<PAGE>
UNITED STATES SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-Q
(Mark One)
(X) QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
EXCHANGE ACT OF 1934
For the quarterly period ended March 31, 2000
OR
( ) TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
EXCHANGE ACT OF 1934
For the transition period from to
---------------- ----------------
Commission File Number 0-25000
ML PRINCIPAL PROTECTION L.P.
ML PRINCIPAL PROTECTION TRADING L.P.
(Rule 140 Co-Registrant)
(Exact Name of Registrant as
specified in its charter)
Delaware 13-3750642 (Registrant)
- ------------------------------- 13-3775509 (Co-Registrant)
(State or other jurisdiction of ----------------------------------
incorporation or organization) (IRS Employer Identification No.)
c/o Merrill Lynch Investment Partners Inc.
Princeton Corporate Campus
800 Scudders Mill Road - Section 2G
Plainsboro, New Jersey 08536
----------------------------
(Address of principal executive offices)
(Zip Code)
609-282-6996
----------------------------------------------------
(Registrant's telephone number, including area code)
Indicate by check mark whether the registrant (1) has filed all reports
required to be filed by Section 13 or 15 (d) of the Securities Exchange Act of
1934 during the preceding 12 months (or for such shorter period that the
registrant was required to file such reports), and (2) has been subject to such
filing requirements for the past 90 days. Yes X No
--- ---
<PAGE>
PART I - FINANCIAL INFORMATION
Item 1. Financial Statements
ML PRINCIPAL PROTECTION L.P.
(A DELAWARE LIMITED PARTNERSHIP)
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
<TABLE>
<CAPTION>
March 31, December 31,
2000 1999
(unaudited)
----------------- ------------------
<S> <C> <C>
ASSETS
Equity in commodity futures trading accounts:
Cash and options premiums $ 6,123,883 $ 3,226,441
Net unrealized profit on open contracts 153,397 677,742
Government Securities
(Cost: $32,367,449 and $40,831,617) 32,088,714 40,439,706
Cash 69,767 4,079
Accrued interest 305,302 574,774
----------------- ------------------
TOTAL $ 38,741,063 $ 44,922,742
================= ==================
LIABILITIES AND PARTNERS' CAPITAL
LIABILITIES:
Redemptions payable $ 1,584,631 $ 2,118,255
Profit Shares payable 16,982 51,547
Brokerage commissions payable 198,037 231,473
Administrative fees payable 8,071 11,076
----------------- ------------------
Total liabilities 1,807,721 2,412,351
----------------- ------------------
Minority Interest 823,639 827,623
----------------- ------------------
PARTNERS' CAPITAL:
General Partners (4,033 and 9,628 Units) 428,765 1,023,562
Limited Partners (335,611 and 381,113 Units) 35,680,938 40,659,206
----------------- ------------------
Total partners' capital 36,109,703 41,682,768
----------------- ------------------
TOTAL $ 38,741,063 $ 44,922,742
================= ==================
</TABLE>
NET ASSET VALUE PER UNIT (NOTE 2)
See notes to consolidated financial statements.
2
<PAGE>
ML PRINCIPAL PROTECTION L.P.
(A DELAWARE LIMITED PARTNERSHIP)
CONSOLIDATED STATEMENTS OF OPERATIONS
(unaudited)
<TABLE>
<CAPTION>
For the three For the three
months ended months ended
March 31, March 31,
2000 1999
----------------- -----------------
<S> <C> <C>
REVENUES:
Trading profit (loss):
Realized $ 626,370 $ 236,179
Change in unrealized (411,169) (560,927)
----------------- -----------------
Total trading results 215,201 (324,748)
Interest income 442,685 960,281
----------------- -----------------
Total revenues 657,886 635,533
----------------- -----------------
EXPENSES:
Profit Shares 27,274 51,635
Brokerage commissions 629,879 1,187,564
Administrative fees 25,540 48,235
----------------- -----------------
Total expenses 682,693 1,287,434
----------------- -----------------
LOSS BEFORE
MINORITY INTEREST (24,807) (651,901)
----------------- -----------------
Minority interest 3,984 9,338
----------------- -----------------
NET LOSS $ (20,823) $ (642,563)
================= =================
NET LOSS PER UNIT:
Weighted average number of units
outstanding 371,363 701,717
================= =================
Weighted average net loss
per General Partner
and Limited Partner Unit $ (0.06) $ (0.92)
================= =================
</TABLE>
See notes to consolidated financial statements.
