ML PRINCIPAL PROTECTION LP - 10-Q Quarterly Report

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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 September 30, 2003

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.
----------------------------
(Exact Name of Registrant as
specified in its charter)

Delaware
- ------------------------------------
(State or other jurisdiction of 13-3750642 (Registrant)
incorporation or organization) -----------------------
(IRS Employer Identification No.)

c/o Merrill Lynch Investment Managers LLC
222 Broadway
27th Floor
New York, NY 10038-2510
-----------------------
(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 / /

PART I - FINANCIAL INFORMATION

Item 1. Financial Statements

ML PRINCIPAL PROTECTION L.P.
----------------------------
(A Delaware Limited Partnership)
--------------------------------

STATEMENTS OF FINANCIAL CONDITION
---------------------------------

NET ASSET VALUE PER UNIT (SEE NOTE 3)

See notes to financial statements.

2

ML PRINCIPAL PROTECTION L.P.
-----------------------------
(A Delaware Limited Partnership)
--------------------------------

STATEMENTS OF OPERATIONS
------------------------
(unaudited)

See notes to financial statements.

Certain 2002 information has been changed to conform to the 2003 presentation.

3

ML PRINCIPAL PROTECTION L.P.
-----------------------------
(A Delaware Limited Partnership)
--------------------------------

STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
------------------------------------------
For the nine ended September 30, 2003 and 2002
----------------------------------------------
(unaudited)

See notes to financial statements.

4

ML PRINCIPAL PROTECTION 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 financial position of ML Principal Protection L.P. (the
"Partnership") as of September 30, 2003, and the results of its operations
for the three and nine months ended September 30, 2003 and 2002. However,
the operating results for the interim periods may not be indicative of the
results for the full year.

Certain information and footnote disclosures normally included in annual
financial statements prepared in conformity with accounting principles
generally accepted in the United States 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, 2002.

2. INVESTMENTS

As of September 30, 2003 and December 31, 2002, the Partnership had an
investment in ML Multi-Manager Portfolio LLC ("MM LLC") of $15,605,032 and
$16,280,408, respectively. As of September 30, 2003, and December 31,
2002, the Partnership's percentage ownership share of MM LLC was 10.74%
and 9.39%, respectively.

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

5

3. NET ASSET VALUE PER UNIT

Prior to the opening of business on January 2, 2003, Series A through F
and K through N, those series whose guarantee had come to term on or
before December 31, 2002, were consolidated into a new series, Series A
2003, with a $1.00 per Unit Net Asset Value. The aggregate Net Asset Value
of each investor's new Units is equal to the aggregate Net Asset Value of
their original Units at December 31, 2002. The consolidation had no
economic effect on the investors. The General Partner contributed $5,499
to the Partnership, the amount necessary due to the effects of rounding,
to insure all investors received Units equal in value to their original
holdings at December 31, 2002. The following is a listing of the number of
new Units each investor received of Series A 2003 for each Unit of their
original series holding.

After the series consolidation, the brokerage commission rate was
reduced to a monthly rate of 0.604 of 1% (a 7.25% annual rate).

At September 30, 2003 and December 31, 2002, the Net Asset Values of the
different series of Units were:

September 30, 2003
(unaudited)

6

December 31, 2002

4. 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 September 30, 2003 the Partnership has made the
following distributions:

7

5. 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 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 Statements of Financial
Condition or, with respect to Partnership assets invested in MM LLC, the
net unrealized profit (loss) 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
the 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.

The General Partner, Merrill Lynch Investment Managers LLC ("MLIM 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 by the Partnership or MM LLC, and include
calculating the Net Asset Value of their 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 LLC
does not itself intervene in the markets to hedge or diversify the
Partnership's market exposure, MLIM LLC may urge Advisors to reallocate
positions, or itself reallocate Partnership assets, through MM LLC, 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 or trading policies or to be trading erratically, MLIM
LLC's basic risk control 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
exclusively with Merrill Lynch entities as clearing brokers.

