**UNITED STATESSECURITIES AND EXCHANGE COMMISSION**

**Washington, D.C.20549**

**FORM 10-Q**

**(MarkOne)**

**x****                             ****QUARTERLY REPORT PURSUANT TOSECTION 13 OR 15(d) OF THE SECURITIES             EXCHANGE ACT OF 1934**

**For thequarterly period ended  September 30,2006**

                                     **OR**

**o****                                ****TRANSITION REPORT PURSUANT TOSECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934**

**For thetransition period from                to**

**CommissionFile Number 33-22864**

**BLACKROCK FUTURES INVESTMENTSL.P.**

(Exact Name of Registrant as specified in its charter)

| **Delaware**                     |   | **36-3590615**                     |
|----------------------------------|--------|------------------------------------|
| (State or other  jurisdiction of |   | (IRS Employer  Identification No.) |
| incorporation or  organization)  |   |                               |

 

**c/oBlackRock Investment Management, LLC**

**PrincetonCorporate Campus**

**800Scudders Mill Road -  Section 1B**

**Plainsboro,New Jersey 08536**

(Address ofprincipal executive offices)

(Zip Code)

**609-282-6996**

(Registrant’s telephone number, including area code)

Indicate by check mark if the registrant is a well-known seasonedissuer as defined by Rule 405 of the Securities Act

Yes  oNo  x

Indicateby check mark if the registrant is not required to file reports pursuant toSection 13 or 15(d) of the Act.

Yes  oNo  x

Indicate by check mark if the registrant (1) has filed all reports requiredto be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934during the preceding 12 months (or for such shorter period that the registrantwas required to file such reports), and (2) has been subject to such filingrequirements for the past 90 days.

Yes  x  No  o

Indicate by check mark ifdisclosure of delinquent filers pursuant to Item 405 of Regulation S-K is notcontained herein, and will not be contained, to the best of registrant’sknowledge, in definitive proxy or information statements incorporated byreference in Part II of this Form 10-Q or any amendment to this Form 10-Q.  x

Indicate by check mark whether the registrant is alarge accelerated filer, an accelerated filer, or a non-accelerated filer.  See definition of “accelerated filer andlarge accelerated filer” in Rule 12b-2 of the Exchange Act. (Check one):

Large accelerated filer  o  Accelerated filer  o  Non-accelerated filer  x

 Indicate by check mark whetherregistrant is a shell company (as defined by Rule 12b-2 of the Exchange Act).

Yes  o  No  x

 

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**BLACKROCK FUTURES INVESTMENTS L.P.**

QUARTERLY REPORT FORSEPTEMBER 30, 2006 ON FORM 10-Q

Table of Contents
|         |   | PART I                                                                                      |   | PAGE   |
|---------|--------|---------------------------------------------------------------------------------------------|--------|--------|
| Item 1. |   | Financial Statements                                                                        |   | 2      |
| Item 2. |   | Management’s Discussion  and Analysis of Financial Condition and Results of Operations |   | 8      |
| Item 3. |   | Quantitative and  Qualitative Disclosures About Market Risk                                 |   | 14     |
| Item 4. |   | Controls and Procedures                                                                     |   | 14     |
|    |   | PART  II                                                                                    |   |   |
| Item 1. |   | Legal Proceedings                                                                           |   | 15     |
| Item 2. |   | Changes in Securities  and Use of Proceeds                                                  |   | 15     |
| Item 3. |   | Defaults Upon Senior  Securities                                                            |   | 15     |
| Item 4. |   | Submission of Matters  to a Vote of Security Holders                                        |   | 15     |
| Item 5. |   | Other Information                                                                           |   | 15     |
| Item 6. |   | Exhibits                                                                                    |   | 15     |

 

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PART I — FINANCIALINFORMATION

Item1.    Financial Statements

BLACKROCK FUTURESINVESTMENTS L.P.

(a Delaware Limited Partnership)

STATEMENTS OF FINANCIAL CONDITION
| ** **                                              | ** ** | **September 30,** | ** ** | **December 31,** | ** ** |
|---------------------------------------------------------|------------|------------------------|------------|-----------------------|------------|
| ** **                                              | ** ** | **2006**               | ** ** | **2005**              | ** ** |
| ** **                                              | ** ** | **(unaudited)**        | ** ** | ** **            | ** ** |
| **ASSETS:**                                             | ** ** | ** **             | ** ** | ** **            | ** ** |
| Investment in Global  Horizons                          |       | $                      | 36,089,411 |                  | $          | 39,887,435 |   |
| Receivable from Global  Horizons                        |       | 1,035,594              |       | 315,015               |       |
|                                                    |       |                   |       |                  |       |
| **TOTAL  ASSETS**                                       |       | $                      | 37,125,005 |                  | $          | 40,202,450 |   |
|                                                    |       |                   |       |                  |       |
| **LIABILITY AND PARTNERS’ CAPITAL  LIABILITY:**    | ** ** | ** **             | ** ** | ** **            | ** ** |
| Redemptions payable                                     |       | $                      | 1,035,594  |                  | $          | 315,015 |   |
|                                                    |       |                   |       |                  |       |
| **PARTNERS’ CAPITAL:**                             | ** ** | ** **             | ** ** | ** **            | ** ** |
| General Partner  (369,895 and 441,484 Units)            |       | 380,303                |       | 454,109               |       |
| Limited Partners  (34,732,199 and 38,337,375 Units)     |       | 35,709,108             |       | 39,433,326            |       |
|                                                    |       |                   |       |                  |       |
| Total partners’  capital                           |       | 36,089,411             |       | 39,887,435            |       |
|                                                    |       |                   |       |                  |       |
| **TOTAL  LIABILITY AND PARTNERS' CAPITAL**              |       | $                      | 37,125,005 |                  | $          | 40,202,450 |   |
|                                                    |       |                   |       |                  |       |
| **NET ASSET VALUE PER UNIT**                            | ** ** | ** **             | ** ** | ** **            | ** ** |
| ** **                                              | ** ** | ** **             | ** ** | ** **            | ** ** |
| (Based on 35,102,094  and 38,778,859 Units outstanding) |       | $                      | 1.0281     |                  | $          | 1.0286 |   |

 

See notes to financialstatements.

