UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

(Mark One)

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

For the quarterly period ended September 30, 2013

OR

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

For the transition period from                  to                 

Commission File Number 0-51084

ML WINTON FUTURESACCESS LLC

(Exact Name of Registrant as
specified in its charter)

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

c/o Merrill Lynch Alternative Investments LLC

Four World Financial Center, 11th Floor

250 Vesey Street

New York, New York 10080

(Address of principal executive offices)

(Zip Code)

212-449-3517

(Registrant’s telephone number, including area code)

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes x  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, 2013, 692,434,305 units of limited liability company interest were outstanding.

ML WINTON FUTURESACCESS LLC

QUARTERLY REPORT FOR SEPTEMBER 30, 2013 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	18
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	28
Item 4.	Controls and Procedures	32
	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	35
Item 4.	Mine Safety Disclosures	35
Item 5.	Other Information	35
Item 6.	Exhibits	35

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,
	2013		2012
ASSETS:
Equity in commodity trading accounts:
Cash (including restricted cash of $81,885,836 for 2013 and $88,048,482 for 2012)	$	1,025,659,055	$	1,094,747,864
Net unrealized profit on open futures contracts	14,338,531		13,181,192
Net unrealized profit on open forwards contracts	6,921,176		2,787,207
Cash	664,364		872,010
Accrued interest receivable	569		646
TOTAL ASSETS	$	1,047,583,695	$	1,111,588,919
LIABILITIES AND MEMBERS’ CAPITAL:
LIABILITIES:
Brokerage commissions payable	$	9,184	$	5,975
Sponsor and Advisory fees payable	2,952,030		3,208,763
Redemptions payable	16,020,338		10,403,455
Net unrealized loss on open futures contracts	1,930,046		3,495,313
Net unrealized loss on open forwards contracts	2,444,020		1,636,300
Other liabilities	715,142		451,936
Total liabilities	24,070,760		19,201,742
MEMBERS’ CAPITAL:
Members’ Interest (692,434,305 Units and 695,939,035 Units)	1,023,512,935		1,092,387,177
Total members’ capital	1,023,512,935		1,092,387,177
TOTAL LIABILITIES AND MEMBERS’ CAPITAL	$	1,047,583,695	$	1,111,588,919
NET ASSET VALUE PER UNIT:
(Based on 692,434,305 and 695,939,035 Units outstanding; unlimited Units authorized)
Class A	$	1.6475	$	1.6478
Class C	$	1.5123	$	1.5240
Class D	$	1.7285	$	1.7095
Class I	$	1.6922	$	1.6874
Class DS	$	1.7264	$	1.7074
Class DT	$	1.8202	$	1.7935
Class M	$	0.9712	$	0.9606
Class F	$	0.9427	$	—
Class F1	$	0.9660	$	—

See notes to financial statements.

1

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,
	2013			2012			2013			2012
TRADING PROFIT (LOSS):
Realized, net	$	(15,970,297	)	$	(3,123,584	)	$	26,912,960		$	(16,811,102	)
Change in unrealized, net	8,188,758			16,484,967			6,048,855			(12,654,176		)
Brokerage commissions	(287,726		)	(371,704		)	(1,029,682		)	(1,189,755		)
Total trading profit (loss), net	(8,069,265		)	12,989,679			31,932,133			(30,655,033		)
INVESTMENT INCOME (EXPENSE):
Interest, net	(108,916		)	(104,159		)	(230,787		)	(209,025		)
EXPENSES:
Management fee	5,049,969			5,829,903			16,063,749			17,292,971
Sponsor fee	3,865,900			4,437,487			12,131,597			12,946,150
Performance fee	—			—			90,275			519
Other	522,941			475,015			1,680,774			1,360,611
Total expenses	9,438,810			10,742,405			29,966,395			31,600,251
NET INVESTMENT INCOME (LOSS)	(9,547,726		)	(10,846,564		)	(30,197,182		)	(31,809,276		)
NET INCOME (LOSS)	$	(17,616,991	)	$	2,143,115		$	1,734,951		$	(62,464,309	)
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding
Class A	98,861,864			114,721,063			100,504,529			112,523,332
Class C	320,126,878			349,703,505			326,277,639			335,339,207
Class D	65,547,304			97,779,446			84,637,855			96,589,416
Class I	50,569,449			55,448,241			50,937,292			53,046,230
Class DS	39,130,689			70,062,451			44,773,936			76,701,026
Class DT	10,123,493			15,852,809			11,446,697			16,968,796
Class M*	48,451,473			7,263,511			44,417,900			4,461,953
Class F**	46,520,691			—			44,143,649			—
Class F1***	32,348,368			—			32,348,368			—
Net income (loss) per weighted average Unit
Class A	$	(0.0280	)	$	0.0026		$	0.0030		$	(0.0926	)
Class C	$	(0.0298	)	$	(0.0017	)	$	(0.0100	)	$	(0.0988	)
Class D	$	(0.0220	)	$	0.0115		$	0.0625		$	(0.0752	)
Class I	$	(0.0256	)	$	0.0045		$	0.0072		$	(0.0886	)
Class DS	$	(0.0246	)	$	0.0131		$	0.0347		$	(0.0720	)
Class DT	$	(0.0235	)	$	0.0148		$	0.0405		$	(0.0700	)
Class M*	$	(0.0124	)	$	(0.0137	)	$	0.0049		$	(0.0548	)
Class F**	$	(0.0097	)	$	—		$	(0.0473	)	$	—
Class F1***	$	(0.0100	)	$	—		$	(0.0340	)	$	—

* Units issued on March 1, 2012

** Units issued on May 16, 2013

*** Units issued on June 1, 2013

See notes to financial statements.

