ML Winton FuturesAccess LLC - FORM 10-Q

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EXCEL - IDEA: XBRL DOCUMENT - ML Winton FuturesAccess LLC	Financial_Report.xls

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 June 30, 2011

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 x 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 June 30, 2011, 610,576,798 units of limited liability company interest were outstanding.

ML WINTON FUTURESACCESS LLC

QUARTERLY REPORT FOR JUNE 30, 2011 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	25

Item 4.	Controls and Procedures	30

PART II

Item 1.	Legal Proceedings	30

Item 1A.	Risk Factors	30

Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	31

Item 3.	Defaults Upon Senior Securities	31

Item 4.	(Removed and Reserved)	32

Item 5.	Other Information	32

Item 6.	Exhibits	32

PART I - FINANCIAL INFORMATION

Item 1. Financial Statements

ML WINTON FUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OF FINANCIAL CONDITION

(unaudited)

	June 30,		December 31,
	2011		2010
ASSETS:
Equity in commodity trading accounts:
Cash (including restricted cash of $68,404,288, for 2011 and $57,039,642 for 2010)	$	1,008,657,591	$	887,636,418
Net unrealized profit on open futures contracts	1,786,483		29,070,679
Net unrealized profit on open forwards contracts	1,175,692		—
Cash and cash equivalents	2,137,499		350,000
Accrued interest receivable	4,089		1,636

TOTAL ASSETS	$	1,013,761,354	$	917,058,733

LIABILITIES AND MEMBERS’ CAPITAL:
LIABILITIES:
Brokerage commissions payable	$	3,709	$	—
Sponsor and Advisory fees payable	2,767,174		14,056,344
Redemptions payable	6,867,759		3,527,632
Net unrealized loss on open futures contracts	5,919,294		1,498,718
Net unrealized loss on open forwards contracts	854,782		—
Other liabilities	354,390		505,731

Total liabilities	16,767,108		19,588,425

MEMBERS’ CAPITAL:
Sponsor’s Interest (19,470 Units and 19,470 Units)	31,569		32,147
Members’ Interest (610,557,328 Units and 543,509,913 Units)	996,962,677		897,438,161
Total members’ capital	996,994,246		897,470,308

TOTAL LIABILITIES AND MEMBERS’ CAPITAL	$	1,013,761,354	$	917,058,733

NET ASSET VALUE PER UNIT:
(Based on 610,576,798 and 543,529,383 Units outstanding; unlimited Units authorized)

Class A	$	1.6636	$	1.6810
Class C	$	1.5619	$	1.5862
Class D	$	1.6875	$	1.6924
Class I	$	1.6934	$	1.7078
Class DS	$	1.6854	$	1.6903
Class DT	$	1.7532	$	1.7532

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 six			For the six
	months ended			months ended			months ended			months ended
	June 30,			June 30,			June 30,			June 30,
	2011			2010			2011			2010
TRADING PROFIT (LOSS):
Realized, net	$	2,977,701		$	45,425,371		$	37,783,504		$	54,919,124
Change in unrealized, net	(19,158,422		)	(20,695,049		)	(31,383,862		)	6,710,933
Brokerage commissions	(259,784		)	(291,677		)	(501,944		)	(507,270		)

Total trading profit (loss)	(16,440,505		)	24,438,645			5,897,698			61,122,787

INVESTMENT INCOME (LOSS)
Interest	2,937			(999		)	861			(3,322		)

EXPENSES:
Management fee	5,015,370			3,937,643			9,709,546			7,712,104
Sponsor fee	3,280,826			2,360,027			6,275,844			4,613,191
Performance fee	(3,396,370		)	—			16,368			—
Other	382,311			234,485			742,936			486,127
Total expenses	5,282,137			6,532,155			16,744,694			12,811,422

NET INVESTMENT LOSS	(5,279,200		)	(6,533,154		)	(16,743,833		)	(12,814,744		)

