**UNITED STATES**

**SECURITIES AND EXCHANGE COMMISSION**

**Washington, D.C. 20549**

**FORM 10-K**

**xAnnual Report Pursuant to Section 13 or 15(d)**

**of the Securities Exchange Act of 1934**

**For the fiscal yearended: December 31, 2006**

**or**

**oTransition Report Pursuant to Section 13**

**or 15(d) of the Securities Exchange Act of1934**

**Commissionfile number: 0-50269**

**ML SELECT FUTURES I  L.P.**

(Exact name of registrant as specified in its charter)

| **Delaware**                                                                 |   | **13-3879393**       |
|------------------------------------------------------------------------------|--------|----------------------|
| (State or other  jurisdiction of                                             |   | (I.R.S. Employer     |
| incorporation or  organization)                                              |   | Identification  No.) |
|                                                                         |   |                 |
| **c/o  Merrill Lynch Alternative Investments LLC**                           |
| **Princeton  Corporate Campus**                                              |
| **800  Scudders Mill Road – Section 2-G**                               |
| **Plainsboro,  New Jersey 08536**                                            |
| (Address of  principal executive offices)                                    |
|                                                                         |
| Registrant’s  telephone number, including area code: **(609) 282-6091** |

 

Securities registered pursuant to Section 12(b) of theAct: **None**

Securities registered pursuant to Section 12(g) of theAct: **Limited Partnership Units**

Indicate by check mark ifthe registrant is a well-known seasoned issuer, as defined in Rule 405 of theSecurities Act.
|  | Yes o | No x |
|--|-------|------|

 

Indicate by check mark ifthe registrant is not required to file reports pursuant to Section 13 or 15(d)of the Act.
|  | Yes o | No x |
|--|-------|------|

 

Indicate by checkmark if the registrant (1) has filed all reports required to be filed bySection 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding12 months (or for such shorter period that the registrant was required to filesuch reports), and (2) has been subject to such filing requirements for thepast 90 days.
|  | Yes x | No o |
|--|-------|------|

 

Indicate by check mark if disclosure of delinquentfilers pursuant to Item 405 of Regulation S-K is not contained herein, and willnot be contained, to the best of registrant’s knowledge, in definitive proxy orinformation statements incorporated by reference in Part III of this Form 10-Kor any amendment to this Form 10-K. x

Indicateby check mark whether the registrant is a large accelerated filer, anaccelerated filer, or a non-accelerated filer. See definition of “accelerated filer and large accelerated filer” inRule 12b-2 of the Exchange Act. (Check one):

Large accelerated filer  o      Acceleratedfiler  o      Non-acceleratedfiler  x

Indicate by check markwhether the registrant is a shell company (as defined by Rule 12b-2 of theAct).
|  | Yes o | No x |
|--|-------|------|

 

The limitedpartnership units of the registrant are not publicly traded.  Accordingly, there is no aggregate marketvalue for the registrant’s outstanding equity that is readily determinable.

Asof  January 31, 2007, limited partnershipunits with an aggregate net asset value of $354,244,209 were held bynon-affiliates.

**Documents Incorporated by Reference**

The registrant’s 2006 Annual Report and Report ofIndependent Registered Public Accounting Firm, the annual report to securityholders for the fiscal year ended December 31, 2006, is incorporated byreference into Part II, Item 8, and Part IV hereof and filed as an Exhibitherewith. Copies of the annual report are available free of charge bycontacting Alternative Investments Client Services at 1-877-465-8435.

 

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**ML SELECT FUTURES I L. P.**

ANNUAL REPORT FOR 2006 ON FORM 10-K

Table of Contents
| ** ** | ** **                                                                                                          | **Page** |
|------------|---------------------------------------------------------------------------------------------------------------------|----------|
|            | PART I                                                                                                              |     |
|       |                                                                                                                |     |
| Item  1.   | Business                                                                                                            | 1        |
| Item  1A.  | Risk  Factors                                                                                                       | 7        |
| Item  2.   | Properties                                                                                                          | 9        |
| Item 3.    | Legal Proceedings                                                                                                   | 9        |
| Item 4.    | Submission  of Matters to a Vote of Security Holders                                                                | 10       |
|       |                                                                                                                |     |
|       | PART II                                                                                                             |     |
|       |                                                                                                                |     |
| Item 5.    | Market for  Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases  of Equity Securities | 11       |
| Item 6.    | Selected Financial  Data                                                                                            | 12       |
| Item 7.    | Management’s  Discussion and Analysis of Financial Condition and Results of Operations                         | 14       |
| Item 7A.   | Quantitative  and Qualitative Disclosures about Market Risks                                                        | 20       |
| Item 8.    | Financial  Statements and Supplementary Data                                                                        | 24       |
| Item 9.    | Changes in  and Disagreements with Accountants on Accounting and Financial Disclosure                               | 24       |
| Item 9A.   | Controls and  Procedures                                                                                            | 24       |
| Item 9B.   | Other Information                                                                                                   | 25       |
|       |                                                                                                                |     |
|       | PART III                                                                                                            |     |
|       |                                                                                                                |     |
| Item 10.   | Directors,  Executive Officers and Corporate Governance                                                             | 25       |
| Item 11.   | Executive  Compensation                                                                                             | 27       |
| Item 12.   | Security  Ownership of Certain Beneficial Owners and Management and Related Stockholder  Matters                    | 27       |
| Item 13.   | Certain  Relationships and Related Transactions                                                                     | 28       |
| Item 14.   | Principal  Accountant Fees and Services                                                                             | 28       |
|       |                                                                                                                |     |
|       | PART IV                                                                                                             |     |
|       |                                                                                                                |     |
| Item 15.   | Exhibits and  Financial Statement Schedules                                                                         | 30       |

 

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**PART I**

**Item 1:****          Business**

(a)                                  GeneralDevelopment of Business:

ML Select Futures I L.P.  (the “Partnership”) was organized under theDelaware Revised Uniform Limited Partnership Act on August 4, 1995 under thename ML Chesapeake L.P.  The Partnershipbegan trading on April 16, 1996 and trades in the international futures andforward markets applying proprietary trading strategies under the direction ofSunrise Capital Partners, LLC (“Sunrise”). The Partnership’s objective is to achieve, through speculative trading,substantial capital appreciation over time.

Merrill Lynch Alternative Investments LLC (“MLAI”), anindirect wholly-owned subsidiary of Merrill Lynch & Co., Inc. (“MerrillLynch”), is the general partner of the Partnership.  Merrill Lynch, Pierce, Fenner & SmithIncorporated (“MLPF&S”), a wholly-owned subsidiary of Merrill Lynch, is thePartnership’s commodity broker. As used herein, the capitalized term “MLAI”also refers to the general partner at times when its name was MLIM AlternativeStrategies LLC, as applicable.

The proceeds of the Partnership’s units of limitedpartnership interest (the “Units”) were initially allocated to the Partnership’sinitial trading adviser, Chesapeake Capital Corporation (“Chesapeake”).  On July 1, 1998, Sunrise replaced Chesapeakeas the Partnership’s sole trading advisor (“Advisor”).

As of December 31, 2006, the capitalization of thePartnership was $326,172,570  and the NetAsset Value per Unit, originally $100 as of April 1, 1996, had risen to$242.51.

The highest month-end Net Asset Value per Unit sinceSunrise began trading the Partnership was $248.26 (March 31, 2004) and thelowest was $127.01 (July 31, 1998).

(b)                                 FinancialInformation about Segments:

The Partnership’s business constitutes only onesegment for financial reporting purposes, i.e*.,*a speculative “commodity pool”. The Partnership does not engage in sales ofgoods or services.

(c)                                  NarrativeDescription of Business:

***General***

The Partnership trades in the international futuresand forward markets with the objective of achieving substantial capitalappreciation.

The Partnership has entered into an advisory agreementwith Sunrise whereby Sunrise trades the Partnership’s assets through a managedaccount using its Expanded Diversified Program. In the Expanded Diversified Program, Sunrise applies its trend-followingsystems to a broadly-diversified portfolio of futures and forward markets,including, but not limited to, precious and industrial metals, grains,petroleum products, soft commodities, domestic and foreign interest ratefutures, domestic and foreign stock indices (including S&P 500, DAX, andNikkei 225), currencies and their cross rates, and minor currency markets.

One of the aims of the Partnership is to providediversification to a limited portion of the risk segment of the LimitedPartners’ portfolios into an investment field that has historically oftendemonstrated a low degree of performance correlation with traditional stock andbond holdings.

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***Sunriseand its Expanded Diversified Program***

Sunrise currently offers five trading programs, one ofwhich, the Expanded Diversified Trading Program is used in managing thePartnership’s assets.  In the ExpandedDiversified Trading Program, Sunrise applies its trend-following systems to abroadly-diversified portfolio of futures and forward markets, including, butnot limited to, precious and industrial metals, grains, petroleum products,soft commodities, domestic and foreign interest rate futures, domestic andforeign stock indices (including S&P 500, DAX and Nikkei 225), currenciesand their cross rates, and minor currency markets (collectively, “CommodityInterests”).  Sunrise may trade thesemarkets on any U.S. or non-U.S. exchange. Sunrise may also trade options for the Partnership in the future; in theevent that it does, these options will be considered Commodity Interests.  As of December 31, 2006, Sunrise was managingapproximately $1.589 billion (excluding “notional” funds) in the futures andforward markets.

###### Sunrise’s Programs Are Technical and Trend-Following Systems

The mathematical models used by Sunrise’s programs aretechnical systems, generating trading signals on the basis of statisticalresearch into past market prices. Sunrise does not attempt to predict or forecast changes in price throughfundamental economic analysis.  Thetrading methodologies employed by Sunrise are based on programs analyzing alarge number of interrelated mathematical and statistical formulas andtechniques, which are quantitative and proprietary in nature.

As a trend-following advisor, Sunrise’s objective isto participate in major price trends—sustained price movements either up ordown.  Such price trends may berelatively infrequent.  Sometrend-following advisors have anticipated that over half of their positions willbe unprofitable.  Their strategy is basedon making sufficiently large profits from the trends which they identify andfollow to generate overall profits despite the more numerous but, hopefully,smaller losses incurred on the majority of their positions.

The Markets Traded by Sunrise for the Partnership

The Partnership trades on a variety of United States and foreignfutures exchanges.  Applicable exchangerules differ significantly among different countries and exchanges.  The Partnership’s entire off-exchange tradingtakes place substantially in the highly liquid, institutionally based currencyforward markets.  The forward markets aregenerally unregulated, and in its forward trading the Partnership does not depositmargin with respect to its positions. Spot and forward currency contracts currently are the only non-exchangetraded instruments held by the Partnership.

To date, approximately 20% to 30% of the Partnership’strades by volume have been in forward currency contracts, but from time to timethe percentage of the Partnership’s trading represented by forward currencytrades may fall substantially outside this range.  Because the Partnership need not deposit anymargin with Merrill Lynch in respect of the Partnership’s forward trading, thePartnership’s additional risk in trading in such unregulated markets should belimited to a possible loss of unrealized profits on open forward positionswhich a counterparty accessed through Merrill Lynch would not, in the event ofits bankruptcy, be able to pay to Merrill Lynch for the account of thePartnership.

As in the case of its market sector allocations, the Partnership’scommitments to different types of markets — U.S. and non-U.S., regulated andunregulated — differ substantially from time to time as well as over time.  The Partnership has no policy restricting itsrelative commitment to any of these different types of markets, althoughgenerally the bulk of the Partnership’s trading takes place on regulatedexchanges.

The Partnership’s financial statements containinformation relating to the types of markets traded by the Partnership.  There can, however, be no assurance as towhich markets the Partnership may trade or in which markets the Partnership’strading may be concentrated at any one time or over time.

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***Useof Proceeds and Cash Management Income***

Subscription Proceeds

The Partnership’scash is used as security for and to pay the Partnership’s trading losses aswell as its expenses and redemptions. The primary use of the proceeds of thesale of the Units is to permit Sunrise to trade on a speculative basis in awide range of different futures and forwards markets on behalf of thePartnership.  While being used for thispurpose, the Partnership’s assets are also generally available for cash management,as more fully described below under “Available Assets”.

Market Sectors

In the Expanded Diversified Program, Sunrise appliesits trend-following systems to a broadly diversified portfolio of futures andforward markets.  Commodity Interestscurrently included in the Expanded Diversified Program are: currencies (majors,minors, & crossrates), metals (gold, silver, copper, aluminum, nickel, andzinc), indices (S&P 500, DAX, and Nikkei 225), interest rates, (T-bonds,T-Notes, Eurodollars, Euro-Bund, three-month Euro Futures, Euro BOBL, JapaneseGovernment Bond, Euroyen, 90-day Australian Bank Accepted Bill (“Aussie Bill”)and three-month Canadian Bankers’ Acceptance Note), energy (crude oil andnatural gas) and agriculturals (soybeans, soymeal, corn, wheat, coffee andsugar and cotton).

Market Types

The Partnership trades on a variety of United Statesand foreign futures exchanges. Substantially all of the Partnership’s off-exchange trading takes placein the highly liquid, institutionally based currency forward markets.

Many of the Partnership’s currency trades are executedin the spot and forward foreign exchange markets (the “FX Markets”) where thereare no direct execution costs.  Instead,the participants, banks and dealers in the FX markets take a “spread” betweenthe prices at which they are prepared to buy and sell a particular currency andsuch spreads are built into the pricing of the spot or forward contracts withthe Partnership.