2

ML WINTON FUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013 AND 2012

(unaudited) (in Units)

	Members’ Capital December 31,2011	Subscriptions	Redemptions		Members’ Capital September 30, 2012	Members’ Capital December 31, 2012	Subscriptions	Redemptions		Members’ Capital September 30, 2013
Class A	102,409,963	25,182,513	(13,680,165	)	113,912,311	105,821,750	7,397,375	(16,862,854	)	96,356,271
Class C	302,923,116	79,560,790	(35,818,663	)	346,665,243	334,741,567	23,661,718	(49,429,710	)	308,973,575
Class D	93,387,095	11,564,571	(6,862,124	)	98,089,542	99,225,678	5,643,638	(39,138,841	)	65,730,475
Class I	49,889,508	12,514,420	(7,370,534	)	55,033,394	50,667,859	5,547,204	(6,253,607	)	49,961,456
Class DS	86,602,313	—	(21,662,665	)	64,939,648	54,128,029	—	(18,954,887	)	35,173,142
Class DT	18,285,820	—	(3,262,202	)	15,023,618	13,202,221	—	(4,003,077	)	9,199,144
Class M*	—	8,805,656	—		8,805,656	38,151,931	13,284,845	(3,265,593	)	48,171,183
Class F**	—					—	46,520,691	—		46,520,691
Class F1***	—	—	—		—	—	32,348,368	—		32,348,368
Total Members’ Units	653,497,815	137,627,950	(88,656,353	)	702,469,412	695,939,035	134,403,839	(137,908,569	)	692,434,305

* Units issued on March 1, 2012

** Units issued on May 16, 2013

*** Units issued on June 1, 2013

See notes to financial statements.

3

ML WINTON FUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013 AND 2012

 (unaudited)

	Members’ Capital December 31, 2011		Subscriptions		Redemptions			Net Income (Loss)			Members’ Capital September 30, 2012		Members’ Capital December 31, 2012		Subscriptions		Redemptions			Net Income (Loss)			Members’ Capital September 30, 2013
Class A	$	179,178,644	$	43,411,356	$	(23,379,750	)	$	(10,418,259	)	$	188,791,991	$	174,373,801	$	12,446,410	$	(28,377,257	)	$	301,008		$	158,743,962
Class C	495,110,458		127,489,262		(56,769,354		)	(33,127,371		)	532,702,995		510,141,341		36,752,597		(76,366,645		)	(3,273,152		)	467,254,141
Class D	166,986,022		20,373,752		(12,074,838		)	(7,259,993		)	168,024,943		169,628,029		9,820,354		(71,124,313		)	5,291,965			113,616,035
Class I	89,030,337		21,813,033		(12,831,844		)	(4,701,300		)	93,310,226		85,499,452		9,472,593		(10,794,255		)	365,746			84,543,536
Class DS	154,664,303		—		(38,036,224		)	(5,524,617		)	111,103,462		92,418,972		—		(33,250,201		)	1,553,493			60,722,264
Class DT	34,131,627		—		(5,977,974		)	(1,188,236		)	26,965,417		23,677,969		—		(7,397,833		)	464,147			16,744,283
Class M*	—		8,720,000		—			(244,533		)	8,475,467		36,647,613		13,089,297		(3,170,308		)	219,309			46,785,911
Class F**	—				—			—					—		45,942,000		—			(2,086,294		)	43,855,706
Class F1***	—		—		—			—			—		—		32,348,368		—			(1,101,271		)	31,247,097
Total Members’ Interest	$	1,119,101,391	$	221,807,403	$	(149,069,984	)	$	(62,464,309	)	$	1,129,374,501	$	1,092,387,177	$	159,871,619	$	(230,480,812	)	$	1,734,951		$	1,023,512,935

* Units issued on March 1, 2012

** Units issued on May 16, 2013

*** Units issued on June 1, 2013

See notes to financial statements.

4

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)
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 (c)	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: (b)
Expenses (excluding Performance fees)	0.92		%	1.17		%	0.55		%	0.82		%	0.55		%	0.42		%	0.55		%	0.30		%	0.30		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Expenses (including Performance fees)	0.92		%	1.17		%	0.55		%	0.82		%	0.55		%	0.42		%	0.55		%	0.30		%	0.30		%
Net investment income (loss)	-0.93		%	-1.18		%	-0.56		%	-0.83		%	-0.56		%	-0.43		%	-0.56		%	-0.31		%	-0.31		%

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

(b) The ratios to average member capital have been annualized. The performance fee ratios are not annualized.

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

* Units issued on May 16, 2013

** Units issued on June 1, 2013

See notes to financial statements.

5

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)
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 (c)	-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: (b)
Expenses (excluding Performance fees)	2.79		%	3.54		%	1.67		%	2.49		%	1.67		%	1.29		%	1.67		%	0.90		%	0.90		%
Performance fees	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)	-2.80		%	-3.55		%	-1.68		%	-2.50		%	-1.68		%	-1.30		%	-1.68		%	-0.19		%	-0.81		%

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

(b) The ratios to average member capital have been annualized. The performance fee ratios are not annualized.

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

* Units issued on May 16, 2013

** Units issued on June 1, 2013

See notes to financial statements.

6

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED SEPTEMBER 30, 2012 (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
Per Unit Operating Performance:
Net asset value, beginning of period	$	1.6545		$	1.5379		$	1.7037		$	1.6910		$	1.7016		$	1.7829		$	0.9573
Net realized and net change in unrealized trading profit(loss)	0.0190			0.0178			0.0195			0.0194			0.0195			0.0203			0.0109
Brokerage commissions	(0.0005		)	(0.0005		)	(0.0006		)	(0.0006		)	(0.0006		)	(0.0006		)	(0.0003		)
Interest income, net	(0.0002		)	(0.0001		)	(0.0002		)	(0.0002		)	(0.0002		)	(0.0002		)	(0.0001		)
Expenses	(0.0155		)	(0.0184		)	(0.0094		)	(0.0141		)	(0.0094		)	(0.0075		)	(0.0053		)
Net asset value, end of period	$	1.6573		$	1.5367		$	1.7130		$	1.6955		$	1.7109		$	1.7949		$	0.9625
Total Return: (a)
Total return before Performance fees	0.17		%	-0.08		%	0.55		%	0.27		%	0.55		%	0.67		%	0.55		%
Performance fees/other (c)	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Total return after Performance fees	0.17		%	-0.08		%	0.55		%	0.27		%	0.55		%	0.67		%	0.55		%
Ratios to Average Member’s Capital: (b)
Expenses (excluding Performance fees)	0.92		%	1.17		%	0.54		%	0.82		%	0.54		%	0.42		%	0.54		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Expenses (including Performance fees)	0.92		%	1.17		%	0.54		%	0.82		%	0.54		%	0.42		%	0.54		%
Net investment income (loss)	-0.93		%	-1.18		%	-0.55		%	-0.83		%	-0.55		%	-0.43		%	-0.55		%

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

(b) The ratios to average member capital have been annualized. The performance fee ratios are not annualized.

