ML Winton FuturesAccess LLC - FORM 10-K/A - EX-13.01 - January 27, 2012

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EX-31.02 - ML Winton FuturesAccess LLCefc12-63_ex3102.htm
EX-31.01 - ML Winton FuturesAccess LLCefc12-63_ex3101.htm
Exhibit 13.01
 
ML WINTON FUTURESACCESS LLC
(A Delaware Limited Liability Company)
 
 
Financial Statements as of and for the years ended
December 31, 2010, 2009 and 2008
and Reports of Independent Registered Public Accounting Firms
 
 
 
 

 
 
 

 
ML WINTON FUTURESACCESS LLC
(A Delaware Limited Liability Company)
 
TABLE OF CONTENTS
 
   
Page
     
REPORTS OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRMS
  
1
     
FINANCIAL STATEMENTS:
    
     
Statements of Financial Condition as of December 31, 2010 and 2009
  
3
     
Statements of Operations for the years ended December 31, 2010, 2009 and 2009
  
4
     
Statements of Changes in Members’ Capital for the years ended December 31, 2010, 2009 and 2008
  
5
     
Financial Data Highlights for the years ended December 31, 2010, 2009 and 2008
  
7
     
Notes to Financial Statements
  
10
 
 

 
 
 

 
 
Report of Independent Registered Public Accounting Firm
 

To the Members of
ML Winton FuturesAccess LLC:

In our opinion, the accompanying statements of financial condition, and the related statements of operations, changes in members' capital, and financial data highlights present fairly, in all material respects, the financial position of ML Winton FuturesAccess LLC (the "Fund") at December 31, 2010 and December 31, 2009, and the results of its operations, the changes in its members' capital and its financial data highlights for the years then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and the financial data highlights (hereafter referred to as the "financial statements") are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
 
 
/s/ PricewaterhouseCoopers LLP
 
 
March 15, 2011
 
 
PricewaterhouseCoopers LLP, 300 Madison Avenue, New York, NY 10017
T: (646) 471 3000, F: (646) 471 8320, www.pwc.com/us
 
 

 
 
 

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Members of
ML Winton FuturesAccess LLC:

We have audited the accompanying statements of operations, changes in members’ capital and the financial data highlights of ML Winton FuturesAccess LLC (the “Fund”), for the year ended December 31, 2008. These financial statements and financial data highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial data highlights based on our audit.

We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial data highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audit provides a reasonable basis for our opinion.

In our opinion, the financial statements and financial data highlights referred to above present fairly, in all material respects, the results of operations, changes in members’ capital and the financial data highlights of ML Winton FuturesAccess LLC for the year ended December 31, 2008, in conformity with accounting principles generally accepted in the United States of America.

/s/ Deloitte & Touche LLP

New York, New York
March 30, 2009
 
 

 
 
 

 
ML WINTON FUTURESACCESS LLC
(A Delaware Limited Liability Company)
 
STATEMENTS OF FINANCIAL CONDITION
AS OF DECEMBER 31, 2010 and 2009
 
   
2010
  
2009
  
ASSETS:
          
Equity in commodity trading accounts:
          
Cash (including restricted cash of $57,039,642 for 2010 and $53,748,925 for 2009)
  
$
887,636,418
  
$
761,893,194
  
Net unrealized profit on open futures contracts
  
29,070,679
  
5,460,626
  
Cash and cash equivalents
  
350,000
  
1,102,160
  
Accrued interest receivable
  
1,636
  
—
  
           
TOTAL ASSETS
  
$
917,058,733
  
$
768,455,980
  
           
LIABILITIES AND MEMBERS’ CAPITAL:
          
LIABILITIES:
          
Net unrealized loss on open futures contracts
  
$
1,498,718
  
$
2,155,460
  
Brokerage commissions payable
  
—
  
115,138
  
Sponsor and Advisory fees payable
  
14,056,344
  
3,146,710
  
Redemptions payable
  
3,527,632
  
12,610,951
  
Other liabilities
  
505,731
  
391,254
  
           
Total liabilities
  
19,588,425
  
18,419,513
  
           
MEMBERS’ CAPITAL:
          
Sponsor’s Interest (19,470 Units and 19,470 Units)
  
32,147
  
28,686
  
Members’ Interest (543,509,913 Units and 506,821,001 Units)
  
