Attached files
file | filename |
---|---|
EX-32.02 - EX-32.02 - ML Winton FuturesAccess LLC | a10-19007_7ex32d02.htm |
EX-31.01 - EX-31.01 - ML Winton FuturesAccess LLC | a10-19007_7ex31d01.htm |
EX-32.01 - EX-32.01 - ML Winton FuturesAccess LLC | a10-19007_7ex32d01.htm |
EX-31.02 - EX-31.02 - ML Winton FuturesAccess LLC | a10-19007_7ex31d02.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, 2010
OR
o |
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
For the transition period from to
Commission File Number 0-51084
ML WINTON FUTURESACCESS LLC
(Exact Name of Registrant as
specified in its charter)
Delaware |
|
20-1227904 |
(State or other jurisdiction of |
|
(IRS Employer Identification No.) |
incorporation or organization) |
|
|
c/o Merrill Lynch Alternative Investments LLC
Four World Financial Center, 10th Floor
250 Vesey Street
New York, New York 10080
(Address of principal executive offices)
(Zip Code)
212-449-3517
(Registrants telephone number, including area code)
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes x No o
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate 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 o 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. (Check one):
Large accelerated filer o |
|
Accelerated filer o |
|
|
|
Non-accelerated filer x |
|
Small reporting company o |
(Do not check if a smaller reporting company) |
|
|
Indicate by check mark whether registrant is a shell company (as defined by Rule 12b-2 of the Exchange Act). Yes o No x
As of September 30, 2010, 518,067,553 units of limited liability company interest were outstanding.
ML WINTON FUTURESACCESS LLC
QUARTERLY REPORT FOR SEPTEMBER 30, 2010 ON FORM 10-Q
Table of Contents
|
|
PAGE |
PART I |
||
|
|
|
Item 1. |
Financial Statements |
1 |
|
|
|
Item 2. |
Managements Discussion and Analysis of Financial Condition and Results of Operations |
18 |
|
|
|
Item 3. |
Quantitative and Qualitative Disclosures About Market Risk |
27 |
|
|
|
Item 4. |
Controls and Procedures |
32 |
|
|
|
PART II |
||
|
|
|
Item 1. |
Legal Proceedings |
32 |
|
|
|
Item 1A. |
Risk Factors |
32 |
|
|
|
Item 2. |
Unregistered Sales of Equity Securities and Use of Proceeds |
33 |
|
|
|
Item 3. |
Defaults Upon Senior Securities |
34 |
|
|
|
Item 4. |
(Removed and Reserved) |
34 |
|
|
|
Item 5. |
Other Information |
34 |
|
|
|
Item 6. |
Exhibits |
34 |
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, |
|
||
|
|
2010 |
|
2009 |
|
||
ASSETS: |
|
|
|
|
|
||
Equity in commodity trading accounts: |
|
|
|
|
|
||
Cash (including restricted cash of $70,053,160 for 2010 and $53,748,925 for 2009) |
|
$ |
807,425,807 |
|
$ |
761,893,194 |
|
Net unrealized profit on open futures contracts |
|
33,516,907 |
|
5,460,626 |
|
||
Cash and cash equivalents |
|
300,000 |
|
1,102,160 |
|
||
Accrued interest receivable |
|
2,866 |
|
|
|
||
|
|
|
|
|
|
||
TOTAL ASSETS |
|
$ |
841,245,580 |
|
$ |
768,455,980 |
|
|
|
|
|
|
|
||
LIABILITIES AND MEMBERS CAPITAL: |
|
|
|
|
|
||
LIABILITIES: |
|
|
|
|
|
||
Brokerage commissions payable |
|
$ |
|
|
$ |
115,138 |
|
Sponsor and Advisory fees payable |
|
6,323,274 |
|
3,146,710 |
|
||
Redemptions payable |
|
3,591,918 |
|
12,610,951 |
|
||
Net unrealized loss on open futures contracts |
|
2,090,509 |
|
2,155,460 |
|
||
Other liabilities |
|
295,197 |
|
391,254 |
|
||
|
|
|
|
|
|
||
Total liabilities |
|
12,300,898 |
|
18,419,513 |
|
||
|
|
|
|
|
|
||
MEMBERS CAPITAL: |
|
|
|
|
|
||
Sponsors Interest (19,470 Units and 19,470 Units) |
|
30,990 |
|
28,686 |
|
||
Members Interest (518,048,083 Units and 506,821,001 Units) |
|
828,913,692 |
|
750,007,781 |
|
||
Total members capital |
|
828,944,682 |
|
750,036,467 |
|
||
|
|
|
|
|
|
||
TOTAL LIABILITIES AND MEMBERS CAPITAL |
|
$ |
841,245,580 |
|
$ |
768,455,980 |
|
|
|
|
|
|
|
||
NET ASSET VALUE PER UNIT: |
|
|
|
|
|
||
|
|
|
|
|
|
||
Class A |
|
$ |
1.6297 |
|
$ |
1.5088 |
|
Class C |
|
$ |
1.5416 |
|
$ |
1.4380 |
|
Class D |
|
$ |
1.6346 |
|
$ |
1.4964 |
|
Class I |
|
$ |
1.6540 |
|
$ |
1.5267 |
|
Class DS |
|
$ |
1.6326 |
|
$ |
1.4946 |
|
Class DT |
|
$ |
1.6879 |
|
$ |
1.5377 |
|
See notes to financial statements.
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, |
|
||||
|
|
2010 |
|
2009 |
|
2010 |
|
2009 |
|
||||
TRADING PROFIT (LOSS): |
|
|
|
|
|
|
|
|
|
||||
|
|
|
|
|
|
|
|
|
|
||||
Realized, net |
|
$ |
4,925,017 |
|
$ |
(11,778,258 |
) |
$ |
59,844,141 |
|
$ |
(54,611,721 |
) |
Change in unrealized, net |
|
21,410,299 |
|
22,314,757 |
|
28,121,232 |
|
9,039,356 |
|
||||
Brokerage commissions |
|
(245,453 |
) |
(203,463 |
) |
(752,723 |
) |
(596,742 |
) |
||||
|
|
|
|
|
|
|
|
|
|
||||
Total trading profit (loss) |
|
26,089,863 |
|
10,333,036 |
|
87,212,650 |
|
(46,169,107 |
) |
||||
|
|
|
|
|
|
|
|
|
|
||||
INVESTMENT INCOME: |
|
|
|
|
|
|
|
|
|
||||
Interest |
|
3,756 |
|
(5,390 |
) |
434 |
|
52,569 |
|
||||
|
|
|
|
|
|
|
|
|
|
||||
EXPENSES: |
|
|
|
|
|
|
|
|
|
||||
Management fee |
|
3,996,946 |
|
3,708,504 |
|
11,709,050 |
|
11,470,161 |
|
||||
Sponsor fee |
|
2,453,986 |
|
2,252,474 |
|
7,067,177 |
|
7,264,488 |
|
||||
Performance fee |
|
4,087,247 |
|
|
|
4,087,247 |
|
583 |
|
||||
Other |
|
310,526 |
|
396,081 |
|
796,653 |
|
1,054,124 |
|
||||
Total expenses |
|
10,848,705 |
|
6,357,059 |
|
23,660,127 |
|
19,789,356 |
|
||||
|
|
|
|
|
|
|
|
|
|
||||
NET INVESTMENT LOSS |
|
(10,844,949 |
) |
(6,362,449 |
) |
(23,659,693 |
) |
(19,736,787 |
) |
||||
|
|
|
|
|
|
|
|
|
|
||||
NET INCOME (LOSS) |
|
$ |
15,244,914 |
|
$ |
3,970,587 |
|
$ |
63,552,957 |
|
$ |
(65,905,894 |
) |
|
|
|
|
|
|
|
|
|
|
||||
NET INCOME (LOSS) PER UNIT: |
|
|
|
|
|
|
|
|
|
||||
|
|
|
|
|
|
|
|
|
|
||||
Weighted average number of Units outstanding |
|
|
|
|
|
|
|
|
|
||||
Class A |
|
52,756,328 |
|
48,330,421 |
|
49,564,746 |
|
48,290,312 |
|
||||
Class C |
|
206,912,707 |
|
203,695,343 |
|
203,576,592 |
|
209,769,004 |
|
||||
Class D |
|
81,283,522 |
|
78,318,234 |
|
81,499,616 |
|
78,159,645 |
|
||||
Class I |
|
38,216,373 |
|
41,090,886 |
|
37,853,927 |
|
42,465,404 |
|
||||
Class DS |
|
104,125,551 |
|
101,023,751 |
|
106,239,322 |
|
86,031,099 |
|
||||
Class DT |
|
29,995,500 |
|
47,750,063 |
|
35,826,335 |
|
50,098,593 |
|
||||
|
|
|
|
|
|
|
|
|
|
||||
Net income (loss) per weighted average Unit |
|
|
|
|
|
|
|
|
|
||||
Class A |
|
$ |
0.0333 |
|
$ |
0.0063 |
|
$ |
0.1248 |
|
$ |
(0.1378 |
) |
Class C |
|
$ |
0.0244 |
|
$ |
0.0022 |
|
$ |
0.1047 |
|
$ |
(0.1419 |
) |
Class D |
|
$ |
0.0348 |
|
$ |
0.0112 |
|
$ |
0.1413 |
|
$ |
(0.1174 |
) |
Class I |
|
$ |
0.0312 |
|
$ |
0.0082 |
|
$ |
0.1281 |
|
$ |
(0.1341 |
) |
Class DS |
|
$ |
0.0350 |
|
$ |
0.0135 |
|
$ |
0.1386 |
|
$ |
(0.1043 |
) |
Class DT |
|
$ |
0.0255 |
|
$ |
0.0134 |
|
$ |
0.1387 |
|
$ |
(0.1135 |
) |
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, 2010 and 2009
(unaudited) (in Units)
|
|
Members Capital |
|
Subscriptions |
|
Redemptions |
|
Members Capital |
|
Members Capital |
|
Subscriptions |
|
Redemptions |
|
Members Capital |
|
Class A |
|
45,849,416 |
|
9,950,735 |
|
(8,234,239 |
) |
47,565,912 |
|
47,207,338 |
|
14,947,161 |
|
(5,381,665 |
) |
56,772,834 |
|
Class C |
|
215,169,073 |
|
28,649,326 |
|
(44,094,154 |
) |
199,724,245 |
|
198,836,141 |
|
34,802,821 |
|
(23,057,840 |
) |
210,581,122 |
|
Class D |
|
73,051,567 |
|
6,041,151 |
|
(2,711,187 |
) |
76,381,531 |
|
76,481,524 |
|
8,191,253 |
|
(2,979,453 |
) |
81,693,324 |
|
Class I |
|
43,073,827 |
|
7,952,058 |
|
(9,891,534 |
) |
41,134,351 |
|
37,155,502 |
|
4,491,371 |
|
(3,551,230 |
) |
38,095,643 |
|
Class DS |
|
69,186,442 |
|
34,891,377 |
|
|
|
104,077,819 |
|
106,138,162 |
|
2,905,250 |
|
(5,202,017 |
) |
103,841,395 |
|
Class DT |
|
53,758,785 |
|
459,179 |
|
(7,785,464 |
) |
46,432,500 |
|
41,002,334 |
|
|
|
(13,938,569 |
) |
