<Page>
ML MILLBURN GLOBAL L.L.C.
(A DELAWARE LIMITED LIABILITY COMPANY)
Financial Statements for the years ended
December 31, 2002 and 2001 and Independent
Auditors' Report
[MERRILL LYNCH LOGO]
<Page>
ML MILLBURN GLOBAL L.L.C.
(A Delaware Limited Liability Company)
TABLE OF CONTENTS
- --------------------------------------------------------------------------------
<Table>
<Caption>
Page
----
INDEPENDENT AUDITORS' REPORT 1
FINANCIAL STATEMENTS FOR THE YEARS ENDED
DECEMBER 31, 2002 AND 2001:
Statements of Financial Condition 2
Statements of Income 3
Statements of Changes in Member's Capital 4
Notes to Financial Statements 5-10
</Table>
<Page>
INDEPENDENT AUDITORS' REPORT
To the Member of
ML Millburn Global L.L.C.:
We have audited the accompanying statements of financial condition of ML
Millburn Global L.L.C. (the "Company") as of December 31, 2002 and 2001, and the
related statements of income and of changes in member's capital for the years
then ended. These financial statements are the responsibility of the Company's
management. Our responsibility is to express an opinion on these financial
statements based on our audits.
We conducted our audits in accordance with auditing standards generally accepted
in the United States of America. Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. An audit also includes assessing the accounting principles used and
significant estimates made by management, as well as evaluating the overall
financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, such financial statements present fairly, in all material
respects, the financial position of ML Millburn Global L.L.C. as of December 31,
2002 and 2001, and the results of its operations and changes in its member's
capital for the years then ended in conformity with accounting principles
generally accepted in the United States of America.
DELOITTE & TOUCHE LLP
New York, New York
March 3, 2003
<Page>
ML MILLBURN GLOBAL L.L.C.
(A Delaware Limited Liability Company)
STATEMENTS OF FINANCIAL CONDITION
DECEMBER 31, 2002 AND 2001
- --------------------------------------------------------------------------------
<Table>
<Caption>
ASSETS 2002 2001
------------ ------------
Equity in commodity futures trading accounts:
Cash and option premiums $ 15,235,341 $ 12,228,687
Net unrealized profit on open contracts (Note 2) 1,048,817 651,741
Subscriptions receivable - 271,575
Accrued interest (Note 4) 16,558 19,884
------------ ------------
TOTAL $ 16,300,716 $ 13,171,887
============ ============
LIABILITIES AND MEMBER'S CAPITAL
LIABILITIES:
Brokerage commissions payable (Note 4) $ 114,267 $ 91,359
Profit Shares payable (Note 5) 484,266 -
Administrative fees payable (Note 4) 3,361 2,687
Due to Invested funds 234,434 -
------------ ------------
Total liabilities 836,328 94,046
------------ ------------
MEMBER'S CAPITAL:
Voting Member 15,464,388 13,077,841
------------ ------------
Total Member's capital 15,464,388 13,077,841
------------ ------------
TOTAL $ 16,300,716 $ 13,171,887
============ ============
</Table>
See notes to financial statements.
2
<Page>
ML MILLBURN GLOBAL L.L.C.
(A Delaware Limited Liability Company)
STATEMENTS OF INCOME
FOR THE YEARS ENDED DECEMBER 31, 2002 AND 2001
- --------------------------------------------------------------------------------
<Table>
<Caption>
2002 2001
------------ ------------
REVENUES
Trading profit (loss):
Realized (Note 6) $ 4,214,773 $ 2,825,475
Change in unrealized 397,076 (1,391,025)
------------ ------------
Total trading results 4,611,849 1,434,450
Interest income (Note 4) 225,650 470,619
------------ ------------
Total revenues 4,837,499 1,905,069
------------ ------------
EXPENSES
Brokerage commissions (Note 4) 1,216,466 1,167,933
Profit Shares (Note 5) 510,681 -
Administrative fees (Note 4) 35,778 34,351
------------ ------------
Total expenses 1,762,925 1,202,284
------------ ------------
NET INCOME $ 3,074,574 $ 702,785
============ ============
</Table>
See notes to financial statements.
3
<Page>
ML MILLBURN GLOBAL L.L.C.
