<Page>

                                  UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION

                             Washington, D.C. 20549

                                    FORM 10-K

                (x) Annual Report Pursuant to Section 13 or 15(d)
                     of the Securities Exchange Act of 1934

                  For the fiscal year ended: December 31, 2001
                                       or
                  ( ) Transition Report Pursuant to Section 13
                 or 15(d) of the Securities Exchange Act of 1934

                         Commission file number: 0-25000

                          ML PRINCIPAL PROTECTION L.P.
             (Exact name of registrant as specified in its charter)

         DELAWARE                                   13-3750642 (REGISTRANT)
-------------------------------                   --------------------------
(State or other jurisdiction of                       (I.R.S. Employer
incorporation or organization)                        Identification No.)

                       C/O MLIM ALTERNATIVE STRATEGIES LLC
                           PRINCETON CORPORATE CAMPUS
                       800 SCUDDERS MILL ROAD - SECTION 2G
                          PLAINSBORO, NEW JERSEY 08536
                          ----------------------------
                    (Address of principal executive offices)

       Registrant's telephone number, including area code: (609) 282-6996

SECURITIES REGISTERED PURSUANT TO SECTION 12(b) OF THE ACT:  None

SECURITIES REGISTERED PURSUANT TO SECTION 12(g) OF THE ACT:  Limited
                                                             Partnership Units

Indicate by check mark whether the registrant (1) has filed all reports required
to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during
the preceding 12 months (or for such shorter period that the registrant was
required to file such reports), and (2) has been subject to such filing
requirements for the past 90 days.
                                                                Yes  X     No
                                                                    ---      ---

Indicate by check mark if disclosure of delinquent filers pursuant to Item 405
of Regulation S-K is not contained herein, and will not be contained, to the
best of registrant's knowledge, in definitive proxy or information statements
incorporated by reference in Part III of this Form 10-K or any amendment to this
Form 10-K. [X]

Aggregate market value of the voting and non-voting common equity held by
non-affiliates of the registrant: the registrants are limited partnerships; as
of February 1, 2002, limited partnership units with an aggregate value of
$19,802,416 were outstanding and held by non-affiliates.

                       DOCUMENTS INCORPORATED BY REFERENCE
The registrant's "2001 Annual Report and Independent Auditors' Report," the
annual report to security holders for the fiscal year ended December 31, 2001,
is incorporated by reference into Part II, Item 8 and Part IV hereof and filed
as an Exhibit herewith.
<Page>

                          ML PRINCIPAL PROTECTION L.P.

                       ANNUAL REPORT FOR 2001 ON FORM 10-K


                                TABLE OF CONTENTS


<Table>
<Caption>
                                     PART I                                                                    PAGE
                                                                                                               ----

<C>           <S>                                                                                              <C>
Item 1.       Business                                                                                           1

Item 2.       Properties                                                                                         7

Item 3.       Legal Proceedings                                                                                  7
..
Item 4.       Submission of Matters to a Vote of Security Holders                                                8


                                     PART II

Item 5.       Market for Registrant's Common Equity and Related Stockholder Matters                              8

Item 6.       Selected Financial Data                                                                           10

Item 7.       Management's Discussion and Analysis of Financial Condition and Results of Operations             12

Item 7A.      Quantitative and Qualitative Disclosures About Market Risk                                        18

Item 8.       Financial Statements and Supplementary Data                                                       19

Item 9.       Changes in and Disagreements with Accountants on Accounting and Financial Disclosure              19


                                     PART III

Item 10.      Directors and Executive Officers of the Registrant                                                19

Item 11.      Executive Compensation                                                                            20

Item 12.      Security Ownership of Certain Beneficial Owners and Management                                    20

Item 13.      Certain Relationships and Related Transactions                                                    22


                                     PART IV

Item 14.      Exhibits, Financial Statement Schedules and Reports on Form 8-K                                   23
</Table>

                                       i

<Page>
                                     PART I

ITEM 1:  BUSINESS

         (a)      GENERAL DEVELOPMENT OF BUSINESS:

                  ML Principal Protection L.P. (the "Partnership") was organized
under the Delaware Revised Uniform Limited Partnership Act on January 3, 1994
and commenced trading activities on October 12, 1994. The Partnership is a
multi-strategy, multi-market managed futures investment vehicle employing a
range of proprietary strategies diversified across major markets of the global
economy -- financials, currencies, energy, metals and agriculture.

                  MLIM Alternative Strategies LLC ("MLIM AS LLC"), formerly
Merrill Lynch Investment Partners Inc. ("MLIP"), 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"), is the general partner of the Partnership. Merrill Lynch, Pierce,
Fenner & Smith Incorporated ("MLPF&S"), the successor to Merrill Lynch
Futures, Inc. ("MLF") by merger, is the Partnership's commodity broker.

                  Effective May 31, 2001, MLIP converted to a Delaware
limited liability company and changed its name. Effective August 14, 2001,
Merrill Lynch Group, Inc. contributed all of the issued and outstanding
shares of MLIM AS LLC to its affiliate MLIM in a tax-free reorganization. All
of the officers of MLIP at the time continued with their former roles with
MLIM AS LLC. The changes had no impact on the Partnership's investors.
Effective November 2, 2001, MLF merged into its affiliate, MLPF&S, a wholly
owned subsidiary of Merrill Lynch. MLPF&S became the successor party to the
agreements between MLF and the Partnership. The terms of the agreements
remained unchanged and the merger had no effect on the terms on which the
Partnership's transactions were executed.

                  Many of the multi-advisor funds (the "Multi-Advisor Funds")
sponsored by MLIM AS LLC allocate their assets to a number of the same
independent advisors (the "Advisors"). MLIM AS LLC consolidated the trading
accounts of nine of its Multi-Advisor Funds as of June 1, 1998. The
consolidation was achieved by having these Multi-Advisor Funds close their
existing trading accounts and invest in a limited liability company, ML
Multi-Manager Portfolio LLC ("MM LLC"), a Delaware limited liability company,
which opened a single account with each Advisor selected. On September 1,
2000, the Partnership joined MM LLC in a similar manner along with another
Multi-Advisor Fund sponsored by MLIM AS LLC. MM LLC is managed by MLIM AS
LLC, has no investors other than the Multi-Advisor Funds and serves solely as
the vehicle through which the assets of such Multi-Advisor Funds are combined
in order to be managed through single rather than multiple accounts. The
placement of assets into MM LLC did not change the operations or fee
structure of the Partnership; therefore, the following notes also relate to
the operation of the Partnership through its investment in MM LLC. The
administrative authority over the Partnership remains with MLIM AS LLC. MLIM
AS LLC, on an ongoing basis, may change the number of Multi-Advisor Funds
investing in MM LLC.

                  The Partnership offers its units of limited partnership
interest ("Units"), and receives and processes subscriptions, on a continuous
basis throughout each calendar quarter. Investors whose subscriptions are
accepted at any time during a calendar quarter are admitted to the Partnership
as limited partners as of the beginning of the immediately following quarter,
acquiring Units at $100 per Unit. Investors' customer securities accounts are
debited in the amount of their subscriptions on settlement dates throughout each
quarter shortly after their subscriptions are accepted by MLIM AS LLC.
Subscription proceeds received during a quarter are held in escrow pending
investment in Units as of the beginning of the following quarter. All
interest earned on subscriptions while held in escrow is paid to the
investors on or about the date that Units are issued to them or their
subscription is rejected.

                  The Units sold, generally, at the beginning of each calendar
quarter, are sold in separate Series,

                                       1
<Page>

each of which has its own Net Asset Value. All Series trade pursuant to the
same Advisor combination, but because they begin trading at different times
they have different Net Asset Values and may have different percentages of
their capital invested in MM LLC or, prior to September 1, 2000, the ML
Principal Protection Trading L.P. (the "Trading Partnership").

                  Only the assets attributable to each Series of Units allocated
to trading are allocated to the Advisors for management through MM LLC.

                  As of December 31, 2001, the Partnership's capitalization was
$ 21,305,280 and the Net Asset Value per Series A Unit (the initial Series of
Units), originally $100 as of October 12, 1994, had risen to $142.01 (adding
back $29.50 in Distributions).

                  Through December 31, 2001, the highest month-end Net Asset
Value of a Series A Unit was $147.86 (adding back $29.50 in Distributions)
(October 31, 2001) and the lowest was $101.04 (December 31, 1994).

                  The outstanding Series of Units are entitled to fixed-rate
annual distributions (which cannot be reduced prior to the first Principal
Assurance Date, as defined below, for such Series) and may also receive certain
discretionary distributions. No distributions are made on any Series of Units
sold after May 1, 1997.

                  The Partnership is a "principal protected" commodity pool.
Merrill Lynch provides the guarantee described below under 1(c), "Narrative
Description of Business -- Merrill Lynch's 'Principal Protection' Undertaking
to the Partnership" that all Units of any given Series will have a Net Asset
Value -- after payment of all fixed-rate annual as well as discretionary
distributions on such Units, in the case of Units sold on or prior to May 1,
1997 -- of at least their initial $100 subscription price as of a specified
date after their issuance (the "Principal Assurance Date" for such Series,
seven years after issuance for all outstanding Series sold before May 1, 1997
and five years after issuance for all Series sold thereafter). This guarantee
does not prevent substantial losses, but rather serves only as a form of
"stop loss," limiting the maximum loss which investors who retain their Units
until such Units' Principal Assurance Date can incur. In order to protect
Merrill Lynch from any liability under its guarantee, MLIM AS LLC imposes
substantial opportunity costs on the Partnership by deleveraging its trading,
retaining a substantial portion of the Partnership's assets in the
Partnership rather than investing such assets in MM LLC for allocation to
trading. If the Net Asset Value per Unit of a Series declines to 110% or less
of the present value of $100, plus any fixed-rate annual distributions due on
such Series, discounted back from the Principal Assurance Date, MLIM AS LLC
would terminate trading with respect to such Series altogether in order to
ensure that Merrill Lynch incurred no financial obligation to the Partnership
under Merrill Lynch's guarantee of the minimum Net Asset Value per Unit of
such Series. The Principal Assurance Dates for Series A and Series B came to
term on September 30, 2001 and December 31, 2001, respectively and were not
renewed. The Series A and Series B Units remain outstanding, with 100% of
their assets allocated to trading, without any "principal protection" feature.

                  In the case of Units sold after May 1, 1997, the potential
opportunity costs of the Partnership's "principal protection" are significantly
increased due to the fact that in the event that MLIM AS LLC deleverages any
Series of such Units, it must deleverage all Series to the same degree. A Series
could be deleveraged as a result of losses which accrued subsequent to such
Series having recognized profits more than sufficient to offset such losses, but
which were earned before a more recent Series was issued and, consequently, were
not available to offset the same losses incurred by such Series. Conversely,
losses incurred before a particular Series is issued could indirectly cause a
further deleveraging of such Series' trading due to the effect of such losses on
the leverage which MLIM AS LLC believes it is appropriate to use for an
earlier-issued Series.