As in the case of its market sector allocations, thePartnership’s commitments to different types of markets – U.S. and non-U.S.regulated and non-regulated differ substantially from time to time, as well asover time.  The Partnership has no policyrestricting its relative commitment to any of these different types of markets.

Custody of Assets

All of thePartnership’s assets are currently held in Commodity Futures Trading Commission(“CFTC”) regulated customer accounts at MLPF&S.

Available Assets

The Partnership earns income, as described below, onits “Available Assets”, which can be generally described as the cash actuallyheld by the Partnership.   AvailableAssets are held primarily in U.S. dollars and are comprised of the Partnership’scash balances held in the offset accounts (as described below) — which include “opentrade equity” (unrealized gain and loss on open positions) on United Statesfutures contracts, which is paid into or out of the Partnership’s account on adaily basis; the Partnership’s cash balance in foreign currencies derived fromits trading in non-U.S. dollar denominated futures and options contracts, whichincludes open trade equity on those exchanges which settle gains and losses onopen positions in such contracts prior to closing out such positions.  Available Assets do not include and thePartnership does not earn interest income on the Partnership’s gains or losseson its open forward, commodity option and certain foreign futures positionssince such gains and losses are not collected or paid until such positions areclosed out.

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The Partnership’s Available Assets may be greaterthan, less than or equal to the Partnership’s Net Asset Value (on which theredemption value of the Units is based) primarily because Net Asset Valuereflects all gains and losses on open positions as well as accrued but unpaidexpenses.

Interest Earned on the Partnership’s U.S. DollarAvailable Assets

The Partnership’s U.S. dollar Available Assets areheld in cash in offset accounts.

Offset accounts are non-interest bearing demanddeposit accounts maintained with banks unaffiliated with Merrill Lynch.  An integral feature of the offsetarrangements is that the participating banks specifically acknowledge that theoffset accounts are MLPF&S customer accounts, not subject to any MerrillLynch liability.

MLPF&S credits the Partnership, as of the end ofeach month, with interest at the effective daily 91-day Treasury bill rate onthe average daily U.S. dollar Available Assets held in the offset accountsduring such month.

The use of the offset account arrangements for thePartnership’s U.S. dollar Available Assets may be discontinued by Merrill Lynchat any time.  If Merrill Lynch were toterminate the offset arrangements, it would attempt to invest all of thePartnership’s U.S. dollar Available Assets to the maximum practicable extent inshort-term Treasury bills.  All interestearned on the U.S. dollar Available Assets so invested would be paid to thePartnership but MLAI would expect the amount of such interest to be less thanthat available to the Partnership under the offset account arrangements.  The remaining U.S. dollar Available Assets ofthe Partnership would be kept in cash to meet variation margin payments and payexpenses, but would not earn interest for the Partnership.

The banks at which the offset accounts are maintainedmake available to Merrill Lynch interest-free overnight credits, loans oroverdrafts in the amount of the Partnership’s U.S. dollar Available Assets heldin the offset accounts, charging Merrill Lynch a small fee for thisservice.  The economic benefits derivedby Merrill Lynch – net of the interest credits paid to the Partnership and thefee paid to the offset banks – from the offset accounts have not exceeded 0.75%per annum of the Partnership’s average daily U.S. dollar Available Assets heldin the offset accounts.  These revenuesto Merrill Lynch are in addition to the Brokerage Commissions andAdministrative Fees paid by the Partnership to MLPF&S and MLAI,respectively.

Interest Paid by Merrill Lynch on the Partnership’sNon-U.S. Dollar Available Assets

Under the singlecurrency margining system implemented for the Partnership, the Partnershipitself does not deposit foreign currencies to margin trading in non-U.S. dollardenominated futures contracts and options, if any.  MLPF&S provides the necessary margin,permitting the Partnership to retain the monies which would otherwise berequired for such margin as part of the Partnership’s U.S. dollar AvailableAssets.  The Partnership does not earninterest on foreign margin deposits provided by MLPF&S. The Partnershipdoes, however, earn interest on its non-U.S. dollar Available Assets.  Specifically, the Partnership is credited byMerrill Lynch with interest at prevailing short-term local rates on assets andnet gains on non-U.S. dollar denominated positions for such gains actually heldin cash by the Partnership.  MerrillLynch charges the Partnership Merrill Lynch’s cost of financing realized andunrealized losses on such positions.

The Partnershipholds foreign currency gains and finances foreign currency losses on an interimbasis until converted into U.S. dollars and either paid into or out of thePartnership’s U.S. dollar Available Assets. Foreign currency gains or losses on open positions are not convertedinto U.S. dollars until the positions are closed.  Assets of the Partnership while held inforeign currencies are subject to exchange rate risk.

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***Charges***

The followingtable summarizes the charges incurred by the Partnership during 2006, 2005, and2004.
| ** **                      | ** ** | **2006**           | ** ** | **2005**                                               | ** ** | **2004**           | ** ** |
|---------------------------------|------------|--------------------|------------|--------------------------------------------------------|------------|--------------------|------------|
| **Charges**                     | ** ** | **Dollar  Amount** | ** ** | **% of Average  Month-End  Net Assets** | ** ** | **Dollar  Amount** | ** ** | **% of Average  Month-End  Net Assets** | ** ** | **Dollar  Amount** | ** ** | **% of Average  Month-End  Net Assets** | ** ** |
| Brokerage  Commissions          |       | $                  | 19,872,678 |                                                   | 5.61       | %                  | $          | 27,053,850 |   | 5.58 | % | $ | 26,151,018 |   | 5.77 | % |
| Administrative  and Filing Fees |       | 1,153,304          |       | 0.33                                                   | %          | 1,479,720          |       | 0.31 | % | 1,641,858 |   | 0.36 | % |
| Profit Shares                   |       | 49,055             |       | 0.01                                                   | %          | —             |       | 0.00 | % | 4,731,366 |   | 1.04 | % |
| Total Expenses                  |       | $                  | 21,075,037 |                                                   | 5.95       | %                  | $          | 28,533,570 |   | 5.89 | % | $ | 32,524,242 |   | 7.17 | % |

 

The foregoing table does not reflect the bid-askspreads paid by the Partnership on its forward trading, or the benefits whichmay be derived by Merrill Lynch from the deposit of certain of the Partnership’sU.S. dollar assets maintained at MLPF&S.

Each Unit issubject to the same charges.  ThePartnership’s average month-end Net Assets during 2006, 2005, and 2004 equaled$354,244,209, $484,905,224 and $453,646,399 , respectively.

During 2006, 2005, and 2004, the Partnership earned $17,187,972, $15,719,664, and $6,875,902 in interest income, or approximately4.85%, 3.24%, and 1.52%, of the Partnership’s average month-end Net Assets.

**Description of Current Charges**
| **Recipient** | ** ** | **Nature of Payment**     | ** ** | **Amount of Payment**                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |
|---------------|------------|---------------------------|------------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| MLPF&S    |       | Brokerage Commissions     |       | A flat-rate monthly brokerage commission of 0.458 of  1% (a 5.5% annual rate) of the Partnership’s month-end assets (including the  monthly interest credit and before reduction for accrued month-end  redemptions, distributions, brokerage commissions, administrative fees or  Profit Shares, in each case as of the end of the month of determination).  Such commissions cover Sunrise’s monthly consulting fee as well as all floor  brokerage and exchange, clearing and National Futures Association (“NFA”)  fees incurred in the Partnership’s trading.

 

During 2006, 2005 and 2004, the round-turn (each  purchase and sale or sale and purchase of a single futures contract)  equivalent rate of the Partnership’s flat-rate Brokerage Commissions was  approximately $591, $370 and $318, respectively. |
|          |       |                      |       |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |
| MLPF&S    |       | Use of Partnership assets |       | Merrill Lynch may derive an economic benefit from  the deposit of certain of the Partnership’s U.S. dollar assets in accounts  maintained at MLPF&S.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |

 

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| MLAI                                                                                         |   | Administrative Fees                                                                                |   | A flat-rate monthly charge of 0.021 of 1% (0.25%  annual rate) of the Partnership’s month-end assets (including the monthly  interest credit and before reduction for accrued month-end redemptions,  distributions, brokerage commissions, administrative fees or Profit Shares,  in each case as of the end of the month of determination). Additionally, the  Partnership reimburses MLAI the actual cost of the State of New Jersey annual  filing fee assessed on a per partner basis with a maximum of $250,000 per  year. The administrative fees cover the Partnership’s routine administrative  expenses and MLAI will absorb any administrative costs incurred during any  calendar year in excess of the foregoing amount. |
|----------------------------------------------------------------------------------------------|--------|----------------------------------------------------------------------------------------------------|--------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                         |   |                                                                                               |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |
| Merrill Lynch  International Bank (“MLIB”) (or an affiliate); Other counterparties |   | Bid–ask spreads                                                                               |   | Bid–ask spreads on forward and related trades.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |
|                                                                                         |   |                                                                                               |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |
| MLIB (or an  affiliate); Other counterparties                                                |   | EFP differentials                                                                                  |   | Certain of the Partnership’s currency trades may be  executed in the form of “exchange of futures for physical” transactions, in  which a counterparty (which may be MLIB or an affiliate) receives an  additional “differential” spread for exchanging the Partnership’s cash  currency positions for equivalent futures positions.                                                                                                                                                                                                                                                                                                                                                                              |
|                                                                                         |   |                                                                                               |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |
| Sunrise                                                                                      |   | Annual profit shares                                                                               |   | 23% of any New Trading Profits generated by the  Partnership as a whole, excluding interest income and after reduction for a  portion of the Brokerage Commissions, as of the end of each calendar year.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |
|                                                                                         |   |                                                                                               |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |
| Sunrise                                                                                      |   | Consulting Fees                                                                                    |   | MLPF&S pays Sunrise monthly Consulting Fees of  0.083 of 1% of the Partnership’s month-end assets (a 1% annual rate), after  reduction for a portion of the Brokerage Commissions.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |
|                                                                                         |   |                                                                                               |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |
| MLPF&S;  Others                                                                          |   | Reimbursement of delivery, insurance, storage and  any other extraordinary charges; taxes (if any) |   | Actual payments to third parties, which are expected  to be negligible.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |
|                                                                                         |   |                                                                                               |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |
| MLPF&S;  Others                                                                          |   | Extraordinary expenses                                                                             |   | Actual costs incurred; none paid to date.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |

 

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***Regulation***

MLAI, the Advisorand MLPF&S are each subject to regulation by the CFTC and the NFA.  Other than in respect of the registrationrequirements pertaining to the Partnership’s securities under Section 12(g) ofthe Securities Exchange Act of 1934, the Partnership is generally not subjectto regulation by the Securities and Exchange Commission (the “SEC”).  However, MLAI itself is registered as an “investmentadviser” under the Investment Advisers Act of 1940.  MLPF&S is also regulated by the SEC andthe National Association of Securities Dealers.

(i) through (xii)— not applicable.

(xiii)  The Partnership has no employees.

(d)                                 FinancialInformation about Geographic Areas

The Partnershipdoes not engage in material operations in foreign countries, nor is a materialportion of the Partnership’s revenue derived from customers in foreigncountries. The Partnership trades on a number of foreign commodityexchanges.  The Partnership does notengage in the sales of goods or services.

**Item 1A: RiskFactors**

***TheLarge Size of the Partnership’s Trading Positions Increases the Risk of Sudden,Major Losses***

The Partnershiptakes positions with values up to approximately 15 times its total equity.  Consequently, even small price movements cancause major losses.

***InvestorsMust Not Rely on the Past Performance of Either Sunrise or the Partnership inDeciding Whether to Buy Units***

The performance ofthe Partnership is entirely unpredictable, and the past performance of thePartnership as well as of Sunrise is not necessarily indicative of their futureresults.

The price datawhich Sunrise has researched in developing its programs may not reflect thechanging dynamics of future markets.  Ifnot, the Expanded Diversified Program would have little chance of beingprofitable.  An influx of new marketparticipants, changes in market regulation, international politicaldevelopments, demographic changes and numerous other factors can contribute toonce-successful strategies becoming outdated. Not all of these factors can be identified, much less quantified.  There can be no assurance that Sunrise willtrade profitably for the Partnership.

***SunriseAnalyzes Only Technical Market Data.  NoEconomic Factors External to Market Prices Are Analyzed***

The Sunriseprograms focus exclusively on statistical analysis of market prices.  Consequently, any factor external to themarket itself which dominates prices is likely to cause major losses.  For example, a pending political or economicevent may be very likely to cause a major price movement, but Sunrise wouldcontinue to maintain positions that would incur major losses as a result ofsuch movement, if its programs indicated that it should do so.

The likelihood ofthe Units being profitable could be materially diminished during periods whenevents external to the markets themselves have an important impact onprices.  During such periods, Sunrise’shistorical price analysis could establish positions on the wrong side of theprice movements caused by such events.

***Effects of Speculative PositionLimits***

The CFTC andcommodity exchanges have established speculative position limits (referred toas “position limits”) on the maximum futures positions which any person, orgroup of persons acting in concert, may hold or control in particularcommodities. All commodity accounts controlled by Sunrise and its principalsand their affiliates are combined for speculative position limit purposes.  If such limits were to be reached, Sunrisewould be

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required to reducethe size of the positions which would otherwise be taken for the Partnership inorder to avoid exceeding such limits. Any such reduction could adversely affect the operations andprofitability of the Partnership.

