<Page>

                                    ML FUTURES INVESTMENTS II L.P.
                                    (A DELAWARE LIMITED PARTNERSHIP)


                                    Financial Statements for the years ended
                                    December 31, 2001, 2000 and 1999 and
                                    Independent Auditors' Report



[MERRILL LYNCH LOGO]

<Page>

ML FUTURES INVESTMENTS II L.P.
(A DELAWARE LIMITED PARTNERSHIP)


TABLE OF CONTENTS

<Table>
<Caption>
                                                                                                       PAGE
                                                                                                       ----
<S>                                                                                                    <C>
INDEPENDENT AUDITORS' REPORT                                                                              1

FINANCIAL STATEMENTS:

    Statements of Financial Condition as of December 31, 2001 and 2000                                    2

    Statements of Operations for the years ended December 31, 2001, 2000 and 1999                         3

    Statements of Changes in Partners' Capital for the years ended December 31, 2001, 2000 and 1999       4

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

    Notes to Financial Statements                                                                      6-11

</Table>

<Page>


INDEPENDENT AUDITORS' REPORT


To the Partners of ML Futures Investments II L.P.:

We have audited the accompanying statements of financial condition of ML Futures
Investments II L.P. (the "Partnership") as of December 31, 2001 and 2000 and
the related statements of operations and of changes in partners' capital for
each of the three years in the period ended December 31, 2001 and the financial
data highlights for the year ended December 31, 2001. These financial statements
and financial data highlights are the responsibility of the Partnership's
management. Our responsibility is to express an opinion on these financial
statements and financial data highlights based on our audits.

We conducted our audits in accordance with auditing standards generally accepted
in the United States of America. Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements and financial data highlights are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements. An audit also includes assessing the
accounting principles used and significant estimates made by management, as well
as evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.

In our opinion, such financial statements and financial data highlights
present fairly, in all material respects, the financial position of ML
Futures Investments II L.P. as of December 31, 2001 and 2000, and the results
of its operations and changes in its partners' capital and the financial data
highlights for each of the periods presented, in conformity with accounting
principles generally accepted in the United States of America.

DELOITTE & TOUCHE LLP


New York, New York
February 5, 2002

<Page>

ML FUTURES INVESTMENTS II L.P.
(A DELAWARE LIMITED PARTNERSHIP)

STATEMENTS OF FINANCIAL CONDITION
DECEMBER 31, 2001 AND 2000

<Table>
<Caption>
                                                           2001            2000
                                                       -------------   -------------
<S>                                                     <C>             <C>
ASSETS

Investment in MM LLC (Note 6)                           $ 7,837,306     $ 8,770,130
Receivable from investment in MM LLC (Note 6)                58,404          69,462
                                                       -------------   -------------

            TOTAL                                       $ 7,895,710     $ 8,839,592
                                                       =============   =============

LIABILITIES AND PARTNERS' CAPITAL

LIABILITIES:

  Redemptions payable (Note 1)                             $ 58,404        $ 69,462
                                                       -------------   -------------

      Total liabilities                                      58,404          69,462
                                                       -------------   -------------

PARTNERS' CAPITAL:
  General Partner (428 Units and 476 Units)                  84,736          93,400
  Limited Partners (39,158 Units and 44,219 Units)        7,752,570       8,676,730
                                                       -------------   -------------

      Total partners' capital                             7,837,306       8,770,130
                                                       -------------   -------------

            TOTAL                                       $ 7,895,710     $ 8,839,592
                                                       =============   =============

NET ASSET VALUE PER UNIT
(Based on 39,586 and 44,695 Units outstanding)          $    197.98     $    196.22
                                                       =============   =============
</Table>

See notes to financial statements.


                                       2
<Page>

ML FUTURES INVESTMENTS II L.P.
(A DELAWARE LIMITED PARTNERSHIP)

STATEMENTS OF OPERATIONS
FOR THE YEARS ENDED DECEMBER 31, 2001, 2000 AND 1999

<Table>
<Caption>
                                                            2001            2000           1999
                                                         -----------    ------------   ------------
<S>                                                      <C>            <C>            <C>
INCOME (LOSS) FROM INVESTMENT (Note 6)                     $ 86,225       $ 438,954      $(124,747)
                                                         -----------    ------------   ------------

NET INCOME (LOSS)                                          $ 86,225       $ 438,954      $(124,747)
                                                         ===========    ============   ============

NET INCOME (LOSS) PER UNIT:
    Weighted average number of General Partner
    and Limited Partner Units outstanding (Note 5)           42,606          48,675         56,241
                                                         ===========    ============   ============

    Net income (loss) per weighted average General
    Partner and Limited Partner Unit                       $   2.02       $    9.02      $   (2.22)
                                                         ===========    ============   ============
</Table>

See notes to financial statements.


