**UNITEDSTATES SECURITIES AND EXCHANGE COMMISSION**

**Washington,D.C. 20549**

 

**FORM 10-Q**

 

**(Mark One)**

 

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

 

**For the quarterly period endedMarch 31, 2006**

 

**OR**

 

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

 

**For the transition period from                  to                  **

 

**Commission File Number 0-51084**

 

**ML WINTONFUTURESACCESS LLC**

(Exact Name of Registrant as

specified in its charter)

 

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

 

**c/oMerrill Lynch Alternative Investments LLC**

**PrincetonCorporate Campus**

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

**Plainsboro, New Jersey 08536**

(Address of principal executive offices)

(Zip Code)

 

**609-282-6996**

(Registrant’stelephone number, including area code)

 

Indicate by checkmark whether the registrant (1) has filed all reports required to be filed bySection 13 or 15 (d) of the Securities Exchange Act of 1934 during thepreceding 12 months (or for such shorter period that the registrant wasrequired to file such reports), and (2) has been subject to such filingrequirements for the past 90 days. Yes ý  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 ý

 

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 ý

 

 

Indicate by check mark whether the registrant (1) has filed all reportsrequired to be filed by Section 13 or 15(d) of the Securities Exchange Act of1934 during the preceding 12 months (or for such shorter period that theregistrant was required to file such reports), and (2) has been subject to suchfiling requirements for the past 90 days.

 

Yes ý   No o

 

Indicate by check mark if disclosure of delinquent filers pursuant toItem 405 of Regulation S-K is not contained herein, and will not be contained,to the best of registrant’s knowledge, in definitive proxy or informationstatements incorporated by reference in Part II of this Form 10-Q or anyamendment to this Form 10-Q. ý

 

Indicate by check mark whether the registrant is a large acceleratedfiler, 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 filer |   | o | Non-accelerated filer |   | ý |
|-------------------------|--------|---|--------|-------------------|--------|---|-----------------------|--------|--------|

 

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

 

Yes o   No ý

 

 

----

 

**ML WINTON FUTURESACCESS LLC**

 

QUARTERLY REPORT FOR MARCH 31, 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                                 | 11 |
|     |                                                                                        |   |
| Item 4.  | Controls and Procedures                                                                     | 11 |
|     |                                                                                        |   |
| PART II  |                                                                                        |
|     |                                                                                        |   |
| Item 1.  | Legal Proceedings                                                                           | 12 |
|     |                                                                                        |   |
| Item 2.  | Changes in Securities and  Use of Proceeds                                                  | 12 |
|     |                                                                                        |   |
| Item 3.  | Defaults Upon Senior  Securities                                                            | 12 |
|     |                                                                                        |   |
| Item 4.  | Submission of Matters to a  Vote of Security Holders                                        | 12 |
|     |                                                                                        |   |
| Item 5.  | Other Information                                                                           | 12 |
|     |                                                                                        |   |
| Item 5a. | Recent Sales of Unregistered  Securities: Uses of Proceeds From Registered Securities       | 13 |
|     |                                                                                        |   |
| Item 6.  | Exhibits and Reports on Form  8-K                                                           | 13 |

 

----

 

PART I - FINANCIAL INFORMATION

 

Item1.    Financial Statements

 

ML WINTON FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OF FINANCIALCONDITION

