**Exhibit 13.01(a)**

 
|   | ***ML MILLBURN GLOBAL L.L.C.***               |
|--------|-----------------------------------------------|
|   | ***(A Delaware Limited Liability  Company)*** |
|   |                                          |
|   | Financial Statements for the years ended      |
|   | December 31, 2005 and 2004 and Independent    |
|   | Auditors’ Report                         |

 

 

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ML MILLBURN GLOBAL L.L.C.

(A Delaware LimitedLiability Company)

 

TABLE OF CONTENTS

 
| ** **                                                            | **Page** |
|-----------------------------------------------------------------------|----------|
|                                                                  |     |
| INDEPENDENT AUDITORS’  REPORT                                    | 1        |
|                                                                  |     |
| FINANCIAL STATEMENTS  FOR THE YEARS ENDED DECEMBER 31, 2005 AND 2004: |     |
|                                                                  |     |
| Statements  of Financial Condition                                    | 2        |
|                                                                  |     |
| Statements  of Operations                                             | 3        |
|                                                                  |     |
| Statements  of Changes in Member’s Capital                       | 4        |
|                                                                  |     |
| Notes  to Financial Statements                                        | 5-10     |

 

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INDEPENDENT AUDITORS’REPORT

 

 

To the Member of

   ML Millburn Global L.L.C.:

 

We have audited theaccompanying statements of financial condition of ML Millburn Global L.L.C. (the“Company”) as of December 31, 2005 and 2004, and the related statements of operationsand changes in member’s capital for the years then ended. These financialstatements are the responsibility of the Company’s management. Ourresponsibility is to express an opinion on these financial statements based onour audits.

 

We conducted our auditsin accordance with auditing standards as established by the Auditing StandardsBoard (United States) and in accordance with the auditing standards of thePublic Company Accounting Oversight Board (United States). Those standardsrequire that we plan and perform the audit to obtain reasonable assurance aboutwhether the financial statements are free of material misstatement. The Companyis not required to have, nor were we engaged to perform, an audit of itsinternal control over financial reporting. Our audits included consideration ofinternal control over financial reporting as a basis for designing auditprocedures that are appropriate in the circumstances, but not for the purposeof expressing an opinion on the effectiveness of the Company’s internal controlover financial reporting. Accordingly, we express no such opinion. An auditalso includes examining, on a test basis, evidence supporting the amounts anddisclosures in the financial statements, assessing the accounting principlesused and significant estimates made by management, as well as evaluating theoverall financial statement presentation. We believe that our audits provide areasonable basis for our opinion.

 

In our opinion, such financialstatements present fairly, in all material respects, the financial position ofML Millburn Global L.L.C. as of December 31, 2005 and 2004, and the results ofits operations and changes in its member’s capital for the years then ended inconformity with accounting principles generally accepted in the United Statesof America.

 

 

/s/ Deloitte & ToucheLLP

 

New York, New York

March 30, 2006

 

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ML MILLBURN GLOBAL L.L.C.

(A Delaware LimitedLiability Company)

 

STATEMENTS OF FINANCIALCONDITION

DECEMBER 31, 2005 AND 2004

 
| ** **                                       | ** ** | **2005**   | ** ** | **2004**   | ** ** |
|--------------------------------------------------|------------|------------|------------|------------|------------|
| **ASSETS:**                                      |       |       |       |       |       |
| Equity in  commodity futures trading accounts:   |       |       |       |       |       |
| Cash                                             |       | $          | 11,425,020 |       | $          | 12,848,919 |   |
| Net unrealized  profit (loss) on open contracts  |       | (126,382   | )          | 278,141    |       |
| Due from Member                                  |       | 114,376    |       | 773,769    |       |
| Accrued interest                                 |       | 35,386     |       | 22,899     |       |
|                                             |       |       |       |       |       |
| **TOTAL  ASSETS**                                |       | $          | 11,448,400 |       | $          | 13,923,728 |   |
|                                             |       |       |       |       |       |
| **LIABILITIES  AND MEMBER’S CAPITAL**       |       |       |       |       |       |
|                                             |       |       |       |       |       |
| **LIABILITIES:**                                 |       |       |       |       |       |
| Brokerage  commissions payable                   |       | $          | 80,264     |       | $          | 103,475 |   |
| Administrative  fees payable                     |       | 2,361      |       | 2,737      |       |
|                                             |       |       |       |       |       |
| Total  liabilities                               |       | 82,625     |       | 106,212    |       |
|                                             |       |       |       |       |       |
| **MEMBER’S  CAPITAL:**                      |       |       |       |       |       |
| Voting Member                                    |       | 11,365,775 |       | 13,817,516 |       |
|                                             |       |       |       |       |       |
| Total Member’s  capital                     |       | 11,365,775 |       | 13,817,516 |       |
|                                             |       |       |       |       |       |
| **TOTAL  LIABILITIES AND MEMBER’S CAPITAL** |       | $          | 11,448,400 |       | $          | 13,923,728 |   |

 

See notes to financial statements.

 

2

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ML MILLBURN GLOBAL L.L.C.

(A Delaware LimitedLiability Company)

 

STATEMENTS OF OPERATIONS

FOR THE YEARS ENDEDDECEMBER 31, 2005 AND 2004

 
| ** **                       | ** ** | **2005**  | ** ** | **2004**  | ** ** |
|----------------------------------|------------|-----------|------------|-----------|------------|
| **TRADING  PROFITS (LOSSES):**   |       |      |       |      |       |
|                             |       |      |       |      |       |
| Realized                         |       | $         | 1,522,114  |      | $          | 321,008 |   |
| Change in  unrealized            |       | (404,538  | )          | (627,730  | )          |
|                             |       |      |       |      |       |
| Total trading  profits (losses): |       | 1,117,576 |       | (306,722  | )          |
|                             |       |      |       |      |       |
| **INVESTMENT  INCOME:**          |       |      |       |      |       |
|                             |       |      |       |      |       |
| Interest                         |       | 379,617   |       | 180,133   |       |
|                             |       |      |       |      |       |
| **EXPENSES:**                    |       |      |       |      |       |
|                             |       |      |       |      |       |
| Brokerage  commissions           |       | 1,026,563 |       | 1,137,319 |       |
| Profit Shares                    |       | —    |       | 5,427     |       |
| Administrative  fees             |       | 30,193    |       | 33,451    |       |
|                             |       |      |       |      |       |
| Total expenses                   |       | 1,056,756 |       | 1,176,197 |       |
|                             |       |      |       |      |       |
| **NET  INVESTMENT LOSS**         |       | (677,139  | )          | (996,064  | )          |
|                             |       |      |       |      |       |
| **NET  INCOME(LOSS)**            |       | $         | 440,437    |      | $          | (1,302,786 | ) |

 

See notes to financial statements.