NET INCOME (LOSS)	$	(21,719,705	)	$	17,905,491		$	(10,846,135	)	$	48,308,043

NET INCOME (LOSS) PER UNIT:

Weighted average number of Units outstanding
Class A	79,946,129			48,167,760			74,839,370			47,968,956
Class C	256,571,400			201,690,490			246,155,649			201,908,534
Class D	91,689,953			80,941,971			88,823,609			81,607,663
Class I	41,383,658			37,713,716			41,312,360			37,672,704
Class DS	108,389,340			107,115,968			109,223,717			107,296,208
Class DT	23,512,215			37,445,280			24,456,474			38,741,752

Net income (loss) per weighted average Unit
Class A	$	(0.0406	)	$	0.0341		$	(0.0265	)	$	0.0923
Class C	$	(0.0398	)	$	0.0287		$	(0.0287	)	$	0.0805
Class D	$	(0.0312	)	$	0.0400		$	(0.0080	)	$	0.1065
Class I	$	(0.0373	)	$	0.0363		$	(0.0170	)	$	0.0970
Class DS	$	(0.0296	)	$	0.0398		$	(0.0045	)	$	0.1032
Class DT	$	(0.0278	)	$	0.0430		$	0.0038		$	0.1085

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

For the six months ended June 30, 2011 and 2010

(unaudited) (in Units)

	Members’ Capital December 31,2009	Subscriptions	Redemptions		Members’ Capital June 30, 2010	Members’ Capital December 31, 2010	Subscriptions	Redemptions		Members’ Capital June 30, 2011
Class A	47,207,338	3,890,108	(3,410,480	)	47,686,966	65,325,934	21,421,685	(2,754,716	)	83,992,903
Class C	198,836,141	19,790,473	(19,038,442	)	199,588,172	222,514,645	52,625,421	(13,598,358	)	261,541,708
Class D	76,481,524	7,576,550	(2,979,453	)	81,078,621	81,540,462	12,090,920	(59,677	)	93,571,705
Class I	37,155,502	2,849,567	(2,653,322	)	37,351,747	40,328,794	5,091,200	(2,504,978	)	42,915,016
Class DS	106,138,162	2,485,855	(4,566,085	)	104,057,932	107,809,869	5,140,859	(6,845,403	)	106,105,325
Class DT	41,002,334	—	(6,097,711	)	34,904,623	25,990,209	—	(3,559,538	)	22,430,671

Total Members’ Units	506,821,001	36,592,553	(38,745,493	)	504,668,061	543,509,913	96,370,085	(29,322,670	)	610,557,328

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 six months ended June 30, 2011 and 2010

(unaudited)

	Members’ Capital December 31, 2009		Subscriptions		Redemptions			Net Income (Loss)		Members’ Capital June 30, 2010		Members’ Capital December 31, 2010		Subscriptions		Redemptions			Net Income (Loss)			Members’ Capital June 30, 2011
Class A	$	71,227,277	$	5,997,163	$	(5,306,548	)	$	4,428,304	$	76,346,196	$	109,814,969	$	36,583,908	$	(4,684,309	)	$	(1,983,852	)	$	139,730,716
Class C	285,929,558		28,701,353		(27,860,089		)	16,251,368		303,022,190		352,948,772		84,349,314		(21,745,536		)	(7,052,416		)	408,500,134
Class D	114,447,349		11,218,320		(4,647,328		)	8,689,229		129,707,570		138,000,547		20,713,739		(102,495		)	(710,804		)	157,900,987
Class I	56,724,216		4,367,970		(4,118,091		)	3,654,386		60,628,481		68,871,557		8,831,812		(4,326,354		)	(703,611		)	72,673,404
Class DS	158,630,745		3,755,673		(7,199,144		)	11,078,009		166,265,283		182,235,678		8,803,779		(11,720,371		)	(487,606		)	178,831,480
Class DT	63,048,636		—		(9,729,832		)	4,205,052		57,523,856		45,566,638		—		(6,333,414		)	92,732			39,325,956

