| Class C                                 |       | $                      |  0.0022      |                   | $          |  (0.1001          | )          | $                      |  (0.1419     | ) | $ |  0.1016 |   |
| Class D                                 |       | $                      |  0.0112      |                   | $          |  (0.0919          | )          | $                      |  (0.1174     | ) | $ |  0.1138 |   |
| Class I                                 |       | $                      |  0.0082      |                   | $          |  (0.0946          | )          | $                      |  (0.1341     | ) | $ |  0.1226 |   |
| Class DS*                               |       | $                      |  0.0135      |                   | $          |  (0.0816          | )          | $                      |  (0.1043     | ) | $ |  0.0460 |   |
| Class DT**                              |       | $                      |  0.0134      |                   | $          |  (0.0997          | )          | $                      |  (0.1135     | ) | $ |  0.1600 |   |

 

----

*Class DS waspreviously known as Class D-SM. Units issued on April 2, 2007.

**Class DTwas previously known as Class D-TF. Units issued on June 1, 2007.

 

See notes tofinancial statements.

 

2

----

 

ML WINTON FUTURESACCESS LLC

(a Delaware LimitedLiability Company)

 

STATEMENTS OF CHANGES INMEMBERS’ CAPITAL

For the nine months endedSeptember 30, 2009 and 2008

(unaudited in Units)

 
| ** **                 | ** ** | **Members’ Capital  December 31, 2007** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital  September 30, 2008** | ** ** | **Members’ Capital  December 31,2008** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital  September 30, 2009** | ** ** |
|----------------------------|------------|---------------------------------------------------|------------|-------------------|------------|-----------------|------------|----------------------------------------------------|------------|--------------------------------------------------|------------|-------------------|------------|-----------------|------------|----------------------------------------------------|------------|
| Class A               |       | 40,108,055                                        |       | 15,091,853        |       | (8,772,898      | )          | 46,427,010                                         |       | 45,849,416                                       |       | 9,950,735         |       | (8,234,239      | )          | 47,565,912                                         |       |
| Class C               |       | 213,642,396                                       |       | 51,129,801        |       | (33,032,805     | )          | 231,739,392                                        |       | 215,169,073                                      |       | 28,649,326        |       | (44,094,154     | )          | 199,724,245                                        |       |
| Class D               |       | 77,864,803                                        |       | 22,831,658        |       | (11,370,571     | )          | 89,325,890                                         |       | 73,051,567                                       |       | 6,041,151         |       | (2,711,187      | )          | 76,381,531                                         |       |
| Class I               |       | 37,718,572                                        |       | 11,355,998        |       | (4,473,410      | )          | 44,601,160                                         |       | 43,073,827                                       |       | 7,952,058         |       | (9,891,534      | )          | 41,134,351                                         |       |
| Class DS*             |       | 13,447,784                                        |       | 40,935,807        |       | (2,749,330      | )          | 51,634,261                                         |       | 69,186,442                                       |       | 34,891,377        |       | —          |       | 104,077,819                                        |       |
| Class DT**            |       | 69,259,318                                        |       | —            |       | (12,520,493     | )          | 56,738,825                                         |       | 53,758,785                                       |       | 459,179           |       | (7,785,464      | )          | 46,432,500                                         |       |
|                       |       |                                              |       |              |       |            |       |                                               |       |                                             |       |              |       |            |       |                                               |       |
| Total Members’ Units  |       | 452,040,928                                       |       | 141,345,117       |       | (72,919,507     | )          | 520,466,538                                        |       | 500,089,110                                      |       | 87,943,826        |       | (72,716,578     | )          | 515,316,358                                        |       |
|                       |       |                                              |       |              |       |            |       |                                               |       |                                             |       |              |       |            |       |                                               |       |
| 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                                             |       |

 

----

*Class DS waspreviously known as Class D-SM. Units issued on April 2, 2007.

**Class DTwas previously known as Class D-TF. Units issued on June 1, 2007.

See notes to financial statements.

 

3

----

 

ML WINTON FUTURESACCESSLLC

(a Delaware LimitedLiability Company)

 

STATEMENTS OF CHANGES INMEMBERS’ CAPITAL

For the nine months endedSeptember 30, 2009 and 2008

(unaudited)

 
| ** **                    | ** ** | **Members’ Capital  December 31, 2007** | ** **        | **Subscriptions** | ** ** | **Redemptions**   | ** ** | **Net Income** | ** **         | **Members’ Capital  September 30, 2008** | ** **   | **Members’ Capital  December 31, 2008** | ** ** | **Subscriptions** | ** **        | **Redemptions** | ** ** | **Net Loss**      | ** ** | **Members’ Capital  September 30, 2009** | ** **        |
|-------------------------------|------------|---------------------------------------------------|-------------------|-------------------|------------|-------------------|------------|----------------|--------------------|----------------------------------------------------|--------------|---------------------------------------------------|------------|-------------------|-------------------|-----------------|------------|-------------------|------------|----------------------------------------------------|-------------------|
| Class A                  |       | $                                                 |  55,236,501  |              | $          |  22,692,478  |       | $              |  (13,418,255  | )                                                  | $            |  5,114,551                                   |       | $                 |  69,625,275  |            | $          |  75,377,293  |       | $                                                  |  15,777,283  |   | $ |  (12,754,541 | ) | $ |  (6,639,858 | ) | $ |  71,760,177 |   |
| Class C                  |       | 286,078,081                                       |              | 74,805,037        |       | (48,611,957       | )          | 23,111,200     |               | 335,382,361                                        |         | 340,542,258                                       |       | 43,359,316        |              | (66,271,637     | )          | (29,735,962       | )          | 287,893,975                                        |              |
| Class D                  |       | 103,236,597                                       |              | 34,257,385        |       | (16,613,094       | )          | 9,556,848      |               | 130,437,736                                        |         | 117,366,051                                       |       | 9,663,521         |              | (3,989,217      | )          | (9,183,574        | )          | 113,856,781                                        |              |
| Class I                  |       | 52,132,196                                        |              | 17,154,873        |       | (6,880,279        | )          | 4,927,260      |               | 67,334,050                                         |         | 71,357,222                                        |       | 12,705,694        |              | (15,661,749     | )          | (5,672,454        | )          | 62,728,713                                         |              |
| Class DS*                |       | 17,829,738                                        |              | 60,164,637        |       | (4,000,000        | )          | 1,403,810      |               | 75,398,185                                         |         | 111,018,099                                       |       | 52,913,336        |              | —          |       | (8,980,195        | )          | 154,951,240                                        |              |
| Class DT**               |       | 92,508,127                                        |              | —            |       | (18,467,848       | )          | 10,068,052     |               | 84,108,331                                         |         | 88,296,222                                        |       | 714,029           |              | (12,285,078     | )          | (5,691,153        | )          | 71,034,020                                         |              |
| ** **                    | ** ** | ** **                                        | ** **        | ** **        | ** ** | ** **        | ** ** | ** **     | ** **         | ** **                                         | ** **   | ** **                                        | ** ** | ** **        | ** **        | ** **      | ** ** | ** **        | ** ** | ** **                                         | ** **        |
| Total Members’ Interest  |       | $                                                 |  607,021,240 |              | $          |  209,074,410 |       | $              |  (107,991,433 | )                                                  | $            |  54,181,721                                  |       | $                 |  762,285,938 |            | $          |  803,957,145 |       | $                                                  |  135,133,179 |   | $ |  (110,962,222 | ) | $ |  (65,903,196 | ) | $ |  762,224,906 |   |
|                          |       |                                              |              |              |       |              |       |           |               |                                               |         |                                              |       |              |              |            |       |              |       |                                               |              |
| Class A                  |       | $                                                 |  13,381      |              | $          |  —      |       | $              |  —       |                                               | $            |  1,188                                       |       | $                 |  14,569      |            | $          |  15,971      |       | $                                                  |  —      |   | $ |  — |   | $ |  (1,318 | ) | $ |  14,653 |   |
| Class C                  |       | 13,068                                            |              | —            |       | —            |       | 1,054          |               | $                                                  |  14,122 |                                              | 15,444     |              | —            |            | —     |              | (1,380     | )                                                  | 14,064            |   |
|                          |       |                                              |              |              |       |              |       |           |               |                                               |         |                                              |       |              |              |            |       |              |       |                                               |              |
| Total Sponsor’s Interest |       | $                                                 |  26,449      |              | $          |  —      |       | $              |  —       |                                               | $            |  2,242                                       |       | $                 |  28,691      |            | $          |  31,415      |       | $                                                  |  —      |   | $ |  — |   | $ |  (2,698 | ) | $ |  28,717 |   |
|                          |       |                                              |              |              |       |              |       |           |               |                                               |         |                                              |       |              |              |            |       |              |       |                                               |              |
| Total Members’ Capital   |       | $                                                 |  607,047,689 |              | $          |  209,074,410 |       | $              |  (107,991,433 | )                                                  | $            |  54,183,963                                  |       | $                 |  762,314,629 |            | $          |  803,988,560 |       | $                                                  |  135,133,179 |   | $ |  (110,962,222 | ) | $ |  (65,905,894 | ) | $ |  762,253,623 |   |
|                               |            |                                                   |                   |                   |            |                   |            |                |                    |                                                    |              |                                                   |            |                   |                   |                 |            |                   |            |                                                    |                   |  |  |  |  |  |  |  |  |  |  |  |

