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 June 30, 2016

o 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 0-50269

ML SELECT FUTURES I L.P.

(Exact name of registrant as specified in its charter)

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

c/o Merrill Lynch Alternative Investments LLC

250 Vesey Street, 11th Floor

New York, New York 10281

(Address of principal executive offices)

(Zip Code)

609-274-5838

(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 o

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate website, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).

Yes x No o

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act:

Large accelerated filer o		Accelerated filer o

Non-accelerated filer x		Smaller reporting company o
(Do not check if a smaller reporting company)

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).

Yes o No x

As of June 30, 2016, 101,746 units of limited partnership interest were outstanding.

ML SELECT FUTURES I L.P.

QUARTERLY REPORT FOR JUNE 30, 2016 ON FORM 10-Q

Table of Contents

	PART I—FINANCIAL INFORMATION	PAGE

Item 1.	Financial Statements	1

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	13

Item 3.	Quantitative and Qualitative Disclosures About Market Risk	23

Item 4.	Controls and Procedures	27

	PART II—OTHER INFORMATION

Item 1.	Legal Proceedings	28

Item 1A.	Risk Factors	28

Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	28

Item 3.	Defaults Upon Senior Securities	28

Item 4.	Mine Safety Disclosures	28

Item 5.	Other Information	28

Item 6.	Exhibits	29

PART I - FINANCIAL INFORMATION

Item 1. Financial Statements

ML SELECT FUTURES I L.P.

(A Delaware Limited Partnership)

STATEMENTS OF FINANCIAL CONDITION

(unaudited)

	June 30,		December 31,
	2016		2015
ASSETS:

Equity in commodity futures trading accounts:
Cash (includes restricted cash of $1,423,150 for 2016 and $1,166,429 for 2015)	$	22,381,065	$	24,387,681
Unrealized profit on open futures contracts	397,359		214,306
Unrealized profit on open forwards contracts	2,471		23,963
Cash and cash equivalents	518,122		547,201
Due from Sponsor	20,303		—
Other assets	529		5,148

TOTAL ASSETS	$	23,319,849	$	25,178,299

LIABILITIES AND PARTNERS’ CAPITAL

LIABILITIES:

Unrealized loss on open futures contracts	$	120,765	$	190,624
Unrealized loss on open forward contracts	—		2,365
Redemptions payable	506,028		442,287
Wrap fee payable	111,162		119,721
Other liabilities	98		6
Total liabilities	738,053		755,003

PARTNERS’ CAPITAL:

General Partner (0.41 Units and 0.41 Units)	91		92
Limited Partners (101,746 Units and 108,563 Units)	22,581,705		24,423,204

Total Partners’ Capital	22,581,796		24,423,296

TOTAL LIABILITIES AND PARTNERS’ CAPITAL	$	23,319,849	$	25,178,299

NET ASSET VALUE PER UNIT
(Based on 101,746 and 108,563 Units outstanding; unlimited Units authorized)	$	221.9419	$	224.9680

See notes to financial statements.

ML SELECT FUTURES I L.P.

(A Delaware Limited Partnership)

STATEMENTS OF OPERATIONS

(unaudited)

	For the three			For the three			For the six			For the six
	months ended			months ended			months ended			months ended
	June 30,			June 30,			June 30,			June 30,
	2016			2015			2016			2015
TRADING PROFIT (LOSS):

Realized, net	$	(1,099,559	)	$	(427,526	)	$	146,376		$	2,653,453
Change in unrealized, net	156,194			(371,518		)	233,785			(1,433,499		)

Total trading profit (loss), net	(943,365		)	(799,044		)	380,161			1,219,954

INVESTMENT INCOME (LOSS)

Interest, net	10,686			1,422			28,223			3,435

EXPENSES:

Wrap fee	340,776			453,307			699,245			933,585
Direct commission fee	46,718			—			85,897			—
Total expenses before reimbursement	387,494			453,307			785,142			933,585
Reimbursement of direct commission fee	(46,718		)	—			(85,897		)	—

Total expenses after reimbursement	340,776			453,307			699,245			933,585

NET INVESTMENT INCOME (LOSS)	(330,090		)	(451,885		)	(671,022		)	(930,150		)

NET INCOME (LOSS)	$	(1,273,455	)	$	(1,250,929	)	$	(290,861	)	$	289,804

NET INCOME (LOSS) PER UNIT:

Weighted average number of General Partner and Limited Partner Units outstanding	104,605			123,300			106,134			125,115

Net income (loss) per weighted average General Partner and Limited Partner Unit	$	(12.17	)	$	(10.15	)	$	(2.74	)	$	2.32

See notes to financial statements.

ML SELECT FUTURES I L.P.

(A Delaware Limited Partnership)

STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL

FOR THE SIX MONTHS ENDED JUNE 30, 2016 AND 2015

(unaudited)

			General			Limited
	Units		Partner			Partners			Total

PARTNERS’ CAPITAL, December 31, 2014	128,326		$	750,192		$	31,436,379		$	32,186,571

Subscriptions	—		—			—			—

Net income (loss)	—		9,585			280,219			289,804

Redemptions	(9,668	)	(759,674		)	(1,721,015		)	(2,480,689		)

PARTNERS’ CAPITAL, June 30, 2015	118,658		$	103		$	29,995,583		$	29,995,686

PARTNERS’ CAPITAL, December 31, 2015	108,563		$	92		$	24,423,204		$	24,423,296

Subscriptions	—		—			—			—

Net income (loss)	—		(1		)	(290,860		)	(290,861		)

Redemptions	(6,817	)	—			(1,550,639		)	(1,550,639		)

PARTNERS’ CAPITAL, June 30, 2016	101,746		$	91		$	22,581,705		$	22,581,796

See notes to financial statements.

ML SELECT FUTURES I L.P.

(A Delaware Limited Partnership)

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2016 (unaudited)

The following per Unit data and ratios have been derived from information provided in the financial statements.

	Three months ended			Six months ended
	June 30, 2016			June 30, 2016

Per Unit Operating Performance:

Net asset value, beginning of period	$	234.1081		$	224.9680

Realized trading profit (loss)	(10.5213		)	1.0374
Change in unrealized, net	1.5108			2.2590
Interest income, net	0.1019			0.2649
Expenses	(3.7046		)	(7.3987		)
Expense reimbursement	0.4470			0.8113

Net asset value, end of period	$	221.9419		$	221.9419

Total Return: (1) (2) (3)

Total return	-5.20		%	-1.35		%

Ratios to Average Partners’ Capital (2) (3):

Expenses before reimbursement by Sponsor	1.63		%	3.24		%
Reimbursement by Sponsor	-0.20		%	-0.36		%
Expenses after reimbursement by Sponsor	1.43		%	2.88		%
Net investment loss	-1.39		%	-2.77		%

(1) The total return is based on compounded monthly returns and is calculated for limited partner units taken as a whole. An

individual limited partner’s return may vary from these returns based on timing of capital transactions.

(2) Includes the impact of Performance fees of 0% and 0%, respectively.

(3) The ratios and total return are not annualized.

See notes to financial statements.

ML SELECT FUTURES I L.P.

(A Delaware Limited Partnership)

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2015 (unaudited)

The following per Unit data and ratios have been derived from information provided in the financial statements.

