** **

** **

**UNITED STATES**

**SECURITIES AND EXCHANGE COMMISSION**

**Washington, D.C.20549**

** **

**FORM 10-Q**

** **

**(Mark One)**

 

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

 

**For thequarterly period ended March 31, 2009**

 

**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**

 

# **MLWINTON 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/oMerrill Lynch Alternative Investments LLC**

**TwoWorld Financial Center, 7****th**** Floor**

**New York, New York 10281**

 (Address of principal executiveoffices)

(Zip Code)

 

**212-236-2063**

(Registrant’s telephone number, including area code)

 

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

 

Indicate by check markwhether the Registrant has submitted electronically and posted on its corporateWeb site, if any, an Interactive Data File required to be submitted and postedpursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) duringthe preceding 12 months (or for such shorter period that the Registrant wasrequired to submit and post such files).  Yes o   No o

 

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

 

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

 

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

 

The limited partnership units of the registrant are not publiclytraded. Accordingly, there is no aggregate market value for registrant’soutstanding equity that is readily determinable.

 

As of March 31, 2009 499,832,926 units of membership wereoutstanding.

 

 

 

----

 

**ML WINTON FUTURESACCESS LLC**

 

QUARTERLY REPORT FOR MARCH 31, 2009 ON FORM 10-Q

 

Table of Contents

 
| ** ** | ** **                                                                                  | **PAGE**   |
|------------|---------------------------------------------------------------------------------------------|------------|
| ** ** | PART I                                                                                 | ** ** |
| ** ** | ** **                                                                                  | ** ** |
| Item 1.    | Financial Statements                                                                        | 1          |
|       |                                                                                        |       |
| Item 2.    | Management’s Discussion  and Analysis of Financial Condition and Results of Operations | 12         |
|       |                                                                                        |       |
| Item 3.    | Quantitative and  Qualitative Disclosures About Market Risk                                 | 17         |
|       |                                                                                        |       |
| Item 4.    | Controls and Procedures                                                                     | 19         |
|       |                                                                                        |       |
|       | PART II                                                                                |       |
|       |                                                                                        |       |
| Item 1.    | Legal Proceedings                                                                           | 20         |
|       |                                                                                        |       |
| Item 1A.   | Risk Factors                                                                                | 20         |
|       |                                                                                        |       |
| Item 2.    | Unregistered Sales of  Equity Securities and Use of Proceeds                                | 20         |
|       |                                                                                        |       |
| Item 3.    | Defaults Upon Senior  Securities                                                            | 21         |
|       |                                                                                        |       |
| Item 4.    | Submission of Matters to a  Vote of Security Holders                                        | 21         |
|       |                                                                                        |       |
| Item 5.    | Other Information                                                                           | 21         |
|       |                                                                                        |       |
| Item 6.    | Exhibits                                                                                    | 21         |

 

----

 

PART I - FINANCIAL INFORMATION

 

Item 1.    Financial Statements

 

ML WINTON FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OF FINANCIAL CONDITION

(unaudited)

 
| ** **                                                                            | ** ** | **March 31,** | ** **  | **December 31,** | ** ** |
|---------------------------------------------------------------------------------------|------------|--------------------|-------------|-----------------------|------------|
| ** **                                                                            | ** ** | **2009**           | ** **  | **2008**              | ** ** |
| **ASSETS:**                                                                           |       |               |        |                  |       |
| Equity in commodity futures trading accounts:                                         |       |               |        |                  |       |
| Cash (including restricted cash of $38,235,439 for 2009 and  $40,230,744 for 2008)    |       | $                  | 810,693,507 |                  | $          | 849,579,676 |   |
| Net unrealized profit on open contracts                                               |       | —             |        | 14,731,114            |       |
| Cash                                                                                  |       | 252,348            |        | 163,743               |       |
| Accrued interest                                                                      |       | 4,472              |        | 39,428                |       |
|                                                                                  |       |               |        |                  |       |
| **TOTAL ASSETS**                                                                      |       | $                  | 810,950,327 |                  | $          | 864,513,961 |   |
|                                                                                  |       |               |        |                  |       |
| **LIABILITIES AND MEMBERS’ CAPITAL:**                                            |       |               |        |                  |       |
| LIABILITIES:                                                                          |       |               |        |                  |       |
| Brokerage commissions payable                                                         |       | $                  | 97,682      |                  | $          | 89,151 |   |
| Management fee payable                                                                |       | 1,313,576          |        | 1,400,958             |       |
| Sponsor fee payable                                                                   |       | 717,439            |        | 902,258               |       |
| Redemptions payable                                                                   |       | 16,831,808         |        | 27,903,546            |       |
| Perfomance fee payable                                                                |       | 136,080            |        | 29,843,518            |       |
| Initial offering costs payable                                                        |       | 46,990             |        | 58,993                |       |
| Net unrealized loss on open contracts                                                 |       | 1,366,529          |        | —                |       |
| Other                                                                                 |       | 308,983            |        | 326,977               |       |
|                                                                                  |       |               |        |                  |       |
| Total liabilities                                                                     |       | 20,819,087         |        | 60,525,401            |       |
|                                                                                  |       |               |        |                  |       |
| MEMBERS’ CAPITAL:                                                                |       |               |        |                  |       |
| Sponsor’s Interest (19,470 Units and 19,470 Units)                               |       | 30,826             |        | 31,415                |       |
| Members’ Interest (499,813,456 Units and 500,089,110 Units)                      |       | 790,100,414        |        | 803,957,145           |       |
| Total members’ capital                                                           |       | 790,131,240        |        | 803,988,560           |       |
|                                                                                  |       |               |        |                  |       |
| **TOTAL LIABILITIES AND MEMBERS’ CAPITAL**                                       |       | $                  | 810,950,327 |                  | $          | 864,513,961 |   |
| ** **                                                                            |       |               |        |                  |       |
| **NET ASSET VALUE PER UNIT (SEE NOTE 4)**                                             |       |               |        |                  |       |
| ** **                                                                            |       |               |        |                  |       |
| (Based on 499,832,926 and 500,108,580 Units outstanding, unlimited  Units authorized) |       |               |        |                  |       |

 

See notes to financial statements.

