**Exhibit 13.01**

 

***ML FUTURES INVESTMENTS L.P.***

***(A Delaware Limited Partnership)***

 

 

Financial Statements for the years ended

December 31, 2005, 2004 and 2003 and

Reportof Independent Registered

PublicAccounting Firm

 

 

 

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ML FUTURES INVESTMENTSL.P.

(A Delaware LimitedPartnership)

 

TABLE OF CONTENTS

 
| ** **                                                                                                  | **Page** |
|-------------------------------------------------------------------------------------------------------------|----------|
|                                                                                                        |     |
| REPORT OF  INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM                                                    | 1        |
|                                                                                                        |     |
| FINANCIAL  STATEMENTS:                                                                                      |     |
|                                                                                                        |     |
| Statements  of Financial Condition as of December 31, 2005 and 2004                                    | 2        |
|                                                                                                        |     |
| Statements  of Operations for the years ended December 31, 2005, 2004 and 2003                         | 3        |
|                                                                                                        |     |
| Statements  of Changes in Partners’ Capital for the years ended December 31, 2005,  2004 and 2003 | 4        |
|                                                                                                        |     |
| Financial  Data Highlights for the year ended December 31, 2005                                        | 5        |
|                                                                                                        |     |
| Notes  to Financial Statements                                                                              | 6-10     |

 

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REPORT OF INDEPENDENTREGISTERED PUBLIC ACCOUNTING FIRM

 

To the Partners of

 ML Futures Investments L.P.:

 

We have audited theaccompanying statements of financial condition of ML Futures Investments L.P. (the“Partnership”) as of December 31, 2005 and 2004, and the relatedstatements of operations and changes in partners’ capital for each of the threeyears in the period ended December 31, 2005 and the financial datahighlights for the year ended December 31, 2005.  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 our auditsin accordance with the standards of the Public Company Accounting OversightBoard (United States). Those standards require that we plan and perform theaudits to obtain reasonable assurance about whether the financial statementsand 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, we express no such opinion. Anaudit also includes examining, on a test basis, evidence supporting the amountsand disclosures in the financial statements, assessing the accountingprinciples used and significant estimates made by management, as well asevaluating the overall financial statement presentation.  We believe that our audits provide areasonable basis for our opinion.

 

In our opinion, suchfinancial statements and financial data highlights present fairly, in allmaterial respects, the financial position of ML Futures Investments L.P. as of December 31,2005 and 2004, and the results of its operations, changes in its partners’ capitaland the financial data highlights for each of the periods presented inconformity with accounting principles generally accepted in the United Statesof America.

 

 
| /s/ Deloitte  & Touche LLP |   |
|--------------------------------|--------|
|                           |
| New York, New  York            |
| March 30,  2006           |

 

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ML FUTURES INVESTMENTSL.P.

(A Delaware LimitedPartnership)

 

STATEMENTS OF FINANCIALCONDITION DECEMBER 31, 2005 AND 2004

 
| ** **                                                | ** ** | **2005**   | ** ** | **2004**   | ** ** |
|-----------------------------------------------------------|------------|------------|------------|------------|------------|
| **ASSETS:**                                               |       |       |       |       |       |
| Investment in Global Horizons                             |       | $          | 39,887,435 |       | $          | — |   |
| Receivable from MM LLC                                    |       | —     |       | 47,269,664 |       |
| Receivable from Global Horizons                           |       | 315,015    |       | —     |       |
|                                                      |       |       |       |       |       |
| **TOTAL  ASSETS**                                         |       | $          | 40,202,450 |       | $          | 47,269,664 |   |
|                                                      |       |       |       |       |       |
| **LIABILITY AND PARTNERS’ CAPITAL**                  |       |       |       |       |       |
|                                                      |       |       |       |       |       |
| **LIABILITY:**                                            |       |       |       |       |       |
| Redemptions  payable                                      |       | $          | 315,015    |       | $          | 393,123 |   |
|                                                      |       |       |       |       |       |
| **PARTNERS’ CAPITAL**                                |       |       |       |       |       |
| General Partner  (441,484 Units and 506,504 Units)        |       | 454,109    |       | 547,516    |       |
| Limited Partners  (38,337,375 Units and 42,841,288 Units) |       | 39,433,326 |       | 46,329,025 |       |
|                                                      |       |       |       |       |       |
| Total partners’  capital                             |       | 39,887,435 |       | 46,876,541 |       |
|                                                      |       |       |       |       |       |
| **TOTAL  LIABILITY AND PARTNERS’ CAPITAL**           |       | $          | 40,202,450 |       | $          | 47,269,664 |   |
|                                                      |       |       |       |       |       |
| **NET ASSET VALUE PER UNIT**                              |       |       |       |       |       |
|                                                      |       |       |       |       |       |
| (Based on  38,778,859 and 43,347,792 Units outstanding)   |       | $          | 1.0286     |       | 1.0814     |   |