 

3

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ML MILLBURN GLOBAL L.L.C.

(A Delaware LimitedLiability Company)

 

STATEMENTS OF CHANGES INMEMBER’S CAPITAL

FOR THE YEARS ENDEDDECEMBER 31, 2005 AND 2004

 
| ** **                                | ** ** | **Voting Member** | ** ** |
|-------------------------------------------|------------|-------------------|------------|
|                                      |       |              |       |
| MEMBER’S  CAPITAL, DECEMBER 31, 2003 |       | $                 | 15,988,419 |   |
|                                      |       |              |       |
| Net loss                                  |       | (1,302,786        | )          |
|                                      |       |              |       |
| Withdrawals                               |       | (1,770,347        | )          |
|                                      |       |              |       |
| Additions                                 |       | 902,230           |       |
|                                      |       |              |       |
| MEMBER’S  CAPITAL, DECEMBER 31, 2004 |       | 13,817,516        |       |
|                                      |       |              |       |
| Net Income                                |       | 440,437           |       |
|                                      |       |              |       |
| Withdrawals                               |       | (2,892,178        | )          |
|                                      |       |              |       |
| MEMBER’S  CAPITAL, DECEMBER 31, 2005 |       | $                 | 11,365,775 |   |

 

See notes to financial statements.

 

4

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ML MILLBURN GLOBAL L.L.C.

(A Delaware LimitedLiability Company)

 

NOTES TO FINANCIALSTATEMENTS

 

1.               SUMMARY OFSIGNIFICANT ACCOUNTING POLICIES

 

Organization

 

ML Millburn Global L.L.C.(the “Company”) was organized under the Delaware Limited Liability Company Acton November 22, 1996 and commenced trading activities on December 2, 1996. TheCompany engages in the speculative trading of futures, options on futures andforward contracts on a wide range of commodities. Millburn RidgefieldCorporation (“Millburn”) is the trading advisor to the Company. Merrill LynchAlternative Investments LLC (“MLAI”), a wholly-owned subsidiary of MerrillLynch Investment Managers L.P. (“MLIM”) which in turn, is an indirectwholly-owned subsidiary of Merrill Lynch & Co., Inc. (“Merrill Lynch”), hasbeen delegated administrative authority of the Company. Merrill Lynch, PierceFenner & Smith Incorporated (“MLPF&S”), a wholly-owned subsidiary ofMerrill Lynch, is the Company’s commodity broker.

 

The Company hasauthorized two classes of Membership Interests: Non-Voting Interests and VotingInterests (collectively, “Interests”). These two classes of Interests havecommon economic interests in the Company. The Non-Voting Interests, which mayonly be held by non-United States investment funds sponsored by MLAI, would notparticipate in the management of the Company, or engage, directly or indirectlyin, participate in or control any portion of the business activities or affairsof the Company. Currently, there are no Non-Voting Members. Management of theCompany is vested solely in the Voting Interests, which may only be held byUnited States limited partnerships. Currently, there is only one Voting Memberof the Company (the “Member”). The Member controls all business activities andaffairs of the Company, subject to the trading authority vested in anddelegated to Millburn and the administrative authority vested in and delegatedto MLAI. The Member is a “commodity pool” sponsored and managed by MLAI.

 

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 as well as the reported amounts of revenues and expenses during thereporting period. Actual results could differ 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 (loss) 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 changein net unrealized profit (loss) on open contracts from one period to the nextis reflected in Change in unrealized in the Statements of Operations.

 

5

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Foreign CurrencyTransactions

 

The Company’s functional currency is the U.S. dollar;however, it transacts business in currencies other than the U.S. dollar. Assetsand liabilities denominated in currencies other than the U.S. dollar aretranslated into U.S. dollars at the rates in effect at the dates of theStatements of Financial Condition. Income and expense items denominated incurrencies other than the U.S. dollar are translated into U.S. dollars at therates in effect during the period. Gains and losses resulting from thetranslation to U.S. dollars are reported in Realized in the Statement ofOperations.

 

Cash at Broker

 

A portion of the assetsmaintained at MLPF&S is restricted cash required to meet maintenance marginrequirements. Typically margin requirements range from 1 to 10% of the facevalue of the derivatives traded.

 

Due to / Due fromMember

 

The Member reallocates its assets for trading betweenthe Company and another similar company. This reallocation generally occurs ona quarterly basis and is recorded as Due to / Due from Member until the cash isreceived.

 

Operating Expenses

 

MLAI pays for alloperating costs (including all legal, accounting, printing, postage and similaradministrative expenses) of the Company.

 

Income Taxes

 

No provision for incometaxes has been made in the accompanying financial statements as the Member isindividually responsible for reporting income or loss based on such Member’srespective share of the Company’s income and expenses as reported for incometax purposes.

 

Distributions

 

The Company has made nodistributions for the years ended December 31, 2005 or 2004.

 

Withdrawals

 

The Member may withdrawsome or all of its capital at Net Asset Value as of the close of business onany business day. There are no withdrawal fees or charges.

 

Dissolution

 

The Company willterminate on December 31, 2046 or at an earlier date if certain conditionsoccur, as well as under certain other circumstances as set forth in theOrganization Agreement.