	Three months ended			Six months ended
	June 30, 2015			June 30, 2015

Per Unit Operating Performance:

Net asset value, beginning of period	$	262.8601		$	250.8188

Realized trading profit (loss)	(3.4733		)	20.7834
Change in unrealized, net	(2.9318		)	(11.3791		)
Interest income, net	0.0115			0.0273
Expenses (1)	(3.6763		)	(7.4602		)

Net asset value, end of period	$	252.7902		$	252.7902

Total Return: (2)

Total return (3)	-3.83		%	0.79		%

Ratios to Average Partners’ Capital (1) (3):

Expenses	1.44		%	2.89		%
Net investment loss	-1.43		%	-2.88		%

(1) Includes the impact of brokerage commission expenses which are included in the wrap fee.

(2) The total return is based on compounded monthly returns and is calculated for limited partner units taken as a whole. An

individual limited partner’s return may vary from these returns based on timing of capital transactions.

(3) The ratios and total return are not annualized.

See notes to financial statements.

ML SELECT FUTURES I L.P.

(A Delaware Limited Partnership)

NOTES TO FINANCIAL STATEMENTS

(unaudited)

1. ORGANIZATION

ML Select Futures I L.P. (the “Partnership”), which is an investment company as defined by Accounting Standards Codification (“ASC”) guidance, was organized under the Delaware Revised Uniform Limited Partnership Act in August 1995 and commenced trading activities on April 16, 1996. The Partnership engages in the speculative trading of futures and forward contracts on a wide range of commodities. Sunrise Capital Partners, LLC (“Trading Advisor” or “Sunrise”) is the trading advisor of the Partnership. The Trading Advisor trades its Expanded Diversified Program (the “Trading Program”) for the Partnership.

Merrill Lynch Alternative Investments LLC (“MLAI”, the “Sponsor” or the “General Partner”), is the general partner and sponsor of the Partnership. MLAI is an indirect wholly-owned subsidiary of Bank of America Corporation. Bank of America Corporation and its affiliates are referred to herein as “BofA Corp.” Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”) is currently the exclusive clearing broker for the Partnership. The General Partner may select other parties as clearing broker(s). Merrill Lynch International (“MLI”) is the primary foreign exchange (“F/X”) forward prime broker for the Partnership. The General Partner may select other of its affiliates, or third parties, as F/X or other over the counter (“OTC”) prime brokers. MLPF&S and MLI are BofA Corp. affiliates. MLAI and each limited partner share in the profits and losses of the Partnership in proportion to their respective interests in it.

Interests in the Partnership are not insured or otherwise protected by the Federal Deposit Insurance Corporation or any other government authority. Interests are not deposits or other obligations of, and are not guaranteed by, BofA Corp. or by any bank. Interests are subject to investment risks, including the possible loss of the full amount invested.

The Partnership considers all highly liquid investments, with a maturity of three months or less when acquired, to be cash equivalents classified as Level II within the fair value hierarchy discussed in Note 3. As of June 30, 2016, the Partnership holds cash equivalents. Cash was held at a nationally recognized financial institution.

In the opinion of management, these interim financial statements contain all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the financial position of the Partnership as of June 30, 2016 and December 31, 2015 and the results of its operations for the three and six month periods ended June 30, 2016 and 2015. 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 (“U.S. GAAP”) have been omitted. These financial statements should be read in conjunction with the financial statements and notes thereto included in the Partnership’s report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2015.

Estimates

The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that may affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements as well as the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and such differences could be material.

2. CONDENSED SCHEDULES OF INVESTMENTS

The Partnership’s investments, defined as unrealized profit (loss) on open contracts on the Statements of Financial Condition, as of June 30, 2016 and December 31, 2015, are as follows:

June 30, 2016

	Long Positions					Short Positions							Net Unrealized
Commodity Industry	Number of	Unrealized		Percent of		Number of		Unrealized			Percent of		Profit (Loss)		Percent of
Sector	Contracts / Notional*	Profit (Loss)		Partners’ Capital		Contracts / Notional*		Profit (Loss)			Partners’ Capital		on Open Positions		Partners’ Capital		Maturity Dates

Agriculture	28	$	31,810	0.14	%	(23	)	$	10,749		0.05	%	$	42,559	0.19	%	August 2016 - December 2016
Currencies - Futures	18	2,419		0.01	%	(22	)	19,616			0.09	%	22,035		0.10	%	September 2016
Currencies - Forwards*	618,888	2,471		0.01	%	—		—			0.00	%	2,471		0.01	%	September 2016
Energy	17	22,790		0.10	%	—		—			0.00	%	22,790		0.10	%	July 2016 - August 2016
Interest rates	210	170,923		0.76	%	(20	)	(2,892		)	-0.01	%	168,031		0.75	%	September 2016 - December 2016
Metals	39	75,451		0.33	%	(21	)	(55,854		)	-0.25	%	19,597		0.08	%	July 2016 - September 2016
Stock indices	60	40,436		0.18	%	(36	)	(38,854		)	-0.17	%	1,582		0.01	%	July 2016 - September 2016

Total		$	346,300	1.53	%			$	(67,235	)	-0.29	%	$	279,065	1.24	%

December 31, 2015

	Long Positions					Short Positions							Net Unrealized
Commodity Industry	Number of	Unrealized		Percent of		Number of		Unrealized			Percent of		Profit (Loss)			Percent of
Sector	Contracts / Notional*	Profit (Loss)		Partners’ Capital		Contracts / Notional*		Profit (Loss)			Partners’ Capital		on Open Positions			Partners’ Capital		Maturity Dates

Agriculture	—	$	—	0.00	%	(78	)	$	(8,544	)	-0.03	%	$	(8,544	)	-0.03	%	February 2016 - May 2016
Currencies - Futures	—	—		0.00	%	(1	)	1,215			0.00	%	1,215			0.00	%	March 2016
Currencies - Forwards*	38,743	1,123		0.00	%	(1,966,349	)	20,475			0.08	%	21,598			0.08	%	March 2016
Interest rates	—	—		0.00	%	(14	)	1,904			0.01	%	1,904			0.01	%	June 2016
Energy	—	—		0.00	%	(68	)	(27,109		)	-0.11	%	(27,109		)	-0.11	%	January 2016 - February 2016
Metals	27	15,316		0.06	%	(74	)	(30,727		)	-0.13	%	(15,411		)	-0.07	%	February 2016 - March 2016
Stock indices	70	77,380		0.32	%	(28	)	(5,753		)	-0.02	%	71,627			0.30	%	January 2016 - March 2016

Total		$	93,819	0.38	%			$	(48,539	)	-0.20	%	$	45,280		0.18	%

*Currencies-Forwards present notional amounts as converted to USD.

No individual contract’s unrealized profit or loss comprised greater than 5% of Partners’ Capital as of June 30, 2016 and December 31, 2015. With respect to each commodity industry sector listed in the above chart, the net unrealized profit (loss) on open positions is the sum of the unrealized profits (losses) of long positions and short positions netting unrealized losses against unrealized profits as applicable. Net unrealized profit and loss provides a rough measure of the exposure of the Partnership to the various sectors as of the date listed, although such exposure can change at any time.

3. FAIR VALUE OF INVESTMENTS

Fair value of an investment is the amount that would be received to sell the investment in an orderly transaction between market participants at the measurement date (i.e. the exit price). All investments (including derivative financial instruments and derivative commodity instruments) are held for trading purposes. The investments are recorded on trade date and open contracts are recorded at fair value (described below) at the measurement date. Investments denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Profits or losses are realized when contracts are liquidated. Unrealized profits or losses on open contracts are included in Equity in commodity trading accounts on the Statements of Financial Condition. Any change in net unrealized profit or loss from the preceding period/year is reported in the respective Statements of Operations.

