**Exhibit 13.01(a)**

 

***GLOBAL HORIZONS I L.P.***

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

 

Financial Statements for the years ended

December 31, 2005, 2004 and 2003

And Report of Independent Registered

Public Accounting Firm

 

 

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GLOBALHORIZONS I L.P.

 

TABLEOF 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                                                                         |       | 6-14     |

 

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REPORT OFINDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

 

To the Partners of

Global Horizons I L.P.:

 

We have audited the accompanying statements offinancial condition of Global Horizons I L.P. (the “Partnership”) as ofDecember 31, 2005 and 2004, and the related statements of operations andchanges in partners’ capital for each of the three years in the period endedDecember 31, 2005 and the financial data highlights for the year ended December31, 2005. These financial statements and financial data highlights are theresponsibility of the Partnership’s management. Our responsibility is toexpress an opinion on these financial statements and financial data highlightsbased on our audits.

 

We conducted our audits in accordance with thestandards of the Public Company Accounting Oversight Board (United States). Thosestandards require that we plan and perform the audits to obtain reasonableassurance about whether the financial statements and financial data highlightsare 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 included consideration of internal control over financialreporting as a basis for designing audit procedures that are appropriate in thecircumstances, but not for the purpose of expressing an opinion on theeffectiveness of the Partnership’s internal control over financial reporting. Accordingly,we express no such opinion. An audit also includes examining, on a test basis,evidence supporting the amounts and disclosures in the financial statements,assessing the accounting principles used and significant estimates made bymanagement, as well as evaluating the overall financial statement presentation.We believe that our audits provide a reasonable basis for our opinion.

 

In our opinion, such financial statements andfinancial data highlights present fairly, in all material respects, thefinancial position of Global Horizons I L.P. as of December 31, 2005 and2004, and the results of its operations, changes in its partners’ capital andfinancial data highlights for each of the periods presented in conformity withaccounting principles generally accepted in the United States of America.

 
| /s/ Deloitte & Touche LLP |   |
|-------------------------------|--------|

 

New York, New York

March 6, 2006

 

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GLOBALHORIZONS I L.P.

(ADelaware Limited Partnership)

 

STATEMENTS OFFINANCIAL CONDITION

DECEMBER31, 2005 AND 2004

 
| ** **                                                           | ** ** | **2005**    | ** **  | **2004**    | ** ** |
|----------------------------------------------------------------------|------------|-------------|-------------|-------------|------------|
| **ASSETS:**                                                          |       |        |        |        |       |
| Equity in  commodity futures trading accounts:                       |       |        |        |        |       |
| Cash                                                                 |       | $           | 274,496,535 |        | $          | 148,295,862 |   |
| Net unrealized  profit on open contracts                             |       | 4,986,310   |        | 3,149,341   |       |
| Accrued interest  and other assets                                   |       | 992,410     |        | 238,759     |       |
|                                                                 |       |        |        |        |       |
| **TOTAL  ASSETS**                                                    |       | $           | 280,475,255 |        | $          | 151,683,962 |   |
|                                                                 |       |        |        |        |       |
| **LIABILITIES  AND PARTNERS’ CAPITAL LIABILITIES:**             |       |        |        |        |       |
|                                                                 |       |        |        |        |       |
| Administrative  fees payable                                         |       | $           | 56,411      |        | $          | 1,107,931 |   |
| Brokerage  commissions payable                                       |       | 1,624,549   |        | 862,605     |       |
| Redemptions  payable                                                 |       | 9,945,759   |        | 331,608     |       |
| Profit Shares payable                                                |       | 117,551     |        | 31,446      |       |
| Due to affiliate                                                     |       | 145,118     |        | —      |       |
|                                                                 |       |        |        |        |       |
| Total  liabilities                                                   |       | 11,889,388  |        | 2,333,590   |       |
|                                                                 |       |        |        |        |       |
| **PARTNERS’  CAPITAL:**                                         |       |        |        |        |       |
|                                                                 |       |        |        |        |       |
| General Partner  (2,012,396 Units and 756,618 Units)                 |       | 2,297,491   |        | 1,215,470   |       |
| Limited  Partners-Unitized (175,502,197 Units and 108,712,438 Units) |       | 201,750,316 |        | 148,134,902 |       |
| Limited  Partners-Non-unitized                                       |       | 64,538,060  |        | —      |       |
|                                                                 |       |        |        |        |       |
| Total partners’  capital                                        |       | 268,585,867 |        | 149,350,372 |       |
|                                                                 |       |        |        |        |       |
| **TOTAL  LIABILITIES AND PARTNERS’ CAPITAL**                    |       | $           | 280,475,255 |        | $          | 151,683,962 |   |
| ** **                                                           |       |        |        |        |       |
| **NET  ASSET VALUE PER UNIT (Note 6)**                               |       |        |        |        |       |

 

Seenotes to financial statements.

