**Exhibit 13.01**

 

***ML SELECTFUTURES I L.P.***

***(ADelaware Limited Partnership)***

** **

*Financial Statements as of andfor the years ended*

*December 31, 2009, 2008and 2007*

*and Report of  Independent Registered PublicAccounting Firms*

* *

* *

 

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ML Select FuturesI L.P.

(A DelawareLimited Partnership)

 

TABLE OF CONTENTS

 
| ** **                                                                                                  | **Page** |
|-------------------------------------------------------------------------------------------------------------|----------|
|                                                                                                        |     |
| REPORT OF INDEPENDENT  REGISTERED PUBLIC ACCOUNTING FIRMS                                                   | 1        |
|                                                                                                        |     |
| FINANCIAL STATEMENTS:                                                                                       |     |
|                                                                                                        |     |
| Statements  of Financial Condition as of December 31, 2009 and 2008                                    | 3        |
|                                                                                                        |     |
| Statements  of Operations for the years ended December 31, 2009, 2008 and 2007                         | 4        |
|                                                                                                        |     |
| Statements  of Changes in Partners’ Capital for the years ended December 31, 2009,  2008 and 2007 | 5        |
|                                                                                                        |     |
| Financial  Data Highlights for the years ended December 31, 2009, 2008 and 2007                        | 6        |
|                                                                                                        |     |
| Notes  to Financial Statements                                                                              | 7        |

 

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**Report of Independent RegisteredPublic Accounting Firm**

 

To****thePartners of

ML Select Futures I L.P.:

 

In our opinion, theaccompanying statement of financial condition, and the related statements ofoperations, changes in partners’ capital, and financial data highlights presentfairly, in all material respects, the financial position of ML Select Futures IL.P. at December 31, 2009, and the results of its operations, changes inits partners’ capital, and financial data highlights for the year then ended,****in conformity with accounting principles generally acceptedin the United States of America.  Thesefinancial statements and the financial data highlights (hereafter referred toas the “financial statements”) are the responsibility of the Fund’smanagement.  Our responsibility is toexpress an opinion on these financial statements based on our audit.  We conducted our audit of these statements inaccordance with the standards of the Public Company Accounting Oversight Board(United States).  Those standards requirethat we plan and perform the audit to obtain reasonable assurance about whetherthe financial statements are free of material misstatement.  An audit includes examining, on a test basis,evidence supporting the amounts and disclosures in the financial statements,assessing the accounting principles used and significant estimates made bymanagement, and evaluating the overall financial statement presentation.  We believe that our audit provides areasonable basis for our opinion.

 

 

/s/PricewaterhouseCoopersLLP

 

 

March 25, 2010

 

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTINGFIRM

 

To the Partners of

ML Select Futures I L.P.:

 

We have audited the accompanying statement offinancial condition of ML Select Futures I L.P. (the “Fund”), as of December 31,2008, and the related statements of operations, changes in partners’ capital,and the financial data highlights for each of the two years in the period endedDecember 31, 2008. These financial statements and financial datahighlights are the responsibility of the Fund’s management. Our responsibilityis to express an opinion on these financial statements and financial datahighlights based on our audits.

 

We conducted our audits in accordance with thestandards of the Public Company Accounting Oversight  Board (United States). Those standardsrequire that we plan and perform the audit to obtain reasonable  assurance about whether the financialstatements and financial data highlights are free of material  misstatement. The Fund is not required tohave, nor were we engaged to perform, an audit of its internal  control over financial reporting. Our auditsincluded consideration of internal control over financial  reporting as a basis for designing auditprocedures that are appropriate in the circumstances, but not for  the purpose of expressing an opinion on theeffectiveness of the Fund’s internal control over financial  reporting. Accordingly, we express no suchopinion. An audit also includes examining, on a test basis,  evidence supporting the amounts anddisclosures in the financial statements, assessing the accounting  principles used and significant estimatesmade by management, as well as evaluating the overall financial  statement presentation. We believe that ouraudits provide a reasonable basis for our opinion. 

 

In our opinion, the financial statements and financialdata highlights referred to above present fairly, in all material respects, thefinancial position of ML Select Futures I L.P. as of December 31, 2008,the results of its operations, changes in its partners’ capital, and thefinancial data highlights for each of the two years in the period ended December 31,2008, in conformity with accounting principles generally accepted in the UnitedStates of America.

 

 

 

 

March 30, 2009

 

 

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ML SELECT FUTURES I L.P.

(A DelawareLimited Partnership)

 

