**Exhibit 13.01**

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

***(ADelaware Limited Partnership)***

*FinancialStatements for the years ended*

*December31, 2006, 2005 and 2004*

*andReport of Independent Registered Public*

*Accounting Firm*

 

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ML Select FuturesI L.P.

(A DelawareLimited Partnership)

TABLE OF CONTENTS
|                                                                                                              | **Page** |
|--------------------------------------------------------------------------------------------------------------|----------|
|                                                                                                         |     |
| REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING  FIRM                                                     | 1        |
|                                                                                                         |     |
| FINANCIAL STATEMENTS:                                                                                        |     |
|                                                                                                         |     |
|  Statements of  Financial Condition as of December 31, 2006 and 2005                                    | 2        |
|                                                                                                         |     |
|  Statements of  Operations for the years ended December 31, 2006, 2005 and 2004                         | 3        |
|                                                                                                         |     |
|  Statements of  Changes in Partners’ Capital for the years ended December 31, 2006, 2005 and  2004 | 4        |
|                                                                                                         |     |
|  Financial  Data Highlights for the year ended December 31, 2006                                        | 5        |
|                                                                                                         |     |
|  Notes to  Financial Statements                                                                         | 6-12     |

 

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REPORT OFINDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Partners of

  MLSelect Futures I L.P.:

We have auditedthe accompanying statements of financial condition of ML Select Futures I L.P.(the “Partnership”) as of December 31, 2006 and 2005, and the relatedstatements of operations and of changes in partners’ capital for each of thethree years in the period ended December 31, 2006 and the financial datahighlights for the year ended December 31, 2006.  These financial statements and financial datahighlights are the responsibility of the Partnership’s management.  Our responsibility is to express an opinionon these financial statements and financial data highlights based on ouraudits.

We conducted ouraudits in accordance with the standards of the Public Company AccountingOversight Board (United States). Those standards require that we plan andperform the audit to obtain reasonable assurance about whether the financialstatements and financial data highlights are free of material misstatement.  The Partnership is not required to have, norwere we engaged to perform, an audit of its internal control over financialreporting.  Our audits includedconsideration of internal control over financial reporting as a basis fordesigning audit procedures that are appropriate in the circumstances, but notfor the purpose of expressing an opinion on the effectiveness of thePartnership’s internal control over financial reporting. Accordingly, weexpress no such opinion. An audit also includes examining, on a test basis,evidence supporting the amounts and disclosures in the financial statements,assessing the accounting principles used and significant estimates made bymanagement, as well as evaluating the overall financial statement presentation.  We believe that our audits provide areasonable basis for our opinion.

In our opinion,the financial statements and financial data highlights referred to abovepresent fairly, in all material respects, the financial position of ML SelectFutures I L.P. as of December 31, 2006 and 2005, the results of its operationsand the changes in its partners’ capital for each of the three years in theperiod ended December 31, 2006, and the financial data highlights for the yearended December 31, 2006, in conformity with accounting principles generallyaccepted in the United States of America.
| /s/Deloitte and Touche |   |
|------------------------|--------|
| Deloitte and Touche    |
|                   |
|                   |
| New York, New York     |
| March 28, 2007         |

 

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ML SELECT FUTURESI L.P.

(A DelawareLimited Partnership)

