** **

**UNITED STATESSECURITIES AND EXCHANGE COMMISSION**

**Washington,D.C. 20549**

** **

**FORM 10-Q**

** **

**(MarkOne)**

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

 

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

 

**OR**

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

 

**For the transition period from               to                **

 

**Commission File Number 0-51084**

 

# **MLWINTON FUTURESACCESS LLC**

(Exact Name of Registrant as

specified in its charter)

 

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

 

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

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

**New York, New York 10281**

(Address of principalexecutive offices)

(Zip Code)

 

**212-236-2063**

(Registrant’s telephonenumber, including area code)

 

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

 

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

 

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

 

As of June 30, 2009,510,035,507 units of membership were outstanding.

 

 

 

----

 

**ML WINTON FUTURESACCESS LLC**

 

QUARTERLY REPORT FOR JUNE30, 2009 ON FORM 10-Q

 

Table of Contents

 
| ** ** | ** **                                                                                  | **PAGE**   |
|------------|---------------------------------------------------------------------------------------------|------------|
| ** ** | PART I                                                                                 | ** ** |
|       |                                                                                        |       |
| Item 1.    | Financial Statements                                                                        | 1          |
|       |                                                                                        |       |
| Item 2.    | Management’s  Discussion and Analysis of Financial Condition and Results of Operations | 15         |
|       |                                                                                        |       |
| Item 3.    | Quantitative  and Qualitative Disclosures About Market Risk                                 | 21         |
|       |                                                                                        |       |
| Item 4T.   | Controls and  Procedures                                                                    | 26         |
|       |                                                                                        |       |
|       | PART II                                                                                |       |
|       |                                                                                        |       |
| Item 1.    | Legal Proceedings                                                                           | 26         |
|       |                                                                                        |       |
| Item 1A.   | Risk Factors                                                                                | 26         |
|       |                                                                                        |       |
| Item 2.    | Unregistered  Sales of Equity Securities and Use of Proceeds                                | 27         |
|       |                                                                                        |       |
| Item 3.    | Defaults Upon Senior Securities                                                             | 28         |
|       |                                                                                        |       |
| Item 4.    | Submission of Matters to a Vote of  Security Holders                                        | 28         |
|       |                                                                                        |       |
| Item 5.    | Other Information                                                                           | 28         |
|       |                                                                                        |       |
| Item 6.    | Exhibits                                                                                    | 28         |

 

----

 

PART I- FINANCIAL INFORMATION

 

Item 1.    FinancialStatements

 

ML WINTON FUTURESACCESS LLC

(a Delaware LimitedLiability Company)

 

STATEMENTSOF FINANCIAL CONDITION

(unaudited)

 
| ** **                                                                            | ** ** | **June 30,** | ** **  | **December 31,** | ** ** |
|---------------------------------------------------------------------------------------|------------|-------------------|-------------|-----------------------|------------|
| ** **                                                                            | ** ** | **2009**          | ** **  | **2008**              | ** ** |
| **ASSETS:**                                                                           |       |              |        |                  |       |
| Equity in commodity futures trading accounts:                                         |       |              |        |                  |       |
| Cash (including restricted cash of $42,335,142 for  2009 and $40,230,744 for 2008)    |       | $                 | 766,292,991 |                  | $          | 849,579,676 |   |
| Net unrealized profit on open contracts                                               |       | 1,455,713         |        | 14,731,114            |       |
| Cash                                                                                  |       | 180,025           |        | 163,743               |       |
| Accrued interest                                                                      |       | 5,068             |        | 39,428                |       |
|                                                                                  |       |              |        |                  |       |
| **TOTAL ASSETS**                                                                      |       | $                 | 767,933,797 |                  | $          | 864,513,961 |   |
|                                                                                  |       |              |        |                  |       |
| **LIABILITIES AND MEMBERS’ CAPITAL:**                                            |       |              |        |                  |       |
| LIABILITIES:                                                                          |       |              |        |                  |       |
| Brokerage commissions payable                                                         |       | $                 | 129,398     |                  | $          | 89,151 |   |
| Management fee payable                                                                |       | 1,247,688         |        | 1,400,958             |       |
| Sponsor fee payable                                                                   |       | 633,965           |        | 902,258               |       |
| Redemptions payable                                                                   |       | 14,942,519        |        | 27,903,546            |       |
| Perfomance fee payable                                                                |       | 136,080           |        | 29,843,518            |       |
| Initial offering costs payable                                                        |       | —            |        | 58,993                |       |
| Other                                                                                 |       | 220,105           |        | 326,977               |       |
|                                                                                  |       |              |        |                  |       |
| Total liabilities                                                                     |       | 17,309,755        |        | 60,525,401            |       |
|                                                                                  |       |              |        |                  |       |
| MEMBERS’ CAPITAL:                                                                |       |              |        |                  |       |
| Sponsor’s Interest (19,470 Units)                                                |       | 28,635            |        | 31,415                |       |
| Members’ Interest (510,016,037 Units and  500,089,110 Units)                     |       | 750,595,407       |        | 803,957,145           |       |
| Total members’ capital                                                           |       | 750,624,042       |        | 803,988,560           |       |
|                                                                                  |       |              |        |                  |       |
| **TOTAL LIABILITIES AND MEMBERS’  CAPITAL**                                      |       | $                 | 767,933,797 |                  | $          | 864,513,961 |   |
| ** **                                                                            | ** ** | ** **        | ** **  | ** **            | ** ** |
| **NET ASSET VALUE PER UNIT (SEE  NOTE 4)**                                            |       |              |        |                  |       |
| ** **                                                                            | ** ** | ** **        | ** **  | ** **            | ** ** |
| (Based on 510,035,507 and 500,108,580 Units  outstanding, unlimited Units authorized) |       |              |        |                  |       |

 

See notes to financial statements.

 

1

----

 

WINTON FUTURESACCESS LLC

(a Delaware LimitedLiability Company)

 

STATEMENTSOF OPERATIONS

(unaudited)