 
| ** **                                                                               | ** ** | **March 31,**   | ** **  | **December 31,** | ** ** |
|------------------------------------------------------------------------------------------|------------|-----------------|-------------|------------------|------------|
| ** **                                                                               | ** ** | **2006**        | ** **  | **2005**         | ** ** |
| ** **                                                                               | ** ** | **(unaudited)** | ** **  | ** **       | ** ** |
|                                                                                     |       |            |        |             |       |
| **ASSETS:**                                                                              | ** ** | ** **      | ** **  | ** **       | ** ** |
| Equity in commodity  futures trading accounts:                                           |       |            |        |             |       |
| Cash                                                                                     |       | $               | 147,322,697 |             | $          | 109,899,009 |   |
| Net  unrealized profit on open contracts                                                 |       | 5,954,975       |        | 2,753,205        |       |
| Cash                                                                                     |       | 100,871         |        | 24,500           |       |
| Accrued interest                                                                         |       | 531,085         |        | 371,172          |       |
|                                                                                     |       |            |        |             |       |
| **TOTAL ASSETS**                                                                         |       | $               | 153,909,628 |             | $          | 113,047,886 |   |
|                                                                                     |       |            |        |             |       |
| **LIABILITIES AND MEMBERS’  CAPITAL:**                                              | ** ** | ** **      | ** **  | ** **       | ** ** |
| LIABILITIES:                                                                             |       |            |        |             |       |
| Brokerage  commissions payable                                                           |       | $               | 76,983      |             | $          | 99,983 |   |
| Management  fee payable                                                                  |       | 256,213         |        | 186,436          |       |
| Sponsor’s  fee payable                                                              |       | 247,353         |        | 177,891          |       |
| Performance  fee payable                                                                 |       | 1,200,473       |        | —           |       |
| Redemptions  payable                                                                     |       | 2,440,625       |        | 252,301          |       |
| Initial  offering costs payable                                                          |       | 210,752         |        | 224,507          |       |
| Other  payables                                                                          |       | 104,891         |        | 138,726          |       |
|                                                                                     |       |            |        |             |       |
| Total  liabilities                                                                       |       | 4,537,290       |        | 1,079,844        |       |
|                                                                                     |       |            |        |             |       |
| MEMBERS’ CAPITAL:                                                                   |       |            |        |             |       |
|  Sponsor’s Interest (19,470 and 19,470 Units  issued and outstanding)          |       | 21,556          |        | 20,794           |       |
|  Members’ Interest (135,982,269 and  105,806,686 Units issued and outstanding) |       | 149,350,782     |        | 111,947,248      |       |
|                                                                                     |       |            |        |             |       |
| Total  members’ capital                                                             |       | 149,372,338     |        | 111,968,042      |       |
|                                                                                     |       |            |        |             |       |
| **TOTAL LIABILITIES AND MEMBERS’ CAPITAL**                                          |       | $               | 153,909,628 |             | $          | 113,047,886 |   |
|                                                                                     |       |            |        |             |       |
| **NET ASSET VALUE PER UNIT (Note  2)**                                                   | ** ** | ** **      | ** **  | ** **       | ** ** |

 

See notes tofinancial statements.

 

2

----

 

ML WINTON FUTURESACCESS LLC 

(a Delaware Limited Liability Company)

 

STATEMENTS OF INCOME

(unaudited)

 
| ** **                                    | ** ** | **For the three** | ** ** | **For the two**  | ** ** |
|-----------------------------------------------|------------|-------------------|------------|------------------|------------|
| ** **                                    | ** ** | **months ended**  | ** ** | **months ended** | ** ** |
| ** **                                    | ** ** | **March 31,**     | ** ** | **March 31,**    | ** ** |
| ** **                                    | ** ** | **2006**          | ** ** | **2005**         | ** ** |
| **TRADING PROFITS:**                          | ** ** | ** **        | ** ** | ** **       | ** ** |
|                                          |       |              |       |             |       |
| Realized                                      |       | $                 | 3,520,607  |             | $          | 532,826 |   |
| Change  in unrealized                         |       | 3,192,278         |       | 216,503          |       |
| Brokerage  commissions                        |       | (340,103          | )          | (26,730          | )          |
|                                          |       |              |       |             |       |
| Total  trading profits                        |       | 6,372,782         |       | 722,599          |       |
|                                          |       |              |       |             |       |
| **INVESTMENT INCOME:**                        | ** ** | ** **        | ** ** | ** **       | ** ** |
| Interest                                      |       | 1,377,489         |       | 26,948           |       |
|                                          |       |              |       |             |       |
| **EXPENSES:**                                 | ** ** | ** **        | ** ** | ** **       | ** ** |
| Management  fee                               |       | 692,562           |       | 27,511           |       |
| Sponsor’s  fee                           |       | 662,515           |       | 30,757           |       |
| Performance  fee                              |       | 1,200,474         |       | 140,085          |       |
| Other                                         |       | 76,433            |       | 17,071           |       |
| Total  expenses before reimbursement          |       | 2,631,984         |       | 215,424          |       |
| Sponsor’s  fee reimbursement             |       | —            |       | (5,965           | )          |
|                                          |       |              |       |             |       |
| Total  expenses                               |       | 2,631,984         |       | 209,459          |       |
|                                          |       |              |       |             |       |
| **NET INVESTMENT LOSS**                       |       | (1,254,495        | )          | (182,511         | )          |
|                                          |       |              |       |             |       |
| **NET INCOME**                                |       | $                 | 5,118,287  |             | $          | 540,088 |   |
|                                          |       |              |       |             |       |
| **NET INCOME PER UNIT:**                      | ** ** | ** **        | ** ** | ** **       | ** ** |
|                                          |       |              |       |             |       |
| Weighted  average number of Units outstanding |       |              |       |             |       |
| Class  A                                      |       | 17,673,998        |       | 1,123,378        |       |
| Class  C                                      |       | 76,098,013        |       | 6,032,868        |       |
| Class  D                                      |       | 10,903,442        |       | —           |       |
| Class  I                                      |       | 20,914,394        |       | 531,924          |       |
|                                          |       |              |       |             |       |
| Net  income per weighted average Unit         |       |              |       |             |       |
| Class  A                                      |       | $                 | 0.0420     |             | $          | 0.0713 |   |
| Class  C                                      |       | $                 | 0.0402     |             | $          | 0.0698 |   |
| Class  D                                      |       | $                 | 0.0426     |             | —     |   |
| Class  I                                      |       | $                 | 0.0409     |             | $          | 0.0729 |   |

