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 March 31, 2005
--------------
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 L.P.
------------------------
(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 L.P.
(A DELAWARE LIMITED PARTNERSHIP)

STATEMENTS OF FINANCIAL CONDITION

See notes to financial statements.

2

ML SELECT FUTURES I L.P.
(A DELAWARE LIMITED PARTNERSHIP)

STATEMENTS OF OPERATIONS
(unaudited)

See notes to financial statements.

3

ML SELECT FUTURES I L.P.
(A DELAWARE LIMITED PARTNERSHIP)

STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
FOR THE THREE MONTHS ENDED MARCH 31, 2005 AND 2004
(unaudited)

See notes to financial statements.

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ML SELECT FUTURES I 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 necessary to present fairly the financial position of ML Select
Futures I L.P. (the "Partnership") as of March 31, 2005, and the results of
its operations for the three months ended March 31, 2005 and 2004. 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-K filed with the Securities and Exchange Commission for
the year ended December 31, 2004.

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"), 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"), the trading advisor, 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 does
not itself intervene in the markets to hedge or diversify the Partnership's
market exposure, MLAI 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's basic risk control procedures consist simply of the
ongoing process of advisor monitoring, with the market risk controls being
applied by Sunrise itself.

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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, 2005 to March 31, 2005

The Partnership experienced overall losses for the quarter. The agriculture,
interest rates and metal sectors were profitable while the stock indices and
currencies sustained losses for the quarter.

The agriculture sector provided the highest gains for the Partnership. Long
coffee positions generated the largest profits for the sector.

The interest rates sector also posted gains for the quarter. Early in the
quarter, both domestic and foreign interest rate futures recorded record profits
as yields on long-term debt instruments continued to fall. This trend reversed
later in the quarter, generating profits on short Eurodollar positions.

The metals sector was profitable for the quarter. The quarter began with trend
reversals and unprecedented volatility causing losses in precious and base
metals. Base metals regained their bullish momentum later in the quarter with
aluminum and copper prices strengthening due to a tighter supply-demand
situation.

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Stock indices were unprofitable for the quarter. Profits in February could not
offset losses in January and March resulting from the implications of rising
U.S. interest rates and the decline of the S&P 500.

The currency sector produced significant losses for the Partnership. The quarter
was characterized by choppy, non-directional patterns causing difficulty to
identify trends. At the beginning of the quarter, the U.S. dollar gained support
by improved U.S. economic data and moved higher against most major and minor
currencies. The rising U.S. dollar triggered exit signals for short U.S. dollar
positions which resulted in losses. Later in the quarter, the U.S. dollar
suddenly reversed and moved lower against most currencies, losses were minimized
since exposure in the sector was reduced due to volatility earlier in the
quarter. The Japanese yen was the only profitable market in the currency group.

January 1, 2004 to March 31, 2004

The Partnership experienced gains for the quarter. All sectors were profitable.

The agriculture sector provided the greatest gains for the Partnership. Early in
the quarter, unusually tight grain inventory sent corn and bean prices to new
contract highs. In March, grains rallied to new highs supported by growing
global demand and a drastic reduction in grain inventories. Bean and corn prices
hit their highest levels since 1988 and 1996, respectively.

The metals sector also had significant gains for the quarter. Despite the
volatility in the market, copper and aluminum posted profits early in the
quarter, due to tight supplies. In February, copper hit an eight-year high. Base
metals, with the exception of nickel, continued to rise driven by strong demand,
U.S. dollar weakness and declining stocks. In March, both gold and silver
extended their gains as demand continued to rise. Silver was the best performing
market overall, with the price reaching a 17-year high of $8.30 an ounce.

The Partnership posted gains for the interest rate sector. The quarter began
with volatility. In February, interest rate futures moved higher and generated
profits. In March, the Partnership benefited from long interest rate futures.
Both domestic and foreign interest rate positions posted solid gains.

Although the energy sector began with losses in January, it was profitable
overall for the quarter. Crude oil contributed to losses for the month of
January, as price movements were sensitive to weather and inventory related
reports. Conversely, crude oil was the most profitable market in February,
supported by an unusually high level of weather-related demand and tight U.S.
inventories. In March, crude oil remained strong as May crude oil contracts
reached a new contract high of $37.80 per barrel, but during the second half of
the month prices dropped on expectations that the OPEC nations will have
difficulties reducing output in the face of such high prices.

The currency forward and futures trading also had gains for the quarter.
Currencies were the most profitable in January as the U.S. dollar moved up
against all major and minor currencies, with the announcement from the Federal
Reserve preparing the markets for a period of rising interest rates. In
February, exceptional volatility characterized the currency markets. The U.S.
dollar began to make an upside breakout and gained some ground. One of the
factors pushing the U.S. dollar higher included speculation that the U.S.
Federal Reserve would raise interest rates if the U.S. economy continues to
improve. In March, market exposure was at very low levels and volatility
indicators prevented trading in new positions in most major currencies against
the U.S. dollar.

7

Trading in stock indices posted gains for the quarter. January was the most
profitable month despite a volatile trading market.

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 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.

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PART II - OTHER INFORMATION

Item 1. Legal Proceedings

There are no pending proceedings to which the Partnership or MLAI
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 three months of
fiscal 2005.

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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 L.P.

By: MERRILL LYNCH ALTERNATIVE
INVESTMENTS LLC
(General Partner)

Date: May 16, 2005 By /s/ ROBERT M. ALDERMAN
----------------------
Robert M. Alderman
Chief Executive Officer, President and Manager
(Principal Executive Officer)

Date: May 16, 2005
By /s/ MICHAEL L. PUNGELLO
-----------------------
Michael L. Pungello
Vice President, Chief Financial Officer
and Treasurer
(Principal Financial and Accounting Officer)

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