897,438,161
  
750,007,781
  
Total members’ capital
  
897,470,308
  
750,036,467
  
           
TOTAL LIABILITIES AND MEMBERS’ CAPITAL
  
$
917,058,733
  
$
768,455,980
  
           
NET ASSET VALUE PER UNIT
          
(Based on 543,529,383 and 506,840,471 Units outstanding, unlimited Units authorized)
          
           
Class A
  
$
1.6810
  
$
1.5088
  
Class C
  
$
1.5862
  
$
1.4380
  
Class D
  
$
1.6924
  
$
1.4964
  
Class I
  
$
1.7078
  
$
1.5267
  
Class DS
  
$
1.6903
  
$
1.4946
  
Class DT
  
$
1.7532
  
$
1.5377
  
 
See notes to financial statements.
 
3
 

 
 
 

 
ML WINTON FUTURESACCESS LLC
(A Delaware Limited Liability Company)
 
STATEMENTS OF OPERATIONS
FOR THE YEARS ENDED DECEMBER 31, 2010, 2009 AND 2008
 
   
2010
  
2009
  
2008
  
TRADING PROFIT (LOSS):
              
               
Realized, net
  
$
106,905,362
  
$
(26,823,655
)
$
168,699,930
  
Change in unrealized, net
  
24,266,795
  
(11,425,948
)
6,796,965
  
Brokerage commissions
  
(985,164
)
(772,176
)
(1,087,424
)
               
Total trading profit (loss)
  
130,186,993
  
(39,021,779
)
174,409,471
  
               
INVESTMENT INCOME (EXPENSE):
              
Interest
  
(923
)
51,172
  
12,915,952
  
               
EXPENSES:
              
Management fee
  
16,085,528
  
15,244,224
  
14,943,538
  
Sponsor fee
  
9,798,981
  
9,536,904
  
10,272,451
  
Performance fee
  
11,615,788
  
583
  
30,491,051
  
Other
  
1,248,555
  
1,349,841
  
1,848,834
  
Total expenses
  
38,748,852
  
26,131,552
  
57,555,874
  
               
NET INVESTMENT LOSS
  
(38,749,775
)
(26,080,380
)
(44,639,922
)
               
NET INCOME (LOSS)
  
$
91,437,218
  
$
(65,102,159
)
$
129,769,549
  
               
NET INCOME (LOSS) PER UNIT:
              
               
Weighted average number of Units outstanding
              
Class A
  
52,895,782
  
48,198,593
  
45,671,837
  
Class C
  
207,686,809
  
207,735,197
  
228,198,956
  
Class D
  
81,622,728
  
77,890,809
  
84,449,914
  
Class I
  
38,169,450
  
42,085,476
  
41,268,952
  
Class DS
  
106,469,967
  
90,918,631
  
38,738,811
  
Class DT
  
33,531,508
  
48,703,745
  
61,195,917
  
               
Net income (loss) per weighted average Unit
              
Class A
  
$
0.1780
  
$
(0.1384
)
$
0.2623
  
Class C
  
$
0.1501
  
$
(0.1465
)
$
0.2389
  
Class D
  
$
0.1991
  
$
(0.1125
)
$
0.2646
  
Class I
  
$
0.1835
  
$
(0.1324
)
$
0.2784
  
Class DS
  
$
0.1964
  
$
(0.0921
)
$
0.2676
  
Class DT
  
$
0.1992
  
$
(0.1096
)
$
0.3117
  
 
See notes to financial statements.
 
4
 

 
 
 

 
ML WINTON FUTURESACCESS LLC
(A Delaware Limited Liability Company)
 
STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL
FOR THE YEARS ENDED DECEMBER 31, 2010, 2009 AND 2008 (IN UNITS)
 
