-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, QsTB+/6ZSHZtpNh3exWW/jeqPtSpn/aCxf/FUjgnXx2twezVWfgaQvB4Koj1oOTZ xrceaiJRkpbibkXcgUs2Iw== 0001047469-04-026443.txt : 20040813 0001047469-04-026443.hdr.sgml : 20040813 20040813114542 ACCESSION NUMBER: 0001047469-04-026443 CONFORMED SUBMISSION TYPE: 10-Q PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20040630 FILED AS OF DATE: 20040813 FILER: COMPANY DATA: COMPANY CONFORMED NAME: ML FUTURES INVESTMENTS LP CENTRAL INDEX KEY: 0000835666 STANDARD INDUSTRIAL CLASSIFICATION: [6221] IRS NUMBER: 363590615 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 10-Q SEC ACT: 1934 Act SEC FILE NUMBER: 000-17543 FILM NUMBER: 04972530 BUSINESS ADDRESS: STREET 1: MERRILL LYNCH WORLD HDQTS S.TOWER 6THFL STREET 2: C/O ML FUTURES INVESTMENT PARTNERS INC CITY: NEW YORK STATE: NY ZIP: 10080 BUSINESS PHONE: 2122364161 MAIL ADDRESS: STREET 1: MERRILL LYNCH & CO STREET 2: WORLD FINANCIAL CTR, SOUTH TOWER, 6TH FL CITY: NEW YORK STATE: NY ZIP: 10080-6106 FORMER COMPANY: FORMER CONFORMED NAME: ML FUTURES INVESTMENTS L P DATE OF NAME CHANGE: 19920623 FORMER COMPANY: FORMER CONFORMED NAME: TUDOR PRIME ADVISORS FUND LP DATE OF NAME CHANGE: 19920316 10-Q 1 a2141851z10-q.txt 10-Q UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM 10-Q (Mark One) /X/ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the quarterly period ended June 30, 2004 OR / / TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the transition period from _____________ to _____________ Commission File Number 33-22864 ML FUTURES INVESTMENTS L.P. --------------------------- (Exact Name of Registrant as specified in its charter) Delaware 36-3590615 - ------------------------------- --------------------------------- (State or other jurisdiction of (IRS Employer Identification No.) incorporation or organization) c/o Merrill Lynch Investment Managers LLC 222 Broadway 27th Floor New York, NY 10038-2510 ----------------------- (Address of principal executive offices) (Zip Code) 609-282-6996 ---------------------------------------------- (Registrant's telephone number, including area code) Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15 (d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes /X/ No / / PART I - FINANCIAL INFORMATION Item 1. Financial Statements ML FUTURES INVESTMENTS L.P. (A DELAWARE LIMITED PARTNERSHIP) STATEMENTS OF FINANCIAL CONDITION
JUNE 30, 2004 DECEMBER 31, (UNAUDITED) 2003 -------------- -------------- ASSETS Investment in MM LLC $ 47,667,725 $ 53,823,502 Receivable from MM LLC 593,025 741,550 -------------- -------------- TOTAL $ 48,260,750 $ 54,565,052 ============== ============== LIABILITY AND PARTNERS' CAPITAL Redemptions payable $ 593,025 $ 741,550 -------------- -------------- Total liabilities 593,025 741,550 -------------- -------------- PARTNERS' CAPITAL: General Partners (506,504 and 506,491 Units) 526,839 550,885 Limited Partners (45,302,958 and 48,959,640 Units) 47,140,886 53,272,617 -------------- -------------- Total partners' capital 47,667,725 53,823,502 -------------- -------------- TOTAL $ 48,260,750 $ 54,565,052 ============== ============== NET ASSET VALUE PER UNIT (Based on 45,809,462 and 49,466,131 Units outstanding) $ 1.0406 $ 1.0881 ============== ==============
See notes to financial statements. 2 ML FUTURES INVESTMENTS L.P. (A DELAWARE LIMITED PARTNERSHIP) STATEMENTS OF OPERATIONS (unaudited)
FOR THE THREE FOR THE THREE FOR THE SIX FOR THE SIX MONTHS ENDED MONTHS ENDED MONTHS ENDED MONTHS ENDED JUNE 30, JUNE 30, JUNE 30, JUNE 30, 2004 2003 2004 2003 -------------- --------------- ---------------- -------------- REVENUES: Trading profits (loss): Realized $ (1,506,914) $ 3,191,836 $ 3,237,802 $ 8,520,079 Change in unrealized (2,262,889) 450,510 (3,288,535) (2,467,231) -------------- --------------- ---------------- -------------- Total trading results (3,769,803) 3,642,346 (50,733) 6,052,848 -------------- --------------- ---------------- -------------- Interest income 124,042 160,434 246,548 330,237 -------------- --------------- ---------------- -------------- Total revenues (3,645,761) 3,802,780 195,815 6,383,085 -------------- --------------- ---------------- -------------- EXPENSES: Brokerage commissions 1,018,168 1,218,638 2,131,461 2,427,174 Administrative fees 29,946 35,843 62,690 71,388 Profit shares (494,198) 430,168 147,300 810,207 -------------- --------------- ---------------- -------------- Total expenses 553,916 1,684,649 2,341,451 3,308,769 -------------- --------------- ---------------- -------------- NET INCOME (LOSS) $ (4,199,677) $ 2,118,131 $ (2,145,636) $ 3,074,316 ============== =============== ================ ============== NET INCOME (LOSS) PER UNIT: Weighted average number of General Partner and Limited Partner Units outstanding 46,828,414 53,542,915 47,792,479 54,553,199 ============== =============== ================ ============== Net income (loss) per weighted average Limited Partner and General Partner Unit $ (0.0897) $ 0.0396 $ (0.0449) $ 0.0564 ============== =============== ================ ==============