 

----

*Class DS waspreviously known as Class D-SM. Units issued on April 2, 2007.

**Class DTwas previously known as Class D-TF. Units issued on June 1, 2007.

See notes tofinancial statements.

 

4

----

 

ML WINTONFUTURESACCESS LLC

(A DelawareLimited Liability Company)

 

FINANCIAL DATAHIGHLIGHTS

FOR THE THREEMONTHS ENDED SEPTEMBER 30, 2009

 

The following perUnit data and ratios have been derived from information provided in thefinancial 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:**                                        |       |             |       |             |       |             |       |             |       |               |       |                |       |
|                                                     |       |             |       |             |       |             |       |             |       |               |       |                |       |
| 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 DS and waspreviously known as Class D-SM.

**Class DT waspreviously known as Class D-TF.

 

See notes to financialstatements.

 

5

----

 

ML WINTONFUTURESACCESS LLC

(A DelawareLimited Liability Company)

 

FINANCIAL DATAHIGHLIGHTS

FOR THE NINEMONTHS ENDED SEPTEMBER 30, 2009

 

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

 
| ** **                                               | ** ** | **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:**                                        |       |             |       |             |       |             |       |             |       |               |       |                |       |
|                                                     |       |             |       |             |       |             |       |             |       |               |       |                |       |
| 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 DS and waspreviously known as Class D-SM.

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

 

See notes tofinancial statements.

 

6

----

 

ML WINTON FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

NOTES TO FINANCIALSTATEMENTS

(unaudited)

 

1.    SUMMARY OFSIGNIFICANT ACCOUNTING POLICIES

 

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

 

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

 

In the opinion ofmanagement, these interim financial statements contain all adjustments,consisting only of normal recurring adjustments, necessary to present fairlythe financial position of the Fund as of September 30, 2009 and the resultsof its operations for the three and nine months ended September 30, 2009and 2008.  However, the operating resultsfor the interim periods may not be indicative of the results for the full year.

 

Certain information andfootnote disclosures normally included in annual financial statements preparedin accordance with accounting principles generally accepted in the UnitedStates of America (“U.S. GAAP”) have been omitted.  These financial statements should be read inconjunction with the financial statements and notes thereto included in theFund’s Annual Report on Form 10-K filed with the Securities and ExchangeCommission for the year ended December 31, 2008.

 

In July 2009, theFinancial Accounting Standards Board (“FASB”) issued Accounting Standards Codification(“ASC”) 105, *Generally Accepted Accounting Principles,*(ASC105), which approved the FASB Accounting Standards Codification (the “Codification”)as the single source of authoritative nongovernmental GAAP. The Codification iseffective for interim or annual periods ending after September 15, 2009.All existing accounting standards have been superseded and all other accountingliterature not included in the Codification will be considerednonauthoritative. ASC 105 was not intended to change the accounting literatureand did not impact the Fund’s financial condition or results of operations.  All accounting references within this reportare in accordance with the new Codification.

 

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

 

7

----

 

2.    CONDENSED SCHEDULES OF INVESTMENTS

 

The Fund’s investments, defined as Net unrealizedprofit (loss) on open contracts in the Statements of Financial Condition as of September 30,2009 and December 31, 2008 are as follows:

 