 

6

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Indemnifications

 

In the normal course ofbusiness, the Company enters into contracts and agreements that contain avariety of representations and warranties and which provide general indemnifications.The Company’s maximum exposure under these arrangements is unknown, as thiswould involve future claims that may be made against the Company that have notyet occurred. The Company expects the risk of any future obligation under theseindemnifications to be remote.

 

7

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2.               CONDENSED SCHEDULESOF INVESTMENTS

 

The Company’s investments, defined as Net unrealizedprofit (loss) on open contracts on the Statements of Financial Condition, as ofDecember 31, 2005 and 2004 are as follows:

 

2005

 
| ** **          | ** ** | **Long  Positions** | ** ** | **Short  Positions** | ** ** | ** **      | ** ** | ** **     | ** ** | ** **         | ** ** |
|---------------------|------------|---------------------|------------|----------------------|------------|-----------------|------------|----------------|------------|--------------------|------------|
| ** **          | ** ** | ** **          | ** ** | ** **           | ** ** | ** **      | ** ** | ** **     | ** ** | ** **         | ** ** | ** ** | ** ** | **Net  Unrealized** | ** ** | ** ** | ** ** | ** ** | ** ** |
| **Commodity**       | ** ** | **Number  of**      | ** ** | **Unrealized**       | ** ** | **Percent  of** | ** ** | **Number  of** | ** ** | **Unrealized**     | ** ** | **Percent  of** | ** ** | **Profit  (Loss) on** | ** ** | **Percent  of** | ** ** | ** ** | ** ** |
| **Industry Sector** | ** ** | **Contracts**       | ** ** | **Profit  (Loss)**   | ** ** | **Net  Assets** | ** ** | **Contracts**  | ** ** | **Profit  (Loss)** | ** ** | **Net  Assets** | ** ** | **Open  Positions** | ** ** | **Net  Assets** | ** ** | **Maturity  Dates** | ** ** |
|                |       |                |       |                 |       |            |       |           |       |               |       |   |   |   |   |   |   |   |   |
| Currencies          |       | 1,237,592           |       | $                    | (154,261   | )               | -1.36      | %              | (2,425,468 | )                  | $          | (232,518 | ) | -2.05 | % | $ | (386,779 | ) | -3.41 | % | March 06 |   |
| Interest rates      |       | 73                  |       | 25,459               |       | 0.22            | %          | (277           | )          | 43,861             |       | 0.39 | % | 69,320 |   | 0.61 | % | March 06 - September 06 |   |
| Metals              |       | 71                  |       | 124,302              |       | 1.09            | %          | (5             | )          | 3,820              |       | 0.03 | % | 128,122 |   | 1.12 | % | February 06 - October 06 |   |
| Stock indices       |       | 189                 |       | 62,955               |       | 0.55            | %          | —         |       | —             |       | 0.00 | % | 62,955 |   | 0.55 | % | January 06 - March 06 |   |
|                |       |                |       |                 |       |            |       |           |       |               |       |   |   |   |   |   |   |   |   |
| Total               |       |                |       | $                    | 58,455     |            | 0.50       | %              |       |               | $          | (184,837 | ) | -1.63 | % | $ | (126,382 | ) | -1.13 | % |   |   |

 

2004

 
| ** **          | ** ** | **Long  Positions** | ** ** | **Short  Positions** | ** ** | ** **      | ** ** | ** **     | ** ** | ** **         | ** ** |
|---------------------|------------|---------------------|------------|----------------------|------------|-----------------|------------|----------------|------------|--------------------|------------|
| ** **          | ** ** | ** **          | ** ** | ** **           | ** ** | ** **      | ** ** | ** **     | ** ** | ** **         | ** ** | ** ** | ** ** | **Net  Unrealized** | ** ** | ** ** | ** ** | ** ** | ** ** |
| **Commodity**       | ** ** | **Number  of**      | ** ** | **Unrealized**       | ** ** | **Percent  of** | ** ** | **Number  of** | ** ** | **Unrealized**     | ** ** | **Percent  of** | ** ** | **Profit  (Loss on)** | ** ** | **Percent  of** | ** ** | ** ** | ** ** |
| **Industry Sector** | ** ** | **Contracts**       | ** ** | **Profit  (Loss)**   | ** ** | **Net  Assets** | ** ** | **Contracts**  | ** ** | **Profit  (Loss)** | ** ** | **Net  Assets** | ** ** | **Open  Positions** | ** ** | **Net  Assets** | ** ** | **Maturity  Dates** | ** ** |
|                |       |                |       |                 |       |            |       |           |       |               |       |   |   |   |   |   |   |   |   |
| Currencies          |       | 5,631,733           |       | $                    | 611,652    |            | 4.43       | %              | (2,670,197 | )                  | $          | (457,560 | ) | -3.31 | % | $ | 154,092 |   | 1.12 | % | March 05 |   |
| Interest rates      |       | 201                 |       | (4,731               | )          | -0.03           | %          | (147           | )          | 3,971              |       | 0.03 | % | (760 | ) | 0.00 | % | March 05 - December 05 |   |
| Metals              |       | 66                  |       | 1,410                |       | 0.00            | %          | (6             | )          | 6,128              |       | 0.04 | % | 7,538 |   | 0.04 | % | February 05 - December 05 |   |
| Stock indices       |       | 172                 |       | 117,271              |       | 0.85            | %          | —         |       | —             |       | 0.00 | % | 117,271 |   | 0.85 | % | January 05 - March 05 |   |
|                |       |                |       |                 |       |            |       |           |       |               |       |   |   |   |   |   |   |   |   |
| Total               |       |                |       | $                    | 725,602    |            | 5.25       | %              |       |               | $          | (447,461 | ) | -3.24 | % | $ | 278,141 |   | 2.01 | % |   |   |

 

Noindividual contract’s unrealized gain or loss comprised greater than 5% of the Member’sCapital as of December 31, 2005 or 2004.