All revenues and expenses are derived from the investment in MM LLC. See notes to financial statements. 3 ML FUTURES INVESTMENTS L.P. (A DELAWARE LIMITED PARTNERSHIP) STATEMENTS OF CHANGES IN PARTNERS' CAPITAL FOR THE SIX MONTHS ENDED JUNE 30, 2004 AND 2003 (unaudited)
UNITS GENERAL PARTNER LIMITED PARTNERS TOTAL -------------- --------------- ---------------- -------------- PARTNERS' CAPITAL, December 31, 2002 44,778 $ 123,877 $ 11,728,631 $ 11,852,508 Partnership combination (Note 2) 56,013,115 460,679 43,744,706 44,205,385 Net income - 32,457 3,041,859 3,074,316 Redemptions (3,523,597) (64) (3,681,008) (3,681,072) -------------- --------------- ---------------- -------------- PARTNERS' CAPITAL, June 30, 2003 52,534,296 $ 616,949 $ 54,834,188 $ 55,451,137 ============== =============== ================ ============== PARTNERS' CAPITAL, December 31, 2003 49,466,131 $ 550,885 $ 53,272,617 $ 53,823,502 Net income - (24,046) (2,121,590) (2,145,636) Redemptions (3,656,669) - (4,010,141) (4,010,141) -------------- --------------- ---------------- -------------- PARTNERS' CAPITAL, June 30, 2004 45,809,462 $ 526,839 $ 47,140,886 $ 47,667,725 ============== =============== ================ ==============
See notes to financial statements. 4 ML FUTURES INVESTMENTS L.P. (A DELAWARE LIMITED PARTNERSHIP) NOTES TO FINANCIAL STATEMENTS (unaudited) 1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES In the opinion of management, the financial statements contain all adjustments (consisting of only normal recurring adjustments) necessary to present fairly the financial position of ML Futures Investments L.P. (the "Partnership") as of June 30, 2004, and the results of its operations for the three and six months ended June 30, 2004 and 2003. However, the operating results for the interim periods may not be indicative of the results for the full year. Certain information and footnote disclosures normally included in annual financial statements prepared in conformity with accounting principles generally accepted in the United States of America have been omitted. It is suggested that these financial statements be read in conjunction with the financial statements and notes thereto included in the Partnership's Annual Report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2003. 2. COMBINATION OF MULTI-ADVISOR FUNDS After the close of business on December 31, 2002, the Partnership combined its assets with five other similar Multi-Advisor Funds to form a new ML Futures Investments L.P. (the "Combined Partnership") in a tax free reorganization. All of the affected investors received 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 investors' new units is equal to the aggregate Net Asset Value of their original Units. The ratio of the Unit exchange by entity is listed below. ML Futures Investments L.P. 264.694900 ML Futures Investments II L.P. 205.193438 The S.E.C.T.O.R. Strategy Fund L.P. 207.382494 The Sector Strategy Fund II L.P. 172.917074 The Sector Strategy Fund II L.P. Sector III Units 182.523103 The Sector Strategy Fund V L.P. 147.310123 The Sector Strategy Fund VI L.P. 134.331163
Conversion of the shares had no adverse economic effect on investors in any of the Multi-Advisor Funds. Merrill Lynch Investment Managers LLC ("MLIM LLC") contributed $1,560 to the Combined Partnership, the amount necessary due to the effects of rounding, to ensure all investors received shares equal in value to their original holdings. The Partnership will continue to invest through ML Multi-Manager Portfolio ("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. After the combination of the Multi-Advisor Funds, the brokerage commission rate was reduced to 0.7083 of 1% (an 8.5% annual rate). 3. INVESTMENTS As of June 30, 2004 and December 31, 2003, the Partnership had an investment in MM LLC of $47,667,725 and $53,823,502, respectively. As of June 30, 2004, and December 31, 2003, the Partnership's percentage ownership share of MM LLC was 45.73% and 38.41%, respectively. 5 Condensed statements of financial condition and statements of operations for MM LLC are set forth as follows:
JUNE 30, 2004 DECEMBER 31, (UNAUDITED) 2003 -------------- -------------- Assets $ 108,718,324 $ 148,476,219 ============== ============== Liabilities $ 4,487,257 $ 8,347,374 Members' Capital 104,231,067 140,128,845 -------------- -------------- Total $ 108,718,324 $ 148,476,219 ============== ==============
