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Exhibit 99.13.01(a)
ML MULTI-MANAGER PORTFOLIO LLC
(A DELAWARE LIMITED LIABILITY
COMPANY) (IN LIQUIDATION)
Financial Statements for the years ended
December 31, 2004 and 2003
and Independent Auditors' Report
[MERRILL LYNCH LOGO]
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ML MULTI-MANAGER PORTFOLIO LLC
(A Delaware Limited Liability Company)
(In Liquidation)
TABLE OF CONTENTS
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PAGE
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INDEPENDENT AUDITORS' REPORT 1
FINANCIAL STATEMENTS FOR THE YEARS ENDED
DECEMBER 31, 2004 AND 2003:
Statements of Financial Condition 2
Statements of Income 3
Statements of Changes in Members' Capital 4
Notes to Financial Statements 5-10
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INDEPENDENT AUDITORS' REPORT
To the Members of
ML Multi-Manager Portfolio LLC (in Liquidation):
We have audited the accompanying statements of financial condition of ML
Multi-Manager Portfolio LLC (in liquidation) (the "Company") as of December 31,
2004 and 2003, and the related statements of income and of changes in members'
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 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 Company'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, 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 Multi-Manager Portfolio LLC (in
liquidation) as of December 31, 2004 and 2003, and the results of its operations
and changes in its members' capital for the years then ended 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 MULTI-MANAGER PORTFOLIO LLC
(A Delaware Limited Liability Company)
(In Liquidation)
STATEMENTS OF FINANCIAL CONDITION
DECEMBER 31, 2004 AND 2003
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<Caption>
2004 2003
--------------- ---------------
ASSETS:
Equity in commodity futures trading accounts:
Cash $ 100,853,909 $ 144,643,694
Net unrealized profit on open contracts 376,534 3,718,704
Accrued interest and other receivables 191,267 113,821
--------------- ---------------
TOTAL $ 101,421,710 $ 148,476,219
=============== ===============
LIABILITIES AND MEMBERS' CAPITAL
LIABILITIES:
Brokerage commissions payable $ 400,425 $ 480,455
Profit Shares payable 751,758 1,200,000
Administrative fees payable 11,885 14,465
Due to Members 100,257,642 6,652,454
--------------- ---------------
Total liabilities 101,421,710 8,347,374
--------------- ---------------
MEMBERS' CAPITAL:
Voting Members - 140,128,845
--------------- ---------------
Total Members' capital - 140,128,845
--------------- ---------------
TOTAL $ 101,421,710 $ 148,476,219
=============== ===============
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See notes to financial statements.
2
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STATEMENTS OF INCOME
FOR THE YEARS ENDED DECEMBER 31, 2004 AND 2003
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2004 2003
--------------- ---------------
TRADING REVENUES:
Trading profit (loss):
Realized $ 8,895,466 $ 16,148,311
Change in unrealized (3,342,894) (812,432)
--------------- ---------------
Total trading revenues 5,552,572 15,335,879
--------------- ---------------
INVESTMENT INCOME:
Interest 1,582,198 1,677,075
--------------- ---------------
EXPENSES:
Brokerage commissions 5,788,977 6,518,807
Profit Shares 1,125,625 2,244,341
Administrative fees 175,085 230,413
--------------- ---------------
Total expenses 7,089,687 8,993,561
--------------- ---------------
NET INVESTMENT LOSS (5,507,489) (7,316,486)
--------------- ---------------
NET INCOME $ 45,083 $ 8,019,393
=============== ===============
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See notes to financial statements.
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STATEMENTS OF CHANGES IN MEMBERS' CAPITAL
FOR THE YEARS ENDED DECEMBER 31, 2004 AND 2003
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VOTING MEMBERS
---------------
MEMBERS' CAPITAL,
DECEMBER 31, 2002 $ 173,454,478
Additions 1,030,138
Net income 8,019,393
Withdrawals (42,375,164)
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MEMBERS' CAPITAL,
DECEMBER 31, 2003 140,128,845
Additions 753,224
Net income 45,083
Withdrawals (140,927,152)
---------------
MEMBERS' CAPITAL,
DECEMBER 31, 2004 $ -
===============
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See notes to financial statements.
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NOTES TO FINANCIAL STATEMENTS
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
ORGANIZATION AND DISSOLUTION OF THE COMPANY
ML Multi-Manager Portfolio LLC (the "Company") was organized under the
Delaware Limited Liability Company Act on May 11, 1998 and commenced
trading activities on June 1, 1998. Effective December 31, 2004, the
Company suspended all trading operations and began the formal liquidation
of the Company. All commodity positions were liquidated or offset and no
other trading occurred. In accordance with the liquidation, the
Organization Agreement terminated and the members redeemed their capital.
