ML Winton FuturesAccess LLC - FORM 10-Q

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EXCEL - IDEA: XBRL DOCUMENT - ML Winton FuturesAccess LLC	Financial_Report.xls
EX-32.01 - EX-32.01 - ML Winton FuturesAccess LLC	a14-19606_1ex32d01.htm
EX-31.01 - EX-31.01 - ML Winton FuturesAccess LLC	a14-19606_1ex31d01.htm
EX-31.02 - EX-31.02 - ML Winton FuturesAccess LLC	a14-19606_1ex31d02.htm

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

(Mark One)

x	QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended September 30, 2014

o	TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from to

Commission File Number 0-51084

ML WINTON FUTURESACCESS LLC

(Exact name of registrant as specified in its charter)

Delaware		20-1227904
(State or other jurisdiction of		(I.R.S. Employer Identification No.)
incorporation or organization)

c/o Merrill Lynch Alternative Investments LLC

250 Vesey Street, 11th Floor

New York, New York 10080

(Address of principal executive offices)

(Zip Code)

609-274-5838

(Registrant’s telephone number, including area code)

c/o Merrill Lynch Alternative Investments LLC

Four World Financial Center

250 Vesey Street, 11th Floor

New York, New York 10080

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

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes x No o

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes x No o

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.

Large accelerated filer o		Accelerated filer o

Non-accelerated filer x		Smaller reporting company o
(Do not check if a smaller reporting company)

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes o No x

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

ML WINTON FUTURESACCESS LLC

QUARTERLY REPORT FOR SEPTEMBER 30, 2014 ON FORM 10-Q

Table of Contents

		PAGE

PART I—FINANCIAL INFORMATION

Item 1.	Financial Statements	1

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	17

Item 3.	Quantitative and Qualitative Disclosures About Market Risk	28

Item 4.	Controls and Procedures	33

PART II—OTHER INFORMATION

Item 1.	Legal Proceedings	33

Item 1A.	Risk Factors	33

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

Item 3.	Defaults Upon Senior Securities	36

Item 4.	Mine Safety Disclosures	36

Item 5.	Other Information	36

Item 6.	Exhibits	36

PART I - FINANCIAL INFORMATION

Item 1. Financial Statements

ML WINTON FUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OF FINANCIAL CONDITION

(unaudited)

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

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

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

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

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

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

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

Class A	$	1.7841	$	1.7385
Class C	$	1.6214	$	1.5919
Class D	$	1.9001	$	1.8309
Class I	$	1.8398	$	1.7875
Class DS	$	1.8978	$	1.8286
Class DT	$	2.0150	$	1.9307
Class M	$	1.0677	$	1.0288
Class F	$	1.0458	$	1.0007
Class F1	$	1.0716	$	1.0254

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OF OPERATIONS

(unaudited)

	For the three			For the three			For the nine			For the nine
	months ended			months ended			months ended			months ended
	September 30,			September 30,			September 30,			September 30,
	2014			2013			2014			2013
TRADING PROFIT (LOSS):

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

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

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

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

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

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

NET INCOME (LOSS) PER UNIT:

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

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

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited) (in Units)

	Members’ Capital December 31, 2012	Subscriptions	Redemptions		Members’ Capital September 30, 2013	Members’ Capital December 31, 2013	Subscriptions	Redemptions		Members’ Capital September 30, 2014
Class A	105,821,750	7,397,375	(16,862,854	)	96,356,271	89,279,211	5,358,223	(28,247,611	)	66,389,823
Class C	334,741,567	23,661,718	(49,429,710	)	308,973,575	289,256,969	31,784,962	(52,714,633	)	268,327,298
Class D	99,225,678	5,643,638	(39,138,841	)	65,730,475	46,696,897	3,680,491	(14,606,721	)	35,770,667
Class I	50,667,859	5,547,204	(6,253,607	)	49,961,456	47,689,327	2,265,483	(17,685,004	)	32,269,806
Class DS	54,128,029	—	(18,954,887	)	35,173,142	27,662,374	3,663,481	(8,793,003	)	22,532,852
Class DT	13,202,221	—	(4,003,077	)	9,199,144	7,308,839	—	(1,643,914	)	5,664,925
Class M	38,151,931	13,284,845	(3,265,593	)	48,171,183	46,183,286	53,432,510	(11,156,346	)	88,459,450
Class F*	—	46,520,691	—		46,520,691	46,520,691	—	—		46,520,691
Class F1**	—	32,348,368	—		32,348,368	32,348,368	—	—		32,348,368
Total Members’ Units	695,939,035	134,403,839	(137,908,569	)	692,434,305	632,945,962	100,185,150	(134,847,232	)	598,283,880

* Units issued on May 16, 2013.

** Units issued on June 1, 2013.

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)

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

* Units issued on May 16, 2013.

** Units issued on June 1, 2013.

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED SEPTEMBER 30, 2014 (unaudited)

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

	Class A			Class C			Class D			Class I			Class DS			Class DT			Class M			Class F			Class F1

Per Unit Operating Performance:

Net asset value, beginning of period	$	1.7787		$	1.6206		$	1.8874		$	1.8325		$	1.8850		$	1.9984		$	1.0605		$	1.0363		$	1.0619

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

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

Total Return: (a) (d)

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

Ratios to Average Member’s Capital: (d)

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

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

(a) The total return is based on compounded monthly returns and is calculated for each class taken as a whole. An individual member’s return may vary from these returns based on timing of capital transactions.

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

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

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 (unaudited)

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

	Class A			Class C			Class D			Class I			Class DS			Class DT			Class M			Class F			Class F1

Per Unit Operating Performance:

Net asset value, beginning of period	$	1.7385		$	1.5919		$	1.8309		$	1.7875		$	1.8286		$	1.9307		$	1.0288		$	1.0007		$	1.0254

Net realized and net change in unrealized trading profit (loss)	0.1135			0.1034			0.1203			0.1169			0.1202			0.1273			0.0676			0.0661			0.0677
Brokerage commissions	(0.0017		)	(0.0015		)	(0.0018		)	(0.0017		)	(0.0018		)	(0.0019		)	(0.0010		)	(0.0010		)	(0.0010		)
Interest income, net	(0.0008		)	(0.0007		)	(0.0008		)	(0.0008		)	(0.0008		)	(0.0009		)	(0.0005		)	(0.0005		)	(0.0005		)
Expenses	(0.0654		)	(0.0717		)	(0.0485		)	(0.0621		)	(0.0484		)	(0.0402		)	(0.0272		)	(0.0195		)	(0.0200		)

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

Total Return: (a) (d)

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

Ratios to Average Member’s Capital: (d)

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

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

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

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

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED SEPTEMBER 30, 2013 (unaudited)

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

	Class A			Class C			Class D			Class I			Class DS			Class DT			Class M			Class F			Class F1

Per Unit Operating Performance:

Net asset value, beginning of period	$	1.6749		$	1.5413		$	1.7508		$	1.7187		$	1.7486		$	1.8413		$	0.9837		$	0.9525		$	0.9759

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

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

Total Return: (a) (d)

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

Ratios to Average Member’s Capital: (d)

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

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

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

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

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

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013 (unaudited)

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

	Class A			Class C			Class D			Class I			Class DS			Class DT			Class M			Class F*			Class F1**

Per Unit Operating Performance:

Net asset value, beginning of period	$	1.6478		$	1.5240		$	1.7095		$	1.6874		$	1.7074		$	1.7935		$	0.9606		$	1.0000		$	1.0000

Net realized and net change in unrealized trading profit (loss)	0.0485			0.0449			0.0501			0.0496			0.0500			0.0525			0.0282			(0.0597		)	(0.0309		)
Brokerage commissions	(0.0016		)	(0.0015		)	(0.0017		)	(0.0016		)	(0.0017		)	(0.0017		)	(0.0009		)	(0.0004		)	(0.0004		)
Interest income, net	(0.0004		)	(0.0003		)	(0.0004		)	(0.0004		)	(0.0004		)	(0.0004		)	(0.0002		)	(0.0001		)	(0.0001		)
Expenses	(0.0468		)	(0.0548		)	(0.0290		)	(0.0428		)	(0.0289		)	(0.0237		)	(0.0165		)	0.0029			(0.0026		)

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

Total Return: (a) (d)

Total return before Performance fees	-0.04		%	-0.79		%	1.09		%	0.26		%	1.09		%	1.47		%	1.09		%	-6.43		%	-3.52		%
Performance fees/other (b)	-0.02		%	-0.02		%	-0.02		%	-0.02		%	-0.02		%	-0.02		%	-0.02		%	0.72		%	0.12		%
Total return after Performance fees	-0.06		%	-0.81		%	1.07		%	0.24		%	1.07		%	1.45		%	1.07		%	-5.71		%	-3.40		%

Ratios to Average Member’s Capital: (d)

Expenses (excluding Performance fees) (c)	2.79		%	3.54		%	1.67		%	2.49		%	1.67		%	1.29		%	1.67		%	0.90		%	0.90		%
Performance fees (b)	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	-0.73		%	-0.12		%
Expenses (including Performance fees)	2.79		%	3.54		%	1.67		%	2.49		%	1.67		%	1.29		%	1.67		%	0.17		%	0.78		%

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

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

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

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

* Units issued on May 16, 2013.