The Partnership, through MM LLC, in its normal course of business, enters
into various contracts, with Merrill Lynch, Pierce, Fenner & Smith
("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

8

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.

Item 2: Management's Discussion and Analysis of Financial Condition and Results
of Operations

MONTH-END NET ASSET VALUE PER SERIES A UNIT

(a) After reduction of $29.50 per Series A Unit distributions from inception to
date.

(b) After series consolidation on January 1, 2003.

Performance Summary

All of the Partnership's trading assets are invested in MM LLC. The Partnership
recognizes trading profits or losses as an investor in MM LLC. The following
commentary describes the trading results of MM LLC.

January 1, 2003 to September 30, 2003
- -------------------------------------

January 1, 2003 to March 31, 2003

The Partnership experienced gains in the currency, energy, interest rate and
stock index sectors and losses in the agricultural commodity and metals sectors.
Overall, for the quarter, the Partnership experienced gains.

The currency forward and futures trading had the most significant gains for the
quarter. The weakening U.S. dollar was continuing to decline as it has for over
a year and the Partnership was well positioned to capitalize on its U.S. dollar
positions against other currencies. The largest gains versus the U.S. dollar
during January and February were with the Australian dollar and Canadian dollar.
In March, on hopes that the war with Iraq would be short, the U.S. dollar
strengthened and returned some of the profits earned early in the year.

Energy was a profitable sector for the quarter. With the continuation of the
strike in Venezuela, the tensions with Iraq and the cold winter, long positions
in oil and natural gas were profitable in the beginning of the year. In
February, the best performing month, natural gas prices rose nearly 40% in a
single day citing expected severely cold weather and supply shortages. The
Partnership profited from this event but such volatility caused many of the
Advisors to reduce their long positions. This helped the Partnership retain
profits as prices declined in crude oil and natural gas in March.

Interest rate futures were also profitable for the quarter. February had
significant gains offsetting losses in both January and March. U.S. and European
bonds rallied amid concerns of a global economic slowdown benefiting the
Partnership's long exposures. Selective long/short rate exposure globally was
the main driver to gains generated in the sector. The global fixed income
markets continued their upward climb until mid-March when expectations of a
short conflict triggered the liquidation of many fixed income investments
hurting long exposures.

9

Trading in stock indices posted slight gains for the quarter. The market was
choppy throughout the quarter making trading difficult. The Partnership was able
to realize some gains in January on short positions as most indices recorded
three-month lows. During the rest of the quarter, choppy markets caused short
positions to be covered to protect against the risk of significant losses.

The metals sector had losses for the quarter. Gold drove profits in January as
it continued its run up. The general perception of risks in the financial
markets and the geopolitical situation unfolding was the main driver for the
gold market in January. The Partnership sustained losses in February and March
as the long bias in precious metals hurt the portfolio when gold reversed its
rising trend in February and continued to decline. Gold's appeal as a safe
investment diminished.

Trading in agricultural commodities posted losses for the quarter. The
Partnership held positions in sugar, livestock and the soybean complex.
Livestock markets were off in February as Russia imposed an import limit to help
its domestic production. Sugar was to blame for losses in March as prices
reversed and hit a two-month low.

April 1, 2003 to June 30, 2003

The Partnership was profitable in the financial futures, currencies, interest
rates and stock index sectors, and incurred losses in the physical commodity
sectors, energy, agriculture and metals.

The currency sector was the strongest performer for the Partnership. The U.S.
dollar depreciated against most major currencies throughout most of the second
quarter. The currency markets judged the developments in the Middle East as
negative for the U.S. economy and trade, and the U.S. dollar sold off against
most major currencies. The U.S. dollar continued to weaken significantly during
the month of May when Treasury Secretary Snow indicated he was comfortable with
current declines and that a cheaper U.S. dollar would increase exports. The U.S.
dollar strengthened against most major currencies late June, reversing some
earlier profits.

