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10-K/A - ML TREND-FOLLOWING FUTURES FUND L.P.efc10-181_fm10ka.htm
EX-32.01 - ML TREND-FOLLOWING FUTURES FUND L.P.efc10-181_ex3201.htm
EX-13.03 - ML TREND-FOLLOWING FUTURES FUND L.P.efc10-181_ex1303.htm
EX-13.04 - ML TREND-FOLLOWING FUTURES FUND L.P.efc10-181_ex1304.htm
EX-13.01 - ML TREND-FOLLOWING FUTURES FUND L.P.efc10-181_ex1301.htm
EX-31.01 - ML TREND-FOLLOWING FUTURES FUND L.P.efc10-181_ex3101.htm
EX-13.02 - ML TREND-FOLLOWING FUTURES FUND L.P.efc10-181_ex1302.htm
EX-32.02 - ML TREND-FOLLOWING FUTURES FUND L.P.efc10-181_ex32021.htm
EX-31.02 - ML TREND-FOLLOWING FUTURES FUND L.P.efc10-181_ex3102.htm
EXHIBIT 13.05
 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
   ML WINTON FUTURESACCESS LLC
(A Delaware Limited Liability Company)
 
     
   
Financial Statements for the years ended
December 31, 2008, 2007 and 2006
and Report of Independent Registered Public Accounting Firm
 
 
 
 
 
 















 
ML WINTON FUTURESACCESS LLC
(A Delaware Limited Liability Company)


TABLE OF CONTENTS 


 
Page
   
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
1
   
FINANCIAL STATEMENTS:
 
   
Statements of Financial Condition as of December 31, 2008 and 2007
2
   
Statements of Operations for the years ended December 31, 2008, 2007 and 2006
3
   
Statements of Changes in Members’ Capital for the years ended December 31, 2008,
 
2007 and 2006
4
   
Financial Data Highlights for the years ended December 31, 2008, 2007 and 2006
            6
   

Notes to Financial Statements
 
 

 
 
ML WINTON FUTURESACCESS LLC
(A Delaware Limited Liability Company)

STATEMENTS OF FINANCIAL CONDITION
DECEMBER 31, 2008 and 2007 

 
   
2008
   
2007
 
ASSETS:
           
Equity in commodity futures trading accounts:
           
    Cash (including restricted cash of $40,230,744 for 2008 and $51,742,673 for 2007)
  $ 849,579,676     $ 619,663,052  
    Net unrealized profit on open contracts
    14,731,114       7,934,149  
Cash
    163,743       -  
Accrued interest
    39,428       2,238,652  
                 
                TOTAL ASSETS
  $ 864,513,961     $ 629,835,853  
                 
LIABILITIES AND MEMBERS’ CAPITAL:
               
LIABILITIES:
               
    Brokerage commissions payable
  $ 89,151     $ 184,272  
    Management fee payable
    1,400,958       986,432  
    Sponsor fee payable
    902,258       724,472  
    Redemptions payable
    27,903,546       6,907,980  
    Perfomance fee payable
    29,843,518       13,693,607  
    Initial offering costs payable
    58,993       106,994  
    Other
    326,977       184,407  
                 
            Total liabilities
    60,525,401       22,788,164  
                 
MEMBERS’ CAPITAL:
               
  Sponsor's Interest (19,470 Units and 19,470 Units)
    31,415       26,449  
  Members' Interest (500,089,110 Units and 452,040,928 Units)
    803,957,145       607,021,240  
            Total members’ capital
    803,988,560       607,047,689  
                 
                TOTAL LIABILITIES AND MEMBERS' CAPITAL
  $ 864,513,961     $ 629,835,853  
                 
NET ASSET VALUE PER UNIT (SEE NOTE 6)
               
                 
(Based on 500,108,580 and 452,060,398 Units outstanding, unlimited Units authorized)
               
                 
See notes to financial statements.
               