***Lackof the Types of Price Trends Which the Expanded Diversified Program CanIdentify Will Cause Major Losses***

The Partnershipcannot trade profitably unless major price trends occur in at least certainmarkets that it trades.  Many markets aretrendless most of the time, and in static markets Sunrise’s programs are likelyto incur losses.  In fact, Sunriseexpects more than half of its trades to be unprofitable; it depends onsignificant gains from a few major trends to offset these losses.  It is not just any price trend, but pricetrends of the type which Sunrise’s systems have been designed to identify,which are necessary for the Partnership to be profitable.

***TheDanger to the Partnership of “Whipsaw” Markets***

Often, the mostunprofitable market conditions for the Partnership are those in which prices “whipsaw,”moving quickly upward, then reversing, then moving upward again, then reversingagain.  In such conditions, the programsmay establish a series of losing positions based on incorrectly identifyingboth the brief upward or downward price movements as trends.

***ThePartnership’s Substantial Expenses Will Cause Losses Unless Offset by Profits***

The Partnership’sexpenses could, over time, result in significant losses.  Except for the Profit Share these expensesare payable whether or not the Partnership is profitable.  It is also possible for Sunrise to earn aprofit share even if the Partnership has a loss. That is because thecalculation of our profit share does not include 100% of the costs associatedwith running the Partnership.

***Sunrise’sHigh Level of Equity Under Management Could Lead to Diminished Returns***

Sunrise’s equityunder management is approximately $1.589 billion.  The more money Sunrise manages, the moredifficult it may be for Sunrise to trade profitably because of the difficultyof trading larger positions without adversely affecting prices andperformance.  Large trades may result inmore price slippage than smaller orders.

***IlliquidMarkets Could Make It Impossible for Sunrise to Realize Profits or Limit Losses***

In illiquidmarkets, Sunrise could be unable to capitalize on trading opportunities orclose out losing positions.  There arenumerous factors which can contribute to market illiquidity, far too many forSunrise to be able to predict.  There canbe no assurance that a market which has been highly liquid in the past will notexperience periods of unexpected illiquidity.

Unexpected marketilliquidity has caused major losses in recent years in certain sectors.  There can be no assurance that the same willnot happen to the Partnership from time to time.  The large size of the positions which Sunrisemay acquire for the Partnership increases the risk of illiquidity by bothmaking its positions more difficult to liquidate and increasing the lossesincurred while trying to do so.

***ThePartnership Trades Extensively in Foreign Markets; These Markets Are LessRegulated Than U.S. Markets and Are Subject to Exchange Rate, Market Practiceand Political Risks***

The ExpandedDiversified Program trades a great deal outside the U.S.  From time to time, as much as approximately40% of the Partnership’s overall market exposure could involve positions takenon foreign markets (excluding foreign exchange transactions in U.S.markets).  Foreign trading involves risks— including exchange-rate exposure, possible governmental intervention and lackof regulation — which U.S. trading does not. In addition, the Partnership may not have the same access to certainpositions on foreign exchanges as do local traders, and the historical marketdata on which Sunrise bases its strategies may not be as reliable or accessibleas it is in the United States.  Certainforeign exchanges may also be in a more or less developmental stage so thatprior price histories may not be indicative of current price dynamics.  The rights of clients in the event of theinsolvency or bankruptcy of a non-U.S. market or broker are also likely to bemore limited than in the case of U.S. markets or brokers.

8

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**The Partnership Could lose Assetsand Have Its Trading Disrupted Due to the Bankruptcy of One of the Parties**

The Partnership issubject to the risk of insolvency of a counterparty, an exchange, aclearinghouse or MLPF&S.  The Partnership’s assets could be lost orimpounded during lengthy bankruptcy proceedings.  Were a substantialportion of the Partnership’s capital tied up in a bankruptcy, MLAI mightsuspend or limit trading, perhaps causing the Partnership to miss significantprofit opportunities.  There areincreased risks in dealing with unregulated tradingcounterparties including the risk that assets may not benefitfrom the protection afforded to “customer funds” deposited with regulateddealers and brokers.

**Item 2:****          Properties**

The Partnershipdoes not use any physical properties in the conduct of its business.

The Partnership’sadministrative offices are the administrative offices of MLAI (Merrill LynchAlternative Investments LLC, Princeton Corporate Campus, 800 Scudders Mill Road- Section 2G, Plainsboro, New Jersey 08536). MLAI performs administrative services for the Partnership from MLAI’soffices.

Item 3:             LegalProceedings

Therehave been no administrative, civil or criminal actions, whether pending orconcluded, against MLAI or Merrill Lynch or any of its individual principalsduring the past five years which would be considered “material” as that term isdefined in Section 4.24(l)(2) of the Regulations of the CFTC, except asdescribed below.

OnMay 21, 2002, MLPF&S, with no admission of wrongdoing or liability, agreedto pay $48 million to the State of New York, $50 million to the remainingstates, Washington, D.C. & Puerto Rico and $2 million to NASAA relating toan investigation conducted by the New York Attorney General concerning researchpractices.

OnMarch 19, 2003, Merrill Lynch & Co., Inc., the parent company and anapproved person of MLPF&S, consented to an injunctive action instituted bythe Securities and Exchange Commission (the “SEC”).  In its complaint, the SEC alleged that threeyears ago, in 1999, Merrill Lynch aided and abetted Enron Corp.’s (“Enron”)violations of Sections 10(b), 13(a), 13(b)(2) and 13(b)(5) of the Exchange Actand Rules 10b-5, 12b-20, 13a-1, 13a-3 and 13b2-1 thereunder, as a result ofMerrill Lynch engaging in certain year-end transactions designed and proposedby Enron.  Without admitting or denyingthe allegations, Merrill Lynch consented to the entry of an injunctionenjoining it from violating the above-referenced provisions, and agreed to paydisgorgement, penalties and interest in the amount of $80 million.  In its release announcing the settlement, theCommission acknowledged that in agreeing to resolve this matter on the termsdescribed above, the Commission took into account certain affirmative conductby Merrill Lynch.

InApril 2003, MLPF&S entered into a settlement with the SEC, the NationalAssociation of Securities Dealers (the “NASD”) and the New York Stock Exchange(the “NYSE”) as part of a joint settlement with the SEC, the NASD and the NYSEarising from a joint investigation by the SEC, the NASD and the NYSE intoresearch analysts conflicts of interests. Pursuant to the terms of the settlement with the SEC, NASD and NYSE,MLPF&S, without admitting or denying the allegations, consented to acensure.  In addition, MLPF&S agreedto a payment of (I) $100 million, which was offset in its entirety by theamount already paid by MLPF&S in the related proceeding with the State ofNew York and the other states (II) $75 million to fund the provision ofindependent research to investors; and (III) $25 million to promote investoreducation.  The payments for theprovision of independent research to investors and to promote investoreducation are required to be made over the course of the next five years.  MLPF&S also agreed to comply with certainundertakings.

9

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InMarch 2006, MLPF&S entered into a settlement with the SEC arising from aninvestigation related to MLPF&S’ retention and production of e-mail.  The SEC found that MLPF&S willfullyviolated Section 17(a) of the Exchange Act, and Rules 17a-4(b)(4) and 17a-4(j)thereunder.  Without admitting or denyingthe allegations, Merrill Lynch consented to the entry of an injunctionenjoining it from violating the above-referenced provisions, entered into anundertaking regarding its policies and procedures and agreed to pay a civilpenalty $2,500,000.

**Item 4:****          Submission of Mattersto a Vote of Security Holders**

None.

10

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**PART II**

**Item 5:****          Market for Registrant’sCommon Equity, Related Stockholder Matters and Issuer Purchases of EquitySecurities**

Item 5(a)

(a)                                  MarketInformation:

There is noestablished public trading market for the Units, and none is likely todevelop.  Limited Partners may redeemUnits on ten days written notice to MLAI as of the last day of each month attheir Net Asset Value, subject to certain early redemption charges.

(b)                                 Holders:

As of December 31,2006, there were 3683 holders of Units, including MLAI.

(c)                                  Dividends:

MLAI has not madeand does not contemplate making any distributions on the Units.

(d)                                 SecuritiesAuthorized for Issuance Under Equity Compensation Plans:

Not applicable.

(e)                                  RecentSales of Unregistered Securities; Uses of Proceeds From Registered Securities:

Not applicable.

Item 5(b)

Not applicable.

Item 5(c)

Not applicable.

11

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**Item 6:****          Selected FinancialData**

The following selectedfinancial data has been derived from the audited financial statements of thePartnership.
| **Statement of Income** | ** ** | **For the Year  Ended  December 31,  2006** | ** ** | **For the Year  Ended  December 31,  2005** | ** ** | **For the Year  Ended  December 31,  2004** | ** ** | **For the Year  Ended  December 31,  2003** | ** ** | **For the Year  Ended  December 31,  2002** | ** ** |
|-----------------------------------|------------|------------------------------------------------------------|------------|------------------------------------------------------------|------------|------------------------------------------------------------|------------|------------------------------------------------------------|------------|------------------------------------------------------------|------------|
|                              |       |                                                       |       |                                                       |       |                                                       |       |                                                       |       |                                                       |       |
| TRADING PROFIT  (LOSS):           |       |                                                       |       |                                                       |       |                                                       |       |                                                       |       |                                                       |       |
| Realized                          |       | $                                                          | 37,752,945 |                                                       | $          | (24,222,659                                                | )          | $                                                          | 52,256,615 |                                                       | $          | 27,402,575 |   | $ | 5,392,704 |   |
| Change in Unrealized              |       | (5,477,059                                                 | )          | 3,041,057                                                  |       | (14,070,731                                                | )          | 16,373,295                                                 |       | 8,250,855                                                  |       |
| Total trading profit (loss)       |       | 32,275,886                                                 |       | (21,181,602                                                | )          | 38,185,884                                                 |       | 43,775,870                                                 |       | 13,643,559                                                 |       |
|                              |       |                                                       |       |                                                       |       |                                                       |       |                                                       |       |                                                       |       |
| INVESTMENT  INCOME:               |       |                                                       |       |                                                       |       |                                                       |       |                                                       |       |                                                       |       |
| Interest                          |       | 17,187,972                                                 |       | 15,719,664                                                 |       | 6,875,902                                                  |       | 1,831,533                                                  |       | 1,124,469                                                  |       |
|                              |       |                                                       |       |                                                       |       |                                                       |       |                                                       |       |                                                       |       |
| EXPENSES:                         |       |                                                       |       |                                                       |       |                                                       |       |                                                       |       |                                                       |       |
| Brokerage Commissions             |       | 19,872,678                                                 |       | 27,053,850                                                 |       | 26,151,018                                                 |       | 10,533,803                                                 |       | 4,012,892                                                  |       |
| Profit Shares                     |       | 49,055                                                     |       | —                                                     |       | 4,731,366                                                  |       | 8,416,558                                                  |       | 2,508,724                                                  |       |
| Administrative and Filing Fees    |       | 1,153,304                                                  |       | 1,479,720                                                  |       | 1,641,858                                                  |       | 622,464                                                    |       | 182,404                                                    |       |
| Total Expenses                    |       | 21,075,037                                                 |       | 28,533,570                                                 |       | 32,524,242                                                 |       | 19,572,825                                                 |       | 6,704,020                                                  |       |
|                              |       |                                                       |       |                                                       |       |                                                       |       |                                                       |       |                                                       |       |
| NET INVESTMENT  LOSS              |       | (3,887,065                                                 | )          | (12,813,906                                                | )          | (25,648,340                                                | )          | (17,741,292                                                | )          | (5,579,551                                                 | )          |
|                              |       |                                                       |       |                                                       |       |                                                       |       |                                                       |       |                                                       |       |
| **NET  INCOME (LOSS)**            |       | $                                                          | 28,388,821 |                                                       | $          | (33,995,508                                                | )          | $                                                          | 12,537,544 |                                                       | $          | 26,034,578 |   | $ | 8,064,008 |   |

 
| **Balance Sheet  Data**   | ** ** | **December 31,  2006** | ** **  | **December 31,  2005** | ** ** | **December 31,  2004** | ** ** | **December 31,  2003** | ** **  | **December 31,  2002** | ** ** |
|---------------------------|------------|------------------------|-------------|------------------------|------------|------------------------|------------|------------------------|-------------|------------------------|------------|
|                      |       |                   |        |                   |       |                   |       |                   |        |                   |       |
| Partner’s  Capital   |       | $                      | 326,172,570 |                   | $          | 396,829,138            |       | $                      | 586,978,366 |                   | $          | 270,488,591 |   | $ | 105,744,139 |   |
| Net Asset Value  per Unit |       | $                      | 242.51      |                   | $          | 224.17                 |       | $                      | 234.41      |                   | $          | 224.63 |   | $ | 196.23 |   |

 

The followingmonth-end net asset value per unit information has been derived from financialand accounting data of the Partnership.