27,063,765 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Members Units |
|
500,089,110 |
|
87,943,826 |
|
(72,716,578 |
) |
515,316,358 |
|
506,821,001 |
|
65,337,856 |
|
(54,110,774 |
) |
518,048,083 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class A |
|
9,713 |
|
|
|
|
|
9,713 |
|
9,713 |
|
|
|
|
|
9,713 |
|
Class C |
|
9,757 |
|
|
|
|
|
9,757 |
|
9,757 |
|
|
|
|
|
9,757 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Sponsors Units |
|
19,470 |
|
|
|
|
|
19,470 |
|
19,470 |
|
|
|
|
|
19,470 |
|
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, 2010 and 2009
(unaudited)
|
|
Members Capital |
|
Subscriptions |
|
Redemptions |
|
Net Income |
|
Members Capital |
|
Members Capital |
|
Subscriptions |
|
Redemptions |
|
Net Income |
|
Members Capital |
|
||||||||||
Class A |
|
$ |
75,377,293 |
|
$ |
15,777,283 |
|
$ |
(12,754,541 |
) |
$ |
(6,639,858 |
) |
$ |
71,760,177 |
|
$ |
71,227,277 |
|
$ |
23,557,909 |
|
$ |
(8,446,913 |
) |
$ |
6,184,617 |
|
$ |
92,522,890 |
|
Class C |
|
340,542,258 |
|
43,359,316 |
|
(66,271,637 |
) |
(29,735,962 |
) |
287,893,975 |
|
285,929,558 |
|
51,355,044 |
|
(33,956,280 |
) |
21,305,178 |
|
324,633,500 |
|
||||||||||
Class D |
|
117,366,051 |
|
9,663,521 |
|
(3,989,217 |
) |
(9,183,574 |
) |
113,856,781 |
|
114,447,349 |
|
12,218,319 |
|
(4,647,328 |
) |
11,517,442 |
|
133,535,782 |
|
||||||||||
Class I |
|
71,357,222 |
|
12,705,694 |
|
(15,661,749 |
) |
(5,672,454 |
) |
62,728,713 |
|
56,724,216 |
|
7,029,542 |
|
(5,593,240 |
) |
4,847,857 |
|
63,008,375 |
|
||||||||||
Class DS |
|
111,018,099 |
|
52,913,336 |
|
|
|
(8,980,195 |
) |
154,951,240 |
|
158,630,745 |
|
4,405,527 |
|
(8,232,407 |
) |
14,727,068 |
|
169,530,933 |
|
||||||||||
Class DT |
|
88,296,222 |
|
714,029 |
|
(12,285,078 |
) |
(5,691,153 |
) |
71,034,020 |
|
63,048,636 |
|
|
|
(22,334,915 |
) |
4,968,491 |
|
45,682,212 |
|
||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Total Members Interest |
|
$ |
803,957,145 |
|
$ |
135,133,179 |
|
$ |
(110,962,222 |
) |
$ |
(65,903,196 |
) |
$ |
762,224,906 |
|
$ |
750,007,781 |
|
$ |
98,566,341 |
|
$ |
(83,211,083 |
) |
$ |
63,550,653 |
|
$ |
828,913,692 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Class A |
|
$ |
15,971 |
|
$ |
|
|
$ |
|
|
$ |
(1,318 |
) |
$ |
14,653 |
|
$ |
14,655 |
|
$ |
|
|
$ |
|
|
$ |
1,269 |
|
$ |
15,924 |
|
Class C |
|
15,444 |
|
|
|
|
|
(1,380 |
) |
14,064 |
|
14,031 |
|
|
|
|
|
1,035 |
|
15,066 |
|
||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Total Sponsors Interest |
|
$ |
31,415 |
|
$ |
|
|
$ |
|
|
$ |
(2,698 |
) |
$ |
28,717 |
|
$ |
28,686 |
|
$ |
|
|
$ |
|
|
$ |
2,304 |
|
$ |
30,990 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Total Members Capital |
|
$ |
803,988,560 |
|
$ |
135,133,179 |
|
$ |
(110,962,222 |
) |
$ |
(65,905,894 |
) |
$ |
762,253,623 |
|
$ |
750,036,467 |
|
$ |
98,566,341 |
|
$ |
(83,211,083 |
) |
$ |
63,552,957 |
|
$ |
828,944,682 |
|
See notes to financial statements.
ML WINTON FUTURESACCESS LLC
(A Delaware Limited Liability Company)
FINANCIAL DATA HIGHLIGHTS
For the three months ended September 30, 2010 (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 |
|
||||||
Per Unit Operating Performance: |
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Net asset value, beginning of period |
|
$ |
1.6010 |
|
$ |
1.5182 |
|
$ |
1.5998 |
|
$ |
1.6232 |
|
$ |
1.5978 |
|
$ |
1.6480 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Net realized and net change in unrealized trading profit(loss) |
|
0.0521 |
|
0.0493 |
|
0.0522 |
|
0.0529 |
|
0.0521 |
|
0.0538 |
|
||||||
Brokerage commissions |
|
(0.0005 |
) |
(0.0005 |
) |
(0.0005 |
) |
(0.0005 |
) |
(0.0005 |
) |
(0.0005 |
) |
||||||
Interest income |
|
0.0000 |
|
0.0000 |
|
0.0000 |
|
0.0000 |
|
0.0000 |
|
0.0000 |
|
||||||
Expenses |
|
(0.0229 |
) |
(0.0254 |
) |
(0.0169 |
) |
(0.0216 |
) |
(0.0168 |
) |
(0.0134 |
) |
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Net asset value, end of period |
|
$ |
1.6297 |
|
$ |
1.5416 |
|
$ |
1.6346 |
|
$ |
1.6540 |
|
$ |
1.6326 |
|
$ |
1.6879 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Total Return: (a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Total return before Performance fees |
|
2.31 |
% |
2.41 |
% |
2.69 |
% |
2.41 |
% |
2.69 |
% |
2.82 |
% |
||||||
Performance fees |
|
-0.52 |
% |
-0.52 |
% |
-0.52 |
% |
-0.52 |
% |
-0.52 |
% |
-0.41 |
% |
||||||
Total return after Performance fees |
|
1.79 |
% |
1.89 |
% |
2.17 |
% |
1.89 |
% |
2.17 |
% |
2.41 |
% |
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Ratios to Average Members Capital: |
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Expenses (excluding Performance fees) |
|
1.17 |
% |
0.82 |
% |
0.54 |
% |
0.82 |
% |
0.54 |
% |
0.42 |
% |
||||||
Performance fees |
|
0.52 |
% |
0.51 |
% |
0.51 |
% |
0.51 |
% |
0.51 |
% |
0.40 |
% |
||||||
Expenses (including Performance fees) |
|
1.69 |
% |
1.33 |
% |
1.05 |
% |
1.33 |
% |
1.05 |
% |
0.82 |
% |
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Net investment income (loss) |
|
-1.69 |
% |
-1.33 |
% |
-1.06 |
% |
-1.33 |
% |
-1.06 |
% |
-0.81 |
% |
(a) The total return calculations are based on compounded monthly returns and are calculated for each class taken as a whole. An individual members return may vary from these returns based on timing of capital transactions.
See notes to financial statements.
ML WINTON FUTURESACCESS LLC
(A Delaware Limited Liability Company)
FINANCIAL DATA HIGHLIGHTS
For the nine months ended September 30, 2010 (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 |
|
||||||
Per Unit Operating Performance: |
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Net asset value, beginning of period |
|
$ |
1.5088 |
|
$ |
1.4380 |
|
$ |
1.4964 |
|
$ |
1.5267 |
|
$ |
1.4946 |
|
$ |
1.5377 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Net realized and net change in unrealized trading profit(loss) |
|
0.1735 |
|
0.1647 |
|
0.1730 |
|
0.1758 |
|
0.1728 |
|
0.1781 |
|
||||||
Brokerage commissions |
|
(0.0015 |
) |
(0.0014 |
) |
(0.0015 |
) |
(0.0015 |
) |
(0.0015 |
) |
(0.0015 |
) |
||||||
Interest income |
|
0.0000 |
|
0.0000 |
|
0.0000 |
|
0.0000 |
|
0.0000 |
|
0.0000 |
|
||||||
Expenses |
|
(0.0511 |
) |
(0.0597 |
) |
(0.0333 |
) |
(0.0470 |
) |
(0.0333 |
) |
(0.0264 |
) |
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Net asset value, end of period |
|
$ |
1.6297 |
|
$ |
1.5416 |
|
$ |
1.6346 |
|
$ |
1.6540 |
|
$ |
1.6326 |
|
$ |
1.6879 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Total Return: (a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Total return before Performance fees |
|
8.56 |
% |
7.75 |
% |
9.79 |
% |
8.89 |
% |
9.79 |
% |
10.20 |
% |
||||||
Performance fees |
|
-0.52 |
% |
-0.52 |
% |
-0.52 |
% |
-0.52 |
% |
-0.52 |
% |
-0.41 |
% |
||||||
Total return after Performance fees |
|
8.04 |
% |
7.23 |
% |
9.27 |
% |
8.37 |
% |
9.27 |
% |
9.79 |
% |
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Ratios to Average Members Capital: |
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Expenses (excluding Performance fees) |
|
2.74 |
% |
3.50 |
% |
1.61 |
% |
2.44 |
% |
1.61 |
% |
1.23 |
% |
||||||
Performance fees |
|
0.51 |
% |
0.52 |
% |
0.51 |
% |
0.51 |
% |
0.51 |
% |
0.40 |
% |
||||||
Expenses (including Performance fees) |
|
3.25 |
% |
4.02 |
% |
2.12 |
% |
2.95 |
% |
2.12 |
% |
1.63 |
% |
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Net investment income (loss) |
|
-3.26 |
% |
-4.02 |
% |
-2.13 |
% |
-2.96 |
% |
-2.13 |
% |
-1.63 |
% |
(a) The total return calculations are based on compounded monthly returns and are calculated for each class taken as a whole. An individual members return may vary from these returns based on timing of capital transactions.
See notes to financial statements.
