Attached files

file	filename
EX-32.01 - EX-32.01 - ML Winton FuturesAccess LLC	a09-32679_1ex32d01.htm
EX-31.01 - EX-31.01 - ML Winton FuturesAccess LLC	a09-32679_1ex31d01.htm
EX-32.02 - EX-32.02 - ML Winton FuturesAccess LLC	a09-32679_1ex32d02.htm
EX-31.02 - EX-31.02 - ML Winton FuturesAccess LLC	a09-32679_1ex31d02.htm

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

(Mark One)

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

For the quarterly period ended September 30, 2009

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

For the transition period from to

Commission File Number 0-51084

ML WINTON FUTURESACCESS LLC

(Exact Name of Registrant as
specified in its charter)

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

c/o Merrill Lynch Alternative Investments LLC

Four World Financial Center, 6th Floor

250 Vesey Street

New York, New York 10080

(Address of principal executive offices)

(Zip Code)

212-449-3517

(Registrant’s telephone number, including area code)

Two World Financial Center, 7th Floor

New York, New York 10281

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

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

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

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

Large accelerated filer o		Accelerated filer o

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

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

As of September 30, 2009, 515,535,828 units of membership were outstanding.

ML WINTON FUTURESACCESS LLC

QUARTERLY REPORT FOR SEPTEMBER 30, 2009 ON FORM 10-Q

Table of Contents

		PAGE
	PART I

Item 1.	Financial Statements	1

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	15

Item 3.	Quantitative and Qualitative Disclosures About Market Risk	23

Item 4T.	Controls and Procedures	28

	PART II

Item 1.	Legal Proceedings	29

Item 1A.	Risk Factors	29

Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	29

Item 3.	Defaults Upon Senior Securities	31

Item 4.	Submission of Matters to a Vote of Security Holders	31

Item 5.	Other Information	31

Item 6.	Exhibits	31

PART I - FINANCIAL INFORMATION

Item 1. Financial Statements

ML WINTON FUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OF FINANCIAL CONDITION

(unaudited)

	September 30,		December 31,
	2009		2008
ASSETS:
Equity in commodity futures trading accounts:
Cash (including restricted cash of $59,565,610 for 2009 and $40,230,744 for 2008)	$	750,922,943	$	849,579,676
Net unrealized profit on open contracts	23,772,902		14,731,114
Cash	249,174		163,743
Accrued interest	—		39,428

TOTAL ASSETS	$	774,945,019	$	864,513,961

LIABILITIES AND MEMBERS’ CAPITAL:
LIABILITIES:
Brokerage commissions payable	$	142,129	$	89,151
Management fee payable	1,260,153		1,400,958
Sponsor fee payable	726,434		902,258
Redemptions payable	10,136,579		27,903,546
Performance fee payable	33,300		29,843,518
Other	392,801		385,970

Total liabilities	12,691,396		60,525,401

MEMBERS’ CAPITAL:
Sponsor’s Interest (19,470 Units)	28,717		31,415
Members’ Interest (515,316,358 Units and 500,089,110 Units)	762,224,906		803,957,145
Total members’ capital	762,253,623		803,988,560

TOTAL LIABILITIES AND MEMBERS’ CAPITAL	$	774,945,019	$	864,513,961

NET ASSET VALUE PER UNIT (SEE NOTE 4)

(Based on 515,335,828 and 500,108,580 Units outstanding; unlimited Units authorized)

See notes to financial statements.

WINTON FUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OF OPERATIONS

(unaudited)

	For the three			For the three			For the nine			For the nine
	months ended			months ended			months ended			months ended
	September 30,			September 30,			September 30,			September 30,
	2009			2008			2009			2008

TRADING PROFIT (LOSS):
Realized	$	(11,778,258	)	$	(28,352,200	)	$	(54,611,721	)	$	81,846,519
Change in unrealized, net	22,314,757			(30,851,844		)	9,039,356			(7,829,096		)
Brokerage commissions	(203,463		)	(261,011		)	(596,742		)	(910,442		)

Total trading profit (loss)	10,333,036			(59,465,055		)	(46,169,107		)	73,106,981

