ML Winton FuturesAccess LLC - FORM 10-Q

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EXCEL - IDEA: XBRL DOCUMENT - ML Winton FuturesAccess LLC	Financial_Report.xls
EX-32.02 - EX-32.02 - ML Winton FuturesAccess LLC	a14-13476_1ex32d02.htm
EX-31.01 - EX-31.01 - ML Winton FuturesAccess LLC	a14-13476_1ex31d01.htm
EX-32.01 - EX-32.01 - ML Winton FuturesAccess LLC	a14-13476_1ex32d01.htm
EX-31.02 - EX-31.02 - ML Winton FuturesAccess LLC	a14-13476_1ex31d02.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 June 30, 2014

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, 11th Floor

250 Vesey Street

New York, New York 10080

(Address of principal executive offices)

(Zip Code)

609-274-5838

(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 Web site, 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.

Large accelerated filer o		Accelerated filer o

Non-accelerated filer x		Smaller reporting company o
(Do not check if a smaller reporting company)

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes o No x

As of June 30, 2014, 611,351,262 units of limited liability company interest were outstanding.

ML WINTON FUTURESACCESS LLC

QUARTERLY REPORT FOR JUNE 30, 2014 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	17

Item 3.	Quantitative and Qualitative Disclosures About Market Risk	26

Item 4.	Controls and Procedures	30

PART II—OTHER INFORMATION

Item 1.	Legal Proceedings	31

Item 1A.	Risk Factors	31

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

Item 3.	Defaults Upon Senior Securities	33

Item 4.	Mine Safety Disclosures	33

Item 5.	Other Information	33

Item 6.	Exhibits	33

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,
	2014		2013
ASSETS:
Equity in commodity trading accounts:
Cash (including restricted cash of $93,187,584 for 2014 and $74,790,241 for 2013)	$	938,980,054	$	974,168,421
Unrealized profit on open futures contracts	17,175,534		30,289,658
Unrealized profit on open forwards contracts	3,506,531		927,780
Cash	685,470		631,442
Accrued interest receivable	1,223		200
Other asssets	17,839

TOTAL ASSETS	$	960,366,651	$	1,006,017,501

LIABILITIES AND MEMBERS’ CAPITAL:
LIABILITIES:
Brokerage commissions payable	$	8,713	$	7,723
Sponsor and Advisory fees payable	9,959,496		9,079,002
Redemptions payable	12,053,163		17,236,150
Unrealized loss on open futures contracts	682,207		—
Unrealized loss on open forwards contracts	3,048,964		688,767
Other liabilities	751,587		656,454

Total liabilities	26,504,130		27,668,096

MEMBERS’ CAPITAL:
Members’ Interest (611,351,262 Units and 632,945,962 Units)	933,862,521		978,349,405
Total members’ capital	933,862,521		978,349,405

TOTAL LIABILITIES AND MEMBERS’ CAPITAL	$	960,366,651	$	1,006,017,501

NET ASSET VALUE PER UNIT: (Based on 611,351,262 and 632,945,962 Units outstanding; unlimited Units authorized)

Class A	$	1.7787	$	1.7385
Class C	$	1.6206	$	1.5919
Class D	$	1.8874	$	1.8309
Class I	$	1.8325	$	1.7875
Class DS	$	1.8850	$	1.8286
Class DT	$	1.9984	$	1.9307
Class M	$	1.0605	$	1.0288
Class F	$	1.0363	$	1.0007
Class F1	$	1.0619	$	1.0254

See notes to financial statements.

ML 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,
	2014			2013			2014			2013
TRADING PROFIT (LOSS):

Realized, net	$	48,611,713		$	(8,859,885	)	$	61,294,097		$	42,883,257
Change in unrealized, net	(552,607		)	(1,002,459		)	(13,577,777		)	(2,139,903		)
Brokerage commissions	(298,846		)	(348,967		)	(614,274		)	(741,956		)

Total trading profit (loss), net	47,760,260			(10,211,311		)	47,102,046			40,001,398

INVESTMENT INCOME (EXPENSE):
Interest, net	(176,952		)	(82,095		)	(312,133		)	(121,871		)

EXPENSES:
Management fee	4,597,225			5,460,963			9,200,743			11,013,780
Sponsor fee	3,493,408			4,115,576			7,080,230			8,265,697
Performance fee	7,408,654			86,102			7,408,667			90,275
Other	475,368			548,762			1,047,760			1,157,833
Total expenses	15,974,655			10,211,403			24,737,400			20,527,585

NET INVESTMENT INCOME (LOSS)	(16,151,607		)	(10,293,498		)	(25,049,533		)	(20,649,456		)

NET INCOME (LOSS)	$	31,608,653		$	(20,504,809	)	$	22,052,513		$	19,351,942

NET INCOME (LOSS) PER UNIT:

Weighted average number of Units outstanding
Class A	77,901,587			99,070,799			82,250,631			101,325,861
Class C	278,356,038			325,670,419			282,111,340			329,353,019
Class D	39,733,197			86,362,386			42,838,575			94,183,131
Class I	36,763,960			50,762,186			41,479,856			51,121,214
Class DS	25,052,090			44,312,849			25,518,422			47,595,560
Class DT	6,279,674			11,379,338			6,662,944			12,108,300
Class M	88,286,175			44,551,403			74,221,797			42,401,113
Class F*	46,520,691			39,389,564			46,520,691			39,389,564
Class F1**	32,348,368			32,348,368			32,348,368			32,348,368

Net income (loss) per weighted average Unit
Class A	$	0.0580		$	(0.0251	)	$	0.0369		$	0.0303
Class C	$	0.0483		$	(0.0273	)	$	0.0274		$	0.0190
Class D	$	0.0692		$	0.0065		$	0.0520		$	0.0715
Class I	$	0.0601		$	(0.0242	)	$	0.0365		$	0.0325
Class DS	$	0.0676		$	(0.0152	)	$	0.0527		$	0.0529
Class DT	$	0.0780		$	(0.0160	)	$	0.0621		$	0.0580
Class M	$	0.0381		$	(0.0125	)	$	0.0398		$	0.0193
Class F*	$	0.0393		$	(0.0425	)	$	0.0356		$	(0.0415	)
Class F1**	$	0.0402		$	(0.0253	)	$	0.0365		$	(0.0241	)

* Units issued on May 16, 2013.

** Units issued on June 1, 2013.

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, 2014 AND 2013

(unaudited) (in Units)

	Members’ Capital December 31, 2012	Subscriptions	Redemptions		Members’ Capital June 30, 2013	Members’ Capital December 31, 2013	Subscriptions	Redemptions		Members’ Capital June 30, 2014
Class A	105,821,750	4,245,134	(11,559,308	)	98,507,576	89,279,211	4,212,662	(19,322,754	)	74,169,119
Class C	334,741,567	17,000,970	(29,204,291	)	322,538,246	289,256,969	25,162,964	(40,007,865	)	274,412,068
Class D	99,225,678	4,348,685	(38,846,358	)	64,728,005	46,696,897	2,323,418	(14,074,121	)	34,946,194
Class I	50,667,859	3,275,140	(3,252,783	)	50,690,216	47,689,327	2,069,490	(15,978,433	)	33,780,384
Class DS	54,128,029	—	(12,931,024	)	41,197,005	27,662,374	3,442,966	(7,934,746	)	23,170,594
Class DT	13,202,221	—	(2,855,013	)	10,347,208	7,308,839	—	(1,370,916	)	5,937,923
Class M	38,151,931	7,837,739	(867,930	)	45,121,740	46,183,286	46,483,663	(6,601,028	)	86,065,921
Class F*	—	46,520,691	—		46,520,691	46,520,691	—	—		46,520,691
Class F1**	—	32,348,368	—		32,348,368	32,348,368	—	—		32,348,368

Total Members’ Units	695,939,035	115,576,727	(99,516,707	)	711,999,055	632,945,962	83,695,163	(105,289,863	)	611,351,262

* Units issued on May 16, 2013.

** Units issued on June 1, 2013.

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, 2014 AND 2013

(unaudited)

	Members’ Capital December 31, 2012		Subscriptions		Redemptions			Net Income (Loss)			Members’ Capital June 30, 2013		Members’ Capital December 31, 2013		Subscriptions		Redemptions			Net Income (Loss)		Members’ Capital June 30, 2014
Class A	$	174,373,801	$	7,245,380	$	(19,697,474	)	$	3,072,174		$	164,993,881	$	155,214,109	$	7,307,212	$	(33,630,164	)	$	3,035,960	$	131,927,117
Class C	510,141,341		26,671,433		(45,930,903		)	6,260,320			497,142,191		460,460,237		39,867,813		(63,359,533		)	7,732,118		444,700,635
Class D	169,628,029		7,581,429		(70,617,791		)	6,731,034			113,322,701		85,498,186		4,229,000		(25,996,651		)	2,225,822		65,956,357
Class I	85,499,452		5,684,951		(5,725,709		)	1,660,916			87,119,610		85,244,114		3,673,218		(28,528,248		)	1,513,123		61,902,207
Class DS	92,418,972		—		(22,899,435		)	2,517,205			72,036,742		50,584,682		6,267,559		(14,519,670		)	1,344,453		43,677,024
Class DT	23,677,969		—		(5,327,595		)	702,064			19,052,438		14,111,527		—		(2,658,639		)	413,752		11,866,640
Class M	36,647,613		7,784,034		(863,229		)	819,640			44,388,058		47,512,048		47,688,263		(6,879,557		)	2,950,699		91,271,453
Class F*	—		45,942,000		—			(1,633,065		)	44,308,935		46,554,511		—		—			1,656,403		48,210,914
Class F1**	—		32,348,368		—			(778,346		)	31,570,022		33,169,991		—		—			1,180,183		34,350,174

Total Members’ Interest	$	1,092,387,177	$	133,257,595	$	(171,062,136	)	$	19,351,942		$	1,073,934,578	$	978,349,405	$	109,033,065	$	(175,572,462	)	$	22,052,513	$	933,862,521

* Units issued on May 16, 2013.