ML WINTON FUTURESACCESS LLC
(A Delaware Limited Liability Company)
FINANCIAL DATA HIGHLIGHTS
For the three months ended September 30, 2009 (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 ** |
|
||||||
Per Unit Operating Performance: |
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Net asset value, beginning of period |
|
$ |
1.5024 |
|
$ |
1.4391 |
|
$ |
1.4789 |
|
$ |
1.5172 |
|
$ |
1.4771 |
|
$ |
1.5159 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Realized and change in unrealized trading profit (loss) |
|
0.0202 |
|
0.0196 |
|
0.0202 |
|
0.0207 |
|
0.0202 |
|
0.0207 |
|
||||||
Brokerage commissions |
|
(0.0004 |
) |
(0.0004 |
) |
(0.0004 |
) |
(0.0004 |
) |
(0.0004 |
) |
(0.0004 |
) |
||||||
Interest income |
|
(0.0000 |
) |
(0.0000 |
) |
(0.0000 |
) |
(0.0000 |
) |
(0.0000 |
) |
(0.0000 |
) |
||||||
Expenses |
|
(0.0136 |
) |
(0.0168 |
) |
(0.0081 |
) |
(0.0125 |
) |
(0.0081 |
) |
(0.0064 |
) |
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Net asset value, end of period |
|
$ |
1.5086 |
|
$ |
1.4415 |
|
$ |
1.4906 |
|
$ |
1.5250 |
|
$ |
1.4888 |
|
$ |
1.5298 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Total Return: (a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Total return before Performance fees |
|
0.41 |
% |
0.51 |
% |
0.79 |
% |
0.51 |
% |
0.79 |
% |
0.92 |
% |
||||||
Performance fees |
|
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
||||||
Total return after Performance fees |
|
0.41 |
% |
0.51 |
% |
0.79 |
% |
0.51 |
% |
0.79 |
% |
0.92 |
% |
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Ratios to Average Members Capital: |
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Expenses (excluding Performance fees) |
|
1.18 |
% |
0.83 |
% |
0.55 |
% |
0.83 |
% |
0.55 |
% |
0.43 |
% |
||||||
Performance fees |
|
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
||||||
Expenses (including Performance fees) |
|
1.18 |
% |
0.83 |
% |
0.55 |
% |
0.83 |
% |
0.55 |
% |
0.43 |
% |
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Net investment income (loss) |
|
-1.18 |
% |
-0.83 |
% |
-0.55 |
% |
-0.83 |
% |
-0.55 |
% |
-0.43 |
% |
*Class DS and was previously known as Class D-SM.
**Class DT was previously known as Class D-TF.
(a) The total return calculations are based on compounded monthly returns and are calculated for each class taken as a whole. An individual members return may vary from these returns based on timing of capital transactions.
See notes to financial statements.
ML WINTON FUTURESACCESS LLC
(A Delaware Limited Liability Company)
FINANCIAL DATA HIGHLIGHTS
For the nine months ended September 30, 2009 (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 ** |
|
||||||
Per Unit Operating Performance: |
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Net asset value, beginning of period |
|
$ |
1.6440 |
|
$ |
1.5827 |
|
$ |
1.6066 |
|
$ |
1.6566 |
|
$ |
1.6046 |
|
$ |
1.6425 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Realized and change in unrealized trading profit (loss) |
|
(0.0915 |
) |
(0.0879 |
) |
(0.0897 |
) |
(0.0922 |
) |
(0.0895 |
) |
(0.0918 |
) |
||||||
Brokerage commissions |
|
(0.0012 |
) |
(0.0011 |
) |
(0.0012 |
) |
(0.0012 |
) |
(0.0012 |
) |
(0.0012 |
) |
||||||
Interest income |
|
0.0001 |
|
0.0001 |
|
0.0001 |
|
0.0001 |
|
0.0001 |
|
0.0001 |
|
||||||
Expenses |
|
(0.0428 |
) |
(0.0523 |
) |
(0.0252 |
) |
(0.0383 |
) |
(0.0252 |
) |
(0.0198 |
) |
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Net asset value, end of period |
|
$ |
1.5086 |
|
$ |
1.4415 |
|
$ |
1.4906 |
|
$ |
1.5250 |
|
$ |
1.4888 |
|
$ |
1.5298 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Total Return: (a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Total return before Performance fees |
|
-8.25 |
% |
-8.94 |
% |
-7.21 |
% |
-7.98 |
% |
-7.21 |
% |
-6.86 |
% |
||||||
Performance fees |
|
0.00 |
% |
0.00 |
% |
-0.01 |
% |
0.00 |
% |
-0.01 |
% |
0.00 |
% |
||||||
Total return after Performance fees |
|
-8.25 |
% |
-8.94 |
% |
-7.22 |
% |
-7.98 |
% |
-7.22 |
% |
-6.86 |
% |
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Ratios to Average Members Capital: |
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Expenses (excluding Performance fees) |
|
2.76 |
% |
3.51 |
% |
1.64 |
% |
2.46 |
% |
1.63 |
% |
1.26 |
% |
||||||
Performance fees |
|
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.01 |
% |
-0.01 |
% |
||||||
Expenses (including Performance fees) |
|
2.76 |
% |
3.51 |
% |
1.64 |
% |
2.46 |
% |
1.64 |
% |
1.25 |
% |
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Net investment income (loss) |
|
-2.76 |
% |
-3.50 |
% |
-1.64 |
% |
-2.46 |
% |
-1.64 |
% |
-1.25 |
% |
*Class DS and was previously known as Class D-SM.
**Class DT was previously known as Class D-TF.
(a) The total return calculations are based on compounded monthly returns and are calculated for each class taken as a whole. An individual members return may vary from these returns based on timing of capital transactions.
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 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 issues new units of limited liability company interest (Units) at Net Asset Value per Unit (see Item 2 for discussion of net asset value and net asset value per unit for subscriptions and redemptions purposes hereinafter referred to as Net Asset Value and Net Asset Value per Unit) as of the beginning of each calendar month. 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 or trading advisor) is the trading advisor of the Fund.
Merrill Lynch Alternative Investments LLC (MLAI or the Sponsor) 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 Funds commodity broker. Merrill Lynch is a wholly-owned subsidiary of Bank of America Corporation.
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. 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.
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.
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, 2010 and the results of its operations for the three and nine months ended September 30, 2010 and 2009. 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 Funds Annual Report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2009. Certain prior period items have been reclassified to conform to the current period presentation.
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.
2. CONDENSED SCHEDULES OF INVESTMENTS
The Funds investments, defined as Net unrealized profit (loss) on open contracts in the Statements of Financial Condition, as of September 30, 2010 and December 31, 2009 are as follows:
September 30, 2010
|
|
Long Positions |
|
Short Positions |
|
Net Unrealized |
|
|
|
|
|
|||||||||||
Commodity Industry |
|
Number of |
|
Unrealized |
|
Percent of |
|
Number of |
|
Unrealized |
|
Percent of |
|
Profit (Loss) |
|
Percent of |
|
|
|
|||
Sector |
|
Contracts |
|
Profit (Loss) |
|
Members Capital |
|
Contracts |
|
Profit (Loss) |
|
Members Capital |
|
on Open Positions |
|
Members Capital |
|
Maturity Dates |
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Agriculture |
|
3,219 |
|
$ |
2,050,392 |
|
0.25 |
% |
(482 |
) |
(93,078 |
) |
-0.01 |
% |
$ |
1,957,314 |
|
0.24 |
% |
October 2010 - April 2011 |
|
|
Currencies |
|
4,530 |
|
12,245,043 |
|
1.48 |
% |
(776 |
) |
(5,392,881 |
) |
-0.65 |
% |
6,852,162 |
|
0.83 |
% |
December 2010 |
|
|||
Energy |
|
167 |
|
429,554 |
|
0.05 |
% |
(747 |
) |
(1,668,353 |
) |
-0.20 |
% |
(1,238,799 |
) |
-0.15 |
% |
October 2010 - January 2011 |
|
|||
Interest rates |
|
21,003 |
|
13,467,914 |
|
1.62 |
% |
(161 |
) |
(441 |
) |
0.00 |
% |
13,467,473 |
|
1.62 |
% |
October 2010 - December 2012 |
|
|||
Metals |
|
1,402 |
|
11,008,615 |
|
1.33 |
% |
(153 |
) |
(1,055,343 |
) |
-0.13 |
% |
9,953,272 |
|
1.20 |
% |
November 2010 - September 2011 |
|
|||
Stock indices |
|
3,127 |
|
570,295 |
|
0.07 |
% |
(163 |
) |
(135,319 |
) |
-0.02 |
% |
434,976 |
|
0.05 |
% |
October 2010 - December 2010 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Total |
|
|
|
$ |
39,771,813 |
|
4.80 |
% |
|
|
$ |
(8,345,415 |
) |
-1.01 |
% |
$ |
31,426,398 |
|
3.79 |
% |
|
|
December 31, 2009
|
|
Long Positions |
|
Short Positions |
|
|
|
|
|
|
|
|||||||||||
Commodity Industry |
|
Number of |
|
Unrealized |
|
Percent of |
|
Number of |
|
Unrealized |
|
Percent of |
|
Profit (Loss) |
|
Percent of |
|
|
|
|||
Sector |
|
Contracts |
|
Profit (Loss) |
|
Members Capital |
|
Contracts |
|
Profit (Loss) |
|
Members Capital |
|
on Open Positions |
|
Members Capital |
|
Maturity Dates |
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Agriculture |
|
1,102 |
|
$ |
1,087,413 |
|
0.14 |
% |
(989 |
) |
$ |
(286,832 |
) |
-0.04 |
% |
$ |
800,581 |
|
0.10 |
% |
January 10 - November 10 |
|
Currencies |
|
2,892 |
|
(2,562,251 |
) |
-0.34 |
% |
(302 |
) |
(169,839 |
) |
-0.02 |
% |
(2,732,090 |
) |
-0.36 |
% |
March 10 |
|
|||
Energy |
|
106 |
|
134,142 |
|
0.02 |
% |
(255 |
) |
(642,428 |
) |
-0.09 |
% |
(508,286 |
) |
-0.07 |
% |
January 10 - December 10 |
|
|||
Interest rates |
|
7,633 |
|
(179,602 |
) |
-0.03 |
% |
(460 |
) |
17,539 |
|
0.00 |
% |
(162,063 |
) |
-0.03 |
% |
January 10 - June 10 |
|
|||
Metals |
|
1,420 |
|
3,027,127 |
|
0.40 |
% |
(106 |
) |
(880,988 |
) |
-0.13 |
% |
2,146,139 |
|
0.27 |
% |
January 10 - April 10 |
|
|||
Stock indices |
|
5,218 |
|
3,774,920 |
|
0.50 |
% |
(16 |
) |
(14,035 |
) |
0.00 |
% |
3,760,885 |
|
0.50 |
% |
January 10 - March 10 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Total |
|
|
|
$ |
5,281,749 |
|
0.69 |
% |
|
|
$ |
(1,976,583 |
) |
-0.28 |
% |
$ |
3,305,166 |
|
0.41 |
% |
|
|
No individual contracts unrealized gain or loss comprised greater than 5% of the Members Capital as of September 30, 2010 and December 31, 2009.
