**UNITED STATES SECURITIES AND EXCHANGE COMMISSION**

**Washington,D.C. 20549**

**FORM 10-Q**

**(Mark One)**

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

**For the quarterly period endedSeptember 30, 2006**

**OR**

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

**For the transition period from                to                **

**CommissionFile Number 0-51084**

# **ML WINTON FUTURESACCESS LLC**

(Exact Name of Registrant asspecified in its charter)

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

 

**c/o Merrill Lynch AlternativeInvestments LLCPrinceton Corporate Campus800 Scudders Mill Road -  Section 2HPlainsboro, New Jersey 08536**

 (Address of principal executive offices)

(Zip Code)

**609-282-6091**

(Registrant’s telephone number, including area code)

Indicate by check mark whether the registrant (1) hasfiled all reports required to be filed by Section 13 or 15 (d) of theSecurities Exchange Act of 1934 during the preceding 12 months (or for suchshorter 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 if the registrant is a well-known seasonedissuer, as defined in Rule 405 of the Securities Act.

Yes o  No x

Indicate by check mark if the registrant is not required to filereports pursuant to Section 13 or 15(d) of the Act.

Yes o  No x

Indicate by check markwhether the registrant (1) has filed all reports required to be filed bySection 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding12 months (or for such shorter period that the registrant was required to filesuch reports), and (2) has been subject to such filing requirements for thepast 90 days.

Yes x  No o

Indicate by check mark ifdisclosure of delinquent filers pursuant to Item 405 of Regulation S-K is notcontained herein, and will not be contained, to the best of registrant’sknowledge, in definitive proxy or information statements incorporated byreference in Part II of this Form 10-Q or any amendment to this Form 10-Q. x

Indicate by check mark whether the registrant is alarge accelerated filer, an accelerated filer, or a non-accelerated filer.  See definition of “accelerated filer andlarge accelerated filer” in Rule 12b-2 of the Exchange Act. (Check one):

Largeaccelerated filer  o   Acceleratedfiler  o   Non-accelerated filer  x

Indicate by check mark if the registrant is a shell company (as definedby Rule 12b-2 of the Act).

Yes o  No x

 

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**ML WINTONFUTURESACCESS LLC**

QUARTERLY REPORTFOR SEPTEMBER 30, 2006 ON FORM 10-Q

Table of Contents
|          | ** **                                                                                  | **PAGE** |
|----------|---------------------------------------------------------------------------------------------|----------|
|     | PART I                                                                                      |     |
|     |                                                                                        |     |
| Item 1.  | Financial  Statements                                                                       | 2        |
|     |                                                                                        |     |
| Item 2.  | Management’s  Discussion and Analysis of Financial Condition and Results of Operations | 9        |
|     |                                                                                        |     |
| Item 3.  | Quantitative and  Qualitative Disclosures About Market Risk                                 | 15       |
|     |                                                                                        |     |
| Item 4.  | Controls and  Procedures                                                                    | 15       |
|     |                                                                                        |     |
|     | PART II                                                                                     |     |
|     |                                                                                        |     |
| Item 1.  | Legal  Proceedings                                                                          | 16       |
|     |                                                                                        |     |
| Item 2.  | Changes in  Securities and Use of Proceeds                                                  | 16       |
|     |                                                                                        |     |
| Item 3.  | Defaults Upon  Senior Securities                                                            | 16       |
|     |                                                                                        |     |
| Item 4.  | Submission of  Matters to a Vote of Security Holders                                        | 16       |
|     |                                                                                        |     |
| Item 5.  | Other  Information                                                                          | 16       |
|     |                                                                                        |     |
| Item 5a. | Recent Sales of  Unregistered Securities: Uses of Proceeds From Registered Securities       | 17       |
|     |                                                                                        |     |
| Item 6.  | Exhibits                                                                                    | 18       |

 

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PART I - FINANCIAL INFORMATION

Item 1.    Financial Statements

ML WINTONFUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OF FINANCIAL CONDITION
| ** **                                                                         | ** ** | **September 30,** | ** **  | **December 31,** | ** ** |
|------------------------------------------------------------------------------------|------------|------------------------|-------------|-----------------------|------------|
| ** **                                                                         | ** ** | **2006**               | ** **  | **2005**              | ** ** |
| ** **                                                                         | ** ** | **(unaudited)**        | ** **  | ** **            | ** ** |
| **ASSETS:**                                                                        | ** ** | ** **             | ** **  | ** **            | ** ** |
| Equity in commodity  futures trading accounts:                                     |       |                   |        |                  |       |
| Cash                                                                               |       | $                      | 259,082,419 |                  | $          | 109,899,009 |   |
| Net unrealized  profit on open contracts                                           |       | 11,523,795             |        | 2,753,205             |       |
| Cash                                                                               |       | 85,044                 |        | 24,500                |       |
| Accrued interest                                                                   |       | 1,087,264              |        | 371,172               |       |
|                                                                               |       |                   |        |                  |       |
| **TOTAL  ASSETS**                                                                  |       | $                      | 271,778,522 |                  | $          | 113,047,886 |   |
|                                                                               |       |                   |        |                  |       |
| **LIABILITIES AND MEMBERS’  CAPITAL:**                                        | ** ** | ** **             | ** **  | ** **            | ** ** |
| LIABILITIES:                                                                       |       |                   |        |                  |       |
| Brokerage  commissions payable                                                     |       | $                      | 166,438     |                  | $          | 99,983 |   |
| Management fee  payable                                                            |       | 447,699                |        | 186,436               |       |
| Sponsor’s fee  payable                                                        |       | 418,564                |        | 177,891               |       |
| Performance fee  payable                                                           |       | 1,883,843              |        | —                |       |
| Redemptions payable                                                                |       | 1,042,176              |        | 252,301               |       |
| Initial offering  costs payable                                                    |       | 174,508                |        | 224,507               |       |
| Other payables                                                                     |       | 42,576                 |        | 138,726               |       |
|                                                                               |       |                   |        |                  |       |
| Total  liabilities                                                                 |       | 4,175,804              |        | 1,079,844             |       |
|                                                                               |       |                   |        |                  |       |
| MEMBERS’ CAPITAL:                                                             |       |                   |        |                  |       |
| Sponsor’s  Interest (19,470 and 19,470 Units issued and outstanding)          |       | 22,084                 |        | 20,794                |       |
| Members’  Interest (238,408,107 and 105,806,686 Units issued and outstanding) |       | 267,580,634            |        | 111,947,248           |       |
|                                                                               |       |                   |        |                  |       |
| Total members’  capital                                                       |       | 267,602,718            |        | 111,968,042           |       |
|                                                                               |       |                   |        |                  |       |
| **TOTAL  LIABILITIES AND MEMBERS’ CAPITAL**                                   |       | $                      | 271,778,522 |                  | $          | 113,047,886 |   |
|                                                                               |       |                   |        |                  |       |
| **NET ASSET VALUE PER UNIT (Note 2)**                                              | ** ** | ** **             | ** **  | ** **            | ** ** |

 

See notes to financial statements.

