**UNITEDSTATES SECURITIES AND EXCHANGE COMMISSION**

**Washington,D.C. 20549**

 

**FORM 10-Q**

 

**(MarkOne)**

 

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

 

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

 

**OR**

 

**o**** TRANSITION REPORT PURSUANTTO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934**

 

**For thetransition period from                to**

 

**CommissionFile Number 0-52384**

 

# **ML APM GLOBAL COMMODITY FUTURESACCESS LLC**

(Exact Name of Registrant as

specified in its charter)

 

| **Delaware**                    | ** ** | **20-5269618**                    |
|---------------------------------|------------|-----------------------------------|
| (State or other jurisdiction of |       | (IRS Employer Identification No.) |
| incorporation or organization)  |       |                              |

 

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

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

**New York, New York 10281**

(Address of principal executive offices)

(Zip Code)

 

**212-236-2063**

(Registrant’s telephone number, including area code)

 

Indicate by check mark whether the registrant (1) hasfiled all reports required to be filed by Section 13 or 15(d) of theSecurities Exchange Act of 1934 during the preceding 12 months (or for suchshorter period that the registrant was required to file such reports), and (2) hasbeen subject to such filing requirements for the past 90 days.

Yes x   No o

 

Indicate by check mark whether the registrant is alarge accelerated filer, an accelerated filer, a non-accelerated filer.  See the definitions of “accelerated filer “largeaccelerated filer”, “accelerated filer” and “smaller reporting company” in Rule 12b-2of the Exchange Act. (Check one):

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

 

Indicate by check mark whether registrant is a shellcompany (as defined by Rule 12b-2 of the Exchange Act).

Yes o    No x

 

Indicate by check mark whether the registrant hasfiled all documents and reports required to be filed by Sections 12, 13 or 15(d) ofthe Securities Exchange Act of 1934 subsequent to the distribution ofsecurities under a plan confirmed by a court.

Yes o   No o

 

The limited partnership units of the registrant arenot publicly traded. Accordingly, there is no aggregate market value forregistrant’s outstanding equity that is readily determinable.

 

 

 

----

 

**ML APM GLOBAL COMMODITY FUTURESACCESS LLC**

 

QUARTERLY REPORT FOR SEPTEMBER 30, 2008 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 |       | 10       |
|         |       |                                                                                        |       |     |
| Item 3.      |       | Quantitative  and Qualitative Disclosures About Market Risk                                 |       | 16       |
|         |       |                                                                                        |       |     |
| Item 4.      |       | Controls and  Procedures                                                                    |       | 18       |
|         |       |                                                                                        |       |     |
| PART II |
|         |       |                                                                                        |       |     |
| Item 1.      |       | Legal Proceedings                                                                           |       | 19       |
|         |       |                                                                                        |       |     |
| Item 1A.     |       | Risk Factors                                                                                |       | 19       |
|         |       |                                                                                        |       |     |
| Item 2.      |       | Unregistered  Sales of Equity Securities and Use of Proceeds                                |       | 21       |
|         |       |                                                                                        |       |     |
| Item 3.      |       | Defaults Upon  Senior Securities                                                            |       | 21       |
|         |       |                                                                                        |       |     |
| Item 4.      |       | Submission of  Matters to a Vote of Security Holders                                        |       | 21       |
|         |       |                                                                                        |       |     |
| Item 5.      |       | Other Information                                                                           |       | 22       |
|         |       |                                                                                        |       |     |
| Item 6.      |       | Exhibits                                                                                    |       | 22       |

 

----

 

PART I - FINANCIALINFORMATION

 

Item1.    Financial Statements

 

ML APM GLOBAL COMMODITY FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OF FINANCIAL CONDITION

 
| ** **                                                                                        | ** ** | **September  30,** | ** **  | **December 31,** | ** ** |
|---------------------------------------------------------------------------------------------------|------------|------------------------------|-------------|-----------------------|------------|
| ** **                                                                                        | ** ** | **2008**                     | ** **  | **2007**              | ** ** |
| ** **                                                                                        | ** ** | **(unaudited)**              | ** **  | **(unaudited)**       | ** ** |
|                                                                                              |       |                         |        |                  |       |
| **ASSETS:**                                                                                       |       |                         |        |                  |       |
| Equity  in commodity futures trading accounts:                                                    |       |                         |        |                  |       |
| Cash  (including restricted cash of $1,884,167 for 2008 and $6,068,085 for 2007)                  |       | $                            | 103,613,190 |                  | $          | 57,821,014 |   |
| Options  at market (premium paid $4,367,164 for 2007)                                             |       | —                       |        | 6,520,243             |       |
| Net  unrealized profit (loss) on open contracts                                                   |       | (551,717                     | )           | 589,384               |       |
| Cash                                                                                              |       | 138,039                      |        | 13,740                |       |
| Accrued  interest                                                                                 |       | 137,211                      |        | 191,067               |       |
|                                                                                              |       |                         |        |                  |       |
| **TOTAL ASSETS**                                                                                  |       | $                            | 103,336,723 |                  | $          | 65,135,448 |   |
|                                                                                              |       |                         |        |                  |       |
| **LIABILITIES AND MEMBERS’ CAPITAL**                                                         |       |                         |        |                  |       |
| LIABILITIES:                                                                                      |       |                         |        |                  |       |
| Brokerage  commissions payable                                                                    |       | $                            | 4,028       |                  | $          | 16,935 |   |
| Management  fee payable                                                                           |       | 128,944                      |        | 80,070                |       |
| Initial  offering costs payable                                                                   |       | 27,965                       |        | 27,965                |       |
| Performance  fee payable                                                                          |       | 293,089                      |        | 936,548               |       |
| Sponsor  fee payable                                                                              |       | 145,389                      |        | 70,822                |       |
| Redemptions  payable                                                                              |       | 4,155,981                    |        | 142,377               |       |
| Other                                                                                             |       | 177,643                      |        | 291,685               |       |
|                                                                                              |       |                         |        |                  |       |
| Total  liabilities                                                                                |       | 4,933,039                    |        | 1,566,402             |       |
|                                                                                              |       |                         |        |                  |       |
| MEMBERS’  CAPITAL:                                                                           |       |                         |        |                  |       |
|                                                                                              |       |                         |        |                  |       |
| Members’  Interest (83,264,173 and 56,168,576 Units outstanding, unlimited Units authorized) |       | 98,403,684                   |        | 63,569,046            |       |
| Total  members’ capital                                                                      |       | 98,403,684                   |        | 63,569,046            |       |
|                                                                                              |       |                         |        |                  |       |
| **TOTAL LIABILITIES AND MEMBERS’ CAPITAL**                                                   |       | $                            | 103,336,723 |                  | $          | 65,135,448 |   |
|                                                                                              |       |                         |        |                  |       |
| **NET ASSET VALUE PER UNIT (NOTE 3)**                                                             |       |                         |        |                  |       |

 

See notes to financial statements.