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

See notes to financial statements.

7

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2012 (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*
Per Unit Operating Performance:
Net asset value, beginning of period	$	1.7496		$	1.6344		$	1.7881		$	1.7846		$	1.7859		$	1.8666		$	1.0000
Net realized and net change in unrealized trading profit(loss)	(0.0432		)	(0.0401		)	(0.0445		)	(0.0442		)	(0.0445		)	(0.0466		)	(0.0241		)
Brokerage commissions	(0.0018		)	(0.0016		)	(0.0018		)	(0.0018		)	(0.0018		)	(0.0019		)	(0.0008		)
Interest income, net	(0.0003		)	(0.0003		)	(0.0003		)	(0.0003		)	(0.0003		)	(0.0003		)	(0.0002		)
Expenses	(0.0470		)	(0.0557		)	(0.0285		)	(0.0428		)	(0.0284		)	(0.0229		)	(0.0124		)
Net asset value, end of period	$	1.6573		$	1.5367		$	1.7130		$	1.6955		$	1.7109		$	1.7949		$	0.9625
Total Return: (a)
Total return before Performance fees	-5.27		%	-5.98		%	-4.20		%	-4.99		%	-4.20		%	-3.84		%	-3.75		%
Performance fees/other (c)	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Total return after Performance fees	-5.27		%	-5.98		%	-4.20		%	-4.99		%	-4.20		%	-3.84		%	-3.75		%
Ratios to Average Member’s Capital: (b)
Expenses (excluding Performance fees)	2.74		%	3.49		%	1.62		%	2.44		%	1.62		%	1.24		%	1.26		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Expenses (including Performance fees)	2.74		%	3.49		%	1.62		%	2.44		%	1.62		%	1.24		%	1.26		%
Net investment income (loss)	-2.76		%	-3.51		%	-1.63		%	-2.46		%	-1.63		%	-1.26		%	-1.27		%

(a) The total return calculations are based on compounded monthly returns and are 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 ratios to average members’ capital have been annualized. The total return ratios are not annualized.

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

* Units issued on March 1, 2012

See notes to financial statements.

8

ML WINTON FUTURESACCESS LLC

(a Delaware Limited Liability Company)

NOTES TO FINANCIAL STATEMENTS

(unaudited)

1.SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

ML Winton FuturesAccess LLC (the “Fund”), a Merrill Lynch FuturesAccessSM Program (the “FuturesAccess”) fund, was organized under the Delaware Limited Liability Company Act on May 17, 2004 and commenced trading activities on February 1, 2005. The Fund engages in the speculative trading of futures and forward contracts on a wide range of commodities. Winton Capital Management Limited (“Winton” or Trading Advisor) is the trading advisor of the Fund.  The Trading Advisor utilizes the Winton Diversified Program (the “Trading Program”) for the Fund.

Merrill Lynch Alternative Investments LLC (“MLAI” or “Sponsor”) 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 Bank, Ltd. (“MLIB”) is the primary foreign exchange (“F/X”) forward prime broker for the Fund. The Sponsor may select other parties as F/X or other over-the-counter (“OTC”) prime brokers, including Merrill Lynch International (“MLI”).MLPF&S, MLIB 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.

On May 16, 2013 and June 1, 2013 the Fund opened Class F Units and Class F1 Units, respectively, at $1.00 per Unit.  Class F Units and Class F1 Units (together, the “New Classes”) have been designed for certain high-net-worth and institutional investors that have a “Total Fund Investment” of at least $20 million or an overall “Total Investment” of at least $60 million. The New Classes are generally subject to the same terms as the existing Class D Units described in the Disclosure Document, except as set forth below. Differences between the New Classes and Class D Units include different eligibility requirements, Management Fees, upfront sales commissions, ongoing selling agent compensation, and fee sharing with the Sponsor. The Class F1 Units are available to certain existing Investors.  The New

9

Classes will pay a monthly Management Fee at a rate equal to 1% per year, and will pay a 20% annual Performance Fee.

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, 2013 and December 31, 2012 and the results of its operations for the three and nine month periods ended September 30, 2013 and 2012.  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, 2012.

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.

10

2.    CONDENSED SCHEDULES OF INVESTMENTS

The Fund’s investments, defined as net unrealized profit (loss) on open contracts on the Statements of Financial Condition, as of September 30, 2013 and December 31, 2012 are as follows:

September 30, 2013

	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	1,875	$	1,682,450		0.16	%	(3,847	)	$	2,560,956		0.25	%	$	4,243,406		0.41	%	October 2013 - April 2014
Currencies*	164,503,656,528	17,987,230			1.76	%	(34,588,991,044	)	(7,095,203		)	-0.69	%	10,892,027			1.07	%	October 2013 - December 2013
Energy	681	(1,596,220		)	-0.16	%	(366	)	1,080,465			0.11	%	(515,755		)	-0.05	%	October 2013 - December 2013
Interest rates	16,687	5,569,849			0.54	%	(758	)	(1,108,847		)	-0.11	%	4,461,002			0.43	%	November 2013 - September 2016
Metals	351	170,363			0.02	%	(933	)	1,101,139			0.11	%	1,271,502			0.13	%	November 2013 - January 2014
Stock indices	9,401	(3,495,055		)	-0.34	%	(64	)	28,514			0.00	%	(3,466,541		)	-0.34	%	October 2013 - December 2013
Total, net		$	20,318,617		1.98	%			$	(3,432,976	)	-0.33	%	$	16,885,641		1.65	%