STATEMENTS OFFINANCIAL CONDITION

DECEMBER 31, 2009AND 2008

 
| ** **                                                                       | ** ** | **2009**    | ** **  | **2008**    | ** ** |
|----------------------------------------------------------------------------------|------------|-------------|-------------|-------------|------------|
| **ASSETS:**                                                                      |       |        |        |        |       |
| ** **                                                                       |       |        |        |        |       |
| Equity  in commodity futures trading accounts:                                   |       |        |        |        |       |
| Cash  (includes restricted cash of $16,490,479 for 2009 and $3,079,224 for 2008) |       | $           | 192,662,134 |        | $          | 230,516,339 |   |
| Net  unrealized profit on open contracts                                         |       | 3,860,156   |        | 4,496,162   |       |
| Cash  and cash equivalents                                                       |       | 431,040     |        | —      |       |
| Accrued  interest receivable                                                     |       | 10,510      |        | 9,572       |       |
| Filing  fees receivable                                                          |       | —      |        | 110,738     |       |
|                                                                             |       |        |        |        |       |
| **TOTAL ASSETS**                                                                 |       | $           | 196,963,840 |        | $          | 235,132,811 |   |
|                                                                             |       |        |        |        |       |
| **LIABILITIES AND PARTNERS’ CAPITAL**                                       |       |        |        |        |       |
|                                                                             |       |        |        |        |       |
| LIABILITIES:                                                                     |       |        |        |        |       |
|                                                                             |       |        |        |        |       |
| Brokerage  commissions payable                                                   |       | $           | 902,720     |        | $          | 1,077,487 |   |
| Profit  Shares payable                                                           |       | 2,107,846   |        | 13,744,964  |       |
| Administrative  and filing fees payable                                          |       | 51,532      |        | 48,977      |       |
| Redemptions  payable                                                             |       | 936,443     |        | 4,704,396   |       |
| Due  to Affiliate                                                                |       | —      |        | 2,293       |       |
| Total  liabilities                                                               |       | 3,998,541   |        | 19,578,117  |       |
|                                                                             |       |        |        |        |       |
| **PARTNERS’ CAPITAL:**                                                      |       |        |        |        |       |
|                                                                             |       |        |        |        |       |
| General  Partner (13,916 Units and 13,916 Units)                                 |       | 4,459,788   |        | 4,367,587   |       |
| Limited  Partners (588,190 Units and 672,247 Units)                              |       | 188,505,511 |        | 211,187,107 |       |
|                                                                             |       |        |        |        |       |
| Total  partners’ capital                                                    |       | 192,965,299 |        | 215,554,694 |       |
|                                                                             |       |        |        |        |       |
| **TOTAL LIABILITIES AND PARTNERS’ CAPITAL**                                 |       | $           | 196,963,840 |        | $          | 235,132,811 |   |
|                                                                             |       |        |        |        |       |
| **NET ASSET VALUE PER UNIT**                                                     |       |        |        |        |       |
| (Based  on 602,106 and 686,163 Units outstanding; unlimited Units authorized)    |       | $           | 320.4839    |        | $          | 314.1450 |   |

 

See notes tofinancial statements.

 

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ML SELECT FUTURESI L.P.

(A DelawareLimited Partnership)

 

STATEMENTS OFOPERATIONS

FOR THE YEARSENDED DECEMBER 31, 2009, 2008 AND 2007

 
| ** **                                                                        | ** ** | **2009**    | ** ** | **2008**    | ** ** | **2007**   | ** ** |
|-----------------------------------------------------------------------------------|------------|-------------|------------|-------------|------------|------------|------------|
| **TRADING PROFIT (LOSS):**                                                        |       |        |       |        |       |       |       |
|                                                                              |       |        |       |        |       |       |       |
| Realized,  net                                                                    |       | $           | 16,697,398 |        | $          | 81,364,923 |       | $ | 13,343,726 |   |
| Change  in unrealized, net                                                        |       | (636,006    | )          | (3,074,698  | )          | (1,451,441 | )          |
|                                                                              |       |        |       |        |       |       |       |
| Total  trading profit (loss)                                                      |       | 16,061,392  |       | 78,290,225  |       | 11,892,285 |       |
|                                                                              |       |        |       |        |       |       |       |
| **INVESTMENT INCOME:**                                                            |       |        |       |        |       |       |       |
| ** **                                                                        |       |        |       |        |       |       |       |
| Interest                                                                          |       | 326,337     |       | 3,585,936   |       | 13,248,150 |       |
|                                                                              |       |        |       |        |       |       |       |
| **EXPENSES:**                                                                     |       |        |       |        |       |       |       |
|                                                                              |       |        |       |        |       |       |       |
| Brokerage  commissions                                                            |       | 10,958,446  |       | 13,184,374  |       | 16,351,736 |       |
| Profit  Shares                                                                    |       | 2,137,349   |       | 15,939,202  |       | 671,266    |       |
| Administrative  and filing fees                                                   |       | 241,215     |       | 600,956     |       | 993,261    |       |
|                                                                              |       |        |       |        |       |       |       |
| Total  expenses                                                                   |       | 13,337,010  |       | 29,724,532  |       | 18,016,263 |       |
|                                                                              |       |        |       |        |       |       |       |
| **NET INVESTMENT INCOME (LOSS)**                                                  |       | (13,010,673 | )          | (26,138,596 | )          | (4,768,113 | )          |
|                                                                              |       |        |       |        |       |       |       |
| **NET INCOME (LOSS)**                                                             |       | $           | 3,050,719  |        | $          | 52,151,629 |       | $ | 7,124,172 |   |
|                                                                              |       |        |       |        |       |       |       |
| **NET INCOME (LOSS) PER UNIT:**                                                   |       |        |       |        |       |       |       |
|                                                                              |       |        |       |        |       |       |       |
| Weighted  average number of General Partner and Limited Partner Units outstanding |       | 853,125     |       | 806,441     |       | 1,214,651  |       |
|                                                                              |       |        |       |        |       |       |       |
| Net  income (loss) per weighted average General Partner and Limited Partner Unit  |       | $           | 3.58       |        | $          | 64.67      |       | $ | 5.87 |   |

 

See notes tofinancial statements.

 

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ML SELECT FUTURES I L.P.

(A Delaware LimitedPartnership)

 