 

1

----

 

ML APM GLOBAL COMMODITY FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OF OPERATIONS

(unaudited)

 
| ** **                                    | ** ** | **For the three** | ** ** | **For the three** | ** ** | **For the nine** | ** ** | **For the nine** | ** ** |
|-----------------------------------------------|------------|-----------------------------|------------|-----------------------------|------------|----------------------------|------------|----------------------------|------------|
| ** **                                    | ** ** | **months ended**       | ** ** | **months ended**       | ** ** | **months ended**      | ** ** | **months ended**      | ** ** |
| ** **                                    | ** ** | **September 30,**      | ** ** | **September 30,**      | ** ** | **September 30,**     | ** ** | **September 30,**     | ** ** |
| ** **                                    | ** ** | **2008**                    | ** ** | **2007**                    | ** ** | **2008**                   | ** ** | **2007**                   | ** ** |
| **TRADING PROFIT (LOSS):**                    |       |                        |       |                        |       |                       |       |                       |       |
|                                          |       |                        |       |                        |       |                       |       |                       |       |
| Realized                                      |       | $                           | (6,872,398 | )                           | $          | 1,273,691                  |       | $                          | 4,794,036  |   | $ | 1,510,687 |   |
| Change  in unrealized                         |       | (3,505,786                  | )          | 2,182,592                   |       | (1,141,101                 | )          | 2,311,568                  |       |
| Brokerage  commissions                        |       | (122,907                    | )          | (17,021                     | )          | (270,846                   | )          | (35,381                    | )          |
|                                          |       |                        |       |                        |       |                       |       |                       |       |
| Total  trading profit (loss)                  |       | (10,501,091                 | )          | 3,439,262                   |       | 3,382,089                  |       | 3,786,874                  |       |
|                                          |       |                        |       |                        |       |                       |       |                       |       |
| **INVESTMENT INCOME:**                        |       |                        |       |                        |       |                       |       |                       |       |
| Interest                                      |       | 422,272                     |       | 438,015                     |       | 1,371,104                  |       | 926,834                    |       |
|                                          |       |                        |       |                        |       |                       |       |                       |       |
| **EXPENSES:**                                 |       |                        |       |                        |       |                       |       |                       |       |
| Management  fee                               |       | 386,879                     |       | 155,554                     |       | 1,094,341                  |       | 327,045                    |       |
| Sponsor  fee                                  |       | 437,946                     |       | 152,644                     |       | 1,163,267                  |       | 268,140                    |       |
| Performance  Fee                              |       | (1,658,244                  | )          | 433,015                     |       | 299,526                    |       | 433,015                    |       |
| Other                                         |       | 166,099                     |       | 113,382                     |       | 288,959                    |       | 355,199                    |       |
|                                          |       |                        |       |                        |       |                       |       |                       |       |
| Total  expenses                               |       | (667,320                    | )          | 854,595                     |       | 2,846,093                  |       | 1,383,399                  |       |
|                                          |       |                        |       |                        |       |                       |       |                       |       |
| **NET INVESTMENT INCOME (LOSS)**              |       | 1,089,592                   |       | (416,580                    | )          | (1,474,989                 | )          | (456,565                   | )          |
|                                          |       |                        |       |                        |       |                       |       |                       |       |
| **NET INCOME (LOSS)**                         |       | $                           | (9,411,499 | )                           | $          | 3,022,682                  |       | $                          | 1,907,100  |   | $ | 3,330,309 |   |
|                                          |       |                        |       |                        |       |                       |       |                       |       |
| **NET INCOME (LOSS) PER UNIT:**               |       |                        |       |                        |       |                       |       |                       |       |
|                                          |       |                        |       |                        |       |                       |       |                       |       |
| Weighted  average number of Units outstanding |       |                        |       |                        |       |                       |       |                       |       |
| Class A*                                 |       | 8,386,289                   |       | 4,160,330                   |       | 7,381,343                  |       | 3,779,023                  |       |
| Class C                                  |       | 45,895,416                  |       | 18,722,033                  |       | 39,319,886                 |       | 10,621,696                 |       |
| Class D                                  |       | 13,895,591                  |       | 11,676,068                  |       | 15,890,290                 |       | 11,523,023                 |       |
| Class I                                  |       | 15,304,975                  |       | 5,316,326                   |       | 14,539,526                 |       | 3,277,256                  |       |
|                                          |       |                        |       |                        |       |                       |       |                       |       |
| Net  income (loss) per weighted average Unit  |       |                        |       |                        |       |                       |       |                       |       |
| Class A*                                 |       | $                           | (0.1101    | )                           | $          | 0.0740                     |       | $                          | 0.0088     |   | $ | 0.0845 |   |
| Class C                                  |       | $                           | (0.1125    | )                           | $          | 0.0739                     |       | $                          | (0.0096    | ) | $ | 0.1443 |   |
| Class D                                  |       | $                           | (0.1164    | )                           | $          | 0.0773                     |       | $                          | 0.1125     |   | $ | 0.0872 |   |
| Class I                                  |       | $                           | (0.1115    | )                           | $          | 0.0805                     |       | $                          | 0.0298     |   | $ | 0.1443 |   |

 

----

* Class A commenced on February 1, 2007

 

See notes to financial statements.

 

2

----

 

ML APM GLOBAL COMMODITY FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

For the nine months ended September 30, 2008 and 2007

(unaudited)

 
| ** **                 | ** ** | **Members’ Capital**  | ** ** | ** **        | ** ** | ** **      | ** ** | **Members’ Capital**   | ** ** | **Members’ Capital**  | ** ** | ** **        | ** ** | ** **      | ** ** | **Members’ Capital**   | ** ** |
|----------------------------|------------|---------------------------------|------------|-------------------|------------|-----------------|------------|----------------------------------|------------|---------------------------------|------------|-------------------|------------|-----------------|------------|----------------------------------|------------|
| ** **                 | ** ** | **December 31, 2006** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **September 30, 2007** | ** ** | **December 31, 2007** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **September 30, 2008** | ** ** |
|                       |       |                            |       |              |       |            |       |                             |       |                            |       |              |       |            |       |                             |       |
| Class A*              |       | —                          |       | 4,259,433         |       | (222,719        | )          | 4,036,714                        |       | 4,247,792                       |       | 5,857,038         |       | (1,146,767      | )          | 8,958,063                        |       |
| Class C               |       | —                          |       | 21,324,642        |       | (1,517,133      | )          | 19,807,509                       |       | 23,461,920                      |       | 27,084,982        |       | (4,362,040      | )          | 46,184,862                       |       |
| Class D               |       | 6,615,200                       |       | 14,961,801        |       | (11,598,523     | )          | 9,978,478                        |       | 19,675,186                      |       | 5,379,657         |       | (12,472,090     | )          | 12,582,753                       |       |
| Class I               |       | —                          |       | 6,142,475         |       | (66,446         | )          | 6,076,029                        |       | 8,783,678                       |       | 8,859,264         |       | (2,104,447      | )          | 15,538,495                       |       |
|                       |       |                            |       |              |       |            |       |                             |       |                            |       |              |       |            |       |                             |       |
| Total  Members’ Units |       | 6,615,200                       |       | 46,688,351        |       | (13,404,821     | )          | 39,898,730                       |       | 56,168,576                      |       | 47,180,941        |       | (20,085,344     | )          | 83,264,173                       |       |

 

----

*Class A commenced on February 1, 2007

 

See notes to financial statements.