INVESTMENT INCOME:
Interest	(5,390		)	3,632,539			52,569			12,209,816

EXPENSES:
Management fee	3,708,504			3,800,396			11,470,161			10,781,276
Sponsor fee	2,252,474			2,580,675			7,264,488			7,556,325
Performance fee	—			(12,354,958		)	583			11,751,260
Other	396,081			358,427			1,054,124			1,043,973
Total expenses	6,357,059			(5,615,460		)	19,789,356			31,132,834

NET INVESTMENT LOSS	(6,362,449		)	9,247,999			(19,736,787		)	(18,923,018		)

NET INCOME (LOSS)	$	3,970,587		$	(50,217,056	)	$	(65,905,894	)	$	54,183,963

NET INCOME (LOSS) PER UNIT:

Weighted average number of Units outstanding
Class A	48,330,421			46,558,456			48,290,312			45,084,680
Class C	203,695,343			234,140,456			209,769,004			227,484,892
Class D	78,318,234			92,889,619			78,159,645			83,956,966
Class I	41,090,886			42,555,410			42,465,404			40,185,227
Class DS*	101,023,751			45,105,598			86,031,099			30,547,965
Class DT**	47,750,063			59,280,933			50,098,593			62,927,835

Net income (loss) per weighted average Unit
Class A	$	0.0063		$	(0.0994	)	$	(0.1378	)	$	0.1135
Class C	$	0.0022		$	(0.1001	)	$	(0.1419	)	$	0.1016
Class D	$	0.0112		$	(0.0919	)	$	(0.1174	)	$	0.1138
Class I	$	0.0082		$	(0.0946	)	$	(0.1341	)	$	0.1226
Class DS*	$	0.0135		$	(0.0816	)	$	(0.1043	)	$	0.0460
Class DT**	$	0.0134		$	(0.0997	)	$	(0.1135	)	$	0.1600

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

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

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

For the nine months ended September 30, 2009 and 2008

(unaudited in Units)

	Members’ Capital December 31, 2007	Subscriptions	Redemptions		Members’ Capital September 30, 2008	Members’ Capital December 31,2008	Subscriptions	Redemptions		Members’ Capital September 30, 2009
Class A	40,108,055	15,091,853	(8,772,898	)	46,427,010	45,849,416	9,950,735	(8,234,239	)	47,565,912
Class C	213,642,396	51,129,801	(33,032,805	)	231,739,392	215,169,073	28,649,326	(44,094,154	)	199,724,245
Class D	77,864,803	22,831,658	(11,370,571	)	89,325,890	73,051,567	6,041,151	(2,711,187	)	76,381,531
Class I	37,718,572	11,355,998	(4,473,410	)	44,601,160	43,073,827	7,952,058	(9,891,534	)	41,134,351
Class DS*	13,447,784	40,935,807	(2,749,330	)	51,634,261	69,186,442	34,891,377	—		104,077,819
Class DT**	69,259,318	—	(12,520,493	)	56,738,825	53,758,785	459,179	(7,785,464	)	46,432,500

Total Members’ Units	452,040,928	141,345,117	(72,919,507	)	520,466,538	500,089,110	87,943,826	(72,716,578	)	515,316,358

Class A	9,713	—	—		9,713	9,713	—	—		9,713
Class C	9,757	—	—		9,757	9,757	—	—		9,757

Total Sponsor’s Units	19,470	—	—		19,470	19,470	—	—		19,470

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

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

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

For the nine months ended September 30, 2009 and 2008

(unaudited)

	Members’ Capital December 31, 2007		Subscriptions		Redemptions			Net Income		Members’ Capital September 30, 2008		Members’ Capital December 31, 2008		Subscriptions		Redemptions			Net Loss				Members’ Capital September 30, 2009
Class A	$	55,236,501	$	22,692,478	$	(13,418,255	)	$	5,114,551	$	69,625,275	$	75,377,293	$	15,777,283	$	(12,754,541	)	$		(6,639,858	)	$	71,760,177
Class C	286,078,081		74,805,037		(48,611,957		)	23,111,200		335,382,361		340,542,258		43,359,316		(66,271,637		)	(29,735,962			)	287,893,975
Class D	103,236,597		34,257,385		(16,613,094		)	9,556,848		130,437,736		117,366,051		9,663,521		(3,989,217		)	(9,183,574			)	113,856,781
Class I	52,132,196		17,154,873		(6,880,279		)	4,927,260		67,334,050		71,357,222		12,705,694		(15,661,749		)	(5,672,454			)	62,728,713
Class DS*	17,829,738		60,164,637		(4,000,000		)	1,403,810		75,398,185		111,018,099		52,913,336		—			(8,980,195			)	154,951,240
Class DT**	92,508,127		—		(18,467,848		)	10,068,052		84,108,331		88,296,222		714,029		(12,285,078		)	(5,691,153			)	71,034,020