STATEMENTS OF CHANGES INPARTNERS’ CAPITAL

FOR THE YEARS ENDEDDECEMBER 31, 2009, 2008 AND 2007

 
| ** **                                | ** ** | ** ** | ** ** | **General** | ** ** | **Limited**  | ** ** | ** **   | ** ** |
|-------------------------------------------|------------|------------|------------|-------------|------------|--------------|------------|--------------|------------|
| ** **                                | ** ** | **Units**  | ** ** | **Partner** | ** ** | **Partners** | ** ** | **Total**    | ** ** |
|                                      |       |       |       |        |       |         |       |         |       |
| PARTNERS’ CAPITAL, DECEMBER 31, 2006 |       | 1,344,997  |       | 3,607,393   |       | 322,565,177  |       | 326,172,570  |       |
|                                      |       |       |       |        |       |         |       |         |       |
| Subscriptions                             |       | 9,109      |       | —      |       | 2,223,503    |       | 2,223,503    |       |
|                                      |       |       |       |        |       |         |       |         |       |
| Net income                                |       | —     |       | 109,956     |       | 7,014,216    |       | 7,124,172    |       |
|                                      |       |       |       |        |       |         |       |         |       |
| Redemptions                               |       | (453,053   | )          | (233,997    | )          | (109,531,885 | )          | (109,765,882 | )          |
|                                      |       |       |       |        |       |         |       |         |       |
| PARTNERS’ CAPITAL, DECEMBER 31, 2007 |       | 901,053    |       | 3,483,352   |       | 222,271,011  |       | 225,754,363  |       |
|                                      |       |       |       |        |       |         |       |         |       |
| Subscriptions                             |       | 18,634     |       | —      |       | 5,149,267    |       | 5,149,267    |       |
|                                      |       |       |       |        |       |         |       |         |       |
| Net income                                |       | —     |       | 884,235     |       | 51,267,394   |       | 52,151,629   |       |
|                                      |       |       |       |        |       |         |       |         |       |
| Redemptions                               |       | (233,524   | )          | —      |       | (67,500,565  | )          | (67,500,565  | )          |
|                                      |       |       |       |        |       |         |       |         |       |
| PARTNERS’ CAPITAL, DECEMBER 31, 2008 |       | 686,163    |       | $           | 4,367,587  |         | $          | 211,187,107  |       | $ | 215,554,694 |   |
|                                      |       |       |       |        |       |         |       |         |       |
| Subscriptions                             |       | 12,962     |       | —      |       | 3,974,755    |       | 3,974,755    |       |
|                                      |       |       |       |        |       |         |       |         |       |
| Net income                                |       | —     |       | 92,201      |       | 2,958,518    |       | 3,050,719    |       |
|                                      |       |       |       |        |       |         |       |         |       |
| Redemptions                               |       | (97,019    | )          | —      |       | (29,614,869  | )          | (29,614,869  | )          |
|                                      |       |       |       |        |       |         |       |         |       |
| PARTNERS’ CAPITAL, DECEMBER 31, 2009 |       | 602,106    |       | $           | 4,459,788  |         | $          | 188,505,511  |       | $ | 192,965,299 |   |

 

Seenotes to financial statements.

 

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ML SELECT FUTURES I L.P.

(A Delaware LimitedPartnership)

 

FINANCIAL DATA HIGHLIGHTS

FOR THE YEARS ENDED December 31,2009, 2008 and 2007

 

The following per Unitdata and ratios have been derived from information provided in the financialstatements.

 
| ** **                                        | ** ** | **2009** | ** ** | **2008** | ** ** | **2007** | ** ** |
|---------------------------------------------------|------------|----------|------------|----------|------------|----------|------------|
|                                              |       |     |       |     |       |     |       |
| **Per Unit Operating Performance:**               |       |     |       |     |       |     |       |
|                                              |       |     |       |     |       |     |       |
| Net  asset value, beginning of year               |       | $        | 314.15     |     | $          | 250.55   |       | $ | 242.51 |   |
|                                              |       |     |       |     |       |     |       |
| Net  realized trading profit (loss)               |       | 27.26    |       | 101.68   |       | 15.47    |       |
| Change  in unrealized, net                        |       | (0.42    | )          | (5.79    | )          | (3.46    | )          |
| Interest  income                                  |       | 0.50     |       | 4.31     |       | 10.77    |       |
| Expenses  (1)                                     |       | (21.01   | )          | (36.60   | )          | (14.74   | )          |
|                                              |       |     |       |     |       |     |       |
| Net  asset value, end of year                     |       | $        | 320.48     |     | $          | 314.15   |       | $ | 250.55 |   |
|                                              |       |     |       |     |       |     |       |
| **Total Return:**                                 |       |     |       |     |       |     |       |
|                                              |       |     |       |     |       |     |       |
| Total  return (2)                                 |       | 2.60     | %          | 25.38    | %          | 3.31     | %          |
|                                              |       |     |       |     |       |     |       |
| **Ratios to Average Partners’ Capital (1):** |       |     |       |     |       |     |       |
|                                              |       |     |       |     |       |     |       |
| Expenses  (2)                                     |       | 6.16     | %          | 13.22    | %          | 6.24     | %          |
| Net  investment loss                              |       | -6.00    | %          | -11.62   | %          | -1.65    | %          |

 

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(1) Includesthe impact of brokerage commission expenses.

(2) Includesthe impact of Performance fees of -1.08%, -7.20% and -0.33%, respectively.

 

See notes to financialstatements.

 

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ML SELECT FUTURES I L.P.

(A Delaware LimitedPartnership)

 

NOTES TO FINANCIALSTATEMENTS

 

1.              SUMMARY OF SIGNIFICANT ACCOUNTINGPOLICIES

 

Organization

 

ML Select Futures I L.P.(the “Partnership”) was organized under the Delaware Revised UniformPartnership Act in August 1995 and commenced trading activities on April 16,1996. The Partnership issues new units of limited partner interest (“Units”) atNet Asset Value as of the beginning of each calendar month. The Partnershipengages in the speculative trading of futures, options on futures and forwardcontracts on a wide range of commodities. Sunrise Capital Partners, LLC (“Sunrise”)is the trading advisor of the Partnership. Merrill Lynch AlternativeInvestments LLC (“MLAI”), is the general partner of the Partnership.

 

MLAI is an indirectwholly-owned subsidiary of Merrill Lynch & Co., Inc. (“MerrillLynch”). Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”),a wholly-owned subsidiary of Merrill Lynch, is the Partnership’s commoditybroker.  MLAI has agreed to maintain ageneral partner’s interest of at least 1% of the total capital in thePartnership.  MLAI and each LimitedPartner share in the profits and losses of the Partnership in proportion totheir respective interests in it. On September 15, 2008,Merrill Lynch entered into an Agreement and Plan of Merger (as amended byAmendment No. 1 dated as of October 21, 2008, the “Merger Agreement”)with Bank of America Corporation (“Bank of America”). Pursuant to the MergerAgreement, on January 1, 2009, a wholly-owned subsidiary of Bank ofAmerica merged with and into Merrill Lynch, with Merrill Lynch continuing asthe surviving corporation and a subsidiary of Bank of America.

 

Interests in the Partnershipare not insured or otherwise protected by the Federal Deposit InsuranceCorporation or any other government authority. Interests are not deposits or other obligations of, and are not guaranteedby, Bank of America Corporation or any of its affiliates or by any bank.  Interests are subject to investment risks,including the possible loss of the full amount invested.