 

3

----

 

ML APM GLOBAL COMMODITY FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

For the nine months ended September 30, 2008 and2007

(unaudited)

 
| ** **                    | ** ** | **Members’ Capital**  | ** ** | ** **        | ** ** | ** **      | ** ** | **Net Income** | ** **  | **Members’ Capital**   | ** ** | **Members’ Capital**  | ** ** | ** **        | ** ** | ** **      | ** ** | **Net Income** | ** ** | **Members’ Capital**   | ** ** |
|-------------------------------|------------|---------------------------------|------------|-------------------|------------|-----------------|------------|---------------------|-------------|----------------------------------|------------|---------------------------------|------------|-------------------|------------|-----------------|------------|---------------------|------------|----------------------------------|------------|
| ** **                    | ** ** | **December 31, 2006** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **(Loss)**          | ** **  | **September 30, 2007** | ** ** | **December 31, 2007** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **(Loss)**          | ** ** | **September 30, 2008** | ** ** |
|                          |       |                            |       |              |       |            |       |                |        |                             |       |                            |       |              |       |            |       |                |       |                             |       |
| Class A*                 |       | $                               | —     |              | $          | 4,255,472       |       | $                   | (233,025    | )                                | $          | 319,456                         |       | $                 | 4,341,903  |            | $          | 4,849,384           |       | $                                | 7,211,408  |   | $ | (1,439,250 | ) | $ | 64,777 |   | $ | 10,686,319 |   |
| Class C                  |       | —                          |       | 21,150,256        |       | (1,553,655      | )          | 1,533,113           |        | 21,129,714                       |       | 26,459,564                      |       | 33,178,067        |       | (5,334,904      | )          | (378,166            | )          | 53,924,561                       |       |
| Class D                  |       | 6,487,434                       |       | 14,615,995        |       | (11,476,308     | )          | 1,004,970           |        | 10,632,091                       |       | 22,237,106                      |       | 6,808,055         |       | (15,653,075     | )          | 1,787,508           |       | 15,179,594                       |       |
| Class I                  |       | —                          |       | 6,144,935         |       | (68,586         | )          | 472,770             |        | 6,549,119                        |       | 10,022,992                      |       | 10,856,774        |       | (2,699,537      | )          | 432,981             |       | 18,613,210                       |       |
|                          |       |                            |       |              |       |            |       |                |        |                             |       |                            |       |              |       |            |       |                |       |                             |       |
| Total  Members’ Interest |       | $                               | 6,487,434  |              | $          | 46,166,658      |       | $                   | (13,331,574 | )                                | $          | 3,330,309                       |       | $                 | 42,652,827 |            | $          | 63,569,046          |       | $                                | 58,054,304 |   | $ | (25,126,766 | ) | $ | 1,907,100 |   | $ | 98,403,684 |   |

 

----

*Class Acommenced on February 1, 2007

 

Seenotes to financial statements.

 

4

----

 

ML APM GLOBAL COMMODITYFUTURESACCESS LLC

(a Delaware LimitedLiability Company)

 

NOTES TO FINANCIALSTATEMENTS

(unaudited)

 

1.     SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

 

ML APM Global CommodityFuturesAccess LLC (the “Fund”) was organized under the Delaware LimitedLiability Company Act on May 17, 2004 and commenced trading activities on December 1,2006. The Fund issues new units of limited liability company interest (“Units”)at Net Asset Value per Unit as of the beginning of each calendar month. The Fundengages in the speculative trading of futures, options on futures and forwardcontracts on a wide range of commodities. Absolute Plus Management, LLC (“APM”)is the trading advisor of the Fund.

 

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

 

In the opinion of management, the financial statementscontain all adjustments necessary to present fairly the financial position ofthe Fund as of September 30, 2008 and the results of its operations forthe three and nine months ended September 30, 2008 and 2007.  However, the operating results for theinterim period may not be indicative 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.  It is suggested that these financialstatements be read in conjunction with the financial statements and notesthereto included in the Fund’s Annual Report on Form 10-K filed with theSecurities and Exchange Commission for the year ended December 31, 2007.

 

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

 

2.               FAIRVALUE OF INVESTMENTS

 

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

 

Fairvalue of an investment is the amount that would be received to sell theinvestment in an orderly transaction between market participants at themeasurement date (i.e. the exit price).

 

5

----

 

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

 

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

 

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

 

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

 

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 comparable securities,current and projected operating performance and financing transactionssubsequent to the acquisition of the investment. The inputs into thedetermination of fair value require significant management judgment. Due to theinherent 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 of input that is significant to the fair value measurement. TheSponsor’s assessment of the significance of a particular input to the fairvalue measurement in its entirety requires judgment, and considers factorsspecific to the investment.

 

The following table summarizes the valuation of theFund’s investment by the above FAS 157 fair value hierarchy levels as of September 30,2008.

 
| ** **                                      | ** ** | **Total** | ** ** | **Level I** | ** ** | **Level II** | ** ** | **Level III** | ** ** |
|-------------------------------------------------|------------|-----------|------------|------------------|------------|-------------------|------------|--------------------|------------|
| Net unrealized  Profit (loss) on open contracts |       | $         | (551,717   | )                | $          | (551,717          | )          | N/A                |       | N/A |   |
|                                                 |            |           |            |                  |            |                   |            |                    |            |  |  |

 

6

----

 

3.               NET ASSET VALUE PER UNIT

 

For financial reporting purposes, in conformity withU.S. GAAP, the Fund amortizes over a twelve-month period the total initialoffering costs payable to MLAI for purposes of determining Net AssetValue.  For all other purposes, includingcomputing Net Asset Value for purposes of member subscription and redemptionactivity, such costs are amortized over 60 months.  Consequently, the Net Asset Value and NetAsset Value per Unit of the different Classes for financial reporting purposesand for all other purposes at September 30, 2008 and December 31,2007 are as follows:

 

September 30, 2008

 
| ** **   | ** ** | **Net Asset Value** | ** ** | ** **               | ** ** | **Net Asset Value per Unit** | ** ** |
|--------------|------------|-------------------------------|------------|--------------------------|------------|--------------------------------------------------|------------|
| ** **   | ** ** | **All Other  Purposes**  | ** ** | **Financial  Reporting** | ** ** | **Number of  Units**                        | ** ** | **All Other  Purposes** | ** ** | **Financial  Reporting** | ** ** |
| Class A |       | $                             | 10,689,442 |                     | $          | 10,686,319                                       |       | 8,958,063 |   | $ | 1.1933 |   | $ | 1.1929 |   |
| Class C |       | 53,930,228                    |       | 53,924,561               |       | 46,184,862                                       |       | 1.1677 |   | 1.1676 |   |
| Class D |       | 15,196,741                    |       | 15,179,594               |       | 12,582,753                                       |       | 1.2077 |   | 1.2064 |   |
| Class I |       | 18,615,326                    |       | 18,613,210               |       | 15,538,495                                       |       | 1.1980 |   | 1.1979 |   |
|         |       | $                             | 98,431,737 |                     | $          | 98,403,684                                       |       | 83,264,173 |   |   |   |   |   |
|              |            |                               |            |                          |            |                                                  |            |  |  |  |  |  |  |  |  |