FOR THE THREE MONTHS FOR THE THREE MONTHS FOR THE SIX MONTHS FOR THE SIX MONTHS ENDED JUNE 30, 2004 ENDED JUNE 30, 2003 ENDED JUNE 30, 2004 ENDED JUNE 30, 2003 (UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED) -------------------- -------------------- -------------------- -------------------- Revenues $ (5,290,845) $ 5,969,103 $ 317,226 $ 10,541,402 Expenses 909,115 2,459,957 3,386,399 5,054,477 -------------------- -------------------- -------------------- -------------------- Net Income (Loss) $ (6,199,960) $ 3,509,146 $ (3,069,173) $ 5,486,925 ==================== ==================== ==================== ====================
4. 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 can not be presented in the financial statements. The following summarizes some of those risks resulting from its investment in MM LLC. MARKET RISK Derivative financial instruments involve varying degrees of off-balance sheet market risk. Changes in the level or volatility of interest rates, foreign currency exchange rates or the market values of the underlying financial instruments or commodities underlying such derivative instruments frequently results in changes in the Partnership's allocation of net unrealized profit (loss) on such derivative instruments as reflected in the 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 such markets in which such derivative instruments are traded. The General Partner, MLIM LLC, has procedures in place intended to control market risk exposure, although there can be no assurance that they will, in fact, succeed in doing so. These procedures focus primarily on monitoring the trading of the Advisors selected from time to time for MM LLC, and include calculating the Net Asset Value of the Advisors' respective Partnership accounts and MM LLC accounts as of the close of business on each day and reviewing outstanding positions for over- 6 concentrations both on an Advisor-by-Advisor and on an overall Partnership basis. While MLIM LLC does not itself intervene in the markets to hedge or diversify the Partnership's market exposure, MLIM LLC may urge Advisors to reallocate positions, or itself reallocate Partnership assets, through MM LLC, among Advisors (although typically only as of the end of a month) in an attempt to avoid over-concentrations. However, such interventions are unusual. Except in cases in which it appears that an Advisor has begun to deviate from past practice or trading policies or to be trading erratically, MLIM LLC's basic risk control procedures consist simply of the ongoing process of advisor monitoring and selection with the market risk controls being applied by the Advisors themselves. CREDIT RISK The risks associated with exchange-traded contracts are typically perceived to be less than those associated with over-the-counter (non-exchange-traded) transactions, because exchanges typically (but not universally) provide clearinghouse arrangements in which the collective credit (in some cases limited in amount, in some cases not) of the members of the exchange is pledged to support the financial integrity of the exchange. In over-the-counter transactions, on the other hand, traders must rely solely on the credit of their respective individual counterparties. Margins, which may be subject to loss in the event of a default, are generally required in exchange trading, and counterparties may require margin in the over-the-counter markets. The Partnership, through MM LLC, has credit risk with respect to its counterparties and brokers, but attempts to mitigate this risk by dealing exclusively with Merrill Lynch entities as clearing brokers. The Partnership, through MM LLC, in its normal course of business, enters into various contracts, with Merrill Lynch, Pierce, Fenner & Smith Inc. ("MLPF&S") acting as its commodity broker. Pursuant to the brokerage agreement with MLPF&S (which includes a netting arrangement), to the extent that such trading results in receivables from and payables to MLPF&S, these receivables and payables are offset and reported as a net receivable or payable in the financial statements of MM LLC in the Equity in commodity futures trading accounts in the Statements of Financial Condition. Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations MONTH-END NET ASSET VALUE PER UNIT
JAN. FEB. MAR. APR. MAY. JUN. ----------------------------------------------------------------------------------- 2003 $ 1.0317 $ 1.0629 $ 1.0162 $ 1.0217 $ 1.0734 $ 1.0555 2004 $ 1.0929 $ 1.1324 $ 1.1301 $ 1.0899 $ 1.0748 $ 1.0406
