ML Winton FuturesAccess LLC - FORM 10-Q

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EXCEL - IDEA: XBRL DOCUMENT - ML Winton FuturesAccess LLC	Financial_Report.xls
EX-31.02 - EX-31.02 - ML Winton FuturesAccess LLC	a15-7572_1ex31d02.htm
EX-31.01 - EX-31.01 - ML Winton FuturesAccess LLC	a15-7572_1ex31d01.htm
EX-32.02 - EX-32.02 - ML Winton FuturesAccess LLC	a15-7572_1ex32d02.htm
EX-32.01 - EX-32.01 - ML Winton FuturesAccess LLC	a15-7572_1ex32d01.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 March 31, 2015

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)

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 Noo

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate website, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes x Noo

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 Nox

As of March 31, 2015, 701,640,504 units of limited liability company interest were outstanding.

ML WINTON FUTURESACCESS LLC

QUARTERLY REPORT FOR MARCH 31, 2015 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	16

Item 3.	Quantitative and Qualitative Disclosures About Market Risk	21

Item 4.	Controls and Procedures	26

PART II—OTHER INFORMATION

Item 1.	Legal Proceedings	27

Item 1A.	Risk Factors	27

Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	27

Item 3.	Defaults Upon Senior Securities	28

Item 4.	Mine Safety Disclosures	28

Item 5.	Other Information	29

Item 6.	Exhibits	29

PART I - FINANCIAL INFORMATION

Item 1. Financial Statements

ML WINTON FUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OF FINANCIAL CONDITION

(unaudited)

	March 31,		December 31,
	2015		2014
ASSETS:
Equity in commodity trading accounts:
Cash (including restricted cash of $113,213,662 for 2015 and $70,036,099 for 2014)	$	1,126,423,090	$	980,824,673
Unrealized profit on open futures contracts	35,201,389		44,175,968
Unrealized profit on open forwards contracts	3,964,753		4,533,927
Cash and cash equivalents	607,730		704,200
Other assets	24,856		32,960

TOTAL ASSETS	$	1,166,221,818	$	1,030,271,728

LIABILITIES AND MEMBERS’ CAPITAL:
LIABILITIES:
Brokerage commissions payable	$	6,742	$	6,232
Sponsor and Advisory fees payable	15,314,294		23,352,515
Redemptions payable	3,495,371		2,759,503
Unrealized loss on open futures contracts	11,832,429		13,528,343
Unrealized loss on open forwards contracts	3,675,628		9,079,528
Other liabilities	701,388		460,550

Total liabilities	35,025,852		49,186,671

MEMBERS’ CAPITAL:
Members’ Capital (701,640,504 Units and 593,821,837 Units)	1,131,195,966		981,085,057
Total members’ capital	1,131,195,966		981,085,057

TOTAL LIABILITIES AND MEMBERS’ CAPITAL	$	1,166,221,818	$	1,030,271,728

NET ASSET VALUE PER UNIT:
(Based on 701,640,504 and 593,821,837 Units outstanding; unlimited Units authorized)

Class A	$	2.0193	$	1.9392
Class C	$	1.8260	$	1.7580
Class D	$	2.1669	$	2.0732
Class I	$	2.0866	$	2.0018
Class DS	$	2.1642	$	2.0706
Class DT	$	2.3216	$	2.2127
Class M	$	1.2176	$	1.1649
Class F	$	1.1974	$	1.1433
Class F1	$	1.2270	$	1.1715
Class DI	$	1.0173	$	—

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OF OPERATIONS

(unaudited)

	For the three			For the three
	months ended			months ended
	March 31,			March 31,
	2015			2014
TRADING PROFIT (LOSS):

Realized, net	$	66,569,286		$	12,682,384
Change in unrealized, net	(2,443,939		)	(13,025,170		)
Brokerage commissions	(259,900		)	(315,428		)

Total trading profit (loss), net	63,865,447			(658,214		)

INVESTMENT INCOME (EXPENSE):
Interest, net	(1,111		)	(135,181		)

