** **

**UNITED STATES SECURITIESAND EXCHANGE COMMISSION**

**Washington, D.C. 20549**

 

**FORM 10-Q**

 

**(Mark One)**

 
| **ý**** QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE  SECURITIES EXCHANGE ACT OF 1934** |
|--------------------------------------------------------------------------------------------------------------|

 

**For the quarterly period ended March 31, 2006**

 

**OR**

 
| **o**** TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE  SECURITIES EXCHANGE ACT OF 1934** |
|----------------------------------------------------------------------------------------------------------|

 

**For the transition period from               to               **

 

**Commission File Number 0 51085**

 

**MLASPECT FUTURESACCESS LLC**

(Exact Name of Registrantas

specified in its charter)

 

| **Delaware**                     | ** ** | **20-1227650**                     |
|----------------------------------|------------|------------------------------------|
| (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’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

 

Indicateby check mark if the registrant is a well-known seasoned issuer, as defined inRule 405 of the Securities Act.

 
|   |   |   |   |   |   | Yes  o  No  ý      |
|--------|--------|--------|--------|--------|--------|--------------------------------------------------------------------------------|

 

Indicateby check mark if the registrant is not required to file reports pursuant toSection 13 or 15(d) of the Act.

 
|   |   |   |   |   |   | Yes  o  No  ý     |
|--------|--------|--------|--------|--------|--------|--------------------------------------------------------------------------|

 

Indicateby check mark whether the registrant (1) has filed all reports required to befiled by Section 13 or 15(d) of the Securities Exchange Act of 1934 during thepreceding 12 months (or for such shorter period that the registrant was requiredto file such reports), and (2) has been subject to such filing requirements forthe past 90 days.

 
|   |   |   |   |   |   | Yes  ý  No  o     |
|--------|--------|--------|--------|--------|--------|--------------------------------------------------------------------------|

 

Indicateby check mark if disclosure of delinquent filers pursuant to Item 405 ofRegulation S-K is not contained herein, and will not be contained, to the bestof registrant’s knowledge, in definitive proxy or information statementsincorporated by reference in Part II of this Form 10-Q or any amendment to thisForm 10-Q. [x]

 

Indicateby check mark whether the registrant is a large accelerated filer, anaccelerated filer, or a non-accelerated filer. See definition of “accelerated filer and large accelerated filer” inRule 12b-2 of the Exchange Act. (Check one):

 
|   |   | Large accelerated filer o |   | Accelerated filer o |   | Non-accelerated filer ý     |
|--------|--------|--------------------------------|--------|--------------------------|--------|-----------------------------------------------------------|

 

Indicateby check mark if the registrant is a shell company (as defined by Rule 12b-2 ofthe Act).

 
|   |   |   |   |   |   | Yes  o  No  ý     |
|--------|--------|--------|--------|--------|--------|--------------------------------------------------------------------------|

 

 

----

 

**ML ASPECTFUTURESACCESS LLC**

 

QUARTERLY REPORTFOR MARCH 31, 2006 ON FORM 10-Q

 

Table of Contents

 
|     | 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                                 | 10     |
|     |                                                                                        |   |
| Item 4.  | Controls  and Procedures                                                                    | 10     |
|     |                                                                                        |   |
|     | PART II                                                                                     |   |
|     |                                                                                        |   |
| Item 1.  | Legal  Proceedings                                                                          | 11     |
|     |                                                                                        |   |
| Item 2.  | Changes  in Securities and Use of Proceeds                                                  | 11     |
|     |                                                                                        |   |
| Item 3.  | Defaults  Upon Senior Securities                                                            | 11     |
|     |                                                                                        |   |
| Item 4.  | Submission  of Matters to a Vote of Security Holders                                        | 11     |
|     |                                                                                        |   |
| Item 5.  | Other  Information                                                                          | 11     |
|     |                                                                                        |   |
| Item 5a. | Recent  Sales of Unregistered Securities: Uses of Proceeds From Registered Securities       | 12     |
|     |                                                                                        |   |
| Item 6   | Exhibits  and Reports on Form 8-K                                                           | 12     |

 

----

 