2

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GLOBALHORIZONS I L.P.

(ADelaware Limited Partnership)

 

STATEMENTS OF OPERATIONS

FORTHE YEARS ENDED DECEMBER 31, 2005, 2004 AND 2003

 
| ** **                                                                        | ** ** | **2005**    | ** ** | **2004**   | ** ** | **2003**   | ** ** |
|-----------------------------------------------------------------------------------|------------|-------------|------------|------------|------------|------------|------------|
| **TRADING  PROFITS (LOSSES):**                                                    |       |        |       |       |       |       |       |
| Realized                                                                          |       | $           | 680,616    |       | $          | 8,179,826  |       | $ | 13,824,221 |   |
| Change in  unrealized                                                             |       | 1,837,104   |       | (700,154   | )          | (44,489    | )          |
|                                                                              |       |        |       |       |       |       |       |
| Total trading  profits                                                            |       | 2,517,720   |       | 7,479,672  |       | 13,779,732 |       |
|                                                                              |       |        |       |       |       |       |       |
| **INVESTMENT  INCOME:**                                                           |       |        |       |       |       |       |       |
| Interest income                                                                   |       | 8,910,897   |       | 1,297,826  |       | 496,656    |       |
|                                                                              |       |        |       |       |       |       |       |
| **EXPENSES:**                                                                     |       |        |       |       |       |       |       |
| Brokerage  commissions                                                            |       | 17,973,653  |       | 5,725,678  |       | 3,601,088  |       |
| Profit Shares                                                                     |       | 1,266,141   |       | 1,581,140  |       | 1,998,129  |       |
| Administrative  fees                                                              |       | 622,238     |       | 205,144    |       | 124,175    |       |
| Incentive  Override                                                               |       | —      |       | —     |       | 805,634    |       |
|                                                                              |       |        |       |       |       |       |       |
| Total expenses                                                                    |       | 19,862,032  |       | 7,511,962  |       | 6,529,026  |       |
|                                                                              |       |        |       |       |       |       |       |
| **NET  INVESTMENT LOSS**                                                          |       | (10,951,135 | )          | (6,214,136 | )          | (6,032,370 | )          |
|                                                                              |       |        |       |       |       |       |       |
| **NET  INCOME (LOSS)**                                                            |       | $           | (8,433,415 | )          | $          | 1,265,536  |       | $ | 7,747,362 |   |
|                                                                              |       |        |       |       |       |       |       |
| **NET  INCOME (LOSS) PER UNIT:**                                                  |       |        |       |       |       |       |       |
|                                                                              |       |        |       |       |       |       |       |
| Weighted average  number of General Partner and Limited Partner Units outstanding |       |        |       |       |       |       |       |
| Series A                                                                          |       | 158,164,103 |       | 41,739,953 |       | n/a        |       |
| Series F                                                                          |       | 186,537     |       | 199,814    |       | 222,625    |       |
| Series I                                                                          |       | 8,007,483   |       | 970,488    |       | n/a        |       |
|                                                                              |       |        |       |       |       |       |       |
| Net income  (loss) per weighted average General Partner and Limited Partner Unit* |       |        |       |       |       |       |       |
| Series A                                                                          |       | $           | (0.0268    | )          | $          | 0.0413     |       | n/a |   |
| Series F                                                                          |       | $           | (8.65      | )          | $          | (3.12      | )          | $ | 34.80 |   |
| Series I                                                                          |       | $           | (0.0061    | )          | $          | 0.1689     |       | n/a |   |

 

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*Calculation of netincome (loss) per weighted average general partner and limited partner unitexcludes net loss allocated to non-unitized interests for the year endedDecember 31, 2005.

 

Seenotes to financial statements.

 

3

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GLOBALHORIZONS I L.P.

(ADelaware Limited Partnership)

 