** Units issued on June 1, 2013.

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED JUNE 30, 2014 (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			Class M			Class F			Class F1
Per Unit Operating Performance:

Net asset value, beginning of year or at the time of offer	$	1.7214		$	1.5722		$	1.8197		$	1.7716		$	1.8174		$	1.9213		$	1.0225		$	0.9971		$	1.0217

Net realized and net change in unrealized trading profit (loss)	0.0881			0.0804			0.0933			0.0907			0.0932			0.0986			0.0524			0.0512			0.0524
Brokerage commissions	(0.0006		)	(0.0005		)	(0.0006		)	(0.0006		)	(0.0006		)	(0.0006		)	(0.0003		)	(0.0003		)	(0.0003		)
Interest income, net	(0.0003		)	(0.0003		)	(0.0003		)	(0.0003		)	(0.0003		)	(0.0004		)	(0.0002		)	(0.0002		)	(0.0002		)
Expenses	(0.0299		)	(0.0312		)	(0.0247		)	(0.0289		)	(0.0247		)	(0.0205		)	(0.0139		)	(0.0115		)	(0.0117		)

Net asset value, end of year	$	1.7787		$	1.6206		$	1.8874		$	1.8325		$	1.8850		$	1.9984		$	1.0605		$	1.0363		$	1.0619

Total Return: (a) (d)

Total return before Performance fees	4.13		%	3.87		%	4.52		%	4.23		%	4.52		%	4.65		%	4.52		%	4.78		%	4.78		%
Performance fees/other (b)	-0.78		%	-0.78		%	-0.78		%	-0.78		%	-0.78		%	-0.62		%	-0.78		%	-0.82		%	-0.82		%
Total return after Performance fees	3.35		%	3.09		%	3.74		%	3.45		%	3.74		%	4.03		%	3.74		%	3.96		%	3.96		%

Ratios to Average Member’s Capital: (d)

Expenses (excluding Performance fees) (c)	0.95		%	1.20		%	0.57		%	0.85		%	0.57		%	0.45		%	0.57		%	0.32		%	0.32		%
Performance fees (b)	0.77		%	0.77		%	0.77		%	0.77		%	0.77		%	0.61		%	0.77		%	0.82		%	0.82		%
Expenses (including Performance fees)	1.72		%	1.97		%	1.34		%	1.62		%	1.34		%	1.06		%	1.34		%	1.14		%	1.14		%

Net investment income (loss)	-1.72		%	-1.97		%	-1.35		%	-1.62		%	-1.35		%	-1.06		%	-1.35		%	-1.14		%	-1.14		%

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

(b) Performance fees include reimbursement of performance fees allocated to the share classes in accordance with offering documents.

(d) The ratios are not annualized.

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE SIX MONTHS ENDED JUNE 30, 2014 (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			Class M			Class F			Class F1
Per Unit Operating Performance:

Net asset value, beginning of year or at the time of offer	$	1.7385		$	1.5919		$	1.8309		$	1.7875		$	1.8286		$	1.9307		$	1.0288		$	1.0007		$	1.0254

Net realized and net change in unrealized trading profit (loss)	0.0879			0.0801			0.0930			0.0905			0.0929			0.0983			0.0523			0.0510			0.0523
Brokerage commissions	(0.0011		)	(0.0010		)	(0.0012		)	(0.0011		)	(0.0012		)	(0.0012		)	(0.0007		)	(0.0006		)	(0.0007		)
Interest income, net	(0.0006		)	(0.0005		)	(0.0006		)	(0.0006		)	(0.0006		)	(0.0006		)	(0.0003		)	(0.0003		)	(0.0003		)
Expenses	(0.0460		)	(0.0499		)	(0.0347		)	(0.0438		)	(0.0347		)	(0.0288		)	(0.0196		)	(0.0145		)	(0.0148		)

Net asset value, end of year	$	1.7787		$	1.6206		$	1.8874		$	1.8325		$	1.8850		$	1.9984		$	1.0605		$	1.0363		$	1.0619

Total Return: (a) (d)

Total return before Performance fees	3.10		%	2.59		%	3.88		%	3.31		%	3.88		%	4.14		%	3.88		%	4.40		%	4.40		%
Performance fees/other (b)	-0.78		%	-0.78		%	-0.78		%	-0.78		%	-0.78		%	-0.62		%	-0.78		%	-0.82		%	-0.82		%
Total return after Performance fees	2.32		%	1.81		%	3.10		%	2.53		%	3.10		%	3.52		%	3.10		%	3.58		%	3.58		%

Ratios to Average Member’s Capital: (d)

Expenses (excluding Performance fees) (c)	1.90		%	2.40		%	1.15		%	1.70		%	1.15		%	0.90		%	1.15		%	0.65		%	0.65		%
Performance fees (b)	0.77		%	0.77		%	0.77		%	0.77		%	0.77		%	0.61		%	0.77		%	0.82		%	0.82		%
Expenses (including Performance fees)	2.67		%	3.17		%	1.92		%	2.47		%	1.92		%	1.51		%	1.92		%	1.47		%	1.47		%

Net investment income (loss)	-2.67		%	-3.17		%	-1.92		%	-2.47		%	-1.92		%	-1.51		%	-1.92		%	-1.46		%	-1.46		%

(b) Performance fees include reimbursement of performance fees allocated to the share classes in accordance with offering documents.

(d) The ratios are not annualized.

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED JUNE 30, 2013 (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			Class M			Class F*			Class F1**
Per Unit Operating Performance:

Net asset value, beginning of period	$	1.7080		$	1.5757		$	1.7786		$	1.7508		$	1.7764		$	1.8680		$	0.9994		$	1.0000		$	1.0000

Net realized and net change in unrealized trading profit (loss)	(0.0164		)	(0.0151		)	(0.0173		)	(0.0169		)	(0.0173		)	(0.0182		)	(0.0097		)	(0.0531		)	(0.0241		)
Brokerage commissions	(0.0005		)	(0.0005		)	(0.0006		)	(0.0006		)	(0.0006		)	(0.0006		)	(0.0003		)	(0.0002		)	(0.0001		)
Interest income, net	(0.0001		)	(0.0001		)	(0.0001		)	(0.0001		)	(0.0001		)	(0.0001		)	(0.0001		)	(0.0000		)	(0.0000		)
Expenses	(0.0161		)	(0.0187		)	(0.0098		)	(0.0145		)	(0.0098		)	(0.0078		)	(0.0056		)	0.0058			0.0001

Net asset value, end of period	$	1.6749		$	1.5413		$	1.7508		$	1.7187		$	1.7486		$	1.8413		$	0.9837		$	0.9525		$	0.9759

Total Return: (a) (d)

Total return before Performance fees	-1.96		%	-2.20		%	-1.59		%	-1.86		%	-1.59		%	-1.46		%	-1.59		%	-5.46		%	-2.53		%
Performance fees/other (b)	-0.02		%	-0.02		%	-0.02		%	-0.02		%	-0.02		%	0.00		%	-0.02		%	0.72		%	0.12		%
Total return after Performance fees	-1.98		%	-2.22		%	-1.61		%	-1.88		%	-1.61		%	-1.46		%	-1.61		%	-4.74		%	-2.41		%

Ratios to Average Member’s Capital: (d)

Expenses (excluding Performance fees) (c)	0.93		%	1.18		%	0.55		%	0.83		%	0.55		%	0.43		%	0.55		%	0.30		%	0.30		%
Performance fees (b)	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	-0.02		%	0.00		%	-0.73		%	-0.12		%
Expenses (including Performance fees)	0.93		%	1.18		%	0.55		%	0.83		%	0.55		%	0.41		%	0.55		%	-0.43		%	0.18		%

Net investment income (loss)	-0.93		%	-1.18		%	-0.56		%	-0.83		%	-0.56		%	-0.41		%	-0.56		%	0.43		%	-0.18		%

(b) Performance fees include reimbursement of performance fees allocated to the share classes in accordance with offering documents.

(d) The ratios are not annualized.

* Units issued on May 16, 2013.