                                       3
<Page>

ML FUTURES INVESTMENTS II L.P.
(A DELAWARE LIMITED PARTNERSHIP)

STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
FOR THE YEARS ENDED DECEMBER 31, 2001, 2000 AND 1999

<Table>
<Caption>
                             Units       General Partner     Limited Partners          Total
                           ----------    ---------------     ----------------     ---------------
<S>                          <C>         <C>                 <C>                    <C>
PARTNERS' CAPITAL,
  DECEMBER 31, 1998           59,628          $ 128,020         $ 11,081,642        $ 11,209,662

Net loss                           -             (1,503)            (123,244)           (124,747)

Redemptions                   (6,613)              (180)          (1,234,800)         (1,234,980)
                           ----------    ---------------     ----------------     ---------------

PARTNERS' CAPITAL,
  DECEMBER 31, 1999           53,015            126,337            9,723,598           9,849,935

Net income                         -              4,974              433,980             438,954

Redemptions                   (8,320)           (37,911)          (1,480,848)         (1,518,759)
                           ----------    ---------------     ----------------     ---------------

PARTNERS' CAPITAL,
  DECEMBER 31, 2000           44,695             93,400            8,676,730           8,770,130

Net income                         -              1,346               84,879              86,225

Redemptions                   (5,109)           (10,010)          (1,009,039)         (1,019,049)
                           ----------    ---------------     ----------------     ---------------

PARTNERS' CAPITAL,
  DECEMBER 31, 2001           39,586          $  84,736         $  7,752,570        $  7,837,306
                           ==========    ===============     ================     ===============
</Table>

See notes to financial statements.


                                       4
<Page>

ML FUTURES INVESTMENTS II L.P.
(A DELAWARE LIMITED PARTNERSHIP)

FINANCIAL DATA HIGHLIGHTS
FOR THE YEAR ENDED DECEMBER 31, 2001

The following per unit data and ratios have been derived from information
provided in the financial statements.

<Table>
<Caption>
                                                                 2001
                                                                 ----
<S>                                                            <C>
Increase (Decrease) in Net Asset Value

PER UNIT OPERATING PERFORMANCE:
-------------------------------
Net asset value, beginning of period                           $ 196.22

Realized trading profit                                           29.40
Change in unrealized                                             (12.94)
Interest income                                                    6.86
Expenses                                                         (21.56)
                                                              ----------

Net asset value, end of period                                 $ 197.98
                                                              ==========

Total investment return, compounded monthly                       0.90%
                                                              ==========

RATIOS TO AVERAGE NET ASSETS:
-----------------------------
Expenses                                                         10.86%
                                                              ==========

Net income                                                        1.02%
                                                              ==========
</Table>

See notes to financial statements.


                                       5
<Page>

ML FUTURES INVESTMENTS II L.P.
(A DELAWARE LIMITED PARTNERSHIP)

NOTES TO FINANCIAL STATEMENTS

1.   SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

     ORGANIZATION

     ML Futures Investments II L.P. (the "Partnership") was organized under the
     Delaware Revised Uniform Limited Partnership Act on January 20, 1987 and
     commenced trading activities on May 2, 1988. The Partnership engages,
     through an investment in a limited liability company (see below) in the
     speculative trading of futures, options on futures, forwards and options on
     forward contracts on a wide range of commodities. MLIM Alternative
     Strategies LLC ("MLIM AS LLC"), formerly Merrill Lynch Investment Partners
     Inc. ("MLIP"), a wholly-owned subsidiary of Merrill Lynch Investment
     Managers, LP ("MLIM") which, in turn, is an indirect wholly-owned
     subsidiary of Merrill Lynch & Co., Inc. ("Merrill Lynch"), is the general
     partner of the Partnership. Merrill Lynch, Pierce, Fenner & Smith
     Incorporated ("MLPF&S"), the successor to Merrill Lynch Futures Inc.
     ("MLF") by merger, is the Partnership's commodity broker. MLIM AS LLC has
     agreed to maintain a general partner's interest of at least 1% of the total
     capital in the Partnership. MLIM AS LLC and each Limited Partner share in
     the profits and losses of the Partnership in proportion to their respective
     interests in it.

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

     Many of the multi-advisor funds (the "Multi-Advisor Funds") sponsored by
     MLIM AS LLC, including the Partnership, allocate their assets to a
     number of the same independent advisors (the "Advisors"). These
     Multi-Advisor Funds invest in a limited liability company, ML
     Multi-Manager Portfolio LLC ("MM LLC"), a Delaware limited liability
     company, which operates a single account with each Advisor selected. MM
     LLC is managed by MLIM AS LLC, has no investors other than the
     Multi-Advisor Funds and serves solely as the vehicle through which the
     assets of such Multi-Advisor Funds are combined in order to be managed
     through single rather than multiple accounts. As of September 2000, two
     additional Multi-Advisor Funds were added to MM LLC. The placement of
     assets into MM LLC did not change the operations or fee structure of the
     Partnership. The following notes relate to the operation of the
     Partnership through its investment in MM LLC. The administrative
     authority over the Partnership remains with MLIM AS LLC. MLIM AS LLC, on
     an ongoing basis, may change the number of Multi-Advisor Funds investing
     in MM LLC. As of December 31, 2001, 2000 and 1999, the Partnership's
     percentage ownership share of MM LLC was 3.89%, 3.54% and 10.05%,
     respectively.

     MLIM AS LLC selects the Advisors to manage MM LLC's assets, and allocates
     and reallocates such trading assets among existing, replacement and
     additional Advisors.

     ESTIMATES

     The preparation of financial statements in conformity with accounting
     principles generally accepted in the United States of America requires
     management to make estimates and assumptions that affect the reported
     amount of assets and liabilities and disclosure of contingent assets and
     liabilities at the date of


                                       6
<Page>

     the financial statements and the reported amounts of revenues and expenses
     during the reporting period. Actual results could differ from those
     estimates.

