<Page>
Exhibit 99.13.01(a)
ML MILLBURN GLOBAL L.L.C.
(A DELAWARE LIMITED LIABILITY COMPANY)
Financial Statements for the years ended
December 31, 2004 and 2003 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, 2004 AND 2003:
Statements of Financial Condition 2
Statements of Operations 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, 2004 and 2003, and the
related statements of operations and 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 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. 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,
2004 and 2003, 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.
New York, New York
March 28, 2005
<Page>
ML MILLBURN GLOBAL L.L.C.
(A Delaware Limited Liability Company)
STATEMENTS OF FINANCIAL CONDITION
DECEMBER 31, 2004 AND 2003
<Table>
<Caption>
2004 2003
------------- -------------
ASSETS:
Equity in commodity futures trading accounts:
Cash $ 12,848,919 $ 14,851,658
Net unrealized profit on open contracts 278,141 905,882
Due from invested funds 773,769 605,436
Accrued interest 22,899 11,365
------------- -------------
TOTAL $ 13,923,728 $ 16,374,341
============= =============
LIABILITIES AND MEMBER'S CAPITAL
LIABILITIES:
Brokerage commissions payable $ 103,475 $ 111,679
Profit Shares payable - 270,959
Administrative fees payable 2,737 3,284
total liabilities 106,212 385,922
------------- -------------
MEMBER'S CAPITAL:
Voting Member 13,817,516 15,988,419
------------- -------------
Total Member's capital 13,817,516 15,988,419
------------- -------------
TOTAL $ 13,923,728 $ 16,374,341
============= =============
</Table>
See notes to financial statements.
2
<Page>
ML MILLBURN GLOBAL L.L.C.
(A Delaware Limited Liability Company)
STATEMENTS OF OPERATIONS
FOR THE YEARS ENDED DECEMBER 31, 2004 AND 2003
<Table>
<Caption>
2004 2003
------------- -------------
TRADING REVENUES:
Trading profit (loss):
Realized $ 321,008 $ 2,513,085
Change in unrealized (627,730) (142,930)
------------- -------------
Total trading revenues (306,722) 2,370,155
INVESTMENT INCOME:
Interest 180,133 171,290
------------- -------------
EXPENSES:
Brokerage commissions 1,137,319 1,400,367
Profit Shares 5,427 310,215
Administrative fees 33,451 41,187
------------- -------------
Total expenses 1,176,197 1,751,769
------------- -------------
NET INVESTMENT LOSS (996,064) (1,580,479)
------------- -------------
NET INCOME (LOSS) $ (1,302,786) $ 789,676
============= =============
</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, 2004 AND 2003
<Table>
VOTING MEMBER
-------------
MEMBER'S CAPITAL,
DECEMBER 31, 2002 $ 15,464,388
Net income 789,676
Withdrawals (1,268,287)
Additions 1,002,642
-------------
MEMBER'S CAPITAL,
DECEMBER 31, 2003 15,988,419
Net loss (1,302,786)
Withdrawals (1,770,347)
Additions 902,230
-------------
MEMBER'S CAPITAL,
DECEMBER 31, 2004 $ 13,817,516
=============
</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. Merrill Lynch Alternative Investments LLC
("MLAI"), a wholly-owned subsidiary of Merrill Lynch Investment Managers
L.P. ("MLIM") which in turn, is an indirect wholly-owned subsidiary of
Merrill Lynch & Co., Inc. ("Merrill Lynch"), has been delegated
administrative authority of the Company. Merrill Lynch, Pierce Fenner &
Smith Incorporated ("MLPF&S"), a wholly-owned subsidiary of Merrill Lynch,
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 MLAI, 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 "Member"). The 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 MLAI. The Member is a "commodity pool" sponsored and managed
by MLAI.
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 as 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" in the Statements of Operations.
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 "realized" in the Statement of Operations.
OPERATING EXPENSES
MLAI 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
The Company has made no distributions for the years ended December 31, 2004
or 2003.
