**UNITED STATES SECURITIES AND EXCHANGE COMMISSION**

**Washington, D.C. 20549**

 

**FORM 10-Q**

 

**(MarkOne)**

 

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

** **

**For thequarterly period ended September 30, 2008**

 

**OR**

 

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

 

**For thetransition period from                to                **

 

**CommissionFile Number 0-51084**

 

# **ML WINTON FUTURESACCESS LLC**

(Exact Name of Registrant as

specified in its charter)

 

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

 

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

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

**New York, New York 10281**

(Address of principal executive offices)

(Zip Code)

 

**212-236-2063**

(Registrant’s telephone number, including area code)

 

Indicateby check mark whether the registrant (1) has filed all reports required tobe filed by Section 13 or 15(d) of the Securities Exchange Act of1934 during the preceding 12 months (or for such shorter period that theregistrant was required to file such reports), 
| and  (2) has been subject to such filing requirements for the past 90 days. | Yes  x | No  o |
|----------------------------------------------------------------------------------|--------|-------|

 

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

 
| Large  accelerated filer o |   | Accelerated  filer o |   | Non-accelerated  filer x |   | Smaller  Reporting Company o |
|----------------------------|--------|----------------------|--------|--------------------------|--------|------------------------------|

 

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

 

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

 

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

 

 

 

----

 

**ML WINTON FUTURESACCESS LLC**

 

QUARTERLY REPORT FOR SEPTEMBER 30, 2008 ON FORM 10-Q

 

Table of Contents

 
| ** ** | ** **                                                                                  | **PAGE**   |
|------------|---------------------------------------------------------------------------------------------|------------|
| ** ** | PART I                                                                                 | ** ** |
|       |                                                                                        |       |
| Item  1.   | Financial  Statements                                                                       | 4          |
|       |                                                                                        |       |
| Item  2.   | Management’s  Discussion and Analysis of Financial Condition and Results of Operations | 13         |
|       |                                                                                        |       |
| Item  3.   | Quantitative  and Qualitative Disclosures About Market Risk                                 | 18         |
|       |                                                                                        |       |
| Item  4.   | Controls  and Procedures                                                                    | 21         |
|       |                                                                                        |       |
|       | PART II                                                                                |       |
|       |                                                                                        |       |
| Item  1.   | Legal  Proceedings                                                                          | 22         |
|       |                                                                                        |       |
| Item  1A.  | Risk  Factors                                                                               | 22         |
|       |                                                                                        |       |
| Item  2.   | Unregistered  Sales of Equity Securities and Use of Proceeds                                | 24         |
|       |                                                                                        |       |
| Item  3.   | Defaults  Upon Senior Securities                                                            | 25         |
|       |                                                                                        |       |
| Item  4.   | Submission  of Matters to a Vote of Security Holders                                        | 25         |
|       |                                                                                        |       |
| Item  5.   | Other  Information                                                                          | 25         |
|       |                                                                                        |       |
| Item  6.   | Exhibits                                                                                    | 25         |

 

----

 

PART I - FINANCIALINFORMATION

 

Item 1.                                     Financial Statements

 

ML WINTON FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OF FINANCIAL CONDITION

 
| ** **                                                                            | ** ** | **September 30,** | ** **  | **December 31,** | ** ** |
|---------------------------------------------------------------------------------------|------------|------------------------|-------------|-----------------------|------------|
| ** **                                                                            | ** ** | **2008**               | ** **  | **2007**              | ** ** |
| ** **                                                                            | ** ** | **(unaudited)**        | ** **  | **(unaudited)**       | ** ** |
|                                                                                  |       |                   |        |                  |       |
| **ASSETS:**                                                                           |       |                   |        |                  |       |
| Equity in commodity futures trading  accounts:                                        |       |                   |        |                  |       |
| Cash (including restricted cash of  $36,698,673 for 2008 and $51,742,673 for 2007)    |       | $                      | 792,161,053 |                  | $          | 619,663,052 |   |
| Net unrealized profit (loss) on open  contracts                                       |       | 105,053                |        | 7,934,149             |       |
| Cash                                                                                  |       | 72,951                 |        | —                |       |
| Accrued interest                                                                      |       | 1,147,960              |        | 2,238,652             |       |
| Other Assets                                                                          |       | 291,758                |        | —                |       |
|                                                                                  |       |                   |        |                  |       |
| **TOTAL  ASSETS**                                                                     |       | $                      | 793,778,775 |                  | $          | 629,835,853 |   |
|                                                                                  |       |                   |        |                  |       |
| **LIABILITIES  AND MEMBERS’ CAPITAL:**                                           |       |                   |        |                  |       |
| LIABILITIES:                                                                          |       |                   |        |                  |       |
| Brokerage commissions payable                                                         |       | $                      | 68,143      |                  | $          | 184,272 |   |
| Management fee payable                                                                |       | 1,279,477              |        | 986,432               |       |
| Sponsor fee payable                                                                   |       | 865,103                |        | 724,472               |       |
| Performance fee payable                                                               |       | 11,812,261             |        | 13,693,607            |       |
| Redemptions payable                                                                   |       | 13,350,495             |        | 6,907,980             |       |
| Initial offering costs payable                                                        |       | 70,992                 |        | 106,994               |       |
| Other                                                                                 |       | 4,017,675              |        | 184,407               |       |
|                                                                                  |       |                   |        |                  |       |
| Total liabilities                                                                     |       | 31,464,146             |        | 22,788,164            |       |
|                                                                                  |       |                   |        |                  |       |
| MEMBERS’ CAPITAL:                                                                |       |                   |        |                  |       |
| Sponsor’s Interest (19,470 Units and 19,470  Units)                              |       | 28,691                 |        | 26,449                |       |
| Members’ Interest (520,466,538 Units and  452,040,928 Units)                     |       | 762,285,938            |        | 607,021,240           |       |
|                                                                                  |       |                   |        |                  |       |
| Total members’ capital                                                           |       | 762,314,629            |        | 607,047,689           |       |
|                                                                                  |       |                   |        |                  |       |
| **TOTAL  LIABILITIES AND MEMBERS’ CAPITAL**                                      |       | $                      | 793,778,775 |                  | $          | 629,835,853 |   |
|                                                                                  |       |                   |        |                  |       |
| **NET  ASSET VALUE PER UNIT (Note 3)**                                                |       |                   |        |                  |       |
| (Based on 520,486,008 and 452,060,398 Units  outstanding, unlimited Units authorized) |       |                   |        |                  |       |

 

See notes to financial statements.

