**UNITEDSTATES SECURITIES AND EXCHANGE COMMISSION**

**Washington, D.C. 20549**

**FORM 10-Q**

**(Mark One)**

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

**For the quarterly period endedJune 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                **

**Commission File Number 0-51084**

**ML WINTON FUTURESACCESS LLC**

(Exact Name of Registrantas

specified in its charter)

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

 

**c/o Merrill Lynch AlternativeInvestments LLC**

**Princeton Corporate Campus**

**800 Scudders Mill Road -  Section 2G**

**Plainsboro, New Jersey 08536**

(Address of principalexecutive offices)

(Zip Code)

 

**609-282-6996**

(Registrant’s telephonenumber, 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):
|  | Large accelerated filer o | Accelerated filero | 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 JUNE 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                                 |       | 13       |
|       |                                                                                        |       |     |
| Item 4.    | Controls and  Procedures                                                                    |       | 13       |
|       |                                                                                        |       |     |
|       | PART II                                                                                     |       |     |
|       |                                                                                        |       |     |
| Item 1.    | Legal Proceedings                                                                           |       | 14       |
|       |                                                                                        |       |     |
| Item 2.    | Changes in Securities  and Use of Proceeds                                                  |       | 14       |
|       |                                                                                        |       |     |
| Item 3.    | Defaults Upon  Senior Securities                                                            |       | 14       |
|       |                                                                                        |       |     |
| Item 4.    | Submission of  Matters to a Vote of Security Holders                                        |       | 14       |
|       |                                                                                        |       |     |
| Item 5.    | Other Information                                                                           |       | 14       |
|       |                                                                                        |       |     |
| Item 5a.   | Recent Sales  of Unregistered Securities: Uses of Proceeds From Registered Securities       |       | 15       |
|       |                                                                                        |       |     |
| Item 6.    | Exhibits                                                                                    |       | 16       |

 

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PART I -FINANCIAL INFORMATION

 

Item1.    Financial Statements

ML WINTONFUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OF FINANCIAL CONDITION
| ** **                                                                               | ** ** | **June 30,** | ** **  | **December 31,** | ** ** |
|------------------------------------------------------------------------------------------|------------|-------------------|-------------|-----------------------|------------|
| ** **                                                                               | ** ** | **2006**          | ** **  | **2005**              | ** ** |
| ** **                                                                               | ** ** | **(unaudited)**   | ** **  | ** **            | ** ** |
|                                                                                     |       |              |        |                  |       |
| **ASSETS:**                                                                              | ** ** | ** **        | ** **  | ** **            | ** ** |
| Equity in commodity  futures trading accounts:                                           |       |              |        |                  |       |
| Cash                                                                                     |       | $                 | 221,527,987 |                  | $          | 109,899,009 |   |
| Net unrealized  profit on open contracts                                                 |       | 4,215,968         |        | 2,753,205             |       |
| Cash                                                                                     |       | 44,086            |        | 24,500                |       |
| Prepaid expenses                                                                         |       | 171,973           |        | —                |       |
| Accrued interest                                                                         |       | 857,604           |        | 371,172               |       |
|                                                                                     |       |              |        |                  |       |
| **TOTAL  ASSETS**                                                                        |       | $                 | 226,817,618 |                  | $          | 113,047,886 |   |
|                                                                                     |       |              |        |                  |       |
| **LIABILITIES AND MEMBERS’  CAPITAL:**                                              | ** ** | ** **        | ** **  | ** **            | ** ** |
| LIABILITIES:                                                                             |       |              |        |                  |       |
| Brokerage  commissions payable                                                           |       | $                 | 86,811      |                  | $          | 99,983 |   |
| Management fee  payable                                                                  |       | 375,084           |        | 186,436               |       |
| Sponsor’s fee  payable                                                              |       | 341,490           |        | 177,891               |       |
| Performance fee  payable                                                                 |       | 1,041,022         |        | —                |       |
| Redemptions  payable                                                                     |       | 963,873           |        | 252,301               |       |
| Initial offering  costs payable                                                          |       | 197,105           |        | 224,507               |       |
| Other payables                                                                           |       | —            |        | 138,726               |       |
|                                                                                     |       |              |        |                  |       |
| Total  liabilities                                                                       |       | 3,005,385         |        | 1,079,844             |       |
|                                                                                     |       |              |        |                  |       |
| MEMBERS’ CAPITAL:                                                                   |       |              |        |                  |       |
|  Sponsor’s Interest (19,470 and 19,470 Units  issued and outstanding)          |       | 21,633            |        | 20,794                |       |
|  Members’ Interest (203,839,229 and  105,806,686 Units issued and outstanding) |       | 223,790,600       |        | 111,947,248           |       |
|                                                                                     |       |              |        |                  |       |
| Total members’  capital                                                             |       | 223,812,233       |        | 111,968,042           |       |
|                                                                                     |       |              |        |                  |       |
| **TOTAL  LIABILITIES AND MEMBERS’ CAPITAL**                                         |       | $                 | 226,817,618 |                  | $          | 113,047,886 |   |
|                                                                                     |       |              |        |                  |       |
| **NET ASSET VALUE PER UNIT (Note 2)**                                                    | ** ** | ** **        | ** **  | ** **            | ** ** |

 

See notes to financial statements.

