ML SELECT FUTURES I 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 0-05269

ML SELECT FUTURES I LP
----------------------
(Exact Name of Registrant as
specified in its charter)

Delaware 13-3879393
- ----------------------------- -------------------------------
(State or other jurisdiction of (IRS Employer Identification No.)
incorporation or organization)

c/o Merrill Lynch Alternative Investments LLC
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 / /

PART I - FINANCIAL INFORMATION

Item 1. Financial Statements

ML SELECT FUTURES I LP
----------------------
(A Delaware Limited Partnership)
------------------------------

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

See notes to financial statements.

2

ML SELECT FUTURES I LP
----------------------
(A Delaware Limited Partnership)
-------------------------------

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

See notes to financial statements.

3

ML SELECT FUTURES I LP
----------------------
(A Delaware Limited Partnership)
-------------------------------

STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
------------------------------------------
For the Nine Months Ended September 30, 2003 and 2002
-----------------------------------------------------
(unaudited)

See notes to financial statements.

4

ML SELECT FUTURES I LP
----------------------
(A Delaware Limited Partnership)
-------------------------------

NOTES TO 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 Select Futures I LP (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 accordance with accounting principles
generally accepted in the United States of America 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 filed with the Securities and Exchange Commission for the
year ended December 31, 2002.

2. FAIR VALUE AND OFF-BALANCE SHEET RISK

The nature of this Partnership 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 Partnership's net unrealized profit on such derivative
instruments as reflected in the 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.

Merrill Lynch Alternative Investments LLC ("MLAI LLC"), 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 Sunrise
Capital Partners, LLC ("Sunrise"), 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 MLAI LLC does not
itself intervene in the markets to hedge or diversify the Partnership's
market exposure, MLAI LLC may urge Sunrise to reallocate positions in an
attempt to avoid over-concentrations. However, such interventions are
unusual. Except in cases in which it appears that Sunrise has begun to
deviate from past practice or trading policies or to be trading erratically,
MLAI LLC's basic risk control procedures consist simply of the ongoing
process of advisor monitoring, with the market risk controls being applied
by Sunrise itself.

5

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, if any, included in the
Statements of Financial Condition. The Partnership attempts to mitigate this
risk by dealing exclusively with Merrill Lynch entities as clearing brokers.

The Partnership, in its normal course of business, enters into various
contracts, with Merrill Lynch Pierce Fenner & Smith Inc. ("MLPF&S") acting
as its commodity broker. Pursuant to the brokerage arrangement 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 Equity from 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 UNIT

Performance Summary

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

January 1, 2003 to March 31, 2003

Overall the Partnership experienced gains for the quarter. All sectors were
profitable except the metals sector.

The energy sector provided the greatest gains for the Partnership. As
Iraq-related events brought the possibility of war closer, petroleum products
moved to new highs. Crude oil was the best performing market in this category.
The natural gas market also strengthened during the month. Cold weather
conditions in the Northeast helped push prices to target levels causing a
portion of the Partnership's position to be liquidated to protect profits from a
downturn. As the trend reversed sharply in March, long positions in both markets
were gradually liquidated.

6

The currency forward and futures trading had significant gains for the quarter.
The Partnership started the year with short U.S. dollar positions versus other
major currencies. The Partnership capitalized on the persistent rise in the
value of these currencies against the U.S. dollar. Profits were also posted in
long European currencies against the Japanese yen in January. Trading in
currencies was not profitable in February and March. Short U.S. dollar positions
were maintained and exposure in the currency sector was below average. The
prolonged anxiety about the war was reflected in choppy and narrow price ranges
in most major currencies.

Interest rate future trading was profitable for the Partnership. The continued
rise in interest rate futures prices created a favorable trading environment in
January and February. Price reversals as well as choppiness and volatility in
March caused some losses and subsequently the Partnership's exposure was reduced
in the market.

Trading in stock indices posted gains for the quarter. January and February were
relatively flat. Foreign stock indices were the only positive sector. Short
positions in DAX and Nikkei produced small profits.

Agricultural commodities trading resulted in gains for the Partnership. Sugar
prices, like commodities in general, continued their upward trend. During
January, this trend accelerated thus producing significant profits. Soybeans
also contributed to profits with prices moving sharply upward.