3
<PAGE>
ML PRINCIPAL PROTECTION L.P.
(A DELAWARE LIMITED PARTNERSHIP)
CONSOLIDATED STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
FOR THE THREE MONTHS ENDED MARCH 31, 2000 AND MARCH 31, 1999
(unaudited)
<TABLE>
<CAPTION>
Limited General
Units Partners Partner Total
-------------- -------------- ------------- --------------
<S> <C> <C> <C> <C>
PARTNERS' CAPITAL,
December 31, 1998 724,439 $ 78,371,558 $ 735,280 $ 79,106,838
Subscriptions 13,055 1,305,500 234,209 1,539,709
Net loss - (636,676) (5,887) (642,563)
Redemptions (82,640) (9,057,310) - (9,057,310)
Distributions - (149,081) (2,479) (151,560)
-------------- -------------- ------------- --------------
PARTNERS' CAPITAL,
March 31, 1999 654,854 $ 69,833,991 $ 961,123 $ 70,795,114
============== ============== ============= ==============
PARTNERS' CAPITAL,
December 31, 1999 390,741 $ 40,659,206 $ 1,023,562 $ 41,682,768
Net Income (loss) - (24,407) 3,584 (20,823)
Redemptions (51,097) (4,853,822) (595,903) (5,449,725)
Distributions - (100,039) (2,478) (102,517)
-------------- -------------- ------------- --------------
PARTNERS' CAPITAL,
March 31, 2000 339,644 $ 35,680,938 $ 428,765 $ 36,109,703
============== ============== ============= ==============
</TABLE>
See notes to financial statements.
4
<PAGE>
ML PRINCIPAL PROTECTION L.P.
(formerly ML Principal Protection Plus L.P.)
(A DELAWARE LIMITED PARTNERSHIP)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
(unaudited)
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
These financial statements have been prepared without audit. In the
opinion of management, the financial statements contain all adjustments
(consisting of only normal recurring adjustments) necessary to present
fairly the consolidated financial position of ML Principal Protection L.P.
(the "Partnership" or the "Fund") as of March 31, 2000, and the results of
its operations for the three month period ended March 31, 2000 and 1999.
However, the operating results for the interim periods may not be
indicative of the results expected for the full year.
Certain information and footnote disclosures normally included in annual
financial statements prepared in accordance with generally accepted
accounting principles have been omitted. It is suggested that these
financial statements be read in conjunction with the financial statements
and notes thereto included in the Partnership's Annual Report on Form 10-K
filed with the Securities and Exchange Commission for the year ended
December 31, 1999 (the "Annual Report").