 

8

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3.               FINANCIAL DATAHIGHLIGHTS

 

The following ratios havebeen derived from information provided in the financial statements for the yearended December 31, 2005.

 
| **Total Return:**                            |   |   |   |
|----------------------------------------------|--------|--------|--------|
|                                         |   |   |   |
| Total return                                 |   | 4.84   | %      |
|                                         |   |   |   |
| **Ratios to Average Member’s Capital:** |   |   |   |
|                                         |   |   |   |
| Expenses                                     |   | 8.87   | %      |
|                                         |   |   |   |
| Net investment loss                          |   | -5.69  | %      |

 

4.               RELATED PARTYTRANSACTIONS

 

The Company’s U.S. dollarassets are maintained at MLPF&S. On assets held in U.S. dollars, MerrillLynch credits the Company with interest at the prevailing 91-day U.S. Treasurybill rate. The Company is credited with interest on any of its assets and netgains actually held by MLPF&S in non-U.S. dollar currencies at a prevailinglocal rate received by Merrill Lynch. Merrill Lynch may derive certain economicbenefit, in excess of the interest that Merrill Lynch pays to the Company, frompossession of such assets.

 

Merrill Lynch charges theCompany Merrill Lynch’s cost of financing realized and unrealized losses on theCompany’s non-U.S. dollar-denominated positions. Such amounts are nettedagainst interest income due to the insignificance of such amounts.

 

Following the allocationof the Company’s trading profit (loss) and interest income to the Member’scapital account, MLAI calculates the brokerage commissions, administrativefees, Profit Shares and other expenses due from the Company to third parties. Suchcommissions, fees and expenses are specifically calculated for the Member as ofthe end of each accounting period and deducted from the Member’s capitalaccount and paid out by the Company. The Company currently pays brokeragecommissions to MLPF&S at flat monthly rate of .708 of 1% (a 8.50% annualrate) of the Member’s month-end trading assets, reflecting the fee arrangementbetween the Member and MLPF&S.

 

The Company paysMLPF&S a monthly administrative fee of .021 of 1% (a .25% annual rate) ofthe Member’s month-end trading assets. Month-end trading assets are not reducedfor purposes of calculating brokerage commissions and administrative fees byany accrued brokerage commissions, administrative fees, Profit Shares or otherfees or charges.

 

MLPF&S pays Millburnan annual consulting fee of 2% of the Company’s average month-end tradingassets, after reduction for a portion of brokerage commissions.

 

9

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5.               ADVISORY AGREEMENT

 

The Advisory Agreementbetween the Company and Millburn has remained essentially unchanged since theinception of the Company. This Agreement is in effect for successive one-yearterms, but, in fact, given the single advisor structure of the Company, theCompany would terminate were Millburn to withdraw. Millburn determines thecommodity futures, options on futures and forward contract trades to be made onbehalf of the Company, subject to certain rights reserved by MLAI.

 

The Company pays toMillburn an annual Profit Share equal to 20% of any New Trading Profit, asdefined, attributable to the Member’s respective capital accounts. ProfitShares are calculated separately in respect of the Member’s respective capitalaccounts. Profit Shares are also paid to Millburn upon the withdrawal of capitalfrom the Company by the Member.

 

6.               FAIR VALUE ANDOFF-BALANCE SHEET RISK

 

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

 

Market Risk

 

Derivative instrumentsinvolve varying degrees of off-balance sheet market risk, and changes in thelevel or volatility of interest rates, foreign currency exchange rates or themarket values of the underlying financial instruments or commodities underlyingsuch derivative instruments frequently result in changes in the Company’s netunrealized profit on such derivative instruments as reflected in the Statementsof Financial Condition. The Company’s exposure to market risk is influenced bya number of factors, including the relationships among the derivativeinstruments held by the Company as well as the volatility and liquidity in themarkets in which such derivative instruments are traded.

 

MLAI has procedures inplace intended to control market risk exposure, although there can be noassurance that they will, in fact, succeed in doing so. These procedures focusprimarily on monitoring the trading of Millburn, calculating the Member’scapital account as of the close of business each day and reviewing outstandingpositions for over-concentrations. While MLAI does not itself intervene in themarkets to hedge or diversify the Company’s market exposure, MLAI may consultwith Millburn concerning the possibility of Millburn reducing trading leverageor market concentrations. However, such interventions are unusual. Except incases in which it appears that Millburn has begun to deviate from past practiceand trading policies or to be trading erratically, MLAI’s basic risk controlprocedures consist simply of the ongoing process of advisor monitoring with themarket risk controls being applied by Millburn.

 

10

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Credit Risk

 

The risks associated withexchange-traded contracts are typically perceived to be less than thoseassociated with over-the-counter (non-exchange-traded) transactions, becauseexchanges typically (but not universally) provide clearinghouse arrangements inwhich the collective credit (in some cases limited in amount, in some casesnot) of the members of the exchange is pledged to support the financialintegrity of the exchange. In over-the-counter transactions, on the other hand,traders must rely solely on the credit of their respective individualcounterparties. Margins, which may be subject to loss in the event of adefault, are generally required in exchange trading, and counterparties mayrequire margin in the over-the-counter markets.

 

The credit risk associated with these instruments fromcounterparty nonperformance is the net unrealized profit, if any, included inthe Statements of Financial Condition.    TheCompany attempts to mitigate this risk by dealing exclusively with MerrillLynch entities as clearing brokers.

 

The Company, in itsnormal course of business, enters into various contracts, with MLPF&S actingas its commodity broker. Pursuant to the brokerage agreement with MLPF&S(which includes a netting arrangement), to the extent that such trading resultsin receivables from and payables to MLPF&S, these receivables and payablesare offset and reported as a net receivable or payable and included in Netunrealized profit (loss) on open contracts on the Statements of FinancialCondition.

 

 

*     *    *     *     *    *     *     *    *     *

 

To the best of theknowledge and belief of the undersigned, the information containedin this report is accurate and complete.

 

 

Michael Pungello

Chief FinancialOfficer

Merrill LynchAlternative Investments LLC

Commodity PoolOperator of

ML Millburn GlobalL.L.C.