   
Members’ Capital
          
Members’ Capital
          
Members’ Capital
          
Members’ Capital
  
   
December 31, 2007
  
Subscriptions
  
Redemptions
  
December 31, 2008
  
Subscriptions
  
Redemptions
  
December 31, 2009
  
Subscriptions
  
Redemptions
  
December 31, 2010
  
Class A
  
40,108,055
  
17,386,886
  
(11,645,525
)
45,849,416
  
11,525,953
  
(10,168,031
)
47,207,338
  
25,122,531
  
(7,003,935
)
65,325,934
  
Class C
  
213,642,396
  
60,897,518
  
(59,370,841
)
215,169,073
  
35,352,821
  
(51,685,753
)
198,836,141
  
50,080,364
  
(26,401,860
)
222,514,645
  
Class D
  
77,864,803
  
23,739,729
  
(28,552,965
)
73,051,567
  
8,842,395
  
(5,412,438
)
76,481,524
  
8,639,361
  
(3,580,423
)
81,540,462
  
Class I
  
37,718,572
  
12,586,459
  
(7,231,204
)
43,073,827
  
8,544,937
  
(14,463,262
)
37,155,502
  
6,964,353
  
(3,791,061
)
40,328,794
  
Class DS
  
13,447,784
  
58,487,988
  
(2,749,330
)
69,186,442
  
36,951,720
  
—
  
106,138,162
  
6,873,724
  
(5,202,017
)
107,809,869
  
Class DT
  
69,259,318
  
—
  
(15,500,533
)
53,758,785
  
459,179
  
(13,215,630
)
41,002,334
  
—
  
(15,012,125
)
25,990,209
  
                                           
Total Members’ Units
  
452,040,928
  
173,098,580
  
(125,050,398
)
500,089,110
  
101,677,005
  
(94,945,114
)
506,821,001
  
97,680,333
  
(60,991,421
)
543,509,913
  
                                           
Class A
  
9,713
  
—
  
—
  
9,713
  
—
  
—
  
9,713
  
—
  
—
  
9,713
  
Class C
  
9,757
  
—
  
—
  
9,757
  
—
  
—
  
9,757
  
—
  
—
  
9,757
  
                                           
Total Sponsor’s Units
  
19,470
  
—
  
—
  
19,470
  
—
  
—
  
19,470
  
—
  
—
  
19,470
  
 
See notes to financial statements.
 
5
 

 
 
 

 
ML WINTON FUTURESACCESS LLC
(A Delaware Limited Liability Company)
 
STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL
FOR THE YEARS ENDED DECEMBER 31, 2010, 2009 AND 2008
                                                                                 
   
Members’ Capital
December 31, 2007
  
Subscriptions
  
Redemptions
  
Net
Income/(Loss)
  
Members’ Capital
December 31, 2008
  
Subscriptions
  
Redemptions
  
Net
Income/(Loss)
  
Members’ Capital
December 31, 2009
  
Subscriptions
  
Redemptions
  
Net
Income/(Loss)
  