3. FAIR VALUE OF INVESTMENTS
The Financial Accounting Standards Board (FASB) issued the Accounting Standards Codification (ASC) which provides authoritative guidance on fair value measurement. This guidance defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements.
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. Gains or losses are realized when contracts are liquidated. Unrealized gains or losses on open contracts are included in Equity in a commodity trading account. Any change in net unrealized gain or loss from the preceding period is reported in the Statement of Operations.
The fair value measurement guidance established a hierarchal disclosure framework which prioritizes and ranks the level of market price observability used in measuring investments at fair value. Market price observability is impacted by a number of factors, including the type of investment and the characteristics specific to the investment. Investments with readily available active quoted prices or for which fair value can be measured from actively quoted prices generally will have a higher degree of market price observability and a lesser degree of judgment used in measuring fair value.
Investments measured and reported at fair value are classified and disclosed in one of the following categories:
Level I Quoted prices are available in active markets for identical investments as of the reporting date. The type of investments included in Level I are publicly traded investments. As required by the fair market value measurement guidance, 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 investments level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. MLAIs 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.
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 it trades such investments. 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 by the Fund as inputs into its process for determining fair values.
The independent pricing sources obtain market quotations and actual transaction prices for securities that have quoted prices in active markets. Each source has its own proprietary method for determining the fair value of securities that are not actively traded. In general, these methods involve the use of matrix pricing in which the independent pricing source uses observable market inputs including, but not limited to, investment yields, credit risks and spreads, benchmarking of like securities, broker-dealer quotes, reported trades and sector groupings to determine a reasonable fair market value.
The Fund has determined that Level I securities would include all of 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 quoted prices of securities with similar characteristics, pricing models or matrix pricing and these are generally classified as Level II securities. The Fund determined that Level II securities would include its forward contracts.
The Funds net unrealized profit (loss) on open forward and futures contracts by the above fair value hierarchy levels as of September 30, 2010 and December 31, 2009 are as follows:
Net unrealized profit (loss) |
|
Total |
|
Level I |
|
Level II |
|
Level III |
|
||||
|
|
|
|
|
|
|
|
|
|
||||
Futures |
|
|
|
|
|
|
|
|
|
||||
Long |
|
$ |
39,771,813 |
|
38,233,588 |
|
1,538,225 |
|
|
|
|||
Short |
|
$ |
(8,345,415 |
) |
(7,290,072 |
) |
(1,055,343 |
) |
|
|
|||
|
|
$ |
31,426,398 |
|
$ |
30,943,516 |
|
$ |
482,882 |
|
$ |
|
|
|
|
|
|
|
|
|
|
|
|
||||
Forwards |
|
|
|
|
|
|
|
|
|
||||
Long |
|
$ |
|
|
|
|
|
|
|
|
|||
Short |
|
$ |
|
|
|
|
|
|
|
|
|||
|
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
|
|
|
|
|
|
|
|
|
|
|
||||
September 30, 2010 |
|
$ |
31,426,398 |
|
$ |
30,943,516 |
|
$ |
482,882 |
|
$ |
|
|
Net unrealized profit (loss) |
|
|
|
|
|
|
|
|
|
||||
on open contracts |
|
Total |
|
Level I |
|
Level II |
|
Level III |
|
||||
|
|
|
|
|
|
|
|
|
|
||||
Futures |
|
|
|
|
|
|
|
|
|
||||
Long |
|
$ |
5,281,749 |
|
2,081,900 |
|
3,199,849 |
|
|
|
|||
Short |
|
$ |
(1,976,583 |
) |
(1,095,596 |
) |
(880,987 |
) |
|
|
|||
|
|
$ |
3,305,166 |
|
$ |
986,304 |
|
$ |
2,318,862 |
|
$ |
|
|
|
|
|
|
|
|
|
|
|
|
||||
Forwards |
|
|
|
|
|
|
|
|
|
||||
Long |
|
$ |
|
|
|
|
|
|
|
|
|||
Short |
|
$ |
|
|
|
|
|
|
|
|
|||
|
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
|
|
|
|
|
|
|
|
|
|
|
||||
December 31, 2009 |
|
$ |
3,305,166 |
|
$ |
986,304 |
|
$ |
2,318,862 |
|
$ |
|
|
The Funds volume of trading futures as of the period and year ended September 30, 2010 and the December 31, 2009, respectively, are representative of the activity throughout these periods.
There were no significant transfers to or from Level I or II during the quarter and period ended September 30, 2010.
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 guidance for accounting for derivative and hedging activities. The fair value amounts of and the gains 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 following table indicates the trading gains and losses, by commodity industry sector, on derivative instruments for each of the three month and nine month periods ended September 30, 2010 and 2009:
|
|
For the three months ended |
|
For the nine months ended |
|
|
|
|
September 30, 2010 |
|
September 30, 2010 |
|
|
Commodity Industry Sector |
|
Gain (loss) from trading |
|
Gain (loss) from trading |
|
|
|
|
|
|
|
|
|
Agriculture |
|
$ |
(5,577,669 |
) |
(3,813,506 |
) |
Currencies |
|
(4,698,321 |
) |
25,391,299 |
|
|
Energy |
|
(5,729,477 |
) |
(14,661,413 |
) |
|
Interest rates |
|
38,968,549 |
|
91,138,697 |
|
|
Metals |
|
5,419,928 |
|
9,256,537 |
|
|
Stock indices |
|
(2,047,694 |
) |
(19,346,241 |
) |
|
|
|
|
|
|
|
|
Total |
|
$ |
26,335,316 |
|
87,965,373 |
|
|
|
For the three months ended |
|
For the nine months ended |
|
|
|
|
September 30, 2009 |
|
September 30, 2009 |
|
|
Commodity Industry Sector |
|
Gain (loss) from trading |
|
Gain (loss) from trading |
|
|
|
|
|
|
|
|
|
Agriculture |
|
$ |
(54,176 |
) |
5,548,347 |
|
Currencies |
|
10,685,650 |
|
(9,299,725 |
) |
|
Energy |
|
(4,607,969 |
) |
(8,964,646 |
) |
|
Interest rates |
|
13,652,216 |
|
(7,264,243 |
) |
|
Metals |
|
2,284,217 |
|
(7,344,569 |
) |
|
Stock indices |
|
(11,423,439 |
) |
(18,247,529 |
) |
|
|
|
|
|
|
|
|
Total |
|
$ |
10,536,499 |
|
(45,572,365 |
) |
The Fund is subject to the risk of insolvency of a counterparty, an exchange, a clearinghouse or MLPF&S. Fund assets could be lost or impounded during lengthy bankruptcy proceedings. Were a substantial portion of the Funds 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 RISK
The nature of this Fund has certain risks, which cannot be presented on 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 Funds Net unrealized profit (loss) on such derivative instruments as reflected in the Statements of Financial Condition. The Funds 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 they will, in fact, succeed in doing so. These procedures focus primarily on monitoring the trading of Winton, calculating the Net Asset Value of the Fund as of the close of business on each day and reviewing outstanding positions for over-concentrations. While MLAI does not intervene in the markets to hedge or diversify the Funds market exposure, MLAI may urge Winton to reallocate positions in an attempt to avoid over-concentrations. However, such interventions are expected to be unusual. It is expected that MLAIs basic risk control procedures consist simply of the ongoing process of advisor monitoring, with the market risk controls being applied by Winton.
Credit Risk
The risks associated with exchange-traded contracts are typically perceived to be less than those associated with over-the-counter (non-exchange-traded) transactions, because exchanges typically (but not universally) provide clearinghouse arrangements in which the collective credit (in some cases limited in amount, in some cases not) of the members of the exchange is pledged to support the financial integrity of the exchange. 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 trading, and counterparties may also require margin in the over-the-counter markets.
The credit risk associated with these instruments from counterparty nonperformance is the net unrealized profit on open contracts, if any, included in the Statements of Financial Condition. The Fund attempts to mitigate this risk by dealing exclusively with Merrill Lynch entities as clearing brokers.
The Fund, in its normal course of business, enters into various contracts with MLPF&S acting as its commodity broker. Pursuant to the brokerage arrangement with MLPF&S (which includes a netting arrangement), to the extent that such trading results in receivables from and payables to MLPF&S, these receivables and payables are offset and reported as a net receivable or payable and included in Equity in commodity trading accounts in the Statements of Financial Condition.
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 third parties, including affiliates of the Fund, for breach of certain representations and warranties made by the Fund. 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 Funds experience, MLAI expected the risk of loss to be remote and, therefore, no provision has been recorded.
5. RECENT ACCOUNTING PRONOUNCEMENTS
In January 2010, the FASB issued an update to the fair value measurements disclosure. Pursuant to this update, additional disclosures in the financial statements relating to transfers in and out of Levels 1 and 2 fair value measurements and separate disclosure of purchases, sales, issuances, and settlements in Level 3 rollforward, will be required. In addition, this update provides clarifications on i) the level of aggregation of classes of assets and liabilities disclosed in the fair value measurement disclosures and ii) disclosures relating to the inputs and valuation techniques for Level 2 and Level 3 fair value measurements. The new disclosures and clarifications of existing disclosures are effective for annual reporting periods beginning after December 15, 2009, except for the disclosures about purchases, sales, issuances, and settlements in the Level 3 roll forward which are effective for fiscal years beginning after December 15, 2010. This update further enhances the fair value disclosures and the Manager has determined that the adoption of this update on January 1, 2010, did not have a material impact to the Funds financial statements.
6. SUBSEQUENT EVENTS
Management has evaluated the impact of subsequent events on the Fund and has determined that there were no subsequent events that require adjustments to, or disclosure in, the financial statements.
Item 2. Managements 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 throughout the year 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 close of business on the last business day of each calendar month and such other dates as MLAI may determine in its discretion. The Funds Net Asset Value as of any calculation date will generally equal the value of the Funds account under the management of its trading advisor as of such date, plus any other assets held by the Fund, minus accrued brokerage commissions, sponsors, management and performance fees, and any operating costs and other liabilities of the Fund. MLAI is authorized to make all Net Asset Value determinations.
MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS A
|
|
Jan. |
|
Feb. |
|
Mar. |
|
Apr. |
|
May |
|
Jun. |
|
Jul. |
|
Aug. |
|
Sept. |
|
|||||||||
2009 |
|
$ |
1.6553 |
|
$ |
1.6464 |
|
$ |
1.6155 |
|
$ |
1.5632 |
|
$ |
1.5257 |
|
$ |
1.5024 |
|
$ |
1.4745 |
|
$ |
1.4752 |
|
$ |
1.5086 |
|
2010 |
|
$ |
1.4713 |
|
$ |
1.5023 |
|
$ |
1.5668 |
|
$ |
1.5878 |
|
$ |
1.5790 |
|
$ |
1.6010 |
|
$ |
1.5506 |
|
$ |
1.6239 |
|
$ |
1.6297 |
|
MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS C
|
|
Jan. |
|
Feb. |
|
Mar. |
|
Apr. |
|
May |
|
Jun. |
|
Jul. |
|
Aug. |
|
Sept. |
|
|||||||||
2009 |
|
$ |
1.5921 |
|
$ |
1.5822 |
|
$ |
1.5513 |
|
$ |
1.4998 |
|
$ |
1.4626 |
|
$ |
1.4391 |
|
$ |
1.4112 |
|
$ |
1.4107 |
|
$ |
1.4415 |
|
2010 |
|
$ |
1.4011 |
|
$ |
1.4295 |
|
$ |
1.4896 |
|
$ |
1.5083 |
|
$ |
1.4986 |
|
$ |
1.5182 |
|
$ |
1.4692 |
|
$ |
1.5374 |
|
$ |
1.5416 |
|
MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS D
|
|
Jan. |
|
Feb. |
|
Mar. |
|
Apr. |
|
May |
|
Jun. |
|
Jul. |
|
Aug. |
|
Sept. |
|
|||||||||
2009 |
|
$ |
1.6193 |
|
$ |
1.6126 |
|
$ |
1.5842 |
|
$ |
1.5349 |
|
$ |
1.4999 |
|
$ |
1.4789 |
|
$ |
1.4532 |
|
$ |
1.4558 |
|
$ |
1.4906 |
|
2010 |
|
$ |
1.4610 |
|
$ |
1.4937 |
|
$ |
1.5598 |
|
$ |
1.5827 |
|
$ |
1.5758 |
|
$ |
1.5998 |
|
$ |
1.5514 |
|
$ |
1.6268 |
|
$ |
1.6346 |
|
MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS I
|
|
Jan. |
|
Feb. |
|
Mar. |
|
Apr. |
|
May |
|
Jun. |
|
Jul. |
|
Aug. |
|
Sept. |
|
|||||||||
2009 |
|
$ |
1.6687 |
|
$ |
1.6603 |
|
$ |
1.6297 |
|
$ |
1.5774 |
|
$ |
1.5401 |
|
$ |
1.5172 |
|
$ |
1.4894 |
|
$ |
1.4907 |
|
$ |
1.5250 |
|
2010 |
|
$ |
1.4892 |
|
$ |
1.5211 |
|
$ |
1.5870 |
|
$ |
1.6088 |
|
$ |
1.6004 |
|
$ |
1.6232 |
|
$ |
1.5726 |
|
$ |
1.6475 |
|
$ |
1.6540 |
|
MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS DS
|
|
Jan. |
|
Feb. |
|
Mar. |
|
Apr. |
|
May |
|
Jun. |
|
Jul. |
|
Aug. |
|
Sept. |
|
|||||||||
2009 |
|
$ |
1.6173 |
|
$ |
1.6106 |
|
$ |
1.5822 |
|
$ |
1.5329 |
|
$ |
1.4980 |
|
$ |
1.4771 |
|
$ |
1.4514 |
|
$ |
1.4540 |
|
$ |
1.4888 |
|
2010 |
|
$ |
1.4592 |
|
$ |
1.4919 |
|
$ |
1.5579 |
|
$ |
1.5807 |
|
$ |
1.5739 |
|
$ |
1.5978 |
|
$ |
1.5495 |
|
$ |
1.6248 |
|
$ |
1.6326 |
|
MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS DT
|
|
Jan. |
|
Feb. |
|
Mar. |
|
Apr. |
|
May |
|
Jun. |
|
Jul. |
|
Aug. |
|
Sept. |
|
|||||||||
2009 |
|
$ |
1.6568 |
|
$ |
1.6500 |
|
$ |
1.6217 |
|
$ |
1.5718 |
|
$ |
1.5367 |
|
$ |
1.5159 |
|
$ |
1.4902 |
|
$ |
1.4934 |
|
$ |
1.5298 |
|
2010 |
|
$ |
1.5020 |
|
$ |
1.5362 |
|
$ |
1.6048 |
|
$ |
1.6291 |
|
$ |
1.6227 |
|
$ |
1.6480 |
|
$ |
1.5988 |
|
$ |
1.6788 |
|
$ |
1.6879 |
|
Liquidity and Capital Resources
The Fund does not engage in the sale of goods or services. The Funds assets are its (i) equity in its trading account, consisting of cash and cash equivalents (and restricted cash) and (ii) interest receivable. Because of the low margin deposits normally required in commodity futures trading relatively small price movements may result in substantial losses to the Fund. While substantial losses could lead to a material decrease in liquidity, no such material losses occurred during the third quarter of 2010 and there was no impact on the Funds liquidity.
The Funds capital consists of the capital contributions of the members as increased or decreased by gains or losses on trading, expenses, interest income, redemptions of Redeemable Units and distributions of profits, if any.
For the nine months ended September 30, 2010, Fund capital increased 10.52% from $750,036,467 to $828,944,682. This increase was attributable to the net gain from operations of $63,552,957, coupled with the redemption of 54,110,774 Redeemable Units resulting in an outflow of $83,211,083. The cash outflow was offset with cash inflow of $98,566,341 due to subscription of 65,337,856 units. Future redemptions could impact the amount of funds available for investment in commodity contract positions in subsequent months.
Critical Accounting Policies
Statement of Cash Flows
The Fund is not required to provide a Statement of Cash Flows.
Investments
All investments (including derivatives) are held for trading purposes. Investments are recorded on trade date and open contracts are recorded at fair value (as described below) at the measurement date. Investments denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated. Unrealized gains or losses on open contracts are included as a component of equity in a commodity trading account on the Statements of Financial Condition. Realized gains or losses and any change in net unrealized gains or losses from the preceding period are reported in the Statements of Operations.
Cash Equivalents
The Fund considered all highly liquid investments, with a maturity of three months or less when acquired, to be cash equivalents. Cash equivalents were recorded at amortized cost which approximated fair value (Level II see Note 3). Cash was held at a nationally recognized financial institution.
Fair Value Measurements
Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. For more information on our treatment of fair value, see Note 3, Fair Value of Investments.
Futures Contracts
The Fund trades futures contracts. A futures contract is a firm commitment to buy or sell a specified quantity of investments, currency or a standardized amount of a deliverable grade commodity, at a specified price on a specified future date, unless the contract is closed before the delivery date or if the delivery quantity is something where physical delivery cannot occur (such as S&P 500 Index), whereby such contract is settled in cash. Payments (variation margin) may be made or received by the Fund each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Fund. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Because transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker, directly with the exchange on which the contracts are traded, credit exposure is limited. Realized gains (losses) and changes in unrealized gains (losses) on futures contracts are included in the Statement of Operations.
Forward Foreign Currency Contracts
Foreign currency contracts are those contracts where the Fund agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. Foreign currency contracts are valued daily, and the Funds net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Statements of Financial Condition. Realized gains (losses) and changes in unrealized gains (losses) on foreign currency contracts are recognized in the period in which the contract is closed or the changes occur, respectively and are included in the Statements of Operations.
Interest Rates and Income
The Fund currently earns interest based on the prevailing Fed Funds rate plus a spread for short cash positions and minus a spread for long cash positions. The current short term interest rates have remained extremely low when compared with historical rates and thus has contributed negligible amounts to overall Fund performance.
Income Taxes
No provision for income taxes has been made in the accompanying financial statements as each Member is individually responsible for reporting income or loss based on such Members share of the Funds income and expenses as reported for income tax purposes.
The Fund follows the ASC guidance on accounting for uncertainty in income taxes. This guidance provides how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. This guidance also requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Funds financial statements to determine whether the tax positions are more-likely-than-not to be sustained by the applicable tax authority. Tax positions with respect to tax at the Fund level not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. MLAI has analyzed the Funds tax positions and has concluded that no provision for income tax is required in the Funds financial statements. The following are the major tax jurisdictions for the Fund and the earliest tax year subject to examination: United States 2007.
Results of Operations
January 1, 2010 through March 31, 2010
The Fund experienced a net trading profit of $36,899,735 before brokerage commissions and related fees in the first quarter of 2010. Profits were attributable to currencies, interest rates, stock indices, agriculture, metals and agriculture sectors.
The currency sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the quarter. The Fund reintroduced currency forwards trading on the Brazilian real and the Russian ruble due to the Funds intention to only use currency forwards when the Fund is unable to gain satisfactory liquidity in the futures markets. Profits were posted to the Fund in the middle of the quarter. Concerns over Greek Sovereign Debt and its impact on the euro formed the back drop to Januarys trading as the euro continued its fall against the U.S. dollar and the short euro positions. Profits were posted to the Fund at the end of the quarter due to the continued concern over the economic situation in Greece with the risk of a similar story playing out in other European countries. The euro rallied for the first two weeks of March before reversing resulting in new lows for the year plus the weakness in the British sterling resulting in profits being posted to the Fund.
The interest rate sector posted profits to the Fund. Profits were posted to the Fund at the beginning through the middle of the quarter due to gains in the short term interest rates. Losses were posted to the Fund at the end of the quarter due to the lack of clear direction in the bond markets.
The stock indices sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the quarter. January started well through the middle of the month. The Obama administrations announcement of its intention to reduce speculative activities by banks started a sharp sell-off in equity markets, wiping out earlier gains. These losses occurred in long equity positions. Profits were posted to the Fund in the middle of the quarter. Stock Index futures posted modest gains, with positions sizably reduced from the previous month. Profits were posted to the Fund at the end of the quarter. The stock markets put in a strong performance with the Dow Jones up, reaching a level not seen since September 2008.
The agriculture sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter due to long positions in the sugar markets, whose price rallied due to supply concerns. Losses were posted to the Fund in the middle of the quarter. The longer term bull market in sugar reversed sharply from multi-year highs as output in both Brazil and India rose. Profits were posted to the Fund at the end of the quarter. Crops were up in March and the center of the action in the commodities markets has been sugar, where over the course of February and March it has gone from a 25 year high of around $29 down to $16.
The metals sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the quarter. Poorer growth outlook resulted in many commodities markets selling off. The month of February was, to a large degree, dominated by news flow relating to the debt crisis within the Euro zone. The prevailing macroeconomic sentiment oscillated between risk aversion and inflationary concerns with the former being marginally dominant. As a result, the Fund posted profits in the middle of the quarter. Profits were seen in industrial metals in March, especially nickel which reached a twenty two month high. The quarter ended with profits being posted to the Fund.