 

See notes tofinancial statements.

 

3

----

 

ML WINTON FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

For the three and two months ended March 31, 2006 and2005 

(unaudited)

 
| ** **                 | ** ** | **Initial   Offering** | ** ** | **Initial  Offering Costs** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net  Income** | ** ** | **Members’  Capital  March 31,  2005** | ** ** | **Members’  Capital  December 31,  2005** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net  Income** | ** ** | **Members’  Capital  March 31,  2006** | ** ** |
|----------------------------|------------|------------------------|------------|-----------------------------|------------|-------------------|------------|-----------------|------------|-----------------|------------|---------------------------------------------|------------|------------------------------------------------|------------|-------------------|------------|-----------------|------------|-----------------|------------|---------------------------------------------|------------|
|                       |       |                   |       |                        |       |              |       |            |       |            |       |                                        |       |                                           |       |              |       |            |       |            |       |                                        |       |
| Class A                    |       | 747,825                |       | —                      |       | 770,606           |       | (9,750          | )          | —          |       | 1,508,681                                   |       | 15,522,119                                     |       | 3,956,059         |       | (277,860        | )          | —          |       | 19,200,318                                  |       |
| Class C                    |       | 4,276,000              |       | —                      |       | 3,685,068         |       | (171,333        | )          | —          |       | 7,789,735                                   |       | 62,583,887                                     |       | 24,860,484        |       | (3,364,639      | )          | —          |       | 84,079,732                                  |       |
| Class D                    |       | —                 |       | —                      |       | —            |       | —          |       | —          |       | —                                      |       | 9,764,594                                      |       | 1,138,848         |       | —          |       | —          |       | 10,903,442                                  |       |
| Class I                    |       | 287,000                |       | —                      |       | 489,848           |       | —          |       | —          |       | 776,848                                     |       | 17,936,086                                     |       | 3,919,180         |       | (56,489         | )          | —          |       | 21,798,777                                  |       |
|                       |       |                   |       |                        |       |              |       |            |       |            |       |                                        |       |                                           |       |              |       |            |       |            |       |                                        |       |
| Total Members’ Units  |       | 5,310,825              |       | —                      |       | 4,945,522         |       | (181,083        | )          | —          |       | 10,075,264                                  |       | 105,806,686                                    |       | 33,874,571        |       | (3,698,988      | )          | —          |       | 135,982,269                                 |       |
|                       |       |                   |       |                        |       |              |       |            |       |            |       |                                        |       |                                           |       |              |       |            |       |            |       |                                        |       |
| Class A                    |       | —                 |       | —                      |       | —            |       | —          |       | —          |       | —                                      |       | 9,713                                          |       | —            |       | —          |       | —          |       | 9,713                                       |       |
| Class C                    |       | —                 |       | —                      |       | —            |       | —          |       | —          |       | —                                      |       | 9,757                                          |       | —            |       | —          |       | —          |       | 9,757                                       |       |
| Class D                    |       | —                 |       | —                      |       | —            |       | —          |       | —          |       | —                                      |       | —                                         |       | —            |       | —          |       | —          |       | —                                      |       |
| Class I                    |       | —                 |       | —                      |       | —            |       | —          |       | —          |       | —                                      |       | —                                         |       | —            |       | —          |       | —          |       | —                                      |       |
|                       |       |                   |       |                        |       |              |       |            |       |            |       |                                        |       |                                           |       |              |       |            |       |            |       |                                        |       |
| Total Sponsor’s Units |       | —                 |       | —                      |       | —            |       | —          |       | —          |       | —                                      |       | 19,470                                         |       | —            |       | —          |       | —          |       | 19,470                                      |       |