 

4

----

 

WINTON FUTURESACCESS LLC

(a Delaware Limited Liability 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,**     | ** ** |
| ** **                                     | ** ** | **2008**                    | ** **  | **2007**                    | ** ** | **2008**                   | ** ** | **2007**                   | ** ** |
| **TRADING  PROFIT (LOSS):**                    |       |                        |        |                        |       |                       |       |                       |       |
|                                           |       |                        |        |                        |       |                       |       |                       |       |
| Realized                                       |       | $                           | (28,352,200 | )                           | $          | (6,455,238                 | )          | $                          | 81,846,519 |   | $ | 21,702,975 |   |
| Change in unrealized                           |       | (30,851,844                 | )           | 31,995,468                  |       | (7,829,096                 | )          | 31,730,193                 |       |
| Brokerage commissions                          |       | (261,011                    | )           | (429,814                    | )          | (910,442                   | )          | (1,559,528                 | )          |
|                                           |       |                        |        |                        |       |                       |       |                       |       |
| Total trading profit (loss)                    |       | (59,465,055                 | )           | 25,110,416                  |       | 73,106,981                 |       | 51,873,640                 |       |
|                                           |       |                        |        |                        |       |                       |       |                       |       |
| **INVESTMENT  INCOME:**                        |       |                        |        |                        |       |                       |       |                       |       |
| Interest                                       |       | 3,632,539                   |        | 7,447,099                   |       | 12,209,816                 |       | 17,682,157                 |       |
| ** **                                     |       |                        |        |                        |       |                       |       |                       |       |
| **EXPENSES:**                                  |       |                        |        |                        |       |                       |       |                       |       |
| Management fee                                 |       | 3,800,396                   |        | 2,842,149                   |       | 10,781,276                 |       | 6,970,048                  |       |
| Sponsor fee                                    |       | 2,580,675                   |        | 2,058,722                   |       | 7,556,325                  |       | 5,580,457                  |       |
| Performance fee                                |       | (12,354,958                 | )           | 4,232,525                   |       | 11,751,260                 |       | 8,573,077                  |       |
| Other                                          |       | 358,427                     |        | 258,221                     |       | 1,043,973                  |       | 704,702                    |       |
|                                           |       |                        |        |                        |       |                       |       |                       |       |
| Total expenses                                 |       | (5,615,460                  | )           | 9,391,617                   |       | 31,132,834                 |       | 21,828,284                 |       |
|                                           |       |                        |        |                        |       |                       |       |                       |       |
| **NET  INVESTMENT INCOME (LOSS)**              |       | 9,247,999                   |        | (1,944,518                  | )          | (18,923,018                | )          | (4,146,127                 | )          |
|                                           |       |                        |        |                        |       |                       |       |                       |       |
| **NET  INCOME (LOSS)**                         |       | $                           | (50,217,056 | )                           | $          | 23,165,898                 |       | $                          | 54,183,963 |   | $ | 47,727,513 |   |
|                                           |       |                        |        |                        |       |                       |       |                       |       |
| **NET  INCOME (LOSS) PER UNIT:**               |       |                        |        |                        |       |                       |       |                       |       |
| ** **                                     |       |                        |        |                        |       |                       |       |                       |       |
| Weighted average number of Units  outstanding: |       |                        |        |                        |       |                       |       |                       |       |
| Class A                                   |       | 46,558,456                  |        | 39,498,578                  |       | 45,084,680                 |       | 37,960,460                 |       |
| Class C                                   |       | 234,140,456                 |        | 222,707,215                 |       | 227,484,892                |       | 206,011,691                |       |
| Class D                                   |       | 92,889,619                  |        | 75,712,622                  |       | 83,956,966                 |       | 63,057,580                 |       |
| Class I                                   |       | 42,555,410                  |        | 40,473,108                  |       | 40,185,227                 |       | 37,569,609                 |       |
| Class DS (1)*                             |       | 45,105,598                  |        | 11,411,813                  |       | 30,547,965                 |       | 11,199,811                 |       |
| Class DT (2)*                             |       | 59,280,933                  |        | 89,699,838                  |       | 62,927,835                 |       | 91,807,668                 |       |
|                                           |       |                        |        |                        |       |                       |       |                       |       |
| Net income (loss) per weighted average  Unit:  |       |                        |        |                        |       |                       |       |                       |       |
| Class A                                   |       | $                           | (0.0994     | )                           | $          | 0.0505                     |       | $                          | 0.1135     |   | $ | 0.1149 |   |
| Class C                                   |       | $                           | (0.1001     | )                           | $          | 0.0457                     |       | $                          | 0.1016     |   | $ | 0.1081 |   |
| Class D                                   |       | $                           | (0.0919     | )                           | $          | 0.0536                     |       | $                          | 0.1138     |   | $ | 0.1280 |   |
| Class I                                   |       | $                           | (0.0946     | )                           | $          | 0.0524                     |       | $                          | 0.1226     |   | $ | 0.1230 |   |
| Class DS (1)*                             |       | $                           | (0.0816     | )                           | $          | 0.0489                     |       | $                          | 0.0460     |   | $ | 0.1854 |   |
| Class DT (2)*                             |       | $                           | (0.0997     | )                           | $          | 0.0476                     |       | $                          | 0.1600     |   | $ | 0.0689 |   |

 

----

* Class DS and Class DT were previously known asClass D-SM and D-TF, respectively.

(1) Units issued on April 1, 2007.

(2) Units issued on June 1, 2007.

 

See notes to financial statements.

 

5

----

 

ML WINTON FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

For the nine months ended September 30, 2008 and 2007

(unaudited)