Performance Summary All of the Partnership's assets are invested in MM LLC. The Partnership recognizes trading profits or losses as an investor in MM LLC. The following commentary describes the trading results of MM LLC. JANUARY 1, 2004 TO JUNE 30, 2004 January 1, 2004 to March 31, 2004 MM LLC experienced gains in the interest rate, metals, agricultural commodities, energy, and currency sectors and losses in stock indices. Overall, for the quarter, MM LLC experienced gains. The interest sector posted the largest gains for the quarter despite choppy trading conditions early in the quarter. In January, profits were generated from various positions at the short end of the curve in Canada and Europe, while losses were posted at longer points in the curve in both the U.S. and Europe. In 7 February, fixed income markets resumed their slow upward trend. In March, long exposure to most of the major global yield curves proved to generate positive results. The metals sector posted gains for the quarter as well. In January, both precious and industrial metals generated positive returns from the long side. Base metals continued to move higher with the exception of nickel. Copper rose to its highest price in more than six years due to supply disruptions and heavy demand from new home construction. In February, base metals continued their upward move as the sector experienced strong demand, shrinking supply and U.S. dollar weakness, helping to drive prices higher. Strong industrial demand for copper and continued speculative interest pushed the market to a seven year high. In March, industrial metals generated minor losses for MM LLC, while precious metals contributed significantly, particularly, gold and silver. The agricultural commodities sector posted gains early in the quarter as the USDA cut its forecast of the crop supply for both soybeans and corn, which sent prices surging. In February, grain markets extended their long-term rally, with corn and soybeans being pushed to highs on strong demand and low stockpiles. Grain markets continued to extend their long-term rally in March, with corn, soybeans and soymeal being pushed higher on strong demand from Asia and lower estimates of supply from South America. The energy sector posted gains for the quarter. In crude oil and more broad energy markets, weather and OPEC were the dominant factors behind price moves during January. Weather was extremely cold in the Northeast and Midwest U.S., which caused a sharp rally in natural gas and heating oil. Crude oil had a sharp rally in early February and gradually sold-off as the markets became complacent about the OPEC meeting. The market continued this trend, as weather-related demand and tight U.S. inventories continued. In March, the energy sectors posted a small loss under extremely volatile market conditions. The crude oil market had very choppy performance during the month, as did the heating oil market. The currency sector posted slight gains for the quarter. The currency sector began the quarter with gains as it continued its long trend of a weakening U.S. dollar. However, trading was very choppy and gains generated in the early part of January were lost. In February and March, the trend continued as currency trading was very difficult due to the heightened volatility in the markets. Stock indices posted losses despite gains early in the quarter. Stock indices posted a profit for January, as long exposure to global equities from momentum based and fundamental models performed well. In February, long exposure to global equities produced positive performance. In March, stock indices posted a loss that exceeded the gains from earlier in the quarter. Long Nikkei profits were overcome by losses in long exposure to European equities, which later flipped to short positions by month-end. April 1, 2004 to June 30, 2004 MM LLC experienced an overall loss for the quarter. The energy sector was the only profitable sector for MM LLC. The energy sector posted gains for the quarter despite volatile market conditions. Crude oil and unleaded gas were the main drivers of performance. In May, crude oil prices continued to increase during the month, including refined products, as did market volatility. Political uncertainties in the Middle East added an additional risk premium to the markets. Losses were posted for the month of June. Crude oil and heating oil were the largest contributors to losses as markets sold-off early during the month when OPEC agreed to provide more supply, while U.S. inventory levels showed a gradual increase. The MM LLC maintained a long bias in this sector throughout the quarter. The agricultural sector posted a loss for the quarter despite small gains in April and June. Early in the quarter, agricultural markets reversed their upward trend with the fear that demand from China would slow down. Long exposure to the soybean complex outweighed losses in other markets, particularly 8 corn. Large losses were posted in May. Soybean prices collapsed, and sold off close to 20% from highs in April as ideal weather conditions persisted in the Midwest and exports failed to materialize. Demand from China