 

11

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| *** *** | ***ML JWH FINANCIAL AND***                   |
|--------------|----------------------------------------------|
|         | ***METALS PORTFOLIO L.L.C.***                |
|         | **(A Delaware Limited Liability Company*)*** |
|         |                                         |
|         | Financial Statements for the years ended     |
|         | December 31, 2005 and 2004 and Independent   |
|         | Auditors’ Report                        |

 

 

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ML JWH FINANCIAL ANDMETALS PORTFOLIO L.L.C.

(A Delaware LimitedLiability Company)

 

TABLE OF CONTENTS

 
| ** **                                                            | **Page** |
|-----------------------------------------------------------------------|----------|
|                                                                  |     |
| INDEPENDENT AUDITORS’  REPORT                                    | 1        |
|                                                                  |     |
| FINANCIAL STATEMENTS  FOR THE YEARS ENDED DECEMBER 31, 2005 AND 2004: |     |
|                                                                  |     |
| Statements  of Financial Condition                                    | 2        |
|                                                                  |     |
| Statements  of Operations                                             | 3        |
|                                                                  |     |
| Statements  of Changes in Member’s Capital                       | 4        |
|                                                                  |     |
| Notes  to Financial Statements                                        | 5-10     |

 

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INDEPENDENT AUDITORS’REPORT

 

 

To the Member of

   ML JWH Financial and Metals PortfolioL.L.C.:

 

We have audited theaccompanying statements of financial condition of ML JWH Financial and MetalsPortfolio L.L.C. (the “Company”) as of December 31, 2005 and 2004, and therelated statements of operations and changes in member’s capital for the yearsthen ended. These financial statements are the responsibility of the Company’smanagement. Our responsibility is to express an opinion on these financialstatements based on our audits.

 

We conducted our auditsin accordance with auditing standards as established by the Auditing StandardsBoard (United States) and in accordance with the auditing standards of thePublic Company Accouitng Oversight Board (United States). Those standardsrequire that we plan and perform the audit to obtain reasonable assurance aboutwhether the financial statements are free of material misstatement. The Companyis not required to have, nor were we engaged to perform, an audit of itsinternal control over financial reporting. Our audits included consideration ofinternal control over financial reporting as a basis for designing auditprocedures that are appropriate in the circumstances, but not for the purposeof expressing an opinion on the effectiveness of the Company’s internal controlover financial reporting. Accordingly, we express no such opinion. An auditalso includes examining, on a test basis, evidence supporting the amounts anddisclosures in the financial statements, assessing the accounting principlesused and significant estimates made by management, as well as evaluating theoverall financial statement presentation. We believe that our audits provide areasonable basis for our opinion.

 

In our opinion, suchfinancial statements present fairly, in all material respects, the financialposition of ML JWH Financial and Metals Portfolio L.L.C. as of December 31, 2005and 2004, and the results of its operations and changes in its member’s capitalfor the years then ended in conformity with accounting principles generallyaccepted in the United States of America.

 

 

/s/ Deloitte & ToucheLLP

 

New York, New York

March 30, 2006

 

----

 

ML JWH FINANCIAL ANDMETALS PORTFOLIO L.L.C.

(A Delaware LimitedLiability Company)

 

STATEMENTS OF FINANCIALCONDITION

DECEMBER 31, 2005 AND 2004

 
| ** **                                     | ** ** | **2005**   | ** ** | **2004**   | ** ** |
|------------------------------------------------|------------|------------|------------|------------|------------|
| **ASSETS:**                                    |       |       |       |       |       |
| Equity in  commodity futures trading accounts: |       |       |       |       |       |
| Cash                                           |       | $          | 11,284,244 |       | $          | 14,132,131 |   |
| Net unrealized  profit on open contracts       |       | 551,157    |       | 1,257,649  |       |
| Accrued interest                               |       | 36,347     |       | 25,078     |       |
|                                           |       |       |       |       |       |
| **TOTAL  ASSETS**                              |       | $          | 11,871,748 |       | $          | 15,414,858 |   |
|                                           |       |       |       |       |       |
| **LIABILITIES  AND MEMBER'S CAPITAL**          |       |       |       |       |       |
|                                           |       |       |       |       |       |
| **LIABILITIES:**                               |       |       |       |       |       |
| Brokerage  commissions payable                 |       | $          | 106,554    |       | $          | 98,699 |   |
| Administrative  fees payable                   |       | 2,469      |       | 3,209      |       |
| Profit Shares  payable                         |       | —     |       | 97,526     |       |
| Due to Member                                  |       | 396,949    |       | 1,397,907  |       |
|                                           |       |       |       |       |       |
| Total  liabilities                             |       | 505,972    |       | 1,597,341  |       |
|                                           |       |       |       |       |       |
| **MEMBER'S  CAPITAL:**                         |       |       |       |       |       |
| Voting Member                                  |       | 11,365,776 |       | 13,817,517 |       |
|                                           |       |       |       |       |       |
| Total Member's  capital                        |       | 11,365,776 |       | 13,817,517 |       |
|                                           |       |       |       |       |       |
| **TOTAL  LIABILITIES AND MEMBER'S CAPITAL**    |       | $          | 11,871,748 |       | $          | 15,414,858 |   |

 

See notes to financial statements.

 

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ML JWH FINANCIAL ANDMETALS PORTFOLIO L.L.C.

