ML Winton FuturesAccess LLC - FORM 10-Q

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EXCEL - IDEA: XBRL DOCUMENT - ML Winton FuturesAccess LLC	Financial_Report.xls
EX-32.01 - EX-32.01 - ML Winton FuturesAccess LLC	a14-19606_1ex32d01.htm
EX-31.01 - EX-31.01 - ML Winton FuturesAccess LLC	a14-19606_1ex31d01.htm
EX-31.02 - EX-31.02 - ML Winton FuturesAccess LLC	a14-19606_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 September 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		(I.R.S. Employer Identification No.)
incorporation or organization)

c/o Merrill Lynch Alternative Investments LLC

250 Vesey Street, 11th Floor

New York, New York 10080

(Address of principal executive offices)

(Zip Code)

609-274-5838

(Registrant’s telephone number, including area code)

c/o Merrill Lynch Alternative Investments LLC

Four World Financial Center

250 Vesey Street, 11th Floor

New York, New York 10080

(Former name, former address and former fiscal year, if changed since last report)

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 September 30, 2014, 598,283,880 units of limited liability company interest were outstanding.

ML WINTON FUTURESACCESS LLC

QUARTERLY REPORT FOR SEPTEMBER 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	28

Item 4.	Controls and Procedures	33

PART II—OTHER INFORMATION

Item 1.	Legal Proceedings	33

Item 1A.	Risk Factors	33

Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	33

Item 3.	Defaults Upon Senior Securities	36

Item 4.	Mine Safety Disclosures	36

Item 5.	Other Information	36

Item 6.	Exhibits	36

PART I - FINANCIAL INFORMATION

Item 1. Financial Statements

ML WINTON FUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OF FINANCIAL CONDITION

(unaudited)

	September 30,		December 31,
	2014		2013
ASSETS:
Equity in commodity trading accounts:
Cash (including restricted cash of $92,126,135 for 2014 and $74,790,241 for 2013)	$	920,395,305	$	974,168,421
Unrealized profit on open futures contracts	45,112,723		42,267,900
Unrealized profit on open forwards contracts	3,783,436		927,780
Cash	591,938		631,442
Accrued interest receivable	26		200

TOTAL ASSETS	$	969,883,428	$	1,017,995,743

LIABILITIES AND MEMBERS’ CAPITAL:
LIABILITIES:
Brokerage commissions payable	$	9,517	$	7,723
Sponsor and Advisory fees payable	4,201,355		9,079,002
Redemptions payable	9,269,817		17,236,150
Unrealized loss on open futures contracts	31,265,343		11,978,242
Unrealized loss on open forwards contracts	11,816,181		688,767
Other liabilities	548,276		656,454

Total liabilities	57,110,489		39,646,338

MEMBERS’ CAPITAL:
Members’ Interest (598,283,880 Units and 632,945,962 Units)	912,772,939		978,349,405
Total members’ capital	912,772,939		978,349,405

TOTAL LIABILITIES AND MEMBERS’ CAPITAL	$	969,883,428	$	1,017,995,743

NET ASSET VALUE PER UNIT:
(Based on 598,283,880 and 632,945,962 Units outstanding; unlimited Units authorized)

Class A	$	1.7841	$	1.7385
Class C	$	1.6214	$	1.5919
Class D	$	1.9001	$	1.8309
Class I	$	1.8398	$	1.7875
Class DS	$	1.8978	$	1.8286
Class DT	$	2.0150	$	1.9307
Class M	$	1.0677	$	1.0288
Class F	$	1.0458	$	1.0007
Class F1	$	1.0716	$	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 nine			For the nine
	months ended			months ended			months ended			months ended
	September 30,			September 30,			September 30,			September 30,
	2014			2013			2014			2013
TRADING PROFIT (LOSS):

Realized, net	$	24,293,879		$	(15,970,297	)	$	85,587,976		$	26,912,960
Change in unrealized, net	(11,136,259		)	8,188,758			(24,714,036		)	6,048,855
Brokerage commissions	(294,442		)	(287,726		)	(908,716		)	(1,029,682		)

Total trading profit (loss), net	12,863,178			(8,069,265		)	59,965,224			31,932,133

