<PAGE>
Filed pursuant to Rule 424(b)(3)
Registration No. 333-7593
ML Principal Protection L.P.
Dear Limited Partner,
The Net Asset Value ("NAV") of ML Principal Protection L.P. (the "Fund")
increased during June. Please see the accompanying summary financial information
for the NAV of your series of Units.
Trading results improved in June as clear price trends returned to some markets,
such as global equities. Stock index, currency, interest rate and metals trading
recorded profits while trading losses were incurred in energy and agricultural
commodity markets.
In June, equity markets worldwide trended mostly upward. The U.S. stock market
continued to rally to several new highs in June, before faltering somewhat by
month-end. Non-U.S. stock markets, such as German and Australian, also moved
higher in June. Trading in the Standard & Poor's 500(R) Stock, German Stock and
the Australian All Ordinaries indices produced profits.
Metals trading recorded overall profits. Gold prices trended downward through
most of the month, following a price surge on June 5 as a halt in Russian
precious metals exports left supplies scarce. In contrast, base metals prices
experienced sharp price volatility. For example, initially copper futures prices
rose to their highest levels in a year, as world inventories dwindled amid
production problems, but prices fell dramatically by month-end. Aluminum prices
moved similarly to copper.
Difficult trading conditions in energy markets throughout June resulted in
losses. Crude oil trended downward for the first half of the month, before a
sudden price reversal occurred amid speculation that the resumption of Iraq
exports could be delayed until August, reducing supplies despite growing demand.
Unleaded gas prices fell early in June, but remained range-bound for the
remainder of the month. The price movement of heating oil proved to be even more
trendless than unleaded gas, as conflicting reports were released regarding
petroleum production supply and demand factors.
Effective July 1, 1997, the program traded on behalf of the Fund by AIS Futures
Management, Inc. ("AIS") has been changed from AIS's MAAP Program (Two-Four
Times Leverage) to AIS's MAAP Program (Up to Six Times Leverage). Using the MAAP
Program (Up to Six Times Leverage), AIS's best monthly rate of return was 25.07%
and its worst monthly rate of return was (18.71)%. As of May 31, 1997, AIS was
managing approximately $130 and $56 million of customer funds ("notional" equity
excluded) in the MAAP Program (Two-Four Times Leverage) and the MAAP Program (Up
to Six Times Leverage), respectively.
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As of July 1, 1997, the Fund's assets were allocated as follows:
Trading Adviser % Allocation
- --------------- ------------
Chesapeake Capital Corporation 11.81
John W. Henry & Company, Inc. 9.33
AIS Futures Management, Inc. 5.29
ARA Portfolio Management Company, L.L.C. 5.29
Graham Capital Management, L.P. 5.29*
Trendstat Capital Management, Inc. 5.29
Hill Financial Group, Ltd. 4.66
Millburn Ridgefield Corporation 4.48
Quantitative Financial Strategies, Inc. 3.42
Range Wise, Inc. 3.11
Allied Irish Capital Management Ltd. 2.67
Fundamental Futures, Inc. 1.55
Cash 37.81**
------
100.00%
*Graham Capital Management, L.P. is currently managing the Fund's assets
allocated to it as if Graham were managing 50% more equity than the capital
allocation indicated above.
**Reflects blended allocations of the different series.
1997 Year-to-Date
Gross Total Trading Results*
Thru June 30
Agriculture $1,750,969
Currencies 1,402,897
Energy (932,627)
Financial Instruments (1,052,121)
Metals 613,072
Stock Indices 536,590
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Total $2,318,780
*Before deduction of any fees and charges
As planned, effective June 30, 1997, the Fund paid the annual fixed-rate
distribution to all Series D and Series H Unitholders in the amount of $3.50.
In addition, the Fund paid discretionary distributions to all Series D and
Series H Unitholders in the amounts of $1.00 and $2.50, respectively. The July
1, 1997 NAVs of the Series D and H Units are reduced by the amount of these
distributions.
On June 24, 1997, the Commodity Futures Trading Commission ("CFTC") accepted an
Offer of Settlement from Merrill Lynch Futures Inc. ("MLF") and others, in a
matter captioned "In the Matter of Mitsubishi Corporation and Merrill Lynch
Futures Inc., et al.",
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CFTC Docket No. 97-10, pursuant to which MLF, without admitting or denying the
allegations against it, consented to a finding by the CFTC that MLF had violated
Section 4c(a)(A) of the Commodity Exchange Act (the "Act"), relating to wash
sales, and CFTC Regulation 1.37(a), relating to recordkeeping requirements. MLF
agreed to cease and desist from violating Section 4c(a)(A) of the Act and
Regulation 1.37(a), and to pay a civil monetary penalty of $175,000.
James M. Bernard, formerly a Senior Vice President of Merrill Lynch Investment
Partners Inc., is no longer with the firm.
The Fund continues to maintain its diversified exposure to the agriculture,
currency, energy, financial and metals markets which helped make the overall
profit possible for June. We look forward to future opportunities for
profitability as favorable market conditions arise.
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 DAYS.
THESE MATERIALS CONTAIN IMPORTANT INFORMATION ABOUT RISK FACTORS, PERFORMANCE
AND OTHER ASPECTS OF THE FUND AND MUST BE READ CAREFULLY BEFORE INVESTING.
FUTURES TRADING IS SPECULATIVE AND INVOLVES A HIGH DEGREE OF RISK. PAST
PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
THIS MONTHLY REPORT MUST NOT BE REPRODUCED OR DISTRIBUTED IN ANY MANNER.
<PAGE>
ML. Principal Protection L.P.
June 30, 1997
Statement of Changes
in Net Asset Value
<TABLE>
<CAPTION>
<S> <C>
Net Asset Value (755,150.21 Units)
at May 31, 1997 $ 80,934,266
Net Income/(Loss) for June 1997 564,544
Less Redemptions of 10,687.63 Units (1,139,104)
------------
Net Asset Value (744,462.58 Units)
at June 30, 1997 $ 80,359,706
============
Net Asset Value at June 30, 1997
Series A Units $ 113.05*
============
Series B Units $ 110.01*
============
Series C Units $ 104.22*
============
Series D Units $ 110.44*
============
Series E Units $ 110.84*
============
Series F Units $ 105.06*
============
Series G Units $ 102.65*
============
Series H Units $ 108.73
============
Series K Units $ 100.71
============
</TABLE>
* The Net Asset Value per Unit does not include the annual distributions paid to
Unitholders.
Statement of Income/(Loss)
<TABLE>
<CAPTION>
June
----
<S> <C>
Revenues:
Realized Profit/(Loss) $ 14,716
Change in Unrealized Profit\(Loss) 601,581
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Total Trading Results 616,297
Interest Income 393,440
----------
Total Revenues 1,009,737
Expenses:
Brokerage Commissions 378,304
Administrative Fees 10,809
Allocation of New Profit Share 43,377
Organizational Expenses 6,641
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Total Expenses 439,131
----------
Net Income/(Loss) Before Minority Interest 570,606
----------
Minority Interest (6,062)
----------
Net Income/Loss $ 564,544
==========
</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/ Michael A. Karmelin
---------------------------------
Michael A. Karmelin
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
1-800-765-0095