The interest rate sector generated strong gains during the second quarter
producing significant profits in May. After a mixed start in April, the bond
market rally continued through May despite the stock market recovery. The U.S.,
European and Japanese bond markets reached new highs in June, as investors were
convinced the Federal Reserve would cut short-term rates by 50 basis points. A
stronger Consumer Price Index and a rate cut of only 25 basis points
disappointed the markets causing bond prices to reverse sharply by the end of
the month.

The stock index sector posted gains for the quarter. Gains were generated in
short-term trading in the U.S. and Europe, primarily the S&P 500 and selected
European indices. Overall exposure to the sector remained relatively light.

The energy markets posted losses for the quarter. The markets in April and May
were dominated by the developments in the Middle East, especially OPEC's
reaction to the developments in Iraq. Production in Iraq was not being resumed
as initially estimated even though the destruction of their oilfields was
smaller than expected. The SARS epidemic was expected to reduce the demand for
jet fuel, which the markets extrapolated to affect crude oil prices. Natural gas
was very volatile during June.

Trading in agricultural commodities had losses for the quarter. Gains in April,
mainly from soybeans, which rallied due to revised crop estimates and weather
overseas, were overshadowed by losses in May and June due to changes in crop
estimates and a volatile livestock market. Losses were posted in livestock, oil
seed and grains.

The metals sector generated the greatest losses for the Partnership this
quarter. Short positions in base metals and precious metals contributed to
losses in the sector. Gold generated losses in June reacting to the U.S. dollar
sell off.

10

July 1, 2003 to September 30, 2003

For the third quarter, gains were generated in the metals, agricultural
commodities, interest rates and the stock indices sectors, while the currencies
and energy sectors posted losses.

The metals sector posted the highest gain for the third quarter. Long positions
in the metals particularly in gold and nickel made significant price movements
to the upside. At the closing of the third quarter both the industrial and metal
complex sectors benefited from increases in valuation.

The agricultural sector posted a gain for the third quarter. At the beginning
of the third quarter, short exposure in corn generated strong profits as the
U.S. government forecasts reported a record crop for this year. Supply and
demand continued to drive the cattle market as prices rose sharply in the
beginning of the third quarter. The middle of the third quarter grain markets
exhibited a large price move as soybeans and corn rallied 16% and 14%,
respectively. Weather drove prices up due to very little rain in the Midwest,
where the majority of the U.S. crops grow. Trend-followers covered their
short exposure to these markets and, by the middle of the quarter, went long,
managing to recoup some of the losses. By the end of the third quarter,
supply concerns drove the corn and soybean markets due to the fact the USDA
reported a better than expected yield on corn and low yields on soybeans.
Managers that were short corn took advantage of the decrease in price due to
the high yields. Due to the USDA announcement regarding low soybean yields
and low soybean harvest results, the price of soybean rallied by 13.8%. Most
of the fundamental and systematic managers were able to profit from these
developments.

The interest rate sector posted a small gain for the third quarter. At the
beginning of the third quarter, the U.S. bond market suffered losses after
the U.S. government announced its intentions to borrow a record amount to
finance the huge deficit. European bonds were weaker, but outperformed the
U.S. Profits were generated in the U.S. segment of the portfolio, primarily
in the ten-year note, but negative performance from global bonds outweighed
these gains. During the middle of the third quarter, interest rates posted a
gain due to the massive sell-off in bonds during July which seemed to have
found a base during the month of August. Despite a record $60 billion
refunding program in the U.S., bonds managed a timid recovery after making
new lows. Japanese Government Bonds lost five figures during this period with
interest rates on hold at the short end of the curve in Europe and in the
U.S. Trading was characterized by small ranges, which generated losses and
Japanese Government Bond exposure outweighed moderate losses across other
global fixed income markets. At the end of the third quarter, short positions
in the ten year and 30 year sector of the U.S. bond market generated losses,
as yields dropped from 4.46% to 3.94% on the ten year.