2

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ML WINTON FUTURESACCESS LLC 

(a Delaware Limited Liability Company)

STATEMENTS OFOPERATIONS

(unaudited)
| ** **                                    | ** ** | **For the three** | ** ** | **For the three** | ** ** | **For the nine** | ** ** | **For the eight** | ** ** |
|-----------------------------------------------|------------|-----------------------------|------------|-----------------------------|------------|----------------------------|------------|-----------------------------|------------|
| ** **                                    | ** ** | **months ended**       | ** ** | **months ended**       | ** ** | **months ended**      | ** ** | **months ended**       | ** ** |
| ** **                                    | ** ** | **September 30,**      | ** ** | **September 30,**      | ** ** | **September 30,**     | ** ** | **September 30,**      | ** ** |
| ** **                                    | ** ** | **2006**                    | ** ** | **2005**                    | ** ** | **2006**                   | ** ** | **2005 (1)**           | ** ** |
| **TRADING PROFITS (LOSSES):**                 | ** ** | ** **                  | ** ** | ** **                  | ** ** | ** **                 | ** ** | ** **                  | ** ** |
|                                          |       |                        |       |                        |       |                       |       |                        |       |
| Realized                                      |       | $                           | (1,028,303 | )                           | $          | (3,459,076                 | )          | $                           | 2,752,728  |   | $ | (1,963,150 | ) |
| Change in  unrealized                         |       | 7,300,858                   |       | 1,187,089                   |       | 8,762,976                  |       | 2,566,284                   |       |
| Brokerage  commissions                        |       | (410,695                    | )          | (294,776                    | )          | (1,084,004                 | )          | (441,769                    | )          |
|                                          |       |                        |       |                        |       |                       |       |                        |       |
| Total trading  profits (losses)               |       | 5,861,860                   |       | (2,566,763                  | )          | 10,431,700                 |       | 161,365                     |       |
|                                          |       |                        |       |                        |       |                       |       |                        |       |
| **INVESTMENT INCOME:**                        | ** ** | ** **                  | ** ** | ** **                  | ** ** | ** **                 | ** ** | ** **                  | ** ** |
| Interest                                      |       | 3,188,961                   |       | 487,660                     |       | 6,884,620                  |       | 683,881                     |       |
|                                          |       |                        |       |                        |       |                       |       |                        |       |
| **EXPENSES:**                                 | ** ** | ** **                  | ** ** | ** **                  | ** ** | ** **                 | ** ** | ** **                  | ** ** |
| Management fee                                |       | 1,297,959                   |       | 327,825                     |       | 3,021,550                  |       | 499,142                     |       |
| Sponsor’s fee                            |       | 1,199,069                   |       | 320,648                     |       | 2,816,767                  |       | 503,350                     |       |
| Performance fee                               |       | 842,821                     |       | (493,628                    | )          | 1,883,843                  |       | 43,781                      |       |
| Other                                         |       | 327,199                     |       | 47,653                      |       | 671,441                    |       | 98,725                      |       |
| Total expenses  before reimbursement          |       | 3,667,048                   |       | 202,498                     |       | 8,393,601                  |       | 1,144,998                   |       |
| Sponsor’s fee  reimbursement             |       | —                      |       | —                      |       | —                     |       | (5,964                      | )          |
|                                          |       |                        |       |                        |       |                       |       |                        |       |
| Total expenses                                |       | 3,667,048                   |       | 202,498                     |       | 8,393,601                  |       | 1,139,034                   |       |
|                                          |       |                        |       |                        |       |                       |       |                        |       |
| **NET INVESTMENT INCOME (LOSS)**              |       | (478,087                    | )          | 285,162                     |       | (1,508,981                 | )          | (455,153                    | )          |
|                                          |       |                        |       |                        |       |                       |       |                        |       |
| **NET INCOME (LOSS)**                         |       | $                           | 5,383,773  |                        | $          | (2,281,601                 | )          | $                           | 8,922,719  |   | $ | (293,788 | ) |
|                                          |       |                        |       |                        |       |                       |       |                        |       |
| **NET INCOME (LOSS) PER UNIT:**               | ** ** | ** **                  | ** ** | ** **                  | ** ** | ** **                 | ** ** | ** **                  | ** ** |
| ** **                                    | ** ** | ** **                  | ** ** | ** **                  | ** ** | ** **                 | ** ** | ** **                  | ** ** |
| Weighted average  number of Units outstanding |       |                        |       |                        |       |                       |       |                        |       |
| Class A                                       |       | 28,150,737                  |       | 7,945,875                   |       | 22,802,881                 |       | 3,885,317                   |       |
| Class C                                       |       | 140,187,239                 |       | 35,767,752                  |       | 108,820,930                |       | 19,753,242                  |       |
| Class D                                       |       | 34,282,064                  |       | 3,024,343                   |       | 23,518,456                 |       | 1,433,908                   |       |
| Class I                                       |       | 26,949,391                  |       | 12,277,010                  |       | 23,897,030                 |       | 5,115,863                   |       |
|                                          |       |                        |       |                        |       |                       |       |                        |       |
| Net income  (loss) per weighted average Unit  |       |                        |       |                        |       |                       |       |                        |       |
| Class A                                       |       | $                           | 0.0251     |                        | $          | (0.0307                    | )          | $                           | 0.0642     |   | $ | 0.0040 |   |
| Class C                                       |       | $                           | 0.0215     |                        | $          | (0.0307                    | )          | $                           | 0.0494     |   | $ | 0.0193 |   |
| Class D                                       |       | $                           | 0.0281     |                        | $          | (0.1430                    | )          | $                           | 0.0152     |   | $ | (0.2678 | ) |
| Class I                                       |       | $                           | 0.0258     |                        | $          | (0.0413                    | )          | $                           | 0.0724     |   | $ | (0.0599 | ) |

 

----

(1)             commencementof operations February 1, 2005

See notes to financial statements.

3

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ML WINTONFUTUREACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OFCHANGES IN MEMBERS’ CAPITAL

For the ninemonths ended September 30, 2006 and the eight months ended September 30, 2005 (1)

(unaudited)
| ** **                  | ** ** | ** **                | ** ** | **Initial**             | ** ** | ** **        | ** ** | ** **      | ** ** | ** **          | ** ** | **Members’ Capital**   | ** ** | **Members’ Capital**  | ** ** | ** **        | ** ** | ** **      | ** ** | ** **          | ** ** | **Members’ Capital**   | ** ** |
|-----------------------------|------------|---------------------------|------------|-------------------------|------------|-------------------|------------|-----------------|------------|---------------------|------------|----------------------------------|------------|---------------------------------|------------|-------------------|------------|-----------------|------------|---------------------|------------|----------------------------------|------------|
| ** **                  | ** ** | **Initial Offering** | ** ** | **Offering Costs** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net Income** | ** ** | **September 30, 2005** | ** ** | **December 31, 2005** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net Income** | ** ** | **September 30, 2006** | ** ** |
|                        |       |                      |       |                    |       |              |       |            |       |                |       |                             |       |                            |       |              |       |            |       |                |       |                             |       |
| Class A                     |       | 747,825                   |       | —                  |       | 9,327,884         |       | (67,924         | )          | —              |       | 10,007,785                       |       | 15,522,119                      |       | 16,002,668        |       | (2,002,843      | )          | —              |       | 29,521,944                       |       |
| Class C                     |       | 4,276,000                 |       | —                  |       | 40,761,470        |       | (1,734,069      | )          | —              |       | 43,303,401                       |       | 62,583,887                      |       | 92,286,155        |       | (7,869,594      | )          | —              |       | 147,000,448                      |       |
| Class D                     |       | —                    |       | —                  |       | 6,846,804         |       | (247,755        | )          | —              |       | 6,599,049                        |       | 9,764,594                       |       | 24,559,770        |       | —          |       | —              |       | 34,324,364                       |       |
| Class I                     |       | 287,000                   |       | —                  |       | 15,252,087        |       | (423,524        | )          | —              |       | 15,115,563                       |       | 17,936,086                      |       | 11,702,871        |       | (2,077,606      | )          | —              |       | 27,561,351                       |       |
|                        |       |                      |       |                    |       |              |       |            |       |                |       |                             |       |                            |       |              |       |            |       |                |       |                             |       |
| Total  Members’ Units  |       | 5,310,825                 |       | —                  |       | 72,188,245        |       | (2,473,272      | )          | —              |       | 75,025,798                       |       | 105,806,686                     |       | 144,551,464       |       | (11,950,043     | )          | —              |       | 238,408,107                      |       |
|                        |       |                      |       |                    |       |              |       |            |       |                |       |                             |       |                            |       |              |       |            |       |                |       |                             |       |
| Class A                     |       | —                    |       | —                  |       | 9,713             |       | —          |       | —              |       | 9,713                            |       | 9,713                           |       | —            |       | —          |       | —              |       | 9,713                            |       |
| Class C                     |       | —                    |       | —                  |       | 9,757             |       | —          |       | —              |       | 9,757                            |       | 9,757                           |       | —            |       | —          |       | —              |       | 9,757                            |       |
| Class D                     |       | —                    |       | —                  |       | —            |       | —          |       | —              |       | —                           |       | —                          |       | —            |       | —          |       | —              |       | —                           |       |
| Class I                     |       | —                    |       | —                  |       | —            |       | —          |       | —              |       | —                           |       | —                          |       | —            |       | —          |       | —              |       | —                           |       |
|                        |       |                      |       |                    |       |              |       |            |       |                |       |                             |       |                            |       |              |       |            |       |                |       |                             |       |
| Total  Sponsor’s Units |       | —                    |       | —                  |       | 19,470            |       | —          |       | —              |       | 19,470                           |       | 19,470                          |       | —            |       | —          |       | —              |       | 19,470                           |       |