December 31, 2012

	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	699	$	(1,095,039	)	-0.10	%	(1,992	)	$	159,061		0.01	%	$	(935,978	)	-0.09	%	January 2013 - May 2013
Currencies*	175,546,648,534	2,112,802			0.19	%	(103,642,974,614	)	11,244,362			1.03	%	13,357,164			1.22	%	January 2013 - May 2013
Energy	191	455,395			0.04	%	(760	)	(1,295,491		)	-0.12	%	(840,096		)	-0.08	%	January 2013 - March 2013
Interest rates	23,739	3,139,701			0.29	%	(491	)	(93,348		)	-0.01	%	3,046,353			0.28	%	January 2013 - December 2015
Metals	1,133	(4,627,214		)	-0.42	%	(581	)	(2,550,129		)	-0.23	%	(7,177,343		)	-0.65	%	January 2013 - May 2013
Stock indices	9,645	3,400,966			0.31	%	(42	)	(14,280		)	0.00	%	3,386,686			0.31	%	January 2013 - March 2013
Total, net		$	3,386,611		0.31	%			$	7,450,175		0.68	%	$	10,836,786		0.99	%

*Currencies are stated in notional amounts.

No individual contract’s unrealized profit or loss comprised greater than 5% of Members’ Capital as of September 30, 2013 and December 31, 2012.

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 an approximate measure of the exposure of the Fund to the various sectors as of the date listed, although such exposure can change at any time.

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

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

Level I — Quoted prices are available in active markets for identical investments as of the reporting date. The type of investments included in Level I are publicly traded investments. As required by the fair market value measurement guidance 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. Investments that are included in this category generally are privately held debt and equity securities.

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

12

The following 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 its process for determining fair values.

The independent pricing sources obtain market quotations and actual transaction prices for investments that have quoted prices in active markets. Each source has its own proprietary method for determining the fair value of investments that are not actively traded. In general, these methods involve the use of “matrix pricing” in which the independent pricing source uses observable market inputs including, but not limited to, investment yields, credit risks and spreads, benchmarking of like investments, broker-dealer quotes, reported trades and sector groupings to determine a reasonable fair market value.

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 quoted prices of investments with similar characteristics, pricing models or matrix pricing and these are generally classified as Level II investments. The Fund determined that Level II investments would include its forward and certain futures contracts.

The Fund’s net unrealized profit (loss) on open forward and futures contracts, by the above fair value hierarchy levels, as of September 30, 2013 and December 31, 2012 are as follows:

Net unrealized profit (loss)
on open contracts	Total			Level I			Level II			Level III
Futures
Long	$	13,397,441		$	13,219,222		$	178,219		$	—
Short	(988,956		)	(893,067		)	(95,889		)	—
	$	12,408,485		$	12,326,155		$	82,330		$	—
Forwards
Long	$	6,921,176		$	—		$	6,921,176		$	—
Short	(2,444,020		)	—			(2,444,020		)	—
	$	4,477,156		$	—		$	4,477,156		$	—
September 30, 2013	$	16,885,641		$	12,326,155		$	4,559,486		$	—

13

Net unrealized profit (loss)
on open contracts	Total			Level I		Level II			Level III
Futures
Long	$	599,404		$	1,681,353	$	(1,081,949	)	$	—
Short	9,086,475			11,474,717		(2,388,242		)	—
	$	9,685,879		$	13,156,070	$	(3,470,191	)	$	—
Forwards
Long	$	2,787,207		$	—	$	2,787,207		$	—
Short	(1,636,300		)	—		(1,636,300		)	—
	$	1,150,907		$	—	$	1,150,907		$	—
December 31, 2012	$	10,836,786		$	13,156,070	$	(2,319,284	)	$	—

The Fund’s volume of trading forwards and futures as of the nine month period ended September 30, 2013 and year ended December 31, 2012 are representative of the activity throughout these periods. There were no transfers to or from any level during the three or nine month periods ended September 30, 2013 or the year ended December 31, 2012.

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, contract amount or number of contracts and fair values of derivative instruments by contract type/commodity sector are disclosed in Note 2, above.

The Fund presents its futures and forward contract amounts gross on the Statement of Financial Condition. The Fund maintains margin deposits and cash collateral with its futures and forward brokers, respectively, in amounts determined by the respective broker. At September 30, 2013 and December 31, 2012, the initial margin deposits (cash) are used to satisfy the margin requirements to establish the futures or forward contracts and are presented on the Statement of Financial Condition as Cash on deposit with Broker and the variation margin on open contracts as unrealized gain or loss on futures or forward contracts, respectively.

14

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, 2013 and 2012.

	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

	For the three months ended			For the nine months ended
	September 30, 2012			September 30, 2012
Commodity Industry Sector	profit (loss) from trading, net			proft (loss) from trading, net
Agriculture	$	3,736,021		$	(2,976,547	)
Currencies	(3,788,081		)	(41,089,045		)
Energy	(6,784,743		)	(18,701,638		)
Interest rates	25,850,817			55,335,632
Metals	(9,004,835		)	(12,293,689		)
Stock indices	3,352,204			(9,739,991		)
Total, net	$	13,361,383		$	(29,465,278	)

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 on the financial statements.  The following summarizes some of those risks.

15

Market Risk

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

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

Credit Risk

The risks associated with exchange-traded contracts are typically perceived to be less than those associated with over-the-counter (non-exchange-traded) transactions, because exchanges typically (but not universally) provide clearinghouse arrangements in which the collective credit (in some cases limited in amount, in some cases not) of the members of the exchange/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 net 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 MLIB, 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.  Pursuant to the brokerage arrangement with MLPF&S (which includes a netting arrangement), MLPF&S has the right to net receivables and payables.