 

See notes to financial statements.

 

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ML FUTURES INVESTMENTSL.P.

 (A Delaware Limited Partnership)

 

STATEMENTS OF OPERATIONS FORTHE YEARS ENDED DECEMBER 31, 2005, 2004 AND 2003

 
| ** **                                                                                                                                                                                                | ** ** | **2005**   | ** ** | **2004**   | ** ** | **2003**   | ** ** |
|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|------------|------------|------------|------------|------------|------------|------------|
|                                                                                                                                                                                                      |       |       |       |       |       |       |       |
| **TRADING  PROFITS (LOSSES):**                                                                                                                                                                            |       |       |       |       |       |       |       |
|                                                                                                                                                                                                      |       |       |       |       |       |       |       |
| Realized                                                                                                                                                                                                  |       | $          | (54,714    | )          | $          | 6,175,734  |       | $ | 10,533,678 |   |
| Change in  unrealized                                                                                                                                                                                     |       | 199,464    |       | (2,185,708 | )          | (169,942   | )          |
|                                                                                                                                                                                                      |       |       |       |       |       |       |       |
| Total trading  profits (losses)                                                                                                                                                                           |       | 144,750    |       | 3,990,026  |       | 10,363,736 |       |
|                                                                                                                                                                                                      |       |       |       |       |       |       |       |
| **INVESTMENT  INCOME:**                                                                                                                                                                                   |       |       |       |       |       |       |       |
| Interest                                                                                                                                                                                                  |       | 1,320,101  |       | 595,606    |       | 588,108    |       |
|                                                                                                                                                                                                      |       |       |       |       |       |       |       |
| **EXPENSES:**                                                                                                                                                                                             |       |       |       |       |       |       |       |
| Brokerage  commissions                                                                                                                                                                                    |       | 3,456,917  |       | 4,079,427  |       | 4,601,819  |       |
| Administrative  fee                                                                                                                                                                                       |       | 101,674    |       | 119,983    |       | 135,348    |       |
| Profit Shares                                                                                                                                                                                             |       | 177,296    |       | 741,906    |       | 1,524,986  |       |
|                                                                                                                                                                                                      |       |       |       |       |       |       |       |
| Total expenses                                                                                                                                                                                            |       | 3,735,887  |       | 4,941,316  |       | 6,262,153  |       |
|                                                                                                                                                                                                      |       |       |       |       |       |       |       |
| **NET  INVESTMENT LOSS**                                                                                                                                                                                  |       | (2,415,786 | )          | (4,345,710 | )          | (5,674,045 | )          |
|                                                                                                                                                                                                      |       |       |       |       |       |       |       |
| **NET  INCOME (LOSS)**                                                                                                                                                                                    |       | $          | (2,271,036 | )          | $          | (355,684   | )          | $ | 4,689,691 |   |
|                                                                                                                                                                                                      |       |       |       |       |       |       |       |
| **NET  INCOME (LOSS) PER UNIT:**                                                                                                                                                                          |       |       |       |       |       |       |       |
|                                                                                                                                                                                                      |       |       |       |       |       |       |       |
| Weighted average  number of General Partner and Limited Partner Units outstanding                                                                                                                         |       | 40,501,225 |       | 46,237,673 |       | 52,962,267 |       |
|                                                                                                                                                                                                      |       |       |       |       |       |       |       |
| Net income  (loss) per weighted average General Partner and Limited Partner Unit                                                                                                                          |       | $          | (0.0561    | )          | $          | (0.0077    | )          | $ | 0.0885 |   |
|                                                                                                                                                                                                      |       |       |       |       |       |       |       |
| Substantially  all items of income and expense are derived from the investment in Global  Horizons for the year ended December 31, 2005 and MM LLC for years ended  December 31, 2004 and 2003. |       |       |       |       |       |       |       |

 

See notes tofinancial statements.