EXPENSES:
Management fee	5,188,130			4,603,518
Sponsor fee	3,642,320			3,586,822
Performance fee	11,590,474			13
Other	554,767			572,392
Total expenses	20,975,691			8,762,745

NET INVESTMENT INCOME (LOSS)	(20,976,802		)	(8,897,926		)

NET INCOME (LOSS)	$	42,888,645		$	(9,556,140	)

NET INCOME (LOSS) PER UNIT:

Weighted average number of Units outstanding
Class A	64,054,151			86,599,676
Class C	265,395,711			285,866,642
Class D	35,747,449			45,943,952
Class I	31,167,025			46,195,752
Class DS	21,106,304			25,984,753
Class DT	5,331,413			7,046,215
Class M	95,010,626			60,157,420
Class F	46,520,691			46,520,691
Class F1	32,348,368			32,348,368
Class DI*	69,259,842			—

Net income (loss) per weighted average Unit
Class A	$	0.0803		$	(0.0171	)
Class C	$	0.0681		$	(0.0200	)
Class D	$	0.0936		$	(0.0114	)
Class I	$	0.0849		$	(0.0151	)
Class DS	$	0.0931		$	(0.0134	)
Class DT	$	0.1085		$	(0.0108	)
Class M	$	0.0526		$	(0.0069	)
Class F	$	0.0541		$	(0.0036	)
Class F1	$	0.0554		$	(0.0037	)
Class DI*	$	0.0262		$	—

* Units issued on February 1, 2015.

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE THREE MONTHS ENDED MARCH 31, 2015 AND 2014

(unaudited) (in Units)

	Members’ Capital December 31, 2013	Subscriptions	Redemptions		Members’ Capital March 31, 2014	Members’ Capital December 31, 2014	Subscriptions	Redemptions		Members’ Capital March 31, 2015
Class A	89,279,211	1,580,052	(12,091,681	)	78,767,582	64,145,923	1,413,586	(2,076,230	)	63,483,279
Class C	289,256,969	11,081,141	(23,306,539	)	277,031,571	265,575,955	5,412,220	(6,283,559	)	264,704,616
Class D	46,696,897	125,254	(3,263,171	)	43,558,980	35,322,377	558,137	—		35,880,514
Class I	47,689,327	1,912,265	(6,972,168	)	42,629,424	31,155,649	968,533	(635,791	)	31,488,391
Class DS	27,662,374	—	(3,034,337	)	24,628,037	21,211,500	217,903	(935,483	)	20,493,920
Class DT	7,308,839	—	(834,600	)	6,474,239	5,341,053	35,822	(150,427	)	5,226,448
Class M	46,183,286	39,137,280	(1,951,592	)	83,368,974	92,200,321	4,676,304	(306,979	)	96,569,646
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
Class DI*						—	105,093,219	(168,588	)	104,924,631
Total Members’ Units	632,945,962	53,835,992	(51,454,088	)	635,327,866	593,821,837	118,375,724	(10,557,057	)	701,640,504

* Units issued on February 1, 2015.

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE THREE MONTHS ENDED MARCH 31, 2015 AND 2014

(unaudited)