 
| ** **                                   | ** ** | **For the three** | ** **  | **For the three** | ** ** | **For the six**   | ** ** | **For the six**   | ** **  |
|----------------------------------------------|------------|-------------------|-------------|-------------------|------------|-------------------|------------|-------------------|-------------|
| ** **                                   | ** ** | **months ended**  | ** **  | **months ended**  | ** ** | **months ended**  | ** ** | **months ended**  | ** **  |
| ** **                                   | ** ** | **June 30,** | ** **  | **June 30,** | ** ** | **June 30,** | ** ** | **June 30,** | ** **  |
| ** **                                   | ** ** | **2009**          | ** **  | **2008**          | ** ** | **2009**          | ** ** | **2008**          | ** **  |
| **TRADING PROFIT (LOSS):**                   |       |              |        |              |       |              |       |              |        |
| Realized                                     |       | $                 | (52,125,598 | )                 | $          | 15,161,497        |       | $                 | (42,833,463 | ) | $ | 110,198,719 |   |
| Change in unrealized, net                    |       | 2,822,242         |        | 36,204,054        |       | (13,275,401       | )          | 23,022,748        |        |
| Brokerage commissions                        |       | (212,090          | )           | (283,097          | )          | (393,279          | )          | (649,431          | )           |
|                                         |       |              |        |              |       |              |       |              |        |
| Total trading profit (loss)                  |       | (49,515,446       | )           | 51,082,454        |       | (56,502,143       | )          | 132,572,036       |        |
|                                         |       |              |        |              |       |              |       |              |        |
| **INVESTMENT INCOME:**                       | ** ** | ** **        | ** **  | ** **        | ** ** | ** **        | ** ** | ** **        | ** **  |
| Interest                                     |       | 2,262             |        | 3,476,838         |       | 57,959            |       | 8,577,277         |        |
|                                         |       |              |        |              |       |              |       |              |        |
| **EXPENSES:**                                | ** ** | ** **        | ** **  | ** **        | ** ** | ** **        | ** ** | ** **        | ** **  |
| Management fee                               |       | 3,762,352         |        | 3,635,137         |       | 7,761,657         |       | 6,980,880         |        |
| Sponsor fee                                  |       | 2,385,181         |        | 2,554,712         |       | 5,012,014         |       | 4,975,650         |        |
| Performance fee                              |       | —            |        | 9,131,120         |       | 583               |       | 24,106,218        |        |
| Other                                        |       | 362,205           |        | 283,350           |       | 658,043           |       | 685,546           |        |
| Total expenses                               |       | 6,509,738         |        | 15,604,319        |       | 13,432,297        |       | 36,748,294        |        |
|                                         |       |              |        |              |       |              |       |              |        |
| **NET INVESTMENT LOSS**                      |       | (6,507,476        | )           | (12,127,481       | )          | (13,374,338       | )          | (28,171,017       | )           |
|                                         |       |              |        |              |       |              |       |              |        |
| **NET INCOME (LOSS)**                        |       | $                 | (56,022,922 | )                 | $          | 38,954,973        |       | $                 | (69,876,481 | ) | $ | 104,401,019 |   |
|                                         |       |              |        |              |       |              |       |              |        |
| **NET INCOME (LOSS) PER UNIT:**              |       |              |        |              |       |              |       |              |        |
|                                         |       |              |        |              |       |              |       |              |        |
| Weighted average number of Units outstanding |       |              |        |              |       |              |       |              |        |
| Class A                                 |       | 48,979,642        |        | 45,476,078        |       | 48,270,257        |       | 44,347,793        |        |
| Class C                                 |       | 209,075,085       |        | 226,791,137       |       | 212,805,834       |       | 224,157,110       |        |
| Class D                                 |       | 78,638,663        |        | 81,049,321        |       | 78,080,351        |       | 79,490,640        |        |
| Class I                                 |       | 42,846,904        |        | 38,433,821        |       | 43,152,664        |       | 39,000,136        |        |
| Class DS*                               |       | 84,210,073        |        | 30,323,905        |       | 78,534,773        |       | 23,269,149        |        |
| Class DT**                              |       | 49,966,844        |        | 62,357,583        |       | 51,272,858        |       | 64,751,285        |        |
|                                         |       |              |        |              |       |              |       |              |        |
| Net income (loss) per weighted average Unit  |       |              |        |              |       |              |       |              |        |
| Class A                                 |       | $                 | (0.1417     | )                 | $          | 0.0807            |       | $                 | (0.1441     | ) | $ | 0.2197 |   |
| Class C                                 |       | $                 | (0.1444     | )                 | $          | 0.0739            |       | $                 | (0.1421     | ) | $ | 0.2076 |   |
| Class D                                 |       | $                 | (0.1279     | )                 | $          | 0.0856            |       | $                 | (0.1288     | ) | $ | 0.2277 |   |
| Class I                                 |       | $                 | (0.1402     | )                 | $          | 0.0819            |       | $                 | (0.1397     | ) | $ | 0.2296 |   |
| Class DS*                               |       | $                 | (0.1228     | )                 | $          | 0.0958            |       | $                 | (0.1317     | ) | $ | 0.2185 |   |
| Class DT**                              |       | $                 | (0.1267     | )                 | $          | 0.0888            |       | $                 | (0.1234     | ) | $ | 0.2467 |   |

 

----

*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 INMEMBERS’ CAPITAL

For the six months ended June 30,2009 and 2008

(unaudited in Units)

 
| ** **                 | ** ** | **Members’ Capital**  | ** ** | ** **        | ** ** | ** **      | ** ** | **Members’ Capital** | ** ** | **Members’ Capital**  | ** ** | ** **        | ** ** | ** **      | ** ** | **Members’ Capital** | ** ** |
|----------------------------|------------|---------------------------------|------------|-------------------|------------|-----------------|------------|--------------------------------|------------|---------------------------------|------------|-------------------|------------|-----------------|------------|--------------------------------|------------|
| ** **                 | ** ** | **December 31, 2007** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **June 30, 2008**    | ** ** | **December 31, 2008** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **June 30, 2009**    | ** ** |
| Class A               |       | 40,108,055                      |       | 11,067,692        |       | (6,842,933      | )          | 44,332,814                     |       | 45,849,416                      |       | 7,557,025         |       | (5,780,371      | )          | 47,626,070                     |       |
| Class C               |       | 213,642,396                     |       | 34,661,403        |       | (22,584,655     | )          | 225,719,144                    |       | 215,169,073                     |       | 20,105,646        |       | (35,072,419     | )          | 200,202,300                    |       |
| Class D               |       | 77,864,803                      |       | 11,100,449        |       | (5,402,821      | )          | 83,562,431                     |       | 73,051,567                      |       | 5,630,530         |       | —          |       | 78,682,097                     |       |
| Class I               |       | 37,718,572                      |       | 3,443,568         |       | (3,590,306      | )          | 37,571,834                     |       | 43,073,827                      |       | 5,803,864         |       | (8,220,091      | )          | 40,657,600                     |       |
| Class DS*             |       | 13,447,784                      |       | 22,037,728        |       | —          |       | 35,485,512                     |       | 69,186,442                      |       | 25,366,760        |       | —          |       | 94,553,202                     |       |
| Class DT**            |       | 69,259,318                      |       | —            |       | (8,430,540      | )          | 60,828,778                     |       | 53,758,785                      |       | 360,850           |       | (5,824,867      | )          | 48,294,768                     |       |
|                       |       |                            |       |              |       |            |       |                           |       |                            |       |              |       |            |       |                           |       |
| Total Members’ Units  |       | 452,040,928                     |       | 82,310,840        |       | (46,851,255     | )          | 487,500,513                    |       | 500,089,110                     |       | 64,824,675        |       | (54,897,748     | )          | 510,016,037                    |       |
|                       |       |                            |       |              |       |            |       |                           |       |                            |       |              |       |            |       |                           |       |
| 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 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.

 

3

----

 

ML WINTON FUTURESACCESS LLC

(a Delaware LimitedLiability Company)

 

STATEMENTSOF CHANGES IN MEMBERS’ CAPITAL

For the six months ended June 30,2009 and 2008

(unaudited)