     CASH MANAGEMENT

     As of June 2000, the Partnership, through MM LLC, began an Income
     Enhancement Program, whereas, a portion of its assets could be invested in
     Commercial Paper. This was done to improve the yield on the cash assets not
     required for margin for trading purposes at MLPF&S. These holdings
     generally have maturities of 30, 60 or 90 days and are held to maturity. As
     of December 31, 2001, the Income Enhancement Program is inactive.

     REVENUE RECOGNITION

     Commodity futures, options on futures, forwards and options on forward
     contracts are recorded on the trade date and open contracts are reflected
     in the net unrealized profit (loss) on open contracts in the Statements of
     Financial Condition of MM LLC at the difference between the original
     contract value and the market value (for the commodity interests for which
     market quotations are readily available) or at fair value. The change in
     unrealized profit (loss) on open contracts from one period to the next is
     reflected in Change in unrealized under Trading profit (loss) in the
     Statements of Operations of MM LLC. See Note 6 for discussion of revenue
     recognition for the Partnership's investment in MM LLC.

     FOREIGN CURRENCY TRANSACTIONS

     The Partnership's functional currency is the U.S. dollar; however, it
     transacts business in currencies other than the U.S. dollar through MM LLC.
     Assets and liabilities denominated in currencies other than the U.S. dollar
     are translated into U.S. dollars at the rates in effect at the dates of the
     Statements of Financial Condition. Income and expense items denominated in
     currencies other than the U.S. dollar are translated into U.S. dollars at
     the rates in effect during the period. Gains and losses resulting from the
     translation to U.S. dollars are reported in total trading results.

     OPERATING EXPENSES

     MLIM AS LLC pays all routine operating expenses (including legal,
     accounting, printing, postage and similar administrative expenses) of the
     Partnership. MLIM AS LLC receives an administrative fee as well as a
     portion of the brokerage commissions paid to MLPF&S, by the Partnership,
     through MM LLC (see Note 3).

     No selling commissions have been or are paid directly by Limited Partners.
     All selling commissions are paid by MLIM AS LLC.

     INCOME TAXES

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


                                       7
<Page>

     DISTRIBUTIONS

     The Limited Partners are entitled to receive, equally per Unit, any
     distributions which may be made by the Partnership. No such distributions
     have been declared for the years ended December 31, 2001, 2000 or 1999.

     REDEMPTIONS

     A Limited Partner may redeem some or all of such Partner's Units at Net
     Asset Value as of the close of business on the last business day of any
     month upon ten calendar days' notice.

     DISSOLUTION OF THE PARTNERSHIP

     The Partnership will terminate on December 31, 2007 or at an earlier date
     if certain conditions occur, as well as under certain circumstances as set
     forth in the Limited Partnership Agreement.

2.   CONDENSED SCHEDULE OF INVESTMENTS

     In March 2001, the American Institute of Certified Public Accountants'
     Accounting Standards Executive Committee issued Statement of Position
     ("SOP") 01-1, "Amendment to Scope of Statement of Position 95-2, Financial
     Reporting by Nonpublic Investment Partnerships, to Include Commodity Pools"
     effective for fiscal years ending after December 15, 2001. Accordingly,
     commodity pools are now required to include a condensed schedule of
     investments identifying those investments, which constitute more than 5% of
     net assets, taking long and short positions into account separately.

     The Partnership's investments, through MM LLC, defined as Net unrealized
     profit on open contracts on the Statement of Financial Condition of MM LLC,
     as of December 31, 2001 is as follows.

<Table>
<Caption>
                                         LONG POSTIONS                SHORT POSITIONS
                                         -------------                ---------------         NET UNREALIZED
                                    UNREALIZED    PERCENT OF      UNREALIZED    PERCENT OF    PROFIT (LOSS) ON   PERCENT OF
COMMODITY INDUSTRY SECTOR         PROFIT (LOSS)   NET ASSETS    PROFIT (LOSS)   NET ASSETS    OPEN POSITIONS     NET ASSETS
-------------------------         -------------   ----------    -------------   ----------    --------------     ----------
<S>                             <C>               <C>          <C>              <C>         <C>                 <C>
Agriculture                          $ (98,523)      -0.05%       $  278,886        0.14%           $ 180,363        0.09%
Currencies                            (518,547)      -0.26%        3,164,842        1.57%           2,646,295        1.31%
Energy                                  (8,555)       0.00%         (109,665)      -0.05%            (118,220)      -0.06%
Interest rates                        (310,862)      -0.15%          159,725        0.08%            (151,137)      -0.08%
Metals                                (227,476)      -0.11%         (421,110)      -0.21%            (648,586)      -0.32%
Stock indices                          151,168        0.08%           17,656        0.01%             168,824        0.08%
                                  ------------                 -------------                -----------------

Total                             $ (1,012,795)      -0.50%       $3,090,334        1.53%         $ 2,077,539        1.03%
                                 =============                 =============                =================
</Table>

3.   RELATED PARTY TRANSACTIONS

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

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

     Through its investment in MM LLC, the Partnership pays brokerage
     commissions to MLPF&S at a flat monthly rate of .729 of 1% (an 8.75%
     annual rate) and pays MLIM AS LLC a monthly administrative fee of .021
     of 1% (a 0.25% annual rate) of the Partnership's month-end assets.
     Month-end assets are not reduced, for purposes of calculating brokerage
     commissions and administrative fees, by any accrued brokerage commissions,
     administrative fees, Profit Shares or other fees or charges.

