Attached files
| file | filename |
|---|---|
| 10-K/A - ML TREND-FOLLOWING FUTURES FUND L.P. | efc10-181_fm10ka.htm |
| EX-32.01 - ML TREND-FOLLOWING FUTURES FUND L.P. | efc10-181_ex3201.htm |
| EX-13.03 - ML TREND-FOLLOWING FUTURES FUND L.P. | efc10-181_ex1303.htm |
| EX-13.04 - ML TREND-FOLLOWING FUTURES FUND L.P. | efc10-181_ex1304.htm |
| EX-13.01 - ML TREND-FOLLOWING FUTURES FUND L.P. | efc10-181_ex1301.htm |
| EX-31.01 - ML TREND-FOLLOWING FUTURES FUND L.P. | efc10-181_ex3101.htm |
| EX-13.02 - ML TREND-FOLLOWING FUTURES FUND L.P. | efc10-181_ex1302.htm |
| EX-32.02 - ML TREND-FOLLOWING FUTURES FUND L.P. | efc10-181_ex32021.htm |
| EX-31.02 - ML TREND-FOLLOWING FUTURES FUND L.P. | efc10-181_ex3102.htm |
EXHIBIT 13.05
| ML WINTON
FUTURESACCESS LLC
(A
Delaware Limited Liability Company)
|
||
|
Financial
Statements for the years ended
December
31, 2008, 2007 and 2006
and
Report of Independent Registered Public Accounting
Firm
|
ML WINTON
FUTURESACCESS LLC
(A Delaware Limited Liability
Company)
TABLE OF
CONTENTS
|
Page
|
|
|
REPORT
OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
|
1
|
|
FINANCIAL
STATEMENTS:
|
|
|
Statements
of Financial Condition as of December 31, 2008 and 2007
|
2
|
|
Statements
of Operations for the years ended December 31, 2008, 2007 and
2006
|
3
|
|
Statements
of Changes in Members’ Capital for the years ended December 31,
2008,
|
|
|
2007
and 2006
|
4
|
|
Financial
Data Highlights for the years ended December 31, 2008, 2007 and
2006
|
6
|
Notes to
Financial Statements
ML WINTON
FUTURESACCESS LLC
(A Delaware Limited Liability
Company)
STATEMENTS
OF FINANCIAL CONDITION
DECEMBER
31, 2008 and 2007
|
2008
|
2007
|
|||||||
|
ASSETS:
|
||||||||
|
Equity
in commodity futures trading accounts:
|
||||||||
|
Cash
(including restricted cash of $40,230,744 for 2008 and $51,742,673 for
2007)
|
$ | 849,579,676 | $ | 619,663,052 | ||||
|
Net
unrealized profit on open contracts
|
14,731,114 | 7,934,149 | ||||||
|
Cash
|
163,743 | - | ||||||
|
Accrued
interest
|
39,428 | 2,238,652 | ||||||
|
TOTAL
ASSETS
|
$ | 864,513,961 | $ | 629,835,853 | ||||
|
LIABILITIES AND MEMBERS’
CAPITAL:
|
||||||||
|
LIABILITIES:
|
||||||||
|
Brokerage
commissions payable
|
$ | 89,151 | $ | 184,272 | ||||
|
Management
fee payable
|
1,400,958 | 986,432 | ||||||
|
Sponsor
fee payable
|
902,258 | 724,472 | ||||||
|
Redemptions
payable
|
27,903,546 | 6,907,980 | ||||||
|
Perfomance
fee payable
|
29,843,518 | 13,693,607 | ||||||
|
Initial
offering costs payable
|
58,993 | 106,994 | ||||||
|
Other
|
326,977 | 184,407 | ||||||
|
Total
liabilities
|
60,525,401 | 22,788,164 | ||||||
|
MEMBERS’
CAPITAL:
|
||||||||
|
Sponsor's
Interest (19,470 Units and 19,470 Units)
|
31,415 | 26,449 | ||||||
|
Members'
Interest (500,089,110 Units and 452,040,928 Units)
|
803,957,145 | 607,021,240 | ||||||
|
Total
members’ capital
|
803,988,560 | 607,047,689 | ||||||
|
TOTAL
LIABILITIES AND MEMBERS' CAPITAL
|
$ | 864,513,961 | $ | 629,835,853 | ||||
|
NET
ASSET VALUE PER UNIT (SEE NOTE 6)
|
||||||||
|
(Based
on 500,108,580 and 452,060,398 Units outstanding, unlimited Units
authorized)
|
||||||||
|
See
notes to financial statements.