	Members’ Capital December 31, 2013		Subscriptions		Redemptions			Net Income (Loss)			Members’ Capital March 31, 2014		Members’ Capital December 31, 2014		Subscriptions		Redemptions			Net Income (Loss)		Members’ Capital March 31, 2015
Class A	$	155,214,109	$	2,715,158	$	(20,860,604	)	$	(1,478,674	)	$	135,589,989	$	124,393,069	$	2,793,189	$	(4,136,642	)	$	5,143,728	$	128,193,344
Class C	460,460,237		17,397,032		(36,571,657		)	(5,723,625		)	435,561,987		466,870,415		9,718,497		(11,318,810		)	18,079,622		483,349,724
Class D	85,498,186		229,000		(5,938,928		)	(524,509		)	79,263,749		73,228,701		1,175,000		—			3,345,915		77,749,616
Class I	85,244,114		3,390,309		(12,412,040		)	(698,087		)	75,524,296		62,368,274		1,987,733		(1,296,781		)	2,644,654		65,703,880
Class DS	50,584,682		—		(5,475,765		)	(349,230		)	44,759,687		43,919,926		463,567		(1,996,249		)	1,965,783		44,353,027
Class DT	14,111,527		—		(1,596,588		)	(75,930		)	12,439,009		11,818,184		81,606		(344,716		)	578,601		12,133,675
Class M	47,512,048		40,116,606		(1,972,294		)	(415,537		)	85,240,823		107,401,709		5,545,000		(370,368		)	5,002,194		117,578,535
Class F	46,554,511		—		—			(169,663		)	46,384,848		53,188,258		—		—			2,517,341		55,705,599
Class F1	33,169,991		—		—			(120,885		)	33,049,106		37,896,521		—		—			1,793,600		39,690,121
Class DI*	—		—		—			—			—		—		105,087,961		(166,723		)	1,817,207		106,738,445

Total Members’ Capital	$	978,349,405	$	63,848,105	$	(84,827,876	)	$	(9,556,140	)	$	947,813,494	$	981,085,057	$	126,852,553	$	(19,630,289	)	$	42,888,645	$	1,131,195,966

* Units issued on February 1, 2015.

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED MARCH 31, 2015 (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			Class DI*

Per Unit Operating Performance:

Net asset value, beginning of period or at the time of offer	$	1.9392		$	1.7580		$	2.0732		$	2.0018		$	2.0706		$	2.2127		$	1.1649		$	1.1433		$	1.1715		$	1.0000

Net realized and net change in unrealized trading profit (loss)	0.1210			0.1096			0.1295			0.1249			0.1294			0.1384			0.0728			0.0715			0.0732			0.0255
Brokerage commissions	(0.0005		)	(0.0004		)	(0.0005		)	(0.0005		)	(0.0005		)	(0.0005		)	(0.0003		)	(0.0003		)	(0.0003		)	(0.0002		)
Interest income, net (c)	(0.0000		)	(0.0000		)	(0.0000		)	(0.0000		)	(0.0000		)	(0.0000		)	(0.0000		)	(0.0000		)	(0.0000		)	(0.0000		)
Expenses	(0.0404		)	(0.0412		)	(0.0353		)	(0.0396		)	(0.0353		)	(0.0290		)	(0.0198		)	(0.0171		)	(0.0174		)	(0.0080		)

Net asset value, end of period	$	2.0193		$	1.8260		$	2.1669		$	2.0866		$	2.1642		$	2.3216		$	1.2176		$	1.1974		$	1.2270		$	1.0173

Total Return: (a) (d)

Total return before Performance fees	5.26		%	5.00		%	5.65		%	5.36		%	5.65		%	5.79		%	5.65		%	5.92		%	5.92		%	2.16		%
Performance fees	-1.13		%	-1.13		%	-1.13		%	-1.12		%	-1.13		%	-0.87		%	-1.13		%	-1.19		%	-1.18		%	-0.43		%
Total return after Performance fees	4.13		%	3.87		%	4.52		%	4.24		%	4.52		%	4.92		%	4.52		%	4.73		%	4.74		%	1.73		%

Ratios to Average Member’s Capital: (d)

Expenses (excluding Performance fees) (b)	0.93		%	1.19		%	0.56		%	0.83		%	0.56		%	0.43		%	0.56		%	0.30		%	0.30		%	0.56		%
Performance fees	1.11		%	1.11		%	1.11		%	1.11		%	1.11		%	0.85		%	1.11		%	1.16		%	1.16		%	0.43		%
Expenses (including Performance fees)	2.04		%	2.30		%	1.67		%	1.94		%	1.67		%	1.28		%	1.67		%	1.46		%	1.46		%	0.99		%

Net investment income (loss) (excluding Performance fees)	-0.93		%	-1.19		%	-0.56		%	-0.83		%	-0.56		%	-0.43		%	-0.56		%	-0.30		%	-0.30		%	-0.56		%
Performance fees	-1.11		%	-1.11		%	-1.11		%	-1.11		%	-1.11		%	-0.85		%	-1.11		%	-1.16		%	-1.16		%	-0.43		%
Net investment income (loss) (including Performance fees)	-2.04		%	-2.30		%	-1.67		%	-1.94		%	-1.67		%	-1.28		%	-1.67		%	-1.46		%	-1.46		%	-0.99		%

(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 expense ratios do not include brokerage commissions.