INVESTMENT INCOME (EXPENSE):
Interest, net	(110,961		)	(108,916		)	(423,094		)	(230,787		)

EXPENSES:
Management fee	4,409,461			5,049,969			13,610,204			16,063,749
Sponsor fee	3,394,610			3,865,900			10,474,840			12,131,597
Performance fee	1,629,893			—			9,038,560			90,275
Other	476,851			522,941			1,524,611			1,680,774
Total expenses	9,910,815			9,438,810			34,648,215			29,966,395

NET INVESTMENT INCOME (LOSS)	(10,021,776		)	(9,547,726		)	(35,071,309		)	(30,197,182		)

NET INCOME (LOSS)	$	2,841,402		$	(17,616,991	)	$	24,893,915		$	1,734,951

NET INCOME (LOSS) PER UNIT:

Weighted average number of Units outstanding
Class A	71,673,094			98,861,864			78,724,785			100,504,529
Class C	273,326,706			320,126,878			279,183,129			326,277,639
Class D	35,495,844			65,547,304			40,390,998			84,637,855
Class I	33,256,655			50,569,449			38,738,789			50,937,292
Class DS	22,691,891			39,130,689			24,576,245			44,773,936
Class DT	5,812,785			10,123,493			6,379,558			11,446,697
Class M	88,211,703			48,451,473			78,885,099			44,417,900
Class F	46,520,691			46,520,691			46,520,691			44,143,649
Class F1	32,348,368			32,348,368			32,348,368			32,348,368

Net income (loss) per weighted average Unit
Class A	$	0.0040		$	(0.0280	)	$	0.0422		$	0.0030
Class C	$	0.0006		$	(0.0298	)	$	0.0283		$	(0.0100	)
Class D	$	0.0139		$	(0.0220	)	$	0.0673		$	0.0625
Class I	$	0.0066		$	(0.0256	)	$	0.0447		$	0.0072
Class DS	$	0.0116		$	(0.0246	)	$	0.0654		$	0.0347
Class DT	$	0.0154		$	(0.0235	)	$	0.0789		$	0.0405
Class M	$	0.0064		$	(0.0124	)	$	0.0445		$	0.0049
Class F	$	0.0095		$	(0.0097	)	$	0.0451		$	(0.0473	)
Class F1	$	0.0097		$	(0.0100	)	$	0.0462		$	(0.0340	)

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited) (in Units)

	Members’ Capital December 31, 2012	Subscriptions	Redemptions		Members’ Capital September 30, 2013	Members’ Capital December 31, 2013	Subscriptions	Redemptions		Members’ Capital September 30, 2014
Class A	105,821,750	7,397,375	(16,862,854	)	96,356,271	89,279,211	5,358,223	(28,247,611	)	66,389,823
Class C	334,741,567	23,661,718	(49,429,710	)	308,973,575	289,256,969	31,784,962	(52,714,633	)	268,327,298
Class D	99,225,678	5,643,638	(39,138,841	)	65,730,475	46,696,897	3,680,491	(14,606,721	)	35,770,667
Class I	50,667,859	5,547,204	(6,253,607	)	49,961,456	47,689,327	2,265,483	(17,685,004	)	32,269,806
Class DS	54,128,029	—	(18,954,887	)	35,173,142	27,662,374	3,663,481	(8,793,003	)	22,532,852
Class DT	13,202,221	—	(4,003,077	)	9,199,144	7,308,839	—	(1,643,914	)	5,664,925
Class M	38,151,931	13,284,845	(3,265,593	)	48,171,183	46,183,286	53,432,510	(11,156,346	)	88,459,450
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	134,403,839	(137,908,569	)	692,434,305	632,945,962	100,185,150	(134,847,232	)	598,283,880

* 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 NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)

