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EX-32.02 - EX-32.02 - ML Winton FuturesAccess LLCa10-19007_7ex32d02.htm
EX-31.01 - EX-31.01 - ML Winton FuturesAccess LLCa10-19007_7ex31d01.htm
EX-32.01 - EX-32.01 - ML Winton FuturesAccess LLCa10-19007_7ex32d01.htm
EX-31.02 - EX-31.02 - ML Winton FuturesAccess LLCa10-19007_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

 

OR

 

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.

 

1



 

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.

 

2



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.

 

3



 

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.

 

4



 

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.

 

5



 

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

%

 


(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.

 

6



 

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.

(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.

 

7



 

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.

(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.

 

8



 

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.

 

9



 

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.

 

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 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.

 

11



 

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.

 

12



 

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.

 

13



 

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

 

14



 

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