 

1

----

 

WINTON FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OF OPERATIONS

(unaudited)

 
| ** **                                   | ** ** | **For the three**  | ** **  | **For the three**  | ** ** |
|----------------------------------------------|------------|--------------------|-------------|--------------------|------------|
| ** **                                   | ** ** | **months ended**   | ** **  | **months ended**   | ** ** |
| ** **                                   | ** ** | **March 31,** | ** **  | **March 31,** | ** ** |
| ** **                                   | ** ** | **2009**           | ** **  | **2008**           | ** ** |
| **TRADING PROFIT (LOSS):**                   |       |               |        |               |       |
|                                         |       |               |        |               |       |
| Realized                                     |       | $                  | 9,292,135   |               | $          | 95,037,222 |   |
| Change in unrealized, net                    |       | (16,097,643        | )           | (13,181,306        | )          |
| Brokerage commissions                        |       | (181,189           | )           | (366,334           | )          |
|                                         |       |               |        |               |       |
| Total trading profit (loss)                  |       | (6,986,697         | )           | 81,489,582         |       |
|                                         |       |               |        |               |       |
| **INVESTMENT INCOME:**                       |       |               |        |               |       |
| Interest                                     |       | 55,697             |        | 5,100,439          |       |
|                                         |       |               |        |               |       |
| **EXPENSES:**                                |       |               |        |               |       |
| Management fee                               |       | 3,999,305          |        | 3,345,743          |       |
| Sponsor fee                                  |       | 2,626,833          |        | 2,420,938          |       |
| Performance fee                              |       | 583                |        | 14,975,097         |       |
| Other                                        |       | 295,838            |        | 402,196            |       |
| Total expenses                               |       | 6,922,559          |        | 21,143,974         |       |
|                                         |       |               |        |               |       |
| **NET INVESTMENT LOSS**                      |       | (6,866,862         | )           | (16,043,535        | )          |
|                                         |       |               |        |               |       |
| **NET INCOME (LOSS)**                        |       | $                  | (13,853,559 | )                  | $          | 65,446,047 |   |
|                                         |       |               |        |               |       |
| **NET INCOME (LOSS) PER UNIT:**              |       |               |        |               |       |
|                                         |       |               |        |               |       |
| Weighted average number of Units outstanding |       |               |        |               |       |
| Class A                                 |       | 47,560,872         |        | 43,219,507         |       |
| Class C                                 |       | 216,536,584        |        | 221,523,083        |       |
| Class D                                 |       | 77,522,038         |        | 77,931,958         |       |
| Class I                                 |       | 43,458,423         |        | 39,566,451         |       |
| Class DS*                               |       | 72,859,473         |        | 16,214,393         |       |
| Class DT**                              |       | 52,578,873         |        | 67,144,988         |       |
|                                         |       |               |        |               |       |
| Net income (loss) per weighted average Unit  |       |               |        |               |       |
| Class A                                 |       | $                  | (0.0295     | )                  | $          | 0.1404 |   |
| Class C                                 |       | $                  | (0.0311     | )                  | $          | 0.1344 |   |
| Class D                                 |       | $                  | (0.0229     | )                  | $          | 0.1432 |   |
| Class I                                 |       | $                  | (0.0272     | )                  | $          | 0.1468 |   |
| Class DS*                               |       | $                  | (0.0238     | )                  | $          | 0.1345 |   |
| Class DT**                              |       | $                  | (0.0197     | )                  | $          | 0.1555 |   |

 

----

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

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

See notes to financial statements.

 

2

----

 

ML WINTON FUTURESACCESS LLC

(a Delaware LimitedLiability Company)

 

STATEMENTS OF CHANGES IN MEMBERS’CAPITAL

For the three monthsended March 31, 2009 and 2008

(unaudited)

 
| ** **                  | ** ** | **Members’ Capital  December 31, 2007** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital  March 31, 2008** | ** ** | **Members’ Capital  December 31, 2008** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital  March 31, 2009** | ** ** |
|-----------------------------|------------|---------------------------------------------------|------------|-------------------|------------|-----------------|------------|------------------------------------------------|------------|---------------------------------------------------|------------|-------------------|------------|-----------------|------------|------------------------------------------------|------------|
| Class A                |       | 40,108,055                                        |       | 5,730,431         |       | (3,379,752      | )          | 42,458,734                                     |       | 45,849,416                                        |       | 4,268,304         |       | (2,143,990      | )          | 47,973,730                                     |       |
| Class C                |       | 213,642,396                                       |       | 15,886,471        |       | (13,828,091     | )          | 215,700,776                                    |       | 215,169,073                                       |       | 10,389,224        |       | (19,428,207     | )          | 206,130,090                                    |       |
| Class D                |       | 77,864,803                                        |       | 174,471           |       | (661,820        | )          | 77,377,454                                     |       | 73,051,567                                        |       | 5,500,229         |       | —          |       | 78,551,796                                     |       |
| Class I                |       | 37,718,572                                        |       | 2,759,710         |       | (2,558,201      | )          | 37,920,081                                     |       | 43,073,827                                        |       | 3,041,521         |       | (4,061,573      | )          | 42,053,775                                     |       |
| Class DS*              |       | 13,447,784                                        |       | 4,582,796         |       |            |       | 18,030,580                                     |       | 69,186,442                                        |       | 5,990,030         |       | (1,590,610      | )          | 73,585,862                                     |       |
| Class DT**             |       | 69,259,318                                        |       | —            |       | (5,684,257      | )          | 63,575,061                                     |       | 53,758,785                                        |       | —            |       | (2,240,582      | )          | 51,518,203                                     |       |
|                        |       |                                              |       |              |       |            |       |                                           |       |                                              |       |              |       |            |       |                                           |       |
| Total  Members’ Units  |       | 452,040,928                                       |       | 29,133,879        |       | (26,112,121     | )          | 455,062,686                                    |       | 500,089,110                                       |       | 29,189,308        |       | (29,464,962     | )          | 499,813,456                                    |       |
|                        |       |                                              |       |              |       |            |       |                                           |       |                                              |       |              |       |            |       |                                           |       |
| Class A                |       | 9,713                                             |       | —            |       | —          |       | 9,713                                          |       | 9,713                                             |       | —            |       | —          |       | 9,713                                          |       |
| Class C                |       | 9,757                                             |       | —            |       | —          |       | 9,757                                          |       | 9,757                                             |       | —            |       | —          |       | 9,757                                          |       |
|                        |       |                                              |       |              |       |            |       |                                           |       |                                              |       |              |       |            |       |                                           |       |
| Total  Sponsor’s Units |       | 19,470                                            |       | —            |       | —          |       | 19,470                                         |       | 19,470                                            |       | —            |       | —          |       | 19,470                                         |       |

 

----

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

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

See notes to financial statements.