1




ML WINTON FUTURESACCESS LLC
(A Delaware Limited Liability Company)

STATEMENTS OF OPERATIONS
FOR THE YEARS ENDED DECEMBER 31, 2008, 2007 AND 2006 

 
   
2008
   
2007
   
2006
 
TRADING PROFIT (LOSS):
                 
                   
        Realized
  $ 168,699,930     $ 89,611,147     $ 22,914,555  
        Change in unrealized
    6,796,965       (3,491,204 )     8,672,148  
        Brokerage commissions
    (1,087,424 )     (1,996,947 )     (1,603,878 )
                         
            Total trading profit (loss)
    174,409,471       84,122,996       29,982,825  
                         
INVESTMENT INCOME:
                       
       Interest
    12,915,952       24,566,411       10,650,742  
                         
EXPENSES:
                       
       Management fee
    14,943,538       9,953,107       4,555,234  
       Sponsor fee
    10,272,451       7,766,920       4,248,731  
       Performance fee
    30,491,051       14,101,642       5,417,903  
       Other
    1,848,834       1,060,592       996,583  
            Total expenses
    57,555,874       32,882,261       15,218,451  
                         
NET INVESTMENT LOSS
    (44,639,922 )     (8,315,850 )     (4,567,709 )
                         
NET INCOME (LOSS)
  $ 129,769,549     $ 75,807,146     $ 25,415,116  
                         
NET INCOME (LOSS) PER UNIT:
                       
                         
Weighted average number of Units outstanding
                 
     Class A
    45,671,837       38,654,024       25,243,561  
     Class C
    228,198,956       209,605,792       123,144,172  
     Class D
    84,449,914       66,453,273       26,745,338  
     Class I
    41,268,952       37,583,741       25,587,259  
     Class DS*
    38,738,811       11,479,777          
     Class DT**
    61,195,917       85,438,228          
                         
     Net income (loss) per weighted average Unit
                       
     Class A
  $ 0.2623     $ 0.1769     $ 0.1411  
     Class C
  $ 0.2389     $ 0.1652     $ 0.1249  
     Class D
  $ 0.2646     $ 0.1936     $ 0.1029  
     Class I
  $ 0.2784     $ 0.1850     $ 0.1455  
     Class DS*
  $ 0.2676     $ 0.2436          
     Class DT**
  $ 0.3117     $ 0.1372          
                         
*Class DS was previously known as Class D-SM. Units issued on April 2, 2007.
         
**Class DT was previously known as Class D-TF. Units issued on June 1, 2007.
         
                         
See notes to financial statements.
                       
 
 
2

 
 
ML WINTON FUTURESACCESS LLC
(A Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL
FOR THE YEARS ENDED DECEMBER 31, 2008, 2007 AND 2006

 
      Members' Capital December 31, 2005       Subscriptions       Redemptions       Members' Capital December 31, 2006       Subscriptions       Redemptions       Members' Capital December 31, 2007       Subscriptions       Redemptions       Members' Capital December 31, 2008  
Class A
    15,522,119       19,717,183       (3,192,816 )     32,046,486       15,602,742       (7,541,173 )     40,108,055       17,386,886       (11,645,525 )     45,849,416  
Class C
    62,583,887       119,771,646       (11,836,091 )     170,519,442       86,078,957       (42,956,003 )     213,642,396       60,897,518       (59,370,841 )     215,169,073  
Class D
    9,764,594       30,899,806       (1,439,055 )     39,225,345       42,664,247       (4,024,789 )     77,864,803       23,739,729       (28,552,965 )     73,051,567  
Class I
    17,936,086       15,273,298       (2,422,022 )     30,787,362       13,970,225       (7,039,015 )     37,718,572       12,586,459       (7,231,204 )     43,073,827  
Class DS*
    -       -       -       -       14,542,754       (1,094,970 )     13,447,784       58,487,988       (2,749,330 )     69,186,442  
Class DT**
    -       -       -       -       98,131,157       (28,871,839 )     69,259,318       -       (15,500,533 )     53,758,785  
                                                                                 
Total Members' Units
    105,806,686       185,661,933       (18,889,984 )     272,578,635       270,990,082       (91,527,789 )     452,040,928       173,098,580       (125,050,398 )     500,089,110  
                                                                                 
Class A
    9,713       -       -       9,713       -       -       9,713       -       -       9,713  
Class C
    9,757       -       -       9,757       -       -       9,757       -       -       9,757  
                                                                                 
Total Sponsor's Units
    19,470       -       -       19,470       -       -       19,470       -       -       19,470  
 
 
*Class DS was previously known as Class D-SM.  Units issued on April 2, 2007.
**Class DT was previously known as Class D-TF.  Units issued on June 1, 2007.
See notes to financial statements.
 
