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UNITED STATES SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-Q
(Mark One)
(X) QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
ACT OF 1934
For the quarterly period ended September 30, 2002
------------------
OR
( ) 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 33-22864
ML FUTURES INVESTMENTS L.P.
---------------------------
(Exact Name of Registrant as
specified in its charter)
Delaware 36-3590615
- ------------------------------- --------------
(State or other jurisdiction of (IRS Employer Identification No.)
incorporation or organization)
c/o MLIM Alternative Strategies LLC
Princeton Corporate Campus
800 Scudders Mill Road - Section 2G
Plainsboro, New Jersey 08536
----------------------------
(Address of principal executive offices)
(Zip Code)
609-282-6996
--------------------------------------------------
(Registrant's telephone number, including area code)
Indicate by check mark whether the registrant (1) has filed all
reports required to be filed by Section 13 or 15 (d) of the Securities
Exchange Act of 1934 during the preceding 12 months (or for such shorter
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
---- ---
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PART I - FINANCIAL INFORMATION
Item 1. Financial Statements
ML FUTURES INVESTMENTS L.P.
---------------------------
(a Delaware Limited Partnership)
------------------------------
STATEMENTS OF FINANCIAL CONDITION
---------------------------------
<Table>
<Caption>
September 30, December 31,
2002 2001
(unaudited)
-------------- -------------
ASSETS
- ------
Investment in MM LLC $ 12,266,633 $ 12,802,184
Receivable from investment in MM LLC 111,275 93,869
--------------- -------------
TOTAL $ 12,377,908 $ 12,896,053
=============== =============
LIABILITY AND PARTNERS' CAPITAL
- -------------------------------
Redemptions payable $ 111,275 $ 93,869
--------------- -------------
Total liabilities 111,275 93,869
--------------- -------------
PARTNERS' CAPITAL:
General Partner (540 and 540 Units) 143,066 136,997
Limited Partners (45,760 and 49,922 Units) 12,123,567 12,665,187
--------------- -------------
Total partners' capital 12,266,633 12,802,184
--------------- -------------
TOTAL $ 12,377,908 $ 12,896,053
=============== =============
NET ASSET VALUE PER UNIT
(Based on 46,300 and 50,462 Units outstanding) $ 264.94 $ 253.70
=============== =============
</Table>
See notes to financial statements.
2
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ML FUTURES INVESTMENTS L.P.
---------------------------
(a Delaware Limited Partnership)
------------------------------
STATEMENTS OF OPERATIONS
------------------------
(unaudited)
<Table>
<Caption>
For the three For the three For the nine For the nine
months ended months ended months ended months ended
September 30, September 30, September 30, September 30,
2002 2001 2002 2001
----------------- ----------------- ----------------- -----------------
REVENUES:
Income from investment in MM LLC $ 687,529 $ 155,507 $ 497,603 $ 282,065
----------------- ----------------- ----------------- -----------------
NET INCOME $ 687,529 $ 155,507 $ 497,603 $ 282,065
================= ================= ================= =================
NET INCOME PER UNIT:
Weighted average number of General Partner
and Limited Partner Units outstanding 47,184 52,026 48,645 54,029
================= ================= ================= =================
Net income per weighted average
General Partner and Limited Partner Unit $ 14.57 $ 2.99 $ 10.23 $ 5.22
================= ================= ================= =================
</Table>
See notes to financial statements.
3
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ML FUTURES INVESTMENTS L.P.
---------------------------
(a Delaware Limited Partnership)
------------------------------
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
------------------------------------------
For the nine months ended September 30, 2002 and 2001
-----------------------------------------------------
(unaudited)
<Table>
<Caption>
Units General Partner Limited Partners Total
---------------- ----------------- ----------------- -----------------
PARTNERS' CAPITAL,
December 31, 2000 56,721 $ 154,104 $ 14,106,785 $ 14,260,889
Net income - 3,246 278,819 282,065
Redemptions (5,226) - (1,324,777) (1,324,777)
---------------- ----------------- ----------------- -----------------
PARTNERS' CAPITAL,
September 30, 2001 51,495 $ 157,350 $ 13,060,827 $ 13,218,177
================ ================= ================= =================
PARTNERS' CAPITAL,
December 31, 2001 50,462 $ 136,997 $ 12,665,187 $ 12,802,184
Net income - 6,069 491,534 497,603
Redemptions (4,162) - (1,033,154) (1,033,154)
---------------- ----------------- ----------------- -----------------
PARTNERS' CAPITAL,
September 30, 2002 46,300 $ 143,066 $ 12,123,567 $ 12,266,633
================ ================= ================= =================
</Table>
See notes to financial statements.