MONTH-END NETASSET VALUE PER INITIAL UNIT
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **June** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** | **Oct.** | ** ** | **Nov.** | ** ** | **Dec.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|----------|------------|----------|------------|----------|------------|
| 2002       |       | $        | 172.84     |     | $          | 167.29   |       | $        | 167.42     |    | $          | 168.82   |       | $        | 175.76     |     | $          | 189.55    |       | $        | 192.20     |     | $          | 193.42   |       | $ | 203.57 |   | $ | 196.64 |   | $ | 187.30 |   | $ | 196.23 |   |
| 2003       |       | $        | 212.87     |     | $          | 221.65   |       | $        | 207.96     |    | $          | 208.62   |       | $        | 217.96     |     | $          | 209.68    |       | $        | 206.45     |     | $          | 206.34   |       | $ | 199.40 |   | $ | 210.45 |   | $ | 207.90 |   | $ | 224.63 |   |
| 2004       |       | $        | 226.76     |     | $          | 243.15   |       | $        | 248.26     |    | $          | 237.31   |       | $        | 234.35     |     | $          | 227.99    |       | $        | 223.83     |     | $          | 214.07   |       | $ | 215.06 |   | $ | 222.39 |   | $ | 232.33 |   | $ | 234.41 |   |
| 2005       |       | $        | 219.59     |     | $          | 218.75   |       | $        | 217.11     |    | $          | 213.97   |       | $        | 212.55     |     | $          | 211.75    |       | $        | 206.46     |     | $          | 206.27   |       | $ | 208.46 |   | $ | 210.63 |   | $ | 221.59 |   | $ | 224.17 |   |
| 2006       |       | $        | 225.13     |     | $          | 224.83   |       | $        | 232.20     |    | $          | 240.27   |       | $        | 241.84     |     | $          | 241.05    |       | $        | 230.50     |     | $          | 228.68   |       | $ | 227.51 |   | $ | 233.62 |   | $ | 238.87 |   | $ | 242.51 |   |

 

Pursuant to CFTC policy, monthly performance ispresented from January 1, 2002, even though the Units were outstanding prior tosuch date.

12

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**ML SELECTFUTURES I L.P.**

**December 31, 2006**

*Type ofPool:*  SingleAdvisor/Publicly-Offered/Non-”Principal Protected”(1)

*Inceptionof Trading:* April 1996

*AggregateSubscriptions:*   $585,266,880

*CurrentCapitalization: * $326,172,570

*WorstMonthly Drawdown(2): *(6.32)%(01/05)

*Worst Peak-to-Valley Drawdown(3): *(15.66)%  (04/04-08/05)

*Net Asset Value per Unit,December 31, 2006:*  $242.51

**MonthlyRates of Return**
| **Month**                       | ** ** | **2006** | ** ** | **2005** | ** ** | **2004** | ** ** | **2003** | ** ** | **2002** | ** ** |
|---------------------------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|
| January                         |       | 0.43     | %          | (6.32    | )%         | 0.95     | %          | 8.48     | %          | (2.56    | )%         |
| February                        |       | (0.14    | )          | (0.38    | )          | 7.23     |       | 4.12     |       | (3.21    | )          |
| March                           |       | 3.28     |       | (0.75    | )          | 2.10     |       | (6.18    | )          | 0.07     |       |
| April                           |       | 3.48     |       | (1.45    | )          | (4.41    | )          | 0.31     |       | 0.84     |       |
| May                             |       | 0.65     |       | (0.67    | )          | (1.25    | )          | 4.48     |       | 4.11     |       |
| June                            |       | (0.33    | )          | (0.37    | )          | (2.71    | )          | (3.80    | )          | 7.85     |       |
| July                            |       | (4.38    | )          | (2.50    | )          | (1.82    | )          | (1.54    | )          | 1.40     |       |
| August                          |       | (0.79    | )          | (0.09    | )          | (4.36    | )          | (0.05    | )          | 0.63     |       |
| September                       |       | (0.51    | )          | 1.06     |       | 0.46     |       | (3.36    | )          | 5.25     |       |
| October                         |       | 2.69     |       | 1.04     |       | 3.41     |       | 5.54     |       | (3.40    | )          |
| November                        |       | 2.25     |       | 5.20     |       | 4.47     |       | (1.21    | )          | (4.75    | )          |
| December                        |       | 1.52     |       | 1.16     |       | 0.89     |       | 8.05     |       | 4.76     |       |
| Compound Annual Rate of  Return |       | 8.18     | %          | -4.37    | %          | 4.35     | %          | 14.47    | %          | 10.63    | %          |

 

----

(1) Certain funds,including funds sponsored by MLAI, are structured so as to guarantee toinvestors that their investment will be worth no less than a specified amount(typically, the initial purchase price) as of a date certain after the date ofinvestment.  The CFTC refers to suchfunds as “principal protected”.  ThePartnership has no such feature.

(2) Worst MonthlyDrawdown represents the largest negative Monthly Rate of Return experiencedsince January 1, 2002 by the Partnership; a drawdown is measured on thebasis of month-end Net Asset Value only, and does not reflect intra-monthfigures.

(3) WorstPeak-to-Valley Drawdown represents the greatest percentage decline since January 1,2002 from a month-end cumulative Monthly Rate of Return without such cumulativeMonthly Rate of Return being equaled or exceeded as of a subsequentmonth-end.  For example, if the MonthlyRate of Return was (1)% in each of January and February, 1% in March and (2)%in April, the Peak-to-Valley Drawdown would still be continuing at the end ofApril in the amount of approximately (3)%, whereas if the Monthly Rate ofReturn had been approximately 3% in March, the Peak-to-Valley Drawdown wouldhave ended as of the end of February at approximately the (2)% level.

(4) Monthly Rateof Return is the net performance of the Partnership during the month ofdetermination (including interest income and after all expenses have beenaccrued or paid) divided by the total equity of the Partnership as of thebeginning of such month*.*

13

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**Item 7:****                                       Management’sDiscussion and Analysis of Financial Condition and Results of Operations**

***Resultsof Operations***

General

Sunrise has beenthe Partnership’s sole Advisor since July 1, 1998.  Sunrise is a trend-following trader, whoseprogram does not attempt to predict price movements.  Sunrise has generally not relied on usingfundamental economic supply or demand analyses nor macroeconomic assessments ofthe relative strengths of different national economies or economicsectors.  Instead, its program appliesproprietary models to analyze past market data, and from this data attempts todetermine whether market prices are trending. As a technical trader, Sunrise bases its strategies on the theory thatmarket prices reflect the collective judgement of numerous market participantsand are, accordingly, an efficient indication of market movements.  However, there are frequent periods duringwhich fundamental factors external to the market dominate prices.

If Sunrise’smodels identify a trend, it signals positions, which follow the trend.  When these models identify the trend ashaving ended or reversed, these positions are either closed out or reversed.  Due to their trend-following character, Sunrise’sprogram does not predict either the commencement or the end of a pricemovement.  Rather, its objective is toidentify a trend early enough to profit from it and detect its end or reversalin time to close out the Partnership’s positions while retaining most of theprofits made from following the trend.

There are so manyinfluences on the markets that the same general type of economic event may leadto a price trend in some cases but not in others.  The analysis is further complicated by thefact that the programs are designed to recognize only certain types of trendsand to apply only certain criteria of when a trend has begun.  Consequently, even though significant pricetrends may occur, if these trends are not comprised of the type of intra-periodprice movements, which its program is designed to identify, Sunrise may missthe trend altogether.

***PerformanceSummary***

This performancesummary is an outline description of how the Partnership performed in the past,not necessarily any indication of how it will perform in the future.  In addition, the general causes to whichcertain price movements are attributed may or may not in fact have caused suchmovements, but simply occurred at or about the same time.

Sunrise isunlikely to be profitable in markets in which such trends do not occur.  Static or erratic prices are likely to resultin losses.  Similarly, unexpected events(for example, a political upheaval, natural disaster or governmentalintervention) can lead to major short-term losses, as well as gains.

While there can beno assurance that Sunrise will be profitable under any given market condition,markets in which substantial and sustained price movements occur typicallyoffer the best profit potential for the Partnership.

*2006*
|                           | ** ** | **Total Trading** | ** ** |
|---------------------------|------------|------------------------|------------|
| ** **                | ** ** | **Profit (Loss)** | ** ** |
| Stock Indices             |       | $                      | 8,321,295  |   |
| Metals                    |       | 13,145,842             |       |
| Interest Rates            |       | 6,848,350              |       |
| Energy                    |       | 470,071                |       |
| Agricultural  Commodities |       | (1,879,496             | )          |
| Currencies                |       | 5,369,824              |       |
|                      |       | $                      | 32,275,886 |   |

 

14

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The Partnership’sperformance was an overall gain in 2006 with metals, stock indices, interestrates, currencies and energy posting gains while agriculture posted losses.

The metals sectorproduced gains for the Partnership. The year began with both precious and basemetals continuing to be supported by strong supply-demand fundamentals.Concerns about the mining industry’s ability to meet growing demand, coupledwith inflation and geopolitical concerns continued to drive prices higher.Gold, which is considered an indicator of inflation, rose to a 25-year high.Silver, which followed other precious and industrial metals, was trading athistorically high levels, hitting a 22-year high. Growing demand for industrialmetals in Asian economies seemed to be the main source of price support for theentire metals sector.  During the secondquarter, the metals complex rallied to historically high levels, supported by astrong demand and tight global supplies. The rally attracted more speculativecommodity interest, which further intensified the buying momentum. Trading wasdifficult throughout the third quarter due to the volatility of the markets.The year ended with the metals sector maintaining the profits it gainedthroughout the year.

The stock indicessector produced gains for the Partnership. Stock indices were profitablethrough the whole first quarter. During the second quarter, prices fell in Mayreflecting fears that inflation and rising interest rates might hurt corporateprofits. Late in the quarter, prices moved higher after the U.S. FederalReserve’s quarter-point rate hike. The stock market reacted to the statementthat accompanied the U.S. Federal Reserve’s decision as the Federal Reservetoned down its warning about further rate increases. During the third quarter,the DAX, Germany’s benchmark stock index, was near a three-year high and theNikkei 225 Stock Index reached a new four-year high. The year ended withseveral European and Japanese, as well as some domestic stock markets rising tonew record highs.

The interest ratessector produced gains for the Partnership. The year started with year strongeconomic growth in the U.S. and abroad prompting central banks to raiseinterest rates.  The purpose of theeconomic tightening policy is to control the inflationary trend that tends toaccompany economic growth. Mid-year global bond prices declined in anticipationof further interest rate increases. Strong economic data and growing inflationworries pushed yields to multi-year highs. Uncertainty about the U.S. FederalReserve’s position on interest rate increases contributed towards keeping themarkets volatile and choppy. A quarter-point interest rate hike at the end ofJune brought the short-term interest rates to 5.25 %. During the third quarter,the U.S. Federal Reserve decided not to increase interest rates for the firsttime in two years. The year ended with inflation fears decreasing and shortterm interest rates remaining unchanged for the third consecutive month withthe market remained range bound.

The currencysector produced gains for the Partnership. The beginning of year wascharacterized by choppy, non-directional patterns making it difficult toidentify trends. The U.S. dollar weakened against other major currencies.Mid-year the U.S. dollar came under pressure from several fronts and movedlower against other major currencies. Comments from the group of sevenindustrialized nations that addressed global imbalances and called for morecurrency flexibility caused the U.S. dollar to fall.  The U.S. dollar weakened further when theU.S. Federal Reserve signaled it might pause in its interest tightening cycle.The British pound outperformed the other major currencies and became thelargest contributor to the Partnership’s positive performance.  The U.S. dollar advanced against most majorand minor currencies, due largely to speculation over interest rates.  Another factor in the U.S. dollar’s rise wasweakness in its counterparts, especially the Japanese yen, the New Zealanddollar and the African rand. At the beginning of the third quarter, there wereno gains due to concerns about lower growth and higher inflation. The U.S.currency reversed direction in reaction to soft economic data and declinedagainst most major currencies. The British pound was under pressure at the endof the quarter in reaction to unfavorable economic reports. At the beginning ofthe fourth quarter, the U.S. dollar moved in relatively narrow ranges; it roseagainst other major currencies in early October only to reverse course andweaken in the second half of the month. Mid quarter, the British pound tookcenter stage, rising to a 14-year high versus the U.S. dollar and generatedsignificant profits for the Partnership’s long positions. The year ended withthe U.S dollar higher against most major currencies.

The energy sectorproduced gains for the Partnership. At the beginning of the year, the energysector posted a small profit for the Partnership. Mid-year crude oil pricesmoved up and reached an exchange-record level of $75.35 per barrel as concernsabout tight summer gasoline supplies and tensions over Iran’s nuclear programremained high. During the third quarter, crude oil prices topped at $79 abarrel as a result of the current conflict in the Middle East

15

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and concern that conflictmight spread to other countries, including the threat to oil exports from thePersian Gulf. Crude oil prices fell below $60 a barrel at the end of thequarter down 21% from its high at the beginning of the quarter. The factorsbehind the dramatic price decline included growing inventories and a slowdownin global economic growth. The year ended as energy prices weakened in reactionto unseasonably warm weather in the Northeastern U.S. and rising inventories ofgasoline and other products. Falling oil prices triggered several profit-takingsignals for the Partnership.

The agriculturesector produced losses for the Partnership. The beginning of the year saw sugaras the main single market contributor to positive returns reaching the highestprice level since 1995. Mid-year favorable weather forecasts for the Midwestput pressure on grain futures and caused the Partnership to liquidate long cornand wheat positions. The third quarter ended with the sector posting losses dueto increased volatility. The year ended with corn prices rising to new highs onexpectations of strong ethanol demand and wheat prices moving higher due toreports of tight supplies.