|
||||||||
1
ML WINTON
FUTURESACCESS LLC
(A Delaware Limited Liability
Company)
STATEMENTS
OF OPERATIONS
FOR THE
YEARS ENDED DECEMBER 31, 2008, 2007 AND 2006
|
2008
|
2007
|
2006
|
||||||||||
|
TRADING
PROFIT (LOSS):
|
||||||||||||
|
Realized
|
$ | 168,699,930 | $ | 89,611,147 | $ | 22,914,555 | ||||||
|
Change
in unrealized
|
6,796,965 | (3,491,204 | ) | 8,672,148 | ||||||||
|
Brokerage
commissions
|
(1,087,424 | ) | (1,996,947 | ) | (1,603,878 | ) | ||||||
|
Total
trading profit (loss)
|
174,409,471 | 84,122,996 | 29,982,825 | |||||||||
|
INVESTMENT
INCOME:
|
||||||||||||
|
Interest
|
12,915,952 | 24,566,411 | 10,650,742 | |||||||||
|
EXPENSES:
|
||||||||||||
|
Management
fee
|
14,943,538 | 9,953,107 | 4,555,234 | |||||||||
|
Sponsor
fee
|
10,272,451 | 7,766,920 | 4,248,731 | |||||||||
|
Performance
fee
|
30,491,051 | 14,101,642 | 5,417,903 | |||||||||
|
Other
|
1,848,834 | 1,060,592 | 996,583 | |||||||||
|
Total
expenses
|
57,555,874 | 32,882,261 | 15,218,451 | |||||||||
|
NET
INVESTMENT LOSS
|
(44,639,922 | ) | (8,315,850 | ) | (4,567,709 | ) | ||||||
|
NET
INCOME (LOSS)
|
$ | 129,769,549 | $ | 75,807,146 | $ | 25,415,116 | ||||||
|
NET
INCOME (LOSS) PER UNIT:
|
||||||||||||
|
Weighted
average number of Units outstanding
|
||||||||||||
|
Class
A
|
45,671,837 | 38,654,024 | 25,243,561 | |||||||||
|
Class
C
|
228,198,956 | 209,605,792 | 123,144,172 | |||||||||
|
Class
D
|
84,449,914 | 66,453,273 | 26,745,338 | |||||||||
|
Class
I
|
41,268,952 | 37,583,741 | 25,587,259 | |||||||||
|
Class
DS*
|
38,738,811 | 11,479,777 | ||||||||||
|
Class
DT**
|
61,195,917 | 85,438,228 | ||||||||||
|
Net
income (loss) per weighted average Unit
|
||||||||||||
|
Class
A
|
$ | 0.2623 | $ | 0.1769 | $ | 0.1411 | ||||||
|
Class
C
|
$ | 0.2389 | $ | 0.1652 | $ | 0.1249 | ||||||
|
Class
D
|
$ | 0.2646 | $ | 0.1936 | $ | 0.1029 | ||||||
|
Class
I
|
$ | 0.2784 | $ | 0.1850 | $ | 0.1455 | ||||||
|
Class
DS*
|
$ | 0.2676 | $ | 0.2436 | ||||||||
|
Class
DT**
|
$ | 0.3117 | $ | 0.1372 | ||||||||
|
*Class
DS was previously known as Class D-SM. Units issued on April 2,
2007.
|
||||||||||||
|
**Class
DT was previously known as Class D-TF. Units issued on June 1,
2007.
|
||||||||||||
|
See
notes to financial statements.
|
||||||||||||
2
ML WINTON
FUTURESACCESS LLC
(A Delaware Limited Liability
Company)
STATEMENTS
OF CHANGES IN MEMBERS’ CAPITAL
FOR THE
YEARS ENDED DECEMBER 31, 2008, 2007 AND 2006
| Members' Capital December 31, 2005 | Subscriptions | Redemptions | Members' Capital December 31, 2006 | Subscriptions | Redemptions | Members' Capital December 31, 2007 | Subscriptions | Redemptions | Members' Capital December 31, 2008 | |||||||||||||||||||||||||||||||
|
Class
A
|
15,522,119 | 19,717,183 | (3,192,816 | ) | 32,046,486 | 15,602,742 | (7,541,173 | ) | 40,108,055 | 17,386,886 | (11,645,525 | ) | 45,849,416 | |||||||||||||||||||||||||||
|
Class
C
|
62,583,887 | 119,771,646 | (11,836,091 | ) | 170,519,442 | 86,078,957 | (42,956,003 | ) | 213,642,396 | 60,897,518 | (59,370,841 | ) | 215,169,073 | |||||||||||||||||||||||||||
|
Class
D
|
9,764,594 | 30,899,806 | (1,439,055 | ) | 39,225,345 | 42,664,247 | (4,024,789 | ) | 77,864,803 | 23,739,729 | (28,552,965 | ) | 73,051,567 | |||||||||||||||||||||||||||
|
Class
I
|
17,936,086 | 15,273,298 | (2,422,022 | ) | 30,787,362 | 13,970,225 | (7,039,015 | ) | 37,718,572 | 12,586,459 | (7,231,204 | ) | 43,073,827 | |||||||||||||||||||||||||||
|
Class
DS*
|
- | - | - | - | 14,542,754 | (1,094,970 | ) | 13,447,784 | 58,487,988 | (2,749,330 | ) | 69,186,442 | ||||||||||||||||||||||||||||
|
Class
DT**
|
- | - | - | - | 98,131,157 | (28,871,839 | ) | 69,259,318 | - | (15,500,533 | ) | 53,758,785 | ||||||||||||||||||||||||||||
|
Total
Members' Units
|
105,806,686 | 185,661,933 | (18,889,984 | ) | 272,578,635 | 270,990,082 | (91,527,789 | ) | 452,040,928 | 173,098,580 | (125,050,398 | ) | 500,089,110 | |||||||||||||||||||||||||||
|
Class
A
|
9,713 | - | - | 9,713 | - | - | 9,713 | - | - | 9,713 | ||||||||||||||||||||||||||||||
|
Class
C
|
9,757 | - | - | 9,757 | - | - | 9,757 | - | - | 9,757 | ||||||||||||||||||||||||||||||
|
Total
Sponsor's Units
|
19,470 | - | - | 19,470 | - | - | 19,470 | - | - | 19,470 | ||||||||||||||||||||||||||||||
*Class DS
was previously known as Class D-SM. Units issued on April 2,
2007.