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 SCHEDULES 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:
<Table>
<Caption>
2004 LONG POSITIONS SHORT POSITIONS
- ---- ------------------------------------------ -----------------------------------------------
UNREALIZED
COMMODITY NUMBER OF UNREALIZED PERCENT OF NUMBER OF PROFIT (LOSS) PERCENT OF
INDUSTRY SECTOR CONTRACTS PROFIT (LOSS) NET ASSETS CONTRACTS ON OPEN POSITIONS NET ASSETS
- --------------- --------- -------------- ---------- ---------- ----------------- ----------
Currencies 5,631,733 $ 611,652 4.43% (2,670,197) $ (457,560) -3.31%
Interest rates 201 (4,731) -0.03% (147) 3,971 0.03%
Metals 66 1,410 0.00% (6) 6,128 0.04%
Stock indices 172 117,271 0.85% - - 0.00%
-------------- -----------------
Total $ 725,602 5.25% $ (447,461) -3.24%
============== =================
<Caption>
2004
- ----
NET UNREALIZED
COMMODITY PROFIT (LOSS) ON PERCENT OF
INDUSTRY SECTOR OPEN POSITIONS NET ASSETS MATURITY DATES
- --------------- ---------------- ---------- -------------------------
Currencies $ 154,092 1.12% March 05
Interest rates (760) 0.00% March 05 - December 05
Metals 7,538 0.04% February 05 - December 05
Stock indices 117,271 0.85% January 05 - March 05
----------------
Total $ 278,141 2.01%
================
</Table>
<Table>
<Caption>
2003 LONG POSITIONS SHORT POSITIONS
- ---- ------------------------------------------ -----------------------------------------------
UNREALIZED
COMMODITY NUMBER OF UNREALIZED PERCENT OF NUMBER OF PROFIT (LOSS) PERCENT OF
INDUSTRY SECTOR CONTRACTS PROFIT (LOSS) NET ASSETS CONTRACTS ON OPEN POSITIONS NET ASSETS
- --------------- ---------- -------------- ---------- ------------ ----------------- ----------
Currencies 22,422,705 $ 1,632,249 10.21% (32,100,949) $ (938,300) -5.87%
Interest rates 443 9,780 0.06% (35) (3,213) -0.02%
Metals 107 119,265 0.74% - - 0.00%
Stock indices 95 86,101 0.54% - - 0.00%
-------------- -----------------
Total $ 1,847,395 11.55% $ (941,513) -5.89%
============== =================
<Caption>
2003
- ----
COMMODITY NET UNREALIZED PERCENT OF
INDUSTRY SECTOR PROFIT (LOSS) NET ASSETS MATURITY DATES
- --------------- ---------------- ---------- ----------------------
Currencies $ 693,949 4.34% March 04
Interest rates 6,567 0.04% March 04 - June 04
Metals 119,265 0.74% February 04 - March 04
Stock indices 86,101 0.54% January 04 - March 04
----------------
Total $ 905,882 5.66%
================
</Table>
No individual contract's unrealized gain or loss comprised greater than 5%
of the Member's Capital at December 31, 2004 or 2003.
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, 2004.
<Table>
TOTAL INVESTMENT RETURN:
Total return before Profit Shares -8.43%
Profit shares 0.01%
Total return -8.36%
=========
RATIOS TO AVERAGE MEMBER'S CAPITAL:
Expenses (excluding Profit Shares) 8.74%
Profit Shares 0.04%
---------
Expenses 8.78%
=========
Net investment loss -7.43%
=========
</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 MLPF&S 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 that 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. Such amounts are netted against interest income due to the
insignificance of such amounts.
Following the allocation of the Company's trading profit (loss) and
interest income to the Member's capital account, MLAI 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 .708 of 1% (a 8.50% annual rate) of the
Member's month-end trading assets, reflecting the fee arrangement between
the Member and MLPF&S.
The Company pays MLPF&S a monthly administrative fee of .021 of 1% (a .25%
annual rate) of the Member's month-end trading 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 pays Millburn an annual consulting fee of 2% of the Company's
average month-end trading 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 MLAI.
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.
6. FAIR VALUE AND OFF-BALANCE SHEET RISK
The nature of this Company has certain risks, which cannot 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.
MLAI 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 Member's capital account as of the close of
business each day and reviewing outstanding positions for
over-concentrations. While MLAI does not itself intervene in the markets to
hedge or diversify the Company's market exposure; MLAI 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, MLAI'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.
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 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.