Total Members’ Interest	$	607,021,240	$	209,074,410	$	(107,991,433	)	$	54,181,721	$	762,285,938	$	803,957,145	$	135,133,179	$	(110,962,222	)	$	(65,903,196		)	$	762,224,906

Class A	$	13,381	$	—	$	—		$	1,188	$	14,569	$	15,971	$	—	$	—		$		(1,318	)	$	14,653
Class C	13,068		—		—			1,054		$	14,122	15,444		—		—			(1,380			)	14,064

Total Sponsor’s Interest	$	26,449	$	—	$	—		$	2,242	$	28,691	$	31,415	$	—	$	—		$		(2,698	)	$	28,717

Total Members’ Capital	$	607,047,689	$	209,074,410	$	(107,991,433	)	$	54,183,963	$	762,314,629	$	803,988,560	$	135,133,179	$	(110,962,222	)	$		(65,905,894	)	$	762,253,623

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

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

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED SEPTEMBER 30, 2009

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

	Class A			Class C			Class D			Class I			Class DS*			Class DT**

Per Unit Operating Performance:

Net asset value, beginning of period	$	1.5024		$	1.4391		$	1.4789		$	1.5172		$	1.4771		$	1.5159

Realized and change in unrealized trading profit (loss)	0.0202			0.0196			0.0202			0.0207			0.0202			0.0207
Brokerage commissions	(0.0004		)	(0.0004		)	(0.0004		)	(0.0004		)	(0.0004		)	(0.0004		)
Interest income	(0.0000		)	(0.0000		)	(0.0000		)	(0.0000		)	(0.0000		)	(0.0000		)
Expenses	(0.0136		)	(0.0168		)	(0.0081		)	(0.0125		)	(0.0081		)	(0.0064		)

Net asset value, end of period	$	1.5086		$	1.4415		$	1.4906		$	1.5250		$	1.4888		$	1.5298

Total Return:

Total return before Performance fees	0.41		%	0.51		%	0.79		%	0.51		%	0.79		%	0.92		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Total return after Performance fees	0.41		%	0.51		%	0.79		%	0.51		%	0.79		%	0.92		%

Ratios to Average Members’ Capital:

Expenses (excluding Performance fees)	1.18		%	0.83		%	0.55		%	0.83		%	0.55		%	0.43		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Expenses (including Performance fees)	1.18		%	0.83		%	0.55		%	0.83		%	0.55		%	0.43		%

Net investment income (loss)	-1.18		%	-0.83		%	-0.55		%	-0.83		%	-0.55		%	-0.43		%

*Class DS and was previously known as Class D-SM.

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

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2009

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

	Class A			Class C			Class D			Class I			Class DS*			Class DT**

Per Unit Operating Performance:

Net asset value, beginning of period	$	1.6440		$	1.5827		$	1.6066		$	1.6566		$	1.6046		$	1.6425

Realized and change in unrealized trading profit (loss)	(0.0915		)	(0.0879		)	(0.0897		)	(0.0922		)	(0.0895		)	(0.0918		)
Brokerage commissions	(0.0012		)	(0.0011		)	(0.0012		)	(0.0012		)	(0.0012		)	(0.0012		)
Interest income	0.0001			0.0001			0.0001			0.0001			0.0001			0.0001
Expenses	(0.0428		)	(0.0523		)	(0.0252		)	(0.0383		)	(0.0252		)	(0.0198		)

Net asset value, end of period	$	1.5086		$	1.4415		$	1.4906		$	1.5250		$	1.4888		$	1.5298

Total Return:

Total return before Performance fees	-8.25		%	-8.94		%	-7.21		%	-7.98		%	-7.21		%	-6.86		%
Performance fees	0.00		%	0.00		%	-0.01		%	0.00		%	-0.01		%	0.00		%
Total return after Performance fees	-8.25		%	-8.94		%	-7.22		%	-7.98		%	-7.22		%	-6.86		%

Ratios to Average Members’ Capital:

Expenses (excluding Performance fees)	2.76		%	3.51		%	1.64		%	2.46		%	1.63		%	1.26		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.01		%	-0.01		%
Expenses (including Performance fees)	2.76		%	3.51		%	1.64		%	2.46		%	1.64		%	1.25		%

Net investment income (loss)	-2.76		%	-3.50		%	-1.64		%	-2.46		%	-1.64		%	-1.25		%

*Class DS and was previously known as Class D-SM.