	Members’ Capital December 31, 2012		Subscriptions		Redemptions			Net Income (Loss)			Members’ Capital September 30, 2013		Members’ Capital December 31, 2013		Subscriptions		Redemptions			Net Income (Loss)		Members’ Capital September 30, 2014
Class A	$	174,373,801	$	12,446,410	$	(28,377,257	)	$	301,008		$	158,743,962	$	155,214,109	$	9,326,388	$	(49,420,852	)	$	3,324,052	$	118,443,697
Class C	510,141,341		36,752,597		(76,366,645		)	(3,273,152		)	467,254,141		460,460,237		50,505,232		(83,818,041		)	7,905,922		435,053,350
Class D	169,628,029		9,820,354		(71,124,313		)	5,291,965			113,616,035		85,498,186		6,729,000		(26,977,807		)	2,719,912		67,969,291
Class I	85,499,452		9,472,593		(10,794,255		)	365,746			84,543,536		85,244,114		4,028,721		(31,633,165		)	1,731,039		59,370,709
Class DS	92,418,972		—		(33,250,201		)	1,553,493			60,722,264		50,584,682		6,685,510		(16,114,795		)	1,606,881		42,762,278
Class DT	23,677,969		—		(7,397,833		)	464,147			16,744,283		14,111,527		—		(3,200,237		)	503,551		11,414,841
Class M	36,647,613		13,089,297		(3,170,308		)	219,309			46,785,911		47,512,048		55,063,389		(11,643,724		)	3,512,855		94,444,568
Class F*	—		45,942,000		—			(2,086,294		)	43,855,706		46,554,511		—		—			2,096,180		48,650,691
Class F1**	—		32,348,368		—			(1,101,271		)	31,247,097		33,169,991		—		—			1,493,523		34,663,514
Total Members’ Interest	$	1,092,387,177	$	159,871,619	$	(230,480,812	)	$	1,734,951		$	1,023,512,935	$	978,349,405	$	132,338,240	$	(222,808,621	)	$	24,893,915	$	912,772,939

* 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 SEPTEMBER 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 period	$	1.7787		$	1.6206		$	1.8874		$	1.8325		$	1.8850		$	1.9984		$	1.0605		$	1.0363		$	1.0619

Net realized and net change in unrealized trading profit (loss)	0.0256			0.0233			0.0273			0.0264			0.0273			0.0289			0.0153			0.0150			0.0154
Brokerage commissions	(0.0006		)	(0.0005		)	(0.0006		)	(0.0006		)	(0.0006		)	(0.0006		)	(0.0003		)	(0.0003		)	(0.0003		)
Interest income, net	(0.0002		)	(0.0002		)	(0.0002		)	(0.0002		)	(0.0002		)	(0.0002		)	(0.0001		)	(0.0001		)	(0.0001		)
Expenses	(0.0194		)	(0.0218		)	(0.0138		)	(0.0183		)	(0.0137		)	(0.0115		)	(0.0077		)	(0.0051		)	(0.0053		)

Net asset value, end of period	$	1.7841		$	1.6214		$	1.9001		$	1.8398		$	1.8978		$	2.0150		$	1.0677		$	1.0458		$	1.0716

Total Return: (a) (d)

Total return before Performance fees	0.47		%	0.22		%	0.84		%	0.57		%	0.84		%	0.97		%	0.84		%	1.10		%	1.10		%
Performance fees/other	-0.18		%	-0.18		%	-0.18		%	-0.18		%	-0.18		%	-0.15		%	-0.18		%	-0.20		%	-0.20		%
Total return after Performance fees	0.29		%	0.04		%	0.66		%	0.39		%	0.66		%	0.82		%	0.66		%	0.90		%	0.90		%

Ratios to Average Member’s Capital: (d)

Expenses (excluding Performance fees) (c)	0.94		%	1.19		%	0.57		%	0.84		%	0.57		%	0.44		%	0.57		%	0.32		%	0.32		%
Performance fees	0.17		%	0.17		%	0.17		%	0.17		%	0.17		%	0.15		%	0.17		%	0.19		%	0.19		%
Expenses (including Performance fees)	1.11		%	1.36		%	0.74		%	1.01		%	0.74		%	0.59		%	0.74		%	0.51		%	0.51		%

Net investment income (loss) (b)	-1.11		%	-1.37		%	-0.74		%	-1.01		%	-0.74		%	-0.59		%	-0.74		%	-0.51		%	-0.51		%

(a) The total return is based on compounded monthly returns and is 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) The net investment income (loss) ratio is net of performance fees.

(d) The ratios and total return are not annualized.

