**UNITEDSTATES SECURITIES AND EXCHANGE COMMISSION**

**Washington,D.C. 20549**

 

**FORM10-Q**

 

**(Mark One)**

 

**ý**** QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THESECURITIES EXCHANGE ACT OF 1934**

 

**For the quarterly period ended March31, 2006**

 

**OR**

 

**o**** TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THESECURITIES EXCHANGE ACT OF 1934**

 

**For the transition period from                to                **

 

**Commission File Number 33-22864**

 

**MLFUTURES INVESTMENTS L.P.**

(Exact Name ofRegistrant asspecified in its charter)

 

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

 

**c/oMerrill Lynch Alternative Investments LLCPrinceton Corporate Campus800 Scudders Mill Road -  Section 2GPlainsboro, New Jersey 08536**

(Address ofprincipal executive offices)

(Zip Code)

 

**609-282-6996**

(Registrant’stelephone number, including area code)

 

Indicate by check mark if the registrant is awell-known seasoned issuer as defined by Rule 405 of the Securities Act
| Yes |   | o | No  | ý |
|-----|--------|---|----------|--------|

 

Indicateby check mark if the registrant is not required to file reports pursuant toSection 13 or 15(d) of the Act.
| Yes |   | o | No  | ý |
|-----|--------|---|----------|--------|

 

Indicateby check mark if the registrant (1) has filed all reports required to be filedby Section 13 or 15(d) of the Securities Exchange Act of 1934 during thepreceding 12 months (or for such shorter period that the registrant wasrequired to file such reports), and (2) has been subject to such filingrequirements for the past 90 days.
| Yes    |   | ý | No     |   | o      |
|--------|--------|--------|--------|--------|--------|
|   |   |   |   |   |   |

Indicate by check mark if disclosure of delinquent filers pursuant toItem 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 informationstatements incorporated by reference in Part II of this Form 10-Q or anyamendment to this Form 10-Q.    ý

 

Indicateby check mark whether the registrant is a large accelerated filer, anaccelerated filer, or a non-accelerated filer. See definition of “accelerated filer and large accelerated filer” inRule 12b-2 of the Exchange Act. (Check one):

 

| Large accelerated filer o | Accelerated filer o | Non-accelerated filer ý |
|--------------------------------|--------------------------|-----------------------------------|

 

Indicateby check mark whether registrant is a shell company (as defined by Rule 12b-2of the Exchange Act).
| Yes |   | o | No |   | ý |
|-----|--------|---|----|--------|--------|

 

 

----

** **

**MLFUTURES INVESTMENTS L.P.**

 

QUARTERLY REPORTFOR MARCH 31, 2006 ON FORM 10-Q

 

Table of Contents

 
|     | PART I                                                                                      | 2      |
|----------|---------------------------------------------------------------------------------------------|--------|
|     |                                                                                        |   |
| Item 1.  | Financial  Statements                                                                       | 2      |
|     |                                                                                        |   |
| Item 2.  | Management’s  Discussion and Analysis of Financial Condition and Results of Operations | 7      |
|     |                                                                                        |   |
| Item 3.  | Quantitative  and Qualitative Disclosures About Market Risk                                 | 9      |
|     |                                                                                        |   |
| Item 4.  | Controls  and Procedures                                                                    | 9      |
|     |                                                                                        |   |
|     | PART II                                                                                     | 10     |
|     |                                                                                        |   |
| Item 1.  | Legal  Proceedings                                                                          | 10     |
|     |                                                                                        |   |
| Item 2.  | Changes  in Securities and Use of Proceeds                                                  | 10     |
|     |                                                                                        |   |
| Item 3.  | Defaults  Upon Senior Securities                                                            | 10     |
|     |                                                                                        |   |
| Item 4.  | Submission  of Matters to a Vote of Security Holders                                        | 10     |
|     |                                                                                        |   |
| Item 5.  | Other  Information                                                                          | 10     |
|     |                                                                                        |   |
| Item 5a. | Recent  Sales of Unregistered Securities: Uses of Proceeds From Registered Securities       | 10     |
|     |                                                                                        |   |
| Item 6   | Exhibits  and Reports on Form 8-K                                                           | 11     |

 

1

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PART I - FINANCIALINFORMATION

Item 1.    FinancialStatements

 

ML FUTURESINVESTMENTS L.P.