(A Delaware Limited Liability Company)
STATEMENTS OF CHANGES IN MEMBER'S CAPITAL
FOR THE YEARS ENDED DECEMBER 31, 2002 AND 2001
- --------------------------------------------------------------------------------
<Table>
MEMBER'S CAPITAL,
DECEMBER 31, 2000 $ 14,141,401
Net income 702,785
Withdrawals (2,147,420)
Subscriptions 381,075
------------
MEMBER'S CAPITAL,
DECEMBER 31, 2001 13,077,841
Net income 3,074,574
Withdrawals (1,742,545)
Subscriptions 1,054,518
------------
MEMBER'S CAPITAL,
DECEMBER 31, 2002 $ 15,464,388
============
</Table>
See notes to financial statements.
4
<Page>
ML MILLBURN GLOBAL L.L.C.
(A Delaware Limited Liability Company)
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
ORGANIZATION
ML Millburn Global L.L.C. (the "Company") was organized under the Delaware
Limited Liability Company Act on November 22, 1996 and commenced trading
activities on December 2, 1996. The Company engages in the speculative
trading of futures, options on futures and forward contracts on a wide
range of commodities. Millburn Ridgefield Corporation ("Millburn") is the
trading advisor to the Company. MLIM Alternative Strategies LLC ("MLIM AS
LLC"), a wholly-owned subsidiary of Merrill Lynch Investment Managers LP
("MLIM"), which, in turn, is an indirect wholly-owned subsidiary of Merrill
Lynch & Co., Inc. ("Merrill Lynch"), has been delegated administrative
authority over the Company. Merrill Lynch, Pierce Fenner & Smith
Incorporated ("MLPF&S"), is the Company's commodity broker. The Company has
authorized two classes of Membership Interests: Non-Voting Interests and
Voting Interests (collectively, "Interests"). These two classes of
Interests have common economic interests in the Company. The Non-Voting
Interests, which can be held by non-United States investment funds
sponsored by MLIM AS LLC, would not participate in the management of the
Company, or engage, directly or indirectly in, participate in or control
any portion of the business activities or affairs of the Company.
Currently, there are no Non-Voting Members. Management of the Company is
vested solely in the Voting Interests, which can be held by United States
limited partnerships. Currently, there is only one Voting Member of the
Company. The Voting Member controls all business activities and affairs of
the Company, subject to the trading authority vested in and delegated to
Millburn and the administrative authority vested in and delegated to MLIM
AS LLC. The Voting Member is a "commodity pool" sponsored and managed by
MLIM AS LLC.
ESTIMATES
The preparation of financial statements in conformity with accounting
principles generally accepted in the United States of America requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements as well as the reported
amounts of revenues and expenses during the reporting period. Actual
results could differ from those estimates.
REVENUE RECOGNITION
Commodity futures, options on futures and forward contract transactions are
recorded on the trade date, and open contracts are reflected in Net
unrealized profit on open contracts in the Statements of Financial
Condition at the difference between the original contract value and the
market value (for those commodity interests for which market quotations are
readily available) or at fair value. The change in net unrealized profit
(loss) on open contracts from one period to the next is reflected in Change
in unrealized under Trading profit (loss) in the Statements of Income.
5
<Page>
FOREIGN CURRENCY TRANSACTIONS
The Company's functional currency is the U.S. dollar; however, it transacts
business in currencies other than the U.S. dollar. Assets and liabilities
denominated in currencies other than the U.S. dollar are translated into
U.S. dollars at the rates in effect at the dates of the Statements of
Financial Condition. Income and expense items denominated in currencies
other than the U.S. dollar are translated into U.S. dollars at the rates in
effect during the period. Gains and losses resulting from the translation
to U.S. dollars are reported in total trading results currently.
OPERATING EXPENSES
MLIM AS LLC pays for all operating costs (including all legal, accounting,
printing, postage and similar administrative expenses) of the Company.
INCOME TAXES
No provision for income taxes has been made in the accompanying financial
statements as the Member is individually responsible for reporting income
or loss based on such Member's respective share of the Company's income and
expenses as reported for income tax purposes.
DISTRIBUTIONS
No distributions have been made by the Company for the years ended December
31, 2002 or 2001.