         (b)      FINANCIAL INFORMATION ABOUT SEGMENTS:

                  The Partnership's business constitutes only one segment for
financial reporting purposes, i.e., a speculative "commodity pool." The
Partnership does not engage in sales of goods or services.

         (c)      NARRATIVE DESCRIPTION OF BUSINESS:

                  GENERAL

                                       2
<Page>

                  The Partnership trades, through MM LLC in the international
futures, options on futures, forwards and options on forward markets, with
the objectives of achieving long-term capital appreciation while controlling
performance volatility while assuring investors of at least a predetermined
minimum Net Asset Value per Unit as of the Prinicipal Assurance Date, with
respect to those Series whose Principal Assurance Date has not passed. The
Partnership's investment in MM LLC is allocated and reallocated by MLIM AS
LLC to the trading management of the Advisors applying proprietary strategies
in numerous markets. MLIM AS LLC may, from time to time, direct certain
individual Advisors to manage their Partnership accounts as if they were
managing up to 50% more equity than the actual capital allocated to them.

                  One of the objectives of the Partnership is to provide
diversification for a limited portion of the risk segment of the Limited
Partners' portfolios. Commodity pool performance has historically often
demonstrated a low degree of performance correlation with traditional stock
and bond holdings. Since it began trading, the Partnership's returns have, in
fact, frequently been non-correlated with the United States stock and bond
markets.

                  MERRILL LYNCH'S "PRINCIPAL PROTECTION" UNDERTAKING TO THE
                  PARTNERSHIP

                  Merrill Lynch agreed to contribute sufficient capital to
the Partnership so that it will have adequate funds, after adjusting for all
liabilities to third parties, that the Net Asset Value per Unit of each
Series that remains subject to the guarantee will be no less than $100 as of
the Principal Assurance Date for such Series (after the payment of all
distributions, if any, on Units of such Series). This guarantee, which is
effective with respect to certain Series as of the Principal Assurance Date
for such Series, is a guarantee only of a return of an investor's initial
investment (plus distributions, if any). It is not a guarantee against the
loss of the time value of such investment or a guarantee of profit. The
Principal Assurance Dates for Series A and Series B came to term on September
30, 2001 and December 31, 2001, respectively and were not renewed. The Series
A and Series B Units remain outstanding, with 100% of their assets allocated
to trading, without any "principal protection" feature.

                  OPERATION OF A SERIES AFTER ITS PRINCIPAL ASSURANCE DATE

                  MLIM AS LLC may determine to dissolve a Series as of its
Principal Assurance Date, to extend the Merrill Lynch guarantee for a certain
period of time (resetting the minimum Net Asset Value per Unit of such Series
guaranteed by Merrill Lynch) or to continue to operate such Series without a
"principal protection" feature. Series A and Series B continues to operate
without the "principal protection" feature.

                  PREVIOUS TWO-TIER STRUCTURE OF THE PARTNERSHIP

                  Prior to September 1, 2000, the Partnership did not trade
in the futures and forwards markets directly, but rather through the Trading
Partnership. The Partnership's liability for any trading losses was still
limited to the Partnership's investment in the Trading Partnership. Effective
September 1, 2000, the Partnership consolidated its trading accounts with
those of certain other multi-advisor managed futures funds sponsored by MLIM
AS LLC. The Trading Partnership was no longer trading directly through
managed accounts with each of its advisors, but invested in MM LLC. As of
January 1, 2001, the Trading Partnership was liquidated and the Partnership
invested directly into MM LLC.

                  USE OF PROCEEDS AND CASH MANAGEMENT INCOME

                  SUBSCRIPTION PROCEEDS.

                  MLIM AS LLC pays from its own funds the selling commissions
relating to the sale of the Units. Accordingly, 100% of the proceeds of Unit
sales are received in cash by the Partnership and are available for use in its
speculative trading. In such trading, the Partnership's assets are used as
security for and to pay the Partnership's trading losses as well as any expenses
and redemptions. The primary use of the proceeds of the sale of the Units is to
permit the Advisors to trade on a speculative basis in a wide range of different
futures, options on futures, forwards and options on forward markets on behalf
of the Partnership. While being used for this purpose, the Partnership's
assets are also generally available for cash management and to earn interest, as
more fully described below under "Available Assets."

                  MARKET SECTORS.

                                       3
<Page>

                  The Partnership trades, through MM LLC, in a diversified
group of markets under the direction of multiple independent Advisors. These
Advisors can from time to time, materially alter the allocation of their
overall trading commitments among different market sectors. Except in the
case of certain trading programs which are purposefully limited in the
markets which they trade, there is essentially no restriction on the
commodity interests which may be traded by any Advisor or the rapidity with
which an Advisor may alter its market sector allocations.

                  MARKET TYPES.

                  The Partnership trades, through MM LLC, on a variety of
United States and foreign futures exchanges. Substantially all of the
Partnership's off-exchange trading takes places in the highly liquid,
institutionally-based currency forward markets.

                  Many of the Partnership's currency trades, through MM LLC,
are executed in the spot and forward foreign exchange markets (the "FX
Markets") where there are no direct execution costs. Instead, the
participants, banks and dealers, in the FX Markets take a "spread" between
the prices at which they are prepared to buy and sell a particular currency
and such spreads are built into the pricing of the spot or forward contracts
with the Partnership. In its exchange of futures for physical ("EFP")
trading, the Partnership acquires cash currency positions through banks and
dealers. The Partnership pays a spread when it exchanges these positions for
futures. This spread reflects, in part, the different settlement dates of the
cash and the futures contracts, as well as prevailing interest rates, but
also includes a pricing spread in favor of the banks and dealers, which may
include a Merrill Lynch entity.

                  As in the case of its market sector allocations, the
Partnership's commitments to different types of markets -- U.S. and non-U.S.,
regulated and non-regulated -- differ substantially from time to time as well as
over time. The Partnership has no policy restricting its relative commitments to
any of these different types of markets.

                  CUSTODY OF ASSETS.

                  All of the Partnership's assets are currently held in
customer accounts at Merrill Lynch.

                  AVAILABLE ASSETS.

                  Prior to May 26, 2000, the Partnership earned income, as
described below, on its "Available Assets," which could be generally described
as the cash actually held by the Partnership or invested in Treasury bills or
Government Securities. Available Assets were held primarily in U.S. dollars or
in U.S. dollar denominated Government Securities, and to a lesser extent, in
foreign currencies, and were comprised of the following: (a) the Partnership's
assets managed by MLIM and the Partnership's cash balances held in the offset
accounts (as described below) which include "open trade equity" (unrealized gain
and loss on open positions) on United States futures contracts, which is paid
into or out of the Partnership's account on a daily basis; (b) short-term
Treasury bills purchased by the Partnership; and (c) the Partnership's cash
balance in foreign currencies derived from its trading in non-U.S. dollar
denominated futures and options contracts, which includes open trade equity on
those exchanges which settle gains and losses on open positions in such
contracts prior to closing out such positions. On May 26, 2000, the Government
Securities and Treasury bills were liquidated and Commercial Paper was
purchased. Available Assets do not include, and the Partnership does not earn
interest on, the Partnership's gains or losses on its open forward, commodity
option and certain foreign futures positions since such gains and losses are not
collected or paid until such positions are closed out.

                  The Partnership's Available Assets may be greater than, less
than or equal to the Partnership's Net Asset Value (on which the redemption
value of the Units is based) primarily because Net Asset Value reflects all
gains and losses on open positions, as well as accrued but unpaid expenses.

THE PARTNERSHIP'S U.S. DOLLAR AVAILABLE ASSETS MANAGED BY MLIM AND COMMERCIAL
PAPER PROGRAM.

                                       4
<Page>

                  Prior to May 26, 2000, a portion of the Partnership's U.S.
dollar Available Assets were managed directly by MLIM, pursuant to guidelines
established by MLIM AS LLC, for which MLIM assumed no responsibility, in the
Government Securities markets. MLIM AS LLC's objective in retaining MLIM was to
provide cash management services to the Partnership and to enhance the return
earned on the Partnership's U.S. dollar Available Assets managed by MLIM to
slightly above the 91-day Treasury bill rate. On May 26, 2000, the Government
Securities were liquidated and the management agreement with MLIM was
terminated. Commercial Paper was then purchased. MLPF&S acts as custodian for
the cash assets utilized in the Commercial Paper Program. The Commercial Paper
Program is managed by MLIM AS LLC. As of December 31, 2001, the Commercial
Paper Program was inactive.

                  The Commercial Paper holdings are acquired on behalf of the
Partnership and maintained in a custodial account at Merrill Lynch and are
specifically traceable to the Partnership. All income earned on such Commercial
Paper inures to the benefit of the Partnership.

                  INTEREST PAID BY MERRILL LYNCH ON THE PARTNERSHIP'S U.S.
                  DOLLAR AND NON-U.S. DOLLAR ASSETS

                  The Partnership's U.S. dollar assets are maintained at
MLPF&S. On assets held in U.S. dollars, Merrill Lynch credits the Partnership
with interest at the prevailing 91-day U.S. Treasury bill rate. The
Partnership is credited with interest on any of its assets and net gains
actually held by Merrill Lynch in non-U.S. dollar currencies at a prevailing
local rate received by Merrill Lynch. Merrill Lynch may derive certain
economic benefit, in excess of the interest which Merrill Lynch pays to the
Partnership, from possession of such assets. The Partnership's U.S. dollar
assets invested in MM LLC are also maintained at MLPF&S. MLPF&S credits
MM LLC with interest in the same manner. The Partnership indirectly receives
this interest through its investment in MM LLC.

                  Merrill Lynch charges the Partnership directly, and after
September 1, 2000 through MM LLC Merrill Lynch's cost of financing realized
and unrealized losses on the Partnership's non-U.S. dollar-denominated
positions.

         CHARGES

                  The following table summarizes the charges incurred by the
Partnership during 2001, 2000, and 1999.

<Table>
<Caption>
                                          2001                          2000                              1999
                               --------------------------------------------------------------------------------------------
                                               % OF AVERAGE                     % OF AVERAGE                   % OF AVERAGE
                                  DOLLAR       MONTH-END        DOLLAR          MONTH-END         DOLLAR       MONTH-END
            CHARGES               AMOUNT       NET ASSETS       AMOUNT          NET ASSETS        AMOUNT       NET ASSETS
---------------------------------------------------------------------------------------------------------------------------
<S>                                <C>         <C>              <C>             <C>               <C>          <C>
Brokerage Commissions                     -     0.00%           $1,398,269      4.36%             $3,969,972     6.53%
Administrative Fee                        -     0.00%               53,971      0.17%                159,099     0.26%
Profit Shares                             -     0.00%               19,158      0.06%                265,734     0.44%
                               --------------------------------------------------------------------------------------------
Total                                     -     0.00%           $1,471,398      4.59%             $4,394,805     7.23%
                               ============================================================================================
</Table>


                  Subsequent to September 1, 2000, Brokerage Commissions,
Administrative Fees and Profit Shares are not representative of the actual
amounts paid by the Partnership, because the Partnership paid these fees as
an investor in MM LLC. During 2001, the Partnership had 100% of its assets
invested in MM LLC. The charges were incurred by MM LLC and passed through
the Partnership (see "Description of Current Charges").