 

3

----

 

ML WINTON FUTURESACCESSLLC

(a Delaware LimitedLiability Company)

 

STATEMENTS OF CHANGES INMEMBERS’ CAPITAL

For the three monthsended March 31, 2009 and 2008

(unaudited)

 
| ** **                     | ** ** | **Members’ Capital  December 31, 2007** | ** **  | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net Income** | ** **  | **Members’ Capital  March 31, 2008** | ** ** | **Members’ Capital  December 31, 2008** | ** ** | **Subscriptions** | ** **  | **Redemptions** | ** ** | **Net Loss** | ** ** | **Members’ Capital  March 31, 2009** | ** ** |
|--------------------------------|------------|-------------------------------------------------------------|-------------|-------------------|------------|-----------------|------------|---------------------|-------------|----------------------------------------------------------|------------|-------------------------------------------------------------|------------|-------------------|-------------|-----------------|------------|-------------------|------------|----------------------------------------------------------|------------|
|                           |       |                                                        |        |              |       |            |       |                |        |                                                     |       |                                                        |       |              |        |            |       |              |       |                                                     |       |
| Class A                   |       | $                                                           | 55,236,501  |              | $          | 8,375,565       |       | $                   | (5,130,440  | )                                                        | $          | 6,069,676                                                   |       | $                 | 64,551,302  |            | $          | 75,377,293        |       | $                                                        | 7,031,067  |   | $ | (3,519,272 | ) | $ | (1,403,459 | ) | $ | 77,485,629 |   |
| Class C                   |       | 286,078,081                                                 |        | 22,538,552        |       | (20,351,831     | )          | 29,783,218          |        | 318,048,020                                              |       | 340,542,258                                                 |       | 16,472,281        |        | (30,563,973     | )          | (6,723,540        | )          | 319,727,026                                              |       |
| Class D                   |       | 103,236,597                                                 |        | 239,396           |       | (964,753        | )          | 11,161,926          |        | 113,673,166                                              |       | 117,366,051                                                 |       | 8,857,523         |        | —          |       | (1,772,631        | )          | 124,450,942                                              |       |
| Class I                   |       | 52,132,196                                                  |        | 3,871,716         |       | (3,897,071      | )          | 5,808,339           |        | 57,915,180                                               |       | 71,357,222                                                  |       | 5,066,718         |        | (6,729,030      | )          | (1,180,424        | )          | 68,514,487                                               |       |
| Class DS*                 |       | 17,829,738                                                  |        | 6,477,740         |       | —          |       | 2,180,208           |        | 26,487,686                                               |       | 111,018,099                                                 |       | 9,666,212         |        | (2,579,492      | )          | (1,737,149        | )          | 116,367,670                                              |       |
| Class DT**                |       | 92,508,127                                                  |        | —            |       | (8,227,183      | )          | 10,439,969          |        | 94,720,913                                               |       | 88,296,222                                                  |       | —            |        | (3,705,795      | )          | (1,035,767        | )          | 83,554,660                                               |       |
| ** **                     | ** ** | ** **                                                  | ** **  | ** **        | ** ** | ** **      | ** ** | ** **          | ** **  | ** **                                               | ** ** | ** **                                                  | ** ** | ** **        | ** **  | ** **      | ** ** | ** **        | ** ** | ** **                                               | ** ** |
| Total Members’  Interest  |       | $                                                           | 607,021,240 |              | $          | 41,502,969      |       | $                   | (38,571,278 | )                                                        | $          | 65,443,336                                                  |       | $                 | 675,396,267 |            | $          | 803,957,145       |       | $                                                        | 47,093,801 |   | $ | (47,097,562 | ) | $ | (13,852,970 | ) | $ | 790,100,414 |   |
|                           |       |                                                        |        |              |       |            |       |                |        |                                                     |       |                                                        |       |              |        |            |       |              |       |                                                     |       |
| Class A                   |       | $                                                           | 13,381      |              | $          | —          |       | $                   | —      |                                                     | $          | 1,390                                                       |       | $                 | 14,771      |            | $          | 15,971            |       | $                                                        | —     |   | $ | — |   | $ | (281 | ) | $ | 15,690 |   |
| Class C                   |       | 13,068                                                      |        | —            |       | —          |       | 1,321               |        | 14,389                                                   |       | 15,444                                                      |       | —            |        | —          |       | (308              | )          | 15,136                                                   |       |
|                           |       |                                                        |        |              |       |            |       |                |        |                                                     |       |                                                        |       |              |        |            |       |              |       |                                                     |       |
| Total Sponsor’s  Interest |       | $                                                           | 26,449      |              | $          | —          |       | $                   | —      |                                                     | $          | 2,711                                                       |       | $                 | 29,160      |            | $          | 31,415            |       | $                                                        | —     |   | $ | — |   | $ | (589 | ) | $ | 30,826 |   |
|                           |       |                                                        |        |              |       |            |       |                |        |                                                     |       |                                                        |       |              |        |            |       |              |       |                                                     |       |
| Total Members’  Capital   |       | $                                                           | 607,047,689 |              | $          | 41,502,969      |       | $                   | (38,571,278 | )                                                        | $          | 65,446,047                                                  |       | $                 | 675,425,427 |            | $          | 803,988,560       |       | $                                                        | 47,093,801 |   | $ | (47,097,562 | ) | $ | (13,853,559 | ) | $ | 790,131,240 |   |

 

----

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

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

See notes tofinancial statements.

 

4

----

 

ML WINTON FUTURESACCESSLLC

(a Delaware LimitedLiability Company)

 

NOTES TO FINANCIALSTATEMENTS

(unaudited)

 

1.     SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

 

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

 

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

 

In the opinion ofmanagement, these interim financial statements contain all adjustmentsnecessary to present fairly the financial position of the Fund as of March 31,2009 and the results of its operations for the three months ended March 31,2009 and 2008.  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.  These financial statements should be read inconjunction with the financial statements and notes thereto included in theFund’s Annual Report on Form 10-K filed with the Securities and ExchangeCommission for the year ended December 31, 2008.

 

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

 

5

----

 

CONDENSEDSCHEDULES OF INVESTMENTS

 

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

 

