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 September 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 September 30, 2011, 628,741,387 units of limited liability company interest were outstanding.

ML WINTON FUTURESACCESS LLC

QUARTERLY REPORT FOR SEPTEMBER 30, 2011 ON FORM 10-Q

Table of Contents

		PAGE

	PART I—FINANCIAL INFORMATION

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—OTHER INFORMATION

Item 1.	Legal Proceedings	32

Item 1A.	Risk Factors	32

Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	32

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,
	2011		2010
ASSETS:
Equity in commodity trading accounts:
Cash (including restricted cash of $49,082,402 for 2011 and $57,039,642 for 2010)	$	1,099,959,029	$	887,636,418
Net unrealized profit on open futures contracts	12,906,419		29,070,679
Net unrealized profit on open forwards contracts	1,490,544		—
Cash and cash equivalents	1,110,632		350,000
Accrued interest receivable	170		1,636

TOTAL ASSETS	$	1,115,466,794	$	917,058,733

LIABILITIES AND MEMBERS’ CAPITAL:
LIABILITIES:
Brokerage commissions payable	$	3,907	$	—
Sponsor and Advisory fees payable	17,274,977		14,056,344
Redemptions payable	8,912,751		3,527,632
Net unrealized loss on open futures contracts	2,023,101		1,498,718
Net unrealized loss on open forwards contracts	2,300,744		—
Other liabilities	684,553		505,731

Total liabilities	31,200,033		19,588,425

MEMBERS’ CAPITAL:
Sponsor’s Interest (19,470 Units and 19,470 Units)	33,821		32,147
Members’ Interest (628,721,917 Units and 543,509,913 Units)	1,084,232,940		897,438,161
Total members’ capital	1,084,266,761		897,470,308

TOTAL LIABILITIES AND MEMBERS’ CAPITAL	$	1,115,466,794	$	917,058,733

NET ASSET VALUE PER UNIT:
(Based on 628,741,387 and 543,529,383 Units outstanding; unlimited Units authorized)

Class A	$	1.7581	$	1.6810
Class C	$	1.6465	$	1.5862
Class D	$	1.7900	$	1.6924
Class I	$	1.7914	$	1.7078
Class DS	$	1.7878	$	1.6903
Class DT	$	1.8667	$	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 nine			For the nine
	months ended			months ended			months ended			months ended
	September 30,			September 30,			September 30,			September 30,
	2011			2010			2011			2010
TRADING PROFIT (LOSS):
Realized, net	$	68,766,429		$	4,925,017		$	106,549,933		$	59,844,141
Change in unrealized, net	13,885,019			21,410,299			(17,498,843		)	28,121,232
Brokerage commissions	(301,929		)	(245,453		)	(803,873		)	(752,723		)

Total trading profit (loss)	82,349,519			26,089,863			88,247,217			87,212,650

INVESTMENT INCOME (LOSS)
Interest	41,429			3,756			42,290			434

EXPENSES:
Management fee	5,430,382			3,996,946			15,139,928			11,709,050
Sponsor fee	3,630,795			2,453,986			9,906,639			7,067,177
Performance fee	14,225,169			4,087,247			14,241,537			4,087,247
Other	386,270			310,526			1,129,206			796,653
Total expenses	23,672,616			10,848,705			40,417,310			23,660,127

NET INVESTMENT (LOSS)	(23,631,187		)	(10,844,949		)	(40,375,020		)	(23,659,693		)

NET INCOME (LOSS)	$	58,718,332		$	15,244,914		$	47,872,197		$	63,552,957

NET INCOME (LOSS) PER UNIT:

Weighted average number of Units outstanding
Class A	91,806,732			52,756,328			80,495,158			49,564,746
Class C	273,529,411			206,912,707			255,280,237			203,576,592
Class D	94,268,741			81,283,522			90,638,653			81,499,616
Class I	44,697,911			38,216,373			42,440,877			37,853,927
Class DS	103,534,385			104,125,551			107,327,273			106,239,322
Class DT	21,884,883			29,995,500			23,599,277			35,826,335

Net income (loss) per weighted average Unit
Class A	$	0.0929		$	0.0333		$	0.0813		$	0.1248
Class C	$	0.0840		$	0.0244		$	0.0623		$	0.1047
Class D	$	0.1019		$	0.0348		$	0.0982		$	0.1413
Class I	$	0.0958		$	0.0312		$	0.0843		$	0.1281
Class DS	$	0.1043		$	0.0350		$	0.0961		$	0.1386
Class DT	$	0.1155		$	0.0255		$	0.1111		$	0.1387