2

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BLACKROCK FUTURESINVESTMENTS L.P.

(a Delaware Limited Partnership)

STATEMENTS OFOPERATIONS

(unaudited)
| ** **                                                                         | ** ** | **For the three** | ** ** | **For the three** | ** ** | **For the nine** | ** ** | **For the nine** | ** ** |
|------------------------------------------------------------------------------------|------------|-----------------------------|------------|-----------------------------|------------|----------------------------|------------|----------------------------|------------|
| ** **                                                                         | ** ** | **months ended**       | ** ** | **months ended**       | ** ** | **months ended**      | ** ** | **months ended**      | ** ** |
| ** **                                                                         | ** ** | **September 30,**      | ** ** | **September 30,**      | ** ** | **September 30,**     | ** ** | **September 30,**     | ** ** |
| ** **                                                                         | ** ** | **2006**                    | ** ** | **2005**                    | ** ** | **2006**                   | ** ** | **2005**                   | ** ** |
| **TRADING PROFITS (LOSSES):**                                                      | ** ** | ** **                  | ** ** | ** **                  | ** ** | ** **                 | ** ** | ** **                 | ** ** |
|                                                                               |       |                        |       |                        |       |                       |       |                       |       |
| Realized                                                                           |       | $                           | (1,552,602 | )                           | $          | 215,580                    |       | $                          | 1,591,145  |   | $ | (239,610 | ) |
| Change in  unrealized                                                              |       | (36,518                     | )          | (38,721                     | )          | (187,945                   | )          | (87,966                    | )          |
|                                                                               |       |                        |       |                        |       |                       |       |                       |       |
| Total trading  profits (losses)                                                    |       | (1,589,120                  | )          | 176,859                     |       | 1,403,200                  |       | (327,576                   | )          |
|                                                                               |       |                        |       |                        |       |                       |       |                       |       |
| **INVESTMENT INCOME**                                                              | ** ** | ** **                  | ** ** | ** **                  | ** ** | ** **                 | ** ** | ** **                 | ** ** |
| Interest                                                                           |       | 490,023                     |       | 373,580                     |       | 1,395,155                  |       | 919,383                    |       |
|                                                                               |       |                        |       |                        |       |                       |       |                       |       |
| **EXPENSES:**                                                                      | ** ** | ** **                  | ** ** | ** **                  | ** ** | ** **                 | ** ** | ** **                 | ** ** |
| Brokerage  commissions                                                             |       | 795,463                     |       | 852,682                     |       | 2,444,909                  |       | 2,617,740                  |       |
| Administrative  fees                                                               |       | 23,396                      |       | 25,079                      |       | 71,909                     |       | 76,992                     |       |
| Profit shares                                                                      |       | (39,116                     | )          | 2,479                       |       | 215,050                    |       | 174,936                    |       |
|                                                                               |       |                        |       |                        |       |                       |       |                       |       |
| Total expenses                                                                     |       | 779,743                     |       | 880,240                     |       | 2,731,868                  |       | 2,869,668                  |       |
|                                                                               |       |                        |       |                        |       |                       |       |                       |       |
| **NET INVESTMENT LOSS**                                                            |       | (289,720                    | )          | (506,660                    | )          | (1,336,713                 | )          | (1,950,285                 | )          |
| ** **                                                                         | ** ** | ** **                  | ** ** | ** **                  | ** ** | ** **                 | ** ** | ** **                 | ** ** |
| **NET INCOME (LOSS)**                                                              |       | $                           | (1,878,840 | )                           | $          | (329,801                   | )          | $                          | 66,487     |   | $ | (2,277,861 | ) |
|                                                                               |       |                        |       |                        |       |                       |       |                       |       |
| **NET INCOME (LOSS) PER UNIT:**                                                    | ** ** | ** **                  | ** ** | ** **                  | ** ** | ** **                 | ** ** | ** **                 | ** ** |
| Weighted average  number of General Partner and Limited Partners Units outstanding |       | 35,884,978                  |       | 39,984,177                  |       | 36,899,529                 |       | 40,988,150                 |       |
|                                                                               |       |                        |       |                        |       |                       |       |                       |       |
| Net income (loss) per  weighted average General Partner and Limited Partner Unit   |       | $                           | (0.0524    | )                           | $          | (0.0082                    | )          | $                          | 0.0018     |   | $ | (0.0556 | ) |

 

Substantially all itemsof income and expense are derived from the investment in Global Horizons.

See notes to financialstatements.

3

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BLACKROCK FUTURESINVESTMENTS L.P.

