**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 TOSECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934**

**For the transition period from                to                **

**Commission File Number 0-51087**

**ML APPLETON FUTURESACCESS LLC**

(Exact Name of Registrantas

specified in its charter)

 
| **Delaware**                     | ** ** | **20-1227880**                     |
|----------------------------------|------------|------------------------------------|
| (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 ofprincipal executive offices)

(Zip Code)

**609-282-6996**

(Registrant’s telephone number, including area code)

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

Indicate by check mark if the registrant is a well-known seasonedissuer, as defined in Rule 405 of the Securities Act.
|  | Yes o | No x |
|--|-------|------|

 

Indicate by check mark if the registrant is not required to filereports pursuant to Section 13 or 15(d) of the Act.
|  | Yes o | No x |
|--|-------|------|

 

Indicate by check markwhether the registrant (1) has filed all reports required to be filed bySection 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding12 months (or for such shorter period that the registrant was required to filesuch reports), and (2) has been subject to such filing requirements for thepast 90 days.
|  | Yes x | No o |
|--|-------|------|

 

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

 

Indicate by check mark if the registrant is a shell company (as definedby Rule 12b-2 of the Act).
|  | Yes o | No x |
|--|-------|------|

 

 

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**ML APPLETON FUTURESACCESS LLC**

QUARTERLY REPORT FOR JUNE30, 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                                                                                    | 13       |

 

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PART I - FINANCIAL INFORMATION

Item 1.    Financial Statements

ML APPLETON FUTURESACCESSLLC

(a DelawareLimited Liability Company)

STATEMENTS OFFINANCIAL CONDITION
| ** **                                                                             | ** ** | **June 30,** | ** ** | **December 31,** | ** ** |
|----------------------------------------------------------------------------------------|------------|-------------------|------------|-----------------------|------------|
| ** **                                                                             | ** ** | **2006**          | ** ** | **2005**              | ** ** |
| ** **                                                                             | ** ** | **(unaudited)**   | ** ** | ** **            | ** ** |
|                                                                                   |       |              |       |                  |       |
| **ASSETS:**                                                                            | ** ** | ** **        | ** ** | ** **            | ** ** |
| Equity in commodity  futures trading accounts:                                         |       |              |       |                  |       |
| Cash                                                                                   |       | $                 | 52,552,792 |                  | $          | 21,237,799 |   |
| Net unrealized  gain (loss) on open contracts                                          |       | 700,734           |       | (728,432              | )          |
| Cash                                                                                   |       | 2,587,877         |       | 29,573                |       |
| Accrued interest                                                                       |       | 200,827           |       | 62,139                |       |
|                                                                                   |       |              |       |                  |       |
| **TOTAL  ASSETS**                                                                      |       | $                 | 56,042,230 |                  | $          | 20,601,079 |   |
|                                                                                   |       |              |       |                  |       |
| **LIABILITIES AND MEMBERS’  CAPITAL:**                                            | ** ** | ** **        | ** ** | ** **            | ** ** |
| LIABILITIES:                                                                           |       |              |       |                  |       |
| Management fee  payable                                                                |       | $                 | 93,403     |                  | $          | 33,026 |   |
| Sponsor’s fee  payable                                                            |       | 82,960            |       | 36,994                |       |
| Peformance fee  payable                                                                |       | —            |       | 427,383               |       |
| Redemptions  payable                                                                   |       | 420,001           |       | 40,610                |       |
| Initial offering  costs payable                                                        |       | 34,446            |       | 41,409                |       |
| Other payables                                                                         |       | 533               |       | 69,011                |       |
|                                                                                   |       |              |       |                  |       |
| Total  liabilities                                                                     |       | 631,343           |       | 648,433               |       |
|                                                                                   |       |              |       |                  |       |
| MEMBERS’ CAPITAL:                                                                 |       |              |       |                  |       |
|  Sponsor’s Interest (20,324 and 20,324 Units  issued and outstanding)        |       | 17,491            |       | 22,203                |       |
|  Members’ Interest (64,125,776 and 18,307,945  Units issued and outstanding) |       | 55,393,396        |       | 19,930,443            |       |
|                                                                                   |       |              |       |                  |       |
| Total members’  capital                                                           |       | 55,410,887        |       | 19,952,646            |       |
|                                                                                   |       |              |       |                  |       |
| **TOTAL  LIABILITIES AND MEMBERS’ CAPITAL**                                       |       | $                 | 56,042,230 |                  | $          | 20,601,079 |   |
|                                                                                   |       |              |       |                  |       |
| **NET ASSET VALUE PER UNIT (Note 2)**                                                  | ** ** | ** **        | ** ** | ** **            | ** ** |

