-----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, BdnCq5BpD3Sbfk8yaKakk7o/x980DPaxS6a1lSjj9QBpKjo2Ey0yuGyJwliANBVo HLbr4zXOWlmcTQSl8suj/g== 0000912057-00-024331.txt : 20000516 0000912057-00-024331.hdr.sgml : 20000516 ACCESSION NUMBER: 0000912057-00-024331 CONFORMED SUBMISSION TYPE: 10-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20000331 FILED AS OF DATE: 20000515 FILER: COMPANY DATA: COMPANY CONFORMED NAME: ML PRINCIPAL PROTECTION LP CENTRAL INDEX KEY: 0000917259 STANDARD INDUSTRIAL CLASSIFICATION: REAL ESTATE INVESTMENT TRUSTS [6798] IRS NUMBER: 133750642 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 10-Q SEC ACT: SEC FILE NUMBER: 000-25000 FILM NUMBER: 631584 BUSINESS ADDRESS: STREET 1: 6TH FL, SOUTH TOWER, M L WORLD HDQR STREET 2: C/O ML FUTURES INVESTMENT PARTNERS INC CITY: NEW YORK STATE: NY ZIP: 10080-6106 BUSINESS PHONE: 2122364161 MAIL ADDRESS: STREET 1: C/O MERRILL LYNCH INVESTMENT PARTNERS IN STREET 2: WORLD FINANCIAL CENTER S TOWER 6TH FL CITY: NEW YORK STATE: NY ZIP: 10080-6106 FORMER COMPANY: FORMER CONFORMED NAME: ML PRINCIPAL PROTECTION PLUS LP DATE OF NAME CHANGE: 19940616 FORMER COMPANY: FORMER CONFORMED NAME: SECTOR STRATEGY FUND VII LP DATE OF NAME CHANGE: 19940107 10-Q 1 FORM 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 March 31, 2000 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 0-25000 ML PRINCIPAL PROTECTION L.P. ML PRINCIPAL PROTECTION TRADING L.P. (Rule 140 Co-Registrant) (Exact Name of Registrant as specified in its charter) Delaware 13-3750642 (Registrant) - ------------------------------- 13-3775509 (Co-Registrant) (State or other jurisdiction of ---------------------------------- incorporation or organization) (IRS Employer Identification No.) c/o Merrill Lynch Investment Partners Inc. Princeton Corporate Campus 800 Scudders Mill Road - Section 2G Plainsboro, New Jersey 08536 ---------------------------- (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 PRINCIPAL PROTECTION L.P. (A DELAWARE LIMITED PARTNERSHIP) CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
March 31, December 31, 2000 1999 (unaudited) ----------------- ------------------ ASSETS Equity in commodity futures trading accounts: Cash and options premiums $ 6,123,883 $ 3,226,441 Net unrealized profit on open contracts 153,397 677,742 Government Securities (Cost: $32,367,449 and $40,831,617) 32,088,714 40,439,706 Cash 69,767 4,079 Accrued interest 305,302 574,774 ----------------- ------------------ TOTAL $ 38,741,063 $ 44,922,742 ================= ================== LIABILITIES AND PARTNERS' CAPITAL LIABILITIES: Redemptions payable $ 1,584,631 $ 2,118,255 Profit Shares payable 16,982 51,547 Brokerage commissions payable 198,037 231,473 Administrative fees payable 8,071 11,076 ----------------- ------------------ Total liabilities 1,807,721 2,412,351 ----------------- ------------------ Minority Interest 823,639 827,623 ----------------- ------------------ PARTNERS' CAPITAL: General Partners (4,033 and 9,628 Units) 428,765 1,023,562 Limited Partners (335,611 and 381,113 Units) 35,680,938 40,659,206 ----------------- ------------------ Total partners' capital 36,109,703 41,682,768 ----------------- ------------------ TOTAL $ 38,741,063 $ 44,922,742 ================= ==================
NET ASSET VALUE PER UNIT (NOTE 2) See notes to consolidated financial statements. 2 ML PRINCIPAL PROTECTION L.P. (A DELAWARE LIMITED PARTNERSHIP) CONSOLIDATED STATEMENTS OF OPERATIONS (unaudited)
For the three For the three months ended months ended March 31, March 31, 2000 1999 ----------------- ----------------- REVENUES: Trading profit (loss): Realized $ 626,370 $ 236,179 Change in unrealized (411,169) (560,927) ----------------- ----------------- Total trading results 215,201 (324,748) Interest income 442,685 960,281 ----------------- ----------------- Total revenues 657,886 635,533 ----------------- ----------------- EXPENSES: Profit Shares 27,274 51,635 Brokerage commissions 629,879 1,187,564 Administrative fees 25,540 48,235 ----------------- ----------------- Total expenses 682,693 1,287,434 ----------------- ----------------- LOSS BEFORE MINORITY INTEREST (24,807) (651,901) ----------------- ----------------- Minority interest 3,984 9,338 ----------------- ----------------- NET LOSS $ (20,823) $ (642,563) ================= ================= NET LOSS PER UNIT: Weighted average number of units outstanding 371,363 701,717 ================= ================= Weighted average net loss per General Partner and Limited Partner Unit $ (0.06) $ (0.92) ================= =================