STATEMENTS OFCHANGES IN PARTNERS’ CAPITAL

FORTHE YEARS ENDED DECEMBER 31, 2005, 2004 AND 2003

 
| ** **                                 | ** ** | ** **  | ** ** | **General** | ** ** | **Limited Partners** | ** ** | ** **            | ** ** |
|--------------------------------------------|------------|-------------|------------|-------------|------------|---------------------------|------------|-----------------------|------------|
| ** **                                 | ** ** | **Units**   | ** ** | **Partner** | ** ** | **Unitized**              | ** ** | **Non–unitized** | ** ** | **Total** | ** ** |
|                                       |       |        |       |        |       |                      |       |                  |       |   |   |
| PARTNERS’  CAPITAL, DECEMBER 31, 2002 |       | 236,509     |       | $           | 499,969    |                      | $          | 46,442,308            |       | $ | — |   | $ | 46,942,277 |   |
|                                       |       |        |       |        |       |                      |       |                  |       |   |   |
| Net  income                                |       | —      |       | 87,257      |       | 7,660,105                 |       | —                |       | 7,747,362 |   |
|                                       |       |        |       |        |       |                      |       |                  |       |   |   |
| Redemptions                                |       | (27,795     | )          | (90,451     | )          | (5,943,916                | )          | —                |       | (6,034,367 | ) |
|                                       |       |        |       |        |       |                      |       |                  |       |   |   |
| PARTNERS’  CAPITAL, DECEMBER 31, 2003 |       | 208,714     |       | 496,775     |       | 48,158,497                |       | —                |       | 48,655,272 |   |
|                                       |       |        |       |        |       |                      |       |                  |       |   |   |
| Additions                                  |       | 109,835,116 |       | 698,374     |       | 102,941,546               |       | —                |       | 103,639,920 |   |
|                                       |       |        |       |        |       |                      |       |                  |       |   |   |
| Net  income                                |       | —      |       | 20,321      |       | 1,245,215                 |       | —                |       | 1,265,536 |   |
|                                       |       |        |       |        |       |                      |       |                  |       |   |   |
| Redemptions                                |       | (574,774    | )          | —      |       | (4,210,356                | )          | —                |       | (4,210,356 | ) |
|                                       |       |        |       |        |       |                      |       |                  |       |   |   |
| PARTNERS’  CAPITAL, DECEMBER 31, 2004 |       | 109,469,056 |       | 1,215,470   |       | 148,134,902               |       | —                |       | 149,350,372 |   |
|                                       |       |        |       |        |       |                      |       |                  |       |   |   |
| Additions                                  |       | 92,064,612  |       | 1,153,893   |       | 84,724,425                |       | 97,084,491            |       | 182,962,809 |   |
|                                       |       |        |       |        |       |                      |       |                  |       |   |   |
| Net  loss                                  |       | —      |       | (30,294     | )          | (5,865,971                | )          | (2,537,150            | )          | (8,433,415 | ) |
|                                       |       |        |       |        |       |                      |       |                  |       |   |   |
| Redemptions                                |       | (24,019,075 | )          | (41,578     | )          | (25,243,040               | )          | (30,009,281           | )          | (55,293,899 | ) |
|                                       |       |        |       |        |       |                      |       |                  |       |   |   |
| PARTNERS’  CAPITAL, DECEMBER 31, 2005 |       | 177,514,593 |       | $           | 2,297,491  |                      | $          | 201,750,316           |       | $ | 64,538,060 |   | $ | 268,585,867 |   |

 

Seenotes to financial statements.

 

4

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GLOBALHORIZONS I L.P.

(ADelaware Limited Partnership)

 

FINANCIAL DATA HIGHLIGHTS

FORTHE YEAR ENDED DECEMBER 31, 2005

 

Thefollowing per Unit data and ratios have been derived from information providedin the financial statements.

 
| ** **                          | ** ** | **Series A** | ** ** | **Series F** | ** ** | **Series I** | ** ** | **Non-unitized** | ** ** |
|-------------------------------------|------------|-------------------|------------|-------------------|------------|-------------------|------------|------------------|------------|
| **Per Unit Operating Performance:** |       |              |       |              |       |              |       |             |       |
| ** **                          |       |              |       |              |       |              |       |             |       |
| Net  asset value, beginning of year |       | $                 | 0.9615     |              | $          | 230.10            |       | $                | 0.9478     |   | n/a |   |
|                                |       |              |       |              |       |              |       |             |       |
| Realized  trading profit            |       | 0.0002            |       | 0.06              |       | 0.0005            |       | n/a              |       |
| Change  in unrealized               |       | 0.0051            |       | 1.20              |       | 0.0052            |       | n/a              |       |
| Interest  income                    |       | 0.0289            |       | 6.94              |       | 0.0290            |       | n/a              |       |
| Expenses                            |       | (0.0693           | )          | (16.49            | )          | (0.0440           | )          | n/a              |       |
|                                |       |              |       |              |       |              |       |             |       |
| Net  asset value, end of year       |       | $                 | 0.9264     |              | $          | 221.81            |       | $                | 0.9385     |   | n/a |   |
|                                |       |              |       |              |       |              |       |             |       |
| **Total Return:**                   |       |              |       |              |       |              |       |             |       |
|                                |       |              |       |              |       |              |       |             |       |
| Total  return before Profit Shares  |       | -3.12             | %          | -3.12             | %          | -0.31             | %          | -2.47            | %          |
| Profit  Shares                      |       | -0.55             | %          | -0.50             | %          | -0.68             | %          | -0.31            | %          |
| Total  return                       |       | -3.65             | %          | -3.60             | %          | -0.98             | %          | -2.77            | %          |
|                                |       |              |       |              |       |              |       |             |       |
| **Ratios to Average Net Assets:**   |       |              |       |              |       |              |       |             |       |
|                                |       |              |       |              |       |              |       |             |       |
| Expenses  (before Profit Shares)    |       | 7.22              | %          | 6.95              | %          | 4.18              | %          | 6.46             | %          |
| Profit  Shares                      |       | 0.51              | %          | 0.51              | %          | 0.67              | %          | 0.34             | %          |
| Expenses                            |       | 7.73              | %          | 7.46              | %          | 4.85              | %          | 6.80             | %          |
|                                |       |              |       |              |       |              |       |             |       |
| Net  investment loss                |       | -4.40             | %          | -4.33             | %          | -1.60             | %          | -3.48            | %          |