** Units issued on June 1, 2013.

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE SIX MONTHS ENDED JUNE 30, 2013 (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			Class M			Class F*			Class F1**
Per Unit Operating Performance:

Net asset value, beginning of period	$	1.6478		$	1.5240		$	1.7095		$	1.6874		$	1.7074		$	1.7935		$	0.9606		$	1.0000		$	1.0000

Net realized and net change in unrealized trading profit (loss)	0.0601			0.0557			0.0622			0.0615			0.0622			0.0652			0.0350			(0.0531		)	(0.0241		)
Brokerage commissions	(0.0011		)	(0.0011		)	(0.0012		)	(0.0012		)	(0.0012		)	(0.0012		)	(0.0007		)	(0.0002		)	(0.0001		)
Interest income, net	(0.0002		)	(0.0002		)	(0.0002		)	(0.0002		)	(0.0002		)	(0.0002		)	(0.0001		)	(0.0000		)	(0.0000		)
Expenses	(0.0317		)	(0.0372		)	(0.0195		)	(0.0288		)	(0.0196		)	(0.0160		)	(0.0111		)	0.0058			0.0001

Net asset value, end of period	$	1.6749		$	1.5413		$	1.7508		$	1.7187		$	1.7486		$	1.8413		$	0.9837		$	0.9525		$	0.9759

Total Return: (a) (d)

Total return before Performance fees	1.63		%	1.12		%	2.39		%	1.83		%	2.39		%	2.65		%	2.39		%	-5.46		%	-2.53		%
Performance fees/other (b)	-0.02		%	-0.02		%	-0.02		%	-0.02		%	-0.02		%	-0.02		%	-0.02		%	0.72		%	0.12		%
Total return after Performance fees	1.61		%	1.10		%	2.37		%	1.81		%	2.37		%	2.63		%	2.37		%	-4.74		%	-2.41		%

Ratios to Average Member’s Capital: (d)

Expenses (excluding Performance fees) (c)	1.87		%	2.37		%	1.12		%	1.67		%	1.12		%	0.87		%	1.12		%	0.59		%	0.59		%
Performance fees (b)	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	-0.73		%	-0.12		%
Expenses (including Performance fees)	1.87		%	2.37		%	1.12		%	1.67		%	1.12		%	0.87		%	1.12		%	-0.14		%	0.47		%

Net investment income (loss)	-1.87		%	-2.37		%	-1.12		%	-1.67		%	-1.12		%	-0.87		%	-1.12		%	0.12		%	-0.49		%

(b) Performance fees include reimbursement of performance fees allocated to the share classes in accordance with offering documents.

(d) The ratios are not annualized.

* Units issued on May 16, 2013.

** Units issued on June 1, 2013.

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 FuturesAccessSM Program (“FuturesAccess”) fund, which is an investment company as defined by Accounting Standards Codification (“ASC”) guidance, was organized under the Delaware Limited Liability Company Act on May 17, 2004 and commenced trading activities on February 1, 2005. The Fund engages in the speculative trading of futures and forward contracts on a wide range of commodities. Winton Capital Management Limited (“Winton” or “Trading Advisor”) is the trading advisor of the Fund. The Trading Advisor utilizes the Winton Diversified Program (the “Trading Program”) for the Fund.

Merrill Lynch Alternative Investments LLC (“MLAI” the “Sponsor” or the “Managing Member”) is the sponsor and manager of the Fund. MLAI is an indirect wholly-owned subsidiary of Bank of America Corporation. Bank of America Corporation and its affiliates are referred to herein as “BAC”. Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”) is currently the exclusive clearing broker for the Fund. The Sponsor may select other parties as clearing broker(s). Merrill Lynch International (“MLI”) is the primary foreign exchange (“F/X”) forward prime broker for the Fund. The Sponsor may select other parties as F/X or other over-the-counter (“OTC”) prime brokers. MLPF&S and MLI are BAC affiliates.

FuturesAccess is a group of managed futures funds sponsored by MLAI (“FuturesAccess Funds”). FuturesAccess is exclusively available to investors that have investment accounts with Merrill Lynch Wealth Management, U.S. Trust and other divisions or affiliates of BAC. FuturesAccess Funds currently are composed of direct-trading funds advised by a single trading advisor or funds of funds for which MLAI acts as the advisor and allocates capital among multiple trading advisors. Although redemption terms vary among FuturesAccess Funds, generally the same minimum investment amounts, fees and other operational criteria apply across all FuturesAccess Funds. Each trading advisor participating in FuturesAccess employs different technical, fundamental, systematic and/or discretionary trading strategies.

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, BAC 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, 2014 and December 31, 2013 and the results of its operations for the three and six month periods ended June 30, 2014 and 2013. 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 report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2013.

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. Certain prior year information has been reclassed to conform to current year presentation.

2. CONDENSED SCHEDULES OF INVESTMENTS

The Fund’s investments, defined as unrealized profit (loss) on open contracts on the Statements of Financial Condition, as of June 30, 2014 and December 31, 2013 are as follows:

June 30, 2014

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

Agriculture	3,838	$	(2,537,435	)	-0.27	%	(651	)	$	124,223		0.01	%	$	(2,413,212	)	-0.26	%	July 2014 - March 2015
Currencies - Futures	5,723	7,169,524			0.77	%	(1,587	)	(2,401,904		)	-0.26	%	4,767,620			0.51	%	September 2014
Currencies - Forwards*	446,831,503	2,108,642			0.23	%	(218,163,450	)	(1,651,075		)	-0.18	%	457,567			0.05	%	July 2014 - December 2014
Energy	1,294	302,497			0.03	%	(185	)	(6,696		)	0.00	%	295,801			0.03	%	July 2014 - September 2014
Interest rates	28,935	15,464,829			1.66	%	(671	)	(8,745		)	0.00	%	15,456,084			1.66	%	August 2014 - June 2017
Metals	917	1,375,427			0.15	%	(1,211	)	(4,905,798		)	-0.53	%	(3,530,371		)	-0.38	%	July 2014 - November 2014
Stock indices	8,911	1,917,630			0.21	%	(5	)	(225		)	0.00	%	1,917,405			0.21	%	July 2014 - September 2014

Total, net		$	25,801,114		2.78	%			$	(8,850,220	)	-0.96	%	$	16,950,894		1.82	%

December 31, 2013

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

Agriculture	1,692	$	(904,240	)	-0.09	%	(3,532	)	$	3,600,461		0.37	%	$	2,696,221		0.28	%	January 2014 - May 2014
Currencies - Futures	4,996	3,146,465			0.32	%	(3,705	)	4,093,122			0.42	%	7,239,587			0.74	%	March 2014
Currencies - Forwards*	384,086,781	927,780			0.09	%	(236,246,331	)	(688,767		)	-0.07	%	239,013			0.02	%	January 2014 - June 2014
Energy	693	407,390			0.04	%	(303	)	(596,799		)	-0.06	%	(189,409		)	-0.02	%	January 2014 - March 2014
Interest rates	19,506	(5,225,777		)	-0.53	%	(1,606	)	631,192			0.06	%	(4,594,585		)	-0.47	%	February 2014 - December 2016
Metals	641	35,533			0.00	%	(1,131	)	2,627,090			0.27	%	2,662,623			0.27	%	January 2014 - April 2014
Stock indices	8,131	22,478,186			2.30	%	(41	)	(2,965		)	0.00	%	22,475,221			2.30	%	January 2014 - March 2014

Total, net		$	20,865,337		2.13	%			$	9,663,334		0.99	%	$	30,528,671		3.12	%

*Currencies-Forwards present notional amounts as converted to USD.

No individual contract’s unrealized profit or loss comprised greater than 5% of Members’ Capital as of June 30, 2014 and December 31, 2013. With respect to each commodity industry sector listed in the above chart, the net unrealized profit (loss) on open positions is the sum of the unrealized profits (loss) of long positions and short positions of the open contracts. Net unrealized profit and loss provides an approximate measure of the exposure of the Fund to the various sectors as of the date listed, although such exposure can change at any time.

3. FAIR VALUE OF INVESTMENTS

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. Profits or losses are realized when contracts are liquidated. Unrealized profits or losses on open contracts are included in equity in commodity trading accounts on the Statements of Financial Condition. Any change in net unrealized profit or loss from the preceding period/year is reported in the respective Statements of Operations.

The fair value measurement guidance established by U.S. GAAP is 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 in U.S. GAAP, 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.

The 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 such investments are traded. 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 as inputs into the process for determining fair values.

The Fund has determined that Level I investments would include 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 observable prices of investments with similar characteristics and these are generally classified as Level II investments. The Fund determined that Level II investments would include its forwards and certain futures contracts.

The Fund’s unrealized profit (loss) on open forwards and futures contracts, by the above fair value hierarchy levels, as of June 30, 2014 and December 31, 2013 are as follows:

2014
Net unrealized profit (loss)
on open contracts	Total		Level I		Level II		Level III

Assets
Futures	$	17,175,534	$	17,145,040	$	30,494	$	—
Forwards	3,506,531		—		3,506,531		—
	$	20,682,065	$	17,145,040	$	3,537,025	$	—

Liabilities
Futures	$	682,207	$	682,207	$	—	$	—
Forwards	3,048,964		—		3,048,964		—
	$	3,731,171	$	682,207	$	3,048,964	$	—

June 30, 2014	$	16,950,894	$	16,462,833	$	488,061	$	—

2013
Net unrealized profit (loss)
on open contracts	Total		Level I		Level II			Level III

Assets
Futures	$	30,289,658	$	30,672,300	$	(382,642	)	$	—
Forwards	927,780		—		927,780			—
	$	31,217,438	$	30,672,300	$	545,138		$	—

Liabilities
Futures	$	—	$	—	$	—		$	—
Forwards	688,767		—		688,767			—
	$	688,767	$	—	$	688,767		$	—

December 31, 2013	$	30,528,671	$	30,672,300	$	(143,629	)	$	—

The Fund’s volume of trading forwards and futures as of the six month period ended June 30, 2014 and year ended December 31, 2013 are representative of the activity throughout these periods presented. There were no transfers to or from any level during the three or six month periods ended June 30, 2014 or the year ended December 31, 2013.

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 ASC guidance for accounting for derivative and hedging activities. The fair value amounts of, and the net profits 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 total notional, contract amount or number of contracts and fair values of derivative instruments by contract type/commodity sector are disclosed in Note 2.

The Fund maintains margin deposits and cash collateral with its futures and forwards brokers, respectively, based on the greater of exchange margin or amounts determined by the respective broker. At June 30, 2014 and December 31, 2013, the initial margin deposits (cash) are used to satisfy the margin requirements to establish the futures or forward contracts and are presented on the Statements of Financial Condition in Cash in the Equity in commodity trading accounts. The variation margin on open contracts is presented on the Statements of Financial Condition in unrealized gain or loss on futures or forwards contracts, respectively.