** Units issued on June 1, 2013.

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(a Delaware Limited Liability Company)

NOTES TO FINANCIAL STATEMENTS

(unaudited)

1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

ML Winton FuturesAccess LLC (the “Fund”), a FuturesAccessSM Program (“FuturesAccess”) fund, which is an investment company as defined by Accounting Standards Codification (“ASC”) guidance, was organized under the Delaware Limited Liability Company Act on May 17, 2004 and commenced trading activities on February 1, 2005. The Fund engages in the speculative trading of futures and forward contracts on a wide range of commodities. Winton Capital Management Limited (the “Trading Advisor”) is the trading advisor of the Fund. The Trading Advisor trades the Winton Diversified Program (the “Trading Program”) for the Fund.

Merrill Lynch Alternative Investments LLC (“MLAI”, the “Sponsor” or the “Managing Member”) is the sponsor and manager of the Fund. MLAI is an indirect wholly-owned subsidiary of Bank of America Corporation. Bank of America Corporation and its affiliates are referred to herein as “BAC”. Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”) is currently the exclusive clearing broker for the Fund. The Sponsor may select other parties as clearing broker(s). Merrill Lynch International (“MLI”) is the primary foreign exchange (“F/X”) forward prime broker for the Fund. The Sponsor may select other of its affiliates or third parties as F/X or other over-the-counter (“OTC”) prime brokers. MLPF&S and MLI are BAC affiliates.

FuturesAccess is a group of managed futures funds sponsored by MLAI (“FuturesAccess Funds”). FuturesAccess is exclusively available to investors that have investment accounts with Merrill Lynch Wealth Management, U.S. Trust and other divisions or affiliates of BAC. FuturesAccess Funds currently are composed of direct-trading funds advised by a single trading advisor or funds of funds for which MLAI acts as the advisor and allocates capital among multiple trading advisors. Although redemption terms vary among FuturesAccess Funds, FuturesAccess applies, with some exceptions, the same minimum investment amounts, fees and other operational criteria across all FuturesAccess Funds. Each trading advisor participating in FuturesAccess employs different technical, fundamental, systematic and/or discretionary trading strategies.

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

In the opinion of management, these interim financial statements contain all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the financial position of the Fund as of September 30, 2014 and December 31, 2013 and the results of its operations for the three and nine month periods ended September 30, 2014 and 2013. However, the operating results for the interim periods may not be indicative of the results for the full year.

Certain information and footnote disclosures normally included in annual financial statements prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) have been omitted. These financial statements should be read in conjunction with the financial

statements and notes thereto included in the Fund’s report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2013.

Estimates

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

2. CONDENSED SCHEDULES OF INVESTMENTS

The Fund’s investments, defined as unrealized profit (loss) on open contracts on the Statements of Financial Condition, as of September 30, 2014 and December 31, 2013 are as follows:

September 30, 2014

	Long Positions						Short Positions						Net Unrealized
Commodity Industry	Number of	Unrealized			Percent of		Number of		Unrealized		Percent of		Profit (Loss)			Percent of
Sector	Contracts/Notional*	Profit (Loss)			Members’ Capital		Contracts/Notional*		Profit (Loss)		Members’ Capital		on Open Positions			Members’ Capital		Maturity Dates

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

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

December 31, 2013

	Long Positions						Short Positions
Commodity Industry	Number of	Unrealized			Percent of		Number of		Unrealized			Percent of		Profit (Loss)			Percent of
Sector	Contracts/Notional*	Profit (Loss)			Members’ Capital		Contracts/Notional*		Profit (Loss)			Members’ Capital		on Open Positions			Members’ Capital		Maturity Dates

Agriculture	1,692	$	(904,240	)	-0.09	%	(3,532	)	$	3,600,461		0.37	%	$	2,696,221		0.28	%	January 2014 - May 2014
Currencies - Futures	4,996	3,146,465			0.32	%	(3,705	)	4,093,122			0.42	%	7,239,587			0.74	%	March 2014
Currencies - Forwards*	383,819,256	927,780			0.09	%	(236,246,331	)	(688,767		)	-0.07	%	239,013			0.02	%	January 2014 - June 2014
Energy	693	407,390			0.04	%	(303	)	(596,799		)	-0.06	%	(189,409		)	-0.02	%	January 2014 - March 2014
Interest rates	19,506	(5,225,777		)	-0.53	%	(1,606	)	631,192			0.06	%	(4,594,585		)	-0.47	%	February 2014 - December 2016
Metals	641	35,533			0.00	%	(1,131	)	2,627,090			0.27	%	2,662,623			0.27	%	January 2014 - April 2014
Stock indices	8,131	22,478,186			2.30	%	(41	)	(2,965		)	0.00	%	22,475,221			2.30	%	January 2014 - March 2014

Total, net		$	20,865,337		2.13	%			$	9,663,334		0.99	%	$	30,528,671		3.12	%

*Currencies-Forwards present notional amounts as converted to USD.

No individual contract’s unrealized profit or loss comprised greater than 5% of Members’ Capital as of September 30, 2014 and December 31, 2013. With respect to each commodity industry sector listed in the above chart, the net unrealized profit (loss) on open positions is the sum of the unrealized profits (loss) of long positions and short positions of the open contracts, netting unrealized losses against unrealized profits as applicable. Net unrealized profit and loss provides a rough measure of the exposure of the Fund to the various sectors as of the date listed, although such exposure can change at any time.

3. FAIR VALUE OF INVESTMENTS

Fair value of an investment is the amount that would be received to sell the investment in an orderly transaction between market participants at the measurement date (i.e. the exit price). All investments (including derivative financial instruments and derivative commodity instruments) are held for trading purposes. The investments are recorded on trade date and open contracts are recorded at fair value (described below) at the measurement date. Investments denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Profits or losses are realized when contracts are liquidated. Unrealized profits or losses on open contracts are included in Equity in commodity trading accounts on the Statements of Financial Condition. Any change in net unrealized profit or loss from the preceding period/year is reported in the respective Statements of Operations.

The fair value measurement guidance established by U.S. GAAP is a hierarchical disclosure framework which prioritizes and ranks the level of market price observability used in measuring investments at fair value. Market price observability is impacted by a number of factors, including the type of investment and the characteristics specific to the investment. Investments with readily available active quoted prices or for which fair value can be measured from actively quoted prices generally will have a higher degree of market price observability and a lesser degree of judgment used in measuring fair value.

Investments measured and reported at fair value are classified and disclosed in one of the following categories:

Level I — Quoted prices are available in active markets for identical investments as of the reporting date. The type of investments included in Level I are publicly traded investments. As required by the fair market value measurement guidance in U.S. GAAP, the Fund does not adjust the quoted price for these investments even in situations where the Fund holds a large position and a sale could reasonably impact the quoted price.

Level II — Pricing inputs are other than quoted prices in active markets, which are either directly or indirectly observable as of the reporting date, and fair value is determined through the use of generally accepted and understood models or other valuation methodologies. Investments which are generally included in this category are investments valued using market data.

Level III — Pricing inputs are unobservable and include situations where there is little, if any, market activity for the investment. Fair value for these investments is determined using valuation methodologies that consider a range of factors, including but not limited to the nature of the investment, local market conditions, trading values on public exchanges for comparable securities, current and projected operating performance and financing transactions subsequent to the acquisition of the investment. The inputs into the determination of fair value require significant management judgment. Due to the inherent uncertainty of these estimates, these values may differ materially from the values that would have been used had a ready market for these investments existed.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. MLAI’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment.

The following is a description of the valuation methodologies used for investments, as well as the general classification of such investments pursuant to the valuation hierarchy.

Exchange traded investments are fair valued by the Fund by using the reported closing price on the primary exchange where such investments are traded. These closing prices are observed through the clearing broker and third party pricing services. For non-exchange traded investments, quoted values and other data provided by nationally recognized independent pricing sources are used as inputs into the process for determining fair values.

The Fund has determined that Level I investments would include its futures and options contracts where it believes that quoted prices are available in an active market.

Where the Fund believes that quoted market prices are not available or that the market is not active, fair values are estimated by using observable prices of investments with similar characteristics and these are generally classified as Level II investments. The Fund determined that Level II investments would include its forwards and certain futures contracts.