 

Seenotes to financial statements.

 

5

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GLOBALHORIZONS I L.P.

(ADelaware Limited Partnership)

 

NOTES TO FINANCIALSTATEMENTS

 

# 1.               SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

#  

Organization

 

Global Horizons I L.P. (the “Partnership”), formerly ML GlobalHorizons, LP,  was organized as anopen-end fund under the Delaware Revised Uniform Limited Partnership Act on May11, 1993 and commenced trading activities on January 4, 1994. The Partnershipengages in the speculative trading of futures, options on futures and forwardcontracts on a wide range of commodities. The Partnership issues units oflimited partnership interest (“Units”) at Net Asset Value as of the beginningof each month. Effective December 1, 2005 Merrill Lynch Alternative InvestmentsLLC (“MLAI”) became the general partner of the Partnership. Prior to December 1,2005, Merrill Lynch Investment Managers LLC (“MLIM LLC”) was the generalpartner of the Partnership. MLAI is a wholly-owned subsidiary of Merrill LynchInvestment Managers LP (“MLIM”), which in turn, is an indirect wholly-ownedsubsidiary of Merrill Lynch & Co. Inc. (“Merrill Lynch”). Trading authorityis delegated to independent trading advisors (the “Advisors”) by MLIM. MerrillLynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”), a wholly-ownedsubsidiary of Merrill Lynch, is the Partnership’s commodity broker. MLAI hasagreed to maintain a general partner’s interest of at least 1% of the totalcapital of the unitized series in the Partnership. MLAI and each LimitedPartner share in the profits and losses of the Partnership in proportion totheir respective interests in the Partnership.

 

Estimates

 

The preparation of financial statements in conformitywith accounting principles generally accepted in the United States of Americarequires management to make estimates and assumptions that affect the reportedamounts of assets and liabilities and disclosure of contingent assets andliabilities at the date of the financial statements as well as the reportedamounts of revenues and expenses during the reporting period. Actual resultscould differ from those estimates.

 

Revenue Recognition

 

Commodity futures, options on futures and forwardcontract transactions are recorded on trade date and open contracts arereflected in Net unrealized profit on open contracts in the Statements ofFinancial Condition as the difference between the original contract value andthe market value (for those commodity interests for which market quotations arereadily available). The change in unrealized profit on open contracts from oneperiod to the next is reflected in Change in unrealized in the Statements of Operations.

 

Foreign Currency Transactions

 

The Partnership’s functional currency is the U.S.dollar; however, it transacts business in currencies other than the U.S. dollar.Assets and 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 Statements of Operations.

 

6

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Cash at Broker

 

A portion of the assets maintained at MLPF&S isrestricted to meet maintenance requirements. Typically, margin requirementsrange from 5% to 25% of the face value of the derivatives traded.

 

Operating Expenses, Ongoing Offering Costs and SellingCommissions 

 

MLAI pays for all routine operating costs (includinglegal, accounting, printing, postage and similar administrative expenses) ofthe Partnership, including the costs, if any, of the ongoing offering of theUnits. MLAI receives an administrative fee as well as a portion of thebrokerage commissions paid to MLPF&S by the Partnership.

 

No selling commissions have been or are paid directlyby Limited Partners. All selling commissions are paid by MLAI.

 

Income Taxes

 

No provision for income taxes has been made in thesefinancial statements as each Partner is individually responsible for reportingincome or loss based on such Partner’s respective share of the Partnership’sincome and expenses as reported for income tax purposes.

 

Distributions

 

The Limited Partners are entitled to receive, equallyper Unit, any distributions which may be made by the Partnership. No suchdistributions have been declared for the years ended December 31, 2005, 2004 or2003.