 
| ** **               | ** ** | **Members' Capital  December 31, 2007** | ** **  | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net Income** | ** **  | **Members' Capital  June 30, 2008** | ** ** | **Members' Capital  December 31, 2008** | ** ** | **Subscriptions** | ** **  | **Redemptions** | ** ** | **Net Loss** | ** ** | **Members' Capital  June 30, 2009** | ** **  |
|--------------------------|------------|-----------------------------------------|-------------|-------------------|------------|-----------------|------------|----------------|-------------|-------------------------------------|------------|-----------------------------------------|------------|-------------------|-------------|-----------------|------------|--------------|------------|-------------------------------------|-------------|
| Class A                  |       | $                                       | 55,236,501  |              | $          | 16,478,090      |       | $              | (10,519,144 | )                                   | $          | 9,740,571                               |       | $                 | 70,936,018  |            | $          | 75,377,293   |       | $                                   | 12,228,316  |   | $ | (9,108,922 | ) | $ | (6,941,940 | ) | $ | 71,554,747 |   |
| Class C                  |       | 286,078,081                             |        | 50,183,151        |       | (33,385,889     | )          | 46,543,416     |        | 349,418,759                         |       | 340,542,258                             |       | 31,197,907        |        | (53,436,339     | )          | (30,189,475  | )          | 288,114,351                         |        |
| Class D                  |       | 103,236,597                             |        | 16,258,391        |       | (7,909,394      | )          | 18,096,158     |        | 129,681,752                         |       | 117,366,051                             |       | 9,057,523         |        | —          |       | (10,058,435  | )          | 116,365,139                         |        |
| Class I                  |       | 52,132,196                              |        | 4,916,739         |       | (5,542,364      | )          | 8,955,080      |        | 60,461,651                          |       | 71,357,222                              |       | 9,497,402         |        | (13,161,669     | )          | (6,008,641   | )          | 61,684,314                          |        |
| Class DS*                |       | 17,829,738                              |        | 32,121,236        |       | —          |       | 5,084,790      |        | 55,035,764                          |       | 111,018,099                             |       | 38,990,621        |        | —          |       | (10,342,985  | )          | 139,665,735                         |        |
| Class DT**               |       | 92,508,127                              |        | —            |       | (12,362,031     | )          | 15,976,802     |        | 96,122,898                          |       | 88,296,222                              |       | 567,184           |        | (9,320,061      | )          | (6,332,224   | )          | 73,211,121                          |        |
| ** **               | ** ** | ** **                              | ** **  | ** **        | ** ** | ** **      | ** ** | ** **     | ** **  | ** **                          | ** ** | ** **                              | ** ** | ** **        | ** **  | ** **      | ** ** | ** **   | ** ** | ** **                          | ** **  |
| Total Members' Interest  |       | $                                       | 607,021,240 |              | $          | 119,957,607     |       | $              | (69,718,822 | )                                   | $          | 104,396,817                             |       | $                 | 761,656,842 |            | $          | 803,957,145  |       | $                                   | 101,538,953 |   | $ | (85,026,991 | ) | $ | (69,873,700 | ) | $ | 750,595,407 |   |
|                     |       |                                    |        |              |       |            |       |           |        |                                |       |                                    |       |              |        |            |       |         |       |                                |        |
| Class A                  |       | $                                       | 13,381      |              | $          | —          |       | $              | —      |                                | $          | 2,164                                   |       | $                 | 15,545      |            | $          | 15,971       |       | $                                   | —      |   | $ | — |   | $ | (1,378 | ) | $ | 14,593 |   |
| Class C                  |       | 13,068                                  |        | —            |       | —          |       | 2,038          |        | 15,106                              |       | 15,444                                  |       | —            |        | —          |       | (1,402       | )          | 14,042                              |        |
|                     |       |                                    |        |              |       |            |       |           |        |                                |       |                                    |       |              |        |            |       |         |       |                                |        |
| Total Sponsor's Interest |       | $                                       | 26,449      |              | $          | —          |       | $              | —      |                                | $          | 4,202                                   |       | $                 | 30,651      |            | $          | 31,415       |       | $                                   | —      |   | $ | — |   | $ | (2,780 | ) | $ | 28,635 |   |
|                     |       |                                    |        |              |       |            |       |           |        |                                |       |                                    |       |              |        |            |       |         |       |                                |        |
| Total Members' Capital   |       | $                                       | 607,047,689 |              | $          | 119,957,607     |       | $              | (69,718,822 | )                                   | $          | 104,401,019                             |       | $                 | 761,687,493 |            | $          | 803,988,560  |       | $                                   | 101,538,953 |   | $ | (85,026,991 | ) | $ | (69,876,480 | ) | $ | 750,624,042 |   |

 

----

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

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

 

See notes to financialstatements.

 

4

----

 

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED JUNE 30, 2009

 

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

 
| ** **                                               | ** ** | **2009**         | ** ** | **2009**         | ** ** | **2009**         | ** ** | **2009**         | ** ** | **2009**           | ** ** | **2009**            | ** ** |
|----------------------------------------------------------|------------|------------------|------------|------------------|------------|------------------|------------|------------------|------------|--------------------|------------|---------------------|------------|
| ** **                                               | ** ** | **Class A** | ** ** | **Class C** | ** ** | **Class D** | ** ** | **Class I** | ** ** | **Class DS*** | ** ** | **Class DT**** | ** ** |
| **Per Unit Operating Performance:**                      |       |             |       |             |       |             |       |             |       |               |       |                |       |
| ** **                                               |       |             |       |             |       |             |       |             |       |               |       |                |       |
| Net asset value, beginning of period                     |       | $                | 1.6152     |             | $          | 1.5511           |       | $                | 1.5843     |               | $          | 1.6292              |       | $ | 1.5822 |   | $ | 1.6218 |   |
|                                                     |       |             |       |             |       |             |       |             |       |               |       |                |       |
| Realized and change in unrealized trading profit  (loss) |       | (0.0983          | )          | (0.0944          | )          | (0.0965          | )          | (0.0992          | )          | (0.0964            | )          | (0.0988             | )          |
| Brokerage commissions                                    |       | (0.0004          | )          | (0.0004          | )          | (0.0004          | )          | (0.0004          | )          | (0.0004            | )          | (0.0004             | )          |
| Interest income                                          |       | 0.0000           |       | 0.0000           |       | 0.0000           |       | 0.0000           |       | 0.0000             |       | 0.0000              |       |
| Expenses                                                 |       | (0.0141          | )          | (0.0172          | )          | (0.0085          | )          | (0.0124          | )          | (0.0083            | )          | (0.0067             | )          |
|                                                     |       |             |       |             |       |             |       |             |       |               |       |                |       |
| Net asset value, end of period                           |       | $                | 1.5024     |             | $          | 1.4391           |       | $                | 1.4789     |               | $          | 1.5172              |       | $ | 1.4771 |   | $ | 1.5159 |   |
|                                                     |       |             |       |             |       |             |       |             |       |               |       |                |       |
| **Total Return:**                                        |       |             |       |             |       |             |       |             |       |               |       |                |       |
|                                                     |       |             |       |             |       |             |       |             |       |               |       |                |       |
| Total return before Performance fees                     |       | -9.09            | %          | -6.90            | %          | -6.65            | %          | -6.90            | %          | -6.64              | %          | -6.52               | %          |
| Performance fees                                         |       | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00               | %          | 0.00                | %          |
| Total return after Performance fees                      |       | -9.09            | %          | -6.90            | %          | -6.65            | %          | -6.90            | %          | -6.64              | %          | -6.52               | %          |
|                                                     |       |             |       |             |       |             |       |             |       |               |       |                |       |
| **Ratios to Average Members’  Capital:**            |       |             |       |             |       |             |       |             |       |               |       |                |       |
|                                                     |       |             |       |             |       |             |       |             |       |               |       |                |       |
| Expenses (excluding Performance fees)                    |       | 1.17             | %          | 0.82             | %          | 0.55             | %          | 0.82             | %          | 0.54               | %          | 0.42                | %          |
| Performance fees                                         |       | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00               | %          | 0.00                | %          |
| Expenses (including Performance fees)                    |       | 1.17             | %          | 0.82             | %          | 0.55             | %          | 0.82             | %          | 0.54               | %          | 0.42                | %          |
|                                                     |       |             |       |             |       |             |       |             |       |               |       |                |       |
| Net investment income (loss)                             |       | -1.17            | %          | -0.82            | %          | -0.55            | %          | -0.82            | %          | -0.54              | %          | -0.42               | %          |

 

----

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

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

 

See notes to financial statements.

 

5

----

 

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

FINANCIAL DATA HIGHLIGHTS

FOR THE SIX MONTHS ENDED JUNE 30, 2009

 