The following table indicates the trading profits and losses, before brokerage commissions, by type/commodity industry sector, on derivative instruments for each of the three and six month periods ended June 30, 2014 and 2013.

	For the three months ended			For the six months ended
	June 30, 2014			June 30, 2014
Commodity Industry Sector	Profit (loss) from trading, net			Profit (loss) from trading, net

Agriculture	$	(7,135,697	)	$	(3,424,188	)
Currencies	4,916,206			5,202,519
Energy	759,021			1,447,039
Interest rates	36,014,827			49,837,419
Metals	(4,656,176		)	(12,256,935		)
Stock indices	18,160,925			6,910,466

Total, net	$	48,059,106		$	47,716,320

	For the three months ended			For the six months ended
	June 30, 2013			June 30, 2013
Commodity Industry Sector	Profit (loss) from trading, net			Profit (loss) from trading, net

Agriculture	$	4,411,404		$	9,131,826
Currencies	(9,200,920		)	2,066,274
Energy	(6,192,272		)	(6,317,133		)
Interest rates	(43,934,238		)	(49,293,168		)
Metals	38,167,966			35,473,881
Stock indices	6,885,716			49,681,674

Total, net	$	(9,862,344	)	$	40,743,354

The Fund is subject to the risk of insolvency of a counterparty, an exchange, a clearinghouse, MLPF&S or other BAC entities. Fund assets could be lost or impounded during lengthy bankruptcy proceedings. Were a substantial portion of the Fund’s capital tied up in a bankruptcy or other similar types of proceedings, MLAI might suspend or limit trading, perhaps causing the Fund to miss significant profit opportunities. There are increased risks in dealing with unregulated trading counterparties including the risk that assets may not benefit from the protection afforded to “customer funds” deposited with regulated dealers and brokers.

4. MARKET AND CREDIT RISKS

The nature of this Fund has certain risks, which cannot all be presented in the financial statements. The following summarizes some of those risks.

Market Risk

Derivative instruments involve varying degrees of market risk. Changes in the level or volatility of interest rates, foreign currency exchange rates or the market values of the financial instruments or

commodities underlying such derivative instruments frequently result in changes in the Fund’s net unrealized profit (loss) on open contracts on such derivative instruments as reflected in the Statements of Financial Condition. The Fund’s exposure to market risk is influenced by a number of factors, including the relationships among the derivative instruments held by the Fund as well as the volatility and liquidity of the markets in which the derivative instruments are traded. Investments in foreign markets may also entail legal and political risks.

MLAI has procedures in place intended to control market risk exposure, although there can be no assurance that it will, in fact, succeed in doing so. These procedures focus primarily on monitoring the trading of Winton, calculating the Net Asset Value of the Fund as of the close of business on each day and reviewing outstanding positions for over-concentrations. While MLAI does not intervene in the markets to hedge or diversify the Fund’s market exposure, MLAI may urge Winton to reallocate positions in an attempt to avoid over-concentrations. However, such interventions are expected to be unusual. It is expected that MLAI’s basic risk control procedures will consist of the ongoing process of Trading Advisor monitoring, with the market risk controls being applied by Winton.

Credit Risk

The risks associated with exchange-traded contracts are typically perceived to be less than those associated with over-the-counter (non-exchange-traded) transactions, because exchanges typically (but not universally) provide clearinghouse arrangements in which the collective credit (in some cases limited in amount, in some cases not) of the members of the exchange/clearinghouse is pledged to support the financial integrity of the exchange/clearinghouse. In over-the-counter transactions, on the other hand, traders must rely solely on the credit of their respective individual counterparties. Margins, which may be subject to loss in the event of a default, are generally required in exchange traded contracts, and in the over-the-counter markets counterparties may also require margin.

The credit risk associated with these instruments from counterparty nonperformance is the net unrealized profit (loss) on open contracts, if any, included in the Statements of Financial Condition. MLAI, as sponsor of the Fund, has a general policy of maintaining clearing and prime brokerage arrangements with BAC affiliates, such as MLPF&S and MLI, although MLAI may engage non-BAC affiliated service providers as clearing brokers or prime brokers for the Fund.

The Fund, in its normal course of business, enters into various contracts, with MLPF&S acting as its futures clearing broker.

Indemnifications

In the normal course of business, the Fund has entered, or may in the future enter into agreements that obligate the Fund to indemnify certain parties, including BAC affiliates. No claims have actually been made with respect to such indemnities and any quantification would involve hypothetical claims that have not been made. Based on the Fund’s experience, MLAI expects the risk of loss to be remote and, therefore, no provision has been recorded.

5. RELATED PARTY TRANSACTIONS

MLAI and the Fund entered into a transfer agency and investor services agreement with Financial Data Services, Inc. (the “Transfer Agent”), a wholly-owned subsidiary of BAC and affiliate of MLAI. The

Transfer Agent provides registrar, distribution disbursing agent, transfer agent and certain other services related to the issuance, redemption, exchange and transfer of Units. The fees charged by the Transfer Agent for its services are based on the aggregate net assets of funds managed or sponsored by MLAI. The fee rate ranges from 0.016% to 0.02% per year of the aggregate net assets. During the quarter ended June 30, 2014, the rate was 0.02%. The fee is payable monthly in arrears. MLAI allocates the Transfer Agent fees to each of the managed or sponsored funds, including the Fund, on a monthly basis based on each fund’s net assets. The Transfer Agent fee allocated to the Fund for the three month periods ended June 30, 2014 and 2013 amounted to $47,608 and $55,517, respectively. The Transfer Agent fee allocated to the Fund for the six month periods ended June 30, 2014 and 2013 amounted to $95,789 and $110,938, respectively, of which $32,382 and $33,843 was payable to the Transfer Agent as of June 30, 2014 and December 31, 2013, respectively.

Brokerage Commissions, Interest and Sponsor fees as presented on the Statements of Operations are all received from or paid to related parties. Equity in commodity trading accounts, including cash and net unrealized profit/loss, as presented on the Statements of Financial Condition are held with a related party.

6. SUBSEQUENT EVENTS

Management has evaluated the impact of subsequent events on the Fund through the date the financial statements were issued and has determined that there were no subsequent events that require adjustments to, or disclosure in, the financial statements.

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

MONTH-END NET ASSET VALUE PER UNIT

MLAI believes that the Net Asset Value used to calculate subscription and redemption value and to report performance to investors is a useful performance measure for the investors of the Fund. Therefore, the charts below referencing Net Asset Value and performance measurements are based on the Net Asset Value for financial reporting purposes.

The Fund calculates the Net Asset Value per Unit of each Class of Units as of the last calendar day of each month, the fifteenth calendar day of each month and any other dates MLAI may determine in its discretion (each, a “Calculation Date”). The Fund’s “Net Asset Value” as of any Calculation Date generally equals the value of the Fund’s account under the management of the Trading Advisor as of that date, plus any other assets held by the Fund, minus accrued Sponsor’s, management and performance fees, trading liabilities, including brokerage commissions, any offering or operating costs, amortized organizational and initial offering costs and all other liabilities of the Fund. MLAI or its delegates are authorized to make all Net Asset Value determinations.

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS A

	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		Jun. 15th		Jun.
2013	$	1.6695	$	1.6830	$	1.6825	$	1.6722	$	1.7156	$	1.7080	$	1.7425	$	1.7563	$	1.7639	$	1.7198	$	1.6651	$	1.6749
2014	$	1.7319	$	1.6967	$	1.7075	$	1.7329	$	1.7016	$	1.7214	$	1.7247	$	1.7487	$	1.7555	$	1.7791	$	1.7747	$	1.7787

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS C

	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		Jun. 15th		Jun.
2013	$	1.5434	$	1.5552	$	1.5542	$	1.5440	$	1.5834	$	1.5757	$	1.6069	$	1.6189	$	1.6253	$	1.5840	$	1.5329	$	1.5413
2014	$	1.5851	$	1.5523	$	1.5615	$	1.5841	$	1.5548	$	1.5722	$	1.5746	$	1.5959	$	1.6014	$	1.6223	$	1.6175	$	1.6206

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS D

	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		Jun. 15th		Jun.
2013	$	1.7331	$	1.7482	$	1.7488	$	1.7392	$	1.7854	$	1.7786	$	1.8157	$	1.8312	$	1.8403	$	1.7954	$	1.7394	$	1.7508
2014	$	1.8250	$	1.7891	$	1.8016	$	1.8296	$	1.7976	$	1.8197	$	1.8244	$	1.8509	$	1.8592	$	1.8854	$	1.8819	$	1.8874

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS I

	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		Jun. 15th		Jun.
2013	$	1.7100	$	1.7240	$	1.7239	$	1.7136	$	1.7583	$	1.7508	$	1.7865	$	1.8010	$	1.8091	$	1.7641	$	1.7083	$	1.7187
2014	$	1.7809	$	1.7451	$	1.7565	$	1.7829	$	1.7510	$	1.7716	$	1.7754	$	1.8004	$	1.8076	$	1.8323	$	1.8280	$	1.8325

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS DS

	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		Jun. 15th		Jun.
2013	$	1.7310	$	1.7460	$	1.7467	$	1.7371	$	1.7832	$	1.7764	$	1.8135	$	1.8290	$	1.8380	$	1.7932	$	1.7372	$	1.7486
2014	$	1.8228	$	1.7869	$	1.7994	$	1.8273	$	1.7954	$	1.8174	$	1.8221	$	1.8486	$	1.8569	$	1.8831	$	1.8795	$	1.8850