 
| ** **                 | ** ** | **Members’ Capital  December 31, 2006** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital  September 30,  2007** | ** ** | **Members’ Capital  December 31,  2007** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital  September 30, 2008** | ** ** |
|----------------------------|------------|-------------------------------------------------------------|------------|-------------------|------------|-----------------|------------|----------------------------------------------------------|------------|---------------------------------------------------------|------------|-------------------|------------|-----------------|------------|--------------------------------------------------------------|------------|
| Class A               |       | 32,046,486                                                  |       | 12,245,733        |       | (4,569,690      | )          | 39,722,529                                               |       | 40,108,055                                              |       | 15,091,853        |       | (8,772,898      | )          | 46,427,010                                                   |       |
| Class C               |       | 170,519,442                                                 |       | 74,331,088        |       | (25,820,679     | )          | 219,029,851                                              |       | 213,642,396                                             |       | 51,129,801        |       | (33,032,805     | )          | 231,739,392                                                  |       |
| Class D               |       | 39,225,345                                                  |       | 40,147,918        |       | (3,857,944      | )          | 75,515,319                                               |       | 77,864,803                                              |       | 22,831,658        |       | (11,370,571     | )          | 89,325,890                                                   |       |
| Class I               |       | 30,787,362                                                  |       | 11,428,229        |       | (3,366,320      | )          | 38,849,271                                               |       | 37,718,572                                              |       | 11,355,998        |       | (4,473,410      | )          | 44,601,160                                                   |       |
| Class DS(1)*          |       | —                                                      |       | 12,111,517        |       | (1,094,970      | )          | 11,016,547                                               |       | 13,447,784                                              |       | 40,935,807        |       | (2,749,330      | )          | 51,634,261                                                   |       |
| Class DT(2)*          |       | —                                                      |       | 98,131,157        |       | (17,812,900     | )          | 80,318,257                                               |       | 69,259,318                                              |       | —            |       | (12,520,493     | )          | 56,738,825                                                   |       |
|                       |       |                                                        |       |              |       |            |       |                                                     |       |                                                    |       |              |       |            |       |                                                         |       |
| Total Members’ Units  |       | 272,578,635                                                 |       | 248,395,642       |       | (56,522,503     | )          | 464,451,774                                              |       | 452,040,928                                             |       | 141,345,117       |       | (72,919,507     | )          | 520,466,538                                                  |       |
|                       |       |                                                        |       |              |       |            |       |                                                     |       |                                                    |       |              |       |            |       |                                                         |       |
| Class A               |       | 9,713                                                       |       | —            |       | —          |       | 9,713                                                    |       | 9,713                                                   |       | —            |       | —          |       | 9,713                                                        |       |
| Class C               |       | 9,757                                                       |       | —            |       | —          |       | 9,757                                                    |       | 9,757                                                   |       | —            |       | —          |       | 9,757                                                        |       |
| Class D               |       | —                                                      |       | —            |       | —          |       | —                                                   |       | —                                                  |       | —            |       | —          |       | —                                                       |       |
| Class I               |       | —                                                      |       | —            |       | —          |       | —                                                   |       | —                                                  |       | —            |       | —          |       | —                                                       |       |
| Class DS(1)*          |       | —                                                      |       | —            |       | —          |       | —                                                   |       | —                                                  |       | —            |       | —          |       | —                                                       |       |
| Class DT(2)*          |       | —                                                      |       | —            |       | —          |       | —                                                   |       | —                                                  |       | —            |       | —          |       | —                                                       |       |
|                       |       |                                                        |       |              |       |            |       |                                                     |       |                                                    |       |              |       |            |       |                                                         |       |
| Total Sponsor’s Units |       | 19,470                                                      |       | —            |       | —          |       | 19,470                                                   |       | 19,470                                                  |       | —            |       | —          |       | 19,470                                                       |       |

 

----

* Class DS andClass DT were previously known as Class D-SM and D-TF, respectively.

(1) Unit Issued onApril 1, 2007.

(2) Unit Issued onJune 1, 2007.

See notes to financialstatements.

 

6

----

 

ML WINTON FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

For the nine months ended September 30, 2008 and 2007

(unaudited)

 
| ** **                    | ** ** | **Members’ Capital  December 31, 2006** | ** **  | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net Income  (Loss)** | ** **  | **Members’ Capital  September 30, 2007** | ** ** | **Members’ Capital  December 31, 2007** | ** ** | **Subscriptions** | ** **  | **Redemptions** | ** ** | **Net Income  (Loss)** | ** ** | **Members’ Capital  September 30, 2008** | ** **  |
|-------------------------------|------------|-------------------------------------------------------------|-------------|-------------------|------------|-----------------|------------|-----------------------------|-------------|--------------------------------------------------------------|------------|-------------------------------------------------------------|------------|-------------------|-------------|-----------------|------------|-----------------------------|------------|--------------------------------------------------------------|-------------|
| Class A                  |       | $                                                           | 38,699,738  |              | $          | 14,833,148      |       | $                           | (5,593,008  | )                                                            | $          | 4,360,290                                                   |       | $                 | 52,300,168  |            | $          | 55,236,501                  |       | $                                                            | 22,692,478  |   | $ | (13,418,255 | ) | $ | 5,114,551 |   | $ | 69,625,275 |   |
| Class C                  |       | 202,215,652                                                 |        | 87,937,514        |       | (31,326,244     | )          | 22,274,826                  |        | 281,101,748                                                  |       | 286,078,081                                                 |       | 74,805,037        |        | (48,611,957     | )          | 23,111,200                  |       | 335,382,361                                                  |        |
| Class D                  |       | 44,952,646                                                  |        | 47,008,983        |       | (4,667,336      | )          | 8,068,323                   |        | 95,362,616                                                   |       | 103,236,597                                                 |       | 34,257,385        |        | (16,613,094     | )          | 9,556,848                   |       | 130,437,736                                                  |        |
| Class I                  |       | 37,158,795                                                  |        | 13,857,688        |       | (4,355,405      | )          | 4,622,448                   |        | 51,283,526                                                   |       | 52,132,196                                                  |       | 17,154,873        |        | (6,880,279      | )          | 4,927,260                   |       | 67,334,050                                                   |        |
| Class DS(1)*             |       | —                                                      |        | 13,127,403        |       | (1,291,973      | )          | 2,076,887                   |        | 13,912,317                                                   |       | 17,829,738                                                  |       | 60,164,637        |        | (4,000,000      | )          | 1,403,810                   |       | 75,398,185                                                   |        |
| Class DT(2)*             |       | —                                                      |        | 116,913,460       |       | (21,398,235     | )          | 6,322,733                   |        | 101,837,958                                                  |       | 92,508,127                                                  |       | —            |        | (18,467,848     | )          | 10,068,052                  |       | 84,108,331                                                   |        |
|                          |       |                                                        |        |              |       |            |       |                        |        |                                                         |       |                                                        |       |              |        |            |       |                        |       |                                                         |        |
| Total Members’ Interests |       | $                                                           | 323,026,831 |              | $          | 293,678,196     |       | $                           | (68,632,201 | )                                                            | $          | 47,725,507                                                  |       | $                 | 595,798,333 |            | $          | 607,021,240                 |       | $                                                            | 209,074,410 |   | $ | (107,991,433 | ) | $ | 54,181,721 |   | $ | 762,285,938 |   |
|                          |       |                                                        |        |              |       |            |       |                        |        |                                                         |       |                                                        |       |              |        |            |       |                        |       |                                                         |        |
| Class A                  |       | $                                                           | 11,737      |              | $          | —          |       | $                           | —      |                                                         | $          | 1,057                                                       |       | $                 | 12,794      |            | $          | 13,381                      |       | $                                                            | —      |   | $ | — |   | $ | 1,188 |   | $ | 14,569 |   |
| Class C                  |       | 11,576                                                      |        | —            |       | —          |       | 949                         |        | 12,525                                                       |       | 13,068                                                      |       | —            |        | —          |       | 1,054                       |       | 14,122                                                       |        |
| Class D                  |       | —                                                      |        | —            |       | —          |       | —                      |        | —                                                       |       | —                                                      |       | —            |        | —          |       | —                      |       | —                                                       |        |
| Class I                  |       | —                                                      |        | —            |       | —          |       | —                      |        | —                                                       |       | —                                                      |       | —            |        | —          |       | —                      |       | —                                                       |        |
| Class DS(1)*             |       | —                                                      |        | —            |       | —          |       | —                      |        | —                                                       |       | —                                                      |       | —            |        | —          |       | —                      |       | —                                                       |        |
| Class DT(2)*             |       | —                                                      |        | —            |       | —          |       | —                      |        | —                                                       |       | —                                                      |       | —            |        | —          |       | —                      |       | —                                                       |        |
|                          |       |                                                        |        |              |       |            |       |                        |        |                                                         |       |                                                        |       |              |        |            |       |                        |       |                                                         |        |
| Total Sponsor’s Interest |       | $                                                           | 23,313      |              | $          | —          |       | $                           | —      |                                                         | $          | 2,006                                                       |       | $                 | 25,319      |            | $          | 26,449                      |       | $                                                            | —      |   | $ | — |   | $ | 2,242 |   | $ | 28,691 |   |
|                          |       |                                                        |        |              |       |            |       |                        |        |                                                         |       |                                                        |       |              |        |            |       |                        |       |                                                         |        |
| Total Members’ Capital   |       | $                                                           | 323,050,144 |              | $          | 293,678,196     |       | $                           | (68,632,201 | )                                                            | $          | 47,727,513                                                  |       | $                 | 595,823,651 |            | $          | 607,047,689                 |       | $                                                            | 209,074,410 |   | $ | (107,991,433 | ) | $ | 54,183,963 |   | $ | 762,314,629 |   |