*2005*
|                           | ** ** | **Total Trading** | ** **  |
|---------------------------|------------|------------------------|-------------|
| ** **                | ** ** | **Profit (Loss)** | ** **  |
| Stock Indices             |       | $                      | 13,907,052  |   |
| Metals                    |       | 8,710,419              |        |
| Interest Rates            |       | 8,153,645              |        |
| Energy                    |       | (113,377               | )           |
| Agricultural  Commodities |       | (1,958,031             | )           |
| Currencies                |       | (49,881,310            | )           |
|                      |       | $                      | (21,181,602 | ) |

 

The Partnershipexperienced an overall loss for the year. Stock indices, metals sector andinterest rates were profitable for the Partnership while the energy sector,agricultural commodities, and currencies sustained losses.

Stock indicesposted the highest profit for the Partnership. There were little gains in thefirst half of the year due to such a volatile trading environment. Stockindices outperformed the other sectors in the Partnership in the third quarter.In particular, the DAX, German’s benchmark stock index was near a three-yearhigh and the Nikkei 225 Stock Index reached a new four-year high. ThePartnership took advantage of its trading profits by partially liquidating itslong positions at profit target levels. The year ended with foreign stockindices continuing to be profitable, moving to new highs. This caused an exitin the remaining long Nikkei 225 position to lock in profit targets.

The metals sectorwas profitable for the Partnership. The year began with trend reversals andsevere volatility causing losses in precious and base metals only to regaintheir bullish momentum as the year progressed with aluminum and copper pricesstrengthening due to a tighter supply-demand situation. The gold futuresappreciated significantly in September due to the increased demand for goldwhich is a direct correlation to rising inflation expectations. Strong demandcombined with historically low inventories and inflation concerns drove theprices to new highs in November. Therefore, profitable metals positions(copper, aluminum) were partially liquidated after reaching profit targets. Theyear ended with gold, which is usually sensitive to the U.S. dollar and tendsto move in the opposite direction, reaching new contract highs as the U.S.dollar declined in value. Silver and aluminum also posted solid profits.

The interest ratesector also posted gains for the Partnership. The year began with both domesticand foreign interest rate futures recording record profits as yields onlong-term debt instruments continued to fall. However, the trend reversed earlyin the year generating profits on short Eurodollar positions only to reverseagain at the end of the June. France’s decision not to ratify a new Europeanconstitution seemed to contribute to the rally in

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interest ratefutures. Favorable economic news and expectations that the Federal Reservemight stop raising interest rates in the summer may also explain the strengthin bond prices. On July 1st, the U.S. Federal Reserve raised the Federal fundsrate by another 0.25%, which represented the ninth increase of that size sincethe central bank began to tighten credit in June 2004 and caused the price ofunderlying debt instruments to move down against long positions. Gains weregenerated in short-term interest rate futures with the Partnership having ashort position in the Eurodollar.  Theyear ended with losses as prices moved against the Partnership’s shortpositions. The Partnership experienced an inversion of the yield curve aslong-term yields dropped below the level of short-term yields. The strongdemand of  U.S. Treasury bonds and notesmay have been driving long-term yields lower.

The energy sectorposted losses for the Partnership. Trading in this sector was in the thirdquarter only. Crude oil rallied to levels above $70.00 per barrel but droppedsharply after the U.S. government decided to release some oil from energystockpiles, while the Partnership’s long crude oil positions recorded profits.Prices remained at levels not seen for 15 years as the market struggled fordirection after refinery and production shutdowns in the aftermath ofHurricanes Katrina and Rita.

The agriculturalsector posted losses for the Partnership due to the volatility of the tradingmarket. Profits from sugar reached an 11 year high and became one of the bestperforming commodities in 2006. However, profits from sugar could not offsetlosses sustained from other commodities.

The currencysector was the least profitable for the Partnership.  The year was characterized by a strong U.S.dollar even in light of higher energy prices and Hurricane Katrina’seffects.  At the beginning of the year,the U.S. dollar gained support by improved U.S. economic data and moved higheragainst most major and minor currencies. The rising U.S. dollar triggered exitsignals for short U.S. dollar positions which resulted in losses. The trend ofa stronger U.S. dollar continued through the middle part of the year as keyeconomic reports indicated the United States is growing faster than otherdeveloped countries coupled with higher interest rates in the U.S. In thebeginning of July, there was an approximate 2% revaluation of the Chinese yuanagainst the U.S. dollar which led to a short rally in several Asian currenciesincluding the Japanese yen. Positive momentum for the U.S. dollar came at theend of the year which resulted from favorable interest rate differentials. TheU.S. interest rates had climbed by 300 basis points over the past two years,while European and Japanese rates have remained stagnant.

*2004*
|                           | ** ** | **Total Trading** | ** ** |
|---------------------------|------------|------------------------|------------|
| ** **                | ** ** | **Profit (Loss)** | ** ** |
| Interest Rates            |       | $                      | (7,383,376 | ) |
| Stock Indices             |       | 3,019,830              |       |
| Agricultural  Commodities |       | 18,636,462             |       |
| Currencies                |       | (5,746,930             | )          |
| Energy                    |       | 29,932,564             |       |
| Metals                    |       | (272,666               | )          |
|                      |       | $                 | 38,185,884 |   |

 

The Partnershipwas profitable overall for the year with gains experienced in the energy,agricultural commodities, and stock indices sectors.  Losses were realized in the metals, currencyand interest rate sectors.

The energy sectorwas the most profitable for the Partnership. Small losses in January due to crude oil were offset by gains in theremaining part of the first quarter. This gain was supported by an unusually high level of weather-relateddemand and tight U.S. inventories. During the second quarter, the energy sector was the most profitablesector as crude oil prices reached new record highs.  Higher prices were attributed mostly togrowing demand.  In the latter part ofthe second quarter, crude oil experienced the most dramatic price increasesince the mid 1970’s as a result of rapidly growing demand in the developingworld and ongoing geopolitical tensions. Hurricane disruptions also helped in pushing the market pricesupward.  Crude oil continued its trend inthe early part of the fourth quarter, reaching record highs with small lossesposted in the remaining part of the quarter.

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The agriculturalcommodities sector posted solid gains despite losses in the secondquarter.  During the first quarter, theagricultural commodities sector provided the greatest gains for thePartnership.  Early in the quarter,unusually tight grain inventory sent corn and bean prices to new contracthighs.  In March, grains rallied to newhighs supported by growing global demand and a drastic reduction in graininventories.  Losses were posted duringthe second quarter.  Volatile conditionsin May prevented the Partnership from initiating any new positions and themarket exposure was reduced to historically low levels.   The agricultural market posted a net gainfor the third quarter despite losses mid-quarter.  Short corn and cotton trades generatedpositive returns as corn continued its downward trend and cotton pricesweakened.  Factors favored a trendtowards higher coffee prices during the last part of the fourth quarter.  The price of coffee surpassed one dollar apound for the first time since July of 2000 as supplies to keep pace withdemand.

The stock indicessector posted gains for the Partnership. Trading in stock indices posted gains for the first quarter, withJanuary being the most profitable month despite a volatile trading market.  During the second quarter, trading in stockindices posted losses for the Partnership; however June ended with foreignstock indices producing marginal profits for the Partnership but not enough torecover losses earlier in the quarter. In the third quarter, trading in stock indices posted losses due to thintrading conditions and direction-less markets. In the beginning of the fourth quarter, stock indices continued to trendupward on strong economic data and favorable earnings reports.  In the latter part of the year, trading inthe stock market indices was profitable as stocks rose to their highest levelsfor the year in response to positive economic news and earnings reports.

The metals sectorposted a loss for the year despite posting significant gains early in the year.During the first quarter, despite the volatility in the market, copper andaluminum posted profits early in the quarter, due to tight supplies.  Base metals, with the exception of nickel,continued to rise driven by strong demand, U.S. dollar weakness and decliningstocks.  Silver was the best performingmarket overall.  The metals sector postedlosses for the Partnership in the second quarter.  News about a slowing Chinese economy andpossible decline in global demand for commodities put downward pressure on commodityprices, especially metals.  In the thirdquarter, metals posted a loss despite small gains in the latter part of thequarter, primarily due to low trading volumes early in the quarter followed bya difficult trading environment with markets trading in extremely narrow rangesand the absence of any directional movement.  Zinc rallied against the Partnership’s short positions reaching thehighest price since June, causing losses at the end of the quarter.  During the fourth quarter, positions in preciousand industrial metals were profitable, with trading capitalizing on the risingprices of gold, silver, and zinc.  In thelatter part of the year, the gaining trend continued as aluminum reached itshighest level in nine years and the price of zinc rose to a five year high.

The currencysector posted a loss overall for the Partnership.  Currencies started the year as profitablefollowed by very volatile markets later in the first quarter which detractedfrom performance.  Losses were posted forthe sector in the second quarter.  Thelargest losses came from short U.S. dollar positions versus minor currencypositions.  The second quarter ended withcurrency trading exposure close to a historic low for the month of June withfew trading opportunities in the markets. The currency sector posted the largest losses for the third quarter,with the largest losses posted in August. With questions over soft employment numbers, terror alerts, uncertaintyabout the U.S. election and high oil prices, the U.S. dollar initiallyweakened, then gained momentum against major European currencies later inAugust.  Currency cross rates producedthe largest losses within this sector. Early in the fourth quarter, the U.S. dollar weakened against all of itsmajor currency counterparts thus generating profits for short positions.  Many events, including higher oil prices anduncertainties surrounding a close presidential election, put pressure on theU.S. currency.  In November, thestrongest performer was the currency sector, benefiting from the bearish U.S.dollar trend as the currency’s decline continued throughout the month.  Currency trading was difficult in Decemberwith the U.S. dollar declining to record lows against some major and minorcurrencies, generating profits which were offset by losses in major currencycross rates.

The interest ratesector posted the largest losses for the year. In the first quarter, the sector posted gains as interest rate futuresmoved higher and generated profits.  Bothdomestic and foreign interest rate positions posted solid gains.  The interest rate sector posted the largestlosses for the Partnership in the second quarter.  In the beginning of the second quarter, themarket focused on growing expectation of higher U.S. interest rates and beganto prepare for the initial rate increase by the U.S. Federal Reserve.  Expectations of rising interest rates sentthe prices of long-term interest rate futures to their lowest levels in severalmonths.  Jobless claims and manufacturingdata proved to be slightly worse than expected and thus had a much biggerimpact on the market than the U.S. Federal Reserve’s

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expected ratehike.  During the third quarter, the U.S.Treasury markets showed high levels of volatility.  Despite the 25 basis point increase inshort-term interest rates by the U.S. Federal Reserve, the prices of 30-yearTreasury Bonds and ten-year Notes rose sending long-term U.S. Treasury yieldsdown.  In October, profits were posted onthe long side of interest rate futures due to declining long term yields bothin the U.S. and abroad.  The fourthquarter ended with gains posted in the sector for the end of the year.

Variables AffectingPerformance

The principalvariables that determine the net performance of the Partnership are gross profitabilityfrom the Partnership’s trading activities and interest income.

During all periodsset forth above “Selected Financial Data”, the interest rates in many countrieswere at unusually low levels.  The lowinterest rates in the United States (although higher than in many othercountries) negatively impacted revenues because interest income is typically amajor component of the Partnership’s profitability.  In addition, low interest rates arefrequently associated with reduced fixed income market volatility, and instatic markets the Partnership’s profit potential generally tends to bediminished.  On the other hand, duringperiods of higher interest rates, the relative attractiveness of a high riskinvestment such as the Partnership may be reduced as compared to high yieldingand much lower risk fixed-income investments.

The Partnership’sBrokerage Commissions and Administrative Fees are a constant percentage of thePartnership costs (other than the insignificant currency trading costs whichare not based on a percentage of the Partnership’s assets allocated to tradingor total) are the Profit Shares payable to the Advisor based on the new TradingProfits generated by the Partnership excluding interest and after reduction fora portion of the Brokerage Commissions.

Unlike manyinvestment fields, there is no meaningful distinction in the operation of thePartnership between realized and unrealized profits.  Most of the contracts traded by thePartnership are highly liquid and can be closed out at any time.

Except in unusualcircumstances, factors—regulatory approvals, cost of goods sold, employeerelations and the like—which often materially affect an operating business havevirtually no impact on the Partnership.

***Liquidity;Capital Resources***

The Partnershipborrows only to a limited extent and only on a strictly short-term basis inorder to finance losses on non-U.S. dollar denominated trading positionspending the conversion of the Partnership’s U.S. dollar deposits. Theseborrowings are at a prevailing short-term rate in the relevant currency.

Substantially allof the Partnership’s assets are held in cash. The Net Asset Value of thePartnership’s cash is not affected by inflation. However, changes in interestrates could cause periods of strong up or down price trends, during which thePartnership’s profit potential generally increases. Inflation in commodityprices could also generate price movements, which the strategies mightsuccessfully follow.