4
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ML FUTURES INVESTMENTS L.P.
---------------------------
(a Delaware Limited Partnership)
------------------------------
NOTES TO FINANCIAL STATEMENTS
-----------------------------
(unaudited)
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
These financial statements have been prepared without audit. In
the opinion of management, the financial statements contain all
adjustments (consisting of only normal recurring adjustments)
necessary to present fairly the financial position of ML Futures
Investments L.P. (the "Partnership") as of September 30, 2002,
and the results of its operations for the three and nine months
ended September 30, 2002 and 2001. However, the operating results
for the interim periods may not be indicative of the results for
the full year.
Certain information and footnote disclosures normally included in
annual financial statements prepared in conformity with
accounting principles generally accepted in the United States of
America have been omitted. It is suggested that these financial
statements be read in conjunction with the financial statements
and notes thereto included in the Partnership's Annual Report on
Form 10-K filed with the Securities and Exchange Commission for the
year ended December 31, 2001.
2. INVESTMENTS
As of September 30, 2002 and December 31, 2001, the Partnership had
an investment in ML Multi-Manager Portfolio ("MM LLC") of
$12,266,633 and $12,802,184, respectively. As of September 30,
2002, and December 31, 2001, the Partnership's percentage ownership
share of MM LLC was 6.81% and 6.35%, respectively.
Total revenues and fees with respect to the Partnership's
investment are set forth as follows:
<Table>
<Caption>
For the three months For the three months For the nine months For the nine months
ended September 30, ended September 30, ended September 30, ended September 30,
2002 2001 2002 2001
(Unaudited) (Unaudited) (Unaudited) (Unaudited)
-------------------- -------------------- -------------------- --------------------
Realized profit $ 1,227,750 $ 277,214 $ 1,292,787 $ 1,752,496
Change in unrealized profit (loss) (138,735) 183,136 139,954 (656,251)
Interest income 64,702 109,913 195,265 404,929
Brokerage commissions 256,447 294,119 788,156 888,071
Administrative fees 7,328 8,403 22,519 25,373
Profit shares 202,413 112,234 319,728 305,665
-------------------- -------------------- -------------------- --------------------
Income from investment $ 687,529 $ 155,507 $ 497,603 $ 282,065
==================== ==================== ==================== ====================
</Table>
5
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Condensed statements of financial condition and statements of operations for
MM LLC are set forth as follows:
<Table>
<Caption>
September 30, December 31,
2002 2001
(unaudited)
------------------------- -------------------------
Assets $ 189,596,747 $ 207,788,190
========================= =========================
Liabilities $ 9,508,371 $ 6,324,407
Members' Capital 180,088,376 201,463,783
------------------------- -------------------------
Total $ 189,596,747 $ 207,788,190
========================= =========================
<Caption>
For the three months For the three months For the nine months For the nine months
ended September 30, ended September 30, ended September 30, ended September 30,
2002 2001 2002 2001
(Unaudited) (Unaudited) (Unaudited) (Unaudited)
-------------------- -------------------- -------------------- --------------------
Revenues $ 9,813,392 $ 7,879,447 $ 13,871,769 $ 21,504,537
Expenses 3,513,739 4,976,570 8,472,745 14,968,692
-------------------- -------------------- -------------------- --------------------
Net Income $ 6,299,653 $ 2,902,877 $ 5,399,024 $ 6,535,845
==================== ==================== ==================== ====================
</Table>
3. FAIR VALUE AND OFF-BALANCE SHEET RISK
The nature of this Partnership has certain risks, which can not be
presented in the financial statements. The following summarizes some of
those risks.