 

----

*Class DS and Class DT were previously known as Class D-SM andD-TF, respectively.

(1) UnitIssued on April 1, 2007.

(2) UnitIssued on June 1, 2007.

 

Seenotes to financial statements.

 

7

----

 

MLWINTON FUTURESACCESS LLC

(aDelaware Limited Liability Company)

 

NOTESTO FINANCIAL STATEMENTS

(unaudited)

 

1.               SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

 

ML Winton FuturesAccess LLC(the “Fund”) was organized under the Delaware Limited Liability Company Act on May 17,2004 and commenced trading activities on February 1, 2005. The Fund issuesnew units of limited liability company interest (“Units”) at Net Asset Valueper Unit as of the beginning of each calendar month. The Fund engages in thespeculative trading of futures, options on futures and forward contracts on awide range of commodities. Winton Capital Management Limited (“Winton”) is thetrading advisor of the Fund.

 

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

 

In the opinion ofmanagement, the financial statements contain all adjustments necessary topresent fairly the financial position of the Fund as of September 30, 2008and the results of its operations for the three and nine months ended September 30,2008 and 2007.  However, the operatingresults for the interim periods may not be indicative of the results for thefull 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.  It is suggested that these financialstatements be read in conjunction with the financial statements and notesthereto included in the Fund’s Annual Report on Form 10-K filed with theSecurities and Exchange Commission for the year ended December 31, 2007.

 

The preparation of financialstatements in conformity with U.S. GAAP requires management to make estimatesand assumptions that affect the reported amounts of assets and liabilities anddisclosure of contingent assets and liabilities at the date of the financialstatements and the reported amounts of revenues and expenses during thereporting period.  Actual results coulddiffer from those estimates.

 

2.               FAIR VALUE OF INVESTMENTS

 

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

 

Fair value of an investmentis the amount that would be received to sell the investment in an orderlytransaction between market participants at the measurement date (i.e. the exitprice).

 

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

 

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

 

Level I – Quoted prices areavailable in active markets for identical investments as of the reporting date.The type of investments included in Level I are publicly traded investments. Asrequired by FAS 157, the Fund does not adjust the quoted price for theseinvestments even in situations where the Fund holds a large position and a salecould reasonably impact the quoted price.

 

Level II – Pricing inputsare other than quoted prices in active markets, which are either directly orindirectly observable as of the reporting date, and fair value is determinedthrough the use of generally accepted and understood models or other valuationmethodologies. Investments which are generally included in this category areinvestments valued using market data.

 

Level III – Pricing inputsare unobservable and include situations where there is little, if any, marketactivity for the investment. Fair value for these investments is determinedusing valuation methodologies that consider a range of factors, including butnot limited to the nature of the investment, local market conditions, tradingvalues on public exchanges for comparable securities, current and projectedoperating performance and financing transactions subsequent to the acquisitionof the investment. The inputs into the determination of fair value requiresignificant management judgment. Due to the inherent uncertainty of theseestimates, these values may differ materially from the values that would havebeen used had a ready market for these investments existed. Investments thatare included in this category generally are privately held debt and equitysecurities.

 

In certain cases, the inputsused to measure fair value may fall into different levels of the fair valuehierarchy. In such cases, an investment’s level within the fair value hierarchyis based on the lowest level of input that is significant to the fair valuemeasurement. The Sponsor’s assessment of the significance of a particular inputto the fair value measurement in its entirety requires judgment, and considersfactors specific to the investment.