The stock index sector posted the smallest gain for the third quarter. At the
beginning of the third quarter, the equities were fairly quiet with strong
gains being generated in trading global stock indices, primarily the Nikkei
225. During the middle of the quarter, the losses in the S&P 500 and Dow
Jones futures outweighed gains in other markets. However, the Japanese Nikkei
was the star performer as it gained over 8% on strong economic numbers.

The currency sector posted a loss for the third quarter. At the beginning of
the third quarter, the U.S. dollar appreciated relative to other currencies
with losses being experienced in most positions specifically, the Australian
dollar, the Canadian dollar and the British pound. Large reversals occurred
in these carry-trades, as markets focused attention on economic fundamentals
rather than yield differentials. During the middle of the third quarter, the
U.S. dollar appreciated relative to the European currencies. The third
quarter ended with the G-7 summit directing the market to the idea that a
weak U.S. dollar is important to global trade balance causing losses on
trades with the U.S. dollar.

11

The energy sector posted a loss for the third quarter. OPEC maintained their
output targets, demonstrating that they are comfortable with energy prices near
the high end of the range. During the middle of the quarter, crude oil and most
of the other energy markets were almost unchanged with high volatility
throughout this period. The volatility was mainly due to the uncertainty in
supply and estimates of demand that were projected to increase. This was partly
offset by expectations of the possible resumption of oil production by Iraq.
Strong gains were generated in trading unleaded gas and crude oil, only to be
reversed in September. Many of the systematic managers had difficulties trading
crude oil in the last part of the third quarter as the price dropped from a high
of $31.40 on September 3rd to a low of $26.65 on September 19th. This caused
many managers to flip positions from long to short and incurred losses.

January 1, 2002 to September 30, 2002
- -------------------------------------

January 1, 2002 to March 31, 2002

The energy sector was the only profitable trading strategy for the quarter.
Natural gas short positions were profitable as the positions benefited from the
mild weather in the United States. The sector experienced large declines in
February due to increased concerns of the health of world economies. This lead
to price instability. Gains were realized in March in the physical commodity
markets, as fears of increased conflicts in the Middle East could potentially
result in a shortage of oil supplies.

Trading in stock indices resulted in losses for the quarter. Long equity
exposures suffered losses in choppy market conditions as profit forecasts fell
short and concern over the Enron accounting situation deepened. Uncertainty in
the global marketplace prevailed, making for extremely difficult trading
conditions. Long positions appreciated in March, notably in Japan, Germany and
France, but not enough to offset earlier losses.

Conflicting economic reports was the cause for losses in the interest rate
sector. These reports prompted the Advisors to flip exposures from long
positions to short positions in most major international bond markets during the
quarter. European fixed income exposures posted losses under particularly
direction-less markets. Global bond prices declined on growing optimism for a
stronger economic outlook for the remainder of 2002.

Trading in the metals sector was down for the quarter. Short positions in base
metals were unsuccessful early on as base metals prices soared on the hope that
an economic recovery in the United States would boost demand. Precious metal
prices declined as the U.S. economy continued to show signs of stabilizing and
inflation concerns waned. Long gold positioning generated gains as prices rose
above $300 for the first time in two years.

Currency trading resulted in losses for the Partnership. In January, gains were
generated in short Japanese yen positions as the Japanese yen continued to
depreciate against the U.S. dollar due to continued deterioration of economic
fundamentals in Japan. In February, all of the futures traded currencies
appreciated against the U.S. dollar, except the Canadian dollar. March was a
relatively volatile month for G-7 currencies. The U.S. dollar fell from 133 to
127.50 Japanese yen during the first week, and then almost completely reversed
the move by month-end, causing losses.