     MLIM AS LLC estimates that the aggregate round-turn commission rates for
     MM LLC for the years ended December 31, 2001, 2000 and 1999 are $64, $82
     and $136, respectively.

                                       8
<Page>

     MLPF&S currently pays the Advisors, through MM LLC, annual Consulting Fees
     up to 2.00% of the Partnership's average month-end assets allocated to them
     for management, after the reduction for a portion of brokerage commissions.

4.   ADVISORY AGREEMENTS

     Pursuant to the Advisory Agreements among the Advisors, MM LLC and MLIM AS
     LLC, the Advisors determine the commodity futures, options on futures,
     forwards and options on forward contracts traded on behalf of MM LLC,
     subject to certain rights reserved by MLIM AS LLC. The Advisory Agreements
     generally renew annually after they are entered into, subject to certain
     renewal rights.

     Profit Shares, currently ranging from 20% to 23% of any New Trading Profit,
     as defined, recognized by each Advisor, considered individually
     irrespective of the overall performance of the Partnership, either as of
     the end of each calendar quarter or year and upon the net reallocation of
     assets away from an Advisor, are paid by MM LLC to each Advisor. Profit
     Shares are also paid out in respect of Units redeemed as of the end of
     interim months, to the extent of the applicable percentage of any New
     Trading Profit attributable of such Units.

5.   WEIGHTED AVERAGE UNITS

     The weighted average number of Units outstanding was computed for purposes
     of calculating net income per weighted average Unit. The weighted average
     number of Units outstanding for the years ended December 31, 2001, 2000 and
     1999 equals the Units outstanding as of such date, adjusted proportionately
     for Units redeemed based on the respective length of time each was
     outstanding during the year.

6.   INVESTMENT IN MM LLC

     The investment in MM LLC is reflected in the financial statements at fair
     value based upon the Partnership's interest in MM LLC. Fair value of the
     investment in MM LLC is equal to the market value of the net assets of
     MM LLC allocable to the Partnership as investor. The resulting difference
     between cost and fair value is reflected on the Statements of Operations as
     Income (loss) from investment.

     Total revenues and fees with respect to such investments were set forth as
follows:

<Table>
<Caption>
                                         FOR THE YEAR ENDED    FOR THE YEAR ENDED    FOR THE YEAR ENDED
                                         DECEMBER 31, 2001     DECEMBER 31, 2000     DECEMBER 31, 1999
                                         ------------------    ------------------    ------------------
<S>                                      <C>                   <C>                   <C>
Realized Profit                            $    1,275,732        $      375,440        $      322,161
Change in Unrealized Profit/Loss                 (562,552)              519,734                53,893
Interest Income                                   295,344               506,221               498,957

Brokerage Commissions                             736,883               752,157               924,030
Administrative Fees                                21,054                21,490                26,401
Profit Shares                                     164,362               188,794                49,327
                                         ------------------    ------------------    ------------------
Income/(Loss) from Investment              $       86,225        $      438,954        $     (124,747)
                                         ==================    ==================    ==================
</Table>

                                       9
<Page>

     Condensed statements of financial condition and statements of operations
for MM LLC are set forth as follows:

<Table>
<Caption>
                           DECEMBER 31, 2001    DECEMBER 31, 2000
                           -----------------    -----------------
<S>                        <C>                  <C>
Assets                      $   207,788,190      $   252,995,756
                           =================    =================
Liabilities                 $     6,324,407      $     5,383,789
Members' Capital                201,463,783          247,611,967
                           -----------------    -----------------
Total                       $   207,788,190      $   252,995,756
                           =================    =================
</Table>

<Table>
<Caption>
                           FOR THE YEAR ENDED   FOR THE YEAR ENDED   FOR THE YEAR ENDED
                           DECEMBER 31, 2001    DECEMBER 31, 2000    DECEMBER 31, 1999
                           ------------------   ------------------   ------------------
<S>                        <C>                  <C>                  <C>
Revenues                    $     22,936,034     $     28,324,323     $      9,090,190

Expenses                          17,756,465           13,557,899           10,152,017
                           ------------------   ------------------   ------------------

Net Income (Loss)           $      5,179,569     $     14,766,424     $     (1,061,827)
                           ==================   ==================   ==================
</Table>

7.   FAIR VALUE AND OFF-BALANCE SHEET RISK

     The nature of this Partnership has certain risks, which can not be
     presented on the financial statements. The following summarizes some of
     those risks.

     MARKET RISK

     Derivative financial instruments involve varying degrees of off-balance
     sheet market risk. Changes in the level or volatility of interest rates,
     foreign currency exchange rates or the market values of the financial
     instruments or commodities underlying such derivative instruments
     frequently resulted in changes in the Partnership's net unrealized profit
     on such derivative instruments as reflected in the Statements of Financial
     Condition or, with respect to Partnership assets invested in MM LLC, the
     net unrealized profit as reflected in the respective Statements of
     Financial Condition of MM LLC. The Partnership's exposure to market risk is
     influenced by a number of factors, including the relationships among
     derivative instruments held by the Partnership and MM LLC, as well as the
     volatility and liquidity of the markets in which such derivative
     instruments are traded.