PART I - FINANCIAL INFORMATION

 

Item 1.    FinancialStatements

 

ML ASPECTFUTURESACCESS LLC

(a DelawareLimited Liability Company)

 

STATEMENTS OFFINANCIAL CONDITION

 
| ** **                                                                       | ** ** | **March 31,  2006  (unaudited)** | ** ** | **December 31,  2005** | ** ** |
|----------------------------------------------------------------------------------|------------|---------------------------------------|------------|-----------------------------|------------|
| ** **                                                                       | ** ** | ** **                            | ** ** | ** **                  | ** ** |
|                                                                             |       |                                  |       |                        |       |
| **ASSETS:**                                                                      |       |                                  |       |                        |       |
| Equity in  commodity futures trading accounts:                                   |       |                                  |       |                        |       |
| Cash                                                                             |       | $                                     | 38,776,297 |                        | $          | 30,348,029 |   |
| Net unrealized  profit on open contracts                                         |       | 3,137,961                             |       | 638,884                     |       |
| Cash                                                                             |       | 147,548                               |       | 18,796                      |       |
| Accrued interest                                                                 |       | 140,896                               |       | 104,310                     |       |
|                                                                             |       |                                  |       |                        |       |
| **TOTAL  ASSETS**                                                                |       | $                                     | 42,202,702 |                        | $          | 31,110,019 |   |
|                                                                             |       |                                  |       |                        |       |
| **LIABILITIES  AND MEMBERS’ CAPITAL:**                                      |       |                                  |       |                        |       |
| LIABILITIES:                                                                     |       |                                  |       |                        |       |
| Brokerage  commissions payable                                                   |       | $                                     | 24,850     |                        | $          | 15,491 |   |
| Management fee  payable                                                          |       | 70,083                                |       | 50,943                      |       |
| Sponsor’s fee  payable                                                      |       | 65,228                                |       | 43,565                      |       |
| Performance fee  payable                                                         |       | 509,305                               |       | 422,270                     |       |
| Redemptions  payable                                                             |       | 3,385,884                             |       | 37,220                      |       |
| Initial offering  costs payable                                                  |       | 57,020                                |       | 60,707                      |       |
| Other payables                                                                   |       | 44,057                                |       | 75,170                      |       |
|                                                                             |       |                                  |       |                        |       |
| Total  liabilities                                                               |       | 4,156,427                             |       | 705,366                     |       |
|                                                                             |       |                                  |       |                        |       |
| MEMBERS’  CAPITAL:                                                          |       |                                  |       |                        |       |
| Sponsor’s  Interest (20,647 and 20,647 Units issued and outstanding)        |       | 22,991                                |       | 21,954                      |       |
| Members’  Interest (34,220,666 and 28,535,392 Units issued and outstanding) |       | 38,023,284                            |       | 30,382,699                  |       |
|                                                                             |       |                                  |       |                        |       |
| Total members’  capital                                                     |       | 38,046,275                            |       | 30,404,653                  |       |
|                                                                             |       |                                  |       |                        |       |
| **TOTAL  LIABILITIES AND MEMBERS’ CAPITAL**                                 |       | $                                     | 42,202,702 |                        | $          | 31,110,019 |   |
|                                                                             |       |                                  |       |                        |       |
| **NET  ASSET VALUE PER UNIT (Note 2)**                                           |       |                                  |       |                        |       |

 

See notes to financial Statements.

 

2

----

 

ML ASPECT FUTURESACCESSLLC

(a DelawareLimited Liability Company)

 