The energy sector posted profits to the Fund. Losses were posted to the Fund at the beginning through the middle of the quarter due to poorer growth outlook resulting in many commodities markets selling off. Also, oil prices faced additional downward pressure due to an increase in inventories and milder weather in the United States. The quarter ended with profits being posted to the Fund as commodity markets generally follow the direction of stock markets and finished the month of March higher.
April 1, 2010 through June 30, 2010
The Fund experienced a net trading profit of $24, 730,322 before brokerage commissions and related fees in the second quarter of 2010. Profits were attributable to interest rates, currencies and metals sectors while agriculture, energy and stock indices sectors posted losses.
The interest rate sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter as bond markets rallied. Despite the concerns over sovereign debt, a rally in government bonds continued in May resulting in profits posted to the Fund in the middle of quarter. Greek, Portuguese and Spanish bond yields have continued to rise in June reflecting continued skepticism about longer term viability. However, bond yields in the larger developed countries fell, as doubts about the cyclical recovery rose, in part in response to weaker data, not least in China, but also in part due to uncertainty concerning the right course for policy. The quarter ended with profits being posted to the Fund.
The currency sector posted profits to the Fund. The euros slide toward $1.32 in April was the biggest contributor to the sectors posting profits to the Fund. Profits continued to be posted to the Fund in the middle of the quarter with the trading programs short positions in euro and British pound positions covering losses from long positions in the Australian and Canadian dollar. China announced that it was to break the China yuans strict U.S. dollar peg, paving the way for a controlled level of appreciation. The currency peg had strained relations between the U.S. and China which had been accused of holding its currency at an artificially low level so as to help domestic exporters at the expense of their foreign counterparts. The quarter ended with losses being posted to the Fund.
The metals sector posted profits to the Fund. The prices of base metals did not show any recovery after the major events in April which posted losses for the Fund but were offset by existing long positions in precious metals resulting in profits being posted to the Fund at the beginning of the quarter. The month of May began with a very difficult first week, which ultimately determined the month-end result. Concerns about the euro continued and would spill over to the commodity markets in the beginning of May. The fear was that the instability in Europe would on a larger scale be harmful to economic growth resulting in losses being posted to the Fund in the middle of the quarter. Precious metals continued to appreciate in June resulting in profits being posted to the Fund.
The agriculture sector posted losses to the Fund. Losses were posted to the Fund at the beginning and end of the quarter. Profits were posted to the Fund in the middle of the quarter due to short positions in grains.
The energy sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter resulting from purchases in liquid energy products. Due to the declining prices in the energy markets, which started in the beginning of May, purchases of crude oil, heating oil and gasoline provided
the biggest contribution to the negative outcome of this sector resulting in losses posted to the Fund in the middle of the quarter. The downward trends in the oil markets, initialized in May, did not continue in June resulting in losses being posted to the Fund.
The stock indices posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter. The major events in the second half of April, the closing of European airports due to the volcano ash problems, the indictment against Goldman Sachs by the Securities and Exchange Commission and when Standard & Poor downgraded Greece and Portugal were strongly felt in the stock markets. Many equity indices, especially European, did not recover from these shocks however, the markets in the United States especially in the small and midcap indices, showed the highest resilience resulting in profits being posted to the Fund. The most dramatic event in the month of May was the so called flash crash in U.S. equities on May 6th caused by an alleged trading irregularity resulting in losses being posted to the Fund in the middle of the quarter. Equities continued their downward slide in June as concerns regarding European financial stability and global growth plagued markets. While stock indices globally rebounded slightly in the middle of June, the last two weeks were particularly volatile and stocks sold off resulting in losses being posted to the Fund at the end of the quarter.
July 1, 2010 to September 30, 2010
The Fund experienced a net trading profit of $26,335,316 before brokerage commissions and related fees in the third quarter of 2010. Profits were attributable to the interest rate and metal sectors while stock indices, currency, agriculture and the energy sectors posted losses.
The interest rate sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter. July saw the defensive mood of the previous two months reverse with a rally in global equities, a stalling of the rise in Government bonds and a further recovery in the euro. Short term interest rates, driven by falls in U.S. and the LIBOR rates, were the best performing sector. Profits continued to be posted to the Fund in the middle of the quarter due to the rally in U.S. government bonds that has lasted since April 2010. The U.S. ten year note futures moved back to levels not seen since the end of 2008, while the German bund futures have moved far beyond their 2008 highs. Investors appear to be seeking comfort in the perceived safety of the fixed income markets. A U.S. government auction of 7 year securities at the end of August was completed at all time record low yields, with reports of strong private investor flows into bond funds. The start of September saw a sell-off in government bonds, in tandem with a rally in world equity markets. A statement by the U.S. Federal Reserve towards the end of the month drove expectations of further quantitative easing so government bonds resumed their upward ascent resulting in losses being posted to the Fund at the end of the quarter.
The metals sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the quarter as the Funds trading program gave back a portion of the years gains with precious metals contributing to the losses. Price movements in gold were opposite to those of the prior month with precious metals contributing to profits being post to the Fund in the middle of the quarter. Profits continued to be posted at the end of the quarter as base metals moved higher at the end of September and gold prices hit fresh highs.
The stock indices posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter through the middle of the quarter. August brought weak economic numbers creating fears that the recovery in the U.S. was losing traction. Data released showed a substantial fall in the sales of existing U.S. homes in July, back to levels not seen for nearly 20 years. The fall in stock markets went back to levels not seen since the start of July. The quarter ended with profits being posted to the Fund. The start of September was a sell off in government bonds, in tandem with a rally in world equity markets. Equity markets in yet another reversal of fortune closed the month up.
The currency sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter. The currency sector was the least performing sector in July resulting in losses attributable to the price movements in the euro. Only to be reversed in August as price movements in the euro was opposite to those of the prior month resulting in profits being posted to the Fund in the middle of the quarter. Septembers pinnacle of excitement was the Bank of Japan intervening to sell the Japanese yen which had hit a 15 year high against the U.S. dollar. After a large one day fall in the Japanese yen U.S. dollar exchange rate, the market resumed its ascent, suggesting that the willingness of the Bank of Japan to intervene further may be tested. The quarter ended with profits being posted to the Fund for the currency sector in September.
The agriculture sector posted losses to the Fund. Losses were posted to the Fund at the beginning through the middle of the quarter with crops contributing to the losses. In September grains moved higher and in cotton futures the market hit a 15 year high. The quarter ended with profits being posted to the Fund for the agriculture sector in September.
The energy sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter only to be reversed in August. Profits were posted to the Fund in the middle of the quarter as crude oil price movements were opposite to the prior month. In September, crude oil ended the month close to where it started resulting in losses being posted to the Fund.
January 1, 2009 through March 31, 2009
The Fund experienced a net trading loss before brokerage commissions and related fees in the first quarter of 2009 of $6,805,508. The Fund posted overall losses for the quarter with the stock indices, agriculture and the energy sectors posting gains while the metals, interest rates and currencies sectors posting losses.
The stock indices sector posted profits for the Fund. Profits were posted to the Fund at the beginning through the middle of the quarter as the global financial and commodity markets worsened. No regions, countries, sectors or companies appeared to be immune from the recessionary conditions. Against this recessionary background and with volatility levels still elevated, the Fund kept its low margin exposure as profits were made in short positions in equities with most stock indices falling more than 10% in February. March proved a difficult month to navigate as markets either reversed previous direction or simply became range bound resulting in losses being posted to the Fund.
The agriculture sector posted profits for the Fund. Profits were posted to the Fund at the beginning through the middle of the quarter. The continued plunge in demand and concomitant build up in stock levels kept a lid on prices in February. Grain markets came under renewed price pressure as the Fund profited from short positions in grains. Losses were posted to the Fund at the end of the quarter due to volatility in the markets.
The energy sector posted profits for the Fund throughout the quarter as a rally in energy derived from crude oil prices.
The metals sector posted losses for the Fund. Profits were posted to the Fund at the beginning of the quarter. Losses were posted for the Fund from the middle to the end of the quarter due to the commodity sector mixed with the main features being the vacillations in the gold price making it hard to gain headway.
The interest rates sector posted losses for the Fund. Losses were posted to the Fund at the beginning of the quarter due to losses in Bonds as yields rose in the United States. Yields in the 10 year bond markets firmed up fractionally but not enough to offset losses posted to the Fund in the middle of the quarter. The macro economic background continues to weigh heavily on sentiment, and the discussion or implementation of aggressive quantitative easing by governments created sharp moves during the month of March. The short term rates continue to decline at the end of the quarter resulting in profits being posted to the Fund.
The currency sector posted losses for the Fund. Profits were posted to the Fund at the beginning of the quarter as the U.S. dollar and the Japanese yen remain strong while the British sterling remained under pressure. Losses were posted to the Fund in the middle of the quarter from the fluctuating currency markets where losses occurred from the weakening of the U.S. dollar. The long exposure in the U.S. dollar was damaged by both the increasing indebtedness of the United States following President Obamas latest fiscal stimulus package and rumors of it being sidelined as the reserve currency and the Japanese yen position also suffered posting losses as the quarter ended.
April 1, 2009 to June 30, 2009
The Fund experienced a net trading loss before brokerage commissions and related fees in the second quarter of 2009 of $(49,303,355). The Fund posted losses for the quarter with the agriculture sector posted gains and the energy, metals, currencies, stock indices and interest rates sectors posted losses.
The agriculture sector posted profits for the Fund. Profits were posted to the Fund at the beginning of quarter as general trading conditions returned to something approaching normality with daily ranges more constrained and volatility declining. Losses were posted to the Fund in the middle of the quarter in the agricultural complex due to the program had a mixture of long and shorts within the same sector i.e. long soybeans/short bean oil. Profits were posted to the Fund at the end of the quarter due to crops doing well.
The energy sector posted losses for the Fund. Losses were posted to the Fund at the beginning of the quarter. Losses continued to be posted to the Fund as crude oil was up in May, despite inventories at 19 year highs, demand falling and offshore floating storage estimated at over 100 million barrels. Losses were posted to the Fund at the end of the quarter as commodities retreated in June.
The metals sector posted losses for the Fund. Losses were posted to the Fund at the beginning of the quarter as gold went lower against their recent trend. Losses were also posted to the Fund in the middle through the end of the quarter as base metals retreated.
