**UNITED STATESSECURITIES AND EXCHANGE COMMISSION**

**Washington,D.C. 20549**

** **

**FORM 10-Q**

** **

**(MarkOne)**

 

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

 

**For the quarterly period  ended  March 31,2010**

 

**OR**

** **

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

** **

**For the transition period from                to**

** **

**Commission File Number 0-51084**

** **

# **ML WINTON FUTURESACCESS LLC**

(Exact Name of Registrantas

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**

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

**250 Vesey Street**

**New York, New York 10080**

(Address of principalexecutive offices)

(Zip Code)

 

**212-449-3517**

(Registrant’s telephonenumber, including area code)

 

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

**New York, New York 10281**

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

 

Indicate by check mark whether the registrant (1) has filed allreports required to be filed by Section 13 or 15(d) of the SecuritiesExchange Act of 1934 during the preceding 12 months (or for such shorter periodthat the registrant was required to file such reports), and (2) has beensubject to such filing requirements for the past 90 days.  Yes x  No o

 

Indicate by check mark whether the registrant has submittedelectronically and posted on its corporate website, if any, every InteractiveData File required to be submitted and posted pursuant to Rule 405 ofRegulation S-T (§232.405 of this chapter) during the preceding 12 months (orfor such shorter period that the registrant was required to submit and postsuch files).  Yes  o  No o

 

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

 

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

 

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

 

As of March 31, 2010, 510,839,946 units of limited liabilitycompany interest were outstanding.

 

 

 

----

 

**ML WINTON FUTURESACCESS LLC**

 

QUARTERLY REPORT FOR MARCH 31,2010 ON FORM 10-Q

 

Table of Contents

 
| ** ** | ** **                                                                                  | **PAGE**   |
|------------|---------------------------------------------------------------------------------------------|------------|
| ** ** | PART I                                                                                 | ** ** |
|       |                                                                                        |       |
| Item 1.    | Financial Statements                                                                        | 1          |
|       |                                                                                        |       |
| Item 2.    | Management’s  Discussion and Analysis of Financial Condition and Results of Operations | 15         |
|       |                                                                                        |       |
| Item 3.    | Quantitative  and Qualitative Disclosures About Market Risk                                 | 20         |
|       |                                                                                        |       |
| Item 4T.   | Controls and  Procedures                                                                    | 25         |
|       |                                                                                        |       |
|       | PART II                                                                                |       |
|       |                                                                                        |       |
| Item 1.    | Legal Proceedings                                                                           | 25         |
|       |                                                                                        |       |
| Item 1A.   | Risk Factors                                                                                | 25         |
|       |                                                                                        |       |
| Item 2.    | Unregistered  Sales of Equity Securities and Use of Proceeds                                | 26         |
|       |                                                                                        |       |
| Item 3.    | Defaults Upon  Senior Securities                                                            | 26         |
|       |                                                                                        |       |
| Item 4.    | (Removed and Reserved)                                                                      | 27         |
|       |                                                                                        |       |
| Item 5.    | Other Information                                                                           | 27         |
|       |                                                                                        |       |
| Item 6.    | Exhibits                                                                                    | 27         |

 

----

 

PART I -FINANCIAL INFORMATION

 

Item 1.    FinancialStatements

 

ML WINTON FUTURESACCESS LLC

(a Delaware LimitedLiability Company)

 

STATEMENTS OF FINANCIALCONDITION

(unaudited)

 
| ** **                                                                            | ** ** | **March 31,** | ** **  | **December 31,** | ** ** |
|---------------------------------------------------------------------------------------|------------|--------------------|-------------|-----------------------|------------|
| ** **                                                                            | ** ** | **2010**           | ** **  | **2009**              | ** ** |
| **ASSETS:**                                                                           |       |               |        |                  |       |
| Equity in commodity futures trading accounts:                                         |       |               |        |                  |       |
| Cash (including restricted cash of $73,072,899 for  2010 and $53,748,925 for 2009)    |       | $                  | 767,236,736 |                  | $          | 761,893,194 |   |
| Net unrealized profit on open contracts                                               |       | 30,711,148         |        | 3,305,166             |       |
| Cash and cash equivalents                                                             |       | 239,065            |        | 1,102,160             |       |
| Accrued interest receivable                                                           |       | 347                |        | —                |       |
|                                                                                  |       |               |        |                  |       |
| **TOTAL  ASSETS**                                                                     |       | $                  | 798,187,296 |                  | $          | 766,300,520 |   |
|                                                                                  |       |               |        |                  |       |
| **LIABILITIES  AND MEMBERS’ CAPITAL:**                                           |       |               |        |                  |       |
| LIABILITIES:                                                                          |       |               |        |                  |       |
| Brokerage commissions payable                                                         |       | $                  | —      |                  | $          | 115,138 |   |
| Sponsor and Advisory fees payable                                                     |       | 2,076,395          |        | 3,146,710             |       |
| Redemptions payable                                                                   |       | 9,931,035          |        | 12,610,951            |       |
| Other liabilities                                                                     |       | 429,674            |        | 391,254               |       |
|                                                                                  |       |               |        |                  |       |
| Total liabilities                                                                     |       | 12,437,104         |        | 16,264,053            |       |
|                                                                                  |       |               |        |                  |       |
| MEMBERS’ CAPITAL:                                                                |       |               |        |                  |       |
| Sponsor’s Interest (19,470 Units and 19,470 Units)                               |       | 29,762             |        | 28,686                |       |
| Members’ Interest (510,820,476 Units and 506,821,001  Units)                     |       | 785,720,430        |        | 750,007,781           |       |
| Total members’ capital                                                           |       | 785,750,192        |        | 750,036,467           |       |
|                                                                                  |       |               |        |                  |       |
| **TOTAL  LIABILITIES AND MEMBERS’ CAPITAL**                                      |       | $                  | 798,187,296 |                  | $          | 766,300,520 |   |
| ** **                                                                            | ** ** | ** **         | ** **  | ** **            | ** ** |
| **NET  ASSET VALUE PER UNIT (SEE NOTE 4)**                                            |       |               |        |                  |       |
| (Based on 510,839,946 and 506,840,471 Units  outstanding; unlimited Units authorized) | ** ** | ** **         | ** **  | ** **            | ** ** |

 

See notes tofinancial statements.

 

1

----

 

WINTON FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OF OPERATIONS

(unaudited)