 

December 31, 2007

 
| ** ** | ** ** | **Net Asset Value** | ** ** | ** **    | ** ** | **Net Asset Value per Unit** | ** ** |
|------------|------------|-------------------------------|------------|---------------|------------|--------------------------------------------------|------------|
| ** ** | ** ** | **All Other**            | ** ** | **Financial** | ** ** | **Number of**                               | ** ** | **All Other** | ** ** | **Financial** | ** ** |
| ** ** | ** ** | **Purposes**                  | ** ** | **Reporting** | ** ** | **Units**                                        | ** ** | **Purposes** | ** ** | **Reporting** | ** ** |
| Class A    |       | $                             | 4,852,693  |          | $          | 4,849,384                                        |       | 4,247,792 |   | $ | 1.1424 |   | $ | 1.1416 |   |
| Class C    |       | 26,466,199                    |       | 26,459,564    |       | 23,461,920                                       |       | 1.1280 |   | 1.1278 |   |
| Class D    |       | 22,254,692                    |       | 22,237,106    |       | 19,675,186                                       |       | 1.1311 |   | 1.1302 |   |
| Class I    |       | 10,025,466                    |       | 10,022,992    |       | 8,783,678                                        |       | 1.1414 |   | 1.1411 |   |
|       |       | $                             | 63,599,050 |          | $          | 63,569,046                                       |       | 56,168,576 |   |   |   |   |   |
|            |            |                               |            |               |            |                                                  |            |  |  |  |  |  |  |  |  |

 

7

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4.               MARKET AND CREDIT RISKS

 

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 unrealized profit (loss) or marketvalue on such derivative instruments as reflected in the Statements ofFinancial Condition.  The Fund’s exposureto market risk is influenced by a number of factors, including therelationships among the derivative instruments held by the Fund as well as thevolatility and liquidity of the markets in which the derivative instruments aretraded. Investments in foreign markets may also entail legal and politicalrisks.

 

MLAI hasprocedures in place intended to control market risk exposure, although therecan be no assurance that they will, in fact, succeed in doing so. Theseprocedures focus primarily on monitoring the trading of APM, 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 APM toreallocate positions in an attempt to avoid over-concentrations.  However, such interventions are expected tobe unusual.  It is expected that MLAI’sbasic risk control procedures will consist of the ongoing process of advisormonitoring, with the market risk controls being applied by APM.

 

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 provide clearinghouse arrangements in which thecollective credit (in some cases limited in amount, in some cases not) of themembers of the exchange is pledged to support the financial integrity of theexchange.  In over-the-countertransactions, on the other hand, traders must rely solely on the credit oftheir respective individual counterparties. Margins, which may be subject toloss in the event 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 theunrealized profit or market value of options, if any, included in theStatements of Financial Condition. The Fund attempts to mitigate this risk bydealing exclusively 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 trading accountsin the Statements of Financial Condition.

 

8

----

 

5.               RECENTACCOUNTING PRONOUNCEMENTS

 

In March 2008,the FASB released Statement of Financial Accounting Standards No. 161,Disclosures about Derivative Instruments and Hedging Activities – an amendmentto FASB Statement No. 133 (“FAS 161”). FAS 161 requires qualitativedisclosures about objectives and strategies for using derivatives, quantitativedisclosures about fair value amounts of and gains and losses on derivativeinstruments, and disclosures about credit-risk related contingent features inderivative agreements. The application of FAS 161 is required for fiscal yearsbeginning after November 15, 2008 and interim periods within those fiscalyears. Currently, the Fund is evaluating the implications of FAS 161 on itsfinancial statements.

 

In May 2008, the FASB issued Statement ofFinancial Accounting Standards No. 162, “*TheHierarchy of Generally Accepted Accounting Principles*” (“FAS 162”).FAS 162 identifies the sources of accounting principles and the framework forselecting the accounting principles used in preparing financial statements ofnongovernmental entities that are presented in conformity with U.S. GAAP.Currently, U.S. GAAP hierarchy is provided in the American Institute ofCertified Public Accountants U.S. Auditing Standards (“AU”) Section 411, “*The Meaning of Present Fairly in Conformity With Generally AcceptedAccounting Principles*” (“AU Section 411”). FAS 162 is effective 60days following the SEC’s approval of the Public Company Accounting OversightBoard’s amendments to AU Section 411. The Fund does not expect theadoption of FAS 162 to have an impact on its financial statements.

 

9

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

 

MONTH-END NET ASSET VALUEPER UNIT

(NON U.S. GAAP)

 

MLAI believes thatthe Net Asset Value used to calculate subscription and redemption value and toreport performance to investors throughout the year is the most valuable to theMembers of the Fund.  Therefore, thecharts below referencing Net Asset Value and performance measurements are basedon the Net Asset Value for all other purposes, as discussed in Note 3 to thefinancial statements.

 

Class A

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **June** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|
| 2007       |       | N/A      |       | $        | 0.9932     |     | $          | 0.9869   |       | $       | 0.9853     |     | 0.9827     |     | $          | 1.0022   |       | $         | 1.0161     |   | $ | 1.0259 |   | $ | 1.0764 |   |
| 2008       |       | $        | 1.2225     |     | $          | 1.2945   |       | $        | 1.2606     |    | $          | 1.2385   |       | $        | 1.2576     |     | $          | 1.3075    |       | $ | 1.2417 |   | $ | 1.2658 |   | $ | 1.1933 |   |
|            |            |          |            |          |            |          |            |          |            |         |            |          |            |          |            |          |            |           |            |  |  |  |  |  |  |  |  |  |

 

Class C

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **June** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|
| 2007       |       | $        | 0.9982     |     | $          | 0.9906   |       | $        | 0.9835     |    | $          | 0.9810   |       | $        | 0.9776     |     | $          | 0.9962    |       | $ | 1.0092 |   | $ | 1.0181 |   | $ | 1.0671 |   |
| 2008       |       | $        | 1.2061     |     | $          | 1.2750   |       | $        | 1.2414     |    | $          | 1.2175   |       | $        | 1.2348     |     | $          | 1.2808    |       | $ | 1.2155 |   | $ | 1.2396 |   | $ | 1.1677 |   |

 

Class D

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **June** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|
| 2007       |       | $        | 0.9816     |     | $          | 0.9762   |       | $        | 0.9712     |    | $          | 0.9708   |       | $        | 0.9695     |     | $          | 0.9899    |       | $ | 1.0049 |   | $ | 1.0160 |   | $ | 1.0672 |   |
| 2008       |       | $        | 1.2119     |     | $          | 1.2852   |       | $        | 1.2590     |    | $          | 1.2445   |       | $        | 1.2656     |     | $          | 1.3185    |       | $ | 1.2529 |   | $ | 1.2814 |   | $ | 1.2077 |   |

 

Class I

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **June** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|
| 2007       |       | $        | 0.9994     |     | $          | 0.9930   |       | $        | 0.9870     |    | $          | 0.9857   |       | $        | 0.9834     |     | $          | 1.0032    |       | $ | 1.0175 |   | $ | 1.0277 |   | $ | 1.0783 |   |
| 2008       |       | $        | 1.2218     |     | $          | 1.2921   |       | $        | 1.2614     |    | $          | 1.2395   |       | $        | 1.2586     |     | $          | 1.3073    |       | $ | 1.2435 |   | $ | 1.2707 |   | $ | 1.1980 |   |

 

10

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PerformanceSummary

 

January 1,2008 to September 30, 2008

 

January 1,2008 to March 31, 2008

 

TheFund posted profits in all sectors for the first quarter.