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, 2011 and 2010

(unaudited) (in Units)

	Members’ Capital December 31,2009	Subscriptions	Redemptions		Members’ Capital September 30, 2010	Members’ Capital December 31, 2010	Subscriptions	Redemptions		Members’ Capital September 30, 2011
Class A	47,207,338	14,947,161	(5,381,665	)	56,772,834	65,325,934	31,976,802	(3,819,347	)	93,483,389
Class C	198,836,141	34,802,821	(23,057,840	)	210,581,122	222,514,645	74,788,459	(20,999,482	)	276,303,622
Class D	76,481,524	8,191,253	(2,979,453	)	81,693,324	81,540,462	13,898,406	(952,865	)	94,486,003
Class I	37,155,502	4,491,371	(3,551,230	)	38,095,643	40,328,794	8,781,499	(3,072,788	)	46,037,505
Class DS	106,138,162	2,905,250	(5,202,017	)	103,841,395	107,809,869	5,140,859	(15,347,135	)	97,603,593
Class DT	41,002,334	—	(13,938,569	)	27,063,765	25,990,209	—	(5,182,404	)	20,807,805

Total Members’ Units	506,821,001	65,337,856	(54,110,774	)	518,048,083	543,509,913	134,586,025	(49,374,021	)	628,721,917

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, 2011 and 2010

(unaudited)

	Members’ Capital December 31, 2009		Subscriptions		Redemptions			Net Income (Loss)		Members’ Capital September 30, 2010		Members’ Capital December 31, 2010		Subscriptions		Redemptions			Net Income (Loss)		Members’ Capital September 30, 2011
Class A	$	71,227,277	$	23,557,909	$	(8,446,913	)	$	6,184,617	$	92,522,890	$	109,814,969	$	54,533,862	$	(6,542,164	)	$	6,546,241	$	164,352,908
Class C	285,929,558		51,355,044		(33,956,280		)	21,305,178		324,633,500		352,948,772		119,891,752		(33,822,170		)	15,911,791		454,930,145
Class D	114,447,349		12,218,319		(4,647,328		)	11,517,442		133,535,782		138,000,547		23,936,091		(1,701,302		)	8,899,064		169,134,400
Class I	56,724,216		7,029,542		(5,593,240		)	4,847,857		63,008,375		68,871,557		15,356,726		(5,335,924		)	3,579,740		82,472,099
Class DS	158,630,745		4,405,527		(8,232,407		)	14,727,068		169,530,933		182,235,678		8,803,779		(26,851,561		)	10,312,744		174,500,640
Class DT	63,048,636		—		(22,334,915		)	4,968,491		45,682,212		45,566,638		—		(9,344,833		)	2,620,943		38,842,748

Total Members’ Interest	$	750,007,781	$	98,566,341	$	(83,211,083	)	$	63,550,653	$	828,913,692	$	897,438,161	$	222,522,210	$	(83,597,954	)	$	47,870,523	$	1,084,232,940

Class A	$	14,655	$	—	$	—		$	1,269	$	15,924	$	16,602	$	—	$	—		$	994	$	17,596
Class C	14,031		—		—			1,035		15,066		15,545		—		—			680		16,225

Total Sponsor’s Interest	$	28,686	$	—	$	—		$	2,304	$	30,990	$	32,147	$	—	$	—		$	1,674	$	33,821

Total Members’ Capital	$	750,036,467	$	98,566,341	$	(83,211,083	)	$	63,552,957	$	828,944,682	$	897,470,308	$	222,522,210	$	(83,597,954	)	$	47,872,197	$	1,084,266,761

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

For the three months ended September 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	$	1.6636		$	1.5619		$	1.6875		$	1.6934		$	1.6854		$	1.7532

Net realized and net change in unrealized trading profit(loss)	0.1343			0.1260			0.1363			0.1367			0.1361			0.1417
Brokerage commissions	(0.0005		)	(0.0005		)	(0.0005		)	(0.0005		)	(0.0005		)	(0.0005		)
Interest income	0.0001			0.0001			0.0001			0.0001			0.0001			0.0001
Expenses	(0.0394		)	(0.0410		)	(0.0334		)	(0.0383		)	(0.0333		)	(0.0278		)

Net asset value, end of period	$	1.7581		$	1.6465		$	1.7900		$	1.7914		$	1.7878		$	1.8667

Total Return: (a)