 

See notes tofinancial statements.

 

2

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ML APPLETON FUTURESACCESSLLC

(a Delaware Limited Liability Company)

STATEMENTS OFOPERATIONS

(unaudited)
| ** **                                   | ** ** | **For the three** | ** ** | **For the three** | ** ** | **For the six** | ** ** |
|----------------------------------------------|------------|-----------------------------|------------|-----------------------------|------------|---------------------------|------------|
| ** **                                   | ** ** | **months ended**       | ** ** | **months ended**       | ** ** | **months ended**     | ** ** |
| ** **                                   | ** ** | **June 30,**           | ** ** | **June 30,**           | ** ** | **June 30,**         | ** ** |
| ** **                                   | ** ** | **2006**                    | ** ** | **2005(1)**                 | ** ** | **2006**                  | ** ** |
| **TRADING  PROFITS (LOSSES):**               | ** ** | ** **                  | ** ** | ** **                  | ** ** | ** **                | ** ** |
|                                         |       |                        |       |                        |       |                      |       |
| Realized                                     |       | $                           | (7,345,025 | )                           | $          | (142,163                  | )          | $ | (9,487,608 | ) |
| Change in unrealized                         |       | 3,813,023                   |       | 393,817                     |       | 1,429,167                 |       |
| Brokerage Commissions                        |       | —                      |       | (2,971                      | )          | —                    |       |
|                                         |       |                        |       |                        |       |                      |       |
| Total trading profits (losses)               |       | (3,532,002                  | )          | 248,683                     |       | (8,058,441                | )          |
|                                         |       |                        |       |                        |       |                      |       |
| **INVESTMENT  INCOME:**                      | ** ** | ** **                  | ** ** | ** **                  | ** ** | ** **                | ** ** |
| Interest                                     |       | 556,900                     |       | 37,887                      |       | 836,130                   |       |
|                                         |       |                        |       |                        |       |                      |       |
| **EXPENSES:**                                | ** ** | ** **                  | ** ** | ** **                  | ** ** | ** **                | ** ** |
| Management fee                               |       | 248,596                     |       | 30,695                      |       | 381,021                   |       |
| Incentive fee                                |       | —                      |       | 47,689                      |       | —                    |       |
| Sponsor’s fee                           |       | 221,653                     |       | 33,775                      |       | 362,563                   |       |
| Other                                        |       | 190,310                     |       | 24,896                      |       | 223,976                   |       |
|                                         |       |                        |       |                        |       |                      |       |
| Total expenses before reimbursement          |       | 660,559                     |       | 137,055                     |       | 967,560                   |       |
|                                         |       |                        |       |                        |       |                      |       |
| Sponsor’s fee reimbursement             |       | —                      |       | (9,893                      | )          | —                    |       |
|                                         |       |                        |       |                        |       |                      |       |
| Total expenses                               |       | 660,559                     |       | 127,162                     |       | 967,560                   |       |
|                                         |       |                        |       |                        |       |                      |       |
| **NET  INVESTMENT LOSS**                     |       | (103,659                    | )          | (89,275                     | )          | (131,430                  | )          |
|                                         |       |                        |       |                        |       |                      |       |
| **NET  INCOME (LOSS)**                       |       | $                           | (3,635,661 | )                           | $          | 159,408                   |       | $ | (8,189,871 | ) |
|                                         |       |                        |       |                        |       |                      |       |
| **NET  INCOME (LOSS) PER UNIT:**             | ** ** | ** **                  | ** ** | ** **                  | ** ** | ** **                | ** ** |
| ** **                                   | ** ** | ** **                  | ** ** | ** **                  | ** ** | ** **                | ** ** |
| Weighted average number of Units outstanding |       |                        |       |                        |       |                      |       |
| Class A                                      |       | 4,641,078                   |       | 672,694                     |       | 3,701,988                 |       |
| Class C                                      |       | 35,916,726                  |       | 4,987,928                   |       | 27,810,490                |       |
| Class D                                      |       | 11,469,188                  |       | 346,724                     |       | 6,407,676                 |       |
| Class I                                      |       | 4,625,321                   |       | 186,038                     |       | 3,533,492                 |       |
|                                         |       |                        |       |                        |       |                      |       |
| Net income (loss) per weighted average Unit  |       |                        |       |                        |       |                      |       |
| Class A                                      |       | $                           | (0.0584    | )                           | $          | 0.0265                    |       | $ | (0.1984 | ) |
| Class C                                      |       | $                           | (0.0651    | )                           | $          | 0.0261                    |       | $ | (0.2073 | ) |
| Class D                                      |       | $                           | (0.0598    | )                           | $          | 0.0205                    |       | $ | (0.1405 | ) |
| Class I                                      |       | $                           | (0.0735    | )                           | $          | 0.0226                    |       | $ | (0.2236 | ) |