2

----

ML WINTON FUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OFOPERATIONS

(unaudited)
| ** **                                   | ** ** | **For the three** | ** ** | **For the three** | ** ** | **For the six** | ** ** | **For the five** | ** ** |
|----------------------------------------------|------------|-----------------------------|------------|-----------------------------|------------|---------------------------|------------|----------------------------|------------|
| ** **                                   | ** ** | **months ended**       | ** ** | **months ended**       | ** ** | **months ended**     | ** ** | **months ended**      | ** ** |
| ** **                                   | ** ** | **June 30,**           | ** ** | **June 30,**           | ** ** | **June 30,**         | ** ** | **June 30,**          | ** ** |
| ** **                                   | ** ** | **2006**                    | ** ** | **2005**                    | ** ** | **2006**                  | ** ** | **2005 (1)**          | ** ** |
| **TRADING  PROFITS (LOSSES):**               | ** ** | ** **                  | ** ** | ** **                  | ** ** | ** **                | ** ** | ** **                 | ** ** |
|                                         |       |                        |       |                        |       |                      |       |                       |       |
| Realized                                     |       | $                           | 260,424    |                        | $          | 963,100                   |       | $                          | 3,781,031  |   | $ | 1,495,926 |   |
| Change in unrealized                         |       | (1,730,160                  | )          | 1,162,692                   |       | 1,462,118                 |       | 1,379,195                  |       |
| Brokerage commissions                        |       | (333,206                    | )          | (120,263                    | )          | (673,309                  | )          | (146,993                   | )          |
|                                         |       |                        |       |                        |       |                      |       |                       |       |
| Total trading profits (losses)               |       | (1,802,942                  | )          | 2,005,529                   |       | 4,569,840                 |       | 2,728,128                  |       |
|                                         |       |                        |       |                        |       |                      |       |                       |       |
| **INVESTMENT  INCOME:**                      | ** ** | ** **                  | ** ** | ** **                  | ** ** | ** **                | ** ** | ** **                 | ** ** |
| Interest                                     |       | 2,318,170                   |       | 169,273                     |       | 3,695,659                 |       | 196,221                    |       |
|                                         |       |                        |       |                        |       |                      |       |                       |       |
| **EXPENSES:**                                | ** ** | ** **                  | ** ** | ** **                  | ** ** | ** **                | ** ** | ** **                 | ** ** |
| Management fee                               |       | 1,031,029                   |       | 143,806                     |       | 1,723,591                 |       | 171,317                    |       |
| Sponsor’s fee                           |       | 955,183                     |       | 151,946                     |       | 1,617,698                 |       | 182,703                    |       |
| Performance fee                              |       | (159,452                    | )          | 397,324                     |       | 1,041,022                 |       | 537,409                    |       |
| Other                                        |       | 267,809                     |       | 34,001                      |       | 344,242                   |       | 51,072                     |       |
| Total expenses before reimbursement          |       | 2,094,569                   |       | 727,077                     |       | 4,726,553                 |       | 942,501                    |       |
| Sponsor’s fee reimbursement             |       | —                      |       | —                      |       | —                    |       | (5,965                     | )          |
|                                         |       |                        |       |                        |       |                      |       |                       |       |
| Total expenses                               |       | 2,094,569                   |       | 727,077                     |       | 4,726,553                 |       | 936,536                    |       |
|                                         |       |                        |       |                        |       |                      |       |                       |       |
| **NET  INVESTMENT INCOME (LOSS)**            |       | 223,601                     |       | (557,804                    | )          | (1,030,894                | )          | (740,315                   | )          |
|                                         |       |                        |       |                        |       |                      |       |                       |       |
| **NET  INCOME (LOSS)**                       |       | $                           | (1,579,341 | )                           | $          | 1,447,725                 |       | $                          | 3,538,946  |   | $ | 1,987,813 |   |
|                                         |       |                        |       |                        |       |                      |       |                       |       |
| **NET  INCOME (LOSS) PER UNIT:**             | ** ** | ** **                  | ** ** | ** **                  | ** ** | ** **                | ** ** | ** **                 | ** ** |
| ** **                                   | ** ** | ** **                  | ** ** | ** **                  | ** ** | ** **                | ** ** | ** **                 | ** ** |
| Weighted average number of Units outstanding |       |                        |       |                        |       |                      |       |                       |       |
| Class A                                      |       | 22,583,910                  |       | 2,961,157                   |       | 20,128,954                |       | 1,855,038                  |       |
| Class C                                      |       | 110,177,538                 |       | 19,470,062                  |       | 93,137,776                |       | 11,745,987                 |       |
| Class D                                      |       | 25,369,863                  |       | 1,277,379                   |       | 18,136,653                |       | 638,690                    |       |
| Class I                                      |       | 23,827,306                  |       | 2,715,963                   |       | 22,370,850                |       | 1,535,290                  |       |
|                                         |       |                        |       |                        |       |                      |       |                       |       |
| Net income (loss) per weighted average Unit  |       |                        |       |                        |       |                      |       |                       |       |
| Class A                                      |       | $                           | 0.0007     |                        | $          | 0.0605                    |       | $                          | 0.0377     |   | $ | 0.1398 |   |
| Class C                                      |       | $                           | (0.0064    | )                           | $          | 0.0544                    |       | $                          | 0.0253     |   | $ | 0.1260 |   |
| Class D                                      |       | $                           | (0.0421    | )                           | $          | 0.0380                    |       | $                          | (0.0334    | ) | $ | 0.0759 |   |
| Class I                                      |       | $                           | 0.0075     |                        | $          | 0.0595                    |       | $                          | 0.0462     |   | $ | 0.1306 |   |