3

 
 
ML WINTON FUTURESACCESS LLC
(A Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL
FOR THE YEARS ENDED DECEMBER 31, 2008, 2007 AND 2006


   
Members' Capital
December 31, 2005
   
Subscriptions
   
Redemptions
     
Net Income
     
Members' Capital
December 31, 2006
   
Subscriptions
   
Redemptions
     
Net Income
     
Members' Capital
December 31, 2007
   
Subscriptions
   
Redemptions
     
Net Income
     
Members' Capital December 31, 2008
 
Class A
  $ 16,602,088     $ 22,242,955     $ (3,704,770 )   $ 3,559,465     $ 38,699,738     $ 19,375,017     $ (9,674,408 )   $ 6,836,154     $ 55,236,501     $ 26,212,557     $ (18,049,428 )   $ 11,977,663     $ 75,377,293  
Class C
    66,470,039       133,755,451       (13,387,079 )     15,377,241       202,215,652       103,312,911       (54,082,928 )     34,632,446       286,078,081       89,405,799       (89,455,971 )     54,514,349       340,542,258  
Class D
    9,797,722       33,979,201       (1,576,485 )     2,752,208       44,952,646       50,306,937       (4,888,155 )     12,865,169       103,236,597       35,615,932       (43,832,109 )     22,345,631       117,366,051  
Class I
    19,077,399       17,103,221       (2,745,508 )     3,723,683       37,158,795       17,356,300       (9,334,899 )     6,952,000       52,132,196       19,076,750       (11,340,105 )     11,488,381       71,357,222  
Class DS*
    -       -       -       -       -       16,325,317       (1,291,973 )     2,796,394       17,829,738       86,822,929       (4,000,000 )     10,365,432       111,018,099  
Class DT**
    -       -       -       -       -       116,913,460       (36,127,180 )     11,721,847       92,508,127       -       (23,285,032 )     19,073,127       88,296,222  
                                                                                                         
Total Members' Interest
  $ 111,947,248     $ 207,080,828     $ (21,413,842 )   $ 25,412,597     $ 323,026,831     $ 323,589,942     $ (115,399,543 )   $ 75,804,010     $ 607,021,240     $ 257,133,967     $ (189,962,645 )   $ 129,764,583     $ 803,957,145  
                                                                                                         
Class A
  $ 10,410     $ -     $ -     $ 1,327     $ 11,737     $ -     $ -     $ 1,644     $ 13,381     $ -     $ -     $ 2,590     $ 15,971  
Class C
    10,384       -       -       1,192       11,576       -       -       1,492       13,068       -       -       2,376       15,444  
                                                                                                         
Total Sponsor's Interest
  $ 20,794     $ -     $ -     $ 2,519     $ 23,313     $ -     $ -     $ 3,136     $ 26,449     $ -     $ -     $ 4,966     $ 31,415  
                                                                                                         
Total Members' Capital
  $ 111,968,042     $ 207,080,828     $ (21,413,842 )   $ 25,415,116     $ 323,050,144     $ 323,589,942     $ (115,399,543 )   $ 75,807,146     $ 607,047,689     $ 257,133,967     $ (189,962,645 )   $ 129,769,549     $ 803,988,560  
                                                                                                         
*Class DS was previously known as Class D-SM. Units issued on April 2, 2007.
                                       
**Class DT was previously known as Class D-TF. Units issued on June 1, 2007.
                                       
See notes to financial statements.
                                                                     

4


ML WINTON FUTURESACCESS LLC
(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS
FOR THE YEAR ENDED DECEMBER 31, 2008


The following per Unit data and ratios have been derived from information provided in the financial statements.