**September 30,2009**

 
| ** **              | ** ** | **Long Positions** | ** ** | **Short Positions** | ** ** | **Net Unrealized**        | ** ** | ** **    | ** ** | ** **        | ** ** |
|-------------------------|------------|--------------------|------------|---------------------|------------|---------------------------|------------|---------------|------------|-------------------|------------|
| **Commodity  Industry** | ** ** | **Number of**      | ** ** | **Unrealized**      | ** ** | **Percent of**            | ** ** | **Number of** | ** ** | **Unrealized**    | ** ** | **Percent of** | ** ** | **Profit (Loss)** | ** ** | **Percent of** | ** ** | ** ** | ** ** |
| **Sector**              | ** ** | **Contracts**      | ** ** | **Profit (Loss)**   | ** ** | **Members’ Capital** | ** ** | **Contracts** | ** ** | **Profit (Loss)** | ** ** | **Members’ Capital** | ** ** | **on Open Positions** | ** ** | **Members’ Capital** | ** ** | **Maturity Dates** | ** ** |
|                    |       |               |       |                |       |                      |       |          |       |              |       |   |   |   |   |   |   |   |   |
| Agriculture             |       | 360                |       | $                   | (367,151   | )                         | -0.05      | %             | (1,704     | )                 | $          | 302,759 |   | 0.04 | % | $ | (64,392 | ) | -0.01 | % | October 2009  – December 2010 |   |
| Currencies              |       | 4,029              |       | 9,388,891           |       | 1.23                      | %          | (204          | )          | (98,106           | )          | -0.01 | % | 9,290,785 |   | 1.22 | % | October 2009  – December 2009 |   |
| Energy                  |       | 32                 |       | (17,753             | )          | 0.00                      | %          | (373          | )          | (1,135,591        | )          | -0.15 | % | (1,153,344 | ) | -0.15 | % | March 2010 |   |
| Interest rates          |       | 14,955             |       | 12,091,444          |       | 1.59                      | %          | (116          | )          | 57,697            |       | 0.01 | % | 12,149,141 |   | 1.60 | % | October 2009  – March 2010 |   |
| Metals                  |       | 1,012              |       | 3,162,988           |       | 0.41                      | %          | (123          | )          | (133,928          | )          | -0.02 | % | 3,029,059 |   | 0.39 | % | October 2009  – March 2010 |   |
| Stock indices           |       | 2,894              |       | 451,026             |       | 0.06                      | %          | (31           | )          | 70,626            |       | 0.01 | % | 521,652 |   | 0.07 | % | October 2009  – March 2010 |   |
|                    |       |               |       |                |       |                      |       |          |       |              |       |   |   |   |   |   |   |   |   |
| Total                   |       |               |       | $                   | 24,709,445 |                      | 3.24       | %             |       |              | $          | (936,543 | ) | -0.12 | % | $ | 23,772,902 |   | 3.12 | % |   |   |

 

**December 31,2008**

 
| ** **              | ** ** | **Long Positions** | ** ** | **Short Positions** | ** ** | **Net Unrealized**        | ** ** | ** **    | ** ** | ** **        | ** ** |
|-------------------------|------------|--------------------|------------|---------------------|------------|---------------------------|------------|---------------|------------|-------------------|------------|
| **Commodity  Industry** | ** ** | **Number of**      | ** ** | **Unrealized**      | ** ** | **Percent of**            | ** ** | **Number of** | ** ** | **Unrealized**    | ** ** | **Percent of** | ** ** | **Profit (Loss)** | ** ** | **Percent of** | ** ** | ** ** | ** ** |
| **Sector**              | ** ** | **Contracts**      | ** ** | **Profit (Loss)**   | ** ** | **Members’ Capital** | ** ** | **Contracts** | ** ** | **Profit (Loss)** | ** ** | **Members’ Capital** | ** ** | **on Open Positions** | ** ** | **Members’ Capital** | ** ** | **Maturity Dates** | ** ** |
|                    |       |               |       |                |       |                      |       |          |       |              |       |   |   |   |   |   |   |   |   |
| Agriculture             |       | 197                |       | $                   | 390,804    |                      | 0.05       | %             | (2,131     | )                 | $          | (3,807,410 | ) | -0.47 | % | $ | (3,416,606 | ) | -0.42 | % | January 09  – November 10 |   |
| Currencies              |       | 759                |       | 1,426,021           |       | 0.18                      | %          | (1,366        | )          | (4,720,175        | )          | -0.59 | % | (3,294,154 | ) | -0.41 | % | March 09 |   |
| Energy                  |       | —             |       | —              |       | 0.00                      | %          | (313          | )          | 1,169,490         |       | 0.15 | % | 1,169,490 |   | 0.15 | % | January 09  – December 10 |   |
| Interest rates          |       | 10,483             |       | 17,823,721          |       | 2.21                      | %          | (88           | )          | (21,657           | )          | 0.00 | % | 17,802,064 |   | 2.21 | % | January 09  – June 10 |   |
| Metals                  |       | 238                |       | (635,812            | )          | -0.08                     | %          | (558          | )          | 3,463,278         |       | 0.42 | % | 2,827,466 |   | 0.34 | % | January 09  – April 09 |   |
| Stock indices           |       | 10                 |       | 1,903               |       | 0.00                      | %          | (384          | )          | (359,049          | )          | -0.04 | % | (357,146 | ) | -0.04 | % | January 09  – March 09 |   |
|                    |       |               |       |                |       |                      |       |          |       |              |       |   |   |   |   |   |   |   |   |
| Total                   |       |               |       | $                   | 19,006,637 |                      | 2.36       | %             |       |              | $          | (4,275,523 | ) | -0.53 | % | $ | 14,731,114 |   | 1.83 | % |   |   |

 

Noindividual contract’s unrealized gain or loss comprised greater than 5% of theMembers’ Capital as of September 30, 2009 or December 31, 2008.

 

8

----

 

The Fund’s netunrealized profit (loss) on open forward and futures contracts as of September 30,2009 and December 31, 2008 are as follows:

 
| **September 30, 2009** | ** ** | **Unrealized  Long Positions** | ** ** | **Unrealized  Short Positions** | ** ** | **Total** | ** ** |
|-----------------------------|------------|--------------------------------|------------|---------------------------------|------------|-----------|------------|
| Futures                     |       | $                              | 24,709,445 |                            | $          | (936,543  | )          | $ | 23,772,902 |   |
| Forwards                    |       | —                         |       | —                          |       | —    |       |
| Total                       |       | $                              | 24,709,445 |                            | $          | (936,543  | )          | $ | 23,772,902 |   |

 
| **December 31, 2008** | ** ** | **Unrealized  Long Positions** | ** ** | **Unrealized  Short Positions** | ** ** | **Total**  | ** ** |
|----------------------------|------------|--------------------------------|------------|---------------------------------|------------|------------|------------|
| Futures                    |       | $                              | 19,006,637 |                            | $          | (4,275,523 | )          | $ | 14,731,114 |   |
| Forwards                   |       | —                         |       | —                          |       | —     |       |
| Total                      |       | $                              | 19,006,637 |                            | $          | (4,275,523 | )          | $ | 14,731,114 |   |

 

3.    FAIR VALUEOF INVESTMENTS

 

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

 

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

 

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

 

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

 

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

 

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

 

9

----

 

Level III — Pricing inputs are unobservable andinclude situations where there is little, if any, market activity for theinvestment. Fair value for these investments is determined using valuationmethodologies that consider a range of factors, including but not limited tothe nature of the investment, local market conditions, trading values on publicexchanges for comparable securities, current and projected operatingperformance and financing transactions subsequent to the acquisition of theinvestment. The inputs into the determination of fair value require significantmanagement judgment. Due to the inherent uncertainty of these estimates, thesevalues may differ materially from the values that would have been used had aready market for these investments existed.

 

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

 

Following is a description of the valuation methodologiesused for investments, as well as the general classification of such investmentspursuant to the valuation hierarchy.

 

Exchange traded investments are fair valued by theFund by using the reported closing price on the primary exchange where it tradessuch investments. These closing prices are observed through the clearing brokerand third party pricing services. For non exchange traded investments, quotedvalues and other data provided by nationally recognized independent pricingsources are used as inputs into its process for determining fair values.