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS DT

	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		Jun. 15th		Jun.
2013	$	1.8186	$	1.8348	$	1.8359	$	1.8262	$	1.8737	$	1.8680	$	1.9078	$	1.9255	$	1.9360	$	1.8861	$	1.8289	$	1.8413
2014	$	1.9249	$	1.8875	$	1.9010	$	1.9309	$	1.8976	$	1.9213	$	1.9266	$	1.9560	$	1.9657	$	1.9956	$	1.9919	$	1.9984

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS M

	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		Jun. 15th		Jun.
2013	$	0.9738	$	0.9823	$	0.9827	$	0.9773	$	1.0032	$	0.9994	$	1.0202	$	1.0290	$	1.0341	$	1.0088	$	0.9773	$	0.9837
2014	$	1.0255	$	1.0053	$	1.0123	$	1.0280	$	1.0101	$	1.0225	$	1.0251	$	1.0400	$	1.0447	$	1.0594	$	1.0574	$	1.0605

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS F


	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		Jun. 15th		Jun.
2013	n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		$	1.0000	$	0.9759	$	0.9459	$	0.9525
2014	$	0.9979	$	0.9787	$	0.9859	$	1.0017	$	0.9846	$	0.9971	$	1.0001	$	1.0149	$	1.0198	$	1.0346	$	1.0330	$	1.0363

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS F1


	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		Jun. 15th		Jun.
2013	n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		$	1.0000	$	0.9692	$	0.9759
2014	$	1.0225	$	1.0028	$	1.0102	$	1.0264	$	1.0089	$	1.0217	$	1.0247	$	1.0400	$	1.0450	$	1.0601	$	1.0584	$	1.0619

Liquidity and Capital Resources

The Fund borrows only to a limited extent and only on a strictly short-term basis in order to finance losses on non-U.S. dollar denominated trading positions pending the conversion of the Fund’s U.S. dollar deposits. These borrowings are at a prevailing short-term rate in the relevant currency.

Substantially all of the Fund’s assets are held in cash. The Net Asset Value of the Fund’s cash is not affected by inflation. However, changes in interest rates could cause periods of strong up or down price trends, during which the Fund’s profit potential might increase. Inflation in commodity prices could also generate price movements, which the strategies might successfully follow. The Fund should be able to close out its open trading positions and liquidate its holdings relatively quickly and at market prices, except in unusual circumstances. This typically permits the Fund to limit losses as well as reduce market exposure on short notice should its strategies indicate doing so.

Investors in the Fund generally may redeem any or all of their Units at Net Asset Value, in whole or fractional Units, effective as of (i) the 15th calendar day of each month and/or (ii) the last calendar day of each month (each a “Redemption Date”), upon providing eight business days notice prior to the 1st and 16th of the month. The Net Asset Value of redeemed Units is determined as of the Redemption Date. MLAI, at any time in its discretion, may discontinue allowing redemptions as of the 15th calendar day of each month on a going forward basis. The Net Asset Value of redeemed Units is determined as of the Redemption Date. Investors will remain exposed to fluctuations in Net Asset Value during the period between submission of their redemption requests and the applicable Redemption Date.

As a commodity pool, the Fund maintains an extremely large percentage of its assets in cash, which it must have available to post initial and variation margin on futures contracts. This cash is also used to fund redemptions. While the Fund has the ability to fund redemption proceeds from liquidating positions, as a practical matter positions are not liquidated to fund redemptions. In the event that positions were liquidated to fund redemptions, MLAI, as the manager of the Fund, has the ability to override decisions of the Trading Advisor to fund redemptions if necessary, but in practice the Trading Advisor would determine in its discretion which investments should be liquidated.

For the six month period ended June 30, 2014, Fund capital decreased 4.55% from $978,349,405 to $933,862,521. This decrease was attributable to the net income from operations of $22,052,513 coupled with the redemption of 105,289,863 Redeemable Units resulting in an outflow of $175,572,462. The cash outflow was offset with cash inflow of $109,033,065 due to subscriptions of 83,695,163 Units. Future redemptions could impact the amount of funds available for investment in commodity contract positions in subsequent months.

Critical Accounting Policies

Statement of Cash Flows

The Fund is not required to provide a Statement of Cash Flows.

Investments

All investments (including derivatives) are held for trading purposes. Investments are recorded on trade date and open contracts are recorded at fair value (as 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. Profits or losses are realized when contracts are liquidated. Unrealized profits or losses on open contracts are included as a component of equity in commodity trading accounts on the Statements of Financial Condition. Realized profits or losses and any change in net unrealized profits or losses from the preceding period are reported in the Statements of Operations.

Fair Value Measurements

Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. For more information on the Fund’s treatment of fair value, see Financial Statements Note 3, Fair Value of Investments.

Futures Contracts

The Fund trades exchange listed futures contracts. A listed futures contract is a firm commitment to buy or sell a standardized quantity of an underlying asset over a specified duration. The Fund buys and sells contracts based on indices of financial assets such as stocks, domestic and global stock indices, as well as contracts on various physical commodities. Prices paid or received on these contracts are determined by the ask or bid provided by the exchanges on which they are traded. Contracts may be settled in physical form or cash settled depending upon the contract. Upon the execution of a trade, margin requirements determine the amount of cash that must be on deposit to secure the transaction. These amounts are considered restricted cash on the Fund’s Statements of Financial Condition. Contracts are priced daily by the Fund and the profit or loss based on the daily mark to market are recorded as unrealized profits. When the contract is closed, the Fund records a realized profit or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Because transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker, directly with the exchange on which the contracts are traded, credit exposure is limited. Realized profits (losses), net and changes in unrealized profits (losses), net on futures contracts are included in the Statements of Operations. The Fund also trades futures contracts on the London Metals Exchange (LME). The valuation pricing for LME contracts is based on action of a committee that incorporates prices from the most liquid trading sessions of the day and can also rely on other inputs such as supply and demand factors and bids and asks from open outcry sessions.

Forward Foreign Currency Contracts

Foreign currency contracts are those contracts where the Fund agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. Foreign currency contracts are valued daily, and the Fund’s net equity therein, representing unrealized profit or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Statements of Financial Condition. Realized profits (losses) and changes in unrealized profits (losses) on foreign currency contracts are recognized in the period in which the contract is closed or the changes occur, respectively and are included in the Statements of Operations.

Interest Rates and Income

The Fund currently earns interest based on the prevailing federal funds rate plus a spread for short cash positions and minus a spread for long cash positions. The current short term interest rates have remained extremely low when compared with historical rates and thus has contributed negligible amounts to overall Fund performance.

Income Taxes

No provision for income taxes has been made in the accompanying financial statements as each member is individually responsible for reporting income or loss based on such member’s share of the Fund’s income and expenses as reported for income tax purposes.

The Fund follows the ASC guidance on accounting for uncertainty in income taxes. This guidance provides how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. This guidance also requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions with respect to tax at the Fund level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. A prospective investor should be aware that, among other things, income taxes could have a material adverse effect on the periodic calculations of the net asset value of the Fund, including reducing the net asset value of the Fund to reflect reserves for income taxes, such as foreign withholding taxes, that may be payable by the Fund. This could cause benefits or detriments to certain investors, depending upon the timing of their entry and exit from the Fund. MLAI has analyzed the Fund’s tax positions and has concluded that no provision for income tax is required in the Fund’s financial statements. The following is the major tax jurisdiction for the Fund and the earliest tax year subject to examination: United States — 2010.

Reform Act

The Dodd-Frank Wall Street Reform and Consumer Protection Act amended the definition of “eligible contract participant,” and the Fund expects to meet the amended definition as it applies to trading in “retail forex” transactions so long as its total assets exceed $10 million. If the Fund does not meet the definition of “eligible contract participant” for purposes of trading in “retail forex” transactions, it could lead to the Fund being unable to trade such transactions in the interbank market and bearing higher upfront and mark-to-market margin, less favorable trade pricing, and the possible imposition of new or increased fees. “Retail forex” markets available to parties that do not meet the definition of “eligible contract participant” could also be significantly less liquid than the interbank market. Moreover, the creditworthiness of the counterparties with whom the Fund may be required to trade in such circumstances could be significantly weaker than the creditworthiness of MLI and the currency forward counterparties with which the Fund would otherwise engage for its currency forward transactions.

Results of Operations

January 1, 2014 to June 30, 2014

January 1, 2014 to March 31, 2014

The Fund experienced a net trading loss of $342,786 before brokerage commissions and related fees in the first quarter of 2014. The Fund’s profits were primarily attributable to the interest rates, agriculture, energy, and currency sectors posting profits. The metals and stock indices sectors posted losses.

The interest rate sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the first quarter as government bond markets rallied, providing positive performance contributions. Profits were posted to the Fund in the middle of the quarter only to be reversed at the end of the quarter. Markets

were further destabilized in March when the U.S. Federal Open Market Committee revised their projected targets, signaling more rapid monetary policy tightening. At the end of the quarter, the Fund suffered losses in the U.S. fixed income positions.

The agriculture sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the first quarter. In February, drought in Brazil damaged coffee crops and Arabica prices increased. The Fund’s short positions in coffee suffered losses. Excess rain in the soybean producing regions of Brazil reduced the quality of maturing crops and profited the Fund’s long position as prices rose which was not enough to offset losses posted to the Fund in the middle of the quarter. Profits were posted to the Fund at the end of the quarter.

The energy sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter. Energy markets rose in January due to demand for heating fuels in North America, benefitting the Fund’s long natural gas position in particular. Losses were posted to the Fund in the middle through the end of the quarter due to market volatility.