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

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(a Delaware Limited Liability Company)

NOTES TO FINANCIAL STATEMENTS

(unaudited)

1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

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

Merrill Lynch Alternative Investments LLC (“MLAI”) is the sponsor (“Sponsor”) and manager (“Manager”) of the 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. On September 15, 2008, Merrill Lynch entered into an Agreement and Plan of Merger (as amended by Amendment No. 1 dated as of October 21, 2008, the “Merger Agreement”) with Bank of America Corporation (“Bank of America”). Pursuant to the Merger Agreement, on January 1, 2009, a wholly-owned subsidiary of Bank of America merged with and into Merrill Lynch, with Merrill Lynch continuing as the surviving corporation and a subsidiary of Bank of America.

In the opinion of management, these interim financial statements contain all adjustments, consisting only of normal recurring adjustments, necessary to present fairly the financial position of the Fund as of September 30, 2009 and the results of its operations for the three and nine months ended September 30, 2009 and 2008. However, the operating results for the interim periods may not be indicative of the results for the full year.

Certain information and footnote disclosures normally included in annual financial statements prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) have been omitted. These financial statements should be read in conjunction with the financial statements and notes thereto included in the Fund’s Annual Report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2008.

In July 2009, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Codification (“ASC”) 105, Generally Accepted Accounting Principles, (ASC 105), which approved the FASB Accounting Standards Codification (the “Codification”) as the single source of authoritative nongovernmental GAAP. The Codification is effective for interim or annual periods ending after September 15, 2009. All existing accounting standards have been superseded and all other accounting literature not included in the Codification will be considered nonauthoritative. ASC 105 was not intended to change the accounting literature and did not impact the Fund’s financial condition or results of operations. All accounting references within this report are in accordance with the new Codification.

The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

2. CONDENSED SCHEDULES OF INVESTMENTS

The Fund’s investments, defined as Net unrealized profit (loss) on open contracts in the Statements of Financial Condition as of September 30, 2009 and December 31, 2008 are as follows:

September 30, 2009

	Long Positions						Short Positions							Net Unrealized
Commodity Industry	Number of	Unrealized			Percent of		Number of		Unrealized			Percent of		Profit (Loss)			Percent of
Sector	Contracts	Profit (Loss)			Members’ Capital		Contracts		Profit (Loss)			Members’ Capital		on Open Positions			Members’ Capital		Maturity Dates

Agriculture	360	$	(367,151	)	-0.05	%	(1,704	)	$	302,759		0.04	%	$	(64,392	)	-0.01	%	October 2009 – December 2010
Currencies	4,029	9,388,891			1.23	%	(204	)	(98,106		)	-0.01	%	9,290,785			1.22	%	October 2009 – December 2009
Energy	32	(17,753		)	0.00	%	(373	)	(1,135,591		)	-0.15	%	(1,153,344		)	-0.15	%	March 2010
Interest rates	14,955	12,091,444			1.59	%	(116	)	57,697			0.01	%	12,149,141			1.60	%	October 2009 – March 2010
Metals	1,012	3,162,988			0.41	%	(123	)	(133,928		)	-0.02	%	3,029,059			0.39	%	October 2009 – March 2010
Stock indices	2,894	451,026			0.06	%	(31	)	70,626			0.01	%	521,652			0.07	%	October 2009 – March 2010

Total		$	24,709,445		3.24	%			$	(936,543	)	-0.12	%	$	23,772,902		3.12	%

December 31, 2008

	Long Positions						Short Positions							Net Unrealized
Commodity Industry	Number of	Unrealized			Percent of		Number of		Unrealized			Percent of		Profit (Loss)			Percent of
Sector	Contracts	Profit (Loss)			Members’ Capital		Contracts		Profit (Loss)			Members’ Capital		on Open Positions			Members’ Capital		Maturity Dates

