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Exhibit 99.13.01
ML FUTURES INVESTMENTS L.P.
(A DELAWARE LIMITED PARTNERSHIP)
Financial Statements for the years ended
December 31, 2004, 2003 and 2002
and Report of Independent Registered Public Accounting
Firm
[MERRILL LYNCH LOGO]
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ML FUTURES INVESTMENTS L.P.
(A DELAWARE LIMITED PARTNERSHIP)
TABLE OF CONTENTS
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PAGE
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM 1
FINANCIAL STATEMENTS:
Statements of Financial Condition as of December 31, 2004 and 2003 2
Statements of Operations for the years ended December 31, 2004, 2003 and 2002 3
Statements of Changes in Partners' Capital for the years ended December 31, 2004, 2003 and 2002 4
Financial Data Highlights for the year ended December 31, 2004 5
Notes to Financial Statements 6-10
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Partners of
ML Futures Investments L.P.:
We have audited the accompanying statements of financial condition of ML Futures
Investments L.P. (the "Partnership") as of December 31, 2004 and 2003, and the
related statements of operations and changes in partners' capital for each of
the three years in the period ended December 31, 2004 and the financial data
highlights for the year ended December 31, 2004. These financial statements and
financial data highlights are the responsibility of the Partnership's
management. Our responsibility is to express an opinion on these financial
statements and financial data highlights based on our audits.
We conducted our audits in accordance with the standards of the Public
Company Accounting Oversight Board (United States). Those standards require
that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements and financial data highlights are free of
material misstatement. The Partnership is not required to have, nor were we
engaged to perform, an audit of its internal control over financial
reporting. An audit includes consideration of internal control over financial
reporting as a basis for designing audit procedures that are appropriate in
the circumstances, but not for the purpose of expressing an opinion on the
effectiveness of the Partnership's internal control over financial reporting.
Accordingly, we express no such opinion. An audit also 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 and financial data highlights present
fairly, in all material respects, the financial position of ML Futures
Investments L.P. as of December 31, 2004 and 2003, and the results of its
operations, changes in its partners' capital and the financial data highlights
for each of the periods presented in conformity with accounting principles
generally accepted in the United States of America.
New York, New York
March 28, 2005
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ML FUTURES INVESTMENTS L.P.
(A DELAWARE LIMITED PARTNERSHIP)
STATEMENTS OF FINANCIAL CONDITION
DECEMBER 31, 2004 AND 2003
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<Caption>
2004 2003
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ASSETS:
Investment in MM LLC $ - $ 53,823,502
Receivable from MM LLC 47,269,664 741,550
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TOTAL $ 47,269,664 $ 54,565,052
============== ==============
LIABILITIES AND PARTNERS' CAPITAL
LIABILITIES:
Redemptions payable $ 393,123 $ 741,550
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Total liabilities 393,123 741,550
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PARTNERS' CAPITAL
General Partner (506,504 Units and 506,491 Units) 547,516 550,885
Limited Partners (42,841,288 Units and 48,959,640 Units) 46,329,025 53,272,617
-------------- --------------
Total partners' capital 46,876,541 53,823,502
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TOTAL $ 47,269,664 $ 54,565,052
============== ==============
NET ASSET VALUE PER UNIT
(Based on 43,347,792 and 49,466,131 Units outstanding) $ 1.0814 1.0881
============== ==============
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See notes to financial statements.
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ML FUTURES INVESTMENTS L.P.
(A DELAWARE LIMITED PARTNERSHIP)
STATEMENTS OF OPERATIONS
FOR THE YEARS ENDED DECEMBER 31, 2004, 2003 AND 2002
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<Caption>
2004 2003 2002
--------------- --------------- ---------------
TRADING REVENUES:
Trading profit (loss):
Realized $ 6,175,734 $ 10,533,678 $ 1,159,500
Change in unrealized (2,185,708) (169,942) 351,754
Settlement proceeds (Note 7) - - 109,968
--------------- --------------- ---------------
Total trading revenues 3,990,026 10,363,736 1,621,222
--------------- --------------- ---------------
INVESTMENT INCOME:
Interest 595,606 588,108 236,922
--------------- --------------- ---------------
EXPENSES:
Brokerage commissions 4,079,427 4,601,819 1,036,007
Administrative fee 119,983 135,348 29,600
Profit Shares 741,906 1,524,986 315,044
--------------- --------------- ---------------
Total expenses 4,941,316 6,262,153 1,380,651
--------------- --------------- ---------------
NET INVESTMENT LOSS (4,345,710) (5,674,045) (1,143,729)
--------------- --------------- ---------------
NET INCOME (LOSS) $ (355,684) $ 4,689,691 $ 477,493
=============== =============== ===============
NET INCOME (LOSS) PER UNIT:
Weighted average number of General Partner
and Limited Partner Units outstanding 46,237,673 52,962,267 47,878
=============== =============== ===============
Net income (loss) per weighted average
General Partner and Limited Partner Unit $ (0.0077) $ 0.0885 $ 9.97
=============== =============== ===============
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All income and expense is derived from the invesment in MM LLC (Note 2).