Market Risk
-----------
Derivative financial instruments involve varying degrees of
off-balance sheet market risk. Changes in the level or volatility of
interest rates, foreign currency exchange rates or the market values of
the underlying financial instruments or commodities underlying such
derivative instruments frequently resulted in changes in the
Partnership's net unrealized profit (loss) on such derivative
instruments as reflected in the Statements of Financial Condition or,
with respect to Partnership assets invested in MM LLC, the net
unrealized profit as reflected in the Statements of Financial Condition
of the MM LLC. The Partnership's exposure to market risk is influenced
by a number of factors, including the relationships among the derivative
instruments held by the Partnership and MM LLC, as well as the
volatility and liquidity of such markets in which such derivative
instruments are traded.
MLIM Alternative Strategies LLC ("MLIM AS LLC") has procedures in place
intended to control market risk exposure, although there can be no
assurance that they will, in fact, succeed in doing so. These procedures
focus primarily on monitoring the trading of the Advisors selected from
time to time for the Partnership or MM LLC, and include calculating the
Net Asset Value of the Advisors' respective Partnership accounts and MM
LLC accounts as of the close of business on each day and reviewing
outstanding positions for over-concentrations both on an
Advisor-by-Advisor and on an overall Partnership basis. While MLIM AS
LLC does not itself intervene in the markets to hedge or diversify the
Partnership's market exposure, MLIM AS LLC may urge Advisors to
reallocate positions, or itself reallocate Partnership assets, through
MM LLC, among Advisors (although typically only as of the end
6
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of a month) in an attempt to avoid over-concentrations. However, such
interventions are unusual. Except in cases in which it appears that an
Advisor has begun to deviate from past practice or trading policies or to
be trading erratically, MLIM AS LLC's basic risk control procedures
consist simply of the ongoing process of advisor monitoring and
selection with the market risk controls being applied by the Advisors
themselves.
Credit Risk
-----------
The risks associated with exchange-traded contracts are typically
perceived to be less than those associated with over-the-counter
(non-exchange-traded) transactions, because exchanges typically (but not
universally) provide clearinghouse arrangements in which the collective
credit (in some cases limited in amount, in some cases not) of the
members of the exchange is pledged to support the financial integrity of
the exchange. In over-the-counter transactions, on the other hand,
traders must rely solely on the credit of their respective individual
counterparties. Margins, which may be subject to loss in the event of a
default, are generally required in exchange trading, and counterparties
may require margin in the over-the-counter markets.
The Partnership, through MM LLC, has credit risk in respect of its
counterparties and brokers, but attempts to mitigate this risk by
dealing exclusively with Merrill Lynch entities as clearing brokers.
The Partnership, through MM LLC, in its normal course of business,
enters into various contracts, with Merrill Lynch, Pierce, Fenner &
Smith Inc. ("MLPF&S") acting as its commodity broker. Pursuant to the
brokerage agreement with MLPF&S (which includes a netting arrangement),
to the extent that such trading results in receivables from and payables
to MLPF&S, these receivables and payables are offset and reported as a
net receivable or payable in the financial statements of MM LLC in the
Equity in commodity futures trading accounts in the Statements of
Financial Condition.
Item 2. Management's Discussion and Analysis of
Financial Condition and Results of Operations
MONTH-END NET ASSET VALUE PER UNIT
<Table>
<Caption>
---------------------------------------------------------------------------------------
JAN. FEB. MAR. APR. MAY JUN. JUL. AUG. SEP.
---------------------------------------------------------------------------------------
2001 $249.58 $251.97 $263.85 $256.16 $253.51 $253.68 $253.09 $254.51 $256.69
---------------------------------------------------------------------------------------
2002 $246.27 $239.70 $243.32 $239.74 $242.38 $250.38 $254.47 $261.38 $264.94
---------------------------------------------------------------------------------------
</Table>
Performance Summary
All of the Partnership's assets are invested in MM LLC. The Partnership
recognizes trading profits or losses as an investor in MM LLC. The
following commentary describes the trading results of MM LLC.
JANUARY 1, 2002 to SEPTEMBER 30, 2002
-------------------------------------
January 1, 2002 to March 31, 2002
The energy sector was the only profitable trading strategy for the quarter.
Natural gas short positions were profitable as the positions benefited
from the mild weather in the United States. The sector experienced large
declines in February due to increased concerns of the health of world
economies. This lead to price instability. Gains were realized in March
in the physical commodity markets, as fears of increased conflicts in
the Middle East could potentially result in a shortage of oil supplies.