Agriculture	197	$	390,804		0.05	%	(2,131	)	$	(3,807,410	)	-0.47	%	$	(3,416,606	)	-0.42	%	January 09 – November 10
Currencies	759	1,426,021			0.18	%	(1,366	)	(4,720,175		)	-0.59	%	(3,294,154		)	-0.41	%	March 09
Energy	—	—			0.00	%	(313	)	1,169,490			0.15	%	1,169,490			0.15	%	January 09 – December 10
Interest rates	10,483	17,823,721			2.21	%	(88	)	(21,657		)	0.00	%	17,802,064			2.21	%	January 09 – June 10
Metals	238	(635,812		)	-0.08	%	(558	)	3,463,278			0.42	%	2,827,466			0.34	%	January 09 – April 09
Stock indices	10	1,903			0.00	%	(384	)	(359,049		)	-0.04	%	(357,146		)	-0.04	%	January 09 – March 09

Total		$	19,006,637		2.36	%			$	(4,275,523	)	-0.53	%	$	14,731,114		1.83	%

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

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

September 30, 2009	Unrealized Long Positions		Unrealized Short Positions			Total
Futures	$	24,709,445	$	(936,543	)	$	23,772,902
Forwards	—		—			—
Total	$	24,709,445	$	(936,543	)	$	23,772,902

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

3. FAIR VALUE OF INVESTMENTS

In September 2006 FASB issued guidance on fair value measurement. This guidance defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. The Fund adopted this guidance as of January 1, 2008. The adoption of this guidance did not have a material impact on the Fund’s financial statements.

Fair value of an investment is the amount that would be received to sell the investment in an orderly transaction between market participants at the measurement date (i.e. the exit price). All investments (including derivative financial instruments and derivative commodity instruments) are held for trading purposes. The investments are recorded on trade date and open contracts are recorded at fair value (described below) at the measurement date. Investments denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated. Unrealized gains or losses on open contracts are included in equity in commodity futures trading account. Any change in net unrealized gain or loss from the preceding period is reported in the Statement of Operations.

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

Investments measured and reported at fair value are classified and disclosed in one of the following categories:

Level I — Quoted prices are available in active markets for identical investments as of the reporting date. The type of investments included in Level I are publicly traded investments. As required the Fund does not adjust the quoted price for these investments even in situations where the Fund holds a large position and a sale could reasonably impact the quoted price.

Level II — Pricing inputs are other than quoted prices in active markets, which are either directly or indirectly observable as of the reporting date, and fair value is determined through the use of generally accepted and understood models or other valuation methodologies. Investments which are generally included in this category are investments valued using market data.

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

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

Following is a description of the valuation methodologies used for investments, as well as the general classification of such investments pursuant to the valuation hierarchy.

Exchange traded investments are fair valued by the Fund by using the reported closing price on the primary exchange where it trades such investments. These closing prices are observed through the clearing broker and third party pricing services. For non exchange traded investments, quoted values and other data provided by nationally recognized independent pricing sources are used as inputs into its process for determining fair values.

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

Upon adoption of this fair value measurement guidance, the Fund has determined that Level I securities would include all of its futures and options contracts where it believes that quoted prices are available in an active market.

Where the Fund believes that quoted market prices are not available or that the market is not active, fair values are estimated by using quoted prices of securities with similar characteristics, pricing models or matrix pricing and these are generally classified as Level II securities. The Fund determined that Level II securities would include its forward contracts.

The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of September 30, 2009 and December 31, 2008:

	Total		Level I		Level II	Level III
Net unrealized profit (loss) on open contracts
September 30, 2009	$	23,772,902	$	23,772,902	N/A	N/A
December 31, 2008	$	14,731,114	$	14,731,114	N/A	N/A

Effective January 1, 2009, the Fund adopted the guidance on disclosures about derivative instruments and hedging activities as of January 1, 2009 which requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of and gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements. This guidance only expands the disclosure requirements for derivative instruments and related hedging activities and has no impact on Statements of Financial Condition or Statements of Operations and Members’ Capital.

The Fund engages in the speculative trading of futures, options on futures and forward contracts on a wide range of commodities. Such contracts meet the definition of a derivative as noted in the guidance for accounting for derivative and hedging Activities. The fair value amounts of and the gains and losses on derivative instruments is disclosed in the statements of financial condition and statements of operations, respectively. There are no credit related contingent features embedded in these derivative contracts.