See notes to financial statements.
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ML FUTURES INVESTMENTS L.P.
(A DELAWARE LIMITED PARTNERSHIP)
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
FOR THE YEARS ENDED DECEMBER 31, 2004, 2003 AND 2002
<Table>
<Caption>
UNITS GENERAL PARTNER LIMITED PARTNERS TOTAL
--------------- --------------- ---------------- ---------------
PARTNERS' CAPITAL,
DECEMBER 31, 2001 50,462 $ 136,997 $ 12,665,187 $ 12,802,184
Net income - 5,538 471,955 477,493
Redemptions (5,684) (18,658) (1,408,511) (1,427,169)
--------------- --------------- ---------------- ---------------
PARTNERS' CAPITAL,
DECEMBER 31, 2002 44,778 123,877 11,728,631 11,852,508
Combination (Note 3) 56,013,115 460,679 43,744,706 44,205,385
Net income - 51,726 4,637,965 4,689,691
Redemptions (6,591,762) (85,397) (6,838,685) (6,924,082)
--------------- --------------- ---------------- ---------------
PARTNERS' CAPITAL,
DECEMBER 31, 2003 49,466,131 550,885 53,272,617 53,823,502
Net loss - (3,369) (352,315) (355,684)
Redemptions (6,118,339) - (6,591,277) (6,591,277)
--------------- --------------- ---------------- ---------------
PARTNERS' CAPITAL,
DECEMBER 31, 2004 43,347,792 $ 547,516 $ 46,329,025 $ 46,876,541
=============== =============== ================ ===============
</Table>
See notes to financial statements.
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ML FUTURES INVESTMENTS L.P.
(A DELAWARE LIMITED PARTNERSHIP)
FINANCIAL DATA HIGHLIGHTS
FOR THE YEAR ENDED DECEMBER 31, 2004
The following per Unit data and ratios have been derived from information
provided in the financial statements and the financial statements of MM LLC.
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PER UNIT OPERATING PERFORMANCE:
Net asset value, beginning of year $ 1.0881
Realized trading profit 0.1329
Change in unrealized trading profit (loss) (0.0459)
Interest income 0.0130
Expenses (0.1067)
------------
Net asset value, end of year $ 1.0814
============
TOTAL RETURN:
Total return before Profit Shares 0.83%
Profit Shares -1.54%
Total return -0.61%
RATIOS TO AVERAGE NET ASSETS:
Operating expenses (excluding Profit Shares) 8.50%
Profit Shares 1.50%
------------
Expenses 10.00%
============
Net investment loss -8.81%
============
</Table>
See notes to financial statements.
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ML FUTURES INVESTMENTS L.P.
(A DELAWARE LIMITED PARTNERSHIP)
NOTES TO FINANCIAL STATEMENTS
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
ORGANIZATION
ML Futures Investments L.P. (the "Partnership") was organized under the
Delaware Revised Uniform Limited Partnership Act on November 14, 1988
and commenced trading activities on March 1, 1989. Through December 31,
2004, the Partnership engaged, through an investment in a limited
liability company, ML Multi-Manager Portfolio LLC ("MM LLC"), in the
speculative trading of futures, options on futures, forwards and options
on forward contracts on a wide range of commodities. Effective December
31, 2004, after the close of Business MM LLC redeemed all of the
Partnership's units and proceeds of $46,876,541 were invested in ML
Global Horizons L.P. ("Global Horizons"), that has an investment
strategy similar to MM LLC. Merrill Lynch Investment Managers, LLC
("MLIM LLC") is the general partner of the Partnership, and is 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). Merrill Lynch, Pierce, Fenner
& Smith Incorporated ("MLPF&S"), a wholly-owned subsidiary of Merrill
Lynch, is the Partnership's commodity broker. All of the Partnership's
assets are held in accounts maintained at MLPF&S. MLIM LLC has agreed to
maintain a general partner's interest of at least 1% of the total
capital in the Partnership. MLIM LLC and each Limited Partner share in
the trading revenues and interest income of the Partnership in
proportion to their respective interests in the Partnership.