Total return before Performance fees	7.10		%	7.21		%	7.50		%	7.21		%	7.50		%	7.64		%
Performance fees	-1.38		%	-1.38		%	-1.38		%	-1.38		%	-1.38		%	-1.12		%
Total return after Performance fees	5.72		%	5.83		%	6.12		%	5.83		%	6.12		%	6.52		%

Ratios to Average Members’ Capital:

Expenses (excluding Performance fees)	1.18		%	0.83		%	0.55		%	0.83		%	0.55		%	0.42		%
Performance fees	1.36		%	1.36		%	1.36		%	1.36		%	1.36		%	1.11		%
Expenses (including Performance fees)	2.54		%	2.19		%	1.91		%	2.19		%	1.91		%	1.53		%

Net investment income (loss)	-2.54		%	-2.18		%	-1.90		%	-2.18		%	-1.90		%	-1.52		%

(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, 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)	0.1497			0.1407			0.1516			0.1523			0.1514			0.1574
Brokerage commissions	(0.0014		)	(0.0013		)	(0.0014		)	(0.0014		)	(0.0014		)	(0.0014		)
Interest income	0.0001			0.0001			0.0001			0.0001			0.0001			0.0001
Expenses	(0.0713		)	(0.0792		)	(0.0527		)	(0.0674		)	(0.0526		)	(0.0426		)

Net asset value, end of period	$	1.7581		$	1.6465		$	1.7900		$	1.7914		$	1.7878		$	1.8667

Total Return: (a)

Total return before Performance fees	6.01		%	5.21		%	7.20		%	6.32		%	7.20		%	7.61		%
Performance fees	-1.45		%	-1.45		%	-1.45		%	-1.45		%	-1.45		%	-1.15		%
Total return after Performance fees	4.56		%	3.76		%	5.75		%	4.87		%	5.75		%	6.46		%

Ratios to Average Members’ Capital:

Expenses (excluding Performance fees)	2.76		%	3.51		%	1.63		%	2.46		%	1.63		%	1.25		%
Performance fees	1.41		%	1.41		%	1.40		%	1.40		%	1.40		%	1.11		%
Expenses (including Performance fees)	4.17		%	4.92		%	3.03		%	3.86		%	3.03		%	2.36		%

Net investment income (loss)	-4.16		%	-4.92		%	-3.03		%	-3.86		%	-3.03		%	-2.35		%

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 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 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)

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 September 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 September 30, 2011 and the results of its operations for the three and nine months ended September 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 September 30, 2011 and December 31, 2010 are as follows:

September 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	1,012	$	(5,407,921	)	-0.50	%	(1,608	)	$	5,281,258		0.49	%	$	(126,663	)	-0.01	%	October 11 - April 12
Currencies	2,989,846,876	(6,294,653		)	-0.58	%	(1,946,192,849	)	4,588,894			0.42	%	(1,705,759		)	-0.16	%	December 11
Energy	408	(2,534,782		)	-0.23	%	(1,048	)	5,949,862			0.55	%	3,415,080			0.32	%	October 11- January 12
Interest rates	18,320	8,125,442			0.75	%	(21	)	26,021			0.00	%	8,151,463			0.75	%	November 11 - December 13
Metals	560	(6,076,719		)	-0.56	%	(683	)	8,098,847			0.75	%	2,022,128			0.19	%	November 11 - March 12
Stock indices	105	6,700			0.00	%	(1,724	)	(1,689,831		)	-0.16	%	(1,683,131		)	-0.16	%	October 11 - December 11

Total		$	(12,181,933	)	-1.12	%			$	22,255,051		2.05	%	$	10,073,118		0.93	%

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 September 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.

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 September 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	$	(9,881,190	)	$	(5,564,680	)	$	(4,316,510	)	$	—
Short	$	20,764,507		$	13,227,536		$	7,536,971		$	—
	$	10,883,317		$	7,662,856		$	3,220,461		$	—

Forwards
Long	$	(2,300,743	)	$	—		$	(2,300,743	)	$	—
Short	$	1,490,544		$	—		$	1,490,544		$	—
	$	(810,199	)	$	—		$	(810,199	)	$	—

September 30, 2011	$	10,073,118		$	7,662,856		$	2,410,262		$	—

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 forward and futures as of the period and year ended September 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 September 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 three and nine month periods ended September 30, 2011 and 2010.

For the three months ended

ML Winton FuturesAccess LLC - FORM 10-Q - November 10, 2011

Attached files