(a Delaware Limited Partnership)

STATEMENTS OF CHANGES INPARTNERS’ CAPITAL

FOR THE NINEMONTHS ENDED SEPTEMBER 30, 2006 AND 2005

(unaudited)
| ** **                                  | ** ** | **Units**  | ** ** | **General Partner** | ** ** | **Limited Partners** | ** ** | **Total**  | ** ** |
|---------------------------------------------|------------|------------|------------|--------------------------|------------|---------------------------|------------|------------|------------|
| PARTNERS’ CAPITAL,  December 31, 2004  |       | 43,347,792 |       | $                        | 547,516    |                      | $          | 46,329,025 |       | $ | 46,876,541 |   |
|                                        |       |       |       |                     |       |                      |       |       |       |
| Net loss                                    |       | —     |       | (25,019                  | )          | (2,252,842                | )          | (2,277,861 | )          |
|                                        |       |       |       |                     |       |                      |       |       |       |
| Redemptions                                 |       | (3,638,040 | )          | (68,518                  | )          | (3,696,980                | )          | (3,765,498 | )          |
|                                        |       |       |       |                     |       |                      |       |       |       |
| PARTNERS’ CAPITAL,  September 30, 2005 |       | 39,709,752 |       | $                        | 453,979    |                      | $          | 40,379,203 |       | $ | 40,833,182 |   |
|                                        |       |       |       |                     |       |                      |       |       |       |
| PARTNERS’ CAPITAL,  December 31, 2005  |       | 38,778,859 |       | $                        | 454,109    |                      | $          | 39,433,326 |       | $ | 39,887,435 |   |
|                                        |       |       |       |                     |       |                      |       |       |       |
| Net income                                  |       | —     |       | 980                      |       | 65,507                    |       | 66,487     |       |
|                                        |       |       |       |                     |       |                      |       |       |       |
| Redemptions                                 |       | (3,676,765 | )          | (74,786                  | )          | (3,789,725                | )          | (3,864,511 | )          |
|                                        |       |       |       |                     |       |                      |       |       |       |
| PARTNERS’ CAPITAL,  September 30, 2006 |       | 35,102,094 |       | $                        | 380,303    |                      | $          | 35,709,108 |       | $ | 36,089,411 |   |

 

See notes to financialstatements.

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BLACKROCK FUTURESINVESTMENTS L.P.

(a Delaware Limited Partnership)

NOTES TO FINANCIALSTATEMENTS

(unaudited)

1.      SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

In the opinion ofmanagement, the financial statements contain all adjustments necessary topresent fairly the financial position of BlackRock Futures Investments L.P.(the “Partnership”) as of September 30, 2006, and the results of its operationsfor the three and nine month periods ended September 30, 2006 and 2005.  The operating results for the interim periodsmay not be indicative of the results for the full year.

As of September 29, 2006, the Partnership’s generalpartner became BlackRock Investment Management, LLC (“BlackRock”).  The former general partner was Merrill LynchAlternative Investments (“MLAI”).  UntilSeptember 29, 2006, MLAI was a wholly-owned subsidiary of Merrill LynchInvestment Managers LP (“MLIM”), which in turn was indirect wholly-ownedsubsidiary of Merrill Lynch & Co., Inc. (“Merrill Lynch”).  On September 29, 2006 Merrill Lynch andBlackRock, Inc. merged the asset management business of MLIM and BlackRock Inc.to create a new independent asset management company.  This resulted in BlackRock becoming thegeneral partner of the Partnership. Atthe same time, the Partnership’s name was changed from ML FuturesInvestments L.P. to BlackRock Futures Investments L.P.   Thepartnership’s principal investment also changed its name from Global Horizons IL.P. to BlackRock Global Horizons I L.P. (formerly Global Horizons IL.P.).  No changes have occurredto the Partnership’s investment objective or to the Partnership’s structure asa result of these changes.

Certain information andfootnote disclosures normally included in annual financial statements preparedin accordance with accounting principles generally accepted in the UnitedStates of America (“US GAAP”) have been omitted.  It is suggested that these financialstatements be read in conjunction with the financial statements and notesthereto included in the Partnership’s Annual Report on Form 10-K filed with theSecurities and Exchange Commission for the year ended December 31, 2005.

The preparation offinancial statements in conformity with US GAAP requires management to makeestimates and assumptions that affect the reported amounts of assets andliabilities and disclosure of contingent assets and liabilities at the date ofthe financial statements and the reported amounts of revenues and expensesduring the reporting period.  Actualresults could differ from those estimates.

2.      INVESTMENTS

As of September 30, 2006and December 31, 2005 the Partnership had an investment in BlackRock GlobalHorizons I L.P. (“Global Horizons”), (formerly Global Horizons I L.P.), of$36,089,411 and $39,887,435, respectively. As of September 30, 2006 and December 31, 2005 the Partnership’spercentage ownership share of Global Horizons was 15.23% and 14.85%,respectively.

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Condensed statements offinancial condition and statements of operations for Global Horizons are setforth as follows:
|                                          | ** ** | **September 30,** | ** **  | **December 31,** | ** ** |
|------------------------------------------|------------|------------------------|-------------|-----------------------|------------|
| ** **                               | ** ** | **2006**               | ** **  | **2005**              | ** ** |
| ** **                               | ** ** | **(unaudited)**        | ** **  | ** **            | ** ** |
|                                     |       |                   |        |                  |       |
| Assets                                   |       | $                      | 244,020,536 |                  | $          | 280,475,255 |   |
|                                     |       |                   |        |                  |       |
| Liabilities                              |       | $                      | 7,050,485   |                  | $          | 11,889,388 |   |
| Partners'  Capital                       |       | 236,970,051            |        | 268,585,867           |       |
|                                     |       |                   |        |                  |       |
| Total  Liabilities and Partner's Capital |       |                   |        |                  |       |
|                                     |       | $                      | 244,020,536 |                  | $          | 280,475,255 |   |