Other multi-advisor funds (the "Multi-Advisor Funds") sponsored by MLIM
LLC, including the Partnership, allocate their assets to a number of the
same independent advisors (the "Advisors"). These Multi-Advisor Funds
invested in MM LLC, which operated a single account with each Advisor
selected. MM LLC was managed by MLIM LLC, had no investors other than the
Multi-Advisor Funds and served solely as the vehicle through which the
assets of such Multi-Advisor Funds were combined in order to be managed
through single rather than multiple accounts.
The following notes relate to the operations of the Partnership through its
investment in MM LLC. As of December 31, 2004 (prior to MM LLC
liquidation), 2003 and 2002, the Partnership's percentage ownership
share of MM LLC was 48.29%, 38.41 %, and 6.83%, respectively. MLIM LLC
selected the Advisors to manage MM LLC's assets, and allocated and
reallocated such trading assets among existing, replacement and
additional Advisors.
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.
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REVENUE RECOGNITION
Commodity futures, options on futures, forwards and options on forward
contracts are recorded on the trade date and open contracts are reflected
in Net unrealized profit (loss) on open contracts in the Statements of
Financial Condition of MM LLC 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 (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 of MM LLC
FOREIGN CURRENCY TRANSACTIONS
The Partnership's functional currency is the U.S. dollar; however, it
transacts business in currencies other than the U.S. dollar through its
investment in MM LLC. 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 "realized trading profit (loss)" on the Statement of
Operations.
OPERATING EXPENSES
MLIM LLC pays for all routine operating costs (including legal, accounting,
printing, postage and similar administrative expenses) of the Partnership.
MLIM LLC receives an administrative fee as well as a portion of the
brokerage commissions paid to MLPF&S, by the Partnership, through MM LLC
(see Note 4).
No selling commissions have been paid directly by the Limited Partners. All
selling commissions are paid by MLIM LLC.
INCOME TAXES
No provision for income taxes has been made in the accompanying financial
statements as each Partner is individually responsible for reporting income
or loss based on such Partner's respective share of the Partnership's
income and expenses as reported for income tax purposes.
DISTRIBUTIONS
The Limited Partners are entitled to receive, equally per Unit, any
distributions, which may be made by the Partnership. No such distributions
have been declared for the years ended December 31, 2004, 2003 or 2002.
REDEMPTIONS
A Limited Partner may redeem some or all of such Partner's Units at Net
Asset Value as of the close of business on the last business day of any
month upon ten calendar days' notice.
The Financial Accounting Standards Board ("FASB") has issued Statement
No. 150, ACCOUNTING FOR CERTAIN FINANCIAL INSTRUMENTS WITH CHARACTERISTICS
OF BOTH LIABILITIES AND EQUITY, ("FAS 150") and is effective for
mandatorily redeemable financial instruments of entities that are public
entities for the first interim period beginning after June 15, 2003. FAS
150 requires that a mandatorily redeemable financial instrument shall be
classified as a liability if the financial interest is required be redeemed
at a specified date or upon an event certain to occur. The limited
partners' financial interests are not required to
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be redeemed at a specified date or upon an event certain to occur and thus
are not considered mandatorily redeemable financial instruments. However,
the limited partner may give 10 days notice for redemption of their units
and redeem at that month's net asset value. The Partnership records the
financial interests redeemed as a liability once the notice of redemption
is received from the limited partner. The adoption of FAS 150 will have no
impact on the financial statements of the Partnership.
DISSOLUTION OF THE PARTNERSHIP
The Partnership will terminate on December 31, 2008 or at an earlier date
if certain conditions occur, as well as under certain other circumstances
as set forth in the Limited Partnership Agreement.
2. INVESTMENT IN MM LLC
The financial statements of MM LLC are bound together with this report and
should be read in conjunction with the Partnership's financial statements.
The investment in MM LLC is reflected in the financial statements at fair
value based upon the Partnership's interest in MM LLC. Fair value of the
investment in MM LLC is equal to the market value of the net assets of MM
LLC allocable to the Partnership as an investor.
All income and expense for the Partnership was derived from its investment
in MM LLC, based on the Partnership's proportionate share of MM LLC's
revenues and expenses.
Effective December 31, 2004, MM LLC liquidated and the Partnership's
investment is reflected in "Receivable from Investment in MM LLC" on the
Statement of Financial Condition.
3. COMBINATION OF MULTI-ADVISOR FUNDS
Effective after the close of business on December 31, 2002, the
Partnership combined its net assets with five other similar
Multi-Advisor Funds to form a combined ML Futures Investments L.P. in a
tax-free reorganization. All of the Partnership's investors received
264.6949 new units of the combined Partnership with an initial Net Asset
Value per Unit of $1.00 in exchange for each of their original Units.