Per Unit Operating Performance:
 
Class A
   
Class C
   
Class D
   
Class I
   
Class DS(a)
   
Class DT(b)
 
                                     
Net asset value, beginning of period
  $ 1.3772     $ 1.3391     $ 1.3258     $ 1.3821     $ 1.3258     $ 1.3357  
                                                 
Realized and change in unrealized trading profit
    0.3662       0.3547       0.3547       0.3682       0.3521       0.3589  
Brokerage commissions
    (0.0023 )     (0.0022 )     (0.0022 )     (0.0023 )     (0.0022 )     (0.0022 )
Interest income
    0.0271       0.0263       0.0262       0.0273       0.0260       0.0265  
Expenses
    (0.1242 )     (0.1352 )     (0.0979 )     (0.1187 )     (0.0971 )     (0.0764 )
                                      -          
Net asset value, end of period
  $ 1.6440     $ 1.5827     $ 1.6066     $ 1.6566     $ 1.6046     $ 1.6425  
                                                 
Total Return: (c)
                                               
                                                 
Total return before Performance fees
    24.39 %     23.18 %     26.27 %     24.89 %     26.09 %     26.91 %
Performance fees
    -4.48 %     -4.48 %     -4.48 %     -4.48 %     -4.45 %     -3.45 %
Total return after Performance fees
    19.36 %     18.19 %     21.18 %     19.85 %     21.03 %     22.97 %
                                                 
Ratios to Average Members' Capital:
                                               
                                                 
Expenses (excluding Performance fees)
    3.82 %     4.84 %     2.31 %     3.42 %     2.29 %     1.79 %
Performance fees
    4.35 %     4.35 %     4.35 %     4.35 %     4.32 %     3.33 %
Expenses (including Performance fees)
    8.17 %     9.19 %     6.66 %     7.77 %     6.61 %     5.12 %
                                                 
Net investment income (loss)
    -6.37 %     -7.38 %     -4.85 %     -5.96 %     -4.82 %     -3.32 %
                                                 
                                                 
(a) Class DS was previously known as Class D-SM.
 
(b) Class DT was previously known as Class D-TF.
 
(c) The total return calculations are based on compounded monthly returns.
 
See notes to financial statements.
                                     
 
5

 
 
ML WINTON FUTURESACCESS LLC
(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS
FOR THE YEAR ENDED DECEMBER 31, 2007


The following per Unit data and ratios have been derived from information provided in the financial statements.
 
Per Unit Operating Performance:
 
Class A
   
Class C
   
Class D
   
Class I
   
Class DS (a)
   
Class DT (b)
 
                                     
Net asset value, beginning of period
  $ 1.2076     $ 1.1859     $ 1.1460     $ 1.2069     $ 1.0733     $ 1.1914  
                                                 
Realized trading profit
    0.1892       0.1843       0.1818       0.1898       0.2427       0.2012  
Change in unrealized
    0.0057       0.0058       0.0051       0.0056       0.0215       (0.0579 )
Brokerage commissions
    (0.0052 )     (0.0051 )     (0.0050 )     (0.0052 )     (0.0031 )     (0.0024 )
Interest income
    0.0611       0.0597       0.0583       0.0612       0.0442       0.0349  
Expenses
    (0.0812 )     (0.0915 )     (0.0604 )     (0.0762 )     (0.0528 )     (0.0315 )
                                                 
Net asset value, end of period
  $ 1.3772     $ 1.3391     $ 1.3258     $ 1.3821     $ 1.3258     $ 1.3357  
                                                 
Total Return:
                                               
                                                 
Total return before Performance fees
    16.90 %     15.74 %     18.66 %     17.36 %     26.53 %     13.70 %
Performance fees
    -2.74 %     -2.73 %     -2.79 %     -2.73 %     -2.65 %     -1.54 %
Total return after Performance fees
    14.03 %     12.90 %     15.68 %     14.49 %     23.53 %     12.11 %
                                                 
Ratios to Average Members' Capital:
                                               
                                                 
Expenses (excluding Performance fees)
    3.84 %     4.89 %     2.31 %     3.43 %     2.28 %     1.76 %
Performance fees
    2.84 %     2.87 %     2.99 %     2.85 %     2.53 %     1.49 %
Expenses (including Performance fees)
    6.68 %     7.76 %     5.30 %     6.28 %     4.81 %     3.25 %
                                                 
Net investment income (loss)
    -1.71 %     -2.77 %     -0.30 %     -1.29 %     -0.77 %     0.60 %
                                                 
                                                 
(a) Class DS was previously known as Class D-SM. Units issued on April 2, 2007.
 