 

----

(1) commencement of operations February 1, 2005

See notes to financial statements.

 

3

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ML WINTONFUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OFCHANGES IN MEMBERS’ CAPITAL

For the six monthsended June 30, 2006 and the five months ended June 30, 2005 

(unaudited) (continued)
| ** **                 | ** ** | **Initial Offering** | ** ** | **Initial  Offering Costs** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net Income** | ** ** | **Members’ Capital  June 30, 2005** | ** ** | **Members’ Capital  December 31, 2005** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net Income** | ** ** | **Members’ Capital  June 30, 2006** | ** ** |
|----------------------------|------------|---------------------------|------------|----------------------------------|------------|-------------------|------------|-----------------|------------|---------------------|------------|---------------------------------------------------------|------------|-------------------------------------------------------------|------------|-------------------|------------|-----------------|------------|---------------------|------------|---------------------------------------------------------|------------|
|                       |       |                      |       |                             |       |              |       |            |       |                |       |                                                    |       |                                                        |       |              |       |            |       |                |       |                                                    |       |
| Class A                    |       | 747,825                   |       | —                           |       | 3,130,965         |       | (15,750         | )          | —              |       | 3,863,040                                               |       | 15,522,119                                                  |       | 10,840,381        |       | (1,158,674      | )          | —              |       | 25,203,826                                              |       |
| Class C                    |       | 4,276,000                 |       | —                           |       | 21,489,140        |       | (397,634        | )          | —              |       | 25,367,506                                              |       | 62,583,887                                                  |       | 63,211,281        |       | (4,515,296      | )          | —              |       | 121,279,872                                             |       |
| Class D                    |       | —                    |       | —                           |       | 1,363,718         |       | (5,700          | )          | —              |       | 1,358,018                                               |       | 9,764,594                                                   |       | 23,355,449        |       | —          |       | —              |       | 33,120,043                                              |       |
| Class I                    |       | 287,000                   |       | —                           |       | 4,185,662         |       | (277,572        | )          | —              |       | 4,195,090                                               |       | 17,936,086                                                  |       | 8,007,813         |       | (1,708,411      | )          | —              |       | 24,235,488                                              |       |
|                       |       |                      |       |                             |       |              |       |            |       |                |       |                                                    |       |                                                        |       |              |       |            |       |                |       |                                                    |       |
| Total Members’ Units  |       | 5,310,825                 |       | —                           |       | 30,169,485        |       | (696,656        | )          | —              |       | 34,783,654                                              |       | 105,806,686                                                 |       | 105,414,924       |       | (7,382,381      | )          | —              |       | 203,839,229                                             |       |
|                       |       |                      |       |                             |       |              |       |            |       |                |       |                                                    |       |                                                        |       |              |       |            |       |                |       |                                                    |       |
| 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                                                  |       |

 

See notes to financial statements.

4

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ML WINTON FUTURESACCESSLLC 

(a DelawareLimited Liability Company)