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

The Fund’s unrealized profit (loss) on open forwards and futures contracts, by the above fair value hierarchy levels, as of September 30, 2014 and December 31, 2013 are as follows:

2014
Net unrealized profit (loss)
on open contracts	Total		Level I		Level II			Level III

Assets
Futures	$	45,112,723	$	44,488,980	$	623,743		$	—
Forwards	3,783,436		—		3,783,436			—
	$	48,896,159	$	44,488,980	$	4,407,179		$	—

Liabilities
Futures	$	31,265,343	$	29,164,182	$	2,101,161		$	—
Forwards	11,816,181		—		11,816,181			—
	$	43,081,524	$	29,164,182	$	13,917,342		$	—

September 30, 2014	$	5,814,635	$	15,324,798	$	(9,510,163	)	$	—

2013
Net unrealized profit (loss)
on open contracts	Total		Level I		Level II			Level III

Assets
Futures	$	42,267,900	$	41,529,812	$	738,088		$	—
Forwards	927,780		—		927,780			—
	$	43,195,680	$	41,529,812	$	1,665,868		$	—

Liabilities
Futures	$	11,978,242	$	10,857,511	$	1,120,731		$	—
Forwards	688,767		—		688,767			—
	$	12,667,009	$	10,857,511	$	1,809,498		$	—

December 31, 2013	$	30,528,671	$	30,672,301	$	(143,630	)	$	—

The Fund’s volume of trading forwards and futures as of the nine month period ended September 30, 2014 and year ended December 31, 2013 are representative of the activity throughout these periods presented. There were no transfers to or from any level during the three or nine month periods ended September 30, 2014 or the year ended December 31, 2013.

The Fund engages in the speculative trading of futures, options on futures and forward contracts on a wide range of commodities. Such contracts meet the definition of a derivative as noted in the ASC guidance for accounting for derivative and hedging activities. The fair value amounts of, and the net profits and losses on, derivative instruments is disclosed in the Statements of Financial Condition and Statements of Operations, respectively. There are no credit related contingent features embedded in these derivative contracts. The total notional, number of contracts and fair values of derivative instruments by contract type/commodity sector are disclosed in Note 2.

The Fund maintains margin deposits and cash collateral with its futures and forwards brokers, respectively, based on the greater of exchange margin or amounts determined by the respective broker. At September 30, 2014 and December 31, 2013, the initial margin deposits (cash) are used to satisfy the margin requirements to establish the futures or forward contracts and are presented on the Statements of Financial Condition in Cash in the Equity in commodity trading accounts. The variation margin on open contracts is presented on the Statements of Financial Condition in Unrealized profit or loss on futures or forwards contracts, respectively.

The following table indicates the trading profits and losses, before brokerage commissions, by type/commodity industry sector, on derivative instruments for each of the three and nine month periods ended September 30, 2014 and 2013.

	For the three months ended			For the nine months ended
	September 30, 2014			September 30, 2014
Commodity Industry Sector	Profit (loss) from trading, net			Profit (loss) from trading, net

Agriculture	$	(10,514,411	)	$	(13,938,598	)
Currencies	(2,945,765		)	2,256,754
Energy	3,604,045			5,051,083
Interest rates	16,320,641			66,158,060
Metals	7,973,521			(4,283,413		)
Stock indices	(1,280,411		)	5,630,054

Total, net	$	13,157,620		$	60,873,940

	For the three months ended			For the nine months ended
	September 30, 2013			September 30, 2013
Commodity Industry Sector	Profit (loss) from trading, net			Profit (loss) from trading, net

Agriculture	$	3,963,085		$	13,094,910
Currencies	(1,427,662		)	638,612
Energy	(12,001,414		)	(18,318,547		)
Interest rates	(989,806		)	(50,282,974		)
Metals	(19,135,360		)	16,338,520
Stock indices	21,809,618			71,491,294

Total, net	$	(7,781,539	)	$	32,961,815

The Fund is subject to the risk of insolvency of a counterparty, an exchange, a clearinghouse, MLPF&S or other BAC entities. Fund assets could be lost or impounded during lengthy bankruptcy proceedings. Were a substantial portion of the Fund’s capital tied up in a bankruptcy or other similar types of proceedings, MLAI might suspend or limit trading, perhaps causing the Fund to miss significant profit opportunities. There are increased risks in dealing with unregulated trading counterparties including the risk that assets may not benefit from the protection afforded to “customer funds” deposited with regulated dealers and brokers.

4. MARKET AND CREDIT RISKS

The nature of this Fund has certain risks, which cannot all be presented in the financial statements. The following summarizes some of those risks.

Market Risk

Derivative instruments involve varying degrees of market risk. Changes in the level or volatility of interest rates, foreign currency exchange rates or the market values of the financial instruments or commodities underlying such derivative instruments frequently result in changes in the Fund’s unrealized profit (loss) on open contracts on such derivative instruments as reflected in the Statements of Financial Condition. The Fund’s exposure to market risk is influenced by a number of factors, including the relationships among the derivative instruments held by the Fund as well as the volatility and liquidity of the markets in which the derivative instruments are traded. Investments in foreign markets may also entail legal and political risks.

MLAI has procedures in place intended to control market risk exposure, although there can be no assurance that it will, in fact, succeed in doing so. These procedures focus primarily on monitoring the trading of the Trading Advisor, calculating the Net Asset Value of the Fund as of the close of business on each day and reviewing outstanding positions for over-concentrations. While MLAI does not intervene in the markets to hedge or diversify the Fund’s market exposure, MLAI may urge the Trading Advisor to reallocate positions in an attempt to avoid over-concentrations. However, such interventions are expected to be unusual. It is expected that MLAI’s basic risk control procedures will consist of the ongoing process of the Trading Advisor’s monitoring, with the market risk controls being applied by the Trading Advisor.

Credit Risk

The risks associated with exchange-traded contracts are typically perceived to be less than those associated with over-the-counter (non-exchange-traded) transactions, because exchanges typically (but not universally) provide clearinghouse arrangements in which the collective credit (in some cases limited in amount, in some cases not) of the members of the exchange/clearinghouse is pledged to support the financial integrity of the exchange/clearinghouse. In over-the-counter transactions, on the other hand, traders must rely solely on the credit of their respective individual counterparties. Margins, which may be subject to loss in the event of a default, are generally required in exchange traded contracts, and in the over-the-counter markets counterparties may also require margin.

The credit risk associated with these instruments from counterparty nonperformance is the unrealized profit (loss) on open contracts, if any, included in the Statements of Financial Condition. MLAI, as sponsor of the Fund, has a general policy of maintaining clearing and prime brokerage arrangements with BAC affiliates, such as MLPF&S and MLI, although MLAI may engage non-BAC affiliated service providers as clearing brokers or prime brokers for the Fund.

The Fund, in its normal course of business, enters into various contracts, with MLPF&S acting as its futures clearing broker.

Indemnifications

In the normal course of business, the Fund has entered, or may in the future enter into agreements that obligate the Fund to indemnify certain parties, including BAC affiliates. No claims have actually been made with respect to such indemnities and any quantification would involve hypothetical claims that have not been made. Based on the Fund’s experience, MLAI expects the risk of loss to be remote and, therefore, no provision has been recorded.

5. RELATED PARTY TRANSACTIONS

MLAI and the Fund entered into a transfer agency and investor services agreement with Financial Data Services, Inc. (the “Transfer Agent”), a wholly-owned subsidiary of BAC and affiliate of MLAI. The Transfer Agent provides registrar, distribution disbursing agent, transfer agent and certain other services related to the issuance, redemption, exchange and transfer of Units. The fees charged by the Transfer Agent for its services are based on the aggregate net assets of funds managed or sponsored by MLAI. The fee rate ranges from 0.016% to 0.02% per year of the aggregate net assets managed or sponsored by MLAI. During the quarter ended September 30, 2014, the rate ranged from 0.018% to 0.02%. The fee is payable monthly in arrears. MLAI allocates the Transfer Agent fees to each of the managed or sponsored funds, including the Fund, on a monthly basis based on each fund’s net assets. The Transfer Agent fee allocated to the Fund for the three month periods ended September 30, 2014 and 2013 amounted to $46,173 and $48,683, respectively. The Transfer Agent fee allocated to the Fund for the nine month periods ended September 30, 2014 and 2013 amounted to $141,963 and $159,621, respectively, of which $32,116 and $33,843 was payable to the Transfer Agent as of September 30, 2014 and December 31, 2013, respectively.

Brokerage Commissions, Interest and Sponsor fees, as presented on the Statements of Operations, are all received from or paid to related parties. Equity in commodity trading accounts, including cash and Unrealized profit/loss, as presented on the Statements of Financial Condition are held with a related party.

6. SUBSEQUENT EVENTS

Management has evaluated the impact of subsequent events on the Fund through the date the financial statements were issued and has determined that there were no subsequent events that require adjustments to, or disclosure in, the financial statements.

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

MONTH-END NET ASSET VALUE PER UNIT

MLAI believes that the Net Asset Value used to calculate subscription and redemption values and to report performance to investors is a useful performance measure for the investors of the Fund. Therefore, the charts below referencing Net Asset Value and performance measurements are based on the Net Asset Value for financial reporting purposes.

The Fund calculates the Net Asset Value per Unit of each Class of Units as of the last calendar day of each month, the fifteenth calendar day of each month, and any other dates MLAI may determine in its discretion (each, a “Calculation Date”). The Fund’s “Net Asset Value” as of any Calculation Date generally equals the value of the Fund’s account under the management of the Trading Advisor as of that date plus any other assets held by the Fund, minus accrued Sponsor’s, management and performance fees, trading liabilities, including brokerage commissions, any offering or operating costs, amortized organizational and initial offering costs and all other liabilities of the Fund. MLAI or its delegates are authorized to make all Net Asset Value determinations.