STATEMENTS OFFINANCIAL CONDITION

DECEMBER 31, 2006AND 2005
| ** **                                                                        | ** ** | **2006**    | ** **  | **2005**    | ** ** |
|-----------------------------------------------------------------------------------|------------|-------------|-------------|-------------|------------|
| **ASSETS:**                                                                       |       |        |        |        |       |
| ** **                                                                        |       |        |        |        |       |
| Equity in commodity  futures trading accounts:                                    |       |        |        |        |       |
| Cash (includes  restricted cash of $92,042,246 for 2006 and $53,204,989 for 2005) |       | $           | 322,600,743 |        | $          | 397,284,591 |   |
| Net unrealized  profit on open contracts                                          |       | 9,022,301   |        | 14,499,360  |       |
| Accrued interest                                                                  |       | 1,378,976   |        | 1,363,422   |       |
|                                                                              |       |        |        |        |       |
| **TOTAL  ASSETS**                                                                 |       | $           | 333,002,020 |        | $          | 413,147,373 |   |
|                                                                              |       |        |        |        |       |
| **LIABILITIES AND PARTNERS’ CAPITAL**                                        |       |        |        |        |       |
|                                                                              |       |        |        |        |       |
| LIABILITIES:                                                                      |       |        |        |        |       |
|                                                                              |       |        |        |        |       |
| Brokerage  commissions payable                                                    |       | $           | 1,526,262   |        | $          | 1,893,591 |   |
| Administrative  and filing fees payable                                           |       | 90,193      |        | 106,906     |       |
| Redemptions  payable                                                              |       | 5,212,995   |        | 14,317,738  |       |
|                                                                              |       |        |        |        |       |
| Total  liabilities                                                                |       | 6,829,450   |        | 16,318,235  |       |
|                                                                              |       |        |        |        |       |
| **PARTNERS’ CAPITAL:**                                                       |       |        |        |        |       |
|                                                                              |       |        |        |        |       |
| General Partner  (14,878 Units and 26,449 Units)                                  |       | 3,607,393   |        | 5,928,997   |       |
| Limited Partners  (1,330,119 Units and 1,743,781 Units)                           |       | 322,565,177 |        | 390,900,141 |       |
|                                                                              |       |        |        |        |       |
| Total partners’  capital                                                     |       | 326,172,570 |        | 396,829,138 |       |
|                                                                              |       |        |        |        |       |
| **TOTAL  LIABILITIES AND PARTNERS' CAPITAL**                                      |       | $           | 333,002,020 |        | $          | 413,147,373 |   |
|                                                                              |       |        |        |        |       |
| **NET ASSET VALUE PER UNIT**                                                      | ** ** | ** **  | ** **  | ** **  | ** ** |
| (Based on 1,344,997 and  1,770,230 Units outstanding Unlimited Units authorized)  |       | $           | 242.51      |        | $          | 224.17 |   |

 

See notes tofinancial statements.

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ML SELECT FUTURESI L.P.

(A DelawareLimited Partnership)

STATEMENTS OFOPERATIONS

FOR THE YEARSENDED DECEMBER 31, 2006, 2005 AND 2004
| ** **                                                                        | ** ** | **2006**   | ** ** | **2005**    | ** ** | **2004**    | ** ** |
|-----------------------------------------------------------------------------------|------------|------------|------------|-------------|------------|-------------|------------|
| **TRADING  PROFIT (LOSS):**                                                       |       |       |       |        |       |        |       |
|                                                                              |       |       |       |        |       |        |       |
| Realized                                                                          |       | $          | 37,752,945 |        | $          | (24,222,659 | )          | $ | 52,256,615 |   |
| Change in unrealized                                                              |       | (5,477,059 | )          | 3,041,057   |       | (14,070,731 | )          |
|                                                                              |       |       |       |        |       |        |       |
| Total trading profit (loss)                                                       |       | 32,275,886 |       | (21,181,602 | )          | 38,185,884  |       |
|                                                                              |       |       |       |        |       |        |       |
| **INVESTMENT  INCOME:**                                                           |       |       |       |        |       |        |       |
| ** **                                                                        |       |       |       |        |       |        |       |
| Interest                                                                          |       | 17,187,972 |       | 15,719,664  |       | 6,875,902   |       |
|                                                                              |       |       |       |        |       |        |       |
| **EXPENSES:**                                                                     |       |       |       |        |       |        |       |
|                                                                              |       |       |       |        |       |        |       |
| Brokerage  commissions                                                            |       | 19,872,678 |       | 27,053,850  |       | 26,151,018  |       |
| Profit Shares                                                                     |       | 49,055     |       | —      |       | 4,731,366   |       |
| Administrative  and filing fees                                                   |       | 1,153,304  |       | 1,479,720   |       | 1,641,858   |       |
|                                                                              |       |       |       |        |       |        |       |
| Total expenses                                                                    |       | 21,075,037 |       | 28,533,570  |       | 32,524,242  |       |
|                                                                              |       |       |       |        |       |        |       |
| **NET  INVESTMENT LOSS**                                                          |       | (3,887,065 | )          | (12,813,906 | )          | (25,648,340 | )          |
|                                                                              |       |       |       |        |       |        |       |
| **NET  INCOME (LOSS)**                                                            |       | $          | 28,388,821 |        | $          | (33,995,508 | )          | $ | 12,537,544 |   |
|                                                                              |       |       |       |        |       |        |       |
| **NET  INCOME (LOSS) PER UNIT:**                                                  |       |       |       |        |       |        |       |
|                                                                              |       |       |       |        |       |        |       |
| Weighted average number of General Partner and  Limited Partner Units outstanding |       | 1,537,973  |       | 2,285,957   |       | 2,055,550   |       |
|                                                                              |       |       |       |        |       |        |       |
| Net income  (loss) per weighted average General Partner and Limited Partner Unit  |       | $          | 18.46      |        | $          | (14.87      | )          | $ | 6.10 |   |