 
| ** **                                   | ** ** | **For the three**  | ** ** | **For the three**  | ** ** |
|----------------------------------------------|------------|--------------------|------------|--------------------|------------|
| ** **                                   | ** ** | **months ended**   | ** ** | **months ended**   | ** ** |
| ** **                                   | ** ** | **March 31,** | ** ** | **March 31,** | ** ** |
| ** **                                   | ** ** | **2010**           | ** ** | **2009**           | ** ** |
| **TRADING  PROFIT (LOSS):**                  |       |               |       |               |       |
|                                         |       |               |       |               |       |   |   |
| Realized, net                                |       | $                  | 9,493,753  |               | $          | 9,292,135 |   |
| Change in unrealized, net                    |       | 27,405,982         |       | (16,097,643        | )          |
| Brokerage commissions                        |       | (215,593           | )          | (181,189           | )          |
|                                         |       |               |       |               |       |
| Total trading profit (loss)                  |       | 36,684,142         |       | (6,986,697         | )          |
|                                         |       |               |       |               |       |
| **INVESTMENT  INCOME:**                      | ** ** | ** **         | ** ** | ** **         | ** ** |
| Interest                                     |       | (2,323             | )          | 55,697             |       |
|                                         |       |               |       |               |       |
| **EXPENSES:**                                | ** ** | ** **         | ** ** | ** **         | ** ** |
| Management fee                               |       | 3,774,461          |       | 3,999,305          |       |
| Sponsor fee                                  |       | 2,253,164          |       | 2,626,833          |       |
| Performance fee                              |       | —             |       | 583                |       |
| Other                                        |       | 251,642            |       | 295,838            |       |
| Total expenses                               |       | 6,279,267          |       | 6,922,559          |       |
|                                         |       |               |       |               |       |
| **NET  INVESTMENT LOSS**                     |       | (6,281,590         | )          | (6,866,862         | )          |
|                                         |       |               |       |               |       |
| **NET  INCOME (LOSS)**                       |       | $                  | 30,402,552 |               | $          | (13,853,559 | ) |
|                                         |       |               |       |               |       |
| **NET  INCOME (LOSS) PER UNIT:**             | ** ** | ** **         |       |               |       |
|                                         | ** ** | ** **         |       |               |       |
| Weighted average number of Units outstanding | ** ** | ** **         |       |               |       |
| Class A                                 |       | 47,770,151         |       | 47,560,872         |       |
| Class C                                 |       | 202,126,577        |       | 216,536,584        |       |
| Class D                                 |       | 82,273,356         |       | 77,522,038         |       |
| Class I                                 |       | 37,631,692         |       | 43,458,423         |       |
| Class DS                                |       | 107,476,448        |       | 72,859,473         |       |
| Class DT                                |       | 40,038,225         |       | 52,578,873         |       |
|                                         |       |               |       |               |       |
| Net income (loss) per weighted average Unit  |       |               |       |               |       |
| Class A                                 |       | $                  | 0.0583     |               | $          | (0.0295 | ) |
| Class C                                 |       | $                  | 0.0518     |               | $          | (0.0311 | ) |
| Class D                                 |       | $                  | 0.0662     |               | $          | (0.0229 | ) |
| Class I                                 |       | $                  | 0.0608     |               | $          | (0.0272 | ) |
| Class DS                                |       | $                  | 0.0634     |               | $          | (0.0238 | ) |
| Class DT                                |       | $                  | 0.0648     |               | $          | (0.0197 | ) |

 

See notes tofinancial statements.

 

2

----

 

ML WINTON FUTURESACCESS LLC

(a Delaware LimitedLiability Company)

 

STATEMENTS OF CHANGES INMEMBERS’ CAPITAL

For the three monthsended March 31, 2010 and 2009

(unaudited in Units)

 
| ** **                 | ** ** | **Members’ Capital   December 31,2008** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital   March 31, 2009** | ** ** | **Members’ Capital   December 31, 2009** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital   March 31, 2010** | ** ** |
|----------------------------|------------|---------------------------------------------------|------------|-------------------|------------|-----------------|------------|-------------------------------------------------|------------|----------------------------------------------------|------------|-------------------|------------|-----------------|------------|-------------------------------------------------|------------|
| Class A               |       | 45,849,416                                        |       | 4,268,304         |       | (2,143,990      | )          | 47,973,730                                      |       | 47,207,338                                         |       | 1,595,411         |       | (1,603,745      | )          | 47,199,004                                      |       |
| Class C               |       | 215,169,073                                       |       | 10,389,224        |       | (19,428,207     | )          | 206,130,090                                     |       | 198,836,141                                        |       | 11,484,962        |       | (11,559,369     | )          | 198,761,734                                     |       |
| Class D               |       | 73,051,567                                        |       | 5,500,229         |       | —          |       | 78,551,796                                      |       | 76,481,524                                         |       | 7,342,726         |       | (2,979,453      | )          | 80,844,797                                      |       |
| Class I               |       | 43,073,827                                        |       | 3,041,521         |       | (4,061,573      | )          | 42,053,775                                      |       | 37,155,502                                         |       | 2,241,298         |       | (1,608,544      | )          | 37,788,256                                      |       |
| Class DS              |       | 69,186,442                                        |       | 5,990,030         |       | (1,590,610      | )          | 73,585,862                                      |       | 106,138,162                                        |       | 1,604,680         |       | (362,381        | )          | 107,380,461                                     |       |
| Class DT              |       | 53,758,785                                        |       | —            |       | (2,240,582      | )          | 51,518,203                                      |       | 41,002,334                                         |       | —            |       | (2,156,110      | )          | 38,846,224                                      |       |
|                       |       |                                              |       |              |       |            |       |                                            |       |                                               |       |              |       |            |       |                                            |       |
| Total Members’ Units  |       | 500,089,110                                       |       | 29,189,308        |       | (29,464,962     | )          | 499,813,456                                     |       | 506,821,001                                        |       | 24,269,077        |       | (20,269,602     | )          | 510,820,476                                     |       |
|                       |       |                                              |       |              |       |            |       |                                            |       |                                               |       |              |       |            |       |                                            |       |
| 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                                          |       |

 

See notes to financial statements.

 

3

----

 

 

ML WINTON FUTURESACCESSLLC

(a Delaware LimitedLiability Company)

 

STATEMENTS OF CHANGES INMEMBERS’ CAPITAL

For the three monthsended March 31, 2010 and 2009

(unaudited)