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS A


	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		Jun. 15th		Jun.		Jul. 15th		Jul.		Aug. 15th		Aug.		Sept. 15th		Sept.
2013	$	1.6695	$	1.6830	$	1.6825	$	1.6722	$	1.7156	$	1.7080	$	1.7425	$	1.7563	$	1.7639	$	1.7198	$	1.6651	$	1.6749	$	1.6770	$	1.6515	$	1.6253	$	1.5993	$	1.6516	$	1.6475
2014	$	1.7319	$	1.6967	$	1.7075	$	1.7329	$	1.7016	$	1.7214	$	1.7247	$	1.7487	$	1.7555	$	1.7791	$	1.7747	$	1.7787	$	1.7593	$	1.7340	$	1.7722	$	1.7992	$	1.7656	$	1.7841

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS C


	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		Jun. 15th		Jun.		Jul. 15th		Jul.		Aug. 15th		Aug.		Sept. 15th		Sept.
2013	$	1.5434	$	1.5552	$	1.5542	$	1.5440	$	1.5834	$	1.5757	$	1.6069	$	1.6189	$	1.6253	$	1.5840	$	1.5329	$	1.5413	$	1.5426	$	1.5185	$	1.4938	$	1.4693	$	1.5167	$	1.5123
2014	$	1.5851	$	1.5523	$	1.5615	$	1.5841	$	1.5548	$	1.5722	$	1.5746	$	1.5959	$	1.6014	$	1.6223	$	1.6175	$	1.6206	$	1.6022	$	1.5785	$	1.6126	$	1.6365	$	1.6052	$	1.6214

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS D


	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		Jun. 15th		Jun.		Jul. 15th		Jul.		Aug. 15th		Aug.		Sept. 15th		Sept.
2013	$	1.7331	$	1.7482	$	1.7488	$	1.7392	$	1.7854	$	1.7786	$	1.8157	$	1.8312	$	1.8403	$	1.7954	$	1.7394	$	1.7508	$	1.7540	$	1.7284	$	1.7021	$	1.6759	$	1.7318	$	1.7285
2014	$	1.8250	$	1.7891	$	1.8016	$	1.8296	$	1.7976	$	1.8197	$	1.8244	$	1.8509	$	1.8592	$	1.8854	$	1.8819	$	1.8874	$	1.8679	$	1.8422	$	1.8840	$	1.9139	$	1.8793	$	1.9001

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS I


	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		Jun. 15th		Jun.		Jul. 15th		Jul.		Aug. 15th		Aug.		Sept. 15th		Sept.
2013	$	1.7100	$	1.7240	$	1.7239	$	1.7136	$	1.7583	$	1.7508	$	1.7865	$	1.8010	$	1.8091	$	1.7641	$	1.7083	$	1.7187	$	1.7211	$	1.6952	$	1.6686	$	1.6421	$	1.6961	$	1.6922
2014	$	1.7809	$	1.7451	$	1.7565	$	1.7829	$	1.7510	$	1.7716	$	1.7754	$	1.8004	$	1.8076	$	1.8323	$	1.8280	$	1.8325	$	1.8128	$	1.7870	$	1.8267	$	1.8548	$	1.8205	$	1.8398

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS DS


	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		Jun. 15th		Jun.		Jul. 15th		Jul.		Aug. 15th		Aug.		Sept. 15th		Sept.
2013	$	1.7310	$	1.7460	$	1.7467	$	1.7371	$	1.7832	$	1.7764	$	1.8135	$	1.8290	$	1.8380	$	1.7932	$	1.7372	$	1.7486	$	1.7518	$	1.7263	$	1.7000	$	1.6738	$	1.7296	$	1.7264
2014	$	1.8228	$	1.7869	$	1.7994	$	1.8273	$	1.7954	$	1.8174	$	1.8221	$	1.8486	$	1.8569	$	1.8831	$	1.8795	$	1.8850	$	1.8656	$	1.8399	$	1.8817	$	1.9115	$	1.8770	$	1.8978

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS DT


	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		Jun. 15th		Jun.		Jul. 15th		Jul.		Aug. 15th		Aug.		Sept. 15th		Sept.
2013	$	1.8186	$	1.8348	$	1.8359	$	1.8262	$	1.8737	$	1.8680	$	1.9078	$	1.9255	$	1.9360	$	1.8861	$	1.8289	$	1.8413	$	1.8451	$	1.8186	$	1.7913	$	1.7640	$	1.8232	$	1.8202
2014	$	1.9249	$	1.8875	$	1.9010	$	1.9309	$	1.8976	$	1.9213	$	1.9266	$	1.9560	$	1.9657	$	1.9956	$	1.9919	$	1.9984	$	1.9783	$	1.9514	$	1.9961	$	2.0298	$	1.9919	$	2.0150

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS M


	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		Jun. 15th		Jun.		Jul. 15th		Jul.		Aug. 15th		Aug.		Sept. 15th		Sept.
2013	$	0.9738	$	0.9823	$	0.9827	$	0.9773	$	1.0032	$	0.9994	$	1.0202	$	1.0290	$	1.0341	$	1.0088	$	0.9773	$	0.9837	$	0.9856	$	0.9712	$	0.9564	$	0.9417	$	0.9731	$	0.9712
2014	$	1.0255	$	1.0053	$	1.0123	$	1.0280	$	1.0101	$	1.0225	$	1.0251	$	1.0400	$	1.0447	$	1.0594	$	1.0574	$	1.0605	$	1.0495	$	1.0351	$	1.0586	$	1.0754	$	1.0559	$	1.0677

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS F


	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		Jun. 15th		Jun.		Jul. 15th		Jul.		Aug. 15th		Aug.		Sept. 15th		Sept.
2013	n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		$	1.0000	$	0.9759	$	0.9459	$	0.9525	0.9546		0.9411		0.9271		0.9132		0.9441		0.9427
2014	$	0.9979	$	0.9787	$	0.9859	$	1.0017	$	0.9846	$	0.9971	$	1.0001	$	1.0149	$	1.0198	$	1.0346	$	1.0330	$	1.0363	$	1.0261	$	1.0124	$	1.0358	$	1.0526	$	1.0340	$	1.0458

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS F1


	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		Jun. 15th		Jun.		Jul. 15th		Jul.		Aug. 15th		Aug.		Sept. 15th		Sept.
2013	n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		$	1.0000	$	0.9692	$	0.9759	0.9782		0.9643		0.9500		0.9358		0.9674		0.966
2014	$	1.0225	$	1.0028	$	1.0102	$	1.0264	$	1.0089	$	1.0217	$	1.0247	$	1.0400	$	1.0450	$	1.0601	$	1.0584	$	1.0619	$	1.0514	$	1.0373	$	1.0613	$	1.0785	$	1.0595	$	1.0716

Liquidity and Capital Resources

The Fund borrows only to a limited extent and only on a strictly short-term basis in order to finance losses on non-U.S. dollar denominated trading positions pending the conversion of the Fund’s U.S. dollar deposits. These borrowings are at a prevailing short-term rate in the relevant currency.

Substantially all of the Fund’s assets are held in cash. The Net Asset Value of the Fund’s cash is not affected by inflation. However, changes in interest rates could cause periods of strong up or down price trends, during which the Fund’s profit potential might increase. Inflation in commodity prices could also generate price movements, which the strategies might successfully follow. The Fund should be able to close out its open trading positions and liquidate its holdings relatively quickly and at market prices, except in unusual circumstances. This typically permits the Fund to limit losses as well as reduce market exposure on short notice should its strategies indicate doing so.

Investors in the Fund generally may redeem any or all of their Units at Net Asset Value, in whole or fractional Units, effective as of (i) the 15th calendar day of each month and/or (ii) the last calendar day of each month (each a “Redemption Date”), upon providing eight business days notice prior to the 1st and 16th of the month. MLAI, at any time in its discretion, may discontinue allowing redemptions as of the 15th calendar day of each month on a going forward basis. The Net Asset Value of redeemed Units is determined as of the Redemption Date. Investors will remain exposed to fluctuations in Net Asset Value during the period between submission of their redemption requests and the applicable Redemption Date.

As a commodity pool, the Fund maintains an extremely large percentage of its assets in cash, which it must have available to post initial and variation margin on futures contracts. This cash is also used to fund redemptions. While the Fund has the ability to fund redemption proceeds from liquidating positions, as a practical matter positions are not liquidated to fund redemptions. In the event that positions were liquidated to fund redemptions, MLAI, as the manager of the Fund, has the ability to override decisions of the Trading Advisor to fund redemptions if necessary, but in practice the Trading Advisor would determine in its discretion which investments should be liquidated.

For the nine month period ended September 30, 2014, Fund capital decreased 6.70% from $978,349,405 to $912,772,939. This decrease was attributable to the net income from operations of $24,893,915 coupled with the redemption 134,847,232 Redeemable Units resulting in an outflow of $222,808,621. The cash outflow was offset with cash inflow of $132,338,240 due to subscriptions of 100,185,150 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. Profits or losses are realized when contracts are liquidated. Unrealized profits or losses on open contracts are included as a component of equity in commodity

trading accounts on the Statements of Financial Condition. Realized profits or losses and any change in net unrealized profits or losses from the preceding period are reported in the Statements of Operations.