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

 
| ** **                                               | ** ** | **2009**         | ** ** | **2009**         | ** ** | **2009**         | ** ** | **2009**         | ** ** | **2009**           | ** ** | **2009**            | ** ** |
|----------------------------------------------------------|------------|------------------|------------|------------------|------------|------------------|------------|------------------|------------|--------------------|------------|---------------------|------------|
| ** **                                               | ** ** | **Class A** | ** ** | **Class C** | ** ** | **Class D** | ** ** | **Class I** | ** ** | **Class DS*** | ** ** | **Class DT**** | ** ** |
| **Per Unit Operating Performance:**                      |       |             |       |             |       |             |       |             |       |               |       |                |       |
| ** **                                               |       |             |       |             |       |             |       |             |       |               |       |                |       |
| Net asset value, beginning of period                     |       | $                | 1.6440     |             | $          | 1.5827           |       | $                | 1.6066     |               | $          | 1.6566              |       | $ | 1.6046 |   | $ | 1.6425 |   |
|                                                     |       |             |       |             |       |             |       |             |       |               |       |                |       |
| Realized and change in unrealized trading profit  (loss) |       | (0.1119          | )          | (0.1074          | )          | (0.1099          | )          | (0.1130          | )          | (0.1097            | )          | (0.1125             | )          |
| Brokerage commissions                                    |       | (0.0008          | )          | (0.0008          | )          | (0.0008          | )          | (0.0008          | )          | (0.0008            | )          | (0.0008             | )          |
| Interest income                                          |       | 0.0001           |       | 0.0001           |       | 0.0001           |       | 0.0001           |       | 0.0001             |       | 0.0001              |       |
| Expenses                                                 |       | (0.0290          | )          | (0.0355          | )          | (0.0171          | )          | (0.0257          | )          | (0.0171            | )          | (0.0134             | )          |
|                                                     |       |             |       |             |       |             |       |             |       |               |       |                |       |
| Net asset value, end of period                           |       | $                | 1.5024     |             | $          | 1.4391           |       | $                | 1.4789     |               | $          | 1.5172              |       | $ | 1.4771 |   | $ | 1.5159 |   |
|                                                     |       |             |       |             |       |             |       |             |       |               |       |                |       |
| **Total Return:**                                        |       |             |       |             |       |             |       |             |       |               |       |                |       |
|                                                     |       |             |       |             |       |             |       |             |       |               |       |                |       |
| Total return before Performance fees                     |       | -8.63            | %          | -9.09            | %          | -7.94            | %          | -8.45            | %          | -7.94              | %          | -7.70               | %          |
| Performance fees                                         |       | 0.00             | %          | 0.00             | %          | -0.01            | %          | 0.00             | %          | -0.01              | %          | 0.00                | %          |
| Total return after Performance fees                      |       | -8.63            | %          | -9.08            | %          | -7.95            | %          | -8.45            | %          | -7.95              | %          | -7.70               | %          |
|                                                     |       |             |       |             |       |             |       |             |       |               |       |                |       |
| **Ratios to Average Members’  Capital:**            |       |             |       |             |       |             |       |             |       |               |       |                |       |
|                                                     |       |             |       |             |       |             |       |             |       |               |       |                |       |
| Expenses (excluding Performance fees)                    |       | 1.83             | %          | 2.33             | %          | 1.09             | %          | 1.63             | %          | 1.08               | %          | 0.83                | %          |
| Performance fees                                         |       | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.01               | %          | -0.01               | %          |
| Expenses (including Performance fees)                    |       | 1.83             | %          | 2.33             | %          | 1.09             | %          | 1.63             | %          | 1.09               | %          | 0.83                | %          |
|                                                     |       |             |       |             |       |             |       |             |       |               |       |                |       |
| Net investment income (loss)                             |       | -1.83            | %          | -2.32            | %          | -1.08            | %          | -1.63            | %          | -1.08              | %          | -0.82               | %          |

 

----

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

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

 

See notes to financial statements.

 

6

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ML WINTON FUTURESACCESS LLC

(a Delaware LimitedLiability Company)

 

NOTES TO FINANCIAL STATEMENTS

(unaudited)

 

1.               SUMMARY OF SIGNIFICANTACCOUNTING POLICIES

 

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

 

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

 

In the opinion of management, these interim financial statementscontain all adjustments necessary to present fairly the financial position ofthe Fund as of June 30, 2009 and the results of its operations for thethree and six months ended June 30, 2009 and 2008.  However, the operating results for theinterim periods may not be indicative of the results for the full year.

 

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

 

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

 

7

----

 

2.               CONDENSED SCHEDULES OFINVESTMENTS

 

The Fund’s investments, defined as Netunrealized profit (loss) on open contracts in the Statements of FinancialCondition as of June 30, 2009 and December 31, 2008 are as follows:

 

**June 30, 2009**

 
| ** **                  | ** ** | **Long Positions** | ** ** | **Short Positions** | ** ** | **Net Unrealized**        | ** ** | ** **         | ** ** | ** **             | ** ** |
|-----------------------------|------------|-------------------------|------------|--------------------------|------------|--------------------------------|------------|--------------------|------------|------------------------|------------|
| **Commodity Industry** | ** ** | **Number of**      | ** ** | **Unrealized**           | ** ** | **Percent of**            | ** ** | **Number of** | ** ** | **Unrealized**         | ** ** | **Percent of** | ** ** | **Profit (Loss)** | ** ** | **Percent of** | ** ** | ** ** | ** ** |
| **Sector**                  | ** ** | **Contracts**           | ** ** | **Profit (Loss)**   | ** ** | **Members’ Capital** | ** ** | **Contracts**      | ** ** | **Profit (Loss)** | ** ** | **Members’ Capital** | ** ** | **on Open Positions** | ** ** | **Members’ Capital** | ** ** | **Maturity Dates** | ** ** |
|                        |       |                    |       |                     |       |                           |       |               |       |                   |       |   |   |   |   |   |   |   |   |
| Agriculture                 |       | 1,064                   |       | $                        | (302,477   | )                              | -0.04      | %                  | (1,399     | )                      | $          | 2,512,549 |   | 0.33 | % | $ | 2,210,072 |   | 0.29 | % | July 2009  - December 2010 |   |
| Currencies                  |       | 4,030                   |       | 3,719,949                |       | 0.50                           | %          | (702               | )          | 17,028                 |       | 0.00 | % | 3,736,976 |   | 0.50 | % | July 2009  - August 2009 |   |
| Energy                      |       | 38                      |       | 7,465                    |       | 0.00                           | %          | (322               | )          | 344,300                |       | 0.05 | % | 351,765 |   | 0.05 | % | September 2009 |   |
| Interest rates              |       | 11,377                  |       | 768,758                  |       | 0.10                           | %          | (1,353             | )          | (1,511,021             | )          | -0.20 | % | (742,263 | ) | -0.10 | % | July 2009  - March 2010 |   |
| Metals                      |       | 703                     |       | (877,627                 | )          | -0.12                          | %          | (680               | )          | (3,242,464             | )          | -0.43 | % | (4,120,091 | ) | -0.55 | % | July 2009  - August 2009 |   |
| Stock indices               |       | 83                      |       | 64,330                   |       | 0.01                           | %          | (1,678             | )          | (45,077                | )          | -0.01 | % | 19,253 |   | 0.00 | % | July 2009  - August 2009 |   |
|                        |       |                    |       |                     |       |                           |       |               |       |                   |       |   |   |   |   |   |   |   |   |
| Total                       |       |                    |       | $                        | 3,380,398  |                           | 0.45       | %                  |       |                   | $          | (1,924,685 | ) | -0.26 | % | $ | 1,455,713 |   | 0.18 | % |   |   |

 

**December 31, 2008**

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

 

No individual contract’s unrealized gain or losscomprised greater than 5% of the Members’ Capital as of June 30, 2009 or December 31,2008.

 

8

----

 

The Fund’s net unrealized profit (loss) on open forward and futurescontracts as of June 30, 2009 and December 31, 2008 are as follows:

 
| **June 30, 2009** | ** ** | **Unrealized Long Positions** | ** ** | **Unrealized Short Positions** | ** ** | **Total**  | ** ** |
|------------------------|------------|-------------------------------|------------|--------------------------------|------------|------------|------------|
| Futures                |       | $                             | 3,380,398  |                           | $          | (1,924,685 | )          | $ | 1,455,713 |   |
| Forwards               |       | —                        |       | —                         |       | —     |       |
| Total                  |       | $                             | 3,380,398  |                           | $          | (1,924,685 | )          | $ | 1,455,713 |   |

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

 

3.               FAIR VALUE OF INVESTMENTS

 

InSeptember 2006, the Financial Accounting Standards Board (“FASB”) issuedStatement of Financial Accounting Standards No. 157, Fair ValueMeasurement (“FAS 157”). FAS 157 defines fair value, establishes a frameworkfor measuring fair value and expands disclosures about fair value measurements.The Fund adopted FAS 157 as of January 1, 2008. The adoption of FAS 157did not have a material impact on the Fund’s financial statements.