**Class
DT was previously known as Class D-TF. Units issued on June 1,
2007.
See notes
to financial statements.
3
ML WINTON
FUTURESACCESS LLC
(A Delaware Limited Liability
Company)
STATEMENTS
OF CHANGES IN MEMBERS’ CAPITAL
FOR THE
YEARS ENDED DECEMBER 31, 2008, 2007 AND 2006
|
Members'
Capital
December
31, 2005
|
Subscriptions
|
Redemptions
|
Net
Income
|
Members'
Capital
December
31, 2006
|
Subscriptions
|
Redemptions
|
Net
Income
|
Members'
Capital
December
31, 2007
|
Subscriptions
|
Redemptions
|
Net
Income
|
Members'
Capital December 31, 2008
|
||||||||||||||||||||||||||||||||||||||||
|
Class
A
|
$ | 16,602,088 | $ | 22,242,955 | $ | (3,704,770 | ) | $ | 3,559,465 | $ | 38,699,738 | $ | 19,375,017 | $ | (9,674,408 | ) | $ | 6,836,154 | $ | 55,236,501 | $ | 26,212,557 | $ | (18,049,428 | ) | $ | 11,977,663 | $ | 75,377,293 | |||||||||||||||||||||||
|
Class
C
|
66,470,039 | 133,755,451 | (13,387,079 | ) | 15,377,241 | 202,215,652 | 103,312,911 | (54,082,928 | ) | 34,632,446 | 286,078,081 | 89,405,799 | (89,455,971 | ) | 54,514,349 | 340,542,258 | ||||||||||||||||||||||||||||||||||||
|
Class
D
|
9,797,722 | 33,979,201 | (1,576,485 | ) | 2,752,208 | 44,952,646 | 50,306,937 | (4,888,155 | ) | 12,865,169 | 103,236,597 | 35,615,932 | (43,832,109 | ) | 22,345,631 | 117,366,051 | ||||||||||||||||||||||||||||||||||||
|
Class
I
|
19,077,399 | 17,103,221 | (2,745,508 | ) | 3,723,683 | 37,158,795 | 17,356,300 | (9,334,899 | ) | 6,952,000 | 52,132,196 | 19,076,750 | (11,340,105 | ) | 11,488,381 | 71,357,222 | ||||||||||||||||||||||||||||||||||||
|
Class
DS*
|
- | - | - | - | - | 16,325,317 | (1,291,973 | ) | 2,796,394 | 17,829,738 | 86,822,929 | (4,000,000 | ) | 10,365,432 | 111,018,099 | |||||||||||||||||||||||||||||||||||||
|
Class
DT**
|
- | - | - | - | - | 116,913,460 | (36,127,180 | ) | 11,721,847 | 92,508,127 | - | (23,285,032 | ) | 19,073,127 | 88,296,222 | |||||||||||||||||||||||||||||||||||||
|
Total
Members' Interest
|
$ | 111,947,248 | $ | 207,080,828 | $ | (21,413,842 | ) | $ | 25,412,597 | $ | 323,026,831 | $ | 323,589,942 | $ | (115,399,543 | ) | $ | 75,804,010 | $ | 607,021,240 | $ | 257,133,967 | $ | (189,962,645 | ) | $ | 129,764,583 | $ | 803,957,145 | |||||||||||||||||||||||
|
Class
A
|
$ | 10,410 | $ | - | $ | - | $ | 1,327 | $ | 11,737 | $ | - | $ | - | $ | 1,644 | $ | 13,381 | $ | - | $ | - | $ | 2,590 | $ | 15,971 | ||||||||||||||||||||||||||
|
Class
C
|
10,384 | - | - | 1,192 | 11,576 | - | - | 1,492 | 13,068 | - | - | 2,376 | 15,444 | |||||||||||||||||||||||||||||||||||||||
|
Total
Sponsor's Interest
|
$ | 20,794 | $ | - | $ | - | $ | 2,519 | $ | 23,313 | $ | - | $ | - | $ | 3,136 | $ | 26,449 | $ | - | $ | - | $ | 4,966 | $ | 31,415 | ||||||||||||||||||||||||||
|
Total
Members' Capital
|
$ | 111,968,042 | $ | 207,080,828 | $ | (21,413,842 | ) | $ | 25,415,116 | $ | 323,050,144 | $ | 323,589,942 | $ | (115,399,543 | ) | $ | 75,807,146 | $ | 607,047,689 | $ | 257,133,967 | $ | (189,962,645 | ) | $ | 129,769,549 | $ | 803,988,560 | |||||||||||||||||||||||
|
*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.
|
||||||||||||||||||||||||||||||||||||||||||||||||||||
4
ML WINTON
FUTURESACCESS LLC
(A Delaware Limited Liability
Company)
FINANCIAL
DATA HIGHLIGHTS
FOR THE
YEAR ENDED DECEMBER 31, 2008
The
following per Unit data and ratios have been derived from information provided
in the financial statements.
