ML GLOBAL HORIZONS 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 March 31, 2004

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 0-23240

ML GLOBAL HORIZONS L.P.
(Exact Name of Registrant as
specified in its charter)

Delaware 13-3716393
- ------------------------------- -----------------------------------
(State or other jurisdiction of (IRS Employer Identification No.)
incorporation or organization)

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 GLOBAL HORIZONS L.P.
(A DELAWARE LIMITED PARTNERSHIP)

STATEMENTS OF FINANCIAL CONDITION

See notes to financial statements.

2

ML GLOBAL HORIZONS L.P.
(A DELAWARE LIMITED PARTNERSHIP)

STATEMENTS OF INCOME
(unaudited)

See notes to financial statements.

3

ML GLOBAL HORIZONS L.P.
(A DELAWARE LIMITED PARTNERSHIP)

STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
FOR THE THREE MONTHS ENDED MARCH 31, 2004 AND 2003
(unaudited)

See notes to financial statements.

4

ML GLOBAL HORIZONS L.P.
(A DELAWARE LIMITED PARTNERSHIP)

NOTES TO FINANCIAL STATEMENTS
(unaudited)

1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

In the opinion of management, the financial statements contain all
adjustments (consisting of only recurring adjustments) necessary to present
fairly the financial position of ML Global Horizons L.P. (the "Partnership")
as of March 31, 2004, and the results of its operations for the three months
ended March 31, 2004 and 2003. 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-K filed
with the Securities and Exchange Commission for the year ended December 31,
2003.

2. NET ASSET VALUE PER UNIT

At March 31, 2004 and December 31, 2003, the Net Asset Values of the different
series of Units were:

March 31, 2004

December 31, 2003

5

3. 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 (loss) 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.

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, 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 MLIM LLC does not
itself intervene in the markets to hedge or diversify the Partnership's market
exposure, MLIM LLC 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, MLIM LLC'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.

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 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
offset and reported as a net receivable or payable and included in the
Statements of Financial Condition under Equity in commodity futures trading
accounts.

6

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

MONTH-END NET ASSET VALUE PER SERIES F UNIT

Performance Summary

January 1, 2004 to March 31, 2004

The Partnership experienced gains in all sectors, with most of the gains in the
metals sector.

The metals sector was profitable throughout the quarter. In January, the
Partnership profited from its long exposure. Copper rose to its highest price in
more than six years and gold climbed to highs not seen since 1988. In February,
both precious and industrial metals generated positive returns from the long
side. Base metals, with the exception of nickel, continued their upward trend as
the sector reacted to strong demand, shrinking supply and U.S. dollar weakness.
Strong demand for copper and continued speculative interest pushed the market to
a seven-year high. In March, industrial metals generated minor losses. Precious
metals contributed profits.

Agricultural commodities posted gains for the quarter. Small gains were posted
in January as the USDA cut its forecast for both soybean and corn supplies which
sent prices surging for each. In February, grains markets extended their
long-term rally, with corn and soybeans being pushed to seven and 15-year highs
on strong demand and low stockpiles. Grain markets continued to extend their
long-term rally, with corn, soybeans, and soymeal being pushed higher on strong
demand from Asia and lower estimate of supply from South America in March.

The currency sector posted net gains for the quarter despite losses in March.
Currency trading was volatile in January, but gains were experienced as the
Partnership benefited in the early part of the month from the U.S. dollar's
continued slide. These gains were cut short when European Central Bank officials
started to issue strong rhetoric designed to slow the appreciation of the Euro.
Gains were posted in February despite the volatility in the market. The U.S.
dollar was stagnate after the G-7 Finance Ministers meeting, but the
Partnership was able to extract positive returns from long Australian dollar and
British pound positions. Japanese yen and Swiss franc exposure detracted from
performance. In March, the currency sector posted a loss under difficult trading
conditions. All of the political events during the month and rumors of the Bank
of Japan's intervention policies created significant uncertainty in the markets.
The U.S. dollar strength turned around toward the end of the month and a large
drop at the end of the month's close saw the U.S. dollar fall to four year lows
against the Japanese yen.

The energy sector posted gains for the quarter. In January, the energy sector
was profitable, as temperatures remained below normal in the northeastern and
midwestern United States. OPEC output limitations and a weakening U.S. dollar
also contributed to January's rise in the energy prices. In February, crude oil
had a sharp rally early in the month and gradually sold off, as the markets
became complacent about the OPEC meeting. After the OPEC decision to cut
production by 1.5 million barrels per day on February 10, the market resumed its
upward trend. In March, the energy sector posted a small loss under extremely
volatile market conditions. The crude oil market had very choppy performance
during the month, as did the heating oil market.

7

Stock indices posted gains for the quarter as well. The main drivers to
performance early in the quarter were the Xetra DAX, the S&P 500 and the Taiwan
Stock Indices. In March, stock indices posted a loss. The Partnership's long
bias to various global equity indices was changed during March to hold more
short and neutral positions. Long Nikkei profits were overcome by losses in long
exposure to European equities, which later flipped to short positions by
month-end.

Gains were experienced in the interest rate sector also despite losses in
January and March. Early in the quarter, profits were generated from various
positions at the short end of the yield curve in Canada and Europe, while losses
were posted at longer points in the curve in both the United States and Europe.
In February, gains were posted as the Partnership's interest rate exposure
remains in the lower end of its historical range. In March, long exposure to
most of the major global yield curves proved to generate positive results.
German Bunds posted gains, while short U.S. ten-year bonds hurt performance in
the beginning of the month.

January 1, 2003 to March 31, 2003

The Partnership experienced gains in the currency, energy and interest rate and
losses in the stock index, 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 in Iraq triggered the liquidation of many fixed income
investments hurting long exposures.