 

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ML FUTURES INVESTMENTSL.P.

(A Delaware LimitedPartnership)

 

STATEMENTS OF CHANGES INPARTNERS’ CAPITAL FOR THE YEARS ENDED DECEMBER 31, 2005, 2004 AND 2003

 
| ** **                                     | ** ** | **Units**  | ** ** | **General Partner** | ** ** | **Limited Partners** | ** ** | **Total**  | ** ** |
|------------------------------------------------|------------|------------|------------|---------------------|------------|----------------------|------------|------------|------------|
|                                           |       |       |       |                |       |                 |       |       |       |
| PARTNERS’ CAPITAL, DECEMBER 31, 2002 |       | 44,778     |       | $                   | 123,877    |                 | $          | 11,728,631 |       | $ | 11,852,508 |   |
|                                           |       |       |       |                |       |                 |       |       |       |
| Combination (Note 3)                           |       | 56,013,115 |       | 460,679             |       | 43,744,706           |       | 44,205,385 |       |
|                                           |       |       |       |                |       |                 |       |       |       |
| Net income                                     |       | —     |       | 51,726              |       | 4,637,965            |       | 4,689,691  |       |
|                                           |       |       |       |                |       |                 |       |       |       |
| Redemptions                                    |       | (6,591,762 | )          | (85,397             | )          | (6,838,685           | )          | (6,924,082 | )          |
|                                           |       |       |       |                |       |                 |       |       |       |
| PARTNERS’ CAPITAL, DECEMBER 31, 2003 |       | 49,466,131 |       | 550,885             |       | 53,272,617           |       | 53,823,502 |       |
|                                           |       |       |       |                |       |                 |       |       |       |
| Net loss                                       |       | —     |       | (3,369              | )          | (352,315             | )          | (355,684   | )          |
|                                           |       |       |       |                |       |                 |       |       |       |
| Redemptions                                    |       | (6,118,339 | )          | —              |       | (6,591,277           | )          | (6,591,277 | )          |
|                                           |       |       |       |                |       |                 |       |       |       |
| PARTNERS’ CAPITAL, DECEMBER 31, 2004 |       | 43,347,792 |       | 547,516             |       | 46,329,025           |       | 46,876,541 |       |
|                                           |       |       |       |                |       |                 |       |       |       |
| Net loss                                       |       | —     |       | (25,107             | )          | (2,245,929           | )          | (2,271,036 | )          |
|                                           |       |       |       |                |       |                 |       |       |       |
| Redemptions                                    |       | (4,568,933 | )          | (68,300             | )          | (4,649,770           | )          | (4,718,070 | )          |
|                                           |       |       |       |                |       |                 |       |       |       |
| PARTNERS’ CAPITAL, DECEMBER 31, 2005 |       | 38,778,859 |       | $                   | 454,109    |                 | $          | 39,433,326 |       | $ | 39,887,435 |   |

 

See notes to financialstatements.

 

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ML FUTURES INVESTMENTSL.P.

(A Delaware LimitedPartnership)

 

FINANCIAL DATA HIGHLIGHTSFOR THE YEAR ENDED DECEMBER 31, 2005

 