Becausesubstantially all of the Partnership’s assets are held in cash, the Partnershipshould be able to close out any or all of its open trading positions andliquidate any or all of its securities holdings quickly and at market prices,except in very unusual circumstances. This permits the Advisor to limit lossesas well as reduce market exposure on short notice should its strategiesindicate doing so. In addition, because there is a readily available marketvalue for the Partnership’s positions and assets, the Partnership’s monthly NetAsset Value calculations are precise, and investors need only wait ten businessdays to receive the full redemption proceeds of their Units.

(The Partnershiphas no applicable off-balance sheet arrangements and tabular disclosure orcontractual obligations of the type described in Items 3.03(a)(4) and3.03(a)(5) of Regulation S-K.)

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**Item 7A:****Quantitative and Qualitative Disclosures AboutMarket Risk**

Introduction

The Partnership is a speculative commodity pool. Themarket sensitive instruments held by it are acquired for speculative tradingpurposes and all or substantially all of the Partnership’s assets are subjectto the risk of trading loss.  Unlike anoperating company, the risk of market sensitive instruments is integral, notincidental, to the Partnership’s main line of business.

Market movements result in frequent changes in thefair market value of the Partnership’s open positions and, consequently, in itsearnings and cash flow. The Partnership’s market risk is influenced by a widevariety of factors, including the level and volatility of interest rates,exchange rates, equity price levels, the market value of financial instrumentsand contracts, the diversification effects among the Partnership’s openpositions and the liquidity of the markets in which it trades.

The Partnership, under the direction of Sunrise,rapidly acquires and liquidates both long and short positions in a wide rangeof different markets.  Consequently, itis not possible to predict how a particular future market scenario will affectperformance, and the Partnership’s past performance is not necessarilyindicative of its future results.

Value at Risk is a measure of the maximum amount whichthe Partnership could reasonably be expected to lose in a given market sector.However, the inherent uncertainty of the Partnership’s speculative trading andthe recurrence in the markets traded by the Partnership of market movements farexceeding expectations could result in actual trading or non-trading losses farbeyond the indicated Value at Risk or the Partnership’s experience to date(i.e., “risk of ruin”). In light of the foregoing, as well as the risks anduncertainties intrinsic to all future projections, the quantifications includedin this section should not be considered to constitute any assurance orrepresentation that the Partnership’s losses in any market sector will belimited to Value at Risk or by the Partnership’s attempts to manage its marketrisk.

Quantifying The Partnership’s Trading Value At Risk

Quantitative Forward-Looking Statements

The following quantitative disclosures regarding thePartnership’s market risk exposures contain “forward-looking statement” withinthe meaning of the safe harbor form civil liability provided for suchstatements by the Private Securities Litigation Reform Act of 1995 (set forthin Section 27Aof the Securities Act of 1933 and Section 21E of the SecuritiesExchange Act of 1934).  All quantitativedisclosures in this section are deemed to be forward-looking statements forpurposes of the safe harbor, except for statements of historical fact.

The Partnership’s risk exposure in the various marketsectors traded by the Advisor is quantified below in terms of Value atRisk.  Due to the Partnership’smark-to-market accounting, any loss in the fair value of the Partnership’s openpositions is directly reflected in the Partnership’s earnings (realized orunrealized) and cash flow (at least in the case of exchange-traded contracts inwhich profits and losses on open positions are settled daily through variationmargin).

Exchange maintenance margin requirements have beenused by the Partnership as the measure of its Value at Risk.  Maintenance margin requirements are set byexchanges to equal or exceed the maximum loss in the fair value of any givencontract incurred in 95%-99% of the one-day time periods included in thehistorical sample (generally approximately one year) researched for purposes ofestablishing margin levels.  Themaintenance margin levels are established by dealers and exchanges usinghistorical price studies as well as an assessment of current market volatility(including the implied volatility of the options on a given futures contract)and economic fundamentals to provide a probabilistic estimate of the maximumexpected near-term one-day price fluctuation.

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In the case ofmarket sensitive instruments which are not exchange-traded (almost exclusivelycurrencies in the case of the Partnership), the margin requirements for theequivalent futures positions have been used as Value at Risk.  In those rare cases in which afutures-equivalent margin is not available, dealers’ margins have been used.

100% positivecorrelation in the different positions held in each market risk category hasbeen assumed.  Consequently, the marginrequirements applicable to the open contracts have been aggregated to determineeach trading category’s aggregate Value at Risk.  The diversification effects resulting fromthe fact that the Partnership’s positions are rarely, if ever, 100% positivelycorrelated have not been reflected.

***ThePartnership’s Trading Value at Risk in Different Market Sectors***

The following table indicates the average, highest and lowest tradingValue at Risk associated with the Partnership’s open positions by marketcategory for the fiscal years. During the fiscal year 2006, the Partnership’saverage capitalization was approximately $354,244,209.  During the fiscal year 2005, the Partnership’saverage capitalization was approximately $484,905,224.

**December31, 2006**
| ** **                | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|---------------------------|------------|-----------------------------|------------|----------------------------|------------|------------------------|------------|-----------------------|------------|
| **Market Sector**    | ** ** | **Value at Risk** | ** ** | **Capitalization**         | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                      |       |                        |       |                       |       |                   |       |                  |       |
| Currencies                |       | $                           | 1,887,758  |                       | 0.53       | %                      | $          | 6,222,410             |       | $ | 197,905 |   |
| Metals                    |       | 183,195                     |       | 0.05                       | %          | 458,773                |       | —                |       |
| Stock Indices             |       | 1,534,109                   |       | 0.43                       | %          | 5,526,258              |       | —                |       |
| Interest Rates            |       | 26,922,172                  |       | 7.60                       | %          | 33,894,080             |       | 13,349,857            |       |
| Energy                    |       | 589,740                     |       | 0.17                       | %          | 2,618,734              |       | —                |       |
| Agricultural  Commodities |       | 218,024                     |       | 0.06                       | %          | 1,475,549              |       | —                |       |
|                      |       |                        |       |                       |       |                   |       |                  |       |
| TOTAL                     |       | $                           | 31,334,998 |                       | 8.85       | %                      | $          | 50,195,804            |       | $ | 13,547,762 |   |

 

**December31, 2005**
| ** **                | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|---------------------------|------------|-----------------------------|------------|----------------------------|------------|------------------------|------------|-----------------------|------------|
| **Market Sector**    | ** ** | **Value at Risk** | ** ** | **Capitalization**         | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                      |       |                        |       |                       |       |                   |       |                  |       |
| Currencies                |       | $                           | 6,987,693  |                       | 1.44       | %                      | $          | 17,754,659            |       | $ | 2,858,755 |   |
| Metals                    |       | 1,196,851                   |       | 0.25                       | %          | 2,854,149              |       | 173,179               |       |
| Stock Indices             |       | 2,376,331                   |       | 0.49                       | %          | 4,192,393              |       | 737,915               |       |
| Interest Rates            |       | 23,465,447                  |       | 4.84                       | %          | 41,662,275             |       | 14,439,368            |       |
| Energy                    |       | 173,769                     |       | 0.04                       | %          | 1,117,195              |       | —                |       |
| Agricultural  Commodities |       | 986,646                     |       | 0.20                       | %          | 2,046,715              |       | 310,872               |       |
|                      |       |                        |       |                       |       |                   |       |                  |       |
| TOTAL                     |       | $                           | 35,186,737 |                       | 7.26       | %                      | $          | 69,627,386            |       | $ | 18,520,089 |   |

 

MaterialLimitations on Value at Risk as an Assessment of Market Risk

The face value of the market sector instruments held by the Partnershipis typically many times the applicable maintenance margin requirement(maintenance margin requirements generally ranging between approximately 1% and10% of contract face value) as well as many times the capitalization of thePartnership.  The magnitude of thePartnership’s open positions creates a “risk of ruin” not typically found inmost other investment

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vehicles.  Because of the size of its positions, certainmarket conditions — unusual, but historically recurring from time to time —could cause the Partnership to incur severe losses over a short period oftime.   The foregoing Value at Risk table— as well as the past performance of the Partnership — gives no indication ofthis “risk of ruin.”

**Non-Trading Risk**

ForeignCurrency Balances; Cash on Deposit with MLPF&S

The Partnershiphas non-trading market risk on its foreign cash balances not needed for margin.However, these balances (as well as the market risk they represent) areimmaterial.

The Partnershipalso has non-trading market risk on the approximately 90%-95% of its assets whichare held in cash at MLPF&S. The value of this cash is not interest ratesensitive, but there is cash flow risk in that if interest rates decline sowill the cash flow generated on these monies. This cash flow risk isimmaterial.

**Qualitative Disclosures Regarding Primary TradingRisk Exposures**

The following qualitativedisclosures regarding the Partnership’s market risk exposures — except for (i)those disclosures that are statements of historical fact and (ii) thedescriptions of how the Partnership manages its primary market risk exposures –constitute forward-looking statements within the meaning of Section 27A of theSecurities Act and Section 21E of the Securities Exchange Act. The Partnership’sprimary market risk exposures as well as the strategies used and to be used byMLAI and Sunrise for managing such exposures are subject to numerousuncertainties, contingencies and risks, any one of which could cause the actualresults of the Partnership’s risk controls to differ materially from theobjectives of such strategies. Government interventions, defaults andexpropriations, illiquid markets, the emergence of dominant fundamentalfactors, political upheavals, changes in historical price relationships, aninflux of new market participants, increased regulation and many other factorscould result in material losses as well as in material changes to the riskexposures and the risk management strategies of the Partnership. There can beno assurance that the Partnership’s current market exposure and/or riskmanagement strategies will not change materially or that any such strategieswill be effective in either the short- or long-term. Investors must be preparedto lose all or substantially all of the time value of their investment in thePartnership.

The following were the primary trading risk exposuresof the Partnership as of December 31, 2006, by market sector.

**InterestRates**.

Interest rate risk is the principal market exposure ofthe Partnership.  Interest rate movementsdirectly affect the price of derivative sovereign bond positions held by thePartnership and indirectly the value of its stock index and currency positions.Interest rate movements in one country as well as relative interest ratemovements between countries materially impact the Partnership’s profitability.The Partnership’s primary interest rate exposure is to interest ratefluctuations in the United States and the other G-7 countries.  However, the Partnership also takes positionsin the government debt of smaller nations e.g., Australia. The Partnershipanticipates that G-7 interest rates will remain the primary market exposure ofthe Partnership for the foreseeable future.

**Currencies**.

The Partnership trades in a number of currencies.However, the Partnership’s major exposures have typically been in the U.S.dollar/Japanese yen, U.S. dollar/Euro and U.S. dollar/Swiss franc positions.The Partnership does not anticipate that the risk profile of the Partnership’scurrency sector will change significantly in the future. The currency tradingValue at Risk figure includes foreign margin amounts converted into U.S.dollars with an incremental adjustment to reflect the exchange rate risk ofmaintaining Value at Risk in a functional currency other than U.S. dollars.

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**Stock Indices**.

The Partnership’s primary equity exposure is toS&P 500, Nikkei and German DAX equity index price movements. ThePartnership is primarily exposed to the risk of adverse price trends or staticmarkets in the major U.S., European and Asian indices.

**Metals**.

The Partnership’s metals market exposure is tofluctuations in both the price of precious and non-precious metals.

**Agricultural Commodities**

The Partnership’s primary agricultural commoditiesexposure is to agricultural price movements which are often directly affectedby severe or unexpected weather conditions. Soybeans, grains, cotton and sugaraccounted for the substantial bulk of the Partnership’s agriculturalcommodities exposure as of December 31, 2006. However, it is anticipated thatSunrise will maintain an emphasis on cotton, grains and sugar, in which thePartnership has historically taken its largest positions.

**Energy**.

The Partnership’s primary energy market exposure is tonatural gas and crude oil price movements, often resulting from politicaldevelopments in the Middle East. Oil prices can be volatile and substantialprofits and losses have been and are expected to continue to be experienced inthis market.

**Qualitative Disclosures RegardingNon-Trading Risk Exposure**

The following were the only non-trading risk exposuresof the Partnership as of December 31, 2006.

**Foreign Currency Balances.**

The Partnership’s primary foreign currency balancesare in Japanese yen, British pounds and Euros.

**U.S. Dollar Cash Balance**.

The Partnership holds U.S. dollars only in cash atMLPF&S. The Partnership has immaterial cash flow interest rate risk on itscash on deposit with MLPF&S in that declining interest rates would causethe income from such cash to decline.

**Qualitative Disclosures Regarding Means of Managing Risk Exposure**

#### Trading Risk

MLAI has procedures in place intended to controlmarket risk, although there can be no assurance that they will, in fact, succeedin doing so. These procedures focus primarily on monitoring the trading of theAdvisor, calculating the Net Asset Value of the Partnership account managed bythe Advisor as of the close of business on each day and reviewing outstandingpositions for over-concentrations. While MLAI does not itself intervene in themarkets to hedge or diversify the Partnership’s market exposure, MLAI may urgethe Advisor to reallocate positions in an attempt to avoidover-concentrations.  However, suchinterventions are unusual. Sunrise applies its own risk management policies toits trading.

SunriseRisk Management

Sunrise attempts to control risk through theutilization of proprietary risk management techniques, which are applied at allstages of the trading process. These techniques are designed to control allaspects of portfolio, market, and execution risk, with the stated goal ofmaintaining Sunrise’s historical rates of returns without increased volatility.