 

Subscriptions

 

Units are offered as of the close of business at theend of each month. Units are purchased as of the first business day of anymonth at Net Asset Value, but the subscription request must be submitted atleast ten calendar days before the end of the preceding month. Subscriptionssubmitted less than ten days before the end of a month will be applied to Unitsubscriptions as of the beginning of the second month after receipt, unlessrevoked by MLAI.

 

Redemptions

 

A Limited Partner may redeem some or all of suchPartner’s Units at Net Asset Value as of the close of business on the lastbusiness day of any calendar month upon ten calendar days’ notice. Unitsredeemed on or prior to the end of the twelfth full month after purchase areassessed an early redemption charge of 3% of their Net Asset Value as of thedate of redemption.

 

Dissolution of the Partnership

 

The Partnership will terminate on December 31, 2023 orat an earlier date if certain conditions occur, as well as under certain othercircumstances as set forth in the Limited Partnership Agreement.

 

7

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Indemnifications

 

In the normal course of business, the Partnershipenters into contracts and agreements that contain a variety of representationsand warranties and which provide general indemnifications. The Partnership’smaximum exposure under these arrangements is unknown, as this would involvefuture claims that may be made against the Partnership that have not yetoccurred. The Partnership expects the risk of any future obligation under theseindemnifications to be remote.

 

8

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2.               CONDENSEDSCHEDULES OF INVESTMENTS

 

The Partnership’s investments, defined as Netunrealized profit on open contracts on the Statements of Financial Condition,as of December 31, 2005, and 2004, are as follows:

 

2005

 
| ** **                     | ** ** | ** **               | ** ** | **Long  Positions**           | ** ** | ** **                  | ** ** | ** **               | ** ** | **Short  Positions**          | ** ** | ** **                  | ** ** | **Net  Unrealized**                  | ** ** | ** **                  | ** ** | ** **               | ** ** |
|--------------------------------|------------|--------------------------|------------|-------------------------------|------------|-----------------------------|------------|--------------------------|------------|-------------------------------|------------|-----------------------------|------------|--------------------------------------|------------|-----------------------------|------------|--------------------------|------------|
| **Commodity  Industry Sector** | ** ** | **Number  of Contracts** | ** ** | **Unrealized  Profit (Loss)** | ** ** | **Percent  of  Net Assets** | ** ** | **Number  of Contracts** | ** ** | **Unrealized  Profit (Loss)** | ** ** | **Percent  of  Net Assets** | ** ** | **Profit  (Loss)  on Open Positons** | ** ** | **Percent  of  Net Assets** | ** ** | **Maturity  Dates**      | ** ** |
|                           |       |                     |       |                          |       |                        |       |                     |       |                          |       |                        |       |                                 |       |                        |       |                     |       |
| Agriculture                    |       | 1,762                    |       | $                             | 2,241,726  |                        | 0.83       | %                        | (1,675     | )                             | $          | (946,375                    | )          | -0.35                                | %          | $                           | 1,295,351  |                     | 0.48       | % | January 06 - December 07 |   |
| Currencies                     |       | 1,693,056                |       | (834,923                      | )          | -0.31                       | %          | (3,494,929               | )          | 1,560,017                     |       | 0.58                        | %          | 725,094                              |       | 0.27                        | %          | January 06 - December 06 |       |
| Energy                         |       | 58                       |       | (40,250                       | )          | -0.01                       | %          | (142                     | )          | (209,978                      | )          | -0.08                       | %          | (250,228                             | )          | -0.09                       | %          | January 06 - March 06    |       |
| Interest rates                 |       | 4,464                    |       | 760,732                       |       | 0.28                        | %          | (7,621                   | )          | (869,250                      | )          | -0.32                       | %          | (108,518                             | )          | -0.04                       | %          | January 06 - December 07 |       |
| Metals                         |       | 1,315                    |       | 4,529,763                     |       | 1.69                        | %          | (358                     | )          | (1,407,519                    | )          | -0.51                       | %          | 3,122,244                            |       | 1.18                        | %          | January 06 - April 06    |       |
| Stock indices                  |       | 1,339                    |       | 209,188                       |       | 0.08                        | %          | (239                     | )          | (6,821                        | )          | 0.00                        | %          | 202,367                              |       | 0.08                        | %          | January 06 - March 06    |       |
|                           |       |                     |       |                          |       |                        |       |                     |       |                          |       |                        |       |                                 |       |                        |       |                     |       |
| Total                          |       |                     |       | $                             | 6,866,236  |                        | 2.56       | %                        |       |                          | $          | (1,879,926                  | )          | -0.68                                | %          | $                           | 4,986,310  |                     | 1.88       | % |   |   |

 