 

----

(1) commencement of operations April 1, 2005 

See notes to financial statements.

3

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ML APPLETONFUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OFCHANGES IN MEMBERS’ CAPITAL

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

(unaudited)

 
| ** **                 | ** ** | **Initial Offering** | ** ** | **Initial  Offering Costs** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net Income** | ** ** | **Members’ Capital  June 30, 2005** | ** ** | **Members’ Capital  December 31, 2005** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net Loss** | ** ** | **Members’ Capital  June 30, 2006** | ** ** |
|----------------------------|------------|---------------------------|------------|----------------------------------|------------|-------------------|------------|-----------------|------------|---------------------|------------|---------------------------------------------------------|------------|-------------------------------------------------------------|------------|-------------------|------------|-----------------|------------|-------------------|------------|---------------------------------------------------------|------------|
|                       |       |                      |       |                             |       |              |       |            |       |                |       |                                                    |       |                                                        |       |              |       |            |       |              |       |                                                    |       |
| Class A                    |       | 564,525                   |       | —                           |       | 234,862           |       | —          |       | —              |       | 799,387                                                 |       | 2,015,034                                                   |       | 3,735,025         |       | (161,159        | )          | —            |       | 5,588,900                                               |       |
| Class C                    |       | 3,840,000                 |       | —                           |       | 2,447,461         |       | (105,000        | )          | —              |       | 6,182,461                                               |       | 14,289,916                                                  |       | 27,785,783        |       | (1,543,754      | )          | —            |       | 40,531,945                                              |       |
| Class D                    |       | 332,331                   |       | —                           |       | 40,795            |       | —          |       | —              |       | 373,126                                                 |       | 375,509                                                     |       | 12,970,838        |       | —          |       | —            |       | 13,346,347                                              |       |
| Class I                    |       | 177,000                   |       | —                           |       | 37,115            |       | (10,000         | )          | —              |       | 204,115                                                 |       | 1,627,486                                                   |       | 3,517,592         |       | (486,494        | )          | —            |       | 4,658,584                                               |       |
|                       |       |                      |       |                             |       |              |       |            |       |                |       |                                                    |       |                                                        |       |              |       |            |       |              |       |                                                    |       |
| Total Members’ Units  |       | 4,913,856                 |       | —                           |       | 2,760,233         |       | (115,000        | )          | —              |       | 7,559,089                                               |       | 18,307,945                                                  |       | 48,009,238        |       | (2,191,407      | )          | —            |       | 64,125,776                                              |       |
|                       |       |                      |       |                             |       |              |       |            |       |                |       |                                                    |       |                                                        |       |              |       |            |       |              |       |                                                    |       |
| Class A                    |       | —                    |       | —                           |       | 10,158            |       | —          |       | —              |       | 10,158                                                  |       | 10,158                                                      |       | —            |       | —          |       | —            |       | 10,158                                                  |       |
| Class C                    |       | —                    |       | —                           |       | 10,166            |       | —          |       | —              |       | 10,166                                                  |       | 10,166                                                      |       | —            |       | —          |       | —            |       | 10,166                                                  |       |
| Class D                    |       | —                    |       | —                           |       | —            |       | —          |       | —              |       | —                                                  |       | —                                                      |       | —            |       | —          |       | —            |       | —                                                  |       |
| Class I                    |       | —                    |       | —                           |       | —            |       | —          |       | —              |       | —                                                  |       | —                                                      |       | —            |       | —          |       | —            |       | —                                                  |       |
|                       |       |                      |       |                             |       |              |       |            |       |                |       |                                                    |       |                                                        |       |              |       |            |       |              |       |                                                    |       |
| Total Sponsor’s Units |       | —                    |       | —                           |       | 20,324            |       | —          |       | —              |       | 20,324                                                  |       | 20,324                                                      |       | —            |       | —          |       | —            |       | 20,324                                                  |       |