Total Members’ Interest	$	750,007,781	$	54,040,479	$	(58,861,032	)	$	48,306,348	$	793,493,576	$	897,438,161	$	159,282,552	$	(48,912,479	)	$	(10,845,557	)	$	996,962,677

Class A	$	14,655	$	—	$	—		$	905	$	15,560	$	16,602	$	—	$	—		$	(277	)	$	16,325
Class C	14,031		—		—			790		14,821		15,545		—		—			(301		)	15,244

Total Sponsor’s Interest	$	28,686	$	—	$	—		$	1,695	$	30,381	$	32,147	$	—	$	—		$	(578	)	$	31,569

Total Members’ Capital	$	750,036,467	$	54,040,479	$	(58,861,032	)	$	48,308,043	$	793,523,957	$	897,470,308	$	159,282,552	$	(48,912,479	)	$	(10,846,135	)	$	996,994,246

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

For the three months ended June 30, 2011 (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	$	1.6995		$	1.5996		$	1.7175		$	1.7283		$	1.7153		$	1.7827

Net realized and net change in unrealized trading profit(loss)	(0.0252		)	(0.0236		)	(0.0256		)	(0.0257		)	(0.0256		)	(0.0268		)
Brokerage commissions	(0.0004		)	(0.0004		)	(0.0004		)	(0.0004		)	(0.0004		)	(0.0005		)
Interest income	0.0000			0.0000			0.0000			0.0000			0.0000			0.0000
Expenses	(0.0103		)	(0.0137		)	(0.0040		)	(0.0088		)	(0.0039		)	(0.0022		)

Net asset value, end of period	$	1.6636		$	1.5619		$	1.6875		$	1.6934		$	1.6854		$	1.7532

Total Return: (a)

Total return before Performance fees	-2.45		%	-2.35		%	-2.08		%	-2.35		%	-2.08		%	-1.96		%
Performance fees	0.30		%	0.30		%	0.30		%	0.30		%	0.30		%	0.27		%
Total return after Performance fees	-2.15		%	-2.05		%	-1.78		%	-2.05		%	-1.78		%	-1.69		%

Ratios to Average Members’ Capital:

Expenses (excluding Performance fees)	1.16		%	0.81		%	0.54		%	0.81		%	0.54		%	0.41		%
Performance fees	-0.32		%	-0.32		%	-0.32		%	-0.32		%	-0.32		%	-0.29		%
Expenses (including Performance fees)	0.84		%	0.49		%	0.22		%	0.49		%	0.22		%	0.12		%

Net investment income (loss)	-0.84		%	-0.49		%	-0.22		%	-0.49		%	-0.22		%	-0.12		%

(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 six months ended June 30, 2011 (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	$	1.6810		$	1.5862		$	1.6924		$	1.7078		$	1.6903		$	1.7532

Net realized and net change in unrealized trading profit(loss)	0.0154			0.0147			0.0153			0.0156			0.0153			0.0157
Brokerage commissions	(0.0009		)	(0.0008		)	(0.0009		)	(0.0009		)	(0.0009		)	(0.0009		)
Interest income	0.0000			0.0000			0.0000			0.0000			0.0000			0.0000
Expenses	(0.0319		)	(0.0382		)	(0.0193		)	(0.0291		)	(0.0193		)	(0.0148		)

Net asset value, end of period	$	1.6636		$	1.5619		$	1.6875		$	1.6934		$	1.6854		$	1.7532

Total Return: (a)

Total return before Performance fees	-1.02		%	-1.51		%	-0.27		%	-0.82		%	-0.27		%	-0.02		%
Performance fees	-0.08		%	-0.08		%	-0.08		%	-0.08		%	-0.08		%	-0.02		%
Total return after Performance fees	-1.10		%	-1.59		%	-0.35		%	-0.90		%	-0.35		%	-0.04		%