     MLIM AS LLC has procedures in place intended to control market risk
     exposure, although there can be no assurance that they will, in fact,
     succeed in doing so. These procedures focus primarily on monitoring the
     trading of the Advisors selected from time to time for the Partnership or
     MM LLC, and include calculating the Net Asset Value of the Advisors'
     respective Partnership accounts and MM LLC accounts, as of the close of
     business on each day and reviewing outstanding positions for
     over-concentrations both on an Advisor-by-Advisor and on an overall
     Partnership basis. While MLIM AS LLC does not itself intervene in the
     markets to hedge or diversify the Partnership's market exposure, MLIM AS
     LLC may urge Advisors to reallocate positions, or itself reallocate
     Partnership assets among Advisors (although typically only as of the end of
     a month) in an attempt to avoid over-concentrations. However, such
     interventions are unusual. Except in cases in which it appears that an
     Advisor has begun to deviate from past practice and trading policies or to
     be trading erratically, MLIM AS LLC's basic risk control


                                      10
<Page>

     procedures consist simply of the ongoing process of advisor monitoring and
     selection, with the market risk controls being applied by the Advisors
     themselves.

     CREDIT RISK

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

     The Partnership, through MM LLC, has credit risk in respect of its
     counterparties and brokers, but attempts to mitigate this risk by dealing
     almost exclusively with Merrill Lynch entities as clearing brokers.

     The Partnership, through MM LLC, in its normal course of business,
     enters into various contracts, with MLPF&S acting as its commodity
     broker. Pursuant to the brokerage agreement with MLPF&S (which includes
     a netting arrangement), to the extent that such trading results in
     receivables from and payables to MLPF&S, these receivables and payables
     are offset and reported as a net receivable or payable in the financial
     statements of MM LLC in the Equity in commodity futures trading accounts
     in the Statements of Financial Condition.

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

                  To the best of the knowledge and belief of the
                  undersigned, the information contained in this
                        report is accurate and complete.


                               Michael L. Pungello
                             Chief Financial Officer
                         MLIM Alternative Strategies LLC
                               General Partner of
                         ML Futures Investments II L.P.


                                      11
<Page>

                             ML MULTI-MANAGER PORTFOLIO LLC
                             (A DELAWARE LIMITED LIABILITY COMPANY)


                             Financial Statements for the years ended
                             December 31, 2001 and 2000
                             and Independent Auditors' Report



[MERRILL LYNCH LOGO]

<Page>

ML MULTI-MANAGER PORTFOLIO LLC
(A Delaware Limited Liability Company)

TABLE OF CONTENTS

<Table>
<Caption>
                                                                       PAGE
                                                                       ----
<S>                                                                    <C>
INDEPENDENT AUDITORS' REPORT                                              1

FINANCIAL STATEMENTS FOR THE YEARS ENDED
DECEMBER 31, 2001 AND 2000:

  Statements of Financial Condition                                       2

  Statements of Income                                                    3

  Statements of Changes in Members' Capital                               4

  Notes to Financial Statements                                          5-9

</Table>

<Page>

INDEPENDENT AUDITORS' REPORT

To the Members of ML Multi-Manager Portfolio LLC:

We have audited the accompanying statements of financial condition of ML
Multi-Manager Portfolio LLC (the "Company") as of December 31, 2001 and 2000
and the related statements of income and of changes in members' capital for the
years then ended. These financial statements are the responsibility of the
Company's management. Our responsibility is to express an opinion on these
financial statements based on our audits.

We conducted our audits in accordance with auditing standards generally accepted
in the United States of America. Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. An audit also includes assessing the accounting principles used and
significant estimates made by management, as well as evaluating the overall
financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.

In our opinion, such financial statements present fairly, in all material
respects, the financial position of ML Multi-Manager Portfolio LLC as of
December 31, 2001 and 2000, and the results of its operations and changes in its
members' capital for the years then ended in conformity with accounting
principles generally accepted in the United States of America.


DELOITTE & TOUCHE LLP


New York, New York
February 5, 2002

<Page>

ML MULTI-MANAGER PORTFOLIO LLC
(A Delaware Limited Liability Company)

STATEMENTS OF FINANCIAL CONDITION
DECEMBER 31, 2001 AND 2000

<Table>
<Caption>
                                                                 2001                2000
                                                           ----------------    ----------------
<S>                                                          <C>                 <C>
ASSETS

Equity in commodity futures trading accounts:
    Cash and option premiums                                 $ 205,396,650       $ 139,346,615
    Net unrealized profit on open contracts (Note 2)             2,077,539          13,995,141
Cash                                                                     -           2,835,198
Commercial Paper (Cost $95,200,766)                                      -          95,200,766
Accrued interest (Note 4)                                          314,001           1,618,036
                                                           ----------------    ----------------

                TOTAL                                        $ 207,788,190       $ 252,995,756
                                                           ================    ================

LIABILITIES AND MEMBERS' CAPITAL

LIABILITIES:

    Brokerage commissions payable (Note 4)                       $ 967,361         $ 1,265,023
    Profit Shares payable (Note 5)                                 685,683           3,036,430
    Administrative fees payable (Note 4)                            32,650              41,341
    Due to Invested Funds                                        4,638,713           1,040,995
                                                           ----------------    ----------------

            Total liabilities                                    6,324,407           5,383,789
                                                           ----------------    ----------------

MEMBERS' CAPITAL:

    Voting Members                                             201,463,783         247,611,967
                                                           ----------------    ----------------

            Total Members' capital                             201,463,783         247,611,967
                                                           ----------------    ----------------

                TOTAL                                        $ 207,788,190       $ 252,995,756
                                                           ================    ================
</Table>

See notes to financial statements.