 

See notes to financial statements.

4

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ML APPLETONFUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OFCHANGES IN MEMBERS’ CAPITAL

For the six monthsended June 30, 2006 and the three months ended June 30, 2005 (continued)

(unaudited)

 
| ** **                    | ** ** | **Initial Offering** | ** ** | **Initial  Offering Costs** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net Income** | ** ** | **Members’ Capital  June 30, 2005** | ** ** | **Members’ Capital  December 31, 2005** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net Loss** | ** ** | **Members’ Capital  June 30, 2006** | ** ** |
|-------------------------------|------------|---------------------------|------------|----------------------------------|------------|-------------------|------------|-----------------|------------|---------------------|------------|---------------------------------------------------------|------------|-------------------------------------------------------------|------------|-------------------|------------|-----------------|------------|-------------------|------------|---------------------------------------------------------|------------|
|                          |       |                      |       |                             |       |              |       |            |       |                |       |                                                    |       |                                                        |       |              |       |            |       |              |       |                                                    |       |
| Class A                       |       | $                         | 564,525    |                             | $          | (5,388            | )          | $               | 224,246    |                | $          | —                                                  |       | $                                                           | 17,602     |              | $          | 800,985         |       | $                 | 2,205,634  |                                                    | $          | 3,511,270 |   | $ | (147,296 | ) | $ | (732,019 | ) | $ | 4,837,589 |   |
| Class C                       |       | 3,840,000                 |       | (37,796                          | )          | 2,354,952         |       | (104,058        | )          | 130,021             |       | 6,183,119                                               |       | 15,516,532                                                  |       | 26,268,824        |       | (1,396,329      | )          | (5,762,808        | )          | 34,626,219                                              |       |
| Class D                       |       | 332,331                   |       | (1,138                           | )          | 40,795            |       | —          |       | 7,107               |       | 379,095                                                 |       | 418,886                                                     |       | 12,354,048        |       | —          |       | (900,177          | )          | 11,872,757                                              |       |
| Class I                       |       | 177,000                   |       | (4,231                           | )          | 34,999            |       | (10,094         | )          | 4,208               |       | 201,882                                                 |       | 1,789,391                                                   |       | 3,478,016         |       | (420,421        | )          | (790,155          | )          | 4,056,831                                               |       |
|                          |       |                      |       |                             |       |              |       |            |       |                |       |                                                    |       |                                                        |       |              |       |            |       |              |       |                                                    |       |
| Total Members’ Interests |       | $                         | 4,913,856  |                             | $          | (48,553           | )          | $               | 2,654,992  |                | $          | (114,152                                                | )          | $                                                           | 158,938    |              | $          | 7,565,081       |       | $                 | 19,930,443 |                                                    | $          | 45,612,158 |   | $ | (1,964,046 | ) | $ | (8,185,159 | ) | $ | 55,393,396 |   |
|                          |       |                      |       |                             |       |              |       |            |       |                |       |                                                    |       |                                                        |       |              |       |            |       |              |       |                                                    |       |