(A DELAWARELIMITED PARTNERSHIP)

 

STATEMENTS OFFINANCIAL CONDITION

 
| ** **                                              | ** ** | **March 31,  2006** | ** ** | **December 31,  2005** | ** ** |
|---------------------------------------------------------|------------|--------------------------|------------|-----------------------------|------------|
| ** **                                              | ** ** | **(unaudited)**          | ** ** | ** **                  | ** ** |
| **ASSETS:**                                             |       |                     |       |                        |       |
| Investment  in Global Horizons                          |       | $                        | 39,658,870 |                        | $          | 39,887,435 |   |
| Receivable  from Global Horizons                        |       | 414,314                  |       | 315,015                     |       |
|                                                    |       |                     |       |                        |       |
| **TOTAL ASSETS**                                        |       | $                        | 40,073,184 |                        | $          | 40,202,450 |   |
|                                                    |       |                     |       |                        |       |
| **LIABILITY AND PARTNERS’ CAPITAL:**               |       |                     |       |                        |       |
| **LIABILITY:**                                          |       |                     |       |                        |       |
| Redemptions  payable                                    |       | $                        | 414,314    |                        | $          | 315,015 |   |
|                                                    |       |                     |       |                        |       |
| **PARTNERS’ CAPITAL:**                             |       |                     |       |                        |       |
| General  Partner (391,667 and 441,484 Units)            |       | 414,430                  |       | 454,109                     |       |
| Limited  Partners (37,089,393 and 38,337,375 Units)     |       | 39,244,440               |       | 39,433,326                  |       |
|                                                    |       |                     |       |                        |       |
| Total  partners’ capital                           |       | 39,658,870               |       | 39,887,435                  |       |
|                                                    |       |                     |       |                        |       |
| **TOTAL LIABILITY AND PARTNERS’ CAPITAL**          |       | $                        | 40,073,184 |                        | $          | 40,202,450 |   |
|                                                    |       |                     |       |                        |       |
| **NET ASSET VALUE PER UNIT**                            |       |                     |       |                        |       |
|                                                    |       |                     |       |                        |       |
| (Based  on 37,481,060 and 38,778,859 Units outstanding) |       | $                        | 1.0581     |                        | $          | 1.0286 |   |

 

See notes to financialstatements.

 

2

----

 

ML FUTURESINVESTMENTS L.P.

(A DELAWARELIMITED PARTNERSHIP)

 

STATEMENTS OF OPERATIONS

(unaudited)

 
| ** **                                                                        | ** ** | **For the three****months  ended  March 31,  2006** | ** ** | **For the three****months  ended  March 31,  2005** | ** ** |
|-----------------------------------------------------------------------------------|------------|-----------------------------------------------------|------------|-----------------------------------------------------|------------|
|                                                                              |       |                                                |       |                                                |       |
| **TRADING PROFITS (LOSSES):**                                                     |       |                                                |       |                                                |       |
|                                                                              |       |                                                |       |                                                |       |
| Realized  and other                                                               |       | $                                                   | 1,332,648  |                                                | $          | (44,074 | ) |
| Change  in unrealized                                                             |       | 283,009                                             |       | (304,189                                            | )          |
|                                                                              |       |                                                |       |                                                |       |
| Total  trading profits (losses)                                                   |       | 1,615,657                                           |       | (348,263                                            | )          |
|                                                                              |       |                                                |       |                                                |       |
| **INVESTMENT INCOME:**                                                            |       |                                                |       |                                                |       |
| Interest                                                                          |       | 425,784                                             |       | 261,974                                             |       |
|                                                                              |       |                                                |       |                                                |       |
| **EXPENSES:**                                                                     |       |                                                |       |                                                |       |
| Brokerage  commissions                                                            |       | 819,495                                             |       | 894,963                                             |       |
| Administrative  fee                                                               |       | 24,103                                              |       | 26,323                                              |       |
| Profit  Shares                                                                    |       | 64,410                                              |       | 108,930                                             |       |
|                                                                              |       |                                                |       |                                                |       |
| Total  expenses                                                                   |       | 908,008                                             |       | 1,030,216                                           |       |
|                                                                              |       |                                                |       |                                                |       |
| **NET INVESTMENT LOSS**                                                           |       | (482,224                                            | )          | (768,242                                            | )          |
|                                                                              |       |                                                |       |                                                |       |
| **NET INCOME (LOSS)**                                                             |       | $                                                   | 1,133,433  |                                                | $          | (1,116,505 | ) |
|                                                                              |       |                                                |       |                                                |       |
| **NET INCOME (LOSS) PER UNIT:**                                                   |       |                                                |       |                                                |       |
| Weighted  average number of General Partner and Limited Partner Units outstanding |       | 37,866,409                                          |       | 42,691,724                                          |       |
|                                                                              |       |                                                |       |                                                |       |
| Net  income (loss) per weighted average General Partner and Limited Partner Unit  |       | $                                                   | 0.0299     |                                                | $          | (0.0262 | ) |