2. NET ASSET VALUE PER UNIT
At March 31, 2000 and December 31, 1999, the Net Asset Values of the
different series of Units were:
<TABLE>
<CAPTION>
March 31, 2000
Net Asset Number Net Asset Value
Value of Units per Unit
-------------- --------------- ----------------
<S> <C> <C> <C>
Series A Units $ 7,496,560 67,169.0000 $111.61
Series B Units 745,084 6,930.0000 $107.52
Series C Units 1,160,255 10,857.0000 $106.87
Series D Units 4,176,978 39,002.0000 $107.10
Series E Units 3,313,363 30,856.0200 $107.38
Series F Units 1,719,192 16,707.9800 $102.90
Series G Units 1,445,747 13,765.5900 $105.03
Series H Units 1,075,174 10,364.7250 $103.73
Series K Units 3,664,825 34,144.0000 $107.33
Series L Units 2,490,260 23,809.0000 $104.59
Series M Units 2,215,168 20,878.8757 $106.10
Series N Units 1,203,644 11,768.4278 $102.28
Series O Units 3,221,083 31,397.7419 $102.59
Series P Units 528,002 5,044.0000 $104.68
Series Q Units 575,500 5,945.1908 $96.80
Series R Units 823,349 8,414.0000 $97.85
Series S Units 255,519 2,590.0000 $98.66
-------------- ---------------
Totals $ 36,109,703 339,643.5512
============== ===============
</TABLE>
5
<PAGE>
<TABLE>
<CAPTION>
December 31, 1999
Net Asset Value Number Net Asset Value
-----------------------------------------------------------
<S> <C> <C> <C>
Series A Units $ 7,960,220 71,300.0000 $ 111.64
Series B Units 949,586 8,568.0000 110.83
Series C Units 1,267,695 11,909.0000 106.45
Series D Units 4,539,567 42,433.0000 106.98
Series E Units 3,617,782 33,697.1800 107.36
Series F Units 2,199,122 20,722.5800 106.12
Series G Units 1,536,527 14,666.3400 104.77
Series H Units 1,291,688 12,467.7250 103.60
Series K Units 4,980,521 46,179.0000 107.85
Series L Units 3,231,833 30,750.0000 105.10
Series M Units 2,672,599 25,068.8757 106.61
Series N Units 1,369,038 13,321.4278 102.77
Series O Units 3,657,494 35,480.2419 103.09
Series P Units 546,674 5,197.0000 105.19
Series Q Units 579,321 5,955.6908 97.27
Series R Units 1,017,139 10,344.0000 98.33
Series S Units 265,962 2,681.0000 99.20
-------------- ---------------
Totals $ 41,682,768 390,741.0612
============== ===============
</TABLE>
6
<PAGE>
3. ANNUAL DISTRIBUTIONS
The Partnership makes annual fixed-rate distributions, payable irrespective
of profitability, of $3.50 per Unit on Units issued prior to May 1, 1997.
The Partnership may also pay discretionary distributions on such Series of
Units of up to 50% of any Distributable New Appreciation, as defined on
such Units. No distributions are payable on Units issued after May 1, 1997.
As of March 31, 2000, the Partnership has made the following distributions:
<TABLE>
<CAPTION>
Series Distribution Fixed-Rate Discretionary
Date Distribution Distribution
---------- ---------------- ---------------- -----------------
<S> <C> <C> <C>
2000
--------
Series B 1/1/00 $ 3.50 $ -
Series F 1/1/00 3.50 -
1999
--------
Series A 10/1/99 $ 3.50 $ -
Series B 1/1/99 3.50 -
Series C 4/1/99 3.50 -
Series D 7/1/99 3.50 1.00
Series E 10/1/99 3.50 -
Series F 1/1/99 3.50 -
Series G 4/1/99 3.50 -
Series H 7/1/99 3.50 1.00
1998
--------
Series A 10/1/98 $ 3.50 $ -
Series B 1/1/98 3.50 1.50
Series C 4/1/98 3.50 -
Series D 7/1/98 3.50 -
Series E 10/1/98 3.50 -
Series F 1/1/98 3.50 1.25
Series G 4/1/98 3.50 -
Series H 7/1/98 3.50 -
1997
--------
Series A 10/1/97 $ 3.50 $ -
Series B 1/1/97 3.50 3.00
Series C 4/1/97 3.50 4.00
Series D 7/1/97 3.50 1.00
Series E 10/1/97 3.50 2.00
Series F 1/1/97 3.50 2.50
Series G 4/1/97 3.50 3.50
Series H 7/1/97 3.50 2.50
1996
--------
Series A 10/1/96 $ 3.50 $ 2.50
Series B 1/1/96 3.50 2.50
Series C 4/1/96 3.50 -
Series D 7/1/96 3.50 -
Series E 10/1/96 3.50 -
1995
--------
Series A 10/1/95 $ 3.50 $ 2.50
</TABLE>
7
<PAGE>
4. FAIR VALUE AND OFF-BALANCE SHEET RISK
In June 1998, the Financial Accounting Standards Board issued Statement of
Financial Accounting Standard ("SFAS") No. 133, "Accounting for Derivative
Instruments and Hedging Activities" (the "Statement"), effective for
fiscal years beginning after June 15, 2000, as amended by SFAS No. 137.