STATEMENTS OF CHANGES INMEMBERS’ CAPITAL

For the six months endedJune 30, 2006 and the five months ended June 30, 2005

(unaudited)(continued)
| ** **                    | ** ** | **Initial Offering** | ** ** | **Initial  Offering Costs** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net Income** | ** ** | **Members’ Capital  June 30, 2005** | ** ** | **Members’ Capital  December 31, 2005** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net Income** | ** **  | **Members’ Capital  June 30, 2006** | ** ** |
|-------------------------------|------------|---------------------------|------------|----------------------------------|------------|-------------------|------------|-----------------|------------|---------------------|------------|---------------------------------------------------------|------------|-------------------------------------------------------------|------------|-------------------|------------|-----------------|------------|---------------------|-------------|---------------------------------------------------------|------------|
|                          |       |                      |       |                             |       |              |       |            |       |                |       |                                                    |       |                                                        |       |              |       |            |       |                |        |                                                    |       |
| Class A                       |       | $                         | 747,825    |                             | $          | (39,666           | )          | $               | 3,287,966  |                | $          | (16,144                                                 | )          | $                                                           | 258,598    |              | $          | 4,238,579       |       | $                   | 16,602,088  |                                                    | $          | 12,109,747 |   | $ | (1,320,030 | ) | $ | 757,543 |   | $ | 28,149,348 |   |
| Class C                       |       | 4,276,000                 |       | (165,575                         | )          | 22,586,261        |       | (421,910        | )          | 1,478,773           |       | 27,753,549                                              |       | 66,470,039                                                  |       | 69,942,327        |       | (4,973,611      | )          | 2,351,650           |        | 133,790,405                                             |       |
| Class D                       |       | —                    |       | (22,125                          | )          | 1,365,145         |       | (5,473          | )          | 48,499              |       | 1,386,046                                               |       | 9,797,722                                                   |       | 25,658,995        |       | —          |       | (605,064            | )           | 34,851,653                                              |       |
| Class I                       |       | 287,000                   |       | (45,079                          | )          | 4,440,249         |       | (305,718        | )          | 200,460             |       | 4,576,912                                               |       | 19,077,399                                                  |       | 8,813,260         |       | (1,925,443      | )          | 1,033,978           |        | 26,999,194                                              |       |
|                          |       |                      |       |                             |       |              |       |            |       |                |       |                                                    |       |                                                        |       |              |       |            |       |                |        |                                                    |       |
| Total Members’ Interests |       | $                         | 5,310,825  |                             | $          | (272,445          | )          | $               | 31,679,621 |                | $          | (749,245                                                | )          | $                                                           | 1,986,330  |              | $          | 37,955,086      |       | $                   | 111,947,248 |                                                    | $          | 116,524,329 |   | $ | (8,219,084 | ) | $ | 3,538,107 |   | $ | 223,790,600 |   |
|                          |       |                      |       |                             |       |              |       |            |       |                |       |                                                    |       |                                                        |       |              |       |            |       |                |        |                                                    |       |
| Class A                       |       | $                         | —     |                             | $          | —            |       | $               | 10,000     |                | $          | —                                                  |       | $                                                           | 751        |              | $          | 10,751          |       | $                   | 10,410      |                                                    | $          | — |   | $ | — |   | $ | 450 |   | $ | 10,860 |   |
| Class C                       |       | —                    |       | —                           |       | 10,000            |       | —          |       | 732                 |       | 10,732                                                  |       | 10,384                                                      |       | —            |       | —          |       | 389                 |        | 10,773                                                  |       |
| Class D                       |       | —                    |       | —                           |       | —            |       | —          |       | —              |       | —                                                  |       | —                                                      |       | —            |       | —          |       | —              |        | —                                                  |       |
| Class I                       |       | —                    |       | —                           |       | —            |       | —          |       | —              |       | —                                                  |       | —                                                      |       | —            |       | —          |       | —              |        | —                                                  |       |
|                          |       |                      |       |                             |       |              |       |            |       |                |       |                                                    |       |                                                        |       |              |       |            |       |                |        |                                                    |       |
| Total Sponsor’s Interest |       | $                         | —     |                             | $          | —            |       | $               | 20,000     |                | $          | —                                                  |       | $                                                           | 1,483      |              | $          | 21,483          |       | $                   | 20,794      |                                                    | $          | — |   | $ | — |   | $ | 839 |   | $ | 21,633 |   |
|                          |       |                      |       |                             |       |              |       |            |       |                |       |                                                    |       |                                                        |       |              |       |            |       |                |        |                                                    |       |
| Total Members’ Capital   |       | $                         | 5,310,825  |                             | $          | (272,445          | )          | $               | 31,699,621 |                | $          | (749,245                                                | )          | $                                                           | 1,987,813  |              | $          | 37,976,569      |       | $                   | 111,968,042 |                                                    | $          | 116,524,329 |   | $ | (8,219,084 | ) | $ | 3,538,946 |   | $ | 223,812,233 |   |

 

See notes to financial statements.

 

5

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ML WINTON FUTURESACCESSLLC 

(a DelawareLimited Liability Company)

NOTES TO FINANCIALSTATEMENTS

(unaudited)

1.               SUMMARYOF SIGNIFICANT ACCOUNTING POLICIES

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 June 30, 2006, and the results of its operations for the three and sixmonths ended June 30, 2006 and for the three and five months ended June 30,2005, respectively.  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 five month period ended June 30, 2005.