                  The foregoing table does not reflect the bid-ask spreads paid
by the Partnership on its forward trading, or the benefits which may be derived
by Merrill Lynch from the deposit of certain of the Partnership's U.S. dollar
available assets in offset accounts.

                  The Partnership's average month-end Net Assets during 2001,
2000, and 1999 equaled $23,799,347, $32,066,319 and $60,816,812, respectively.

                  During 2001, 2000 and 1999, the Partnership earned $213,543,
$1,549,458 and $3,263,074 in interest income, or approximately 0.90%, 4.83% and
5.37% of the Partnership's average month-end Net Assets.

                  The variations in charges and interest income are primarily
due to placing assets in MM LLC (See Item 7).

                                       5
<Page>

                                    DESCRIPTION OF CURRENT CHARGES

<Table>
<Caption>
RECIPIENT                  NATURE OF PAYMENT                  AMOUNT OF PAYMENT
---------                  -----------------                  -----------------
<S>                        <C>                                <C>
MLPF&S                     Brokerage Commissions              A flat-rate monthly commission of 0.625 of 1% (a 7.5%
                                                              annual rate) of the Partnership's month-end assets
                                                              committed to trading. The Partnership initially
                                                              commits 85% of the capital attributable to each
                                                              Series of Units issued after May 1, 1998.

                                                              During 2000 (prior to its investment in MM LLC) and
                                                              1999, the round-turn equivalent rate of the Partnership's
                                                              flat-rate Brokerage Commissions was approximately $101 and
                                                              $127, respectively. The estimated aggregate round turn
                                                              commission rate for MM LLC for the years ended
                                                              December 31, 2001 and 2000 was $64 and $82, respectively.

MLPF&S                     Use of Partnership assets          Merrill Lynch may derive certain economic benefit
                                                              from the deposit of certain of the Partnership's U.S.
                                                              dollar Available Assets not held in Commercial Paper.

MLIM AS LLC                Administrative Fees                The Partnership pays MLIM AS LLC a monthly
                                                              Administrative Fee equal to 0.021 of 1% (a 0.25 of 1%
                                                              annual rate) of the Partnership's month-end total
                                                              assets. MLIM AS LLC pays the Partnership's routine
                                                              administrative costs.

Other                      Bid-ask spreads                    Bid-ask spreads on forward and related trades.
Counterparties


                                       6
<Page>

<Caption>
RECIPIENT                  NATURE OF PAYMENT                  AMOUNT OF PAYMENT
---------                  -----------------                  -----------------
<S>                        <C>                                <C>
Advisors                   Profit Shares                      Advisors receive quarterly or annual Profit Shares
                                                              ranging from 20% to 23% (depending on the Advisor) of
                                                              any New Trading Profit. Profit Shares are also paid
                                                              upon the net reallocation of assets away from an
                                                              Advisor and the redemption of Units. New Trading
                                                              Profit is calculated separately in respect of each
                                                              Advisor, irrespective of the overall performance of
                                                              the Partnership. The Partnership may pay substantial
                                                              Profit Shares during periods when it is incurring
                                                              significant overall losses. Subsequent to
                                                              September 1, 2000, the Partnership pays Profit Shares
                                                              through MM LLC.

Advisors                   Consulting Fees                    MLPF&S  pays  the  Advisors  annual  Consulting  Fees
                                                              ranging  up  to  2%  of  the  Partnership's   average
                                                              month-end  assets  allocated to them for  management,
                                                              after  reduction  for  a  portion  of  the  brokerage
                                                              commissions accrued with respect to such assets.

MLPF&S;                    Extraordinary expenses             Actual costs incurred; none paid to date.
  Others
</Table>


                    --------------
                  REGULATION

                  MLIM AS LLC, the Advisors and MLPF&S are each subject to
regulation by the Commodity Futures Trading Commission (the "CFTC") and the
National Futures Association (the "NFA"). Other than in respect of its
periodic reporting requirements under the Securities Exchange Act of 1934,
and the registration of the Units for continuous public distribution under
the Securities Act of 1933, the Partnership itself is generally not subject
to regulation by the Securities and Exchange Commission (the "SEC"). However,
MLIM AS LLC itself is registered as an "investment adviser" under the
Investment Advisers Act of 1940. MLPF&S is also regulated by the SEC and the
National Association of Securities Dealers.

                  (i) through (xii) -- not applicable.

                  (xiii)  The Partnership has no employees.

          (d)     FINANCIAL INFORMATION ABOUT GEOGRAPHIC AREAS:

                 The Partnership does not engage in material operations in
foreign countries, nor is a material portion of the Partnership's revenues
derived from customers in foreign countries. However, the Partnership trades,
through MM LLC, on a number of foreign commodity exchanges. The Partnership
does not engage in the sales of goods or services.

ITEM 2:  PROPERTIES

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

         The Partnership's only place of business is the place of business of
MLIM AS LLC (MLIM Alternative Strategies LLC, Princeton Corporate Campus, 800
Scudders Mill Road - Section 2G, Plainsboro, New Jersey 08536). MLIM AS LLC
performs all administrative services for the Partnership from MLIM AS
LLC's offices.

ITEM 3:  LEGAL PROCEEDINGS

                  Merrill Lynch -- a partner of MLIM (which is the sole
member of MLIM AS LLC) -- as well as certain of its subsidiaries and
affiliates have been named as defendants in civil

                                       7
<Page>

actions, arbitration proceedings and claims arising out of their respective
business activities. Although the ultimate outcome of these actions cannot be
predicted at this time and the results of legal proceedings cannot be predicted
with certainty, it is the opinion of management that the result of these matters
will not be materially adverse to the business operations of financial condition
of MLIM AS LLC or the Partnership.

                  MLIM AS LLC itself has never been the subject of any material
litigation.

ITEM 4:  SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS

                  The Partnership has never submitted any matters to a vote of
its Limited Partners.

                                     PART II

ITEM 5:  MARKET FOR REGISTRANT'S COMMON EQUITY AND RELATED STOCKHOLDER MATTERS

ITEM 5(a)

         (a)      MARKET INFORMATION:

                  There is no established public trading market for the
Units, nor will one develop. However, Limited Partners may redeem Units as of
the end of each month at Net Asset Value, subject to certain early redemption
charges. Units redeemed prior to their applicable Principal Assurance Date
are not entitled to any benefits under the Merrill Lynch guarantee.

         (b)      HOLDERS:

                  As of December 31, 2001, there were 1,268 holders of Units,
including MLIM AS LLC.

         (c)      DIVIDENDS:

                  For Series issued on or prior to May 1, 1997, the Partnership
makes annual fixed-rate distributions, payable irrespective of profitability, of
$3.50 per Unit. MLIM AS LLC may also make discretionary distributions of up to
50% of any Distributable New Appreciation, as defined, recognized as of each
twelve-month anniversary of the issuance of each Series of Units, subject to an
annual limit of 4% of the Net Asset Value per Unit of each Series as of the
beginning of the preceding twelve-month period. Distributions, whether
fixed-rate or discretionary, do not reduce the $100 minimum Net Asset Value per
Unit assured to investors as of the Principal Assurance Date for their Series of
Units. For those Series whose principal protection feature has not been
renewed, currently Series A and Series B, the annual fixed rate distribution
has been terminated.

                                       8
<Page>

         As of December 31, 2001, 2000 and 1999, the Partnership had made the
following distributions:

<Table>
<Caption>
                     SERIES        DISTRIBUTION          FIXED-RATE      DISCRETIONARY
                                       DATE             DISTRIBUTION      DISTRIBUTION
        --------------------  ----------------------- ----------------  -----------------
<S>     <C>                   <C>                     <C>               <C>
   2001
                   Series A                10/1/2001       $ 3.50                      -
                   Series B                 1/1/2001         3.50                      -
                   Series C                 4/1/2001         3.50                      -
                   Series D                 7/1/2001         3.50                      -
                   Series E                10/1/2001         3.50                      -
                   Series F                 1/1/2001         3.50                      -
                   Series G                 4/1/2001         3.50                      -
                   Series H                 7/1/2001         3.50                      -


   2000
                   Series A                10/1/2000       $ 3.50                      -
                   Series B                 1/1/2000         3.50                      -
                   Series C                 4/1/2000         3.50                      -
                   Series D                 7/1/2000         3.50                      -
                   Series E                10/1/2000         3.50                      -
                   Series F                 1/1/2000         3.50                      -
                   Series G                 4/1/2000         3.50                      -
                   Series H                 7/1/2000         3.50                      -


   1999
                   Series A                10/1/1999       $ 3.50                      -
                   Series B                 1/1/1999         3.50                      -
                   Series C                 4/1/1999         3.50                      -
                   Series D                 7/1/1999         3.50                   1.00
                   Series E                10/1/1999         3.50                      -
                   Series F                 1/1/1999         3.50                      -
                   Series G                 4/1/1999         3.50                      -
                   Series H                 7/1/1999         3.50                   1.00
</Table>


           The Partnership does not make any distributions on any Series of
Units issued subsequent to May 1, 1997.

         (d)      RECENT SALES OF UNREGISTERED SECURITIES;
                  USE OF PROCEEDS FROM REGISTERED SECURITIES

                  The Partnership has Units registered with an aggregate price
of $462,114,000. The Partnership has sold Units with an aggregate price of
$164,506,495.

ITEM 5(b)

                                       9
<Page>

                  Not applicable.