WITHDRAWALS
The Member may withdraw some or all of such Member's capital at Net Asset
Value as of the close of business on any business day. There are no
withdrawal fees or charges.
DISSOLUTION
The Company will terminate on December 31, 2046 or at an earlier date if
certain conditions occur, as well as under certain other circumstances as
set forth in the Organization Agreement.
6
<Page>
2. CONDENSED SCHEDULE OF INVESTMENTS
The Company's investments, defined as Net unrealized profit on open
contracts on the Statements of Financial Condition, as of December 31, 2002
and 2001 are as follows:
<Table>
<Caption>
2002 LONG POSITIONS SHORT POSITIONS
- ---- -------------- ---------------
NET UNREALIZED
COMMODITY NUMBER OF UNREALIZED PERCENT OF NUMBER OF UNREALIZED PERCENT OF PROFIT(LOSS) ON PERCENT OF
INDUSTRY SECTOR CONTRACTS PROFIT (LOSS) NET ASSETS CONTRACTS PROFIT (LOSS) NET ASSETS OPEN POSITIONS NET ASSETS
- --------------- --------- ------------- ---------- ---------- ------------ ---------- --------------- -----------
Currencies 4,646,031 $ 2,685,808 17.37% (3,246,832) $ (2,308,673) -14.93% $ 377,135 2.44%
Interest rates 617 524,018 3.39% - - 0.00% 524,018 3.39%
Metals 147 31,399 0.20% (86) 33,111 0.21% 64,510 0.41%
Stock indices - - 0.00% (61) 83,154 0.54% 83,154 0.54%
------------- ------------ ---------------
Total $ 3,241,225 20.96% $ (2,192,408) -14.18% $ 1,048,817 6.78%
============= ============ ===============
</Table>
<Table>
<Caption>
2001 LONG POSITIONS SHORT POSITIONS
- ---- -------------- --------------- NET UNREALIZED
UNREALIZED PERCENT OF UNREALIZED PERCENT OF PROFIT (LOSS) ON PERCENT OF
COMMODITY INDUSTRY SECTOR PROFIT (LOSS) NET ASSETS PROFIT (LOSS) NET ASSETS OPEN POSITIONS NET ASSETS
- ------------------------- ------------- ---------- ------------- ---------- ---------------- ----------
Currencies $ (36,338) -0.28% $ 784,652 6.00% $ 748,314 5.72%
Interest rates (16,594) -0.13% 61,143 0.47% 44,549 0.34%
Metals (27,919) -0.21% (120,300) -0.92% (148,219) -1.13%
Stock indices 2,651 0.02% 4,446 0.03% 7,097 0.05%
-------------- ------------- ----------------
Total $ (78,200) -0.60% $ 729,941 5.58% $ 651,741 4.98%
============== ============= ================
</Table>
No individual contract comprised greater than 5% of the Partnership's net
assets during 2002 or 2001.
7
<Page>
3. FINANCIAL DATA HIGHLIGHTS
The following ratios have been derived from information provided in the
financial statements for the year ended December 31, 2002.
<Table>
Total investment return,
compounded monthly 25.74%
===========
RATIOS TO AVERAGE NET ASSETS:
Expenses 12.84%
===========
Net income 22.40%
===========
</Table>
4. RELATED PARTY TRANSACTIONS
The Company's U.S. dollar assets are maintained at MLPF&S. On assets held
in U.S. dollars, Merrill Lynch credits the Company with interest at the
prevailing 91-day U.S. Treasury bill rate. The Company is credited with
interest on any of its assets and net gains actually held by Merrill Lynch
in non-U.S. dollar currencies at a prevailing local rate received by
Merrill Lynch. Merrill Lynch may derive certain economic benefit, in excess
of the interest which Merrill Lynch pays to the Company, from possession of
such assets.
Merrill Lynch charges the Company Merrill Lynch's cost of financing
realized and unrealized losses on the Company's non-U.S. dollar-denominated
positions.
Following the allocation of the Company's trading profit (loss) and
interest income to the Member's capital account, MLIM AS LLC calculates the
brokerage commissions, administrative fees, Profit Shares and other
expenses due from the Company to third parties. Such commissions, fees and
expenses are specifically calculated for the Member as of the end of each
accounting period and deducted from the Member's capital account and paid
out by the Company. The Company currently pays brokerage commissions to
MLPF&S at flat monthly rate of 0.708 of 1% (a 8.50% annual rate),
reflecting the fee arrangement between the Member and MLPF&S.