 

The agriculture sectorposted profits for the Fund. Corn and soybeans had a strong January asSouth Korea, who is the 4th largest importer of U.S. corn, wasreportedly looking to buy more corn off of the U.S. dollar’s weakness postingprofits for the Fund. Soybeans surged on concerns that Chinese demand willreduce U.S. inventories mid-quarter. Wheat rose on reports that production willnot keep pace with output and reports from the U.S. Department of Agriculturethat show inventory at a 60 year low. Later in the month, wheat corrected ascrops in the Northern Hemisphere appear in better condition than initiallyreported. Also wheat crops in the Ukraine and Russia look better than previouslyforecasted. The quarter ended with losses being posted to the Fund due to thefollowing factors. Grains closed lower at –0.30% as both wheat and soybeansfaced corrections while corn ended about flat. Softs also took away about –1.00%from returns as coffee and sugar both corrected for a total of –0.85%.Commodities sell off ended on March 20th with the biggest weekly declinein 50 years as expectations of slower economic growth impacted prices. Chinaannounced subsidies to farmers in an attempt to curb inflation at an 11-yearhigh.

 

The metals sector postedprofits for the Fund. The largest returns came from precious metals which wereup by about 2% (gold +1.5% and silver +0.5%) at the beginning of the yearposting profits to the Fund. Gold moved to a record level of over $942 on theback of the U.S. Federal Reserve’s aggressive move and the U.S. dollar’sweakness and copper rose on reports the supply is the lowest in sevenmonths.  The quarter ended with lossesbeing posted to the Fund due to precious metals which fell -1.00% in March withgold mostly responsible, finishing down -0.70%.

 

The interest rate sectorposted profits for the Fund. The U.S. Federal Reserve made a historical move ofreducing rates at the beginning of the year by 125 basis points in nine daysciting both growth and credit concerns and that credit has still tightened forhouseholds and businesses. Losses were posted to the Fund mid-quarter due tothe volatility in the market as the fixed income ended slightly negative byroughly -0.80%. The quarter ended with profits being posted to the Fund as theU.S. Federal Reserve lowered overnight rates by 75 basis points to 2.25% whichwas the 6th reduction since September 2007.

 

The energy sector postedprofits for the Fund. Losses were posted to the Fund at the beginning of theyear as crude oil has corrected due to several factors such as fears of theU.S. hitting a recession, the OPEC Minister saying they are ready to increaseproduction and an inventory surge for the week ending January 11, 2008,which all caused concern that current market levels cannot be maintained. Oilrose above $100 a barrel mid-quarter on supply concerns from loss of Nigerianoutput, pumping disruptions in Iraq and fire at a United Kingdom gas plant.Crude oil corrected as U.S. inventories rose for the 11 weeks out of the last12 by 2.25 million barrels helped by an earlier than expected opening of Iraqexport terminal.

 

11

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April 1, 2008to June 30, 2008

 

TheFund posted gains for the second quarter with the energy and agriculturesectors posting gains while metals and interest rate sectors posted losses.

 

The energy sector postedprofits for the Fund. The continued concerns surrounding the supply of oil keptthe energy sector strong at the beginning of the quarter. The recent move inthe energy sector has brought the option deltas back to higher levels. Thehigher deltas mean that the price of the options will closely resemble thereturn of the underlying commodities in an up market. Profits continued to beposted to the Fund mid-quarter as oil hit $135 a barrel as OPEC ministers saidthey could do nothing to prevent high prices. Nigeria, Africa’s largestexporter of oil, experienced attacks on pumping stations. Oil corrected fromhighs as the Commodity Futures Trading Commission (“CFTC”) announced greatercommunication with other exchanges to share information on position limits ofinvestors. Profits continued to be posted to the Fund at the end of thequarter. Oil hits record high of $143.67 a barrel as Israel talked aboutattacking Iran, Nigerian strikes in their oil fields and renewed dollarweakness. These bullish factors offset the bearish announcements of the Chinesesuddenly raising the price of domestic gas and diesel by 17% and the UnitedStates government, with help from the exchanges, seeking measure to stemspeculative activity in oil.

 

Theagriculture sector posted profits for the Fund. Profits were posted to the Fundat the beginning of the quarter in spite of wheat tumbling due to a UnitedStates government report stating a larger amount of wheat crops being graded asgood. Wheat has fallen about 38% from the highs made back in February ofthis year. Corn rose as wet weather in the United States would possibly delaythe harvesting season. Losses were posted to the Fund mid-quarter as coffeefell when Brazil, the world’s largest exporter, produced more than originallyplanned. Hogs traded at a 14 month high on views that slaughterhouses have toincrease purchases after Memorial Day weekend. A strong return was experienced as coffee and sugar provided most of theprofits being posted to the Fund while cotton and cocoa fell slightly. Cornfutures climbed on the news of continued severe rains in the Midwest which isexpected to disrupt supplies and should further tighten supply and demand withreserves at 24 year lows as the quarter ended.

 

The metals sector postedlosses for the Fund. Losses were posted at the beginning of the quarter due tothe first monthly advance by the United States dollar against the Euro thisyear causing a sell off in gold. Losses continued to be posted to the Fundmid-quarter as gold futures continued to drop since mid April as theUnited States dollar stabilized. The quarter ended with profits posted to theFund even through a volatile market.

 

The interest rate sectorposted losses for the Fund. Losses were posted at the beginning of the quarterdue to the fixed income closing down due to the performance of the UnitedStates Treasury market rates finishing April at a loss of -2.70% whileEuro and Pacific Rim interest rates each took away about -0.50% from returns.Losses continued to be posted through mid-quarter as the United States interestrates rose. Higher oil prices and signs of economic strength siftedexpectations towards a rate hike. The quarter ended with profits posted to theFund as the European rates closed up +1.10, Japan and Australia finished at+0.10%, however, the United States interest rates subtracted from performance byfinishing down -1.10%.

 

12

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July 30, 2008to September 30, 2008

 

TheFund posted overall losses for the third quarter due to volatility in GlobalMarkets.