Certain information and footnote disclosures normallyincluded in annual financial statements prepared in accordance with accountingprinciples generally accepted in the United States of America (“US GAAP”) havebeen omitted.  It is suggested that thesefinancial statements be read in conjunction with the financial statements andnotes thereto 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 of financial statements in conformitywith US GAAP requires management to make estimates and assumptions that affectthe reported amounts of assets and liabilities and disclosure of contingentassets and liabilities at the date of the financial statements and the reportedamounts of revenues and expenses during the reporting period.  Actual results could differ from thoseestimates.

2.               NETASSET VALUE PER UNIT

For financial reporting purposes, in conformity with US GAAP, the Funddeducted the total initial offering costs at inception from Members’ Capitalfor purposes of determining Net Asset Value. For all other purposes, including computing Net Asset Value for purposesof member subscription and redemption activity, such costs are amortized over60 months. Consequently, the Net Asset Value and Net Asset Value per Unit ofthe different Classes for financial reporting purposes and for all otherpurposes are as follows:

6

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At June 30, 2006 the Net Asset Values of the different series of Unitsare as follows:

 
|            | ** ** | **Net Asset Value** | ** **  | ** **               | ** ** | **Net Asset Value per Unit** | ** ** |
|------------|------------|-------------------------------|-------------|--------------------------|------------|--------------------------------------------------|------------|
| ** ** | ** ** | **All Other  Purposes**  | ** **  | **Financial  Reporting** | ** ** | **Number of  Shares**                       | ** ** | **All Other  Purposes** | ** ** | **Financial  Reporting** | ** ** |
| Class A    |       | $                             | 28,189,832  |                     | $          | 28,160,208                                       |       | 25,213,539 |   | $ | 1.1180 |   | $ | 1.1169 |   |
| Class C    |       | 133,917,794                   |        | 133,801,178              |       | 121,289,629                                      |       | $ | 1.1041 |   | $ | 1.1032 |   |
| Class D    |       | 34,868,409                    |        | 34,851,653               |       | 33,120,043                                       |       | $ | 1.0528 |   | $ | 1.0523 |   |
| Class I    |       | 27,033,303                    |        | 26,999,194               |       | 24,235,488                                       |       | $ | 1.1154 |   | $ | 1.1140 |   |
|       |       | $                             | 224,009,338 |                     | $          | 223,812,233                                      |       | 203,858,699 |   |   |   |   |   |

 

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  Purposes**  | ** **  | **Financial  Reporting** | ** ** | **Number of  Shares**                       | ** ** | **All Other  Purposes** | ** ** | **Financial  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.       FAIRVALUE AND OFF-BALANCE SHEET RISK

The nature of this Fund has certain risks, whichcannot all be presented on the financial statements.  The following summarizes some of those risks.

Market Risk

Derivative instruments involve varying degrees ofoff-balance sheet market risk.  Changesin the level or volatility of interest rates, foreign currency exchange ratesor the market values of the financial instruments or commodities underlyingsuch derivative instruments frequently result in changes in the Fund’s netunrealized profit (loss) on such derivative instruments as reflected in theStatement of Financial Condition.  TheFund’s exposure to market risk is influenced by a number of factors, includingthe relationships among the derivative instruments held by the Fund as well asthe volatility and liquidity of the markets in which the derivative instrumentsare traded.

The Sponsor of the Fund, Merrill Lynch AlternativeInvestments LLC (“MLAI”), has procedures in place intended to control marketrisk exposure, although there can be no assurance that they will, in fact,succeed in doing so.  These proceduresfocus primarily on monitoring the trading of Winton Capital Management Limited(“Winton”), the trading advisor, calculating the Net Asset Value of the Fund asof the close of business 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.

7

----

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, are generallyrequired in exchange trading, and counterparties may also require margin in theover-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.

8

----

Item 2:    Management’sDiscussion and Analysis of Financial Condition and Results of Operations

 

MONTH-END NET ASSET VALUEPER UNIT (1)

(NON US GAAP)

Class A
|      | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr** | ** ** | **May** | ** ** | **Jun** | ** ** |
|------|------------|----------|------------|----------|------------|----------|------------|---------|------------|---------|------------|---------|------------|
| 2005 |       | n/a      |       | $        | 1.0223     |     | $          | 1.0633  |       | $       | 1.0295     |    | $          | 1.0836 |   | $ | 1.1068 |   |
| 2006 |       | $        | 1.1029     |     | $          | 1.0768   |       | $       | 1.1124     |    | $          | 1.1783  |       | $ | 1.1326 |   | $ | 1.1180 |   |
|      |            |          |            |          |            |          |            |         |            |         |            |         |            |  |  |  |  |  |  |

 

Class C
|      | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr** | ** ** | **May** | ** ** | **Jun** | ** ** |
|------|------------|----------|------------|----------|------------|----------|------------|---------|------------|---------|------------|---------|------------|
| 2005 |       | n/a      |       | $        | 1.0214     |     | $          | 1.0618  |       | $       | 1.0249     |    | $          | 1.0779 |   | $ | 1.1000 |   |
| 2006 |       | $        | 1.0943     |     | $          | 1.0675   |       | $       | 1.1018     |    | $          | 1.1659  |       | $ | 1.1191 |   | $ | 1.1041 |   |
|      |            |          |            |          |            |          |            |         |            |         |            |         |            |  |  |  |  |  |  |