7
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Trading in stock indices resulted in losses for the quarter. Long equity
exposures suffered losses in choppy market conditions as profit
forecasts fell short and concern over the Enron accounting situation
deepened. Uncertainty in the global marketplace prevailed, making for
extremely difficult trading conditions. Long positions appreciated in
March, notably in Japan, Germany and France, but not enough to offset
earlier losses.
Conflicting economic reports was the cause for losses in the interest rate
sector. These reports prompted the Advisors to flip exposures from long
positions to short positions in most major international bond markets
during the quarter. European fixed income exposures posted losses under
particularly direction-less markets. Global bond prices declined on
growing optimism for a stronger economic outlook for the remainder of 2002.
Trading in the metals sector was down for the quarter. Short positions
in base metals were unsuccessful early on as base metals prices soared
on the hope that an economic recovery in the United States would boost
demand. Precious metal prices declined as the U.S. economy continued to
show signs of stabilizing and inflation concerns waned. Long gold
positioning generated gains as prices rose above $300 for the first time
in two years.
Currency trading resulted in losses for the Partnership. In January,
gains were generated in short Japanese yen positions as the Japanese yen
continued to depreciate against the U.S. dollar due to continued
deterioration of economic fundamentals in Japan. In February, all of the
futures traded currencies appreciated against the U.S. dollar, except
the Canadian dollar. March was a relatively volatile month for G-7
currencies. The U.S. dollar fell from 133 to 127.50 Japanese yen during
the first week, and then almost completely reversed the move by
month-end, causing losses.
Agricultural trading was the least successful strategy. During January and
February, coffee prices were in a downward trend. This trend sharply
reversed in March as reduced exports from Mexico and Central America
trimmed inventories of exchange-approved soybeans in U.S. warehouses. As
prices rose, the Partnership's short positions sustained losses.
April 1, 2002 to June 30, 2002
Profits resulting from trading in the currency sector provided the
Partnership with the majority of its gains in the second quarter. The
decline in the U.S. dollar continued through June unabated fueled by the
decline in the U.S. equity markets.
The interest rate sector was profitable for the Partnership despite its
slow start. Yields on major debt-instruments continued to decline. U.S.
fixed income markets have rallied sharply due to the flight-to-safety
effect as well as the conviction that the U.S. Federal Reserve will
raise rates later rather than sooner.
The agricultural commodities sector posted small gains for the quarter.
Strong gains were posted in livestock and grains in April as prices
trended downward. Soybean by-products positions also contributed to the
profits in this sector. The continued weakness in the U.S. dollar and
low stockpiles in grains and soybeans should aid in sustaining a price
rally in the summer months.
The metals sector sustained slight losses for the quarter. In June, the
uptrend in gold and silver reversed and losses were sustained on long
position eliminating profits earned earlier in the quarter.
8
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Energy futures experienced whipsaw markets and trading brought in losses
for the Partnership. The market was volatile during the quarter due to
continued turmoil in the Middle East.
Losses were experienced in the stock indices sector. The quarter began
with the stall of the appreciation in the U.S. and European equity
markets in April due to weak recovery expectations. The continued
erosion of confidence in the quarter about corporate earnings and the
timing of recovery caused both the U.S. and European markets to fall back.
July 1, 2002 to September 30, 2002
Results from the interest rate sector provided solid positive performance
for the Partnership. The yield curve on major debt instruments declined
throughout the quarter. This market environment was supported by the
increased risk aversion, the continued U.S. stock market decline and the
conflicting reports regarding the pace of the U.S. economic recovery.
The economic news from Europe also pointed to a weak recovery overseas.
Stock index futures also brought strong positive returns for the
quarter. The downward market trend created a good environment for the
short positions. Investors in the equity markets were still liquidating
equity exposure.
The energy sector pulled in positive performance despite choppy market
conditions throughout the quarter. Crude oil led the gains as continued
talk of military action against Iraq builds a risk premium into prices.
Agriculture commodities also had gains. Grains and soybeans rallied due to
weather and supply concerns. The summer drought produced expectations of a
reduced harvest this season. The sector returned some gains later in
September, as recent harvests were not as bad as was feared.
Metals produced gains this quarter, citing declines in precious and base
metals throughout the quarter due to liquidation pressures in the market.
Gold, however, had a weak rally during the second half of the quarter.
Currency trading was the only sector with overall losses. The sector was
choppy throughout the quarter making it difficult for any of the trend
following traders to lock onto a market trend.