|
Per Unit Operating
Performance:
|
Class
A
|
Class
C
|
Class
D
|
Class
I
|
Class
DS(a)
|
Class
DT(b)
|
||||||||||||||||||
|
Net
asset value, beginning of period
|
$ | 1.3772 | $ | 1.3391 | $ | 1.3258 | $ | 1.3821 | $ | 1.3258 | $ | 1.3357 | ||||||||||||
|
Realized
and change in unrealized trading profit
|
0.3662 | 0.3547 | 0.3547 | 0.3682 | 0.3521 | 0.3589 | ||||||||||||||||||
|
Brokerage
commissions
|
(0.0023 | ) | (0.0022 | ) | (0.0022 | ) | (0.0023 | ) | (0.0022 | ) | (0.0022 | ) | ||||||||||||
|
Interest
income
|
0.0271 | 0.0263 | 0.0262 | 0.0273 | 0.0260 | 0.0265 | ||||||||||||||||||
|
Expenses
|
(0.1242 | ) | (0.1352 | ) | (0.0979 | ) | (0.1187 | ) | (0.0971 | ) | (0.0764 | ) | ||||||||||||
| - | ||||||||||||||||||||||||
|
Net
asset value, end of period
|
$ | 1.6440 | $ | 1.5827 | $ | 1.6066 | $ | 1.6566 | $ | 1.6046 | $ | 1.6425 | ||||||||||||
|
Total Return: (c)
|
||||||||||||||||||||||||
|
Total
return before Performance fees
|
24.39 | % | 23.18 | % | 26.27 | % | 24.89 | % | 26.09 | % | 26.91 | % | ||||||||||||
|
Performance
fees
|
-4.48 | % | -4.48 | % | -4.48 | % | -4.48 | % | -4.45 | % | -3.45 | % | ||||||||||||
|
Total
return after Performance fees
|
19.36 | % | 18.19 | % | 21.18 | % | 19.85 | % | 21.03 | % | 22.97 | % | ||||||||||||
|
Ratios to Average Members'
Capital:
|
||||||||||||||||||||||||
|
Expenses
(excluding Performance fees)
|
3.82 | % | 4.84 | % | 2.31 | % | 3.42 | % | 2.29 | % | 1.79 | % | ||||||||||||
|
Performance
fees
|
4.35 | % | 4.35 | % | 4.35 | % | 4.35 | % | 4.32 | % | 3.33 | % | ||||||||||||
|
Expenses
(including Performance fees)
|
8.17 | % | 9.19 | % | 6.66 | % | 7.77 | % | 6.61 | % | 5.12 | % | ||||||||||||
|
Net
investment income (loss)
|
-6.37 | % | -7.38 | % | -4.85 | % | -5.96 | % | -4.82 | % | -3.32 | % | ||||||||||||
|
(a)
Class DS was previously known as Class D-SM.
|
||||||||||||||||||||||||
|
(b)
Class DT was previously known as Class D-TF.
|
||||||||||||||||||||||||
|
(c)
The total return calculations are based on compounded monthly
returns.
|
||||||||||||||||||||||||
|
See
notes to financial statements.
|
||||||||||||||||||||||||
5
ML WINTON
FUTURESACCESS LLC
(A Delaware Limited Liability
Company)
FINANCIAL
DATA HIGHLIGHTS
FOR THE
YEAR ENDED DECEMBER 31, 2007
The
following per Unit data and ratios have been derived from information provided
in the financial statements.
|
Per Unit Operating
Performance:
|
Class
A
|
Class
C
|
Class
D
|
Class
I
|
Class
DS (a)
|
Class
DT (b)
|
||||||||||||||||||
|
Net
asset value, beginning of period
|
$ | 1.2076 | $ | 1.1859 | $ | 1.1460 | $ | 1.2069 | $ | 1.0733 | $ | 1.1914 | ||||||||||||
|
Realized
trading profit
|
0.1892 | 0.1843 | 0.1818 | 0.1898 | 0.2427 | 0.2012 | ||||||||||||||||||
|
Change
in unrealized
|
0.0057 | 0.0058 | 0.0051 | 0.0056 | 0.0215 | (0.0579 | ) | |||||||||||||||||
|
Brokerage
commissions
|
(0.0052 | ) | (0.0051 | ) | (0.0050 | ) | (0.0052 | ) | (0.0031 | ) | (0.0024 | ) | ||||||||||||
|
Interest
income
|
0.0611 | 0.0597 | 0.0583 | 0.0612 | 0.0442 | 0.0349 | ||||||||||||||||||
|
Expenses
|
(0.0812 | ) | (0.0915 | ) | (0.0604 | ) | (0.0762 | ) | (0.0528 | ) | (0.0315 | ) | ||||||||||||
|
Net
asset value, end of period
|
$ | 1.3772 | $ | 1.3391 | $ | 1.3258 | $ | 1.3821 | $ | 1.3258 | $ | 1.3357 | ||||||||||||
|
Total Return:
|
||||||||||||||||||||||||
|
Total
return before Performance fees
|
16.90 | % | 15.74 | % | 18.66 | % | 17.36 | % | 26.53 | % | 13.70 | % | ||||||||||||
|
Performance
fees
|
-2.74 | % | -2.73 | % | -2.79 | % | -2.73 | % | -2.65 | % | -1.54 | % | ||||||||||||
|
Total
return after Performance fees
|
14.03 | % | 12.90 | % | 15.68 | % | 14.49 | % | 23.53 | % | 12.11 | % | ||||||||||||
|
Ratios to Average Members'
Capital:
|
||||||||||||||||||||||||
|
Expenses
(excluding Performance fees)
|
3.84 | % | 4.89 | % | 2.31 | % | 3.43 | % | 2.28 | % | 1.76 | % | ||||||||||||
|
Performance
fees
|
2.84 | % | 2.87 | % | 2.99 | % | 2.85 | % | 2.53 | % | 1.49 | % | ||||||||||||
|
Expenses
(including Performance fees)
|
6.68 | % | 7.76 | % | 5.30 | % | 6.28 | % | 4.81 | % | 3.25 | % | ||||||||||||
|
Net
investment income (loss)
|
-1.71 | % | -2.77 | % | -0.30 | % | -1.29 | % | -0.77 | % | 0.60 | % | ||||||||||||
|
(a)
Class DS was previously known as Class D-SM. Units issued on April 2,
2007.