 

Fairvalue of an investment is the amount that would be received to sell theinvestment in an orderly transaction between market participants at themeasurement date (i.e. the exit price). Allinvestments (including derivative financial instruments and derivative commodityinstruments) are held for trading purposes. The investments are recorded on trade date and open contracts arerecorded at fair value (described below) at the measurement date. Investmentsdenominated in foreign currencies are translated into U.S. dollars at theexchange rates prevailing at the measurement date.  Gains or losses are realized when contractsare liquidated.  Unrealized gains orlosses on open contracts are included in equity in commodity futures tradingaccount.  Any change in net unrealizedgain or loss from the preceding period is reported in the Statement ofOperations.

 

FAS157 established a hierarchal disclosure framework which prioritizes and ranksthe level of market price observability used in measuring investments at fairvalue. Market price observability is impacted by a number of factors, includingthe type of investment and the characteristics specific to the investment.Investments with readily available active quoted prices or for which fair valuecan be measured from actively quoted prices generally will have a higher degreeof market price observability and a lesser degree of judgment used in measuringfair value.

 

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

 

LevelI — Quoted prices are available in active markets for identical investments asof the reporting date. The type of investments included in Level I are publiclytraded investments. As required by FAS 157, the Fund does not adjust the quotedprice for these investments even in situations where the Fund holds a largeposition and a sale could reasonably impact the quoted price.

 

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

 

9

----

 

Level III — Pricing inputs are unobservable and include situationswhere there is little, if any, market activity for the investment. Fair valuefor these investments is determined using valuation methodologies that considera range of factors, including but not limited to the nature of the investment,local market conditions, trading values on public exchanges for comparablesecurities, current and projected operating performance and financingtransactions subsequent to the acquisition of the investment. The inputs intothe determination of fair value require significant management judgment. Due tothe inherent uncertainty of these estimates, these values may differ materiallyfrom the values that would have been used had a ready market for theseinvestments existed.

 

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

 

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

 

Exchangetraded investments are fair valued by the Fund by using the reported closingprice on the primary exchange where it trades such investments. These closingprices are observed through the clearing broker and third party pricingservices. For non exchange traded investments, quoted values and other dataprovided by nationally recognized independent pricing sources are used asinputs into its process for determining fair values.

 

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

 

Uponadoption of SFAS No. 157, the Fund determined that Level I securitieswould include all of its futures and options contracts where it believes thatquoted prices are available in an active market.

 

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

 

The following table summarizes the valuation of the Fund’s investmentsby the above FAS 157 fair value hierarchy levels as of December 31, 2008and June 30, 2009:

 
| ** **                                     | ** ** | **Total** | ** ** | **Level I** | ** ** | **Level II** | ** ** | **Level III** | ** ** |
|------------------------------------------------|------------|-----------|------------|-------------|------------|--------------|------------|---------------|------------|
| Net unrealized profit (loss) on open contracts |       |      |       |        |       |         |       |          |       |
| December 31, 2008                         |       | $         | 14,731,114 |        | $          | 14,731,114   |       | N/A           |       | N/A |   |
| June 30, 2009                             |       | $         | 1,455,713  |        | $          | 1,455,713    |       | N/A           |       | N/A |   |

 

10

----

 

Effective January 1, 2009, the Fund adopted Statement of FinancialAccounting Standards No. 161, “Disclosures about Derivative Instrumentsand Hedging Activities” (“FAS 161”) as of January 1, 2009 which requiresqualitative disclosures about objectives and strategies for using derivatives,quantitative disclosures about fair value amounts of and gains and losses onderivative instruments, and disclosures about credit-risk-related contingentfeatures in derivative agreements. FAS 161 only expands the disclosurerequirements for derivative instruments and related hedging activities and hasno impact on Statements of Financial Condition or Statements of Operations andMembers’ 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 and HedgingActivities*. The fair value amounts of and the gains and losses onderivative instruments is disclosed in the statements of financial conditionand statements of operations respectively. There are no credit relatedcontingent features embedded in these derivative contracts.

 

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

 

4.               NET ASSET VALUE PER UNIT

 

In conformity with U.S. GAAP, the Fund deducted the total initialoffering costs at inception from Members’ Capital for purposes of determiningNet Asset Value. The Net Asset Value and Net Asset Value per Unit of thedifferent Classes at June 30, 2009 and December 31, 2008 are asfollows:

 

June 30, 2009

 
| ** **    | ** ** | **Net Asset Value per Unit** | ** ** |
|---------------|------------|------------------------------|------------|
| Class A  |       | $                            | 1.5024     |   |
| Class C  |       | 1.4391                       |       |
| Class D  |       | 1.4789                       |       |
| Class I  |       | 1.5172                       |       |
| Class DS |       | 1.4771                       |       |
| Class DT |       | 1.5159                       |       |
|               |            |                              |            |  |

 

December 31,2008

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

 

11

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5.       MARKET AND CREDIT RISK

 

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

 

Market Risk

 

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

 

MLAI, has procedures in place intended tocontrol market risk exposure, although there can be no assurance that theywill, in fact, succeed in doing so. These procedures focus primarily on monitoring the trading of Winton, calculatingthe Net Asset Value of the Fund as of the close of business on each day andreviewing outstanding positions for over-concentrations.  While MLAI does not intervene in the marketsto hedge or diversify the Fund’s market exposure, MLAI may urge Winton toreallocate positions in an attempt to avoid over-concentrations.  However, such interventions are expected tobe unusual.  It is expected that MLAI’sbasic risk control procedures will consist simply of the ongoing process ofadvisor monitoring, with the market risk controls being applied by Winton.

 

Credit Risk

 

The risks associated with exchange-traded contracts are typicallyperceived to be less than those associated with over-the-counter(non-exchange-traded) transactions, because exchanges typically (but notuniversally) provide clearinghouse arrangements in which the collective credit(in some cases limited in amount, in some cases not) of the members of theexchange is pledged to support the financial integrity of the exchange.  In over-the-counter transactions, on theother hand, traders must rely solely on the credit of their respectiveindividual counterparties.  Margins,which may be subject to loss in the event of a default, are generally requiredin exchange trading, and counterparties may also require margin in theover-the-counter markets.  The creditrisk associated with these instruments from counterparty nonperformance is theNet unrealized profit, if any, included in the Statements of FinancialCondition. The Fund attempts to mitigate this risk by dealing exclusively withMerrill Lynch entities as clearing brokers.

 

The Fund, in its normal course of business,enters into various contracts with MLPF&S acting as its commoditybroker.  Pursuant to the brokeragearrangement with MLPF&S (which includes a netting arrangement), to theextent 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.

 

12

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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, “*Determining Fair Value When the Volume and Level ofActivity for the Asset or Liability Have Significantly Decreased andIdentifying Transactions That Are Not Orderly*” (FSP 157-4). FSP157-4 provides additional guidance for estimating fair value in accordance withFASB Statement No. 157, *Fair ValueMeasurements*, when the volume and level of activity for the asset orliability have significantly decreased. This FSP also includes guidance onidentifying circumstances that indicate a transaction is not orderly. The FSPemphasizes that even if there has been a significant decrease in the volume andlevel of activity for the asset or liability and regardless of the valuationtechnique(s) used, the objective of a fair value measurement remains thesame. Fair value is the price that would be received to sell an asset or paidto transfer a liability in an orderly transaction (that is, not a forcedliquidation or distressed sale) between market participants at the measurementdate under current market conditions. The FSP also contains enhanced disclosurerequirements whereby fair value disclosures as well as certain disaggregatedinformation will be disclosed. The Fund does not expect the adoption of FSP157-4 to have an impact on its financial statements.