Agricultural trading was the least successful strategy. During January and
February, coffee prices were in a downward trend. This trend sharply reversed in
March as reduced exports from Mexico and Central

12

America trimmed inventories of exchange-approved soybeans in U.S. warehouses. As
prices rose, the Partnership's short positions sustained losses.

April 1, 2002 to June 30, 2002

Profits resulting from trading in the currency sector provided the Partnership
with the majority of its gains in the second quarter. The decline in the U.S.
dollar continued through June unabated fueled by the decline in the U.S. equity
markets.

The interest rate sector was profitable for the Partnership despite its slow
start. Yields on major debt-instruments continued to decline. U.S. fixed
income markets have rallied sharply due to the flight-to-safety effect as
well as the conviction that the U.S. Federal Reserve will raise rates later
rather than sooner.

The agricultural commodities sector posted small gains for the quarter. Strong
gains were posted in livestock and grains in April as prices trended downward.
Soybean by-products positions also contributed to the profits in this sector.
The continued weakness in the U.S. dollar and low stockpiles in grains and
soybeans should aid in sustaining a price rally in the summer months.

The metals sector sustained slight losses for the quarter. In June, the uptrend
in gold and silver reversed and losses were sustained on a long position
eliminating profits earned earlier in the quarter.

Energy futures experienced whipsaw markets and trading brought in losses for the
Partnership. The market was volatile during the quarter due to continued turmoil
in the Middle East.

Losses were experienced in the stock indices sector. The quarter began with the
stall of the appreciation in the U.S. and European equity markets in April due
to weak recovery expectations. The continued erosion of confidence in the
quarter about corporate earnings and the timing of recovery caused both the U.S.
and European markets to fall back.

July 1, 2002 to September 30, 2002

Results from the interest rate sector provided solid positive performance for
the Partnership. The yield curve on major debt instruments declined throughout
the quarter. This market environment was supported by the increased risk
aversion, the continued U.S. stock market decline and the conflicting reports
regarding the pace of the U.S. economic recovery. The economic news from Europe
also pointed to a weak recovery overseas.

Stock index futures also brought strong positive returns for the quarter. The
downward market trend created a good environment for short positions. Investors
in the equity markets were still liquidating equity exposure.

The energy sector pulled in positive performance despite choppy market
conditions throughout the quarter. Crude oil led the gains as continued talk of
military action against Iraq built a risk premium into prices.

Agriculture commodities also had gains. Grains and soybeans rallied due to
weather and supply concerns. The summer drought produced expectations of a
reduced harvest this season. The sector returned some gains later in September,
as recent harvests were not as bad as was feared.

13

Metals produced gains this quarter, citing declines in precious and base metals
throughout the quarter due to liquidation pressures in the market. Gold,
however, had a weak rally during the second half of the quarter.

Currency trading was the only sector with overall losses. The sector was choppy
throughout the quarter making it difficult for any of the trend following
traders to lock onto a market trend.

The Partnership, as a member of a class of plaintiffs, received a settlement
payment in August relating to certain copper trades made by a number of
investors, including the Partnership, during a period in the mid-1990s. Members
of the class were those who purchased or sold Comex copper futures or options
contracts between June 24, 1993 and June 15, 1996. The amount of the settlement
for the Partnership was $308,142, which is included in the realized profit of
the Partnership. The effect of the settlement payment was included in the August
performance of those series in existence during the period from June 1993
through June 1996.

Item 3. Quantitative and Qualitative Disclosures About Market Risk

Not applicable

Item 4. Controls and Procedures

Merrill Lynch Investment Managers LLC, the General Partner of ML Principal
Protection L.P., with the participation of the General Partner's Principal
Executive Officer and the Chief Financial Officer, has evaluated the
effectiveness of the design and operation of its disclosure controls and
procedures with respect to the Partnership within 90 days of the filing date
of this quarterly report, and, based on their evaluation, have concluded that
these disclosure controls and procedures are effective. Additionally, there
were no significant changes in the Partnership's internal controls or in
other factors that could significantly affect these controls subsequent to
the date of their evaluation, including any corrective actions with regard to
significant deficiencies and material weaknesses.