 
| ** **                    | ** ** | **Members’ Capital   December 31, 2008** | ** **  | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net Income  (Loss)** | ** **  | **Members’ Capital   March 31, 2009** | ** ** | **Members’ Capital   December 31, 2009** | ** ** | **Subscriptions** | ** **  | **Redemptions** | ** ** | **Net Income  (Loss)** | ** ** | **Members’ Capital   March 31, 2010** | ** ** |
|-------------------------------|------------|----------------------------------------------------|-------------|-------------------|------------|-----------------|------------|------------------------|-------------|-------------------------------------------------|------------|----------------------------------------------------|------------|-------------------|-------------|-----------------|------------|------------------------|------------|-------------------------------------------------|------------|
| Class A                  |       | $                                                  | 75,377,293  |              | $          | 7,031,067       |       | $                      | (3,519,272  | )                                               | $          | (1,403,459                                         | )          | $                 | 77,485,629  |            | $          | 71,227,277             |       | $                                               | 2,378,246  |   | $ | (2,437,850 | ) | $ | 2,785,540 |   | $ | 73,953,213 |   |
| Class C                  |       | 340,542,258                                        |        | 16,472,281        |       | (30,563,973     | )          | (6,723,540             | )           | 319,727,026                                     |       | 285,929,558                                        |       | 16,257,242        |        | (16,588,150     | )          | 10,472,428             |       | 296,071,078                                     |       |
| Class D                  |       | 117,366,051                                        |        | 8,857,523         |       | —          |       | (1,772,631             | )           | 124,450,943                                     |       | 114,447,349                                        |       | 10,850,321        |        | (4,647,328      | )          | 5,450,411              |       | 126,100,753                                     |       |
| Class I                  |       | 71,357,222                                         |        | 5,066,718         |       | (6,729,030      | )          | (1,180,424             | )           | 68,514,486                                      |       | 56,724,216                                         |       | 3,394,288         |        | (2,436,486      | )          | 2,286,617              |       | 59,968,635                                      |       |
| Class DS                 |       | 111,018,099                                        |        | 9,666,212         |       | (2,579,492      | )          | (1,737,149             | )           | 116,367,670                                     |       | 158,630,745                                        |       | 2,382,891         |        | (540,635        | )          | 6,812,399              |       | 167,285,400                                     |       |
| Class DT                 |       | 88,296,222                                         |        | —            |       | (3,705,795      | )          | (1,035,767             | )           | 83,554,660                                      |       | 63,048,636                                         |       | —            |        | (3,301,366      | )          | 2,594,081              |       | 62,341,351                                      |       |
|                          |       |                                               |        |              |       |            |       |                   | ** **  | ** **                                      | ** ** | ** **                                         |       |              |        |            |       |                   | ** ** | ** **                                      | ** ** |
| Total Members’ Interest  |       | $                                                  | 803,957,145 |              | $          | 47,093,801      |       | $                      | (47,097,562 | )                                               | $          | (13,852,970                                        | )          | $                 | 790,100,414 |            | $          | 750,007,781            |       | $                                               | 35,262,988 |   | $ | (29,951,815 | ) | $ | 30,401,476 |   | $ | 785,720,430 |   |
|                          |       |                                               |        |              |       |            |       |                   |        |                                            |       |                                               |       |              |        |            |       |                   |       |                                            |       |
| Class A                  |       | $                                                  | 15,971      |              | $          | —          |       | $                      | —      |                                            | $          | (281                                               | )          | $                 | 15,690      |            | $          | 14,655                 |       | $                                               | —     |   | $ | — |   | $ | 568 |   | $ | 15,223 |   |
| Class C                  |       | 15,444                                             |        | —            |       | —          |       | (308                   | )           | 15,136                                          |       | 14,031                                             |       | —            |        | —          |       | 508                    |       | 14,539                                          |       |
|                          |       |                                               |        |              |       |            |       |                   |        |                                            |       |                                               |       |              |        |            |       |                   |       |                                            |       |
| Total Sponsor’s Interest |       | $                                                  | 31,415      |              | $          | —          |       | $                      | —      |                                            | $          | (589                                               | )          | $                 | 30,826      |            | $          | 28,686                 |       | $                                               | —     |   | $ | — |   | $ | 1,076 |   | $ | 29,762 |   |
|                          |       |                                               |        |              |       |            |       |                   |        |                                            |       |                                               |       |              |        |            |       |                   |       |                                            |       |
| Total Members’ Capital   |       | $                                                  | 803,988,560 |              | $          | 47,093,801      |       | $                      | (47,097,562 | )                                               | $          | (13,853,559                                        | )          | $                 | 790,131,240 |            | $          | 750,036,467            |       | $                                               | 35,262,988 |   | $ | (29,951,815 | ) | $ | 30,402,552 |   | $ | 785,750,192 |   |

 

See notes tofinancial statements.

 

4

----

 

 

ML WINTONFUTURESACCESS LLC

(A DelawareLimited Liability Company)

 

FINANCIAL DATAHIGHLIGHTS

For the threemonths ended March 31, 2010 (unaudited)

 

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

 
| ** **                                                      | ** ** | **Class A** | ** ** | **Class C** | ** ** | **Class D** | ** ** | **Class I** | ** ** | **Class DS** | ** ** | **Class DT** | ** ** |
|-----------------------------------------------------------------|------------|------------------|------------|------------------|------------|------------------|------------|------------------|------------|-------------------|------------|-------------------|------------|
| **Per  Unit Operating Performance:**                            |       |             |       |             |       |             |       |             |       |              |       |              |       |
|                                                            |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net asset value, beginning of period                            |       | $                | 1.5088     |             | $          | 1.4380           |       | $                | 1.4964     |              | $          | 1.5267            |       | $ | 1.4946 |   | $ | 1.5377 |   |
|                                                            |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net realized and net change in unrealized trading  profit(loss) |       | 0.0722           |       | 0.0687           |       | 0.0718           |       | 0.0731           |       | 0.0718            |       | 0.0739            |       |
| 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                                                        |       | (0.0138          | )          | (0.0167          | )          | (0.0080          | )          | (0.0124          | )          | (0.0081           | )          | (0.0064           | )          |
|                                                            |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net asset value, end of period                                  |       | $                | 1.5668     |             | $          | 1.4896           |       | $                | 1.5598     |              | $          | 1.5870            |       | $ | 1.5579 |   | $ | 1.6048 |   |
|                                                            |       |             |       |             |       |             |       |             |       |              |       |              |       |
| **Total  Return: (a)**                                          |       |             |       |             |       |             |       |             |       |              |       |              |       |
|                                                            |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Total return before Performance fees                            |       | 3.85             | %          | 3.95             | %          | 4.24             | %          | 3.95             | %          | 4.24              | %          | 4.37              | %          |
| Performance fees                                                |       | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00              | %          | 0.00              | %          |
| Total return after Performance fees                             |       | 3.85             | %          | 3.95             | %          | 4.24             | %          | 3.95             | %          | 4.24              | %          | 4.37              | %          |
|                                                            |       |             |       |             |       |             |       |             |       |              |       |              |       |
| **Ratios  to Average Members’ Capital:**                   |       |             |       |             |       |             |       |             |       |              |       |              |       |
|                                                            |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Expenses (excluding Performance fees)                           |       | 1.17             | %          | 0.81             | %          | 0.54             | %          | 0.81             | %          | 0.54              | %          | 0.41              | %          |
| Performance fees                                                |       | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00              | %          | 0.00              | %          |
| Expenses (including Performance fees)                           |       | 1.17             | %          | 0.81             | %          | 0.54             | %          | 0.81             | %          | 0.54              | %          | 0.41              | %          |
|                                                            |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net investment income  (loss)                                   |       | -1.17            | %          | -0.81            | %          | -0.54            | %          | -0.81            | %          | -0.54             | %          | -0.41             | %          |

 

----

(a) The total return calculations are based on compounded monthlyreturns and is calculated for each class taken as a whole.

An individual members’ return may vary from these returns based ontiming of capital transactions.

See notes tofinancial statements.

 

5

----

 

ML WINTONFUTURESACCESS LLC

(A DelawareLimited Liability Company)

 

FINANCIAL DATAHIGHLIGHTS

For the threemonths ended March 31, 2009 (unaudited)

 