The fair value measurement guidance established by U.S. GAAP is a hierarchical disclosure framework which prioritizes and ranks the level of market price observability used in measuring investments at fair value. Market price observability is impacted by a number of factors, including the type of investment and the characteristics specific to the investment. Investments with readily available active quoted prices or for which fair value can be measured from actively quoted prices generally will have a higher degree of market price observability and a lesser degree of judgment used in measuring fair value.

Investments measured and reported at fair value are classified and disclosed in one of the following categories:

Level I — Quoted prices are available in active markets for identical investments as of the reporting date. The type of investments included in Level I are publicly traded investments. As required by the fair market value measurement guidance in U.S. GAAP, the Partnership does not adjust the quoted price for these investments even in situations where the Partnership holds a large position and a sale could reasonably impact the quoted price.

Level II — Pricing inputs are other than quoted prices in active markets, which are either directly or indirectly observable as of the reporting date, and fair value is determined through the use of generally accepted and understood models or other valuation methodologies. Investments which are generally included in this category are investments valued using market data.

Level III — Pricing inputs are unobservable and include situations where there is little, if any, market activity for the investment. Fair value for these investments is determined using valuation methodologies that consider a range of factors, including but not limited to the nature of the investment, local market conditions, trading values on public exchanges for comparable securities, current and projected operating performance and financing transactions subsequent to the acquisition of the investment. The inputs into the determination of fair value require significant management judgment. Due to the inherent uncertainty of these estimates, these values may differ materially from the values that would have been used had a ready market for these investments existed.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. MLAI’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment.

The following is a description of the valuation methodologies used for investments, as well as the general classification of such investments pursuant to the valuation hierarchy.

Exchange traded investments are fair valued by the Partnership by using the reported closing price on the primary exchange where such investments are traded. These closing prices are observed through the clearing broker and third party pricing services. For non-exchange traded investments, quoted values and other data provided by nationally recognized independent pricing sources are used as inputs into the process for determining fair values.

The Partnership has determined that Level I investments would include its futures and options contracts where it believes that quoted prices are available in an active market.

Where the Partnership believes that quoted market prices are not available or that the market is not active, fair values are estimated by using observable prices of investments with similar characteristics and these are generally classified as Level II investments. The Partnership determined that Level II investments would include its forwards and certain futures contracts.

Transfers of investments between different levels of the fair value hierarchy, if any, are recorded as of the beginning of the reporting period. There were no transfers to or from any level during the three or six month periods ended June 30, 2016 or the year ended December 31, 2015.

The Partnership’s unrealized profit (loss) on open forwards and futures contracts, by the above fair value hierarchy levels, as of June 30, 2016 and December 31, 2015, are as follows:

Net unrealized profit (loss)
on open contracts	Total		Level I		Level II			Level III

Assets
Futures	$	397,359	$	365,778	$	31,581		$	—
Forwards	2,471		—		2,471			—
	$	399,830	$	365,778	$	34,052		$	—

Liabilities
Futures	$	120,765	$	66,474	$	54,291		$	—
Forwards	—		—		—			—
	$	120,765	$	66,474	$	54,291		$	—

June 30, 2016	$	279,065	$	299,304	$	(20,239	)	$	—

Net unrealized profit (loss)
on open contracts	Total		Level I		Level II			Level III

Assets
Futures	$	214,306	$	165,328	$	48,978		$	—
Forwards	23,963		—		23,963			—
	$	238,269	$	165,328	$	72,941		$	—

Liabilities
Futures	$	190,624	$	115,180	$	75,444		$	—
Forwards	2,365		—		2,365			—
	$	192,989	$	115,180	$	77,809		$	—

December 31, 2015	$	45,280	$	50,148	$	(4,868	)	$	—

The Partnership’s volume of trading forwards and futures as of the six month period ended June 30, 2016 and year ended December 31, 2015 are representative of the activity throughout these periods.

The Partnership engages in the speculative trading of futures, options on futures and forward contracts on a wide range of commodities. Such contracts meet the definition of a derivative as noted in the ASC guidance for accounting for derivative and hedging activities. The fair value amounts of, and the net profits and losses on, derivative instruments are disclosed in the Statements of Financial Condition and Statements of Operations, respectively. There are no credit related contingent features embedded in these derivative contracts. The total notional, number of contracts and fair values of derivative instruments by contract type/commodity sector are disclosed in Note 2.

The Partnership maintains margin deposits and cash collateral with its futures and forwards brokers, respectively, based on the greater of exchange margin or amounts determined by the respective broker. At June 30, 2016 and December 31, 2015, the initial margin deposits (cash) are used to satisfy the margin requirements to establish the futures or forward contracts and are presented on the Statements of Financial Condition in Cash in the Equity in commodity trading accounts. The variation margin on open contracts is presented gross on the Statements of Financial Condition in Unrealized profit or loss on futures or forwards contracts, respectively. The Partnership is subject to agreements which support the ability to settle net with its counterparties; however, the Partnership has elected to present the related balances on the Statements of Financial Condition on a gross basis. The net of these amounts plus the restricted cash presented within the Cash in the Equity in commodity trading accounts on the Statements of Financial Condition represents the Partnership’s net exposure.

The following table indicates the trading profits and losses before brokerage commissions, by commodity industry sector for each of the three and six month periods ended June 30, 2016 and 2015:

	For the three months ended			For the six months ended
	June 30, 2016			June 30, 2016
Commodity Industry Sector	Profit (loss) from trading, net			Profit (loss) from trading, net

Agriculture	$	61,780		$	2,214
Currencies	(830,555		)	(572,182		)
Energy	(98,611		)	(51,922		)
Interest rates	15,737			524,192
Metals	(213,118		)	(76,287		)
Stock indices	121,402			554,146

Total, net	$	(943,365	)	$	380,161

	For the three months ended			For the six months ended
	June 30, 2015			June 30, 2015
Commodity Industry Sector	Profit (loss) from trading, net			Profit (loss) from trading, net

Agriculture	$	(163,019	)	$	(214,030	)
Currencies	(617,946		)	(443,924		)
Energy	(334,251		)	(182,908		)
Interest rates	211,128			979,957
Metals	170			(44,531		)
Stock indices	104,874			1,125,390

Total, net	$	(799,044	)	$	1,219,954

The Partnership is subject to the risk of insolvency of a counterparty, an exchange, a clearinghouse, MLPF&S or other BofA Corp. entities. Partnership assets could be lost or impounded during lengthy bankruptcy proceedings. Were a substantial portion of the Partnership’s capital tied up in a bankruptcy or other similar types of proceedings, MLAI might suspend or limit trading, perhaps causing the Partnership to miss significant profit opportunities. There are increased risks in dealing with unregulated trading counterparties including the risk that assets may not benefit from the protection afforded to “customer funds” deposited with regulated dealers and brokers.

4. MARKET AND CREDIT RISKS

The nature of this Partnership has certain risks, which cannot all be presented in the financial statements. The following summarizes some of those risks.

Market Risk

Derivative instruments involve varying degrees of 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 unrealized profit (loss) on open contracts 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. Investments in foreign markets may also entail legal and political risks.

MLAI has procedures in place intended to control market risk exposure, although there can be no assurance that it will, in fact, succeed in doing so. These procedures focus primarily on monitoring the trading of 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 intervene in the markets to hedge or diversify the Partnership’s market exposure, MLAI may urge the Trading Advisor to reallocate positions in an attempt to avoid over-concentrations. However, such interventions are expected to be unusual. It is expected that MLAI’s basic risk control procedures will consist of the process of Trading Advisor monitoring, with the market risk controls being applied by the Trading Advisor.