ITEM 6:  SELECTED FINANCIAL DATA

The following selected financial data has been derived from the audited
financial statements of the Partnership:

<Table>
<Caption>
                                            FOR THE YEAR    FOR THE YEAR     FOR THE YEAR     FOR THE YEAR    FOR THE YEAR
                                                ENDED            ENDED           ENDED            ENDED           ENDED
                                            DECEMBER 31,    DECEMBER 31,     DECEMBER 31,     DECEMBER 31,     DECEMBER 31,
INCOME STATEMENT DATA                           2001            2000             1999             1998            1997
---------------------------------------------------------------------------------------------------------------------------------
<S>                                      <C>             <C>              <C>               <C>                 <C>
Revenues:

Trading Profit (Loss)
     Realized                                  $       -     $  (610,248)      $1,318,041      $ 8,746,563      $ 5,412,457
     Change in Unrealized                              -        (202,811)        (809,172)      (2,053,193)       1,083,826
                                        ------------------------------------------------------------------------------------
     Total Trading Results                             -        (813,059)         508,869        6,693,370        6,496,283
                                        ------------------------------------------------------------------------------------

Interest Income                                  213,543       1,549,458        3,263,074        5,434,851        4,873,872
                                        ------------------------------------------------------------------------------------
     Total Revenues                              213,543         736,399        3,771,943       12,128,221       11,370,155
                                        ------------------------------------------------------------------------------------

Expenses:
     Brokerage Commissions                             -       1,398,269        3,969,972        6,159,359        4,833,598
     Administrative Fees/1/                            -          53,971          159,099          193,861          138,103
     Profit Shares                                     -          19,158          265,734        1,658,306          931,522
                                        ------------------------------------------------------------------------------------
     Total Expenses                                    -       1,471,398        4,394,805        8,011,526        5,903,223
                                        ------------------------------------------------------------------------------------
Income from Investment in MM LLC                 478,957       1,876,745                -                -                -
                                        ------------------------------------------------------------------------------------
Net Income (Loss) Before                         692,500       1,141,746         (622,862)       4,116,695        5,466,932
Minority Interest
Minority Interest in (Income) Loss/2/                  -         (48,173)          14,666          (27,056)         (46,687)
                                        ------------------------------------------------------------------------------------
Net Income (Loss)                              $ 692,500     $ 1,093,573       $ (608,196)     $ 4,089,639      $ 5,420,245
                                        ====================================================================================
</Table>

<Table>
<Caption>
                                    DECEMBER 31,      DECEMBER 31,       DECEMBER 31,     DECEMBER 31,     DECEMBER 31,
BALANCE SHEET DATA/2/                  2001              2000               1999             1998             1997
----------------------------------------------------------------------------------------------------------------------------
<S>                                 <C>                <C>               <C>              <C>               <C>
Aggregate Net Asset Value
   (Series A-S)                     $ 21,305,280       $ 26,698,851      $ 41,682,768     $ 79,106,838         $101,226,685
                                    ------------       ------------      ------------     ----------------------------------
Net Asset Value per Unit
   Series A                              $112.51 /3/        $113.23 /4/       $111.64 /5/      $115.74 /6/          $113.73 /7/
   Series B                              $111.80 /3/        $111.96 /4/       $110.83 /5/      $113.98 /6/          $114.15 /7/
   Series C                              $107.78 /3/        $107.87 /4/       $106.45 /5/      $108.92 /6/          $108.15 /7/
   Series D                              $106.95 /3/        $107.16 /4/       $106.98 /5/      $111.45 /6/          $109.94 /7/
   Series E                              $108.39 /3/        $108.67 /4/       $107.36 /5/      $111.14 /6/          $109.40 /7/
   Series F                              $107.16 /3/        $107.43 /4/       $106.12 /5/      $108.95 /6/          $109.04 /7/
   Series G                              $105.91 /3/        $106.12 /4/       $104.76 /5/      $107.67 /6/          $106.52 /7/
   Series H                              $104.16 /3/        $104.40 /4/       $103.60 /5/      $107.81 /6/          $106.62 /7/
   Series K                              $117.09            $114.12           $107.85          $109.61              $104.77
   Series L                              $114.12            $111.23           $105.10          $106.81              $102.08
   Series M                              $115.73            $112.79           $106.61          $108.34              $103.70
   Series N                              $111.59            $108.74           $102.77          $104.43                  N/A
   Series O                              $111.91            $109.07           $103.09          $104.77                  N/A
   Series P                              $114.15            $111.28           $105.19          $106.92                  N/A
   Series Q                              $105.53            $102.89            $97.27           $98.86                  N/A
   Series R                              $106.57            $103.39            $98.33              N/A                  N/A
   Series S                              $107.41            $104.76            $99.20              N/A                  N/A
</Table>

                                       10
<Page>

         (1) MLIM AS LLC was general partner of the Trading Partnership
before it was dissolved. Because the Partnership owned substantially all of
the Trading Partnership prior to January 1, 2001, Trading Partnership
activities are referred to as Partnership activities in this Report. The
minority interest represents MLIM AS LLC's share, as general partner of the
Trading Partnership, of the Trading Partnership's profit or loss.

         (2) Balance Sheet Data is based on redemption values which differ
immaterially from Net Asset Values as determined under Generally Accepted
Accounting Principles ("GAAP") due to the treatment of organizational and
initial offering cost reimbursements until September 1997.

         (3) Net of aggregate distributions of $29.50 per Unit on Series A
Units, $28.00 on Series B Units, $25.00 on Series C Units, $23.00 on Series D
Units, $23.00 on Series E Units, $21.25 on Series F Units, $21.00 on Series G
Units and $21.00 on Series H Units.

         (4) Net of aggregate distributions of $26.00 per Unit on Series A
Units, $24.50 on Series B Units, $21.50 on Series C Units, $19.50 on Series D
Units, $19.50 on Series E Units, $17.75 on Series F Units, $17.50 on Series G
Units and $17.50 on Series H Units.

         (5) Net of aggregate distributions of $22.50 per Unit on Series A
Units, $21.00 on the Series B Units, $18.00 on the Series C Units, $16.00 on
the Series D Units, $16.00 on the Series E Units, $14.25 on the Series F
Units, $14.00 on the Series G Units and $14.00 on the Series H Units.

         (6) Net of aggregate distributions of $19.00 per Unit on Series A
Units, $17.50 on the Series B Units, $14.50 on Series C Units, $11.50 on
Series D Units, $12.50 on Series E Units, $10.75 on Series F Units, $10.50 on
Series G Units and $9.50 on Series H Units.

         (7) Net of aggregate distributions of $15.50 per Unit on Series A
Units, $12.50 on B Units and $11.00 on Series C Units, $8.00 on Series D
Units, $9.00 on Series E Units, $6.00 on Series F Units, $7.00 on Series G
Units and $6.00 on Series H Units.

                          ML PRINCIPAL PROTECTION L.P.
                                DECEMBER 31, 2001

        TYPE OF POOL: Multi-Advisor; Selected Advisor/Publicly-Offered/
                            "Principal Protected"(1)
                     INCEPTION OF TRADING: October 12, 1994
                      AGGREGATE SUBSCRIPTIONS:$164,976,175
                       CURRENT CAPITALIZATION: $21,305,280
                   WORST MONTHLY DRAWDOWN:(2) (4.00)% (11/01)
             WORST PEAK-TO-VALLEY DRAWDOWN:(3) (6.20)% (11/98-12/00)


                          MONTHLY RATES OF RETURN(4)
<Table>
<Caption>
MONTH                         2001       2000        1999      1998       1997
<S>                        <C>        <C>         <C>       <C>        <C>
January                     (0.32%)      1.11%     (1.09%)     0.07%       2.06%
February                      0.92       (0.38)      0.84     (0.56)       1.44
March                         3.76       (0.87)     (0.52)     0.10        0.05
April                        (2.08)      (1.50)      1.17     (1.96)      (0.70)
May                          (0.55)       0.72      (1.30)     0.95       (1.43)
June                          0.22       (1.21)      1.19     (0.86)       0.70
July                          0.04       (1.11)      0.20     (0.67)       3.14
August                        0.61        0.76      (0.02)     4.83       (2.71)
September                     0.84       (2.21)     (0.91)     3.55        0.86
October                       3.52        0.39      (2.90)     0.06       (0.43)
November                     (4.00)       4.75       1.60     (1.00)       0.80
December                     (0.01)       4.74       1.00      0.20        2.22
Compound Annual
Rate of Return                2.75%       5.02%    (0.83%)     4.60%       6.01%
</Table>

                     Rates of Return are presented on a composite, not a
Series-by-Series, basis.

                                       11
<Page>

                  All Units issued on or prior to May 1, 1997 commenced trading
with 60%, and Units issued after May 1, 1997 with 75%, of their assets allocated
to trading. Beginning May 1, 1998, all Units issued after May 1, 1997 have
initially allocated 85% of their assets to trading.

                            -------------------------

                  (1) Pursuant to applicable CFTC regulations, a
"Multi-Advisor" Partnership is defined as one that allocates no more than 25%
of its Trading Assets to any single manager. The Partnership does not
currently allocate more than 25% of its Trading Assets to any single Advisor
but may do so in the future; consequently, it is referred to as
a"Multi-Advisor; Selected Advisor" Partnership. Certain funds, including
funds sponsored by MLIM AS LLC, are structured so as to guarantee to
investors that their investment will be worth no less than a specified amount
(typically, the initial purchase price) as of a date certain after the date
of investment. The CFTC refers to such funds as "Principal Protected." The
Merrill Lynch guarantee and MLIM AS LLC- related deleveraging of the
Partnership's trading provides the "Principal Protection" feature of the
Partnership. The "Principal Protection" feature no longer applies to the Series
A Units (as of October 1, 2001) or the Series B Units as of January 1, 2002.

                  (2) Worst Monthly Drawdown represents the largest negative
Monthly Rate of Return experienced since January 1, 1997 by the Partnership;
a Drawdown is measured on the basis of month-end Net Asset Value only, and
does not reflect intra-month figures.

                  (3) Worst Peak-to-Valley Drawdown represents the greatest
percentage decline from a month-end cumulative Monthly Rate of Return since
January 1, 1997 without such cumulative Monthly Rate of Return being equaled or
exceeded as of a subsequent month-end. For example, if the Monthly Rate of
Return was (1)% in each of January and February, 1% in March and (2)% in April,
the Peak-to-Valley Drawdown would still be continuing at the end of April in the
amount of approximately (3)%, whereas if the Monthly Rate of Return had been
approximately 3% in March, the Peak-to-Valley Drawdown would have ended as of
the end of February at approximately the (2)% level.

                  (4) Monthly Rate of Return is the net performance of the
Partnership during the month of determination (including interest income and
after all expenses accrued or paid) divided by the total equity of the
Partnership as of the beginning of such month.



                   MONTH-END NET ASSET VALUE PER SERIES A UNIT
<Table>
<Caption>
            JAN.        FEB.         MAR.         APR.         MAY         JUNE         JULY        AUG.        SEPT.         OCT.
<S>     <C>          <C>         <C>          <C>          <C>         <C>          <C>          <C>         <C>          <C>
   1997 $113.00/a/   $114.63/a/  $114.69/a/   $113.89/a/   $112.28/a/  $113.05/a/   $116.48/a/   $113.59/a/  $114.53/a/   $110.69/b/
   1998 $113.84/b/   $113.25/b/  $113.37/b/   $111.46/b/   $112.48/b/  $111.69/b/   $111.09/b/   $116.00/b/  $119.77/b/   $116.40/c/
   1999 $114.49/c/   $115.86/c/  $114.86/c/   $116.14/c/   $114.75/c/  $116.00/c/   $116.26/c/   $116.28/c/  $115.41/c/   $109.03/d/
   2000 $112.80/d/   $112.46/d/  $111.61/d/   $110.11/d/   $110.85/d/  $109.67/d/   $108.61/d/   $109.41/d/  $107.25/d/   $104.16/e/
   2001 $112.97/e/   $113.94/e/  $117.81/e/   $115.64/e/   $115.09/e/  $115.36/e/   $115.43/e/   $116.10/e/  $117.02/e/   $118.36/f/
<Caption>
            NOV.         DEC.
<S>      <C>          <C>
   1997 $111.50/b/   $113.73/b/
   1998 $115.45/c/   $115.74/c/
   1999 $110.61/d/   $111.64/d/
   2000 $108.59/e/   $113.23/e/
   2001 $112.55/f/   $112.51/f/
</Table>

Pursuant to CFTC policy, monthly performance is presented only from January 1,
1997 even though Units were outstanding prior to such date                  .