| Class A                       |       | $                         | —     |                             | $          | —            |       | $               | 10,000     |                | $          | —                                                  |       | $                                                           | 243        |              | $          | 10,243          |       | $                 | 11,142     |                                                    | $          | — |   | $ | — |   | $ | (2,342 | ) | $ | 8,800 |   |
| Class C                       |       | —                    |       | —                           |       | 9,999             |       | —          |       | 227                 |       | 10,226                                                  |       | 11,061                                                      |       | —            |       | —          |       | (2,370            | )          | 8,691                                                   |       |
| Class D                       |       | —                    |       | —                           |       | —            |       | —          |       | —              |       | —                                                  |       | —                                                      |       | —            |       | —          |       | —            |       | —                                                  |       |
| Class I                       |       | —                    |       | —                           |       | —            |       | —          |       | —              |       | —                                                  |       | —                                                      |       | —            |       | —          |       | —            |       | —                                                  |       |
|                          |       |                      |       |                             |       |              |       |            |       |                |       |                                                    |       |                                                        |       |              |       |            |       |              |       |                                                    |       |
| Total Sponsor’s Interest |       | $                         | —     |                             | $          | —            |       | $               | 19,999     |                | $          | —                                                  |       | $                                                           | 470        |              | $          | 20,469          |       | $                 | 22,203     |                                                    | $          | — |   | $ | — |   | $ | (4,712 | ) | $ | 17,491 |   |
|                          |       |                      |       |                             |       |              |       |            |       |                |       |                                                    |       |                                                        |       |              |       |            |       |              |       |                                                    |       |
| Total Members’ Capital   |       | $                         | 4,913,856  |                             | $          | (48,553           | )          | $               | 2,674,991  |                | $          | (114,152                                                | )          | $                                                           | 159,408    |              | $          | 7,585,550       |       | $                 | 19,952,646 |                                                    | $          | 45,612,158 |   | $ | (1,964,046 | ) | $ | (8,189,871 | ) | $ | 55,410,887 |   |

 

See notes to financial statements.

 

5

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ML APPLETONFUTURESACCESS LLC 

(a Delaware Limited 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 Appleton 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 months ended June 30, 2005,respectively.  However, the operatingresults for the interim period may not be indicative of the results for thefull year. The Fund commenced operations on April 1, 2005. Therefore, theStatements of Operations and Statements of Changes in Members’ Capital containinformation only for the three 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

At June 30, 2006 the Net Asset Values of the differentseries 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    |       | $                             | 4,850,352  |                     | $          | 4,846,389                                        |       | 5,599,058 |   | $ | 0.8663 |   | $ | 0.8656 |   |
| Class C    |       | 34,662,425                    |       | 34,634,910               |       | 40,542,111                                       |       | $ | 0.8550 |   | $ | 0.8543 |   |
| Class D    |       | 11,872,622                    |       | 11,872,757               |       | 13,346,347                                       |       | $ | 0.8896 |   | $ | 0.8896 |   |
| Class I    |       | 4,059,934                     |       | 4,056,831                |       | 4,658,584                                        |       | $ | 0.8715 |   | $ | 0.8708 |   |
|       |       | $                             | 55,445,333 |                     | $          | 55,410,887                                       |       | 64,146,100 |   |   |   |   |   |