Ratios to Average Members’ Capital:

Expenses (excluding Performance fees)	1.83		%	2.33		%	1.08		%	1.63		%	1.08		%	0.83		%
Performance fees	0.05		%	0.05		%	0.05		%	0.05		%	0.05		%	0.00		%
Expenses (including Performance fees)	1.88		%	2.38		%	1.13		%	1.68		%	1.13		%	0.83		%

Net investment income (loss)	-1.88		%	-2.38		%	-1.13		%	-1.68		%	-1.13		%	-0.83		%

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

For the three months ended June 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	$	1.5668		$	1.4896		$	1.5598		$	1.5870		$	1.5579		$	1.6048

Net realized and net change in unrealized trading profit(loss)	0.0491			0.0467			0.0490			0.0498			0.0489			0.0504
Brokerage commissions	(0.0006		)	(0.0006		)	(0.0006		)	(0.0006		)	(0.0006		)	(0.0006		)
Interest income	(0.0000		)	(0.0000		)	(0.0000		)	(0.0000		)	(0.0000		)	(0.0000		)
Expenses	(0.0143		)	(0.0175		)	(0.0084		)	(0.0130		)	(0.0084		)	(0.0066		)

Net asset value, end of period	$	1.6010		$	1.5182		$	1.5998		$	1.6232		$	1.5978		$	1.6480

Total Return: (a)

Total return before Performance fees	2.18		%	2.28		%	2.56		%	2.28		%	2.56		%	2.69		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Total return after Performance fees	2.18		%	2.28		%	2.56		%	2.28		%	2.56		%	2.69		%

Ratios to Average Members’ Capital:

Expenses (excluding Performance fees)	1.16		%	0.81		%	0.53		%	0.81		%	0.53		%	0.41		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Expenses (including Performance fees)	1.16		%	0.81		%	0.53		%	0.81		%	0.53		%	0.41		%

Net investment income (loss)	-1.16		%	-0.81		%	-0.53		%	-0.81		%	-0.53		%	-0.41		%

(a) The total return calculations are based on compounded monthly returns and is 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 six months ended June 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)	0.1214			0.1154			0.1208			0.1229			0.1207			0.1243
Brokerage commissions	(0.0010		)	(0.0010		)	(0.0010		)	(0.0010		)	(0.0010		)	(0.0010		)
Interest income	(0.0000		)	(0.0000		)	(0.0000		)	(0.0000		)	(0.0000		)	(0.0000		)
Expenses	(0.0282		)	(0.0342		)	(0.0164		)	(0.0254		)	(0.0164		)	(0.0129		)

Net asset value, end of period	$	1.6010		$	1.5182		$	1.5998		$	1.6232		$	1.5978		$	1.6480

Total Return: (a)

Total return before Performance fees	6.11		%	5.58		%	6.91		%	6.32		%	6.91		%	7.18		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Total return after Performance fees	6.11		%	5.58		%	6.91		%	6.32		%	6.91		%	7.18		%

Ratios to Average Members’ Capital:

Expenses (excluding Performance fees)	1.82		%	2.33		%	1.07		%	1.62		%	1.07		%	0.82		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Expenses (including Performance fees)	1.82		%	2.33		%	1.07		%	1.62		%	1.07		%	0.82		%

Net investment income (loss)	-1.83		%	-2.33		%	-1.07		%	-1.62		%	-1.07		%	-0.82		%

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.

As of June 30, 2011 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 was offered at $1.0733 and Class DT 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 June 30, 2011 and the results of its operations for the three and six months ended June 30, 2011 and 2010 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, 2010.

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 and such differences could be material.