This Statement supercedes SFAS No. 119 ("Disclosure about Derivative
Financial Instruments and Fair Value of Financial Instruments") and SFAS
No. 105 ("Disclosure of Information about Financial Instruments with
Off-Balance Sheet Risk and Financial Instruments with Concentrations of
Credit Risk") whereby disclosure of average aggregate fair values and
contract/notional values, respectively, of derivative financial
instruments is no longer required for an entity such as the Partnership
which carries its assets at fair value. Such Statement sets forth a much
broader definition of a derivative instrument. The General Partner does
not believe that the adoption of the provisions of such Statement had a
significant effect on the financial statements.
SFAS No. 133 defines a derivative as a financial instrument or other
contract that has all three of the following characteristics: (1) one or
more underlyings and notional amounts or payment provisions; (2) requires
no initial net investment or a smaller initial net investment than would
be required for other types of contracts that would be expected to have a
similar response to changes in market factors; and, (3) terms that require
or permit net settlement. Generally, derivatives include futures,
forwards, swaps, options or other financial instruments with similar
characteristics such as caps, floors and collars.
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 Partnership's net unrealized profit (loss) on such
derivative instruments as reflected in the Consolidated Statements of
Financial Condition. The Partnership's exposure to market risk is
influenced by a number of factors, including the relationships among the
derivative instruments held by the Partnership as well as the volatility
and liquidity of the markets in which the derivative instruments are
traded.
The General Partner 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
Partnership as of the close of business on each day and reviewing
outstanding positions for over-concentrations. While the General Partner
does not itself intervene in the markets to hedge or diversify the
Partnership's market exposure, the General Partner 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, the General Partner'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.
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.
8
<PAGE>
The credit risk associated with these instruments from counterparty
nonperformance is the net unrealized profit, if any, included in the
Consolidated Statements of Financial Condition.
The Partnership attempts to mitigate credit risk by dealing exclusively
with Merrill Lynch entities as clearing brokers.
The Partnership, in its normal course of business, enters into various
contracts with MLF acting as its commodity broker. Pursuant to the
brokerage arrangement with MLF (which includes a netting arrangement),
to the extent that such trading results in receivables and payables are
offset and reported as a net receiveable or payable and are included in
the Statement of Financial Condition under Equity from commodity futures
trading accounts.
Item 2: MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS
OF OPERATIONS
MONTH-END NET ASSET VALUE PER SERIES A UNIT
<TABLE>
<CAPTION>
-----------------------------------------------
Jan. Feb. Mar.
-----------------------------------------------
<S> <C> <C> <C>
1999 $114.49 (a) $115.36 (a) $114.86 (a)
-----------------------------------------------
2000 $112.80 (b) $112.46 (b) $111.61 (b)
-----------------------------------------------
</TABLE>
(a) After reductions for distributions declared of $6.00, $6.00, $3.50 and
$3.50 per Series A Unit as of October 1, 1995, 1996, 1997 and 1998,
respectively.
(b) After reduction for a $3.50 per Series A Unit distribution declared on
October 1, 1999 and the distributions described in (a), resulting in a total
distribution of $22.50 inception to date.
As of July 1, 1996, the Fund changed its name to ML Principal Protection L.P.
Such change was due to the General Partner restructuring the continuous
offerings to be sold without a guaranteed annual fixed-rate distribution or a
discretionary distribution as previously offered under ML Principal Protection
Plus L.P.