and diminishing supplies had kept prices high for quite some time. Small gains were posted in June, with cotton prices dropping allowing short exposures to generate profits. Corn also posted a significant decline during the month, which caused the portfolio to adjust positions from long to short. Corn experienced a dramatic improvement in estimates of acreage and yields, due to high prices and positive weather conditions. The interest rate sector posted a loss for the quarter with small gains posted in May. In April, the fixed income markets experienced heightened volatility and then fell sharply, followed by a short bounce and then trended down for the rest of the month. The portfolio was long on many of the global yield curves at the start of the month and began reducing exposure and initiating shorts mid month. In May, Eurodollars and short sterling exposure proved profitable during the month, as strong employment figures in the U.S. confirmed a scenario whereby the Federal Reserve will raise rates by this summer and the Bank of England indicated it will raise rates to slow down the growth in economy. In June, Eurodollars fell early in the month and finally gained 28 basis points from their lows. U.S. fixed income trading was flat, while gains in trading Japanese Government bonds were outweighed by losses in trading the European yield curve. Stock indices posted losses throughout the quarter. In April, equities continued to rally in the early part of the month, but the fear of rate increase based on positive economic news sent equities falling with a steep sell-off towards the end of the month. Equities worldwide stayed weak, on concerns of the imminent rate increases in U.S. interest rates. The Japanese Nikkei experienced a sudden deterioration in sentiment, which sent the market plunging around 5% in one day. The metals sector posted losses for the quarter. In April, both industrial and precious metals generated significant losses for the portfolio. The U.S. dollar strengthening and the fear of higher interest rates, which would curb growth, caused base and precious metals to sell-off. Both industrial and precious metals generated slight losses for the portfolio in May. In June, industrial metals detracted from performance as zinc fell by approximately 11% and copper lost 3%. The currency sector posted the largest losses for the quarter. In April, the U.S. dollar strengthened considerably during the month, with the Euro falling below 120 and the British pound falling to 1.77. The Japanese yen fell sharply after a strong rebound in March. Gains in the British pound and the Euro overcame losses from the Japanese yen and Australian dollar positioning. In May, the U.S. dollar weakened against major currencies except for the Australian dollar after strengthening considerably during the prior month. Losses in the Japanese yen, Australian dollar and the Swiss franc were mitigated by gains in the British pound. In June, most major currencies displayed no clear direction, but exhibited high intra day volatility. Losses were incurred from positions in the Australian dollar, Swiss franc, British pound and other major markets. JANUARY 1, 2003 TO JUNE 30, 2003 January 1, 2003 to March 31, 2003 MM LLC experienced gains in the currency, energy, interest rate and stock index sectors and losses in the agricultural commodity and metals sectors. Overall, for the quarter, MM LLC experienced gains. The currency forward and futures trading had the most significant gains for the quarter. The weakening U.S. dollar was continuing to decline as it has for over a year and MM LLC was well positioned to capitalize on its U.S. dollar positions against other currencies. The largest gains versus the U.S. dollar during January and February were with the Australian dollar and Canadian dollar. In March, the U.S. 9 dollar strengthened on hopes that the war with Iraq would be short, and returned some of the profits from earlier in the year. Energy was a profitable sector for the quarter. With the continuation of the strike in Venezuela, the tensions with Iraq and the cold winter, long positions in oil and natural gas were profitable in the beginning of the year. In February, the best performing month, natural gas prices rose nearly 40% in a single day citing expected severely cold weather and supply shortages. MM LLC profited from this event but such volatility caused many of the Advisors to reduce their long positions. This helped MM LLC retain profits as prices declined in crude oil and natural gas in March. Interest rate futures were also profitable for the quarter. February had significant gains offsetting losses in both January and March. U.S. and European bonds rallied amid concerns of a global economic slowdown benefiting MM LLC's long exposures. Selective