|
||||||||||||||||||||||||
|
(b)
Class DT was previously known as Class D-TF. Units issued on June 1,
2007.
|
||||||||||||||||||||||||
|
See
notes to financial statements.
|
||||||||||||||||||||||||
6
ML WINTON
FUTURESACCESS LLC
(A Delaware Limited Liability
Company)
FINANCIAL
DATA HIGHLIGHTS
FOR THE
YEAR ENDED DECEMBER 31, 2006
|
Per Unit Operating
Performance:
|
Class
A
|
Class
C
|
Class
D
|
Class
I
|
||||||||||||
|
Net
asset value, beginning of period
|
$ | 1.0696 | $ | 1.0621 | $ | 1.0034 | $ | 1.0636 | ||||||||
|
Realized
trading profit
|
0.1115 | 0.1102 | 0.1059 | 0.1110 | ||||||||||||
|
Change
in unrealized
|
0.0521 | 0.0516 | 0.0489 | 0.0519 | ||||||||||||
|
Brokerage
commissions
|
(0.0084 | ) | (0.0083 | ) | (0.0079 | ) | (0.0083 | ) | ||||||||
|
Interest
income
|
0.0524 | 0.0518 | 0.0494 | 0.0523 | ||||||||||||
|
Expenses
|
(0.0696 | ) | (0.0815 | ) | (0.0537 | ) | (0.0636 | ) | ||||||||
|
Net
asset value, end of period
|
$ | 1.2076 | $ | 1.1859 | $ | 1.1460 | $ | 1.2069 | ||||||||
|
Total Return:
|
||||||||||||||||
|
Total
return before Performance fees
|
15.17 | % | 14.02 | % | 16.91 | % | 15.63 | % | ||||||||
|
Performance
fees
|
-2.22 | % | -2.35 | % | -2.59 | % | -2.11 | % | ||||||||
|
Total
return after Performance fees
|
12.79 | % | 11.52 | % | 14.05 | % | 13.37 | % | ||||||||
|
Ratios to Average Members'
Capital:
|
||||||||||||||||
|
Expenses
(excluding Performance fees)
|
4.12 | % | 5.20 | % | 2.61 | % | 3.66 | % | ||||||||
|
Performance
fees
|
2.36 | % | 2.56 | % | 2.72 | % | 2.19 | % | ||||||||
|
Expenses
(including Performance fees)
|
6.48 | % | 7.76 | % | 5.33 | % | 5.85 | % | ||||||||
|
Net
investment loss
|
-1.60 | % | -2.83 | % | -0.29 | % | -1.04 | % | ||||||||
|
See
notes to financial statements.
|
||||||||||||||||
7
ML WINTON
FUTURESACCESS LLC
(A Delaware Limited Liability
Company)
NOTES TO
FINANCIAL STATEMENTS
|
1.
|
SUMMARY
OF SIGNIFICANT ACCOUNTING POLICIES
|
Organization
ML Winton
FuturesAccess LLC (the “Fund”), a Merrill Lynch FuturesAccess Program (the
“Program”) fund, was organized under the Delaware Limited Liability Company Act
on May 17, 2004 and commenced trading activities on February 1, 2005. The Fund
engages in the speculative trading of futures, options on futures and forward
contracts on a wide range of commodities. Winton Capital Management (“Winton”)
is the trading advisor of the Fund. Merrill Lynch Alternative
Investments LLC (“MLAI”) is the Sponsor 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.
The
Program is a group of commodity pools sponsored by MLAI (each a “Program Fund”
or collectively, “Program Funds”) each of which places substantially all of its
assets in a managed futures and forward trading account managed by a single or
multiple commodity trading advisors. Each Program Fund is generally similar to
the Fund in terms of fees, Classes of Units and redemption rights. Each of the
Program Funds implements a different trading strategy.
The Fund
offers six Classes of Units: Class A, Class C, Class D, Class DT,
Class DS, and Class I. Each Class of Units except for Class DT and
Class DS was offered at $1.00 per Unit during the initial offering period and
subsequently is offered at Net Asset Value per Unit for all other purposes (see
Note 6). Class DS commenced on April 2, 2007 and was offered at
$1.0733 and Class DT commenced on June 1, 2007 and was offered at
$1.1914. The six Classes of Units are subject to different Sponsor
fees.
Effective
January 1, 2009, Merrill Lynch & Co., Inc. became a wholly-owned subsidiary
of Bank of America Corporation pursuant to a merger agreement.
Interests
in the Fund are not insured or otherwise protected by the Federal Deposit
Insurance Corporation or any other government authority. Interests
are not deposits or other obligations of, and are not guaranteed by, Bank of
America Corporation or any of its affiliates or by any
bank. Interests are subject to investment risks, including the
possible loss of the full amount invested.
Estimates
The
preparation of financial statements in conformity with accounting principles
generally accepted in the United States of America (“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.