Performance Summary
January 1, 1999 to March 31, 1999
The Fund profited from trading in crude oil, heating oil, and unleaded gas. As
the year opened, the global oil balance continued to show signs of being
lopsided with estimated year-end 1998 inventories at their highest levels since
1984. During January, petroleum stocks rose by 21 million barrels compared with
a typical gain of 6 to 7 million barrels. Then, on March 23, OPEC ratified new
production cuts totaling 1.716 million barrels per day at its conference. These
new production cuts were scheduled to go into effect on April 1 and proved to be
harbingers of higher prices for crude.
Agricultural trading was also profitable overall, as gains in live hogs and live
cattle offset losses in corn positions. Hog prices plummeted due to a glut of
hogs in the market. At the beginning of the quarter, the corn market continued
to struggle despite a stretch of solid export business. The market's negative
sentiment was deepened by ongoing favorable weather in South America which
continued through February, even though there was a sharp reduction in
Argentina's planted area. Lack of enthusiasm for new crop and less than
spectacular demand continued to depress the corn market throughout the quarter.
The Fund suffered losses in currency trading during the quarter, as losses in
Japanese yen overpowered gains in Swiss francs. On a trade-weighted basis, the
Swiss franc ended the quarter at close to a seven-month low, mostly as a result
of the stronger U.S. dollar. In January, the yen had advanced by nearly 35%
against the dollar since early in August, and the Bank of Japan lowered rates to
keep the economy sufficiently liquid so as to allow fiscal spending to restore
some growth to the economy and to drive down the surging yen.
Stock index trading was also unprofitable, as losses were sustained in Hang Seng
and CAC40 positions. Also of note, the Dow Jones Industrial Average closed above
the 10,000 mark for the first time ever at the end of March, setting a record
for the index.
Interest rate trading proved unprofitable for the Fund as well, as losses in
Japanese 10-year government bonds offset gains in 10-year U.S. Treasury notes
and German 10-year bonds. Early in January, the yield on the Japanese government
10-year bond increased to 1.8%, sharply above the record low of 0.695% it
reached on October 7, 1998. This was triggered by the Japanese Trust Fund
Bureau's decision to absorb a smaller share of future issues, leaving the burden
of financing future budget deficits to the private sector.
Losses in aluminum overshadowed slight gains in gold and copper during the first
quarter. In January, burdensome warehouse stocks and questionable demand
prospects weighed on base metals as aluminum fell to a 5-year low and copper
fell to nearly an 11-year low. Major surpluses in both metals were expected,
keeping prices down, and there was no supply side response to weak demand and
lower prices. However, the end of March showed copper and aluminum leading a
surge in base metals as prices recovered from multi-year lows. In precious
metals, gold failed to sustain a rally, and gold's role as a flight to safety
vehicle has clearly been greatly diminished as has its role as a monetary asset.
January 1, 2000 to March 31, 2000
Energy trading was profitable for the quarter due to long crude oil and unleaded
gas positions. Despite the possibility of OPEC increasing oil production by 5%,
crude oil prices continued to rise as such a hike would still leave oil
inventories at levels much below normal during the balance of the year. Prices
began to decline in mid-March as Iran backed down from its position on the point
of "no increase" and again later in the month as OPEC announced a production
increase of 1.716 million barrels per day offsetting some gains from the
previous two months.
In currency trading, the euro declined against the dollar as officials from the
Group of Seven met and failed to express concern about the low levels of the
European currency producing profits for the quarter. Some other contributing
factors to the decline of the euro include the slow pace of microeconomic reform
in Europe, plans for a European withholding tax and the scale of direct
investment flows outside of Europe.
Stock index trading was profitable for the quarter. Positions in IBEX 35
(Milan), DAX German Stock Index and CAC 40 Euro futures resulted in profits for
the Fund. Investor sentiment in Germany has been positive, as German
macroeconomic fundamentals continue to improve and in 2001, consumers will
benefit from a large cut in personal income taxes. The last month of the quarter
sustained profits in the Hong Kong Hang Seng and the S&P 500 as investors
focused more on value stocks.