 

Theinterest rate sector posted losses for the Fund. Losses were posted to the Fundat the beginning of the quarter due to falling interest rates in Europe, thePacific Rim which includes Japan and Australia and the United States. The Fund’slong positions in interest rates produced profits in the middle of the quarter.The Fund continued to have long positions in fixed income markets when thebailout package was announced and was forced to sell those positions and endedup posting losses to the Fund at the end of the quarter.

 

The metals sector posted lossesfor the Fund. Losses were posted to the Fund at the beginning of the quarterthrough the middle of the quarter due to the negative performance in preciousmetals and base metals. However, profits were posted to the Fund by the end ofthe quarter in lieu of a volatile global markets.

 

Theagriculture sector posted losses for the Fund. Losses were posted to the Fundat the beginning of the quarter. Corn had the largest price drop since 1986 aswarmer weather aided crop growth and offset earlier flood damage. Argentinarevoked the export tax on grain exports bringing an end to the dispute thatdrove farmers to disrupt shipments. Losses continued to be posted to the Fundfrom the middle of the quarter through the end as the markets continued tospiral down.

 

The energy sector postedlosses for the Fund. Losses were posted to the Fund at the beginning of thequarter. Oil had the biggest decline from the highs of over $147 per barrelsince December 2004 as weakness in underlying economy dampened demand forenergy. Losses were posted to the Fund from the middle of the quarter to theend due to continuing decline in oil prices.

 

January 1,2007 to September 30, 2007

 

January 1,2007 to March 31, 2007

 

The Fund posted anoverall loss for the quarter. The energy and interest rate sectors posted gainswhile the currency, metals and agriculture sectors posted losses.

 

The energy sector was themost profitable for the Fund.  Energyprices dropped sharply at the beginning of the quarter only to recovermid-quarter through the end of the quarter due to a combination of weather,sanguine geo-political concerns and near term inventory patterns worldwide.

 

The interest rate sectorwas flat for the quarter. Profits were posted at the beginning  of the quarter due to the U.S. FederalReserve, now data driven, refraining from another interest rate increase, butremained tilted to higher inflationary outcomes. Concurrently, the EuropeanCentral Bank and the Bank of England continued aggressive focus on reigning ininflationary expectations through higher market interest rates. Across theGroup of Four (G-4), the intent still remains biased towards reducing excessmarket liquidity and containing inflationary pressures stemming from,historically low risk premiums, higher confidence and higher economic activity.Long term bond prices retreated and the ten year sector European bonds finisheddown approximately 0.9% while U.S. bond prices fell 1.0% in value. Japaneseprices countered the trend increasing 0.3% with revised uncertainty of nearterm monetary policy changes. Short term yields continued to move up outsidethe U.S. as global fixed income trading had a positive impact onperformance.  Losses were postedmid-quarter however, due to the revisions of market sentiment based on seemingevidence of some slowing in U.S. real growth coupled with a continuation ofrising growth prospects particularly in Europe and Asia. The quarter ended withprofits posted to the Fund as short

 

13

----

 

term yields continued tomove up, outside the U.S. coupled with the fixed income trading causing apositive impact on performance.

 

The currency sector wasnot profitable for the Fund.  The quarterbegan with gains posted for the Fund as the U.S. dollar reversed losses to moveslightly higher by 1.2% due to the new evidence of sustained U.S. growth.However, losses posted mid-quarter through the end of the quarter as the U.S.dollar resumed to move slightly lower again subject to the new evidence ofmoderating U.S. growth and inflation.

 

The metals sector alsoincurred losses for the Fund. Due to volatility in the market, profits wereposted mid-quarter only with losses posted to the Fund at the beginning of thequarter and the end of the quarter due to the response in the market specificdemand data which caused copper to move lower and broader commodities tofluctuate.

 

The agricultural sectorwas the least profitable for the Fund. The agricultural market was soft whichattributed to the difficult trading environment resulting in the Fund postinglosses for the sector.

 

April 1, 2007 to June 30,2007

 

The Fund posted profitsfor the quarter with interest rates, agriculture and currency sectors postinggains while the energy and metal sectors posted losses.

 

The interest rate sectorwas the most profitable for the Fund. The fixed income market started the month with a strong U.S. non-farmpayroll number that suggested a resumption of an upward growth path, but laterin the beginning of the quarter the  GDPcame out at only +1.3%, the lowest seen in 4 years, which suggested a possiblecontinuation of slowing. In Europe, the macroeconomic numbers still suggestthat the ECB and the BOE must continue aggressive focus on reigning ininflationary expectations through higher interest rates. The intent across theGroup of Four (G-4) still remains a bias towards raising rates and containinginflationary pressures. Net for the period, long-term bond prices movedsideways at best while short term yields continued to move up, outside the U.S.In the 10-year sector, European bonds finished down approximately 0.7%, whileU.S. bond prices rose 0.1% in value. Japanese fixed income prices finished up0.3% with revised uncertainty of near term monetary policy changes. The fixedincome portfolio provided a positive impact with a short position in ratesacross markets brought the overall strategy close to flat mid quarter. Thefixed income sector benefited at the quarter’s end from liquidations in globalbond markets as consensus shifted from an ease to a tightening.

 

The agriculture sectorwas profitable for the Fund. Profits were posted throughout the quarter. Thequarter ended as wheat was the best performer in grains as dry conditionsthroughout the world has estimates of wheat stocks at a 30-year low. The endingstocks to use ratio is expected to be 20% for 2007-2008 (the lowest in 11years). Soybeans had a strong month as forecasts on planting acreage is thelowest in 12 years as more focus shifts to corn for ethanol production. Dry weatherin China contributed to a squeeze in supply as they are the world’s largestbuyer of oilseed.

 

The currency sector wasalso profitable for the Fund. The quarter began with a small loss being postedto the Fund due to market volatility and a minimal gain mid-quarter. The U.S.dollar long and the Gilt markets provided most of the gains.  The Japanese and Australian markets were alsoa small positive to performance while the Euro zone ended roughly unchanged.

 

The energy sector postedlosses for the Fund. Losses were posted to the Fund the beginning of thequarter through mid-quarter in lieu of energy prices recovering from acombination of weather, keenly heightened geopolitical concerns and continueddraw in near term inventory patterns worldwide. Profits were posted at the endof the quarter due to lower than expected inventories of gasoline and forecastsof exceptionally high demand during upcoming summer driving season.

 

14

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The metals sector was theleast profitable for the Fund. At the beginning of the quarter profits wereposted to the Fund due to the Asian demand for copper and zinc. Zinc is used asa coating for preventing rust in steel when making buildings, cars andappliances. A shortage of zinc was caused by Chinese demand which is likely tocontinue as exploration is a long process and no new mines are expected untilearly 2008.

 

July 1, 2007 to September 30,2007

 

The Fund posted profitsfor the third quarter with gains being posted in all the sectors.