 

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(1)  commencement of operationsFebruary 1, 2005

See notes to financial statements.

4

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ML WINTONFUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OFCHANGES IN MEMBERS’ CAPITAL

For the ninemonths ended September 30, 2006 and the eight months ended September 30, 2005 (1) (continued)

(unaudited)

 
| ** **                    | ** ** | ** **                | ** ** | **Initial**             | ** ** | ** **        | ** ** | ** **      | ** ** | **Net Income** | ** ** | **Members’ Capital**   | ** ** | **Members’ Capital**  | ** ** | ** **        | ** ** | ** **      | ** ** | ** **          | ** **  | **Members’ Capital**   | ** ** |
|-------------------------------|------------|---------------------------|------------|-------------------------|------------|-------------------|------------|-----------------|------------|---------------------|------------|----------------------------------|------------|---------------------------------|------------|-------------------|------------|-----------------|------------|---------------------|-------------|----------------------------------|------------|
| ** **                    | ** ** | **Initial Offering** | ** ** | **Offering Costs** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **(Loss)**          | ** ** | **September 30, 2005** | ** ** | **December 31, 2005** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net Income** | ** **  | **September 30, 2006** | ** ** |
|                          |       |                      |       |                    |       |              |       |            |       |                |       |                             |       |                            |       |              |       |            |       |                |        |                             |       |
| Class A                       |       | $                         | 747,825    |                    | $          | (39,666           | )          | $               | 10,195,300 |                | $          | (72,739                          | )          | $                               | 15,053     |              | $          | 10,845,773      |       | $                   | 16,602,088  |                             | $          | 17,928,641 |   | $ | (2,282,397 | ) | $ | 1,463,149 |   | $ | 33,711,481 |   |
| Class C                       |       | 4,276,000                 |       | (165,575                | )          | 44,082,916        |       | (1,872,934      | )          | 380,315             |       | 46,700,722                       |       | 66,470,039                      |       | 102,257,045       |       | (8,740,901      | )          | 5,370,608           |        | 165,356,791                      |       |
| Class D                       |       | —                    |       | (22,125                 | )          | 7,352,675         |       | (269,797        | )          | (384,021            | )          | 6,676,732                        |       | 9,797,722                       |       | 26,928,777        |       | —          |       | 358,553             |        | 37,085,052                       |       |
| Class I                       |       | 287,000                   |       | (45,079                 | )          | 16,809,405        |       | (473,344        | )          | (306,250            | )          | 16,271,732                       |       | 19,077,399                      |       | 12,957,727        |       | (2,336,935      | )          | 1,729,119           |        | 31,427,310                       |       |
|                          |       |                      |       |                    |       |              |       |            |       |                |       |                             |       |                            |       |              |       |            |       |                |        |                             |       |
| Total Members’ Interests |       | $                         | 5,310,825  |                    | $          | (272,445          | )          | $               | 78,440,296 |                | $          | (2,688,814                       | )          | $                               | (294,903   | )                 | $          | 80,494,959      |       | $                   | 111,947,248 |                             | $          | 160,072,190 |   | $ | (13,360,233 | ) | $ | 8,921,429 |   | $ | 267,580,634 |   |
|                          |       |                      |       |                    |       |              |       |            |       |                |       |                             |       |                            |       |              |       |            |       |                |        |                             |       |
| Class A                       |       | $                         | —     |                    | $          | —            |       | $               | 10,000     |                | $          | —                           |       | $                               | 561        |              | $          | 10,561          |       | $                   | 10,410      |                             | $          | — |   | $ | — |   | $ | 691 |   | $ | 11,101 |   |
| Class C                       |       | —                    |       | —                  |       | 10,000            |       | —          |       | 554                 |       | 10,554                           |       | 10,384                          |       | —            |       | —          |       | 599                 |        | 10,983                           |       |
| Class D                       |       | —                    |       | —                  |       | —            |       | —          |       | —              |       | —                           |       | —                          |       | —            |       | —          |       | —              |        | —                           |       |
| Class I                       |       | —                    |       | —                  |       | —            |       | —          |       | —              |       | —                           |       | —                          |       | —            |       | —          |       | —              |        | —                           |       |
| Total Sponsor’s Interest |       | $                         | —     |                    | $          | —            |       | $               | 20,000     |                | $          | —                           |       | $                               | 1,115      |              | $          | 21,115          |       | $                   | 20,794      |                             | $          | — |   | $ | — |   | $ | 1,290 |   | $ | 22,084 |   |
| Total Members’ Capital   |       | $                         | 5,310,825  |                    | $          | (272,445          | )          | $               | 78,460,296 |                | $          | (2,688,814                       | )          | $                               | (293,788   | )                 | $          | 80,516,074      |       | $                   | 111,968,042 |                             | $          | 160,072,190 |   | $ | (13,360,233 | ) | $ | 8,922,719 |   | $ | 267,602,718 |   |

 

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(1)             commencementof operations February 1, 2005

See notes to financial statements.

5

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ML WINTONFUTURESACCESS LLC

(a Delaware Limited Liability Company)

NOTES TO FINANCIALSTATEMENTS

(unaudited)

1.       SUMMARY OF SIGNIFICANT ACCOUNTINGPOLICIES

In the opinion ofmanagement, the financial statements contain all adjustments necessary topresent fairly the financial position of ML Winton FuturesAccess LLC (the “Fund”)as of September 30, 2006, and the results of its operations for the three andnine months ended September 30, 2006 and for the three and eight months endedSeptember 30, 2005.  However, theoperating results for the interim periods may not be indicative of the resultsfor the full year. The Fund commenced trading activities on February 1,2005.  Therefore, the Statements ofOperations and Statements of Changes in Members’ Capital contain informationonly for the eight month period ended September 30, 2005.