 

The following tablesummarizes the valuation of the Fund’s investments by the above FAS 157 fairvalue hierarchy levels as of September 30, 2008:

 
| ** **                                      | ** ** | **Total** | ** ** | **Level I** | ** ** | **Level II** | ** ** | **Level III** | ** ** |
|-------------------------------------------------|------------|-----------|------------|------------------|------------|-------------------|------------|--------------------|------------|
| Net unrealized profit (loss) on open  contracts |       | $         | 105,053    |             | $          | 105,053           |       | N/A                |       | N/A |   |
|                                                 |            |           |            |                  |            |                   |            |                    |            |  |  |

 

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3.               NET ASSET VALUE PER UNIT

 

For financial reportingpurposes, in conformity with U.S. GAAP, the Fund deducted the total initialoffering costs at inception from Members’ Capital for purposes of determiningNet Asset Value.  For all other purposes,including computing Net Asset Value for purposes of member subscription andredemption activity, such costs are amortized over 60 months. Consequently, theNet Asset Value and Net Asset Value per Unit of the different Classes forfinancial reporting purposes and for all other purposes at September 30,2008 and December 31, 2007 are as follows:

 

September 30, 2008

 
| ** **    | ** ** | **Net Asset Value** | ** **  | ** **               | ** ** | **Net Asset Value per Unit** | ** ** |
|---------------|------------|-------------------------------|-------------|--------------------------|------------|--------------------------------------------------|------------|
| ** **    | ** ** | **All Other  Purposes**  | ** **  | **Financial  Reporting** | ** ** | **Number of Units**                    | ** ** | **All Other  Purposes** | ** ** | **Financial  Reporting** | ** ** |
| Class A  |       | $                             | 69,655,729  |                     | $          | 69,639,844                                       |       | 46,436,723 |   | $ | 1.5000 |   | $ | 1.4997 |   |
| Class C  |       | 335,430,400                   |        | 335,396,483              |       | 231,749,149                                      |       | 1.4474 |   | 1.4472 |   |
| Class D  |       | 130,437,736                   |        | 130,437,736              |       | 89,325,890                                       |       | 1.4602 |   | 1.4602 |   |
| Class I  |       | 67,355,237                    |        | 67,334,050               |       | 44,601,160                                       |       | 1.5102 |   | 1.5097 |   |
| Class DS |       | 75,398,185                    |        | 75,398,185               |       | 51,634,261                                       |       | 1.4602 |   | 1.4602 |   |
| Class DT |       | 84,108,332                    |        | 84,108,331               |       | 56,738,825                                       |       | 1.4824 |   | 1.4824 |   |
|          |       | $                             | 762,385,619 |                     | $          | 762,314,629                                      |       | 520,486,008 |   |   |   |   |   |
|               |            |                               |             |                          |            |                                                  |            |  |  |  |  |  |  |  |  |

 

December 31, 2007

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

 

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4.               MARKET AND CREDIT RISK

 

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

 

MarketRisk

 

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

 

MLAI, has procedures 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 avoidover-concentrations.  However, suchinterventions are expected to be unusual. It is expected that MLAI’s basic risk control procedures will consistsimply of the ongoing process of advisor monitoring, with the market riskcontrols being applied by Winton.

 

CreditRisk

 

The risks associated withexchange-traded contracts are typically perceived to be less than thoseassociated with over-the-counter (non-exchange-traded) transactions, becauseexchanges typically (but not universally) provide clearinghouse arrangements inwhich the collective credit (in some cases limited in amount, in some casesnot) of the members of the exchange is pledged to support the financialintegrity 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 trading accountsin the Statements of Financial Condition.

 

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5.               RECENT ACCOUNTING PRONOUNCEMENTS

 

In March 2008, the FASBreleased Statement of Financial Accounting Standards No. 161, Disclosuresabout Derivative Instruments and Hedging Activities — an amendment to FASBStatement No. 133 (“FAS 161”). FAS 161 requires qualitative disclosuresabout objectives and strategies for using derivatives, quantitative disclosuresabout fair value amounts of and gains and losses on derivative instruments, anddisclosures about credit-risk related contingent features in derivativeagreements. The application of FAS 161 is required for fiscal years beginningafter November 15, 2008 and interim periods within those fiscal years. Currently,the Fund is evaluating the implications of FAS 161 on its financial statements.

 

In May 2008, the FASBissued Statement of Financial Accounting Standards No. 162, “*The Hierarchy of Generally Accepted AccountingPrinciples*” (“FAS 162”). FAS 162 identifies the sources ofaccounting principles and the framework for selecting the accounting principlesused in preparing financial statements of nongovernmental entities that arepresented in conformity with U.S. GAAP. Currently, U.S. GAAP hierarchy is providedin the American Institute of Certified Public Accountants U.S. AuditingStandards (“AU”) Section 411, “*TheMeaning of Present Fairly in Conformity With Generally Accepted AccountingPrinciples*” (“AU Section 411”). FAS 162 is effective 60 daysfollowing the SEC’s approval of the Public Company Accounting Oversight Board’samendments to AU Section 411. The Fund does not expect the adoption of FAS162 to have an impact on its financial statements.

 

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

 

MONTH-END NET ASSET VALUE PER UNIT

(NON U.S. GAAP)

 

MLAIbelieves that the Net Asset Value used to calculate subscription and redemptionvalue and to report performance to investors throughout the year is the mostvaluable to the Members of the Fund. Therefore, the charts below referencing Net Asset Value and performancemeasurements are based on the Net Asset Value for all other purposes, asdiscussed in Note 3 to the financial statements.

 

Class A

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **July** | ** ** | **August** | ** ** | **Sept.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|------------|------------|-----------|------------|
| 2007       |       | $        | 1.2584     |     | $          | 1.1800   |       | $        | 1.1279     |    | $          | 1.1924   |       | $        | 1.2488     |       | $          | 1.2678    |       | $ | 1.2516 |   | $ | 1.2421 |   | $ | 1.3172 |   |
| 2008       |       | $        | 1.4285     |     | $          | 1.5377   |       | $        | 1.5208     |    | $          | 1.5075   |       | $        | 1.5302     |       | $          | 1.6005    |       | $ | 1.5348 |   | $ | 1.4963 |   | $ | 1.5000 |   |

 

Class C

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **July** | ** ** | **August** | ** ** | **Sept.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|------------|------------|-----------|------------|
| 2007       |       | $        | 1.2345     |     | $          | 1.1568   |       | $        | 1.1047     |    | $          | 1.1670   |       | $        | 1.2212     |       | $          | 1.2387    |       | $ | 1.2219 |   | $ | 1.2116 |   | $ | 1.2837 |   |
| 2008       |       | $        | 1.3876     |     | $          | 1.4924   |       | $        | 1.4747     |    | $          | 1.4607   |       | $        | 1.4814     |       | $          | 1.5482    |       | $ | 1.4835 |   | $ | 1.4450 |   | $ | 1.4474 |   |

 