The Company pays MLPF&S a monthly administrative fee of 0.021 of 1% (a
0.25% annual rate) of the Member's month-end assets. Month-end assets
are not reduced for purposes of calculating brokerage commissions and
administrative fees by any accrued brokerage commissions, administrative
fees, Profit Shares or other fees or charges.
MLPF&S pays Millburn an annual consulting fee of 2% of the Company's
average month-end assets, after reduction for a portion of brokerage
commissions.
8
<Page>
5. ADVISORY AGREEMENT
The Advisory Agreement between the Company and Millburn has remained
essentially unchanged since the inception of the Company. This Agreement is
in effect for successive one-year terms, but, in fact, given the single
advisor structure of the Company, the Company would terminate were Millburn
to withdraw. Millburn determines the commodity futures, options on futures
and forward contract trades to be made on behalf of the Company, subject to
certain rights reserved by MLIM AS LLC.
The Company pays to Millburn an annual Profit Share equal to 20% of any New
Trading Profit, as defined, attributable to the Member's respective capital
accounts. Profit Shares are calculated separately in respect of the
Member's respective capital accounts. Profit Shares are also paid to
Millburn upon the withdrawal of capital from the Company by the Member for
whatever purpose, other than to pay expenses.
6. COPPER SETTLEMENT
The Company, as a member of a class of plaintiffs, received a settlement
payment in August 2002 relating to certain copper trades made by a number
of investors, including the Company, during a period in the mid-1990s.
Members of the class were those who purchased or sold Comex copper
fixtures or options contracts between June 24, 1993 and June 15, 1996.
The amount of the settlement of the Company was $48,352, which is included
in the realized profit of the Company. The effect of the settlement
payment was included in the Company's performance in August 2002.
7. FAIR VALUE AND OFF-BALANCE SHEET RISK
The nature of this Company has certain risks, which can not be presented on
the financial statements. The following summarizes some of those risks.
MARKET RISK
Derivative instruments involve varying degrees of off-balance sheet market
risk, and 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 result in changes in the Company's net unrealized profit on such
derivative instruments as reflected in the Statements of Financial
Condition. The Company's exposure to market risk is influenced by a number
of factors, including the relationships among the derivative instruments
held by the Company as well as the volatility and liquidity in the markets
in which such derivative instruments are traded.
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 Millburn, calculating the Net Asset Value of the Company and of
the Member's respective capital accounts as of the close of business on
each day and reviewing outstanding positions for over-concentrations. While
MLIM AS LLC does not itself intervene in the markets to hedge or diversify
the Company's market exposure, MLIM AS LLC may consult with Millburn
concerning the possibility of Millburn reducing trading leverage or market
concentrations. However, such interventions are unusual. Except in cases in
which it appears that Millburn has begun to deviate from past practice and
trading policies or to be trading erratically, MLIM AS LLC's basic risk
control procedures consist simply of the ongoing process of advisor
monitoring with the market risk controls being applied by Millburn.
9
<Page>
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 for the years ended December 31,
2002 and 2001.
The credit risk associated with these instruments from counterparty
nonperformance is the net unrealized profit on open contracts, if any,
included in the Statements of Financial Condition. The Company attempts to
mitigate this risk by dealing exclusively with Merrill Lynch entities as
clearing brokers.
The Company, in its normal course of business, enters into various
contracts, with 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 and included in the Statements of Financial Condition
under Equity in Commodity futures trading accounts.
8. SUBSEQUENT EVENT
As of February 28, 2003, the general partner of the Partnership changed its
name from MLIM Alternative Strategies LLC to Merrill Lynch Alternative
Investments LLC as part of an internal Merrill Lynch reorganization.
* * * * * * * * * *
To the best of the knowledge and belief of the
undersigned, the information contained in this
report is accurate and complete.
Michael L. Pungello
Chief Financial Officer
MLIM Alternative Strategies LLC
Commodity Pool Operator of
ML Millburn Global L.L.C.
10
<Page>
ML JWH FINANCIAL AND
METALS PORTFOLIO L.L.C.