Michael L. Pungello
Chief Financial Officer
Merrill Lynch Alternative Investments 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, 2004 and 2003 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, 2004 AND 2003:
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 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, 2004
and 2003, and the related statements of income and 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
consideration of internal control 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. 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, 2004 and 2003, 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.
New York, New York
March 28, 2005
<Page>
ML JWH FINANCIAL AND METALS PORTFOLIO L.L.C.
(A Delaware Limited Liability Company)
STATEMENTS OF FINANCIAL CONDITION
DECEMBER 31, 2004 AND 2003
<Table>
<Caption>
2004 2003
------------------ ------------------
ASSETS:
Equity in commodity futures trading accounts:
Cash $ 14,132,131 $ 16,043,538
Net unrealized profit on open contracts 1,257,649 911,789
Accrued interest 25,078 11,586
------------------ ------------------
TOTAL $ 15,414,858 $ 16,966,913
================== ==================
LIABILITIES AND MEMBER'S CAPITAL
LIABILITIES:
Brokerage commissions payable $ 98,699 $ 120,040
Administrative fees payable 3,209 3,530
Profit Shares payable 97,526 -
Due to Member 1,397,907 854,923
------------------ ------------------
Total liabilities 1,597,341 978,493
------------------ ------------------
MEMBER'S CAPITAL:
Voting Member 13,817,517 15,988,420
------------------ ------------------
Total Member's capital 13,817,517 15,988,420
------------------ ------------------
TOTAL $ 15,414,858 $ 16,966,913
================== ==================
</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, 2004 AND 2003
<Table>
<Caption>
2004 2003
------------------ ------------------
TRADING REVENUES
Trading profit (loss):
Realized $ 1,375,796 $ 4,981,174
Change in unrealized 345,861 (481,197)
------------------ ------------------
Total trading revenues 1,721,657 4,499,977
INVESTMENT INCOME
Interest income 187,686 167,813
------------------ ------------------
EXPENSES
Brokerage commissions 1,172,113 1,423,539
Profit Shares 126,184 400,765
Administrative fees 34,474 41,869
------------------ ------------------
Total expenses 1,332,771 1,866,173
------------------ ------------------
NET INVESTMENT LOSS (1,145,085) (1,698,360)
------------------ ------------------
NET INCOME $ 576,572 $ 2,801,617
================== ==================
</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, 2004 AND 2003
<Table>
<Caption>
VOTING MEMBER
------------------
MEMBER'S CAPITAL,
DECEMBER 31, 2002 $ 15,464,388
Net income 2,801,617
Withdrawals (2,277,585)
------------------
MEMBER'S CAPITAL,
DECEMBER 31, 2003 15,988,420
Net income 576,572
Withdrawals (2,747,475)
------------------
MEMBER'S CAPITAL,
DECEMBER 31, 2004 $ 13,817,517
==================
</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. Merrill Lynch Alternative Investments
LLC ("MLAI"), a wholly-owned subsidiary of Merrill Lynch Investment
Managers ("MLIM") which in turn, is an indirect wholly-owned subsidiary of
Merrill Lynch & Co., Inc. ("Merrill Lynch") has been delegated
administrative authority of the Company. Merrill Lynch, Pierce, Fenner &
Smith Incorporated ("MLPF&S"), a wholly-owned subsidiary of Merrill Lynch,
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 MLAI, would not participate in the management of the
Company, or engage in, directly or indirectly, 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 "Member"). The 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 MLAI. The Member is a "commodity pool" sponsored and managed
by MLAI.
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 as 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" 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 "realized" in the Statements of Income.
OPERATING EXPENSES
MLAI 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
The Company has made no distributions for the years ended December 31, 2004
or 2003.
