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Merrill Lynch Investment Partners Inc.
[GRAPHIC APPEARS HERE]
ML Principal
Protection L.P.
Monthly Statement March 1997
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ML Principal Protection L.P.
Dear Limited Partner,
The Net Asset Value ("NAV") of ML Principal Protection L.P. (the "Fund")
increased during March. Please see the accompanying summary financial
information for the NAV of your series of Units.
Trading results were mixed in March, as whipsaw conditions prevailed in
several key markets, exemplified by the correction experienced in the U.S.
equity market. Profitable trading for the Fund resulted from positions in
agricultural commodities, interest rates and currencies. Losses were incurred
in energy, metals and stock index trading.
Despite increased volatility throughout March, agricultural commodity
trading resulted in profits for the Fund, primarily through positions in
soybeans, corn and coffee. Soybean prices trended mostly upward, reaching
their highest level in over eight years, on continued strong demand and fears
that inventories could fall to critically low levels before the next harvest.
Corn prices were bolstered by the movement in soybean markets, as well as a
U.S. Agriculture Department report of soaring exports. After dropping at
mid-month, coffee futures rebounded as heavy buying by roasters reinforced
expectations that supplies would tighten in coming weeks.
Crude oil prices trended upward, early in March, on expectations of demand
from refiners seeking to replenish low stock piles ahead of the peak summer
driving season. Crude prices reversed later in the month, reflecting the
impact of a winter which has been significantly warmer than normal. Similarly,
heating oil prices peaked on March 19 before retreating for most of the
remainder of the month. Unleaded gasoline prices also experienced similar
volatility, despite their relative strengthening to crude oil prices due to
gasoline inventories having failed to build to near normal levels. Positions
in crude oil, heating oil and unleaded gas resulted in trading losses for the
Fund.
U.S. bond prices continued to trend downward throughout the month, amid
reports showing the strength of the U.S. economy, adding to anticipation of an
increase in interest rates by the U.S. Federal Reserve. On March 15, the Fed
fulfilled investors' expectations and raised short-term interest rates for the
first time in more than two years. French and German bonds moved similarly to
U.S. bonds for much of March, until a reversal of their downward price movement
near the end of the month. Despite losses in non-dollar interest rate trading,
gains resulting from U.S. Treasury securities and Eurodollar deposits resulted
in overall profits from interest rate trading.
As of April 1, 1997, the Fund's assets were allocated as follows:
<TABLE>
<CAPTION>
Trading Advisor % Allocation
- --------------- ------------
<S> <C>
Chesapeake Capital Corporation 11.40
John W. Henry & Company, Inc. 9.00
AIS Futures Management, Inc. 5.10
ARA Portfolio Management Company, L.L.C. 5.10
Graham Capital Management, L.P. 5.10
Trendstat Capital Management, Inc. 5.10
Hill Financial Group, Ltd. 4.50
Millburn Ridgefield Corporation 4.32
Quantitative Financial Strategies, Inc. 3.30
Range Wise, Inc. 3.00
Allied Irish Capital Management Ltd. 2.58
Fundamental Futures, Inc. 1.50
Cash 40.00
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100.00%
</TABLE>
<TABLE>
<CAPTION>
1997 Year-to-Date
Gross Total Trading Results*
Thru March 31
<S> <C>
Agriculture $1,525,154
Currencies 2,080,230
Energy (480,381)
Financial Instruments (504,828)
Metals 415,864
Stock Indices 357,947
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Total $3,393,986
</TABLE>
* Before reduction of any fees and charges
As planned, effective March 31, 1997, the Fund paid the annual fixed-rate
distribution to all Series C and Series G Unitholders in the amount of $3.50.
In addition, the Fund paid discretionary distributions to all Series C and
Series G Unitholders in the amounts of $4.00 and $3.50, respectively. The
April 1, 1997 NAVs of the Series C and G Units are reduced by the amount of
these distributions.
Despite increased volatility and several trend reversals, most Advisors were
able to minimize losses and in some cases generate profits through disciplined
risk management. We look forward to increased profitability for the Fund as
trends reemerge in key markets.
Sincerely,
John R. Frawley, Jr.
President & Chief Executive Officer
Merrill Lynch Investment Partners Inc.
(General Partner)
FOR THE EXCLUSIVE USE OF INVESTORS IN ML PRINCIPAL PROTECTION L.P. THIS
MONTHLY REPORT IS NOT AN OFFER TO SELL NOR A SOLICITATION OF AN OFFER TO BUY
ANY SECURITIES. AN OFFER CAN ONLY BE MADE BY A CURRENT PROSPECTUS, AS
SUPPLEMENTED, TOGETHER WITH SUMMARY FINANCIAL INFORMATION FOR THE FUND CURRENT
WITHIN 60 CALENDAR DAYS. THESE MATERIALS CONTAIN IMPORTANT INFORMATION
CONCERNING RISK FACTORS, PERFORMANCE AND OTHER MATERIAL ASPECTS OF THE FUND AND
MUST BE READ CAREFULLY BEFORE INVESTING. THIS MONTHLY REPORT MUST NOT BE
REPRODUCED OR DISTRIBUTED IN ANY MANNER. FUTURES TRADING IS SPECULATIVE AND
INVOLVES A HIGH DEGREE OF RISK. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE
OF FUTURE RESULTS.
ML Principal Protection L.P.
March 31, 1997
Statement of Changes
in Net Asset Value
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<CAPTION>
<S> <C>
Net Asset Value (693,263.25 Units) at
February 28, 1997 $77,491,500
Net Income/(Loss) for March 1997 39,852
Less Redemptions of 12,952.64 Units (1,456,038)
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Net Asset Value (680,310.61 Units) at
March 31, 1997 $76,075,314
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Net Asset Value at March 31, 1997
Series A Units $ 114.69*
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Series B Units $ 111.59*
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Series C Units $ 113.23*
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Series D Units $ 112.04*
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Series E Units $ 112.45*
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Series F Units $ 106.58*
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Series G Units $ 111.14
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Series H Units $ 110.31
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</TABLE>
*The Net Asset Value per Unit does not include the annual distributions paid to
Unitholders.
Statement of Income/(Loss)
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<CAPTION>
March
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<S> <C>
Revenues:
Realized Profit/(Loss) $ 2,147,609
Change in Unrealized Profit/(Loss) (2,142,350)
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Total Trading Results 5,259
Interest Income 421,455
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Total Revenues 426,714
Expenses:
Brokerage Commissions 355,126
Administrative Fees 10,146
Allocation of New Profit Share 16,018
Organizational Expenses 6,642
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Total Expenses 387,932
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Net Income/(Loss) Before
Minority Interest 38,782
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Minority Interest 1,070
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Net Income/(Loss) $ 39,852
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</TABLE>
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To the best of the knowledge and belief of the undersigned the information
contained in this report is accurate and complete.
/s/ James M. Bernard
James M. Bernard
Chief Financial Officer
Merrill Lynch Investment Partners Inc.
Please notify the following of any address changes:
Merrill Lynch Investment Partners Inc.
Merrill Lynch World Headquarters
South Tower
World Financial Center
New York, New York 10080-6106