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, for breach of certain representations and warranties made by the Fund. No claims have actually been made with respect to

16

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. During the quarter ended September 30, 2013, the rate was 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, 2013, and 2012 amounted to $48,683 and $55,317, respectively. The Transfer Agent fee allocated to the Fund for the nine month periods ended September 30, 2013 and 2012 amounted to $159,621 and $170,897, respectively, of which $35,493 and $38,237 was payable to the Transfer Agent as of September 30, 2013 and December 31, 2012, 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 net unrealized profit/loss, as seen on the Statement of Financial Condition are held with a related party.

6.    RECENT ACCOUNTING PRONOUNCEMENTS

In June 2013, the Financial Accounting Standards Board (“FASB”) issued an update relating to the criteria used in defining an investment company under US GAAP. It also sets forth certain measurement and disclosure requirements.   Under the new standard the typical characteristics of an investment company will be: (i) it has more than one investment and more than one investor, (ii) it has investors that are not related parties of the entity or the investment manager, (iii) it has ownership interests in the form of equity or partnership interests, and (iv) it manages substantially all of its investments on a fair value basis. The standard also reaffirms that a noncontrolling interest in another investment company should be measured at fair value instead of the equity method. It also includes additional disclosure requirements for an entity to disclose the fact that it is an investment company, and to provide information about changes, if any, in its status as an investment company.   Finally, an entity will also need to include disclosures around financial support that has been provided or is contractually required to be provided to any of its investees. The requirements of the standard are effective for interim and annual reporting periods in fiscal years that begin after December 15, 2013, with early application prohibited. The Sponsor is currently evaluating the standard and does not believe it will have a material impact to the Fund’s financial statements.

7.   SUBSEQUENT EVENTS

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

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

MONTH-END NET ASSET VALUE PER UNIT

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

The Fund calculates the Net Asset Value per Unit of each Class of Units as of the close of business on (i) the 15th calendar day of each month, (ii) the last calendar day of each month and (iii) 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.

18

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.		Sep. 15th		Sep.
2012	n/a		$	1.7560	n/a		$	1.7371	n/a		$	1.7217	n/a		$	1.7186	n/a		$	1.7165	n/a		$	1.6545	n/a		$	1.7251	n/a		$	1.7004	n/a		$	1.6573
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

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.		Sep. 15th		Sep.
2012	n/a		$	1.6390	n/a		$	1.6200	n/a		$	1.6043	n/a		$	1.6001	n/a		$	1.5968	n/a		$	1.5379	n/a		$	1.6021	n/a		$	1.5779	n/a		$	1.5367
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

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.		Sep. 15th		Sep.
2012	n/a		$	1.7969	n/a		$	1.7798	n/a		$	1.7662	n/a		$	1.7652	n/a		$	1.7653	n/a		$	1.7037	n/a		$	1.7785	n/a		$	1.7553	n/a		$	1.7130
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

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.		Sep. 15th		Sep.
2012	n/a		$	1.7916	n/a		$	1.7730	n/a		$	1.7578	n/a		$	1.7553	n/a		$	1.7537	n/a		$	1.6910	n/a		$	1.7636	n/a		$	1.7390	n/a		$	1.6955
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

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.		Sep. 15th		Sep.
2012	n/a		$	1.7947	n/a		$	1.7776	n/a		$	1.7640	n/a		$	1.7631	n/a		$	1.7631	n/a		$	1.7016	n/a		$	1.7763	n/a		$	1.7532	n/a		$	1.7109
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

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.		Sep. 15th		Sep.
2012	n/a		$	1.8769	n/a		$	1.8594	n/a		$	1.8460	n/a		$	1.8458	n/a		$	1.8466	n/a		$	1.7829	n/a		$	1.8620	n/a		$	1.8385	n/a		$	1.7949
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

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.		Sep. 15th		Sep.
2012	n/a		n/a		n/a		n/a		n/a		0.9924		n/a		$	0.9919	n/a		$	0.9919	n/a		$	0.9573	n/a		$	0.9993	n/a		$	0.9863	n/a		$	0.9625
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

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.

Sep. 15th

Sep.

2012

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

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

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.

Sep. 15th

Sep.

2012

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

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

$

0.9660

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 generally increases.  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.

19

Investors in the Fund generally may redeem any or all of their Units at Net Asset Value, 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.  Investors will remain exposed to fluctuations in Net Asset Value during the period between submission of their redemption request 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, 2013, Fund capital decreased 6.3% from $1,092,387,177 to $1,023,512,935.  This decrease was attributable to the net income from operations of $1,734,951coupled with the redemption of 137,908,569 Redeemable Units resulting in an outflow of $230,480,812.  The cash outflow was offset with cash inflow of $159,871,619 due to subscriptions of 134,403,839 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 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

20

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 based on the daily mark to market are recorded as unrealized profits.  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 bid 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 Fed Funds rate plus a spread for short cash positions and minus a spread for long cash positions. The current short term interest rates have remained extremely low when compared with historical rates and thus has contributed negligible amounts to overall Fund performance.

Income Taxes

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

The Fund follows the Accounting Standards Codification 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

21

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 — 2010.

Reform Act

The Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Reform Act”) was signed into law on July 21, 2010. The Reform Act enacts financial regulatory reform, and may alter the way in which the Fund conducts certain trading activities.   The Reform Act includes measures to broaden the scope of derivative instruments subject to regulation, including requiring clearing and exchange trading of certain derivatives, imposing new capital and margin reporting, registration and business conduct requirements for certain market participants and imposing position limits on certain over-the-counter derivatives. The Reform Act grants the U.S. Commodity Futures Trading Commission and the Securities and Exchange Commission substantial new authority and requires numerous rulemakings by these agencies. The ultimate impact of these derivatives regulations, and the time it will take to comply, remains uncertain. The final regulations may impose additional operational and compliance costs on the Fund.

Results of Operations

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

22

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.

23

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

24

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.

January 1, 2012 to September 30, 2012

January 1, 2012 to March 31, 2012

The Fund experienced a net trading loss of $7,688,081 before brokerage commissions and related fees in the first quarter of 2012. The Fund’s profits were primarily attributable to the stock indices and energy sectors posting profits. The agriculture, metals, interest rates and currency sectors posted losses.