The currency sector posted losses for the Fund. Losses were posted to the Fund at the beginning of the quarter due to the currency markets were in flux with the Japanese yen remaining steady and the U.S. dollar marginally low. Losses were posted to the Fund in the middle of the quarter from the fluctuating currency markets where losses occurred from the weakening of the U.S. dollar. The quarter ended with profits being posted to the Fund as the month of June was clearly a game of two halves with a subtle and possibly significant change in recent investor appetite for risky assets being reversed.
The stock indices sector posted losses for the Fund. The flurry of green shoots of recovery, which started mid March, began to wane (at least temporarily), and there is renewed talk of yellow weeds appearing. As such, Equities came off the boil as the S&P ended flat and markets such as Russia fell from their highs resulting in losses posted the Fund in April. The underlying structure of markets exposure for the Fund during May was somewhat out of sync that the recent market action with this new sense of relative confidence has engendered posting losses to the Fund. Against this recessionary background and with volatility in global markets the Fund posted profits at the end of the quarter.
The interest rates sector posted losses for the Fund. Losses were posted to the Fund at the beginning of the quarter due to bonds yield rising on the ten year U.S. Treasury note. Profits were posted to the Fund in the middle of the quarter due to short positions in the German Government bund but long the Australian ten year bond. Losses were posted to the Fund at the end of the quarter with the Fund losing in the Bond sector and also in short term interest rates.
July 1, 2009 to September 30, 2009
The fund experienced a net trading profit of $10,536,499 before brokerage commissions and related fees in the third quarter of 2009. The fund posted overall profits for the quarter with interest rates, currencies and metals sectors posting gains while the agriculture, energy and stock indices sectors posted losses.
The interest rate sector posted overall profits for the Fund. Losses were posted to the Fund at the beginning of the quarter. Uncertainty continued in the fixed income markets, with U.S. Federal Reserve Chairman Bernanke tempering the optimism by saying that interest rates will need to remain low for an extended period. Against this background the Funds returns were dominated by losses in equity and bond sectors. Profits were posted to the Fund in the middle of the quarter due to continued economic recovery, with a further stream of positive data being released. At the annual Jackson Hole meeting of Central Bankers, they chose not to declare an end to the Global Crisis, with U.S. Federal Reserve Chairman Bernanke stating that critical challenges remain. The U.S. Federal Reserve again committed to leaving interest rates near zero for an extended period while the Bank of England moved to continue its program of quantitative easing. Profits were posted to the Fund at the end of the quarter due to short term interest rate which registered further gains and have become the Funds best performing sector for this year.
The currency sector posted profits for the Fund. Profits were posted to the Fund at the beginning and end of the quarter as currency positions continued to bring some diversification to the Fund with margin to equity rising. At the end of the quarter, the currencies sector was the strongest sector due to the benefits from the falling United States dollar.
The metals sector posted profits for the Fund. Losses were posted to the Fund at the beginning of the quarter only. Profits were posted to the Fund throughout the remainder of the quarter. Gold was close in reaching an all time high at the end of the quarter as the level of debt by Governments created a real fear of future inflation in debtor economies.
The agriculture sector posted losses for the Fund. Overall losses were posted to the Fund at the beginning and end of the quarter due to volatility in the global markets.
The energy sector posted losses to the Fund throughout the quarter with crude oil starting the quarter by falling $10 a barrel to $60 a barrel. At the end of the quarter, system changes were focused on the energies sector, where a new forecasting variable was added, albeit at a very low weight.
The Stock Indices Sector posted losses for the Fund. Losses were posted to the Fund at the beginning of the quarter due to economic sentiment continuing to hang on the metaphor of green shoots. In August, the Dow Jones was up 46% from its March low. The last time that the Dow managed this level of return in the space of six months was in 1975, when it staged a recovery from the 1973-74 stock market crash. During this move the Funds stock index systems have been slow to reverse their short positions resulting in losses being posted to the Fund. Global stock indices continued their strong rally into September, causing much comment as to weather the moves were sustainable as there seems little doubt that these are the direct result of Government and Central Bank stimulus. Therefore, the quarter ended with profits being posted to the Fund.
The Fund has no applicable off-balance sheet arrangements or tabular disclosure of contractual obligations of the type described in Items 303(a)(4) and 303(a)(5) of Regulation S-K.
Item 3. Quantitative and Qualitative Disclosures About Market Risk
Introduction
The Fund is a speculative commodity pool. The market sensitive instruments held by it are acquired for speculative trading purposes and all or substantially all of the Funds assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Funds main line of business.
Market movements result in frequent changes in the fair market value of the Funds open positions and, consequently, in its earnings and cash flow. The Funds market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Funds open positions and the liquidity of the markets in which it trades.
The Fund, under the direction of Winton, rapidly acquires and liquidates both long and short positions in currency markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Funds past performance is not necessarily indicative of its future results.
Value at Risk is a measure of the maximum amount which the Fund could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Funds speculative trading and the recurrence in the markets traded by the Fund of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the Funds
experience to date (i.e., risk of ruin). In light of the foregoing, as well as the risks and uncertainties intrinsic to all future projections, the quantifications included in this section should not be considered to constitute any assurance or representation that the Funds losses in any market sector will be limited to Value at Risk or by the Funds attempts to manage its market risk.
Quantifying The Funds Trading Value At Risk
Quantitative Forward-Looking Statements
The following quantitative disclosures regarding the Funds market risk exposures contain forward-looking statement within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact.
The Funds risk exposure in the various market sectors traded by Winton is quantified below in terms of Value at Risk. Due to the Funds fair value accounting, any loss in the fair value of the Funds open positions is directly reflected in the Funds earnings (realized or unrealized) and cash flow (at least in the case of exchange-traded contracts in which profits and losses on open positions are settled daily through variation margin).
Maintenance margin requirements have been used by the Fund as the measure of its Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceed the maximum loss in the fair value of any given contract incurred in 95%-99% of the one-day time periods included in the historical sample (generally approximately one year) researched for purposes of establishing margin levels. The maintenance margin levels are established by dealers and exchanges using historical price studies as well as an assessment of current market volatility (including the implied volatility of the options on a given futures contract) and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation.
In the case of market sensitive instruments which are not exchange-traded (almost exclusively currencies in the case of the Fund), the margin requirements for the equivalent futures positions have been used as Value at Risk. In those rare cases in which a futures-equivalent margin is not available, dealers margins have been used.
100% positive correlation in the different positions held in each market risk category has been assumed. Consequently, the margin requirements applicable to the open contracts have been aggregated to determine each trading categorys aggregate Value at Risk. The diversification effects resulting from the fact that the Funds positions are rarely, if ever, 100% positively correlated have not been reflected.
The Funds Trading Value at Risk in Different Market Sectors
The following table indicates the average, highest and lowest trading Value at Risk associated with the Funds open positions by market category for the fiscal period. For the nine months ended September 30, 2010 and 2009, the Funds average Month-end Net Asset Value was approximately $779,598,117 and $773,083,280 respectively.
September 30, 2010
|
|
Average |
|
% of Average |
|
Highest Value |
|
Lowest Value |
|
|||
Market Sector |
|
Value at Risk |
|
Capitalization |
|
At Risk |
|
At Risk |
|
|||
|
|
|
|
|
|
|
|
|
|
|||
Agriculture |
|
$ |
4,129,843 |
|
0.53 |
% |
$ |
7,364,790 |
|
$ |
1,685,932 |
|
Currencies |
|
11,013,227 |
|
1.41 |
% |
18,820,682 |
|
6,616,319 |
|
|||
Energy |
|
2,764,137 |
|
0.35 |
% |
4,820,597 |
|
1,150,205 |
|
|||
Interest Rates |
|
11,664,672 |
|
1.50 |
% |
17,843,118 |
|
6,417,324 |
|
|||
Metals |
|
14,229,232 |
|
1.83 |
% |
23,221,359 |
|
10,045,055 |
|
|||
Stock Indices |
|
6,523,989 |
|
0.84 |
% |
13,498,387 |
|
373,571 |
|
|||
|
|
|
|
|
|
|
|
|
|
|||
TOTAL |
|
$ |
50,325,100 |
|
6.46 |
% |
$ |
85,568,933 |
|
$ |
26,288,406 |
|
September 30, 2009
|
|
Average |
|
% of Average |
|
Highest Value |
|
Lowest Value |
|
|||
Market Sector |
|
Value at Risk |
|
Capitalization |
|
At Risk |
|
At Risk |
|
|||
|
|
|
|
|
|
|
|
|
|
|||
Agriculture |
|
$ |
326,739 |
|
0.04 |
% |
$ |
707,394 |
|
$ |
10,427 |
|
Currencies/FX |
|
2,352,545 |
|
0.30 |
% |
4,619,813 |
|
626,499 |
|
|||
Energy |
|
175,249 |
|
0.02 |
% |
337,061 |
|
35,708 |
|
|||
Interest Rates |
|
34,838,989 |
|
4.51 |
% |
42,048,600 |
|
30,410,845 |
|
|||
Metals |
|
322,198 |
|
0.04 |
% |
1,083,466 |
|
58,410 |
|
|||
Stock Indices |
|
742,764 |
|
0.10 |
% |
1,761,946 |
|
260,665 |
|
|||
|
|
|
|
|
|
|
|
|
|
|||
TOTAL |
|
$ |
38,758,484 |
|
5.02 |
% |
$ |
50,558,280 |
|
$ |
31,402,554 |
|
Material Limitations on Value at Risk as an Assessment of Market Risk
The face value of the market sector instruments held by the Fund is typically many times the applicable maintenance margin requirement (maintenance margin requirements generally ranging between approximately 1% and 10% of contract face value) as well as many times the capitalization of the Fund. The magnitude of the Funds open positions creates a risk of ruin not typically found in most other investment vehicles. Because of the size of its positions, certain market conditions unusual, but historically recurring from time to time could cause the Fund to incur severe losses over a short period of time. The foregoing Value at Risk table as well as the past performance of the Fund gives no indication of this risk of ruin.
Non-Trading Risk
Foreign Currency Balances; Cash on Deposit with MLPF&S
The Fund has non-trading market risk on its foreign cash balances not needed for margin. However, these balances (as well as the market risk they represent) are immaterial.
The Fund also has non-trading market risk on the approximately 90%-95% of its assets which are held in cash at MLPF&S or BlackRock. The value of this cash is not interest rate sensitive, but there is cash flow risk in that if interest rates decline so will the cash flow generated on these monies.
Qualitative Disclosures Regarding Primary Trading Risk Exposures
The following qualitative disclosures regarding the Funds market risk exposures except for (i) those disclosures that are statements of historical fact and (ii) the descriptions of how the Fund manages its primary market risk exposures constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Securities Exchange Act. The Funds primary market risk exposures as well as the strategies used and to be used by MLAI and Winton for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Funds risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Fund. There can be no assurance that the Funds current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short- or long-term. Investors must be prepared to lose all or substantially all of the time value of their investment in the Fund.