Members’ Capital
December 31, 2010
  
Class A
  
$
55,236,501
  
$
26,212,557
  
$
(18,049,428
)
$
11,977,663
  
$
75,377,293
  
$
18,170,302
  
$
(15,664,489
)
$
(6,655,829
)
$
71,227,277
  
$
40,291,567
  
$
(11,118,835
)
$
9,414,960
  
$
109,814,969
  
Class C
  
286,078,081
  
89,405,799
  
(89,455,971
)
54,514,349
  
340,542,258
  
53,081,427
  
(77,293,306
)
(30,400,821
)
285,929,558
  
75,033,965
  
(39,187,216
)
31,172,465
  
352,948,772
  
Class D
  
103,236,597
  
35,615,932
  
(43,832,109
)
22,345,631
  
117,366,051
  
13,863,515
  
(8,015,389
)
(8,766,828
)
114,447,349
  
12,968,317
  
(5,664,410
)
16,249,291
  
138,000,547
  
Class I
  
52,132,196
  
19,076,750
  
(11,340,105
)
11,488,381
  
71,357,222
  
13,603,227
  
(22,682,367
)
(5,553,866
)
56,724,216
  
11,143,099
  
(5,999,638
)
7,003,880
  
68,871,557
  
Class DS
  
17,829,738
  
86,822,929
  
(4,000,000
)
10,365,432
  
111,018,099
  
55,991,904
  
—
  
(8,379,258
)
158,630,745
  
10,923,671
  
(8,232,407
)
20,913,669
  
182,235,678
  
Class DT
  
92,508,127
  
—
  
(23,285,032
)
19,073,127
  
88,296,222
  
714,029
  
(20,618,787
)
(5,342,828
)
63,048,636
  
—
  
(24,161,490
)
6,679,492
  
45,566,638
  
                                                       
Total Members’ Interest
  
$
607,021,240
  
$
257,133,967
  
$
(189,962,645
)
$
129,764,583
  
$
803,957,145
  
$
155,424,404
  
$
(144,274,338
)
$
(65,099,430
)
$
750,007,781
  
$
150,360,619
  
$
(94,363,996
)
$
91,433,757
  
$
897,438,161
  
                                                       
Class A
  
$
13,381
  
$
—
  
$
—
  
$
2,590
  
$
15,971
  
$
—
  
$
—
  
$
(1,316
)
$
14,655
  
$
—
  
$
—
  
$
1,947
  
$
16,602
  
Class C
  
13,068
  
—
  
—
  
2,376
  
15,444
  
—
  
—
  
(1,413
)
14,031
  
—
  
—
  
1,514
  
15,545
  
                                                       
Total Sponsor’s Interest
  
$
26,449
  
$
—
  
$
—
  
$
4,966
  
$
31,415
  
$
—
  
$
—
  
$
(2,729
)
$
28,686
  
$
—
  
$
—
  
$
3,461
  
$
32,147
  
                                                       
Total Members’ Capital
  
$
607,047,689
  
$
257,133,967
  
$
(189,962,645
)
$
129,769,549
  
$
803,988,560
  
$
155,424,404
  
$
(144,274,338
)
$
(65,102,159
)
$
750,036,467
  
$
150,360,619
  
$
(94,363,996
)
$
91,437,218
  
$
897,470,308
  
 
See notes to financial statements.
 
6
 

 
 
 

 
ML WINTON FUTURESACCESS LLC
(A Delaware Limited Liability Company)
 
FINANCIAL DATA HIGHLIGHTS
FOR THE YEAR ENDED DECEMBER 31, 2010
 
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 year
  
$
1.5088
  
$
1.4380
  
$
1.4964
  
$
1.5267
  
$
1.4946
  
$
1.5377
  
                           
Net realized and net change in unrealized trading profit(loss)
  
0.2551
  
0.2418
  
0.2550
  
0.2587
  
0.2547
  
0.2628
  
Brokerage commissions
  
(0.0019
)
(0.0018
)
(0.0019
)
(0.0020
)
(0.0019
)
(0.0020
)
Interest income
  
(0.0000
)
(0.0000
)
(0.0000
)
(0.0000
)
(0.0000
)
(0.0000
)
Expenses
  
(0.0810
)
(0.0918
)
(0.0571
)
(0.0756
)
(0.0571
)
(0.0453
)
                   
—
      
Net asset value, end of year
  
$
1.6810
  
$
1.5862
  
$
1.6924
  
$
1.7078
  
$
1.6903
  
$
1.7532
  
                           
Total Return: (a) 
                          
                           
Total return before Performance fees
  
12.92
%
11.80
%
14.63
%
13.37
%
14.63
%
15.20
%
Performance fees
  
-1.42
%
-1.42
%
-1.42
%
-1.42
%
-1.42
%
-1.10
%
Total return after Performance fees
  
11.50
%
10.38
%
13.21
%
11.95
%
13.21
%
14.10
%
                           
Ratios to Average Members’ Capital:
                          
                           
Expenses (excluding Performance fees)
  
3.68
%
4.69
%
2.17
%
3.28
%
2.17
%
1.67
%
Performance fees
  
1.38
%
1.39
%
1.38
%
1.38
%
1.38
%
1.07
%
Expenses (including Performance fees)
  
5.06
%
6.08
%
3.55
%
4.66
%
3.55
%
2.74
%
                           
Net investment income (loss)
  
-5.07
%
-6.08
%
-3.56
%
-4.66
%
-3.56
%
-2.73
%
 
(a) The total return calculations are based on compounded monthly returns and is 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.
 
7
 

 
 
 

 
ML WINTON FUTURESACCESS LLC
(A Delaware Limited Liability Company)
 
FINANCIAL DATA HIGHLIGHTS
FOR THE YEAR ENDED DECEMBER 31, 2009
 
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 year
  
$
1.6440
  
$
1.5827
  
$
1.6066
  
$
1.6566
  
$
1.6046
  
$
1.6425
  
                           
Net realized and net change in unrealized trading profit(loss)
  
(0.0771
)
(0.0741
)
(0.0754
)
(0.0777
)
(0.0753
)
(0.0772
)
Brokerage commissions
  
(0.0015
)
(0.0015
)
(0.0015
)
(0.0015
)
(0.0015
)
(0.0015
)
Interest income
  
0.0001
  
0.0001
  
0.0001
  
0.0001
  
0.0001
  
0.0001
  
Expenses
  
(0.0567
)
(0.0692
)
(0.0334
)
(0.0508
)
(0.0333
)
(0.0262
)
                           