See notes to consolidated financial statements. 3 ML PRINCIPAL PROTECTION L.P. (A DELAWARE LIMITED PARTNERSHIP) CONSOLIDATED STATEMENTS OF CHANGES IN PARTNERS' CAPITAL FOR THE THREE MONTHS ENDED MARCH 31, 2000 AND MARCH 31, 1999 (unaudited)
Limited General Units Partners Partner Total -------------- -------------- ------------- -------------- PARTNERS' CAPITAL, December 31, 1998 724,439 $ 78,371,558 $ 735,280 $ 79,106,838 Subscriptions 13,055 1,305,500 234,209 1,539,709 Net loss - (636,676) (5,887) (642,563) Redemptions (82,640) (9,057,310) - (9,057,310) Distributions - (149,081) (2,479) (151,560) -------------- -------------- ------------- -------------- PARTNERS' CAPITAL, March 31, 1999 654,854 $ 69,833,991 $ 961,123 $ 70,795,114 ============== ============== ============= ============== PARTNERS' CAPITAL, December 31, 1999 390,741 $ 40,659,206 $ 1,023,562 $ 41,682,768 Net Income (loss) - (24,407) 3,584 (20,823) Redemptions (51,097) (4,853,822) (595,903) (5,449,725) Distributions - (100,039) (2,478) (102,517) -------------- -------------- ------------- -------------- PARTNERS' CAPITAL, March 31, 2000 339,644 $ 35,680,938 $ 428,765 $ 36,109,703 ============== ============== ============= ==============
See notes to financial statements. 4 ML PRINCIPAL PROTECTION L.P. (formerly ML Principal Protection Plus L.P.) (A DELAWARE LIMITED PARTNERSHIP) NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (unaudited) 1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES These financial statements have been prepared without audit. In the opinion of management, the financial statements contain all adjustments (consisting of only normal recurring adjustments) necessary to present fairly the consolidated financial position of ML Principal Protection L.P. (the "Partnership" or the "Fund") as of March 31, 2000, and the results of its operations for the three month period ended March 31, 2000 and 1999. However, the operating results for the interim periods may not be indicative of the results expected for the full year. Certain information and footnote disclosures normally included in annual financial statements prepared in accordance with generally accepted accounting principles 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, 1999 (the "Annual Report"). 2. NET ASSET VALUE PER UNIT At March 31, 2000 and December 31, 1999, the Net Asset Values of the different series of Units were:
March 31, 2000 Net Asset Number Net Asset Value Value of Units per Unit -------------- --------------- ---------------- Series A Units $ 7,496,560 67,169.0000 $111.61 Series B Units 745,084 6,930.0000 $107.52 Series C Units 1,160,255 10,857.0000 $106.87 Series D Units 4,176,978 39,002.0000 $107.10 Series E Units 3,313,363 30,856.0200 $107.38 Series F Units 1,719,192 16,707.9800 $102.90 Series G Units 1,445,747 13,765.5900 $105.03 Series H Units 1,075,174 10,364.7250 $103.73 Series K Units 3,664,825 34,144.0000 $107.33 Series L Units 2,490,260 23,809.0000 $104.59 Series M Units 2,215,168 20,878.8757 $106.10 Series N Units 1,203,644 11,768.4278 $102.28 Series O Units 3,221,083 31,397.7419 $102.59 Series P Units 528,002 5,044.0000 $104.68 Series Q Units 575,500 5,945.1908 $96.80 Series R Units 823,349 8,414.0000 $97.85 Series S Units 255,519 2,590.0000 $98.66 -------------- --------------- Totals $ 36,109,703 339,643.5512 ============== ===============
5
December 31, 1999 Net Asset Value Number Net Asset Value ----------------------------------------------------------- Series A Units $ 7,960,220 71,300.0000 $ 111.64 Series B Units 949,586 8,568.0000 110.83 Series C Units 1,267,695 11,909.0000 106.45 Series D Units 4,539,567 42,433.0000 106.98 Series E Units 3,617,782 33,697.1800 107.36 Series F Units 2,199,122 20,722.5800 106.12 Series G Units 1,536,527 14,666.3400 104.77 Series H Units 1,291,688 12,467.7250 103.60 Series K Units 4,980,521 46,179.0000 107.85 Series L Units 3,231,833 30,750.0000 105.10 Series M Units 2,672,599 25,068.8757 106.61 Series N Units 1,369,038 13,321.4278 102.77 Series O Units 3,657,494 35,480.2419 103.09 Series P Units 546,674 5,197.0000 105.19 Series Q Units 579,321 5,955.6908 97.27 Series R Units 1,017,139 10,344.0000 98.33 Series S Units 265,962 2,681.0000 99.20 -------------- --------------- Totals $ 41,682,768 390,741.0612 ============== ===============