(A Delaware Limited Liability Company)

 

STATEMENTS OF OPERATIONS

FOR THE YEARS ENDEDDECEMBER 31, 2005 AND 2004

 
| ** **                      | ** ** | **2005**   | ** ** | **2004**   | ** ** |
|---------------------------------|------------|------------|------------|------------|------------|
| **TRADING  PROFITS (LOSSES):**  |       |       |       |       |       |
| Realized                        |       | $          | (1,025,511 | )          | $          | 1,375,796 |   |
| Change in  unrealized           |       | (706,491   | )          | 345,861    |       |
|                            |       |       |       |       |       |
| Total trading  profits (losses) |       | (1,732,002 | )          | 1,721,657  |       |
|                            |       |       |       |       |       |
| **INVESTMENT  INCOME:**         |       |       |       |       |       |
| Interest income                 |       | 359,324    |       | 187,686    |       |
|                            |       |       |       |       |       |
| **EXPENSES:**                   |       |       |       |       |       |
| Brokerage  commissions          |       | 993,394    |       | 1,172,113  |       |
| Profit Shares                   |       | —     |       | 126,184    |       |
| Administrative  fees            |       | 29,217     |       | 34,474     |       |
|                            |       |       |       |       |       |
| Total expenses                  |       | 1,022,611  |       | 1,332,771  |       |
|                            |       |       |       |       |       |
| **NET  INVESTMENT LOSS**        |       | (663,287   | )          | (1,145,085 | )          |
|                            |       |       |       |       |       |
| **NET  INCOME (LOSS)**          |       | $          | (2,395,289 | )          | $          | 576,572 |   |

 

See notes to financial statements.

 

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ML JWH FINANCIAL ANDMETALS PORTFOLIO L.L.C.

(A Delaware Limited Liability Company)

 

STATEMENTS OF CHANGES INMEMBER’S CAPITAL

FOR THE YEARS ENDEDDECEMBER 31, 2005 AND 2004

 
| ** **                          | ** ** | **Voting Member** | ** ** |
|-------------------------------------|------------|-------------------|------------|
|                                |       |              |       |
| MEMBER'S CAPITAL, DECEMBER 31, 2003 |       | $                 | 15,988,420 |   |
|                                |       |              |       |
| Net income                          |       | 576,572           |       |
|                                |       |              |       |
| Withdrawals                         |       | (2,747,475        | )          |
|                                |       |              |       |
| MEMBER'S CAPITAL, DECEMBER 31, 2004 |       | 13,817,517        |       |
|                                |       |              |       |
| Net loss                            |       | (2,395,289        | )          |
|                                |       |              |       |
| Withdrawals                         |       | (56,452           | )          |
|                                |       |              |       |
| MEMBER'S CAPITAL, DECEMBER 31, 2005 |       | $                 | 11,365,776 |   |

 

See notes to financial statements.

 

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ML JWH FINANCIAL ANDMETALS PORTFOLIO L.L.C.

(A Delaware Limited Liability Company)

 

NOTES TO FINANCIALSTATEMENTS

 

1.               SUMMARY OFSIGNIFICANT ACCOUNTING POLICIES

 

Organization

 

ML JWH Financial andMetals Portfolio L.L.C. (the “Company”) was organized under the DelawareLimited Liability Company Act on September 19, 1996 and commenced tradingactivities on October 1, 1996. The Company engages in the speculativetrading of futures, options on futures and forward contracts on a wide range ofcommodities. John W. Henry & Company, Inc. (“JWH**®**”)is the trading advisor to the Company. Merrill Lynch Alternative InvestmentsLLC (“MLAI”), a wholly-owned subsidiary of Merrill Lynch Investment Managers LP(“MLIM”) which in turn, is an indirect wholly-owned subsidiary of Merrill Lynch& Co., Inc. (“Merrill Lynch”) has been delegated administrative authorityof the Company. Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”),a wholly-owned subsidiary of Merrill Lynch, is the Company’s commodity broker.

 

The Company hasauthorized two classes of Membership Interests: Non-Voting Interests and VotingInterests (collectively, “Interests”). These two classes of Interests havecommon economic interests in the Company, but the Non-Voting Interests, whichmay only be held by non-United States investment funds sponsored by MLAI, wouldnot participate in the management of the Company, or engage in, directly orindirectly, participate in or control any portion of the business activities oraffairs of the Company. Currently, there are no Non-Voting Members. Managementof the Company is vested solely in the Voting Interests, which may only be heldby United States limited partnerships. Currently, there is only one VotingMember of the Company (the “Member”). The Member controls all businessactivities and affairs of the Company subject to the trading authority vestedin and delegated to JWH**®** and theadministrative authority vested in and delegated to MLAI. The Member is a “commoditypool” sponsored and managed by MLAI.

 

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 as well as the reported amounts of revenues and expenses during thereporting period. Actual results could differ 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 (loss) 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 changein unrealized profit on open contracts from one period to the next is reflectedin Change in unrealized in the Statements of Operations.

 

5

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Foreign CurrencyTransactions

 

The Company’s functionalcurrency is the U.S. dollar; however, it transacts business in currencies otherthan the U.S. dollar. Assets and liabilities denominated in currencies otherthan the U.S. dollar are translated into U.S. dollars at the rates in effect atthe dates of the Statements of Financial Condition. Income and expense itemsdenominated in currencies other than the U.S. dollar are translated into U.S.dollars at the rates in effect during the period. Gains and losses resultingfrom the translation to U.S. dollars are reported in Realized in the Statementsof Operations.

 

Cash at Broker

 

A portion of the assetsmaintained at MLPF&S is restricted cash required to meet maintenance marginrequirements. Typically margin requirements range from 1 to 10% of the facevalue of the derivatives traded.

 

Due to / Due fromMember

 

The Member reallocatesits assets for trading between the Company and another similar company. Thisreallocation generally occurs on a quarterly basis and is recorded as Due to /Due from Member until the cash is received. The redemption payable to theMember is also included in this account.

 

Operating Expenses

 

MLAI pays for alloperating costs (including all legal, accounting, printing, postage and similaradministrative expenses) of the Company.

 

Income Taxes 

 

No provision for incometaxes has been made in the accompanying financial statements as the Member isindividually responsible for reporting income or loss based on such Member’srespective share of the Company’s income and expenses as reported for incometax purposes.

 

Distributions

 

The Company has made nodistributions for the years ended December 31, 2005 or 2004.

 

Withdrawals

 

The Member may withdrawsome or all of its capital at the Net Asset Value as of the close of businesson any business day. There are no withdrawal fees or charges.

 

Dissolution 

 

The Company willterminate on September 30, 2046 or at an earlier date if certain conditionsoccur, as well as under certain other circumstances as set forth in theOrganization Agreement.