 

Class D
|      | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr** | ** ** | **May** | ** ** | **Jun** | ** ** |
|------|------------|----------|------------|----------|------------|----------|------------|---------|------------|---------|------------|---------|------------|
| 2005 |       | n/a      |       | n/a      |       | n/a      |       | $       | 0.9601     |    | $          | 1.0118  |       | $ | 1.0366 |   |
| 2006 |       | $        | 1.0360     |     | $          | 1.0131   |       | $       | 1.0479     |    | $          | 1.1113  |       | $ | 1.0646 |   | $ | 1.0528 |   |
|      |            |          |            |          |            |          |            |         |            |         |            |         |            |  |  |  |  |  |  |

 

Class I
|      | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr** | ** ** | **May** | ** ** | **Jun** | ** ** |
|------|------------|----------|------------|----------|------------|----------|------------|---------|------------|---------|------------|---------|------------|
| 2005 |       | n/a      |       | $        | 1.0226     |     | $          | 1.0633  |       | $       | 1.0265     |    | $          | 1.0808 |   | $ | 1.1014 |   |
| 2006 |       | $        | 1.0972     |     | $          | 1.0715   |       | $       | 1.1073     |    | $          | 1.1732  |       | $ | 1.1283 |   | $ | 1.1154 |   |
|      |            |          |            |          |            |          |            |         |            |         |            |         |            |  |  |  |  |  |  |

 

----

(1) Represents NetAsset Value per unit for all other purposes as discussed in Note 2 to theFinancial Statements.

PerformanceSummary

January 1, 2006 to June 30,2006

January 1, 2006 to March31, 2006

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

The metals sector was themost profitable for the Fund. Base metal prices were bolstered by continuingdemand from China’s expanding economy and short covering just prior to theChinese New Year. Both aluminum and zinc reached all time highs beginning ofthe quarter. Precious metals and energies endured a volatile period during theIran/U.S./Europe nuclear standoff, with gold reaching a 25 year high. Thequarter ended with gold and silver continuing to surge upwards, with silverposting a 22 year high. This was driven by strong demand and anticipation ofthe 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 indices postedprofits for the Fund. Higher equity and lower fixed income prices were largelya result of better than expected sentiment indicators and company earningsreports. Equity markets 

9

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continued mid-quarterwith their bullish run, with the European bourses leading the charge. Acombination of strong corporate earnings and solid consumer demand led toseveral indices posting four to five year highs. The disappointing U.S. retailsales and consumer price figures coupled with a bout of profit taking led to asomewhat exaggerated end of the quarter spike in fixed income markets. However,this was steadily erased by the continuation of the drift downward in bondprices as a subsequent succession of stronger than expected consumer confidenceindicators led to increased expectations of a lengthening cycle of the U.S.interest rate increases. The markets now seem comfortable with the new U. S.Federal Chairman, Bernanke, wherein there will be no major disruption and thatthe general philosophy behind the Federal Reserve’s approach will remain broadlyunchanged.

The interest rate sectoralso posted profits for the Fund.   Gainswere made in short end rates mid-quarter due to the on-going strength of theU.S. economy which led to a flattening of the yield curve. However, this wasslightly tempered by an interesting retracement as disappointing consumerconfidence and manufacturing activity numbers led to a fall in implied shortterm interest rates. Quarter ended with expectations of further EuropeanCentral Bank rate hikes led to a twenty basis point decline in Euribor futureswhich proved to be the main profit driver in the interest rate sector.

The energy sector postedlosses for the Fund.  Midway through theend of the quarter, once again, forced the sector into a period of increasedvolatility, as both military and terrorist activities in the key energyproduction areas led to rising energy prices.

The agricultural sectorposted losses for the Fund. The agricultural market was soft which attributedto the difficult trading environment resulting in the Fund posting losses forthe sector.

The currency sector wasthe least profitable for the Fund. The currency market remained mostlydirectionless throughout the beginning of the quarter. Currencies were the mainfocus of attention in the latter half of the mid-quarter, as the market beganto forecast on the end of the Bank of Japan’s policy of quantitative easingwith optimism rising that this would be sooner rather than later.  The Japanese yen enjoyed strong buyingsupport: as the U.S. dollar and Japanese yen moved down from an intra monthhigh of 119.45 to close at 115.75. Financial markets were somewhat range boundat the end of the quarter with foreign exchange markets in particular enjoyinga period of relative calm.