/a/ After reduction for the first annual distribution and the $6.00 per Series A
Unit distribution made as of October 1, 1996.
/b/ After reduction for the first and second annual distributions and the
$3.50 per Series A Unit distribution made as of October 1, 1997.
/c/ After reduction for the first, second and third annual distributions and the
$3.50 per Series A Unit distribution made on October 1, 1998.
/d/ After reduction for the first, second, third and fourth annual
distributions and the $3.50 per Series A Unit distribution made on October 1,
1999.
/e/ After reduction for the first, second, third, fourth and fifth annual
distributions and the $3.50 per Series A Unit distribution made on October 1,
2000.
/f/ After reduction for the first, second, third, fourth, fifth and sixth
annual distributions and the $3.50 per Series A Unit distribution made on
October 1, 2001.

The Net Asset Value per unit varies, until September 30, 1997, from how it would
be calculated for purposes of GAAP, due to the amortization of organizational
and initial offering costs.

ITEM 7:  MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND
         RESULTS OF OPERATIONS

         THE TWO-TIER STRUCTURE OF THE PARTNERSHIP

                  Effective September 1, 2000, the Partnership consolidated
its trading accounts with those of certain other multi-advisor managed future
funds sponsored by MLIM AS LLC. The Trading Partnership was no longer trading
directly through managed accounts with each of its Advisors, but investing in
MM LLC. On January 1, 2001, the Trading Partnership was liquidated and the
Partnership invested directly into MM LLC. Prior to September 1, 2000, the
Partnership did not trade in the futures and forwards markets directly, but
rather through the Trading Partnership. The Partnership's liability for any
trading losses was still limited to the Partnership's investment in the
Trading Partnership.

                                       12
<Page>

                  Different Series of Units allocate different percentages of
their overall capital to trading, through MM LLC. All trading profits and
losses are shared pro rata among the different series based on their
respective investments in MM LLC.

                  On January 1, 2001, the Trading Partnership was dissolved.
MLIM AS LLC redeemed its entire investment and the Partnership immediately
invested its redemption proceeds directly into MM LLC, giving the Partnership a
direct investment in MM LLC rather than through the Trading Partnership. This
action did not affect the operation of the Partnership or MM LLC and was done at
no cost to the investors. Any costs have been absorbed by MLIM AS LLC. MLIM AS
LLC continues to maintain a 1% General Partner interest in the Partnership.

RESULTS OF OPERATIONS

         ADVISOR SELECTIONS

                  The Partnership's results of operations depend on MLIM AS
LLC's ability to select Advisors and the Advisors' ability to trade profitably.
MLIM AS LLC's selection procedures and trading leveraging analysis, as well as
the Advisors' trading methods, are confidential, so that substantially the only
available information relevant to the Partnership's results of operations is its
actual performance record to date. Because of the speculative nature of its
trading, the Partnership's past performance is not necessarily indicative of its
future results.

                  MLIM AS LLC has made and expects to continue making
frequent changes to both trading asset allocations among Advisors and Advisor
combinations as well as from time to time adjusting the percentage of the
Partnership's assets committed to trading. All Series of Units trade under
the direction of the same Advisor allocation and combination, and may be
changed from time to time by MLIM AS LLC.

                  MLIM AS LLC's decision to terminate or reallocate assets among
Advisors is based on a combination of numerous factors. Advisors are, in
general, terminated primarily for unsatisfactory performance, but other factors
-- for example, a change in MLIM AS LLC's or an Advisor's market outlook,
apparent deviation from announced risk control policies, excessive turnover of
positions, changes in principals, commitment of resources to other business
activities, etc. -- may also have a role in the termination or reallocation
decision. The market judgment and experience of MLIM AS LLC's principals is an
important factor in its asset allocation decisions.

                  MLIM AS LLC has no timetable or schedule for making Advisor
changes or reallocations, and generally makes a medium- to long-term commitment
to all Advisors selected. There can be no assurance as to the frequency or
number of Advisor changes that may take place in the future, or as to how long
any of the current Advisors will continue to manage assets for the Partnership.

         GENERAL

                  A number of the Advisors are trend-following traders, whose
programs do not attempt to predict price movements. No fundamental economic
supply or demand analyses are used by these Advisors, and no macroeconomic
assessments of the relative strengths of different national economies or
economic sectors are evaluated. Instead, the programs apply proprietary
computer models to analyze past market data, and from this data alone attempt
to determine whether market prices are trending. These technical traders base
their strategies on the theory that market prices reflect the collective
judgment of numerous different traders and are, accordingly, the best and
most efficient

                                       13
<Page>

indication of market movements. However, there are frequent periods during which
fundamental factors external to the market dominate prices.

                  If a trend-following Advisor's models identify a trend, they
signal positions which follow it. When these models identify the trend as having
ended or reversed, these positions are either closed out or reversed. Due to
their trend-following character, these Advisors' programs do not predict either
the commencement or the end of a price movement. Rather, their objective is to
identify a trend early enough to profit from it and detect its end or reversal
in time to close out the Partnership's positions while retaining most of the
profits made from following the trend.

                  In analyzing the performance of trend-following programs,
economic conditions, political events, weather factors, etc., are not directly
relevant because only market data has any input into trading results.
Furthermore, there is no direct connection between particular market conditions
and price trends. There are so many influences on the markets that the same
general type of economic event may lead to a price trend in some cases but not
in others. The analysis is further complicated by the fact that the programs are
designed to recognize only certain types of trends and to apply only certain
criteria of when a trend has begun. Consequently, even though significant price
trends may occur, if these trends are not comprised of the type of intra-period
price movements which the programs are designed to identify, a trend-following
Advisor may miss the trend altogether.

                  In the case of the Advisors who implement strategies which
rely more on discretion and market judgment, it is not possible to predict, from
their performance during past market cycles, how they will respond to future
market events.

         PERFORMANCE SUMMARY

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

                  The Advisors, as a group, are unlikely to be profitable in
markets in which such trends do not occur. Static or erratic prices are likely
to result in losses. Similarly, unexpected events (for example, a political
upheaval, natural disaster or governmental intervention) can lead to major
short-term losses, as well as gains.

                  While there can be no assurance that any Advisor will be
profitable, under any given market condition, markets in which substantial and
sustained price movements occur typically offer the best profit potential for
the Partnership.

2001

                  During 2001, all of the Partnership's assets were invested in
MM LLC. The Partnership received trading profits as an investor in MM LLC. The
following commentary for 2001 describes the trading results of MM LLC during the
year.

Trading in the interest rate sector was the most successful strategy for 2001.
The impact of the weakening U.S. economy and the Federal Reserve's move to cut
interest rates was felt throughout the futures market, as Euro futures contracts
rose dramatically since December 2000. Eurodollar positions continued to post
gains later in the year. Swiss franc short term interest rate contract trading
and short Sterling 500 positions were also profitable. In October, the U.S.
Treasury's announcement to stop issuing 30 year debt, coupled with worldwide
governments easing of monetary policy, benefited long positions across the
global yield curve.

Despite year long volatility, stock index trading was profitable. Short
positions resulted in gains as global equity markets remained caught between
negative news about corporate earnings, the potential effects of further
monetary easing and the global economic slump would worsen as an aftermath of
the September 11 attacks. The global equity markets improved by year end, driven
by the rebounding technology sector.

Agricultural commodities trading was successful despite losses sustained early
in the year. Excellent growing weather in the U.S., Argentina and Brazil,
concerns about the U.S. export potential and inventories at historically high
levels, kept the markets on the defensive. The cotton market sank to a 15 year
low on short supply and increased demand. Short corn and cotton positions were
profitable at mid year. By October, the soybean complex posted gains as the
crushing capacity tightened up, driving spreads up to between $0.80-$1.00 in
nearby delivery months, crushing spreads had been near the $0.60 range.

Trading in the metals markets was successful. Silver prices reversed its earlier
trend in February, as short positions were profitable. Silver trading continued
to be volatile as China exports were high due to poor domestic demand, adversely
affecting prices. Short positions in base metals posted gains in October as a
weak economic outlook kept prices depressed. By year end, base metals reversed
their downward trend on expectations of a quick economic recovery, generating
losses on short positions.

Currency trading suffered losses for the Partnership. Long Euro positions
realized losses as the Euro fell back to the $0.90 level, despite strong
fundamentals. The further weakening of the Euro and Japanese yen displayed how
the global economy is not immune to the U.S. economic slowdown. Long British
pound positions were profitable in September as it appreciated versus the U.S.
dollar on concerns of the negative economic implications from the September 11
attacks.

Energy trading was the most unprofitable strategy in 2001. Early on, crude oil
prices were driven lower by both a seasonal downturn in global energy usage and
heavier than normal refinery maintenance work, reducing demand. The sector
continued to fade from downside pressure from a slowing global economy,
inventory surplus and OPEC's decision to leave production levels unchanged. Oil
prices sank in the last quarter as traders feared the attacks would cripple the
airline industry, a major consumer of oil.

2000
<Table>
<Caption>
                                     TOTAL TRADING
                                        RESULTS
<S>                                  <C>
 Interest Rates                      $   197,180
 Stock Indices                          (607,651)
 Agriculture                            (153,523)
 Currencies                              810,502
 Energy                                1,715,535
 Metals                                 (491,589)
                                     ------------
                                     $ 1,470,454
                                     ============
</Table>

    Energy trading was successful for the year. Long crude oil and unleaded gas
positions realized gains early in the year despite the possibility of OPEC
increasing oil production. A hike would still leave oil inventories at levels
much below normal during the balance of the year. Prices continued to rise
throughout the year as the International Energy Agency reported the need for
additional oil to prevent a shortage in inventory. During the fourth quarter,
fears of supply shortages pushed prices higher as average winter temperatures
dropped from the previous year.

    Currency trading alternated between unprofitable and profitable
throughout the year. The Euro declined against the

                                       14
<Page>

U.S. dollar early in the year after officials from the Group of Seven met and
failed to express concern about the low levels of the European currency
producing profits. Other factors to the decline include the slow pace of
microeconomic reform in Europe, plans for a European withholding tax and the
scale of direct investment flows outside of Europe. During the second
quarter, gains from short Euro currency and long Swiss franc positions
outweighed losses sustained in other currencies. Despite the dramatic
interest rate hikes by the Swiss National Bank ("SNB") and the weakness of
the Euro, the SNB said it would not keep the Swiss franc from rising. The
British pound was particularly weak in the wake of the Bank of England's
references to "sterling overvaluation." Gains realized on short Japanese yen
positions were outweighed by losses sustained in the Euro positions as it
fell to a record low despite stronger than expected European financial data
and the success of the German tax reform package. Currency trading finished
off the year strong as gains in the Canadian dollar out weighed losses sustained
from Euro position. Short positions in the Canadian dollar were profitable as
the currency weakened during the month despite worsening U.S. dollar
fundamentals, a large Canadian budget surplus and plans for tax cuts in
Canada.