 

See notes to financialstatements.

 

4

----

 
|                           |       |                   |       |                        |       |              |       |            |       |            |       |                                       |       |                                          |       |              |       |            |       |            |        |                                       |       |       |   |   |       |   |   |      |   |   |        |   |
|--------------------------------|------------|------------------------|------------|-----------------------------|------------|-------------------|------------|-----------------|------------|-----------------|------------|--------------------------------------------|------------|-----------------------------------------------|------------|-------------------|------------|-----------------|------------|-----------------|-------------|--------------------------------------------|------------|------------|--------|--------|------------|--------|--------|-----------|--------|--------|-------------|--------|
| ** **                     | ** ** | **Initial   Offering** | ** ** | **Initial  Offering Costs** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net  Income** | ** ** | **Members’  Capital  March 31, 2005** | ** ** | **Members’  Capital  December 31, 2005** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net  Income** | ** **  | **Members’  Capital  March 31, 2006** | ** ** |
|                           |       |                   |       |                        |       |              |       |            |       |            |       |                                       |       |                                          |       |              |       |            |       |            |        |                                       |       |
| Class  A                       |       | $                      | 747,825    |                        | $          | (39,666           | )          | $               | 787,790    |            | $          | (9,967                                     | )          | $                                             | 80,086     |              | $          | 1,566,068       |       | $               | 16,602,088  |                                       | $          | 4,285,132  |   | $      | (301,399   | )      | $      | 741,412   |   | $      | 21,327,233  |   |
| Class  C                       |       | 4,276,000              |       | (165,575                    | )          | 3,763,929         |       | (181,921        | )          | 421,239         |       | 8,113,672                                  |       | 66,470,039                                    |       | 26,671,764        |       | (3,682,545      | )          | 3,056,708       |        | 92,515,966                                 |       |
| Class  D                       |       | —                 |       | —                      |       | —            |       | —          |       | —          |       | —                                     |       | 9,797,722                                     |       | 1,144,998         |       | —          |       | 463,967         |        | 11,406,687                                 |       |
| Class  I                       |       | 287,000                |       | (45,079                     | )          | 500,919           |       | —          |       | 38,763          |       | 781,603                                    |       | 19,077,399                                    |       | 4,230,270         |       | (62,211         | )          | 855,438         |        | 24,100,896                                 |       |
|                           |       |                   |       |                        |       |              |       |            |       |            |       |                                       |       |                                          |       |              |       |            |       |            |        |                                       |       |
| Total  Members’ Interests |       | $                      | 5,310,825  |                        | $          | (250,320          | )          | $               | 5,052,638  |            | $          | (191,888                                   | )          | $                                             | 540,088    |              | $          | 10,461,343      |       | $               | 111,947,248 |                                       | $          | 36,332,164 |   | $      | (4,046,155 | )      | $      | 5,117,525 |   | $      | 149,350,782 |   |
|                           |       |                   |       |                        |       |              |       |            |       |            |       |                                       |       |                                          |       |              |       |            |       |            |        |                                       |       |
| Class  A                       |       | $                      | —     |                        | $          | —            |       | $               | —     |            | $          | —                                     |       | $                                             | —     |              | $          | —          |       | $               | 10,410      |                                       | $          | —     |   | $      | —     |   | $      | 395       |   | $      | 10,805      |   |
| Class  C                       |       | —                 |       | —                      |       | —            |       | —          |       | —          |       | —                                     |       | 10,384                                        |       | —            |       | —          |       | 367             |        | 10,751                                     |       |
| Class  D                       |       | —                 |       | —                      |       | —            |       | —          |       | —          |       | —                                     |       | —                                        |       | —            |       | —          |       | —          |        | —                                     |       |
| Class  I                       |       | —                 |       | —                      |       | —            |       | —          |       | —          |       | —                                     |       | —                                        |       | —            |       | —          |       | —          |        | —                                     |       |
|                           |       |                   |       |                        |       |              |       |            |       |            |       |                                       |       |                                          |       |              |       |            |       |            |        |                                       |       |
| Total  Sponsor’s Interest |       | $                      | —     |                        | $          | —            |       | $               | —     |            | $          | —                                     |       | $                                             | —     |              | $          | —          |       | $               | 20,794      |                                       | $          | —     |   | $      | —     |   | $      | 762       |   | $      | 21,556      |   |
|                           |       |                   |       |                        |       |              |       |            |       |            |       |                                       |       |                                          |       |              |       |            |       |            |        |                                       |       |
| Total  Members’ Capital   |       | $                      | 5,310,825  |                        | $          | (250,320          | )          | $               | 5,052,638  |            | $          | (191,888                                   | )          | $                                             | 540,088    |              | $          | 10,461,343      |       | $               | 111,968,042 |                                       | $          | 36,332,164 |   | $      | (4,046,155 | )      | $      | 5,118,287 |   | $      | 149,372,338 |   |