 

The agriculture sectorposted the highest gains for the Fund. The rally in commodities has made thedeltas in certain options such as cotton, sugar, hogs and cattle move up to 80%at the beginning of the quarter. Profits continued to be posted to the Fundmid-quarter as wheat had a strong month off of a continued drought inAustralia, Canada, and other parts of Europe. U.S. supplies and inventorieswere at their lowest in 26 years. Wheat continued to trade strong at the end ofthe quarter due to the on-going drought conditions and estimates from UnitedStates Department of Agriculture (“USDA”) that projected inventories for2007/2008 will be the lowest since 1973/1974. U.S. wheat exports are already up66% from last year and the USDA is predicting a further 18% rise for 2007/2008.

 

The metals sector postedprofits for the Fund. At the beginning of the quarter profits were posted tothe Fund as copper remained strong due to the labor unrest in Central and SouthAmerica. However, losses were posted to the Fund mid-quarter as industrialmetals weakened from expected slowing demand. The quarter ended with profitsposted to the Fund as gold prices firmed on the continued weakness of thedollar and overall credit concerns.

 

The energy sector postedprofits for the Fund. Crude oil traded over $78.00 a barrel on continued highdemand beginning of the quarter plus the International Energy Agency forecastedthat global demand will rise by 1.8% next year without any output increase fromOPEC. The biggest news was the Contango that existed from the first quarter of2005 for oil corrected and moved to backwardation. Losses were posted to theFund mid-quarter as crude oil traded down to $70.00 a barrel on reportedliquidation from hedge funds raising cash for redemptions. Hurricane Dean didnot impact U.S. oil production, but it later traded back up with inventorylevels falling and a record demand for gasoline. The quarter ended with profitsposted to the Fund as crude oil had strong recovery as the Department of Energy’sShort-Term Energy Outlook saw a continued low surplus production and weakinventories. According to Cambridge Energy Research Associates, 100 new rigscould be built in the next four years, but new supply won’t hit until mid tolate 2009.

 

The interest rate sectorposted profits for the Fund.  Thebeginning of the quarter was challenging due to the subprime mortgage problemsimpacting global markets and U.S. interest rates started to reverse theirtrends of factoring a tightening of rates causing the losses to be posted tothe Fund. The U.S. Federal Funds futures have factored in an ease of 25 basispoints by December 2007. The shorter end of international curves showedless of a reaction due to a view that the problem will be contained in the U.S.Also, continued strength in underlying economic fundamentals brought anotherrate hike by the Bank of England. Profits were posted to the Fund mid-quarteras the U.S. Federal Reserve lowered the discount rate to 5.75% from 6.25% in anattempt to boost credit markets. Continued money market concerns caused shortterm U.S. treasury bills to have wild swings up to 100 basis points in one day.European Central Bank changed tone away from inflation by saying that theCentral Bank is not committed to raising rates. The United Kingdom is showingfirst signs that past interest rate hikes are having an impact on itseconomy.  Even though the U.S. FederalReserve further cut rates by 50 basis points bringing the U.S. Federal Fundsrate down to 4.75% and adding stability into financial markets at the end ofthe quarter, but it was not enough to offset the losses posted to the Fund.

 

15

----

 

The currency sector wasalso profitable for the Fund. The quarter began with profits being posted tothe Fund as the fixed income portions were set up well to take in a period ofglobal equity volatility. Profits continued to be posted through mid-quarter asthe fixed income book continued to benefit from a period of global equityvolatility. The quarter ended with a small loss being posted to the Fund as thefixed income portion went long in Euro dollars and shorted the short durationinstruments in the Euro zone.

 

Item3.   Quantitative and QualitativeDisclosures About Market Risk

 

Introduction

 

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

 

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

 

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

 

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

 

Quantifying The Fund’sTrading Value At Risk

 

QuantitativeForward-Looking Statements

 

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

 

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

 

Exchangemaintenance margin requirements have been used by the Fund as the measure ofits Value at Risk.  Maintenance marginrequirements are set by exchanges to equal or exceed the maximum loss in thefair value of any given contract incurred in 95%-99% of the one-day timeperiods included in the historical sample (generally approximately one year)researched for purposes of establishing margin

 

16

----

 

levels.  The maintenance margin levels are establishedby dealers and exchanges using historical price studies as well as anassessment of current market volatility (including the implied volatility ofthe options on a given futures contract) and economic fundamentals to provide aprobabilistic estimate of the maximum expected near-term one-day price fluctuation

 

In the case of market sensitive instruments which are notexchange-traded (almost exclusively currencies in the case of the Fund), themargin requirements for the equivalent futures positions have been used asValue at Risk.  In those rare cases in whicha 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.

 

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

 

The followingtable indicates the average, highest and lowest trading Value at Riskassociated with the Fund’s open positions by market category for the fiscalperiod. For the nine months ended September 30, 2008 and 2007, the Fund’saverage Month-end Net Asset Value for all other purposes was approximately$90,077,180 and $25,376,727, respectively.

 

**September 30,2008**

 
| ** **                | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|---------------------------|------------|-----------------------------|------------|----------------------------|------------|------------------------|------------|-----------------------|------------|
| **Market Sector**    | ** ** | **Value at Risk** | ** ** | **Capitalization**         | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                      |       |                        |       |                       |       |                   |       |                  |       |
| Agricultural  Commodities |       | $                           | 300,868    |                       | 0.33       | %                      | $          | 2,216,535             |       | $ | — |   |
| Energy                    |       | 194,612                     |       | 0.22                       | %          | 1,262,802              |       | $                     | —     |   |
| Interest Rates            |       | 4,301,545                   |       | 4.78                       | %          | 7,469,952              |       | $                     | 938,876    |   |
| Metals                    |       | 282,396                     |       | 0.31                       | %          | 2,022,495              |       | $                     | —     |   |
| Currencies                |       | 33,922                      |       | 0.04                       | %          | 122,788                |       | $                     | 58         |   |
|                      |       |                        |       |                       |       |                   |       |                  |       |
| TOTAL                     |       | $                           | 5,113,343  |                       | 5.68       | %                      | $          | 13,094,572            |       | $ | 938,934 |   |

 

**September 30,2007**

 
| ** **                | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|---------------------------|------------|-----------------------------|------------|----------------------------|------------|------------------------|------------|-----------------------|------------|
| **Market Sector**    | ** ** | **Value at Risk** | ** ** | **Capitalization**         | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                      |       |                        |       |                       |       |                   |       |                  |       |
| Agricultural  Commodities |       | $                           | 82,422     |                       | 0.32       | %                      | $          | 629,565               |       | $ | 2,587 |   |
| Energy                    |       | 50,612                      |       | 0.20                       | %          | 355,242                |       | 1,215                 |       |
| Interest Rates            |       | 1,222,733                   |       | 4.82                       | %          | 2,092,721              |       | 390,839               |       |
| Metals                    |       | 30,948                      |       | 0.12                       | %          | 166,653                |       | 2,545                 |       |
| F/X                       |       | 10,252                      |       | 0.04                       | %          | 84,535                 |       | 9                     |       |
|                      |       |                        |       |                       |       |                   |       |                  |       |
| TOTAL                     |       | $                           | 1,396,967  |                       | 5.50       | %                      | $          | 3,328,716             |       | $ | 397,195 |   |