(A DELAWARE LIMITED LIABILITY COMPANY)
Financial Statements for the years ended
December 31, 2002 and 2001 and Independent
Auditors' Report
[MERRILL LYNCH LOGO]
<Page>
ML JWH FINANCIAL AND METALS PORTFOLIO L.L.C.
(A Delaware Limited Liability Company)
TABLE OF CONTENTS
- --------------------------------------------------------------------------------
<Table>
<Caption>
Page
----
INDEPENDENT AUDITORS' REPORT 1
FINANCIAL STATEMENTS FOR THE YEARS ENDED
DECEMBER 31, 2002 AND 2001:
Statements of Financial Condition 2
Statements of Income 3
Statements of Changes in Member's Capital 4
Notes to Financial Statements 5-10
</Table>
<Page>
INDEPENDENT AUDITORS' REPORT
To the Members of
ML JWH Financial and Metals Portfolio L.L.C.:
We have audited the accompanying statements of financial condition of ML JWH
Financial and Metals Portfolio L.L.C. (the "Company") as of December 31, 2002
and 2001, and the related statements of income and of changes in member's
capital for the years then ended. These financial statements are the
responsibility of the Company's management. Our responsibility is to express an
opinion on these financial statements based on our audits.
We conducted our audits in accordance with auditing standards generally accepted
in the United States of America. Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. An audit also includes assessing the accounting principles used and
significant estimates made by management, as well as evaluating the overall
financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, such financial statements present fairly, in all material
respects, the financial position of ML JWH Financial and Metals Portfolio L.L.C.
as of December 31, 2002 and 2001, and the results of its operations and changes
in its member's capital for the years then ended in comformity with accounting
principles generally accepted in the United States of America.
DELOITTE & TOUCHE LLP
New York, New York
March 3, 2003
<Page>
ML JWH FINANCIAL AND METALS PORTFOLIO L.L.C.
(A Delaware Limited Liability Company)
STATEMENTS OF FINANCIAL CONDITION
DECEMBER 31, 2002 AND 2001
- --------------------------------------------------------------------------------
<Table>
<Caption>
2002 2001
------------ ------------
ASSETS
Equity in commodity futures trading accounts:
Cash and option premiums $ 14,002,855 $ 12,966,697
Net unrealized profit on open contracts (Note 2) 1,392,986 705,173
Due from Invested Fund 166,783 -
Accrued interest (Note 4) 15,204 20,150
------------ ------------
TOTAL $ 15,577,828 $ 13,692,020
============ ============
LIABILITIES AND MEMBER'S CAPITAL
LIABILITIES:
Brokerage commissions payable (Note 4) $ 110,199 $ 96,844
Administrative fees payable (Note 4) 3,241 2,848
Due to Invested Fund - 514,487
------------ ------------
Total liabilities 113,440 614,179
------------ ------------
MEMBER'S CAPITAL:
Voting Member 15,464,388 13,077,841
------------ ------------
Total Member's capital 15,464,388 13,077,841
------------ ------------
TOTAL $ 15,577,828 $ 13,692,020
============ ============
</Table>
See notes to financial statements.
- 2 -
<Page>
ML JWH FINANCIAL AND METALS PORTFOLIO L.L.C.
(A Delaware Limited Liability Company)
STATEMENTS OF INCOME
FOR THE YEARS ENDED DECEMBER 31, 2002 AND 2001
- --------------------------------------------------------------------------------
<Table>
<Caption>
2002 2001
------------ ------------
REVENUES
Trading profit (loss):
Realized (Note 6) $ 6,162,488 $ 3,553,847
Change in unrealized 740,032 (2,197,366)
------------ ------------
Total trading results 6,902,520 1,356,481
Interest income (Note 4) 226,525 532,677
------------ ------------
Total revenues 7,129,045 1,889,158
------------ ------------
EXPENSES
Brokerage commissions (Note 4) 1,226,461 1,288,763
Profit Shares (Note 5) 638,692 -
Administrative fees (Note 4) 36,072 37,905
------------ ------------
Total expenses 1,901,225 1,326,668
------------ ------------
NET INCOME $ 5,227,820 $ 562,490
============ ============
</Table>
See notes to financial statements.
- 3 -
<Page>
ML JWH FINANCIAL AND METALS PORTFOLIO L.L.C.