 

Estimates

 

The preparation offinancial statements in conformity with accounting principles generallyaccepted in the United States of America (“U.S. GAAP”) requires management tomake estimates and assumptions that affect the reported amounts of assets andliabilities and disclosure of contingent assets and liabilities at the date ofthe financial statements and the reported amounts of revenues and expensesduring the reporting period.  Actualresults could differ from those estimates. Certainprior year items have been reclassified to conform to the current yearpresentation.

 

Statement of Cash Flows

 

The Partnership is not required to provide aStatement of Cash Flows.

 

RevenueRecognition

 

Commodity futures,options on futures and forward contract transactions are recorded on tradedate. Open contracts are reflected in Net unrealized profit (loss) on opencontracts in the Statements of Financial Condition as the difference betweenthe original contract value and the market value (for those 

 

7

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commodity interests forwhich market quotations are readily available) or at fair value.  The change in unrealized profit (loss) onopen contracts from one period to the next is reflected in Change in unrealizedunder Trading profit (loss) in the Statements of Operations.

 

ForeignCurrency Transactions

 

The Partnership’s functional currency is the U.S. dollar; however, ittransacts business in U.S. dollars and currencies other than the U.S.dollar.  Assets and liabilitiesdenominated in currencies other than the U.S. dollar are translated into U.S.dollars at the rates in effect at the dates of the Statements of FinancialCondition.  Income and expense itemsdenominated in currencies other than the U.S. dollar are translated into U.S.dollars at the rates in effect during the year. Gains and losses resulting from the translation to U.S. dollars areincluded in Trading Profit(Loss) in the Statements of Operations.

 

OperatingExpenses and Selling Commissions

 

MLAI pays all routine operating expenses excluding theState of New Jersey and State of New York filing fees (which are borne by thePartnership) but including legal, accounting, printing, postage and similaradministrative expenses of the Partnership. MLAI receives an administrative fee as well as a portion of thebrokerage commissions paid to MLPF&S by the Partnership (see Note 4).

 

No selling commissionshave been or are paid directly by the Limited Partners.  All selling commissions are paid by MLAI.

 

Cashand Cash equivalents

 

ThePartnership considers all highly liquid investments, with a maturity of threemonths or less when acquired, to be cash equivalents. Cash equivalents wererecorded at amortized cost which approximated fair value (Level II see Note 3).Cash was held at a nationally recognized financial institution.

 

Cash at Broker /Equity in Commodity Futures Trading Accounts

 

A portion of the assets maintained at MLPF&S isrestricted cash required to meet maintenance margin requirements.

 

Income Taxes

 

No provision for incometaxes has been made in the accompanying financial statements as each LimitedPartner is individually responsible for reporting income or loss based on suchPartner’s share of the Partnership’s income and expenses as reported for incometax purposes.

 

The Partnership follows the ASC guidance onaccounting for uncertainty in income taxes. This guidance provides how uncertain tax positions should be recognized,measured, presented and disclosed in the financial statements.  This guidance also requires the evaluation oftax positions taken or expected to be taken in the course of preparing thePartnership’s financial statements to determine whether the tax positions are “more-likely-than-not”to be sustained by the applicable tax authority.  Tax positions with respect to tax at thePartnership level not deemed to meet the “more-likely-than-not” threshold wouldbe recorded as a tax benefit or expense in the current year.  MLAI has analyzed the Partnership’s taxpositions and has concluded that no provision for income tax is required in thePartnership’s financial statements. The following are the major taxjurisdictions for the Partnership and the earliest tax year subject toexamination: United States — 2006.

 

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Distributions

 

The Limited Partners areentitled to receive, equally per Unit, any distributions which may be made bythe Partnership.  No such distributionshave been declared for the years ended December 31, 2009, 2008 or 2007.

 

Subscriptions

 

Currently, thePartnership is closed to new investors. Existing investors only are allowed to add to their existingpositions.  Units are offered as of theclose of business at the end of each month. Units are purchased as of the first business day of any month at NetAsset Value, but the subscription request must be submitted at least threecalendar days before the end of the preceding month.  Subscriptions submitted less than three daysbefore the end of a month will be applied to Unit subscriptions as of thebeginning of the second month after receipt, unless revoked by MLAI.

 

Redemptions

 

A Limited Partner mayredeem some or all of such Partner’s Units at Net Asset Value as of the closeof business on the last business day of any calendar month upon ten days’notice (“notice period”). Units redeemed on or before the end of the twelfthfull month after purchase will be assessed an early redemption charge of 4% oftheir Net Asset Value as of the date of redemption.  If an investor makes multiple investments inthe Partnership, investments are treated on a first-in, first-out basis indetermining whether a redemption charge is applicable. Redemption charges aresubtracted from redemption proceeds and paid to MLAI.

 

Redemption requests areaccepted within the notice period.  ThePartnership does not accept any redemption requests after the noticeperiod.  All redemption requests receivedafter the notice period will be processed for the following month.

 

Dissolution of thePartnership

 

The Partnership willterminate on December 31, 2020 or at an earlier date if certain conditionsoccur, as well as under certain other circumstances as set forth in the LimitedPartnership Agreement.