**3/31/2009**

 
| ** **                  | ** ** | **Long Positions** | ** ** | **Short Positions** | ** ** | **Net Unrealized**        | ** ** | ** **         | ** ** | ** **             | ** ** |
|-----------------------------|------------|-------------------------|------------|--------------------------|------------|--------------------------------|------------|--------------------|------------|------------------------|------------|
| **Commodity Industry** | ** ** | **Number of**      | ** ** | **Unrealized**           | ** ** | **Percent of**            | ** ** | **Number of** | ** ** | **Unrealized**         | ** ** | **Percent of** | ** ** | **Profit (Loss)** | ** ** | **Percent of** | ** ** | ** ** | ** ** |
| **Sector**                  | ** ** | **Contracts**           | ** ** | **Profit (Loss)**   | ** ** | **Members’ Capital** | ** ** | **Contracts**      | ** ** | **Profit (Loss)** | ** ** | **Members’ Capital** | ** ** | **on Open Positions** | ** ** | **Members’ Capital** | ** ** | **Maturity Dates** | ** ** |
|                        |       |                    |       |                     |       |                           |       |               |       |                   |       |   |   |   |   |   |   |   |   |
| Agriculture                 |       | 332                     |       | $                        | 233,802    |                           | 0.03       | %                  | (1,803     | )                      | $          | (381,185 | ) | -0.05 | % | $ | (147,383 | ) | -0.02 | % | May 2009 - December 2010 |   |
| Currencies                  |       | 470                     |       | (260,323                 | )          | -0.03                          | %          | (2,010             | )          | (5,784,224             | )          | -0.73 | % | (6,044,547 | ) | -0.77 | % | May 2009 - June 2009 |   |
| Energy                      |       | 36                      |       | (59,380                  | )          | -0.01                          | %          | (89                | )          | 176,002                |       | 0.02 | % | 116,622 |   | 0.01 | % | May 2009 |   |
| Interest rates              |       | 12,502                  |       | 6,374,233                |       | 0.81                           | %          | (478               | )          | (14,429                | )          | 0.00 | % | 6,359,804 |   | 0.80 | % | June 2009 - March 2010 |   |
| Metals                      |       | 162                     |       | (159,938                 | )          | -0.02                          | %          | (390               | )          | (1,032,380             | )          | -0.13 | % | (1,192,318 | ) | -0.15 | % | May 2009 - July 2009 |   |
| Stock indices               |       | —                  |       | —                   |       | 0.00                           | %          | (717               | )          | (458,707               | )          | -0.06 | % | (458,707 | ) | -0.06 | % | April 2009 - May 2009 |   |
|                        |       |                    |       |                     |       |                           |       |               |       |                   |       |   |   |   |   |   |   |   |   |
| Total                       |       |                    |       | $                        | 6,128,394  |                           | 0.78       | %                  |       |                   | $          | (7,494,923 | ) | -0.96 | % | $ | (1,366,529 | ) | -0.19 | % |   |   |
|                        |       |                    |       |                     |       |                           |       |               |       |                   |       |   |   |   |   |   |   |   |   |
| **12/31/2008**              |       |                    |       |                     |       |                           |       |               |       |                   |       |   |   |   |   |   |   |   |   |
| ** **                  |       |                    |       |                     |       |                           |       |               |       |                   |       |   |   |   |   |   |   |   |   |
| ** **                  | ** ** | **Long Positions** | ** ** | **Short Positions** | ** ** | **Net Unrealized**        | ** ** | ** **         | ** ** | ** **             | ** ** |
| **Commodity Industry** | ** ** | **Number of**      | ** ** | **Unrealized**           | ** ** | **Percent of**            | ** ** | **Number of** | ** ** | **Unrealized**         | ** ** | **Percent of** | ** ** | **Profit (Loss)** | ** ** | **Percent of** | ** ** | ** ** | ** ** |
| **Sector**                  | ** ** | **Contracts**           | ** ** | **Profit (Loss)**   | ** ** | **Members’ Capital** | ** ** | **Contracts**      | ** ** | **Profit (Loss)** | ** ** | **Members’ Capital** | ** ** | **on Open Positions** | ** ** | **Members’ Capital** | ** ** | **Maturity Dates** | ** ** |
|                        |       |                    |       |                     |       |                           |       |               |       |                   |       |   |   |   |   |   |   |   |   |
| Agriculture                 |       | 197                     |       | $                        | 390,804    |                           | 0.05       | %                  | (2,131     | )                      | $          | (3,807,410 | ) | -0.47 | % | $ | (3,416,606 | ) | -0.42 | % | January 09 - November 10 |   |
| Currencies                  |       | 759                     |       | 1,426,021                |       | 0.18                           | %          | (1,366             | )          | (4,720,175             | )          | -0.59 | % | (3,294,154 | ) | -0.41 | % | March 09 |   |
| Energy                      |       | —                  |       | —                   |       | 0.00                           | %          | (313               | )          | 1,169,490              |       | 0.15 | % | 1,169,490 |   | 0.15 | % | January 09 - December 10 |   |
| Interest rates              |       | 10,483                  |       | 17,823,721               |       | 2.21                           | %          | (88                | )          | (21,657                | )          | 0.00 | % | 17,802,064 |   | 2.21 | % | January 09 - June 10 |   |
| Metals                      |       | 238                     |       | (635,812                 | )          | -0.08                          | %          | (558               | )          | 3,463,278              |       | 0.42 | % | 2,827,466 |   | 0.34 | % | January 09 - April 09 |   |
| Stock indices               |       | 10                      |       | 1,903                    |       | 0.00                           | %          | (384               | )          | (359,049               | )          | -0.04 | % | (357,146 | ) | -0.04 | % | January 09 - March 09 |   |
|                        |       |                    |       |                     |       |                           |       |               |       |                   |       |   |   |   |   |   |   |   |   |
| Total                       |       |                    |       | $                        | 19,006,637 |                           | 2.36       | %                  |       |                   | $          | (4,275,523 | ) | -0.53 | % | $ | 14,731,114 |   | 1.83 | % |   |   |

 

No individual contract’s unrealized gain or losscomprised greater than 5% of the Members’ Capital as of March 31, 2009 andDecember 31, 2008.

 

6

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

 
| **3/31/2009** | ** ** | **Unrealized Long Positions** | ** ** | **Unrealized Short Positions** | ** ** | **Total**  | ** ** |
|---------------|------------|-----------------------------------------|------------|------------------------------------------|------------|------------|------------|
| Futures       |       | $                                       | 6,128,394  |                                     | $          | (7,494,923 | )          | $ | (1,366,529 | ) |
| Forwards      |       | —                                  |       | —                                   |       | —     |       |
| Total         |       | 6,128,394                               |       | (7,494,923                               | )          | (1,366,529 | )          |
|               |            |                                         |            |                                          |            |            |            |  |  |  |

 
| **12/31/2008** | ** ** | **Unrealized Long Positions** | ** ** | **Unrealized Short Positions** | ** ** | **Total**  | ** ** |
|----------------|------------|-----------------------------------------|------------|------------------------------------------|------------|------------|------------|
| Futures        |       | $                                       | 19,006,637 |                                     | $          | (4,275,523 | )          | $ | 14,731,114 |   |
| Forwards       |       | —                                  |       | —                                   |       | —     |       |
| Total          |       | 19,006,637                              |       | (4,275,523                               | )          | 14,731,114 |       |
|                |            |                                         |            |                                          |            |            |            |  |  |  |

 

3.    FAIR VALUE OF INVESTMENTS

 

In September 2006,the Financial Accounting Standards Board (“FASB”) issued Statement of FinancialAccounting Standards No. 157, Fair Value Measurement (“FAS 157”). FAS 157 definesfair value, establishes a framework for measuring fair value and expandsdisclosures about fair value measurements. The Fund adopted FAS 157 as of January 1,2008. The adoption of FAS 157 did not have a material impact on the Fund’sfinancial statements.

 

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

 

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 pricesare available in active markets for identical investments as of the reportingdate. The type of investments included in Level I are publicly tradedinvestments. As required by FAS 157, the Fund does not adjust the quoted pricefor these investments even in situations where the Fund holds a large positionand a sale could 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.