Net asset value, end of year
  
$
1.5088
  
$
1.4380
  
$
1.4964
  
$
1.5267
  
$
1.4946
  
$
1.5377
  
                           
Total Return: (a) 
                          
                           
Total return before Performance fees
  
-8.24
%
-9.16
%
-6.85
%
-7.87
%
-6.85
%
-6.38
%
Performance fees
  
0.00
%
0.00
%
-0.01
%
0.00
%
-0.01
%
0.00
%
Total return after Performance fees
  
-8.24
%
-9.16
%
-6.86
%
-7.87
%
-6.86
%
-6.38
%
                           
Ratios to Average Members’ Capital:
                          
                           
Expenses (excluding Performance fees)
  
3.68
%
4.68
%
2.18
%
3.28
%
2.17
%
1.67
%
Performance fees
  
0.00
%
0.00
%
0.00
%
0.00
%
0.01
%
-0.01
%
Expenses (including Performance fees)
  
3.68
%
4.68
%
2.18
%
3.28
%
2.18
%
1.66
%
                           
Net investment income (loss)
  
-3.67
%
-4.67
%
-2.18
%
-3.27
%
-2.18
%
-1.66
%
 
(a) The total return calculations are based on compounded monthly returns and is 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.
 
8
 

 
 
 

 
ML WINTON FUTURESACCESS LLC
(A Delaware Limited Liability Company)
 
FINANCIAL DATA HIGHLIGHTS
FOR THE YEAR ENDED DECEMBER 31, 2008
 
The following per Unit data and ratios have been derived from information provided in the financial statements.
 
 
 
   
Class A
  
Class C
  
Class D
  
Class I
  
Class DS
  
Class DT
  
Per Unit Operating Performance:
                          
                           
Net asset value, beginning of year
  
$
1.3772
  
$
1.3391
  
$
1.3258
  
$
1.3821
  
$
1.3258
  
$
1.3357
  
                           
Net realized and net change in unrealized trading profit
  
0.3662
  
0.3547
  
0.3547
  
0.3682
  
0.3521
  
0.3589
  
Brokerage commissions
  
(0.0023
)
(0.0022
)
(0.0022
)
(0.0023
)
(0.0022
)
(0.0022
)
Interest income
  
0.0271
  
0.0263
  
0.0262
  
0.0273
  
0.0260
  
0.0265
  
Expenses
  
(0.1242
)
(0.1352
)
(0.0979
)
(0.1187
)
(0.0971
)
(0.0764
)
                           
Net asset value, end of year
  
$
1.6440
  
$
1.5827
  
$
1.6066
  
$
1.6566
  
$
1.6046
  
$
1.6425
  
                           
Total Return: (a) 
                          
                           
Total return before Performance fees
  
24.39
%
23.18
%
26.27
%
24.89
%
26.09
%
26.91
%
Performance fees
  
-4.48
%
-4.48
%
-4.48
%
-4.48
%
-4.45
%
-3.45
%
Total return after Performance fees
  
19.36
%
18.19
%
21.18
%
19.85
%
21.03
%
22.97
%
                           
Ratios to Average Members’ Capital:
                          
                           
Expenses (excluding Performance fees)
  
3.82
%
4.84
%
2.31
%
3.42
%
2.29
%
1.79
%
Performance fees
  
4.35
%
4.35
%
4.35
%
4.35
%
4.32
%
3.33
%
Expenses (including Performance fees)
  
8.17
%
9.19
%
6.66
%
7.77
%
6.61
%
5.12
%
                           
Net investment income (loss)
  
-6.37
%
-7.38
%
-4.85
%
-5.96
%
-4.82
%
-3.32
%
 
(a) The total return calculations are based on compounded monthly returns and is 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.
 
9
 

 
 
 

 
ML WINTON FUTURESACCESS LLC
(A Delaware Limited Liability Company)
 
NOTES TO FINANCIAL STATEMENTS
 
1. 
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
 
Organization
 
ML Winton FuturesAccess LLC (the “Fund”), a Merrill Lynch FuturesAccess Program (the “Program”) fund, was organized under the Delaware Limited Liability Company Act on May 17, 2004 and commenced trading activities on February 1, 2005. The Fund engages in the speculative trading of futures, options on futures and forward contracts on a wide range of commodities. Winton Capital Management (“Winton” 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 Fund’s 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.
 
As of December 31, 2010 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.
 