 
| ** **                                    | ** ** | **For the three  months ended  September 30,  2006** | ** **  | **For the three  months ended  September 30,  2005** | ** ** | **For the nine  months ended  September 30,  2006** | ** ** | **For the nine  months ended  September 30,  2005** | ** ** |
|-----------------------------------------------|------------|------------------------------------------------------|-------------|------------------------------------------------------|------------|-----------------------------------------------------|------------|-----------------------------------------------------|------------|
| ** **                                    | ** ** | **(unaudited)**                                      | ** **  | **(unaudited)**                                      | ** ** | **(unaudited)**                                     | ** ** | **(unaudited)**                                     | ** ** |
|                                          |       |                                                 |        |                                                 |       |                                                |       |                                                |       |
| Trading Profits  (Losses) and Interest Income |       | $                                                    | (7,213,610  | )                                                    | $          | 3,831,311                                           |       | $                                                   | 18,585,662 |   | $ | 5,413,227 |   |
|                                          |       |                                                 |        |                                                 |       |                                                |       |                                                |       |
| Expenses                                      |       | 4,600,423                                            |        | 4,903,366                                            |       | 16,175,361                                          |       | 14,799,223                                          |       |
|                                          |       |                                                 |        |                                                 |       |                                                |       |                                                |       |
| Net Income (Loss)                             |       | $                                                    | (11,814,033 | )                                                    | $          | (1,072,055                                          | )          | $                                                   | 2,410,301  |   | $ | (9,385,996 | ) |

 

3.      FAIR VALUE AND OFF-BALANCE SHEET RISK

The Partnershipinvests indirectly in derivative instruments as a result of its investment inGlobal Horizons, but does not itself hold any derivative instrument positions.The nature of this Partnership has certain risks, which cannot all be presentedin the financial statements.  Thefollowing summarizes some of those risks resulting from its investment inGlobal Horizons.

Market Risk

Derivative financialinstruments involve varying degrees of off-balance sheet market risk.  Changes in the level or volatility ofinterest rates, foreign currency exchange rates or the market values of theunderlying financial instruments or commodities underlying such derivative instrumentsfrequently results in changes in the Partnership’s allocation of net unrealizedprofit (loss) on such derivative instruments as reflected in the Statements ofFinancial Condition of Global Horizons. The Partnership’s exposure to market risk is influenced by a number offactors, including the relationships among the derivative instruments held byGlobal Horizons, as well as the volatility and liquidity of such markets inwhich such derivative instruments are traded.

BlackRock hasprocedures in place intended to control market risk exposure, although therecan be no assurance that they will, in fact, succeed in doing so.  These procedures focus primarily onmonitoring the trading of the trading advisors (“Advisors”), calculating theNet Asset Value of the Partnership as of the close of business on each day andreviewing outstanding positions, or itself reallocate Partnership assets amongAdvisors (although typically only as of the end of a month) forover-concentrations.  While

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BlackRock does notitself intervene in the markets to hedge or diversify the Partnership’s marketexposure, BlackRock may urge the Advisors to reallocate positions in an attemptto avoid over-concentrations.  Except incases in which it appears that the Advisors have begun to deviate from pastpractice or trading policies or to be trading erratically, BlackRock’s basicrisk control procedures consist simply of the ongoing process of advisormonitoring, with the market risk controls being applied by the Advisorsthemselves.  Prior to September 29, 2006,these procedures were performed by MLAI.

Credit Risk 

The risks associated withexchange-traded contracts are typically perceived to be less than thoseassociated with over-the-counter (non-exchange-traded) transactions, because exchangestypically (but not universally) provide clearinghouse arrangements in which thecollective credit (in some cases limited in amount, in some cases not) of themembers of the exchange is pledged to support the financial integrity of theexchange. In over-the-counter transactions, on the other hand, traders mustrely solely on the credit of their respective individual counterparties.Margins, which may be subject to loss in the event of a default, are generallyrequired in exchange trading, and counterparties may require margin in theover-the-counter markets.

The Partnership, throughGlobal Horizons, has credit risk with respect to non-performance of itscounterparties and brokers, but attempts to mitigate this risk by dealingalmost exclusively with Merrill Lynch entities as clearing brokers.

The Partnership,through Global Horizons, in its normal course of business, enters into variouscontracts, with Merrill Lynch, Pierce, Fenner & Smith Inc. (“MLPF&S”)acting as its commodity broker. Pursuant to the brokerage agreement withMLPF&S (which includes a netting arrangement), to the extent that suchtrading results in receivables from and payables to MLPF&S, thesereceivables and payables are offset and reported as a net receivable or payablein the financial statements of Global Horizons in the Equity in commodityfutures trading accounts in the Statements of Financial Condition.

4.      RECENT ACCOUNTING PRONOUNCEMENTS

In July 2006, the FinancialAccounting Standards Board (“FASB”) issued Interpretation No. 48 (“FIN 48”)entitled “Accounting for Uncertainty in Income Taxes — an interpretation ofFASB Statement No. 109”. FIN 48 prescribes the minimum recognition threshold atax position must meet in connection with accounting for uncertainties inincome tax positions taken or expected to be taken by an entity before beingmeasured and recognized in the financial statements. Adoption of FIN 48 isrequired for fiscal years beginning after December 15, 2006. The impact on thePartnership financial statements, if any, is currently being assessed.

In September 2006, the SECstaff also issued Staff Accounting Bulletin No. 108,*“Considering the Effects of Prior Year Misstatements when QuantifyingMisstatements in Current Year Financial Statements”* (“SAB 108”).While not an official rule or interpretation of the SEC, SAB 108 was issued toaddress the diversity in practice in quantifying misstatements from prior yearsand assessing their effect on current year financial statements. SAB 108 iseffective for the first annual period ending after November 15, 2006, withearly application encouraged. The Partnership has assessed the impact of SAB108 on its financial statements and does not expect the impact of adoption tobe material to its financial statements.

In September 2006, the FASBissued Statement of Financial Accounting Standards No. 157, Fair ValueMeasurements (“FAS 157”).  FAS 157 establishes a common definitionfor fair value under accounting principles generally accepted in the UnitedStates of America, establishes a framework for measuring fair

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value and expands disclosurerequirements about such fair value measurements.  FAS 157 is effective forfiscal years beginning after November 15, 2007.  The Partnership iscurrently evaluating the impact of adopting FAS 157 on its financial statements.