                                       2
<Page>

ML MULTI-MANAGER PORTFOLIO LLC
(A Delaware Limited Liability Company)

STATEMENTS OF INCOME
FOR THE YEARS ENDED DECEMBER 31, 2001 AND 2000

<Table>
<Caption>
REVENUES                                                        2001                   2000
                                                           ---------------     --------------
<S>                                                          <C>                 <C>
Trading profit:
    Realized                                                 $ 26,679,581        $ 8,646,046
    Change in unrealized                                      (11,977,991)        11,538,356
                                                           ---------------     --------------

        Total trading results                                  14,701,590         20,184,402

Interest income (Note 1 & Note 4)                               8,234,444          8,139,921
                                                           ---------------     --------------

        Total revenues                                         22,936,034         28,324,323
                                                           ---------------     --------------

EXPENSES

Brokerage commissions (Note 4)                                 14,316,819         10,015,693
Profit Shares (Note 5)                                          2,968,452          3,201,454
Administrative fees (Note 4)                                      471,194            340,752
                                                           ---------------     --------------

        Total expenses                                         17,756,465         13,557,899
                                                           ---------------     --------------

NET INCOME                                                    $ 5,179,569       $ 14,766,424
                                                           ===============     ==============
</Table>

See notes to financial statements.


                                       3
<Page>

ML MULTI-MANAGER PORTFOLIO LLC
(A Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS' CAPITAL
FOR THE YEARS ENDED DECEMBER 31, 2001 AND 2000

<Table>
<Caption>
                                         Voting Members
                                        ----------------
<S>                                      <C>
MEMBERS' CAPITAL,
  DECEMBER 31, 1999                      $  97,995,285

Additions                                  175,347,578

Net income                                  14,766,424

Withdrawals                                (40,497,320)
                                        ----------------

MEMBERS' CAPITAL,
  DECEMBER 31, 2000                        247,611,967

Additions                                    1,788,034

Net income                                   5,179,569

Withdrawals                                (53,115,787)
                                        ----------------

MEMBERS' CAPITAL,
  DECEMBER 31, 2001                      $ 201,463,783
                                        ================
</Table>

See notes to financial statements.


                                       4
<Page>

ML MULTI-MANAGER PORTFOLIO LLC
(A Delaware Limited Liability Company)

NOTES TO FINANCIAL STATEMENTS

1.    SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

      ORGANIZATION

      ML Multi-Manager Portfolio LLC (the "Company") was organized under the
      Delaware Limited Liability Company Act on May 11, 1998 and commenced
      trading activities on June 1, 1998. The Company engages in the speculative
      trading of futures, options on futures, forwards and options on forward
      contracts on a wide range of commodities. MLIM Alternative Strategies LLC
      ("MLIM AS LLC"), formerly Merrill Lynch Investment Partners, Inc.
      ("MLIP"), a wholly-owned subsidiary of Merrill Lynch Investment Managers,
      LP ("MLIM") which, in turn, is an indirect wholly-owned subsidiary of
      Merrill Lynch & Co., Inc. ("Merrill Lynch"), has been delegated
      administrative authority over the Company. Merrill Lynch, Pierce, Fenner &
      Smith Incorporated ("MLPF&S"), the successor to Merrill Lynch Futures Inc.
      ("MLF") by merger, is the Company's commodity broker. The Company has one
      class of Membership Interests, Voting Interests. Voting Interests are held
      by multi advisor funds managed by MLIM AS LLC ("Members"). The Members
      control all business activities and affairs of the Company by agreement of
      the majority interest of the Members, subject to the discretionary trading
      authority vested in and delegated to the independent trading advisors (the
      "Advisors") and the administrative authority vested in and delegated to
      MLIM AS LLC. Each Member is a "commodity pool" sponsored and controlled by
      MLIM AS LLC and shares in the Trading results of the Company in proportion
      to their respective capital accounts.

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

      MLIM AS LLC selects independent advisors to manage the Company's assets,
      and allocates and reallocates the Company's assets among existing,
      replacement and additional Advisors.

      ESTIMATES

      The preparation of financial statements in conformity with accounting
      principles generally accepted in the United States of America requires
      management to make estimates and assumptions that affect the reported
      amounts of assets and liabilities and disclosure of contingent assets and
      liabilities at the date of the financial statements and the reported
      amounts of revenues and expenses during the reporting period. Actual
      results could differ from those estimates.

      CASH MANAGEMENT

      As of June 2000, the Company began an Income Enhancement Program, whereas,
      a portion of its assets could be invested in Commercial Paper. This was
      done to improve the yield on the cash assets not required for margin for
      trading purposes. These holdings generally have maturities of 30, 60, or
      90 days and are held to maturity. As of December 31, 2001, the Income
      Enhancement Program is inactive.