 

Substantially all itemsof income and expense are derived from the investment in Global Horizons forthe three months ended March 31, 2006 and 2005.

 

See notes to financialstatements.

 

3

----

 

ML FUTURESINVESTMENTS L.P.

(A DELAWARELIMITED PARTNERSHIP)

 

STATEMENTS OFCHANGES IN PARTNERS’ CAPITAL

#### FOR THE THREE MONTHS ENDED MARCH 31, 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                                        |       | —     |       | (12,898             | )          | (1,103,607           | )          | (1,116,505 | )          |
|                                            |       |       |       |                |       |                 |       |       |       |
| Redemptions                                     |       | (1,249,037 | )          | (68,518             | )          | (1,245,769           | )          | (1,314,287 | )          |
|                                            |       |       |       |                |       |                 |       |       |       |
| PARTNERS’ CAPITAL,  March 31, 2005    |       | 42,098,755 |       | $                   | 466,100    |                 | $          | 43,979,649 |       | $ | 44,445,749 |   |
|                                            |       |       |       |                |       |                 |       |       |       |
| PARTNERS’ CAPITAL,  December 31, 2005 |       | 38,778,859 |       | $                   | 454,109    |                 | $          | 39,433,326 |       | $ | 39,887,435 |   |
|                                            |       |       |       |                |       |                 |       |       |       |
| Net income                                      |       | —     |       | 12,599              |       | 1,120,834            |       | 1,133,433  |       |
|                                            |       |       |       |                |       |                 |       |       |       |
| Redemptions                                     |       | (1,297,799 | )          | (52,278             | )          | (1,309,720           | )          | (1,361,998 | )          |
|                                            |       |       |       |                |       |                 |       |       |       |
| PARTNERS’ CAPITAL,  March 31, 2006    |       | 37,481,060 |       | $                   | 414,430    |                 | $          | 39,244,440 |       | $ | 39,658,870 |   |

 

See notes to financialstatements.

 

4

----

 

ML FUTURESINVESTMENTS L.P.

(A DELAWARELIMITED PARTNERSHIP)

 

NOTES TO FINANCIALSTATEMENTS

(unaudited)

 

1.     SUMMARY OFSIGNIFICANT ACCOUNTING POLICIES

 

In the opinion of management, the financial statementscontain all adjustments necessary to present fairly the financial position ofML Futures Investments L.P. (the “Partnership”) as of March 31, 2006, and theresults of its operations for the three months ended March 31, 2006 and 2005.  The operating results for the interim periodsmay not be indicative of the results for the full year.

 

Certain information and footnote disclosures normallyincluded in annual financial statements prepared in accordance with accountingprinciples generally accepted in the United States of America (“US GAAP”) havebeen omitted.  It is suggested that thesefinancial statements be read in conjunction with the financial statements andnotes thereto included in the Partnership’s Annual Report on Form 10-K filedwith the Securities 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 March 31, 2006 and December 31, 2005 thePartnership had an investment in Global Horizons of $39,658,870 and $39,887,435,respectively.  As of March 31, 2006 andDecember 31, 2005 the Partnership’s percentage ownership share of GlobalHorizons was 15.30% and 14.85% .

