ML Winton FuturesAccess LLC - FORM 10-Q

ML Winton FuturesAccess LLC - FORM 10-Q - November 12, 2010

Attached files

Attached files

file	filename
EX-32.02 - EX-32.02 - ML Winton FuturesAccess LLC	a10-19007_7ex32d02.htm
EX-31.01 - EX-31.01 - ML Winton FuturesAccess LLC	a10-19007_7ex31d01.htm
EX-32.01 - EX-32.01 - ML Winton FuturesAccess LLC	a10-19007_7ex32d01.htm
EX-31.02 - EX-31.02 - ML Winton FuturesAccess LLC	a10-19007_7ex31d02.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, 2010

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, 10th 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)

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 website, 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, 2010, 518,067,553 units of limited liability company interest were outstanding.

ML WINTON FUTURESACCESS LLC

QUARTERLY REPORT FOR SEPTEMBER 30, 2010 ON FORM 10-Q

Table of Contents

		PAGE
PART I

Item 1.	Financial Statements	1

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	18

Item 3.	Quantitative and Qualitative Disclosures About Market Risk	27

Item 4.	Controls and Procedures	32

PART II

Item 1.	Legal Proceedings	32

Item 1A.	Risk Factors	32

Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	33

Item 3.	Defaults Upon Senior Securities	34

Item 4.	(Removed and Reserved)	34

Item 5.	Other Information	34

Item 6.	Exhibits	34

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,
	2010		2009
ASSETS:
Equity in commodity trading accounts:
Cash (including restricted cash of $70,053,160 for 2010 and $53,748,925 for 2009)	$	807,425,807	$	761,893,194
Net unrealized profit on open futures contracts	33,516,907		5,460,626
Cash and cash equivalents	300,000		1,102,160
Accrued interest receivable	2,866		—

TOTAL ASSETS	$	841,245,580	$	768,455,980

LIABILITIES AND MEMBERS’ CAPITAL:
LIABILITIES:
Brokerage commissions payable	$	—	$	115,138
Sponsor and Advisory fees payable	6,323,274		3,146,710
Redemptions payable	3,591,918		12,610,951
Net unrealized loss on open futures contracts	2,090,509		2,155,460
Other liabilities	295,197		391,254

Total liabilities	12,300,898		18,419,513

MEMBERS’ CAPITAL:
Sponsor’s Interest (19,470 Units and 19,470 Units)	30,990		28,686
Members’ Interest (518,048,083 Units and 506,821,001 Units)	828,913,692		750,007,781
Total members’ capital	828,944,682		750,036,467

TOTAL LIABILITIES AND MEMBERS’ CAPITAL	$	841,245,580	$	768,455,980

NET ASSET VALUE PER UNIT: (Based on 518,067,553 and 506,840,471 Units outstanding; unlimited Units authorized)

Class A	$	1.6297	$	1.5088
Class C	$	1.5416	$	1.4380
Class D	$	1.6346	$	1.4964
Class I	$	1.6540	$	1.5267
Class DS	$	1.6326	$	1.4946
Class DT	$	1.6879	$	1.5377

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,
	2010			2009			2010			2009
TRADING PROFIT (LOSS):

Realized, net	$	4,925,017		$	(11,778,258	)	$	59,844,141		$	(54,611,721	)
Change in unrealized, net	21,410,299			22,314,757			28,121,232			9,039,356
Brokerage commissions	(245,453		)	(203,463		)	(752,723		)	(596,742		)

Total trading profit (loss)	26,089,863			10,333,036			87,212,650			(46,169,107		)

INVESTMENT INCOME:
Interest	3,756			(5,390		)	434			52,569

EXPENSES:
Management fee	3,996,946			3,708,504			11,709,050			11,470,161
Sponsor fee	2,453,986			2,252,474			7,067,177			7,264,488
Performance fee	4,087,247			—			4,087,247			583
Other	310,526			396,081			796,653			1,054,124
Total expenses	10,848,705			6,357,059			23,660,127			19,789,356

NET INVESTMENT LOSS	(10,844,949		)	(6,362,449		)	(23,659,693		)	(19,736,787		)

NET INCOME (LOSS)	$	15,244,914		$	3,970,587		$	63,552,957		$	(65,905,894	)

NET INCOME (LOSS) PER UNIT:

Weighted average number of Units outstanding
Class A	52,756,328			48,330,421			49,564,746			48,290,312
Class C	206,912,707			203,695,343			203,576,592			209,769,004
Class D	81,283,522			78,318,234			81,499,616			78,159,645
Class I	38,216,373			41,090,886			37,853,927			42,465,404
Class DS	104,125,551			101,023,751			106,239,322			86,031,099
Class DT	29,995,500			47,750,063			35,826,335			50,098,593

Net income (loss) per weighted average Unit
Class A	$	0.0333		$	0.0063		$	0.1248		$	(0.1378	)
Class C	$	0.0244		$	0.0022		$	0.1047		$	(0.1419	)
Class D	$	0.0348		$	0.0112		$	0.1413		$	(0.1174	)
Class I	$	0.0312		$	0.0082		$	0.1281		$	(0.1341	)
Class DS	$	0.0350		$	0.0135		$	0.1386		$	(0.1043	)
Class DT	$	0.0255		$	0.0134		$	0.1387		$	(0.1135	)

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, 2010 and 2009

(unaudited) (in Units)

	Members’ Capital December 31,2008	Subscriptions	Redemptions		Members’ Capital September 30, 2009	Members’ Capital December 31, 2009	Subscriptions	Redemptions		Members’ Capital September 30, 2010
Class A	45,849,416	9,950,735	(8,234,239	)	47,565,912	47,207,338	14,947,161	(5,381,665	)	56,772,834
Class C	215,169,073	28,649,326	(44,094,154	)	199,724,245	198,836,141	34,802,821	(23,057,840	)	210,581,122
Class D	73,051,567	6,041,151	(2,711,187	)	76,381,531	76,481,524	8,191,253	(2,979,453	)	81,693,324
Class I	43,073,827	7,952,058	(9,891,534	)	41,134,351	37,155,502	4,491,371	(3,551,230	)	38,095,643
Class DS	69,186,442	34,891,377	—		104,077,819	106,138,162	2,905,250	(5,202,017	)	103,841,395
Class DT	53,758,785	459,179	(7,785,464	)	46,432,500	41,002,334	—	(13,938,569	)	27,063,765

Total Members’ Units	500,089,110	87,943,826	(72,716,578	)	515,316,358	506,821,001	65,337,856	(54,110,774	)	518,048,083

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

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

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

For the nine months ended September 30, 2010 and 2009

(unaudited)

	Members’ Capital December 31, 2008		Subscriptions		Redemptions			Net Income (Loss)			Members’ Capital September 30, 2009		Members’ Capital December 31, 2009		Subscriptions		Redemptions			Net Income (Loss)		Members’ Capital September 30, 2010
Class A	$	75,377,293	$	15,777,283	$	(12,754,541	)	$	(6,639,858	)	$	71,760,177	$	71,227,277	$	23,557,909	$	(8,446,913	)	$	6,184,617	$	92,522,890
Class C	340,542,258		43,359,316		(66,271,637		)	(29,735,962		)	287,893,975		285,929,558		51,355,044		(33,956,280		)	21,305,178		324,633,500
Class D	117,366,051		9,663,521		(3,989,217		)	(9,183,574		)	113,856,781		114,447,349		12,218,319		(4,647,328		)	11,517,442		133,535,782
Class I	71,357,222		12,705,694		(15,661,749		)	(5,672,454		)	62,728,713		56,724,216		7,029,542		(5,593,240		)	4,847,857		63,008,375
Class DS	111,018,099		52,913,336		—			(8,980,195		)	154,951,240		158,630,745		4,405,527		(8,232,407		)	14,727,068		169,530,933
Class DT	88,296,222		714,029		(12,285,078		)	(5,691,153		)	71,034,020		63,048,636		—		(22,334,915		)	4,968,491		45,682,212

Total Members’ Interest	$	803,957,145	$	135,133,179	$	(110,962,222	)	$	(65,903,196	)	$	762,224,906	$	750,007,781	$	98,566,341	$	(83,211,083	)	$	63,550,653	$	828,913,692

Class A	$	15,971	$	—	$	—		$	(1,318	)	$	14,653	$	14,655	$	—	$	—		$	1,269	$	15,924
Class C	15,444		—		—			(1,380		)	14,064		14,031		—		—			1,035		15,066

Total Sponsor’s Interest	$	31,415	$	—	$	—		$	(2,698	)	$	28,717	$	28,686	$	—	$	—		$	2,304	$	30,990

Total Members’ Capital	$	803,988,560	$	135,133,179	$	(110,962,222	)	$	(65,905,894	)	$	762,253,623	$	750,036,467	$	98,566,341	$	(83,211,083	)	$	63,552,957	$	828,944,682