 

See notes to financial statements.

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ML SELECT FUTURESI L.P.

(A DelawareLimited Partnership)

STATEMENTS OFCHANGES IN PARTNERS’ CAPITAL

FOR THE YEARSENDED DECEMBER 31, 2006, 2005 AND 2004
| ** **                                       | ** ** | ** ** | ** ** | **General** | ** ** | **Limited**  | ** ** | ** **   | ** ** |
|--------------------------------------------------|------------|------------|------------|-------------|------------|--------------|------------|--------------|------------|
| ** **                                       | ** ** | **Units**  | ** ** | **Partner** | ** ** | **Partners** | ** ** | **Total**    | ** ** |
|                                             |       |       |       |        |       |         |       |         |       |
| PARTNERS’  CAPITAL,DECEMBER 31, 2003        |       | 1,204,156  |       | $           | 2,538,287  |         | $          | 267,950,304  |       | $ | 270,488,591 |   |
|                                             |       |       |       |        |       |         |       |         |       |
| Subscriptions                                    |       | 1,372,076  |       | 3,577,366   |       | 316,837,351  |       | 320,414,717  |       |
|                                             |       |       |       |        |       |         |       |         |       |
| Net income                                       |       | —     |       | 149,055     |       | 12,388,489   |       | 12,537,544   |       |
|                                             |       |       |       |        |       |         |       |         |       |
| Redemptions                                      |       | (72,158    | )          | (64,853     | )          | (16,397,633  | )          | (16,462,486  | )          |
|                                             |       |       |       |        |       |         |       |         |       |
| PARTNERS’  CAPITAL,  DECEMBER 31, 2004 |       | 2,504,074  |       | 6,199,855   |       | 580,778,511  |       | 586,978,366  |       |
|                                             |       |       |       |        |       |         |       |         |       |
| Subscriptions                                    |       | 5,494      |       | —      |       | 1,181,237    |       | 1,181,237    |       |
|                                             |       |       |       |        |       |         |       |         |       |
| Net loss                                         |       | —     |       | (270,858    | )          | (33,724,650  | )          | (33,995,508  | )          |
|                                             |       |       |       |        |       |         |       |         |       |
| Redemptions                                      |       | (739,338   | )          | —      |       | (157,334,957 | )          | (157,334,957 | )          |
|                                             |       |       |       |        |       |         |       |         |       |
| PARTNERS’  CAPITAL,  DECEMBER 31, 2005 |       | 1,770,230  |       | 5,928,997   |       | 390,900,141  |       | 396,829,138  |       |
|                                             |       |       |       |        |       |         |       |         |       |
| Subscriptions                                    |       | 21,575     |       | —      |       | 5,048,863    |       | 5,048,863    |       |
|                                             |       |       |       |        |       |         |       |         |       |
| Net income                                       |       | —     |       | 302,107     |       | 28,086,714   |       | 28,388,821   |       |
|                                             |       |       |       |        |       |         |       |         |       |
| Redemptions                                      |       | (446,808   | )          | (2,623,711  | )          | (101,470,541 | )          | (104,094,252 | )          |
|                                             |       |       |       |        |       |         |       |         |       |
| PARTNERS’ CAPITAL, DECEMBER  31, 2006       |       | 1,344,997  |       | $           | 3,607,393  |         | $          | 322,565,177  |       | $ | 326,172,570 |   |

 

See notes to financialstatements.

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ML SELECT FUTURESI L.P.