 

The independent pricing sources obtain marketquotations and actual transaction prices for securities that have quoted pricesin active markets. Each source has its own proprietary method for determiningthe fair value of securities that are not actively traded. In general, thesemethods involve the use of “matrix pricing” in which the independent pricingsource uses observable market inputs including, but not limited to, investmentyields, credit risks and spreads, benchmarking of like securities,broker-dealer quotes, reported trades and sector groupings to determine areasonable fair market value.

 

Upon adoption of this fair value measurementguidance, the Fund has determined that Level I securities would include all ofits futures and options contracts where it believes that quoted prices areavailable in an active market.

 

Where the Fund believes that quoted market pricesare not available or that the market is not active, fair values are estimatedby using quoted prices of securities with similar characteristics, pricingmodels or matrix pricing and these are generally classified as Level IIsecurities. The Fund determined that Level II securities would include itsforward contracts.

 

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

 
| ** **                                      | ** ** | **Total** | ** ** | **Level I** | ** ** | **Level II** | ** ** | **Level III** | ** ** |
|-------------------------------------------------|------------|-----------|------------|-------------|------------|--------------|------------|---------------|------------|
| Net unrealized profit  (loss) on open contracts |       |      |       |        |       |         |       |          |       |
| September 30, 2009                         |       | $         | 23,772,902 |        | $          | 23,772,902   |       | N/A           |       | N/A |   |
| December 31, 2008                          |       | $         | 14,731,114 |        | $          | 14,731,114   |       | N/A           |       | N/A |   |

 

10

----

 

Effective January 1, 2009, the Fund adopted the guidance ondisclosures about derivative instruments and hedging activities as of January 1,2009 which requires qualitative disclosures about objectives and strategies forusing derivatives, quantitative disclosures about fair value amounts of andgains and losses on derivative instruments, and disclosures aboutcredit-risk-related contingent features in derivative agreements. This guidanceonly expands the disclosure requirements for derivative instruments and relatedhedging activities and has no impact on Statements of Financial Condition orStatements of Operations and Members’ Capital.

 

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

 

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

 
| ** **                    | ** ** | **For the  three months ended** | ** ** | **For the  nine months ended** | ** **  |
|-------------------------------|------------|---------------------------------|------------|--------------------------------|-------------|
| ** **                    | ** ** | **September 30,  2009**    | ** ** | **September 30,  2009**   | ** **  |
| **Commodity Industry Sector** | ** ** | **Gain  (loss) from trading**   | ** ** | **Gain  (loss) from trading**  | ** **  |
|                          |       |                            |       |                           |        |
| Agriculture                   |       | $                               | (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, MLAI might suspend or limit trading, perhapscausing the Fund to miss significant profit opportunities.  There are increased risks in dealing withunregulated trading counterparties including the risk that assets may notbenefit from the protection afforded to “customer funds” deposited withregulated dealers and brokers.

 

11

----

 

4.    NET ASSETVALUE PER UNIT

 

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

 

September 30, 2009

 
| ** **    | ** ** | **Net Asset Value per Unit** | ** ** |
|---------------|------------|------------------------------|------------|
| Class A  |       | $                            | 1.5086     |   |
| Class C  |       | 1.4415                       |       |
| Class D  |       | 1.4906                       |       |
| Class I  |       | 1.5250                       |       |
| Class DS |       | 1.4888                       |       |
| Class DT |       | 1.5298                       |       |
|               |            |                              |            |  |

 

December 31, 2008

 
| ** **    | ** ** | **Net Asset Value per Unit** | ** ** |
|---------------|------------|------------------------------|------------|
| Class A  |       | $                            | 1.6440     |   |
| Class C  |       | 1.5827                       |       |
| Class D  |       | 1.6066                       |       |
| Class I  |       | 1.6566                       |       |
| Class DS |       | 1.6046                       |       |
| Class DT |       | 1.6425                       |       |
|               |            |                              |            |  |

 

12

----

 

5.   MARKET AND CREDIT RISK

 

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

 

MarketRisk

 

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

 

MLAI, has procedures inplace intended to control market risk exposure, although there can be noassurance that they will, in fact, succeed in doing so.  These procedures focus primarily onmonitoring the trading of Winton, 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 avoid over-concentrations.  However, such interventions are expected tobe unusual.  It is expected that MLAI’sbasic risk control procedures will consist simply of the ongoing process ofadvisor monitoring, with the market risk controls being applied by Winton.

 

Credit Risk

 

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

 

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

 

13

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6.    RECENT ACCOUNTING PRONOUNCEMENTS

 

In April 2009,the FASB issued guidance on determiningfair value when the volume and level of**activityfor the asset or liability have significantly decreased and identifyingtransactions that are**not orderly.This provides additional guidance for estimating fair value in accordance withthe fair**value measurements when the volume and level ofactivity for the asset or liability have significantly decreased. This guidancealso identifies circumstances that indicate a transaction is not orderly. Theguidance emphasizes that even if there has been a significant decrease in thevolume and level of activity for the asset or liability and regardless of thevaluation technique(s) used, the objective of a fair value measurementremains the same. Fair value is the price that would be received to sell anasset or paid to transfer a liability in an orderly transaction (that is, not aforced liquidation or distressed sale) between market participants at themeasurement date under current market conditions. The guidance also containsenhanced disclosure requirements whereby fair value disclosures as well ascertain disaggregated information will be disclosed. The adoption of this guidancehas no impact on the financial statements.

 

In September 2009, the FASB issued Accounting Standards Update No. 2009-12,*Investments in Certain Entities ThatCalculate Net Asset Value per Share (or Its Equivalent)*(the “ASU2009-12”)*,*which is effective forinterim or annual financial periods ending after December 15, 2009. Atthis time, the Manager is evaluating the implications of this statement. However, the adoption is not expected to have material impact on the Fund’sfinancial statements.

 

7.   SUBSEQUENT EVENTS

 

The Fund has performed an evaluation of subsequent events through November 12,2009, which is the date the financial statements were issued, and determinedthat there are no subsequent events that require an adjustment of or disclosurein the financial statements.

 

14

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

 

MONTH-END NET ASSET VALUE PER UNIT

 

MLAI believes thatthe Net Asset Value used to calculate subscription and redemption value and toreport performance to investors throughout the year is the most valuableperformance measure to the Members of the Fund.   Therefore, the charts below referencing NetAsset Value and performance measurements are based on the Net Asset Value forfinancial reporting purposes, as discussed in Note 4 to the financialstatements.