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

* Units issued on February 1, 2015.

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED MARCH 31, 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 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)	(0.0003		)	(0.0003		)	(0.0002		)	(0.0003		)	(0.0002		)	(0.0002		)	(0.0001		)	(0.0001		)	(0.0001		)
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		)	(0.0003		)	(0.0002		)	(0.0003		)	(0.0003		)	(0.0001		)	(0.0001		)	(0.0001		)
Expenses	(0.0160		)	(0.0187		)	(0.0101		)	(0.0148		)	(0.0101		)	(0.0083		)	(0.0058		)	(0.0031		)	(0.0032		)

Net asset value, end of period	$	1.7214		$	1.5722		$	1.8197		$	1.7716		$	1.8174		$	1.9213		$	1.0225		$	0.9971		$	1.0217

Total Return: (a) (c)

Total return before Performance fees	-0.99		%	-1.23		%	-0.61		%	-0.89		%	-0.61		%	-0.49		%	-0.61		%	-0.36		%	-0.36		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Total return after Performance fees	-0.99		%	-1.23		%	-0.61		%	-0.89		%	-0.61		%	-0.49		%	-0.61		%	-0.36		%	-0.36		%

Ratios to Average Member’s Capital: (c)

Expenses (excluding Performance fees) (b)	0.95		%	1.20		%	0.57		%	0.85		%	0.57		%	0.45		%	0.57		%	0.32		%	0.32		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Expenses (including Performance fees)	0.95		%	1.20		%	0.57		%	0.85		%	0.57		%	0.45		%	0.57		%	0.32		%	0.32		%

Net investment income (loss) (excluding Performance fees)	-0.95		%	-1.20		%	-0.57		%	-0.85		%	-0.57		%	-0.45		%	-0.57		%	-0.32		%	-0.32		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Net investment income (loss) (including Performance fees)	-0.95		%	-1.20		%	-0.57		%	-0.85		%	-0.57		%	-0.45		%	-0.57		%	-0.32		%	-0.32		%

(b) The expense ratios do not include brokerage commissions.

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(a Delaware Limited Liability Company)

NOTES TO FINANCIAL STATEMENTS

(unaudited)

1. ORGANIZATION

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 (“Trading Advisor”) is the trading advisor of 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.

The Fund considers all highly liquid investments, with a maturity of three months or less when acquired, to be cash equivalents. As of March 31, 2015 the Fund holds cash equivalents. Cash was held at a nationally recognized financial institution.

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 March 31, 2015 and December 31, 2014 and the results of its operations for the three month periods ended March 31, 2015 and 2014. 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, 2014.

Estimates

The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that may affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements as well as the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and such differences could be material.

2. CONDENSED SCHEDULES OF INVESTMENTS

The Fund’s investments, defined as unrealized profit (loss) on open contracts on the Statements of Financial Condition, as of March 31, 2015 and December 31, 2014 are as follows:

March 31, 2015

	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	823	$	(635,156	)	-0.06	%	(2,361	)	$	4,276,471		0.38	%	$	3,641,315		0.32	%	April 2015 - September 2015
Currencies - Futures	425	155,307			0.01	%	(4,392	)	654,265			0.06	%	809,572			0.07	%	June 2015
Currencies - Forwards*	416,345,296	530,291			0.05	%	(210,968,096	)	(241,166		)	-0.02	%	289,125			0.03	%	April 2015 - September 2015
Energy	520	(823,500		)	-0.07	%	(1,707	)	2,670,801			0.24	%	1,847,301			0.17	%	April 2015 - June 2015
Interest rates	39,289	18,777,560			1.66	%	(31	)	50			0.00	%	18,777,610			1.66	%	June 2015 - June 2018
Metals	434	(424,333		)	-0.04	%	(1,795	)	(3,567,760		)	-0.32	%	(3,992,093		)	-0.36	%	May 2015 - July 2015
Stock indices	7,560	2,372,410			0.21	%	(58	)	(87,155		)	-0.01	%	2,285,255			0.20	%	April 2015 - June 2015