The metals sector was the only unprofitable strategy for the quarter. Gold's
rise to a six-year high in January had a positive influence on the month. The
demand for gold rose because investors usually turn their attention to this
traditional "safe haven" market during uncertain times. Supply-side
considerations caused nickel prices to increase sharply as well. This uptrend
was reversed in February and March as market actions were driven by the course
of the war with Iraq. The risks and potential impact on the global economy
produced increased volatility, as headlines about the war became the main focus.

April 1, 2003 to June 30, 2003

Gains were realized in the currency, interest rates and energy sectors. Losses
were posted in the metals, agricultural commodities and stock index sectors.
Overall, the Partnership was profitable.

Trading in the currency sector provided the greatest gains for the Partnership.
Currencies produced the largest profits in May, as the U.S. dollar remained on
the defensive throughout most of the quarter. The underlying factors driving the
U.S. dollar lower were low U.S. interest rates, the increasing U.S. deficit and
the Federal Reserve's use of the U.S. dollar as a tool to stabilize the U.S.
economy. The U.S. dollar's downtrend was also supported by technical indicators,
which further accelerated the pace of the U.S. dollar's decline. The biggest
beneficiary of the U.S. dollar's slide was the Euro, which hit four-year highs
against the U.S. dollar, the Japanese yen and the British pound. The largest
profits were posted in short U.S. dollar positions against the Euro and the
Swiss franc, as well as in long Euro positions against the Japanese yen. The
strong downward trend in the U.S. dollar that dominated the market for 18 months
came to a halt in June, reversing nearly half of the gains incurred in April and
May, causing some short U.S. dollar positions to be liquidated.

The interest rate sector was also profitable in April and May as market prices
continued to rally to falling U.S. interest rates. The yields declined to
45-year lows, generating profits for all interest rate positions. In June, the
interest rate markets reversed direction when the Federal Reserve announced the
decision to lower interest rates by 25 basis points was less than anticipated.
The market expressed their disappointment with the Federal Reserve's action by
selling debt futures. This, coupled with the flight to equities, caused long
positions to suffer during the month but stayed solidly profitable overall for
the quarter.

7

The energy sector incurred gains for the quarter, mostly in June. Volatility in
the first quarter caused exposure in this market to be reduced. Crude oil was
the best performer in June. Its price strengthened in response to declining
inventories.

The metals sector had losses for the quarter. Metal prices were stable and
produced marginal profits in May. Unfortunately, May's gains could not offset
unfavorable market conditions in June.

Trading in the agricultural commodities sector was unprofitable for the quarter.
Soybeans contributed to profits in April with prices moving sharply upward. The
direction of the markets shifted in May in reaction to weather and supply
reports. The worst performers in this sector were corn and cotton.

Trading in stock indices was the most unprofitable sector for the Partnership.
The largest losses came from short positions in stock index futures when equity
markets staged a postwar recovery.

July 1, 2003 to September 30, 2003

The Partnership was profitable in the agricultural commodities and metals
sectors and unprofitable in the stock index, energy, currencies and interest
rate sectors. Overall, the Partnership was unprofitable for the quarter.

Agricultural commodities trading generated the most profits for the Partnership
for the third quarter. This sector was profitable due to long positions in
soybeans, soybean meal and cotton. The soybean complex rallied on forecasts of
cold weather across the Midwest. Tight supplies were also seen as supportive
factors for the products.

Trading in the metals sector was also profitable for the quarter. Base metals
drove most of the profits. The markets took direction from economic data and
changing perceptions about the economy. Higher prices during the month triggered
buy signals to build on the Partnership's positions. Nickel was the best
performer in this sector as the price moved to new highs.

Trading in stock index futures was unprofitable for the Partnership. Stock
indices closed out July and August on the plus side but fell in September
following the G-7 meeting. The G-7 finance ministers and central bankers called
for more flexible exchange rates, which resulted in losses for the Partnership's
long positions.

The energy sector produced losses for the Partnership for the quarter. Gains in
July and August were offset by significant losses in September. Crude oil was
the most significant contributor to September's negative results as the trend of
falling prices reversed mid-month and moved against the Partnership's short
positions. These positions were initiated during the first half of the month
when the price of crude oil fell from a high of $31.40 on September 2 to a four
month low of $26.65 on September 19. It was followed by a sharp upward move back
to nearly the $30.00 level. The sudden price shift appeared to be triggered by
OPEC's announcement about their impending production cuts.