The stock indices sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter as global stock markets began the year with a rally, suggesting a general sense of optimism over the concerns in Europe. Profits were posted to the Fund in the middle of the quarter due to the Trading Program’s long positions in the stock indices. The rally in equity markets that started in the middle of December continued in February, with the S&P 500 Index climbing back to the highs that it made last year. Profits were posted to the Fund at the end of the quarter wherein the S&P 500 continued its ascent.

The energy sector posted profits to the Fund. Profits were posted to the Fund at the beginning through the middle of the quarter. The price of crude oil increased in February which was likely related to speculation over the impact of the EU extending its embargo on Iranian Oil imports, to ban ship insurance on certain Middle Eastern routes. The Fund’s profits were the result of the Trading program having long positions in energies. Profits were posted to the Fund at the end of the quarter. The price of Brent Crude oil did not increase substantially in March, but as a result of gains earlier in the year, it is at levels not seen since 2008.

25

The agriculture sector posted losses to the Fund. Losses were posted to the Fund at the beginning through the middle of the quarter due to global volatility in the markets which were offset by profits posted to the Fund at the end of the quarter.

The metals sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter due to losses in base metals which continued throughout the quarter.

The interest rate sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter. Government bonds rallied in the second half of January, with U.S. 5 year yields reaching record lows in response to the U.S. Federal Reserve indicating that interest rates would remain low. Losses were posted to the Fund in the middle through the end of the quarter. March saw some significant falls in Government Bonds, with U.S. 10 year notes reaching levels not seen since October last year.

The currency sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter. Losses were posted to the Fund in the middle of the quarter due to the Trading program’s short positions in the Euro and long positions in the Japanese yen. Losses were posted to the Fund at the end of the quarter.

April 1, 2012 to June 30, 2012

The Fund experienced a net trading loss of $35,138,580 before brokerage commissions and related fees in the second quarter of 2012. The Fund’s profits were primarily attributable to the interest rate and metals sectors posting profits. The agriculture, currency, energy, and stock indices sectors posted losses.

The interest rate sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter due to the Trading Program’s long positions in fixed income futures. Profits were posted to the Fund in the middle of the quarter due to government bonds. Losses were posted to the Fund at the end of the quarter which the main losses were from bonds.

The metals sector posted profits to the Fund. Profits were posted to the Fund in the middle of the quarter with losses at the beginning and end of the quarter.

The agriculture sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter driven by the soya bean complex. Losses were posted to the Fund in the middle through the end of the quarter. There was a notable upward move in corn prices at the end of June, following reports of a bad harvest in the US. Despite the Fund’s corn position being the “wrong way round” the Fund’s long positions in soya beans and soya meal limited corns impact on the bottom line.

The currency sector posted losses to the Fund. Losses were posted to the Fund at the beginning and end of the quarter. Profits were posted to the Fund in the middle of the quarter resulting from the Trading Program’s positions in the Euro.

The energy sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter from the Trading Program’s crude oil positions. Losses were posed to the Fund in the middle through 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 quarter due to the Trading Program’s long positions in stock index futures. Losses were posted to the

26

Fund in the middle of the quarter with the market moves resulting in the Trading Program’s substantial reductions in the positions. Losses were posted to the Fund at the end of the quarter.

July 1, 2012 to September 30, 2012

The Fund experienced a net trading profit of $13,361,383 before brokerage commissions and related fees in the third quarter of 2012. The Fund’s profits were primarily attributable to the interest rate, agriculture and the stock indices sectors posting profits. The currency, energy and metals sectors posted losses.

The interest rate sector posted profits to the Fund. Profits were posted to the Fund at the beginning through the middle of the quarter. Losses were posted to the Fund at the end of the quarter due to market volatility.

The agriculture sector posted profits to the Fund. Profits were posted to the Fund at the beginning through the middle of the quarter. The U.S. Midwest continued to experience a heat wave.  This has led to worsening reports of the quality of this year’s corn harvest, with the consequence of substantial rises in grain prices.  This and other market movements resulted in profits posted to the Fund. Losses were posted to the Fund at the end of the quarter due to the drops in the prices of corn and soybeans, in a reversal of the moves that had caused the trading program to hold long positions.

The stock indices sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the quarter. The continued grey clouds over the European economy led Spanish and Italian regulators to reintroduce short selling bans on their domestic equity markets, with the effect that the trading program was no longer able to take new short positions in the related futures markets. Profits were posted to the Fund in the middle of the quarter. Global stock indices continued their rally in July as an air of summer optimism descended on the markets. Profits were posted to the Fund at the end of the quarter as long positions in stock indices benefited from the upward movements during the month of September and provided some welcome diversification to the Fund.

The currency sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter.  Losses were posted to the Fund in the middle of the quarter resulting from the trading program’s positions in the Euro. Losses were posted to the Fund at the end of the quarter as a result of the trading program’s short position in the Euro.

The energy sector posted losses to the Fund. Losses were posted to the Fund at the beginning and end of the quarter with profits posted to the Fund in the middle of the quarter due to market volatility.

The metals sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter. Losses were posted to the Fund in the middle through the end of the quarter. There was a decent rally in aluminum in August to the detriment of the trading program’s short position.

(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).

27

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 Winton, 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 and Section 21E of the Securities Exchange Act of 1934).  All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact.

The Fund’s risk exposure in the various market sectors traded by Winton 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

28

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 fiscal period. For the nine month periods ended September 30, 2013 and 2012, the Fund’s average Month-end Net Asset Value was approximately $1,078,783,040 and $1,138,453,158, respectively.