 

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2.               CONDENSED SCHEDULE OF INVESTMENTS

 

The Partnership’s investments, defined as Netunrealized profit (loss) on open contracts on the Statements of FinancialCondition, as of December 31, 2009 and 2008, are as follows:

 

2009

 
| ** **                  | ** ** | **Long Positions** | ** ** | **Short Positions** | ** ** | **Net Unrealized**         | ** ** | ** **         | ** ** | ** **             | ** ** |
|-----------------------------|------------|-------------------------|------------|--------------------------|------------|---------------------------------|------------|--------------------|------------|------------------------|------------|
| **Commodity Industry** | ** ** | **Number of**      | ** ** | **Unrealized**           | ** ** | **Percent of**             | ** ** | **Number of** | ** ** | **Unrealized**         | ** ** | **Percent of** | ** ** | **Profit (Loss)** | ** ** | **Percent of** | ** ** | ** ** | ** ** |
| **Sector**                  | ** ** | **Contracts**           | ** ** | **Profit (Loss)**   | ** ** | **Partners’ Capital** | ** ** | **Contracts**      | ** ** | **Profit (Loss)** | ** ** | **Partners’ Capital** | ** ** | **on Open Positions** | ** ** | **Partners’ Capital** | ** ** | **Maturity Dates** | ** ** |
|                        |       |                    |       |                     |       |                            |       |               |       |                   |       |   |   |   |   |   |   |   |   |
| Agriculture                 |       | 940                     |       | $                        | 1,069,772  |                            | 0.55       | %                  | (158       | )                      | $          | 144,174 |   | 0.07 | % | $ | 1,213,946 |   | 0.62 | % | March 10 |   |
| Currencies                  |       | 712,875,032             |       | (1,504,842               | )          | -0.78                           | %          | (613,875,032       | )          | (245,497               | )          | -0.13 | % | (1,750,339 | ) | -0.91 | % | March 10 |   |
| Interest  rates             |       | 343                     |       | (275,733                 | )          | -0.14                           | %          | —             |       | —                 |       | 0.00 | % | (275,733 | ) | -0.14 | % | March  10 -  December 10 |   |
| Energy                      |       | 431                     |       | 2,095,589                |       | 1.09                            | %          | —             |       | —                 |       | 0.00 | % | 2,095,589 |   | 1.09 | % | February 10  - June 10 |   |
| Metals                      |       | 661                     |       | 1,479,680                |       | 0.77                            | %          | (38                | )          | (41,672                | )          | -0.02 | % | 1,438,008 |   | 0.75 | % | January 10 -  March 10 |   |
| Stock  indices              |       | 1,034                   |       | 1,138,685                |       | 0.59                            | %          | —             |       | —                 |       | 0.00 | % | 1,138,685 |   | 0.59 | % | March 10 |   |
|                        |       |                    |       |                     |       |                            |       |               |       |                   |       |   |   |   |   |   |   |   |   |
| Total                       |       |                    |       | $                        | 4,003,151  |                            | 2.08       | %                  |       |                   | $          | (142,995 | ) | -0.08 | % | $ | 3,860,156 |   | 2.00 | % |   |   |

 

2008

 
|                        |       | **Long Positions** |       | **Short Positions** |       |                            |       |               |       |                   |       |
|-----------------------------|------------|-------------------------|------------|--------------------------|------------|---------------------------------|------------|--------------------|------------|------------------------|------------|
| **Commodity Industry** | ** ** | **Number of**      | ** ** | **Unrealized**           | ** ** | **Percent of**             | ** ** | **Number of** | ** ** | **Unrealized**         | ** ** | **Percent of** | ** ** | **Profit (Loss)** | ** ** | **Percent of** | ** ** | ** ** |   |
| **Sector**                  | ** ** | **Contracts**           | ** ** | **Profit (Loss)**   | ** ** | **Partners’ Capital** | ** ** | **Contracts**      | ** ** | **Profit (Loss)** | ** ** | **Partners’ Capital** | ** ** | **on Open Positions** | ** ** | **Partners’ Capital** | ** ** | **Maturity Dates** |   |
|                        |       |                    |       |                     |       |                            |       |               |       |                   |       |   |   |   |   |   |   |   |   |
| Agriculture                 |       | —                  |       | $                        | —     |                            | 0.00       | %                  | (265       | )                      | $          | (67,707 | ) | -0.03 | % | $ | (67,707 | ) | -0.03 | % | March 09 |   |
| Currencies                  |       | 1,979,398               |       | 465,793                  |       | 0.22                            | %          | (1,126,285         | )          | (1,811,557             | )          | -0.84 | % | (1,345,764 | ) | -0.62 | % | March 09 |   |
| Interest  rates             |       | 550                     |       | 2,010,634                |       | 0.93                            | %          | —             |       | —                 |       | 0.00 | % | 2,010,634 |   | 0.93 | % | March  09 -  December 09 |   |
| Energy                      |       | —                  |       | —                   |       | 0.00                            | %          | (59                | )          | 238,129                |       | 0.11 | % | 238,129 |   | 0.11 | % | February 09  - June 09 |   |
| Metals                      |       | 131                     |       | (2,830,888               | )          | -1.31                           | %          | (182               | )          | 6,510,691              |       | 3.02 | % | 3,679,803 |   | 1.71 | % | January 09 -  March 09 |   |
| Stock  indices              |       | —                  |       | —                   |       | 0.00                            | %          | (6                 | )          | (18,933                | )          | -0.01 | % | (18,933 | ) | -0.01 | % | March 09 |   |
|                        |       |                    |       |                     |       |                            |       |               |       |                   |       |   |   |   |   |   |   |   |   |
| Total                       |       |                    |       | $                        | (354,461   | )                               | -0.16      | %                  |       |                   | $          | 4,850,623 |   | 2.25 | % | $ | 4,496,162 |   | 2.09 | % |   |   |

 

No individualcontract’s unrealized profit or loss comprised greater than 5% of the Partners’Capital as of December 31, 2009 and 2008.

 

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3.               FAIR VALUE OF INVESTMENTS

 

TheFASB’s ASC’s provide authoritative guidance on fair value measurement. Thisguidance defines fair value, establishes a framework for measuring fair valueand expands disclosures about fair value measurements.

 

Fair value of an investment is the amount that wouldbe received to sell the investment in an orderly transaction between marketparticipants at the measurement date (i.e. the exit price).  Allinvestments interests (including derivative financial instruments and derivativecommodity instruments) are held for trading purposes.  The investments are recorded on trade dateand open contracts are recorded at fair value (described below) at themeasurement date. Investments denominated in foreign currencies are translated intoU.S. dollars at the exchange rates prevailing at the measurement date.  Gains or losses are realized when contractsare liquidated.  Unrealized gains orlosses on open contracts are included in Equity in commodity futures tradingaccount.  Any change in net unrealizedgain or loss from the preceding year is reported in the Statements ofOperations.