 

In June 2008, the FASB issued Statement of Financial AccountingStandards No. 168, “The FASB Accounting Standards Codification and “TheHierarchy of Generally Accepted Accounting Principles - a replacement of FASBStatement No. 162” (“FAS 168”).  FAS168 identifies the sources of accounting principles and the framework forselecting the accounting principles used in preparing financial statements ofnongovernmental entities that are presented in conformity with U.S. GAAP.  FAS 168 will be effective for financialstatements that cover interim and annual periods ending after September 15,2009.  The Fund does not expect theadoption of FAS 168 to have an impact on its financial statements

 

FASBissued Statement of Financial Accounting Standards No. 165, SubsequentEvents (“FAS 165”), which is effective for interim and annual periods endingafter June 15, 2009.  FAS 165establishes general standards of accounting for and disclosure of events thatoccur after the balance sheet date but before financial statements are issuedor are available to be issued.  Itrequires the disclosure of the date through which an entity has evaluatedsubsequent events and the basis for that date. The Fund has performed anevaluation of subsequent events, as defined under FAS 165, through August 14,2009, which is the date the financial statements were issued, and determinedthat there are no subsequent events that are required to be adjusted to, ordisclosed in, the financial statements other than those disclosed in thesubsequent event section in Note 7.

 

13

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7.               SUBSEQUENT EVENT

 

Thefollowing subsequent event occurred that requires disclosure under FAS 165.

 

1.Effective as of August 13, 2009, Paul Morton resigned as a Chief ExecutiveOfficerand President ofMLAI and resigned as a member of MLAI’s Board of Managers.

 

2.Effective as of August 13, 2009, Thomas W. Lee resigned as a VicePresident of MLAIandresigned as a member of MLAI’s Board of Managers.

 

3.Effective as of August 13, 2009, Justin C. Ferri, a Vice President and amember of MLAI’sBoard ofManagers, became the Chief Executive Officer and President of MLAI. Hecontinues to serve as a member of MLAI’s Board of Managers, a position which heheld prior to his appointment as the Chief Executive Officer and President.

 

4. Effective as of August 13, 2009, DeannMorgan, a Vice President of MLAI, became a member of MLAI’s Board ofManagers. She continues to serve as a VicePresident of MLAI, a position which she held prior to her appointment as amember of MLAI’s Board of Managers.

 

14

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Item 2. Management’s Discussion and Analysis of Financial Condition andResults of Operations

 

MONTH-END NETASSET VALUE PER UNIT

(NON U.S.GAAP)

 

MLAI believes that the Net Asset Value usedto calculate subscription and redemption value and to    report performance to investors throughoutthe year is the most valuable performance measure to the Members of theFund.   Therefore, the charts belowreferencing Net Asset Value and performance measurements are based on the NetAsset Value for financial reporting purposes, as discussed in Note 4 to thefinancial statements.

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS A

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May.** | ** ** | **Jun.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|
| 2008       |       | $        | 1.4285     |     | $          | 1.5377   |       | $        | 1.5208     |     | $          | 1.5075   |       | $ | 1.5302 |   | $ | 1.6005 |   |
| 2009       |       | $        | 1.6553     |     | $          | 1.6464   |       | $        | 1.6155     |     | $          | 1.5632   |       | $ | 1.5257 |   | $ | 1.5024 |   |

 

MONTH-END NET ASSET VALUE PER INITIAL UNITCLASS C

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May.** | ** ** | **Jun.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|
| 2008       |       | $        | 1.3876     |     | $          | 1.4924   |       | $        | 1.4747     |     | $          | 1.4607   |       | $ | 1.4814 |   | $ | 1.5482 |   |
| 2009       |       | $        | 1.5921     |     | $          | 1.5822   |       | $        | 1.5513     |     | $          | 1.4998   |       | $ | 1.4626 |   | $ | 1.4391 |   |

 

MONTH-END NET ASSET VALUE PER INITIAL UNITCLASS D

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May.** | ** ** | **Jun.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|
| 2008       |       | $        | 1.3765     |     | $          | 1.4836   |       | $        | 1.4691     |     | $          | 1.4581   |       | $ | 1.4819 |   | $ | 1.5519 |   |
| 2009       |       | $        | 1.6193     |     | $          | 1.6126   |       | $        | 1.5842     |     | $          | 1.5349   |       | $ | 1.4999 |   | $ | 1.4789 |   |

 

MONTH-END NET ASSET VALUE PER INITIAL UNITCLASS I

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May.** | ** ** | **Jun.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|
| 2008       |       | $        | 1.4343     |     | $          | 1.5444   |       | $        | 1.5279     |     | $          | 1.5151   |       | $ | 1.5385 |   | $ | 1.6098 |   |
| 2009       |       | $        | 1.6687     |     | $          | 1.6603   |       | $        | 1.6297     |     | $          | 1.5774   |       | $ | 1.5401 |   | $ | 1.5172 |   |

 

MONTH-END NET ASSET VALUE PER INITIAL UNITCLASS DS

 
|   |   | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May.** | ** ** | **Jun.** | ** ** |
|--------|--------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|
| 2008   |   | $        | 1.3765     |     | $          | 1.4835   |       | $        | 1.4690     |     | $          | 1.4582   |       | $ | 1.4817 |   | $ | 1.5509 |   |
| 2009   |   | $        | 1.6173     |     | $          | 1.6106   |       | $        | 1.5822     |     | $          | 1.5329   |       | $ | 1.4980 |   | $ | 1.4771 |   |

 

MONTH-END NET ASSET VALUE PER INITIAL UNITCLASS DT

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May.** | ** ** | **Jun.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|
| 2008       |       | $        | 1.3901     |     | $          | 1.5051   |       | $        | 1.4899     |     | $          | 1.4785   |       | $ | 1.5045 |   | $ | 1.5802 |   |
| 2009       |       | $        | 1.6568     |     | $          | 1.6500   |       | $        | 1.6217     |     | $          | 1.5718   |       | $ | 1.5367 |   | $ | 1.5159 |   |

 

15

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Liquidity and Capital Resources

 

The Fund does not engage in the sale of goods orservices.  The Fund’s assets are its (i) equityin its trading account, consisting of cash and cash equivalents and (ii) interestreceivable.    Because of the low margindeposits normally required in commodity futures trading relatively small pricemovements may result in substantial losses to the Fund.  While substantial losses could lead to amaterial decrease in liquidity, no such material losses occurred during thesecond 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 six months ended June 30, 2009, Fundcapital decreased 6.64% from $803,988,560 to $750,624,042.  This decrease was attributable to the netloss from operations of $69,876,481, coupled with the redemption of 54,897,748Redeemable Units resulting in an outflow of $85,026,991.  The cash outflow was offset with cash inflowof $101,538,953 due to subscription of 64,824,675 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 arerecorded on trade date and open contracts are recorded at fair value (asdescribed below) at the measurement date. Investments denominated in foreign currencies are translated into U.S.dollars at the exchange rates prevailing at the measurement date.  Gains or losses are realized when contractsare liquidated.  Unrealized gains orlosses on open contracts are included as a component of equity in tradingaccount on the Statements of Financial Condition.  Realized gains or losses and any change innet unrealized gains or losses from the preceding period are reported in theStatements of Operations and Statements of Changes in Members’ Capital.

 

16

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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 to buyor sell a specified quantity of investments, currency or a standardized amountof a deliverable grade commodity, at a specified price on a specified futuredate, unless the contract is closed before the delivery date or if the deliveryquantity is something where physical delivery cannot occur (such as S&P 500Index), 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 are traded,credit exposure is limited.  Realizedgains (losses) and changes in unrealized gains (losses) on futures contractsare included in the Statement of Operations and Statements of Changes inMembers’ Capital.

 

Forward Foreign Currency Contracts

 

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

 

Income Taxes

 

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

 

In 2007, the Fund adopted 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 June 30,2009 and that no provision for income tax is required in the Fund’s financialstatements.

 

17

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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 overall losses for thequarter with the stock indices, agriculture and the energy sectors postinggains while the metals, interest rates and currencies sectors posting losses.

 

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

 

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

 

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 bond marketsfirmed up fractionally but not enough to offset losses posted to the Fund inthe middle of the quarter. The macro economic background continues to weighheavily 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 longexposure in the U.S. dollar was damaged by both the increasing indebtedness ofthe United States following President Obama’s latest fiscal stimulus packageand rumors of it being sidelined as the reserve currency and the Japanese yenposition also suffered posting losses as the quarter ended.