6

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At December 31,2005 the Net 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    |       | $                             | 2,221,377  |                     | $          | 2,216,776                                        |       | 2,025,192 |   | $ | 1.0969 |   | $ | 1.0946 |   |
| Class C    |       | $                             | 15,559,817 |                     | $          | 15,527,592                                       |       | 14,300,082 |   | $ | 1.0881 |   | $ | 1.0858 |   |
| Class D    |       | $                             | 419,756    |                     | $          | 418,887                                          |       | 375,509 |   | $ | 1.1178 |   | $ | 1.1155 |   |
| Class I    |       | $                             | 1,793,105  |                     | $          | 1,789,391                                        |       | 1,627,486 |   | $ | 1.1018 |   | $ | 1.0995 |   |
|       |       | $                             | 19,994,055 |                     | $          | 19,952,646                                       |       | 18,328,269 |   |   |   |   |   |

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 (“MLAI”), has procedures in place intended to control market riskexposure, although there can be no assurance that they will, in fact, succeedin doing so.  These procedures focusprimarily on monitoring the trading of Appleton Capital Management (“Appleton”),the trading advisor, calculating the Net Asset Value of the Fund as of theclose 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 Appleton 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 Appleton itself.

Credit Risk

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

8

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

MONTH-END NETASSET VALUE PER UNIT (1)

(NON US GAAP)

Class A
|      | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** |
|------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|
| 2005 |       | n/a      |       | n/a      |       | n/a      |       | $        | 0.9844     |    | $          | 0.9424   |       | $ | 1.0084 |   |
| 2006 |       | $        | 1.1026     |     | $          | 1.0013   |       | $        | 0.9367     |    | $          | 0.8956   |       | $ | 0.8506 |   | $ | 0.8663 |   |
|      |            |          |            |          |            |          |            |          |            |         |            |          |            |  |  |  |  |  |  |

Class C
|      | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** |
|------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|
| 2005 |       | n/a      |       | n/a      |       | n/a      |       | $        | 0.9836     |    | $          | 0.9409   |       | $ | 1.0059 |   |
| 2006 |       | $        | 1.0929     |     | $          | 0.9915   |       | $        | 0.9268     |    | $          | 0.8854   |       | $ | 0.8402 |   | $ | 0.8550 |   |
|      |            |          |            |          |            |          |            |          |            |         |            |          |            |  |  |  |  |  |  |

Class D
|      | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** |
|------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|
| 2005 |       | n/a      |       | n/a      |       | n/a      |       | $        | 0.9856     |    | $          | 0.9448   |       | $ | 1.0122 |   |
| 2006 |       | $        | 1.1251     |     | $          | 1.0231   |       | $        | 0.9583     |    | $          | 0.9174   |       | $ | 0.8724 |   | $ | 0.8896 |   |
|      |            |          |            |          |            |          |            |          |            |         |            |          |            |  |  |  |  |  |  |

Class I
|      | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** |
|------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|
| 2005 |       | n/a      |       | n/a      |       | n/a      |       | $        | 0.9847     |    | $          | 0.9430   |       | $ | 1.0094 |   |
| 2006 |       | $        | 1.1079     |     | $          | 1.0060   |       | $        | 0.9414     |    | $          | 0.9004   |       | $ | 0.8554 |   | $ | 0.8715 |   |
|      |            |          |            |          |            |          |            |          |            |         |            |          |            |  |  |  |  |  |  |

 

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

PerformanceSummary

January 1, 2006 toJune 30, 2006

January 1, 2006 toMarch 31, 2006

The Fund posted a netloss trading in financials and currencies due to difficult trading conditionsfor all currency market participants as the market reversed some longestablished trends and themes.

The main difficultiescontinue to stem from the lack of direction in the Japanese yen.  There appears to be two opposite forcespulling on the U.S. dollar and the Japanese yen. However, the significantinterest rate differential and the outlook for further rates hikes from theU.S. Federal Reserve would appear to support the U.S. dollar. Against this,there appears to be a reluctance to hold U.S. currency against the backdrop ofincreasing deficits and the war in Iraq. As a result, the trading continued tobe trapped in the 116.00 to 119.00 range. Losses for the Fund continued throughthe end of the quarter due to the unwinding of the carry trades across theboard.