8
Revenue
Recognition
Commodity
futures, options on futures and forward contract transactions are recorded on
the trade date and open contracts are reflected in Net unrealized profit (loss)
on open contracts in the Statements of Financial Condition as the difference
between the original contract value and the market value (for those commodity
interests for which market quotations are readily available) or at fair
value. The change in unrealized profit (loss) on open contracts from
one period to the next is reflected in Change in unrealized under Trading profit
(loss) in the Statements of Operations.
Foreign Currency
Transactions
The
Fund’s functional currency is the U.S. dollar; however, it transacts business in
U.S. dollars and in currencies other than the U.S. dollar. Assets and
liabilities denominated in currencies other than the U.S. dollar are translated
into U.S. dollars at the rates in effect at the date of the Statements of
Financial Condition. Income and expense items denominated in
currencies other than the U.S. dollar are translated into U.S. dollars at the
rates in effect during the period. Profits and losses resulting from
the translation to U.S. dollars are reported in Realized in the Statements of
Operations.
Cash at
Broker
A portion
of the assets maintained at MLPF&S is restricted cash required to meet
maintenance margin requirements. Included in cash deposits with the
broker at December 31, 2008, and 2007 were restricted cash for margin
requirements of $40,230,744 and $51,742,673, respectively.
Operating Expenses, Offering
Costs and Selling Commissions
The Fund
pays for all routine operating costs (including ongoing offering costs,
administration, custody, transfer, exchange and redemptions process, legal,
regulatory filing, tax, audit, escrow, accounting and printing fees and
expenses) incurred by the Fund. The Fund also pays any extraordinary
expenses.
MLAI paid
all the expenses incurred in connection with the initial offering of the
Units. The costs consist of offering costs at the Program
level. The Fund is reimbursing MLAI for these costs in 60 monthly
installments. For financial reporting purposes in conformity with
U.S. GAAP, the Fund deducted the total initial offering costs of $272,445 from
Members’ Capital at inception. For all other purposes, including
determining the Net Asset Value per Unit for subscription and redemption
purposes, the Fund amortizes offering costs over a 60 month period (see Note
6).
Class A
Units are subject to a sales commission paid to MLPF&S ranging from 1.0% to
2.5%. Class D and Class I Units are subject to sales commissions up
to 0.5%. The rate assessed to a given subscription is based upon the
subscription amount. Sales commissions are directly deducted from subscription
amounts. Class C, Class DS and Class DT Units are not subject to any
sales commissions.
Income
Taxes
No
provision for income taxes has been made in the accompanying financial
statements as each Member is individually responsible for reporting income or
loss based on such Member’s share of the Fund’s income and expenses as reported
for income tax purposes.
9
Distributions
The
Members are entitled to receive, equally per Unit, any distributions which may
be made by the Fund. No such distributions have been declared for the
years ended December 31, 2008, 2007 and 2006.
Subscriptions
Units are
offered as of the close of business at the end of each month. Units
are purchased as of the first business day of any month at Net Asset Value for
all other purposes (see Note 6), but the subscription request must be submitted
at least three calendar days before the end of the preceding
month. Subscriptions submitted less than three days before the end of
a month will be applied to Units subscriptions as of the beginning of the second
month after receipt, unless revoked by MLAI.
Redemptions and
Exchanges
A Member
may redeem or exchange some or all of such Member’s Units at Net Asset Value for
all other purposes (see Note 6) as of the close of business, on the last
business day of any month, upon ten calendar days’ notice (“notice
period”).
An
investor in the Fund can exchange these Units for Units of the same Class in
other Program Funds as of the beginning of each calendar month upon at least ten
days prior notice. The minimum exchange amount is
$10,000.
Redemption
requests are accepted within the notice period. The Fund does not
accept any redemption requests after the notice period. All
redemption requests received after the notice period will be processed for the
following month.
Dissolution of the
Fund
The Fund
may terminate if certain circumstances occur as set forth in the offering
memorandum, which include but are not limited to the following:
|
(a)
|
Bankruptcy,
dissolution, withdrawal or other termination of the trading advisor of
this Fund.
|
|
(b)
|
Any
event which would make unlawful the continued existence of this
Fund.
|
|
(c)
|
Determination
by MLAI to liquidate or withdraw from the
Fund.
|
Indemnifications
In the
normal course of business, the Fund enters into contracts and agreements that
contain a variety of representations and warranties and which provide
general indemnifications. The Fund’s maximum exposure under these
arrangements is unknown, as this would involve future claims that may be made
against the Fund that have not yet occurred. The Fund expects the
risk of any future obligation under these indemnifications to be
remote.