The following table indicates the trading gains and losses, by commodity industry sector, on derivative instruments for each of the three month and nine month periods ended September 30, 2009:

	For the three months ended			For the nine months ended
	September 30, 2009			September 30, 2009
Commodity Industry Sector	Gain (loss) from trading			Gain (loss) from trading

Agriculture	$	(54,176	)	5,548,347
Currencies	10,685,650			(9,299,725	)
Energy	(4,607,969		)	(8,964,646	)
Interest rates	13,652,216			(7,264,243	)
Metals	2,284,217			(7,344,569	)
Stock indices	(11,423,439		)	(18,247,529	)

Total	$	10,536,499		(45,572,365	)

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

4. NET ASSET VALUE PER UNIT

The Net Asset Value per Unit of the different Classes at September 30, 2009 and December 31, 2008 are as follows:

September 30, 2009

	Net Asset Value per Unit
Class A	$	1.5086
Class C	1.4415
Class D	1.4906
Class I	1.5250
Class DS	1.4888
Class DT	1.5298

December 31, 2008

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

5. MARKET AND CREDIT RISK

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

Market Risk

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

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

Credit Risk

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

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

6. RECENT ACCOUNTING PRONOUNCEMENTS

In April 2009, the FASB issued guidance on determining fair value when the volume and level of activity for the asset or liability have significantly decreased and identifying transactions that are not orderly. This provides additional guidance for estimating fair value in accordance with the fair value measurements when the volume and level of activity for the asset or liability have significantly decreased. This guidance also identifies circumstances that indicate a transaction is not orderly. The guidance emphasizes that even if there has been a significant decrease in the volume and level of activity for the asset or liability and regardless of the valuation technique(s) used, the objective of a fair value measurement remains the same. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction (that is, not a forced liquidation or distressed sale) between market participants at the measurement date under current market conditions. The guidance also contains enhanced disclosure requirements whereby fair value disclosures as well as certain disaggregated information will be disclosed. The adoption of this guidance has no impact on the financial statements.

In September 2009, the FASB issued Accounting Standards Update No. 2009-12, Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent)(the “ASU 2009-12”), which is effective for interim or annual financial periods ending after December 15, 2009. At this time, the Manager is evaluating the implications of this statement. However, the adoption is not expected to have material impact on the Fund’s financial statements.

7. SUBSEQUENT EVENTS

The Fund has performed an evaluation of subsequent events through November 12, 2009, which is the date the financial statements were issued, and determined that there are no subsequent events that require an adjustment of or disclosure in the financial statements.

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

MONTH-END NET ASSET VALUE PER UNIT

MLAI believes that the Net Asset Value used to calculate subscription and redemption value and to report performance to investors throughout the year is the most valuable performance measure to the Members of the Fund. Therefore, the charts below referencing Net Asset Value and performance measurements are based on the Net Asset Value for financial reporting purposes, as discussed in Note 4 to the financial statements.

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS A

	Jan.		Feb.		Mar.		Apr.		May.		Jun.		Jul.		Aug.		Sept.
2008	$	1.4285	$	1.5377	$	1.5208	$	1.5075	$	1.5302	$	1.6005	$	1.5348	$	1.4963	$	1.5000
2009	$	1.6553	$	1.6464	$	1.6155	$	1.5632	$	1.5257	$	1.5024	$	1.4745	$	1.4752	$	1.5086

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS C

	Jan.		Feb.		Mar.		Apr.		May.		Jun.		Jul.		Aug.		Sept.
2008	$	1.3876	$	1.4924	$	1.4747	$	1.4607	$	1.4814	$	1.5482	$	1.4835	$	1.4450	$	1.4474
2009	$	1.5921	$	1.5822	$	1.5513	$	1.4998	$	1.4626	$	1.4391	$	1.4112	$	1.4107	$	1.4415

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS D

	Jan.		Feb.		Mar.		Apr.		May.		Jun.		Jul.		Aug.		Sept.
2008	$	1.3765	$	1.4836	$	1.4691	$	1.4581	$	1.4819	$	1.5519	$	1.4903	$	1.4548	$	1.4602
2009	$	1.6193	$	1.6126	$	1.5842	$	1.5349	$	1.4999	$	1.4789	$	1.4532	$	1.4558	$	1.4906