 

18

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April 1, 2009 to June 30, 2009

 

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

 

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

 

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

 

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

 

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

 

Thestock indices sector posted losses for the Fund. The flurry of “greenshoots” of recovery, which started mid March, began to wane (at leasttemporarily), and there is renewed talk of “yellow weeds” appearing. As such,Equities came off the boil as the S&P ended flat and markets such as Russiafell from their highs resulting in losses posted the Fund in April. The underlying structure of markets exposurefor the Fund during May was somewhat out of sync that the recent marketaction with this new sense of relative confidence has engendered posting lossesto the Fund. Against this recessionary background and with volatility in globalmarkets the Fund posted profits at the end of the quarter.

 

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

 

19

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January 1, 2008 to March 31, 2008

 

The Fund experienced a net trading gain before brokeragecommissions and related fees in the first quarter of 2008 of $81,855,916.  Gains were primarily attributable to the Fund’strading in interest rates, currencies, agriculture, energy and the metalssectors posting gains while the stock indices sectors posted losses.

 

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

 

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

 

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

 

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

 

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

 

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 New Year.Despite the overall volatility in global equities, the stock sector postedgains for the Fund mid-quarter through the end of the quarter.

 

April 1, 2008 to June 30, 2008

 

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

 

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

 

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

 

20

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The stock indices sector postedprofits for the Fund. Losses were posted to the Fund at the beginning of thequarter through mid-quarter as financial markets continued to be range bound. June sawa further crystallization of market ranges which had been threatening to breakout of their ranges for some time. There was a sharp decline in global equitymarkets, as the cumulative weight of poor financial figures, inflationary fearsand an increase in negative sentiment combined to depress both G7  (seven industrialized nations of the world:Canada, France, Germany, Italy, Japan, United Kingdom, and the United States ofAmerica) and the global markets.Most markets fell between 5-10% in June and a technical bear market looksto be in place in the United States where a 20% peak to trough decline hasoccurred. The Fund was well positioned to benefit from these conditions, withequity indices accounting for nearly half the monthly return as the quarterended with profits being posted to the Fund.

 

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

 

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

 

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

 

The Fund has no applicable off-balance sheetarrangements and tabular disclosure or contractual obligations of the typedescribed in Items 303(a)(4) and 303(a)(5) of Regulation S-K.

 

Item 3.   Quantitative and Qualitative DisclosuresAbout Market Risk

 

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

 

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

 

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

 

21

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Value at Riskis a measure of the maximum amount which the Fund could reasonably be expectedto lose 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.

 

QuantifyingThe Fund’s Trading Value At Risk

 

QuantitativeForward-Looking Statements

 

The followingquantitative disclosures regarding the Fund’s market risk exposures contain “forward-lookingstatement” within the meaning of the safe harbor from civil liability providedfor such statements by the Private Securities Litigation Reform Act of 1995(set forth in Section 27A of the Securities Act of 1933 and Section 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’srisk exposure in the various market sectors traded by Winton is quantifiedbelow in terms of Value at Risk.  Due tothe Fund’s mark-to-market accounting, any loss in the fair value of the Fund’sopen positions is directly reflected in the Fund’s earnings (realized orunrealized) and cash flow (at least in the case of exchange-traded contracts inwhich profits and losses on open positions are settled daily through variationmargin).

 

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

 

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

 

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

 

22

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***The Fund’s Trading Value at Risk in DifferentMarket Sectors***

 

The following table indicates the average,highest and lowest trading Value at Risk associated with the Fund’s openpositions by market category for the fiscal period. For the six months ended June 30,2009 and 2008, the Fund’s average Month-end Net Asset Value for all otherpurposes was approximately $783,383,189 and $681,531,123 respectively.

 

**June 30, 2009**

 
| ** **        | ** ** | **Average**       | ** ** | **% of Average**   | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|-------------------|------------|-------------------|------------|--------------------|------------|-------------------|------------|------------------|------------|
| **Market Sector** | ** ** | **Value at Risk** | ** ** | **Capitalization** | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|              |       |              |       |               |       |              |       |             |       |
| Agriculture       |       | $                 | 380,415    |               | 0.05       | %                 | $          | 707,352          |       | $ | 10,427 |   |
| Currencies/FX     |       | 1,554,742         |       | 0.20               | %          | 3,141,104         |       | 626,462          |       |
| Energy            |       | 164,535           |       | 0.02               | %          | 337,061           |       | 35,708           |       |
| Interest Rates    |       | 33,182,497        |       | 4.24               | %          | 41,780,017        |       | 30,410,845       |       |
| Metals            |       | 131,012           |       | 0.02               | %          | 237,144           |       | 58,410           |       |
| Stock Indices     |       | 624,354           |       | 0.8                | %          | 1,024,495         |       | 260,665          |       |
|              |       |              |       |               |       |              |       |             |       |
| TOTAL             |       | $                 | 36,037,555 |               | 4.61       | %                 | $          | 47,227,173       |       | $ | 31,402,517 |   |

 

**June 30, 2008**

 
| ** **        | ** ** | **Average**       | ** ** | **% of Average**   | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|-------------------|------------|-------------------|------------|--------------------|------------|-------------------|------------|------------------|------------|
| **Market Sector** | ** ** | **Value at Risk** | ** ** | **Capitalization** | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|              |       |              |       |               |       |              |       |             |       |
| Agriculture       |       | $                 | 2,107,138  |               | 0.31       | %                 | $          | 3,763,862        |       | $ | 871,669 |   |
| Currencies        |       | 6,374,310         |       | 0.94               | %          | 9,107,802         |       | 3,712,242        |       |
| Energy            |       | 2,010,443         |       | 0.29               | %          | 3,251,428         |       | 966,249          |       |
| Interest Rates    |       | 24,747,654        |       | 3.63               | %          | 28,751,157        |       | 17,648,522       |       |
| Metals            |       | 1,428,197         |       | 0.21               | %          | 2,316,237         |       | 766,037          |       |
| Stock Indices     |       | 1,664,449         |       | 0.24               | %          | 4,224,351         |       | 95,514           |       |
|              |       |              |       |               |       |              |       |             |       |
| TOTAL             |       | $                 | 38,332,191 |               | 5.62       | %                 | $          | 51,414,836       |       | $ | 24,060,234 |   |

 

23

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Material Limitations on Value at Risk as anAssessment of Market Risk

 

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

 

Non-TradingRisk

 

Foreign Currency Balances;Cash on Deposit with MLPF&S

 

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

 

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

 

QualitativeDisclosures 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, political upheavals,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.

 

Thefollowing were the primary trading risk exposures of the Fund as of June 30,2009, by market sector.

 

Interest Rates

 

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

 

24

----

 

Currencies

 

TheFund trades in a number of currencies. The Fund does not anticipate that therisk profile of the Fund’s currency sector will change significantly in thefuture. The currency trading Value at Risk figure includes foreign marginamounts converted into U.S. dollars with an incremental adjustment to reflectthe exchange rate risk of maintaining Value at Risk in a functional currencyother than U.S. dollars.

 

Stock Indices

 

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

 

Metals

 

TheFund’s metals market exposure is to fluctuations in both the price of preciousand non-precious metals.

 

AgriculturalCommodities

 

TheFund’s primary agricultural commodities exposure is to agricultural pricemovements which are often directly affected by severe or unexpected weatherconditions. Soybeans, grains, livestock, cotton, corn and coffee accounted forthe substantial bulk of the Fund’s agricultural commodities exposure as of June 30,2009.

 

Energy

 

TheFund’s primary energy market exposure is to natural gas and crude oil pricemovements, often resulting from political developments in the Middle East. Oilprices can be volatile and substantial profits and losses have been and areexpected to continue to be experienced in this market.

 

QualitativeDisclosures Regarding Non-Trading Risk Exposure

 

Thefollowing were the only non-trading risk exposures of the Fund as of June 30,2009.

 

ForeignCurrency Balances

 

TheFund’s primary foreign currency balances are in Australian dollars, Britishpounds and Euros.