STATEMENT OF INCOME

(unaudited)

 
| ** **                                    | ** ** | **For th****e three  months ended  March 31,  2006** | ** ** |
|-----------------------------------------------|------------|--------------------------------------------------------------------------|------------|
| **TRADING  PROFITS (LOSSES):**                |       |                                                                     |       |
|                                          |       |                                                                     |       |
| Realized                                      |       | $                                                                        | (44,496    | ) |
| Change in  unrealized                         |       | 2,499,078                                                                |       |
| Brokerage  commissions                        |       | (49,539                                                                  | )          |
|                                          |       |                                                                     |       |
| Total trading  profits                        |       | 2,405,043                                                                |       |
|                                          |       |                                                                     |       |
| **INVESTMENT  INCOME:**                       |       |                                                                     |       |
| Interest                                      |       | 368,905                                                                  |       |
|                                          |       |                                                                     |       |
| **EXPENSES:**                                 |       |                                                                     |       |
| Management fee                                |       | 186,694                                                                  |       |
| Sponsor’s fee                            |       | 167,768                                                                  |       |
| Performance fee                               |       | 509,305                                                                  |       |
| Other                                         |       | 37,040                                                                   |       |
|                                          |       |                                                                     |       |
| Total expenses                                |       | 900,807                                                                  |       |
|                                          |       |                                                                     |       |
| **NET  INVESTMENT LOSS**                      |       | (531,902                                                                 | )          |
| ** **                                    |       |                                                                     |       |
| **NET  INCOME**                               |       | $                                                                        | 1,873,141  |   |
|                                          |       |                                                                     |       |
| **NET  INCOME PER UNIT:**                     |       |                                                                     |       |
|                                          |       |                                                                     |       |
| Weighted average  number of Units outstanding |       |                                                                     |       |
| Class A                                       |       | 2,535,090                                                                |       |
| Class C                                       |       | 19,981,665                                                               |       |
| Class D                                       |       | 3,075,392                                                                |       |
| Class I                                       |       | 6,577,731                                                                |       |
|                                          |       |                                                                     |       |
| Net income per  weighted average Unit         |       |                                                                     |       |
| Class A                                       |       | $                                                                        | 0.0601     |   |
| Class C                                       |       | $                                                                        | 0.0549     |   |
| Class D                                       |       | $                                                                        | 0.0889     |   |
| Class I                                       |       | $                                                                        | 0.0533     |   |

 

See notes to financial Statements.

 

3

----

 

ML ASPECTFUTURESACCESS LLC

(a Delaware LimitedLiability Company)

 

STATEMENT OFCHANGES IN MEMBERS’ CAPITAL

For the threemonths ended March 31, 2006

(unaudited)

 
| ** **                  | ** ** | **Members’ Capital  December 31, 2005** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net Income** | ** ** | **Members’ Capital  March 31, 2006** | ** ** |
|-----------------------------|------------|-------------------------------------------------------------|------------|-------------------|------------|-----------------|------------|---------------------|------------|----------------------------------------------------------|------------|
|                        |       |                                                        |       |              |       |            |       |                |       |                                                     |       |
| Class A                     |       | 2,099,133                                                   |       | 1,023,386         |       | (305,786        | )          | —              |       | 2,816,733                                                |       |
| Class C                     |       | 15,745,021                                                  |       | 7,998,341         |       | (594,503        | )          | —              |       | 23,148,859                                               |       |
| Class D                     |       | 4,742,754                                                   |       | 985,670           |       | (4,371,011      | )          | —              |       | 1,357,413                                                |       |
| Class I                     |       | 5,948,484                                                   |       | 949,177           |       | —          |       | —              |       | 6,897,661                                                |       |
|                        |       |                                                        |       |              |       |            |       |                |       |                                                     |       |
| Total Members’  Units  |       | 28,535,392                                                  |       | 10,956,574        |       | (5,271,300      | )          | —              |       | 34,220,666                                               |       |
|                        |       |                                                        |       |              |       |            |       |                |       |                                                     |       |
| Class A                     |       | 10,319                                                      |       | —            |       | —          |       | —              |       | 10,319                                                   |       |
| Class C                     |       | 10,328                                                      |       | —            |       | —          |       | —              |       | 10,328                                                   |       |
| Class D                     |       | —                                                      |       | —            |       | —          |       | —              |       | —                                                   |       |
| Class I                     |       | —                                                      |       | —            |       | —          |       | —              |       | —                                                   |       |
|                        |       |                                                        |       |              |       |            |       |                |       |                                                     |       |
| Total Sponsor’s  Units |       | 20,647                                                      |       | —            |       | —          |       | —              |       | 20,647                                                   |       |

 

See notes to financial Statements.