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/clearinghouse is pledged to support the financial integrity of the exchange/clearinghouse. 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 traded contracts and in the over the counter markets counterparties may also require margin. The credit risk associated with these instruments from counterparty nonperformance is the unrealized profit (loss) on open contracts, if any, included in the Statements of Financial Condition.

MLAI, as sponsor of the Partnership, has a general policy of maintaining clearing and prime brokerage arrangements with BofA Corp. affiliates, such as MLPF&S and MLI, although MLAI may engage non-BofA Corp. affiliated service providers as clearing brokers or prime brokers for the Partnership. This policy may increase risk to the Partnership by preventing the diversification of brokers used by the Partnership.

The Partnership, in its normal course of business, enters into various contracts, with MLPF&S acting as its futures clearing broker and MLI as its forwards prime broker. Due to the relationship with MLPF&S, in the event of default, all futures balances are eligible for offset with a net settlement due to MLPF&S. Due to the relationship with MLI, in the event of default, all forwards balances are eligible for offset with a net settlement due to MLI.

Indemnifications

In the normal course of business, the Partnership has entered, or may in the future, enter into agreements that obligate the Partnership to indemnify certain parties, including BofA Corp. affiliates. No claims have actually been made with respect to such indemnities and any quantification would involve hypothetical claims that have not been made. Based on the Partnership’s experience, MLAI expects the risk of loss to be remote and, therefore, no provision has been recorded.

5. RELATED PARTY TRANSACTIONS

MLAI owns a General Partner interest which represents less than 1% of the Partnership’s Net Asset Value as of June 30, 2016.

MLAI, the Partnership and certain other FuturesAccessSM Program Funds, MLAI’s HedgeAccess® Program of hedge funds and other BofA Corp. funds (each a “Serviced Fund” and collectively, the “Serviced Funds”) have entered into a transfer agency and investor services agreement with Financial Data Services, Inc. (the “Transfer Agent”), a wholly owned subsidiary of BofA Corp. and affiliate of MLAI. The Transfer

Agent provides registrar, distribution disbursing agent, transfer agent and certain other services related to the issuance, redemption, exchange and transfer of Units. The fees charged by the Transfer Agent for its services were 0.02% per year of the aggregate net assets of the Serviced Funds. The fee is paid monthly in arrears. The Transfer Agent also receives reimbursement for its out-of-pocket expenses and certain extraordinary expenses. MLAI allocates the Transfer Agent fees to each of the Serviced Funds, including the Partnership, on a monthly basis based on each Serviced Fund’s net assets. The Transfer Agent fee allocated to the Partnership for the three and six month periods ended June 30, 2016 and 2015 is paid on behalf of the Partnership by MLAI. These fees are included in the wrap fees discussed further below.

The Partnership’s brokerage commissions and administrative fees are included in the wrap fee which covers all of BofA Corp.’s costs and expenses, other than bid-ask spreads, certain trading fees and extraordinary expenses.

Effective January 1, 2016, the Partnership began paying a direct commission fee at the time of entering into the trades. As these fees would otherwise be covered by the Partnership’s wrap fee, the Sponsor has elected to reimburse the Partnership for those fees on a monthly basis. For the three month period and for the six month period ended June 30, 2016 $46,718 and $85,897, respectively, of these fees have been recorded as a reimbursement from the Sponsor. The balance of $20,303 presented as Due from Sponsor on the Statement of Financial Condition as of June 30, 2016 represents the reimbursement amount still owed to the Partnership as of June 30, 2016.

Wrap fees and interest, net, as presented on the Statements of Operations, are all received from or paid to related parties. Equity in commodity trading accounts, including cash and Unrealized profit (loss), as presented on the Statements of Financial Condition are held with a related party.

6. SUBSEQUENT EVENTS

The General Partner has evaluated the impact of subsequent events on the Partnership through the date the financial statements were issued and has determined that there were no subsequent events that require adjustments to, or disclosure in, the financial statements.

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

PERIOD-END NET ASSET VALUE PER UNIT

The Partnership calculates the Net Asset Value per Unit as of the close of business on the last business day of each calendar month and such other dates as MLAI may determine in its discretion (each, a “Calculation Date”). The Partnership’s Net Asset Value will generally equal the value of the Partnership’s account under the management of its Trading Advisor as of such date, plus any other assets held by the Partnership, minus accrued wrap fee, profit share and other liabilities of the Partnership. MLAI is authorized to make all Net Asset Value determinations.

MLAI believes that the Net Asset Value used to calculate subscription and redemption value and to report performance to investors is a useful performance measure for the investors of the Partnership. Therefore, the charts below are referencing Net Asset Value at each Calculation Date.

	PERIOD-END NET ASSET VALUE PER INITIAL UNIT
	Jan.		Feb.		Mar.		Apr.		May		Jun.
2015	$	260.1297	$	262.9219	$	262.8601	$	255.4829	$	255.2755	$	252.7902
2016	$	227.1967	$	230.2900	$	234.1081	$	229.6172	$	225.0136	$	221.9419

Liquidity and Capital Resources

The Partnership borrows only to a limited extent and only on a strictly short-term basis in order to finance losses on non-U.S. dollar denominated trading positions pending the conversion of the Partnership’s U.S. dollar deposits. These borrowings are at a prevailing short-term rate in the relevant currency.

Substantially all of the Partnership’s assets are held in cash with the brokers. Changes in interest rates could cause periods of strong up or down price trends, during which the Partnership’s profit or loss potential might increase. Inflation in commodity prices could also generate price movements, which the strategies might successfully follow.

The Partnership should be able to close out its open trading positions and liquidate its holdings relatively quickly and at market prices, except in unusual circumstances. This typically permits the Partnership to limit losses as well as reduce market exposure on short notice should its strategies indicate doing so.

As a commodity pool, the Partnership maintains an extremely large percentage of its assets in cash, which it must have available to post initial and variation margin on futures contracts. This cash is also used to fund redemptions. While the Partnership has the ability to fund redemption proceeds from liquidating positions, as a practical matter positions are not liquidated to fund redemptions. In the event that positions were liquidated to fund redemptions, MLAI, as the General Partner of the Partnership, has the ability to override decisions of the Trading Advisor to fund redemptions if necessary, but in practice the Trading Advisor would determine in its discretion which investments should be liquidated.

For the six months ended June 30, 2016, Partnership capital decreased 7.54% from $24,423,296 to $22,581,796. This decrease was attributable to the net loss from operations of $290,861 coupled with the redemption of 6,817 redeemable Units resulting in an outflow of $1,550,639. Future redemptions could impact the amount of funds available for investment in commodity contract positions in subsequent months.

Critical Accounting Policies

Statement of Cash Flows

The Partnership is not required to provide a Statement of Cash Flows.

Investments

All investments (including derivatives) are held for trading purposes. Investments are recorded on trade date and open contracts are recorded at fair value (as described below) at the measurement date. Investments denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Profits or losses are realized when contracts are liquidated. Unrealized profits or losses on open contracts are included as a component of equity in commodity trading accounts on the Statements of Financial Condition. Realized profits or losses and any change in net unrealized profits or losses from the preceding period are reported in the Statements of Operations.

Fair Value Measurements

Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. For more information on the Partnership’s treatment of fair value see Financial Statements Note 3, Fair Value of Investments.