 

Indemnifications

 

In the normal course ofbusiness, the Company enters into contracts and agreements that contain avariety of representations and warranties and which provide generalindemnifications. The Company’s maximum exposure under these arrangements isunknown, as this would involve future claims that may be made against theCompany that have not yet occurred. The Company expects the risk of any futureobligation under these indemnifications to be remote.

 

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2.               CONDENSED SCHEDULESOF INVESTMENTS

 

The Company’s investments, defined as Net unrealizedprofit (loss) on open contracts on the Statements of Financial Condition, as ofDecember 31, 2005 and 2004 are as follows:

 

2005

 
| ** **          | ** ** | **Long  Positions** | ** ** | **Short  Positions** | ** ** | ** **      | ** ** | ** **     | ** ** | ** **         | ** ** |
|---------------------|------------|---------------------|------------|----------------------|------------|-----------------|------------|----------------|------------|--------------------|------------|
| ** **          | ** ** | ** **          | ** ** | ** **           | ** ** | ** **      | ** ** | ** **     | ** ** | ** **         | ** ** | ** ** | ** ** | **Net  Unrealized** | ** ** | ** ** | ** ** | ** ** | ** ** |
| **Commodity**       | ** ** | **Number  of**      | ** ** | **Unrealized**       | ** ** | **Percent  of** | ** ** | **Number  of** | ** ** | **Unrealized**     | ** ** | **Percent  of** | ** ** | **Profit  (Loss) on** | ** ** | **Percent  of** | ** ** | ** ** | ** ** |
| **Industry Sector** | ** ** | **Contracts**       | ** ** | **Profit  (Loss)**   | ** ** | **Net  Assets** | ** ** | **Contracts**  | ** ** | **Profit  (Loss)** | ** ** | **Net  Assets** | ** ** | **Open  Positions** | ** ** | **Net  Assets** | ** ** | **Maturity  Dates** | ** ** |
|                |       |                |       |                 |       |            |       |           |       |               |       |   |   |   |   |   |   |   |   |
| Currencies          |       | 8,816               |       | $                    | (159,227   | )               | -1.40      | %              | 1,134,542  |               | $          | 246,128 |   | 2.17 | % | $ | 86,901 |   | 0.77 | % | March 06 |   |
| Interest rates      |       | —              |       | —               |       | —          |       | (348           | )          | (53,720            | )          | -0.47 | % | (53,720 | ) | -0.47 | % | March 06 - December 06 |   |
| Metals              |       | 91                  |       | 455,466              |       | 4.01            | %          | (34            | )          | (60,844            | )          | -0.54 | % | 394,622 |   | 3.47 | % | January 06 - February 06 |   |
| Stock indices       |       | 181                 |       | 123,354              |       | 1.09            | %          | —         |       | —             |       | — |   | 123,354 |   | 1.09 | % | March 06 |   |
|                |       |                |       |                 |       |            |       |           |       |               |       |   |   |   |   |   |   |   |   |
| Total               |       |                |       | $                    | 419,593    |            | 3.70       | %              |       |               | $          | 131,564 |   | 1.16 | % | $ | 551,157 |   | 4.86 | % |   |   |

 

2004

 
| ** **          | ** ** | **Long  Positions** | ** ** | **Short  Positions** | ** ** | ** **      | ** ** | ** **     | ** ** | ** **         | ** ** |
|---------------------|------------|---------------------|------------|----------------------|------------|-----------------|------------|----------------|------------|--------------------|------------|
| ** **          | ** ** | ** **          | ** ** | ** **           | ** ** | ** **      | ** ** | ** **     | ** ** | ** **         | ** ** | ** ** | ** ** | **Net  Unrealized** | ** ** | ** ** | ** ** | ** ** | ** ** |
| **Commodity**       | ** ** | **Number  of**      | ** ** | **Unrealized**       | ** ** | **Percent  of** | ** ** | **Number  of** | ** ** | **Unrealized**     | ** ** | **Percent  of** | ** ** | **Profit  (Loss) on** | ** ** | **Percent  of** | ** ** | ** ** | ** ** |
| **Industry Sector** | ** ** | **Contracts**       | ** ** | **Profit  (Loss)**   | ** ** | **Net  Assets** | ** ** | **Contracts**  | ** ** | **Profit  (Loss)** | ** ** | **Net  Assets** | ** ** | **Open  Positions** | ** ** | **Net  Assets** | ** ** | **Maturity  Dates** | ** ** |
|                |       |                |       |                 |       |            |       |           |       |               |       |   |   |   |   |   |   |   |   |
| Currencies          |       | 1,981,921           |       | $                    | 1,365,771  |            | 9.88       | %              | (817,690   | )                  | $          | (222,105 | ) | -1.61 | % | $ | 1,143,666 |   | 8.27 | % | March 05 |   |
| Interest rates      |       | 774                 |       | (68,051              | )          | -0.49           | %          | (144           | )          | (25,200            | )          | -0.18 | % | (93,251 | ) | -0.67 | % | March 05 - December 05 |   |
| Metals              |       | 99                  |       | 205,656              |       | 1.49            | %          | (10            | )          | (72,350            | )          | -0.52 | % | 133,306 |   | 0.97 | % | January 05 - February 05 |   |
| Stock indices       |       | 189                 |       | 73,928               |       | 0.53            | %          | —         |       | —             |       | — |   | 73,928 |   | 0.53 | % | March 05 |   |
|                |       |                |       |                 |       |            |       |           |       |               |       |   |   |   |   |   |   |   |   |
| Total               |       |                |       | $                    | 1,577,304  |            | 11.41      | %              |       |               | $          | (319,655 | ) | -2.31 | % | $ | 1,257,649 |   | 9.10 | % |   |   |

 

No individual contract’s unrealized gain or losscomprised greater than 5% of the Member Capital as of December 31, 2005 or 2004.