The Partnership, as a member of a class of plaintiffs, received a
settlement payment in August relating to certain copper trades made by a
number of investors, including the Partnership, during a period in the
mid-1990s. Members of the class were those who purchased or sold Comex
copper futures or options contracts between June 24, 1993 and June 15,
1996. The amount of the settlement for the Partnership was $109,968,
which is included in the realized profit of the Partnership. The effect
of the settlement payment was included in the Partnership's performance
in August.
JANUARY 1, 2001 to SEPTEMBER 30, 2001
-------------------------------------
January 1, 2001 to March 31, 2001
Trading in the interest rate sector was highly profitable for the
Partnership during the quarter. Long positions in the Euro resulted in
gains in January. The impact of the weakening U.S. economy and the
Federal Reserve's move to cut interest rates was felt throughout the
interest rate futures market, as Euro futures contracts rose
dramatically since December 2000. Euro-yen and Euro-bund cross futures
trading produced gains for the sector.
9
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Agricultural trading was profitable despite losses sustained early in the
quarter. During January, the agricultural sector faced weak grain and
oilseed prices. Excellent growing weather in the U.S., Argentina and
Brazil, concerns about U.S. export potential and inventories at
historically high levels, kept the markets on the defensive. Contract
lows in cotton produced gains for short positions. The cotton market
sank to a 15-year low as a result of short supply and increased demand.
Potential increased planting, paired with a drop in demand, forced
prices lower.
Currency trading resulted in gains for the Partnership. Losses were
realized during January and February on long Euro and Swiss franc
trading. After rallying from a low of 82--83 cents to 96 cents, the Euro
fell back to the 90 cent level, despite strong fundamentals. This
resulted in losses for the Partnership's long positions. The sector
rebounded strongly in March on substantial gains from short Japanese yen
positions.
Trading in the metals markets was successful. Losses from short silver
positions were sustained in January as silver had a minor technical run
as it reached its four month high. Short silver positions were
profitable in February as silver prices reversed its earlier trend and
declined as the market was generally weak and on gold's failure to rally
weighed on the market. March was a volatile trading month as another
attempted gold rally failed, resulting in gains in short positions.
Stock index trading was moderately successful despite uncertainty in equity
markets. Short S&P 500 and NASDAQ positions resulted in gains as global
equity markets remain caught between negative news about earnings and
the potential positive effects of further monetary easing.
Energy trading was the only unprofitable sector during the quarter.
Natural gas prices pulled back in January after rallying during the last
few months, resulting in losses. Crude oil prices were driven lower by
both a seasonal downturn in global oil usage and heavier than normal
refinery maintenance work, reducing the demand. Short natural gas
positions were unprofitable in March on concerns over supply availability.
April 1, 2001 to June 30, 2001
Trading in agricultural commodities was profitable despite a sluggish
start to the quarter. The market for grains has been weak throughout the
beginning of 2001. Excellent crops in Argentina and Brazil and a good
start to the U.S. growing season has resulted in weakness in the grain
complex. Also, during the quarter, profits from short corn and cotton
positions outweighed losses from soybeans.
Stock index trading was profitable for the Partnership as long NASDAQ 100
positions outweighed losses from German DAX trading. Trading in S&P
contracts was successful despite continued volatility.
Trading in the energy sector was down slightly. Despite profitable
unleaded gas trading, losses were posted on long light crude oil and
heating oil positions. Crude prices fell due to increased total
inventories, stemming from the effects of crude oil stores rising more
than 42 million barrels over the last few months. The energy sector
faded from downside pressure from a slowing global economy, inventory
surplus and OPEC's decision to leave production levels unchanged.
Currency trading suffered losses, particularly in Euro and Japanese yen
positions. The further weakening of the Euro and Japanese yen displayed
how the global economy is not immune to the slowdown of the U.S.
economy. Gains were posted in the Canadian dollar at quarter end due to
a healthy trade surplus and a favorable short-term interest rate
differential.
10
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The metals sector performed poorly. Weakness in the Euro, a decline in the
Australian dollar to all time lows and producer and Central Bank selling
sent gold prices lower. Silver trading was volatile, as China's silver
exports have been high due to poor domestic demand, adversely affecting
prices.