Estimates
 
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period.  Actual results could differ from those estimates and such differences could be material.
 
Reclassifications
 
Certain prior year items have been reclassified to conform to the current year presentation. A reclassification was made to prior year net unrealized profit (loss) on open contracts to the current presentation of disaggregation between futures.
 
10
 

 
 
 

 
Statement of Cash Flows
 
The Fund is not required to provide a Statement of Cash Flows.
 
Revenue Recognition
 
Commodity futures, options on futures and forward contract transactions are recorded on trade date. Open contracts are reflected in Net unrealized profit (loss) on open contracts in the Statements of Financial Condition as the difference between the original contract value and the market value (for those commodity interests for which market quotations are readily available) or at fair value.  The change in unrealized profit (loss) on open contracts from one period to the next is reflected in Change in unrealized under Trading profit (loss) in the Statements of Operations.
 
Trading profit (loss) is reduced for brokerage commission costs.
 
Foreign Currency Transactions
 
The Fund’s functional currency is the U.S. dollar; however, it transacts business in U.S. dollars and in currencies other than the U.S. dollar.  Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the Statements of Financial Condition.  Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the year.  Profits and losses resulting from the translation to U.S. dollars are included in Trading profit (Loss) in the Statements of Operations.
 
Cash and Cash Equivalents
 
The Fund considers 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, as provided by the investment manager of the cash equivalent, which approximated fair value (Level II see Note 3). Cash was held at a nationally recognized financial institution.
 
Equity in Commodity Trading Accounts
 
A portion of the assets maintained at MLPF&S is restricted cash required to meet maintenance margin requirements.
 
Operating Expenses and Selling Commissions
 
The Fund pays for all routine operating costs (including ongoing offering costs, administration, custody, transfer, exchange and redemptions process, legal, regulatory filing, tax, audit, escrow, accounting and printing fees and expenses) incurred by the Fund.
 
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.
 
11
 

 
 
 

 
Income Taxes
 
No provision for income taxes has been made in the accompanying financial statements as each Member is individually responsible for reporting income or loss based on such Member’s share of the Fund’s income and expenses as reported for income tax purposes.
 
The Fund follows the Accounting Standard Codification (“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 Fund’s 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 Fund’s tax positions and has concluded that no provision for income tax is required in the Fund’s financial statements. The following are the major tax jurisdictions for the Fund and the earliest tax year subject to examination: United States — 2007.
 
Distributions
 
The Members are entitled to receive, equally per Unit, any distributions which may be made by the Fund.  No such distributions have been declared for the years ended December 31, 2010, 2009 and 2008.
 
Subscriptions
 
Units are offered as of the close of business at the end of each month.  Units are purchased as of the first business day of any month at Net Asset Value, but the subscription request must be submitted at least three calendar days before the end of the preceding month.  Subscriptions submitted less than three days before the end of a month will be applied to Units subscriptions as of the beginning of the second month after receipt, unless revoked by MLAI.
 
Redemptions and Exchanges
 
A Member may redeem or exchange some or all of such Member’s Units at Net Asset Value as of the close of business, on the last business day of any month, upon ten calendar days’ notice (“notice period”).
 
An investor in the Fund can exchange these Units for Units of the same Class in other Program Funds as of the beginning of each calendar month upon at least ten days prior notice.  The minimum exchange amount is $10,000.
 
Redemption requests are accepted within the notice period.  The Fund does not accept any redemption requests after the notice period.  All redemption requests received after the notice period will be processed for the following month.
 
Dissolution of the Fund
 
The Fund may terminate if certain circumstances occur as set forth in the private placement memorandum, which include but are not limited to the following:
 
(a)       Bankruptcy, dissolution, withdrawal or other termination of the trading advisor of this Fund.
(b)       Any event which would make unlawful the continued existence of this Fund.
(c)       Determination by MLAI to liquidate or withdraw from the Fund.
 