6 3. ANNUAL DISTRIBUTIONS The Partnership makes annual fixed-rate distributions, payable irrespective of profitability, of $3.50 per Unit on Units issued prior to May 1, 1997. The Partnership may also pay discretionary distributions on such Series of Units of up to 50% of any Distributable New Appreciation, as defined on such Units. No distributions are payable on Units issued after May 1, 1997. As of March 31, 2000, the Partnership has made the following distributions:
Series Distribution Fixed-Rate Discretionary Date Distribution Distribution ---------- ---------------- ---------------- ----------------- 2000 -------- Series B 1/1/00 $ 3.50 $ - Series F 1/1/00 3.50 - 1999 -------- Series A 10/1/99 $ 3.50 $ - Series B 1/1/99 3.50 - Series C 4/1/99 3.50 - Series D 7/1/99 3.50 1.00 Series E 10/1/99 3.50 - Series F 1/1/99 3.50 - Series G 4/1/99 3.50 - Series H 7/1/99 3.50 1.00 1998 -------- Series A 10/1/98 $ 3.50 $ - Series B 1/1/98 3.50 1.50 Series C 4/1/98 3.50 - Series D 7/1/98 3.50 - Series E 10/1/98 3.50 - Series F 1/1/98 3.50 1.25 Series G 4/1/98 3.50 - Series H 7/1/98 3.50 - 1997 -------- Series A 10/1/97 $ 3.50 $ - Series B 1/1/97 3.50 3.00 Series C 4/1/97 3.50 4.00 Series D 7/1/97 3.50 1.00 Series E 10/1/97 3.50 2.00 Series F 1/1/97 3.50 2.50 Series G 4/1/97 3.50 3.50 Series H 7/1/97 3.50 2.50 1996 -------- Series A 10/1/96 $ 3.50 $ 2.50 Series B 1/1/96 3.50 2.50 Series C 4/1/96 3.50 - Series D 7/1/96 3.50 - Series E 10/1/96 3.50 - 1995 -------- Series A 10/1/95 $ 3.50 $ 2.50
7 4. FAIR VALUE AND OFF-BALANCE SHEET RISK In June 1998, the Financial Accounting Standards Board issued Statement of Financial Accounting Standard ("SFAS") No. 133, "Accounting for Derivative Instruments and Hedging Activities" (the "Statement"), effective for fiscal years beginning after June 15, 2000, as amended by SFAS No. 137. This Statement supercedes SFAS No. 119 ("Disclosure about Derivative Financial Instruments and Fair Value of Financial Instruments") and SFAS No. 105 ("Disclosure of Information about Financial Instruments with Off-Balance Sheet Risk and Financial Instruments with Concentrations of Credit Risk") whereby disclosure of average aggregate fair values and contract/notional values, respectively, of derivative financial instruments is no longer required for an entity such as the Partnership which carries its assets at fair value. Such Statement sets forth a much broader definition of a derivative instrument. The General Partner does not believe that the adoption of the provisions of such Statement had a significant effect on the financial statements. SFAS No. 133 defines a derivative as a financial instrument or other contract that has all three of the following characteristics: (1) one or more underlyings and notional amounts or payment provisions; (2) requires no initial net investment or a smaller initial net investment than would be required for other types of contracts that would be expected to have a similar response to changes in market factors; and, (3) terms that require or permit net settlement. Generally, derivatives include futures, forwards, swaps, options or other financial instruments with similar characteristics such as caps, floors and collars. MARKET RISK Derivative instruments involve varying degrees of off-balance sheet market risk. Changes in the level or volatility of interest rates, foreign currency exchange rates or the market values of the financial instruments or commodities underlying such derivative instruments frequently result in changes in the Partnership's net unrealized profit (loss) on such derivative instruments as reflected in the Consolidated Statements of Financial Condition. The Partnership's exposure to market risk is influenced by a number of factors, including the relationships among the derivative instruments held by the Partnership as well as the volatility and liquidity of the markets in which the derivative instruments are