 

4

----

 

ML ASPECTFUTURESACCESS LLC

(a DelawareLimited Liability Company)

 

STATEMENT OFCHANGES IN MEMBERS’ CAPITAL

For the three monthsended March 31, 2006

(unaudited)

 
| ** **                     | ** ** | **Members’ Capital  December 31, 2005** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net Income** | ** ** | **Members’ Capital  March 31, 2006** | ** ** |
|--------------------------------|------------|-------------------------------------------------------------|------------|-------------------|------------|-----------------|------------|---------------------|------------|----------------------------------------------------------|------------|
| Class A                        |       | $                                                           | 2,233,102  |              | $          | 1,099,609       |       | $                   | (340,740   | )                                                        | $          | 151,815 |   | $ | 3,143,786 |   |
| Class C                        |       | 16,664,400                                                  |       | 8,529,844         |       | (642,349        | )          | 1,096,446           |       | 25,648,341                                               |       |
| Class D                        |       | 5,186,047                                                   |       | 1,079,998         |       | (4,979,748      | )          | 273,326             |       | 1,559,623                                                |       |
| Class I                        |       | 6,299,150                                                   |       | 1,021,867         |       | —          |       | 350,517             |       | 7,671,534                                                |       |
|                           |       |                                                        |       |              |       |            |       |                |       |                                                     |       |
| Total Members’  Interests |       | $                                                           | 30,382,699 |              | $          | 11,731,318      |       | $                   | (5,962,837 | )                                                        | $          | 1,872,104 |   | $ | 38,023,284 |   |
|                           |       |                                                        |       |              |       |            |       |                |       |                                                     |       |
| Class A                        |       | $                                                           | 11,001     |              | $          | —          |       | $                   | —     |                                                     | $          | 533 |   | $ | 11,534 |   |
| Class C                        |       | 10,953                                                      |       | —            |       | —          |       | 504                 |       | 11,457                                                   |       |
| Class D                        |       | —                                                      |       | —            |       | —          |       | —              |       | —                                                   |       |
| Class I                        |       | —                                                      |       | —            |       | —          |       | —              |       | —                                                   |       |
|                           |       |                                                        |       |              |       |            |       |                |       |                                                     |       |
| Total Sponsor’s  Interest |       | $                                                           | 21,954     |              | $          | —          |       | $                   | —     |                                                     | $          | 1,037 |   | $ | 22,991 |   |
|                           |       |                                                        |       |              |       |            |       |                |       |                                                     |       |   |   |   |   |   |
| Total Members’  Capital   |       | $                                                           | 30,404,653 |              | $          | 11,731,318      |       | $                   | (5,962,837 | )                                                        | $          | 1,873,141 |   | $ | 38,046,275 |   |

 

See notes to financial Statements.

 

5

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ML ASPECT FUTURESACCESSLLC

(a DelawareLimited Liability Company)

 

NOTES TO FINANCIALSTATEMENTS

(unaudited)

 

1.     SUMMARY OFSIGNIFICANT ACCOUNTING POLICIES

 

In the opinion ofmanagement, the financial statements contain all adjustments necessary topresent fairly the financial position of ML Aspect FuturesAccess LLC (the “Fund”)as of March 31, 2006, and the results of its operations for the three monthsended March 31, 2006.  However, theoperating results for the interim periods may not be indicative of the resultsfor the full year. The Fund commenced trading activities on April 1, 2005. Thereforecomparative results for the interim period ending March 31, 2005 are notapplicable.

 

Certaininformation and footnote disclosures normally included in annual financial statementsprepared in accordance with accounting principles generally accepted in theUnited States of America (“US GAAP”) have been omitted.  It is suggested that these financialstatements be read in conjunction with the financial statements and notes theretoincluded in the Fund’s Annual Report on Form 10-K filed with the Securities andExchange 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 VALUEPER UNIT

 

For financialreporting purposes, in conformity with US GAAP, the Fund deducted the totalinitial offering costs at inception from Members’ Capital for purposes ofdetermining Net Asset Value.  For allother purposes, including computing Net Asset Value for purposes of membersubscription and redemption activity, such costs are amortized over 60 months.Consequently, the Net Asset Value and Net Asset Value per Unit of the differentClasses for financial reporting purposes and for all other purposes are asfollows:

 

At March 31, 2006the 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    |       | $                             | 3,159,516  |                     | $          | 3,155,320                                        |       | 2,827,052 |   | $ | 1.1176 |   | $ | 1.1161 |   |
| Class C    |       | 25,690,920                    |       | 25,659,798               |       | 23,159,187                                       |       | $ | 1.1093 |   | $ | 1.1080 |   |
| Class D    |       | 1,569,462                     |       | 1,559,623                |       | 1,357,413                                        |       | $ | 1.1562 |   | $ | 1.1490 |   |
| Class I    |       | 7,683,397                     |       | 7,671,534                |       | 6,897,661                                        |       | $ | 1.1139 |   | $ | 1.1122 |   |
|       |       | $                             | 38,103,295 |                     | $          | 38,046,275                                       |       | 34,241,313 |   |   |   |   |   |

 

6

----

 

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

 
| ** ** | ** ** | **Net Asset Value** | ** ** | ** **    | ** ** | **Net Asset Value per Unit** | ** ** |
|------------|------------|---------------------|------------|---------------|------------|------------------------------|------------|
| ** ** | ** ** | **All Other**       | ** ** | **Financial** | ** ** | **Number of**                | ** ** | **All Other** | ** ** | **Financial** | ** ** |
| ** ** | ** ** | **Purposes**        | ** ** | **Reporting** | ** ** | **Units**                    | ** ** | **Purposes** | ** ** | **Reporting** | ** ** |
| Class A    |       | $                   | 2,248,584  |          | $          | 2,244,103                    |       | 2,109,452 |   | $ | 1.0660 |   | $ | 1.0638 |   |
| Class C    |       | $                   | 16,708,648 |          | $          | 16,675,353                   |       | 15,755,349 |   | $ | 1.0605 |   | $ | 1.0584 |   |
| Class D    |       | $                   | 5,196,400  |          | $          | 5,186,047                    |       | 4,742,754 |   | $ | 1.0957 |   | $ | 1.0935 |   |
| Class I    |       | $                   | 6,311,728  |          | $          | 6,299,150                    |       | 5,948,484 |   | $ | 1.0611 |   | $ | 1.0590 |   |
|       |       | $                   | 30,465,360 |          | $          | 30,404,653                   |       | 28,556,039 |   |   |   |   |   |

 

3.       FAIR VALUE ANDOFF-BALANCE SHEET RISK

 

The nature of thisFund has certain risks, which cannot be presented on the financialstatements.  The following summarizessome 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 result in changes in the Fund’s net unrealized profit on suchderivative 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.

 

Sponsor of theFund, Merrill Lynch Alternative Investments (“MLAI”), has procedures in placeintended to control market risk exposure, although there can be no assurancethat they will, in fact, succeed in doing so. These procedures focus primarily on monitoring the trading of AspectCapital  Limited (“Aspect”), the tradingadvisor, calculating the Net Asset Value of the Fund as of the close of businesson each day 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 Aspect toreallocate positions in an attempt to avoid over-concentrations.  However, such interventions are expected tobe unusual.  It is expected that MLAI’sbasic risk control procedures will consist of the ongoing process of advisormonitoring, with the market risk controls being applied by Aspect 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 the collectivecredit (in some cases limited in amount, in some cases not) of the members ofthe exchange is pledged to support the financial integrity of theexchange.  In over-the-countertransactions, on the other hand, traders must rely solely on the credit oftheir respective individual counterparties. Margins, which may be subject to loss in the event of a default, aregenerally required in exchange trading, and counterparties may also requiremargin in the over-the-counter markets.