The currency sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the quarter. In Canada, a worsening trade balance, weak growth and a dovish stance from the central bank contributed to the Canadian dollar trading lower, providing some offset to losses in the currency sector. Profits were posted to the Fund in the middle of the quarter only to be reversed at the end of the quarter. At the end of the quarter, the Fund suffered losses across short U.S. dollar positions.

The metals sector posted losses to the Fund. Losses were posted to the Fund at the beginning through the middle of the first quarter only to be reversed at the end of the quarter. Profits were posted to the Fund at the end of the quarter due to the Fund’s short positions in silver.

The stock indices sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the first quarter. Escalating political tension, notably in Ukraine, Turkey and Thailand, further increased pressure on emerging markets which experienced a broad flight to quality through January. Losses were suffered in the Fund’s global equity indices which declined towards the end of January. Profits were posted to the Fund in the middle of the quarter as global equity markets rallied through February, reversing losses experienced in January. Losses were posted to the Fund at the end of the quarter. The resultant threat of international sanctions against Russia and the simmering geopolitical tension led to a volatile March for global markets.

April 1, 2014 to June 30, 2014

The Fund experienced a net trading profit of $48,059,106 before brokerage commissions and related fees in the second quarter of 2014. The Fund’s profits were primarily attributable to the interest rates, stock indices, currency and energy sectors posting profits. The metals and agriculture sectors posted losses.

The interest rate sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the second quarter. In April the European Central Bank opened the door to potential large-scale unsterilized asset purchases in an effort to battle below target inflation. While policymakers stressed that markets should not expect immediate action, European bond prices rallied and yield eager investors helped Greece and Portugal to successfully return to the sovereign debt market after prolonged absences. Long fixed income positions profited where bunds provided the most significant contribution to the Fund. Profits were posted to the Fund in the middle of the quarter due to the Fund’s long exposure to German Bunds. Profits were posted to the Fund at the end of the quarter as the Bank of England made a surprise

announcement signaling that interest rates in the United Kingdom could be on the rise sooner than expected.

The stock indices sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the second quarter. Profits were posted to the Fund in the middle of the quarter. Profits were posted to the Fund at the end of the quarter. In June the Eurozone tried to stem deflation by cutting key interest rates including the bold move of negative deposit rates. These actions provided a catalyst for a number of U.S. equity indices to climb higher.

The currency sector posted profits to the Fund. The currency sector posted profits to the Fund at the beginning of the second quarter. Losses were posted to the Fund in the middle of the quarter due to the Fund’s long Euro positions. Profits were posted to the Fund at the end of the quarter as sterling reached its highest exchange value against the dollar for over five years profiting the Fund’s long S&P, bund and pound positions in particular.

The energy sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the second quarter as natural gas prices and the value of long positions continued to rise in April. Losses were posted to the Fund in the middle of the quarter. Profits were posted to the Fund at the end of the quarter. In June conflicts in Iraq threatened refinery output which supported oil prices and benefitted the Fund’s crude holdings.

The metals sector posted losses to the Fund. Profits were posted to the Fund at the beginning through the middle of the second quarter only to be reversed at the end of the quarter. Losses were posted to the Fund at the end of the quarter due to regional instability in Iraq which contributed to rising precious metal values and subsequent losses for Fund’s short positions in this sector.

The agriculture sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the second quarter. In April the agriculture sector had positive performance, in particular the Fund’s soybean holding which benefitted from reports showing increasing international demand for U.S. crop and little sign of a seasonal decline in shipments from Brazil as the end of its harvest approached. The Fund suffered losses in the middle of the quarter. In May improving weather conditions in the U.S. and Russia led to double digit declines in the price of wheat and corn, which adversely affected the Fund’s performance. Corn price declines were further impacted by Chinese import curbs against U.S. genetically modified supplies containing presence of MIR 162, an insect-resistant genetic trait. Losses were posted to the Fund at the end of the quarter. In June corn prices continued to fall with high inventory levels and anticipation of large harvests in the U.S. adding to bearish sentiment and reducing the value of the Fund’s contracts.

January 1, 2013 to June 30, 2013

January 1, 2013 to March 31, 2013

The Fund experienced a net trading profit of $50,605,698 before brokerage commissions and related fees in the first quarter of 2013. The Fund’s profits were primarily attributable to the stock indices, currency and the agriculture sectors posting profits. The energy, metals and interest rate sectors posted losses.

The stock indices posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter due to the markets in Europe and Japan rising along with the U.S. markets. Losses were posted to the Fund in the middle of the quarter. February was a turbulent month for asset prices with plenty of

impacting events. These included a UK downgrade, the Bank of Japan searching for a new governor and the U.S. Federal Open Market Committee (FOMC) discussing how they will unwind their quantitative easing. These events interrupted the January stock market rally which left the value of the Fund’s equity positions down in February. Profits were posed to the Fund at the end of the quarter. Despite the “sequestration” U.S. budget cuts coming into effect at the beginning of March, U.S. equity markets resumed their rally. Promising employment data complemented the sanguine market mood, pushing the Dow Jones higher and producing strong returns for the Fund’s equity index.

The currency sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter. In Asia, the new Japanese government initiating a yen stimulus package helped the Trading Program’s short position in the Japanese yen. Long euro positions produced profits for the Fund. Losses were posted to the Fund in the middle of the quarter. The strong upward moves in the U.S. dollar left the value of the Trading Program’s currency positions down in February. Profits were posted to the Fund at the end of the quarter. Governor Kuroda used his first press conference as leader of the Bank of Japan to reiterate his strong desire to end deflation and set a target of achieving 2% inflation within two years. This contributed to the Trading Program’s profits in the Japanese yen.

The agriculture sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the quarter which was reversed in the middle of the quarter. Profits were posted to the Fund in the middle of the quarter. More rain in the U.S., most notably over the plains, reduced concerns of drought conditions worsening. This weather contributed to crop prices falling, benefitting the Trading Program’s short wheat and corn positions. Profits were posted to the Fund at the end of the quarter.

The energy sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter. Energy prices increased during January with a negative impact on the Trading Program’s short oil and natural gas positions. Losses were posted to the Fund in the middle of the quarter. Profits were posted to the Fund at the end of the quarter. Extended cold weather eroded natural gas storage levels, pushing prices significantly higher resulting in the energy sector posting profits.

The metals sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter only to be reversed in the middle of the quarter. Position liquidation and interrupted demand contributed to market falls with the result that the Trading Program’s silver holding positions incurred losses. Profits were posted to the Fund at the end of the quarter.

The interest rate sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter. There were indications of early repayments of European Central Bank loans. A consequence of positive sentiment was increased focus on if, and when, monetary policy will slow and liquidity removal will start. This attention pushed interest rates higher and reduced the value of Trading Program’s fixed income positions, particularly in Europe. Profits were posted to the Fund in the middle of the quarter with higher moves in bond and fixed income prices. Profits were posted to the Fund at the end of the quarter.

April 1, 2013 to June 30, 2013

The Fund experienced a net trading loss of $9,862,344 before brokerage commissions and related fees in the second quarter of 2013. The Fund’s profits were primarily attributable to the metals, stock indices and the agriculture sectors posting profits. The energy, currency and interest rate sectors posted losses.

The metals sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter. Metal prices sold off and struggled to recover in April increasing the value of the Trading Program’s short holdings in gold, copper and to a lesser extent, silver. Profits were posted to the Fund in the middle of the quarter resulting from precious metals losses, benefitting the Trading Program’s short gold position. Profits were posted to the Fund at the end of the quarter from the Trading Program’s short positions in the precious and base metal sectors.

The stock indices sector posted profits to the Fund. Profits were posted to the Fund at the beginning through the middle of the quarter resulting from the Trading Program’s long and short positions. Losses were posted to the Fund at the end of the quarter due to the Trading Program’s long positions in the equity markets.

The agriculture sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the quarter only. Profits were posted to the Fund in the middle through the end of the quarter.

The energy sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter only to be reversed in the middle through the end of the quarter. Losses were posted to the Fund in the middle through the end of the week.

The currency sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter resulting from the Trading Program’s short positions in the Japanese yen. Losses were posted to the Fund in the middle of the quarter as currencies weakened as the differential between core and peripheral yields narrowed, negatively impacting the Trading Program’s long holding of Turkish lira and Chilean peso. Losses were posted to the Fund at the end of the quarter resulting from the Trading Program’s holdings of Turkish lira and Russian rouble.

The interest rate sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter. Financial markets extended their rally through April, with the global search for yield overshadowing potential stumbling blocks surrounding European politics. The combination of central bank balance sheet expansion and a generally bullish earnings season helped deliver positive performance from the fixed income portfolio. Losses were posted to the Fund in the middle of the quarter. Minutes from the latest Federal Reserve FOMC meeting and Chairman Bernanke’s testimony to Congress reinvigorated some market participants’ perception that a tapering of monetary stimulus in the U.S. may materialize sooner than expected. Yields pushed higher as fixed income positions unwound, reducing the value of the Trading Program’s long holdings in Europe and the U.S. Losses were posted to the Fund at the end of the quarter. June proved to be a volatile four weeks for the Fund as it recovered from being down mid-month. The markets continued to feel panicked with the rise in U.S. yields that started in May continuing at an accelerated pace despite attempts from Federal Reserve officials to reassure market participants. This momentum was not helped by generally positive U.S. economic data and the resulting sell off in asset prices suggests that many market participants were rapidly unwinding their positions. The Trading Program’s long positions in the fixed income markets fell in value.