Futures Contracts

The Partnership trades exchange listed futures contracts. A listed futures contract is a firm commitment to buy or sell a standardized quantity of an underlying asset over a specified duration. The Partnership buys and sells contracts based on indices of financial assets such as stocks, domestic and global stock indices, as well as contracts on various physical commodities. Prices paid or received on these contracts are determined by the ask or bid provided by the exchanges on which they are traded. Contracts may be settled in physical form or cash settled depending upon the contract. Upon the execution of a trade, margin requirements determine the amount of cash that must be on deposit to secure the transaction. These amounts are considered restricted cash on the Partnership’s Statements of Financial Condition. Contracts are priced daily by the Partnership and the profit or loss is based on the daily mark to market and is recorded as unrealized profit (loss). When the contract is closed, the Partnership records a realized profit or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Because transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker or directly with the exchange on which the contracts are traded, credit exposure is limited. Realized profit (loss), net and change in unrealized profit (loss), net on futures contracts are recognized in the period in which the contract is closed or the changes occur, respectively and are included in the Statements of Operations. The Partnership also trades futures contracts on the London Metals Exchange (LME). The valuation pricing for LME contracts is based on action of a committee that incorporates prices from the most liquid trading sessions of the day and can also rely on other inputs such as supply and demand factors and bids and asks from open outcry sessions.

Forward Foreign Currency Contracts

Foreign currency contracts are those contracts where the Partnership agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. Foreign currency contracts are valued daily, and the Partnership’s net equity therein, representing unrealized profit or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Statements of Financial Condition. Realized profit (loss), net and change in unrealized profit (loss), net on foreign currency contracts are recognized in the period in which the contract is closed or the changes occur, respectively and are included in the Statements of Operations.

Interest Rates and Income

BofA Corp.’s “Interest Earning Program”, which offers interest on cash balances subject to a negotiated schedule, will generally apply to Partnership cash assets during any time they are maintained by the Sponsor with its affiliates. The present interest rate under the Interest Earning Program on U.S. dollar cash balances is the daily effective federal funds rate less 20 basis points, recalculated and accrued daily, and subject to a floor of 0%, except for currencies designated by MLPF&S as “negative interest rate currencies”. MLPF&S deposits certain of the Partnership’s assets as margin or collateral with clearinghouses and/or depositories. As a result of the present low interest rate environment, clearinghouses and depositories charge MLPF&S fees to account for the negative interest rates on cash balances for certain currencies, which may change from time to time. Accordingly, MLPF&S will charge the Fund a “negative interest rate fee” for any currencies designated by MLPF&S as a “negative interest rate currency”.

Income Taxes

No provision for income taxes has been made in the accompanying financial statements as each limited partner is individually responsible for reporting income or loss based on such partner’s share of the Partnership’s income and expenses as reported for income tax purposes.

The Partnership follows the ASC guidance on accounting for uncertain tax positions. This guidance provides how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. This guidance also requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Partnership’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions with respect to tax at the Partnership level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. A prospective investor should be aware that, among other things, income taxes could have a material adverse effect on the periodic calculations of the Net Asset Value of the Partnership, including reducing the Net Asset Value of the Partnership to reflect reserves for income taxes, such as foreign withholding taxes, that may be payable by the Partnership. This could cause benefits or detriments to certain investors, depending upon the timing of their entry and exit from the Partnership. MLAI has analyzed the Partnership’s tax positions and has concluded that no provision for income tax is required in the Partnership’s financial statements. The following is the major tax jurisdiction for the Partnership and the earliest tax year subject to examination: United States — 2012.

Reform Act

The Dodd-Frank Wall Street Reform and Consumer Protection Act amended the definition of “eligible contract participant” and the Partnership expects to meet the amended definition as it applies to trading in “retail forex” transactions so long as its total assets exceed $10 million. If the Partnership does not meet the definition of “eligible contract participant” for purposes of trading in “retail forex” transactions, it could lead to the Partnership being unable to trade such transactions in the interbank market and bearing higher upfront and mark-to-market margin, less favorable trade pricing, and the possible imposition of new or increased fees. “Retail forex” markets available to parties that do not meet the definition of “eligible contract participant” could also be significantly less liquid than the interbank market. Moreover, the creditworthiness of the counterparties with whom the Partnership may be required to trade in such circumstances could be significantly weaker than the creditworthiness of MLI and the currency forward counterparties with which the Partnership would otherwise engage for its currency forward transactions.

Results of Operations

January 1, 2016 to June 30, 2016

January 1, 2016 to March 31, 2016

The Partnership experienced a net trading profit of $1,323,526 before brokerage commissions and related fees in the first quarter of 2016. The Partnership’s profits were primarily attributable to the interest rates, stock indices, currency, metals and energy sectors. The agriculture sector posted losses.

The interest rate sector posted profits to the Partnership. Profits were posted to the Partnership at the beginning of the first quarter as global bond markets spiked sharply as investors rushed to shelter when equity and commodity markets melted down. As opportunities arose in the bond sector, the Trading Program rolled into long positions across the globe and captured solid returns. Specifically beneficial were long positions across the U.S. yield curve and in the German bund, with profits long Japanese government bonds and German bobl. Profits were posted to the Partnership in the middle of the quarter as global bonds

offered a variety of divergent opportunities. In the first half of February, long positions were effective as investors fled to safety and drove global bond values upward. As markets calmed, bond prices trailed off and a variety of shorting opportunities emerged upon which the Trading Program capitalized on. The best markets for the Trading Program were German bunds, bobl and longer term U.S. bonds. Profits were posted to the Partnership at the end of the quarter. Global bond markets offered the Trading Program some solid opportunities, most notably, in the Italian 10 year market which had a general upward trend throughout March and some very choppy price action along the way down. The Trading Program found additional profits in other European markets including the long gilt, French 10 year, and German bund and these gains were sufficient to offset small losses in short and medium term U.S. Treasuries and the Bobl.

The stock indices sector posted profits the Partnership. Losses were posted to the Partnership at the beginning of the first quarter. January was tumultuous to portfolios. In the U.S., major equity indices were down and outside the U.S. outcomes were even worse with many emerging equity markets down. Profits were posted to the Partnership in the middle of the quarter as global equity offered opportunities on both the long and short positions, depending on the timing and duration of investments made by the Trading Program. In early February, longer term long positions were battered but some of the shorter term positions found opportunities when prices continued their collapse. Later in February, the opportunities reversed. Come month end, the Trading Program’s most profitable investments were in Hong Kong’s Hang Seng, China’s H-shares, Japan’s Topix, and India’s Nifty. Profits were posted to the Partnership at the end of the quarter due to the Trading Program’s long positions the S&P, Russell and NASDAQ.

The currency sector posted profits to the Partnership. Profits were posted to the Partnership at the beginning of the quarter where the Trading Program’s investment approach took short positions in multiple foreign markets (long the U.S. dollar) which trended downward as the month’s chaos unfolded. The Trading Program found profits in the short positions in the British pound, Canadian dollar, Euro, Polish zloty, and Singapore dollar while only losing money in two markets, short positions in the Australian dollar and long Japanese yen. Profits were posted to the Partnership in the middle of the quarter as the Japanese yen offered a shorting opportunity early in the month before stabilizing. In addition, the Trading Program found profits in the Swiss franc which dropped sharply to start the month, however it later rallied and stabilized as February progressed. Profits were posted to the Partnership at the end of the quarter. The Trading Program’s best returns were found trading the ebbs and flows of the Australian dollar and Euro which while both moving upward during March, also vacillated enough over the course of the month to agree with some of the Trading Program’s shorter term investment approaches.