traded. The General Partner 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, calculating the Net Asset Value of the Partnership as of the close of business on each day and reviewing outstanding positions for over-concentrations. While the General Partner does not itself intervene in the markets to hedge or diversify the Partnership's market exposure, the General Partner may urge the Advisors to reallocate positions in an attempt to avoid over-concentrations. However, such interventions are unusual. Except in cases in which it appears that the Advisors have begun to deviate from past practice or trading policies or to be trading erratically, the General Partner's basic risk control procedures consist 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. 8 The credit risk associated with these instruments from counterparty nonperformance is the net unrealized profit, if any, included in the Consolidated Statements of Financial Condition. The Partnership attempts to mitigate credit risk by dealing exclusively with Merrill Lynch entities as clearing brokers. The Partnership, in its normal course of business, enters into various contracts with MLF acting as its commodity broker. Pursuant to the brokerage arrangement with MLF (which includes a netting arrangement), to the extent that such trading results in receivables and payables are offset and reported as a net receiveable or payable and are included in the Statement of Financial Condition under Equity from commodity futures trading accounts. Item 2: MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS MONTH-END NET ASSET VALUE PER SERIES A UNIT
----------------------------------------------- Jan. Feb. Mar. ----------------------------------------------- 1999 $114.49 (a) $115.36 (a) $114.86 (a) ----------------------------------------------- 2000 $112.80 (b) $112.46 (b) $111.61 (b) -----------------------------------------------
(a) After reductions for distributions declared of $6.00, $6.00, $3.50 and $3.50 per Series A Unit as of October 1, 1995, 1996, 1997 and 1998, respectively. (b) After reduction for a $3.50 per Series A Unit distribution declared on October 1, 1999 and the distributions described in (a), resulting in a total distribution of $22.50 inception to date. As of July 1, 1996, the Fund changed its name to ML Principal Protection L.P. Such change was due to the General Partner restructuring the continuous offerings to be sold without a guaranteed annual fixed-rate distribution or a discretionary distribution as previously offered under ML Principal Protection Plus L.P. Performance Summary January 1, 1999 to March 31, 1999 The Fund profited from trading in crude oil, heating oil, and unleaded gas. As the year opened, the global oil balance continued to show signs of being lopsided with estimated year-end 1998 inventories at their highest levels since 1984. During January, petroleum stocks rose by 21 million barrels compared with a typical gain of 6 to 7 million barrels. Then, on March 23, OPEC ratified new production cuts totaling 1.716 million barrels per day at its conference. These new production cuts were scheduled to go into effect on April 1 and proved to be harbingers of higher prices for crude. Agricultural trading was also profitable overall, as gains in live hogs and live cattle offset losses in corn positions. Hog prices plummeted due to a glut of hogs in the market. At the beginning of the quarter, the corn market continued to struggle despite a stretch of solid export business. The market's negative sentiment was deepened by ongoing favorable weather in South America which continued through February, even though there was a sharp reduction in Argentina's planted area. Lack of enthusiasm for new crop and less than spectacular demand continued to depress the corn market throughout the quarter. The Fund suffered losses in currency trading during the quarter, as losses in Japanese yen overpowered gains in Swiss francs. On a trade-weighted basis, the Swiss franc ended the quarter at close to a seven-month low, mostly as a result of the stronger U.S. dollar. In January, the yen had advanced by nearly 35% against the dollar since early in August, and the Bank of Japan lowered rates to keep the economy sufficiently liquid so as to