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

 
| **Per Unit Operating Performance:**          |   |    |   |
|----------------------------------------------|--------|---------|--------|
|                                         |   |    |   |
| Net asset value, beginning of year           |   | $       | 1.0814 |   |
|                                         |   |    |   |
| Total trading profits                        |   | 0.0056  |   |
| Interest income                              |   | 0.0324  |   |
| Expenses                                     |   | (0.0908 | )      |
|                                         |   |    |   |
| Net asset value, end of year                 |   | $       | 1.0286 |   |
|                                         |   |    |   |
| **Total Return:**                            |   |    |   |
|                                         |   |    |   |
| Total return before Profit Shares            |   | -4.50   | %      |
| Profit Shares                                |   | -0.40   | %      |
| Total return after Profit Shares             |   | -4.88   | %      |
|                                         |   |    |   |
| **Ratios to Average Net Assets:**            |   |    |   |
|                                         |   |    |   |
| Operating expenses (excluding Profit Shares) |   | 8.39    | %      |
| Profit Shares                                |   | 0.42    | %      |
| Expenses (including Profit Shares)           |   | 8.81    | %      |
|                                         |   |    |   |
| Net investment loss                          |   | -5.70   | %      |

 

See notes to financialstatements.

 

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ML FUTURES INVESTMENTSL.P.

(A Delaware LimitedPartnership)

 

NOTES TO FINANCIALSTATEMENTS

 

1.               SUMMARYOF SIGNIFICANT ACCOUNTING POLICIES

 

Organization

 

ML Futures Investments L.P. (the “Partnership”) was organized under theDelaware Revised Uniform Limited Partnership Act on November 14, 1988 andcommenced trading activities on March 1, 1989.  The Partnership currently engages, through a limitedliability company, Global Horizons I L.P. (“Global Horizons”) in thespeculative trading of futures, options on futures and forward contracts on awide range of commodities.  Through December 31,2004, the Partnership traded, through a similar investment in a limitedliability company, ML Multi-Manager Portfolio LLC (“MM LLC”).  Effective December 31, 2004, after theclose of business MM LLC redeemed all of the Partnership’s units and the proceeds  were invested in Global Horizons, which hasan investment strategy similar to MM LLC. Merrill Lynch AlternativeInvestments, LLC (“MLAI”) is the general partner of the Partnership and is awholly-owned subsidiary of Merrill Lynch Investment Managers LP (“MLIM”), whichin turn, is an indirect wholly-owned subsidiary of Merrill Lynch & Co.Inc. (“Merrill Lynch).  Merrill Lynch,Pierce, Fenner & Smith Incorporated (“MLPF&S”), a wholly-ownedsubsidiary of Merrill Lynch, is the Partnership’s commodity broker.  Prior to December 1, 2005, Merrill LynchInvestment Managers LLC (“MLIM LLC”) was the general partner of thePartnership.  All of the Partnership’sassets are held in accounts maintained at MLPF&S. MLAI has agreed tomaintain a general partner’s interest of at least 1% of the total capital inthe Partnership.  MLAI and each LimitedPartner share in the trading revenues and interest income of the Partnership inproportion to their respective interests in the Partnership.

 

Thefollowing notes relate to the operations of the Partnership through itsinvestments in Global Horizons and MM LLC. As of December 31, 2005, the Partnership’s percentage of ownershipshare of Global Horizons was 14.85%.  Asof December 31, 2004 (prior to MM LLC liquidation) and 2003, thePartnership’s percentage ownership share of MM LLC was 48.29% and 38.41 %,respectively.  MLAI selects independenttrading advisors (“Advisors”) to manage Global Horizons’ assets, and allocatesand reallocates such trading assets among existing, replacement and additionalAdvisors.

 

Estimates

 

Thepreparation of financial statements in conformity with accounting principlesgenerally accepted in the United States of America requires management to makeestimates and assumptions that affect the reported amounts of assets andliabilities and disclosure of contingent assets and liabilities at the date ofthe financial statements as well as the reported amounts of revenues andexpenses during the reporting period. Actual results could differ from those estimates.

 

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RevenueRecognition

 

Commodity futures, options on futures and forwardcontracts are recorded on the trade date and open contracts are reflected in Netunrealized profit (loss) on open contracts in the Statements of FinancialCondition of Global Horizons (MM LLC as of December 31, 2004) at thedifference between the original contract value and the market value (for thosecommodity interests for which market quotations are readily available) or atfair value.  The change in unrealizedprofit (loss) on open contracts from one period to the next is reflected in Changein unrealized under Trading profits (losses) in the Statements of Operations ofGlobal Horizons (MM LLC for the years ended December 31, 2004 and 2003).