(The Fund has no applicable off-balance sheet arrangements or tabular disclosure of contractual obligations of the type described in Items 303(a)(4) and 303(a)(5) of Regulation S-K).

Item 3. Quantitative and Qualitative Disclosures About Market Risk

Introduction

The Fund is a speculative commodity pool. The market sensitive instruments held by it are acquired for speculative trading purposes and all or substantially all of the Fund’s assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Fund’s main line of business.

Market movements result in frequent changes in the fair market value of the Fund’s open positions and, consequently, in its earnings and cash flow. The Fund’s market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Fund’s open positions and the liquidity of the markets in which it trades.

The Fund, under the direction of Winton, rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Fund’s past performance is not necessarily indicative of its future results.

Value at Risk is a measure of the maximum amount which the Fund could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Fund’s speculative trading and the recurrence in the markets traded by the Fund of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the Fund’s experience to date (i.e. “risk of ruin”). In light of the foregoing, as well as the risks and uncertainties intrinsic to all future projections, the quantifications included in this section should not be considered to constitute any assurance or representation that the Fund’s losses in any market sector will be limited to Value at Risk or by the Fund’s attempts to manage its market risk.

Quantifying The Fund’s Trading Value At Risk

Quantitative Forward-Looking Statements

The following quantitative disclosures regarding the Fund’s market risk exposures contain “forward-looking statements” within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933 (“Securities Act”) and Section 21E of the Securities Exchange Act of 1934 (“Securities Exchange Act”)). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact.

The Fund’s risk exposure in the various market sectors traded by the Fund is quantified below in terms of Value at Risk. Due to the Fund’s fair value accounting, any loss in the fair value of the Fund’s open positions is directly reflected in the Fund’s earnings (realized or unrealized) and cash flow (in the case of exchange-traded contracts in which profits and losses on open positions are settled daily through variation margin).

Exchange maintenance margin requirements have been used by the Fund as the measure of its Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceed the maximum loss in

the fair value of any given contract incurred in 95%-99% of the one-day time periods included in the historical sample (generally approximately one year) researched for purposes of establishing margin levels. The maintenance margin levels are established by dealers and exchanges using historical price studies as well as an assessment of current market volatility (including the implied volatility of the options on a given futures contract) and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation.

In the case of market sensitive instruments which are not exchange-traded (almost exclusively currencies in the case of the Fund), the margin requirements for the equivalent futures positions have been used as Value at Risk. In those rare cases in which a futures-equivalent margin is not available, dealers’ margins have been used.

100% positive correlation in the different positions held in each market risk category has been assumed. Consequently, the margin requirements applicable to the open contracts have been aggregated to determine each trading category’s aggregate Value at Risk. The diversification effects resulting from the fact that the Fund’s positions are rarely, if ever, 100% positively correlated have not been reflected.

The Fund’s Trading Value at Risk in Different Market Sectors

The following table indicates the average, highest and lowest trading Value at Risk associated with the Fund’s open positions by market category for the fiscal period. For the six month periods ended June 30, 2014 and 2013, the Fund’s average Month-end Net Asset Value was approximately $947,816,684 and $1,096,436,062, respectively.

June 30, 2014

	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk

Agriculture	$	28,312,270	2.99	%	$	34,166,175	$	21,078,691
Currencies	6,991,651		0.74	%	8,403,134		5,952,975
Energy	2,411,465		0.25	%	2,781,437		1,909,127
Interest Rates	17,457,050		1.84	%	32,950,906		3,754,274
Metals	10,253,761		1.08	%	12,845,337		8,246,417
Stock Indices	13,650,005		1.44	%	20,862,873		6,278,996

TOTAL	$	79,076,202	8.34	%	$	112,009,862	$	47,220,480

June 30, 2013

	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk

Agriculture	$	9,033,562	0.82	%	$	15,231,197	$	3,090,566
Currencies	16,828,081		1.53	%	23,053,950		9,630,053
Energy	5,415,269		0.49	%	6,356,357		3,872,438
Interest Rates	20,735,163		1.89	%	27,556,919		12,484,496
Metals	11,813,737		1.08	%	25,401,178		678,387
Stock Indices	7,325,372		0.67	%	10,694,810		4,653,692

TOTAL	$	71,151,184	6.48	%	$	108,294,411	$	34,409,632

Material Limitations on Value at Risk as an Assessment of Market Risk

The face value of the market sector instruments held by the Fund is typically many times the applicable maintenance margin requirement (maintenance margin requirements generally ranging between approximately 1% and 10% of contract face value) as well as many times the capitalization of the Fund. The magnitude of the Fund’s open positions creates a “risk of ruin” not typically found in most other investment vehicles. Because of the size of its positions, certain market conditions — unusual, but historically recurring from time to time — could cause the Fund to incur severe losses over a short period of time. The foregoing Value at Risk table — as well as the past performance of the Fund — gives no indication of this “risk of ruin.”

Non-Trading Risk

Foreign Currency Balances; Cash on Deposit with MLPF&S and MLI

The Fund has non-trading market risk on its foreign cash balances not needed for margin. However, these balances (as well as the market risk they represent) are typically immaterial.

The Fund also has non-trading market risk on approximately 90% of its assets which are held in cash at MLPF&S. The value of this cash is not interest rate sensitive, but there is cash flow risk in that if interest rates decline so will the cash flow generated on these monies.

Qualitative Disclosures Regarding Primary Trading Risk Exposures

The following qualitative disclosures regarding the Fund’s market risk exposures — except for (i) those disclosures that are statements of historical fact and (ii) the descriptions of how the Fund manages its primary market risk exposures — constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Securities Exchange Act. The Fund’s primary market risk exposures as well as the strategies used and to be used by MLAI and Winton for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Fund’s risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Fund. There can be no assurance that the Fund’s current market exposure and/or risk management strategies will not change

materially or that any such strategies will be effective in either the short- or long-term. Investors must be prepared to lose all or substantially all of the value of their investment in the Fund.

The following were the primary trading risk exposures of the Fund as of June 30, 2014, by market sector.

Interest Rates

Interest rate movements directly affect the price of derivative sovereign bond futures positions held by the Fund and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries can materially impact the Fund’s profitability. The Fund’s primary interest rate exposure is to interest rate fluctuations in the United States and the other G-7 countries. However, the Fund may also take futures positions in the government debt of smaller nations e.g., Australia. MLAI anticipates that G-7 interest rates will remain the primary market exposure of the Fund for the foreseeable future.

Currencies

The Fund trades in a number of currencies. The Fund does not anticipate that the risk profile of the Fund’s currency sector will change significantly in the future. The currency trading Value at Risk figure includes foreign margin amounts converted into U.S. dollars with an incremental adjustment to reflect the exchange rate risk of maintaining Value at Risk in a functional currency other than U.S. dollars.

Stock Indices

The Fund’s primary equity exposure is to various equity index price movements. The Fund is primarily exposed to the risk of adverse price trends or static markets in the major U.S., European and Asian indices.

Metals

The Fund’s metals market exposure is to fluctuations in the price of precious and non-precious metals.

Agricultural Commodities

The Fund’s primary agricultural commodities exposure is to agricultural price movements which are often directly affected by severe or unexpected weather conditions. Soybeans, grains, livestock, cotton, corn and coffee accounted for the substantial bulk of the Fund’s agricultural commodities exposure as of June 30, 2014.

Energy

The Fund’s primary energy market exposure is to natural gas and crude oil price movements, often resulting from political developments in the Middle East. Oil prices can be volatile and substantial profits and losses have been and are expected to continue to be experienced in this market.

Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following were the primary non-trading risk exposures of the Fund as of June 30, 2014.

Foreign Currency Balances

The Fund’s primary foreign currency balances are in Japanese yen, British pounds and Euros.

U.S. Dollar Cash Balance

The Fund holds the vast majority of its U.S. dollars in cash at MLPF&S and MLI. The Fund has immaterial cash flow interest rate risk on its cash on deposit with MLPF&S in that declining interest rates would cause the income from such cash to decline.

Qualitative Disclosures Regarding Means of Managing Risk Exposure

Trading Risk

MLAI has procedures in place intended to control market risk, although there can be no assurance that they will, in fact, succeed in doing so. While MLAI does not intervene in the markets to hedge or diversify the Fund’s market exposure, MLAI may urge Winton to reallocate positions in an attempt to avoid over-concentrations. However, such interventions are unusual, except in cases in which it appears that Winton has begun to deviate from past practice and trading policies or to be trading erratically. MLAI’s basic control procedures consist of the ongoing process of monitoring Winton with the market risk controls being applied by Winton.

Risk Management

The management of risk is an integral part of the Trading Program.The Trading Advisor’s focus within risk management is on targeting, measuring and managing risk. Owing to the leverage inherent in futures trading, position sizes are set according to the Trading Advisor’s expectation of the risk that the positions will provide, rather than the amount of capital required to fund the positions. The Trading Advisor also conducts stress testing of its systems utilizing proprietary simulation software which attempts to measure risk.

Non-Trading Risk

The Fund controls the non-trading exchange rate risk by regularly converting foreign balances back into U.S. dollars at least once per week, and more frequently if a particular foreign currency balance becomes unusually high.

The Fund has cash flow interest rate risk on its cash on deposit with MLPF&S in that declining interest rates would cause the income from such cash to decline. However, a certain amount of cash or cash equivalents must be held by the Fund in order to facilitate margin payments and pay expenses and redemptions. MLAI does not take any steps to limit the cash flow risk on its cash held on deposit at MLPF&S.