2004

 
| ** **                     | ** ** | ** **               | ** ** | **Long  Positions**           | ** ** | ** **                  | ** ** | ** **               | ** ** | **Short  Positions**          | ** ** | ** **                  | ** ** | **Net  Unrealized**                  | ** ** | ** **                  | ** ** | ** **             | ** ** |
|--------------------------------|------------|--------------------------|------------|-------------------------------|------------|-----------------------------|------------|--------------------------|------------|-------------------------------|------------|-----------------------------|------------|--------------------------------------|------------|-----------------------------|------------|------------------------|------------|
| **Commodity  Industry Sector** | ** ** | **Number  of Contracts** | ** ** | **Unrealized  Profit (Loss)** | ** ** | **Percent  of  Net Assets** | ** ** | **Number  of Contracts** | ** ** | **Unrealized  Profit (Loss)** | ** ** | **Percent  of  Net Assets** | ** ** | **Profit  (Loss)  on Open Positons** | ** ** | **Percent  of  Net Assets** | ** ** | **Maturity  Dates**    | ** ** |
|                           |       |                     |       |                          |       |                        |       |                     |       |                          |       |                        |       |                                 |       |                        |       |                   |       |
| Agriculture                    |       | 543                      |       | $                             | 444,685    |                        | 0.30       | %                        | (914       | )                             | $          | (220,473                    | )          | -0.15                                | %          | $                           | 224,212    |                   | 0.15       | % | January 05 - December 06 |   |
| Currencies                     |       | 6,483,273                |       | 3,673,444                     |       | 2.46                        | %          | (8,601,780               | )          | (2,712,818                    | )          | -1.82                       | %          | 960,626                              |       | 0.64                        | %          | January 05 - March 05  |       |
| Energy                         |       | 26                       |       | (119,651                      | )          | -0.08                       | %          | (175                     | )          | 170,020                       |       | 0.11                        | %          | 50,369                               |       | 0.03                        | %          | January 05 - April 05  |       |
| Interest rates                 |       | 3,809                    |       | 222,329                       |       | 0.15                        | %          | (4,491                   | )          | 640,930                       |       | 0.43                        | %          | 863,259                              |       | 0.58                        | %          | March 05 - December 06 |       |
| Metals                         |       | 1,113                    |       | 1,227,276                     |       | 0.82                        | %          | (715                     | )          | (978,357                      | )          | -0.65                       | %          | 248,919                              |       | 0.17                        | %          | January 05 - March 05  |       |
| Stock indices                  |       | 955                      |       | 830,596                       |       | 0.56                        | %          | (6                       | )          | (28,640                       | )          | -0.02                       | %          | 801,956                              |       | 0.54                        | %          | January 05 - March 05  |       |
|                           |       |                     |       |                          |       |                        |       |                     |       |                          |       |                        |       |                                 |       |                        |       |                   |       |
| Total                          |       |                     |       | $                             | 6,278,679  |                        | 4.21       | %                        |       |                          | $          | (3,129,338                  | )          | -2.10                                | %          | $                           | 3,149,341  |                   | 2.11       | % |   |   |

 

No individual contract’s unrealized gain or losscomprised greater than 5% of the Partner’s capital as of December 31, 2005 or2004.

 

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3.               RELATED PARTYTRANSACTIONS

 

**ThePartnership’s U.S. dollar assets are maintained at MLPF&S. On assets held inU.S. dollars, Merrill Lynch credits the Partnership with interest at theprevailing 91-day U.S. Treasury bill rate. The Partnership is credited withinterest on any of its net gains actually held by MLPF&S in non-U.S. dollarcurrencies at a prevailing local rate received by Merrill Lynch. Merrill Lynchmay derive certain economic benefit, in excess of the interest which MerrillLynch pays to the Partnership, from possession of such assets.**

** **

Merrill Lynch charges the Partnership Merrill Lynch’scost of financing realized and unrealized losses on the Partnership’s non-U.S.dollar denominated positions. Such amounts are netted against interest incomedue to the insignificance of such amounts.

 

As of February 1, 2004, the Partnership was madeavailable for new investment. Series A and F units pay brokerage commissions toMLPF&S at a flat monthly rate of .583 of 1% (a 7.00% annual rate) of theSeries’ month-end trading assets. Series I pays brokerage commissions toMLPF&S at a flat monthly rate of .333 of 1% (a 4.00% annual rate) of theSeries’ month-end trading assets. The Partnership pays MLAI a monthlyadministrative fee of .021 of 1% (a 0.25% annual rate) of the Partnership’smonth-end trading assets. Month-end trading assets are not reduced, forpurposes of calculating brokerage commissions and administrative fees, by anyaccrued brokerage commissions, administrative fees, Profit Shares or other feesor charges. Prior to February 1, 2004 the brokerage commissions on Series F wasa monthly rate of .604 of 1% (a 7.25% annual rate). Brokerage commissions forthe non-unitized series range from .604 of 1% (a 7.25% annual rate) to .729 of1% (a 8.75% annual rate).