(b) Class DT was previously known as Class D-TF. Units issued on June 1, 2007.
 
See notes to financial statements.
                                               
 

6


ML WINTON FUTURESACCESS LLC
(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS
FOR THE YEAR ENDED DECEMBER 31, 2006

 
Per Unit Operating Performance:
 
Class A
   
Class C
   
Class D
   
Class I
 
                         
Net asset value, beginning of period
  $ 1.0696     $ 1.0621     $ 1.0034     $ 1.0636  
                                 
Realized trading profit
    0.1115       0.1102       0.1059       0.1110  
Change in unrealized
    0.0521       0.0516       0.0489       0.0519  
Brokerage commissions
    (0.0084 )     (0.0083 )     (0.0079 )     (0.0083 )
Interest income
    0.0524       0.0518       0.0494       0.0523  
Expenses
    (0.0696 )     (0.0815 )     (0.0537 )     (0.0636 )
                                 
Net asset value, end of period
  $ 1.2076     $ 1.1859     $ 1.1460     $ 1.2069  
                                 
Total Return:
                               
                                 
Total return before Performance fees
    15.17 %     14.02 %     16.91 %     15.63 %
Performance fees
    -2.22 %     -2.35 %     -2.59 %     -2.11 %
Total return after Performance fees
    12.79 %     11.52 %     14.05 %     13.37 %
                                 
Ratios to Average Members' Capital:
                               
                                 
Expenses (excluding Performance fees)
    4.12 %     5.20 %     2.61 %     3.66 %
Performance fees
    2.36 %     2.56 %     2.72 %     2.19 %
Expenses (including Performance fees)
    6.48 %     7.76 %     5.33 %     5.85 %
                                 
Net investment loss
    -1.60 %     -2.83 %     -0.29 %     -1.04 %
                                 
                                 
See notes to financial statements.
                               

7


ML WINTON FUTURESACCESS LLC
(A Delaware Limited Liability Company)

NOTES TO FINANCIAL STATEMENTS


1.
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

Organization
 
ML Winton FuturesAccess LLC (the “Fund”), a Merrill Lynch FuturesAccess Program (the “Program”) fund, was organized under the Delaware Limited Liability Company Act on May 17, 2004 and commenced trading activities on February 1, 2005. The Fund engages in the speculative trading of futures, options on futures and forward contracts on a wide range of commodities. Winton Capital Management (“Winton”) is the trading advisor of the Fund.  Merrill Lynch Alternative Investments LLC (“MLAI”) is the Sponsor of the Fund. MLAI is an indirect wholly-owned subsidiary of Merrill Lynch & Co., Inc. (“Merrill Lynch”). Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”), a wholly-owned subsidiary of Merrill Lynch, is the Fund’s commodity broker.

The Program is a group of commodity pools sponsored by MLAI (each a “Program Fund” or collectively, “Program Funds”) each of which places substantially all of its assets in a managed futures and forward trading account managed by a single or multiple commodity trading advisors. Each Program Fund is generally similar to the Fund in terms of fees, Classes of Units and redemption rights. Each of the Program Funds implements a different trading strategy.

The Fund offers six Classes of Units:  Class A, Class C, Class D, Class DT, Class DS, and Class I.  Each Class of Units except for Class DT and Class DS was offered at $1.00 per Unit during the initial offering period and subsequently is offered at Net Asset Value per Unit for all other purposes (see Note 6).  Class DS commenced on April 2, 2007 and was offered at $1.0733 and Class DT commenced on June 1, 2007 and was offered at $1.1914.  The six Classes of Units are subject to different Sponsor fees.

Effective January 1, 2009, Merrill Lynch & Co., Inc. became a wholly-owned subsidiary of Bank of America Corporation pursuant to a merger agreement.