 

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 itsnormal course of business, enters into various contracts, with Merrill LynchPierce Fenner & Smith Inc. (“MLPF&S”) acting as its commoditybroker.  Pursuant to the brokeragearrangement with MLPF&S (which includes a netting arrangement), to theextent that such trading results in receivables from and payables toMLPF&S, these receivables and payables are offset and reported as a netreceivable or payable and included in equity from commodity futures tradingaccounts 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.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|
| 2006       |       | $        | 1.0832     |     | $          | 1.0733   |       | $ | 1.1176 |   |
|            |            |          |            |          |            |          |            |  |  |  |

 

Class C

| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|
| 2006       |       | $        | 1.0768     |     | $          | 1.0662   |       | $ | 1.1093 |   |
|            |            |          |            |          |            |          |            |  |  |  |

 

Class D

| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|
| 2006       |       | $        | 1.1148     |     | $          | 1.1086   |       | $ | 1.1563 |   |
|            |            |          |            |          |            |          |            |  |  |  |

 

Class I

| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|
| 2006       |       | $        | 1.0786     |     | $          | 1.0690   |       | $ | 1.1139 |   |
|            |            |          |            |          |            |          |            |  |  |  |

 

----

(1) Represents Net AssetValue per unit for all other purposes as discussed in Note 2 to the FinancialStatements.

 

Performance Summary

 

January 1, 2006 to March31, 2006

 

The Fund posted an overall gain for the quarter with stock indices,metals and interest rate sectors posted gains while agricultural, currencies,and energy sectors posted losses.

 

Stock indices were the most profitable for the Fund. Stock indicescontinued their recent rally to the benefit of the Fund, despite a sharpcorrection the beginning of the first quarter following the Japanese Livedoorscandal. U.S. and global indices reacted to strong mid-and small-cap U.S.corporate results, and sentiment regarding the rate cycle, while Europe waslifted by large cap merger activity and high commodity prices. The quarterended with most major stock markets still experiencing an uptrend, driven bycontinued optimistic sentiment around the markets.

 

The metals sector was also profitable for this Fund. Strong profitscame from metals as bullish trends continued through the beginning of the firstquarter. Prices were driven higher by global industrial growth set againstproducers’ capacity problems. Aluminum had large gains as smelters closed inChina and Switzerland, while zinc was helped on its way by decreasinginventories and South American labor disputes. Metal prices continued to risethrough the end of the quarter driven by increasingly strong demand whichbenefited the Fund’s long positions.

 

The interest rate sector posted gains for the Fund. The beginning ofthe quarter found the best single market was in the interest rates sector,where the short in the Eurodollar profited from market expectations of furtherU.S. rate hikes.

 

The currency sector posted a loss for this Fund. Bonds contributed aloss to the Fund, with their recent meager rally extinguished by a sharpcorrection in the beginning of the quarter sparked by a strong

 

9

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German business confidence survey, a closing of European/U.S. interestrate differentials and a second month of Japanese price increases. However, theFund profited mid-quarter from the weakening Swedish krona after bearishSwedish inflation figures, and from the strengthening U.S. dollar. The Japaneseyen presented problems, however, as it strengthened amid speculation thatJapanese rates might be raised sooner than expected.  The quarter ended with bonds posting profitsfor the Fund, due to profits from the short position in Japanese ten year bonds.The Bank of Japan’s decision on March 9, 2006 to drop its policy of “quantitativeeasing” caused yields to rise sharply. Profits were also posted from theprogram’s short position in the Euribor. The fall in price was triggered byvarious data releases fuelling expectations of further rate hikes from theEuropean Central Bank.

 

The agricultural sector posted losses for the Fund. The agriculturalmarket was soft which attributed to the difficult trading environment resultingin the sector posting losses for the Fund.

 

The energy sector was the least profitable for the Fund. Long positionsin crude oil suffered heavily early in mid-quarter wherein the price dropped bynearly U.S. $10/bbl amid bountiful inventory figures, before recoveringsomewhat following violence in Nigeria and an attempted refinery bombing inSaudi Arabia. However, the short positions in natural gas produced good returnsas the price continued it’s strong downwards trend, despite the short cold snapin North America. The quarter ended with a disappointment to the Fund, whereinshort positions in unleaded gasoline and crude oil were affected bygeopolitical concerns driving prices higher.