10
|
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 December 31, 2008 and 2007 are as
follows:
|
2008
|
||||||||||||||||||||||||||||||||||
|
Long
Positions
|
Short Positions |
|
||||||||||||||||||||||||||||||||
|
Commodity
Industry Sector |
Number
of Contracts |
Unrealized Profit
(Loss) |
Percent
of Members' Capital |
Number
of Contracts |
Unrealized Profit
(Loss) |
Percent
of Members' Capital |
Net
Unrealized Profit (Loss) |
Percent
of 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 | % | |||||||||||||||||||||
|
2007
|
||||||||||||||||||||||||||||||||||
|
Long
Positions
|
Short Positions |
|
||||||||||||||||||||||||||||||||
|
Commodity
Industry Sector |
Number
of Contracts |
Unrealized Profit
(Loss) |
Percent
of Members' Capital |
Number
of Contracts |
Unrealized Profit
(Loss) |
Percent
of Members' Capital |
Net
Unrealized Profit (Loss) |
Percent
of Members' Capital |
Maturity Dates
|
|||||||||||||||||||||||||
|
Agriculture
|
4,103 | $ | 6,450,316 | 1.06 | % | (1,034 | ) | $ | (913,220 | ) | -0.15 | % | $ | 5,537,096 | 0.91 | % |
January
08 - December 08
|
|||||||||||||||||
|
Currencies
|
4,151 | (1,783,738 | ) | -0.29 | % | (247 | ) | (203,814 | ) | -0.03 | % | (1,987,552 | ) | -0.32 | % |
March
08
|
||||||||||||||||||
|
Energy
|
726 | 3,242,466 | 0.53 | % | (143 | ) | (434,080 | ) | -0.07 | % | 2,808,386 | 0.46 | % |
January
08 - April 08
|
||||||||||||||||||||
|
Interest
rates
|
15,236 | 1,015,377 | 0.17 | % | (2,750 | ) | (255,156 | ) | -0.04 | % | 760,221 | 0.13 | % |
March
08 - December 08
|
||||||||||||||||||||
|
Metals
|
1,375 | (1,945,885 | ) | -0.32 | % | (676 | ) | 2,329,833 | 0.38 | % | 383,948 | 0.06 | % |
January
08 -
March
08
|
||||||||||||||||||||
|
Stock
indices
|
2,153 | 299,696 | 0.05 | % | (49 | ) | 132,354 | 0.00 | % | 432,050 | 0.05 | % |
January
08 -
March
08
|
|||||||||||||||||||||
|
Total
|
$ | 7,278,232 | 1.20 | % | $ | 655,917 | 0.09 | % | $ | 7,934,149 | 1.29 | % | ||||||||||||||||||||||
No
individual contract’s unrealized profit or loss comprised greater than 5% of
Members’ Capital as of December 31, 2008 and 2007.
11
|
3.
|
FAIR
VALUE OF INVESTMENTS
|
|
|
In
September 2006, the Financial Accounting Standards Board (“FASB”) issued
Statement of Financial Accounting Standards No. 157, Fair Value
Measurement (“FAS 157”). FAS 157 defines fair value, establishes a
framework for measuring fair value and expands disclosures about fair
value measurements. The Fund adopted FAS 157 as of January 1, 2008. The
adoption of FAS 157 did not have a material impact on the Fund’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).
FAS
157 established a hierarchical 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 by FAS 157, 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.
Investments that are included in this category generally are privately
held debt and equity securities.
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. MLAI’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.
|
12
The
following table summarizes the valuation of the Fund’s investments by the above
FAS 157 fair value hierarchy levels as of December 31, 2008:
|
Total
|
Level
I
|
Level
II
|
Level
III
|
||
|
Net
unrealized profit
(loss)
on open contracts
|
$14,731,114
|
$14,731,114
|
N/A |
N/A
|
|
4.
|
RELATED
PARTY TRANSACTIONS
|
|
|
The
Fund’s U.S. dollar assets are maintained at MLPF&S. On assets held in
U.S. dollars, Merrill Lynch credits the Fund with interest at the most
favorable rate payable by MLPF&S to accounts of Merrill Lynch
affiliates but not less than 75% of such prevailing rate. The
Fund is credited with interest on any of its assets and net gains actually
held by MLPF&S non-U.S. dollar currencies at a prevailing local rate
received by Merrill Lynch. Merrill Lynch may derive certain
economic benefit, in excess of the interest which Merrill Lynch pays to
the Fund, from possession of such
assets.
|
|
Merrill
Lynch charges the Fund at prevailing local interest rates for financing
realized and unrealized losses on the Fund’s non-U.S. dollar-denominated
positions. Such amounts are netted against interest income due
to the insignificance of such
amounts.
|
The Fund
charges Sponsor fees on the month-end net assets after all other charges at
annual rates equal to 1.50% for Class A, 2.50% for Class C, 1.10% on Class
I. Class D, DS, and DT are not charged a Sponsor
Fee. Sponsor Fees are paid to MLAI.
|
|
The
Fund pays brokerage commissions on actual cost per round turn. The average
round-turn commission rate charged to the Fund for the years ended
December 31, 2008, 2007 and 2006 was approximately $7.16, $9.58, and
$9.82, respectively (not including, in calculating round-turn, forward
contracts on a futures-equivalent
basis).
|
|
|
|
5.
|
ADVISORY
AGREEMENT
|
|
The
Fund and Winton have entered into an Advisory Agreement. This
agreement shall continue in effect until December 31, 2014. Thereafter,
this agreement shall be automatically renewed for successive three-year
periods, on the same terms, unless terminated by either Winton or the Fund
upon 90 days’ notice to the other party. Winton determines the commodity
futures, options on futures and forward contract trades to be made on
behalf of their respective Fund accounts, subject to certain trading
policies and to certain rights reserved by
MLAI.
|
The Fund
charges annual management fees on the Fund’s average month-end net assets
allocated to them after reduction for the brokerage commissions accrued with
respect to such assets and are payable to Winton on a monthly basis. Management
Fees are 2.0% for all classes except for Class DT which charges a 1.5%
Fee. Winton pays MLAI 25% of the management fees on all classes
except Class DT in return for sponsoring and providing ongoing administration
and operational support to the fund.