April 1, 2006 to June 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 sector was themost profitable for the Fund. Large gains were posted in both the base andprecious metal markets. As prices surged higher, there were some predictablebouts of profit taking, but the overall upward trend still remained strong.During mid-quarter there was an equity market sell-off and a continuing surgein base metal markets. Having reached local highs mid-quarter, global equitymarkets tumbled sharply. The prevailing mood in the markets turned negativeduring several trading sessions. This was led by the sudden pull back in basemetals, with copper generating much of the momentum. Having rallied 23% ineight trading sessions, bouts of profit taking led to growing concern of priceexuberance 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.

10

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The energy sector postedprofits for the Fund.  The quarter beganwith strong performance in the energy markets as crude oil traded consistentlyabove $70.00 and even briefly breached the $75.00 level. Mid-quarter financialmarkets endured a period of high volatility across all asset classes. Energiesproduced modest gains at quarter’s end as futures finished mostly higher onconcern that peak gasoline demand during the holiday period will strain fuelsupplies.

The currency sector wasnot profitable for the Fund. Currency positions posted small losses at the beginningof the quarter due to low volatility and range bound trading. The long awaitedbreaching of the 116 level in the U.S. dollar/Japanese yen led to some volatileprice action as the Japanese yen began to strengthen, heading towards a 113handle as speculators and domestic end-users repositioned themselvesaccordingly. There was a sharp sell-off seen in several emerging marketcurrencies mid-quarter. Decline in market activity at the end of the quarterwas due to recent increase in volatility in global financial markets which ledto risk reduction in portfolios across the board.

The interest rate sectorposted losses for the Fund.   Gains wererecorded in the fixed income markets, as they continued to sell off at thebeginning of the quarter. This was driven by the continued strength of the U.S.economy. A succession of solid economic data releases underpinned this priceaction. However, there was a change of tone with Federal Reserve ChairmanBernanke’s testimony to Congress leading to a strong bounce in the U.S.Treasury market, as his comments on the turning point of the rate cycle weretaken to be more calm than expected. Short end U.S. interest rates were pushed higher mid-quarter as tradersbecame more hawkish.  However, in Europethere was more stability in rates as the front end of the yield curve heldfirm. Bond markets rallied as investors’ “flight to quality” took hold;although this was then counteracted by growing inflationary fears leading to astalemate at the longer end of the curve. The recent increase in volatility inglobal financial markets led to risk reduction in portfolios across the boardwhich brought a subsequent decline in market activity at quarter’s end. Returnsfor the month were largely driven by the FOMC decision, which delivered theanticipated 25 basis point increase in rates along with comments suggestingeconomic growth in the U.S. has been slowing.

The agricultural sectorposted losses for the Fund. The agricultural market was soft which attributedto the difficult trading environment resulting in the Fund posting losses forthe sector.

The stock indices sectorwas the least profitable for the Fund. At the beginning of the quarter thesector posted profits for the Fund as the Far East indices were pushed higherdriven by the inflow of new domestic investment linked with the beginning ofthe financial year. Having reached local highs mid-quarter, global equitymarkets tumbled sharply. The S&P and the DJ Eurostoxx futures posted monthon month declines of 3.3% and 4.1%, respectively. The quarter ended with stocksrallying due to the Federal Reserve comments, than an end of the rate-hikecycle environment would lift the damper on growth.

February 1, 2005 to June30, 2005

February 1, 2005 to March31, 2005

The Fund posted a gainfor the first quarter of 2005.  Profitswere recorded in financials with commodities posting mixed returns.  The largest profits were recorded in equitieswhich rallied as strong gains in oil and mining stocks dominated indexreturns.  Solid gains were posted inshort-term rates against small losses in bonds as the yield curve finallysteepened after Alan Greenspan, U.S. Federal Reserve Chairman, testified beforeCongress about the “conundrum” posed by the decline in forward rates.  Modest gains were made in currencies as theU.S. dollar continued to weaken over concerns about the huge U.S. currentaccount deficit and worries that Asian central banks may slow purchases of U.S.assets.  U.S. dollar weakness helped supportmetal and energy prices, a sector in which the Fund experienced modestgains.  The strength in the U.S. dollarcould also be attributed to a contrasting 

11

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economic picture betweenthe U.S. and Europe, highlighted by dovish European Central Bank comments.Energy gains could also be attributed to continuing cold weather and thepossibility that OPEC would cut production in March.  Modest losses were recorded in crops largelydue to a short-covering rally in soybeans sparked by concern that drought willdamage crops in South America.  Solid profitswere recorded in bonds and interest rates sectors against small losses incurrencies, as strong U.S. inflation and hawkish comments from the U.S. FederalReserve sent rates and the U.S. dollar higher. Modest profits were recorded in energies as crude prices remainedpositive for the month despite strong U.S. inventory data.  Equity returns were mixed despite U.S. stocksreaching their lowest level in two months as higher oil prices weighed onindexes.

