-----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, FxXg6dbLX/kD0Gg7SoGqZbFWInQWtuoMuMdCZc1pd5qB5OC4c7lC2yOP/xsL7e+T en74EduX/OizhcQSWlffWQ== 0001047469-03-018705.txt : 20030515 0001047469-03-018705.hdr.sgml : 20030515 20030515113834 ACCESSION NUMBER: 0001047469-03-018705 CONFORMED SUBMISSION TYPE: 10-Q PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20030331 FILED AS OF DATE: 20030515 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: 1934 Act SEC FILE NUMBER: 000-25000 FILM NUMBER: 03702114 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 a2110666z10-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 March 31, 2003 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. ---------------------------- (Exact Name of Registrant as specified in its charter) Delaware 13-3750642 (Registrant) - -------------------------------- --------------------------------- (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 PRINCIPAL PROTECTION L.P. (a Delaware Limited Partnership) STATEMENTS OF FINANCIAL CONDITION
March 31, December 31, 2003 2002 (unaudited) ------------ ------------ ASSETS Equity in commodity futures trading accounts: Cash and option premiums $ 1,082,516 $ 1,960,792 Investment in MM LLC 16,603,957 16,280,408 Subscriptions receivable 5,499 -- Accrued interest receivable 1,074 2,028 ------------ ------------ TOTAL $17,693,046 $18,243,228 ============ ============ LIABILITIES AND PARTNERS' CAPITAL LIABILITIES: Redemptions payable $ 252,591 $ 497,074 Payable to MM LLC 269,244 305,592 ------------ ------------ Total liabilities 521,835 802,666 ------------ ------------ PARTNERS' CAPITAL: General Partners (156,638 and 1,584 Units) 188,240 185,021 Limited Partners (14,120,079 and 147,723 Units) 16,982,971 17,255,541 ------------ ------------ Total partners' capital 17,171,211 17,440,562 ------------ ------------ TOTAL $17,693,046 $18,243,228 ============ ============
See notes to financial statements. 2 ML PRINCIPAL PROTECTION L.P. (a Delaware Limited Partnership) STATEMENTS OF OPERATIONS (unaudited)
For the three For the three months ended months ended March 31, March 31, 2003 2002 ------------- ------------- REVENUES: Trading profit (loss): Realized $ 1,547,500 $ (395,862) Change in unrealized (856,627) (15,569) ------------- ------------- Total trading results 690,873 (411,431) ------------- ------------- Interest income 53,068 100,813 ------------- ------------- Total revenues 743,941 (310,618) ------------- ------------- EXPENSES: Profit Shares 103,112 336 Brokerage commissions 301,152 286,098 Administrative fees 10,351 9,537 ------------- ------------- Total expenses 414,615 295,971 ------------- ------------- NET INCOME (LOSS) $ 329,326 $ (606,589) ============= ============= NET INCOME (LOSS) PER UNIT: Weighted average number of General Partner and Limited Partner Units outstanding 14,659,456 186,256 ============= ============= Net income (loss) per weighted average General Partner and Limited Partner Unit $ 0.02 $ (3.26) ============= =============
See notes to financial statements. Certain 2002 information has been changed to conform to 2003 presentation. 3 ML PRINCIPAL PROTECTION L.P. (a Delaware Limited Partnership) STATEMENTS OF CHANGES IN PARTNERS' CAPITAL For the three months ended March 31, 2003 and 2002 (unaudited)
General Limited Units Partner Partners Total ------------- ------------- ------------- ------------- PARTNERS' CAPITAL, DECEMBER 31, 2001 191,545 $ 233,900 $ 21,071,380 $ 21,305,280 Net loss -- (6,628) (599,961) (606,589) Distributions -- (493) (44,420) (44,913) Redemptions (11,107) -- (1,211,419) (1,211,419) ------------- ------------- ------------- ------------- PARTNERS' CAPITAL, MARCH 31, 2002 180,438 $ 226,779 $ 19,215,580 $ 19,442,359 ============= ============= ============= ============= PARTNERS' CAPITAL, DECEMBER 31, 2002 149,307 $ 185,021 $ 17,255,541 $ 17,440,562 Conversion of shares 14,633,051 59 5,440 5,499 Net income -- 3,426 325,900 329,326 Distributions -- (266) (26,724) (26,990) Redemptions (505,641) -- (577,186) (577,186) ------------- ------------- ------------- ------------- PARTNERS' CAPITAL, MARCH 31, 2003 14,276,717 $ 188,240 $ 16,982,971 $ 17,171,211 ============= ============= ============= =============