 

17

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Material Limitations on Value at Riskas an Assessment of Market Risk

 

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

 

**Non-TradingRisk**

 

ForeignCurrency Balances; Cash on Deposit with MLPF&S

 

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

 

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

 

Qualitative Disclosures Regarding Primary Trading Risk Exposures

 

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

 

Item 4. Controls and Procedures

 

MLAI, the Sponsorof ML APM GlobalCommodity FuturesAccess LLC, with the participation of the Sponsor’sChief Executive Officer and the Chief Financial Officer, has evaluated theeffectiveness of the design and operation of its disclosure controls andprocedures with respect to the Fund as of the end of the period of thisquarterly report, and, based on this evaluation, has concluded that thesedisclosure controls and procedures are effective.  Additionally, there were no significant changesin the Fund’s internal controls or in other factors that could significantlyaffect these controls subsequent to the date of this evaluation, including anycorrective actions with regard to significant deficiencies and materialweaknesses.

 

18

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PART II -OTHER INFORMATION

 

Item 1.            LegalProceedings

 

None.

 

Item 1A.    Risk Factors

 

## PastPerformance Not Necessarily Indicative of Future Results

 

Past performance is not necessarily indicativeof future results.  The trading advisor’spast performance may not be representative of how it may trade in the futurefor the Fund.

 

## VolatileMarkets; Highly Leveraged Trading

 

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

 

## Importanceof General Market Conditions

 

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

##  

## ForwardTrading

 

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

##  

## IncreasedAssets Under Management

 

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

##  

## TradingAdvisor Risk

 

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

 

19

----

 

## Changes in Trading Strategy

 

The trading advisor may make materialchanges in its trading strategies without the knowledge of MLAI.

 

## IlliquidMarkets

 

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

 

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

##  

## Tradingon Non-U.S. Exchanges

 

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

 

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

 

The Fund Could Lose Assets and Have Its Trading Disrupted Due to theBankruptcy of One of the Parties

 

The Fund is subject to therisk of insolvency of a counterparty, an exchange, a clearinghouse orMLPF&S. Fund assets could be lost or impounded during lengthy bankruptcyproceedings.  Were a substantial portionof the Fund’s capital tied up in a bankruptcy, MLAI might suspend or limittrading, perhaps causing the Fund to miss significant profit opportunities.There are increased risks in dealing with unregulated trading counterpartiesincluding the risk that assets may not benefit from the protection afforded to “customerfunds” deposited with regulated dealers and brokers.

 

20

----

 

Item 2.            UnregisteredSales of Equity Securities and Use of Proceeds

 

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

 

CLASS A

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-08     |       | $                | 1,786,860  |       | 1,564,128  |   | $ | 1.1424 |   |
| Feb-08     |       | 149,954          |       | 122,662    |       | 1.2225 |   |
| Mar-08     |       | 1,559,677        |       | 1,204,849  |       | 1.2945 |   |
| Apr-08     |       | 490,469          |       | 389,076    |       | 1.2606 |   |
| May-08     |       | 285,618          |       | 230,616    |       | 1.2385 |   |
| Jun-08     |       | 308,301          |       | 245,150    |       | 1.2576 |   |
| Jul-08     |       | 282,746          |       | 216,249    |       | 1.3075 |   |
| Aug-08     |       | 1,925,616        |       | 1,550,790  |       | 1.2417 |   |
| Sep-08     |       | 422,167          |       | 333,518    |       | 1.2658 |   |
| Oct-08     |       | 1,903,995        |       | 1,595,571  |       | 1.1933 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS C

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-08     |       | $                | 4,037,339  |       | 3,579,201  |   | $ | 1.1280 |   |
| Feb-08     |       | 3,584,330        |       | 2,971,835  |       | 1.2061 |   |
| Mar-08     |       | 6,156,484        |       | 4,828,615  |       | 1.2750 |   |
| Apr-08     |       | 6,772,110        |       | 5,455,220  |       | 1.2414 |   |
| May-08     |       | 3,517,037        |       | 2,888,737  |       | 1.2175 |   |
| Jun-08     |       | 3,255,778        |       | 2,636,684  |       | 1.2348 |   |
| Jul-08     |       | 1,526,391        |       | 1,191,748  |       | 1.2808 |   |
| Aug-08     |       | 2,563,987        |       | 2,109,409  |       | 1.2155 |   |
| Sep-08     |       | 1,764,611        |       | 1,423,533  |       | 1.2396 |   |
| Oct-08     |       | 908,990          |       | 778,445    |       | 1.1677 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS D

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-08     |       | $                | 748,059    |       | 661,355    |   | $ | 1.1311 |   |
| Feb-08     |       | —           |       | —     |       | 1.2119 |   |
| Mar-08     |       | 1,099,998        |       | 855,897    |       | 1.2852 |   |
| Apr-08     |       | 975,000          |       | 774,485    |       | 1.2590 |   |
| May-08     |       | —           |       | —     |       | 1.2445 |   |
| Jun-08     |       | —           |       | —     |       | 1.2656 |   |
| Jul-08     |       | 999,999          |       | 758,437    |       | 1.3185 |   |
| Aug-08     |       | —           |       | —     |       | 1.2529 |   |
| Sep-08     |       | 2,984,999        |       | 2,329,483  |       | 1.2814 |   |
| Oct-08     |       | 550,000          |       | 455,411    |       | 1.2077 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS I

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-08     |       | $                | 2,535,059  |       | 2,221,008  |   | $ | 1.1414 |   |
| Feb-08     |       | 2,721,249        |       | 2,227,246  |       | 1.2218 |   |
| Mar-08     |       | 1,014,023        |       | 784,787    |       | 1.2921 |   |
| Apr-08     |       | 1,595,580        |       | 1,264,928  |       | 1.2614 |   |
| May-08     |       | 963,281          |       | 777,153    |       | 1.2395 |   |
| Jun-08     |       | 410,514          |       | 326,167    |       | 1.2586 |   |
| Jul-08     |       | 752,447          |       | 575,573    |       | 1.3073 |   |
| Aug-08     |       | 114,625          |       | 92,179     |       | 1.2435 |   |
| Sep-08     |       | 749,996          |       | 590,223    |       | 1.2707 |   |
| Oct-08     |       | 869,998          |       | 726,209    |       | 1.1980 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

----

(1) Net Asset Valuefor all other purposes

 

(b)       None.

(c)        None.

 

Item 3.            DefaultsUpon Senior Securities

 

None.

 

Item 4.            Submissionof Matters to a Vote of Security Holders

 

None.

 

21

----

 

Item 5.            OtherInformation

 

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

 

Item 6.            Exhibits

 

The following exhibits are incorporated by referenceor 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:      Arefiled herewith.

 

32.01 and

32.02               Section 1350Certifications

 

Exhibit 32.01

and 32.02       Arefiled herewith.

 

22

----

 

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

 

23

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