    Slight profits were earned during the year in the interest rate sector.
Short Eurodollar trading was profitable as the currency continued to decline
early in the year. The European Union ministers blamed the currency's slide in
January on rapid U.S. growth and fears that the Federal Reserve will increase
U.S. interest rates. These profits were far outweighed by losses in the U.S.
10-year Treasury note positions and long U.S. Treasury positions as the yield
curve fluctuated widely. U.S. bond yields fell during the year as investors
shifted to Treasuries due to increased volatility in the NASDAQ and other equity
markets. Uncertainty surrounding the U.S. Presidential election had investors
favoring the bond markets resulting in gains for the Partnership's long
positions. Strong gains in both Euro and three-month Euribor futures rallied the
sector for the year eliminating previous losses.

    Agricultural commodity trading produced losses for the year. Losses were
realized in short corn positions which were due to dry conditions in Argentina,
which led to high corn prices. During the second quarter, long positions in
soybean products were unprofitable as weather and soil conditions appear
favorable for an abundance of supply. The USDA grain crop report projected a 12%
rise in soybean inventories from previous season. Trading on sugar and live
cattle positions was unprofitable during the third quarter, erasing previous
gains in other commodities. Brazil, the world's largest sugar producer, reduced
output and the Asian post crisis recovery period has improved demand, resulting
in a supply/demand imbalance. During the fourth quarter, gains in short coffee
positions were not enough to offset previous losses throughout the year. Prices
of coffee faced a seven year low as a result of excess world supply.

    Metals trading was unprofitable for the year. Prices rose during the
period in base metals as concerns over higher interest rates and the decline
in stock prices globally created defensive tones in the market. High aluminum
inventories caused prices to decline on the London Metals Exchange. Copper
prices rose over rumors of increased demand from China, having an adverse
effect on the short positions held. During the second quarter, copper trading
continued to result in losses for the sector. A Freeport, Indonesia mine
announced output cuts would not be as large as the Indonesian government had
forecast, resulting in losses for the Partnership's long positions. Losses
continued through the quarter as trading in both base and precious metals was
unprofitable as losses were sustained in gold and aluminum positions. The
sector sustained losses during the year as nickel prices declined from
slowing demand for stainless steel in Europe and Asia. The year closed with
continued losses as gains in silver could not outweigh losses in aluminum
and gold.

    Stock index trading was unprofitable despite gains realized in IBEX
35(Milan), DAX German Stock Index and CAC 40 Euro futures early in the year.
Losses were sustained in Nikkei 225 and S&P 500 positions. Signs of rising
inflation fueled fears that the Federal Reserve would continue to raise interest
rates aggressively to slow the robust economy.

         1999

<Table>
<Caption>
                                     TOTAL TRADING
                                        RESULTS
<S>                                  <C>
 Interest Rates                      $  (349,650)
 Stock Indices                           450,778
 Agriculture                            (248,437)
 Currencies                           (1,021,229)
 Energy                                1,492,483
 Metals                                  184,924
                                     ------------
                                     $   508,869
                                     ============
</Table>

                                       15
<Page>
                  The Partnership finished 1999 with gains in energy, stock
index and metals trading and losses in currency, interest rates and
agricultural trading. Commodities spent 1999 in a transition phase, shifting
from bearishness to a more neutral position. Lack of demand, particularly in
Asia, was the dominant factor in the overall decline in commodity prices.

                  Overall, the Partnership profited from trading in crude
oil, heating oil, and unleaded gas in 1999. Positions in crude oil offset
losses from short positions in natural gas and gas oil trading. In March,
OPEC ratified new production cuts totaling 1.716 million barrels per day at
its conference, and resulted in higher prices for crude. In the natural gas
markets, prices rallied sharply resulting from a decline in U.S. natural gas
production, along with high levels of energy consumption and weather scares
throughout the country. Near the end of the year, there was a continued
upward momentum in crude oil reflecting the tightening between supply and
demand and a new, higher OPEC-indicated target price.

                  Stock index trading was profitable for the first half of
1999. Also of note, the Dow Jones Industrial Average closed above the 10,000
mark for the first time ever at the end of March, setting a record for the
index, and equity markets rallied worldwide in April and June. In the second
half of the year, the Partnership suffered losses in stock index positions as
trading was mixed due to significant volatility globally. However, there was
profitable trading in Hang Seng, Nikkei 225 and Topix Indices, which resulted
in gains during November and December. Such activity depicted evidence of
Japan's stronger-than-expected recovery coupled with a sudden decline in
unemployment rate.

                  Metals trading was mixed for the year as gold played a major
part in the volatility of the metals market. Gold had failed to maintain its
status as a safety vehicle and a monetary asset during the first half of 1999.
In early June, gold had reached its lowest level in over 20 years. A major
statement from the president of the European Central Bank stated that the member
banks had agreed not to expand their gold lending. This sent gold prices sharply
higher in late September. Unfortunately, the Partnership held short positions in
gold futures at that time. Gold prices had stabilized in the fourth quarter
following the price surge. Early in the year, burdensome warehouse stocks and
questionable demand prospects weighed on base metals as aluminum fell to a
five-year low and copper fell to nearly an 11-year low. The economic scenario
for Asia, Brazil, Europe and emerging market nations helped to keep copper and
other base metals on the defensive as demand receded with virtually no supply
side response in the second quarter. A substantial increase in Chinese imports
combined with the recovery in the rest of Asia and Europe had significantly
improved demand for aluminum pushing prices higher during December.

                  Currency trading produced losses for the Partnership
throughout the year. Long Japanese yen positions resulted in losses despite
the yen trading higher against the U.S. dollar. The Bank of Japan lowered
rates to keep their economy sufficiently liquid to allow fiscal spending to
restore some growth to the economy and to drive down the surging yen. The
European Central Bank raised the repo rate in November due to inflation
pressures. On a trade-weighted basis, the Swiss franc ended the first quarter
to close at a seven-month low, mostly as a result of the stronger U.S.
dollar. The Canadian dollar also underwent similar fluctuations throughout
the year.

                  Interest rate trading was also volatile. The Federal Reserve
raised interest rates three times during the year. Early in the year, interest
rate trading proved unprofitable for the Partnership, which was triggered by the
Japanese Trust Fund Bureau's decision to absorb a smaller share of futures
issues, leaving the burden of financing future budget deficits to the private
sector. Interest rate trading did gain strength at mid-year as the flight to
quality in the bond market reversed and concerns about higher interest rates in
the U.S. continued to rattle the financial markets. During the third quarter,
Eurodollar trading generated losses amidst speculation of the probability of a
tightening by the U.S. Federal Reserve, which became evident with the higher
interest rates in their November 16 meeting due to concerns of inflation. In
December, the yield on the 30-year Treasury bond recently surpassed its October
high propelled by inflation worries and fears the Federal Reserve might tighten
further in 2000.

                  In agricultural trading, gains in live hogs and live cattle
offset losses in corn positions. Initially, the corn market continued to
struggle due to supply/demand imbalances and ongoing favorable weather in South
America. These factors also led to an increase in prices as there was a sharp
decline in crop ratings during the second half of the year. There was also a
sharp upturn in soy prices, and losses in coffee trading became evident due to
cold temperature and lack of rainfall in Brazil.
                                       16
<Page>

VARIABLES AFFECTING PERFORMANCE

                  The principal variables that determine the net performance of
the Partnership are gross profitability and interest income. Gross profitability
is, in turn, effected by the percentage of the Partnership's assets allocated to
trading.

                  During all periods set forth under "Selected Financial
Data," the interest rates in many countries were at unusually low levels. The
interest rates in the United States negatively impacted revenues because
interest income is typically a major component of the Partnership's
profitability. In addition, low interest rates are frequently associated with
reduced fixed income market volatility, and in static markets the
Partnership's profit potential generally tends to be diminished. On the other
hand, during periods of higher interest rates, the relative attractiveness of
a high risk investment such as the Partnership may be reduced as compared to
high yielding and much lower risk fixed-income investments.

                  The Partnership's Brokerage Commissions and Administrative
Fees are a constant percentage of the Partnership's assets allocated to trading.
The only Partnership costs (other than the insignificant currency trading costs)
which are not based on a percentage of the Partnership's assets (allocated to
trading or total) are the Profit Shares payable to the Advisors on an
Advisor-by-Advisor basis. Gross profitability is in turn affected by the
percentages of the Partnership's assets allocated to trading. During periods
when Profit Shares are a high percentage of net trading gains, it is likely that
there has been substantial performance non-correlation among the Advisors (so
that the total Profit Shares paid to those Advisors which have traded profitably
are a high percentage, or perhaps even in excess, of the total profits
recognized, as other Advisors have incurred offsetting losses, reducing overall
trading gains but not the Profit Shares paid to the successful Advisors) --
suggesting the likelihood of generally trendless, non-consensus markets.

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

                  Except in unusual circumstances, factors (e.g. regulatory
approvals, cost of goods sold, employee relations and the like) which often
materially affect an operating business have virtually no impact on the
Partnership.

THE DIFFERENT SERIES OF UNITS

                  All Series of Units are invested in MM LLC and are
subject to the same method of calculating their fees. Furthermore, any
discretionary action taken by MLIM AS LLC -- e.g., adjusting trading leverage --
must be done in such a way that all Units have the same percentage of capital
allocated to trading after the adjustment (this restructuring applies only to
Units issued after May 1, 1997). Despite these fundamental similarities among
the different Series, because the Series begin trading at different times they
are likely, as a result of trading profits and losses, to pay different Profit
Shares (although to the same group of Advisors) and have different Net Asset
Values. The series offered since May 1, 1997 have begun trading at 75%-85% of
total assets available. Series issued before May 1, 1997 began trading at
60% of total assets available.

LIQUIDITY; CAPITAL RESOURCES

                  The Partnership sells no securities other than the Units.
The Partnership borrows only to a limited extent and only on a strictly
short-term basis in order to finance losses on non-U.S. dollar denominated
trading positions pending the conversion of the Partnership's U.S. dollar
deposits. These borrowings are at a prevailing short-term rate in the
relevant currency.

                  The Partnership's assets are held primarily in short-term debt
securities with maturities under one year, as well as in cash. The Net Asset
Value of the Partnership's cash and financial instruments is not materially
affected by inflation. Changes in interest rates, which are often associated
with inflation, could cause the value of certain of the Partnership's debt
securities to decline, but only to a limited extent. More importantly, changes
in interest rates could cause periods of strong up or down price trends, during
which the Partnership's profit potential

                                       17
<Page>

generally increases. Inflation in commodity prices could also generate price
movements which the strategies might successfully follow.