5.                  SUBSEQUENTEVENT

Effective October 1, 2006,Edward Rzeszowski and Michael Pungello were appointed the President and ChiefFinancial Officer, respectively of the Partnership.

Item 2:                                     Management’sDiscussion and Analysis of Financial Condition and Results of Operations

MONTH-END NET ASSET VALUE PER UNIT

|      | ** ** | **JAN.** | ** ** | **FEB.** | ** ** | **MAR.** | ** ** | **APR.** | ** ** | **MAY** | ** ** | **JUN.** | ** ** | **JUL.** | ** ** | **AUG.** | ** ** | **SEP.** | ** ** |
|------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|----------|------------|
| 2005 |       | $        | 1.0435     |     | $          | 1.0538   |       | $        | 1.0557     |    | $          | 1.0242   |       | $        | 1.0249     |     | $          | 1.0363   |       | $ | 1.0179 |   | $ | 1.0315 |   | $ | 1.0283 |   |
| 2006 |       | $        | 1.0494     |     | $          | 1.0405   |       | $        | 1.0581     |    | $          | 1.0918   |       | $        | 1.0864     |     | $          | 1.0796   |       | $ | 1.0605 |   | $ | 1.0338 |   | $ | 1.0281 |   |

 

Performance Summary

All of thePartnership’s assets are invested in Global Horizons.  The Partnership recognizes trading profits orlosses as an investor in Global Horizons. The following commentary describes the trading results of GlobalHorizons.

January 1, 2006 toSeptember 30, 2006

January 1, 2006 toMarch 31, 2006

The Partnershipposted a gain for the first quarter. Gains in interest rates, metals and stock indices sectors outweighedlosses experienced in the agricultural, energy and currencies sectors.

Thelargest gains were posted in the interest rate sector.  Short positions in Eurodollars, the front endof the U.S. curve, and in German bunds, Japanese government bonds and U.S.Treasuries all drove performance.  Theshort positions to the U.S. profited due to higher interest rates as a resultof increased inflationary pressure.  U.STreasuries contributed as markets declined on stronger than expected consumerconfidence and rising inflationary fears.

Themetals sector posted a gain for the Partnership despite losses realizedmid-quarter.  Metals rallied due to baseand precious metal holdings.   Long goldpositions profited as investors continued to use gold as a hedge against aweakening U.S. dollar.  Aluminum and zincboth rallied early in the quarter due to global growth and supply issue.  Precious and base metals contributed toperformance through long positions to gold, silver and copper as demandincreased.

Tradingin stock indices also posted gains throughout the quarter.  Strong domestic and international marketscontributed to performance.  Theincreased volatility in the European markets provided increased opportunitiesfor short-term trend followers.  ThePartnership continued to maintain a long bias to global equities.  Japan and European exposures led performanceas markets rallied, while U.S. exposures slightly detracted from performance.

Tradingin agricultural commodities contributed to losses during the quarter despitesmall gains in the latter part of the quarter. Short positions in coffee and long positions in corn detracted fromperformance mid-quarter.  Some losseswere mitigated through long positions in sugar as demand grew for ethanol, asugar by product.  Detracting fromperformance were long exposures to the soybean complex.

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Contributingslightly in March were gains resulting from short positions in coffee and themeat complex as prices continued to decrease.

Tradingin the energy sector posted losses throughout the quarter.  Crude oil rallied due to geopolitical issuesbut was not enough to offset losses from the decline in refined products, suchas unleaded and heating oil.  Crude oilsuffered mid-quarter as prices declined amid increased supply.  Geopolitical issues led to increasedvolatility within the sector.  Thiscaused gasoline prices to surge as supply decreased reversing the downwardprice trend experienced earlier in the quarter.

Thecurrencies sector was the sector with the weakest performance for thePartnership, despite small gains early in the quarter.  Foreign exchange contributed positively tothe Partnership as the U.S. dollar weakened throughout the month due to thecontinuation of December’s carry trade reversal and the continued expectationfor the slowdown of the U.S. Federal Reserve. Contributing to performance was long Canadian dollar and British poundpositions, while detracting from performance was positions in the Euro andSwiss franc.  Long positions in theMexican peso and short Euro positions contributed to performance as well.  Foreign exchange detracted due to strongreversals in March.  Long exposures tothe Mexican peso, Japanese yen, Canadian dollar and the British pound duringthe choppy market conditions all contributed to losses.

April 1, 2006 to June 30,2006

The Partnership posted again for the second quarter.  Gains ininterest rates, metals, currencies, and energy sectors outweighed lossesexperienced in the stock indices and agricultural sectors.

The largest gains wereposted in the interest rate sector. Performance was driven in the fixed incomesector through short positions to global interest rates, specifically shortpositions to U.K. gilts and German bunds. Short positions to the Euro alsocontributed to speculation that the European Central Bank would raise ratesthroughout the year. Short exposures to global interest rates, particularlyJapan and Europe, slightly detracted from gains mid-quarter as global bondprices rallied. Short fixed income positions benefited, particularly shortexposures to European rates, to the U.S. ten-year and to short end of theEurodollar.

The metals sector postedsignificant gains for the Partnership early in the quarter as gold ralliedabove $650 per ounce and copper rallied on strong global growth, particularlybooming demand from China and potential mining disruptions. Silver alsocontributed based on speculation that Barclays bank would offer a SilverExchange Traded Fund (ETF). Long positions in base metals, such as nickel andaluminum also contributed to profits.