Interests in the Fund are not insured or otherwise protected by the Federal Deposit Insurance Corporation or any other government authority.  Interests are not deposits or other obligations of, and are not guaranteed by, Bank of America Corporation or any of its affiliates or by any bank.  Interests are subject to investment risks, including the possible loss of the full amount invested.
 
Estimates

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period.  Actual results could differ from those estimates.

8


Revenue Recognition

Commodity futures, options on futures and forward contract transactions are recorded on the trade date and open contracts are reflected in Net unrealized profit (loss) on open contracts in the Statements of Financial Condition as the difference between the original contract value and the market value (for those commodity interests for which market quotations are readily available) or at fair value.  The change in unrealized profit (loss) on open contracts from one period to the next is reflected in Change in unrealized under Trading profit (loss) in the Statements of Operations.

Foreign Currency Transactions

The Fund’s functional currency is the U.S. dollar; however, it transacts business in U.S. dollars and in currencies other than the U.S. dollar.  Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the Statements of Financial Condition.  Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the period.  Profits and losses resulting from the translation to U.S. dollars are reported in Realized in the Statements of Operations.

Cash at Broker

A portion of the assets maintained at MLPF&S is restricted cash required to meet maintenance margin requirements.  Included in cash deposits with the broker at December 31, 2008, and 2007 were restricted cash for margin requirements of $40,230,744 and $51,742,673, respectively.

Operating Expenses, Offering Costs and Selling Commissions

The Fund pays for all routine operating costs (including ongoing offering costs, administration, custody, transfer, exchange and redemptions process, legal, regulatory filing, tax, audit, escrow, accounting and printing fees and expenses) incurred by the Fund. The Fund also pays any extraordinary expenses.

MLAI paid all the expenses incurred in connection with the initial offering of the Units.  The costs consist of offering costs at the Program level.  The Fund is reimbursing MLAI for these costs in 60 monthly installments.  For financial reporting purposes in conformity with U.S. GAAP, the Fund deducted the total initial offering costs of $272,445 from Members’ Capital at inception.  For all other purposes, including determining the Net Asset Value per Unit for subscription and redemption purposes, the Fund amortizes offering costs over a 60 month period (see Note 6).

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

Income Taxes

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

9


Distributions

The Members are entitled to receive, equally per Unit, any distributions which may be made by the Fund.  No such distributions have been declared for the years ended December 31, 2008, 2007 and 2006.
 
Subscriptions
 
Units are offered as of the close of business at the end of each month.  Units are purchased as of the first business day of any month at Net Asset Value for all other purposes (see Note 6), but the subscription request must be submitted at least three calendar days before the end of the preceding month.  Subscriptions submitted less than three days before the end of a month will be applied to Units subscriptions as of the beginning of the second month after receipt, unless revoked by MLAI.

Redemptions and Exchanges

A Member may redeem or exchange some or all of such Member’s Units at Net Asset Value for all other purposes (see Note 6) as of the close of business, on the last business day of any month, upon ten calendar days’ notice (“notice period”).

An investor in the Fund can exchange these Units for Units of the same Class in other Program Funds as of the beginning of each calendar month upon at least ten days prior notice.  The minimum exchange amount is $10,000.

Redemption requests are accepted within the notice period.  The Fund does not accept any redemption requests after the notice period.  All redemption requests received after the notice period will be processed for the following month.

Dissolution of the Fund
 
The Fund may terminate if certain circumstances occur as set forth in the offering memorandum, which include but are not limited to the following:

(a)
Bankruptcy, dissolution, withdrawal or other termination of the trading advisor of this Fund.
(b)
Any event which would make unlawful the continued existence of this Fund.
(c)
Determination by MLAI to liquidate or withdraw from the Fund.
 
Indemnifications

In the normal course of business, the Fund enters into contracts and agreements that contain a variety of representations and warranties and which provide general indemnifications.  The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred.  The Fund expects the risk of any future obligation under these indemnifications to be remote.
 