See notes to financial statements. 4 ML PRINCIPAL PROTECTION L.P. (a Delaware Limited Partnership) NOTES TO 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 financial position of ML Principal Protection L.P. (the "Partnership") as of March 31, 2003, and the results of its operations for the three months ended March 31, 2003 and 2002. 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 quarterly financial statements prepared in accordance 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, 2002. 2. INVESTMENT IN MM LLC As of March 31, 2003 and December 31, 2002, the Partnership had an investment in ML Multi-Manager Portfolio LLC ("MM LLC") of $16,603,957 and $16,280,408, respectively. As of March 31, 2003, and December 31, 2002, the Partnership's percentage ownership share of MM LLC was 9.79% and 9.39%, respectively. A condensed statements of financial condition and statements of operations for MM LLC are set forth as follows:
March 31, December 31, 2003 2002 (unaudited) -------------------- -------------------- Assets $ 173,977,158 $ 177,485,585 ==================== ===================== Liabilities $ 4,324,105 $ 4,031,107 Members' Capital 169,653,053 173,454,478 -------------------- -------------------- Total $ 173,977,158 $ 177,485,585 ==================== =====================
For the three months For the three months ended March 31, 2003 ended March 31, 2002 (unaudited) (unaudited) -------------------- -------------------- Revenues $ 4,572,299 $ (1,913,688) Expenses 2,594,520 2,151,469 -------------------- -------------------- Net Income (loss) $ 1,977,779 $ (4,065,157) ==================== =====================
5 3. NET ASSET VALUE PER UNIT Prior to the opening of business on January 2, 2003, Series A through F and K through N, those series whose guarantee had come to term on or before December 31, 2002, were consolidated into a new series, Series A 2003, with a $1.00 per Unit Net Asset Value. The aggregate Net Asset Value of each investor's new Units is equal to the aggregate Net Asset Value of their original Units at December 31, 2002. The consolidation had no economic effect on the investors. MLIM AS LLC contribution $5,499 to the Partnership, the amount necessary due to the effects of rounding, to insure all investors received Units equal in value to their original holdings at December 31, 2002. The following is a listing of the number of new Units each investor received of Series A for each Unit of their original series holding.
Number Series of Units ------ -------- A 122.021960 B 117.269077 C 115.242141 D 112.085339 E 111.088709 F 104.084994 K 123.799970 L 120.674078 M 122.310644 N 117.973383
After the series consolidation, the brokerage commission rate for Series A 2003 was reduced to a monthly rate of 0.604 of 1% (a 7.25% annual rate). At March 31, 2003 and December 31, 2002, the Net Asset Values of the different series of Units were: March 31, 2003
Net Asset Value Number of Units Net Asset Value per Unit ------------------- ----------------------- ---------------------------- Series A 2003 Units $ 14,532,675 14,253,146.0000 $1.0196 Series G Units 533,834 5,008.0300 $106.60 Series H Units 549,725 5,390.6650 $101.98 Series O Units 636,763 5,288.7419 $120.40 Series P Units 233,271 1,899.0000 $122.84 Series Q Units 187,720 1,653.2408 $113.55 Series R Units 442,308 3,856.0000 $114.71 Series S Units 54,915 475.0000 $115.61 ------------------- ----------------------- $ 17,171,211 14,276,716.6777 =================== =======================
6 December 31, 2002
Net Asset Value Number of Units Net Asset Value per Unit ------------------- ----------------------- ---------------------------- Series A Units $ 4,554,926 37,329.0000 $122.02 Series B Units 361,036 3,079.0000 $117.26 Series C Units 754,685 6,550.0000 $115.22 Series D Units 2,324,762 20,741.0000 $112.09 Series E Units 1,327,640 11,951.4800 $111.09 Series F Units 829,625 7,711.3400 $107.58 Series G Units 585,224 5,508.0300 $106.25 Series H Units 547,940 5,390.6650 $101.65 Series K Units 2,302,631 18,619.0000 $123.67 Series L Units 1,390,508 11,536.2800 $120.53 Series M Units 726,816 5,946.4607 $122.23 Series N Units 207,135 1,757.6778 $117.85 Series O Units 624,977 5,288.7419 $118.17 Series P Units 228,921 1,899.0000 $120.55 Series Q Units 185,883 1,667.9408 $111.44 Series R Units 433,969 3,856.0000 $112.54 Series S Units 53,884 475.0000 $113.44 ------------------- ----------------------- $ 17,440,562 149,306.6162 =================== =======================
4. QUARTERLY DISTRIBUTIONS The Partnership makes quarterly 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. The Principal Assurance Dates for Series A through F and K through N came to term on or before December 31, 2002 and were not renewed. The above Series Units remain outstanding, with 100% of their assets allocated to trading, without any "principal protection" feature and no longer pay quarterly distributions. The Partnership has made the following distributions for the fiscal year ended December 31, 2002, and for the three month period ended March 31, 2003:
Distribution Fixed-Rate Discretionary Series Date Distribution Distribution ------------- ------------------ ----------------- ----------------- 2003 - -------- Series F 1/1/2003 $ 3.50 $ -- 2002 - -------- Series B 1/1/2002 $ 3.50 $ -- Series C 4/1/2002 3.50 -- Series D 7/1/2002 3.50 -- Series E 10/1/2002 3.50 -- Series F 1/1/2002 3.50 -- Series G 4/1/2002 3.50 -- Series H 7/1/2002 3.50 --
7 5. FAIR VALUE AND OFF-BALANCE SHEET RISK The nature of this Partnership has certain risks, which can not be presented on the financial statements. The following summarizes some of those risks. Market Risk ----------- Derivative instruments involve varying degrees of off-balance sheet market risk. Changes in the level or volatility of interest rates, foreign currency exchange rates or the market values of the financial instruments or commodities underlying such derivative instruments frequently result in changes in the Partnership's net unrealized profit on such derivative instruments as reflected in the Statements of Financial Condition or, with respect to Partnership assets invested in MM LLC, the net unrealized profit (loss) as reflected in the respective Statements of Financial Condition of MM LLC. The Partnership's exposure to market risk is influenced by a number of factors, including the relationships among the derivative instruments held by MM LLC as well as the volatility and liquidity of the markets in which such derivative instruments are traded. The General Partner, Merrill Lynch Investment Managers LLC ("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 by MM LLC, and include calculating the Net Asset Value of their respective Partnership accounts and MM LLC accounts as of the close of business on each day and reviewing outstanding positions for over-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 in respect of its counterparties and brokers, but attempts to mitigate this risk by dealing almost 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 ("MLPF&S") acting as its commodity broker. Pursuant to the brokerage agreement with MLPF&S (which includes a netting arrangement), to the extent that 8 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 SERIES A UNIT Jan. Feb. Mar. -------------------------------------------- 2002 $109.41 (a) $106.60 (a) $108.32 (a) 2003 $1.0331 (b) $1.0654 (b) $1.0196 (b)
(a) After reduction of $29.50 per Series A Unit distributions from inception to date. (b) After series consolidation on January 1, 2003. Performance Summary All of the Partnership's trading 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, 2003 to March 31, 2003 The Partnership 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, the Partnership 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 the Partnership 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, on hopes that the war with Iraq would be short, the U.S. dollar strengthened and returned some of the profits earned early 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. The Partnership profited from this event but such volatility caused many of the Advisors to reduce their long positions. This helped the Partnership 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 the Partnership'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. The Partnership 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. 9 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. The Partnership 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. The Partnership 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. January 1, 2002 to March 31, 2002 The energy sector was the only profitable trading strategy for the quarter. Natural gas short positions were profitable as the positions benefited from the mild weather in the United States. The sector experienced large declines in February due to increased concerns of the health of world economies. This lead to price instability. Gains were realized in March in the physical commodity markets, as fears of increased conflicts in the Middle East could potentially result in a shortage of oil supplies. Trading in stock indices resulted in losses for the quarter. Long equity exposures suffered losses in choppy market conditions as profit forecasts fell short and concern over the Enron accounting situation deepened. Uncertainty in the global marketplace prevailed, making for extremely difficult trading conditions. Long positions appreciated in March, notably in Japan, Germany and France, but not enough to offset earlier losses. Conflicting economic reports was the cause for losses in the interest rate sector. These