April 1, 2005 to June 30,2005

The Fund posted a gainfor 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 gain for thequarter was posted in the interest rate sector. Profits were recorded in bonds against losses in stocks as a raft ofweak U.S. economic data and disappointing earnings reports sent world equitieslower.  The sell off in stocks sparked aflight to quality into bonds and a short covering rally in interest rates;producing the flattest U.S. Treasury yield curve in four years.  Mid-quarter, solid gains were once againrecorded 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 fed rate hikes ahead.  Following a stellar May, bonds posted a smallincrease after a volatile month in June. Profits came from trading in the Euro, balanced by losses in treasuries,and in particular short end Eurodollars, as sustained Federal Reservetightening proved more likely by the day.

A strong gain was postedfor 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 a lossfor the agricultural sector.  Theagricultural sector started the quarter with a loss and managed to rally backto a profit mid-quarter.  Profitsspiraled downwards at the end of the quarter, resulting in a loss posted forthe quarter as a whole.

A loss was posted for thequarter in the metals sector also.  Themetals sector performed poorly throughout the entire quarter, postingconsistent losses each month.

The energy sector was thepoorest performing sector for the fund with a loss posted for the quarter.  Commodity returns were negative with thelargest loss recorded in energies as crude prices sharply reversed gains madeearly in April as weak U.S. economic data coincided with climbing inventories.  Commodity returns were modestly lower,mid-quarter, with energies posting the largest loss as oil prices slumped tothree 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.

12

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Item 3.   Quantitative and Qualitative DisclosuresAbout Market Risk

Not applicable

Item 4. 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.

13

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PART II - OTHERINFORMATION

Item1.            Legal Proceedings

Neither the Fund nor MLAIhas ever been the subject of any material litigation.  Merrill Lynch is the 100% indirect owner ofMLAI, MLPF&S and all other Merrill Lynch entities involved in theoperations of the Fund.  Merrill Lynch aswell as certain of its subsidiaries and affiliates have been named asdefendants in civil actions, arbitration proceedings and claims arising out oftheir respective business activities. Although the ultimate outcome of theseactions cannot be predicted at this time and the results of legal proceedingscannot be predicted with certainty, it is the opinion of management that theresult of these matters will not be materially adverse to the businessoperations or the financial condition of MLAI or the Fund.

Item 2.                                   Changesin Securities and Use of Proceeds

(a)  None.

(b)  None.

(c)  None.

(d)  None.

 

Item 3.                                   DefaultsUpon Senior Securities

None.

 

Item 4.                                   Submissionof Matters to a Vote of Security Holders

None.

 

Item 5.                                   OtherInformation

None.

14

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Item 5(a).       RecentSales of Unregistered Securities:  Usesof Proceeds From Registered Securities:

 

Issuance to accredited investors pursuant toRegulation D and Section 4(6) under the Securities Act.  The selling agent of the following Class ofUnits was MLPF&S.

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     |       |
|            |            |                  |            |            |            |            |            |  |  |

 

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     |       |
|            |            |                  |            |            |            |            |            |  |  |

 

CLASS D

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV(1)** | ** ** |
| Jan-06     |       | $                | 1,144,999  |       | 1,138,848  |       | $          | 1.0054 |   |
| Feb-06     |       | —           |       | —     |       | 1.0360     |       |
| Mar-06     |       | —           |       | —     |       | 1.0310     |       |
| Apr-06     |       | 1,209,000        |       | 1,153,736  |       | 1.0479     |       |
| May-06     |       | 20,975,998       |       | 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     |       |
|            |            |                  |            |            |            |            |            |  |  |

 

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     |       |
|            |            |                  |            |            |            |            |            |  |  |

 

----

(1) Net Asset Value for all other purposes

15

----

Item 6.                                     Exhibits

(a) 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 31.01

and 31.02:                   Are filed herewith.

32.01 and

32.02                                             Section 1350 Certifications

Exhibit 32.01

and 32.02                      Are filed herewith.

16

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**SIGNATURES**

 

Pursuant to therequirements of the Securities Exchange Act of 1934, the registrant has dulycaused this report to be signed on its behalf by the undersigned thereunto dulyauthorized.
|                   | ML WINTON FUTURESACCESS LLC    |
|------------------------|--------------------------------|
|                   |                           |
|                   |                           |
|                   | By: MERRILL  LYNCH ALTERNATIVE |
|                   |                           | INVESTMENTS LLC |
|                   |                           | (General Partner) |
|                   |                           |
|                   |                           |
| Date: August 14,  2006 | By                             | /s/ BENJAMIN WESTON |   |
|                   |                           | Benjamin Weston |
|                   |                           | Chief Executive  Officer and President |
|                   |                           | (Principal Executive Officer) |
|                   |                           |
|                   |                           |
| Date: August 14,  2006 |                           |
|                   | By                             | /s/ MICHAEL L.  PUNGELLO |   |
|                   |                           | Michael L. Pungello |
|                   |                           | Vice President and  Chief Financial Officer |
|                   |                           | (Principal  Financial and Accounting Officer) |
|                        |                                |  |  |  |  |  |

 

17

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