 

MONTH-END NET ASSET VALUE PERINITIAL UNIT CLASS A

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May.** | ** ** | **Jun.** | ** ** | **Jul.** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|
| 2008       |       | $        | 1.4285     |     | $          | 1.5377   |       | $        | 1.5208     |     | $          | 1.5075   |       | $        | 1.5302     |     | $          | 1.6005    |       | $ | 1.5348 |   | $ | 1.4963 |   | $ | 1.5000 |   |
| 2009       |       | $        | 1.6553     |     | $          | 1.6464   |       | $        | 1.6155     |     | $          | 1.5632   |       | $        | 1.5257     |     | $          | 1.5024    |       | $ | 1.4745 |   | $ | 1.4752 |   | $ | 1.5086 |   |

 

MONTH-ENDNET ASSET VALUE PER INITIAL UNIT CLASS C

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May.** | ** ** | **Jun.** | ** ** | **Jul.** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|
| 2008       |       | $        | 1.3876     |     | $          | 1.4924   |       | $        | 1.4747     |     | $          | 1.4607   |       | $        | 1.4814     |     | $          | 1.5482    |       | $ | 1.4835 |   | $ | 1.4450 |   | $ | 1.4474 |   |
| 2009       |       | $        | 1.5921     |     | $          | 1.5822   |       | $        | 1.5513     |     | $          | 1.4998   |       | $        | 1.4626     |     | $          | 1.4391    |       | $ | 1.4112 |   | $ | 1.4107 |   | $ | 1.4415 |   |

 

MONTH-ENDNET ASSET VALUE PER INITIAL UNIT CLASS D

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May.** | ** ** | **Jun.** | ** ** | **Jul.** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|
| 2008       |       | $        | 1.3765     |     | $          | 1.4836   |       | $        | 1.4691     |     | $          | 1.4581   |       | $        | 1.4819     |     | $          | 1.5519    |       | $ | 1.4903 |   | $ | 1.4548 |   | $ | 1.4602 |   |
| 2009       |       | $        | 1.6193     |     | $          | 1.6126   |       | $        | 1.5842     |     | $          | 1.5349   |       | $        | 1.4999     |     | $          | 1.4789    |       | $ | 1.4532 |   | $ | 1.4558 |   | $ | 1.4906 |   |

 

MONTH-ENDNET ASSET VALUE PER INITIAL UNIT CLASS I

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May.** | ** ** | **Jun.** | ** ** | **Jul.** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|
| 2008       |       | $        | 1.4343     |     | $          | 1.5444   |       | $        | 1.5279     |     | $          | 1.5151   |       | $        | 1.5385     |     | $          | 1.6098    |       | $ | 1.5442 |   | $ | 1.5059 |   | $ | 1.5102 |   |
| 2009       |       | $        | 1.6687     |     | $          | 1.6603   |       | $        | 1.6297     |     | $          | 1.5774   |       | $        | 1.5401     |     | $          | 1.5172    |       | $ | 1.4894 |   | $ | 1.4907 |   | $ | 1.5250 |   |

 

MONTH-ENDNET ASSET VALUE PER INITIAL UNIT CLASS DS

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May.** | ** ** | **Jun.** | ** ** | **Jul.** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|
| 2008       |       | $        | 1.3765     |     | $          | 1.4835   |       | $        | 1.4690     |     | $          | 1.4582   |       | $        | 1.4817     |     | $          | 1.5509    |       | $ | 1.4900 |   | $ | 1.4549 |   | $ | 1.4602 |   |
| 2009       |       | $        | 1.6173     |     | $          | 1.6106   |       | $        | 1.5822     |     | $          | 1.5329   |       | $        | 1.4980     |     | $          | 1.4771    |       | $ | 1.4514 |   | $ | 1.4540 |   | $ | 1.4888 |   |

 

MONTH-ENDNET ASSET VALUE PER INITIAL UNIT CLASS DT

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May.** | ** ** | **Jun.** | ** ** | **Jul.** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|
| 2008       |       | $        | 1.3901     |     | $          | 1.5051   |       | $        | 1.4899     |     | $          | 1.4785   |       | $        | 1.5045     |     | $          | 1.5802    |       | $ | 1.5141 |   | $ | 1.4761 |   | $ | 1.4824 |   |
| 2009       |       | $        | 1.6568     |     | $          | 1.6500   |       | $        | 1.6217     |     | $          | 1.5718   |       | $        | 1.5367     |     | $          | 1.5159    |       | $ | 1.4902 |   | $ | 1.4934 |   | $ | 1.5298 |   |

 

15

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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 (ii) interestreceivable.    Because of the low margindeposits normally required in commodity futures trading relatively small pricemovements may result in substantial losses to the Fund.  While substantial losses could lead to amaterial decrease in liquidity, no such material losses occurred during thethird quarter of 2009 and there was no impact on the Fund’s liquidity.

 

The Fund’s capital consists of the capital contributionsof the members as increased or decreased by gains or losses on trading,expenses, interest income, redemptions of Redeemable Units and distributions ofprofits, if any.

 

For the nine months ended September 30, 2009,Fund capital decreased 5.19% from $803,988,560 to $762,253,623.  This decrease was attributable to the netloss from operations of $65,905,894, coupled with the redemption of 72,716,578Redeemable Units resulting in an outflow of $110,962,222.  The cash outflow was offset with cash inflowof $135,133,179 due to subscription of 87,943,826 units.  Future redemptions could impact the amount offunds available for investment in commodity contract positions in subsequentmonths.

 

Critical Accounting Policies

 

Use of Estimates

 

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

 

Statement of Cash Flows

 

The Fund has elected not to provide a Statement of CashFlows as permitted by the ASC guidance for Statement of Cash Flows specificallyrelating to the exemption of certain enterprises and classification of cashflows from certain securities acquired for resale.

 

Investments

 

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

 

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Fair Value Measurements

 

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

 

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) on futurescontracts are included in the Statement of Operations and Statements of Changesin Members’ Capital.

 

Forward Foreign Currency Contracts

 

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

 

Income Taxes

 

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

 

In 2007, the Fund adopted the ASC guidance onaccounting for uncertainty in income taxes. This guidance provides guidance for how uncertain tax positions shouldbe recognized, measured, presented and disclosed in the financialstatements.  This guidance also requiresthe evaluation of tax positions taken or expected to be taken in the course ofpreparing the Fund’s financial statements to determine whether the taxpositions are “more-likely-than-not” to be sustained by the applicable taxauthority.  Tax positions with respect totax at the Fund level not deemed to meet the “more-likely-than-not” thresholdwould be recorded as a tax benefit or expense in the current year.  MLAI has concluded that the adoption of thisguidance had no impact on the operations of the Fund for the period ended September 30,2009 and that no provision for income tax is required in the Fund’s financialstatements.

 

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Results of Operations

 

January 1, 2009 through March 31, 2009

 

The Fund experienced a net trading loss beforebrokerage commissions and related fees in the first quarter of 2009 of$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 proved a difficult month tonavigate as markets either reversed previous direction or simply became rangebound 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.