The basis for Sunrise’s risk management system is itsscientific approach and historical research. This process attempts to measurethe correlation and performance characteristics associated with variousweightings assigned to different markets and sectors. Sunrise allocates equityrisk to each market and market sector in an effort to minimize the possibilitythat any one market or sector has a disproportionate influence on theportfolio. Overall, portfolio exposure, drawdown and recovery periods arecarefully studied.

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Sunrise uses filters that attempt to avoid takingtrades with poor risk/reward characteristics. In addition, once a trade istaken, an array of exit strategies are employed that attempt to protect openprofits while exiting positions that fail to trend in the expected direction.Initial money stops are strictly followed and factors that would make itdifficult to execute trades, such as reduced liquidity or extreme marketdevelopments, are also incorporated in the trading decision and risk managementprocesses.

Other risk factors such as foreign currency risk whentrading in non-U.S. markets, custodian risk, and counterparty risk when tradingin the over-the counter markets are taken into account and play an importantpart of Sunrise’s overall risk management process. Sunrise uses onlycounterparties and brokers to execute trades that it and the market generallyperceive as creditworthy. The majority of trades are done with institutionswith which Sunrise has long-term relationships.

## Non-Trading Risk

ThePartnership controls the non-trading exchange rate risk by regularly convertingforeign balances back into U.S. dollars at least once per week, and morefrequently if a particular foreign currency balance becomes unusually high.

ThePartnership has cash flow interest rate risk on its cash on deposit withMLPF&S in that declining interest rates would cause the income from suchcash to decline. However, a certain amount of cash or cash equivalents must beheld by the Partnership in order to facilitate margin payments and pay expensesand redemptions. MLAI does not take any steps to limit the cash flow risk onits cash held on deposit at MLPF&S.

**Item 8: FinancialStatements and Supplementary Data**

**SelectedQuarterly Financial Data**

**MLSelect Futures I  L.P.**

 

Net Income byQuarter (unaudited)

Eight Quarters throughDecember 31, 2006

 
| ** **                  | ** ** | ** ** | ** ** | **Fourth**  | ** ** | **Third**   | ** ** | **Second**  | ** ** | **First**   | ** ** | **Fourth**  | ** ** | **Third**   | ** ** | **Second**  | ** ** | **First**   | ** ** |
|-----------------------------|------------|------------|------------|-------------|------------|-------------|------------|-------------|------------|-------------|------------|-------------|------------|-------------|------------|-------------|------------|-------------|------------|
| ** **                  | ** ** | ** ** | ** ** | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter** | ** ** |
| ** **                  | ** ** | **Totals** | ** ** | **2006**    | ** ** | **2006**    | ** ** | **2006**    | ** ** | **2006**    | ** ** | **2005**    | ** ** | **2005**    | ** ** | **2005**    | ** ** | **2005**    | ** ** |
| Total Income  (Loss)        | ** ** | ** ** |       | $           | 26,136,696 |        | $          | (15,744,070 | )          | $           | 20,068,698 |        | $          | 19,002,534  |       | $           | 36,773,681 |        | $          | (1,332,056 | ) | $ | (5,567,342 | ) | $ | (35,336,221 | ) |
| Total Expenses              | ** ** | ** ** |       | 4,910,876   |       | 4,436,689   |       | 6,048,528   |       | 5,678,944   |       | 6,220,773   |       | 6,824,170   |       | 7,549,663   |       | 7,938,964   |       |
| Net Income (Loss)           | ** ** | ** ** |       | $           | 21,225,820 |        | $          | (20,180,759 | )          | $           | 14,020,170 |        | $          | 13,323,590  |       | $           | 30,552,908 |        | $          | (8,156,226 | ) | $ | (13,117,005 | ) | $ | (43,275,185 | ) |
|                        | ** ** | ** ** |       |        |       |        |       |        |       |        |       |        |       |        |       |        |       |        |       |
| Weighted average  units     |       |       |       | 1,408,746   |       | 1,480,389   |       | 1,552,158   |       | 1,710,600   |       | 1,951,012   |       | 2,260,961   |       | 2,436,149   |       | 2,495,709   |       |
|                        |       |       |       |        |       |        |       |        |       |        |       |        |       |        |       |        |       |        |       |
| Net Income (Loss) per  Unit |       |       |       | $           | 15.07      |        | $          | (13.63      | )          | $           | 9.03       |        | $          | 7.79        |       | $           | 15.66      |        | $          | (3.61 | ) | $ | (5.38 | ) | $ | (17.34 | ) |

 

The financialstatements required by this Item are included in Exhibit 13.01.

The supplementaryfinancial information (“information about oil and gas producing activities”)specified by Item 302(b) of Regulation S-K is not applicable.

**Item 9: Changesin and Disagreements with Accountants on Accounting and Financial Disclosure**

There were nochanges in or disagreements with the independent registered public accountingfirm on accounting and financial disclosure.

**Item 9A: Controlsand Procedures**

Merrill LynchAlternative Investments LLC, the General Partner of ML Select Futures I L.P.,with the participation of the General Partner’s Chief Executive Officer and theChief Financial Officer, has evaluated the

24

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effectiveness ofthe design and operation of its disclosure controls and procedures with respectto the Partnership as of the end of the period covered by this annual report,and, based on their evaluation, have concluded that these disclosure controlsand procedures are effective. Additionally, there were no significant changes in the Partnership’sinternal controls or in other factors that could significantly affect thesecontrols subsequent to the date of their evaluation, including any correctiveactions with regard to significant deficiencies and material weaknesses.

**Item9B:  Other Information**

Not Applicable.

**PART III**

**Item 10: Directors, Executive Officers andCorporate Governance**

10(a) and 10(b)      Identificationof Directors and Executive Officers:

As a limitedpartnership, the Partnership itself has no officers or directors and is managedby MLAI. Trading decisions are made by Sunrise on behalf of the Partnership.

Themanagers and executive officers of MLAI and their respective businessbackgrounds are as follows:
| **Benjamin C. Weston**    | Chief Executive Officer and President |
|---------------------------|---------------------------------------|
| ** **                |                                  |
| **Robert  D. Ollwerther** | Chief Operating Officer and Manager   |
| ** **                |                                  |
| **Barbra  E. Kocsis**     | Chief Financial Officer               |
| ** **                |                                  |
| **Robert  M. Alderman**   | Vice President and Manager            |
| ** **                |                                  |
| **Andrew  B. Weisman**    | Manager                               |

 

BenjaminC. Weston was born in 1954. Mr. Weston is the Chief Executive Officer,President and a Manager of MLAI and Head of MLAI’s Hedge Fund Development andManagement Group at Merrill Lynch where he is responsible for all hedge fundinvestment activities for Merrill Lynch worldwide. Mr. Weston joined MerrillLynch from Indeman Capital Management (IDM), a hedge fund incubation businessformed in 2003 with the backing of Ritchie Capital Management and AzimuthTrust. Before founding IDM, Mr. Weston worked as a consultant for RitchieCapital which he joined in September 2002 from Credit Suisse First Boston wherehe was a Managing Director and Head of the Funds Development Group. The FundsDevelopment Group developed and launched a series of market-leading hedgefunds, including three that today rank in the world’s 50 largest funds. Until2000, Mr. Weston served on the Management Committee of CSFB’s Fixed IncomeDivision and was Head of the Leveraged Capital Services Group, which advised aselect group of hedge funds on global market strategy, optimal investmentexpression and risk management. Prior to transferring to CSFB in 1996, Mr.Weston was Co-Head of Credit Suisse Financial Products in the Americas (CSFP)and a Member of the Executive Board from 1990 to 1995. Before founding CSFP inNew York in 1990, Mr. Weston held various senior management positions from 1983to 1990 at Bankers Trust including Head of the Capital Markets Group in London,Head of the Equity Derivatives business in Europe and Head of the bank’s equitybusinesses in Asia from Hong Kong. Mr. Weston started his career at JP Morganin 1978 where he worked in the Funding Services Group in New York and London. Mr.Weston received a Bachelor of Arts in International Studies from MiamiUniversity in 1976 and a Master of Arts in International Affairs with Honors inEconomics from The Johns Hopkins School of Advanced International Studies

RobertD. Ollwerther was born in 1956. He is Chief Operating Officer for and a Managerof MLAI. He is responsible for Finance, Operations, Technology andAdministration for the Fund and other MLAI products which invest in hedgefunds. He has over 20 years of experience in the securities industry. He beganhis career with Coopers & Lybrand, CPAs. Since joining Merrill Lynch in1981, he has primarily served in finance positions in the U.S. and abroad,including Chief Financial Officer for Europe, the Middle East and Africa, ChiefFinancial Officer

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for Latin Americaand Canada, Chief Financial Officer of Global Equity Markets, Director ofInstitutional and International Audit and Manager of Merrill Lynch FinancialReporting.  He holds a Bachelor ofScience in accounting from Fairfield University and a Master of BusinessAdministration from New York University, and is a Certified Public Accountant.

Barbra E. Kocsis was born in 1966. She is Chief FinancialOfficer for MLAI. She is also a Director within the Merrill Lynch GlobalPrivate Client Global Infrastructure Solutions group. Prior to that, she wasthe Fund Controller of MLAI. Before coming to MLAI, Ms. Kocsis held variousaccounting and tax positions at Derivatives Portfolio Management LLC from May1992 until May 1999, at which time she held the position of accountingdirector. Prior to that, she was an associate at Coopers & Lybrand in boththe audit and tax practices. She graduated cum laude from Monmouth College in1988 with a Bachelor of Science in Business Administration – Accounting and isa Certified Public Accountant.

Robert M. Alderman wasborn in 1960. He is Managing Director of Merrill Lynch Global Private Client,and a Vice President and a Manager of MLAI. He is responsible for coordinating a global sales effort and managingthe retail product line, which includes hedge funds, private equityopportunities, managed futures funds and exchange funds.  Prior to re-joining Merrill Lynch and theInternational Private Client Group in 1999, he was a partner in the Nashville,Tennessee-based firm of J.C. Bradford & Co. where he was the Director ofMarketing, and a National Sales Manager for Prudential Investments.  Mr. Alderman first joined Merrill Lynch in1987 where he worked until 1997.  Duringhis tenure at Merrill Lynch, Mr. Alderman has held positions in FinancialPlanning, Asset Management and High Net Worth Services.  He received his Master of BusinessAdministration from the Carroll School of Management, Boston College and aBachelor of Arts from Clark University.

Andrew B. Weisman wasborn in 1959. He is Manager of MLAI and is head of HFDMG’s ConsolidatedInvestment Analytics group.  Mr. Weismanjoined Merrill Lynch in August 2005. From April 2002 to July 2005, Mr. Weisman was a partner and director ofresearch for Stradivarius Capital Management, and from January 1998 until April2002, he served as Chief Investment Officer of Nikko SecuritiesInternational.  Mr. Weisman holds aMaster of International Affairs and a Bachelor of Arts from ColumbiaUniversity.

Asof December 31, 2006, the principals of MLAI had no investment in thePartnership, and MLAI’s general partner interest in the Partnership was valuedat $3,607,393.

MLAIacts as the sponsor, general partner or manager to  eight public futures funds whose units oflimited partner or member interests are registered under the SecuritiesExchange Act of 1934: John W. Henry & Co./Millburn L.P., ML JWH StrategicAllocation  L.P., ML APM Global FuturesAccess LLC;  ML Appleton FuturesAccessLLC, ML Aspect FuturesAccess LLC, ML Cornerstone FuturesAccess LLC, ML WintonFuturesAccess LLC, and the Partnership. Because MLAI serves as the sponsor,general partner or manager of each of these funds, the officers and managers ofMLAI effectively manage them as officers and directors of such funds.

(c)                                  Identificationof Certain Significant Employees:

None.

(d)                                 FamilyRelationships:

None.

(e)                                  BusinessExperience:

See Item 10(a) and(b) above.

(f)                                    Involvementin Certain Legal Proceedings:

None.

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(g)                                 Promotersand Control Persons:

Not applicable.

Section 16(a)Beneficial Ownership Reporting Compliance:

Not applicable.

Section 16(a)Beneficial Ownership Reporting Compliance:

Not applicable.

Code of Ethics:

MLAI and Merrill Lynchhave adopted a code of ethics, as of the end of the period covered by thisreport, which applies to the Partnership’s (MLAI’s) principal executive officerand principal financial officer or persons performing similar functions onbehalf of the Partnership.  A copy of thecode of ethics is available to any person, without charge, upon request bycalling 1-877-465-8435.

NominatingCommittee:

Not applicable.(Neither the Partnership nor MLAI has nominating committee.)

Audit Committee:Audit Committee Financial Expert:

Not applicable.(Neither the Partnership nor MLAI has an audit committee.  There are no listed Shares of the Partnershipor MLAI.)

**Item 11: ExecutiveCompensation**

The managers andofficers of MLAI are remunerated by Merrill Lynch in their respectivepositions. The Partnership does not itself have any officers, managers oremployees.  The Partnership paysBrokerage Commissions to an affiliate of MLAI and Administrative Fees toMLAI.  MLAI or its affiliates may alsoreceive certain economic benefits from possession of the Partnership’s U.S.dollar assets.  The managers and officersreceive no “other compensation” from the Partnership, and the managers receiveno compensation for serving as managers of MLAI.  There are no compensation plans orarrangements relating to a change in control of either the Partnership or MLAI.