Certaininformation and footnote disclosures normally included in annual financialstatements prepared in accordance with accounting principles generally acceptedin the United States of America (“US GAAP”) have been omitted.  It is suggested that these financialstatements be read in conjunction with the financial statements and notesthereto included in the Fund’s Annual Report on Form 10-K filed with theSecurities and Exchange Commission for the period ended December 31, 2005.

The preparation offinancial statements in conformity with US GAAP requires management to makeestimates and assumptions that affect the reported amounts of assets andliabilities and disclosure of contingent assets and liabilities at the date ofthe financial statements and the reported amounts of revenues and expensesduring the reporting period.  Actualresults could differ from those estimates.

6

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2.               NET ASSET VALUE PERUNIT

For financial reporting purposes, in conformity withUS GAAP, the Fund deducted the total initial offering costs at inception fromMembers’ Capital for purposes of determining Net Asset Value.  For all other purposes, including computingNet Asset Value for purposes of member subscription and redemption activity,such costs are amortized over 60 months. Consequently, the Net Asset Value andNet Asset Value per Unit of the different Classes for financial reportingpurposes and for all other purposes are as follows:

At September 30, 2006 theNet Asset Values of the different series of Units are as follows:
|            | ** ** | **Net Asset Value** | ** **  | ** **    | ** ** | **Net Asset Value per Unit** | ** ** |
|------------|------------|-------------------------------|-------------|---------------|------------|--------------------------------------------------|------------|
| ** ** | ** ** | **All Other**            | ** **  | **Financial** | ** ** | **Number of**                               | ** ** | **All Other** | ** ** | **Financial** | ** ** |
| ** ** | ** ** | **Purposes**                  | ** **  | **Reporting** | ** ** | **Shares**                                       | ** ** | **Purposes** | ** ** | **Reporting** | ** ** |
| Class A    |       | $                             | 33,749,373  |          | $          | 33,722,582                                       |       | 29,531,657 |   | $ | 1.1428 |   | $ | 1.1419 |   |
| Class C    |       | 165,470,496                   |        | 165,367,774   |       | 147,010,205                                      |       | $ | 1.1256 |   | $ | 1.1249 |   |
| Class D    |       | 37,098,613                    |        | 37,085,052    |       | 34,324,364                                       |       | $ | 1.0808 |   | $ | 1.0804 |   |
| Class I    |       | 31,458,744                    |        | 31,427,310    |       | 27,561,351                                       |       | $ | 1.1414 |   | $ | 1.1403 |   |
|       |       | $                             | 267,777,226 |          | $          | 267,602,718                                      |       | 238,427,577 |   |   |   |   |   |

 

At December 31, 2005 theNet Asset Values of the different series of Units are as follows:
|            | ** ** | **Net Asset Value** | ** **  | ** **    | ** ** | **Net Asset Value per Unit** | ** ** |
|------------|------------|-------------------------------|-------------|---------------|------------|--------------------------------------------------|------------|
| ** ** | ** ** | **All Other**            | ** **  | **Financial** | ** ** | **Number of**                               | ** ** | **All Other** | ** ** | **Financial** | ** ** |
| ** ** | ** ** | **Purposes**                  | ** **  | **Reporting** | ** ** | **Shares**                                       | ** ** | **Purposes** | ** ** | **Reporting** | ** ** |
| Class A    |       | $                             | 16,645,808  |          | $          | 16,612,498                                       |       | 15,531,832 |   | $ | 1.0717 |   | $ | 1.0696 |   |
| Class C    |       | 66,613,723                    |        | 66,480,423    |       | 62,593,644                                       |       | $ | 1.0642 |   | $ | 1.0621 |   |
| Class D    |       | 9,817,367                     |        | 9,797,722     |       | 9,764,594                                        |       | $ | 1.0054 |   | $ | 1.0034 |   |
| Class I    |       | 19,115,651                    |        | 19,077,399    |       | 17,936,086                                       |       | $ | 1.0658 |   | $ | 1.0636 |   |
|       |       | $                             | 112,192,549 |          | $          | 111,968,042                                      |       | 105,826,156 |   |   |   |   |   |

 

3.       FAIR VALUE AND OFF-BALANCE SHEET RISK

The nature of this Fundhas certain risks, which cannot all be presented on the financialstatements.  The following summarizessome of those risks.

Market Risk

Derivative instrumentsinvolve varying degrees of off-balance sheet market risk.  Changes in the level or volatility ofinterest rates, foreign currency exchange rates or the market values of thefinancial instruments or commodities underlying such derivative instrumentsfrequently result in changes in the Fund’s net unrealized profit (loss) on suchderivative instruments as reflected in the Statement of Financial Condition.  The Fund’s exposure to market risk isinfluenced by a number of factors, including the relationships among thederivative instruments held by the Fund as well as the volatility and liquidityof the markets in which the derivative instruments are traded.

7

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The Sponsor of theFund, Merrill Lynch Alternative Investments LLC (“MLAI”), has procedures inplace intended to control market risk exposure, although there can be noassurance that they will, in fact, succeed in doing so.  These procedures focus primarily onmonitoring the trading of Winton Capital Management Limited (“Winton”), thetrading advisor, calculating the Net Asset Value of the Fund as of the close ofbusiness on each day and reviewing outstanding positions forover-concentrations.  While MLAI does notitself intervene in the markets to hedge or diversify the Fund’s marketexposure, MLAI may urge Winton to reallocate positions in an attempt to avoidover-concentrations.  However, suchinterventions are expected to be unusual. It is expected that MLAI’s basic risk control procedures will consist ofthe ongoing process of advisor monitoring, with the market risk controls beingapplied by Winton itself.

Credit Risk

The risksassociated with exchange-traded contracts are typically perceived to be lessthan those associated with over-the-counter (non-exchange-traded) transactions,because exchanges typically provide clearinghouse arrangements in which thecollective credit (in some cases limited in amount, in some cases not) of themembers of the exchange is pledged to support the financial integrity of theexchange.  In over-the-countertransactions, on the other hand, traders must rely solely on the credit oftheir respective individual counterparties. Margins, which may be subject to loss in the event of a default, aregenerally required in exchange trading, and counterparties may also requiremargin in the over-the-counter markets.

The credit riskassociated with these instruments from counterparty nonperformance is the netunrealized profit, if any, included in the Statement of Financial Condition.The Fund attempts to mitigate this risk by dealing exclusively with MerrillLynch & Co., Inc. (“Merrill Lynch”) entities as clearing brokers.

The Fund, in its normal course of business, entersinto various contracts, with Merrill Lynch Pierce Fenner & Smith Inc. (“MLPF&S”)acting as its commodity broker.  Pursuantto the brokerage arrangement with MLPF&S (which includes a nettingarrangement), to the extent that such trading results in receivables from andpayables to MLPF&S, these receivables and payables are offset and reportedas a net receivable or payable and included in equity from commodity futurestrading accounts in the Statement of Financial Condition.

4.       RECENTACCOUNTING PRONOUNCEMENTS

InJuly 2006, the Financial Accounting Standards Board (“FASB”) issuedInterpretation No. 48 (“FIN 48”) entitled “Accounting for Uncertainty in IncomeTaxes — an interpretation of FASB Statement No. 109”. FIN 48 prescribes theminimum recognition threshold a tax position must meet in connection withaccounting for uncertainties in income tax positions taken or expected to betaken by an entity before being measured and recognized in the financialstatements. Adoption of FIN 48 is required for fiscal years beginning afterDecember 15, 2006. The impact on the Fund financial statements, if any, iscurrently being assessed.