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 June 30, 2011 and December 31, 2010 are as follows:

June 30, 2011

	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	1,661	$	(2,652,612	)	-0.27	%	(1,003	)	$	596,032		0.06	%	$	(2,056,580	)	-0.21	%	July 11 - March 12
Currencies	3,827,124,097	1,264,059			0.13	%	(190,113,420	)	(1,392,155		)	-0.14	%	(128,096		)	-0.01	%	September 11
Energy	764	(266,166		)	-0.03	%	(593	)	(1,569,775		)	-0.16	%	(1,835,941		)	-0.18	%	July 11 - September 11
Interest rates	22,706	1,203,288			0.12	%	—		—			0.00	%	1,203,288			0.12	%	August 11 - September 13
Metals	1,637	(4,166,247		)	-0.42	%	(583	)	(764,986		)	-0.08	%	(4,931,233		)	-0.49	%	July 11 - March 12
Stock indices	2,372	4,888,456			0.49	%	(656	)	(951,795		)	-0.10	%	3,936,661			0.39	%	July 11 - September 11

Total		$	270,778		0.02	%			$	(4,082,679	)	-0.42	%	$	(3,811,901	)	-0.39	%

December 31, 2010

	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	2,770	$	9,362,389	1.04	%	—		$	—		0.00	%	$	9,362,389		1.04	%	January 11 - May 11
Currencies	3,269	9,911,888		1.10	%	(635	)	(1,163,106		)	-0.13	%	8,748,782			0.97	%	March 11
Energy	874	1,810,141		0.20	%	(242	)	(588,535		)	-0.07	%	1,221,606			0.13	%	January 11 - April 11
Interest rates	2,590	262,053		0.03	%	(2,439	)	(1,599,666		)	-0.18	%	(1,337,613		)	-0.15	%	January 11 - March 13
Metals	1,431	12,256,554		1.37	%	(342	)	(3,589,079		)	-0.40	%	8,667,475			0.97	%	January 11 - November 11
Stock indices	3,909	817,965		0.09	%	(227	)	91,357			0.01	%	909,322			0.10	%	January 11 - March 11

Total		$	34,420,990	3.83	%			$	(6,849,029	)	-0.77	%	$	27,571,961		3.06	%

No individual contract’s unrealized gain or loss comprised greater than 5% of the Members’ Capital as of June 30, 2011 and December 31, 2010.

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 most 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 and certain futures contracts.

The Fund’s net unrealized profit (loss) on open forward and futures contracts by the above fair value hierarchy levels as of June 30, 2011 and December 31, 2010 are as follows:

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

Futures
Long	$	(904,914	)	$	1,964,611		$	(2,869,525	)	$	—
Short	$	(3,227,897	)	$	(2,462,911	)	$	(764,986	)	$	—
	$	(4,132,811	)	$	(498,300	)	$	(3,634,511	)	$	—

Forwards
Long	$	1,175,692		$	—		$	1,175,692		$	—
Short	$	(854,782	)	$	—		$	(854,782	)	$	—
	$	320,910		$	—		$	320,910		$	—

June 30, 2011	$	(3,811,901	)	$	(498,300	)	$	(3,313,601	)	$	—

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

Futures
Long	$	34,420,990		$	27,372,293		$	7,048,697		$	—
Short	$	(6,849,029	)	$	(3,259,950	)	$	(3,589,079	)	$	—
	$	27,571,961		$	24,112,343		$	3,459,618		$	—

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

December 31, 2010	$	27,571,961		$	24,112,343		$	3,459,618		$	—

The Fund’s volume of trading futures as of the period and year ended June 30, 2011 and the December 31, 2010, respectively, are representative of the activity throughout these periods. There were no transfers to or from Level I or II during the quarter ended June 30, 2011.

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 six month periods ended June 30, 2011 and 2010.

	For the three months ended	For the six months ended
	June 30, 2011	June 30, 2011
Commodity Industry Sector	Gain (loss) from trading	Gain (loss) from trading

ML Winton FuturesAccess LLC - FORM 10-Q - August 12, 2011

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