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

September 30, 2012

	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk
Agriculture	$	7,053,653	0.62	%	$	10,131,151	$	2,551,027
Currencies	10,943,679		0.96	%	21,700,144		2,669,987
Energy	5,760,194		0.51	%	10,340,237		2,634,183
Interest Rates	20,458,639		1.80	%	50,735,782		3,374,260
Metals	14,084,273		1.24	%	19,236,534		11,058,755
Stock Indices	21,277,106		1.87	%	40,619,481		5,593,646
TOTAL	$	79,577,544	7.00	%	$	152,763,329	$	27,881,858

29

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 MLIB

The Fund has non-trading market risk on its foreign cash balances not needed for margin. However, these balances (as well as the market risk they represent) are immaterial.

The Fund also has non-trading market risk on 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 of 1933 and Section 21E of the Securities Exchange Act of 1934. The Fund’s primary market risk exposures as well as the strategies used and to be used by MLAI and Winton for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the 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 were the primary trading risk exposures of the Fund as of September 30, 2013, by market sector.

Interest Rates

Interest rate movements directly affect the price of derivative sovereign bond positions held by the Fund and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries materially impact the 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 also takes positions in the government debt of smaller nations (e.g.,

30

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 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, cocoa and corn accounted for the substantial bulk of the Fund’s agricultural commodities exposure as of September 30, 2013.

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 were the only non-trading risk exposures of the Fund as of September 30, 2013.

Foreign Currency Balances

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

31

U.S. Dollar Cash Balance

The Fund holds U.S. dollars in cash at MLPF&S. The Fund has immaterial cash flow interest rate risk on its cash on deposit with MLPF&S in that declining interest rates would cause the income from such cash to decline.

Item 4. Controls and Procedures

MLAI, the Sponsor of ML Winton FuturesAccess LLC, with the participation of the Sponsor’s Chief Executive Officer and Chief Financial Officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures (as defined in Rule 13a-15(e) or Rule 15d-15(e) under the Securities Exchange Act of 1934) with respect to the Fund as of the end of the period covered by this quarterly report.  Based on this evaluation, the Chief Executive Officer and Chief Financial Officer have concluded that these disclosure controls and procedures are effective.  No change in internal control over financial reporting (in connection with the evaluation required by paragraph (d) of Rule 13a-15 or Rule 15d-15 under the Securities Exchange Act of 1934) occurred during the quarter ended September 30, 2013 that has materially affected, or is reasonably likely to materially affect, the Fund’s internal control over financial reporting.

32

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, 2012, filed with the Securities and Exchange Commission on March 27, 2013.

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.

33

CLASS A

	Subscription
	Amount		Units	NAV (1)
1/01/2013	$	322,987	196,011	$	1.6478
1/16/2013	479,700		287,332	1.6695
2/01/2013	687,765		408,654	1.6830
2/16/2013	202,215		120,187	1.6825
3/01/2013	665,222		397,813	1.6722
3/16/2013	953,101		555,550	1.7156
4/01/2013	609,655		356,941	1.7080
4/16/2013	294,450		168,981	1.7425
5/01/2013	888,132		505,683	1.7563
5/16/2013	638,191		361,807	1.7639
6/01/2013	892,637		519,035	1.7198
6/16/2013	611,325		367,140	1.6651
7/1/2013	1,361,373		812,809	1.6749
7/16/2013	587,792		350,502	1.6770
8/1/2013	1,419,784		859,693	1.6515
8/16/2013	1,283,641		789,787	1.6253
9/1/2013	372,939		233,189	1.5993
9/16/2013	175,501		106,261	1.6516
10/1/2013	449,638		272,922	1.6475

CLASS C

	Subscription
	Amount		Units	NAV (1)
1/01/2013	$	2,310,281	1,515,932	$	1.5240
1/16/2013	1,756,726		1,138,218	1.5434
2/01/2013	3,752,324		2,412,760	1.5552
2/16/2013	4,874,741		3,136,495	1.5542
3/01/2013	1,482,729		960,317	1.5440
3/16/2013	993,006		627,135	1.5834
4/01/2013	1,920,572		1,218,869	1.5757
4/16/2013	3,075,241		1,913,772	1.6069
5/01/2013	2,559,704		1,581,138	1.6189
5/16/2013	825,808		508,096	1.6253
6/01/2013	2,248,368		1,419,425	1.5840
6/16/2013	871,933		568,813	1.5329
7/1/2013	2,514,938		1,631,699	1.5413
7/16/2013	1,175,259		761,869	1.5426
8/1/2013	962,790		634,040	1.5185
8/16/2013	2,653,323		1,776,223	1.4938
9/1/2013	1,287,375		876,182	1.4693
9/16/2013	1,487,479		980,734	1.5167
10/1/2013	1,227,983		811,997	1.5123

CLASS D

	Subscription
	Amount		Units	NAV (1)
1/01/2013	$	635,000	371,454	$	1.7095
1/16/2013	250,000		144,250	1.7331
2/01/2013	5,848,429		3,345,401	1.7482
2/16/2013	—		—	1.7488
3/01/2013	848,000		487,580	1.7392
3/16/2013	—		—	1.7854
4/01/2013	—		—	1.7786
4/16/2013	—		—	1.8157
5/01/2013	—		—	1.8312
5/16/2013	—		—	1.8403
6/01/2013	—		—	1.7954
6/16/2013	—		—	1.7394
7/1/2013	—		—	1.7508
7/16/2013	49,925		28,464	1.7540
8/1/2013	2,189,000		1,266,489	1.7284
8/16/2013	—		—	1.7021
9/1/2013	—		—	1.6759
9/16/2013	—		—	1.7318
10/1/2013	—		—	1.7285

CLASS I

	Amount		Units	NAV (1)
1/01/2013	$	898,000	532,180	$	1.6874
1/16/2013	400,000		233,918	1.7100
2/01/2013	137,000		79,466	1.7240
2/16/2013	1,196,000		693,776	1.7239
3/01/2013	699,000		407,913	1.7136
3/16/2013	388,799		221,122	1.7583
4/01/2013	10,000		5,712	1.7508
4/16/2013	150,000		83,963	1.7865
5/01/2013	1,074,000		596,336	1.8010
5/16/2013	45,619		25,216	1.8091
6/01/2013	342,532		194,168	1.7641
6/16/2013	344,001		201,370	1.7083
7/1/2013	832,643		484,461	1.7187
7/16/2013	—		—	1.7211
8/1/2013	625,000		368,688	1.6952
8/16/2013	—		—	1.6686
9/1/2013	2,329,999		1,418,915	1.6421
9/16/2013	—		—	1.6961
10/1/2013	25,000		14,774	1.6922