Agricultural commodity trading produced losses for the quarter. Gains in pork
belly and coffee positions were outweighed by losses in short corn positions
which were due to dry conditions in Argentina, which led to high corn prices.
Metals trading alternated from profitable to unprofitable, however, the sector
ended the quarter with losses. Prices rose during the period in base metals as
concerns over higher interest rates and the decline in stock prices globally
created defensive tones in the market. High aluminum inventories caused prices
to decline on the LME. Late in the quarter, copper prices rose over rumors of
increased demand from China, having an adverse effect on the short positions
held.
Short Eurodollar trading was profitable as the currency continued to decline in
January. The European Union ministers blamed the currency's slide in January on
rapid U.S. growth and fears that the Federal Reserve will increase U.S. interest
rates. These profits were far outweighed by losses in the U.S. 10-year Treasury
note positions and long U.S. Treasury positions as the yield curve fluctuated
widely during the quarter.
9
<PAGE>
MLAM'S Cash Management
MLAM invests approximately 80% of the Fund's assets in Government Securities. As
of March 31, 2000 and December 31, 1999, the Fund's MLAM account totalled
approximately $32 million and $40 million, respectively.
As of March 31, 2000 the Fund's MLAM account held the following securities:
<TABLE>
<CAPTION>
Total
Par Value Description Rate Maturity Date Fair Value
- --------- ----------- ---- ------------- ----------
<S> <C> <C> <C> <C>
LONG-TERM
---------
3,000,000 Federal National Mortgage Association 5.375% March 15, 2002 2,915,400
1,000,000 U.S. Treasury Note 5.750% June 30, 2001 991,641
1,000,000 U.S. Treasury Note 5.750% April 30, 2003 981,172
4,700,000 U.S. Treasury Note 5.875% November 15, 2004 4,617,016
--------------
Subtotal $ 9,505,229
--------------
SHORT-TERM
----------
6,656,000 Federal Home Loan Mortgage Corporation 0.000% April 11, 2000 $ 6,644,019
5,000,000 Federal National Mortgage Association 5.720% January 9, 2001 4,962,400
4,000,000 Federal National Mortgage Association 5.625% March 15, 2001 3,961,250
760,000 U.S. Treasury Note 6.000% August 15, 2000 759,644
1,275,000 U.S. Treasury Note 4.625% November 30, 2000 1,261,403
1,300,000 U.S. Treasury Note 4.500% September 30, 2000 1,288,930
2,000,000 U.S. Treasury Note 4.500% January 31, 2001 1,970,469
1,750,000 U.S. Treasury Note 5.375% February 15, 2001 1,735,370
--------------
Subtotal $ 22,583,485
--------------
Total Debt $ 32,088,714
==============
</TABLE>
10
<PAGE>
As of December 31, 1999, the Fund's MLAM account held the following securities:
<TABLE>
<CAPTION>
Total
Par Value Description Rate Maturity Date Fair Value
- --------- ----------- ---- ------------- ----------
<S> <C> <C> <C> <C>
LONG-TERM
---------
5,000,000 Federal National Mortgage Association 5.720% January 9, 2001 4,969,250
4,000,000 Federal National Mortgage Association 5.625% March 15, 2001 3,965,000
3,000,000 Federal National Mortgage Association 5.375% March 15, 2002 2,930,640
2,000,000 U.S. Treasury Note 4.500% January 31, 2001 1,967,031
1,000,000 U.S. Treasury Note 5.750% June 30, 2001 993,906
9,000,000 U.S. Treasury Note 5.375% February 15, 2001 8,925,469
1,000,000 U.S. Treasury Note 5.750% April 30, 2003 982,031
2,500,000 U.S. Treasury Note 5.875% November 15, 2004 2,451,367
--------------
Subtotal $ 27,184,694
--------------
SHORT-TERM
----------
8,710,000 Federal Home Loan Discount Note 0.000% January 14, 2000 $ 8,692,580
112,000 Federal Home Loan Mortgage Corporation 0.000% January 14, 2000 111,776
1,000,000 U.S. Treasury Note 6.000% August 15, 2000 1,000,469
1,500,000 U.S. Treasury Note 4.625% November 30, 2000 1,472,687
2,000,000 U.S. Treasury Note 4.500% September 30, 2000 1,977,500
--------------
Subtotal $ 13,255,012
--------------
Total Debt $ 40,439,706
==============
</TABLE>
PART II - OTHER INFORMATION
Item 1. Legal Proceedings
There are no pending legal proceedings to which the Partnership
or the General Partner is a party.