 

Condensed statements of financial condition andstatements of operations for Global Horizons are set forth as follows:

 
| ** **             | ** ** | **March 31,**   | ** **  | **December 31,** | ** ** |
|------------------------|------------|-----------------|-------------|------------------|------------|
| ** **             | ** ** | **2006**        | ** **  | **2005**         | ** ** |
| ** **             | ** ** | **(unaudited)** | ** **  | ** **       | ** ** |
| Assets                 |       | $               | 272,278,079 |             | $          | 280,475,255 |   |
| Liabilities            |       | $               | 13,035,567  |             | $          | 11,889,388 |   |
| Partners’ Capital |       | 259,242,512     |        | 268,585,867      |       |
|                   |       |            |        |             |       |
| Total                  |       | $               | 272,278,079 |             | $          | 280,475,255 |   |

 

5

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| ** **                           | ** ** | **For the three months  ended March 31, 2006** | ** ** | **For the three months  ended March 31, 2005** | ** ** |
|--------------------------------------|------------|------------------------------------------------|------------|------------------------------------------------|------------|
| ** **                           | ** ** | **(unaudited)**                                | ** ** | **(unaudited)**                                | ** ** |
| Trading  profits and interest income |       | $                                              | 13,554,927 |                                           | $          | 163,766 |   |
| Expenses                             |       | 5,407,206                                      |       | 4,834,520                                      |       |
|                                 |       |                                           |       |                                           |       |
| Net income (loss)                    |       | $                                              | 8,147,721  |                                           | $          | (4,670,754 | ) |

 

3.               FAIRVALUE AND OFF-BALANCE SHEET RISK

 

The Partnershipinvests indirectly in derivative instruments as a result of its investment in GlobalHorizons, but does not itself hold any derivative instrument positions. Thenature of this Partnership has certain risks, which cannot be presented in thefinancial statements.  The followingsummarizes some of those risks resulting from its investment in Global Horizons.

 

Market Risk

 

Derivative financial instruments involve varyingdegrees of off-balance sheet market risk. Changes in the level or volatility of interest rates, foreign currencyexchange rates or the market values of the underlying financial instruments orcommodities underlying such derivative instruments frequently results inchanges in the Partnership’s allocation of net unrealized profit on such derivativeinstruments as reflected in the Statements of Financial Condition of GlobalHorizons.  The Partnership’s exposure tomarket risk is influenced by a number of factors, including the relationshipsamong the derivative instruments held by Global Horizons, as well as thevolatility and liquidity of such markets in which such derivative instrumentsare traded.

 

The General Partner, Merrill Lynch AlternativeInvestments LLC (“MLAI”), has procedures in place intended to control marketrisk exposure, although there can be no assurance that they will, in fact,succeed in doing so.  These proceduresfocus primarily on monitoring the trading of the Advisors selected from time totime by MLAI, as the General Partner for Global Horizons, calculating the NetAsset Value of the Advisors’ respective Partnership accounts and GlobalHorizons’ accounts as of the close of business on each day and reviewingoutstanding positions for over-concentrations both on an Advisor-by-Advisor andon an overall Partnership basis.  While MLAIdoes not itself intervene in the markets to hedge or diversify the Partnership’smarket exposure, MLAI may urge Advisors to reallocate positions, or itselfreallocate Partnership assets, through Global Horizons, among Advisors(although typically only as of the end of a month) in an attempt to avoidover-concentrations.  However, suchinterventions are unusual.  Except incases in which it appears that an Advisor has begun to deviate from pastpractice or trading policies or to be trading erratically, MLAI’s basic riskcontrol procedures consist simply of the ongoing process of advisor monitoringand selection with the market risk controls being applied by the Advisorsthemselves.

 

Credit Risk 

 

The risks associated with exchange-traded contractsare typically perceived to be less than those associated with over-the-counter(non-exchange-traded) transactions, because exchanges typically (but notuniversally) provide clearinghouse arrangements in which the collective credit(in some cases limited in amount, in some cases not) of the members of theexchange is pledged to support the financial integrity of the exchange. Inover-the-counter transactions, on the other hand, traders must rely solely on 

 

6

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the credit of their respective individualcounterparties. Margins, which may be subject to loss in the event of adefault, are generally required in exchange trading, and counterparties mayrequire margin in the over-the-counter markets.

 

The Partnership, through Global Horizons, has creditrisk with respect to non-performance of its counterparties and brokers, butattempts to mitigate this risk by dealing almost exclusively with Merrill Lynch& Co., Inc. (“Merrill Lynch”) entities as clearing brokers.