(A DelawareLimited Partnership)

FINANCIAL DATAHIGHLIGHTS

FOR THE YEAR ENDEDDECEMBER 31, 2006

The following perUnit data and ratios have been derived from information provided in thefinancial statements.
| **Per Unit Operating Performance:**       |   |   |   |
|-------------------------------------------|--------|--------|--------|
|                                      |   |   |   |
| Net asset value,  beginning of year       |   | $      | 224.17 |   |
|                                      |   |   |   |
| Realized trading  profit                  |   | 24.28  |   |
| Change in  unrealized                     |   | (3.48  | )      |
| Interest income                           |   | 11.23  |   |
| Expenses                                  |   | (13.69 | )      |
|                                      |   |   |   |
| Net asset value,  end of year             |   | $      | 242.51 |   |
|                                      |   |   |   |
| **Total  Return:**                        |   |   |   |
|                                      |   |   |   |
| Total return                              |   | 8.18   | %      |
|                                      |   |   |   |
| **Ratios  to Average Partners' Capital:** |   |   |   |
|                                      |   |   |   |
| Expenses                                  |   | 5.95   | %      |
| Net investment  loss                      |   | -1.10  | %      |
|                                      |   |   |   |

 

See notes tofinancial statements.

5

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ML SELECT FUTURESI L.P.

(A DelawareLimited Partnership)

NOTES TO FINANCIALSTATEMENTS

1.     SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

Organization

ML Select Futures I L.P. (the “Partnership”) was organized under theDelaware Revised Uniform Partnership Act in August 1995 and commenced tradingactivities on April 16, 1996. The Partnership issues new units of limitedpartner interest (“Units”) at Net Asset Value as of the beginning of eachcalendar month. The Partnership engages in the speculative trading of futures,options on futures and forward contracts on a wide range of commodities.Sunrise Capital Partners, LLC (“Sunrise”) is the trading advisor of thePartnership. Merrill Lynch Alternative Investments LLC (“MLAI”), is the generalpartner of the Partnership. MLAI is an indirect wholly-owned subsidiary ofMerrill Lynch & Co., Inc. (“Merrill Lynch”). Merrill Lynch, Pierce, Fenner& Smith Incorporated (“MLPF&S”), a wholly-owned subsidiary of MerrillLynch, is the Partnership’s commodity broker. MLAI has agreed to maintain a general partner’s interest of at least 1%of the total capital in the Partnership. MLAI and each Limited Partner share in the profits and losses of thePartnership in proportion to their respective interests in it.

Estimates

The preparation offinancial statements in conformity with accounting principles generallyaccepted in the United States of America requires management to make estimatesand assumptions that affect the reported amounts of assets and liabilities anddisclosure of contingent assets and liabilities at the date of the financialstatements and the reported amounts of revenues and expenses during thereporting period.  Actual results coulddiffer from those estimates.

RevenueRecognition

Commodity futures,options on futures and forward contract transactions are recorded on the tradedate and open contracts are reflected in Net unrealized profit on opencontracts in the Statements of Financial Condition as the difference betweenthe original contract value and the market value (for those commodity interestsfor which market quotations are readily available) or at fair value.  The change in unrealized profit (loss) onopen contracts from one period to the next is reflected in Change in unrealizedin the Statements of Operations.

Foreign Currency Transactions

The Partnership’sfunctional currency is the U.S. dollar; however, it transacts business incurrencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S.dollar are translated into U.S. dollars at the rates in effect at the dates ofthe Statements of Financial Condition. Income and expense items denominated in currencies other than the U.S.dollar are translated into U.S. dollars at the rates in effect during theperiod.  Gains and losses resulting fromthe translation to U.S. dollars are reported in Realized in the Statements ofOperations.

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Operating Expenses andSelling Commissions

MLAI pays allroutine operating expenses excluding the State of New Jersey filing fee (whichis borne by the Partnership) but including legal, accounting, printing, postageand similar administrative expenses of the Partnership.  MLAI receives an administrative fee as wellas a portion of the brokerage commissions paid to MLPF&S by the Partnership(see Note 3).

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

Cash at Broker

A portion of theassets maintained at MLPF&S is restricted cash required to meet maintenancemargin requirements. Includedin cash deposits with the broker at December 31, 2006 and 2005 is restrictedcash for margin requirements of $92,042,246 and $53,204,989, respectively.

Income Taxes

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

Distributions

The LimitedPartners are entitled to receive, equally per Unit, any distributions which maybe made by the Partnership.  No suchdistributions have been declared for the years ended December 31, 2006,2005 or 2004.