The traditional practiceof holding a high yielding currency at the expense of a low-yield one iscommonplace in the foreign exchange markets. The rationale is that in theabsence of any movement in the spot price, the currency manager will benefitfrom the interest rate differential therein. Reflecting on the movement in the first quarter, or lack thereof, in themajor currency markets, Japanese yen, Euro, 

9

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British pound and Canadiandollar showed that the price action in that time period was a trend-follower’snightmare, with either little or no direction accompanied by patchy levels ofvolatility.

April 1, 2006 toJune 30, 2006

The Fund posted a nettrading loss in financials and currencies due to difficult trading conditionsfor all currency market participants as the market reversed some longestablished trends and themes.

The beginning of thesecond quarter proved to be uneventful from a performance point of view. In themiddle of the quarter, for the fifth time this year, the Japanese yenstrengthened sharply, causing the slide in the Australian dollar to theJapanese yen which resulted in most of the losses incurred at this time and inthis one position.  At the end of thequarter the Fund reversed its four month losing streak with 25% Risk Programrecording a gain of roughly 1.82%. The quarter ended uneventful, with theinterim performance never straying far above or below breakeven. Furthermore,positions were only marginally changed throughout the month as the previouslyheld portfolio continued to present the best case for risk adjusted returns.

The traditional practiceof holding a high yielding currency at the expense of a low-yield iscommonplace in the foreign exchange markets. The rationale is that in theabsence of any movement in the spot price, the currency manager will benefitfrom the interest rate differential therein. Reflecting on the movement in the second quarter, or lack thereof, inthe major currency markets, Japanese yen, Euro, British pound and Canadiandollar will show that the price action in that time period was a trend-follower’snightmare, with little or no direction accompanied by patchy levels ofvolatility.

April 1, 2005 toJune 30, 2005

The Fund posted a gainfor the second quarter despite losses in the first two months of thequarter.  The Fund does primarily all ofits trading in the currency sector.

The majority of tradingrevolved around the Canadian dollar early in the quarter. Previous gains madefrom a long Canadian dollar position versus the Japanese yen reversed to lossesas the trend came to an end in April. Holding short positions in the Canadiandollar helped to get back from a downward trend to a more flat performance.However, the dominant short position soon experienced a reversal too sharp toavoid losses when the Canadian dollar/Japanese yen position experienced a sharpreversal as it began to rise in quick succession. The strength of the Canadiandollar throughout the quarter attributed to profits late in the quarter as theFund added to its long positions.

Trading in the U.S.dollar was complex. The U.S. dollar appreciated against the Japanese yen andEuro then gradually slid back down early in the quarter.  During the middle of the quarter the U.S.dollar began to move upwards against the Japanese yen and the Euro, whichcontinued through the end of the quarter. The Euro’s continual decline was responsible for the gains that wererealized in the latter part of the quarter.

The Japanese yen hasproven to be a volatile market to trade in. The Japanese yen contributed to most of the losses early in thequarter.  Towards the end of the quarter,the Japanese yen held steady against the U.S. dollar but remained high on theportfolio’s agenda as the Fund had a large exposure in the U.S. dollar/Japaneseyen position.

10

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Item 3.   Quantitative and Qualitative DisclosuresAbout Market Risk

          Not applicable

Item4. Controls and Procedures

MLAI, the Sponsorof ML Appleton 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.