(A Delaware Limited Liability Company)
STATEMENTS OF CHANGES IN MEMBER'S CAPITAL
FOR THE YEARS ENDED DECEMBER 31, 2002 AND 2001
- --------------------------------------------------------------------------------
<Table>
<Caption>
VOTING MEMBER
------------
MEMBER'S CAPITAL,
DECEMBER 31, 2000 $ 15,281,744
Net income 562,490
Withdrawals (2,766,393)
------------
MEMBER'S CAPITAL,
DECEMBER 31, 2001 13,077,841
Net income 5,227,820
Withdrawals (2,841,273)
------------
MEMBER'S CAPITAL,
DECEMBER 31, 2002 $ 15,464,388
============
</Table>
See notes to financial statements.
- 4 -
<Page>
ML JWH FINANCIAL AND METALS PORTFOLIO L.L.C.
(A Delaware Limited Liability Company)
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
ORGANIZATION
ML JWH Financial and Metals Portfolio L.L.C. (the "Company") was organized
under the Delaware Limited Liability Company Act on September 19, 1996 and
commenced trading activities on October 1, 1996. The Company engages in the
speculative trading of futures, options on futures and forward contracts on
a wide range of commodities. John W. Henry & Company, Inc. ("JWH(R)") is
the trading advisor to the Company. MLIM Alternative Strategies LLC ("MLIM
AS LLC"), a wholly-owned subsidiary of Merrill Lynch Investment Managers,
LP ("MLIM"), which, in turn, is an indirect wholly-owned subsidiary of
Merrill Lynch & Co., Inc. ("Merrill Lynch"), has been delegated
administrative authority over the Company. Merrill Lynch, Pierce, Fenner &
Smith Incorporated ("MLPF&S") is the Company's commodity broker. The
Company has authorized two classes of Membership Interests: Non-Voting
Interests and Voting Interests (collectively, "Interests"). These two
classes of Interests have common economic interests in the Company, but the
Non-Voting Interests, which can be held by non-United States investment
funds sponsored by MLIM AS LLC, would not participate in the management of
the Company, or engage, directly or indirectly in, participate in or
control any portion of the business activities or affairs of the Company.
Currently, there are no Non-Voting Members. Management of the Company is
vested solely in the Voting Interests, which are held by United States
limited partnerships. Currently, there is only one Voting Member of the
Company. The Voting Member controls all business activities and affairs of
the Company subject to the trading authority vested in and delegated to
JWH(R) and the administrative authority vested in and delegated to MLIM AS
LLC. The Voting Member is a "commodity pool" sponsored and managed by MLIM
AS LLC.
ESTIMATES
The preparation of financial statements in conformity with accounting
principles generally accepted in the United States of America requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements as well as the reported
amounts of revenues and expenses during the reporting period. Actual
results could differ from those estimates.
REVENUE RECOGNITION
Commodity futures, options on futures and forward contract transactions are
recorded on the trade date and open contracts are reflected in net
unrealized profit on open contracts in the Statements of Financial
Condition at the difference between the original contract value and the
market value (for those commodity interests for which market quotations are
readily available) or at fair value. The change in unrealized profit on
open contracts from one period to the next is reflected in Change in
unrealized under Trading profit (loss), in the Statements of Income.
- 5 -
<Page>
FOREIGN CURRENCY TRANSACTIONS
The Company's functional currency is the U.S. dollar; however, it transacts
business in currencies other than the U.S. dollar. Assets and liabilities
denominated in currencies other than the U.S. dollar are translated into
U.S. dollars at the rates in effect at the dates of the Statements of
Financial Condition. Income and expense items denominated in currencies
other than the U.S. dollar are translated into U.S. dollars at the rates in
effect during the period. Gains and losses resulting from the translation
to U.S. dollars are reported in total trading results currently.
OPERATING EXPENSES
MLIM AS LLC pays for all operating costs (including all legal, accounting,
printing, postage and similar administrative expenses) of the Company.
INCOME TAXES
No provision for income taxes has been made in the accompanying financial
statements as the Member is individually responsible for reporting income
or loss based on such Member's respective share of the Company's income and
expenses as reported for income tax purposes.
DISTRIBUTIONS
No distributions have been made by the Company for the years ended December
31, 2002 or 2001.