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 the Fund’s treatment of fair value, see Financial Statements Note 3, Fair Value of Investments.

Futures Contracts

The Fund trades exchange listed futures contracts. A listed futures contract is a firm commitment to buy or sell a standardized quantity of an underlying asset over a specified duration. The Fund buys and sells contracts based on indices of financial assets such as stocks, domestic and global stock indices, as well as contracts on various physical commodities. Prices paid or received on these contracts are determined by the ask or bid provided by the exchanges on which they are traded. Contracts may be settled in physical form or cash settled depending upon the contract. Upon the execution of a trade, margin requirements determine the amount of cash that must be on deposit to secure the transaction. These amounts are considered restricted cash on the Fund’s Statements of Financial Condition. Contracts are priced daily by the Fund and the profit or loss is based on the daily mark to market and is recorded as unrealized profit (loss). When the contract is closed, the Fund records a realized profit 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 profits (losses), net and changes in unrealized profits (losses), net on futures contracts are included in the Statements of Operations. The Fund also trades futures contracts on the London Metals Exchange (LME). The valuation pricing for LME contracts is based on action of a committee that incorporates prices from the most liquid trading sessions of the day and can also rely on other inputs such as supply and demand factors and bids and asks from open outcry sessions.

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 Fund’s net equity therein, representing unrealized profit 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 profits (losses) and changes in unrealized profits (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 federal 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 member’s share of the Fund’s 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 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. A prospective investor should be aware that, among other things, income taxes could have a material adverse effect on the periodic calculations of the net asset value of the Fund, including reducing the net asset value of the Fund to reflect reserves for income taxes, such as foreign withholding taxes, that may be payable by the Fund. This could cause benefits or detriments to certain investors, depending upon the timing of their entry and exit from the Fund. 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 is the major tax jurisdiction for the Fund and the earliest tax year subject to examination: United States — 2011.

Reform Act

The Dodd-Frank Wall Street Reform and Consumer Protection Act amended the definition of “eligible contract participant,” and the Fund expects to meet the amended definition as it applies to trading in “retail forex” transactions so long as its total assets exceed $10 million. If the Fund does not meet the definition of “eligible contract participant” for purposes of trading in “retail forex” transactions, it could lead to the Fund being unable to trade such transactions in the interbank market and bearing higher upfront and mark-to-market margin, less favorable trade pricing, and the possible imposition of new or increased fees. “Retail forex” markets available to parties that do not meet the definition of “eligible contract participant” could also be significantly less liquid than the interbank market. Moreover, the creditworthiness of the counterparties with whom the Fund may be required to trade in such circumstances could be significantly weaker than the creditworthiness of MLI and the currency forward counterparties with which the Fund would otherwise engage for its currency forward transactions.

Results of Operations

January 1, 2014 to September 30, 2014

January 1, 2014 to March 31, 2014

The Fund experienced a net trading loss of $342,786 before brokerage commissions and related fees in the first quarter of 2014. The Fund’s profits were primarily attributable to the interest rates, agriculture, energy, and currency sectors posting profits. The metals 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 first quarter as government bond markets rallied, providing positive performance contributions. Profits were posted to the Fund in the middle of the quarter only to be reversed at the end of the quarter. Markets

were further destabilized in March when the U.S. Federal Open Market Committee revised their projected targets, signaling more rapid monetary policy tightening. At the end of the quarter, the Fund suffered losses in the U.S. fixed income positions.

The agriculture sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the first quarter. In February, drought in Brazil damaged coffee crops and Arabica prices increased. The Fund’s short positions in coffee suffered losses. Excess rain in the soybean producing regions of Brazil reduced the quality of maturing crops and profited the Fund’s long position as prices rose which was not enough to offset losses posted to the Fund in the middle of the quarter. Profits were posted to the Fund at the end of the quarter.

The energy sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter. Energy markets rose in January due to demand for heating fuels in North America, benefitting the Fund’s long natural gas position in particular. Losses were posted to the Fund in the middle through the end of the quarter due to market volatility.

The currency sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the quarter. In Canada, a worsening trade balance, weak growth and a dovish stance from the central bank contributed to the Canadian dollar trading lower, providing some offset to losses in the currency sector. Profits were posted to the Fund in the middle of the quarter only to be reversed at the end of the quarter. At the end of the quarter, the Fund suffered losses across short U.S. dollar positions.

The metals sector posted losses to the Fund. Losses were posted to the Fund at the beginning through the middle of the first quarter only to be reversed at the end of the quarter. Profits were posted to the Fund at the end of the quarter due to the Fund’s short positions in silver.

The stock indices sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the first quarter. Escalating political tension, notably in Ukraine, Turkey and Thailand, further increased pressure on emerging markets which experienced a broad flight to quality through January. Losses were suffered in the Fund’s global equity indices which declined towards the end of January. Profits were posted to the Fund in the middle of the quarter as global equity markets rallied through February, reversing losses experienced in January. Losses were posted to the Fund at the end of the quarter. The resultant threat of international sanctions against Russia and the simmering geopolitical tension led to a volatile March for global markets.

April 1, 2014 to June 30, 2014

The Fund experienced a net trading profit of $48,059,106 before brokerage commissions and related fees in the second quarter of 2014. The Fund’s profits were primarily attributable to the interest rates, stock indices, currency and energy sectors posting profits. The metals and agriculture sectors posted losses.

The interest rate sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the second quarter. In April the European Central Bank opened the door to potential large-scale unsterilized asset purchases in an effort to battle below target inflation. While policymakers stressed that markets should not expect immediate action, European bond prices rallied and yield eager investors helped Greece and Portugal to successfully return to the sovereign debt market after prolonged absences. Long fixed income positions profited where bunds provided the most significant contribution to the Fund. Profits were posted to the Fund in the middle of the quarter due to the Fund’s long exposure to German Bunds. Profits were posted to the Fund at the end of the quarter as the Bank of England made a surprise

announcement signaling that interest rates in the United Kingdom could be on the rise sooner than expected.

The stock indices sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the second quarter. Profits were posted to the Fund in the middle of the quarter. Profits were posted to the Fund at the end of the quarter. In June the Eurozone tried to stem deflation by cutting key interest rates including the bold move of negative deposit rates. These actions provided a catalyst for a number of U.S. equity indices to climb higher.

The currency sector posted profits to the Fund. The currency sector posted profits to the Fund at the beginning of the second quarter. Losses were posted to the Fund in the middle of the quarter due to the Fund’s long Euro positions. Profits were posted to the Fund at the end of the quarter as sterling reached its highest exchange value against the dollar for over five years profiting the Fund’s long S&P, bund and pound positions in particular.

The energy sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the second quarter as natural gas prices and the value of long positions continued to rise in April. Losses were posted to the Fund in the middle of the quarter. Profits were posted to the Fund at the end of the quarter. In June conflicts in Iraq threatened refinery output which supported oil prices and benefitted the Fund’s crude holdings.

The metals sector posted losses to the Fund. Profits were posted to the Fund at the beginning through the middle of the second quarter only to be reversed at the end of the quarter. Losses were posted to the Fund at the end of the quarter due to regional instability in Iraq which contributed to rising precious metal values and subsequent losses for Fund’s short positions in this sector.

The agriculture sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the second quarter. In April the agriculture sector had positive performance, in particular the Fund’s soybean holding which benefitted from reports showing increasing international demand for U.S. crop and little sign of a seasonal decline in shipments from Brazil as the end of its harvest approached. The Fund suffered losses in the middle of the quarter. In May improving weather conditions in the U.S. and Russia led to double digit declines in the price of wheat and corn, which adversely affected the Fund’s performance. Corn price declines were further impacted by Chinese import curbs against U.S. genetically modified supplies containing presence of MIR 162, an insect-resistant genetic trait. Losses were posted to the Fund at the end of the quarter. In June corn prices continued to fall with high inventory levels and anticipation of large harvests in the U.S. adding to bearish sentiment and reducing the value of the Fund’s contracts.

July 1, 2014 to September 30, 2014

The Fund experienced a net trading profit of $13,157,620 before brokerage commissions and related fees in the third quarter of 2014. The Fund’s profits were primarily attributable to the interest rates, metals and energy sectors posting profits. The stock indices, currency and agriculture sectors posted losses.

The interest rate sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the third quarter. At the end of July, a strong GDP number was announced in the U.S and fixed income markets responded with a sharp fall. Profits were posted to the Fund in the middle of the quarter. Combined with ongoing stresses in the relationship between Russia and Ukraine and continued concerns

over European growth (or lack thereof), many fixed income markets reached yearly highs. Losses were posted to the Fund at the end of the quarter as the prospect of higher U.S. interest rates weighed on bond prices, contributing to losses in this sector.

The metals sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the third quarter. Base metal systems contributed positive performance; particularly aluminum and zinc where a series of production cuts by global smelters and mine closures resulted in deteriorating inventories and supply deficits. Profits were posted to the Fund in the middle and the end of the quarter.