 

The Partnership, through GlobalHorizons, in its normal course of business, enters into various contracts, withMerrill Lynch, Pierce, Fenner & Smith Inc. (“MLPF&S”) acting as itscommodity broker. Pursuant to the brokerage agreement with MLPF&S (whichincludes a netting arrangement), to the extent that such trading results inreceivables from and payables to MLPF&S, these receivables and payables areoffset and reported as a net receivable or payable in the financial statementsof Global Horizons in the Equity in commodity futures trading accounts in theStatements of Financial Condition.

 

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

 

MONTH-END NETASSET VALUE PER UNIT

 

| ** ** | ** ** | **JAN.** | ** ** | **FEB.** | ** ** | **MAR.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|
| 2005       |       | $        | 1.0435     |     | $          | 1.0538   |       | $ | 1.0557 |   |
| 2006       |       | $        | 1.0494     |     | $          | 1.0405   |       | $ | 1.0581 |   |

 

Performance Summary

 

January 1, 2006 to March 31, 2006

 

All of the Partnership’s assets are invested in GlobalHorizons.  The Partnership recognizestrading profits or losses as an investor in Global Horizons.  The following commentary describes thetrading results of Global Horizons.

 

The Partnership posted again for the first quarter.  Gains ininterest rates, metals and stock indices sectors outweighed losses experiencedin the agricultural, energy and currencies sectors.

 

The largest gains wereposted in the interest rate sector. Short positions in Eurodollars, the front end of the U.S. curve, and inGerman Bunds, Japanese government bonds and U.S. Treasuries all droveperformance.  The short positions to theU.S. profited due to higher interest rates as a result of increasedinflationary pressure.  U.S Treasuriescontributed as markets declined on stronger than expected consumer confidenceand rising inflationary fears.

 

The metals sector posted again for the Partnership despite losses realized mid-quarter.  Metals rallied due to base and precious metalholdings.   Long gold positions profitedas investors continued to use gold as a hedge against a weakening U.S.dollar.  Aluminum and zinc both ralliedearly 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.

 

Trading in stock indicesalso posted gains throughout the quarter. Strong domestic and international markets contributed toperformance.  The increased volatility inthe European markets provided increased opportunities for short-term trend followers.  The Partnership continued to maintain a longbias to global 

 

7

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equities.  Japan and European exposures led performanceas markets rallied, while U.S. exposures slightly detracted from performance.

 

Trading in agriculturalcommodities contributed to losses during the quarter despite small gains in thelatter part of the quarter.  Shortpositions in coffee and long positions in corn detracted from performancemid-quarter.  Some losses were mitigatedthrough long positions in sugar as demand grew for ethanol, a sugar by product.  Detracting from performance were longexposures to the soybean complex. Contributing slightly in March were gains resulting from short positionsin coffee and the meat complex as prices continued to decrease.

 

Trading in the energysector posted losses throughout the quarter. Crude oil rallied due to geopolitical issues but was not enough tooffset losses from the decline in refined products, such as unleaded andheating oil.  Crude oil sufferedmid-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.

 

The currencies sector wasthe sector with the weakest performance for the Partnership, despite smallgains early in the quarter.  Foreignexchange contributed positively to the Partnership as the U.S. dollar weakenedthroughout the month due to the continuation of December’s carry trade reversaland the continued expectation for the slowdown of the U.S. FederalReserve.  Contributing to performance waslong Canadian dollar and British pound positions, while detracting fromperformance was positions in the Euro and Swiss franc.  Long positions in the Mexican peso and shortEuro 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.

 

January 1, 2005 to March 31, 2005

 

All of the Partnership’s assets are invested in GlobalHorizons.  The Partnership recognizestrading profits or losses as an investor in Global Horizons.  The following commentary describes thetrading results of Global Horizons.

 

The Partnership posted aloss for the first quarter.  Losses inthe currency and global equity sectors outweighed gains experienced in theagricultural sector.

 

The interest rate sectorwas 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 sector was thesecond 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.

 

The agricultural sectoralso 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 sector posteda gain for the quarter.  The Partnershipbenefited from long positions in base and precious metals, such as gold, copperand zinc.

 

8

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The stock indices sectorposted a loss for the quarter.  Lossesoccurred in the beginning of the quarter due to a trend reversal from longglobal equities to short global equities. Profits were made through long positions on the FTSE index and Asianequities.  Stock indices contributednegatively to performance as the equity markets declined at the end of thequarter.