reports prompted the Advisors to flip exposures from long positions to short positions in most major international bond markets during the quarter. European fixed income exposures posted losses under particularly direction-less markets. Global bond prices declined on growing optimism for a stronger economic outlook for the remainder of 2002. Trading in the metals sector was down for the quarter. Short positions in base metals were unsuccessful early on as base metals prices soared on the hope that an economic recovery in the United States would boost demand. Precious metal prices declined as the U.S. economy continued to show signs of stabilizing and inflation concerns waned. Long gold positioning generated gains as prices rose above $300 for the first time in two years. Currency trading resulted in losses for the Partnership. In January, gains were generated in short Japanese yen positions as the Japanese yen continued to depreciate against the U.S. dollar due to continued deterioration of economic fundamentals in Japan. In February, all of the futures traded currencies appreciated against the U.S. dollar, except the Canadian dollar. March was a relatively volatile month for G-7 currencies. The U.S. dollar fell from 133 to 127.50 Japanese yen during the first week, and then almost completely reversed the move by month-end, causing losses. Agricultural trading was the least successful strategy. During January and February, coffee prices were in a downward trend. This trend sharply reversed in March as reduced exports from Mexico and Central America trimmed inventories of exchange-approved soybeans in U.S. warehouses. As prices rose, the Partnership's short positions sustained losses. Item 3. Quantitative and Qualitative Disclosures About Market Risk 10 Not applicable Item 4. Controls and Procedures Merrill Lynch Investment Managers LLC, the General Partner of ML Principal Protection 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 their evaluation, have 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 their 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 legal proceedings to which the Partnership 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 As of February 28, 2003, the general partner interest and the management authority of the Partnership was assigned from MLIM Alternative Strategies LLC to Merrill Lynch Investment Managers LLC, a wholly-owned subsidiary of Merrill Lynch Investment Managers, as part of an internal Merrill Lynch reorganization. This change did not affect the personnel involved in the management of the Partnership. 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 2003. 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. By: MERRILL LYNCH INVESTMENT MANAGERS LLC General Partner Date: May 15, 2003 By /s/ FABIO P. SAVOLDELLI ----------------------- Fabio P. Savoldelli Executive Vice President, Chief Investment Officer and Managing Director - Alternative Strategies Division (Principal Executive Officer) Date: May 15, 2003 By /s/ PATRICK HAYWARD ------------------- Patrick Hayward Chief Financial Officer (Principal Financial and Accounting Officer) 13 EXHIBIT 99 Form of Certification Pursuant to Section 1350 of Chapter 63 of --------------------------------------------------------------- Title 180 of the United States Code ----------------------------------- I, Fabio P. Savoldelli, certify that: 1. I have reviewed this quarterly report on Form 10-Q of ML Principal Protection L.P.; 2. Based on my knowledge, this quarterly 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 quarterly report; 3. Based on my knowledge, the financial statements, and other financial information included in this quarterly 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 quarterly report; 4. The registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-14 and 15d-14) for the registrant and have: a) designed such disclosure controls and procedures 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 quarterly report is being prepared; b) evaluated the effectiveness of the registrant's disclosure controls and procedures as of a date within 90 days prior to the filing date of this quarterly report (the "Evaluation Date"); and c) presented in this quarterly report our conclusions about the effectiveness of the disclosure controls and procedures based on our evaluation as of the Evaluation Date; 5. The registrant's other certifying officers and I have disclosed, based on our most recent evaluation, 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 in the design or operation of internal controls which could adversely affect the registrant's