10

 
 
2.
CONDENSED SCHEDULES OF INVESTMENTS

The Fund’s investments, defined as Net unrealized profit (loss) on open contracts in the Statements of Financial Condition as of December 31, 2008 and 2007 are as follows:
 
2008
                                                   
   
Long Positions
    Short Positions    
 
           
Commodity Industry
Sector
 
Number of
Contracts
   
Unrealized
Profit (Loss)
   
Percent of
Members' Capital
   
Number of
Contracts
   
Unrealized
Profit (Loss)
   
Percent of
Members' Capital
   
Net Unrealized
Profit (Loss)
on Open Positions
   
Percent of
Members' Capital
   
Maturity Dates
                                                     
                                                     
Agriculture
    197     $ 390,804       0.05 %     (2,131 )   $ (3,807,410 )     -0.47 %   $ (3,416,606 )     -0.42 %  
January 09 - November 10
Currencies
    759       1,426,021       0.18 %     (1,366 )     (4,720,175 )     -0.59 %     (3,294,154 )     -0.41 %  
March 09
Energy
    -       -       0.00 %     (313 )     1,169,490       0.15 %     1,169,490       0.15 %  
January 09 - December 10
Interest rates
    10,483       17,823,721       2.21 %     (88 )     (21,657 )     0.00 %     17,802,064       2.21 %  
January 09 - June 10
Metals
    238       (635,812 )     -0.08 %     (558 )     3,463,278       0.42 %     2,827,466       0.34 %  
January 09 - April 09
Stock indices
    10       1,903       0.00 %     (384 )     (359,049 )     -0.04 %     (357,146 )     -0.04 %  
January 09 -
March 09
                                                                     
Total
          $ 19,006,637       2.36 %           $ (4,275,523 )     -0.53 %   $ 14,731,114       1.83 %    
                                                                     
                                                                     
2007
                                                                   
   
Long Positions
    Short Positions    
 
             
Commodity Industry
Sector
 
Number of
Contracts
   
Unrealized
Profit (Loss)
   
Percent of
Members' Capital
   
Number of
Contracts
   
Unrealized
Profit (Loss)
   
Percent of
Members' Capital
   
Net Unrealized
Profit (Loss)
on Open Positions
   
Percent of
Members' Capital
   
Maturity Dates
                                                                     
                                                                     
Agriculture
    4,103     $ 6,450,316       1.06 %     (1,034 )   $ (913,220 )     -0.15 %   $ 5,537,096       0.91 %  
January 08 - December 08
Currencies
    4,151       (1,783,738 )     -0.29 %     (247 )     (203,814 )     -0.03 %     (1,987,552 )     -0.32 %  
March 08
Energy
    726       3,242,466       0.53 %     (143 )     (434,080 )     -0.07 %     2,808,386       0.46 %  
January 08 - April 08
Interest rates
    15,236       1,015,377       0.17 %     (2,750 )     (255,156 )     -0.04 %     760,221       0.13 %  
March 08 - December 08
Metals
    1,375       (1,945,885 )     -0.32 %     (676 )     2,329,833       0.38 %     383,948       0.06 %  
January 08 -
March 08
Stock indices
    2,153       299,696       0.05 %     (49 )     132,354       0.00 %     432,050       0.05 %  
January 08 -
March 08
                                                                     
Total
          $ 7,278,232       1.20 %           $ 655,917       0.09 %   $ 7,934,149       1.29 %    

No individual contract’s unrealized profit or loss comprised greater than 5% of Members’ Capital as of December 31, 2008 and 2007.
 
11


 
3.
FAIR VALUE OF INVESTMENTS
 
 
In September 2006, the Financial Accounting Standards Board (“FASB”) issued Statement of Financial Accounting Standards No. 157, Fair Value Measurement (“FAS 157”). FAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. The Fund adopted FAS 157 as of January 1, 2008. The adoption of FAS 157 did not have a material impact on the Fund’s financial statements.

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).

FAS 157 established 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 FAS 157, 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. Investments that are included in this category generally are privately held debt and equity securities.

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.
 
 
 
12


 
The following table summarizes the valuation of the Fund’s investments by the above FAS 157 fair value hierarchy levels as of December 31, 2008:

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