 

See notes tofinancial statements.

 

5

----

 

ML WINTON FUTURESACCESS LLC 

(a Delaware Limited Liability Company)

 

NOTES TO FINANCIALSTATEMENTS

(unaudited)

 

1.                      SUMMARYOF SIGNIFICANT ACCOUNTING POLICIES

 

In the opinion of management, the financial statementscontain all adjustments necessary to present fairly the financial position of MLWinton FuturesAccess LLC (the “Fund”) as of March 31, 2006, and the results ofits operations for the three and two months ended March 31, 2006 and 2005.  However, the operating results for theinterim periods may not be indicative of the results for the full year. TheFund commenced trading activities on February 1, 2005.  Therefore, the Statements of Income and Statementsof Changes in Members’ Capital contain information only for the two monthperiod ended March 31, 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.

 

2.               NET ASSET VALUE PERUNIT

 

For financial reportingpurposes, in conformity with US GAAP, the Fund deducted the total initialoffering costs at inception from Members’ Capital for purposes of determiningNet Asset Value.  For all other purposes,including computing Net Asset Value for purposes of member subscription andredemption activity, such costs are amortized over 60 months. Consequently, theNet Asset Value and Net Asset Value per Unit of the different Classes for financialreporting purposes and for all other purposes are as follows:

 

AtMarch 31, 2006 the Net Asset Values of the different series of Units are asfollows:

 
| ** **    | ** ** | **Net Asset Value**     | ** **  | ** **               | ** ** | **Net Asset Value per Unit** | ** ** |
|---------------|------------|-------------------------|-------------|--------------------------|------------|------------------------------|------------|
| ** **    | ** ** | **All Other  Purposes** | ** **  | **Financial  Reporting** | ** ** | **Number of  Shares**        | ** ** | **All Other  Purposes** | ** ** | **Financial  Reporting** | ** ** |
|  Class A |       | $                       | 21,369,399  |                     | $          | 21,338,038                   |       | 19,210,031 |   | $ | 1.1124 |   | $ | 1.1108 |   |
|  Class C |       | 92,651,626              |        | 92,526,717               |       | 84,089,489                   |       | $ | 1.1018 |   | $ | 1.1003 |   |
|  Class D |       | 11,425,204              |        | 11,406,687               |       | 10,903,442                   |       | $ | 1.0479 |   | $ | 1.0462 |   |
|  Class I |       | 24,136,861              |        | 24,100,896               |       | 21,798,777                   |       | $ | 1.1073 |   | $ | 1.1056 |   |
|          |       | $                       | 149,583,090 |                     | $          | 149,372,338                  |       | 136,001,739 |   |   |   |   |   |

 

6

----

 

AtDecember 31, 2005 the Net Asset Values of the different series of Units were:

 
| ** ** | ** ** | **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

 

Derivativeinstruments involve 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 results in changes in the Fund’s net unrealized profit (loss) onsuch derivative instruments as reflected in the Statements of FinancialCondition.  The Fund’s exposure to marketrisk is influenced by a number of factors, including the relationships amongthe derivative instruments held by the Fund as well as the volatility andliquidity of the markets in which the derivative instruments are traded.