 

The fair valuemeasurement established a hierarchal disclosure framework which prioritizes andranks the level of market price observability used in measuring investments atfair value. Market price observability is impacted by a number of factors,including the type of investment and the characteristics specific to theinvestment. Investments with readily available active quoted prices or forwhich fair value can be measured from actively quoted prices generally willhave a higher degree of market price observability and a lesser degree ofjudgment used in measuring fair value.

 

Investments measured andreported at fair value are classified and disclosed in one of the followingcategories:

 

Level I — Quoted pricesare available in active markets for identical investments as of the reportingdate. The type of investments included in Level I are publicly tradedinvestments. As required by the fair market measurement, the Partnership doesnot adjust the quoted price for these investments even in situations where thePartnership holds a large position and a sale could reasonably impact thequoted price.

 

Level II — Pricing inputsare other than quoted prices in active markets, which are either directly orindirectly observable as of the reporting date, and fair value is determinedthrough the use of generally accepted and understood models or other valuationmethodologies. Investments which are generally included in this category areinvestments valued using market data.

 

Level III — Pricinginputs are unobservable and include situations where there is little, if any,market activity for the investment. Fair value for these investments aredetermined using valuation methodologies that consider a range of factors,including but not limited to the nature of the investment, local marketconditions, trading values on public exchanges for comparable securities,current and projected operating performance and financing transactionssubsequent to the acquisition of the investment. The inputs into thedetermination of fair value require significant management judgment. Due to theinherent uncertainty of these estimates, these values may differ materiallyfrom the values that would have been used had a ready market for theseinvestments existed.

 

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In certain cases,the inputs used to measure fair value may fall into different levels of thefair value hierarchy. In such cases, an investment’s level within the fairvalue hierarchy is based on the lowest level of input that is significant tothe fair value measurement. MLAI’s assessment of the significance of aparticular input to the fair value measurement in its entirety requiresjudgment, and considers factors specific to the investment.

 

Following is a descriptionof the valuation methodologies used for investments, as well as the generalclassification of such investments pursuant to the valuation hierarchy.

 

Exchange traded investmentsare fair valued by the Partnership by using the reported closing price on theprimary exchange where it trades such investments. These closing prices areobserved through the clearing broker and third party pricing services. Fornon-exchange traded investments, quoted values and other data provided bynationally recognized independent pricing sources are used as inputs into itsprocess for determining fair values.

 

The independent pricingsources obtain market quotations and actual transaction prices for securitiesthat have quoted prices in active markets. Each source has its own proprietarymethod for determining the fair value of securities that are not activelytraded. In general, these methods involve the use of “matrix pricing” in whichthe independent pricing source uses observable market inputs including, but notlimited to, investment yields, credit risks and spreads, benchmarking of likesecurities, broker-dealer quotes, reported trades and sector groupings todetermine a reasonable fair market value.

 

The Partnership hasdetermined that Level I securities would include all of its futures and optionscontracts where it believes that quoted prices are available in an activemarket.

 

Where the Partnership believes that quoted market prices are notavailable or that the market is not active, fair values are estimated by usingquoted prices of securities with similar characteristics, pricing models ormatrix pricing and these are generally classified as Level II securities. ThePartnership determined that Level II securities would include its forwardcontracts.

 

The Partnership’s netunrealized profit (loss) on open forward and futures contracts as of December 31,2009 and 2008 are as follows:

 
| **December  31, 2009** | ** ** | **Unrealized Long Positions** | ** ** | **Unrealized Short Positions** | ** ** | **Total**  | ** ** |
|------------------------|------------|-------------------------------|------------|--------------------------------|------------|------------|------------|
| Futures                |       | 5,507,993                     |       | $                              | 102,502    |       | $          | 5,610,495 |   |
| Forwards               |       | (1,504,842                    | )          | (245,497                       | )          | (1,750,339 | )          |
| Total                  |       | $                             | 4,003,151  |                           | $          | (142,995   | )          | $ | 3,860,156 |   |
|                        |            |                               |            |                                |            |            |            |  |  |  |

 
| **December  31, 2008** | ** ** | **Unrealized Long Positions** | ** ** | **Unrealized Short Positions** | ** ** | **Total**  | ** ** |
|------------------------|------------|-------------------------------|------------|--------------------------------|------------|------------|------------|
| Futures                |       | $                             | (820,254   | )                              | $          | 6,662,180  |       | $ | 5,841,926 |   |
| Forwards               |       | 465,793                       |       | (1,811,557                     | )          | (1,345,764 | )          |
| Total                  |       | $                             | (354,461   | )                              | $          | 4,850,623  |       | $ | 4,496,162 |   |

 

The Partnership’svolume of trading forwards and futures as of the end of this year isrepresentative of the activity throughout the year.

 

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The following table summarizes the valuation of the Partnership’sinvestment by the above fair value hierarchy levels as of December 31,2009 and 2008:

 
| **Net  unrealized**    | ** ** | ** ** | ** ** | ** **  | ** ** | ** **   | ** ** | ** **    | ** ** |
|------------------------|------------|------------|------------|-------------|------------|--------------|------------|---------------|------------|
| **profit  (loss)**     | ** ** | ** ** | ** ** | ** **  | ** ** | ** **   | ** ** | ** **    | ** ** |
| **on  open contracts** | ** ** | **Total**  | ** ** | **Level I** | ** ** | **Level II** | ** ** | **Level III** | ** ** |
|                   |       |       |       |        |       |         |       |          |       |
| December 31, 2009 |       | $          | 3,860,156  |        | $          | 2,575,045    |       | $             | 1,285,111  |   | $ | — |   |
| December 31, 2008 |       | $          | 4,496,162  |        | $          | 4,496,162    |       | $             | —     |   | $ | — |   |

 

As of January 1, 2009, the Partnership adopted the FASB’s guidanceon disclosures about derivative instruments and hedging activities whichrequires qualitative disclosures about objectives and strategies for usingderivatives, quantitative disclosures about fair value amounts of and gains andlosses on derivative instruments, and disclosures about credit-risk-relatedcontingent features in derivative agreements. This guidance only expands thedisclosure requirements for derivative instruments and related hedgingactivities and has no impact on Statements of Financial Condition or StatementsOperations or Statements of Changes in Partners’ Capital.