                                       5
<Page>

      One Member may invest assets that are not allocated to any Advisor
      directly into the Income Enhancement Program. This Member would receive a
      priority allocation of interest income earned on these assets before the
      allocation of interest income in proportion to those Members whose assets
      are allocated for trading purposes.

      REVENUE RECOGNITION

      Commodity futures, options on futures, forwards and options on forward
      contracts are recorded on the trade date and open contracts are reflected
      in Net unrealized profit on open contracts in the Statements of Financial
      Condition at the difference between the original contract value and the
      market value (for those commodity interests for which market quotations
      are readily available) or at fair value. The Change in unrealized profit
      on open contracts from one period to the next is reflected in Change in
      unrealized under Trading profit in the Statements of Income.

      FOREIGN CURRENCY TRANSACTIONS

      The Company's functional currency is the U.S. dollar; however, it
      transacts business in currencies other than the U.S. dollar. Assets and
      liabilities denominated in currencies other than the U.S. dollar are
      translated into U.S. dollars at the rates in effect at the date of the
      Statements of Financial Condition. Income and expense items denominated in
      currencies other than the U.S. dollar are translated into U.S. dollars at
      the rates in effect during the period. Gains and losses resulting from the
      translation to U.S. dollars are reported in total trading results.

      INCOME TAXES

      No provision for income taxes has been made in the accompanying financial
      statements as each Member is individually responsible for reporting income
      or loss based on such Member's respective share of the Company's income
      and expenses as reported for income tax purposes.

      DISTRIBUTIONS

      The Members are entitled to receive any distributions which may be made by
      the Company in proportion to their respective capital accounts. No such
      distributions have been declared for the years ended December 31, 2001 or
      2000.

      WITHDRAWALS

         Each Member may withdraw some or all of such Members' capital at the
      Net Asset Value as of the close of business on any business day. There are
      no withdrawal fees or charges.

      DISSOLUTION OF THE COMPANY

      The Company will terminate on December 31, 2028 or at an earlier date if
      certain conditions occur, as well as under certain other circumstances as
      set forth in the Organization Agreement.


                                       6
<Page>

2.    CONDENSED SCHEDULE OF INVESTMENTS

      In March 2001, the American Institute of Certified Public Accountants'
      Accounting Standards Executive Committee issued Statement of Position
      ("SOP") 01-1, "Amendment to Scope of Statement of Position 95-2, Financial
      Reporting by Nonpublic Investment Partnerships, to Include Commodity
      Pools" effective for fiscal years ending after December 15, 2001.
      Accordingly, commodity pools are now required to include a condensed
      schedule of investments identifying those investments, which constitute
      more than 5% of net assets, taking long and short positions into account
      separately.

      The Company's investments, defined as Net unrealized profit on open
      contracts in the Statement of Financial Condition, as of December 31, 2001
      is as follows.

<Table>
<Caption>
                                         LONG POSTIONS                SHORT POSITIONS
                                         -------------                ---------------         NET UNREALIZED
                                    UNREALIZED    PERCENT OF      UNREALIZED    PERCENT OF    PROFIT (LOSS) ON   PERCENT OF
COMMODITY INDUSTRY SECTOR         PROFIT (LOSS)   NET ASSETS    PROFIT (LOSS)   NET ASSETS    OPEN POSITIONS     NET ASSETS
-------------------------         -------------   ----------    -------------   ----------    --------------     ----------
<S>                             <C>               <C>          <C>              <C>         <C>                 <C>
Agriculture                          $ (98,523)      -0.05%        $ 278,886        0.14%           $ 180,363        0.09%
Currencies                            (518,547)      -0.26%        3,164,842        1.57%           2,646,295        1.31%
Energy                                  (8,555)       0.00%         (109,665)      -0.05%            (118,220)      -0.06%
Interest rates                        (310,862)      -0.15%          159,725        0.08%            (151,137)      -0.08%
Metals                                (227,476)      -0.11%         (421,110)      -0.21%            (648,586)      -0.32%
Stock indices                          151,168        0.08%           17,656        0.01%             168,824        0.08%
                                  ------------                 -------------                -----------------

Total                             $ (1,012,795)      -0.50%       $3,090,334        1.53%         $ 2,077,539        1.03%
                                 =============                 =============                =================
</Table>

3.    FINANCIAL DATA HIGHLIGHTS

      The following ratios have been derived from information provided in the
      financial statements for the year ended December 31, 2001.

      Total investment return,
      compounded monthly                    2.09%
                                        ==========

      RATIO TO AVERAGE NET ASSETS

<Table>
<S>                                     <C>
      Expenses                              7.91%
                                        ==========

      Net income                            2.31%
                                        ==========
</Table>

4.    RELATED PARTY TRANSACTIONS

      Currently, all of the Company's U.S. dollar assets are maintained at
      MLPF&S. On assets held in U.S. dollars, Merrill Lynch credits the Company
      with interest at the prevailing 91-day U.S. Treasury bill rate. The
      Company is credited with interest on any of its assets and net gains
      actually held by Merrill Lynch in non-U.S. dollar currencies at a
      prevailing local rate received by Merrill Lynch. Merrill Lynch may derive
      certain economic benefit, in excess of the interest, which Merrill Lynch
      pays to the Company from the possession of such assets.