The currency sector was unprofitable in the third quarter. The sector was highly
volatile resulting in difficult trading conditions. The U.S. dollar appreciated
against most major currencies in July and August, resulting in losses for the
Partnership. The G-7 summit directed the market to the idea that a weak U.S.
dollar is important to global trade balance. Foreign currencies appreciated
against the U.S. dollar reversing some of the sector's previous losses.

The interest rate sector was the most unprofitable sector for the Partnership.
The U.S. bond market suffered heavy losses in July after the U.S. government
announced its intentions to borrow a record amount to finance the huge deficit.
The U.S. bond market managed a timid recovery in August after making new lows in
July. In September, the global economic rebound was the primary focus of the

8

market. The U.S. continued to produce mixed economic data, which led some
investors to question the strength of the recovery. The G-7 summit resulted in a
call for more flexible exchange rates around the world. This announcement
signaled to the world marketplace that a weaker U.S. dollar is important to
strengthen the global economy. Interest rates moved up slightly, as the central
banks worldwide continued to reiterate that low interest rates are necessary to
sustain an economic recovery.

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

January 1, 2002 to March 31, 2002

The energy and agricultural commodities sectors generated gains for the quarter.
Metals, stock indices, interest rates and currency sectors produced losses.
Overall, the Partnership experienced losses for the quarter

The energy sector provided the Partnership with the greatest profits for the
quarter. The largest profits were generated from long positions in crude oil.

The agricultural commodities sector was the only other sector that was
profitable for the quarter. Corn positions had gains in February.

The metals sector was flat for the quarter. Profitable long positions in gold
and base metals in March offset losses in January and February.

Trading in stock indices incurred losses for the Partnership. Competing factors
kept prices range-bound. Positive economic data about global economic recovery
was offset by concerns over the U.S. corporate sector and possibly broader
implications from the ongoing Enron investigations.

The interest rate sector also incurred losses for the Partnership this quarter.
The interest rate markets consolidated in a relatively tight trading range
during February. Short positions in foreign interest rates were profitable in
March but did not offset losses in January and February.

The currency sector was the most unprofitable sector for the quarter. Gains were
generated in January in short Japanese yen positions as the Japanese yen
continued to lose its value against the U.S. dollar. The move was supported by a
deteriorating economic outlook in Japan and also by some evidence of a U.S.
economic recovery. In March, large losses were incurred in major currencies as
they appreciated against the U.S. dollar.

April 1, 2002 to June 30, 2002

The second quarter posted a positive return for the Partnership. Gains were
realized in the currency, interest rates, stock index and agricultural
commodities sectors. Losses were realized in the metals and energy sectors.

The currency sector was the most profitable sector for the quarter. A bullish
U.S. dollar outlook was reversed during April as the currency moved lower. The
Partnership benefited from the continuing weak trend in the U.S. dollar and the
currency fell through important technical levels. Weak equity markets and
worries over the U.S. corporate sector also contributed to the U.S. dollar's
weakness.

9

The interest rate sector was profitable for the quarter. Short-term interest
rate futures contributed to profits in May. U.S. interest rate futures, in
particular, Eurodollar and U.S. Treasury Notes finished the month of June with
profits as yields of major debt instruments continued to decline.

Stock indices had modest gains for the quarter, after a flat start in the
beginning of the quarter. Short positions in domestic and foreign stock index
futures benefited from falling global equity markets.

The agricultural commodities markets were directionless and basically flat for
the quarter. In May, grain prices were affected by weather forecasts as well as
traders' perceptions about crop conditions. Soybeans posted strong gains. Corn
and wheat markets displayed choppiness during the quarter.

Trading in the metals sector was unprofitable for the Partnership. In May,
precious metal prices moved higher due to a declining U.S. dollar and negative
economic sentiment and finished the month with positive results. Profits were
offset later in the quarter by liquidation pressures in both precious and
industrial metals.

The energy sector was the least profitable strategy for the quarter. The
uncertainty in the Middle East and Iraq lead to volatility in the market and
pushed crude oil prices higher.