 

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”),calculating the Net Asset Value of the Fund as of the close of business on eachday and reviewing outstanding positions for over-concentrations.  While MLAI does not itself intervene in themarkets to hedge or diversify the Fund’s market exposure, MLAI may urge Winton toreallocate positions in an attempt to avoid over-concentrations.  However, such interventions are expected tobe unusual.  It is expected that MLAI’s basicrisk control procedures will consist simply of the ongoing process of advisormonitoring, with the market risk controls being applied by Winton itself.

 

Credit Risk

 

The risks associated withexchange-traded contracts are typically perceived to be less than thoseassociated with over-the-counter (non-exchange-traded) transactions, becauseexchanges typically (but not universally) provide clearing house arrangementsin which the collective credit (in some cases limited in amount, in some casesnot) of the members of the exchange is pledged to support the financialintegrity of the exchange.  Inover-the-counter transactions, on the other hand, traders must rely solely onthe credit of their respective individual counterparties.  Margins, which may be subject to loss in theevent of a default, are generally required in exchange trading, andcounterparties may also require margin in the over-the-counter markets.

 

7

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The credit riskassociated with these instruments from counterparty nonperformance is the netunrealized profit, if any, included in the Statements 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 normalcourse of business, enters into various contracts, with Merrill Lynch PierceFenner & Smith Inc. (“MLPF&S”) acting as its commodity broker.  Pursuant to the brokerage arrangement withMLPF&S (which includes a netting arrangement), to the extent that suchtrading results in receivables from and payables to MLPF&S, thesereceivables and payables are offset and reported as a net receivable or payableand included in Equity from commodity futures trading accounts in the Statementsof Financial Condition.

 

8

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

 

MONTH-END NET ASSET VALUE PER UNIT (1)

(NON US GAAP)

 

| Class  A   | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** |
|------------|------------|------------|------------|------------|------------|------------|------------|
|       | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** |
| ** ** | ** ** | **Jan**    | ** ** | **Feb**    | ** ** | **Mar**    | ** ** |
| 2005       |       | n/a        |       | $          | 1.0223     |       | $          | 1.0633 |   |
| 2006       |       | $          | 1.1029     |       | $          | 1.0768     |       | $ | 1.1124 |   |
|            |            |            |            |            |            |            |            |  |  |  |

 

| Class  C   | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** |
|------------|------------|------------|------------|------------|------------|------------|------------|
|       | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** |
| ** ** | ** ** | **Jan**    | ** ** | **Feb**    | ** ** | **Mar**    | ** ** |
| 2005       |       | n/a        |       | $          | 1.0214     |       | $          | 1.0618 |   |
| 2006       |       | $          | 1.0943     |       | $          | 1.0675     |       | $ | 1.1018 |   |
|            |            |            |            |            |            |            |            |  |  |  |

 

| Class  D   | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** |
|------------|------------|------------|------------|------------|------------|------------|------------|
|       | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** |
| ** ** | ** ** | **Jan**    | ** ** | **Feb**    | ** ** | **Mar**    | ** ** |
| 2005       |       | n/a        |       | n/a        |       | n/a        |       |
| 2006       |       | $          | 1.0360     |       | $          | 1.0131     |       | $ | 1.0479 |   |
|            |            |            |            |            |            |            |            |  |  |  |

 

| Class  I   | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** |
|------------|------------|------------|------------|------------|------------|------------|------------|
|       | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** |
| ** ** | ** ** | **Jan**    | ** ** | **Feb**    | ** ** | **Mar**    | ** ** |
| 2005       |       | n/a        |       | $          | 1.0226     |       | $          | 1.0633 |   |
| 2006       |       | $          | 1.0972     |       | $          | 1.0715     |       | $ | 1.1073 |   |
|            |            |            |            |            |            |            |            |  |  |  |

 

----

(1) Represents Net Asset Value per unit for all other purposesas discussed in Note 2 to the Financial Statements.

 

PerformanceSummary

 

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 continued mid-quarter with their bullish run, with theEuropean bourses leading the charge. A combination of strong corporate earningsand solid consumer demand led to several indices posting four to five yearhighs. The disappointing U.S. retail sales and consumer price figures coupledwith a bout of profit taking led to a somewhat exaggerated end of the quarterspike in fixed income markets. However, this was steadily erased by the continuationof the drift downward in bond prices as a subsequent 

 

9

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succession of strongerthan expected consumer confidence indicators led to increased expectations of alengthening cycle of the U.S. Federal 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 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.