WITHDRAWALS
The Member may withdraw some or all of such Member's capital at the Net
Asset Value as of the close of business on any business day. There are no
withdrawal fees or charges.
DISSOLUTION
The Company will terminate on September 30, 2046 or at an earlier date if
certain conditions occur, as well as under certain other circumstances as
set forth in the Organization Agreement.
- 6 -
<Page>
2. CONDENSED SCHEDULE OF INVESTMENTS
The Company's investments, defined as Net unrealized profit on open
contracts on the Statements of Financial Condition, as of December 31,
2002 and 2001 are as follows:
<Table>
<Caption>
2002 LONG POSITIONS SHORT POSITIONS
- ---- -------------- ---------------
NET UNREALIZED
COMMODITY INDUSTRY NUMBER OF UNREALIZED PERCENT OF NUMBER OF UNREALIZED PERCENT OF PROFIT(LOSS) ON PERCENT OF
SECTOR CONTRACTS PROFIT (LOSS) NET ASSETS CONTRACTS PROFIT (LOSS) NET ASSETS OPEN POSITIONS NET ASSETS
- ------------------ --------- ------------- ---------- ---------- ------------ ---------- --------------- -----------
Currencies 55,468 $ 932,980 6.03% (1,164,884) $ (307,663) -1.99% $ 625,317 4.04%
Interest rates 690 697,359 4.51% - - 0.00% 697,359 4.51%
Metals 167 81,485 0.53% (67) (26,581) -0.17% 54,904 0.36%
Stock indices 10 (5,600) -0.04% (7) 21,006 0.14% 15,406 0.10%
------------- ------------ ---------------
Total $ 1,706,224 11.03% $ (313,238) -2.02% $ 1,392,986 9.01%
============= ============ ===============
</Table>
<Table>
<Caption>
2001 LONG POSITIONS SHORT POSITIONS
- ---- -------------- --------------- NET UNREALIZED
UNREALIZED PERCENT OF UNREALIZED PERCENT OF PROFIT (LOSS) ON PERCENT OF
COMMODITY INDUSTRY SECTOR PROFIT (LOSS) NET ASSETS PROFIT (LOSS) NET ASSETS OPEN POSITIONS NET ASSETS
- ------------------------- ------------- ---------- ------------- ---------- ---------------- ----------
Currencies $ (13,861) -0.11% $ 795,456 6.08% $ 781,595 5.98%
Interest rates (5,638) -0.04% 149,812 1.15% 144,174 1.10%
Metals (82,135) -0.63% (146,751) -1.12% (228,886) -1.75%
Stock indices 8,290 0.06% - 0.00% 8,290 0.06%
-------------- ------------- ----------------
Total $ (93,344) -0.71% $ 798,517 6.11% $ 705,173 5.39%
============== ============= ================
</Table>
No individual contract comprised greater than 5% of the Partnership's net
assets during 2002 or 2001.
- 7 -
<Page>
3. FINANCIAL DATA HIGHLIGHTS
The following ratios have been derived from information provided in the
financial statements for the year ended December 31, 2002.
<Table>
Total investment return, compounded
monthly 41.40%
===============
RATIOS TO AVERAGE NET ASSETS:
Expenses 13.79%
===============
Net income 37.92%
===============
</Table>
4. RELATED PARTY TRANSACTIONS
The Company's U.S. dollar assets are maintained at MLPF&S. On assets held
in U.S. dollars, Merrill Lynch credits the Company with interest at the
prevailing 91-day U.S. Treasury bill rate. The Company is credited with
interest on any of its assets and net gains actually held by Merrill Lynch
in non-U.S. dollar currencies at a prevailing local rate received by
Merrill Lynch. Merrill Lynch may derive certain economic benefit, in excess
of the interest which Merrill Lynch pays to the Company, from possession of
such assets.
Merrill Lynch charges the Company Merrill Lynch's cost of financing
realized and unrealized losses on the Company's non-U.S. dollar-denominated
positions.
Following the allocation of the Company's trading profit (loss) and
interest income among the Member's respective capital accounts, MLIM AS LLC
calculates the brokerage commissions, Profit Shares, administrative fees
and other expenses due from the Company to third parties. Such commissions,
fees, Profit Shares and expenses are specifically calculated for the Member
as of the end of each accounting period and deducted from Member's capital
account and paid out by the Company. The Company currently pays brokerage
commissions to MLPF&S at flat monthly rate of 0.708 of 1% (an 8.5% annual
rate).