Subscriptions

Units are offered as of the close of business at theend of each month.  Units are purchasedas of the first business day of any month at Net Asset Value, but thesubscription request must be submitted at least three calendar days before theend of the preceding month. Subscriptions submitted less than three days before the end of a monthwill be applied to Unit subscriptions as of the beginning of the second monthafter receipt, unless revoked by MLAI.

Redemptions

A Limited Partnermay redeem some or all of such Partner’s Units at Net Asset Value as of theclose of business on the last business day of any calendar month upon ten days’notice. Units redeemed on or before the end of the twelfth full month afterpurchase will be assessed an early redemption charge of 4% of their Net AssetValue as of the date of redemption.  Ifan investor makes multiple investments in the Partnership, investments aretreated on a first-in, first-out basis in determining whether a redemption chargeis applicable. Redemption charges are subtracted from redemption proceeds andpaid to MLAI.

Dissolution of thePartnership 

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

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Indemnifications

In the normal course of business, the Partnershipenters into contracts and agreements that contain a variety of representationsand warranties and which provide general indemnifications.  The Partnership’s maximum exposure underthese arrangements is unknown, as this would involve future claims that may bemade against the Partnership that have not yet occurred.  The Partnership expects the risk of anyfuture obligation under these indemnifications to be remote.

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2.     CONDENSED SCHEDULE OF INVESTMENTS

The Partnership’s investments, defined as Netunrealized profit on open contracts on the Statements of Financial Condition,as of December 31, 2006 and 2005, are as follows:
| **2006**                    | ** ** | **Long Positions** | ** ** | **Short Positions** | ** ** | **Net Unrealized**    | ** ** | ** **         | ** ** | ** **             | ** ** |
|-----------------------------|------------|-------------------------|------------|--------------------------|------------|----------------------------|------------|--------------------|------------|------------------------|------------|
| **Commodity Industry** | ** ** | **Number of**      | ** ** | **Unrealized**           | ** ** | **Percent of**        | ** ** | **Number of** | ** ** | **Unrealized**         | ** ** | **Percent of** | ** ** | **Profit (Loss)** | ** ** | **Percent of** | ** ** | ** ** | ** ** |
| **Sector**                  | ** ** | **Contracts**           | ** ** | **Profit (Loss)**   | ** ** | **Partners' Capital** | ** ** | **Contracts**      | ** ** | **Profit (Loss)** | ** ** | **Partners' Capital** | ** ** | **on Open Positions** | ** ** | **Partners' Capital** | ** ** | **Maturity Dates** | ** ** |
|                        |       |                    |       |                     |       |                       |       |               |       |                   |       |   |   |   |   |   |   |   |   |
| Agriculture                 |       | 205                     |       | $                        | 84,250     |                       | 0.03       | %                  | (814       | )                      | $          | 857,774 |   | 0.26 | % | $ | 942,024 |   | 0.29 | % | March  07 |   |
| Currencies                  |       | 591,340                 |       | (22,922                  | )          | -0.01                      | %          | (25,437,500        | )          | 3,147,050              |       | 0.96 | % | 3,124,128 |   | 0.96 | % | March  07 |   |
| Interest rates              |       | 1,211                   |       | (829,692                 | )          | -0.25                      | %          | (5,404             | )          | 1,287,205              |       | 0.40 | % | 457,513 |   | 0.14 | % | Feburary  07 - December 07 |   |
| Energy                      |       | 88                      |       | (203,305                 | )          | -0.06                      | %          | (1,000             | )          | 613,820                |       | 0.19 | % | 410,515 |   | 0.13 | % | Feburary  07 - June 07 |   |
| Metals                      |       | 506                     |       | 1,539,090                |       | 0.47                       | %          | (223               | )          | 71,455                 |       | 0.02 | % | 1,610,545 |   | 0.49 | % | January  07 - March 07 |   |
| Stock indices               |       | 2,928                   |       | 2,477,575                |       | 0.76                       | %          | —             |       | —                 |       | 0.00 | % | 2,477,575 |   | 0.76 | % | March  07 |   |
|                        |       |                    |       |                     |       |                       |       |               |       |                   |       |   |   |   |   |   |   |   |   |
| Total                       |       |                    |       | $                        | 3,044,996  |                       | 0.94       | %                  |       |                   | $          | 5,977,305 |   | 1.83 | % | $ | 9,022,301 |   | 2.77 | % |   |   |