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

 
| ** **                                                      | ** ** | **Class A** | ** ** | **Class C** | ** ** | **Class D** | ** ** | **Class I** | ** ** | **Class DS** | ** ** | **Class DT** | ** ** |
|-----------------------------------------------------------------|------------|------------------|------------|------------------|------------|------------------|------------|------------------|------------|-------------------|------------|-------------------|------------|
| **Per  Unit Operating Performance:**                            |       |             |       |             |       |             |       |             |       |              |       |              |       |
|                                                            |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net asset value, beginning of period                            |       | $                | 1.6440     |             | $          | 1.5827           |       | $                | 1.6066     |              | $          | 1.6566            |       | 1.6046 |   | 1.6425 |   |
|                                                            |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net realized and net change in unrealized trading  profit(loss) |       | (0.0136          | )          | (0.0130          | )          | (0.0134          | )          | (0.0137          | )          | (0.0133           | )          | (0.0137           | )          |
| Brokerage commissions                                           |       | (0.0004          | )          | (0.0003          | )          | (0.0004          | )          | (0.0004          | )          | (0.0004           | )          | (0.0004           | )          |
| Interest income                                                 |       | 0.0001           |       | 0.0001           |       | 0.0001           |       | 0.0001           |       | 0.0001            |       | 0.0001            |       |
| Expenses                                                        |       | (0.0146          | )          | (0.0182          | )          | (0.0087          | )          | (0.0129          | )          | (0.0088           | )          | (0.0068           | )          |
|                                                            |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net asset value, end of period                                  |       | $                | 1.6155     |             | $          | 1.5513           |       | $                | 1.5842     |              | $          | 1.6297            |       | $ | 1.5822 |   | $ | 1.6217 |   |
|                                                            |       |             |       |             |       |             |       |             |       |              |       |              |       |
| **Total  Return: (a)**                                          |       |             |       |             |       |             |       |             |       |              |       |              |       |
|                                                            |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Total return before Performance fees                            |       | -1.76            | %          | -2.00            | %          | -1.39            | %          | -1.66            | %          | -1.39             | %          | -1.26             | %          |
| Performance fees                                                |       | 0.00             | %          | 0.00             | %          | -0.01            | %          | 0.00             | %          | -0.01             | %          | 0.00              | %          |
| Total return after Performance fees                             |       | -1.76            | %          | -2.00            | %          | -1.40            | %          | -1.66            | %          | -1.40             | %          | -1.26             | %          |
|                                                            |       |             |       |             |       |             |       |             |       |              |       |              |       |
| **Ratios  to Average Members’ Capital:**                   |       |             |       |             |       |             |       |             |       |              |       |              |       |
|                                                            |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Expenses (excluding Performance fees)                           |       | 0.91             | %          | 1.16             | %          | 0.54             | %          | 0.81             | %          | 0.54              | %          | 0.41              | %          |
| Performance fees                                                |       | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.01              | %          | -0.01             | %          |
| Expenses (including Performance fees)                           |       | 0.91             | %          | 1.16             | %          | 0.54             | %          | 0.81             | %          | 0.55              | %          | 0.40              | %          |
|                                                            |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net investment income  (loss)                                   |       | -0.91            | %          | -1.15            | %          | -0.53            | %          | -0.80            | %          | -0.54             | %          | -0.40             | %          |
|                                                                 |            |                  |            |                  |            |                  |            |                  |            |                   |            |                   |            |  |  |  |  |  |  |

 

----

(a) The total return calculations are based on compounded monthlyreturns and is calculated for each class taken as a whole.

An individual members’ return may vary from these returns based ontiming of capital transactions.

See notes to financialstatements.

 

6

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ML WINTON FUTURESACCESSLLC

(a Delaware LimitedLiability Company)

 

NOTES TO FINANCIALSTATEMENTS

(unaudited)

 

1.               SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

 

ML Winton FuturesAccess LLC(the “Fund”) was organized under the Delaware Limited Liability Company Act on May 17,2004 and commenced trading activities on February 1, 2005. The Fund issuesnew units of limited liability company interest (“Units”) at Net Asset Valueper Unit (see Item 2 for discussion of net asset value and net asset value perunit for subscriptions and redemptions purposes hereinafter referred to as NetAsset Value and Net Asset Value per Unit) as of the beginning of each calendarmonth. The Fund engages in the speculative trading of futures, options onfutures and forward contracts on a wide range of commodities. Winton CapitalManagement Limited (“Winton” or the “Trading Advisor”), is the Trading Advisorof the Fund.

 

Merrill Lynch Alternative Investments LLC (“MLAI”)is the sponsor (“Sponsor”) and manager (“Manager”) of the Fund. MLAI is anindirect wholly-owned subsidiary of Merrill Lynch & Co., Inc. (“MerrillLynch”).  Merrill Lynch, Pierce, Fenner &Smith Incorporated (“MLPF&S”), a wholly-owned subsidiary of Merrill Lynch,is the Fund’s commodity broker. On September 15, 2008, Merrill Lynch (orthe “Company”) entered into an Agreement and Plan of Merger (as amended byAmendment No. 1 dated as of October 21, 2008, the “Merger Agreement”)with Bank of America Corporation (“Bank of America”). Pursuant to the MergerAgreement, on January 1, 2009, a wholly-owned subsidiary of Bank ofAmerica (“Merger Sub”) merged with and into Merrill Lynch, with Merrill Lynchcontinuing as the surviving corporation and a subsidiary of Bank of America(the “Merger”).

 

In the opinion of management, these interim financialstatements contain all adjustments, consisting only of normal recurringadjustments, necessary to present fairly the financial position of the Fund asof March 31, 2010 and the results of its operations for the three monthsended March 31, 2010 and 2009. However, the operating results for the interim periods may not beindicative of the results for the full year.

 

Certaininformation and footnote disclosures normally included in annual financialstatements prepared in accordance with accounting principles generally acceptedin the United States of America (“U.S. GAAP”) have been omitted.  These financial statements should beread  in conjunction with the financialstatements and notes thereto included in the Fund’s Annual Report on Form 10-Kfiled with the Securities and Exchange Commission for the year ended December 31,2009.

 

TheFund offers six Classes of Units:  Class A,Class C, Class D, Class DT, Class DS, and Class I.  Each Class of Units except for Class DTand Class DS was offered at $1.00 per Unit during the initial offeringperiod and subsequently is offered at Net Asset Value per Unit (see Note4).  Class DS commenced on April 2,2007 and was offered at $1.0733 and Class DT commenced on June 1,2007 and was offered at $1.1914.  The sixClasses of Units are subject to different Sponsor fees.

 

7

----

 

Interests in the Fund are not insured or otherwise protected by theFederal Deposit Insurance Corporation or any other government authority.  Interests are not deposits or otherobligations of, and are not guaranteed by, Bank of America or any of itsaffiliates or by any bank.  Interests aresubject to investment risks, including the possible loss of the full amountinvested.

 

Estimates

 

The preparation of financial statements in conformitywith U.S. GAAP requires management to make estimates and assumptions thataffect the reported amounts of assets and liabilities and disclosure ofcontingent assets and liabilities at the date of the financial statements andthe reported amounts of revenues and expenses during the reporting period.  Actual results could differ from thoseestimates.

 

8

----

 

 

2.               CONDENSED SCHEDULES OF INVESTMENTS

 

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

 

**March 31,2010**

 
| ** **             | ** ** | **Long Positions** | ** ** | **Short Positions** | ** ** | **Net Unrealized**        | ** ** | ** **    | ** ** | ** **        | ** ** |
|------------------------|------------|--------------------|------------|---------------------|------------|---------------------------|------------|---------------|------------|-------------------|------------|
| **Commodity Industry** | ** ** | **Number of**      | ** ** | **Unrealized**      | ** ** | **Percent of**            | ** ** | **Number of** | ** ** | **Unrealized**    | ** ** | **Percent of** | ** ** | **Profit (Loss)** | ** ** | **Percent of** | ** ** | ** ** | ** ** |
| **Sector**             | ** ** | **Contracts**      | ** ** | **Profit (Loss)**   | ** ** | **Members’ Capital** | ** ** | **Contracts** | ** ** | **Profit (Loss)** | ** ** | **Members’ Capital** | ** ** | **on Open Positions** | ** ** | **Members’ Capital** | ** ** | **Maturity Dates** | ** ** |
|                   |       |               |       |                |       |                      |       |          |       |              |       |   |   |   |   |   |   |   |   |
| Agriculture            |       | 409                |       | $                   | 231,673    |                      | 0.03       | %             | (2,439     | )                 | $          | 3,303,564 |   | 0.42 | %  | $ | 3,535,237 |   | 0.45 | % | April 2010  - December 2010 |   |
| Currencies             |       | 3,993              |       | 2,739,449           |       | 0.35                      | %          | (3,717        | )          | 1,696,056         |       | 0.22 | % | 4,435,505 |   | 0.57 | % | June 2010 |   |
| Energy                 |       | 1,083              |       | 1,384,411           |       | 0.18                      | %          | (283          | )          | 1,134,532         |       | 0.14 | % | 2,518,943 |   | 0.33 | % | April 2010  - July 2010 |   |
| Interest rates         |       | 11,434             |       | 6,864,578           |       | 0.87                      | %          | (1,447        | )          | (83,734           | )          | -0.01 | % | 6,780,844 |   | 0.86 | % | April 2010  - June 2012 |   |
| Metals                 |       | 1,785              |       | 8,687,007           |       | 1.11                      | %          | (297          | )          | (1,952,917        | )          | -0.25 | % | 6,734,090 |   | 0.86 | % | May 2010  - July 2010 |   |
| Stock indices          |       | 6,531              |       | 6,706,637           |       | 0.85                      | %          | (4            | )          | (108              | )          | 0.00 | % | 6,706,529 |   | 0.85 | % | April 2010  - June 2010 |   |
|                   |       |               |       |                |       |                      |       |          |       |              |       |   |   |   |   |   |   |   |   |
| Total                  |       |               |       | $                   | 26,613,755 |                      | 3.39       | %             |       |              | $          | 4,097,393 |   | 0.53 | %  | $ | 30,711,148 |   | 3.92 | % |   |   |