12
 

 
 
 

 
2.
CONDENSED SCHEDULES OF INVESTMENTS
 
The Fund’s investments, defined as Net unrealized profit (loss) on open contracts in the Statements of Financial Condition, as of December 31, 2010 and 2009 are as follows:
 
December 31, 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
  
2,770
  
$
9,362,389
  
1.04
%
—
  
$
—
  
0.00
%
$
9,362,389
  
1.04
%
January 11 - May 11
  
Currencies
  
3,269
  
9,911,888
  
1.10
%
(635
)
(1,163,106
)
-0.13
%
8,748,782
  
0.97
%
March 11
  
Energy
  
874
  
1,810,141
  
0.20
%
(242
)
(588,535
)
-0.07
%
1,221,606
  
0.13
%
January 11 - April 11
  
Interest rates
  
2,590
  
262,053
  
0.03
%
(2,439
)
(1,599,666
)
-0.18
%
(1,337,613
)
-0.15
%
January 11 - March 13
  
Metals
  
1,431
  
12,256,554
  
1.37
%
(342
)
(3,589,079
)
-0.40
%
8,667,475
  
0.97
%
January 11 - November 11
  
Stock indices
  
3,909
  
817,965
  
0.09
%
(227
)
91,357
  
0.01
%
909,322
  
0.10
%
January 11 - March 11
  
                                       
Total
      
$
34,420,990
  
3.83
%
    
$
(6,849,029
)
-0.77
%
$
27,571,961
  
3.06
%
    
 
 
December 31, 2009
 
   
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
  
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 contract’s unrealized profit or loss comprised greater than 5% of Members’ Capital as of December 31, 2010 and 2009.
 
13
 

 
 
 

 
3. 
FAIR VALUE OF INVESTMENTS
 
The Financial Accounting Standards Board (“FASB”) issued the 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 commodity futures trading account.  Any change in net unrealized gain or loss from the preceding year 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.
 
14
 

 
 
 

 
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. MLAI’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment.
 
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 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 Fund’s net unrealized profit (loss) on open forward and futures contracts by the above fair value hierarchy levels for the years ended December 31, 2010 and 2009 are as follows:
 
2010
 
Net unrealized profit (loss) 
                  
on open contracts
  
Total
  
Level I
  
Level II
  
Level III
  
                   
Futures
                  
Long
  
$
34,420,990
  
$
27,372,293
  
$
7,048,697
  
$
—
  
Short
  
$
(6,849,029
)
(3,259,950
)
(3,589,079
)
—
  
   
$
27,571,961
  
$
24,112,343
  
$
3,459,618
  
$
—
  
                   
Forwards
                  
Long
  
$
—
  
$
—
  
$
—
  
$
—
  
Short
  
$
—
  
—
  
—
  
—
  
   
$
—
  
$
—
  
$
—
  
$
—
  
                   
December 31, 2010
  
$
27,571,961
  
$
24,112,343
  
$
3,459,618
  
$
—
  
 
15
 

 
 
 

 
2009
 
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 Fund’s volume of trading forward and futures for the years ended December 31, 2010 and 2009, respectively, are representative of the activity throughout the year. There were no transfers to or from Level I or Level II during 2010 and 2009.
 
The Fund engages in the speculative trading of futures, options on futures and forward contracts on a wide range of commodities. Such contracts meet the definition of a derivative as noted in the ASC guidance for derivatives and hedging. 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 profit and losses, by type/commodity industry sector, on derivative instruments for the years ended December 31, 2010 and 2009:
 
   
December 31, 2010
  
December 31, 2009
  
Commodity Industry Sector
  
Gain (loss) from trading
  
Gain (loss) from trading
  
           
Agriculture
  
$
16,790,365
  
$
2,114,401
  
Currencies
  
33,042,299
  
(12,121,842
)
Energy
  
(14,713,799
)
(12,677,833
)
Interest rates
  
72,264,248
  
(8,522,945
)
Metals
  
27,841,363
  
3,421,909
  
Stock indices
  
(4,052,319
)
(10,463,293
)
           
Total
  
$
131,172,157
  
$
(38,249,603
)
 
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 Fund’s capital tied up in a bankruptcy or other similar proceedings, MLAI
 
16
 

 
 
 

 
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. 
RELATED PARTY TRANSACTIONS
 
The Fund’s U.S. dollar assets are maintained at MLPF&S. On assets held in U.S. dollars, Merrill Lynch credits the Fund with interest at the most favorable rate payable by MLPF&S to accounts of Merrill Lynch affiliates but not less than 75% of such prevailing rate.  The Fund is credited with interest on any of its assets and net gains actually held by MLPF&S in non-U.S. dollar currencies at a prevailing local rate received by Merrill Lynch.  Merrill Lynch may derive certain economic benefit, in excess of the interest which Merrill Lynch pays to the Fund, from possession of such assets.
 