 
| **2005**                    | ** ** | **Long Positions** | ** ** | **Short Positions** | ** ** | **Net Unrealized**    | ** ** | ** **         | ** ** | ** **             | ** ** |
|-----------------------------|------------|-------------------------|------------|--------------------------|------------|----------------------------|------------|--------------------|------------|------------------------|------------|
| **Commodity Industry** | ** ** | **Number of**      | ** ** | **Unrealized**           | ** ** | **Percent of**        | ** ** | **Number of** | ** ** | **Unrealized**         | ** ** | **Percent of** | ** ** | **Profit (Loss)** | ** ** | **Percent of** | ** ** | ** ** | ** ** |
| **Sector**                  | ** ** | **Contracts**           | ** ** | **Profit (Loss)**   | ** ** | **Partners' Capital** | ** ** | **Contracts**      | ** ** | **Profit (Loss)** | ** ** | **Partners’ Capital** | ** ** | **on Open Positions** | ** ** | **Partners' Capital** | ** ** | **Maturity Dates** | ** ** |
| Agriculture                 |       | 1,712                   |       | $                        | 5,684,493  |                       | 1.43       | %                  | —     |                   | $          | — |   | — |   | $ | 5,684,493 |   | 1.43 | % | March  06 |   |
| Currencies                  |       | 10,306,813              |       | (5,811,555               | )          | -1.46                      | %          | (22,870,518        | )          | 7,441,896              |       | 1.88 | % | 1,630,341 |   | 0.42 | % | March  06 |   |
| Interest rates              |       | 1,181                   |       | 62,354                   |       | 0.02                       | %          | (11,316            | )          | 1,024,272              |       | 0.26 | % | 1,086,626 |   | 0.27 | % | March  06 - March 07 |   |
| Metals                      |       | 2,011                   |       | 9,050,135                |       | 2.28                       | %          | (711               | )          | (2,803,692             | )          | -0.71 | % | 6,246,443 |   | 1.57 | % | January  06 - March 06 |   |
| Stock indices               |       | 918                     |       | (148,543                 | )          | -0.04                      | %          | —             |       | —                 |       | — |   | (148,543 | ) | -0.04 | % | March  06 |   |
|                        |       |                    |       |                     |       |                       |       |               |       |                   |       |   |   |   |   |   |   |   |   |
| Total                       |       |                    |       | $                        | 8,836,884  |                       | 2.23       | %                  |       |                   | $          | 5,662,476 |   | 1.43 | % | $ | 14,499,360 |   | 3.65 | % |   |   |

 

No individualcontract’s unrealized profit or loss comprised greater than 5% of the Partners’Capital as of December 31, 2006 or 2005.

9

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3.       RELATED PARTY TRANSACTIONS

The Partnership’s U.S. dollar assets are maintained atMLPF&S. On assets held in U.S. dollars, Merrill Lynch credits thePartnership with interest at the prevailing 91-day U.S. Treasury billrate.  The Partnership is credited withinterest on any of its assets and net gains actually held by MLPF&S innon-U.S. dollar currencies at a prevailing local rate received by MerrillLynch.  Merrill Lynch may derive certaineconomic benefit, in excess of the interest, which Merrill Lynch pays to thePartnership, from possession of such assets.

Merrill Lynch charges the Partnership, at prevailinglocal interest rates, for financing realized and unrealized losses on thePartnership’s non-U.S. dollar-denominated positions.  Such amounts are netted against interestincome due to the insignificance of such amounts.

The Partnershippays brokerage commissions to MLPF&S at a flat monthly rate equal to .458of 1% (a 5.50% annual rate) of the Partnership’s month-end trading assets. ThePartnership pays administrative fees to MLAI at a flat monthly rate equal to..021 of 1% (a 0.25% annual rate) of the Partnership’s month-end trading assets.The Partnership reimburses MLAI for payment of the actual State of New Jerseyannual filing fee assessed on a per partner basis with a maximum of $250,000per year which is paid on its behalf. Month-end trading assets are not reduced,for purposes of calculating brokerage commissions and administrative fees, byany accrued brokerage commissions, administrative fees, Profit Shares or otherfees or charges.