long/short rate exposure globally was the main driver to gains generated in the sector. The global fixed income markets continued their upward climb until mid-March when expectations of a short conflict triggered the liquidation of many fixed income investments, hurting long exposures. Trading in stock indices posted slight gains for the quarter. The market was choppy throughout the quarter making trading difficult. MM LLC was able to realize some gains in January on short positions as most indices recorded three-month lows. During the rest of the quarter, choppy markets caused short positions to be covered to protect against the risk of significant losses. The metals sector had losses for the quarter. Gold drove profits in January as it continued its run up. The general perception of risks in the financial markets and the geopolitical situation unfolding was the main driver for the gold market in January. MM LLC sustained losses in February and March as the long bias in precious metals hurt the portfolio when gold reversed its rising trend in February and continued to decline. Gold's appeal as a safe investment diminished. Trading in agricultural commodities posted losses for the quarter. MM LLC held positions in sugar, livestock and the soybean complex. Livestock markets were off in February as Russia imposed an import limit to help its domestic production. Sugar was to blame for losses in March as prices reversed and hit a two-month low. April 1, 2003 to June 30, 2003 MM LLC was profitable in the financial futures, (currencies, interest rates and stock index sectors), and incurred losses in the physical commodity sectors, energy, agriculture and metals. The currency sector was the strongest performer for MM LLC. The U.S. dollar depreciated against most major currencies throughout most of the second quarter. The currency markets judged the developments in the Middle East as negative for the U.S. economy and trade, and the U.S. dollar sold off against most major currencies. The U.S. dollar continued to weaken significantly during the month of May when U.S. Treasury Secretary Snow indicated he was comfortable with current declines and that a cheaper U.S. dollar would increase exports. The U.S. dollar strengthened against most major currencies late June, reversing some earlier profits. The interest rate sector generated strong gains during the second quarter producing significant profits in May. After a mixed start in April, the bond market rally continued through May despite the stock market recovery. The U.S., European and Japanese bond markets reached new highs in June, as investors were convinced the Federal Reserve would cut short-term rates by 50 basis points. A stronger Consumer Price Index and a rate cut of only 25 basis points disappointed the markets causing bond prices to reverse sharply by the end of the month. 10 The stock index sector posted gains for the quarter. Gains were generated in short-term trading in the U.S. and Europe, primarily the S&P 500 and selected European indices. Overall exposure to the sector remains relatively light. The energy markets posted losses for the quarter. The markets in April and May were dominated by the developments in the Middle East, especially OPEC's reaction to the developments in Iraq. Production was not being resumed as initially estimated even though the destruction of the oilfields was smaller than expected. The SARS epidemic was expected to reduce the demand for jet fuel, which the markets extrapolated to affect crude oil prices. Natural gas was very volatile during June. Trading in agricultural commodities had losses for the quarter. Gains in April, mainly from soybeans, which rallied due to revisions crop estimates and weather overseas, were overshadowed by losses in May and June due to changes in crop estimates and a volatile livestock market. Losses were posted in livestock, oil seed and grains. The metals sector generated the greatest losses for MM LLC this quarter. Short positions in base metals and precious metals contributed to losses in the sector. Gold generated losses in June reacting to the U.S. dollar sell off. Item 3. Quantitative and Qualitative Disclosures About Market Risk Not applicable Item 4. Controls and Procedures Merrill Lynch Investment Managers LLC, the General Partner of ML Futures Investments L.P., with the participation of the General Partner's Chief Executive Officer and the Chief Financial Officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to the Partnership within 90 days of the filing date of this quarterly report, and, based on this evaluation, has concluded that these disclosure controls and procedures are effective. Additionally, there were no significant changes in the Partnership's internal controls or in other factors