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

For the three months ended September 30, 2010 (unaudited)

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	$	1.6010		$	1.5182		$	1.5998		$	1.6232		$	1.5978		$	1.6480

Net realized and net change in unrealized trading profit(loss)	0.0521			0.0493			0.0522			0.0529			0.0521			0.0538
Brokerage commissions	(0.0005		)	(0.0005		)	(0.0005		)	(0.0005		)	(0.0005		)	(0.0005		)
Interest income	0.0000			0.0000			0.0000			0.0000			0.0000			0.0000
Expenses	(0.0229		)	(0.0254		)	(0.0169		)	(0.0216		)	(0.0168		)	(0.0134		)

Net asset value, end of period	$	1.6297		$	1.5416		$	1.6346		$	1.6540		$	1.6326		$	1.6879

Total Return: (a)

Total return before Performance fees	2.31		%	2.41		%	2.69		%	2.41		%	2.69		%	2.82		%
Performance fees	-0.52		%	-0.52		%	-0.52		%	-0.52		%	-0.52		%	-0.41		%
Total return after Performance fees	1.79		%	1.89		%	2.17		%	1.89		%	2.17		%	2.41		%

Ratios to Average Members’ Capital:

Expenses (excluding Performance fees)	1.17		%	0.82		%	0.54		%	0.82		%	0.54		%	0.42		%
Performance fees	0.52		%	0.51		%	0.51		%	0.51		%	0.51		%	0.40		%
Expenses (including Performance fees)	1.69		%	1.33		%	1.05		%	1.33		%	1.05		%	0.82		%

Net investment income (loss)	-1.69		%	-1.33		%	-1.06		%	-1.33		%	-1.06		%	-0.81		%

(a) The total return calculations are based on compounded monthly returns and are calculated for each class taken as a whole. An individual members’ return may vary from these returns based on timing of capital transactions.

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

For the nine months ended September 30, 2010 (unaudited)

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	$	1.5088		$	1.4380		$	1.4964		$	1.5267		$	1.4946		$	1.5377

Net realized and net change in unrealized trading profit(loss)	0.1735			0.1647			0.1730			0.1758			0.1728			0.1781
Brokerage commissions	(0.0015		)	(0.0014		)	(0.0015		)	(0.0015		)	(0.0015		)	(0.0015		)
Interest income	0.0000			0.0000			0.0000			0.0000			0.0000			0.0000
Expenses	(0.0511		)	(0.0597		)	(0.0333		)	(0.0470		)	(0.0333		)	(0.0264		)

Net asset value, end of period	$	1.6297		$	1.5416		$	1.6346		$	1.6540		$	1.6326		$	1.6879

Total Return: (a)

Total return before Performance fees	8.56		%	7.75		%	9.79		%	8.89		%	9.79		%	10.20		%
Performance fees	-0.52		%	-0.52		%	-0.52		%	-0.52		%	-0.52		%	-0.41		%
Total return after Performance fees	8.04		%	7.23		%	9.27		%	8.37		%	9.27		%	9.79		%

Ratios to Average Members’ Capital:

Expenses (excluding Performance fees)	2.74		%	3.50		%	1.61		%	2.44		%	1.61		%	1.23		%
Performance fees	0.51		%	0.52		%	0.51		%	0.51		%	0.51		%	0.40		%
Expenses (including Performance fees)	3.25		%	4.02		%	2.12		%	2.95		%	2.12		%	1.63		%

Net investment income (loss)	-3.26		%	-4.02		%	-2.13		%	-2.96		%	-2.13		%	-1.63		%

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 (unaudited)

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: (a)

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 (unaudited)

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	$	1.6440		$	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: (a)

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”), 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 issues new units of limited liability company interest (“Units”) at Net Asset Value per Unit (see Item 2 for discussion of net asset value and net asset value per unit for subscriptions and redemptions purposes hereinafter referred to as Net Asset Value and 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 (“Winton” or “trading advisor”) is the trading advisor of the Fund.

Merrill Lynch Alternative Investments LLC (“MLAI” or the “Sponsor”) 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. Merrill Lynch is a wholly-owned subsidiary of Bank of America Corporation.

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. 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.

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.

In the opinion of management, these interim financial statements contain all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the financial position of the Fund as of September 30, 2010 and the results of its operations for the three and nine months ended September 30, 2010 and 2009. 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, 2009. Certain prior period items have been reclassified to conform to the current period presentation.