11

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PART II - OTHER INFORMATION

Item 1.            LegalProceedings

 Neither the Fund nor MLAI has ever been the subject of any materiallitigation.  Merrill Lynch is the 100%indirect owner of MLAI, Merrill Lynch International Bank (“MLIB”), MLPF&Sand all other Merrill Lynch entities involved in the operation of theFund.  Merrill Lynch as well as certainof its subsidiaries and affiliates have been named as defendants in civilactions, arbitration proceedings and claims arising out of their respectivebusiness activities. Although the ultimate outcome of these actions cannot bepredicted at this time and the results of legal proceedings cannot be predictedwith certainty, it is the opinion of management that the result of thesematters will not be materially adverse to the business operations or thefinancial 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.

12

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Item 5(a).       Recent Sales of UnregisteredSecurities:  Uses of Proceeds FromRegistered 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     |       | $                | 462,669    |       | 421,798    |       | $          | 1.0969 |   |
| Feb-06     |       | 288,589          |       | 261,735    |       | 1.1026     |       |
| Mar-06     |       | 512,670          |       | 512,004    |       | 1.0013     |       |
| Apr-06     |       | 593,761          |       | 633,886    |       | 0.9367     |       |
| May-06     |       | 650,316          |       | 726,123    |       | 0.8956     |       |
| Jun-06     |       | 1,003,265        |       | 1,179,479  |       | 0.8506     |       |
| Jul-06     |       | 397,791          |       | 459,184    |       | 0.8663     |       |
|            |            |                  |            |            |            |            |            |  |  |

 

CLASS C

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV(1)** | ** ** |
| Jan-06     |       | $                | 1,980,960  |       | 1,820,568  |       | $          | 1.0881 |   |
| Feb-06     |       | 3,054,912        |       | 2,795,235  |       | 1.0929     |       |
| Mar-06     |       | 6,161,674        |       | 6,214,497  |       | 0.9915     |       |
| Apr-06     |       | 6,034,434        |       | 6,511,042  |       | 0.9268     |       |
| May-06     |       | 5,120,927        |       | 5,783,744  |       | 0.8854     |       |
| Jun-06     |       | 3,915,917        |       | 4,660,697  |       | 0.8402     |       |
| Jul-06     |       | 4,109,926        |       | 4,806,931  |       | 0.8550     |       |
|            |            |                  |            |            |            |            |            |  |  |

 

CLASS D

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV(1)** | ** ** |
| Jan-06     |       | $                | 1,084,998  |       | 970,655    |       | $          | 1.1178 |   |
| Feb-06     |       | —           |       | —     |       | 1.1251     |       |
| Mar-06     |       | —           |       | —     |       | 1.0231     |       |
| Apr-06     |       | 6,196,500        |       | 6,466,137  |       | 0.9583     |       |
| May-06     |       | 4,987,550        |       | 5,436,614  |       | 0.9174     |       |
| Jun-06     |       | 85,000           |       | 97,432     |       | 0.8724     |       |
| Jul-06     |       | 577,100          |       | 648,718    |       | 0.8896     |       |
|            |            |                  |            |            |            |            |            |  |  |

 

CLASS I

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV(1)** | ** ** |
| Jan-06     |       | $                | 144,997    |       | 131,600    |       | $          | 1.1018 |   |
| Feb-06     |       | 977,753          |       | 882,528    |       | 1.1079     |       |
| Mar-06     |       | 334,370          |       | 332,376    |       | 1.0060     |       |
| Apr-06     |       | 1,766,201        |       | 1,876,143  |       | 0.9414     |       |
| May-06     |       | 48,000           |       | 53,309     |       | 0.9004     |       |
| Jun-06     |       | 206,695          |       | 241,636    |       | 0.8554     |       |
| Jul-06     |       | 501,376          |       | 575,302    |       | 0.8715     |       |
|            |            |                  |            |            |            |            |            |  |  |

 

----

(1) Net Asset Value forall other purposes

 

Item 6.            Exhibits

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

31.01 and

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

Exhibit 31.01

and 31.02:      Are filed herewith.

32.01 and

32.02               Section 1350 Certifications

Exhibit 32.01

and 32.02       Are filed herewith.

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 APPLETON 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) |   |
|                       |                               |                                               |  |  |  |  |  |  |

 

14

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