 

7

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Level III —Pricing inputs are unobservable and include situations where there is little,if any, market activity for the investment. Fair value for these investments isdetermined using valuation methodologies that consider a range of factors,including but not limited to the nature of the investment, local marketconditions, trading values on public exchanges for comparable securities,current and projected operating performance and financing transactions subsequentto the acquisition of the investment. The inputs into the determination of fairvalue require significant management judgment. Due to the inherent uncertaintyof these estimates, these values may differ materially from the values thatwould have been used had a ready market for these investments existed.

 

In certain cases,the inputs used to measure fair value may fall into different levels of thefair value hierarchy. In such cases, an investment’s level within the fairvalue hierarchy is based on the lowest level of input that is significant tothe fair value measurement. The Sponsor’s assessment of the significance of aparticular input to the fair value measurement in its entirety requiresjudgment, and considers factors specific to the investment.

 

Following is a descriptionof the valuation methodologies used for investments, as well as the generalclassification of such investments pursuant to the valuation hierarchy.

 

Exchange traded investmentsare fair valued by the Fund by using the reported closing price on the primaryexchange where it trades such investments. These closing prices are observedthrough the clearing broker and third party pricing services. For non exchangetraded investments, quoted values and other data provided by nationallyrecognized independent pricing sources are used as inputs into its process fordetermining fair values.

 

The independent pricingsources obtain market quotations and actual transaction prices for securitiesthat have quoted prices in active markets. Each source has its own proprietarymethod for determining the fair value of securities that are not activelytraded. In general, these methods involve the use of “matrix pricing” in whichthe independent pricing source uses observable market inputs including, but notlimited to, investment yields, credit risks and spreads, benchmarking of likesecurities, broker-dealer quotes, reported trades and sector groupings todetermine a reasonable fair market value.

 

Upon adoption of SFAS No. 157,the Fund determined that Level I securities would include all of its futuresand options contracts where it believes that quoted prices are available in anactive market.

 

Where the Fund believes thatquoted market prices are not available or that the market is not active, fairvalues are estimated by using quoted prices of securities with similarcharacteristics, pricing models or matrix pricing and these are generallyclassified as Level II securities. The Fund determined that Level II securitieswould include its forward contracts.

 

The followingtable summarizes the valuation of the Fund’s investments by the above FAS 157fair value hierarchy levels as of December 31, 2008 and March 31,2009:

 
| ** **                                      | ** ** | **Total** | ** ** | **Level I** | ** ** | **Level II** | ** ** | **Level III** | ** ** |
|-------------------------------------------------|------------|-----------|------------|------------------|------------|-------------------|------------|--------------------|------------|
| Net unrealized  profit (loss) on open contracts |       |      |       |             |       |              |       |               |       |
| 12/31/2008                                      |       | $         | 14,731,114 |             | $          | 14,731,114        |       | N/A                |       | N/A |   |
| 03/31/2009                                      |       | $         | (1,366,529 | )                | $          | (1,366,529        | )          | N/A                |       | N/A |   |

 

8

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The Fund adopted Statement of Financial Accounting Standards No. 161,“Disclosures about Derivative Instruments and Hedging Activities” (“FAS 161”)as of January 1, 2009 which requires qualitative disclosures aboutobjectives and strategies for using derivatives, quantitative disclosures aboutfair value amounts of and gains and losses on derivative instruments, anddisclosures about credit-risk-related contingent features in derivativeagreements. FAS 161 only expands the disclosure requirements for derivativeinstruments and related hedging activities and has no impact on Statement ofFinancial Condition or Statement of Income and Expenses and Partners’ Capital.

 

The Fund engages in the speculative trading of futures, options onfutures and forward contracts on a wide range of commodities. Such contractsmeet the definition of a derivative as noted in FASB Statement No. 133,*Accounting for Derivative Instruments andHedging Activities*. The disclosure about the objectives andstrategies for using derivatives is described in Note 1. The fair value amountsof and the gains and losses on derivative instruments is disclosed in thestatement of financial condition and statement of operations respectively.There are no credit related contingent features embedded in these derivativecontracts.

 

The Fund is subject tothe risk of insolvency of a counterparty, an exchange, a clearinghouse orMLPF&S.  Fund assets could be lost orimpounded during lengthy bankruptcy proceedings.  Were a substantial portion of the Fund’scapital tied up in a bankruptcy, MLAI might suspend or limit trading, perhaps causingthe Fund to miss significant profit opportunities.  There are increased risks in dealing withunregulated trading counterparties including the risk that assets may notbenefit from the protection afforded to “customer funds” deposited withregulated dealers and brokers.

 

4.   NET ASSET VALUE PER UNIT

 

For financialreporting purposes, in conformity with U.S. GAAP, the Fund deducted the totalinitial offering costs at inception from Members’ Capital for purposes ofdetermining Net Asset Value.  For allother purposes, including computing Net Asset Value for purposes of membersubscription and redemption activity, such costs are amortized over 60 months.Consequently, the Net Asset Value and Net Asset Value per Unit of the differentClasses for financial reporting purposes and for all other purposes at March 31,2009 and December 31, 2008 are as follows:

 

March 31,2009

 
| ** **    | ** ** | **Net Asset Value** | ** **  | **Net Asset Value per Unit** | ** ** |
|---------------|------------|-------------------------------|-------------|--------------------------------------------------|------------|
| ** **    | ** ** | **All Other  Purposes**  | ** **  | **Financial  Reporting**                         | ** ** | **Number of  Units** | ** ** | **All Other  Purposes** | ** ** | **Financial  Reporting** | ** ** |
| Class A  |       | $                             | 77,514,956  |                                             | $          | 77,501,319 |   | 47,983,443 |   | $ | 1.6155 |   | $ | 1.6152 |   |
| Class C  |       | 319,775,814                   |        | 319,742,162                                      |       | 206,139,847 |   | 1.5513 |   | 1.5511 |   |
| Class D  |       | 124,444,071                   |        | 124,450,942                                      |       | 78,551,796 |   | 1.5842 |   | 1.5843 |   |
| Class I  |       | 68,533,574                    |        | 68,514,487                                       |       | 42,053,775 |   | 1.6297 |   | 1.6292 |   |
| Class DS |       | 116,362,371                   |        | 116,367,670                                      |       | 73,585,862 |   | 1.5822 |   | 1.5814 |   |
| Class DT |       | 83,547,446                    |        | 83,554,660                                       |       | 51,518,203 |   | 1.6217 |   | 1.6218 |   |
|          |       | $                             | 790,178,232 |                                             | $          | 790,131,240 |   | 499,832,926 |   |   |   |   |   |
|               |            |                               |             |                                                  |            |  |  |  |  |  |  |  |  |  |  |

 