                  The Partnership's assets are held in cash and Commercial Paper
of major U.S. corporations. Accordingly, except in very unusual circumstances,
the Partnership should be able to close out any or all of its open trading
positions and liquidate any or all of its securities holdings quickly and at
market prices. This permits an Advisor to limit losses as well as reduce market
exposure on short notice should its strategies indicate doing so. In addition,
because there is a readily available market value for the Partnership's
positions and assets, the Partnership's monthly Net Asset Value calculations are
precise, and investors need only wait ten business days to receive the full
redemption proceeds of their Units.

ITEM 7A:  QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Not applicable.

                                       18
<Page>

ITEM 8:  FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA

                  The financial statements required by this Item are included in
Exhibit 13.01.

SELECTED QUARTERLY FINANCIAL DATA
     ML PRINCIPAL PROTECTION PLUS LP

Net Income by Quarter
Eight Quarters through December 31, 2001

<Table>
<Caption>
                        FOURTH        THIRD        SECOND         FIRST       FOURTH        THIRD        SECOND         FIRST
                        QUARTER      QUARTER       QUARTER       QUARTER      QUARTER      QUARTER       QUARTER       QUARTER
                         2001          2001         2001          2001         2000         2000          2000          2000
                      ----------    ----------   ----------    ----------   ----------   ----------    ----------    ----------
<S>                   <C>           <C>          <C>           <C>          <C>          <C>           <C>           <C>
Total Income          $  153,346    $  774,073   $ (377,961)   $1,789,648   $3,201,491   $ (463,038)   $ (192,662)   $  661,870
Total Expenses           285,203       437,743      256,065       667,596      642,692      282,051       506,654       682,693
                      ---------------------------------------------------------------------------------------------------------
Net Income            $ (131,857)   $  336,330   $ (634,026)   $1,122,052   $2,558,799   $ (745,089)   $ (699,316)   $  (20,823)

Net Income per Unit   $    (0.67)   $     1.64   $    (2.88)   $     4.73   $     9.97   $    (2.56)   $    (2.13)   $    (0.06)
</Table>

                  The supplementary financial information ("information about
oil and gas producing activities") specified by Item 302 of Regulation S-K is
not applicable. MLIM AS LLC promoted the Partnership and is its controlling
person.

ITEM 9:  CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND
         FINANCIAL DISCLOSURE

                  There were no changes in or disagreements with independent
auditors on accounting and financial disclosure.

                                    PART III

ITEM 10:  DIRECTORS AND EXECUTIVE OFFICERS OF THE REGISTRANT

         10(a) and 10(b) IDENTIFICATION OF DIRECTORS AND EXECUTIVE OFFICERS:

                  As a limited partnership, the Partnership itself has no
officers or directors and is managed by MLIM AS LLC. Trading decisions are made
by the Advisors on behalf of the Partnership.

                  The managers and executive officers of MLIM AS LLC and their
respective business backgrounds are as follows.

FABIO P. SAVOLDELLI        Chairman, Chief Executive Officer and Manager

ROBERT M. ALDERMAN         Manager

FRANK M. MACIOCE           Vice President and Manager

STEVEN B. OLGIN            Vice President, Chief Administrative Officer and
                           Manager

MICHAEL L. PUNGELLO        Vice President, Chief Financial Officer and Treasurer

                  Fabio P. Savoldelli was born in 1961. Mr. Savoldelli is
Chairman, Chief Executive Officer and a Manager of MLIM AS LLC. He oversees
the Partnership's investments. Most recently, Mr. Savoldelli was Chief
Investment Officer for the Americas at the Chase Manhattan Private Bank,
responsible for managers investing assets in international and domestic
institutional, private client and ERISA funds. Previously, he was Deputy
Chief Investment Officer and Head of Fixed Income and Foreign Exchange at
Swiss Bank Corp. London Portfolio Management International. Mr. Savoldelli
was educated at the University of Windsor, Canada, and the London School of
Economics.

                  Effective March 1, 2002, Mr. Robert M. Alderman was elected
a Manager of MLIM AS LLC. Mr. Alderman was born in 1960. Mr. Alderman is a
Managing Director of MLIM and global head of Retail Sales and Business
Management for Alternative Investments. Prior to re-joining Merrill Lynch and
the International Private Client Group in 1999, he was a partner in the
Nashville, Tennessee based firm of J.C. Bradford & Co. where he was the
Director of Marketing, and a National Sales Manager for Prudential
Investments. Mr. Alderman first joined Merrill Lynch in 1987 where he worked
until 1997. During his tenure at Merrill Lynch, Mr. Alderman has held
positions in Financial Planning, Asset Management and High Net Worth
Services. He received his Master's of Business Administration from the Carroll
School of Management Boston College and a Bachelor of Arts from Clark
University.

                  Frank M. Macioce was born in 1945. Mr. Macioce is a Vice
President and a Manager of MLIM AS LLC and the senior legal counsel responsible
for Alternative Investments. He joined MLIM in February 2000. From 1995 to 2000,
Mr. Macioce was General Counsel of Operations, Services and Technology for
Merrill Lynch, and from 1993 to 1995 served as Merrill Lynch Investment Banking
General Counsel. From 1980 to 1993 he served as Assistant General Counsel of
Merrill Lynch responsible for Corporate Law. During his 28 years with Merrill
Lynch, he has served as a director and officer of a number of its affiliates.
Mr. Macioce graduated from Purdue University with a Bachelor of Science in
Economics and Psychology in 1967 and from Vanderbilt Law School with a Juris
Doctor in 1972. Mr. Macioce is a member of the New York Bar.

                                       19
<Page>

                  Steven B. Olgin was born in 1960.  Mr. Olgin is a Vice
President, Chief Adminstrative Officer and a Manager of MLIM AS LLC. He joined
MLIM AS LLC in July 1994 and became a Vice President in July 1995. From 1986
until July 1994, Mr. Olgin was an associate of the law firm of Sidley & Austin.
In 1982, Mr. Olgin graduated from The American University with a Bachelor of
Science in Business Administration and a Bachelor of Arts in Economics. In 1986,
he received his Juris Doctor from The John Marshall Law School. Mr. Olgin is a
member of the Managed Funds Association's Government Relations Committee and has
served as an arbitrator for the National Futures Association. Mr. Olgin is a
member of the Illinois Bar.

                  Michael L. Pungello was born in 1957. Mr. Pungello is a Vice
President, Chief Financial Officer and Treasurer of MLIM AS LLC. He was First
Vice President and Senior Director of Finance for Merrill Lynch's Operations,
Services and Technology Group from January 1998 to March 1999. Prior to that,
Mr. Pungello spent over 18 years with Deloitte & Touche LLP, and was a partner
in their financial services practice from June 1990 to December 1997. He
graduated from Fordham University in 1979 with a Bachelor of Science in
Accounting and received his Master's of Business Administration in Finance from
New York University in 1987.

                  MLIM AS LLC acts as general partner to eleven public futures
funds whose units of limited partnership interest are registered under the
Securities Exchange Act of 1934: The Futures Expansion Fund Limited Partnership,
ML Futures Investments II L.P., ML Futures Investments L.P., John W. Henry &
Co./Millburn L.P., The S.E.C.T.O.R. Strategy Fund (SM) L.P., The SECTOR Strategy
Fund (SM) II L.P., The SECTOR Strategy Fund (SM) V L.P., The SECTOR Strategy
Fund (SM) VI L.P., ML Global Horizons L.P., ML JWH Strategic Allocation Fund
L.P. and the Partnership. Because MLIM AS LLC serves as the sole general partner
of each of these funds, the officers and managers of MLIM AS LLC effectively
manage them as officers and directors of such funds.

         (c)      IDENTIFICATION OF CERTAIN SIGNIFICANT EMPLOYEES:

                           None.

         (d)      FAMILY RELATIONSHIPS:

                           None.

         (e)      BUSINESS EXPERIENCE:

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

         (f)      INVOLVEMENT IN CERTAIN LEGAL PROCEEDINGS:

                           None.

         (g)      PROMOTERS AND CONTROL PERSONS:

                           Not applicable.

ITEM 11:  EXECUTIVE COMPENSATION

                  The managers and officers of MLIM AS LLC are remunerated by
MLIM AS LLC in their respective positions. The Partnership does not itself
have any officers, directors or employees. The Partnership pays Brokerage
Commissions to an affiliate of MLIM AS LLC and Administrative Fees to MLIM AS
LLC. MLIM AS LLC or its affiliates may also receive certain economic benefits
from holding certain of the Partnership's U.S. dollar Assets in offset
accounts, as described in Item 1(c) above. The managers and officers receive
no "other compensation" from the Partnership, and the managers receive no
compensation for serving as managers of MLIM AS LLC. There are no
compensation plans or arrangements relating to a change in control of either
the Partnership or MLIM AS LLC.

ITEM 12:  SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT

         (a)      SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS:

                                       20
<Page>

<Table>
<Caption>
                                                                     AMOUNT AND NATURE OF               PERCENT OF
TITLE OF CLASS                 NAME OF BENEFICIAL OWNER              BENEFICIAL OWNERSHIP               CLASS
-----------------------------  ------------------------------------  --------------------------  ----------------------
<S>                            <C>                                   <C>                         <C>
Limited Partnership Units      Ralph I. Rossi                                  10,000 Units                 5.22%
                               33 Saint George Place
                               Palm Beach Gardens, FL 33418
</Table>


         (b)      SECURITY OWNERSHIP OF MANAGEMENT:

                  As of December 31, 2001, MLIM AS LLC owned 2,104.93625 Units
(Unit-equivalent general partnership interests), which was approximately 1.1% of
the total Units outstanding.

         (c)      CHANGES IN CONTROL:

                  None.

ITEM 13:  CERTAIN RELATIONSHIPS AND RELATED EXCHANGE OF FUTURES TRANSACTIONS

         (a)      TRANSACTIONS BETWEEN MERRILL LYNCH AND THE PARTNERSHIP

                  All of the service providers to the Partnership, other than
the Advisors, are affiliates of Merrill Lynch. Merrill Lynch negotiated with the
Advisors over the level of their advisory fees and Profit Shares. However, none
of the fees paid by the Partnership to any Merrill Lynch party were negotiated,
and they are higher than would have been obtained in arm's-length bargaining.

                  The Partnership pays Merrill Lynch substantial Brokerage
Commissions and Administrative Fees as well as bid-ask spreads on forward
currency trades. The Partnership also pays MLPF&S interest on short-term loans
extended by MLPF&S to cover losses on foreign currency positions. Subsequent to
September 1, 2000, the Partnership pays for the above-mentioned items through
its investment in MM LLC.