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 SCHEDULES 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:
<Table>
<Caption>
2004 LONG POSITIONS SHORT POSITIONS
- ---- --------------------------------------------- -----------------------------------------
UNREALIZED
COMMODITY NUMBER OF UNREALIZED PROFIT PERCENT OF NUMBER OF PROFIT (LOSS) PERCENT OF
INDUSTRY SECTOR CONTRACTS (LOSS) NET ASSETS CONTRACTS ON OPEN POSITIONS
- ------------------ ------------ ----------------- ---------- ---------- ----------------- ----------
Currencies 1,981,921 $ 1,365,771 9.88% (817,690) $ (222,105) -1.61%
Interest rates 774 (68,051) -0.49% (144) (25,200) -0.18%
Metals 99 205,656 1.49% (10) (72,350) -0.52%
Stock indices 189 73,928 0.53% - - 0.00%
----------------- ----------------
Total $ 1,577,304 11.41% $ (319,655) -2.31%
================= ================
<Caption>
2004
- -----
NET UNREALIZED
COMMODITY PROFIT (LOSS) ON PERCENT OF
INDUSTRY SECTOR OPEN POSITIONS NET ASSETS MATURITY DATES
- ------------------ ---------------- ----------- ------------------------
Currencies $ 1,143,666 8.27% March 2005
Interest rates (93,251) -0.67% March 05 - December 05
Metals 133,306 0.97% January 05 - February 05
Stock indices 73,928 0.53% March 2005
----------------
Total $ 1,257,649 9.10%
================
</Table>
<Table>
<Caption>
2003 LONG POSITIONS SHORT POSITIONS
- ---- --------------------------------------------- -----------------------------------------
UNREALIZED
COMMODITY NUMBER OF UNREALIZED PROFIT PERCENT OF NUMBER OF PROFIT (LOSS) PERCENT OF
INDUSTRY SECTOR CONTRACTS (LOSS) NET ASSETS CONTRACTS ON OPEN POSITIONS NET ASSETS
- ------------------ ------------ ----------------- ---------- ---------- ----------------- ----------
Currencies 2,064,614 $ 775,452 4.85% (855,900) $ (33,570) -0.21%
Interest rates 419 (35,078) -0.22% - - 0.00%
Metals 111 273,979 1.71% - - 0.00%
Stock indices 111 96,935 0.61% (27) (165,929) -1.04%
----------------- ---------------
Total $ 1,111,288 6.95% $ (199,499) -1.25%
================= ===============
<Caption>
2003
- ----
NET UNREALIZED
COMMODITY PROFIT (LOSS) ON PERCENT OF
INDUSTRY SECTOR OPEN POSITIONS NET ASSETS MATURITY DATES
- ------------------ ---------------- ----------- ----------------------
Currencies $ 741,882 4.64% March 04
Interest rates (35,078) -0.22% March 04 - December 04
Metals 273,979 1.71% February 04 - March 04
Stock indices (68,994) -0.43% March 04
----------------
Total $ 911,789 5.70%
================
</Table>
No individual contract's unrealized gain or loss comprised greater than 5% of
the Member's Capital at December 31, 2004 or 2003.
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, 2004.
<Table>
TOTAL RETURN:
Total return before Profit Shares 5.19%
Profit Shares -0.89%
Total return 4.49%
RATIOS TO AVERAGE MEMBER'S CAPITAL:
Expenses (excluding Profit Shares) 8.86%
Profit Shares 0.93%
------------
Expenses 9.79%
============
Net investment loss -8.41%
============
</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 MLPF&S 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 that 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. Such amounts are netted against interest income due to the
insignificance of such amounts.
Following the allocation of the Company's trading profit (loss) and
interest income among the Member's respective capital accounts, MLAI
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 a flat monthly rate of .708 of 1% (an 8.5% annual
rate) of the Member's month-end trading assets reflecting the fee
arrangement between the Member and MLPF&S.
The Company pays MLPF&S a monthly administrative fee of .021 of 1% (a .25%
annual rate) of the Member's month-end trading 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 pays the Advisor an annual consulting fee of 2% of the Company's
average month-end trading 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 MLAI.
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 the Member for whatever purpose,
other than to pay expenses.
6. FAIR VALUE AND OFF-BALANCE SHEET RISK
The nature of this Company has certain risks, which cannot 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.
MLAI 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 Member's capital account as of the close of
business each day and reviewing outstanding positions for
over-concentrations. While MLAI does not itself intervene in the markets to
hedge or diversify the Company's market exposure, MLAI 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, MLAI'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.
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 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.
Michael L. Pungello
Chief Financial Officer
Merrill Lynch Alternative Investments LLC
Commodity Pool Operator
ML JWH Financial and Metals Portfolio L.L.C.
10