Class D

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **July** | ** ** | **August** | ** ** | **Sept.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|------------|------------|-----------|------------|
| 2007       |       | $        | 1.1952     |     | $          | 1.1216   |       | $        | 1.0733     |    | $          | 1.1362   |       | $        | 1.1914     |       | $          | 1.2110    |       | $ | 1.1971 |   | $ | 1.1894 |   | $ | 1.2629 |   |
| 2008       |       | $        | 1.3765     |     | $          | 1.4836   |       | $        | 1.4691     |    | $          | 1.4581   |       | $        | 1.4819     |       | $          | 1.5519    |       | $ | 1.4903 |   | $ | 1.4548 |   | $ | 1.4602 |   |

 

Class I

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **July** | ** ** | **August** | ** ** | **Sept.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|------------|------------|-----------|------------|
| 2007       |       | $        | 1.2583     |     | $          | 1.1805   |       | $        | 1.1287     |    | $          | 1.1937   |       | $        | 1.2505     |       | $          | 1.2699    |       | $ | 1.2542 |   | $ | 1.2450 |   | $ | 1.3207 |   |
| 2008       |       | $        | 1.4343     |     | $          | 1.5444   |       | $        | 1.5279     |    | $          | 1.5151   |       | $        | 1.5385     |       | $          | 1.6098    |       | $ | 1.5442 |   | $ | 1.5059 |   | $ | 1.5102 |   |

 

Class DS

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **July** | ** ** | **August** | ** ** | **Sept.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|------------|------------|-----------|------------|
| 2007       |       | N/A      |       | N/A      |       | N/A      |       | $        | 1.1362     |    | $          | 1.1914   |       | $        | 1.2109     |       | $          | 1.1971    |       | $ | 1.1894 |   | $ | 1.2629 |   |
| 2008       |       | $        | 1.3765     |     | $          | 1.4835   |       | $        | 1.4690     |    | $          | 1.4582   |       | $        | 1.4817     |       | $          | 1.5509    |       | $ | 1.4900 |   | $ | 1.4549 |   | $ | 1.4602 |   |
|            |            |          |            |          |            |          |            |          |            |         |            |          |            |          |            |            |            |           |            |  |  |  |  |  |  |  |  |  |

 

Class DT

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **July** | ** ** | **August** | ** ** | **Sept.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|------------|------------|-----------|------------|
| 2007       |       | N/A      |       | N/A      |       | N/A      |       | N/A      |       | N/A     |       | $        | 1.2123     |     | $          | 1.1971     |       | $         | 1.1867     |   | $ | 1.2679 |   |
| 2008       |       | $        | 1.3901     |     | $          | 1.5051   |       | $        | 1.4899     |    | $          | 1.4785   |       | $        | 1.5045     |       | $          | 1.5802    |       | $ | 1.5141 |   | $ | 1.4761 |   | $ | 1.4824 |   |
|            |            |          |            |          |            |          |            |          |            |         |            |          |            |          |            |            |            |           |            |  |  |  |  |  |  |  |  |  |

 

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PerformanceSummary

 

January 1,2008 to September 30, 2008

 

January 1,2008 to March 31, 2008

 

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

 

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

 

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

 

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

 

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

 

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

 

Thestock indices posted losses for the Fund. The stock sector suffered the largestlosses among the financial sectors as global equities experienced sharp lossesto begin the New Year. Despite the overall volatility in global equities, thestock sector posted gains for the Fund mid-quarter through the end of thequarter.

 

April 1,2008 to 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.

 

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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.

 

Thestock indices sector posted profits for the Fund. Losses were posted to the Fundat the beginning of the quarter through mid-quarter as financial marketscontinued to be range bound. June saw a further crystallization of marketranges which had been threatening to break out of their ranges for some time.There was a sharp decline in global equity markets, as the cumulative weight ofpoor financial figures, inflationary fears and an increase in negativesentiment combined to depress both G7  (seven industrialized nations of the world:Canada, France, Germany, Italy, Japan, United Kingdom, and the United States ofAmerica) 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.

 

Thestock indices sector posted profits for the Fund. Profits were posted to theFund at the beginning of the quarter. Intervention from the Securities andExchange Commission to restrict short selling and to prop up beleagueredinstitutions caused some short term effects, however, equity indices stabilizedagainst the recent bear trend. Due to market volatility, losses were posted tothe Fund in the middle of the quarter. High volatility continued to cause theFund to reduce positions so that the Fund’s margin exposure was at a record lowwhich produced profits being 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.

 

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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.

 

PerformanceSummary

 

January 1,2007 to September 30, 2007

 

January 1,2007 to March 31, 2007

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

16

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April 1,2007 to June 30, 2007

 

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

 

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

 

Theinterest rate sector posted profits for the Fund. Profits were posted to theFund throughout the quarter. A growing appetite for risk mid quarter, led to anincrease demand not only for stocks across the globe, but also fed through intothe fixed income markets, as bonds sold off and short term interest rateexpectations increased in both the United States and Europe. Strong returnswere also posted in the fixed income markets as both short and long terminterest rate expectations rose as the quarter ended. The stock indices sectorposted profits for the Fund. The continued recovery in global equity markets atthe beginning of the quarter was one of the main drivers in strong gains beingposted for the Fund. Equity markets continued to rally mid quarter through theend of the quarter as a combination of M&A activity and a growing appetitefor risk led to an increased demand for stocks across the globe.

 

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

 

Theenergy sector also posted profits for the Fund. Profits were posted at thebeginning of the quarter through the mid-quarter only. Trading at quarter’s endwas difficult because of weather conditions and geopolitical pressure.

 

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

 

July 1,2007 to September 30, 2007

 

TheFund posted gains for the third quarter with agriculture, interest rates,energy, and the currency sectors posting gains while the metals sector and thestock indices posted losses.

 

Theagriculture sector posted profits for the Fund. The agriculture market postedlosses at the beginning of the quarter which was offset with gains to the Fundmid-quarter through the end. The quarter ended as the grain marketsoutperformed due to the government crop reports highlighting global supplyconstraints supported rising commodity prices.

 

Theinterest rate sector posted profits to the Fund. Profits were incurredmid-quarter only due to the net long positions in the short term interest rate.However, the quarter ended with losses in which a number of small losses inshort rates contributed to an overall modest loss coupled with increases in themarkets’ volatility.

 

17

----

 

Theenergy sector posted profits to the Fund at the beginning of the quarter and atthe end of the quarter due to profits on purchases of crude oil and derivedfuels.

 

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

 

Themetals sector posted losses to the Fund. Profits that were posted to the Fundat the beginning of the quarter and quarter’s end were offset by lossesmid-quarter due to a very volatile market.