Item 4. Controls and Procedures

Disclosure Controls and Procedures

MLAI’s Chief Executive Officer and Chief Financial Officer, on behalf of the Fund, have evaluated the effectiveness of the design and operation of its disclosure controls and procedures (as defined in Rule

13a-15(e) or Rule 15d-15(e) under the Securities Exchange Act) with respect to the Fund as of and for the quarter which ended June 30, 2014, and, based on their evaluation, have concluded that these disclosure controls and procedures are effective.

Changes in Internal Control over Financial Reporting

No change in internal control over financial reporting (as defined in Rule 13a-15(f) or Rule 15d-15(f) under the Securities Exchange Act) occurred during the quarter ended June 30, 2014 that has materially affected, or is reasonably likely to materially affect, the Fund’s internal control over financial reporting.

PART II - OTHER INFORMATION

Item 1. Legal Proceedings

None.

Item 1A. Risk Factors

There are no material changes from risk factors as previously disclosed in the Fund’s report on Form 10-K for the year ended December 31, 2013, filed with the Securities and Exchange Commission on March 25, 2014.

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

(a) Units are privately offered and sold to “accredited investors” (as defined in Rule 501(a) under the Securities Act in reliance on the exemption from registration provided by Section 4(2) of the Securities Act and Rule 506 thereunder. The selling agent of the Units was MLPF&S.

CLASS A

	Subscription
	Amount		Units	NAV (1)
1/1/2014	$	1,025,151	589,675	$	1.7385
1/16/2014	185,969		107,379	1.7319
2/1/2014	613,575		361,628	1.6967
2/16/2014	226,103		132,418	1.7075
3/1/2014	139,529		80,517	1.7329
3/16/2014	524,831		308,435	1.7016
4/1/2014	2,208,952		1,283,230	1.7214
4/16/2014	297,577		172,538	1.7247
5/1/2014	224,107		128,156	1.7487
5/16/2014	169,846		96,751	1.7555
6/1/2014	878,554		493,819	1.7791
6/16/2014	813,018		458,116	1.7747
7/1/2014	316,340		177,849	1.7787

CLASS C

	Subscription
	Amount		Units	NAV (1)
1/1/2014	$	2,979,226	1,871,491	$	1.5919
1/16/2014	962,593		607,276	1.5851
2/1/2014	3,696,311		2,381,183	1.5523
2/16/2014	2,699,789		1,728,971	1.5615
3/1/2014	4,033,806		2,546,434	1.5841
3/16/2014	3,025,307		1,945,786	1.5548
4/1/2014	3,897,892		2,479,259	1.5722
4/16/2014	3,572,339		2,268,728	1.5746
5/1/2014	4,823,262		3,022,284	1.5959
5/16/2014	4,272,492		2,667,973	1.6014
6/1/2014	3,821,711		2,355,736	1.6223
6/16/2014	2,083,085		1,287,843	1.6175
7/1/2014	2,295,762		1,416,612	1.6206

CLASS D

	Subscription
	Amount		Units	NAV (1)
1/1/2014	$	215,000	117,429	$	1.8309
1/16/2014	—		—	1.8250
2/1/2014	14,000		7,825	1.7891
2/16/2014	—		—	1.8016
3/1/2014	—		—	1.8296
3/16/2014	—		—	1.7976
4/1/2014	4,000,000		2,198,164	1.8197
4/16/2014	—		—	1.8244
5/1/2014	—		—	1.8509
5/16/2014	—		—	1.8592
6/1/2014	—		—	1.8854
6/16/2014	—		—	1.8819
7/1/2014	—		—	1.8874

CLASS I

	Subscription
	Amount		Units	NAV (1)
1/1/2014	$	1,342,225	750,895	$	1.7875
1/16/2014	—		—	1.7809
2/1/2014	91,084		52,194	1.7451
2/16/2014	—		—	1.7565
3/1/2014	829,000		464,973	1.7829
3/16/2014	1,128,000		644,203	1.7510
4/1/2014	129,961		73,358	1.7716
4/16/2014	—		—	1.7754
5/1/2014	9,000		4,999	1.8004
5/16/2014	35,000		19,363	1.8076
6/1/2014	73,709		40,228	1.8323
6/16/2014	35,239		19,277	1.8280
7/1/2014	50,000		27,285	1.8325

CLASS DS

	Subscription
	Amount		Units	NAV (1)
1/1/2014	$	—	—	$	1.8286
1/16/2014	—		—	1.8228
2/1/2014	—		—	1.7869
2/16/2014	—		—	1.7994
3/1/2014	—		—	1.8273
3/16/2014	—		—	1.7954
4/1/2014	5,971,969		3,285,996	1.8174
4/16/2014	—		—	1.8221
5/1/2014	—		—	1.8486
5/16/2014	—		—	1.8569
6/1/2014	295,590		156,970	1.8831
6/16/2014	—		—	1.8795
7/1/2014	—		—	1.8850

CLASS DT

	Subscription
	Amount		Units	NAV (1)
1/1/2014	$	—	—	$	1.9307
1/16/2014	—		—	1.9249
2/1/2014	—		—	1.8875
2/16/2014	—		—	1.9010
3/1/2014	—		—	1.9309
3/16/2014	—		—	1.8976
4/1/2014	—		—	1.9213
4/16/2013	—		—	1.9266
5/01/2013	—		—	1.9560
5/16/2013	—		—	1.9657
6/01/2013	—		—	1.9956
6/16/2013	—		—	1.9919
7/1/2013	—		—	1.9984

CLASS M

	Subscription
	Amount		Units	NAV (1)
1/1/2014	$	1,097,617	1,066,890	$	1.0288
1/16/2014	35,000		34,130	1.0255
2/1/2014	1,489,860		1,482,005	1.0053
2/16/2014	5,118,801		5,056,604	1.0123
3/1/2014	32,135,122		31,259,846	1.0280
3/16/2014	240,206		237,805	1.0101
4/1/2014	3,071,195		3,003,614	1.0225
4/16/2014	2,113,867		2,062,108	1.0251
5/1/2014	805,595		774,610	1.0400
5/16/2014	1,011,000		967,742	1.0447
6/1/2014	420,000		396,451	1.0594
6/16/2014	150,000		141,858	1.0574
7/1/2014	3,349,000		3,157,944	1.0605

CLASS F

	Subscription
	Amount		Units	NAV (1)
1/1/2014	$	—	—	$	1.0007
1/16/2014	—		—	0.9979
2/1/2014	—		—	0.9787
2/16/2014	—		—	0.9859
3/1/2014	—		—	1.0017
3/16/2014	—		—	0.9846
4/1/2014	—		—	0.9971
4/16/2014	—		—	1.0001
5/1/2014	—		—	1.0149
5/16/2014	—		—	1.0198
6/1/2014	—		—	1.0346
6/16/2014	—		—	1.0330
7/1/2014	—		—	1.0363

CLASS F1

	Subscription
	Amount		Units	NAV (1)
1/1/2014	$	—	—	$	1.0254
1/16/2014	—		—	1.0225
2/1/2014	—		—	1.0028
2/16/2014	—		—	1.0102
3/1/2014	—		—	1.0264
3/16/2014	—		—	1.0089
4/1/2014	—		—	1.0217
4/16/2014	—		—	1.0247
5/1/2014	—		—	1.0400
5/16/2014	—		—	1.0450
6/1/2014	—		—	1.0601
6/16/2014	—		—	1.0584
7/1/2014	—		—	1.0619

(1) Beginning of the period Net Asset Value

Class A Units are subject to a sales commission paid to MLPF&S ranging from 1.0% to 2.5%. Class D Units and Class I Units are subject to sales commissions paid to MLPF&S up to 2.5%. Class F Units and Class G Units are subject to a sale commissions paid to MLPF&S up to 0.5%. The rate assessed to a given subscription is based upon the subscription amount. Sales commissions are directly deducted from subscription amounts. Class C Units, Class DS Units, Class DT Units, Class F-1 Units, and Class M Units are not subject to any sales commissions.

(b) Not applicable.

Item 3. Defaults Upon Senior Securities

None.

Item 4. Mine Safety Disclosures

Not applicable.

Item 5. Other Information

None.

Item 6. Exhibits

The following exhibits are filed herewith to this Quarterly Report on Form 10-Q:

31.01 and

31.02 Rule 13a-14(a)/15d-14(a) Certifications

Exhibit 31.01

and 31.02 Are filed herewith.

32.01 and

32.02 Section 1350 Certifications

Exhibit 32.01

and 32.02 Are filed herewith.

Exhibit 101 Are filed herewith.

The following materials from the Fund’s quarterly Report on Form 10-Q for the three and six month periods ended June 30, 2014 formatted in XBRL (Extensible Business Reporting Language): (i) Statements of Financial Condition (ii) Statements of Operations (iii) Statements of Changes in Members’ Capital (iv) Financial Data Highlights and (v) Notes to Financial Statements, tagged as blocks of text. (1)

(1) These interactive data files shall not be deemed filed for purposes of Sections 11 or 12 of the Securities Act of 1933 or Section 18 of the Securities Exchange Act of 1934 or otherwise subject to liability under those sections.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

	ML WINTON FUTURESACCESS LLC


	By:	MERRILL LYNCH ALTERNATIVE
		INVESTMENTS LLC
		(Manager)


Date: August 14, 2014	By:	/s/ KEITH GLENFIELD
		Keith Glenfield
		Chief Executive Officer and President
		(Principal Executive Officer)


Date: August 14, 2014	By:	/s/ BARBRA E. KOCSIS
		Barbra E. Kocsis
		Chief Financial Officer
		(Principal Financial Officer)

Attached files

ML Winton FuturesAccess LLC Reports

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