9

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December 31,2008

 
| ** **    | ** ** | **Net Asset Value** | ** **  | **Net Asset Value per Unit** | ** ** |
|---------------|------------|-------------------------------|-------------|--------------------------------------------------|------------|
| ** **    | ** ** | **All Other  Purposes**  | ** **  | **Financial  Reporting**                         | ** ** | **Number of  Units** | ** ** | **All Other  Purposes** | ** ** | **Financial  Reporting** | ** ** |
| Class A  |       | $                             | 75,408,044  |                                             | $          | 75,393,264 |   | 45,859,129 |   | $ | 1.6443 |   | $ | 1.6440 |   |
| Class C  |       | 340,596,360                   |        | 340,557,702                                      |       | 215,178,830 |   | 1.5829 |   | 1.5827 |   |
| Class D  |       | 117,361,002                   |        | 117,366,051                                      |       | 73,051,567 |   | 1.6065 |   | 1.6066 |   |
| Class I  |       | 71,377,362                    |        | 71,357,222                                       |       | 43,073,827 |   | 1.6571 |   | 1.6566 |   |
| Class DS |       | 111,014,511                   |        | 111,018,099                                      |       | 69,186,442 |   | 1.6046 |   | 1.6046 |   |
| Class DT |       | 88,290,271                    |        | 88,296,222                                       |       | 53,758,785 |   | 1.6423 |   | 1.6425 |   |
|          |       | $                             | 804,047,550 |                                             | $          | 803,988,560 |   | 500,108,580 |   |   |   |   |   |
|               |            |                               |             |                                                  |            |  |  |  |  |  |  |  |  |  |  |

 

5.    MARKET AND CREDIT RISK

 

The nature of this Fund has certain risks, which cannot be presented onthe financial statements.  The followingsummarizes some of those risks.

 

MarketRisk

 

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

 

MLAI, has procedures inplace intended to control market risk exposure, although there can be noassurance that they will, in fact, succeed in doing so.  These procedures focus primarily on monitoringthe trading of Winton, calculating the Net Asset Value of the Fund as of theclose 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.

 

10

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Credit Risk

 

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

 

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

 

6.    RECENT ACCOUNTING PRONOUNCEMENTS

 

InMay 2008, the FASB issued 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 isprovided in the American Institute of Certified Public Accountants U.S.Auditing Standards (“AU”) Section 411, “*The Meaningof Present Fairly in Conformity With Generally Accepted Accounting Principles*”(“AU Section 411”). FAS 162 is effective 60 days following the SEC’sapproval of the Public Company Accounting Oversight Board’s amendments to AU Section 411.The Fund does not expect the adoption of FAS 162 to have an impact on itsfinancial statements.

 

In April 2009,the FASB issued FSP No. FAS 157-4, “*DeterminingFair Value When the Volume and Level of Activity for the Asset or LiabilityHave Significantly Decreased and Identifying Transactions That Are Not Orderly*”(FSP 157-4). FSP 157-4 provides additional guidance for estimating fair valuein accordance with FASB Statement No. 157, *Fair Value Measurements*, when the volume and level ofactivity for the asset or liability have significantly decreased. This FSP alsoincludes guidance on identifying circumstances that indicate a transaction isnot orderly. The FSP emphasizes that even if there has been a significantdecrease in the volume and level of activity for the asset or liability andregardless of the valuation technique(s) used, the objective of a fairvalue measurement remains the same. Fair value is the price that would bereceived to sell an asset or paid to transfer a liability in an orderlytransaction (that is, not a forced liquidation or distressed sale) betweenmarket participants at the measurement date under current market conditions. TheFSP also contains enhanced disclosure requirements whereby fair valuedisclosures as well as certain disaggregated information will be disclosedbeginning in the second quarter 2009.

 

11

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

 

MONTH-END NET ASSET VALUEPER UNIT

(NON U.S. GAAP)

 

MLAI believes thatthe Net Asset Value used to calculate subscription and redemption value andto    report performance to investorsthroughout the year is the most valuable performance measure to the Members ofthe Fund.   Therefore, the charts belowreferencing Net Asset Value and performance measurements are based on the NetAsset Value for all other purposes, as discussed in Note 3 to the financial statements.

 
| MONTH-END NET ASSET VALUE PER INITIAL UNIT  CLASS A  |
|-----------------------------------------------------------|
|                                                      |
| ** **                                                | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|                                                      | 2008 |   | $ | 1.4285 |   | $ | 1.5377 |   | $ | 1.5208 |   |
| 2009                                                      |   | $ | 1.6553 |   | $ | 1.6464 |   | $ | 1.6155 |   |
|                                                      |   |   |   |   |   |   |   |
| MONTH-END NET ASSET VALUE PER INITIAL UNIT  CLASS C  |
|                                                      |
| ** **                                                | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|                                                      | 2008 |   | $ | 1.3876 |   | $ | 1.4924 |   | $ | 1.4747 |   |
| 2009                                                      |   | $ | 1.5921 |   | $ | 1.5822 |   | $ | 1.5513 |   |
|                                                      |   |   |   |   |   |   |   |
| MONTH-END NET ASSET VALUE PER INITIAL UNIT  CLASS D  |
|                                                      |
| ** **                                                | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|                                                      | 2008 |   | $ | 1.3765 |   | $ | 1.4836 |   | $ | 1.4691 |   |
| 2009                                                      |   | $ | 1.6193 |   | $ | 1.6126 |   | $ | 1.5842 |   |
|                                                      |   |   |   |   |   |   |   |
| MONTH-END NET ASSET VALUE PER INITIAL UNIT  CLASS I  |
|                                                      |
| ** **                                                | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|                                                      | 2008 |   | $ | 1.4343 |   | $ | 1.5444 |   | $ | 1.5279 |   |
| 2009                                                      |   | $ | 1.6687 |   | $ | 1.6603 |   | $ | 1.6297 |   |
|                                                      |   |   |   |   |   |   |   |
| MONTH-END NET ASSET VALUE PER INITIAL UNIT  CLASS DS |
|                                                      |
| ** **                                                | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|                                                      | 2008 |   | $ | 1.3765 |   | $ | 1.4835 |   | $ | 1.4690 |   |
| 2009                                                      |   | $ | 1.6173 |   | $ | 1.6106 |   | $ | 1.5822 |   |
|                                                      |   |   |   |   |   |   |   |
| MONTH-END NET ASSET VALUE PER INITIAL UNIT  CLASS DT |
|                                                      |
| ** **                                                | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|                                                      | 2008 |   | $ | 1.3901 |   | $ | 1.5051 |   | $ | 1.4899 |   |
| 2009                                                      |   | $ | 1.6568 |   | $ | 1.6500 |   | $ | 1.6217 |   |

 

12

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Liquidity and Capital Resources

 

The Fund does not engage in the sale of goods orservices.  The Fund’s assets are its (i) equityin its trading account, consisting of cash and cash equivalents and (ii) interestreceivable.    Because of the low margindeposits normally required in commodity futures trading relatively small pricemovements may result in substantial losses to the Fund.  While substantial losses could lead to amaterial decrease in liquidity, no such material losses occurred during thefirst quarter of 2009.