CLASS DS

	Subscription
	Amount		Units	NAV (1)
1/01/2013	$	—	—	$	1.7074
1/16/2013	—		—	1.7310
2/01/2013	—		—	1.7460
2/16/2013	—		—	1.7467
3/01/2013	—		—	1.7371
3/16/2013	—		—	1.7832
4/01/2013	—		—	1.7764
4/16/2013	—		—	1.8135
5/01/2013	—		—	1.8290
5/16/2013	—		—	1.8380
6/01/2013	—		—	1.7932
6/16/2013	—		—	1.7372
7/1/2013	—		—	1.7486
7/16/2013	—		—	1.7518
8/1/2013	—		—	1.7263
8/16/2013	—		—	1.7000
9/1/2013	—		—	1.6738
9/16/2013	—		—	1.7296
10/1/2013	—		—	1.7264

CLASS DT

	Subscription
	Amount		Units	NAV (1)
1/01/2013	$	—	—	$	1.7935
1/16/2013	—		—	1.8186
2/01/2013	—		—	1.8348
2/16/2013	—		—	1.8359
3/01/2013	—		—	1.8262
3/16/2013	—		—	1.8737
4/01/2013	—		—	1.8680
4/16/2013	—		—	1.9078
5/01/2013	—		—	1.9255
5/16/2013	—		—	1.9360
6/01/2013	—		—	1.8861
6/16/2013	—		—	1.8289
7/1/2013	—		—	1.8413
7/16/2013	—		—	1.8451
8/1/2013	—		—	1.8186
8/16/2013	—		—	1.7913
9/1/2013	—		—	1.7640
9/16/2013	—		—	1.8232
10/1/2013	—		—	1.8202

CLASS M

	Subscription
	Amount		Units		NAV (1)
1/01/2013	$	450,000	$	468,457	$	0.9606
1/16/2013	—		—		0.9738
2/01/2013	765,000		778,784		0.9823
2/16/2013	1,050,000		1,068,485		0.9827
3/01/2013	1,430,000		1,463,215		0.9773
3/16/2013	1,595,734		1,590,644		1.0032
4/01/2013	772,000		772,463		0.9994
4/16/2013	348,000		341,110		1.0202
5/01/2013	356,000		345,967		1.0290
5/16/2013	549,392		531,275		1.0341
6/01/2013	45,000		44,608		1.0088
6/16/2013	422,908		432,731		0.9773
7/1/2013	3,345,725		3,401,164		0.9837
7/16/2013	185,000		187,703		0.9856
8/1/2013	316,000		325,371		0.9712
8/16/2013	888,000		928,482		0.9564
9/1/2013	527,538		560,198		0.9417
9/16/2013	43,000		44,188		0.9731
10/1/2013	1,102,000		1,134,679		0.9712

CLASS F

	Subscription
	Amount		Units	NAV (1)
1/01/2013	$	—	—	$	—
1/16/2013	—		—	—
2/01/2013	—		—	—
2/16/2013	—		—	—
3/01/2013	—		—	—
3/16/2013	—		—	—
4/01/2013	—		—	—
4/16/2013	—		—	—
5/01/2013	—		—	—
5/16/2013	35,824,000		35,824,000	1.0000
6/01/2013	—		—	0.9759
6/16/2013	10,118,000		10,696,691	0.9459
7/1/2013	—		—	0.9525
7/16/2013	—		—	0.9546
8/1/2013	—		—	0.9411
8/16/2013	—		—	0.9271
9/1/2013	—		—	0.9132
9/16/2013	—		—	0.9441
10/1/2013	—		—	0.9427

CLASS F1

	Subscription
	Amount		Units	NAV (1)
1/01/2013	$	—	—	$	—
1/16/2013	—		—	—
2/01/2013	—		—	—
2/16/2013	—		—	—
3/01/2013	—		—	—
3/16/2013	—		—	—
4/01/2013	—		—	—
4/16/2013	—		—	—
5/01/2013	—		—	—
5/16/2013	—		—	—
6/01/2013	32,348,368		32,348,368	1.0000
6/16/2013	—		—	0.9692
7/1/2013	—		—	0.9759
7/16/2013	—		—	0.9782
8/1/2013	—		—	0.9643
8/16/2013	—		—	0.9500
9/1/2013	—		—	0.9358
9/16/2013	—		—	0.9674
10/1/2013	—		—	0.9660

(1) Beginning of the period Net Asset Value

34

Class A Units are subject to a sales commission paid to MLPF&S ranging from 1.0% to 2.5%.  Class D Units and Class I Units are subject to sales commissions paid to MLPF&S up to 0.5%.  The rate assessed to a given subscription is based upon the subscription amount.  Sales commissions are directly deducted from subscription amounts.  Class C Units, Class DS Units, Class DT Units, Class M Units, Class F Units and Class F1 Units are not subject to any sales commissions.

(b)Not applicable.

(c)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

31.02Rule 13a-14(a)/15d-14(a) Certifications

Exhibit 31.01

and 31.02Are filed herewith.

32.01 and

32.02Section 1350 Certifications

Exhibit 32.01

and 32.02Are 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, 2013 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. (1)

(1)  These interactive data files shall not be deemed filed for purposes of Sections 11 or 12 of the Securities Act of 1933  or Section 18 of the Securities Exchange Act of 1934 or otherwise subject to liability under those sections.

35

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, 2013	By:	/s/ KEITH GLENFIELD
		Keith Glenfield
		Chief Executive Officer and President
		(Principal Executive Officer)
Date: November 14, 2013	By:	/s/ BARBRA E. KOCSIS
		Barbra E. Kocsis
		Chief Financial Officer
		(Principal Financial Officer)

36