The Company engaged in the speculative trading of futures, options on
futures, forwards and options on forward contracts on a wide range of
commodities. Merrill Lynch Investment Managers, LLC ("MLIM 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"), was delegated administrative authority of the
Company. Merrill Lynch, Pierce, Fenner & Smith Incorporated ("MLPF&S"), a
wholly-owned subsidiary of Merrill Lynch, was the Company's commodity
broker. The Company had one class of Membership Interests, Voting
Interests. Voting Interests were held by multi-advisor funds managed by
MLIM LLC (the "Members"). The Members controlled all business activities
and affairs of the Company by agreement of the majority interest of the
Members, subject to the discretionary trading authority vested in and
delegated to the independent trading advisors (the "Advisors") and the
administrative authority vested in and delegated to MLIM LLC. Each Member
was a "commodity pool" sponsored and controlled by MLIM LLC and shared in
the trading results of the Company in proportion to its respective capital
account.
MLIM LLC selected independent advisors to manage the Company's assets, and
allocated and reallocated the Company's 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 and the reported
amounts of revenues and expenses during the reporting period. Actual
results could have differed from those estimates.
REVENUE RECOGNITION
Commodity futures, options on futures, forwards and options on forward
contracts are recorded on the trade date and open contracts were reflected
in "net unrealized profit on open contracts" in the Statements of Financial
Condition as the difference between the original contract value and the
market value (for those commodity interests for which market quotations
were 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" in the Statements of Income.
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FOREIGN CURRENCY TRANSACTIONS
The Company's functional currency was the U.S. dollar; however, it
transacted business in currencies other than the U.S. dollar. Assets and
liabilities denominated in currencies other than the U.S. dollar were
translated into U.S. dollars at the rates in effect at the date of the
Statements of Financial Condition. Income and expense items denominated in
currencies other than the U.S. dollar were 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" in the Statements
of Income.
OPERATING EXPENSES
MLIM paid for all operating costs (including all legal, accounting,
printing, postage and similar administrative expenses) of the Company.
INCOME TAXES
No provision for income taxes was made in the accompanying financial
statements as each Member was 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
The Members were entitled to receive any distributions, which may have been
made by the Company in proportion to their respective capital accounts. No
such distributions were declared for the years ended December 31, 2004 or
2003.
WITHDRAWALS
Each Member could have withdrawn some or all of such Member's capital at
the Net Asset Value as of the close of business on any business day. There
were no withdrawal fees or charges.
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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,
2004 and 2003, are as follows:
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LONG POSTIONS SHORT POSITIONS
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2004 NUMBER UNREALIZED PERCENT OF NUMBER UNREALIZED PERCENT OF
COMMODITY INDUSTRY SECTOR OF CONTRACTS PROFIT (LOSS) NET ASSETS OF CONTRACTS PROFIT (LOSS) NET ASSETS
------------------------- ------------ ------------- ---------- ------------ ------------- ----------
Currencies 1,804,689 $ 643,810 0.66% (1,802,954) $ (390,975) -0.40%
Metals 101 354,656 0.37% (101) (230,957) -0.24%
------------- -------------
Total 2004 $ 998,466 1.03% $ (621,932) -0.64
============= =============
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NET UNREALIZED
2004 PROFIT (LOSS) PERCENT OF
COMMODITY INDUSTRY SECTOR ON OPEN POSITIONS NET ASSETS MATURITY DATES
------------------------- ----------------- ---------- --------------
Currencies $ 252,835 0.26% January 05 - March 05
Metals 123,699 0.13% January 05 - March 05
-----------------
Total 2004 $ 376,534 0.39%
=================
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LONG POSTIONS SHORT POSITIONS
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2003 NUMBER UNREALIZED PERCENT OF NUMBER UNREALIZED PERCENT OF
COMMODITY INDUSTRY SECTOR OF CONTRACTS PROFIT (LOSS) NET ASSETS OF CONTRACTS PROFIT (LOSS) NET ASSETS
------------------------- ------------ ------------- ---------- ------------ ------------- ----------
Agriculture 534 $ 759,185 0.54% (463) $ (732,340) -0.52%
Currencies 2,801,267 2,506,141 1.79% (2,039,212) (1,044,940) -0.75%
Energy 256 64,506 0.05% (6) (1,130) 0.00%
Interest rates 1,715 429,424 0.31% (425) (287,757) -0.21%
Metals 535 1,920,760 1.37% (73) (338,848) -0.24%
Stock indices 411 495,501 0.35% (76) (51,798) -0.04%
------------- -------------
Total 2003 $ 6,175,517 4.41% $ (2,456,813) -1.76%
============= =============
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NET UNREALIZED
2003 PROFIT (LOSS) PERCENT OF
COMMODITY INDUSTRY SECTOR ON OPEN POSITIONS NET ASSETS MATURITY DATES
------------------------- ----------------- ---------- --------------
Agriculture $ 26,845 0.02% January 04 - May 04
Currencies 1,461,201 1.04% January 04 - April 04
Energy 63,376 0.05% January 04 - March 04
Interest rates 141,667 0.10% February 04 - September 05
Metals 1,581,912 1.13% January 04 - October 04
Stock indices 443,703 0.31% January 04 - March 04
-----------------
Total 2003 $ 3,718,704 2.65%
=================
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At December 31, 2003 no individual contract's unrealized profit or loss
comprised greater than 5% of the Member's Capital.