**Item 12: SecurityOwnership of Certain Beneficial Owners and Management and Related StockholderMatters**

(a)                                  SecurityOwnership of Certain Beneficial Owners:

Not applicable(The Units are non-voting limited partnership interests.  The Partnership is managed   by MLAI, its general partner).

(b)                                 SecurityOwnership of Management:

As of December 31,2006, MLAI owned 14,878 Unit-equivalent general partnership interests, whichconstituted 1.11% of the total Units outstanding, the principals of MLAI didnot own any Units, and the Advisor did not own any Units.

(c)                                  Changesin Control:

None.

(d)                                 SecuritiesAuthorized for Issuance Under Equity Compensation Plans:

Not applicable.

27

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**Item 13: CertainRelationships and Related Transactions**

(a)                                  Transactionsbetween Merrill Lynch and the Partnership

All ofthe service providers to the Partnership, other than Sunrise, are affiliates ofMerrill Lynch.  Merrill Lynch negotiatedwith Sunrise over the level of its advisory fees and Profit Shares.  However, none of the fees paid by thePartnership to any Merrill Lynch party were negotiated, and they are higherthan would have been obtained in arms-length bargaining.

ThePartnership pays Merrill Lynch substantial Brokerage Commissions andAdministrative Fees as well as bid-ask spreads on forward currency trades.  The Partnership also pays MLPF&S intereston short-term loans extended by MLPF&S to cover losses on foreign currencypositions.

Withinthe Merrill Lynch organization, MLAI is the beneficiary of the revenuesreceived by different Merrill Lynch entities from the Partnership.  MLAI controls the management of thePartnership and serves as its promoter. Although MLAI has not sold any assets, directly or indirectly, to thePartnership, MLAI makes substantial profits from the Partnership due to theforegoing revenues.

Noloans have been, are or will be outstanding between MLAI or any of itsprincipals and the Partnership.

MLAIpays substantial selling commissions and trailing commissions to MLPF&S fordistributing the Units.  MLAI isultimately paid back for these expenditures from the revenues it receives fromthe Partnership.

(b)                                 CertainBusiness Relationships:

MLPF&S, anaffiliate of MLAI, acts as the principal commodity broker for the Partnership.

In 2006, thePartnership expensed:  (i) BrokerageCommissions of $19,872,678 to MLPF&S, which included $ 3,598,915 inconsulting fees earned by Sunrise; and (ii) Administrative Fees of $903,304 toMLAI.  In addition, MLAI and its affiliatesmay have derived certain economic benefits from possession of a portion of thePartnership’s assets, as well as from foreign exchange and EFP trading.

See Item 1(c), “NarrativeDescription of Business — Charges” and “— Description of Current Charges”for a discussion of other business dealings between MLAI affiliates and thePartnership.

(c)                                  Indebtednessof Management:

The Partnership isprohibited from making any loans, to management or otherwise.

**Item 14: PrincipalAccountant Fees and Services**

(a)                                  AuditFees

Aggregate fees billed for professional servicesrendered by Deloitte & Touche LLP in connection with the audit of thePartnership’s financial statements as of and for the year ended December 31,2006 were $45,207.

Aggregate fees billed forthese services for the year ended December 31, 2005 were $38,500.

(b)                                 Audit-RelatedFees  

28

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There were no other audit-related fees billed for the years endedDecember 31, 2006 or 2005 related to the Partnership.

(c)                                  TaxFees

Aggregate fees billed for professional services rendered by DeloitteTax LLP in connection with the tax compliance, advice and preparation of thePartnerships tax returns for the year ended December 31, 2006 were $72,000.

Aggregate fees billed for these services for the year ended December 31,2005 were $72,000.

(d)                                 AllOther Fees

No fees were paid to Deloitte & Touche LLP nor Deloitte Tax LLPduring the years ended December 31, 2006 or 2005 for any other professionalservices in relation to the Partnership.

Neither the Partnership nor MLAI has an audit committee to pre-approveprincipal accountant fees and services. In lieu of an audit committee, the managers and the principal financialofficer pre-approve all billings prior to the commencement of services.

29

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#### **PART IV**

**Item 15: Exhibitsand Financial Statement Schedules**
|        |                                                                                                                                                                                                                                             | **Page:** |
|--------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|-----------|
| 1.     | Financial Statements (found in Exhibit 13.01):                                                                                                                                                                                                   |      |
|   |                                                                                                                                                                                                                                             |      |
|   | Report of  Independent Registered Public Accounting Firm                                                                                                                                                                                         | 1         |
|   |                                                                                                                                                                                                                                             |      |
|   | Statements of  Financial Condition as of December 31, 2006 and 2005                                                                                                                                                                              | 2         |
|   |                                                                                                                                                                                                                                             |      |
|   | For the years  ended December 31, 2006, 2005 and 2004:                                                                                                                                                                                           |      |
|   | Statements of Operations                                                                                                                                                                                                                         | 3         |
|   | Statements of Changes in Partners’ Capital                                                                                                                                                                                                  | 4         |
|   |                                                                                                                                                                                                                                             |      |
|   | Financial Data  Highlights for the year ended December 31, 2006                                                                                                                                                                                  | 5         |
|   |                                                                                                                                                                                                                                             |      |
|   | Notes to Financial Statements                                                                                                                                                                                                                    | 6-12      |
|   |                                                                                                                                                                                                                                             |      |
| 2.     | Financial Statement Schedules:                                                                                                                                                                                                                   |      |
|   |                                                                                                                                                                                                                                             |      |
|   | Financial statement schedules not included in this  Form 10-K have been omitted for the reason that they are not required or are  not applicable or that equivalent information has been included in the  financial statements or notes thereto. |
|   |                                                                                                                                                                                                                                             |      |
| 3.     | Exhibits:                                                                                                                                                                                                                                        |      |
|   |                                                                                                                                                                                                                                             |      |
|   | The following exhibits are incorporated by reference  or are filed herewith to this Annual Report on Form 10-K:                                                                                                                                  |

 
| Designation    | ** ** | **Description**                                                                                                                                                                                                                                                           |
|----------------|------------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|           |       |                                                                                                                                                                                                                                                                      |
| 3.01           |       | Amended and Restated Certificate of Limited  Partnership of the Registrant.                                                                                                                                                                                               |
|           |       |                                                                                                                                                                                                                                                                      |
| Exhibit 3.01:  |       | Is incorporated herein by reference from Exhibit  3.01 contained in Amendment No. 1 to the Registration Statement (File No.  000-50269) filed on April 30, 2003, on Form 10 under the Securities Act of  1933 (the “Registrant’s Registration Statement”). |
|           |       |                                                                                                                                                                                                                                                                      |
| 3.02           |       | ML Select Futures I L.P. Sixth Amendment and  Restated Limited Partnership Agreement.                                                                                                                                                                                     |
|           |       |                                                                                                                                                                                                                                                                      |
| Exhibit 3.02   |       | Is incorporated by reference from Exhibit 3.02(a)  contained in the Registrant’s Registration Statement                                                                                                                                                              |
|           |       |                                                                                                                                                                                                                                                                      |
| 10.01          |       | Subscription Agreement                                                                                                                                                                                                                                                    |
|           |       |                                                                                                                                                                                                                                                                      |
| Exhibit 10.01: |       | Is incorporated by reference from Exhibit 10.01  contained in the Registrant’s Registration Statement                                                                                                                                                                |
|           |       |                                                                                                                                                                                                                                                                      |
| 10.03          |       | Customer Agreement between ML Chesapeake L.P. and  Merrill Lynch Futures Inc.                                                                                                                                                                                             |
|           |       |                                                                                                                                                                                                                                                                      |
| Exhibit 10.03: |       | Is incorporated hereby by reference from  Exhibit 10.03 contained in the Registrant’s Registration Statement.                                                                                                                                                   |
|           |       |                                                                                                                                                                                                                                                                      |
| 10.04          |       | Consulting Agreement between Merrill Lynch Futures  Inc. and Sunrise Capital Partners, LLC.                                                                                                                                                                               |

 

30

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| Exhibit 10.04:           |   | Is incorporated hereby by reference from  Exhibit 10.04 contained in the Registrant’s Registration Statement.                                                                                      |
|--------------------------|--------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|                     |   |                                                                                                                                                                                                         |
| 10.05                    |   | Selling Agreement among ML Chesapeake L.P., Merrill  Lynch Investment Partners Inc., Merrill Lynch Futures Inc., Merrill Lynch,  Pierce, Fenner & Smith Incorporated and Chesapeake Capital Corporation. |
|                     |   |                                                                                                                                                                                                         |
| Exhibit 10.05:           |   | Is incorporated hereby by reference from  Exhibit 10.05 contained in the Registrant’s Registration Statement.                                                                                      |
|                     |   |                                                                                                                                                                                                         |
| 13.01                    |   | 2006 Annual Report and Report of Independent  Registered Public Accounting Firm.                                                                                                                             |
|                     |   |                                                                                                                                                                                                         |
| Exhibit 13.01:           |   | Is filed herewith.                                                                                                                                                                                           |
|                     |   |                                                                                                                                                                                                         |
| 31.01 and 31.02          |   | Rule 13a-14(a)/15d-14(a) Certifications                                                                                                                                                                      |
|                     |   |                                                                                                                                                                                                         |
| Exhibit 31.01 and 31.02: |   | Are filed herewith.                                                                                                                                                                                          |
|                     |   |                                                                                                                                                                                                         |
| 32.01 and 32.02          |   | Section 1350 Certifications                                                                                                                                                                                  |
|                     |   |                                                                                                                                                                                                         |
| Exhibit 32.01 and 32.02: |   | Are filed herewith.                                                                                                                                                                                          |

 

31

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**SIGNATURES**

Pursuant to the requirements of Section 13 or 15(d) ofthe Securities Exchange Act of 1934, the Registrant has duly caused this reportto be signed on its behalf by the undersigned, thereunto duly authorized.
| ** ** | **ML SELECT FUTURES I L.P.**                      |
|------------|---------------------------------------------------|
| ** ** | ** **                                        |
| ** ** | **By: MERRILL LYNCH ALTERNATIVE INVESTMENTS LLC** |
| ** ** | **General  Partner**                              |
| ** ** | ** **                                        |
|       | By:                                               | s/Benjamin C. Weston |   |
|       | Benjamin C. Weston                                |
|       | Chief Executive Officer and President             |
|       | (Principal Executive Officer)                     |

 

Pursuant to the requirements of Section 13 or 15(d) ofthe Securities Exchange Act of 1934, this report has been signed on March 30,2007 by the following persons on behalf of the Registrant and in the capacitiesindicated.
| Signature                                                                                                                                                             | ** **            | **Title**      | ** **                            | **Date** |
|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------|-----------------------|----------------|---------------------------------------|----------|
|                                                                                                                                                                  |                  |           |                                  |     |
| /s/Benjamin C. Weston                                                                                                                                                 |                  |           | Chief Executive Officer and President |     | March 30, 2007 |
| Bejamin Weston                                                                                                                                                        |                  |           |                                  |     |
|                                                                                                                                                                  |                  |           |                                  |     |
| /s/ Robert D. Ollwerther                                                                                                                                              |                  |           | Chief Operating Officer and Manager   |     | March 30, 2007 |
| Robert D. Ollwerther                                                                                                                                                  |                  |           |                                  |     |
|                                                                                                                                                                  |                  |           |                                  |     |
| /s/Barbra E. Kocsis                                                                                                                                                   |                  |           | Chief Financial Officer               |     | March 30, 2007 |
| Barbra E. Kocsis                                                                                                                                                      |                  |           |                                  |     |
|                                                                                                                                                                  |                  |           |                                  |     |
| /s/Robert M. Alderman                                                                                                                                                 |                  |           | Vice President and Manager            |     | March 30, 2007 |
| Robert M. Alderman                                                                                                                                                    |                  |           |                                  |     |
|                                                                                                                                                                  |                  |           |                                  |     |
| /s/Andrew B. Weisman                                                                                                                                                  |                  |           | Manager                               |     | March 30, 2007 |
| Andrew B. Weisman                                                                                                                                                     |                  |           |                                  |     |
| ** **                                                                                                                                                            |                  |           |
| (Being the principal executive officer, the  principal financial and accounting officer and a majority of the managers of  Merrill Lynch Alternative Investments LLC) |
| ** **                                                                                                                                                            |                  |           |
| **MERRILL LYNCH ALTERNATIVE INVESTMENTS LLC**                                                                                                                         |                  |           |
| Sponsor of Registrant                                                                                                                                                 |                  | March 30, 2007 |
|                                                                                                                                                                  |                  |           |
|                                                                                                                                                                  |                  |           |
| By:                                                                                                                                                                   | /s/Benjamin C. Weston |           |                                  |     |
| Benjamin C. Weston                                                                                                                                                    |                  |           |
| Chief Executive Officer and President                                                                                                                                 |                  |           |
| (Principal Executive Officer)                                                                                                                                         |                  |           |
|                                                                                                                                                                       |                       |                |                                       |          |  |  |  |  |  |  |

 

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**ML SELECT FUTURES LIMITED PARTNERSHIP**

2006 FORM 10-K

INDEX TO EXHIBITS
| ** **    | ** ** | Exhibit                                                                         |
|---------------|------------|---------------------------------------------------------------------------------|
|          |       |                                                                            |
| Exhibit 13.01 |       | 2006 Annual Report and Report of Independent  Registered Public Accounting Firm |

 

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