 

MLAI estimates that the round-turn equivalentcommission rate charged to the Partnership by MLPF&S during the years endedDecember 31, 2005, 2004 and 2003 was approximately $39, $90 and $84,respectively (not including, in calculating round-turn equivalents, forwardcontracts on a futures-equivalent basis).

 

MLPF&S pays the Advisors annual consulting feesranging up to 2.00% of the Partnership’s average month-end assets allocated tothem for management, after reduction for a portion of the brokerage commissionsaccrued with respect to such assets.

 

Prior to January 1, 2004, the Partnership paid to MLIMLLC an Incentive Override equal to 10% of the Net New Gain, as defined. Suchpayments were also made to MLIM LLC from the redemption value of Units redeemedas of the end of interim months during a year, to the extent of any Net NewGain attributable to such Units when redeemed. For the year ended December 31,2003, an Incentive Override of $805,634 was paid to MLIM LLC.

 

Due to affiliate on the Statement of FinancialCondition relates to cash assets held in accounts relating to a previouslyliquidated fund and the general partners investments in that fund. This amountwill be paid to MLAI upon the legal liquidation of the affiliated fund.

 

# 4.               ADVISORY AGREEMENTS

#  

The Partnership and the Advisors have each enteredinto Advisory Agreements. These Advisory Agreements generally renew one yearafter they are entered into, subject to certain renewal rights exercisable bythe Partnership. The Advisors determine the commodity futures, options onfutures and forward contract trades to be made on behalf of their respectivePartnership accounts, subject to certain trading policies and to certain rightsreserved by MLAI.

 

 

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Profit Shares, generally ranging from 20% to 25% ofany New Trading Profit, as defined, recognized by each Advisor consideredindividually, irrespective of the overall performance of the Partnership, as ofeither the end of each calendar quarter or year and upon the net reallocationof assets away from an Advisor, are paid by the Partnership to each Advisor. ProfitShares are also paid out in respect of Units redeemed as of the end of interimmonths, to the extent of the applicable percentage of any New Trading Profitattributable to such Units.

 

 

5.               WEIGHTED AVERAGEUNITS

 

The weighted averagenumber of Units outstanding is computed for purposes of disclosing net income(loss) per weighted average Unit. The weighted average number of Unitsoutstanding for the years ended December 31, 2005, 2004 and 2003 equals theUnits outstanding as of such date, adjusted proportionately for Units sold andredeemed based on the respective length of time each was outstanding during theyear.

 

6.               UNITIZED ANDNON-UNITIZED SERIES

 

At December 31, 2005 and 2004, the Net Asset Values ofthe different unitized series and the partners holding the non-unitized seriesof the Partnership are as follows:

 

December 31, 2005

 

Unitized Series

 
| ** ** | ** ** | **Net Asset  Value** | ** **  | **Number of  Units** | ** **  | **Net Asset  Value per  Unit** | ** ** |
|------------|------------|----------------------|-------------|----------------------|-------------|--------------------------------|------------|
|       |       |                 |        |                 |        |                           |       |
| Series A   |       | $                    | 156,419,239 |                 | 168,843,481 |                           | $          | 0.9264 |   |
| Series F   |       | 39,658,470           |        | 178,795              |        | $                              | 221.81     |   |
| Series I   |       | 7,970,098            |        | 8,492,317            |        | $                              | 0.9385     |   |
|       |       | $                    | 204,047,807 |                 | 177,514,593 |                           |       |   |

 

Non-unitized Series

 
| ML Futures Investments L.P.       |   | $          | 39,887,435  |   |   |   |   |   |   |
|-----------------------------------|--------|------------|-------------|--------|--------|--------|--------|--------|--------|
| ML Principal Protection L.P.      |   | 10,232,424 |        |   |   |   |   |   |
| ML Principal Protection Plus Ltd. |   | 14,418,201 |        |   |   |   |   |   |
|                              |   | $          | 64,538,060  |   |   |   |   |   |   |
|                              |   |       |        |   |   |   |   |   |
| Total partners’ capital      |   | $          | 268,585,867 |   |   |   |   |   |   |

 