 

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. It is the Fund’s plan to gradually loosen up “GovernmentPaper” only approach for the cash held by the Fund. The Fund intends to make atactical shift to allocate small percentages to Agency Paper, Corporate Bondsand in due course Commodity Cash and Carries. Yields in the 10 year bondmarkets firmed up fractionally but not enough to offset losses posted to theFund in the middle of the quarter. The macro economic background continues toweigh heavily on sentiment, and the discussion or implementation of aggressive “quantitativeeasing” by governments created sharp moves during the month of March. The shortterm rates continue to decline at the end of the quarter resulting in profitsbeing posted to 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 exposure in the U.S. dollar wasdamaged by both the increasing indebtedness of the United States followingPresident Obama’s latest fiscal stimulus package and rumors of it beingsidelined as the reserve currency and the Japanese yen position also sufferedposting losses as the quarter ended.

 

18

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April 1, 2009to 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.

 

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, whichstarted mid March, began to wane (at least temporarily), and there is renewedtalk of “yellow weeds” appearing. As such, Equities came off the boil as theS&P ended flat and markets such as Russia fell from their highs resultingin 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.

 

19

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July 1, 2009to September 30, 2009

 

The fund experienced anet trading profit of $10,536,499 before brokerage commissions and related feesin the third quarter of 2009. The fund posted overall profits for the quarterwith interest rates, currencies and metals sectors posting gains while theagriculture, energy and stock indices sectors posted losses.

 

The interest rate sectorposted overall profits for the Fund. Losses were posted to the Fund at thebeginning of the quarter. Uncertainty continued in the fixed income markets,with U.S. Federal Reserve Chairman Bernanke tempering the optimism by sayingthat interest rates will need to remain low for “an extended period”. Againstthis background the Fund’s returns were dominated by losses in equity and bondsectors.  Profits were posted to the Fundin the middle of the quarter due to continued economic recovery, with a furtherstream of positive data being released. At the annual Jackson Hole meeting ofCentral Bankers, they chose not to declare an end to the Global Crisis, withU.S. Federal Reserve Chairman Bernanke stating that “critical challenges remain”.The U.S. Federal Reserve again committed to leaving interest rates near zerofor an “extended period” while the Bank of England moved to continue itsprogram of quantitative easing. Profits were posted to the Fund at the end ofthe quarter due to short term interest rate which registered further gains andhave become the Fund’s best performing sector for this year.

 

The currency sectorposted profits for the Fund. Profits were posted to the Fund at the beginningand end of the quarter as currency positions continued to bring somediversification to the Fund with margin to equity rising. At the end of thequarter, the currencies sector was the strongest sector due to the benefitsfrom the falling United States dollar.

 

The metals sector postedprofits for the Fund. Losses were posted to the Fund at the beginning of thequarter only. Profits were posted to the Fund throughout the remainder of thequarter. Gold was close in reaching an all time high at the end of the quarteras the level of debt by Governments created a real fear of future inflation indebtor economies.

 

The agriculture sectorposted losses for the Fund. Overall losses were posted to the Fund at thebeginning and end of the quarter due to volatility in the global markets.

 

The energy sector postedlosses to the Fund throughout the quarter with crude oil starting the quarterby falling $10 a barrel to $60 a barrel. At the end of the quarter, systemchanges were focused on the energies sector, where a new forecasting variablewas added, albeit at a very low weight.

 

The Stock Indices Sectorposted losses for the Fund. Losses were posted to the Fund at the beginning ofthe quarter due to economic sentiment continuing to hang on the metaphor of “greenshoots”. In August, the Dow Jones was up 46% from its March low. The lasttime that the Dow managed this level of return in the space of six months wasin 1975, when it staged a recovery from the 1973-74 stock market crash. Duringthis move the Fund’s stock index systems have been slow to reverse their shortpositions resulting in losses being posted to the Fund. Global stock indicescontinued their strong rally into September, causing much comment as to weatherthe moves were sustainable as there seems little doubt that these are thedirect result of Government and Central Bank stimulus. Therefore, the quarterended with profits being posted to the Fund.

 

20

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January 1,2008 to March 31, 2008

 

The Fund experienced a net trading gain beforebrokerage commissions and related fees in the first quarter of 2008 of$81,855,916.  Gains were primarilyattributable to the Fund’s trading in interest rates, currencies, agriculture,energy and the metals sectors posting gains while the stock indices sectorsposted losses.

 

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

 

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

 

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

 

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

 

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

 

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

 

April 1, 2008to June 30, 2008

 

TheFund posted profits for the quarter with the energy, agriculture, stock indicesand currencies sectors posting gains while the metal and interest rate sectorsposted losses.

 

Theenergy sector posted profits for the fund. The energy sector was the stand outperformer for the Fund at the beginning of the quarter with crude oil, unleadedgasoline and natural gas markets all contributing to the profit. The continuedboom in crude oil prices dominated the mid-quarter as the price has increasedover 50% from the first week of February. Profits continued to be posted to theFund as the quarter ended in particular with the renewed surge in crude oil.

 

21

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Theagriculture sector posted profits for the Fund. Profits were posted for theFund at the beginning of the quarter as grains were the top performer for thesector. Losses were posted to the Fund mid-quarter as grains were mixed,tending to net off against each other. Due to the escalation of grain pricesprofits were posted to the Fund at the end of the quarter.

 

The stock indices sectorposted profits for the Fund. Losses were posted to the Fund at the beginning ofthe quarter through mid-quarter as financial markets continued to be rangebound. June saw a further crystallization of market ranges which had beenthreatening to break out of their ranges for some time. There was a sharpdecline in global equity markets, as the cumulative weight of poor financialfigures, inflationary fears and an increase in negative sentiment combined todepress both G7  (sevenindustrialized nations of the world: Canada, France, Germany, Italy, Japan,United Kingdom, and the United States of America) and the global markets.Most markets fell between 5-10% in June and a technical bear market looksto be in place in the United States where a 20% peak to trough decline hasoccurred. The Fund was well positioned to benefit from these conditions, withequity indices accounting for nearly half the monthly return as the quarterended with profits being posted to the Fund.

 

Thecurrency sector posted profits for the Fund. Losses were posted to the Fund atthe beginning of the quarter due to the United States dollar becoming rangebound, albeit near its recent lows. Profits were posted to the Fund mid-quarter through the end of thequarter due to the Fund’s long positions in currencies.

 

Themetals sector posted losses for the Fund. Losses were posted to the Fund at thebeginning of the quarter as trends in the markets ebbed and flowed. Goldresumed its uptrend mid-quarter as did a number of base metals posting profitsto the Fund through the end of the quarter.

 

Theinterest rates sector posted profits for the Fund. Losses were posted to theFund at the beginning of the quarter due to the Fund’s position in long termbonds. Small profits in short term interest rates were offset by equivalentlosses in Bonds in the middle of the quarter. Profits continued to be posted tothe Fund at the end of the quarter.

 

July 1,2008 to September 30, 2008

 

TheFund posted overall losses for the quarter with the stock indices and theinterest rate sector posting gains while the metals, currencies, agricultureand the energy sectors posted losses.