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE NINE MONTHS ENDED SEPTEMBER 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 period	$	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)	0.1135			0.1034			0.1203			0.1169			0.1202			0.1273			0.0676			0.0661			0.0677
Brokerage commissions	(0.0017		)	(0.0015		)	(0.0018		)	(0.0017		)	(0.0018		)	(0.0019		)	(0.0010		)	(0.0010		)	(0.0010		)
Interest income, net	(0.0008		)	(0.0007		)	(0.0008		)	(0.0008		)	(0.0008		)	(0.0009		)	(0.0005		)	(0.0005		)	(0.0005		)
Expenses	(0.0654		)	(0.0717		)	(0.0485		)	(0.0621		)	(0.0484		)	(0.0402		)	(0.0272		)	(0.0195		)	(0.0200		)

Net asset value, end of period	$	1.7841		$	1.6214		$	1.9001		$	1.8398		$	1.8978		$	2.0150		$	1.0677		$	1.0458		$	1.0716

Total Return: (a) (d)

Total return before Performance fees	3.58		%	2.81		%	4.75		%	3.89		%	4.75		%	5.15		%	4.75		%	5.55		%	5.55		%
Performance fees/other	-0.96		%	-0.96		%	-0.96		%	-0.96		%	-0.96		%	-0.77		%	-0.96		%	-1.02		%	-1.02		%
Total return after Performance fees	2.62		%	1.85		%	3.79		%	2.93		%	3.79		%	4.38		%	3.79		%	4.53		%	4.53		%

Ratios to Average Member’s Capital: (d)

Expenses (excluding Performance fees) (c)	2.84		%	3.59		%	1.72		%	2.54		%	1.72		%	1.34		%	1.72		%	0.96		%	0.96		%
Performance fees	0.95		%	0.95		%	0.95		%	0.95		%	0.95		%	0.76		%	0.95		%	1.01		%	1.01		%
Expenses (including Performance fees)	3.79		%	4.54		%	2.67		%	3.49		%	2.67		%	2.10		%	2.67		%	1.97		%	1.97		%

Net investment income (loss) (b)	-3.79		%	-4.54		%	-2.66		%	-3.49		%	-2.66		%	-2.10		%	-2.66		%	-1.97		%	-1.97		%

(b) The net investment income (loss) ratio is net of performance fees.

(d) The ratios and total return 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 SEPTEMBER 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	$	1.6749		$	1.5413		$	1.7508		$	1.7187		$	1.7486		$	1.8413		$	0.9837		$	0.9525		$	0.9759

Net realized and net change in unrealized trading profit (loss)	(0.0116		)	(0.0107		)	(0.0121		)	(0.0119		)	(0.0121		)	(0.0127		)	(0.0068		)	(0.0066		)	(0.0067		)
Brokerage commissions	(0.0005		)	(0.0004		)	(0.0005		)	(0.0005		)	(0.0005		)	(0.0005		)	(0.0003		)	(0.0003		)	(0.0003		)
Interest income, net	(0.0002		)	(0.0002		)	(0.0002		)	(0.0002		)	(0.0002		)	(0.0002		)	(0.0001		)	(0.0001		)	(0.0001		)
Expenses	(0.0151		)	(0.0177		)	(0.0095		)	(0.0139		)	(0.0094		)	(0.0077		)	(0.0053		)	(0.0028		)	(0.0028		)

Net asset value, end of period	$	1.6475		$	1.5123		$	1.7285		$	1.6922		$	1.7264		$	1.8202		$	0.9712		$	0.9427		$	0.9660

Total Return: (a) (d)

Total return before Performance fees	-1.64		%	-1.89		%	-1.27		%	-1.54		%	-1.27		%	-1.15		%	-1.27		%	-1.02		%	-1.02		%
Performance fees/other (b)	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Total return after Performance fees	-1.64		%	-1.89		%	-1.27		%	-1.54		%	-1.27		%	-1.15		%	-1.27		%	-1.02		%	-1.02		%

Ratios to Average Member’s Capital: (d)

Expenses (excluding Performance fees) (c)	0.92		%	1.17		%	0.55		%	0.82		%	0.55		%	0.42		%	0.55		%	0.30		%	0.30		%
Performance fees (b)	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Expenses (including Performance fees)	0.92		%	1.17		%	0.55		%	0.82		%	0.55		%	0.42		%	0.55		%	0.30		%	0.30		%

Net investment income (loss) (e)	-0.93		%	-1.18		%	-0.56		%	-0.83		%	-0.56		%	-0.43		%	-0.56		%	-0.31		%	-0.31		%

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

(d) The ratios and total return are not annualized.