 

**December 31,2009**

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

 

Noindividual contract’s unrealized gain or loss comprised greater than 5% of theMembers’ Capital as of March 31, 2010 and December 31, 2009.

 

9

----

 

 

3.               FAIR VALUE OF INVESTMENTS

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

In certain cases, the inputs used to measure fairvalue may fall into different levels of the fair value hierarchy. In suchcases, an investment’s level within the fair value hierarchy is based on thelowest level 

 

10

----

 

of input that is significant to the fair valuemeasurement. MLAI’s assessment of the significance of a particular input to thefair value measurement in its entirety requires judgment, and considers factorsspecific to the investment.

 

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

 

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

 

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

 

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

 

The Fund’s netunrealized profit (loss) on open forward and futures contracts as of March 31,2010 and December 31, 2009 are as follows:

 
| **March 31, 2010** | ** ** | **Unrealized Long  Positions** | ** ** | **Unrealized Short  Positions** | ** ** | **Total** | ** ** |
|-------------------------|------------|--------------------------------|------------|---------------------------------|------------|-----------|------------|
| Futures                 |       | $                              | 26,613,755 |                            | $          | 4,097,393 |       | $ | 30,711,148 |   |
| Forwards                |       | —                         |       | —                          |       | —    |       |
| Total                   |       | $                              | 26,613,755 |                            | $          | 4,097,393 |       | $ | 30,711,148 |   |

 
| **December 31, 2009** | ** ** | **Unrealized Long Positions** | ** ** | **Unrealized Short Positions** | ** ** | **Total**  | ** ** |
|---------------------------------|------------|-----------------------------------------|------------|------------------------------------------|------------|------------|------------|
| Futures                         |       | $                                       | 5,281,749  |                                     | $          | (1,976,583 | )          | $ | 3,305,166 |   |
| Forwards                        |       | —                                  |       | —                                   |       | —     |       |
| Total                           |       | $                                       | 5,281,749  |                                     | $          | (1,976,583 | )          | $ | 3,305,166 |   |

 

The Fund’s volume of trading forward and futures as ofthe quarter and year ended March 31, 2010 and the December 31, 2009,respectively are representative of the activity throughout these periods.

 

11

----

 

The following table summarizes the valuation of theFund’s investments by the above fair value hierarchy levels as of March 31,2010 and December 31, 2009:

 
| **Net unrealized**     | ** ** | ** ** | ** ** | ** **  | ** ** | ** **   | ** ** | ** **    | ** ** |
|------------------------|------------|------------|------------|-------------|------------|--------------|------------|---------------|------------|
| **profit (loss)**      | ** ** | ** ** | ** ** | ** **  | ** ** | ** **   | ** ** | ** **    | ** ** |
| **on open contracts**  | ** ** | **Total**  | ** ** | **Level I** | ** ** | **Level II** | ** ** | **Level III** | ** ** |
|                   |       |       |       |        |       |         |       |          |       |
| March 31, 2010    |       | $          | 30,711,148 |        | $          | 25,714,800   |       | $             | 4,996,348  |   | $ | — |   |
| December 31, 2009 |       | $          | 3,305,166  |        | $          | 986,304      |       | $             | 2,318,862  |   | $ | — |   |

 

There were no significant transfers to or from Level1or II during the quarter ended March 31, 2010.

 

The Fund engages in the speculative trading of futures, options onfutures and forward contracts on a wide range of commodities. Such contractsmeet the definition of a derivative as noted in the guidance for accounting for derivative and hedging activities.The fair value amounts of and the gains and losses on derivative instruments isdisclosed in the statements of financial condition and statements ofoperations, respectively. There are no credit related contingent featuresembedded in these derivative contracts.

 

The following table indicates the trading gains and losses, bycommodity industry sector, on derivative instruments for each of the threemonth periods ended March 31, 2010 and 2009:

 
| ** **                    | ** ** | **For the three months  ended** | ** ** | **For the three months  ended** | ** ** |
|-------------------------------|------------|---------------------------------|------------|---------------------------------|------------|
| ** **                    | ** ** | **March 31, 2010**         | ** ** | **March 31, 2009**         | ** ** |
| **Commodity Industry Sector** | ** ** | **Gain (loss) from trading**    | ** ** | **Gain (loss) from trading**    | ** ** |
|                          |       |                            |       |                            |       |
| Agriculture                   |       | $                               | 4,113,927  |                            | 3,053,537  |   |
| Currencies                    |       | 11,663,862                      |       | (10,372,414                     | )          |
| Energy                        |       | 741,807                         |       | 2,240,462                       |       |
| Interest rates                |       | 11,045,343                      |       | (3,305,336                      | )          |
| Metals                        |       | 3,643,121                       |       | (2,316,083                      | )          |
| Stock indices                 |       | 5,691,675                       |       | 3,894,326                       |       |
|                          |       |                            |       |                            |       |
| Total                         |       | $                               | 36,899,735 |                            | (6,805,508 | ) |

 

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

 

12

----

 

4.               NET ASSET VALUE PER UNIT

 

The Net Asset Value per Unit of the different Classesat March 31, 2010 and December 31, 2009 are as follows:

 

March 31,2010

 
| **Net Asset Value** |
|-------------------------------|
| Class A                  |   | $ | 1.5668 |   |
| Class C                  |   | 1.4896 |   |
| Class D                  |   | 1.5598 |   |
| Class I                  |   | 1.5870 |   |
| Class DS                 |   | 1.5579 |   |
| Class DT                 |   | 1.6048 |   |

 

December 31, 2009

 
| **Net Asset Value** |
|-------------------------------|
| Class A                  |   | $ | 1.5088 |   |
| Class C                  |   | 1.4380 |   |
| Class D                  |   | 1.4964 |   |
| Class I                  |   | 1.5267 |   |
| Class DS                 |   | 1.4946 |   |
| Class DT                 |   | 1.5377 |   |

 

5.               MARKET AND CREDIT RISK

 

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

 

Market Risk

 

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

 

MLAI, has procedures in place intended to controlmarket risk exposure, although there can be no assurance that they will, infact, succeed in doing so.  Theseprocedures focus primarily on monitoring the trading of Winton, calculating theNet 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 consist simply of the ongoing process of advisormonitoring, with the market risk controls being applied by Winton.