 

The stock indices sectorposted profits for the Fund. Profits were posted to the Fund at the beginningof the quarter. Intervention from the Securities and Exchange Commission torestrict short selling and to prop up beleaguered institutions caused someshort term effects, however, equity indices stabilized against the recent beartrend. Due to market volatility, losses were posted to the Fund in the middleof the quarter. High volatility continued to cause the Fund to reduce positionsso that the Fund’s margin exposure was at a record low which produced profitsbeing posted to the Fund at the end of the quarter.

 

Theinterest rates sector posted profits for the Fund. Losses were posted to theFund at the beginning of the quarter only to be reversed in the middle of thequarter due to the Fund’s position in long term bonds. The Fund profited from along bias in bond futures as the 10 year bond yields declined. Profitscontinued to be posted to the Fund at the end of the quarter as there was arenewed strength in Government bonds worldwide.

 

Themetals sector posted overall losses for the Fund. Losses were posted to theFund at the beginning through the middle of the quarter as precious metalsslipped under downward pressure. Profits were posted to the Fund at the end ofthe quarter in lieu of the global market volatility.

 

22

----

 

Thecurrency sector posted losses for the Fund. Losses were posted to the Fund atthe beginning of the quarter as currencies were in a state of flux, as theEuro, the Japanese yen and the British pound all softened with the U.S. dollarrising. Losses continued to be posted to the Fund in the middle of the quarteras the long standing negative trend in the U.S. dollar reversed and the U.S.dollar posted a significant recovery with the U.S. dollar index being up. TheU.S. dollar continued to rally as the quarter ended posting losses for theFund.

 

Theagriculture sector posted losses for the Fund. Losses were posted to the Fundat the beginning through the middle of the quarter as grains sectorsexperienced dramatic price fluctuations. In the grain sector both corn and thesoy complex fell significantly. The Fund posted losses at the end of thequarter due to the extreme volatility in the market.

 

Theenergy sector posted losses for the fund. Losses were posted to the Fund at thebeginning of the quarter due to the fluctuation of crude oil moving from $140per barrel up to $147 per barrel and then down to $125 per barrel . Lossescontinued to be posted to the Fund in the middle of the quarter to the end ascrude oil continued to fall in price.

 

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

 

Item 3.   Quantitative and Qualitative DisclosuresAbout Market Risk

 

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

 

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

 

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

 

23

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Value at Risk is a measure of the maximum amount whichthe Fund could reasonably be expected to lose in a given market sector.However, the inherent uncertainty of the Fund’s speculative trading and therecurrence in the markets traded by the Fund of market movements far exceedingexpectations could result in actual trading or non-trading losses far beyondthe indicated Value at Risk or the Fund’s experience to date (i.e., “risk ofruin”). In light of the foregoing, as well as the risks and uncertaintiesintrinsic to all future projections, the quantifications included in thissection should not be considered to constitute any assurance or representationthat the Fund’s losses in any market sector will be limited to Value at Risk orby the Fund’s attempts to manage its market risk.

 

Quantifying The Fund’s Trading Value At Risk

 

Quantitative Forward-Looking Statements

 

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

 

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

 

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

 

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

 

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

 

24

----

 

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

 

The following table indicates theaverage, highest and lowest trading Value at Risk associated with the Fund’sopen positions by market category for the fiscal period. For the nine monthsended September 30, 2009 and 2008, the Fund’s average Month-end Net AssetValue for all other purposes was approximately $773,083,280 and $703,465,203respectively.

 

**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             |       | 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 |   |

** **

**September 30,2008**

 
| ** **             | ** ** | **Average**                 | ** ** | **% of  Average**  | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
|------------------------|------------|-----------------------------|------------|--------------------|------------|--------------------|------------|-------------------|------------|
| **Market Sector** | ** ** | **Value at Risk** | ** ** | **Capitalization** | ** ** | **At Risk**   | ** ** | **At Risk**  | ** ** |
|                   |       |                        |       |               |       |               |       |              |       |
| Agriculture            |       | $                           | 1,911,192  |               | 0.27       | %                  | $          | 3,763,862         |       | $ | 135,712 |   |
| Currencies             |       | 5,785,078                   |       | 0.82               | %          | 10,325,792         |       | 1,192,969         |       |
| Energy                 |       | 2,069,604                   |       | 0.29               | %          | 4,313,519          |       | 461,150           |       |
| Interest Rates         |       | 25,703,394                  |       | 3.65               | %          | 39,784,252         |       | 17,648,522        |       |
| Metals                 |       | 1,284,303                   |       | 0.18               | %          | 2,479,475          |       | 16,372            |       |
| Stock Indices          |       | 3,289,013                   |       | 0.47               | %          | 10,586,469         |       | 95,514            |       |
|                   |       |                        |       |               |       |               |       |              |       |
| TOTAL                  |       | $                           | 40,042,584 |               | 5.68       | %                  | $          | 71,253,369        |       | $ | 19,550,239 |   |

 

25

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Material Limitations on Value at Riskas an Assessment of Market Risk

 

The face value of the market sectorinstruments held by the Fund is typically many times the applicable maintenancemargin requirement (maintenance margin requirements generally ranging betweenapproximately 1% and 10% of contract face value) as well as many times thecapitalization of the Fund.  Themagnitude of the Fund’s open positions creates a “risk of ruin” not typicallyfound in most other investment vehicles. Because of the size of its positions, certain market conditions —unusual, but historically recurring from time to time — could cause the Fund toincur severe losses over a short period of time.   The foregoing Value at Risk table — as wellas the past performance of the Fund — gives no indication of this “risk ofruin.”

 

Non-Trading Risk

 

ForeignCurrency Balances; Cash on Deposit with MLPF&S

 

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

 

TheFund also has non-trading market risk on the approximately 90%-95% of itsassets which are held in cash at MLPF&S. The value of this cash is notinterest rate sensitive, but there is cash flow risk in that if interest ratesdecline so will the cash flow generated on these monies. This cash flow risk isimmaterial.

 

Qualitative Disclosures Regarding Primary Trading Risk Exposures

 

Thefollowing qualitative disclosures regarding the Fund’s market risk exposures — exceptfor (i) those disclosures that are statements of historical fact and (ii) thedescriptions of how the Fund manages its primary market risk exposures — constituteforward-looking statements within the meaning of Section 27A of theSecurities Act and Section 21E of the Securities Exchange Act. The Fund’sprimary market risk exposures as well as the strategies used and to be used byMLAI and 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, 2009, by market sector.

 

Interest Rates

 

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

 

26

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Currencies

 

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

 

Stock Indices

 

The Fund’s primary equity exposure is due to various equity index pricemovements. The Fund is primarily exposed to the risk of adverse price trends orstatic markets in the major U.S., European and Asian indices.

 

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, 2009.