 

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

 

Item3.  Quantitative and QualitativeDisclosures About Market Risk

 

TheFund is a speculative commodity pool. The market sensitive instruments held byit are acquired for speculative trading purposes and all or substantially allof the Fund’s assets are subject to the risk of trading loss.  Unlike an operating company, the risk ofmarket sensitive instruments is integral, not incidental, to the Fund’s mainline of business.

 

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

 

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

 

Valueat Risk is a measure of the maximum amount which the Fund could reasonably beexpected to lose in a given market sector. However, the inherent uncertainty ofthe Fund’s speculative trading and the recurrence in the markets traded by theFund of market movements far exceeding expectations could result in actualtrading or non-trading losses far beyond the indicated Value at Risk or theFund’s experience to date (i.e., “risk of ruin”). In light of the foregoing, aswell as the risks and uncertainties intrinsic to all future projections, thequantifications included in this section should not be considered to constituteany assurance or representation that the Fund’s losses in any market sectorwill be limited to Value at Risk or by the Fund’s attempts to manage its marketrisk.

 

18

----

 

QuantifyingThe Fund’s Trading Value At Risk

 

QuantitativeForward-Looking Statements

 

Thefollowing quantitative disclosures regarding the Fund’s market risk exposurescontain “forward-looking statement” within the meaning of the safe harbor fromcivil liability provided for such statements by the Private SecuritiesLitigation Reform Act of 1995 (set forth in Section 27A of the SecuritiesAct of 1933 and Section 21E of the Securities Exchange Act of 1934).  All quantitative disclosures in this sectionare deemed to be forward-looking statements for purposes of the safe harbor,except for statements of historical fact.

 

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

 

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

 

Inthe case of market sensitive instruments which are not exchange-traded (almostexclusively currencies in the case of the Fund), the margin requirements forthe equivalent futures positions have been used as Value at Risk.  In those rare cases in which afutures-equivalent margin is not available, dealers’ margins have been used.

 

100%positive correlation in the different positions held in each market riskcategory has been assumed.  Consequently,the margin requirements applicable to the open contracts have been aggregatedto determine each trading category’s aggregate Value at Risk.  The diversification effects resulting fromthe fact that the Fund’s positions are rarely, if ever, 100% positivelycorrelated have not been reflected.

 

19

----

 

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

 

The following table indicates the average,highest and lowest trading Value at Risk associated with the Fund’s openpositions by market category for the fiscal period. For the nine months ended September 30,2008 and 2007, the Fund’s average Month-end Net Asset Value for all otherpurposes was approximately $703,465,203 and $ 452,731,023, respectively.

 

**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 |   |

 

**September 30, 2007**

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

 

20

----

 

Material Limitations on Value at Risk as anAssessment 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-TradingRisk**

 

Foreign Currency Balances; Cash on Depositwith MLPF&S

 

The Fund has non-trading market risk on itsforeign cash balances not needed for margin. However, these balances (as wellas the market risk they represent) are immaterial.

 

The Fund also has non-trading market risk onthe approximately 90%-95% of its assets which are held in cash at MLPF&S.The value of this cash is not interest rate sensitive, but there is cash flowrisk in that if interest rates decline so will the cash flow generated on thesemonies. This cash flow risk is immaterial.

 

Qualitative Disclosures Regarding PrimaryTrading Risk Exposures

 

The following qualitative disclosuresregarding the Fund’s market risk exposures — except for (i) thosedisclosures 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.

 

Item4. Controls and Procedures

 

MLAI, the Sponsor of ML Winton FuturesAccessLLC, with the participation of the Sponsor’s Chief Executive Officer and theChief Financial Officer, has evaluated the effectiveness of the design andoperation of its disclosure controls and procedures with respect to the Fund asof the end of the period of this quarterly report, and, based on this evaluation,has concluded that these disclosure controls and procedures are effective.  Additionally, there were no significantchanges in the Fund’s internal controls or in other factors that couldsignificantly affect these controls subsequent to the date of this evaluation,including any corrective actions with regard to significant deficiencies andmaterial weaknesses.

 

21

----

 

PART II - OTHER INFORMATION

 

Item 1.         LegalProceedings

 

None.

 

Item1A.  Risk Factors

 

## ***Past Performance NotNecessarily Indicative of Future Results***

 

Past performance is not necessarilyindicative of future results.  Thetrading advisor’s past performance may not be representative of how it maytrade in the future for the Fund.

 

## ***Volatile Markets; HighlyLeveraged Trading***

 

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

 

## ***Importance of General MarketConditions***

 

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

 

## ***Forward Trading***

 

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

 

## ***Increased Assets UnderManagement***

 

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

 

## ***Trading Advisor Risk***

 

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

 

22

----

 

## ***Changes in Trading Strategy***

 

The trading advisor may make material changesin its trading strategies without the knowledge of MLAI.

 

## ***Illiquid Markets***

 

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

 

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

 

## ***Trading on Non-U.S.Exchanges***

 

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

 

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

 

The Fund Could Lose Assetsand Have Its Trading Disrupted Due to the Bankruptcy of One of the Parties

 

The Fund is subject to the risk of insolvencyof a counterparty, an exchange, a clearinghouse 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 increasedrisks in dealing with unregulated trading counterparties including the riskthat assets may not benefit from the protection afforded to “customer funds”deposited with regulated dealers and brokers.

 

23

----

 

Item 2.         Unregistered Sales of Equity Securities andUse of Proceeds

 

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

 

CLASS A

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
|       |       |             |       |       |       |   |   |
| Jan-08     |       | $                | 2,895,925  |       | 2,102,000  |   | $ | 1.3777 |   |
| Feb-08     |       | 1,305,519        |       | 913,909    |       | 1.4285 |   |
| Mar-08     |       | 4,174,121        |       | 2,714,522  |       | 1.5377 |   |
| Apr-08     |       | 3,387,092        |       | 2,227,178  |       | 1.5208 |   |
| May-08     |       | 2,896,497        |       | 1,921,391  |       | 1.5075 |   |
| Jun-08     |       | 1,818,936        |       | 1,188,692  |       | 1.5302 |   |
| Jul-08     |       | 2,276,601        |       | 1,422,431  |       | 1.6005 |   |
| Aug-08     |       | 1,786,678        |       | 1,164,111  |       | 1.5348 |   |
| Sep-08     |       | 2,151,109        |       | 1,437,619  |       | 1.4963 |   |
| Oct-08     |       | 2,009,024        |       | 1,339,349  |       | 1.5000 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS C