Total		$	19,952,579		1.76	%			$	3,705,506		0.33	%	$	23,658,085		2.09	%

December 31, 2014

	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	1,421	$	(785,953	)	-0.08	%	(1,158	)	$	1,472,959		0.15	%	$	687,006		0.07	%	January 2015 - May 2015
Currencies - Futures	45	82,921			0.01	%	(4,699	)	6,871,456			0.70	%	6,954,377			0.71	%	March 2015
Currencies - Forwards*	332,199,304	(8,001,592		)	-0.82	%	(212,084,481	)	3,455,991			0.35	%	(4,545,601		)	-0.47	%	January 2015 - June 2015
Energy	322	(3,058,740		)	-0.31	%	(847	)	6,738,494			0.69	%	3,679,754			0.38	%	January 2015 - March 2015
Interest rates	25,193	13,192,799			1.34	%	(189	)	(39,367		)	0.00	%	13,153,432			1.34	%	March 2015 - March 2018
Metals	896	(3,038,004		)	-0.31	%	(1,377	)	3,249,905			0.33	%	211,901			0.02	%	January 2015 - April 2015
Stock indices	4,101	6,699,726			0.68	%	(193	)	(738,571		)	-0.08	%	5,961,155			0.60	%	January 2015 - March 2015

Total		$	5,091,157		0.51	%			$	21,010,867		2.14	%	$	26,102,024		2.65	%

*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 March 31, 2015 and December 31, 2014. 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, netting unrealized losses against unrealized profits as applicable. Net unrealized profit and loss provides a rough 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 hierarchical 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.

Transfers of investments between different levels of the fair value hierarchy, if any, are recorded as of the beginning of the reporting period.

The Fund’s unrealized profit (loss) on open forwards and futures contracts, by the above fair value hierarchy levels as of March 31, 2015 and December 31, 2014 are as follows:

2015	Total		Level I		Level II			Level III

Net unrealized profit (loss) on open contracts

Assets
Futures	$	35,201,389	$	34,836,415	$	364,974		$	—
Forwards	3,964,753		—		3,964,753			—
	$	39,166,142	$	34,836,415	$	4,329,727		$	—

Liabilities
Futures	$	11,832,429	$	9,216,787	$	2,615,642		$	—
Forwards	3,675,628		—		3,675,628			—
	$	15,508,057	$	9,216,787	$	6,291,270		$	—

March 31, 2015	$	23,658,085	$	25,619,628	$	(1,961,543	)	$	—

2014	Total		Level I		Level II			Level III

Net unrealized profit (loss) on open contracts

Assets
Futures	$	44,175,968	$	41,776,309	$	2,399,659		$	—
Forwards	4,533,927		—		4,533,927			—
	$	48,709,895	$	41,776,309	$	6,933,586		$	—

Liabilities
Futures	$	13,528,343	$	10,463,309	$	3,065,034		$	—
Forwards	9,079,528		—		9,079,528			—
	$	22,607,871	$	10,463,309	$	12,144,562		$	—

December 31, 2014	$	26,102,024	$	31,313,000	$	(5,210,976	)	$	—

The Fund’s volume of trading forwards and futures as of the three month period ended March 31, 2015 and year ended December 31, 2014 are representative of the activity throughout these periods. There were no transfers to or from any level during the three month period ended March 31, 2015 or the year ended December 31, 2014.