The metals sector posted profits to the Partnership. Profits were posted to the Partnership at the beginning of the quarter from industrial metals such as copper and nickel. Losses were posted to the Partnership in the middle of the quarter. The big winner in February was gold where the Trading Program’s long positions profited with the month’s early price spike and subsequent stabilization. Zinc, copper, silver and aluminum were losses with the Trading Program and collective losses in those markets offset gains in gold. Profits were posted to the Partnership at the end of quarter. In the global metals sector, gold, copper and silver each presented shorter term opportunities upon which the Trading Program’s systems were able to capitalize.

The energy sector posted profits to the Partnership. Profits were posted to the Partnership at the beginning of the quarter as the downward price aligned well with the Trading Program’s range of short positions. By month end, the Trading Program booked solid profits shorting RBOB gasoline, crude oil, natural gas, heating oil, and gasoil, however there was a flat outcome in brent crude. Losses were posted to the Partnership in the middle of the quarter. The gains which were earned investing in brent crude’s and natural gas’ slight price recoveries were offset by losses in RBOB gasoline, gasoil and heating oil. Losses were posted to the Partnership at the end of the quarter. The Trading Program profited on upticks in the

brent crude and gasoil markets but less successfully navigated RBOB Gasoline, Heating Oil, Crude Oil and Natural Gas which rose fairly steadily off of a late February floor.

The agriculture sector posted losses to the Partnership. Losses were posted to the Partnership at the beginning of the first quarter. Corn, soybeans and soymeal moved upward against the Trading Program’s positions to offset profits earned in cattle and coffee. Profits were posted to the Partnership in the middle of the quarter. The Trading Program’s short positions in sagging prices led to gains across nearly every market in which the Trading Program invested. Best for January was corn and additional profits were found in soybeans, cotton, soymeal, wheat, coffee and rubber. Only cattle bucked the downward commodity trend enough to generate a loss for the Trading Program in February. Losses were posted to the Partnership at the end of the quarter. Other than a small profit in corn, losses for the Trading Program were uniformly spread across cotton, the soy complex, rubber, wheat, cattle, sugar and coffee, none of which cooperated with our investment approach.

April 1, 2016 to June 30, 2016

The Partnership experienced a net trading loss of $943,365 before brokerage commissions and related fees in the second quarter of 2016. The Partnership’s profits were primarily attributable to the stock indices, agriculture and interest rates sectors. The energy, metals and currency sectors posted losses.

The stock indices sector posted profits to the Partnership. Profits were posted to the Partnership at the beginning of the second quarter. Global equities offered a little bit of everything over the course of the month before finishing April up slightly overall in the U.S., and up more strongly on a global basis. The Trading Program found decent profits in Germany, Hong Kong, Taiwan, and the Russell 2000. Profits were posted to the Partnership in the middle of the second quarter. The Trading Program benefitted from the global equities’ solid returns for May. Despite myriad potentially bearish forces — concerns over future U.S. Federal Reserve activities, U.S. elections, increasing tensions between the U.S. and China, and others — American stock strength persisted in May and brought along many global markets with it. With the fundamentals behind many U.S. companies remaining strong, U.S. markets traded higher. Globally speaking, the Trading Program capitalized on solid upticks in the German DAX and Hong Kong’s Hang Seng and in the United States found profitable long opportunities in the NASDAQ and Russell 2000. Losses were posted to the Partnership at the end of the quarter. Notwithstanding the historic levels of volatility post-Brexit, the Trading Program profited in June in global equities but not enough to overcome losses in the Nikkei, Topix, and S&P.

The agriculture sector posted profits to the Partnership. Losses were posted to the Partnership at the beginning of the second quarter. Although generally down over the preceding 12 months overall, global agriculture markets rallied quite sharply in April as exemplified by the S&P GSCI Agriculture Index which was up for the month. This rally caught most of Trading Program’s systematic models in the wrong direction and led to losses short wheat, the soy complex, cotton and corn, as well as long sugar. Profits were posted to the Partnership in the middle of the second quarter where the Trading Program’s long positions in soybeans, soymeal and sugar jibed nicely with upward moves in each of those markets and generated profits. Some of these profits were given back by losing positions long rubber and short live cattle, two markets which reversed their trends in June triggering the Trading Program to exit. Profits were posted to the Partnership at the end of the quarter due to the Trading Programs long positions in sugar and soybeans.

The interest rate sector posted profits to the Partnership. Losses were posted losses to the Partnership at the beginning of the second quarter. In the global bond sector, the Trading Program was down slightly as the general shift upward in global bond prices was not particularly collaborative with The Trading Program’s systematic investment approach. Least cooperative was the Italian 10 year which grinded upward like most bond markets but with a couple of sharp reversals along the way. Losses in the Italian 10 year offset gains by the Trading Program in Japanese, French and Canadian bond markets and essentially flat results in other global bond markets. Profits were posted to the Partnership in the middle of the second quarter. Bond prices crept up slightly in May only to creep back down, and then back up again as the month moved forward, leaving prices at the end of the month almost exactly where they were at the beginning of the month. Profits were posted to the Partnership at the end of the quarter. The story in global bonds tracks the Trading Program’s results in that a slightly positive result was achieved in the sector overall notwithstanding massive waves of both upward and downward price action in relation to Brexit. The Trading Program captured well the sharp uptick in U.S. 10 and 30 year Treasuries as well as German bunds and Bobls.

The energy sector posted losses to the Partnership. Losses were posted to the Partnership at the beginning of the second quarter. There was a sharp rally in April. This rally contrasts with a twelve month trend that has brought the global energy sector down. Despite a fairly defensive stance, the Trading Program sustained losses in the face of this sector reversal in all but one of the markets in which the Trading Program invested, RBOB Gasoline which achieved a flat outcome for April. Losses were posted to the Partnership in the middle of the second quarter. Despite the generally strong uptrend for the sector during May, heating oil and crude vacillated just enough so as to not play well with the Trading Program’s investment models. At the same time, small gains earned by the Trading Program in RBOB gasoline and gasoil were insufficient to offset heating oil and crude losses. Profits were posted to the Partnership at the end of the quarter due to the Trading Programs long positions in natural gas.

The metals sector posted losses to the Partnership. Losses were posted to the Partnership at the beginning of the second quarter. The Trading Program profited from small profits in tin, aluminum, platinum and solid profits in gold. However, theses profits were not enough to offset losses in copper, silver and nickel. All markets did not move quite as cooperatively with the Trading Program’s investment systems. Losses were posted to the Partnership in the middle of the second quarter as gold and silver moved downward sharply in May reversing the upward pattern that had been established earlier in the year. Long positions in aluminum, nickel and tin followed precious metals in reversing their upward trends. Losses were posted to the Partnership at the end of the quarter due to losses in gold.

The currency sector posted losses to the Partnership. Losses were posted to the Partnership at the beginning of the second quarter as the British pound market pushed upward against the Trading Program’s longer term short positions and led to a monthly loss. Losses were posted to the Partnership in the middle of the second quarter. The downward movements versus the U.S. dollar challenged the Trading Program across the board. Most challenging were the euro, Swiss franc, Japanese yen and Canadian dollar, all of which ended May lower than where they started the month but all of which took relatively volatile paths toward their respective month-end outcomes. Small losses in the Australian dollar were offset by small gains in the British pound. U.S. Federal Reserve policy and the possibility of a rate hike in June caused currency markets to be volatile during May creating challenges for our suite of investment models regardless of time horizon or technique. Losses were posted to the Partnership at the end of the quarter. The hardest currency market for the Trading Program in June was the British pound, a market that bounced around indecisively prior to the Brexit vote and then rapidly dropped against the U.S. dollar after the Brexit vote was announced.