Trading in stock indices posted slight losses for the quarter. The market was
choppy throughout the quarter making trading difficult. Most indices recorded
three-month lows in January causing managers to flip positions and shorts were
initiated in most major markets. During the rest of the quarter, choppy markets
caused short positions to be covered to protect against the risk of significant
losses.

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.

8

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.

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 Global Horizons
L.P., 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 this evaluation, has 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 this evaluation, including any
corrective actions with regard to significant deficiencies and material
weaknesses.

9

PART II - OTHER INFORMATION

Item 1. Legal Proceedings

There are no pending 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) As of February 1, 2004, the Partnership privately offered two new
classes of units of limited partnership interest, class A and I.
The continuing units were renamed Class F. As of February 1, 2004,
brokerage commissions were reduced to 7.00% per year. Class A and
Class I incur brokerage commissions of 7.00% and 4.00% per year,
respectively.
(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 report.

(b) REPORTS ON FORM 8-K

There were no reports on Form 8-K filed during the first three months
of fiscal 2004.

10

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 GLOBAL HORIZONS L.P.

By: MERRILL LYNCH INVESTMENT
MANAGERS LLC
General Partner

Date: May 14, 2004 By /s/ VINAY MENDIRATTA
--------------------
Vinay Mendiratta
Managing Director and Chief Operating Officer
-Alternative Strategies and Quantitative Advisers
Divisions
(Principal Executive Officer)

Date: May 14, 2004 By /s/ PATRICK HAYWARD
-------------------
Patrick Hayward
Chief Financial Officer
(Principal Financial and Accounting Officer)

11

EXHIBIT 31.01

RULE 13a-14(a)/15d-14(a) CERTIFICATIONS

I, Vinay Mendiratta, certify that:

1. I have reviewed this report on Form 10-Q of ML Global Horizons L.P.;

2. Based on my knowledge, this 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 report;

3. Based on my knowledge, the financial statements, and other financial
information included in this 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 report;

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

a) Designed such disclosure controls and procedures, or caused such
disclosure controls and procedures to be designed under our supervision, 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 report is being
prepared;

b) Evaluated the effectiveness of the registrant's disclosure controls and
procedures and presented in this report our conclusions about the
effectiveness of the disclosure controls and procedures, as of the end of the
period covered by this report based on such evaluation;

c) Disclosed in this report any change in the registrant's internal control
over financial reporting that occurred during the registrant's most recent
fiscal quarter that has materially affected, or is reasonably likely to
materially affect, the registrant's internal control over financial
reporting; and

5. The registrant's other certifying officer and I have disclosed, based on our
most recent evaluation of internal control over financial reporting, 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 and material weakness in the design or
operation of internal controls which are reasonably likely to adversely
affect the registrant's ability to record, process, summarize and report
financial information; and

b) Any fraud, whether or not material, that involves management or other
employees who have a significant role in the registrant's internal control
over financial reporting.

Date: May 14, 2004
- -----------------------

By /s/ VINAY MENDIRATTA
--------------------
Vinay Mendiratta
Managing Director and Chief Operating Officer
- - Alternative Strategies and Quantitative Advisers Divisions
(Principal Executive Officer)

12

EXHIBIT 31.02

RULE 13a-14(a)/15d-14(a) CERTIFICATIONS

I, Patrick Hayward, certify that:

1. I have reviewed this report on Form 10-Q of ML Global Horizons L.P.;

2. Based on my knowledge, this 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 report;

3. Based on my knowledge, the financial statements, and other financial
information included in this 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 report;

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

a) Designed such disclosure controls and procedures, or caused such
disclosure controls and procedures to be designed under our supervision, 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 report is being
prepared;

b) Evaluated the effectiveness of the registrant's disclosure and presented
in this report our conclusions about the effectiveness of the disclosure
controls and procedures, as of the end of the period covered by this report
based on such evaluation;

c) Disclosed in this report any change in the registrant's internal control
over financial reporting that occurred during the registrant's most recent
fiscal quarter that has materially affected, or is reasonably likely to
materially affect, the registrant's internal control over financial
reporting; and

5. The registrant's other certifying officer and I have disclosed, based on our
most recent evaluation of internal control over financial reporting, 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 and material weakness in the design or
operation of internal controls which are reasonably likely to adversely
affect the registrant's ability to record, process, summarize and report
financial information; and

b) An fraud, whether or not material, that involves management or other
employees who have a significant role in the registrant's internal control
over financial reporting.

Date: May 14, 2004
- ----------------------

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

13

EXHIBIT 32.01

SECTION 1350 CERTIFICATIONS

In connection with this quarterly report of ML Global Horizons L.P. on Form 10-Q
for the period ended March 31, 2004 as filed with the Securities and Exchange
Commission on the date hereof, I, Vinay Mendiratta, certify, pursuant to 18
U.S.C. Section 1350, as adopted pursuant of the Sarbanes-Oxley Act of 2002,
that:

1. This quarterly report containing the financial statements fully complies with
the requirements of Section 13(a) or 15(d) of the Securities 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
Global Horizons L.P.

Date: May 14, 2004
- -----------------------

By /s/ VINAY MENDIRATTA
--------------------
Vinay Mendiratta
Managing Director and Chief Operating Officer
- - Alternative Strategies and Quantitative Advisers Divisions
(Principal Executive Officer)

14

EXHIBIT 32.02

SECTION 1350 CERTIFICATIONS

In connection with this quarterly report of ML Global Horizons L.P. on Form 10-Q
for the period ended March 31, 2004 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 containing the financial statements fully complies with
the requirements of Section 13(a) or 15(d) of the Securities 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
Global Horizons L.P.

Date: May 14, 2004
- ----------------------

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

15