 

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 helpedsupport metal and energy prices, a sector in which the Fund experienced modestgains.  The strength in the U.S. dollarcould also be attributed to a contrasting economic picture between the U.S. andEurope, 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.  Equityreturns were mixed despite U.S. stocks reaching their lowest level in twomonths as higher oil prices weighed on indexes.

 

10

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Item 3.    Quantitative and Qualitative DisclosuresAbout Market Risk

 

Not applicable

 

Item4.    Controls and Procedures

 

Merrill LynchAlternative Investments LLC, the Sponsor of ML Winton FuturesAccess LLC (the“Fund”), with the participation of the Sponsor’s Chief Executive Officer andthe Chief Financial Officer, has evaluated the effectiveness of the design andoperation of its disclosure controls and procedures with respect to the Fund asof the end of the period of this quarterly report, and, based on thisevaluation, has concluded that these disclosure controls and procedures areeffective.  Additionally, there were nosignificant changes in the Fund’s internal controls or in other factors thatcould significantly affect these controls subsequent to the date of thisevaluation, including any corrective actions with regard to significantdeficiencies and material weaknesses.

 

11

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PART II - OTHERINFORMATION

 

Item 1.            Legal Proceedings

 

Neither the Fund nor MLAI has ever been the subject of any materiallitigation.  Merrill Lynch is the 100%indirect owner of MLAI, MLPF&S and all other Merrill Lynch entitiesinvolved in the operations of the Fund. Merrill Lynch as well as certain of its subsidiaries and affiliates havebeen named as defendants in civil actions, arbitration proceedings and claimsarising out of their respective business activities. Although the ultimateoutcome of these actions cannot be predicted at this time and the results of legalproceedings cannot be predicted with certainty, it is the opinion of managementthat the result 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.            Defaults Upon Senior Securities

 

None.

 

Item 4.            Submission of Matters to a Vote ofSecurity Holders

 

None.

 

Item 5.            Other Information

 

None.

 

12

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Item 5(a).       Recent Sales of UnregisteredSecurities:  Uses of Proceeds FromRegistered Securities:

 

Issuance to accreditedinvestors pursuant to Regulation D and Section 4(6) under the SecuritiesAct.  The selling agent of the followingClass of Units 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     |       | 2,173,080        |       | 1,953,506  |       | 1.1124      |       |
|       |       |             |       |       |       |        |       |
| 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      |       |

 
| 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      |       |
|       |       |             |       |       |       |        |       |
| CLASS I    |       |             |       |       |       |        |       |
|       |       |             |       |       |       |        |       |
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** | ** **  | ** ** |
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-06     |       | 1,861,921        |       | 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     |       | 1,426,386        |       | 1,288,166  |       | 1.1073      |       |

 

----

(1) Net Asset Value forall other purposes

 

Item6.            Exhibits and Reports on Form8-K.

 

(a)  Exhibits.

 

The following exhibitsare incorporated by reference or are filed herewith to this Quarterly Report onForm 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.

 

(b) Reports onForm 8-K.

 

There were noreports on Form 8-K filed during the three months of fiscal 2006.

 

13

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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                |   |
|               |   | (Sponsor)                      |   |
|               |   |                           |   |
|               |   |                           |
| Date: May 15, 2006 |   | By                             | /s/ ROBERT M. ALDERMAN |   |
|               |   |                           | Robert M. Alderman |   |
|               |   |                           | Chief Executive  Officer, President and Manager |
|               |   |                           | (Principal Executive  Officer) |   |
|               |   |                           |   |   |
|               |   |                           |   |   |
| Date: May 15, 2006 |   |                           |   |   |
|               |   |                           |   |   |
|               |   | By                             | /s/ MICHAEL L. PUNGELLO |   |
|               |   |                           | Michael L. Pungello |   |
|               |   |                           | Vice President, Chief  Financial Officer |
|               |   |                           | and Treasurer |   |
|               |   |                           | (Principal Financial  and Accounting Officer) |
|                    |        |                                |  |  |  |  |  |

 

14

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