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

ML Winton FuturesAccess LLC - FORM 10-Q - August 14, 2014

Attached files