The energy sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the third quarter. Mild summer weather in the U.S., which was forecasted to continue, had limited energy consumption and subsequently saw storage rise, which eroded the value of Fund’s natural gas contracts. Crude oil prices and the Fund’s long position also fell in July where low levels of demand appear to have outweighed the possibility of supply disruptions, which may be caused by escalating conflicts in the Middle East and additional international sanctions against Russia following the MH17 tragedy. Profits were posted to the Fund in the middle and the end of the quarter.

The stock indices sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the third quarter. Throughout July, equity markets tried to climb higher, but fell sharply at the end of the month following a very strong GDP number in the U.S. Profits were posted to the Fund in the middle of the quarter. U.S. equities climbed as investors focused on strong corporate earnings and a healthier domestic micro environment in favor of macro headwinds. Losses were posted to the Fund at the end of the quarter. The prospect of higher U.S. interest rates weighed on equity prices, contributing to losses in this sector.

The currency sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the third quarter. Concerns about the financial strength of a major Portuguese lender provided a reminder that the Eurozone debt crisis is still being resolved. The IMF provided reassurance that risks are isolated in an effort to avoid contagion and also prevent a wider reassessment of the recovering, but still potentially fragile banking system. With the European Central Bank struggling to stem a deflationary tide while U.S. economic activity improved, events emphasized a widening transatlantic divergence through July. Profits were posted to the Fund in the middle of the quarter due to the gains achieved being positioned short euros. Profits were posted to the Fund at the end of the quarter due to strong performance for the Trading Program being positioned long euros.

The agriculture sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the third quarter. Losses were posted to the Fund in the middle of the quarter as Vladimir Putin banned imports of agricultural produce from those countries which imposed sanctions on Russia for its actions in the Ukraine crisis. Losses were posted to the Fund at the end of the quarter as soybean prices and the value of contracts continued to fall in September, trading lower as U.S. farmers began to harvest a strong crop and China suspended import approval for two genetically modified traits.

January 1, 2013 to September 30, 2013

January 1, 2013 to March 31, 2013

The Fund experienced a net trading profit of $50,605,698 before brokerage commissions and related fees in the first quarter of 2013. The Fund’s profits were primarily attributable to the stock indices, currency and the agriculture sectors posting profits. The energy, metals and interest rate sectors posted losses.

The stock indices posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter due to the markets in Europe and Japan rising along with the U.S. markets. Losses were posted to the Fund in the middle of the quarter. February was a turbulent month for asset prices with plenty of impacting events. These included a UK downgrade, the Bank of Japan searching for a new governor and the U.S. Federal Open Market Committee (FOMC) discussing how they will unwind their quantitative easing. These events interrupted the January stock market rally which left the value of the Fund’s equity positions down in February. Profits were posed to the Fund at the end of the quarter. Despite the “sequestration” U.S. budget cuts coming into effect at the beginning of March, U.S. equity markets resumed their rally. Promising employment data complemented the sanguine market mood, pushing the Dow Jones higher and producing strong returns for the Fund’s equity index.

The currency sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter. In Asia, the new Japanese government initiating a yen stimulus package helped the Trading Program’s short position in the Japanese yen. Long euro positions produced profits for the Fund. Losses were posted to the Fund in the middle of the quarter. The strong upward moves in the U.S. dollar left the value of the Trading Program’s currency positions down in February. Profits were posted to the Fund at the end of the quarter. Governor Kuroda used his first press conference as leader of the Bank of Japan to reiterate his strong desire to end deflation and set a target of achieving 2% inflation within two years. This contributed to the Trading Program’s profits in the Japanese yen.

The agriculture sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the quarter which was reversed in the middle of the quarter. Profits were posted to the Fund in the middle of the quarter. More rain in the U.S., most notably over the plains, reduced concerns of drought conditions worsening. This weather contributed to crop prices falling, benefitting the Trading Program’s short wheat and corn positions. Profits were posted to the Fund at the end of the quarter.

The energy sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter. Energy prices increased during January with a negative impact on the Trading Program’s short oil and natural gas positions. Losses were posted to the Fund in the middle of the quarter. Profits were posted to the Fund at the end of the quarter. Extended cold weather eroded natural gas storage levels, pushing prices significantly higher resulting in the energy sector posting profits.

The metals sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter only to be reversed in the middle of the quarter. Position liquidation and interrupted demand contributed to market falls with the result that the Trading Program’s silver holding positions incurred losses. Profits were posted to the Fund at the end of the quarter.

The interest rate sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter. There were indications of early repayments of European Central Bank loans. A consequence of positive sentiment was increased focus on if, and when, monetary policy will slow and liquidity removal will start. This attention pushed interest rates higher and reduced the value of Trading Program’s fixed income positions, particularly in Europe. Profits were posted to the Fund in the middle of the quarter with higher moves in bond and fixed income prices. Profits were posted to the Fund at the end of the quarter.

April 1, 2013 to June 30, 2013

The Fund experienced a net trading loss of $9,862,344 before brokerage commissions and related fees in the second quarter of 2013. The Fund’s profits were primarily attributable to the metals, stock indices and the agriculture sectors posting profits. The energy, currency and interest rate sectors posted losses.

The metals sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter. Metal prices sold off and struggled to recover in April increasing the value of the Trading Program’s short holdings in gold, copper and to a lesser extent, silver. Profits were posted to the Fund in the middle of the quarter resulting from precious metals losses, benefitting the Trading Program’s short gold position. Profits were posted to the Fund at the end of the quarter from the Trading Program’s short positions in the precious and base metal sectors.

The stock indices sector posted profits to the Fund. Profits were posted to the Fund at the beginning through the middle of the quarter resulting from the Trading Program’s long and short positions. Losses were posted to the Fund at the end of the quarter due to the Trading Program’s long positions in the equity markets.

The agriculture sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the quarter only. Profits were posted to the Fund in the middle through the end of the quarter.

The energy sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter only to be reversed in the middle through the end of the quarter. Losses were posted to the Fund in the middle through the end of the week.

The currency sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter resulting from the Trading Program’s short positions in the Japanese yen. Losses were posted to the Fund in the middle of the quarter as currencies weakened as the differential between core and peripheral yields narrowed, negatively impacting the Trading Program’s long holding of Turkish lira and Chilean peso. Losses were posted to the Fund at the end of the quarter resulting from the Trading Program’s holdings of Turkish lira and Russian rouble.

The interest rate sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter. Financial markets extended their rally through April, with the global search for yield overshadowing potential stumbling blocks surrounding European politics. The combination of central bank balance sheet expansion and a generally bullish earnings season helped deliver positive performance from the fixed income portfolio. Losses were posted to the Fund in the middle of the quarter. Minutes from the latest Federal Reserve FOMC meeting and Chairman Bernanke’s testimony to Congress reinvigorated some market participants’ perception that a tapering of monetary stimulus in the U.S. may materialize sooner than expected. Yields pushed higher as fixed income positions unwound, reducing the value of the Trading Program’s long holdings in Europe and the U.S. Losses were posted to the Fund at the end of the quarter. June proved to be a volatile four weeks for the Fund as it recovered from being down mid-month. The markets continued to feel panicked with the rise in U.S. yields that started in May continuing at an accelerated pace despite attempts from Federal Reserve officials to reassure market participants. This momentum was not helped by generally positive U.S. economic data and the resulting sell off in asset prices suggests that many market participants were rapidly unwinding their positions. The Trading Program’s long positions in the fixed income markets fell in value.

July 1, 2013 to September 30, 2013

The Fund experienced a net trading loss of $7,781,539 before brokerage commissions and related fees in the third quarter of 2013. The Fund’s profits were primarily attributable to the stock indices and the agriculture sectors posting profits. The interest rate, currency, energy and metals sectors posted losses.

The stock indices posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter. U.S. and European equity indices recovered some of their June losses in July, which was to the benefit of the Fund’s portfolio which remained net long in this sector. Losses were posted to the Fund in the middle of the quarter. Attention shifted through the course of August from the prospect of U.S. domestic monetary policy tightening to rapidly escalating geopolitical tensions. Both themes weighed on sentiment and developments in Syria apparently accelerated a sell-off in “risky” assets. As part of this sell-off equity prices fell, causing losses in the Trading Program’s stock index positions. Profits were posted to the Fund at the end of the quarter.

The agriculture sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the quarter. Profits were posted to the Fund in the middle of the quarter. Crops provided the strongest performance where dry conditions in the Midwest threatened new crop yields and strong demand from China helped soybean futures post gains. Losses were posted to the Fund at the end of the quarter.

The interest rate sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter as monetary policy was a dominant influence on global financial markets throughout July. Some central banks, including those in the UK, Europe and Australia appeared to distance themselves from the discussions of “tapering” in the U.S. by providing guidance towards policy remaining accommodative. Losses were posted to the Fund in the middle of the quarter. Augusts’ performance was disappointing, as the Trading Program was not well positioned to weather the sell-off. Profits were posted to the Fund at the end of the quarter as sentiment was boosted in September when the U.S. Federal Reserve did not start “tapering”.