 

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

 

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

 

Foreign Currency Balances

 

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

 

U.S. Dollar Cash Balance

 

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

 

27

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Item4T. Controls and Procedures

 

MLAI, the Sponsorof ML Winton FuturesAccess LLC, with the participation of the Sponsor’s ChiefExecutive Officer and the Chief Financial Officer, has evaluated theeffectiveness of the design and operation of its disclosure controls andprocedures with respect to the Fund as of the end of the period of thisquarterly report, and, based on this evaluation, has concluded that thesedisclosure controls and procedures are effective.  Additionally, there were no significantchanges in the Fund’s internal controls or in other factors during the latestfiscal quarter that has materially affected, or is reasonably likely tomaterially affect, the Fund’s internal control over financial reporting.

 

28

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PART II - OTHER INFORMATION

 

Item 1.                                   Legal Proceedings

 

None.

 

Item 1A.  Risk Factors

 

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

 

Item 2.                                  Unregistered Sales of Equity Securitiesand Use of Proceeds

 

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

 

CLASS A

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-09     |       | $                | 2,016,403  |       | 1,226,299  |   | $ | 1.6443 |   |
| Feb-09     |       | 1,172,901        |       | 708,573    |       | 1.6553 |   |
| Mar-09     |       | 3,841,763        |       | 2,333,432  |       | 1.6464 |   |
| Apr-09     |       | 2,392,607        |       | 1,481,032  |       | 1.6155 |   |
| May-09     |       | 1,944,708        |       | 1,244,056  |       | 1.5632 |   |
| Jun-09     |       | 859,934          |       | 563,633    |       | 1.5257 |   |
| Jul-09     |       | 1,009,563        |       | 671,967    |       | 1.5024 |   |
| Aug-09     |       | 1,077,904        |       | 731,030    |       | 1.4745 |   |
| Sep-09     |       | 1,461,500        |       | 990,713    |       | 1.4752 |   |
| Oct-09     |       | 1,182,184        |       | 783,630    |       | 1.5086 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS C

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-09     |       | $                | 6,451,429  |       | 4,075,703  |   | $ | 1.5829 |   |
| Feb-09     |       | 5,081,580        |       | 3,191,747  |       | 1.5921 |   |
| Mar-09     |       | 4,939,272        |       | 3,121,774  |       | 1.5822 |   |
| Apr-09     |       | 7,230,339        |       | 4,660,826  |       | 1.5513 |   |
| May-09     |       | 4,070,929        |       | 2,714,315  |       | 1.4998 |   |
| Jun-09     |       | 3,424,358        |       | 2,341,281  |       | 1.4626 |   |
| Jul-09     |       | 5,445,474        |       | 3,783,944  |       | 1.4391 |   |
| Aug-09     |       | 3,878,980        |       | 2,748,710  |       | 1.4112 |   |
| Sep-09     |       | 2,836,955        |       | 2,011,026  |       | 1.4107 |   |
| Oct-09     |       | 5,003,422        |       | 3,470,983  |       | 1.4415 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS D

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-09     |       | $                | 5,367,524  |       | 3,341,129  |   | $ | 1.6065 |   |
| Feb-09     |       | 1,990,000        |       | 1,228,926  |       | 1.6193 |   |
| Mar-09     |       | 1,499,999        |       | 930,174    |       | 1.6126 |   |
| Apr-09     |       | —           |       | —     |       | 1.5842 |   |
| May-09     |       | 200,000          |       | 130,301    |       | 1.5349 |   |
| Jun-09     |       | —           |       | —     |       | 1.4999 |   |
| Jul-09     |       | 525,999          |       | 355,669    |       | 1.4789 |   |
| Aug-09     |       | —           |       | —     |       | 1.4532 |   |
| Sep-09     |       | 79,999           |       | 54,952     |       | 1.4558 |   |
| Oct-09     |       | 1,896,904        |       | 1,272,578  |       | 1.4906 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

29

----

 

 

CLASS I

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-09     |       | $                | 837,728    |       | 505,539    |   | $ | 1.6571 |   |
| Feb-09     |       | 3,674,992        |       | 2,202,309  |       | 1.6687 |   |
| Mar-09     |       | 553,998          |       | 333,673    |       | 1.6603 |   |
| Apr-09     |       | 3,154,692        |       | 1,935,750  |       | 1.6297 |   |
| May-09     |       | 124,999          |       | 79,242     |       | 1.5774 |   |
| Jun-09     |       | 1,150,993        |       | 747,351    |       | 1.5401 |   |
| Jul-09     |       | 354,872          |       | 233,899    |       | 1.5172 |   |
| Aug-09     |       | 255,203          |       | 171,346    |       | 1.4894 |   |
| Sep-09     |       | 2,598,217        |       | 1,742,949  |       | 1.4907 |   |
| Oct-09     |       | 379,893          |       | 249,110    |       | 1.5250 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS DS

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-09     |       | $                | 1,242,710  |       | 774,467    |   | $ | 1.6046 |   |
| Feb-09     |       | 5,628,413        |       | 3,480,129  |       | 1.6173 |   |
| Mar-09     |       | 2,795,089        |       | 1,735,434  |       | 1.6106 |   |
| Apr-09     |       | 3,131,252        |       | 1,979,050  |       | 1.5822 |   |
| May-09     |       | 5,772,859        |       | 3,765,973  |       | 1.5329 |   |
| Jun-09     |       | 20,420,298       |       | 13,631,707 |       | 1.4980 |   |
| Jul-09     |       | 5,200,060        |       | 3,520,452  |       | 1.4771 |   |
| Aug-09     |       | 4,130,867        |       | 2,846,126  |       | 1.4514 |   |
| Sep-09     |       | 4,591,788        |       | 3,158,039  |       | 1.4540 |   |
| Oct-09     |       | —           |       | —     |       | 1.4888 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS DT

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-09     |       | $                | —     |       | —     |   | $ | 1.6423 |   |
| Feb-09     |       | —           |       | —     |       | 1.6568 |   |
| Mar-09     |       | —           |       | —     |       | 1.6500 |   |
| Apr-09     |       | —           |       | —     |       | 1.6217 |   |
| May-09     |       | 567,184          |       | 360,850    |       | 1.5718 |   |
| Jun-09     |       | —           |       | —     |       | 1.5367 |   |
| Jul-09     |       | —           |       | —     |       | 1.5159 |   |
| Aug-09     |       | —           |       | —     |       | 1.4902 |   |
| Sep-09     |       | 146,845          |       | 98,329     |       | 1.4934 |   |
| Oct-09     |       | 1,674,175        |       | 1,094,375  |       | 1.5298 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

----

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

 

(b)         None.

(c)          None.

 

30

----

 

Item 3.                                  Defaults Upon Senior Securities

 

None.

 

Item 4.                                  Submission of Matters to a Vote ofSecurity Holders

 

None.

 

Item 5.                                  Other Information

 

None.

 

Item 6.                                  Exhibits

 

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

 

31.01 and

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

 

Exhibit 31.01

and 31.02                      Are filed herewith.

 

32.01 and

32.02                                             Section 1350 Certifications

 

Exhibit 32.01

and 32.02                      Are filed herewith.

 

31

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**SIGNATURES**

 

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

 

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

 

32

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