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS I

	Jan.		Feb.		Mar.		Apr.		May.		Jun.		Jul.		Aug.		Sept.
2008	$	1.4343	$	1.5444	$	1.5279	$	1.5151	$	1.5385	$	1.6098	$	1.5442	$	1.5059	$	1.5102
2009	$	1.6687	$	1.6603	$	1.6297	$	1.5774	$	1.5401	$	1.5172	$	1.4894	$	1.4907	$	1.5250

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS DS

	Jan.		Feb.		Mar.		Apr.		May.		Jun.		Jul.		Aug.		Sept.
2008	$	1.3765	$	1.4835	$	1.4690	$	1.4582	$	1.4817	$	1.5509	$	1.4900	$	1.4549	$	1.4602
2009	$	1.6173	$	1.6106	$	1.5822	$	1.5329	$	1.4980	$	1.4771	$	1.4514	$	1.4540	$	1.4888

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS DT

	Jan.		Feb.		Mar.		Apr.		May.		Jun.		Jul.		Aug.		Sept.
2008	$	1.3901	$	1.5051	$	1.4899	$	1.4785	$	1.5045	$	1.5802	$	1.5141	$	1.4761	$	1.4824
2009	$	1.6568	$	1.6500	$	1.6217	$	1.5718	$	1.5367	$	1.5159	$	1.4902	$	1.4934	$	1.5298

Liquidity and Capital Resources

The Fund does not engage in the sale of goods or services. The Fund’s assets are its (i) equity in its trading account, consisting of cash and cash equivalents and (ii) interest receivable. Because of the low margin deposits normally required in commodity futures trading relatively small price movements may result in substantial losses to the Fund. While substantial losses could lead to a material decrease in liquidity, no such material losses occurred during the third quarter of 2009 and there was no impact on the Fund’s liquidity.

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

For the nine months ended September 30, 2009, Fund capital decreased 5.19% from $803,988,560 to $762,253,623. This decrease was attributable to the net loss from operations of $65,905,894, coupled with the redemption of 72,716,578 Redeemable Units resulting in an outflow of $110,962,222. The cash outflow was offset with cash inflow of $135,133,179 due to subscription of 87,943,826 units. Future redemptions could impact the amount of funds available for investment in commodity contract positions in subsequent months.

Critical Accounting Policies

Use of Estimates

The preparation of financial statements and accompanying notes in conformity with U.S. generally accepted accounting principles (“GAAP”‘) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. As a result, actual results could differ from these estimates.

Statement of Cash Flows

The Fund has elected not to provide a Statement of Cash Flows as permitted by the ASC guidance for Statement of Cash Flows specifically relating to the exemption of certain enterprises and classification of cash flows from certain securities acquired for resale.

Investments

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

Fair Value Measurements

The Fund adopted guidance on fair value measurements as of January 1, 2008 which defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The Fund did not apply the deferral allowed for nonfinancial assets and nonfinancial liabilities measured at fair value on a nonrecurring basis. For more information on our treatment of fair value, see Note 3, Fair Value of Investments.

Futures Contracts

The Fund trades futures contracts. A futures contract is a firm commitment to buy or sell a specified quantity of investments, currency or a standardized amount of a deliverable grade commodity, at a specified price on a specified future date, unless the contract is closed before the delivery date or if the delivery quantity is something where physical delivery cannot occur (such as S&P 500 Index), whereby such contract is settled in cash. Payments (“variation margin”) may be made or received by the Fund each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Fund. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Because transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker, directly with the exchange on which the contracts are traded, credit exposure is limited. Realized gains (losses) and changes in unrealized gains (losses) on futures contracts are included in the Statement of Operations and Statements of Changes in Members’ Capital.

Forward Foreign Currency Contracts

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

Income Taxes

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

In 2007, the Fund adopted the ASC guidance on accounting for uncertainty in income taxes. This guidance provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. This guidance also requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions with respect to tax at the Fund level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. MLAI has concluded that the adoption of this guidance had no impact on the operations of the Fund for the period ended September 30, 2009 and that no provision for income tax is required in the Fund’s financial statements.

Results of Operations

January 1, 2009 through March 31, 2009

The Fund experienced a net trading loss before brokerage commissions and related fees in the first quarter of 2009 of $6,805,508. The Fund posted overall lo

ML Winton FuturesAccess LLC - FORM 10-Q - November 12, 2009

Attached files

ML WINTON FUTURESACCESS LLC