The Company pays MLPF&S a monthly administrative fee of 0.021 of 1% (a
0.25% annual rate) of each Member's month-end assets. Month-end assets
are not reduced for purposes of calculating brokerage commissions and
administrative fees by any accrued brokerage commissions, administrative
fees, Profit Shares or other fees or charges.
MLPF&S pays the Advisor an annual consulting fee of 2% of the Company's
average month-end assets, after reduction for a portion of the brokerage
commissions.
- 8 -
<Page>
5. ADVISORY AGREEMENT
The Advisory Agreement between the Company and JWH(R) is in effect for
successive one-year terms, but, in fact, given the single advisor structure
of the Company, the Company would terminate were JWH(R) to withdraw. JWH(R)
determines the commodity futures, options on futures and forward contract
trades to be made on behalf of the Company, subject to certain Company
trading policies and to certain rights reserved by MLIM AS LLC.
The Company pays to JWH(R) a quarterly Profit Share equal to 20%, of any
New Trading Profit, as defined, attributable to the Member's respective
capital accounts. Profit Shares are calculated separately in respect of the
Member's respective capital accounts. Profit Shares are determined as of
the end of each calendar quarter and are also paid to JWH(R) upon the
withdrawal of capital from the Company by a Member for whatever purpose,
other than to pay expenses.
6. COPPER SETTLEMENT
The Company, as a member of a class of plaintiffs, received a settlement
payment in August 2002 relating to certain copper trades made by a number
of investors, including the Company, during a period in the mid-1990s.
Members of the class were those who purchased or sold Comex copper
fixtures or options contracts between June 24, 1993 and June 15, 1996. The
amount of the settlement of the Company was $52,129, which is included in
the realized profit of the Company. The effect of the settlement payment
was included in the Company's performance in August 2002.
7. FAIR VALUE AND OFF-BALANCE SHEET RISK
The nature of this Company has certain risks, which can not be presented on
the financial statements. The following summarizes some of those risks.
MARKET RISK
Derivative instruments involve varying degrees of off-balance sheet market
risk, and 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 result in changes in the Company's net unrealized profit on such
derivative instruments as reflected in the Statements of Financial
Condition. The Company's exposure to market risk is influenced by a number
of factors, including the relationships among the derivative instruments
held by the Company as well as the volatility and liquidity in the markets
in which such derivative instruments are traded.
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 JWH(R), calculating the Net Asset Value of the Company and of
the Member's respective capital accounts as of the close of business on
each day and reviewing outstanding positions for over-concentrations. While
MLIM AS LLC does not itself intervene in the markets to hedge or diversify
the Company's market exposure, MLIM AS LLC may consult with JWH(R)
concerning the possibility of JWH(R) reducing trading leverage or market
concentrations. However, such interventions are unusual. Except in cases in
which it appears that JWH(R) has begun to deviate from past practice and
trading policies or to be trading erratically, MLIM AS LLC's basic risk
control procedures consist simply of the ongoing process of advisor
monitoring with the market risk controls being applied by JWH(R).
- 9 -
<Page>
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 for the years ended December 31,
2002 and 2001.
The credit risk associated with these instruments from counterparty
nonperformance is the net unrealized profit, if any, included in the
Statements of Financial Condition. The Company attempts to mitigate this
risk by dealing exclusively with Merrill Lynch entities as clearing
brokers.
The Company, in its normal course of business, enters into various
contracts, with 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 and included in the Statements of Financial Condition
under Equity in commodity futures accounts.
8. SUBSEQUENT EVENT
As of February 28, 2003, the general partner of the Partnership changed its
name from MLIM Alternative Strategies LLC to Merrill Lynch Alternative
Investments LLC as part of an internal Merrill Lynch reorganization.
* * * * * * * * *
To the best of the knowledge and belief of the
undersigned, the information contained in this
report is accurate and complete.
Michael L. Pungello
Chief Financial Officer
MLIM Alternative Strategies LLC
Commodity Pool Operator
ML JWH Financial and Metals Portfolio L.L.C.
- 10 -