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
|       |       |             |       |       |       |   |   |
| Jan-08     |       | $                | 6,097,898  |       | 4,553,049  |   | $ | 1.3393 |   |
| Feb-08     |       | 6,267,310        |       | 4,516,655  |       | 1.3876 |   |
| Mar-08     |       | 10,173,344       |       | 6,816,767  |       | 1.4924 |   |
| Apr-08     |       | 14,855,255       |       | 10,073,408 |       | 1.4747 |   |
| May-08     |       | 7,133,755        |       | 4,883,792  |       | 1.4607 |   |
| Jun-08     |       | 5,655,588        |       | 3,817,732  |       | 1.4814 |   |
| Jul-08     |       | 8,688,113        |       | 5,611,751  |       | 1.5482 |   |
| Aug-08     |       | 9,475,838        |       | 6,387,488  |       | 1.4835 |   |
| Sep-08     |       | 6,457,936        |       | 4,469,159  |       | 1.4450 |   |
| Oct-08     |       | 5,457,647        |       | 3,770,656  |       | 1.4474 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS DS

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
|       |       |             |       |       |       |   |   |
| Jan-08     |       | $                | 1,810,547  |       | 1,365,626  |   | $ | 1.3258 |   |
| Feb-08     |       | 1,356,925        |       | 985,779    |       | 1.3765 |   |
| Mar-08     |       | 3,310,268        |       | 2,231,391  |       | 1.4835 |   |
| Apr-08     |       | 10,150,741       |       | 6,909,967  |       | 1.4690 |   |
| May-08     |       | 8,173,371        |       | 5,605,110  |       | 1.4582 |   |
| Jun-08     |       | 7,319,384        |       | 4,939,855  |       | 1.4817 |   |
| Jul-08     |       | 6,156,293        |       | 3,969,497  |       | 1.5509 |   |
| Aug-08     |       | 7,111,047        |       | 4,772,515  |       | 1.4900 |   |
| Sep-08     |       | 14,776,061       |       | 10,156,067 |       | 1.4549 |   |
| Oct-08     |       | 11,272,719       |       | 7,719,983  |       | 1.4602 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS D

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
|       |       |             |       |       |       |   |   |
| Jan-08     |       | $                | 20,000     |       | 15,084     |   | $ | 1.3259 |   |
| Feb-08     |       | 219,396          |       | 159,387    |       | 1.3765 |   |
| Mar-08     |       | —           |       | —     |       | 1.4836 |   |
| Apr-08     |       | 1,004,998        |       | 684,091    |       | 1.4691 |   |
| May-08     |       | 10,013,998       |       | 6,867,841  |       | 1.4581 |   |
| Jun-08     |       | 4,999,998        |       | 3,374,046  |       | 1.4819 |   |
| Jul-08     |       | 12,998,995       |       | 8,376,181  |       | 1.5519 |   |
| Aug-08     |       | 5,000,000        |       | 3,355,028  |       | 1.4903 |   |
| Sep-08     |       | —           |       |       |       | 1.4548 |   |
| Oct-08     |       | 499,998          |       | 342,418    |       | 1.4602 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS I

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
|       |       |             |       |       |       |   |   |
| Jan-08     |       | $                | 2,820,899  |       | 2,039,991  |   | $ | 1.3828 |   |
| Feb-08     |       | 790,980          |       | 551,475    |       | 1.4343 |   |
| Mar-08     |       | 259,837          |       | 168,244    |       | 1.5444 |   |
| Apr-08     |       | 871,988          |       | 570,710    |       | 1.5279 |   |
| May-08     |       | 67,415           |       | 44,496     |       | 1.5151 |   |
| Jun-08     |       | 105,619          |       | 68,652     |       | 1.5385 |   |
| Jul-08     |       | 1,376,561        |       | 855,113    |       | 1.6098 |   |
| Aug-08     |       | 9,432,829        |       | 6,108,554  |       | 1.5442 |   |
| Sep-08     |       | 1,428,745        |       | 948,763    |       | 1.5059 |   |
| Oct-08     |       | 889,997          |       | 589,324    |       | 1.5102 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS DT

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
|       |       |             |       |       |       |   |   |
| Jan-08     |       | $                | —     |       | —     |   | $ | 1.3357 |   |
| Feb-08     |       | —           |       | —     |       | 1.3901 |   |
| Mar-08     |       | —           |       | —     |       | 1.5051 |   |
| Apr-08     |       | —           |       | —     |       | 1.4899 |   |
| May-08     |       | —           |       | —     |       | 1.4785 |   |
| Jun-08     |       | —           |       | —     |       | 1.5045 |   |
| Jul-08     |       | —           |       | —     |       | 1.5802 |   |
| Aug-08     |       | —           |       | —     |       | 1.5141 |   |
| Sep-08     |       | —           |       | —     |       | 1.4761 |   |
| Oct-08     |       | —           |       | —     |       | 1.4824 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

----

(1) Net Asset Value for allother purposes.

 

(b)  None.

(c)  None.

 

24

----

 

Item 3.         DefaultsUpon Senior Securities

 

None.

 

Item 4.         Submissionof Matters to a Vote of Security Holders

 

None.

 

Item 5.         OtherInformation

 

On September 15, 2008,Merrill Lynch & Co., Inc. (“Merrill Lynch”) and Bank of AmericaCorporation (“Bank of America”) entered into an Agreement and Plan of Merger(the “Merger Agreement”).  The Merger Agreement provides that, on theterms and conditions set forth therein, a wholly owned subsidiary of Bank ofAmerica will merge into Merrill Lynch and Merrill Lynch will continue as thesurviving corporation as a wholly owned subsidiary of Bank of America (the “Merger). The Merger has been approved by the board of directors of each of Merrill Lynchand Bank of America and is scheduled to close in the first quarter of 2009 orearlier, subject to shareholder approval at both companies, customary closingconditions and standard regulatory approvals.

 

Item 6.         Exhibits

 

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

 
| 31.01 and 31.02               |   | Rule 13a-14(a)/15d-14(a) Certifications |
|-------------------------------|--------|---------------------------------------------------|
|                          |   |                                              |
| Exhibit 31.01 and  31.02 |   | Are filed herewith.                               |
|                          |   |                                              |
| 32.01 and 32.02               |   | Section 1350  Certifications                 |
|                          |   |                                              |
| Exhibit 32.01 and  32.02 |   | Are filed herewith.                               |

 

25

----

 

**SIGNATURES**

 

Pursuant to the requirements of theSecurities Exchange Act of 1934, the registrant has duly caused this report tobe signed on its behalf by the undersigned thereunto duly authorized.

 

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

 

26

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