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December 31, 2004

 
| ** **                   | ** ** | **Net Asset  Value** | ** **  | **Number of  Units** | ** **  | **Net Asset  Value per  Unit** | ** ** |
|------------------------------|------------|----------------------|-------------|----------------------|-------------|--------------------------------|------------|
|                         |       |                 |        |                 |        |                           |       |
| Series A                     |       | $                    | 100,146,503 |                 | 104,152,884 |                           | $          | 0.9615 |   |
| Series F                     |       | 44,347,994           |        | 192,730              |        | $                              | 230.10     |   |
| Series I                     |       | 4,855,875            |        | 5,123,442            |        | $                              | 0.9478     |   |
| Total partners’ capital |       | $                    | 149,350,372 |                 | 109,469,056 |                           |       |   |

 

Effective January 1, 2005, three funds (the “FeederFunds”) in which MLAI is general partner or sponsor invested their net assetsin a non-unitized series of the Partnership. The Feeder Funds are all closed tonew investment and are segregated from other subscriptions as the non-unitizedseries. At the point of contribution, the total investment by the Feeder Fundswas $97,084,491.

 

7.               COPPERSETTLEMENT

 

The Partnership, as a member ofa class of plaintiffs, received a settlement payment in February 2005 relatingto certain copper trades made by a number of investors, including the Partnership,during a period in the mid-1990s. Members of the class were those who purchasedor sold Comex copper futures or options contracts between June 24, 1993 andJune 15, 1996. The amount of the settlement for the Partnership was $27,888,which is included in Realized under Trading profits (losses) on the Statementof Operations of the Partnership for the year ended December 31, 2005.

 

8.               FAIR VALUE AND OFF-BALANCESHEET RISK

 

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

 

Market Risk

 

Derivative instruments involve varying degrees ofoff-balance sheet market risk. Changes in the level or volatility of interestrates, foreign currency exchange rates or the market values of the financialinstruments or commodities underlying open contracts frequently result inchanges in the Partnership’s net unrealized profit on such derivativeinstruments as reflected in the Statements of Financial Condition. ThePartnership’s exposure to market risk is influenced by a number of factors,including the relationships among the derivative instruments held by thePartnership as well as the volatility and liquidity of the markets in which thederivative instruments are traded.

 

MLAI has procedures in place intended to controlmarket risk exposure, although there can be no assurance that they will, infact, succeed in doing so. These procedures focus primarily on monitoring thetrading of the Advisors, calculating the Net Asset Values of the Partnership asof the close of business on each day and reviewing outstanding positions forover-concentrations. While MLAI does not itself intervene in the markets tohedge or diversify the Partnership’s market exposure, MLAI may urge theAdvisors to reallocate positions in an attempt to avoid over-concentrations. However,such interventions are unusual and unless it appears that the Advisors havebegun to deviate from past practice or trading policies or to be tradingerratically, MLAI’s basic risk control procedures consist simply of the ongoingprocess of advisor monitoring, with the market risk controls being applied bythe Advisors themselves.

 

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Credit Risk

 

The risks associated with exchange-traded contractsare typically perceived to be less than those associated with over-the-counter(non-exchange-traded) transactions, because exchanges typically (but notuniversally) provide clearinghouse arrangements in which the collective credit(in some cases limited in amount, in some cases not) of the members of theexchange is pledged to support the financial integrity of the exchange. Inover-the-counter transactions, on the other hand, traders must rely solely onthe credit of their respective individual counterparties. Margins, which may besubject to loss in the event of a default, are generally required in exchangetrading, and counterparties may also require margin in the over-the-countermarkets.

 

The credit risk associated with these instruments fromcounterparty nonperformance is the net unrealized profit on open contracts,included in the Statements of Financial Condition. The Partnership attempts tomitigate this risk by dealing exclusively with Merrill Lynch entities as clearingbrokers.

 

The Partnership, in its normal course of business,enters into various contracts with MLPF&S acting as its commodity broker. Pursuantto the brokerage agreement with MLPF&S (which includes a nettingarrangement), to the extent that such trading results in receivables from andpayables to MLPF&S, these receivables and payables are offset and reportedas a net receivable or payable and included in Net unrealized profit on opencontracts on the Statements of Financial Condition.

 

9.               SUBSEQUENTEVENT

 

On February 15, 2006, Merrill Lynch and BlackRock, Inc(“BlackRock”) announced that they have reached an agreement to merge the assetmanagement business of MLIM and BlackRock to create a new independent assetmanagement company. The transaction has been approved by the boards ofdirectors of both Merrill Lynch and BlackRock and is expected to close in thethird quarter of 2006. As a result of the transaction, the combined companywill become the general partner or sponsor of the Partnership.

 

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

 

To the best of the knowledge and belief of the

undersigned, the information contained in this

report is accurate and complete.

 

 

Michael Pungello

Chief Financial Officer

Merrill Lynch Alternative Investments LLC

General Partner of

ML Global Horizons L.P.

 

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