 

ForeignCurrency Transactions

 

ThePartnership’s functional currency is the U.S. dollar; however, it transactsbusiness in currencies other than the U.S. dollar through its investment in GlobalHorizons.  Assets and liabilitiesdenominated in currencies other than the U.S. dollar are translated into U.S.dollars at the rates in effect at the dates of the Statements of FinancialCondition.  Income and expense itemsdenominated in currencies other than the U.S. dollar are translated into U.S.dollars at the rates in effect during the period.  Gains and losses resulting from thetranslation to U.S. dollars are reported in Realized trading profit (loss) onthe Statement of Operations of Global Horizons (MM LLC for the years ended December 31,2004 and 2003).

 

OperatingExpenses

 

MLAIpays for all routine operating costs (including legal, accounting, printing,postage and similar administrative expenses) of the Partnership.  MLAI receives an administrative fee as wellas a portion of the brokerage commissions paid by the Partnership, through GlobalHorizons (previously MM LLC).

 

Noselling commissions have been paid directly by the Limited Partners.  All selling commissions are paid by MLAI.

 

IncomeTaxes

 

Noprovision for income taxes has been made in the accompanying financialstatements as each Partner is individually responsible for reporting income orloss based on such Partner’s respective share of the Partnership’s income andexpenses as reported for income tax purposes.

 

Distributions

 

TheLimited Partners are entitled to receive, equally per Unit, any distributions,which may be made by the Partnership.  Nosuch distributions have been declared for the years ended December 31, 2005,2004 or 2003.

 

Redemptions

 

ALimited Partner may redeem some or all of such Partner’s Units at Net AssetValue as of the close of business on the last business day of any month uponten calendar days’ notice.

 

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Theinvestment in Global Horizons as of December 31, 2005 is reflected in thefinancial statements at fair value based upon the Partnership’s proportionateinterest in Global Horizons.  Fair valueof the investment in Global Horizons is equal to the market value of the netassets of Global Horizons allocable to the Partnership as an investor.

 

Dissolutionof the Partnership

 

ThePartnership will terminate on December 31, 2008 or at an earlier date ifcertain conditions occur, as well as under certain other circumstances as setforth in the Limited Partnership Agreement.

 

Indemnifications

 

In thenormal course of business, the Partnership enters into contracts and agreementsthat contain a variety of representations and warranties and which providegeneral indemnifications.  ThePartnership’s maximum exposure under these arrangements is unknown, as thiswould involve future claims that may be made against the Partnership that havenot yet occurred.  The Partnershipexpects the risk of any future obligation under these indemnifications to beremote.

 

2.               INVESTMENTIN GLOBAL HORIZONS/ RECEIVABLE FROM MM LLC

 

Thefinancial statements of Global Horizons and MM LLC for the years ended December 31,2005 and 2004, respectively, are bound together with this report and should beread in conjunction with the Partnership’s financial statements. Effective December31, 2004, MM LLC liquidated and the fair value of the Partnership’s investmentin MM LLC is reflected in Receivable from MM LLC on the Statement of FinancialCondition.

 

Allincome and expense for the Partnership was derived from its investment inGlobal Horizons or MM LLC, based on the Partnership’s proportionate share ofGlobal Horizons’ or MM LLC’s revenues and expenses.

 

3.               RELATEDPARTY TRANSACTIONS

 

ThePartnership’s U.S. dollar assets are maintained at MLPF&S through GlobalHorizons and previously MM LLC.  Onassets held in U.S. dollars, Merrill Lynch credits the Partnership withinterest at the prevailing 91-day U.S. Treasury bill rate.  The Partnership is credited with interest onany of its net gains actually held by Merrill Lynch in non-U.S. dollarcurrencies at a prevailing local rate received by Merrill Lynch.  Merrill Lynch may derive certain economicbenefits, in excess of the interest, which Merrill Lynch pays to thePartnership, from possession of such assets. The Partnership indirectly receives this interest through its investmentin Global Horizons (MM LLC for the years ended December 31, 2004 and 2003).