InSeptember 2006, the Securities Exchange Commission (“SEC”) staff also issuedStaff Accounting Bulletin No. 108,*“Consideringthe Effects of Prior Year Misstatements when Quantifying Misstatements inCurrent Year Financial Statements”* (“SAB 108”). While not anofficial rule or interpretation of the SEC, SAB 108 was issued to address thediversity in practice in quantifying misstatements from prior years andassessing their effect on current year financial statements. SAB 108 iseffective for the first annual period ending after November 15, 2006, with

8

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earlyapplication encouraged. The Fund has assessed the impact of SAB 108 on itsfinancial statements and does not expect the impact of adoption to be materialto its financial statements.

In September 2006, the FASBissued Statement of Financial Accounting Standards No. 157, Fair ValueMeasurements (“FAS 157”).  FAS 157 establishes a common definition forfair value under accounting principles generally accepted in the United Statesof America, establishes a framework for measuring fair value and expandsdisclosure requirements about such fair value measurements.  FAS 157 iseffective for fiscal years beginning after November 15, 2007.  The Fund iscurrently evaluating the impact of adopting FAS 157 on its financialstatements.

Item2:            Management’s Discussion andAnalysis of Financial Condition and Results of Operations

MONTH-END NET ASSET VALUEPER UNIT

(NON US GAAP)

MLAI believes thatthe Net Asset Value used to calculate subscription and redemption value and toreport performance to investors throughout the year is the most valuable to theMembers of the Fund.  Therefore, the chartsbelow referencing Net Asset Value and performance measurements are based on theNet Asset Value for all other purposes, as discussed in Note 2 to the FinancialStatements.

Class A
|      | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **Jul.** | ** ** | **Aug.** | ** ** | **Sep.** | ** ** |
|------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|----------|------------|
| 2005 |       | n/a      |       | $        | 1.0223     |     | $          | 1.0633   |       | $       | 1.0295     |     | $          | 1.0836   |       | $        | 1.1068     |     | $          | 1.0828 |   | $ | 1.1560 |   | $ | 1.0872 |   |
| 2006 |       | $        | 1.1029     |     | $          | 1.0768   |       | $        | 1.1124     |    | $          | 1.1783   |       | $        | 1.1326     |     | $          | 1.1180   |       | $ | 1.1124 |   | $ | 1.1577 |   | $ | 1.1428 |   |
|      |            |          |            |          |            |          |            |          |            |         |            |          |            |          |            |          |            |          |            |  |  |  |  |  |  |  |  |  |

 

Class C
|      | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **Jul.** | ** ** | **Aug.** | ** ** | **Sep.** | ** ** |
|------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|----------|------------|
| 2005 |       | n/a      |       | $        | 1.0214     |     | $          | 1.0618   |       | $       | 1.0249     |     | $          | 1.0779   |       | $        | 1.1000     |     | $          | 1.0783 |   | $ | 1.1508 |   | $ | 1.0817 |   |
| 2006 |       | $        | 1.0943     |     | $          | 1.0675   |       | $        | 1.1018     |    | $          | 1.1659   |       | $        | 1.1191     |     | $          | 1.1041   |       | $ | 1.0975 |   | $ | 1.1413 |   | $ | 1.1256 |   |
|      |            |          |            |          |            |          |            |          |            |         |            |          |            |          |            |          |            |          |            |  |  |  |  |  |  |  |  |  |

 

Class D
|      | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **Jul.** | ** ** | **Aug.** | ** ** | **Sep.** | ** ** |
|------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|----------|------------|
| 2005 |       | n/a      |       | n/a      |       | n/a      |       | $        | 0.9601     |    | $          | 1.0118   |       | $        | 1.0366     |     | $          | 1.0202   |       | $ | 1.0920 |   | $ | 1.0150 |   |
| 2006 |       | $        | 1.0360     |     | $          | 1.0131   |       | $        | 1.0479     |    | $          | 1.1113   |       | $        | 1.0646     |     | $          | 1.0528   |       | $ | 1.0489 |   | $ | 1.0932 |   | $ | 1.0808 |   |
|      |            |          |            |          |            |          |            |          |            |         |            |          |            |          |            |          |            |          |            |  |  |  |  |  |  |  |  |  |

 

Class I

|      | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **Jul.** | ** ** | **Aug.** | ** ** | **Sep.** | ** ** |
|------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|----------|------------|
| 2005 |       | n/a      |       | $        | 1.0226     |     | $          | 1.0633   |       | $       | 1.0265     |     | $          | 1.0808   |       | $        | 1.1014     |     | $          | 1.0742 |   | $ | 1.1485 |   | $ | 1.0792 |   |
| 2006 |       | $        | 1.0972     |     | $          | 1.0715   |       | $        | 1.1073     |    | $          | 1.1732   |       | $        | 1.1283     |     | $          | 1.1154   |       | $ | 1.1100 |   | $ | 1.1558 |   | $ | 1.1414 |   |
|      |            |          |            |          |            |          |            |          |            |         |            |          |            |          |            |          |            |          |            |  |  |  |  |  |  |  |  |  |

 

9

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Performance Summary

January 1, 2006 toSeptember 30, 2006

January 1, 2006 toMarch 31, 2006

The Fund posted anoverall profit with metals, stock indices and interest rates posting gainswhile energy, agriculture, currencies posted losses.

The metals sectorwas the most profitable for the Fund. Base metal prices were bolstered bycontinuing demand from China’s expanding economy and short covering just priorto the Chinese New Year. Both aluminum and zinc reached all time highsbeginning of the quarter. Precious metals and energies endured a volatileperiod during the Iran/U.S./Europe nuclear standoff with gold reaching a 25year high. The quarter ended with gold and silver continuing to surge upwards,with silver posting a 22 year high. This was driven by strong demand and anticipationof the launch of a new wave of instruments that will open up these markets to awider audience of investors. Base metals were similarly well supported withseveral markets, including zinc and copper, trading at record highs.

The stock indicesposted profits for the Fund. Higher equity and lower fixed income prices werelargely a result of better than expected sentiment indicators and companyearnings reports. Equity markets continued mid-quarter with their bullish run,with the European bourses leading the charge. A combination of strong corporateearnings and solid consumer demand led to several indices posting four to fiveyear highs. The disappointing U.S. retail sales and consumer price figurescoupled with a bout of profit taking led to a somewhat exaggerated end of thequarter spike in fixed income markets. However, this was steadily erased by thecontinuation of the drift downward in bond prices as a subsequent succession ofstronger than expected consumer confidence indicators led to increased expectationsof a lengthening cycle of the U.S. interest rate increases. The markets nowseem comfortable with the new U.S. Federal Chairman, Bernanke, wherein therewill be no major disruption and that the general philosophy behind the FederalReserve’s approach will remain broadly unchanged.

The interest ratesector also posted profits for the Fund.  Gains were made in short end rates mid-quarter due to the on-goingstrength of the U.S. economy which led to a flattening of the yield curve.However, this was slightly tempered by an interesting retracement asdisappointing consumer confidence and manufacturing activity numbers led to afall in implied short term interest rates. Quarter ended with expectations offurther European Central Bank rate hikes led to a twenty basis point decline inEuribor futures which proved to be the main profit driver in the interest ratesector.

The energy sectorposted losses for the Fund.  Midwaythrough the end of the quarter, once again, forced the sector into a period ofincreased volatility, as both military and terrorist activities in the keyenergy production areas led to rising energy prices.