Performance
fees are charged by the Fund on any New Trading Profit, as defined, and are
payable to Winton as of either the end of each calendar year or upon any interim
period for which there are net redemption of Units, to the extent of the
applicable percentage of any New Trading Profit attributable to such Units. The
fund charges a 20% performance fee for all classes except Class DT
13
which is
charged a performance fee of 15%. Winton pays MLAI 25% of
any Performance fees paid by the Fund not including Class DT.
|
6.
|
NET
ASSET VALUE PER UNIT
|
For
financial reporting purposes, in conformity with U.S. GAAP, the Fund deducted
the total initial offering costs payable to MLAI at inception from Members’
Capital for purposes of determining Net Asset Value. For all other
purposes, including computing Net Asset Value for purposes of member
subscription and redemption activity, such costs are amortized over 60
months. Consequently, as of December 31, 2008 and 2007, the Net Asset
Value and Net Asset Value per Unit of the different Classes for financial
reporting purposes and for all other purposes are as follows:
December
31, 2008
| Net Asset Value | Net Asset Value per Unit | |||||||||||||||||||
|
All
Other Purposes (unaudited)
|
Financial
Reporting
|
Number
of Units
|
All
Other Purposes (unaudited)
|
Financial
Reporting
|
||||||||||||||||
|
Class
A
|
$ | 75,408,044 | $ | 75,393,264 | 45,859,129 | $ | 1.6443 | $ | 1.6440 | |||||||||||
|
Class
C
|
340,596,360 | 340,557,702 | 215,178,830 | 1.5829 | 1.5827 | |||||||||||||||
|
Class
D
|
117,361,002 | 117,366,051 | 73,051,567 | 1.6065 | 1.6066 | |||||||||||||||
|
Class
I
|
71,377,362 | 71,357,222 | 43,073,827 | 1.6571 | 1.6566 | |||||||||||||||
|
Class
DS
|
111,014,511 | 111,018,099 | 69,186,442 | 1.6046 | 1.6046 | |||||||||||||||
|
Class
DT
|
88,290,271 | 88,296,222 | 53,758,785 | 1.6423 | 1.6425 | |||||||||||||||
| $ | 804,047,550 | $ | 803,988,560 | 500,108,580 | ||||||||||||||||
December
31, 2007
| Net Asset Value | Net Asset Value per Unit | |||||||||||||||||||
|
All
Other Purposes (unaudited)
|
Financial
Reporting
|
Number
of Units
|
All
Other Purposes (unaudited)
|
Financial
Reporting
|
||||||||||||||||
|
Class
A
|
$ | 55,269,166 | $ | 55,249,882 | 40,117,768 | $ | 1.3777 | $ | 1.3772 | |||||||||||
|
Class
C
|
286,151,621 | 286,091,149 | 213,652,153 | 1.3393 | 1.3391 | |||||||||||||||
|
Class
D
|
103,239,603 | 103,236,597 | 77,864,803 | 1.3259 | 1.3258 | |||||||||||||||
|
Class
I
|
52,156,427 | 52,132,196 | 37,718,572 | 1.3828 | 1.3821 | |||||||||||||||
|
Class
DS
|
17,829,738 | 17,829,738 | 13,447,784 | 1.3258 | 1.3258 | |||||||||||||||
|
Class
DT
|
92,508,127 | 92,508,127 | 69,259,318 | 1.3357 | 1.3357 | |||||||||||||||
| $ | 607,154,682 | $ | 607,047,689 | 452,060,398 | ||||||||||||||||
14
|
7.
|
WEIGHTED
AVERAGE UNITS
|
The
weighted average number of Units outstanding for each Class is computed for
purposes of calculating net income (loss) per weighted average
Unit. The weighted average number of Units outstanding for the years
ended December 31, 2008, 2007 and 2006 equals the Units outstanding as of
such date, adjusted proportionately for Units sold or redeemed based on the
respective length of time each was outstanding during the
period.
|
8.
|
RECENT
ACCOUNTING PRONOUNCEMENTS
|
In March
2008, the FASB released Statement of Financial Accounting Standards No. 161,
Disclosures about Derivative
Instruments and Hedging Activities – an amendment to FASB Statement No.
133 (“FAS 161”). FAS 161 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. The
application of FAS 161 is required for fiscal years beginning after November 15,
2008 and interim periods within those fiscal years. Currently, the Fund is
evaluating the implications of FAS 161 on its financial statements.
In May
2008, the FASB issued Statement of Financial Accounting Standards No. 162,
“The Hierarchy of Generally
Accepted Accounting Principles” (“FAS 162”). FAS 162 identifies the
sources of accounting principles and the framework for selecting the accounting
principles used in preparing financial statements of nongovernmental entities
that are presented in conformity with U.S. GAAP. Currently, U.S. GAAP hierarchy
is provided in the American Institute of Certified Public Accountants U.S.
Auditing Standards (“AU”) Section 411, “The Meaning of Present Fairly in
Conformity With Generally Accepted Accounting Principles”. The Fund does
not expect the adoption of FAS 162 to have an impact on its financial
statements.
15
|
9.
|
MARKET
AND CREDIT RISK
|
The
nature of this Fund has certain risks, which cannot all 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 open contracts 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 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 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 on open contracts, 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.
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* * * * * * * * * * *
To the
best of the knowledge and belief of the
undersigned,
the information contained in this
report is
accurate and complete.
/s/ Barbra E.
Kocsis
Barbra E.
Kocsis
Chief
Financial Officer
Merrill
Lynch Alternative Investments LLC
Sponsor
of
ML Winton
FuturesAccess LLC
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