Merrill Lynch charges the Fund at prevailing local interest rates for financing realized and unrealized losses on the Fund’s non-U.S. dollar-denominated positions.  Such amounts are netted against interest income due to the insignificance of such amounts.
 
The Fund charges Sponsor fees on the month-end net assets after all other charges at annual rates equal to 1.50% for Class A, 2.50% for Class C, and 1.10% on Class I.  Class D, DS, and DT are not charged a Sponsor Fee.   Sponsor Fees are paid to MLAI.
 
The Fund pays brokerage commissions on actual cost per round turn. The average round-turn commission rate charged to the Fund for the years ended December 31, 2010, 2009 and 2008 was approximately $4.59, $6.50 and $7.16, respectively (not including, in calculating round-turn, forward contracts on a futures-equivalent basis).
 
Brokerage Commissions, Interest and Sponsor fees as presented on the Statements of Operations are all received from or paid to related parties.
 
The Fund holds cash at an unaffiliated bank which invests such cash in a money market fund which is managed by BlackRock, a related party to MLAI.  The Cash and cash equivalents as seen on the Statements of Financial Condition is the amount held by the related party.
 
5. 
ADVISORY AGREEMENT
 
The Fund and Winton have entered into an Advisory Agreement.  This agreement shall continue in effect until December 31, 2014. Thereafter, this agreement shall be automatically renewed for successive three-year periods, on the same terms, unless terminated by either Winton or the Fund upon 90 days’ notice to the other party. Winton determines the commodity futures, options on futures and forward contract trades to be made on behalf of their respective Fund accounts, subject to certain trading policies and to certain rights reserved by MLAI.
 
The Fund charges annual management fees on the Fund’s average month-end net assets allocated to them after reduction for the brokerage commissions accrued with respect to such assets and are payable to Winton on a monthly basis. Management Fees are 2.0% for all classes except for Class DT which charges a 1.5% Fee.  Winton pays MLAI 25% of the management fees on all classes except Class DT in return for sponsoring and providing ongoing administration and operational support to the Fund.
 
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Performance fees are charged by the Fund on any New Trading Profit, as defined in the private placement memorandum, and are payable to Winton as of either the end of each calendar year or upon any interim period for which there are net redemption of Units, to the extent of the applicable percentage of any New Trading Profit attributable to such Units. The Fund charges a 20% performance fee for all classes except Class DT which is charged a performance fee of 15%.  Winton pays MLAI 25% of any Performance fees paid by the Fund not including Class DT.
 
6. 
WEIGHTED AVERAGE UNITS
 
The weighted average number of Units outstanding for each Class is computed for purposes of calculating net income (loss) per weighted average Unit.  The weighted average number of Units outstanding for the years ended December 31, 2010, 2009 and 2008 equals the Units outstanding as of such date, adjusted proportionately for Units sold or redeemed based on the respective length of time each was outstanding during the year.
 
7. 
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 roll forward, 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 would not have a material impact to the Fund’s financial statements.
 
8. 
MARKET AND CREDIT RISK
 
The nature of this Fund has certain risks, which cannot all 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 Fund’s net unrealized profit (loss) on open contracts on such derivative instruments as reflected in the Statements of Financial Condition.  The Fund’s exposure to market risk is influenced by a number of factors, including the relationships among the derivative instruments held by the Fund as well as the volatility and liquidity of the markets in which the derivative instruments are traded.  Investments in foreign markets may also entail legal and political risks.
 
MLAI has procedures in place intended to control market risk exposure, although there can be no assurance that 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
 
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business on each day and reviewing outstanding positions for over-concentrations.  While MLAI does not intervene in the markets to hedge or diversify the Fund’s market exposure, MLAI may urge Winton to reallocate positions in an attempt to avoid over-concentrations.  However, such interventions are expected to be unusual.  It is expected that MLAI’s basic risk control procedures will consist of the ongoing process of 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 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 futures 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 Fund’s experience, MLAI expected the risk of loss to be remote and, therefore, no provision has been recorded.
 
9. 
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.
 
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*     *     *     *     *     *     *     *     *     *      *      *
 
To the best of the knowledge and belief of the
undersigned, the information contained in this
report is accurate and complete.
 
 
/s/ Barbra E. Kocsis
  
Chief Financial Officer
Merrill Lynch Alternative Investments LLC
Sponsor of
ML Winton FuturesAccess LLC
 
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ML Winton FuturesAccess LLC Reports