 

MerrillLynch charges the Partnership, through Global Horizons (MM LLC for the yearsended December 31, 2004 and 2003), Merrill Lynch’s cost of financingrealized and unrealized losses on Global Horizons’ non-U.S. dollar-denominatedpositions.  Such amounts are nettedagainst interest income.  These amountsare not significant to the financial statements of the Partnership.

 

Throughits investment in Global Horizons, and previously MM LLC the Partnership paysbrokerage commissions to MLPF&S at a flat monthly rate equal to .7083 of 1%(an 8.50% annual rate), reduced from an 8.75% annual rate prior to January 1,2003, and pays MLAI, and previously MLIM LLC, a monthly administrative fee of..021 of 1% (a 0.25% annual rate) of the Partnership’s trading month-endassets.  Month-end trading assets are notreduced for purposes of calculating brokerage commissions and 

 

8

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administrativefees by any accrued brokerage commissions, administrative fees, Profit Sharesor other fees or charges.

 

MLPF&Spays the Advisors, annual consulting fees up to 2.50% of the Partnership’saverage month-end trading assets allocated to a specific advisor formanagement, after reduction for a portion of the brokerage commissions.

 

4.               ADVISORYAGREEMENTS

 

GlobalHorizons (MM LLC for the years ended December 31, 2004 and 2003) and theAdvisors have entered into Advisory Agreements. These Advisory Agreements generally renew annually after they areentered into, subject to certain rights exercisable by the Partnership. TheseAdvisors determine the commodity futures, options on futures and forwardcontracts traded on behalf of their respective accounts, subject to certainrights reserved by MLAI.

 

ProfitShares, currently ranging from 20% to 25% of any New Trading Profit, asdefined, recognized by each Advisor considered individually irrespective of theoverall performance of the Partnership, either as of the end of each calendarquarter or year and upon the net reallocation of assets away from an Advisor,are paid by Global Horizons (MM LLC for the years ended December 31, 2004and 2003) to each of the Advisors. Profit Shares are also paid out in respect of Units redeemed as of theend of interim months, to the extent of the applicable percentage of any NewTrading Profit attributable of such Units.

 

5.               WEIGHTEDAVERAGE UNITS

 

Theweighted average number of Units outstanding is computed for purposes ofcalculating net income (loss) per weighted average Unit.  The weighted average Units outstanding forthe years ended December 31, 2005, 2004 and 2003 equals the Unitsoutstanding as of such date, adjusted proportionately for Units redeemed basedon the respective length of time each was outstanding during the year.

 

6.               FAIRVALUE AND OFF-BALANCE SHEET RISK

 

The Partnership invests indirectly in derivativeinstruments as a result of its investment in Global Horizons (MM LLC as of December 31,2004), but does not itself hold any derivative instrument positions.  The nature of this Partnership has certainrisks, which cannot all be presented on the financial statements.

 

MarketRisk

 

Derivative instruments involve varying degrees ofoff-balance sheet market risk.  Changesin the level or volatility of interest rates, foreign currency exchange ratesor the market values of the financial instruments or commodities underlyingsuch derivative instruments frequently result in changes in the Partnership’snet unrealized profit on such derivative instruments as reflected in Statementsof Financial Condition of Global Horizons (MM LLC as of December 31, 2004).  The Partnership’s exposure to market risk isinfluenced by a number of factors, including the relationships among thederivative instruments held by Global Horizons (MM LLC as of December 31,2004) as well as the volatility and liquidity of the markets in which suchderivative instruments are traded.

 

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7.               SUBSEQUENTEVENT

 

On February 15,2006, Merrill Lynch and BlackRock, Inc (“BlackRock”) announced that they havereached an agreement to merge the asset management business of MLIM andBlackRock to create a new independent asset management company.  The transaction has been approved by theboards of directors of both Merrill Lynch and BlackRock and is expected toclose in the third quarter of 2006.  As aresult of the transaction, the combined company will become the general partneror sponsor of the Partnership.

 

 

*   *   *  *   *   *   *   *  *   *   *  *   *

 

To thebest of the knowledge and belief of the

undersigned, the information contained in this

report is accurate and complete.

 

 

MichaelPungello

Chief Financial Officer

Merrill Lynch Alternative Investments, LLC

General Partner of

ML Futures Investments L.P.

 

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