January 1, 2015 to June 30, 2015

January 1, 2015 to March 31, 2015

The Partnership experienced a net trading profit of $2,018,998 before brokerage commissions and related fees in the first quarter of 2015. The Partnership’s profits were primarily attributable to the stock indices, interest rate, currency and energy sectors. The metals and agriculture sectors posted losses.

The stock indices sector posted profits to the Partnership. Losses were posted to the Partnership at the beginning of the first quarter due to the long positions in many facets of sagging U.S. equity markets. Profits were posted to the Partnership in the middle of the quarter. The Trading Program was successful in the equities sector for February. Global markets rallied on solid economic and earnings data, constructive input from the U.S. Federal Reserve, and other inputs finding their way upward after a rough January correction from Australian SPI 200, NASDAQ, S&P 500, Dow Jones, Swedish OMX, German DAX and EU Euro Stoxx. Losses were posted to the Partnership at the end of the quarter as the Trading Program suffered losses in the S&P 500, NASDAQ and the Dow.

The interest rate sector posted profits to the Partnership. Profits were posted to the Partnership at the beginning of the first quarter. Global bonds led the way for the Trading Program in January as investors reached for safety in the face of equity market retracement and ongoing downward price pressure on commodities. With bond prices rising around the world, most of the Trading Program’s long positions were profitable in January with the best returns emerging in U.S. 30, 10 and 5 year treasuries, Japanese government bonds, and European bobl. Additional profits were added in Australian and Canadian bond markets, and only the Trading Program’s positions in the British Short Sterling and the U.S. 2 year treasury markets failed to make profits for the Partnership in January. Losses were posted to the Partnership in the middle of the quarter. Global bond markets were challenging for February and the Trading Program was largely unprofitable across the board in the various markets in which the Partnership invests. Particularly challenging were the British Long Gilt and U.S. 30, 10 and 5 year treasuries, each of which whipped around and ultimately trended downward against the Trading Program’s long positions during February as investor fears eased after a panicky January. Losses were posted to the Partnership at the end of the quarter. Global bonds were perhaps the trickiest sector during March with prices vacillating in connection with commentary and speculation on the potential timing and magnitude of anticipated U.S. rate hikes resulting in losses incurred long the German bund and U.S. 30 year treasury.

The currency sector posted profits to the Partnership. Profits were posted to the Partnership at the beginning of the first quarter. A sharp loss short the Swiss franc on the Swiss government’s mid-month bolstering effort was offset by gains short the Euro, Australian dollar, New Zealand dollar, Danish krone, and Singapore dollar, among other currencies. Losses were posted to the Partnership in the middle of the quarter as the Trading Program incurred another monthly loss in Swiss francs as the Swiss National Bank continued a series of measures at intervention. Profits were posted to the Partnership at the end of the quarter. In this sector, the U.S. dollar continued to surge versus most currencies and the outcome for the Partnership was profitable investing short the Euro, British pound, South African rand, and various other global denominations.

The energy sector posted profits to the Partnership. Profits were posted to the Partnership at the beginning of the first quarter. The Partnership’s short positions across the sector were profitable with natural gas and gasoil leading the way. Only RBOB gasoline failed to yield profit in January as, overall, energy continued to be a source of opportunity for the Trading Program. Losses were posted to the Partnership in the middle of the quarter. February saw a waning of the downward price move as markets across the energy sector rallied and appeared to set a potential bottom after months of gloom. The Trading Program was hit hardest on its positions short Brent crude, gasoil, heating oil and RBOB gasoline and also suffered a slight loss for

February in WTI crude. Profits were posted to the Partnership at the end of the quarter. The Trading Program found its best opportunities in the energy sector. Despite a lot of intra-month price vacillation, prices ultimately moved downward in March and as a result the Partnership was able to capitalize on short positions in various components of its diversified investment models. Brent crude, heating oil, and RBOB gasoline offered the best outcomes and ultimately, only the Partnership’s short position in crude oil lost money for March.

The metals sector posted losses to the Partnership. Profits were posted to the Partnership at the beginning of the first quarter. Driving January’s success were sharp downward moves in the copper and aluminum markets as industrial metals got caught in the downdraft of energy and equity prices. The Trading Program’s short positions were not as successful in nickel and whippy gold and silver markets continued to test investment approach but, overall, profits in the sector outweighed losses to lead to a successful January in metals for the Partnership. Losses were posted to the Partnership in the middle of the quarter. The Trading Program suffered losses shorting copper in the face of a solid rally in that market and also misplayed gold with an unsuccessful long trade and platinum with an unsuccessful short trade. Losses were posted to the Partnership at the end of the quarter. The global metals sector was unprofitable for the Trading Program, particularly gold and silver markets that did not settle into any defined pattern. The industrial metals provided little sanctuary as only a short position in nickel yielded a profit for the Trading Program in March versus losing positions in copper, zinc and aluminum.

The agriculture sector posted losses to the Partnership. Losses were posted to the Partnership at the beginning of the first quarter where wheat backtracked sharply against the Partnership’s long position and caused a loss that outweighed small gains earned for Partnership in long corn and short rubber and cotton positions. Profits were posted to the Partnership in the middle of the quarter due to the Partnership’s short positions in coffee and wheat, which aligned nicely with falling prices in those markets. Profits were posted to the Partnership at the end of the quarter. Leading the way were short positions that captured a sharp drop in sugar prices and a less significant, but still profitable drop in coffee prices during March.

April 1, 2015 to June 30, 2015

The Partnership experienced a net trading loss of $799,044 before brokerage commissions and related fees in the second quarter of 2015. The Partnership’s profits were primarily attributable to the stock indices, interest rates and metals sectors. The energy, agriculture and currency sectors posted losses.

The stock indices posted profits to the Partnership. Profits were posted to the Partnership at the beginning of the second quarter. In April markets trended upward around the globe and the Partnership capitalized. Leading the way were long positions in Hong Kong’s Hang Seng, China’s H-Shares, Japanese Topix, German DAX, and EuroStoxx. The Partnership made money in several global equity markets. Profits were posted to the Partnership in the middle of the quarter as the Partnership generated profits long the Dow, NASDAQ, S&P 500, and the Japanese Nikkei and Topix. Losses were posted to the Partnership at the end of the quarter as the late-June panic over Greece caused sizable equity losses, bucking a trend that to that point had been largely positive for June.

The interest rate sector posted profits to the Partnership. Losses were posted to the Partnership at the beginning of the second quarter. Long positions in the German Bund and French OAT 10 year were shaken out when prices in those markets dove and small profits across the U.S. yield curve and in Italian BTP 10 years were insufficient to offset those losses. Losses were posted to the Partnership in the middle of the quarter. In global bonds, price choppiness was pronounced as prices ebbed downward for much of the first part of May and then shot back upward as May wound down. The net results of this vacillation were losses short the German Bund, French OAT and long the U.S. 10 year. Profits were posted to the Partnership at the end of the quarter. The key to the Partnership’s relative success in June was a strong month of global

bond trading. Short positions in the German Bund and Bobl as well as the French OAT 10 year generated profits as those markets plummeted in the wake of emerging European chaos. Adding to the Partnership’s gains were successful short positions in the U.S. 30 year and 5 year markets.