The following were the primary trading risk exposures of the Fund as of September 30, 2010, by market sector.
Interest Rates
Interest rate risk is the principal market exposure of the Fund. Interest rate movements directly affect the price of derivative sovereign bond positions held by the Fund and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries materially impact the Funds profitability. The Funds primary interest rate exposure is to interest rate fluctuations in the United States and the other G-7 countries. However, the Fund also takes positions in the government debt of smaller nations e.g., Australia. MLAI anticipates that G-7 interest rates will remain the primary market exposure of the Fund for the foreseeable future.
Currencies
The Fund trades in a number of currencies. The Fund does not anticipate that the risk profile of the Funds currency sector will change significantly in the future. The currency trading Value at Risk figure includes foreign margin amounts converted into U.S. dollars with an incremental adjustment to reflect the exchange rate risk of maintaining Value at Risk in a functional currency other than U.S. dollars.
Stock Indices
The Funds primary equity exposure is to S&P 500, Nikkei and German DAX equity index price movements. The Fund is primarily exposed to the risk of adverse price trends or static markets in the major U.S., European and Asian indices.
Metals
The Funds metals market exposure is to fluctuations in both the price of precious and non-precious metals.
Agricultural Commodities
The Funds primary agricultural commodities exposure is to agricultural price movements which are often directly affected by severe or unexpected weather conditions. Soybeans, grains, livestock, cotton, corn and coffee accounted for the substantial bulk of the Funds agricultural commodities exposure as of September 30, 2010.
Energy
The Funds primary energy market exposure is to natural gas and crude oil price movements, often resulting from political developments in the Middle East. Oil prices can be volatile and substantial profits and losses have been and are expected to continue to be experienced in this market.
Qualitative Disclosures Regarding Non-Trading Risk Exposure
The following were the only non-trading risk exposures of the Fund as of September 30, 2010.
Foreign Currency Balances
The Funds primary foreign currency balances are in Australian dollars, British pounds and Euros.
U.S. Dollar Cash Balance
The Fund holds U.S. dollars only in cash at MLPF&S and BlackRock. The Fund has immaterial cash flow interest rate risk on its cash on deposit with MLPF&S in that declining interest rates would cause the income from such cash to decline.
Item 4. Controls and Procedures
MLAI, the Sponsor of ML Winton FuturesAccess LLC, with the participation of the Sponsors Chief Executive Officer and the Chief Financial Officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures (as defined in Rule 13a-15(e) under the Securities Exchange Act of 1934) with respect to the Fund as of the end of the period covered by this quarterly report, and, based on this evaluation, has concluded that these disclosure controls and procedures are effective. No change in internal control over financial reporting (as defined in Rule 13a-15(f) under the Securities Exchange Act of 1934) occurred during the quarter ended September 30, 2010 that has materially affected, or is reasonably likely to materially affect, the Funds internal control over financial reporting.
PART II - OTHER INFORMATION
Item 1. Legal Proceedings
None.
Item 1A. Risk Factors
There are no material changes from risk factors as previously disclosed in the Annual Report on Form 10-K for the year ended December 31, 2009, filed with the Securities and Exchange Commission on March 31, 2010.
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds
(a) Issuance to accredited investors pursuant to Regulation D and Section 4 (6) under the Securities Act. The selling agent of the following Class of Units was MLPF&S.
CLASS A
|
|
Subscription |
|
|
|
||||
|
|
Amount |
|
Units |
|
NAV (1) |
|
||
Jan-10 |
|
$ |
556,716 |
|
368,979 |
|
$ |
1.5088 |
|
Feb-10 |
|
993,760 |
|
675,430 |
|
1.4713 |
|
||
Mar-10 |
|
827,770 |
|
551,002 |
|
1.5023 |
|
||
Apr-10 |
|
1,429,934 |
|
912,646 |
|
1.5668 |
|
||
May-10 |
|
1,213,233 |
|
764,096 |
|
1.5878 |
|
||
Jun-10 |
|
975,750 |
|
617,955 |
|
1.5790 |
|
||
Jul-10 |
|
798,827 |
|
498,955 |
|
1.6010 |
|
||
Aug-10 |
|
8,109,999 |
|
5,230,233 |
|
1.5506 |
|
||
Sep-10 |
|
8,651,920 |
|
5,327,865 |
|
1.6239 |
|
||
Oct-10 |
|
4,477,146 |
|
2,747,221 |
|
1.6297 |
|
||
CLASS C
|
|
Subscription |
|
|
|
||||
|
|
Amount |
|
Units |
|
NAV (1) |
|
||
Jan-10 |
|
$ |
2,840,699 |
|
1,975,452 |
|
$ |
1.4380 |
|
Feb-10 |
|
8,747,139 |
|
6,243,051 |
|
1.4011 |
|
||
Mar-10 |
|
4,669,404 |
|
3,266,459 |
|
1.4295 |
|
||
Apr-10 |
|
4,488,838 |
|
3,013,452 |
|
1.4896 |
|
||
May-10 |
|
3,824,111 |
|
2,535,379 |
|
1.5083 |
|
||
Jun-10 |
|
4,131,162 |
|
2,756,680 |
|
1.4986 |
|
||
Jul-10 |
|
4,220,657 |
|
2,780,040 |
|
1.5182 |
|
||
Aug-10 |
|
8,033,542 |
|
5,467,970 |
|
1.4692 |
|
||
Sep-10 |
|
10,399,492 |
|
6,764,338 |
|
1.5374 |
|
||
Oct-10 |
|
9,197,509 |
|
5,966,210 |
|
1.5416 |
|
||
CLASS D
|
|
Subscription |
|
|
|
||||
|
|
Amount |
|
Units |
|
NAV (1) |
|
||
Jan-10 |
|
$ |
4,627,153 |
|
3,092,190 |
|
$ |
1.4964 |
|
Feb-10 |
|
5,623,168 |
|
3,848,849 |
|
1.4610 |
|
||
Mar-10 |
|
600,000 |
|
401,687 |
|
1.4937 |
|
||
Apr-10 |
|
44,999 |
|
28,849 |
|
1.5598 |
|
||
May-10 |
|
|
|
|
|
1.5827 |
|
||
Jun-10 |
|
323,000 |
|
204,975 |
|
1.5758 |
|
||
Jul-10 |
|
|
|
|
|
1.5998 |
|
||
Aug-10 |
|
|
|
|
|
1.5514 |
|
||
Sep-10 |
|
999,999 |
|
614,703 |
|
1.6268 |
|
||
Oct-10 |
|
|
|
|
|
1.6346 |
|
||
CLASS I
|
|
Subscription |
|
|
|
||||
|
|
Amount |
|
Units |
|
NAV (1) |
|
||
Jan-10 |
|
$ |
582,776 |
|
381,723 |
|
$ |
1.5267 |
|
Feb-10 |
|
797,710 |
|
535,664 |
|
1.4892 |
|
||
Mar-10 |
|
2,013,802 |
|
1,323,911 |
|
1.5211 |
|
||
Apr-10 |
|
213,824 |
|
134,735 |
|
1.5870 |
|
||
May-10 |
|
385,642 |
|
239,706 |
|
1.6088 |
|
||
Jun-10 |
|
374,216 |
|
233,828 |
|
1.6004 |
|
||
Jul-10 |
|
1,116,935 |
|
688,107 |
|
1.6232 |
|
||
Aug-10 |
|
558,062 |
|
354,866 |
|
1.5726 |
|
||
Sep-10 |
|
986,575 |
|
598,831 |
|
1.6475 |
|
||
Oct-10 |
|
238,613 |
|
144,264 |
|
1.6540 |
|
||
CLASS DS
|
|
Subscription |
|
|
|
||||
|
|
Amount |
|
Units |
|
NAV (1) |
|
||
Jan-10 |
|
$ |
1,745,510 |
|
1,167,878 |
|
$ |
1.4946 |
|
Feb-10 |
|
637,381 |
|
436,802 |
|
1.4592 |
|
||
Mar-10 |
|
|
|
|
|
1.4919 |
|
||
Apr-10 |
|
1,372,782 |
|
881,175 |
|
1.5579 |
|
||
May-10 |
|
|
|
|
|
1.5807 |
|
||
Jun-10 |
|
|
|
|
|
1.5739 |
|
||
Jul-10 |
|
|
|
|
|
1.5978 |
|
||
Aug-10 |
|
649,853 |
|
419,395 |
|
1.5495 |
|
||
Sep-10 |
|
|
|
|
|
1.6248 |
|
||
Oct-10 |
|
|
|
|
|
1.6326 |
|
||
CLASS DT
|
|
Subscription |
|
|
|
||||
|
|
Amount |
|
Units |
|
NAV (1) |
|
||
Jan-10 |
|
$ |
|
|
|
|
$ |
1.5377 |
|
Feb-10 |
|
|
|
|
|
1.5020 |
|
||
Mar-10 |
|
|
|
|
|
1.5362 |
|
||
Apr-10 |
|
|
|
|
|
1.6048 |
|
||
May-10 |
|
|
|
|
|
1.6291 |
|
||
Jun-10 |
|
|
|
|
|
1.6227 |
|
||
Jul-10 |
|
|
|
|
|
1.6480 |
|
||
Aug-10 |
|
|
|
|
|
1.5988 |
|
||
Sep-10 |
|
|
|
|
|
1.6788 |
|
||
Oct-10 |
|
|
|
|
|
1.6879 |
|
||
(1) Beginning of the month Net Asset Value
(b) 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.
(b) Not applicable.
(c) Not applicable.
Item 3. Defaults Upon Senior Securities
None.
Item 4. (Reserved and Removed)
Item 5. Other Information
None.
Item 6. Exhibits
The following exhibits are filed herewith to this Quarterly Report on Form 10-Q:
31.01 and
31.02 Rule 13a-14(a)/15d-14(a) Certifications
Exhibit 31.01
and 31.02 Are filed herewith.
32.01 and
32.02 Section 1350 Certifications
Exhibit 32.01
and 32.02 Are filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.
|
ML WINTON FUTURESACCESS LLC |
|
|
|
|
|
|
|
|
By: |
MERRILL LYNCH ALTERNATIVE |
|
|
INVESTMENTS LLC |
|
|
(Manager) |
|
|
|
|
|
|
Date: November 12, 2010 |
By: |
/s/ JUSTIN C. FERRI |
|
|
Justin C. Ferri |
|
|
Chief Executive Officer, President and Manager |
|
|
(Principal Executive Officer) |
|
|
|
Date: November 12, 2010 |
|
|
|
By: |
/s/ BARBRA E. KOCSIS |
|
|
Barbra E. Kocsis |
|
|
Chief Financial Officer |
|
|
(Principal Financial and Accounting Officer) |