The agriculturalsector posted losses for the Fund. The agricultural market was soft whichattributed to the difficult trading environment resulting in the Fund postinglosses for the sector.

The currencysector was the least profitable for the Fund. The currency market remainedmostly directionless throughout the beginning of the quarter. Currencies werethe main focus of attention in the latter half of the mid-quarter, as themarket began to forecast on the end of the Bank of Japan’s policy ofquantitative easing with optimism rising that this would be sooner rather thanlater.  The Japanese yen enjoyed strongbuying support as the U.S. dollar and Japanese yen moved down from an intramonth high of 119.45 to close at 115.75. Financial markets were somewhat rangebound at the end of the quarter with foreign exchange markets in particularenjoying a period of relative calm.

10

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April 1, 2006 toJune 30, 2006

The Fund posted anoverall loss with the metal and the energy sectors posting gains while thecurrency, interest rate, agricultural commodities and stock indices sectorsposted losses.

The metals sectorwas the most profitable for the Fund. Large gains were posted in both the baseand precious metal markets. As prices surged higher, there were somepredictable bouts of profit taking, but the overall upward trend still remainedstrong. During mid-quarter there was an equity market sell-off and a continuingsurge in base metal markets. Having reached local highs mid-quarter, globalequity markets tumbled sharply. The prevailing mood in the markets turnednegative during several trading sessions. This was led by the sudden pull backin base metals, with copper generating much of the momentum. Having rallied 23%in eight trading sessions, bouts of profit taking led to growing concern ofprice exuberance and copper proceeded to decline by around 12% in a week. Thisvolatility unnerved many investors and fed through into the other metalmarkets. This coincided with a growing concern that the Federal Reserve wouldcontinue to raise short term rates, as inflationary fears mounted. As a resultthe equity positions suffered across all geographical sectors, wherein the longmetals positions posted strong gains despite the price volatility. Preciousmetals were similarly active, with the gold contract for June delivery rallying10% in the opening eight trading sessions, before declining below June’s openlevel and finally finishing flat. The recent increase in volatility in globalfinancial markets led to risk reduction in portfolios across the board whichbrought a subsequent decline in market activity at quarter’s end.

The energy sectorposted profits for the Fund.  The quarterbegan with strong performance in the energy markets as crude oil tradedconsistently above $70.00 and even briefly breached the $75.00 level.Mid-quarter financial markets endured a period of high volatility across allasset classes. Energies produced modest gains at quarter’s end as futuresfinished mostly higher on concern that peak gasoline demand during the holidayperiod will strain fuel supplies.

The currencysector was not profitable for the Fund. Currency positions posted small lossesat the beginning of the quarter due to low volatility and range bound trading.The long awaited breaching of the 116 level in the U.S. dollar/Japanese yen ledto some volatile price action as the Japanese yen began to strengthen, headingtowards a 113 handle as speculators and domestic end-users repositionedthemselves accordingly. There was a sharp sell-off seen in several emergingmarket currencies mid-quarter. Decline in market activity at the end of thequarter was due to recent increase in volatility in global financial marketswhich led to risk reduction in portfolios across the board.

The interest ratesector posted losses for the Fund.  Gains were recorded in the fixed income markets, as they continued tosell off at the beginning of the quarter. This was driven by the continuedstrength of the U.S. economy. A succession of solid economic data releasesunderpinned this price action. However, there was a change of tone with U.S.Federal Reserve Chairman Bernanke’s testimony to Congress leading to a strongbounce in the U.S. Treasury market, as his comments on the turning point of therate cycle were taken to be more calm than expected.  Short end U.S. interest rates were pushedhigher mid-quarter as traders became more hawkish.  However, in Europe there was more stabilityin rates as the front end of the yield curve held firm. Bond markets rallied asa flight to quality by investors took hold; although this was then counteractedby growing inflationary fears leading to a stalemate at the longer end of thecurve. The recent increase in volatility in global financial markets led torisk reduction in portfolios across the board which brought a subsequentdecline in market activity at quarter’s end. Returns for the month were largelydriven by the Federal Open Market Committee decision, which delivered theanticipated 25 basis point increase in rates along with comments suggestingeconomic growth in the U.S. has been slowing.

The agriculturalsector posted losses for the Fund. The agricultural market was soft whichattributed to the difficult trading environment resulting in the Fund postinglosses for the sector.

11

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The stock indicessector was the least profitable for the Fund. At the beginning of the quarterthe sector posted profits for the Fund as the Far East indices were pushedhigher driven by the inflow of new domestic investment linked with thebeginning of the financial year. Having reached local highs mid-quarter, globalequity markets tumbled sharply. The S&P and the DJ Eurostoxx futures postedmonth on month declines of 3.3% and 4.1%, respectively. The quarter ended withstocks rallying due to the U.S. Federal Reserve comments, than an end of therate-hike cycle environment would lift the damper on growth.

July 1, 2006 toSeptember 30, 2006

The Fund posted anoverall gain with interest rates, currencies, metals and stock indices sectorsposting gains while agriculture and energy sectors posted losses.

The interest ratesector was the most profitable for the Fund. U.S. Federal Reserve ChairmanBernanke’s two day meeting with the Senate banking committee and his overalltone was read as dovish by the markets as expectations of further rate hikesreceded. This increase in the uncertainty forced many market participants toreduce positions and wait for the dust to settle before re-entering the market.Gains were posted mid-quarter as weaker than forecast U.S. inflation andhousing numbers fueled speculation that the U.S. Federal Reserve will leaverates on hold this year. The growing perception that the interest rate cyclehas turned in the U.S. was the dominant theme as the quarter ended. This wasdriven by the slowing U.S. housing market and the ensuing drag on consumerspending.

The currencysector posted profits for the Fund. The British pound gained strongly againstthe U.S. dollar. In contrast to the U.S., the U.K. economy continued to poststrong growth numbers with retail sales coming in stronger than expected.Currencies were the strongest performing sector mid-quarter due to market expectationsfor European interest rate rises and poor economic data from Japan. WeakJapanese industrial production and lower retail sales data also assisted thestrong gains in fixed income as Japanese bonds surged. Fixed income returnswere further bolstered as U.S. and European bonds moved higher. Currencymarkets were tentatively range bound at quarter’s end. The continuing strengthof the British pound has led to some questioning of its current levels.

The metals sectorposted profits for the Fund. Base metals continued to exhibit significant shortterm price swings at the beginning of the quarter as trading volumes weakened.Gains were posted mid-quarter as nickel prices reached their highest level in19 years on speculation that global inventories will be eroded by rising demandfrom makers of stainless steel. Precious metals declined across the board atquarter’s end with gold down 5% and silver falling 12%.

The stock indicesalso posted profits for the Fund. Global markets traded in a relatively low volumeenvironment at the beginning of the quarter. Short term price volatilitycontinued to create periods of intense activity but on the whole, most tradersseemed content to sit on the sidelines leaving little risk in the market.Profits were posted mid through the end of the quarter.

The agriculturalsector posted losses for the Fund. The agricultural market was directionlesswhich attributed to the difficult trading environment resulting in the Fundposting losses for the sector.

The energy sectorwas the least profitable for the Fund. Losses were posted throughout thequarter. Prices fell mid quarter due to the news that British Petroleum woulddrop plans to shut the largest U.S. oil field. A combination of factors,including the calming of the situation in the Middle East and growing levels ofinventories, led to a strong decline in the price of oil at quarter’s end. Thisbriefly led to crude trading below the $60 level for the first time since Marchof 2006.