 

The Partnership engages in the speculative trading of futures, optionson futures and forward contracts on a wide range of commodities. Such contractsmeet the definition of a derivative as noted in the guidance for derivatives and hedging. The fairvalue amounts of and the gains and losses on derivative instruments isdisclosed in the statements of financial condition and statements ofoperations, respectively. There are no credit related contingent featuresembedded in these derivative contracts.

 

The followingtable indicates the trading gains and losses, by commodity industry sector, onderivative instruments for the year ended December 31, 2009

 
| **Commodity  Industry** | ** ** | **Gain (loss)**  | ** ** |
|-------------------------|------------|------------------|------------|
| **Sector**              | ** ** | **from trading** | ** ** |
|                    |       |             |       |
| Agriculture             |       | $                | 1,848,990  |   |
| Currencies              |       | (1,176,863       | )          |
| Energy                  |       | 2,501,445        |       |
| Interest rates          |       | (1,743,507       | )          |
| Metals                  |       | 10,192,213       |       |
| Stock indices           |       | 4,439,114        |       |
|                    |       |             |       |
| Total                   |       | $                | 16,061,392 |   |

 

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The Partnership is subject to the risk of insolvency of a counterparty,an exchange, a clearinghouse or MLPF&S. Partnership assets could be lost or impounded during lengthy bankruptcyproceedings.  Were a substantial portionof the Partnership’s capital tied up in a bankruptcy or other similar types ofproceedings, MLAI might suspend or limit trading, perhaps causing thePartnership to miss significant profit opportunities.  There are increased risks in dealing withunregulated trading counterparties including the risk that assets may notbenefit from the protection afforded to “customer funds” deposited withregulated dealers and brokers.

 

4.     RELATED PARTY TRANSACTIONS

 

The Partnership’sU.S. dollar assets are maintained at MLPF&S. On assets held in U.S.dollars, Merrill Lynch credits the Partnership with interest at the prevailing91-day U.S. Treasury bill rate.  ThePartnership is credited with interest on any of its assets and net gainsactually held by MLPF&S in non-U.S. dollar currencies at a prevailing localrate received by Merrill Lynch.  MerrillLynch may derive certain economic benefit, in excess of the interest, whichMerrill Lynch pays to the Partnership, from possession of such assets.

 

Merrill Lynchcharges the Partnership, at prevailing local interest rates, for financingrealized and unrealized losses on the Partnership’s non-U.S. dollar-denominatedpositions.  Such amounts are nettedagainst interest income due to the insignificance of such amounts.

 

The Partnershippays brokerage commissions to MLPF&S at a flat monthly rate equal to 0.458of 1% (a 5.50% annual rate) of the Partnership’s month-end trading assets. ThePartnership pays administrative fees to MLAI at a flat monthly rate equal to0.021 of 1% (a 0.25% annual rate) of the Partnership’s month-end tradingassets. Month-end trading assets are not reduced, for purposes of calculatingbrokerage commissions and administrative fees, by any accrued brokeragecommissions, administrative fees, Profit Shares or other fees or charges.

 

Until 2007, thePartnership reimbursed MLAI for payment of the actual State of New Jerseyannual filing fee (“NJ filing fees”) assessed on a per partner basis.  Filing fees receivable represents refunds onsuch payments.   The Partnership pays allfiling fees directly and no longer reimburses MLAI for such disbursements.

 

MLPF&S paysSunrise a monthly consulting fee of 0.083 of 1% (a 1% annual rate) of themonth-end trading assets, after reduction for a portion of the brokerage commissions.

 

Brokerage Commissions andInterest as seen on the Statements of Operations are all received from or paidto related parties.

 

TheFund holds cash at an unaffiliated bank which invests such cash in a moneymarket fund which is managed by BlackRock, a related party to MLAI.  TheCash and cash equivalents as seen on the Statements of Financial Condition isthe amount held by the related party.

 

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5.                    ADVISORY AGREEMENT

 

The Partnership enteredinto an Advisory Agreement with Sunrise. The Advisory Agreement between the Partnership and Sunrise continues tobe in effect, subject to certain renewal rights exercisable by thePartnership.  Sunrise determines thecommodity futures, options on futures and forward contracts traded by thePartnership, subject to certain trading policies and to certain rights reservedby MLAI.

 

Profit Shares equal to23% of any New Trading Profit, as defined in the limited partnership agreement,as of the end of each calendar year are paid to Sunrise.  Profit Shares are also paid out in respect ofUnits redeemed (to the extent they exceed the number of Units purchased) as ofthe end of interim months during a calendar year, to the extent of theapplicable percentage of any New Trading Profit attributable to such Units.

 

6.               WEIGHTED AVERAGE UNITS

 

The weighted averagenumber of Units outstanding is computed for purposes of calculating net income(loss) per weighted average Unit.  Theweighted average number of Units outstanding for the years ended December 31,2009, 2008 and 2007 equaled the Units outstanding as of such date, adjustedproportionately for Units sold or redeemed based on the respective length oftime each was outstanding during such year.

 

7.     RECENT ACCOUNTINGPRONOUNCEMENTS

 

In July 2009, theFinancial Accounting Standards Board (“FASB”) issued Accounting StandardsCodification (“ASC”) 105, *Generally AcceptedAccounting Principles,*(ASC 105), which approved the FASB AccountingStandards Codification (the “Codification”) as the single source ofauthoritative nongovernmental GAAP. The Codification is effective for interimor annual periods ending after September 15, 2009. All existing accountingstandards have been superseded and all other accounting literature not includedin the Codification are considered nonauthoritative. ASC 105 was not intendedto change the accounting literature and did not impact the Partnership’sfinancial condition or results of operations. All accounting references within this report are in accordance with thenew Codification.