 

13

----

 

Credit Risk

 

The risksassociated with exchange-traded contracts are typically perceived to be lessthan those associated with over-the-counter (non-exchange-traded) transactions,because exchanges typically (but not universally) provide clearinghousearrangements in which the collective credit (in some cases limited in amount,in some cases not) of the members of the exchange is pledged to support thefinancial integrity of the exchange.  Inover-the-counter transactions, on the other hand, traders must rely solely onthe credit of their respective individual counterparties.  Margins, which may be subject to loss in theevent of a default, are generally required in exchange trading, andcounterparties may also require margin in the over-the-counter markets.

 

The credit riskassociated with these instruments from counterparty nonperformance is the netunrealized profit on open contracts, if any, included in the Statements ofFinancial Condition. The Fund attempts to mitigate this risk by dealingexclusively with Merrill Lynch entities as clearing brokers.

 

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

 

Indemnifications

 

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

 

6.               RECENT ACCOUNTING PRONOUNCEMENTS

 

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

 

14

----

 

7.               SUBSEQUENT EVENTS

 

Management has evaluated the impact of subsequentevents on the Fund and has determined that there were no subsequent events thatrequire adjustments to, or disclosure in, the financial statements.

 

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

 

MONTH-END NET ASSET VALUEPER UNIT

 

MLAI believes that the Net Asset Value used tocalculate subscription and redemption value and to    report performance to investors throughoutthe year is a useful performance measure for the investors of the Fund.   Therefore, the charts below referencing NetAsset Value and performance measurements are based on the Net Asset Value forfinancial reporting purposes, as discussed in Note 4 to the financial statements.

 

TheFund calculates the Net Asset Value per unit of each class of units as of theclose of business on the last business day of each calendar month and suchother dates as MLAI may determine in its discretion. The Fund’s “Net AssetValue” as of any calculation date will generally equal the value of the Fund’saccount under the management of its trading advisor as of such date, plus anyother assets held by the Fund, minus accrued brokerage commissions, sponsor’s,management and performance fees, organizational expense amortization and any operatingcosts and other liabilities of the Fund. MLAI is authorized to make all net asset value determinations.

 

MONTH-END NET ASSET VALUE PERINITIAL UNIT CLASS A

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|
| 2009       |       | $        | 1.6553     |     | $          | 1.6464   |       | $ | 1.6155 |   |
| 2010       |       | $        | 1.4713     |     | $          | 1.5023   |       | $ | 1.5668 |   |

 

MONTH-END NET ASSET VALUE PERINITIAL UNIT CLASS C

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|
| 2009       |       | $        | 1.5921     |     | $          | 1.5822   |       | $ | 1.5513 |   |
| 2010       |       | $        | 1.4011     |     | $          | 1.4295   |       | $ | 1.4896 |   |

 

MONTH-END NET ASSET VALUE PERINITIAL UNIT CLASS D

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|
| 2009       |       | $        | 1.6193     |     | $          | 1.6126   |       | $ | 1.5842 |   |
| 2010       |       | $        | 1.4610     |     | $          | 1.4937   |       | $ | 1.5598 |   |

 

MONTH-END NET ASSET VALUE PERINITIAL UNIT CLASS I

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|
| 2009       |       | $        | 1.6687     |     | $          | 1.6603   |       | $ | 1.6297 |   |
| 2010       |       | $        | 1.4892     |     | $          | 1.5211   |       | $ | 1.5870 |   |

 

MONTH-END NET ASSET VALUE PERINITIAL UNIT CLASS DS

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|
| 2009       |       | $        | 1.6173     |     | $          | 1.6106   |       | $ | 1.5822 |   |
| 2010       |       | $        | 1.4592     |     | $          | 1.4919   |       | $ | 1.5579 |   |

 

MONTH-END NET ASSET VALUE PERINITIAL UNIT CLASS DT

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|
| 2009       |       | $        | 1.6568     |     | $          | 1.6500   |       | $ | 1.6217 |   |
| 2010       |       | $        | 1.5020     |     | $          | 1.5362   |       | $ | 1.6048 |   |

 

15

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Liquidity and CapitalResources

 

The Fund does not engagein the sale of goods or services.  TheFund’s assets are its (i) equity in its trading account, consisting ofcash and cash equivalents and (ii) interest receivable.  Because of the low margin deposits normallyrequired in commodity futures trading relatively small price movements mayresult in substantial losses to the Fund. While substantial losses could lead to a material decrease in liquidity,no such material losses occurred during the first quarter of 2010 and there wasno impact on the Fund’s liquidity.

 

The Fund’s capitalconsists of the capital contributions of the members as increased or decreasedby gains or losses on trading, expenses, interest income, redemptions ofRedeemable Units and distributions of profits, if any.

 

For the three months endedMarch 31, 2010, Fund capital increased 4.76% from $750,036,467 to$785,750,192.  This increase wasattributable to the net gain from operations of $30,402,552, coupled with theredemption of 20,269,602 Redeemable Units resulting in an outflow of$29,951,815.  The cash outflow was offsetwith cash inflow of $35,262,988 due to subscription of 24,269,077 units.  Future redemptions could impact the amount offunds available for investment in commodity contract positions in subsequent months.

 

Critical AccountingPolicies

 

Statement of Cash Flows

 

The Fund is not requiredto provide a Statement of Cash Flows.

 

Investments

 

All investments (includingderivatives) are held for trading purposes. Investments are recorded on trade date and open contracts are recordedat fair value (as described below) at the measurement date.  Investments denominated in foreign currenciesare translated into U.S. dollars at the exchange rates prevailing at themeasurement date.  Gains or losses arerealized when contracts are liquidated. Unrealized gains or losses on open contracts are included as a componentof equity in trading account on the Statements of Financial Condition.  Realized gains or losses and any change innet unrealized gains or losses from the preceding period are reported in theStatements of Operations and Statements of Changes in Members’ Capital.

 

Cash and Cash Equivalents

 

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

 

Fair Value Measurements

 

Fair value is defined asthe price that would be received to sell an asset or paid to transfer aliability in an orderly transaction between market participants at themeasurement date.  For more informationon our treatment of fair value, see Note 3, Fair Value of Investments.

 

16

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Futures Contracts

 

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

 

Forward Foreign CurrencyContracts

 

Foreign currency contractsare those contracts where the Fund agrees to receive or deliver a fixedquantity of foreign currency for an agreed-upon price on an agreed futuredate.  Foreign currency contracts arevalued daily, and the Fund’s net equity therein, representing unrealized gainor loss on the contracts as measured by the difference between the forwardforeign exchange rates at the dates of entry into the contracts and the forwardrates at the reporting date, is included in the Statements of FinancialCondition.  Realized gains (losses) andchanges in unrealized gains (losses) on foreign currency contracts arerecognized in the period in which the contract is closed or the changes occur,respectively and are included in the Statements of Operations and Statement ofChanges in Members’ Capital.

 

Interest Rates and Income

 

The Fund currently earnsinterest based on the prevailing Fed Funds rate plus a spread for short cashpositions and minus a spread for long cash positions. The current short terminterest rates have remained extremely low when compared with historical ratesand thus has contributed negligible amounts to overall Fund performance.

 

Income Taxes

 

No provision forincome taxes has been made in the accompanying financial statements as eachMember is individually responsible for reporting income or loss based on suchMember’s share of the Fund’s income and expenses as reported for income taxpurposes.