12

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February 1, 2005to September 30, 2005

February 1, 2005to March 31, 2005

The Fund posted again for the first quarter of 2005. Profits were recorded in financials with commodities posting mixedreturns.  The largest profits wererecorded in equities which rallied as strong gains in oil and mining stocksdominated index returns.  Solid gainswere posted in short-term rates against small losses in bonds as the yieldcurve finally steepened after Alan Greenspan, U.S. Federal Reserve Chairman,testified before Congress about the “conundrum” posed by the decline in forwardrates.  Modest gains were made incurrencies as the U.S. dollar continued to weaken over concerns about the hugeU.S. current account deficit and worries that Asian central banks may slow purchasesof U.S. assets.  U.S. dollar weaknesshelped support metal and energy prices, a sector in which the Fund experiencedmodest gains.  The strength in the U.S.dollar could also be attributed to a contrasting economic picture between theU.S. and Europe, highlighted by dovish European Central Bank  comments. Energy gains could also beattributed to continuing cold weather and the possibility that OPEC would cutproduction in March.  Modest losses wererecorded in crops largely due to a short-covering rally in soybeans sparked byconcern that drought will damage crops in South America.  Solid profits were recorded in bonds andinterest rates sectors against small losses in currencies, as strong U.S.inflation and hawkish comments from the U.S. Federal Reserve sent rates and theU.S. dollar higher.  Modest profits wererecorded in energies as crude prices remained positive for the month despitestrong U.S. inventory data.  Equity returnswere mixed despite U.S. stocks reaching their lowest level in two months ashigher oil prices weighed on indexes.

April 1, 2005 toJune 30, 2005

The Fund posted again for the second quarter of 2005.  Thestrongest performing sectors were interest rates and currency.  The energy, agricultural and metals sectorsposted losses for the Fund.

The biggest gainfor the quarter was posted in the interest rate sector.  Profits were recorded in bonds against lossesin stocks as a raft of weak U.S. economic data and disappointing earningsreports sent world equities lower.  Thesell off in stocks sparked a flight to quality into bonds and a short coveringrally in interest rates; producing the flattest U.S. Treasury yield curve infour years.  Mid-quarter, solid gainswere once again recorded in equities and bonds. Financial futures moved higher as solid U.S. employment and retail salesdata confirmed continued growth in the U.S. while stable inflation data andlower oil prices soothed concerns about the pace of Federal rate hikesahead.  Following a stellar May, bondsposted a small increase after a volatile month in June.  Profits came from trading in the Euro,balanced by losses in U.S. Treasuries, and in particular short end Eurodollars,as sustained Federal Reserve tightening proved more likely by the day.

A strong gain wasposted for the currency sector.  At thebeginning of the quarter, currency returns were mixed as the U.S. dollarremained in a tight range.  The currencyreturns continued to be mixed during the quarter as the U.S. dollar regainedsome of the ground it lost earlier in the year as strong U.S. economic data andFrance’s rejection of the European Union constitution supported thegreenback.  The end of the quarter sawstrong gains posted in currencies and equities, as the strength of the U.S.economy was once again the main driver behind financial markets.  The strength of the U.S. dollar, bolstered bya widening interest rate differential and continuing U.S. economic growthrelative to Europe, proved positive for the Fund with profits coming from shortpositions in the Swiss franc and Japanese yen. Elsewhere the Australian dollar provided solid gains.

The Fund posted aloss for the agricultural sector.  Theagricultural sector started the quarter with a loss and managed to rally backto a profit mid-quarter.  Profits spiraleddownwards at the end of the quarter, resulting in a loss posted for the quarteras a whole.

13

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A loss was postedfor the quarter in the metals sector also. The metals sector performed poorly throughout the entire quarter,posting consistent losses each month.

The energy sectorwas the poorest performing sector for the Fund with a loss posted for thequarter.  Commodity returns were negativewith the largest loss recorded in energies as crude prices sharply reversedgains made early in April as weak U.S. economic data coincided with climbinginventories.  Commodity returns weremodestly lower, mid-quarter, with energies posting the largest loss as oilprices slumped to three month lows on the back of rising inventory data.  Energies continued to endure a tough time,with crude oil and natural gas rallying strongly in the first half of June,before retracing sharply and generating losses as profit takers entered themarket.

July 1, 2005 toSeptember 30, 2005

The Fund posted atrading loss for the quarter, primarily due to losses in the interest ratesector.  The energy, stock indices,currencies, commissions, and metals sectors posted gains, while trading in theagricultural commodities and interest rates posted losses.

The energy sectorposted the largest gains for the quarter. Steady returns mid-quarter driven by the spike in energy prices causedby Hurricane Katrina and the impact on United States energy production anddistribution.  As concerns over supplyshortages subsided, a sell-off in the energy markets detracted from performancebut not enough to offset gains posted earlier in the quarter.

Trading in stockindices posted gains throughout the quarter for the Fund.  Strong gains early in the quarter in equitymarkets were caused by a rally as sentiment and stronger earnings boostedconfidence.  Trading in the Nikkei andHang Seng contributed to performance.

The currencysector posted a gain for the Fund despite losses in the first half of thequarter.  Currencies endured a volatileperiod.  The long awaited decision byChina to take the first steps to reforming its currency markets had a slightimpact on currency positions.  TheAustralian dollar strengthened, attributing to profits while the Swiss francwas the worst affected market.

A slight gain wasalso posted for the quarter in the metals sector.  The metals sector had relatively flatperformance throughout the entire quarter posting small gains early on andending the quarter posting losses.

Trading inagricultural commodities posted a slight loss. The agriculture sector had relatively flat performance throughout theentire quarter posting losses throughout with small gains during mid-quarter.

The interest ratesector posted the largest losses for the Fund during the quarter.  Fixed income positions suffered as themarkets slid on the back of comments from Federal Reserve Chairman Greenspan onthe continued robustness of the U.S. economy, and the perceived reduction infuture demand from China as they are now free to invest in other currencies andnot simply invest in U.S. Treasuries. The after effects of the U.S. hurricane season continued to plague themarkets later in the quarter. The initial feeling that the Federal Reservewould react to the inevitable impact on the U.S. economy by holding interestrates steady proved mistaken.  As aresult, the sell-off in the U.S. Treasuries dragged bond markets down acrossthe globe.  Short term interest ratefutures came under similar pressure, as the continued high level of oil pricesand other input prices continued to add weight to inflationary fears in theU.S.

14

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Item 3.   Quantitative and Qualitative DisclosuresAbout Market Risk

Not applicable

Item4.   Controls and Procedures

MLAI, the Sponsorof ML Winton FuturesAccess LLC, with the participation of the Sponsor’s ChiefExecutive Officer and the Chief Financial Officer, has evaluated theeffectiveness of the design and operation of its disclosure controls andprocedures with respect to the Fund as of the end of the period of thisquarterly report, and, based on this evaluation, has concluded that thesedisclosure controls and procedures are effective.  Additionally, there were no significantchanges in the Fund’s internal controls or in other factors that couldsignificantly affect these controls subsequent to the date of this evaluation,including any corrective actions with regard to significant deficiencies andmaterial weaknesses.