 

The currency sectorposted the greatest loss for the Partnership. Losses at the beginning of the quarter were due to a trend reversal fromshort U.S. dollar positions to long U.S. dollar positions.  Long Japanese yen and Swiss franc positionsalso experienced losses.  With the U.S.Federal Reserve expressing concern about inflation, investors predicted that interestrates and the U.S. dollar would rise. This caused losses as investors fled from emerging currencies.  Long Australian dollar and Mexican pesopositions also contributed to negative performance.

 

Item 3.    Quantitativeand Qualitative Disclosures About Market Risk

 

Not applicable

 

Item 4.    Controls and Procedures

 

Merrill Lynch Alternative Investments LLC, the GeneralPartner of ML Futures Investments L.P., with the participation of the GeneralPartner’s Chief Executive Officer and the Chief Financial Officer, hasevaluated the effectiveness of the design and operation of its disclosurecontrols and procedures with respect to the Partnership as of the end of theperiod of this quarterly report, and, based on this evaluation, has concludedthat these disclosure controls and procedures are effective.  Additionally, there were no significantchanges in the Partnership’s internal controls or in other factors that couldsignificantly affect these controls subsequent to the date of this evaluation,including any corrective actions with regard to significant deficiencies andmaterial weaknesses.

 

9

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PART II - OTHERINFORMATION

 
| Item 1.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |   | Legal Proceedings                                                                                                       |
|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--------|-------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |   |                                                                                                                    |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |   | Neither the  Partnership, Merrill Lynch Investment Managers (“MLIM LLC”) nor MLAI have  ever been the subject |
| of any material  litigation. Merrill Lynch is the 100% indirect owner of MLAI, MLIM LLC,  MLPF&S and all other Merrill Lynch entities involved in the operation of  the Partnership. Merrill Lynch as well as certain of its subsidiaries and  affiliates have been named as defendants in civil 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 or financial condition of MLIM  LLC, MLAI or the Partnership. |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |   |                                                                                                                    |
| 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 5(a)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |   | Recent Sales of  Unregistered Securities; Uses of Proceeds From Registered Securities:                                  |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |   |                                                                                                                    |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |   | Not applicable.                                                                                                         |

 

10

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| Item 6.        |   | Exhibits and Reports on  Form 8-K.                                                                                  |
|----------------|--------|---------------------------------------------------------------------------------------------------------------------|
|           |   |                                                                                                                |
|           |   | (a) 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.                                                                                                |
|           |   |                                                                                                                |
|           |   | (b) Reports on Form  8-K.                                                                                           |
|           |   |                                                                                                                |
|           |   | There were no reports  on Form 8-K filed during the first three months of fiscal 2006.                              |

 

11

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**SIGNATURES**

 

Pursuant to therequirements of the Securities Exchange Act of 1934, the registrant has dulycaused this report to be signed on its behalf by the undersigned thereunto dulyauthorized.

 

 
|               | ML FUTURES INVESTMENTS L.P. |                                            |
|--------------------|-----------------------------|-------------------------------------------------|
|               |                        |                                            |   |
|               |                        |                                            |   |
|               |                        |                                            |   |
|               | By:                         | MERRILL LYNCH  ALTERNATIVE                      |   |   |
|               |                        | INVESTMENTS LLC                                 |   |   |
|               |                        | (General Partner)                               |   |   |
|               |                        |                                            |   |
|               |                        |                                            |   |
|               |                        |                                            |   |
| Date: May 15, 2006 | By                          | /s/ ROBERT M. ALDERMAN                          |   |   |
|               |                        | Robert M. Alderman                              |   |
|               |                        | Chief Executive  Officer, President and Manager |   |
|               |                        | (Principal Executive  Officer)                  |   |
|               |                        |                                            |   |
|               |                        |                                            |   |
|               |                        |                                            |   |
| Date: May 15, 2006 |                        |                                            |   |
|               | By                          | /s/ MICHAEL L. PUNGELLO                         |   |   |
|               |                        | Michael L. Pungello                             |   |
|               |                        | Vice President, Chief  Financial Officer        |   |
|               |                        | and Treasurer                                   |   |
|               |                        | (Principal Financial  and Accounting Officer)   |   |
|                    |                             |                                                 |  |  |  |  |

 

12

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