 

Item 3.    Quantitative andQualitative Disclosures About Market Risk

 

Not applicable

 

Item4. Controls and Procedures

 

Merrill LynchAlternative Investments LLC, the Sponsor of ML Aspect FuturesAccess LLC (the “Fund”),with the participation of the Sponsor’s Chief Executive Officer and the ChiefFinancial Officer, has evaluated the effectiveness of the design and operationof its disclosure controls and procedures with respect to the Fund as of theend of the period of this quarterly report, and, based on this evaluation, hasconcluded that these disclosure 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.

 

10

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PART II - OTHER INFORMATION

 

Item 1.            LegalProceedings

 

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

 

Item 2.            Changesin Securities and Use of Proceeds

 

(a)   None.

(b)   None.

(c)   None.

(d)   None.

 

Item 3.            DefaultsUpon Senior Securities

 

None.

 

Item 4.            Submissionof Matters to a Vote of Security Holders

 

None.

 

Item 5.            OtherInformation

 

None.

 

11

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

 

Issuance toaccredited investors pursuant to Regulation D and Section 4(6) under theSecurities Act.  The selling agent of thefollowing Class of Units was MLPF&S.

 

CLASS A

 
| ** ** | ** ** | **Subscription  Amount** | ** ** | **Units** | ** ** | **NAV (1)** | ** ** |
|------------|------------|--------------------------|------------|-----------|------------|------------------|------------|
| Jan-06     |       | 193,045                  |       | 181,093   |       | 1.0660           |       |
| Feb-06     |       | 276,896                  |       | 255,628   |       | 1.0832           |       |
| Mar-06     |       | 629,668                  |       | 586,665   |       | 1.0733           |       |
| Apr-06     |       | 666,891                  |       | 596,717   |       | 1.1176           |       |

 

CLASS C

 
| ** ** | ** ** | **Subscription  Amount** | ** ** | **Subscription  Units** | ** ** | **NAV (1)** | ** ** |
|------------|------------|--------------------------|------------|-------------------------|------------|------------------|------------|
| Jan-06     |       | 2,522,952                |       | 2,379,021               |       | 1.0605           |       |
| Feb-06     |       | 1,581,956                |       | 1,469,127               |       | 1.0768           |       |
| Mar-06     |       | 4,424,936                |       | 4,150,193               |       | 1.0662           |       |
| Apr-06     |       | 5,220,884                |       | 4,706,467               |       | 1.1093           |       |

 

CLASS D

 
| ** ** | ** ** | **Subscription  Amount** | ** ** | **Units** | ** ** | **NAV (1)** | ** ** |
|------------|------------|--------------------------|------------|-----------|------------|------------------|------------|
| Jan-06     |       | 1,079,998                |       | 985,670   |       | 1.0957           |       |
| Feb-06     |       | —                   |       | —    |       | 1.1148           |       |
| Mar-06     |       | —                   |       | —    |       | 1.1562           |       |
| Apr-06     |       | 6,196,498                |       | 5,358,902 |       | 1.1563           |       |

 

CLASS I

 
| ** ** | ** ** | **Amount** | ** ** | **Units** | ** ** | **NAV (1)** | ** ** |
|------------|------------|------------|------------|-----------|------------|------------------|------------|
| Jan-06     |       | 70,998     |       | 66,910    |       | 1.0611           |       |
| Feb-06     |       | 867,997    |       | 804,744   |       | 1.0786           |       |
| Mar-06     |       | 82,872     |       | 77,523    |       | 1.0690           |       |
| Apr-06     |       | 959,261    |       | 861,173   |       | 1.1139           |       |

 

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(1)Net Asset Value for all other purposes

 

Item 6.            Exhibitsand Reports on Form 8-K.

 

(a)   Exhibits.

 

The followingexhibits are incorporated by reference or are filed herewith to this QuarterlyReport on Form 10-Q:

 

31.01 and

31.02               Rule13a-14(a)/15d-14(a) Certifications

 

Exhibit 31.01

and 31.02:      Arefiled herewith.

 

32.01 and

32.02               Section1350 Certifications

 

Exhibit 32.01

and 32.02       Arefiled herewith.

(b) Reports onForm 8-K.

 

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

 

12

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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 ASPECT 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) |

 

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