 

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

 

17

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Results of Operations

 

January 1, 2010through March 31, 2010

 

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

 

Thecurrency sector posted profits to the Fund. Losses were posted to the Fund atthe beginning of the quarter. The Fund reintroduced currency forwards tradingon the Brazilian real and the Russian ruble due to the fact the Fund’sintentions to only use currency forwards when the Fund is unable to gainsatisfactory liquidity in the futures markets. Profits were posted to the Fundin the middle of the quarter. Concerns over GreekSovereign Debt and its impact on the euro formed the backdrop to this month’strading as the euro continued its January fall against the U.S. dollar and the shorteuro positions. Profits were posted to the Fund at the end of the quarter dueto the continued concern over the economic situation in Greece with the risk ofa similar story playing out in other European countries. The euro rallied forthe first two weeks of March before reversing resulting in new lows forthe year plus the weakness in the British sterling resulting in profits beingposted to the Fund.

 

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

 

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

 

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

 

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

 

18

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

 

January 1, 2009through March 31, 2009

 

The Fund experienced a nettrading loss before brokerage commissions and related fees in the first quarterof 2009 of $6,805,508.  The Fund postedoverall losses for the quarter with the stock indices, agriculture and theenergy sectors posting gains while the metals, interest rates and currenciessectors posting losses.

 

The stock indices sector posted profits for the Fund.Profits were posted to the Fund at the beginning through the middle of thequarter as the global financial and commodity markets worsened. No regions,countries, sectors or companies appeared to be immune from the recessionaryconditions. Against this recessionary background and with volatility levelsstill elevated, the Fund kept its low margin exposure as profits were made inshort positions in equities with most stock indices falling more than 10% inFebruary. March proveda difficult month to navigate as markets either reversed previous direction orsimply became range bound resulting in losses being posted to the Fund.

 

The agriculture sector posted profits for the Fund.Profits were posted to the Fund at the beginning through the middle of the quarter.The continued plunge in demand and concomitant build up in stock levels kept alid on prices in February. Grain markets came under renewed price pressure asthe Fund profited from short positions in grains. Losses were posted to theFund at the end of the quarter due to volatility in the markets.

 

The energy sector posted profits for the Fundthroughout the quarter as a rally in energy derived from crude oil prices.

 

The metals sector posted losses for the Fund.Profits were posted to the Fund at the beginning of the quarter. Losses wereposted for the Fund from the middle to the end of the quarter due to thecommodity sector mixed with the main features being the vacillations in thegold price making it hard to gain headway.

 

The interest rates sector posted losses for theFund. Losses were posted to the Fund at the beginning of the quarter due tolosses in Bonds as yields rose in the United States. Yields in the 10 year bondmarkets firmed up fractionally but not enough to offset losses posted to theFund in the middle of the quarter. The macro economic background continues toweigh heavily on sentiment, and the discussion or implementation of aggressive “quantitativeeasing” by governments created sharp moves during the month of March. The shortterm rates continue to decline at the end of the quarter resulting in profitsbeing posted to the Fund.

 

The currency sector posted losses for the Fund.Profits were posted to the Fund at the beginning of the quarter as the U.S.dollar and the Japanese yen remain strong while the British sterling remainedunder pressure. Losses were posted to the Fund in the middle of the quarterfrom the fluctuating currency markets where losses occurred from the weakeningof the U.S. dollar. Thelong exposure in the U.S. dollar was damaged by both the increasingindebtedness of the United States following President

 

19

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Obama’slatest fiscal stimulus package and rumors of it being sidelined as the reservecurrency and the Japanese yen position also suffered posting losses as thequarter ended.

 

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

 

Item 3.      Quantitative and Qualitative Disclosures About MarketRisk

 

Introduction

 

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

 

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

 

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

 

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

 

Quantifying The Fund’s Trading Value At Risk

 

Quantitative Forward-Looking Statements

 

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

 

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

 

20

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

 

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

 

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

 

21

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

 

Thefollowing table indicates the average, highest and lowest trading Value at Riskassociated with the Fund’s open positions by market category for the fiscalperiod. For the three months ended March 31, 2010 and 2009, the Fund’s averageMonth-end Net Asset Value for all other purposes was approximately $756,311,117and $803,126,683 respectively.

 

**March 31,2010**

 
| ** **        | ** ** | **Average**        | ** ** | **% of  Average**  | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
|-------------------|------------|--------------------|------------|--------------------|------------|--------------------|------------|-------------------|------------|
| **Market Sector** | ** ** | **Value at  Risk** | ** ** | **Capitalization** | ** ** | **At Risk**        | ** ** | **At Risk**       | ** ** |
|              |       |               |       |               |       |               |       |              |       |
| Agriculture       |       | $                  | 6,347,997  |               | 0.84       | %                  | $          | 7,364,790         |       | $ | 5,458,203 |   |
| Currencies        |       | 7,694,909          |       | 1.02               | %          | 8,927,444          |       | 6,616,319         |       |
| Energy            |       | 4,155,059          |       | 0.55               | %          | 4,820,597          |       | 3,572,647         |       |
| Interest Rates    |       | 11,763,706         |       | 1.56               | %          | 13,647,963         |       | 10,114,795        |       |
| Metals            |       | 11,682,597         |       | 1.54               | %          | 13,553,862         |       | 10,045,055        |       |
| Stock Indices     |       | 11,634,781         |       | 1.54               | %          | 13,498,387         |       | 10,003,942        |       |
|              |       |               |       |               |       |               |       |              |       |
| TOTAL             |       | $                  | 53,279,049 |               | 7.05       | %                  | $          | 61,813,043        |       | $ | 45,810,961 |   |

 

**March 31,2009**

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

 

MaterialLimitations on Value at Risk as an Assessment of Market Risk

 

The facevalue of the market sector instruments held by the Fund is typically many timesthe applicable maintenance margin requirement (maintenance margin requirementsgenerally ranging between approximately 1% and 10% of contract face value) aswell as many times the capitalization of the Fund.  The magnitude of the Fund’s open positionscreates a “risk of ruin” not typically found in most other investmentvehicles.  Because of the size of itspositions, certain market conditions — unusual, but historically recurring fromtime to time — could cause the Fund to incur severe losses over a short periodof time.   The foregoing Value at Risktable — as well as the past performance of the Fund — gives no indication ofthis “risk of ruin.”

 

22

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Non-Trading Risk

 

Foreign Currency Balances; Cash on Deposit with MLPF&S

 

The Fund has non-trading market risk on its foreign cash balances notneeded for margin. However, these balances (as well as the market risk theyrepresent) are immaterial.

 

The Fund also has non-trading market risk on the approximately 90%-95%of its assets which are held in cash at MLPF&S or BlackRock. The value ofthis cash is not interest rate sensitive, but there is cash flow risk in thatif interest rates decline so will the cash flow generated on these monies.