(e) The net investment income (loss) ratio is net of performance fees.

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE NINE MONTHS ENDED SEPTEMBER 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)	0.0485			0.0449			0.0501			0.0496			0.0500			0.0525			0.0282			(0.0597		)	(0.0309		)
Brokerage commissions	(0.0016		)	(0.0015		)	(0.0017		)	(0.0016		)	(0.0017		)	(0.0017		)	(0.0009		)	(0.0004		)	(0.0004		)
Interest income, net	(0.0004		)	(0.0003		)	(0.0004		)	(0.0004		)	(0.0004		)	(0.0004		)	(0.0002		)	(0.0001		)	(0.0001		)
Expenses	(0.0468		)	(0.0548		)	(0.0290		)	(0.0428		)	(0.0289		)	(0.0237		)	(0.0165		)	0.0029			(0.0026		)

Net asset value, end of period	$	1.6475		$	1.5123		$	1.7285		$	1.6922		$	1.7264		$	1.8202		$	0.9712		$	0.9427		$	0.9660

Total Return: (a) (d)

Total return before Performance fees	-0.04		%	-0.79		%	1.09		%	0.26		%	1.09		%	1.47		%	1.09		%	-6.43		%	-3.52		%
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	-0.06		%	-0.81		%	1.07		%	0.24		%	1.07		%	1.45		%	1.07		%	-5.71		%	-3.40		%

Ratios to Average Member’s Capital: (d)

Expenses (excluding Performance fees) (c)	2.79		%	3.54		%	1.67		%	2.49		%	1.67		%	1.29		%	1.67		%	0.90		%	0.90		%
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)	2.79		%	3.54		%	1.67		%	2.49		%	1.67		%	1.29		%	1.67		%	0.17		%	0.78		%

Net investment income (loss) (e)	-2.80		%	-3.55		%	-1.68		%	-2.50		%	-1.68		%	-1.30		%	-1.68		%	-0.19		%	-0.81		%

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

(d) The ratios and total return are not annualized.

(e) The net investment income (loss) ratio is net of performance fees.

* 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 (the “Trading Advisor”) is the trading advisor of the Fund. The Trading Advisor trades 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 of its affiliates or third 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, FuturesAccess applies, with some exceptions, the same minimum investment amounts, fees and other operational criteria 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 September 30, 2014 and December 31, 2013 and the results of its operations for the three and nine month periods ended September 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 items have been reclassified to conform to the 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 September 30, 2014 and December 31, 2013 are as follows:

September 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	3,236	$	(11,568,553	)	-1.27	%	(1,457	)	$	1,629,374	0.18	%	$	(9,939,179	)	-1.09	%	October 2014 - April 2015
Currencies - Futures	1,942	(1,471,506		)	-0.16	%	(3,732	)	11,960,220		1.31	%	10,488,714			1.15	%	December 2014
Currencies - Forwards*	442,022,110	(11,429,543		)	-1.25	%	(219,022,063	)	3,396,798		0.37	%	(8,032,745		)	-0.88	%	October 2014 - March 2015
Energy	434	531,228			0.06	%	(1,536	)	6,507,086		0.71	%	7,038,314			0.77	%	October 2014 - December 2014
Interest rates	32,667	4,441,039			0.49	%	(350	)	5,157		0.00	%	4,446,196			0.49	%	November 2014 - September 2017
Metals	673	(2,095,908		)	-0.23	%	(1,429	)	7,729,848		0.85	%	5,633,940			0.62	%	November 2014 - January 2015
Stock indices	7,736	(4,854,670		)	-0.53	%	(226	)	1,034,065		0.11	%	(3,820,605		)	-0.42	%	October 2014 - December 2014

Total, net		$	(26,447,913	)	-2.89	%			$	32,262,548	3.53	%	$	5,814,635		0.64	%

December 31, 2013

Long Positions

Short Positions

Commodity Industry

Number of

Unrealized

Percent of

Number of

Unrealized

Percent of

Profit (Loss)

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

Attached files