Trading in the currenciessector also posted a gain for the Partnership despite losses realized atquarter end. Long positions in the British pound and the Canadian dollarcontributed to performance, while exposures to the Australian dollar and Euroslightly detracted. The U.S. dollar fell based on narrowing interest ratedifferentials and anticipation that the U.S. Federal Reserve would soon end itsrate hike cycle. The U.S. dollar also declined against both the Euro andJapanese yen as the market participants expected rate increases to occur at aquicker pace in Europe and Japan than in the U.S. Losses later in the quarterresulted from short positions to the U.S. dollar versus the British pound andthe Canadian dollar.

The energy sector postedmoderate gains for the quarter. Long positions held in unleaded gas rallied andcrude oil increased above $75 a barrel based on geopolitical uncertainty.Energy was then flat through mid-quarter as prices retreated off recent highs.Long positions to crude oil continued to contribute, while short positions tonatural gas detracted as prices spiked.

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Trading in the stockindices sector contributed to losses despite small gains at the open of thequarter. Throughout the quarter, global equity volatility remained high, drivenby pending Federal Open Market Committee (FOMC) decision that occurred late inthe quarter. Long equity positions, primarily exposures to the Australian andU.S. markets, profited as markets rallied early in the quarter. These gainswere later taken back as the markets declined sharply as it became apparentthat additional U.S. rate hikes would occur. Losses continued as managersreduced their long positions as global markets sold off.

The agriculturalcommodities sector had losses throughout the quarter. Short positions to cottonprofited as prices sold off. However, small losses occurred across othermarkets due to choppy conditions. Exposures to corn, cattle, and sugar addedlosses. Long positions to corn and wheat declined as prices sold off based onweather and harvest expectations.

July 1, 2006 to September30, 2006

The Partnership posted atrading loss for the third quarter. There were slight gains trading in thestock indices sector, however there were losses posted in metals, agriculture,currencies, energy, and interest rates sectors.

Gains were posted in thestock indices sector. Equity indices were volatile and trendless toward thebeginning of the quarter. This led to small losses, primarily in long exposuresto the German and U.S. markets. Around mid-quarter, global equities indicesrallied on news that tensions in the Middle East were abating, energy priceswere coming down, the U.S. Federal Reserve would continue to pause increases inFederal Funds rate, and the U.S. economy continued to show improvements. Shortpositions mid-quarter led to losses while long positions only slightlydetracted. Equities surged in the latter part of the quarter benefiting from animproved housing report showing that new home sales rose in August from a3-year low. An unexpected rebound in the U.S. consumer confidence furthersupported performance. This allowed the sector to post a gain for the quarterand erased earlier losses.

The metals sector postedmoderate losses for the Partnership despite being up early in the quarter.Significant exposure to nickel and gold led to early gains. Base metals madeheadway, despite low trading volumes. Gold rallied as investors sought asafe-haven investment. Later, losses were incurred through short positions tosilver as it rose to its highest price since May. The sector made groundthrough long positions in nickel as it rose because of a shortage of metal usedin stainless steel and increased global demand. Towards quarter end metalsdetracted from performance. Long exposures across the sector, which sufferedwaves of selling as signs of inflation and the health of the U.S. economytapered off, resulted in negative returns. Copper prices fell on news of the slowingeconomy and gold was down 21% from a 26-year high set in May as risk ofaccelerating inflation eased.

Trading in agriculturalcommodities also posted a loss for the Partnership due to early losses whichtapered off by quarter end. Cocoa detracted from performance as it retreatedfrom its upward trend and reversed significantly as market participants thoughtrecent highs were based merely on speculative buying, rather than on supply anddemand conditions. U.S. soybean and corn crops improved as rains relievedstress caused by weeks of dry weather. These gains were mitigated through shortpositions in hogs and cattle and long exposures to the grain complex. Later inthe quarter the sector was essentially flat as losses in a short corn positionwere offset by profits from a short sugar trade. Corn and soybean prices roseover 13% for the month of September, the most since December 2005, due to rainyweather in the U.S. Midwest. Sugar, the best-performing commodity in 2005, hasdropped 44% since February 3rd as productionexpands in Brazil and India, the world’s biggest cane growers.

 

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The currencies sectorposted a loss for the quarter. Slower growth reversed the chance of a rate hikein the U.S., which negatively impacted the U.S. dollar. Long positions to theJapanese yen and Canadian dollar detracted. A short position in the Britishpound was the worst performer as the British pound touched a 14th month high vs. the Euro on anticipation theinterest rate gap between the U.K. and the Euro region will widen. The Britishpound also gained against the U.S. dollar on speculation the interest-rate gapbetween Britain and the U.S. will narrow.

Trading in the energysector contributed further losses to the Partnership. Crude oil futures rosesharply early in the quarter under the fear that fighting would spreadthroughout the Middle East, but later sold-off causing small losses. Naturalgas, also rallied early as demand for electricity spiked during the heat wavein the U.S. Losses were later incurred as both crude oil and natural gasreversed the strengthening trend that existed earlier. Crude oil was down dueto the end of the driving season and decreased tensions with Iran. Natural gasplummeted as mild weather reduced demand for the fuel from power generators.Nearing quarter end the sector losses continued through long positions to crudeoil and gas oil. Crude oil declined on concerns that supplies increased andsigns that the standoff with Iran over its nuclear program may be nearingresolution.

The interest rates sectorwas the worst performing sector with losses throughout the quarter. Thebeginning of the quarter proved to be a difficult environment for thePartnership as speculation over the U.S. interest rate policy and geo-politicalevents created an environment of heightened volatility and a reversal of somelarger long term trends. Fixed income markets rallied on expectations thatfurther rate hikes would be put on hold as the U.S. economy slowed. Thisreversed the downward trend in the sector, resulting in losses throughexposures to global interest rates. Treasury yields declined on speculation theU.S. Federal Reserves’ previous rate increases will prove so damaging to thehousing market that the economic growth will slow more sharply than expected.Poor performance was also seen through short positions to the U.S. 5 and 10year Notes and to the 30 year Treasury bond.