July 1, 2002 to September 30, 2002

Gains were realized in the interest rates, energy, stock index and agricultural
commodities sectors. Losses were realized on the metals and currencies sectors.
Overall, the Partnership was profitable for the quarter.

Interest rate futures were the primary source of profits for the Partnership
this quarter. Long, short domestic and foreign contracts extended their gains
and finished the quarter on a strong note.

The energy sector was profitable for the quarter. Energy markets were
range-bound and their performance for the July was insignificant. The
Partnership's long crude oil position was the single largest contributor to
August's success. Rising prices reflected fears of renewed conflict in the
Middle East and perceived deterioration in the Saudi-U.S. relationship.

Stock index trading also produced profits for the Partnership. Short positions
in stock indices resulted in significant profits for the quarter.

Agricultural commodity trading produced modest gains for the quarter. The sector
experienced high volatility during the quarter and gave back its accumulated
profits. Long positions were initiated in this sector when the markets moved
higher due to weather and supply worries. Weather and supply conditions drove
grain prices to new contract highs during the first half of the September.
Unfortunately, during the second half of the month, these trends reversed and
reduced accumulated profits.

Metals were unprofitable for the quarter. Both base and precious metals
experienced weakness and liquidation pressures in July. In August, the sector
remained flat as prices appeared to be trapped in a consolidation pattern. Base
metals prices weakened slightly in September and posted small profits for the
month.

The currency sector was the least profitable sector for the quarter. The sector
lacked direction and produced losses for the Partnership. Economic uncertainty
kept most of these markets choppy and volatile.

10

Item 3. Quantitative and Qualitative Disclosures About Market Risk

Not applicable

Item 4. Controls and Procedures

Merrill Lynch Alternative Investments LLC, the General Partner of ML Select
Futures I LP, with the participation of the General Partner's Chief 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.

11

PART II - OTHER INFORMATION

Item 1. Legal Proceedings

There are no pending proceedings to which the Partnership or MLAI 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 as part of this document.

(b) Reports on Form 8-K.

There were no reports on Form 8-K filed during the nine months of
fiscal 2003.

12

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 SELECT FUTURES I LP

By:MERRILL LYNCH ALTERNATIVE
INVESTMENTS LLC
(General Partner)

Date: November 14, 2003 By /s/ ROBERT M. ALDERMAN
----------------------
Robert M. Alderman
Chairman, Chief Executive Officer and Manager
(Principal Executive Officer)

Date: November 14, 2003 By /s/ MICHAEL L. PUNGELLO
-----------------------
Michael L. Pungello
Vice President, Chief Financial Officer
and Treasurer
(Principal Financial and Accounting Officer)

13

EXHIBIT 99

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

I, Robert M. Alderman, certify that:

1. I have reviewed this quarterly report on Form 10-Q of ML Select Futures I LP;

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
functions):

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/ ROBERT M. ALDERMAN
----------------------
Robert M. Alderman
Chairman, Chief Executive Officer and Manager
(Principal Executive Officer)

14

EXHIBIT 99 (a)

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

In connection with this quarterly report of ML Select Futures I LP on Form 10-Q
for the period ended September 30, 2003 as filed with the Securities and
Exchange Commission on the date hereof, I, Robert M. Alderman, 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
Select Futures I LP.

Date: November 14, 2003

- -----------------------
By /s/ ROBERT M. ALDERMAN
----------------------
Robert M. Alderman
Chairman, Chief Executive Officer and Manager
(Principal Executive Officer)

15

EXHIBIT 99

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

I, Michael L. Pungello, certify that:

1. I have reviewed this quarterly report on Form 10-Q of ML Select Futures I LP;

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
functions):

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/ MICHAEL L. PUNGELLO
-----------------------
Michael L. Pungello
Vice President, Chief Financial Officer
and Treasurer
(Principal Financial and Accounting Officer)

16

EXHIBIT 99 (a)

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

In connection with this quarterly report of ML Select Futures I LP on Form 10-Q
for the period ended September 30, 2003 as filed with the Securities and
Exchange Commission on the date hereof, I, Michael L. Pungello, 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
Select Futures I LP.

Date: November 14, 2003

- -----------------------
By /s/ MICHAEL L. PUNGELLO
-----------------------
Michael L. Pungello
Vice President, Chief Financial Officer
and Treasurer
(Principal Financial and Accounting Officer)

17