14

PART II - OTHER INFORMATION

Item 1. Legal Proceedings

There are no pending legal proceedings to which the Partnership
or MLIM LLC is a party.

Item 2. Changes in Securities and Use of Proceeds

(a) None.
(b) None.
(c) None.
(d) None.

Item 3. Defaults Upon Senior Securities

None.

Item 4. Submission of Matters to a Vote of Security Holders

None.

Item 5. Other Information

None.

Item 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 nine
months of fiscal 2003.

15

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.
----------------------------

By: MERRILL LYNCH INVESTMENT
MANAGERS LLC
General Partner

Date: November 14, 2003 By /s/ FABIO P. SAVOLDELLI
------------------------
Fabio P. Savoldelli
Executive Vice President, Chief
Investment Officer and Managing
Director - Alternative Strategies
Division
(Principal Executive Officer)

Date: November 14, 2003 By /s/ PATRICK HAYWARD
-------------------
Patrick Hayward
Chief Financial Officer
(Principal Financial and Accounting
Officer)

16

EXHIBIT 99

Form of Certification Pursuant to Section 1350 of Chapter 63 of
---------------------------------------------------------------
Title 180 of the United States Code
-----------------------------------

I, Fabio P. Savoldelli, certify that:

1. I have reviewed this quarterly report on Form 10-Q of ML Principal Protection
L.P.;

2. Based on my knowledge, this quarterly report does not contain any untrue
statement of a material fact or omit to state a material fact necessary to make
the statements made, in light of the circumstances under which such statements
were made, not misleading with respect to the period covered by this quarterly
report;

3. Based on my knowledge, the financial statements, and other financial
information included in this quarterly report, fairly present in all material
respects the financial condition, results of operations and cash flows of the
registrant as of, and for, the periods presented in this quarterly report;

4. The registrant's other certifying officers and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined in
Exchange Act Rules 13a-14 and 15d-14) for the registrant and have:

a) designed such disclosure controls and procedures to ensure that material
information relating to the registrant, including its consolidated
subsidiaries, is made known to us by others within those entities,
particularly during the period in which this quarterly report is being
prepared;

b) evaluated the effectiveness of the registrant's disclosure controls and
procedures as of a date within 90 days prior to the filing date of this
quarterly report (the "Evaluation Date"); and

c) presented in this quarterly report our conclusions about the effectiveness
of the disclosure controls and procedures based on our evaluation as of the
Evaluation Date;

5. The registrant's other certifying officers and I have disclosed, based on our
most recent evaluation, to the registrant's auditors and the audit committee of
registrant's board of directors (or persons performing the equivalent function):

a) all significant deficiencies in the design or operation of internal
controls which could adversely affect the registrant's ability to record,
process, summarize and report financial data and have identified for the
registrant's auditors any material weaknesses in internal controls; and

b) any fraud, whether or not material, that involves management or other
employees who have a significant role in the registrant's internal controls;

6. The registrant's other certifying officers and I have indicated in this
quarterly report whether there were significant changes in internal controls or
in other factors that could significantly affect internal controls subsequent to
the date of our most recent evaluation, including any corrective actions with
regard to significant deficiencies and material weaknesses.

Date: November 14, 2003

- -----------------------
By /s/ FABIO P. SAVOLDELLI
-----------------------
Fabio P. Savoldelli
Executive Vice President, Chief Investment Officer and Managing Director -
Alternative Strategies Division
(Principal Executive Officer)

17

EXHIBIT 99 (a)

AS ADOPTED TO
-------------
SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002
---------------------------------------------

In connection with this quarterly report of ML Principal Protection L.P. on Form
10-Q for the period ended September 30, 2003 as filed with the Securities and
Exchange Commission on the date hereof, I, Fabio P. Savoldelli certify, pursuant
to 18 U.S.C. Section 1350, as adopted pursuant of the Sarbanes-Oxley Act of
2002, that:

1. This quarterly report fully complies with the requirements of Section 13 or
15(d) of the Securities and Exchange Act of 1934; and

2. The information contained in this quarterly report fairly presents, in all
material respects, the financial condition and results of operations of ML
Principal Protection L.P.