15

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PART II - OTHER INFORMATION
| Item 1.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | Legal Proceedings                                   |
|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|-----------------------------------------------------|
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |                                                |
| Neither the Fund nor MLAI has ever been the subject  of any material litigation. Merrill Lynch is the 100% indirect owner of MLAI,  MLPF&S and all other Merrill Lynch entities involved in the operations of  the Fund. Merrill Lynch as well as certain of its subsidiaries and affiliates  have been named as defendants in civil actions, arbitration proceedings and  claims arising out of their respective business activities. Although the  ultimate outcome of these actions cannot be predicted at this time and the  results of legal proceedings cannot be predicted with certainty, it is the  opinion of management that the result of these matters will not be materially  adverse to the business operations or the financial condition of MLAI or the  Fund. |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |
| Item 2.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | Changes in Securities and Use of Proceeds           |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | (a)                                                 | None. |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | (b)                                                 | None. |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | (c)                                                 | None. |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | (d)                                                 | None. |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |                                                |   |
| Item 3.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | Defaults Upon Senior Securities                     |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |                                                |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | None.                                               |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |                                                |
| Item 4.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | Submission of Matters to a Vote of Security Holders |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |                                                |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | None.                                               |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |                                                |
| Item 5.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | Other Information                                   |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |                                                |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | None.                                               |

 

16

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| Item 5(a). | Recent Sales of Unregistered Securities: Uses of  Proceeds From Registered Securities:                                                                                   |
|------------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|       | Issuance to accredited investors pursuant to  Regulation D and Section 4(6) under the Securities Act. The selling agent of  the following Class of Units was MLPF&S. |

 

MLAIbelieves that the Net Asset Value used to calculate subscription and redemptionvalue and report performance to investors throughout the year is the mostvaluable to the Members of the Fund. Therefore, the charts below referencing Net Asset Value and performancemeasurements are based on the Net Asset Value for all other purposes.

CLASS A
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** | ** **       | ** ** |
|------------|------------|------------------|------------|------------|------------|------------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-06     |       | $                | 1,046,164  |       | 976,172    |             | $          | 1.0717 |   |
| Feb-06     |       | 1,277,248        |       | 1,158,081  |       | 1.1029           |       |
| Mar-06     |       | 1,961,721        |       | 1,821,806  |       | 1.0768           |       |
| Apr-06     |       | 2,173,079        |       | 1,953,506  |       | 1.1124           |       |
| May-06     |       | 1,724,745        |       | 1,463,757  |       | 1.1783           |       |
| Jun-06     |       | 3,926,790        |       | 3,467,059  |       | 1.1326           |       |
| Jul-06     |       | 2,023,741        |       | 1,810,144  |       | 1.1180           |       |
| Aug-06     |       | 2,102,588        |       | 1,890,137  |       | 1.1124           |       |
| Sep-06     |       | 1,692,565        |       | 1,462,006  |       | 1.1577           |       |
| Oct-06     |       | 1,995,802        |       | 1,746,414  |       | 1.1428           |       |
|            |            |                  |            |            |            |                  |            |  |  |

 

CLASS C
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV(1)** | ** ** |
| Jan-06     |       | $                | 7,947,885  |       | 7,468,413  |       | $          | 1.0642 |   |
| Feb-06     |       | 6,445,056        |       | 5,889,661  |       | 1.0943     |       |
| Mar-06     |       | 12,278,823       |       | 11,502,410 |       | 1.0675     |       |
| Apr-06     |       | 15,943,877       |       | 14,470,754 |       | 1.1018     |       |
| May-06     |       | 15,010,468       |       | 12,874,576 |       | 1.1659     |       |
| Jun-06     |       | 12,316,218       |       | 11,005,467 |       | 1.1191     |       |
| Jul-06     |       | 14,248,833       |       | 12,905,383 |       | 1.1041     |       |
| Aug-06     |       | 9,731,053        |       | 8,866,563  |       | 1.0975     |       |
| Sep-06     |       | 8,334,832        |       | 7,302,928  |       | 1.1413     |       |
| Oct-06     |       | 9,316,125        |       | 8,276,586  |       | 1.1256     |       |
|            |            |                  |            |            |            |            |            |  |  |

 

CLASS D
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** | ** **       | ** ** |
|------------|------------|------------------|------------|------------|------------|------------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-06     |       | $                | 1,144,999  |       | 1,138,848  |             | $          | 1.0054 |   |
| Feb-06     |       | —           |       | —     |       | 1.0360           |       |
| Mar-06     |       | —           |       | —     |       | 1.0131           |       |
| Apr-06     |       | 1,209,000        |       | 1,153,736  |       | 1.0479           |       |
| May-06     |       | 20,975,996       |       | 18,875,190 |       | 1.1113           |       |
| Jun-06     |       | 2,328,998        |       | 2,187,675  |       | 1.0646           |       |
| Jul-06     |       | 1,186,054        |       | 1,126,571  |       | 1.0528           |       |
| Aug-06     |       | 30,000           |       | 28,601     |       | 1.0489           |       |
| Sep-06     |       | 53,730           |       | 49,149     |       | 1.0932           |       |
| Oct-06     |       | —           |       | —     |       | 1.0808           |       |
|            |            |                  |            |            |            |                  |            |  |  |

 

CLASS I
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV**(1) | ** ** |
| Jan-06     |       | $                | 1,861,920  |       | 1,746,970  |       | $          | 1.0658 |   |
| Feb-06     |       | 1,743,000        |       | 1,588,589  |       | 1.0972     |       |
| Mar-06     |       | 625,350          |       | 583,621    |       | 1.0715     |       |
| Apr-06     |       | 2,658,572        |       | 2,400,950  |       | 1.1073     |       |
| May-06     |       | 527,944          |       | 450,003    |       | 1.1732     |       |
| Jun-06     |       | 1,396,474        |       | 1,237,680  |       | 1.1283     |       |
| Jul-06     |       | 2,702,747        |       | 2,423,119  |       | 1.1154     |       |
| Aug-06     |       | 687,998          |       | 619,818    |       | 1.1100     |       |
| Sep-06     |       | 753,722          |       | 652,121    |       | 1.1558     |       |
| Oct-06     |       | 2,222,420        |       | 1,947,100  |       | 1.1414     |       |
|            |            |                  |            |            |            |            |            |  |  |

 

----

(1)  Net Asset Value for all other purposes

17

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Item 6.            Exhibits

The following exhibits are incorporated by referenceor are filed herewith to this Quarterly Report on Form 10-Q:

| 31.01 and 31.02          | Rule 13a-14(a)/15d-14(a) Certifications |
|--------------------------|-----------------------------------------|
|                     |                                    |
| Exhibit 31.01and  31.02: | Are filed herewith.                     |
|                     |                                    |
| 32.01 and 32.02          | Section 1350 Certifications             |
|                     |                                    |
| Exhibit 32.01and  32.02  | Are filed herewith.                     |

 

18

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**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 theundersigned thereunto duly authorized.
|                         | ML WINTON FUTURESACCESS  LLC   |
|-------------------------|--------------------------------|
| .                       |                           |
|                    |                           |
|                    | By: MERRILL LYNCH  ALTERNATIVE |   |
|                    | INVESTMENTS  LLC               |   |
|                    | (General  Partner)             |   |
|                    |                           |
|                    |                           |
| Date: November 14, 2006 | By                             | /s/ BENJAMIN WESTON |   |   |
|                    |                           | Benjamin Weston |
|                    |                           | Chief Executive Officer  and President |
|                    |                           | (Principal Executive  Officer) |
|                    |                           |
|                    |                           |
| Date: November 14, 2006 |                           |
|                    | By                             | /s/ BARBRA E. KOCSIS |   |   |
|                    |                           | Barbra E. Kocsis |
|                    |                           | Chief Financial Officer |
|                    |                           | (Principal Financial and Accounting Officer) |
|                         |                                |  |  |  |  |  |  |  |

 

19

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