allow fiscal spending to restore some growth to the economy and to drive down the surging yen. Stock index trading was also unprofitable, as losses were sustained in Hang Seng and CAC40 positions. Also of note, the Dow Jones Industrial Average closed above the 10,000 mark for the first time ever at the end of March, setting a record for the index. Interest rate trading proved unprofitable for the Fund as well, as losses in Japanese 10-year government bonds offset gains in 10-year U.S. Treasury notes and German 10-year bonds. Early in January, the yield on the Japanese government 10-year bond increased to 1.8%, sharply above the record low of 0.695% it reached on October 7, 1998. This was triggered by the Japanese Trust Fund Bureau's decision to absorb a smaller share of future issues, leaving the burden of financing future budget deficits to the private sector. Losses in aluminum overshadowed slight gains in gold and copper during the first quarter. In January, burdensome warehouse stocks and questionable demand prospects weighed on base metals as aluminum fell to a 5-year low and copper fell to nearly an 11-year low. Major surpluses in both metals were expected, keeping prices down, and there was no supply side response to weak demand and lower prices. However, the end of March showed copper and aluminum leading a surge in base metals as prices recovered from multi-year lows. In precious metals, gold failed to sustain a rally, and gold's role as a flight to safety vehicle has clearly been greatly diminished as has its role as a monetary asset. January 1, 2000 to March 31, 2000 Energy trading was profitable for the quarter due to long crude oil and unleaded gas positions. Despite the possibility of OPEC increasing oil production by 5%, crude oil prices continued to rise as such a hike would still leave oil inventories at levels much below normal during the balance of the year. Prices began to decline in mid-March as Iran backed down from its position on the point of "no increase" and again later in the month as OPEC announced a production increase of 1.716 million barrels per day offsetting some gains from the previous two months. In currency trading, the euro declined against the dollar as officials from the Group of Seven met and failed to express concern about the low levels of the European currency producing profits for the quarter. Some other contributing factors to the decline of the euro include the slow pace of microeconomic reform in Europe, plans for a European withholding tax and the scale of direct investment flows outside of Europe. Stock index trading was profitable for the quarter. Positions in IBEX 35 (Milan), DAX German Stock Index and CAC 40 Euro futures resulted in profits for the Fund. Investor sentiment in Germany has been positive, as German macroeconomic fundamentals continue to improve and in 2001, consumers will benefit from a large cut in personal income taxes. The last month of the quarter sustained profits in the Hong Kong Hang Seng and the S&P 500 as investors focused more on value stocks. Agricultural commodity trading produced losses for the quarter. Gains in pork belly and coffee positions were outweighed by losses in short corn positions which were due to dry conditions in Argentina, which led to high corn prices. Metals trading alternated from profitable to unprofitable, however, the sector ended the quarter with losses. Prices rose during the period in base metals as concerns over higher interest rates and the decline in stock prices globally created defensive tones in the market. High aluminum inventories caused prices to decline on the LME. Late in the quarter, copper prices rose over rumors of increased demand from China, having an adverse effect on the short positions held. Short Eurodollar trading was profitable as the currency continued to decline in January. The European Union ministers blamed the currency's slide in January on rapid U.S. growth and fears that the Federal Reserve will increase U.S. interest rates. These profits were far outweighed by losses in the U.S. 10-year Treasury note positions and long U.S. Treasury positions as the yield curve fluctuated widely during the quarter. 9 MLAM'S Cash Management MLAM invests approximately 80% of the Fund's assets in Government Securities. As of March 31, 2000 and December 31, 1999, the Fund's MLAM account totalled approximately $32 million and $40 million, respectively. As of March 31, 2000 the Fund's MLAM account held the following securities:
Total Par Value Description Rate Maturity Date Fair Value - --------- ----------- ---- ------------- ---------- LONG-TERM --------- 3,000,000 Federal National Mortgage Association 5.375% March 15, 2002 2,915,400 1,000,000 U.S. Treasury Note 5.750% June 30, 2001 991,641 1,000,000 U.S. Treasury Note 5.750% April 30, 2003 981,172 4,700,000 U.S. Treasury Note 5.875% November 15, 2004 4,617,016 -------------- Subtotal $ 9,505,229 -------------- SHORT-TERM ---------- 6,656,000 Federal Home Loan Mortgage Corporation 0.000% April 11, 2000 $ 6,644,019 5,000,000 Federal National Mortgage Association 5.720% January 9, 2001 4,962,400 4,000,000 Federal National Mortgage Association 5.625% March 15, 2001 3,961,250 760,000 U.S. Treasury Note 6.000% August 15, 2000 759,644 1,275,000 U.S. Treasury Note 4.625% November 30, 2000 1,261,403 1,300,000 U.S. Treasury Note 4.500% September 30, 2000 1,288,930 2,000,000 U.S. Treasury Note 4.500% January 31, 2001 1,970,469 1,750,000 U.S. Treasury Note 5.375% February 15, 2001 1,735,370 -------------- Subtotal $ 22,583,485 -------------- Total Debt $ 32,088,714 ==============
10 As of December 31, 1999, the Fund's MLAM account held the following securities:
Total Par Value Description Rate Maturity Date Fair Value - --------- ----------- ---- ------------- ---------- LONG-TERM --------- 5,000,000 Federal National Mortgage Association 5.720% January 9, 2001 4,969,250 4,000,000 Federal National Mortgage Association 5.625% March 15, 2001 3,965,000 3,000,000 Federal National Mortgage Association 5.375% March 15, 2002 2,930,640 2,000,000 U.S. Treasury Note 4.500% January 31, 2001 1,967,031 1,000,000 U.S. Treasury Note 5.750% June 30, 2001 993,906 9,000,000 U.S. Treasury Note 5.375% February 15, 2001 8,925,469 1,000,000 U.S. Treasury Note 5.750% April 30, 2003 982,031 2,500,000 U.S. Treasury Note 5.875% November 15, 2004 2,451,367 -------------- Subtotal $ 27,184,694 -------------- SHORT-TERM ---------- 8,710,000 Federal Home Loan Discount Note 0.000% January 14, 2000 $ 8,692,580 112,000 Federal Home Loan Mortgage Corporation 0.000% January 14, 2000 111,776 1,000,000 U.S. Treasury Note 6.000% August 15, 2000 1,000,469 1,500,000 U.S. Treasury Note 4.625% November 30, 2000 1,472,687 2,000,000 U.S. Treasury Note 4.500% September 30, 2000 1,977,500 -------------- Subtotal $ 13,255,012 -------------- Total Debt $ 40,439,706 ==============
PART II - OTHER INFORMATION Item 1. Legal Proceedings There are no pending legal proceedings to which the Partnership or the General Partner is a party. Item 2. Changes in Securities and Use of Proceeds (a) None. (b) None. (c) None. (d) The Fund has registered with an aggregate price of $462,114,000. Through March 31, 2000 the Fund has sold units with an aggregate price of $164,506,495. Item 3. Defaults Upon Senior Securities None. Item 4. Submission of Matters to a Vote of Security Holders None. Item 5. Other Information None. 11 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 three months of fiscal 2000. 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 PRINCIPAL PROTECTION L.P. ---------------------------- (formerly ML Principal Protection Plus L.P.) By: MERRILL LYNCH INVESTMENT PARTNERS INC. (General Partner) Date: May 15, 2000 By /s/ JOHN R. FRAWLEY, JR. ------------------------- John R. Frawley, Jr. Chairman, Chief Executive Officer, President and Director Date: May 15, 2000 By /s/ MICHAEL L. PUNGELLO ----------------------- Michael L. Pungello Vice President, Chief Financial Officer and Treasurer 13 EX-27.1 2 EXHIBIT 27.1
BD 0000917259 ML PRINCIPAL PROTECTION L.P. 3-MOS 3-MOS DEC-31-2000 DEC-31-1999 JAN-01-2000 JAN-01-1999 MAR-31-2000 MAR-31-1999 69,767 126,351 6,582,582 20,423,857 0 0 0 0 32,088,714 54,181,826 0 0 38,741,063 74,732,032 0 0 2,631,360 3,936,920 0 0 0 0 0 0 0 0 0 0 0 0 0 0 36,109,703 70,795,114 38,741,063 74,732,034 215,201 (324,748) 442,685 960,281 682,693 1,278,096 0 0 0 0 0 0 0 0 (20,823) (642,563) (20,823) (642,563) 0 0 0 0 (20,823) (642,563) (.06) (.92) (.06) (.92)
-----END PRIVACY-ENHANCED MESSAGE-----