      Merrill Lynch charges the Company Merrill Lynch's cost of financing
      realized and unrealized losses on the Company's non-U.S.
      dollar-denominated positions.

      As of June 2000, the company can invest in Commercial Paper. MLPF&S acts
      as custodian for these assets. As of December 31, 2001, no commercial
      paper was held.

      Following the allocation of the Company's trading profit and interest
      income among the Members' Capital Accounts, MLIM AS LLC calculates the
      brokerage commissions, Profit Shares, administrative fees and other
      expenses due from the Company to third parties, relating to the Company's
      trading on behalf of the Members. Such brokerage commissions, fees and
      expenses are specifically allocated as of the end of each accounting
      period (not pro rata based on the Members' respective capital accounts)
      to, and deducted from, the Members' capital accounts and paid out by the
      Company. The Company pays brokerage commissions to MLPF&S at a flat
      monthly rate reflecting the fee arrangement between each Member and
      MLPF&S. For the years ended December 31, 2001 and 2000, the monthly rates
      for Members ranged from .291 of 1% (a 3.50% annual rate) to .729 of 1% (an
      8.75% annual rate) of each Member's month-end assets invested in the
      Company.


                                       7
<Page>

      The Company pays MLIM AS LLC a monthly administrative fee ranging from
      .021 of 1% (a 0.25% annual rate) to .083 of 1% (a 1.00% annual rate) of
      each Member's month-end assets. Month-end assets are not reduced for
      purposes of calculating brokerage commissions and administrative fees by
      any accrued brokerage commissions, administrative fees, Profit Shares or
      other fees or charges.

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

5.    ADVISORY AGREEMENTS

      Pursuant to the Advisory Agreements among the Advisors, the Company and
      MLIM AS LLC, the Advisors determine the commodity futures, options on
      futures, forwards and options on forward contracts traded on behalf of the
      Company, subject to certain rights reserved by MLIM AS LLC. The Advisory
      Agreements generally renew one year after they are entered into, subject
      to certain renewal rights exercisable by the Company.

      The Company pays, from the Capital Account of each Member, to the Advisors
      quarterly or annual Profit Shares generally ranging from 20% to 23% of any
      New Trading Profit, as defined, recognized by each Advisor, attributable
      to each Member's Capital Account, considered individually irrespective of
      the overall performance of such Member's Capital Account. Profit Shares,
      which are calculated separately in respect of each Member's Capital
      Account, are determined as of the end of each calendar quarter or year and
      are also paid to each Advisor upon the withdrawal of capital from the
      Company by a Member for whatever purpose, other than to pay expenses and
      upon the reallocation of assets away from an Advisor.

6.    FAIR VALUE AND OFF-BALANCE SHEET RISK

      The nature of this Company has certain risks, which cannot be presented on
      the financial statements.  The following summarizes some of those risks.

      MARKET RISK

      Derivative instruments involve varying degrees of off-balance sheet market
      risk. Changes in the level or volatility of interest rates, foreign
      currency exchange rates or the market values of the financial instruments
      or commodities underlying such derivative instruments frequently result in
      changes in the Company's net unrealized profit on such derivative
      instruments as reflected in the Statements of Financial Condition. The
      Company's exposure to market risk is influenced by a number of factors,
      including the relationships among the derivative instruments held by the
      Company as well as the volatility and liquidity of the markets in which
      the derivative instruments are traded.

      MLIM AS LLC has procedures in place intended to control market risk
      exposure, although there can be no assurance that they will, in fact,
      succeed in doing so. These procedures focus primarily on monitoring the
      trading of the Advisors, calculating the Net Asset Value of the Company as
      of the close of business on each day and reviewing outstanding positions
      for over-concentrations. While MLIM AS LLC does not itself intervene in
      the markets to hedge or diversify the Company's market exposure, MLIM AS
      LLC may urge the Advisors to reallocate positions in an attempt to avoid
      over-concentrations. However, such interventions are unusual. Except in
      cases in which it appears that the Advisors have begun to deviate from
      past practice or trading policies or to be trading erratically, MLIM AS
      LLC's basic risk control procedures consist simply of the ongoing process
      of advisor monitoring, with the market risk controls being applied by the
      Advisors themselves.


                                       8
<Page>

      CREDIT RISK

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

      The credit risk associated with these instruments from counterparty
      nonperformance is the net unrealized profit on open contracts, if any,
      included in the Statements of Financial Condition. The Company attempts to
      mitigate this risk by dealing almost exclusively with Merrill Lynch
      entities as clearing brokers.

      The Company, in its normal course of business, enters into various
      contracts, with MLPF&S acting as its commodity broker. Pursuant to the
      brokerage agreement with MLPF&S (which includes a netting arrangement), to
      the extent that such trading results in receivables from and payables to
      MLPF&S, these receivables and payables are offset and reported as a net
      receivable or payable and included in the Equity in commodity futures
      trading accounts in the Statements of Financial Condition.

                                * * * * * * * *

                  To the best of the knowledge and belief of the
                  undersigned, the information contained in this
                        report is accurate and complete.


                               Michael L. Pungello
                             Chief Financial Officer
                         MLIM Alternative Strategies LLC
                           Commodity Pool Operator of
                         ML Multi-Manager Portfolio LLC


                                       9