One of the TradingAdvisors, Bridgewater, was removed from Global Horizons as of September 20,2006. Bridgewater has recently started an initiative to close the majority oftheir managed accounts in order to remain less transparent to the marketplace.Bridgewater was replaced with Cornerstone Quantitative Investment Group’sInternational Value and Real Commodity Analysis programs. The program utilizesa systematic approach to trading both financial and physical futures markets.Multiple fundamental factors are used to forecast a markets expected return,which determines a markets’ long or short exposure.

January 1, 2005 toSeptember 30, 2005

January 1, 2005 toMarch 31, 2005

The Partnershipposted a loss for the first quarter. Losses in the currency and global equity sectors outweighed gainsexperienced in the agricultural sector.

The interest ratesector was the best performing sector for the Partnership.  The Partnership benefited from long U.S.dollar positions versus the Euro and long Euro and Japanese fixed incomes.  Systematic, long-term trend followers alsoposted gains in the interest rate sector.

The energy sectorwas the second highest performing sector for the Partnership.  Gains were experienced in the energy sectoras the Partnership benefited from long positions in crude oil and gas as theseindustries profited.  Gains were alsoposted in long crude oil and heating oil positions.

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The agriculturalsector also performed well for the quarter. Gains were experienced from long positions in cattle and hogmarkets.  Short grain positions and longsoybean positions detracted from performance mid-quarter.  However, the quarter ended with gains posteddue to coffee, which experienced a lack of supply and a growing demand.

The metals sectorposted a gain for the quarter.  ThePartnership benefited from long positions in base and precious metals, such asgold, copper and zinc.

The stock indicessector posted a loss for the quarter. Losses occurred in the beginning of the quarter due to a trend reversalfrom long global equities to short global equities.  Profits were made through long positions onthe FTSE index and Asian equities.  Stockindices contributed negatively to performance as the equity markets declined atthe end of the quarter.

The currencysector posted the greatest loss for the Partnership.  Losses at the beginning of the quarter weredue to a trend reversal from short U.S. dollar positions to long U.S. dollarpositions.  Long Japanese yen and Swissfranc positions also experienced losses. With the U.S. Federal Reserve expressing concern about inflation,investors predicted that interest rates and the U.S. dollar would rise.  This caused losses as investors fled fromemerging currencies.  Long Australian dollarand Mexican peso positions also contributed to negative performance.

April 1, 2005 to June 30,2005

The Partnershipexperienced gains in the interest rates and currencies sectors and losses inthe remaining sectors.

Trading ininterest rates posted gains for the Partnership, despite losses early in thequarter. The Partnership benefited from long positions in the ten-year Germanbund.  The long positions held by thePartnership in European and Japanese government bonds contributed to gains aswell.

The currenciessector posted a gain as well for the quarter. Long positions in the British pound and Aussie dollar contributed earlyon in the quarter.  Short positions tothe British pound, Swiss franc and Euro enabled the Partnership to capitalizeon trend reversals in the market in the latter half of the quarter.

Trading in stockindices attributed to overall trading losses for the Partnership despite gainsposted in the second two months of the quarter. As equity markets declined, the stock indices market posted losses.   Short positions of domestic equitiesslightly offset some of the gains attributed to global and Europeanequities.   Profits from long exposure inthe European and U.S. equities were not enough to offset the losses incurredearlier in the quarter.

Trading inagricultural commodities posted losses for the quarter.  Gains in exposure to hogs and soybeans werenot enough to offset trading losses in other commodities.  Long exposure to soymeal attributed to thelosses as well.

Losses were postedthroughout the quarter in the metals sector. Long positions in base metals detracted from performance.  Complex base metals detracted fromperformance as well.

The energy sectorposted the largest losses for the quarter. Crude oil and heating oil declined as crude oil fell in price, whichnegatively impacted trend followers.

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July 1, 2005 to September30, 2005

The Partnershipposted positive trading results, although the Partnership as a whole sufferedlosses for the third quarter.  The energysector generated the most gains, followed by stock indices and metalssectors.  Trading losses were posted inthe agriculture, currencies and interest rates sectors.

In August, largegains posted in the energy sector attributed to the majority of the Partnership’sprofits.  Long energy positions in theentire energy complex, as well as a rally in the energy sector due to HurricaneKatrina attributed to those gains.

Trading in stockindices posted gains for the quarter despite small losses posted in August.Long positions in global equities contributed to profits early in the quarteras global markets rallied. Long European equities and Japanese Nikkei positionscontributed to the profits in the latter part of the quarter.

Gains were alsoposted in the metals sector. Long metal positions, specifically copper,contributed as global growth increased speculation that demand, and thereforeprices, would increase.

Trading inagricultural commodities posted a loss for the quarter.  Short exposure to corn and long exposure toLondon coffee detracted from performance across the agricultural complex.  Gains in London sugar and cotton were offsetby losses in hogs and the soybean complex.

Losses were alsoposted from trading in the currency sector despite gains posted in September.  China’s revaluation of the yuan causedvolatility across the currency markets. The U.S. dollar weakened based on higher oil prices and the potentialFederal Reserve slowdown in September. British pounds detracted from performance in the foreign sector.  Gains from long Australian dollar and shortEuro positions were not enough to offset the losses.

Trading in theinterest rate sector posted the largest losses for the quarter. A rally in bondprices attributed to losses. Long positions in Japanese and European governmentbonds as well as German bunds further detracted from performance.