Item 2. Changes in Securities and Use of Proceeds
(a) None.
(b) None.
(c) None.
(d) The Fund has registered with an aggregate price of
$462,114,000. Through March 31, 2000 the Fund has sold units
with an aggregate price of $164,506,495.
Item 3. Defaults Upon Senior Securities
None.
Item 4. Submission of Matters to a Vote of Security Holders
None.
Item 5. Other Information
None.
11
<PAGE>
Item 6. Exhibits and Reports on Form 8-K.
(a) Exhibits
There are no exhibits required to be filed with this report.
(b) REPORTS ON FORM 8-K
There were no reports on Form 8-K filed during the first three
months of fiscal 2000.
12
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.
ML PRINCIPAL PROTECTION L.P.
----------------------------
(formerly ML Principal Protection Plus L.P.)
By: MERRILL LYNCH INVESTMENT PARTNERS INC.
(General Partner)
Date: May 15, 2000 By /s/ JOHN R. FRAWLEY, JR.
-------------------------
John R. Frawley, Jr.
Chairman, Chief Executive Officer,
President and Director
Date: May 15, 2000 By /s/ MICHAEL L. PUNGELLO
-----------------------
Michael L. Pungello
Vice President, Chief Financial Officer
and Treasurer
13
<TABLE> <S> <C>
<PAGE>
<ARTICLE> BD
<CIK> 0000917259
<NAME> ML PRINCIPAL PROTECTION L.P.
<S> <C> <C>
<PERIOD-TYPE> 3-MOS 3-MOS
<FISCAL-YEAR-END> DEC-31-2000 DEC-31-1999
<PERIOD-START> JAN-01-2000 JAN-01-1999
<PERIOD-END> MAR-31-2000 MAR-31-1999
<CASH> 69,767 126,351
<RECEIVABLES> 6,582,582 20,423,857
<SECURITIES-RESALE> 0 0
<SECURITIES-BORROWED> 0 0
<INSTRUMENTS-OWNED> 32,088,714 54,181,826
<PP&E> 0 0
<TOTAL-ASSETS> 38,741,063 74,732,032
<SHORT-TERM> 0 0
<PAYABLES> 2,631,360 3,936,920
<REPOS-SOLD> 0 0
<SECURITIES-LOANED> 0 0
<INSTRUMENTS-SOLD> 0 0
<LONG-TERM> 0 0
0 0
0 0
<COMMON> 0 0
<OTHER-SE> 36,109,703 70,795,114
<TOTAL-LIABILITY-AND-EQUITY> 38,741,063 74,732,034
<TRADING-REVENUE> 215,201 (324,748)
<INTEREST-DIVIDENDS> 442,685 960,281
<COMMISSIONS> 682,693 1,278,096
<INVESTMENT-BANKING-REVENUES> 0 0
<FEE-REVENUE> 0 0
<INTEREST-EXPENSE> 0 0
<COMPENSATION> 0 0
<INCOME-PRETAX> (20,823) (642,563)
<INCOME-PRE-EXTRAORDINARY> (20,823) (642,563)
<EXTRAORDINARY> 0 0
<CHANGES> 0 0
<NET-INCOME> (20,823) (642,563)
<EPS-BASIC> (.06) (.92)
<EPS-DILUTED> (.06) (.92)
</TABLE>