ability to record, process, summarize and report financial data and have identified for the registrant's auditors any material weaknesses in internal controls; and b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal controls; 6. The registrant's other certifying officers and I have indicated in this quarterly report whether there were significant changes in internal controls or in other factors that could significantly affect internal controls subsequent to the date of our most recent evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses. Date: May 15, 2003 - ----------------------- By /s/ FABIO P. SAVOLDELLI ----------------------- Fabio P. Savoldelli Executive Vice President, Chief Investment Officer and Managing Director - Alternative Strategies Division (Principal Executive Officer) 14 EXHIBIT 99 (a) AS ADOPTED TO ------------- SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002 --------------------------------------------- In connection with this quarterly report of ML Principal Protection L.P. on Form 10-Q for the period ended March 31, 2003 as filed with the Securities and Exchange Commission on the date hereof, I, Fabio P. Savoldelli certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant of the Sarbanes-Oxley Act of 2002, that: 1. This quarterly report fully complies with the requirements of Section 13 or 15(d) of the Securities and 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 Principal Protection L.P. Date: May 15, 2003 - ----------------------- By /s/ FABIO P. SAVOLDELLI ----------------------- Fabio P. Savoldelli Executive Vice President, Chief Investment Officer and Managing Director - Alternative Strategies Division (Principal Executive Officer) 15 EXHIBIT 99 Form of Certification Pursuant to Section 1350 of Chapter 63 of --------------------------------------------------------------- Title 180 of the United States Code ----------------------------------- I, Patrick Hayward, certify that: 1. I have reviewed this quarterly report on Form 10-Q of ML Principal Protection L.P.; 2. Based on my knowledge, this quarterly 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 quarterly report; 3. Based on my knowledge, the financial statements, and other financial information included in this quarterly 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 quarterly report; 4. The registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-14 and 15d-14) for the registrant and have: a) designed such disclosure controls and procedures 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 quarterly report is being prepared; b) evaluated the effectiveness of the registrant's disclosure controls and procedures as of a date within 90 days prior to the filing date of this quarterly report (the "Evaluation Date"); and c) presented in this quarterly report our conclusions about the effectiveness of the disclosure controls and procedures based on our evaluation as of the Evaluation Date; 5. The registrant's other certifying officers and I have disclosed, based on our most recent evaluation, 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, in the design or operation of internal controls which could adversely affect the registrant's ability to record, process, summarize and report financial data and have identified for the registrant's auditors any material weaknesses in internal controls; and b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal controls; 6. The registrant's other certifying officers and I have indicated in this quarterly report whether there were significant changes in internal controls or in other factors that could significantly affect internal controls subsequent to the date of our most recent evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses. Date: May 15, 2003 - ----------------------- By /s/ PATRICK HAYWARD ----------------------- Patrick Hayward Chief Financial Officer (Principal Financial and Accounting Officer) 16 EXHIBIT 99 (a) AS ADOPTED TO ------------- SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002 --------------------------------------------- In connection with this quarterly report of ML Principal Protection L.P. on Form 10-Q for the period ended March 31, 2003 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 fully complies with the requirements of Section 13 or 15(d) of the Securities and 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 Principal Protection L.P. Date: May 15, 2003 - ----------------------- By /s/ PATRICK HAYWARD ----------------------- Patrick Hayward Chief Financial Officer (Principal Financial and Accounting Officer) 17 -----END PRIVACY-ENHANCED MESSAGE-----