MLAI estimates that the round-turn equivalentcommission rate charged to the Partnership during the years ended December 31,2006, 2005 and 2004 was approximately $591, $370 and $318, respectively (notincluding, in calculating round-turn equivalents, forward contracts on afutures-equivalent basis).

MLPF&S paysSunrise a monthly consulting fee of .083 of 1% (a 1% annual rate) of themonth-end trading assets, after reduction for a portion of the brokeragecommissions.

4.               ADVISORYAGREEMENT

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

Profit Shares equal to23% of any New Trading Profit, as defined, as of the end of each calendar yearare paid to Sunrise.  Profit Shares arealso paid out in respect of Units redeemed (to the extent they exceed thenumber of Units purchased) as of the end of interim months during a calendaryear, to the extent of the applicable percentage of any New Trading Profitattributable to such Units.

5.     WEIGHTEDAVERAGE UNITS

The weighted average number of Units outstanding iscomputed for purposes of calculating net income (loss) per weighted averageUnit.  The weighted average number ofUnits outstanding for the years ended December 31, 2006, 2005 and 2004equaled the Units outstanding as of such date, adjusted proportionately forUnits sold or redeemed based on the respective length of time each wasoutstanding during such year.

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6.     RECENTACCOUNTING PRONOUNCEMENTS

In July 2006, the Financial Accounting StandardsBoard (“FASB”) issued Interpretation No. 48 (“FIN 48”) Accounting forUncertainty in Income Taxes — an interpretation of FASB Statement No. 109. FIN48 prescribes the minimum recognition threshold a tax position must meet inconnection with accounting for uncertainties in income tax positions taken orexpected to be taken by an entity before being measured and recognized in thefinancial statements. Adoption of FIN 48 is required for fiscal years beginningafter December 15, 2006. The impact on the Partnership financial statements, ifany, is currently being assessed.

In September 2006, the Securities ExchangeCommission (“SEC”) staff also issued Staff Accounting Bulletin No. 108,**Consideringthe Effects of Prior Year Misstatements when Quantifying Misstatements**in Current Year Financial Statements(“SAB 108”). While not an official rule or interpretation of the SEC, SAB 108was issued to address the diversity in practice in quantifying misstatementsfrom prior years and assessing their effect on current year financialstatements. SAB 108 is effective for the first annual period ending afterNovember 15, 2006, with early application encouraged. The Partnership has assessedthe impact of SAB 108 on its financial statements and does not expect theimpact of adoption to be material to its financial statements.

In September 2006, the FASB issued Statement ofFinancial Accounting Standards No. 157, Fair Value Measurements (“FAS 157”). FAS 157 establishes a common definition for fair value under accountingprinciples generally accepted in the United States of America, establishes aframework for measuring fair value and expands disclosure requirements aboutsuch fair value measurements.  FAS 157 is effective for fiscal yearsbeginning after November 15, 2007.  The Partnership is currentlyevaluating the impact of adopting FAS 157 on its financial statements.

7.     MARKET ANDCREDIT RISKS

The nature of this Partnership has certain risks,which cannot all be presented on the financial statements.  The following summarizes some of those risks.

Market Risk

Derivative instruments involve varying degrees ofmarket risk.  Changes in the level orvolatility of interest rates, foreign currency exchange rates or the marketvalues of the financial instruments or commodities underlying such derivativeinstruments frequently result in changes in the Partnership’s net unrealizedprofit (loss) on such derivative instruments as reflected in the Statements ofFinancial Condition.  The Partnership’sexposure to market risk is influenced by a number of factors, including therelationships among the derivative instruments held by the Partnership as wellas the volatility and liquidity of the markets in which the derivativeinstruments are traded.  Investments inforeign markets may also entail legal and political risks.

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

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Credit Risk

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

The credit riskassociated with these instruments from counterparty nonperformance is the netunrealized profit on open contracts, if any, included in the Statements ofFinancial Condition.  The Partnershipattempts to mitigate this risk by dealing exclusively with Merrill Lynchentities as clearing brokers.

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

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*     *    *     *     *    *     *     *    *     *      *

To the best of theknowledge and belief of the

undersigned, theinformation contained in this

reportis accurate and complete.

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

 

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