 

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

 

For the three months ended March 31, 2009, Fundcapital decreased 1.72% from $803,988,560 to $790,131,240.  This decrease was attributable to the netloss from operations of $13,853,559, coupled with the redemption of 29,464,962Redeemable Units of Limited Fund Interest resulting in an outflow of$47,097,562.  The cash outflow was offsetwith cash inflow of $47,093,802 due to subscription of 29,189,308 units.  Future redemptions could impact the amount offunds available for investment in commodity contract positions in subsequentmonths.

 

Critical Accounting Policies

 

Use of Estimates

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

 

Statement of Cash Flows

 

The Fund has elected not to provide a Statement ofCash Flows as permitted by Statement of Financial Accounting Standards No. 102“Statement of Cash Flows-Exemption of Certain Enterprises and Classification ofCash Flows from Certain Securities Acquired for Resale” (“FAS 102”).

 

Investments

 

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

 

13

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Fair Value Measurements

 

The Fund adopted Statement of Financial AccountingStandards No. 157, *Fair Value Measurements*(“SFAS 157”) as of January 1, 2008 which defines fair value as the pricethat would be received to sell an asset or paid to transfer a liability in anorderly transaction between market participants at the measurement date.  The Fund did not apply the deferral allowedby FASB Staff Positions No. FAS 157-2, for nonfinancial assets andnonfinancial liabilities measured at fair value on a nonrecurring basis. Formore information on our treatment of fair value, see Note 3, Fair Value ofInvestments.

 

Futures Contracts

 

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

 

Forward Foreign Currency Contracts

 

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

 

Income Taxes

 

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

 

In 2007, the Fund adopted FASB interpretation No. 48“Accounting for Uncertainty in income Taxes” (“FIN 48”).  FIN 48 provides guidance for how uncertaintax positions should be recognized, measured, presented and disclosed in thefinancial statements.  FIN 48 requiresthe evaluation of tax positions taken or expected to be taken in the course ofpreparing the Fund’s financial statements to determine whether the taxpositions are “more-likely-than-not” to be sustained by the applicable taxauthority.  Tax positions with respect totax at the Fund level not deemed to meet the “more-likely-than-not” thresholdwould be recorded as a tax benefit or expense in the current year.  MLAI has concluded that the adoption of FIN48 had no impact on the operations of the Fund for the period ended March 31,2009 and that no provision for income tax is required in the Fund’s financialstatements.

 

14

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Results of Operations

 

January 1, 2009 through March 31,2009

 

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

 

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

 

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

 

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

 

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

 

Theinterest rates sector posted losses for the Fund. Losses were posted to theFund at the beginning of the quarter due to losses in Bonds as yields rose inthe United States. It is the Fund’s plan to gradually loosen up “GovernmentPaper” only approach for the cash held by the Fund. The Fund intends to make atactical shift to allocate small percentages to Agency Paper, Corporate Bondsand in due course Commodity Cash and Carries. Yields in the 10 year bondmarkets firmed up fractionally but not enough to offset losses posted to theFund in the middle of the quarter. The macro economic background continues toweigh heavily on sentiment, and the discussion or implementation of aggressive “quantitativeeasing” by governments created sharp moves during the month of March. The shortterm rates continue to decline at the end of the quarter resulting in profitsbeing posted to the Fund.

 

Thecurrency sector posted losses for the Fund. Profits were posted to the Fund atthe beginning of the quarter as the U.S. dollar and the Japanese yen remainstrong while the British sterling remained under pressure. Losses were postedto the Fund in the middle of the quarter from the fluctuating currency marketswhere losses occurred from the weakening of the U.S. dollar. The long exposure in the U.S. dollar wasdamaged by both the increasing indebtedness of the United States followingPresident Obama’s latest fiscal stimulus package and rumors of it beingsidelined as the reserve currency and the Japanese yen position also sufferedposting losses as the quarter ended.

 

15

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January 1,2008 to March 31, 2008

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

16

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Item 3.   Quantitative and Qualitative DisclosuresAbout Market Risk

 

The Fund is a speculativecommodity pool. The market sensitive instruments held by it are acquired forspeculative trading purposes and all or substantially all of the Fund’s assetsare subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments isintegral, not incidental, to the Fund’s main line of business.

 

Market movements resultin frequent changes in the fair market value of the Fund’s open positions and,consequently, in its earnings and cash flow. The Fund’s market risk isinfluenced by a wide variety of factors, including the level and volatility ofinterest rates, exchange rates, equity price levels, the market value offinancial instruments and contracts, the diversification effects among the Fund’sopen positions and the liquidity of the markets in which it trades.

 

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

 

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

 

Quantifying The Fund’s TradingValue At Risk

 

QuantitativeForward-Looking Statements

 

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

 

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

 

Exchange maintenancemargin requirements have been used by the Fund as the measure of its Value atRisk.  Maintenance margin requirementsare set by exchanges to equal or exceed the maximum loss in the fair value of anygiven contract incurred in 95%-99% of the one-day time periods included in thehistorical sample (generally approximately one year) researched for purposes ofestablishing margin levels.  Themaintenance margin levels are established by dealers and exchanges using historicalprice studies as well as an assessment of current market volatility (includingthe implied volatility of the options on a given futures contract) and economicfundamentals to provide a probabilistic estimate of the maximum expectednear-term one-day price fluctuation.

 

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

 

17

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

 

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

 

The following table indicates theaverage, highest and lowest trading Value at Risk associated with the Fund’sopen positions by market category for the fiscal period. For the three monthsended March 31, 2009 and 2008, the Fund’s average Month-end Net AssetValue for all other purposes was approximately  $ 803,126,683 and $651,944,781 respectively.

 

**March**** ****31,**** ****2009**

 
| ** **             | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|------------------------|------------|-----------------------------|------------|----------------------------|------------|------------------------|------------|-----------------------|------------|
| **Market Sector** | ** ** | **Value at Risk** | ** ** | **Capitalization**         | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                   |       |                        |       |                       |       |                   |       |                  |       |
| Agriculture            |       | $                           | 451,324    |                       | 0.06       | %                      | $          | 1,353,972             |       | $ | 366,479 |   |
| Currencies/FX          |       | 948,326                     |       | 0.12                       | %          | 2,844,978              |       | 509,255               |       |
| Energy                 |       | 82,457                      |       | 0.01                       | %          | 247,371                |       | 34,560                |       |
| Interest Rates         |       | 28,442,500                  |       | 3.54                       | %          | 85,327,500             |       | 27,456,396            |       |
| Metals                 |       | 86,972                      |       | 0.01                       | %          | 260,917                |       | 38,385                |       |
| Stock Indices          |       | 238,284                     |       | 0.03                       | %          | 714,853                |       | 196,419               |       |
|                   |       |                        |       |                       |       |                   |       |                  |       |
| TOTAL                  |       | $                           | 30,249,863 |                       | 3.77       | %                      | $          | 90,749,591            |       | $ | 28,601,494 |   |