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, 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 March 31, 2015 and December 31, 2014, 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 gross on the Statements of Financial Condition in Unrealized profit or loss on futures or forwards contracts, respectively. The Fund is subject to agreements which support the ability to settle net with their counterparties; however, the Fund has elected to present the related balances on the Statements of Financial Condition on a gross basis. The net of these amounts less the restricted cash presented within the Cash in the Equity in commodity trading accounts on the Statements of Financial Condition represents the Fund’s net exposure.

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 month periods ended March 31, 2015 and 2014.

	For the three months ended			For the three months ended
	March 31, 2015			March 31, 2014
Commodity Industry Sector	Profit (loss) from trading, net			Profit (loss) from trading, net

Agriculture	$	2,681,165		$	3,711,510
Currencies	21,037,247			286,313
Energy	993,969			688,017
Interest rates	24,689,976			13,822,592
Metals	(5,900,494		)	(7,600,758		)
Stock indices	20,623,484			(11,250,460		)

Total, net	$	64,125,347		$	(342,786	)

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 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 the Trading Advisor, 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 the Trading Advisor 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 the Trading Advisor.

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 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. This policy may increase risk to the Fund by preventing the diversification of brokers used by the Fund.

The Fund, in its normal course of business, enters into various contracts, with MLPF&S acting as its futures clearing broker. Due to the relationship with MLPF&S, in the event of default, all futures balances are eligible for offset with a net settlement due to MLPF&S. Due to the relationship with MLI, in the event of default, all forwards balances are eligible for offset with a net settlement due to MLI.

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 managed or sponsored by MLAI. During the quarter ended March 31, 2015, the rate ranged from 0.018% to 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 March 31, 2015 and 2014 amounted to $57,078 and $48,181, respectively, of which $45,253 and $34,694 was payable to the Transfer Agent as of March 31, 2015 and December 31, 2014, 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 Unrealized profit/loss, as presented on the Statements of Financial Condition are held with a related party.

6. RECENT ACCOUNTING PRONOUNCEMENTS

In May 2015, the Financial Accounting Standards Board (“FASB”) issued ASU 2015-07, Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent. ASU 2015-07 removes the requirement to categorize within the fair value hierarchy all investments for which fair value is measured using the net asset value per share practical expedient. It also removes the requirement to make certain disclosures for all investments that are eligible to be measured at fair value using the net asset value per share practical expedient. Rather, those disclosures are limited to investments for which the entity has elected to measure the fair value using that practical expedient. ASU 2015-07 will be effective for the Fund beginning in the first quarter of 2016, with early adoption permitted, and will be applied retrospectively. MLAI is currently evaluating the standard and does not believe it will have a material impact on the Fund’s financial statements.

7. 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 as of 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, 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.
2014	$	1.7319	$	1.6967	$	1.7075	$	1.7329	$	1.7016	$	1.7214
2015	$	1.9671	$	1.9900	$	1.9613	$	1.9857	$	2.0058	$	2.0193

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS C

	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.
2014	$	1.5851	$	1.5523	$	1.5615	$	1.5841	$	1.5548	$	1.5722
2015	$	1.7825	$	1.8025	$	1.7758	$	1.7971	$	1.8145	$	1.8260

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS D

	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.
2014	$	1.8250	$	1.7891	$	1.8016	$	1.8296	$	1.7976	$	1.8197
2015	$	2.1043	$	2.1301	$	2.1007	$	2.1281	$	2.1510	$	2.1669

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS I

	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.
2014	$	1.7809	$	1.7451	$	1.7565	$	1.7829	$	1.7510	$	1.7716
2015	$	2.0310	$	2.0549	$	2.0257	$	2.0512	$	2.0723	$	2.0866

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS DS

	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.
2014	$	1.8228	$	1.7869	$	1.7994	$	1.8273	$	1.7954	$	1.8174
2015	$	2.1017	$	2.1274	$	2.0981	$	2.1255	$	2.1484	$	2.1642

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS DT

Jan. 15th

Jan.

Feb. 15th

Feb.

Mar. 15th

ML Winton FuturesAccess LLC - FORM 10-Q - May 15, 2015

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