 

In April 2009,the FASB issued guidance on determining**fair**value**when**the**volume**and**level**of activity for the asset or liabilityhave significantly decreased and identifying transactions that are not orderly.This guidance**providesadditional guidance for estimating fair value in accordance with FASB guidanceon fair value measurements,when the volume and level of activity for the asset or liability havesignificantly decreased. This guidance also identifies circumstances thatindicate a transaction is not orderly. The guidance emphasizes that even ifthere has been a significant decrease in the volume and level of activity forthe asset or liability and regardless of the valuation technique(s) used,the objective of a fair value measurement remains the same. Fair value is theprice that would be received to sell an asset or paid to transfer a liabilityin an orderly transaction (that is, not a forced liquidation or distressedsale) between market participants at the measurement date under current marketconditions. The guidance also contains enhanced disclosure requirements wherebyfair value disclosures as well as certain disaggregated information will bedisclosed. The adoption of this guidance had no impact on the financialstatements.

 

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In September 2009, the FASB issued *AccountingStandards Update No. 2009-12, Investments in Certain Entities That Calculate Net Asset Value perShare (or Its Equivalent) (the “ASU 2009-12”),*which is effective for interim or annual financial periodsending after December 15, 2009.  The adoption of this guidance had noimpact on the financial statements.

 

In January 2010, the FASB issued an update to the fair valuemeasurements disclosure. Pursuant to this update, additional disclosures in thefinancial statements relating to transfers in and out of Levels 1 and 2 fairvalue measurements and separate disclosure of purchases, sales, issuances, andsettlements in Level 3 roll forward, will be required. In addition, this updateprovides clarifications on i) the level of aggregation of classes of assets andliabilities disclosed in the fair value measurement disclosures and ii)disclosures relating to the inputs and valuation techniques for Level 2 andLevel 3 fair value measurements. The new disclosures and clarifications ofexisting disclosures are effective for annual reporting periods beginning afterDecember 15, 2009, except for the disclosures about purchases, sales,issuances, and settlements in the Level 3 roll forward which are effective forfiscal years beginning after December 15, 2010. This update furtherenhances the fair value disclosures and the General Partner has determined thatthe adoption of this update would not have a material impact to the Partnership’sfinancial statements.

 

8.               MARKET AND CREDIT RISKS

 

The nature of thisPartnership has certain risks, which cannot all be presented on the financialstatements.  The following summarizessome of those risks.

 

Market Risk

 

Derivativeinstruments involve varying degrees of market risk.  Changes in the level or volatility ofinterest rates, foreign currency exchange rates or the market values of thefinancial instruments or commodities underlying such derivative instrumentsfrequently result in changes in the Partnership’s net unrealized profit (loss)on such derivative instruments as reflected in the Statements of FinancialCondition.  The Partnership’s exposure tomarket risk is influenced by a number of factors, including the relationshipsamong the derivative instruments held by the Partnership as well as thevolatility and liquidity of the markets in which the derivative instruments aretraded.  Investments in foreign marketsmay also entail legal and political risks.

 

MLAI has procedures in place intended to controlmarket risk exposure, although there can be no assurance that they will, infact, succeed in doing so.  Theseprocedures focus primarily on monitoring the trading of Sunrise, calculatingthe Net Asset Value of the Partnership as of the close of business on each dayand reviewing outstanding positions for over-concentrations.  While MLAI does not itself intervene in themarkets to hedge or diversify the Partnership’s market exposure, MLAI may urgeSunrise to reallocate positions in an attempt to avoidover-concentrations.  However, suchinterventions are unusual and unless it appears that Sunrise has begun todeviate from past practice or trading policies or to be trading erratically,MLAI’s basic risk control procedures consist simply of the ongoing process ofadvisor monitoring, with the market risk controls being applied by Sunrise.

 

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Credit Risk

 

The risksassociated with exchange-traded contracts are typically perceived to be lessthan those associated with over-the-counter (non-exchange-traded) transactions,because exchanges typically (but not universally) provide clearinghousearrangements 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 thefinancial integrity of the exchange.  Inover-the-counter transactions, on the other hand, traders must rely solely onthe credit of their respective individual counterparties.  Margins, which may be subject to loss in theevent of a default, are generally required in exchange trading, andcounterparties may also require margin in the over-the-counter markets.

 

The credit risk associated with these instruments fromcounterparty nonperformance is the net unrealized profit on open contracts, ifany, included in the Statements of Financial Condition.  The Partnership attempts to mitigate thisrisk by dealing exclusively with Merrill Lynch entities as clearing brokers.

 

The Partnership, in its normal course of business,enters into various contracts, with MLPF&S acting as its commoditybroker.  Pursuant to the brokerageagreement with MLPF&S (which includes a netting arrangement), to the extentthat such trading results in receivables from and payables to MLPF&S, thesereceivables and payables are offset and reported as a net receivable or payableand included in Net unrealized profit (loss) on open contracts on theStatements of Financial Condition.

 

Indemnifications

 

In the normal course ofbusiness, the Fund has entered, or may in the future enter into agreements thatobligate the Fund to indemnify third parties, including affiliates of the Fund,for breach of certain representations and warranties made by the Fund. Noclaims have actually been made with respect to such indemnities and anyquantification would involve hypothetical claims that have not been made. Basedon the Fund’s experience, MLAI expected the risk of loss to be remote and,therefore, no provision has been recorded.

 

9.               SUBSEQUENT EVENT

 

Management has evaluated the impact of subsequent events on the Fundand has determined that there were no subsequent events that requireadjustments to, or disclosure in, the financial statements.

 

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*     *     *    *     *     *    *     *     *    *      *

 

To the best of theknowledge and belief of the

undersigned, theinformation contained in this

reportis accurate and complete.

 
|   |                                            |   |
|--------|--------------------------------------------|--------|
|   | Barbra E. Kocsis                           |   |
|   | Chief Financial  Officer                   |   |
|   | Merrill Lynch  Alternative Investments LLC |   |
|   | General Partner  of                        |   |
|   | ML Select  Futures I L.P.                  |   |

 

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