The aggregate Net Asset Value of each investor's new Units is equal to
the aggregate Net Asset Value of their original Units. Conversion of the
shares had no adverse economic effect on investors in any of the
Multi-Advisor Funds. The general partner contributed $192 to the
Partnership, the amount necessary due to the effects of rounding to
insure all investors received shares equal in value to their original
holdings. The combined Partnership continued to invest through MM LLC
and the combination of the Multi-Advisor Funds did not change the
operations of MM LLC. The combined Partnership's percentage of ownership
of MM LLC was 32.32% immediately after the combination.
Following is a condensed statement of financial condition for the combined
Partnership immediately after the combination on December 31, 2002:
<Table>
Assets $ 56,508,105
================
Liabilities $ 451,772
Partners' Capital 56,056,333
----------------
Total $ 56,508,105
================
</Table>
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4. RELATED PARTY TRANSACTIONS
The Partnership's U.S. dollar assets are maintained at MLPF&S. On assets
held in U.S. dollars, Merrill Lynch credits the Partnership with interest
at the prevailing 91-day U.S. Treasury bill rate. The Partnership is
credited with interest on any of its 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 benefits, in
excess of the interest, which Merrill Lynch pays to the Partnership, from
possession of such assets. The Partnership's U.S. dollar assets invested in
MM LLC are also maintained at MLPF&S. MLPF&S credits MM LLC with interest
in the same manner. The Partnership indirectly receives this interest
through its investment in MM LLC.
Merrill Lynch charges the Partnership, through MM LLC, Merrill Lynch's cost
of financing realized and unrealized losses on MM LLC's non-U.S.
dollar-denominated positions. Such amounts are netted against interest
income due to the insignificance of such amounts.
Through its investment in MM LLC, the Partnership pays brokerage
commissions to MLPF&S at a flat monthly rate equal to .7083 of 1% (an 8.50%
annual rate), reduced from an 8.75% annual rate prior to January 1, 2003,
and pays MLIM LLC a monthly administrative fee of .021 of 1% (a 0.25%
annual rate) of the Partnership's trading month-end assets. Month-end
trading 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 currently pays the Advisors, through MM LLC, annual consulting fees
up to 2.50% of the Partnership's average month-end trading assets allocated
to them for management, after reduction for a portion of the brokerage
commissions.
5. ADVISORY AGREEMENTS
Pursuant to the Advisory Agreements among the Advisors, MM LLC and MLIM
LLC, the Advisors determine the commodity futures, options on futures,
forwards and options on forward contracts traded on behalf of MM LLC,
subject to certain rights reserved by MLIM LLC. The Advisory Agreements
generally renew annually after they are entered into, subject to certain
renewal rights.
Profit Shares, currently ranging from 20% to 25% of any New Trading Profit,
as defined, recognized by each Advisor considered individually irrespective
of the overall performance of the Partnership, either as of the end of each
calendar quarter or year and upon the net reallocation of assets away from
an Advisor, are paid by MM LLC to each of the Advisors. Profit Shares are
also paid out in respect of Units redeemed as of the end of interim months,
to the extent of the applicable percentage of any New Trading Profit
attributable of such Units.
6. WEIGHTED AVERAGE UNITS
The weighted average number of Units outstanding is computed for purposes
of calculating net income per weighted average Unit. The weighted average
Units outstanding for the years ended December 31, 2004, 2003 and 2002
equals the Units outstanding as of such date, adjusted proportionately for
Units redeemed based on the respective length of time each was outstanding
during the year. Note that weighted average units for 2003 assumes units
after combination.
7. COPPER SETTLEMENT
The Partnership, 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 Partnership, during a
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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 effect of the settlement payment was included in the
Partnership's performance in August 2002.
8. FAIR VALUE AND OFF-BALANCE SHEET RISK
The Partnership invests indirectly in derivative instruments as a result of
its investment in MM LLC, but does not itself hold any derivative
instrument positions. The nature of this Partnership has certain risks,
which cannot be presented on the financial statements.
MARKET RISK
Derivative 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 financial instruments
or commodities underlying such derivative instruments frequently result in
changes in the Partnership's net unrealized profit on such derivative
instruments as reflected in Statements of Financial Condition of 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 MM LLC as well as the volatility and liquidity of the markets in which
such derivative instruments are traded.
* * * * * * * * * * * * *
To the best of the knowledge and belief of the
undersigned, the information contained in this
report is accurate and complete.
Patrick Hayward
Chief Financial Officer
Merrill Lynch Investment Mangers, LLC
General Partner of
ML Futures Investments L.P.
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