The currency sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter as the euro rallied to erase its recent losses, but these gains were offset by losses in the Trading Program’s short Japanese yen position. Losses were posted to the Fund in the middle of the quarter due to a rise in energy prices which contributed to a weakening in currencies of oil importing nations, most notably India. Profits were posted to the Fund at the end of the quarter with the U.S. dollar losing some interest rate support. Long positions in Euros, sterling and emerging market currencies including the rouble and rand rallied.

The energy sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter. The energy complex witnessed a broad rally in the first half of July driven by encouraging economic data in the U.S. and reducing the value of short positions held in heating and crude oil. Losses were posted to the Fund in the middle of the quarter as energy prices rose towards the end of August in connection with the possibility of supply disruption. Losses were posted to the Fund at the end of the quarter as the Trading Program reduced the value of crude holdings.

The metals sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter as metal markets experienced a relief rally in July contributing losses to the Trading Program’s short gold and copper positions. Losses were posted to the Fund in the middle of the quarter as precious metal prices rallied leading to further losses in short gold and silver positions. Profits were posted to the Fund at the end of the quarter due to the Trading Program’s short gold and silver positions.

(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 Fund’s 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 Fund’s main line of business.

Market movements result in frequent changes in the fair market value of the Fund’s open positions and, consequently, in its earnings and cash flow. The Fund’s 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 Fund’s open positions and the liquidity of the markets in which it trades.

The Fund, under the direction of the Trading Advisor, rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Fund’s 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 Fund’s 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 Fund’s 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 Fund’s losses in any market sector will be limited to Value at Risk or by the Fund’s attempts to manage its market risk.

Quantifying The Fund’s Trading Value At Risk

Quantitative Forward-Looking Statements

The following quantitative disclosures regarding the Fund’s market risk exposures contain “forward-looking statements” 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 (“Securities Act”) and Section 21E of the Securities Exchange Act of 1934 (“Securities Exchange Act”)). 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 Fund’s risk exposure in the various market sectors traded by the Fund is quantified below in terms of Value at Risk. Due to the Fund’s fair value accounting, any loss in the fair value of the Fund’s open positions is directly reflected in the Fund’s earnings (realized or unrealized) and cash flow (in the case of exchange-traded contracts in which profits and losses on open positions are settled daily through variation margin).

Exchange 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 category’s aggregate Value at Risk. The diversification effects resulting from the fact that the Fund’s positions are rarely, if ever, 100% positively correlated have not been reflected.

The Fund’s Trading Value at Risk in Different Market Sectors

The following table indicates the average, highest and lowest trading Value at Risk associated with the Fund’s open positions by market category. For the nine month periods ended September 30, 2014 and 2013, the Fund’s average Month-end Net Asset Value was approximately $937,788,872 and $1,078,783,040, respectively.

	September 30, 2014
	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk

Agriculture	$	23,753,943	2.53	%	$	34,166,175	$	13,986,470
Currencies	6,456,389		0.69	%	8,403,134		5,146,393
Energy	5,978,825		0.64	%	13,688,692		1,909,127
Interest Rates	18,775,761		2.00	%	32,950,906		3,754,274
Metals	12,777,078		1.36	%	18,605,442		8,246,417
Stock Indices	12,819,964		1.37	%	20,862,873		6,278,996

TOTAL	$	80,561,960	8.59	%	$	128,677,222	$	39,321,677

	September 30, 2013
	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk

Agriculture	$	7,663,591	0.71	%	$	15,231,197	$	3,090,566
Currencies	15,607,911		1.45	%	23,053,950		9,630,053
Energy	4,632,391		0.43	%	6,356,357		2,909,443
Interest Rates	19,179,627		1.78	%	27,556,919		12,484,496
Metals	17,884,286		1.66	%	31,568,957		678,387
Stock Indices	6,700,699		0.62	%	10,694,810		4,653,692

TOTAL	$	71,668,505	6.65	%	$	114,462,190	$	33,446,637

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 Fund’s 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 and MLI

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 typically immaterial.

The Fund also has non-trading market risk on approximately 90% of its assets which are held in cash at MLPF&S. 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 Fund’s 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 Fund’s primary market risk exposures as well as the strategies used and to be used by MLAI and the Trading Advisor for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Fund’s 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 Fund’s 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 value of their investment in the Fund.

The following are the primary trading risk exposures of the Fund by market sector.

Interest Rates

Interest rate movements directly affect the price of derivative sovereign bond futures 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 can materially impact the Fund’s profitability. The Fund’s primary interest rate exposure is to interest rate fluctuations in the United States and the other G-7 countries. However, the Fund may also take 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 Fund’s 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 Fund’s primary equity exposure is due to various 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 Fund’s metals market exposure is to fluctuations in both the price of precious and non-precious metals.

Agricultural Commodities

The Fund’s 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 Fund’s agricultural commodities exposure.

Energy

The Fund’s 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 are the primary non-trading risk exposures of the Fund.

Foreign Currency Balances

The Fund’s primary foreign currency balances are in Japanese yen, British pounds and Euros.

U.S. Dollar Cash Balance

The Fund holds the vast majority of its U.S. dollars in cash at MLPF&S and MLI. 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.

Qualitative Disclosures Regarding Means of Managing Risk Exposure

Trading Risk

MLAI has procedures in place intended to control market risk, although there can be no assurance that they will, in fact, succeed in doing so. While MLAI does not intervene in the markets to hedge or diversify the Fund’s market exposure, MLAI may urge the Trading Advisor to reallocate positions in an attempt to avoid over-concentrations. However, such interventions are unusual, except in cases in which it appears that the Trading Advisor has begun to deviate from past practice and trading policies or to be trading erratically. MLAI’s basic control procedures consist of the ongoing process of monitoring the Trading Advisor with the market risk controls being applied by the Trading Advisor itself.

Risk Management

The Trading Advisor’s investment strategies are operated as an automated, computer-based system. Most of the Trading Advisor’s investments are made strictly in accordance with the output of the Trading Advisor’s system. However, the Trading Advisor may, on occasion (such as the occurrence of exceptional events that fall outside the parameters of the research on which the system is based), make investment decisions based on other factors and take action to override the output of the system to seek to protect the interests of clients. For example, if there is a market crash or if trading is suspended on a market or exchange, the Trading Advisor may attempt to reduce risk by decreasing leverage or liquidating or hedging positions in certain markets.

Non-Trading Risk

The Fund controls the non-trading exchange rate risk by regularly converting foreign balances back into U.S. dollars at least once per week, and more frequently if a particular foreign currency balance becomes unusually high.

The Fund has 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. However, a certain amount of cash or cash equivalents must be held by the Fund in order to facilitate margin payments and pay expenses and redemptions. MLAI does not take any steps to limit the cash flow risk on its cash held on deposit at MLPF&S.

Item 4. Controls and Procedures

Disclosure Controls and Procedures

MLAI’s Chief Executive Officer and Chief Financial Officer, on behalf of the Fund, have evaluated the effectiveness of the design and operation of its disclosure controls and procedures (as defined in Rule 13a-15(e) or Rule 15d-15(e) under the Securities Exchange Act) with respect to the Fund as of and for the quarter which ended September 30, 2014, and, based on their evaluation, have concluded that these disclosure controls and procedures are effective.

Changes in Internal Control over Financial Reporting

No change in internal control over financial reporting (as defined in Rule 13a-15(f) or Rule 15d-15(f) under the Securities Exchange Act) occurred during the quarter ended September 30, 2014 that has materially affected, or is reasonably likely to materially affect, the Fund’s 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 Fund’s report on Form 10-K for the year ended December 31, 2013, filed with the Securities and Exchange Commission on March 25, 2014.

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

(a) Units are privately offered and sold to “accredited investors” (as defined in Rule 501(a) under the Securities Act in reliance on the exemption from registration provided by Section 4(2) of the Securities Act) and Rule 506 thereunder. The selling agent of the Units was MLPF&S.