Date: November 14, 2003

- -----------------------
By /s/ FABIO P. SAVOLDELLI
-----------------------
Fabio P. Savoldelli
Executive Vice President, Chief Investment Officer and Managing Director -
Alternative Strategies Division
(Principal Executive Officer)

18

EXHIBIT 99

Form of Certification Pursuant to Section 1350 of Chapter 63 of
---------------------------------------------------------------
Title 180 of the United States Code
-----------------------------------

I, Patrick Hayward, certify that:

1. I have reviewed this quarterly report on Form 10-Q of ML Principal Protection
L.P.;

2. Based on my knowledge, this quarterly report does not contain any untrue
statement of a material fact or omit to state a material fact necessary to make
the statements made, in light of the circumstances under which such statements
were made, not misleading with respect to the period covered by this quarterly
report;

3. Based on my knowledge, the financial statements, and other financial
information included in this quarterly report, fairly present in all material
respects the financial condition, results of operations and cash flows of the
registrant as of, and for, the periods presented in this quarterly report;

4. The registrant's other certifying officers and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined in
Exchange Act Rules 13a-14 and 15d-14) for the registrant and have:

a) designed such disclosure controls and procedures to ensure that material
information relating to the registrant, including its consolidated
subsidiaries, is made known to us by others within those entities,
particularly during the period in which this quarterly report is being
prepared;

b) evaluated the effectiveness of the registrant's disclosure controls and
procedures as of a date within 90 days prior to the filing date of this
quarterly report (the "Evaluation Date"); and

c) presented in this quarterly report our conclusions about the effectiveness
of the disclosure controls and procedures based on our evaluation as of the
Evaluation Date;

5. The registrant's other certifying officers and I have disclosed, based on our
most recent evaluation, to the registrant's auditors and the audit committee of
registrant's board of directors (or persons performing the equivalent function):

a) all significant deficiencies, in the design or operation of internal
controls which could adversely affect the registrant's ability to record,
process, summarize and report financial data and have identified for the
registrant's auditors any material weaknesses in internal controls; and

b) any fraud, whether or not material, that involves management or other
employees who have a significant role in the registrant's internal controls;

6. The registrant's other certifying officers and I have indicated in this
quarterly report whether there were significant changes in internal controls or
in other factors that could significantly affect internal controls subsequent to
the date of our most recent evaluation, including any corrective actions with
regard to significant deficiencies and material weaknesses.

Date: November 14, 2003

- -----------------------
By /s/ PATRICK HAYWARD
-------------------
Patrick Hayward
Chief Financial Officer
(Principal Financial and Accounting Officer)

19

EXHIBIT 99 (a)

AS ADOPTED TO
-------------
SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002
---------------------------------------------

In connection with this quarterly report of ML Principal Protection L.P. on Form
10-Q for the period ended September 30, 2003 as filed with the Securities and
Exchange Commission on the date hereof, I, Patrick Hayward certify, pursuant to
18 U.S.C. Section 1350, as adopted pursuant of the Sarbanes-Oxley Act of 2002,
that:

1. This quarterly report fully complies with the requirements of Section 13 or
15(d) of the Securities and Exchange Act of 1934; and

2. The information contained in this quarterly report fairly presents, in all
material respects, the financial condition and results of operations of ML
Principal Protection L.P.

Date: November 14, 2003

- ----------------------
By /s/ PATRICK HAYWARD
-------------------
Patrick Hayward
Chief Financial Officer
(Principal Financial and Accounting Officer)

20