Trading in the interest rate markets accounted for most of the
Partnership's trading losses for the quarter. Positions in Euro-bund
futures, three-month Euribor futures and U.S. ten-year notes were
unprofitable.
July 1, 2001 to September 30, 2001
Trading in the interest rate sector was very successful as significant
gains were realized throughout the quarter on Eurodollar positions.
These gains more than offset losses on U.S. Treasury and Japanese
ten-year bonds. Swiss franc short term interest rate contract trading
and short Sterling 500 positions offset losses on long Gilt positions in
September.
Metals trading was profitable throughout the quarter. Positions in
aluminum, copper, silver and nickel produced profits. Long gold
positions were profitable as investors flocked to gold for safety in the
aftermath of the terrorist attacks.
Stock index trading was also successful as the Partnership's various short
positions were profitable. Major indices in the world markets fell as
corporate earnings, in general, were poor and the global economic slump
would worsen as a result of the terrorist attacks.
Trading in the energy sector was moderately unsuccessful. The sector
continued to face downside pressure as in the prior months. Natural gas
prices fell as the heat wave in the Northeast dissipated. Oil prices
sank, as traders feared the attacks would not only cripple the airline
industry (a major consumer of oil), but would also trigger a global
economic recession, cutting the demand for oil. Agricultural trading was
unprofitable during the quarter. Early gains from coffee failed to
outpace losses from corn and short wheat positions. Grain prices rose in
July on concerns that hot and dry weather would cause lower 2001
production. Soybeans fell on fears of larger than expected crop outputs.
Cotton fell to a 15-year low due to abundant crops. Cattle fell to a
one-year low on demand concerns.
Trading in the currency markets was unprofitable. Losses were sustained
from Canadian dollar and Swiss franc positions early on. Short Japanese
yen positions were unprofitable in August. Long British pound positions
were profitable in September as the currency appreciated versus the U.S.
dollar on concerns over the negative economic implications from the
September 11 terrorist attacks.
Item 3. Quantitative and Qualitative Disclosures About Market Risk
Not applicable
Item 4. Controls and Procedures
MLIM Alternative Strategies LLC, the General Partner of ML Futures
Investments L.P., with the participation of the General Partner's Chief
Executive Officer and the Chief Financial Officer, has evaluated the
effectiveness of the design and operation of its disclosure controls and
procedures with respect to the Partnership within 90 days of the filing
date of this quarterly report, and, based on their evaluation, have
concluded that these disclosure controls and procedures are effective.
Additionally, there were no significant changes in the Partnership's
internal controls or in other factors that could significantly affect
these controls subsequent to the date of their evaluation, including any
corrective actions with regard to significant deficiencies and material
weaknesses.
11
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PART II - OTHER INFORMATION
Item 1. Legal Proceedings
There are no pending proceedings to which the Partnership or MLIM
AS LLC is a party.
Item 2. Changes in Securities and Use of Proceeds
(a) None.
(b) None.
(c) None.
(d) None.
Item 3. Defaults Upon Senior Securities
None.
Item 4. Submission of Matters to a Vote of Security Holders
None.
Item 5. Other Information
None.
Item 6. Exhibits and Reports on Form 8-K.
(a) EXHIBITS.
There are no exhibits required to be filed with this report.
(b) REPORTS ON FORM 8-K.
There were no reports on Form 8-K filed during the first nine
months of fiscal 2002.
12
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.
ML FUTURES INVESTMENTS L.P.