At December 31, 2004 no individual contract's unrealized profit or loss
comprised greater than 5% of the Member's Capital and amounts Due to Members.
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3. FINANCIAL DATA HIGHLIGHTS
The following ratios have been derived from information provided in the
financial statements for the year ended December 31, 2004.
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TOTAL RETURN:
Total return before Profit Shares 0.93%
Profit Shares -0.97%
Total return -0.01%
RATIO TO AVERAGE MEMBERS' CAPITAL:
Expenses (excluding Profit Shares) 5.64%
Profit Shares 1.06%
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Expenses 6.71%
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Net investment loss -5.21%
======
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4. RELATED PARTY TRANSACTIONS
All of the Company's U.S. dollar assets were maintained at MLPF&S. On
assets held in U.S. dollars, Merrill Lynch credited the Company with
interest at the prevailing 91-day U.S. Treasury bill rate. The Company was
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 have derived certain economic
benefit, in excess of the interest, which Merrill Lynch paid to the Company
from the possession of such assets.
Merrill Lynch charged the Company Merrill Lynch's cost of financing
realized and unrealized losses on the Company's non-U.S. dollar-denominated
positions. Such amounts were netted against interest income due to the
insignificance of such amounts.
Following the allocation of the Company's trading profit and interest
income among the Members' Capital Accounts, MLIM LLC calculated the
brokerage commissions, Profit Shares, administrative fees and other
expenses due from the Company to third parties, relating to the Company's
trading on behalf of the Members. Such brokerage commissions, fees and
expenses were calculated specifically for each Member (not pro rata based
on the Members' respective capital accounts) and deducted from the Members'
capital accounts and paid out by the Company. The Company paid brokerage
commissions to MLPF&S at a flat monthly rate reflecting the fee arrangement
between each Member and MLPF&S. For the years ended December 31, 2004 and
2003, the monthly rates for Members ranged from .291 of 1% (a 3.50% annual
rate) to .729 of 1% (an 8.75% annual rate) of each Member's month-end
assets invested in the Company.
The Company paid MLIM LLC a monthly administrative fee ranging from .021 of
1% (a 0.25% annual rate) to .083 of 1% (a 1.00% annual rate) of each
Member's month-end assets for the years ended December 31, 2004 and 2003.
Month-end assets were 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 paid the Advisors annual consulting fees up to 2.5% of the Company's
average month-end assets allocated to them for management after reduction
for a portion of the brokerage commissions.
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5. ADVISORY AGREEMENTS
Pursuant to the Advisory Agreements among the Advisors, the Company and
MLIM LLC, the Advisors determined the commodity futures, options on
futures, forwards and options on forward contracts traded on behalf of the
Company, subject to certain rights reserved by MLIM LLC. The Advisory
Agreements generally renewed one year after they were entered into, subject
to certain renewal rights exercisable by the Company.
The Company paid, from the Capital Account of each Member, to the Advisors
quarterly or annual Profit Shares generally ranged from 20% to 25% of any
New Trading Profit, as defined, recognized by each Advisor, attributed to
each Member's Capital Account, considered individually irrespective of the
overall performance of the such Member's Capital Account. Profit Shares,
which were calculated separately in respect of each Member's Capital
Account, were determined as of the end of each calendar quarter or year and
were also paid to each Advisor upon the withdrawal of capital from the
Company by a Member.
6. FAIR VALUE AND OFF-BALANCE SHEET RISK
The nature of this Company had certain risks, which could 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. 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 Company's "net unrealized profit on open contracts" related
to such derivative instruments as reflected in the Statements of Financial
Condition. The Company's exposure to market risk was influenced by a number
of factors, including the relationships among the derivative instruments
held by the Company as well as the volatility and liquidity of the markets
in which the derivative instruments were traded.
MLIM LLC had procedures in place intended to control market risk exposure,
although there can be no assurance that they would, in fact, succeed in
doing so. These procedures focused primarily on monitoring the trading of
the Advisors, calculating the Net Asset Value of the Company as of the
close of business on each day and reviewing outstanding positions for
over-concentrations. While MLIM LLC did not itself intervene in the markets
to hedge or diversify the Company's market exposure, MLIM LLC may have
urged the Advisors to reallocate positions in an attempt to avoid
over-concentrations. However, such interventions were unusual. Except in
cases in which it appeared that the Advisors had begun to deviate from past
practice or trading policies or to be trading erratically, MLIM LLC's basic
risk control procedures consisted simply of the ongoing process of Advisor
monitoring, 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 also require
margin in the over-the-counter markets.
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The credit risk associated with these instruments from counterparty
nonperformance was the "net unrealized profit on open contracts", if any,
included in the Statements of Financial Condition. The Company attempted to
mitigate this risk by dealing almost exclusively with Merrill Lynch
entities as clearing brokers.
The Company, in its normal course of business, entered 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 were offset and reported as a net
receivable or payable under "net unrealized profit on open contracts" on
the Statements of Financial Condition.
* * * * * * * *
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 Managers, LLC
Commodity Pool Operator of
ML Multi-Manager Portfolio LLC
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