 

**March 31,2008**

 
| ** **             | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** |   |
|------------------------|------------|-----------------------------|------------|----------------------------|------------|------------------------|------------|-----------------------|--------|
| **Market Sector** | ** ** | **Value at Risk** | ** ** | **Capitalization**         | ** ** | **At Risk**       | ** ** | **At Risk**      |   |
|                   |       |                        |       |                       |       |                   |       |                  |   |
| Agriculture            |       | $                           | 2,636,378  |                       | 0.40       | %                      | $          | 3,763,862             |   | $ | 1,942,039 |   |
| Currencies/FX          |       | 7,881,802                   |       | 1.21                       | %          | 9,107,802              |       | 5,953,074             |   |
| Energy                 |       | 2,367,820                   |       | 0.36                       | %          | 3,251,428              |       | 1,223,758             |   |
| Interest Rates         |       | 22,433,074                  |       | 3.44                       | %          | 25,053,498             |       | 17,648,522            |   |
| Metals                 |       | 1,697,987                   |       | 0.26                       | %          | 2,316,236              |       | 1,304,635             |   |
| Stock Indices          |       | 922,925                     |       | 0.14                       | %          | 1,569,755              |       | 95,514                |   |
|                   |       |                        |       |                       |       |                   |       |                  |   |
| TOTAL                  |       | $                           | 37,939,986 |                       | 5.81       | %                      | $          | 45,062,581            |   | $ | 28,167,542 |   |

 

18

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Material Limitations on Value at Riskas an Assessment of Market Risk

 

The face value of the market sectorinstruments held by the Fund is typically many times the applicable maintenancemargin requirement (maintenance margin requirements generally ranging betweenapproximately 1% and 10% of contract face value) as well as many times thecapitalization of the Fund.  The magnitudeof the Fund’s open positions creates a “risk of ruin” not typically found inmost other investment vehicles.  Becauseof the size of its positions, certain market conditions — unusual, buthistorically recurring from time to time — could cause the Fund to incur severelosses over a short period of time.   Theforegoing Value at Risk table — as well as the past performance of the Fund —gives no indication of this “risk of ruin.”

 

Non-Trading Risk

 

ForeignCurrency Balances; Cash on Deposit with MLPF&S

 

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

 

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

 

Qualitative Disclosures Regarding Primary Trading Risk Exposures

 

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

 

Item4. Controls and Procedures

 

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

 

19

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PART II - OTHERINFORMATION

 

Item 1.                                   Legal Proceedings

 

None.

 

Item 1A.  Risk Factors

 

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

 

Item 2.                                   Unregistered Sales of Equity Securitiesand Use of Proceeds

 

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

 

CLASS A

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-09     |       | $                | 2,016,403  |       | 1,226,299  |   | $ | 1.6443 |   |
| Feb-09     |       | 1,172,901        |       | 708,573    |       | 1.6553 |   |
| Mar-09     |       | 3,841,763        |       | 2,333,432  |       | 1.6464 |   |
| Apr-09     |       | 2,392,607        |       | 1,481,032  |       | 1.6155 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS C

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-09     |       | $                | 6,451,429  |       | 4,075,703  |   | $ | 1.5829 |   |
| Feb-09     |       | 5,081,580        |       | 3,191,747  |       | 1.5921 |   |
| Mar-09     |       | 4,939,272        |       | 3,121,774  |       | 1.5822 |   |
| Apr-09     |       | 7,230,339        |       | 4,660,826  |       | 1.5513 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS D

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** |       |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** |   |
| Jan-09     |       | $                | 5,367,524  |       | 3,341,129  |   | $ | 1.6065 |   |
| Feb-09     |       | 1,990,000        |       | 1,228,926  |       | 1.6193 |   |
| Mar-09     |       | 1,499,999        |       | 930,174    |       | 1.6126 |   |
| Apr-09     |       | —           |       | —     |       | 1.5842 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS I

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** |       |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** |   |
| Jan-09     |       | $                | 837,728    |       | 505,539    |   | $ | 1.6571 |   |
| Feb-09     |       | 3,674,992        |       | 2,202,309  |       | 1.6687 |   |
| Mar-09     |       | 553,998          |       | 333,673    |       | 1.6603 |   |
| Apr-09     |       | 3,154,692        |       | 1,935,750  |       | 1.6297 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS DS

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-09     |       | $                | 1,242,710  |       | 774,467    |   | $ | 1.6046 |   |
| Feb-09     |       | 5,628,413        |       | 3,480,129  |       | 1.6173 |   |
| Mar-09     |       | 2,795,089        |       | 1,735,434  |       | 1.6106 |   |
| Apr-09     |       | 3,131,252        |       | 1,979,050  |       | 1.5822 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS DT

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** |       |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** |   |
| Jan-09     |       | $                | —     |       | —     |   | $ | 1.6423 |   |
| Feb-09     |       | —           |       | —     |       | 1.6568 |   |
| Mar-09     |       | —           |       | —     |       | 1.6500 |   |
| Apr-09     |       | —           |       | —     |       | 1.6217 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

----

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

 

(b)         None.

(c)          None.

 

20

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Item 3.                                   Defaults Upon Senior Securities

 

None.

 

Item 4.                                   Submission of Matters to a Vote ofSecurity Holders

 

None.

 

Item 5.                                   Other Information

 

None.

 

Item 6.                                   Exhibits

 

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

 

31.01 and

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

 

Exhibit 31.01

and 31.02                      Are filed herewith.

 

32.01 and

32.02                                             Section 1350 Certifications

 

Exhibit 32.01

and 32.02                      Are filed herewith.

 

21

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**SIGNATURES**

 

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

 

 
|                     |   | ML  WINTON FUTURESACCESS LLC   |
|--------------------------|--------|--------------------------------|
|                     |   |                           |
|                     |   |                           |
|                     |   | By:  MERRILL LYNCH ALTERNATIVE |
|                     |   | INVESTMENTS LLC                |
|                     |   | (Manager)                      |
|                     |   |                           |
|                     |   |                           |
| Date:  May 15, 2009 |   | By                             | /s/  PAUL MORTON |
|                     |   |                           | Paul  Morton |
|                     |   |                           | Chief  Executive Officer, President and Manager |
|                     |   |                           | (Principal  Executive Officer) |
|                     |   |                           |   |
|                     |   |                           |   |
| Date:  May 15, 2009 |   |                           |   |
|                     |   | By                             | /s/  BARBRA E. KOCSIS |
|                     |   |                           | Barbra  E. Kocsis |
|                     |   |                           | Chief  Financial Officer |
|                     |   |                           | (Principal  Financial and Accounting Officer) |

 

22

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