By: MLIM ALTERNATIVE STRATEGIES LLC
(General Partner)
Date: November 14, 2002 By /s/ FABIO P. SAVOLDELLI
-----------------------
Fabio P. Savoldelli
Chairman, Chief Executive Officer
and Manager
(Principal Executive Officer)
Date: November 14, 2002 By /s/ MICHAEL L. PUNGELLO
-----------------------
Michael L. Pungello
Vice President, Chief Financial
Officer and Treasurer
(Principal Financial and
Accounting Officer)
13
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EXHIBIT 99
Form of Certification Pursuant to Section 1350 of Chapter 63
------------------------------------------------------------
of Title 180 of the United States Code
--------------------------------------
I, Fabio P. Savoldelli, certify that:
1. I have reviewed this quarterly report on Form 10-Q of ML Futures
Investments L.P.;
2. Based on my knowledge, this quarterly report does not contain any untrue
statement of a material fact or omit to state a material fact necessary to make
the statements made, in light of the circumstances under which such statements
were made, not misleading with respect to the period covered by this quarterly
report;
3. Based on my knowledge, the financial statements, and other financial
information included in this quarterly report, fairly present in all material
respects the financial condition, results of operations and cash flows of the
registrant as of, and for, the periods presented in this quarterly report;
4. The registrant's other certifying officers and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined in
Exchange Act Rules 13a-14 and 15d-14) for the registrant and we have:
a) designed such disclosure controls and procedures to ensure that material
information relating to the registrant, is made known to us by others
within those entities, particularly during the period in which this
quarterly report is being prepared;
b) evaluated the effectiveness of the registrant's disclosure controls and
procedures as of a date within 90 days prior to the filing date of this
quarterly report (the "Evaluation Date"); and
c) presented in this quarterly report our conclusions about the
effectiveness of the disclosure controls and procedures based on our
evaluation as of the Evaluation Date;
5. The registrant's other certifying officers and I have disclosed, based on our
most recent evaluation, to the registrant's auditors and the audit committee of
board of directors (or persons performing the equivalent function):
a) all significant deficiencies, if any, in the design or operation of
internal controls which could adversely affect the registrant's ability to
record, process, summarize and report financial data and have identified
for the registrant's auditors any material weaknesses in internal controls;
and
b) any fraud, whether or not material, that involves management or other
employees who have a significant role in the registrant's internal
controls; and
6. The registrant's other certifying officers and I have indicated in this
quarterly report whether or not there were significant changes in internal
controls or in other factors that could significantly affect internal controls
subsequent to the date of our most recent evaluation, including any corrective
actions with regard to significant deficiencies and material weaknesses.
Date: November 14, 2002
- -----------------------
By /s/ FABIO P. SAVOLDELLI
-----------------------
Fabio P. Savoldelli
Chairman, Chief Executive Officer and Manager
(Principal Executive Officer)
14
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EXHIBIT 99
Form of Certification Pursuant to Section 1350 of Chapter 63
------------------------------------------------------------
of Title 180 of the United States Code
--------------------------------------
I, Michael L. Pungello, certify that:
1. I have reviewed this quarterly report on Form 10-Q of ML Futures
Investments L.P.;
2. Based on my knowledge, this quarterly report does not contain any untrue
statement of a material fact or omit to state a material fact necessary to make
the statements made, in light of the circumstances under which such statements
were made, not misleading with respect to the period covered by this quarterly
report;
3. Based on my knowledge, the financial statements, and other financial
information included in this quarterly report, fairly present in all material
respects the financial condition, results of operations and cash flows of the
registrant as of, and for, the periods presented in this quarterly report;
4. The registrant's other certifying officers and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined in
Exchange Act Rules 13a-14 and 15d-14) for the registrant and we have:
a) designed such disclosure controls and procedures to ensure that material
information relating to the registrant, is made known to us by others
within those entities, particularly during the period in which this
quarterly report is being prepared;
b) evaluated the effectiveness of the registrant's disclosure controls and
procedures as of a date within 90 days prior to the filing date of this
quarterly report (the "Evaluation Date"); and
c) presented in this quarterly report our conclusions about the
effectiveness of the disclosure controls and procedures based on our
evaluation as of the Evaluation Date;
5. The registrant's other certifying officers and I have disclosed, based on our
most recent evaluation, to the registrant's auditors and the audit committee of
board of directors (or persons performing the equivalent function):
a) all significant deficiencies, if any, in the design or operation of
internal controls which could adversely affect the registrant's ability to
record, process, summarize and report financial data and have identified
for the registrant's auditors any material weaknesses in internal controls;
and
b) any fraud, whether or not material, that involves management or other
employees who have a significant role in the registrant's internal
controls; and
6. The registrant's other certifying officers and I have indicated in this
quarterly report whether or not there were significant changes in internal
controls or in other factors that could significantly affect internal controls
subsequent to the date of our most recent evaluation, including any corrective
actions with regard to significant deficiencies and material weaknesses.
Date: November 14, 2002
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By /s/ MICHAEL L. PUNGELLO
-----------------------
Michael L. Pungello
Vice President, Chief Financial Officer
and Treasurer
(Principal Financial and Accounting Officer)
15