CLASS A

	Subscription
	Amount		Units	NAV (1)
1/1/2014	$	1,025,151	589,675	$	1.7385
1/16/2014	185,969		107,379	1.7319
2/1/2014	613,575		361,628	1.6967
2/16/2014	226,103		132,418	1.7075
3/1/2014	139,529		80,517	1.7329
3/16/2014	524,831		308,435	1.7016
4/1/2014	2,208,952		1,283,230	1.7214
4/16/2014	297,577		172,538	1.7247
5/1/2014	224,107		128,156	1.7487
5/16/2014	169,846		96,751	1.7555
6/1/2014	878,554		493,819	1.7791
6/16/2014	813,018		458,116	1.7747
7/1/2014	316,340		177,849	1.7787
7/16/2014	301,175		171,190	1.7593
8/1/2014	756,905		436,508	1.7340
8/16/2014	146,171		82,480	1.7722
9/1/2014	458,985		255,105	1.7992
9/16/2014	39,600		22,429	1.7656
10/1/2014	448,350		251,303	1.7841

CLASS C

	Subscription
	Amount		Units	NAV (1)
1/1/2014	$	2,979,226	1,871,491	$	1.5919
1/16/2014	962,593		607,276	1.5851
2/1/2014	3,696,311		2,381,183	1.5523
2/16/2014	2,699,789		1,728,971	1.5615
3/1/2014	4,033,806		2,546,434	1.5841
3/16/2014	3,025,307		1,945,786	1.5548
4/1/2014	3,897,892		2,479,259	1.5722
4/16/2014	3,572,339		2,268,728	1.5746
5/1/2014	4,823,262		3,022,284	1.5959
5/16/2014	4,272,492		2,667,973	1.6014
6/1/2014	3,821,711		2,355,736	1.6223
6/16/2014	2,083,085		1,287,843	1.6175
7/1/2014	2,295,762		1,416,612	1.6206
7/16/2014	1,796,652		1,121,366	1.6022
8/1/2014	2,465,112		1,561,680	1.5785
8/16/2014	1,983,849		1,230,218	1.6126
9/1/2014	1,146,536		700,602	1.6365
9/16/2014	949,508		591,520	1.6052
10/1/2014	1,698,036		1,047,265	1.6214

CLASS D

	Subscription
	Amount		Units	NAV (1)
1/1/2014	$	215,000	117,429	$	1.8309
1/16/2014	—		—	1.8250
2/1/2014	14,000		7,825	1.7891
2/16/2014	—		—	1.8016
3/1/2014	—		—	1.8296
3/16/2014	—		—	1.7976
4/1/2014	4,000,000		2,198,164	1.8197
4/16/2014	—		—	1.8244
5/1/2014	—		—	1.8509
5/16/2014	—		—	1.8592
6/1/2014	—		—	1.8854
6/16/2014	—		—	1.8819
7/1/2014	—		—	1.8874
7/16/2014	—		—	1.8679
8/1/2014	2,500,000		1,357,073	1.8422
8/16/2014	—		—	1.8840
9/1/2014	—		—	1.9139
9/16/2014	—		—	1.8793
10/1/2014	—		—	1.9001

CLASS I

	Subscription
	Amount		Units	NAV (1)
1/1/2014	$	1,342,225	750,895	$	1.7875
1/16/2014	—		—	1.7809
2/1/2014	91,084		52,194	1.7451
2/16/2014	—		—	1.7565
3/1/2014	829,000		464,973	1.7829
3/16/2014	1,128,000		644,203	1.7510
4/1/2014	129,961		73,358	1.7716
4/16/2014	—		—	1.7754
5/1/2014	9,000		4,999	1.8004
5/16/2014	35,000		19,363	1.8076
6/1/2014	73,709		40,228	1.8323
6/16/2014	35,239		19,277	1.8280
7/1/2014	50,000		27,285	1.8325
7/16/2014	100,000		55,163	1.8128
8/1/2014	120,000		67,152	1.7870
8/16/2014	35,503		19,436	1.8267
9/1/2014	50,000		26,957	1.8548
9/16/2014	—		—	1.8205
10/1/2014	20,000		10,871	1.8398

CLASS DS

	Subscription
	Amount		Units	NAV (1)
1/1/2014	$	—	—	$	1.8286
1/16/2014	—		—	1.8228
2/1/2014	—		—	1.7869
2/16/2014	—		—	1.7994
3/1/2014	—		—	1.8273
3/16/2014	—		—	1.7954
4/1/2014	5,971,969		3,285,996	1.8174
4/16/2014	—		—	1.8221
5/1/2014	—		—	1.8486
5/16/2014	—		—	1.8569
6/1/2014	295,590		156,970	1.8831
6/16/2014	—		—	1.8795
7/1/2014	—		—	1.8850
7/16/2014	—		—	1.8656
8/1/2014	—		—	1.8399
8/16/2014	—		—	1.8817
9/1/2014	224,074		117,224	1.9115
9/16/2014	193,877		103,291	1.8770
10/1/2014	101,944		53,717	1.8978

CLASS DT

	Subscription
	Amount		Units	NAV (1)
1/1/2014	$	—	—	$	1.9307
1/16/2014	—		—	1.9249
2/1/2014	—		—	1.8875
2/16/2014	—		—	1.9010
3/1/2014	—		—	1.9309
3/16/2014	—		—	1.8976
4/1/2014	—		—	1.9213
4/16/2014	—		—	1.9266
5/1/2014	—		—	1.9560
5/16/2014	—		—	1.9657
6/1/2014	—		—	1.9956
6/16/2014	—		—	1.9919
7/1/2014	—		—	1.9984
7/16/2014	—		—	1.9783
8/1/2014	—		—	1.9514
8/16/2014	—		—	1.9961
9/1/2014	—		—	2.0298
9/16/2014	—		—	1.9919
10/1/2014	—		—	2.0150

CLASS M

	Subscription
	Amount		Units	NAV (1)
1/1/2014	$	1,097,617	1,066,890	$	1.0288
1/16/2014	35,000		34,130	1.0255
2/1/2014	1,489,860		1,482,005	1.0053
2/16/2014	5,118,801		5,056,604	1.0123
3/1/2014	32,135,122		31,259,846	1.0280
3/16/2014	240,206		237,805	1.0101
4/1/2014	3,071,195		3,003,614	1.0225
4/16/2014	2,113,867		2,062,108	1.0251
5/1/2014	805,595		774,610	1.0400
5/16/2014	1,011,000		967,742	1.0447
6/1/2014	420,000		396,451	1.0594
6/16/2014	150,000		141,858	1.0574
7/1/2014	3,349,000		3,157,944	1.0605
7/16/2014	453,000		431,634	1.0495
8/1/2014	385,000		371,945	1.0351
8/16/2014	580,126		548,012	1.0586
9/1/2014	1,783,000		1,657,988	1.0754
9/16/2014	825,000		781,324	1.0559
10/1/2014	1,575,000		1,475,133	1.0677

CLASS F

	Subscription
	Amount		Units	NAV (1)
1/1/2014	$	—	—	$	1.0007
1/16/2014	—		—	0.9979
2/1/2014	—		—	0.9787
2/16/2014	—		—	0.9859
3/1/2014	—		—	1.0017
3/16/2014	—		—	0.9846
4/1/2014	—		—	0.9971
4/16/2014	—		—	1.0001
5/1/2014	—		—	1.0149
5/16/2014	—		—	1.0198
6/1/2014	—		—	1.0346
6/16/2014	—		—	1.0330
7/1/2014	—		—	1.0363
7/16/2014	—		—	1.0261
8/1/2014	—		—	1.0124
8/16/2014	—		—	1.0358
9/1/2014	—		—	1.0526
9/16/2014	—		—	1.0340
10/1/2014	—		—	1.0458

CLASS F1

	Subscription
	Amount		Units	NAV (1)
1/1/2014	$	—	—	$	1.0254
1/16/2014	—		—	1.0225
2/1/2014	—		—	1.0028
2/16/2014	—		—	1.0102
3/1/2014	—		—	1.0264
3/16/2014	—		—	1.0089
4/1/2014	—		—	1.0217
4/16/2014	—		—	1.0247
5/1/2014	—		—	1.0400
5/16/2014	—		—	1.0450
6/1/2014	—		—	1.0601
6/16/2014	—		—	1.0584
7/1/2014	—		—	1.0619
7/16/2014	—		—	1.0514
8/1/2014	—		—	1.0373
8/16/2014	—		—	1.0613
9/1/2014	—		—	1.0785
9/16/2014	—		—	1.0595
10/1/2014	—		—	1.0716

(1) Beginning of the period Net Asset Value

Class A Units are subject to upfront sales commissions paid to MLPF&S ranging from 1.0% to 2.5% of an investor’s gross subscription amount. Class D Units and Class I Units are subject to upfront sales commissions paid to MLPF&S up to 2.5% of an investor’s gross subscription amount. Class F Units and Class G Units are subject to upfront sales commissions paid to MLPF&S up to 0.5% of an investor’s gross subscription amount. Sales commissions are directly deducted from subscription amounts. Class C Units, Class DS Units, Class DT Units, Class F-1 Units, and Class M Units are not subject to upfront sales commissions.

(b) Not applicable.

Item 3. Defaults Upon Senior Securities

None.

Item 4. Mine Safety Disclosures

Not applicable.

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.

Exhibit 101 Are filed herewith.

The following materials from the Fund’s quarterly Report on Form 10-Q for the three and nine month periods ended September 30, 2014 formatted in XBRL (Extensible Business Reporting Language): (i) Statements of Financial Condition (ii) Statements of Operations (iii) Statements of Changes in Members’ Capital (iv) Financial Data Highlights and (v) Notes to Financial Statements, tagged as blocks of text.

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 14, 2014	By:	/s/ KEITH GLENFIELD
		Keith Glenfield
		Chief Executive Officer and President
		(Principal Executive Officer)


Date: November 14, 2014	By:	/s/ BARBRA E. KOCSIS
		Barbra E. Kocsis
		Chief Financial Officer
		(Principal Financial Officer)

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

Attached files

ML Winton FuturesAccess LLC Reports