that could significantly affect these controls subsequent to the date of this evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses. 11 PART II - OTHER INFORMATION Item 1. Legal Proceedings There are no pending proceedings to which the Partnership, MM LLC or MLIM LLC is a party. Item 2. Changes in Securities and Use of Proceeds (a) None. (b) None. (c) None. (d) None. Item 3. Defaults Upon Senior Securities None. Item 4. Submission of Matters to a Vote of Security Holders None. Item 5. Other Information None. Item 6. Exhibits and Reports on Form 8-K. (a) EXHIBITS. There are no exhibits required to be filed with this report. (b) REPORTS ON FORM 8-K. There were no reports on Form 8-K filed during the first six months of fiscal 2004. 12 SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized. ML FUTURES INVESTMENTS L.P. By: MERRILL LYNCH INVESTMENT MANAGERS LLC General Partner Date: August 13, 2004 By /s/ VINAY MENDIRATTA -------------------- Vinay Mendiratta Managing Director and Chief Operating Officer -Alternative Strategies and Quantitative Advisers Divisions (Principal Executive Officer) Date: August 13, 2004 By /s/ PATRICK HAYWARD ------------------- Patrick Hayward Chief Financial Officer (Principal Financial and Accounting Officer) 13 EXHIBIT 31.01 RULE 13a-14(a)/15d-14(a) CERTIFICATIONS I, Vinay Mendiratta, certify that: 1. I have reviewed this report on Form 10-Q of ML Futures Investments L.P.; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) for the registrant and have: a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; c) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of registrant's board of directors (or persons performing the equivalent function): a) All significant deficiencies and material weakness in the design or operation of internal controls which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: August 13, 2004 - ---------------------- By /s/ VINAY MENDIRATTA -------------------- Vinay Mendiratta Managing Director and Chief Operating Officer - - Alternative Strategies and Quantitative Advisers Divisions (Principal Executive Officer) 14 EXHIBIT 31.02 RULE 13a-14(a)/15d-14(a) CERTIFICATIONS I, Patrick Hayward, certify that: 1. I have reviewed this report on Form 10-Q of ML Futures Investments L.P.; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) for the registrant and have: a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) Evaluated the effectiveness of the registrant's disclosure controls and procedures and such presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; c) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of registrant's board of directors (or persons performing the equivalent function): a) All significant deficiencies and material weakness in the design or operation of internal controls which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: August 13, 2004 - --------------------- By /s/ PATRICK HAYWARD ------------------- Patrick Hayward Chief Financial Officer (Principal Financial and Accounting Officer) 15 EXHIBIT 32.01 SECTION 1350 CERTIFICATIONS In connection with this quarterly report of ML Futures Investments L.P. on Form 10-Q for the period ended June 30, 2004 as filed with the Securities and Exchange Commission on the date hereof, I, Vinay Mendiratta, certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant of the Sarbanes-Oxley Act of 2002, that: 1. This quarterly report containing the financial statements fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and 2. The information contained in this quarterly report fairly presents, in all material respects, the financial condition and results of operations of ML Futures Investments L.P. Date: August 13, 2004 - ---------------------- By /s/ VINAY MENDIRATTA -------------------- Vinay Mendiratta Managing Director and Chief Operating Officer - - Alternative Strategies and Quantitative Advisers Divisions (Principal Executive Officer) 16 EXHIBIT 32.02 SECTION 135O CERTIFICATIONS In connection with this quarterly report of ML Futures Investments L.P. on Form 10-Q for the period ended June 30, 2004 as filed with the Securities and Exchange Commission on the date hereof, I, Patrick Hayward certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant of the Sarbanes-Oxley Act of 2002, that: 1. This quarterly report containing the financial statements fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and 2. The information contained in this quarterly report fairly presents, in all material respects, the financial condition and results of operations of ML Futures Investments L.P. Date: August 13, 2004 - --------------------- By /s/ PATRICK HAYWARD ------------------- Patrick Hayward Chief Financial Officer (Principal Financial and Accounting Officer) 17 -----END PRIVACY-ENHANCED MESSAGE-----