 

U.S.Dollar Cash Balance

 

TheFund holds U.S. dollars only in cash at MLPF&S. The Fund has immaterialcash flow interest rate risk on its cash on deposit with MLPF&S in thatdeclining interest rates would cause the income from such cash to decline.

 

25

----

 

Item 4T. Controls and Procedures

 

MLAI, the Sponsor of ML Winton FuturesAccess LLC, with theparticipation of the Sponsor’s Chief Executive Officer and the Chief FinancialOfficer, has evaluated the effectiveness of the design and operation of itsdisclosure controls and procedures with respect to the Fund as of the end ofthe period of this quarterly report, and, based on this evaluation, hasconcluded that these disclosure 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.

 

PART II - OTHER INFORMATION

 

Item 1.            LegalProceedings

 

None.

 

Item 1A.  Risk Factors

 

There are no materialchanges from risk factors as previously disclosed in the Annual Report on Form 10-Kfor the year ended December 31, 2008, filed March 31, 2009.

 

26

----

 

Item 2.                                   UnregisteredSales of Equity Securities and Use of Proceeds

 

(a)    Issuance to accredited investors pursuant to Regulation D and Section 4(6) under the Securities Act.  Theselling agent of the following Class of Units was MLPF&S.

 

CLASS A

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV(1)** | ** ** |
| Jan-09     |       | $                | 2,016,403  |       | 1,226,299  |   | $ | 1.6443 |   |
| Feb-09     |       | 1,172,901        |       | 708,573    |       | 1.6553 |   |
| Mar-09     |       | 3,841,763        |       | 2,333,432  |       | 1.6464 |   |
| Apr-09     |       | 2,392,607        |       | 1,481,032  |       | 1.6155 |   |
| May-09     |       | 1,944,708        |       | 1,244,056  |       | 1.5632 |   |
| Jun-09     |       | 859,934          |       | 563,633    |       | 1.5257 |   |
| Jul-09     |       | 1,009,563        |       | 671,967    |       | 1.5024 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS C

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV(1)** | ** ** |
| Jan-09     |       | $                | 6,451,429  |       | 4,075,703  |   | $ | 1.5829 |   |
| Feb-09     |       | 5,081,580        |       | 3,191,747  |       | 1.5921 |   |
| Mar-09     |       | 4,939,272        |       | 3,121,774  |       | 1.5822 |   |
| Apr-09     |       | 7,230,339        |       | 4,660,826  |       | 1.5513 |   |
| May-09     |       | 4,070,929        |       | 2,714,315  |       | 1.4998 |   |
| Jun-09     |       | 3,424,358        |       | 2,341,281  |       | 1.4626 |   |
| Jul-09     |       | 5,445,474        |       | 3,783,944  |       | 1.4391 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS D

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV(1)** | ** ** |
| Jan-09     |       | $                | 5,367,524  |       | 3,341,129  |   | $ | 1.6065 |   |
| Feb-09     |       | 1,990,000        |       | 1,228,926  |       | 1.6193 |   |
| Mar-09     |       | 1,499,999        |       | 930,174    |       | 1.6126 |   |
| Apr-09     |       | —           |       | —     |       | 1.5842 |   |
| May-09     |       | 200,000          |       | 130,301    |       | 1.5349 |   |
| Jun-09     |       | —           |       | —     |       | 1.4999 |   |
| Jul-09     |       | 525,999          |       | 355,669    |       | 1.4789 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS I

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV(1)** | ** ** |
| Jan-09     |       | $                | 837,728    |       | 505,539    |   | $ | 1.6571 |   |
| Feb-09     |       | 3,674,992        |       | 2,202,309  |       | 1.6687 |   |
| Mar-09     |       | 553,998          |       | 333,673    |       | 1.6603 |   |
| Apr-09     |       | 3,154,692        |       | 1,935,750  |       | 1.6297 |   |
| May-09     |       | 124,999          |       | 79,242     |       | 1.5774 |   |
| Jun-09     |       | 1,150,993        |       | 747,351    |       | 1.5401 |   |
| Jul-09     |       | 354,872          |       | 233,899    |       | 1.5172 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS DS

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV(1)** | ** ** |
| Jan-09     |       | $                | 1,242,710  |       | 774,467    |   | $ | 1.6046 |   |
| Feb-09     |       | 5,628,413        |       | 3,480,129  |       | 1.6173 |   |
| Mar-09     |       | 2,795,089        |       | 1,735,434  |       | 1.6106 |   |
| Apr-09     |       | 3,131,252        |       | 1,979,050  |       | 1.5822 |   |
| May-09     |       | 5,772,859        |       | 3,765,973  |       | 1.5329 |   |
| Jun-09     |       | 20,420,298       |       | 13,631,707 |       | 1.4980 |   |
| Jul-09     |       | 5,200,060        |       | 3,520,452  |       | 1.4771 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS DT

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV(1)** | ** ** |
| Jan-09     |       | $                | —     |       | —     |   | $ | 1.6423 |   |
| Feb-09     |       | —           |       | —     |       | 1.6568 |   |
| Mar-09     |       | —           |       | —     |       | 1.6500 |   |
| Apr-09     |       | —           |       | —     |       | 1.6217 |   |
| May-09     |       | 567,184          |       | 360,850    |       | 1.5718 |   |
| Jun-09     |       | —           |       | —     |       | 1.5367 |   |
| Jul-09     |       | —           |       | —     |       | 1.5159 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

----

(1) Beginning of themonth Net Asset Value for all other purposes

 

(b)         None.

 

(c)          None.

 

27

----

 
| Item 3. | Defaults  Upon Senior Securities                                                                                         |
|---------|--------------------------------------------------------------------------------------------------------------------------|
|    |                                                                                                                     |
|    | None.                                                                                                                    |
|    |                                                                                                                     |
| Item 4. | Submission  of Matters to a Vote of Security Holders                                                                     |
|    |                                                                                                                     |
|    | None.                                                                                                                    |
|    |                                                                                                                     |
| Item 5. | Other  Information                                                                                                       |
|    |                                                                                                                     |
|    | None.                                                                                                                    |
|    |                                                                                                                     |
| Item 6. | Exhibits                                                                                                                 |
|    |                                                                                                                     |
|    | The  following exhibits are incorporated by reference or are filed herewith to  this Quarterly Report on Form 10-Q: |
|    |                                                                                                                     |
|    | 31.01  and 31.02                                                                                                         | Rule 13a-14(a)/15d-14(a) Certifications |
|    |                                                                                                                     |   |
|    | Exhibit 31.01  and 31.02                                                                                            | Are  filed herewith. |
|    |                                                                                                                     |   |
|    | 32.01  and 32.02                                                                                                         | Section 1350  Certifications |
|    |                                                                                                                     |   |
|    | Exhibit 32.01  and 32.02                                                                                            | Are  filed herewith. |

 

 

28

----

 

**SIGNATURES**

 

 

Pursuant to the requirements of the Securities Exchange Act of 1934,the registrant has duly caused this report to be signed on its behalf by theundersigned thereunto duly authorized.

 

 
|                        | ML  WINTON FUTURESACCESS LLC   |
|-----------------------------|--------------------------------|
| .                           |                           |
|                        |                           |
|                        | By:  MERRILL LYNCH ALTERNATIVE |
|                        | INVESTMENTS LLC                |
|                        | (Manager)                      |
|                        |                           |   |
|                        |                           |   |
| Date:  August 14, 2009 | By                             | /s/  JUSTIN C. FERRI |
|                        |                           | Justin  C. Ferri |
|                        |                           | Chief  Executive Officer, President and Manager |
|                        |                           | (Principal  Executive Officer) |
|                        |                           |
| Date:  August 14, 2009 |                           |
|                        | By                             | /s/  BARBRA E. KOCSIS |
|                        |                           | Barbra  E. Kocsis |
|                        |                           | Chief  Financial Officer |
|                        |                           | (Principal  Financial and Accounting Officer) |

 

29

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