 

Qualitative DisclosuresRegarding Primary Trading Risk Exposures

 

The following qualitative disclosures regarding theFund’s market risk exposures — except for (i) those disclosures that arestatements of historical fact and (ii) the descriptions of how the Fundmanages its primary market risk exposures — constitute forward-lookingstatements within the meaning of Section 27A of the Securities Act and Section 21Eof the Securities Exchange Act. The Fund’s primary market risk exposures aswell as the strategies used and to be used by MLAI and Winton for managing suchexposures are subject to numerous uncertainties, contingencies and risks, anyone of which could cause the actual results of the Fund’s risk controls to differmaterially from the objectives of such strategies. Government interventions,defaults and expropriations, illiquid markets, the emergence of dominantfundamental factors, political upheavals, changes in historical pricerelationships, an influx of new market participants, increased regulation andmany other factors could result in material losses as well as in materialchanges to the risk exposures and the risk management strategies of the Fund.There can be no assurance that the Fund’s current market exposure and/or riskmanagement strategies will not change materially or that any such strategieswill be effective in either the short- or long-term. Investors must be preparedto lose all or substantially all of the time value of their investment in the Fund.

 

The following were theprimary trading risk exposures of the Fund as of March 31, 2010, by marketsector.

 

Interest Rates

 

Interest rate risk is theprincipal market exposure of the Fund. Interest rate movements directly affect the price of derivativesovereign bond positions held by the Fund and indirectly the value of its stockindex and currency positions. Interest rate movements in one country as well asrelative interest rate movements between countries materially impact the Fund’sprofitability. The Fund’s primary interest rate exposure is to interest ratefluctuations in the United States and the other G-7 countries.  However, the Fund also takes positions in thegovernment debt of smaller nations e.g., Australia. MLAI anticipates that G-7interest rates will remain the primary market exposure of the Fund for theforeseeable future.

 

Currencies

 

The Fund trades in a numberof currencies. The Fund does not anticipate that the risk profile of the Fund’scurrency sector will change significantly in the future. The currency tradingValue at Risk figure includes foreign margin amounts converted into U.S.dollars with an incremental adjustment to reflect the exchange rate risk ofmaintaining Value at Risk in a functional currency other than U.S. dollars.

 

23

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StockIndices

 

The Fund’s primary equityexposure is due to various equity index price movements. The Fund is primarilyexposed to the risk of adverse price trends or static markets in the majorU.S., European and Asian indices.

 

Metals

 

The Fund’s metals marketexposure is to fluctuations in both the price of precious and non-preciousmetals.

 

Agricultural Commodities

 

The Fund’s primaryagricultural commodities exposure is to agricultural price movements which areoften directly affected by severe or unexpected weather conditions. Soybeans,grains, livestock, cotton, corn and coffee accounted for the substantial bulkof the Fund’s agricultural commodities exposure as of March 31, 2010.

 

Energy

 

The Fund’s primary energymarket exposure is to natural gas and crude oil price movements, oftenresulting from political developments in the Middle East. Oil prices can bevolatile and substantial profits and losses have been and are expected tocontinue to be experienced in this market.

 

Qualitative Disclosures Regarding Non-Trading RiskExposure

 

Thefollowing were the only non-trading risk exposures of the Fund as of  March 31, 2010.

 

Foreign Currency Balances

 

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

 

U.S. Dollar Cash Balance

 

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

 

24

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Item 4T. Controls and Procedures

 

MLAI, the Sponsor of ML Winton FuturesAccess LLC,with the participation of the Sponsor’s Chief Executive Officer and the ChiefFinancial Officer, has evaluated the effectiveness of the design and operationof its disclosure controls and procedures with respect to the Fund as of theend of the period of this quarterly report, and, based on this evaluation, hasconcluded that these disclosure controls and procedures are effective.  No change in internal control over financialreporting (as defined in Rule 13a-15(f) under the Securities ExchangeAct of 1934) occurred during the quarter ended March 31, 2010 that has materiallyaffected, or is reasonably likely to materially affect, the Fund’s internalcontrol over financial reporting.

 

PART II -OTHER INFORMATION

 

Item 1.         LegalProceedings

 

None.

 

Item1A.   Risk Factors

 

There are no material changes from risk factors as previously disclosedin the Annual Report onForm 10-K for the year ended December 31, 2009, filed with theSecurities and Exchange Commission on March 31, 2010.

 

25

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Item 2. Unregistered Sales of Equity Securities andUse of Proceeds

 

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

 

CLASS A

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-10     |       | $                | 556,716    |       | 368,979    |   | $ | 1.5088 |   |
| Feb-10     |       | 993,760          |       | 675,430    |       | 1.4713 |   |
| Mar-10     |       | 827,770          |       | 551,002    |       | 1.5023 |   |
| Apr-10     |       | 1,429,934        |       | 912,646    |       | 1.5668 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS C

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-10     |       | $                | 2,840,699  |       | 1,975,452  |   | $ | 1.4380 |   |
| Feb-10     |       | 8,747,139        |       | 6,243,051  |       | 1.4011 |   |
| Mar-10     |       | 4,669,404        |       | 3,266,459  |       | 1.4295 |   |
| Apr-10     |       | 4,488,838        |       | 3,013,452  |       | 1.4896 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS D

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-10     |       | $                | 4,627,153  |       | 3,092,190  |   | $ | 1.4964 |   |
| Feb-10     |       | 5,623,168        |       | 3,848,849  |       | 1.4610 |   |
| Mar-10     |       | 600,000          |       | 401,687    |       | 1.4937 |   |
| Apr-10     |       | 44,999           |       | 28,849     |       | 1.5598 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS I

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-10     |       | $                | 582,776    |       | 381,723    |   | $ | 1.5267 |   |
| Feb-10     |       | 797,710          |       | 535,664    |       | 1.4892 |   |
| Mar-10     |       | 2,013,802        |       | 1,323,911  |       | 1.5211 |   |
| Apr-10     |       | 213,824          |       | 134,735    |       | 1.5870 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS DS

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-10     |       | $                | 1,745,510  |       | 1,167,878  |   | $ | 1.4946 |   |
| Feb-10     |       | 637,381          |       | 436,802    |       | 1.4592 |   |
| Mar-10     |       | —           |       | —     |       | 1.4919 |   |
| Apr-10     |       | 1,372,782        |       | 881,175    |       | 1.5579 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS DT

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-10     |       | $                | —     |       | —     |   | $ | 1.5377 |   |
| Feb-10     |       | —           |       | —     |       | 1.5020 |   |
| Mar-10     |       | —           |       | —     |       | 1.5362 |   |
| Apr-10     |       | —           |       | —     |       | 1.6048 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

----

(1) Beginning of themonth Net Asset Value

 

(b)   None.

(c)   None.

 

Item 3.            DefaultsUpon Senior Securities

 

None.

 

26

----

 

Item 4.            (Reservedand Removed)

 

Item 5.            OtherInformation

 

None.

 

Item 6.            Exhibits

 

The followingexhibits 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.

 

27

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**SIGNATURES**

 

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

 

 
|                     | ML  WINTON FUTURESACCESS LLC |
|--------------------------|------------------------------|
|                     |                         |   |
|                     |                         |   |
|                     | By:                          | MERRILL  LYNCH ALTERNATIVE |
|                     |                         | INVESTMENTS  LLC |
|                     |                         | (Manager) |
|                     |                         |   |
|                     |                         |   |
| Date:  May 14, 2010 | By:                          | /s/  JUSTIN C. FERRI |
|                     |                         | Justin  C. Ferri |
|                     |                         | Chief  Executive Officer, President and Manager |
|                     |                         | (Principal  Executive Officer) |
|                     |                         |   |
|                     |                         |   |
| Date:  May 14, 2010 |                         |   |
|                     | By:                          | /s/  BARBRA E. KOCSIS |
|                     |                         | Barbra  E. Kocsis |
|                     |                         | Chief  Financial Officer |
|                     |                         | (Principal  Financial and Accounting Officer) |

 

28

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