                  Within the Merrill Lynch organization, MLIM AS LLC is the
direct beneficiary of the revenues received by different Merrill Lynch entities
from the Partnership. MLIM AS LLC controls the management of the Partnership and
serves as its promoter. Although MLIM AS LLC has not sold any assets, directly
or indirectly, to the Partnership, MLIM AS LLC makes substantial profits from
the Partnership due to the foregoing revenues.

                  No loans have been, are or will be outstanding between MLIM AS
LLC or any of its principals and the Partnership.

                  MLIM AS LLC pays substantial selling commissions and trailing
commissions to MLPF&S for distributing the Units. MLIM AS LLC is ultimately paid
back for these expenditures from the revenues it receives from the Partnership.

         (b)      CERTAIN BUSINESS RELATIONSHIPS:

                  MLPF&S, an affiliate of MLIM AS LLC, acts as the principal
commodity broker for the Partnership.

                  In 2001, the Partnership expensed, through MM LLC; (i)
Brokerage Commissions of $1,351,049 to MLPF&S, which included approximately
$236,700 in consulting fees earned by the Advisors; and (ii) Administrative
Fees of $45,035 to MLIM AS LLC. In addition, MLIM AS LLC and its affiliates
may have derived certain economic benefit from possession of the
Partnership's assets, as well as from foreign exchange and EFP trading.

                  See Item 1(c), "Narrative Description of Business -- Charges"
and "-- Description of Current

                                       21
<Page>

Charges" for a discussion of other business dealings between MLIM AS LLC
affiliates and the Partnership.

         (c)      INDEBTEDNESS OF MANAGEMENT:

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

         (d)      TRANSACTIONS WITH PROMOTERS:

                  Not applicable.

                                       22
<Page>
                                     PART IV

ITEM 14:  EXHIBITS, FINANCIAL STATEMENT SCHEDULES AND REPORTS ON FORM 8-K

<Table>
<Caption>
         (a)1.    FINANCIAL STATEMENTS (FOUND IN EXHIBIT 13.01):                                      PAGE
                  ---------------------------------------------                                       ----
<S>                                                                                                  <C>
                  Independent Auditors' Report                                                           1
                  Financial Statments:
                  Consolidated Statements of Financial Condition as of December 31, 2001 and 2000        2

                  Consolidated Statements of Operations For the years ended
                  December 31, 2001, 2000 and 1999                                                       3
                  Consolidated Statements of Changes in Partners' Capital For the years ended
                  December 31, 2001, 2000 and 1999                                                       4

                  Consolidated Financial Data Highlights for the year ended December 31, 2001            5

                  Notes to Consolidated Financial Statements                                          6-15
</Table>

         (a)2.    FINANCIAL STATEMENT SCHEDULES:

                  Financial statement schedules not included in this Form 10-K
have been omitted for the reason that they are not required or are not
applicable or that equivalent information has been included in the financial
statements or notes thereto.

         (a)3.    EXHIBITS:

                  The following exhibits are incorporated by reference or are
                  filed herewith to this Annual Report on Form 10-K:

DESIGNATION                DESCRIPTION

1.01                       Selling Agreement among the Partnership, MLIM AS
                           LLC, MLPF&S, the Selling Agent and the Advisors.

EXHIBIT 1.01:              Is incorporated herein by reference from Exhibit
                           1.01 contained in Amendment No. 1 to the
                           Registration Statement (File No. 33-73914) filed on
                           July 14, 1994, on Form S-1 under the Securities Act
                           of 1933 (the "Registrant's Registration Statement.")

1.01(a)                    Form of Selling Agreement Amendment among the
                           Partnership, MLIM AS LLC, MLPF&S, the Selling Agent
                           and the Advisors.

EXHIBIT 1.01(a):           Is incorporated herein by reference from Exhibit
                           1.01(a) contained in the Registrant's report on Form
                           10-K for the year ended December 31, 2001.

3.01(i)                    Amended and Restated Limited Partnership Agreement
                           of the Partnership.

EXHIBIT 3.01(i):           Is incorporated herein by reference from Exhibit
                           3.01(ii) contained in the Registrant's Registration
                           Statement (as Exhibit A).

3.01(ii)                   Amended and Restated Limited Partnership Agreement
                           of the Trading Partnership.

EXHIBIT 3.01(ii):          Is incorporated  herein by reference from Exhibit
                           3.01(ii) contained in the Registrant's Registration
                           Statement.

3.05(ii)                   Amended and Restated Certificate of Limited
                           Partnership of the Partnership, dated July 27, 1995.

EXHIBIT 3.05(ii):          Is incorporated herein by reference from Exhibit
                           3.05(ii) contained in the Registrant's report on
                           Form 10-Q for the Quarter Ended June 30, 1995.

10.01(h)                   Form of Advisory Agreement among the Partnership,
                           MLIM AS LLC, MLPF&S and each Advisor.


                                      23
<Page>
EXHIBIT 10.01(h):          Is incorporated herein by reference from Exhibit
                           10.01(h) contained in the Registrant's report on
                           Form 10-Q for the Quarter Ended June 30, 1995.

10.02                      Form of Consulting Agreement between MLPF&S and each
                           Advisor.

EXHIBIT 10.02:             Is incorporated herein by reference from Exhibit
                           10.02 contained in the Registrant's Registration
                           Statement.

10.03                      Form of Customer Agreement between the Trading
                           Partnership and MLPF&S.

EXHIBIT 10.03              Is incorporated herein by reference from Exhibit
                           10.03 contained in the Registrant's Registration
                           Statement (as Exhibit B).

10.05                      Merrill Lynch & Co., Guarantee.

EXHIBIT 10.05:             Is incorporated herein by reference from Exhibit
                           10.05 contained in the Registrant's Registration
                           Statement (as Exhibit B).

10.06                      Form of Subscription Agreement and Power of Attorney.

EXHIBIT 10.06:             Is incorporated herein by reference from Exhibit
                           10.06 contained in the Registrant's Registration
                           Statement (as Exhibit D).

10.07(a)                   Foreign Exchange Desk Service Agreement, dated July
                           1, 1993 among Merrill Lynch International Bank, MLIM
                           Alternative Strategies LLC, MLPF&S and various
                           MLIM AS LLC funds.

EXHIBIT 10.07(a):          Is incorporated herein by reference from Exhibit
                           10.07 contained in the Registrant's Registration
                           Statement (as Exhibit D).

10.07(b)                   Amendment to Foreign Exchange Desk Service
                           Agreement, dated July 14, 1994, among Merrill Lynch
                           Investment Bank, MLIM Alternative Strategies LLC,
                           MLPF&S and the Partnership.

EXHIBIT 10.07(b):          Is incorporated herein by reference from Exhibit
                           10.07 contained in the Registrant's Registration
                           Statement.

10.08                      Investment Advisory Contract between MLPF&S, the
                           Partnership, the Trading Partnership and MLIM AS LLC.

EXHIBIT 10.08:             Is incorporated herein by reference from Exhibit
                           10.08 contained in the Registrant's Registration
                           Statement.

10.09(a)                   Form of Advisory and Consulting Agreement Amendment
                           among MLIM AS LLC, each Advisor, the Partnership and
                           MLPF&S.

EXHIBIT 10.09(a):          Is incorporated herein by reference from Exhibit
                           10.09(a) contained in the Registrant's report on
                           Form 10-K for the year ended December 31, 1996.

10.09(b)                   Form of Amendment to the Customer Agreement among the
                           Partnership and MLPF&S.

EXHIBIT 10.09(b):          Is incorporated herein by reference from
                           Exhibit 10.09(b) contained in the Registrant's report
                           on Form 10-K for the year ended December 31, 1996.

13.01                      2001 Annual Report and Independent Auditors' Report.

EXHIBIT 13.01:             Is filed herewith.

13.01 (a)                  2001 Annual Report and Independent Auditors' Report
                           for the following Trading Limited Liability Company
                           sponsored by MLIM Alternative Strategies LLC: ML
                           Multi-Manager Portfolio LLC


                                       24
<Page>

EXHIBIT 13.01(a):          Is filed herewith.

28.01                      Prospectus of the Partnership dated January 25, 1996.

EXHIBIT 28.01:             Is incorporated by reference as filed with the
                           Securities and Exchange Commission pursuant to Rule
                           424 under the Securities Act of 1933, Registration
                           Statement (File No. 33-73914) on Form S-1 (effective
                           January 25, 1996).

         (b)      REPORT ON FORM 8-K:

                  No reports on Form 8-K were filed during the fourth quarter of
2001.

                                       25
<Page>

                                   SIGNATURES


         Pursuant to the requirements of Section 13 or 15(d) of the Securities
Exchange Act of 1934, the Registrant has duly caused this report to be signed on
its behalf by the undersigned, thereunto duly authorized.

                         ML PRINCIPAL PROTECTION L.P.

                         By:  MLIM ALTERNATIVE STRATEGIES LLC
                              (formerly Merrill Lynch Investment Partners Inc.)
                         General Partner

                         By: /s/ Fabio P. Savoldelli
                             -----------------------
                             Fabio P. Savoldelli
                             Chairman, Chief Executive Officer and Manager
                             (Principal Executive Officer)


         Pursuant to the requirements of Section 13 or 15(d) of the Securities
Exchange Act of 1934, this report has been signed on March 29, 2002 by the
following persons on behalf of the Registrant and in the capacities indicated.

<Table>
<Caption>
SIGNATURE                           TITLE                                                        DATE
<S>                                 <C>                                                          <C>
/s/Fabio P. Savoldelli              Chairman, Chief Executive Officer and Manager                March 29, 2002
----------------------              (Principal Executive Officer)
Fabio P. Savoldelli

/s/Robert M. Alderman               Manager                                                      March 29, 2002
----------------------
Robert M. Alderman

/s/Steven B. Olgin                  Vice President, Chief Administrative Offficer and Manager    March 29, 2002
------------------
Steven B. Olgin

/s/Michael L. Pungello              Vice President, Chief Financial Officer and Treasurer        March 29, 2002
----------------------              (Principal Financial and Accounting Officer)
Michael L. Pungello
</Table>


(Being the principal executive officer, the principal financial and accounting
officer and a majority of the directors of MLIM Alternative Strategies LLC)

<Table>
<S>                                         <C>                                                  <C>
MLIM ALTERNATIVE STRATEGIES                 General Partner of Registrant                        March 29, 2002
   LLC

By/s/Fabio P. Savoldelli
-------------------------
     Fabio P. Savoldelli
</Table>

                                       26
<Page>

                          ML PRINCIPAL PROTECTION L.P.

                       ANNUAL REPORT FOR 2001 ON FORM 10-K

                                INDEX TO EXHIBITS


                           EXHIBIT

Exhibit 13.01              2001 Annual Report and Independent Auditors' Report

Exhibit 13.01(a)           2001 Annual Report and Independent Auditors' Report
                           for the following Trading Limited Liability Company
                           sponsored by MLIM Alternative Strategies LLC:
                           ML Multi-Manager Portfolio LLC

                                       27