Estimates

The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that may affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements as well as 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, 2010 and December 31, 2009 are as follows:

September 30, 2010

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

Agriculture	3,219	$	2,050,392	0.25	%	(482	)	(93,078		)	-0.01	%	$	1,957,314		0.24	%	October 2010 - April 2011
Currencies	4,530	12,245,043		1.48	%	(776	)	(5,392,881		)	-0.65	%	6,852,162			0.83	%	December 2010
Energy	167	429,554		0.05	%	(747	)	(1,668,353		)	-0.20	%	(1,238,799		)	-0.15	%	October 2010 - January 2011
Interest rates	21,003	13,467,914		1.62	%	(161	)	(441		)	0.00	%	13,467,473			1.62	%	October 2010 - December 2012
Metals	1,402	11,008,615		1.33	%	(153	)	(1,055,343		)	-0.13	%	9,953,272			1.20	%	November 2010 - September 2011
Stock indices	3,127	570,295		0.07	%	(163	)	(135,319		)	-0.02	%	434,976			0.05	%	October 2010 - December 2010

Total		$	39,771,813	4.80	%			$	(8,345,415	)	-1.01	%	$	31,426,398		3.79	%

December 31, 2009

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

Agriculture	1,102	$	1,087,413		0.14	%	(989	)	$	(286,832	)	-0.04	%	$	800,581		0.10	%	January 10 - November 10
Currencies	2,892	(2,562,251		)	-0.34	%	(302	)	(169,839		)	-0.02	%	(2,732,090		)	-0.36	%	March 10
Energy	106	134,142			0.02	%	(255	)	(642,428		)	-0.09	%	(508,286		)	-0.07	%	January 10 - December 10
Interest rates	7,633	(179,602		)	-0.03	%	(460	)	17,539			0.00	%	(162,063		)	-0.03	%	January 10 - June 10
Metals	1,420	3,027,127			0.40	%	(106	)	(880,988		)	-0.13	%	2,146,139			0.27	%	January 10 - April 10
Stock indices	5,218	3,774,920			0.50	%	(16	)	(14,035		)	0.00	%	3,760,885			0.50	%	January 10 - March 10

Total		$	5,281,749		0.69	%			$	(1,976,583	)	-0.28	%	$	3,305,166		0.41	%

No individual contract’s unrealized gain or loss comprised greater than 5% of the Members’ Capital as of September 30, 2010 and December 31, 2009.

3. FAIR VALUE OF INVESTMENTS

The Financial Accounting Standards Board (“FASB”) issued the Accounting Standards Codification (“ASC”) which provides authoritative guidance on fair value measurement. This guidance defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements.

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 a commodity 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 by the fair market value measurement guidance, 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.

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 by the Fund 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.

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 Fund’s net unrealized profit (loss) on open forward and futures contracts by the above fair value hierarchy levels as of September 30, 2010 and December 31, 2009 are as follows:

Net unrealized profit (loss) on open contracts	Total			Level I			Level II			Level III

Futures
Long	$	39,771,813		38,233,588			1,538,225			—
Short	$	(8,345,415	)	(7,290,072		)	(1,055,343		)	—
	$	31,426,398		$	30,943,516		$	482,882		$	—

Forwards
Long	$	—		—			—			—
Short	$	—		—			—			—
	$	—		$	—		$	—		$	—

September 30, 2010	$	31,426,398		$	30,943,516		$	482,882		$	—

Net unrealized profit (loss)
on open contracts	Total			Level I			Level II			Level III

Futures
Long	$	5,281,749		2,081,900			3,199,849			—
Short	$	(1,976,583	)	(1,095,596		)	(880,987		)	—
	$	3,305,166		$	986,304		$	2,318,862		$	—

Forwards
Long	$	—		—			—			—
Short	$	—		—			—			—
	$	—		$	—		$	—		$	—

December 31, 2009	$	3,305,166		$	986,304		$	2,318,862		$	—

The Fund’s volume of trading futures as of the period and year ended September 30, 2010 and the December 31, 2009, respectively, are representative of the activity throughout these periods.

There were no significant transfers to or from Level I or II during the quarter and period ended September 30, 2010.

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, 2010 and 2009:

For the three months ended

For the nine months ended

September 30, 2010

September 30, 2010

Commodity Industry Sector

Gain (loss) from trading

Gain (loss) from trading