 

7

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3.               FINANCIAL DATAHIGHLIGHTS

 

The following ratios havebeen derived from information provided in the financial statements for the yearended December 31, 2005.

 
| **Total  return:**                      |   |   |   |
|-----------------------------------------|--------|--------|--------|
|                                    |   |   |   |
| Total return                            |   | -19.25 | %      |
|                                    |   |   |   |
| **Ratios to Average Member's Capital:** |   |   |   |
| ** **                              |   |   |   |
| Expenses                                |   | 8.69   | %      |
|                                    |   |   |   |
| Net investment loss                     |   | -5.64  | %      |

 

4.               RELATED PARTYTRANSACTIONS

 

The Company’s U.S. dollarassets are maintained at MLPF&S. On assets held in U.S. dollars, MerrillLynch credits the Company with interest at the prevailing 91-day U.S. Treasurybill rate. The Company is credited with interest on any of its assets and netgains actually held by MLPF&S in non-U.S. dollar currencies at a prevailinglocal rate received by Merrill Lynch. Merrill Lynch may derive certain economicbenefit, in excess of the interest that Merrill Lynch pays to the Company, frompossession of such assets.

 

Merrill Lynch charges theCompany Merrill Lynch’s cost of financing realized and unrealized losses on theCompany’s non-U.S. dollar-denominated positions. Such amounts are nettedagainst interest income due to the insignificance of such amounts.

 

Following the allocationof the Company’s trading profit (loss) and interest income among the Member’srespective capital accounts, MLAI calculates the brokerage commissions, ProfitShares, administrative fees and other expenses due from the Company to thirdparties. Such commissions, fees, Profit Shares and expenses are specificallycalculated for the Member as of the end of each accounting period and deductedfrom a Member’s capital account and paid out by the Company. The Companycurrently pays brokerage commissions to MLPF&S at a flat monthly rate of..708 of 1% (an 8.5% annual rate) of the Member’s month-end trading assets reflectingthe fee arrangement between the Member and MLPF&S.

 

The Company paysMLPF&S a monthly administrative fee of .021 of 1% (a .25% annual rate) ofthe Member’s month-end trading assets. Month-end trading assets are not reducedfor purposes of calculating brokerage commissions and administrative fees byany accrued brokerage commissions, administrative fees, Profit Shares or otherfees or charges.

 

MLPF&S pays JWH**®** an annual consulting fee of 2%of the Company’s average month-end trading assets, after reduction for aportion of the brokerage commissions.

 

8

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5.               ADVISORY AGREEMENT

 

The Advisory Agreementbetween the Company and JWH® is in effect for successive one-yearterms, but, in fact, given the single advisor structure of the Company, theCompany would terminate were JWH® to withdraw. JWH®determines the commodity futures, options on futures and forward contracttrades to be made on behalf of the Company, subject to certain Company tradingpolicies and to certain rights reserved by MLAI.

 

The Company pays to JWH®a quarterly Profit Share equal to 20% of any New Trading Profit, as defined,attributable to the Member’s respective capital accounts. Profit Shares arecalculated separately in respect of the Member’s respective capital accounts. ProfitShares are determined as of the end of each calendar quarter and are also paidto JWH® upon the withdrawal of capital from the Company by theMember for whatever purpose, other than to pay expenses.

 

6.               FAIR VALUE ANDOFF-BALANCE SHEET RISK

 

The nature of thisCompany has certain risks, which cannot all be presented on the financialstatements. The following summarizes some of those risks.

 

Market Risk

 

Derivative instrumentsinvolve varying degrees of off-balance sheet market risk, and changes in thelevel or volatility of interest rates, foreign currency exchange rates or themarket values of the underlying financial instruments or commodities underlyingsuch derivative instruments frequently result in changes in the Company’s netunrealized profit on such derivative instruments as reflected in the Statementsof Financial Condition. The Company’s exposure to market risk is influenced bya number of factors, including the relationships among the derivativeinstruments held by the Company as well as the volatility and liquidity in themarkets in which such derivative instruments are traded.

 

MLAI has procedures inplace intended to control market risk exposure, although there can be noassurance that they will, in fact, succeed in doing so. These procedures focusprimarily on monitoring the trading of JWH®, calculating the Member’scapital account as of the close of business each day and reviewing outstandingpositions for over-concentrations. While MLAI does not itself intervene in themarkets to hedge or diversify the Company’s market exposure, MLAI may consultwith JWH® concerning the possibility of JWH® reducingtrading leverage or market concentrations. However, such interventions areunusual. Except in cases in which it appears that JWH® has begun todeviate from past practice and 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 JWH®.

 

9

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Credit Risk

 

The risks associated withexchange-traded contracts are typically perceived to be less than thoseassociated with over-the-counter (non-exchange-traded) transactions, becauseexchanges typically (but not universally) provide clearinghouse arrangements inwhich the collective credit (in some cases limited in amount, in some casesnot) of the members of the exchange is pledged to support the financialintegrity of the exchange. In over-the-counter transactions, on the other hand,traders must rely solely on the credit of their respective individualcounterparties. Margins, which may be subject to loss in the event of adefault, are generally required in exchange trading, and counterparties mayrequire margin in the over-the-counter markets.

 

The credit risk associated with these instruments fromcounterparty nonperformance is the net unrealized profit, if any, included inthe Statements of Financial Condition.    TheCompany attempts to mitigate this risk by dealing exclusively with MerrillLynch entities as clearing brokers.

 

TheCompany, in its normal course of business, enters into various contracts, withMLPF&S acting as its commodity broker. Pursuant to the brokerage agreementwith MLPF&S (which includes a netting arrangement), to the extent that suchtrading results in receivables from and payables to MLPF&S, thesereceivables and payables are offset and reported as a net receivable or payableand included in the Net unrealized profit on open contracts on the Statementsof Financial Condition.

 

 

*     *    *     *     *    *     *     *    *

 

To thebest of the knowledge and belief of the undersigned, the information containedin this report is accurate and complete.

 

 

Michael Pungello

Chief FinancialOfficer

Merrill LynchAlternative Investments LLC

Commodity PoolOperator

ML JWH Financialand Metals Portfolio L.L.C.

 

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