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Item 3.                                     Quantitative and Qualitative DisclosuresAbout Market Risk

Notapplicable

Item 4.                                     Controls and Procedures

BlackRock, the General Partner of BlackRock Global Horizons IL.P., with the participation of the Partnership’s Chief Principal Officer andthe Chief Financial Officer, has evaluated the effectiveness of the design andoperation of its disclosure controls and procedures with respect to thePartnership as of the end of the period of this quarterly report, and, based onthis evaluation, has concluded that these disclosure controls and proceduresare effective.

On September 29, 2006, Merrill Lynch & Co., Inc. (“ML& Co.”) combined (the “Transaction”) various ML & Co. asset managementsubsidiaries with BlackRock, Inc. (“Old BlackRock”) to form a new assetmanagement company (“BlackRock”).  Underthe Transaction agreement, among other things, ML & Co. contributed theentities and assets that constitute Merrill Lynch Investment Managers to formBlackRock.

As part of the Transaction, Merrill Lynch Investment ManagersLLC, which is registered with National Futures Association (“NFA”) as acommodity pool operator was transferred to BlackRock and changed its name to BlackRockInvestment Management, LLC.  Immediatelyprior to the closing of the Transaction, the Registrant’s investment managementarrangements were assigned from Merrill Lynch Alternative Investments, LLC (“MLAI”)to Merrill Lynch Investment Managers, LLC. Therefore, since the closing of the Transaction, the Registrant has beenmanaged by BlackRock Investment Management, LLC (“BRIM”) which replaced MerrillLynch Alternative Investments, LLC as the general partner of theRegistrant.  The terms of the Registrant’sinvestment management arrangement, and of an investment in the Registrant, havenot been and will not otherwise be changed.

Other than the Transaction, which is described above, therewere no significant changes in the Partnership’s internal controls or in otherfactors that could significantly affect these controls subsequent to the dateof their evaluation, including any corrective actions with regard tosignificant deficiencies and material weaknesses.

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PART II - OTHERINFORMATION
| Item  1.      |                | Legal Proceedings                                                                                                  |
|---------------|---------------------|--------------------------------------------------------------------------------------------------------------------|
| ** **    | ** **          | ** **                                                                                                         |
|          |                | Neither the Partnership nor BlackRock have ever been  the subject of any material litigation.                      |
|          |                |                                                                                                               |
| Item 2.       |                | Changes in Securities and Use of Proceeds                                                                          |
| ** **    | ** **          | ** **                                                                                                         |
|          |                | (a)                                                                                                                | None. |
|          |                |                                                                                                               |   |
|          |                | (b)                                                                                                                | None. |
|          |                |                                                                                                               |   |
|          |                | (c)                                                                                                                | None. |
|          |                |                                                                                                               |   |
|          |                | (d)                                                                                                                | None. |
|          |                |                                                                                                               |   |
| Item 3.       |                | Defaults Upon Senior Securities                                                                                    |
| ** **    | ** **          | ** **                                                                                                         |
|          |                | None.                                                                                                              |
|          |                |                                                                                                               |
| Item 4.       |                | Submission of Matters to a Vote of Security Holders                                                                |
| ** **    | ** **          | ** **                                                                                                         |
|          |                | None.                                                                                                              |
|          |                |                                                                                                               |
| Item 5.       |                | Other Information                                                                                                  |
| ** **    | ** **          | ** **                                                                                                         |
|          |                | None.                                                                                                              |
|          |                |                                                                                                               |
| Item 5a.      |                | Recent Sales of Unregistered Securities; Uses of Proceeds  From Registered Securities:                             |
| ** **    | ** **          | ** **                                                                                                         |
|          |                | Not applicable                                                                                                     |
|          |                |                                                                                                               |
| Item 6.       |                | Exhibits                                                                                                           |
| ** **    | ** **          | ** **                                                                                                         |
|          |                | The following exhibits are incorporated by reference  or are filed herewith to this Quarterly Report on Form 10-Q: |
|          |                |                                                                                                               |
| 31.01 and     |                |                                                                                                               |
| 31.02         |                | Rule 13a-14(a)/15d-14(a) Certifications                                                                            |
|          |                |                                                                                                               |
| Exhibit 31.01 |                |
| and 31.02:    | Are filed herewith. |
|          |                |                                                                                                               |
| 32.01 and     |                |                                                                                                               |
| 32.02         |                | Section 1350 Certifications                                                                                        |
|          |                |                                                                                                               |
| Exhibit 32.01 |                |
| and 32.02:    | Are filed herewith. |
|               |                     |                                                                                                                    |  |  |

 

 

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**SIGNATURES**

Pursuant to the requirements of the Securities Exchange Act of 1934,the registrant has duly caused this report to be signed on its behalf by theundersigned thereunto duly authorized.
|                    |   | BLACKROCK FUTURES INVESTMENTS L.P.       |
|-------------------------|--------|------------------------------------------|
|                    |   |                                     |
|                    |   |                                     |
|                    |   | By: BLACKROCK INVESTMENT MANAGEMENT, LLC |
|                    |   | (General Partner)                        |
|                    |   |                                     |
|                    |   |                                     |
| Date: November 14, 2006 |   | By                                       | /s/ EDWARD RZESZOWSKI |
|                    |   |                                     | Edward Rzeszowski |
|                    |   |                                     | President |
|                    |   |                                     | (Principal Executive Officer) |
|                    |   |                                     |
|                    |   |                                     |
|                    |   |                                     |
|                    |   |                                     |
|                    |   |                                     |
| Date: November 14, 2006 |   | By                                       | /s/ MICHAEL L. PUNGELLO |
|                    |   |                                     | Michael L. Pungello |
|                    |   |                                     | Chief Financial Officer |
|                    |   |                                     | (Principal Financial and Accounting Officer) |

 

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