The metals sector posted profits to the Partnership. Losses were posted to the Partnership at the beginning of the second quarter. In April, there was a price resurgence which caused the Partnership to sustain losses shorting industrial metals, aluminum, copper and nickel. Profits were posted to the Partnership in the middle of the quarter. Global metals markets delivered positive results in May as a general downward price move lined up nicely with the Partnership’s short positions. Base metals were the story for May as the Partnership booked profits on short positions in aluminum, copper and nickel but avoided the precious metals sector completely due to lack of opportunity. Profits were posted to the Partnership at the end of the quarter. The global metals sector yielded profits for the Partnership in June as investor concerns about China and other factors drove industrial metal prices further downward throughout June. Specifically, the Partnership found profits on short positions in aluminum, copper and nickel.

The energy sector posted losses to the Partnership. Losses were posted to the Partnership at the beginning of the second quarter. In April, prices bolted upward to buck what had been a sustained downward move in recent months. The result for the Partnership was losses short the entire product spectrum: crude, Brent crude, gasoil, heating oil, natural gas, and RBOB gasoline. Losses were posted to the Partnership in the middle of the quarter. In the energy markets prices whipped back and forth and ultimately caused losses for the Partnership’s short positions in natural gas and crude oil and long positions across other markets including Brent crude, gasoil, and heating oil. Losses were posted to the Partnership at the end of the quarter. In the energy sector, general market uncertainty characterized June as neither the Partnership’s short positions in natural gas and crude oil nor its long positions in Brent crude oil, crude oil, gasoil or heating oil were able to find their way to profitability.

The agriculture sector posted losses to the Partnership. Losses were posted to the Partnership at the beginning of the second quarter due to short positions in sugar. Profits were posted to the Partnership in the middle of the quarter as downward price moves in coffee and sugar aligned well with the Partnership’s ongoing short positions and rubber moved up slightly in support of a long position built by the Partnership as May unfolded. Losses were posted to the Partnership at the end of the quarter as heavy rains and flooding in parts of the U.S. led to a negative crop report in late June. For the Partnership, the results were losses in short positions in coffee, corn, wheat and soybeans, along with losses on long positions in rubber.

The currency sector posted losses to the Partnership. Losses were posted to the Partnership at the beginning of the second quarter. In April, the Partnership sustained losses across its entire currency book including British pound, Australian dollar, Euro, Japanese yen, South African rand, and others. Profits were posted to the Partnership in the middle of the quarter. Most successful for the Partnership was the global currency sector which delivered opportunities on both the long and short side. Specifically, after opening May with significant short positions in the British pound, the Partnership ended May long and over the course of several weeks, booked profits on both sides of the market. In respect of the Japanese yen, the Partnership was solidly long to start May, shifted to short by May’s month end, and banked some profits on both sides. Adding to solid performance in the pound and yen, the Partnership booked profits short the New Zealand dollar, South African rand, and Euro and long the Swiss franc. Profits were posted to the Partnership at the end of the quarter. Key to June’s success were the Partnership’s positions long the British pound and short the New Zealand dollar as those two currencies moved nicely in opposite directions.

The Partnership has no applicable off-balance sheet arrangements or tabular disclosure of contractual obligations of the type described in Items 303(a)(4) and 303(a)(5) of Regulation S-K.

Item 3. Quantitative and Qualitative Disclosures About Market Risk

Introduction

The Partnership is a speculative commodity pool. The market sensitive instruments held by it are acquired for speculative trading purposes and all or substantially all of the Partnership’s assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Partnership’s main line of business.

Market movements result in frequent changes in the fair market value of the Partnership’s open positions and, consequently, in its earnings and cash flow. The Partnership’s market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Partnership’s open positions and the liquidity of the markets in which it trades.

The Partnership, under the direction of the Trading Advisor, rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Partnership’s past performance is not necessarily indicative of its future results.

Value at Risk is a measure of the maximum amount which the Partnership could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Partnership’s speculative trading and the recurrence in the markets traded by the Partnership of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the Partnership’s experience to date (i.e., “risk of ruin”). In light of the foregoing, as well as the risks and uncertainties intrinsic to all future projections, the quantifications included in this section should not be considered to constitute any assurance or representation that the Partnership’s losses in any market sector will be limited to Value at Risk or by the Partnership’s attempts to manage its market risk.

Quantifying The Partnership’s Trading Value At Risk

Quantitative Forward-Looking Statements

The following quantitative disclosures regarding the Partnership’s market risk exposures contain “forward-looking statements” within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933 (“Securities Act”) and Section 21E of the Securities Exchange Act of 1934 (“Securities Exchange Act”)). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact.

The Partnership’s risk exposure in the various market sectors traded by Sunrise is quantified below in terms of Value at Risk. Due to the Partnership’s fair value accounting, any loss in the fair value of the Partnership’s open positions is directly reflected in the Partnership’s earnings (realized or unrealized) and cash flow (in the case of exchange-traded contracts in which profits and losses on open positions are settled daily through variation margin).

Exchange maintenance margin requirements have been used by the Partnership as the measure of its Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceed the maximum loss in the fair value of any given contract incurred in 95%-99% of the one-day time periods included in the historical sample (generally approximately one year) researched for purposes of establishing margin levels. The maintenance margin levels are established by dealers and exchanges using historical price studies as well as an assessment of current market volatility (including the implied volatility of the options on a given futures contract) and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation.

In the case of market sensitive instruments which are not exchange-traded (almost exclusively currencies in the case of the Partnership), the margin requirements for the equivalent futures positions have been used as Value at Risk. In those rare cases in which a futures-equivalent margin is not available, dealers’ margins have been used.

100% positive correlation in the different positions held in each market risk category has been assumed. Consequently, the margin requirements applicable to the open contracts have been aggregated to determine each trading category’s aggregate Value at Risk. The diversification effects resulting from the fact that the Partnership’s positions are rarely, if ever, 100% positively correlated have not been reflected.

The Partnership’s Trading Value at Risk in Different Market Sectors

The following table indicates the average, highest and lowest trading Value at Risk associated with the Partnership’s open positions by market category for the fiscal period. For the six month periods ended June 30, 2016 and 2015, the Partnership’s average capitalization was $24,014,684 and $31,943,941, respectively.

	June 30, 2016
	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk

Currencies	$	88,833	0.37	%	$	163,155	$	39,998
Metals	102,010		0.42	%	199,040		19,954
Stock Indices	438,699		1.83	%	610,623		265,145
Interest Rates	379,068		1.58	%	819,521		81,707
Energy	64,141		0.27	%	85,613		41,445
Agricultural Commodities	94,669		0.39	%	212,657		14,641

TOTAL	$	1,167,420	4.86	%	$	2,090,609	$	462,890

	June 30, 2015
	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk

Currencies	$	467,539	1.46	%	$	591,930	$	379,705
Metals	286,499		0.90	%	490,215		118,497
Stock Indices	693,498		2.17	%	1,089,713		365,450
Interest Rates	226,915		0.71	%	371,976		118,546
Energy	330,400		1.03	%	441,992		236,722
Agricultural Commodities	490,162		1.53	%	596,833		416,506

TOTAL	$	2,495,013	7.80	%	$	3,582,659	$	1,635,426

Material Limitations on Value at Risk as an Assessment of Market Risk

The face value of the market sector instruments held by the Partnership is typically many times the applicable maintenance margin requirement (maintenance margin requirements generally ranging between approximately 1% and 10% of contract face value) as well as many times the capitalization of the Partnership. The magnitude of the Partnership’s open positions creates a “risk of ruin” not typically found in most other investment vehicles. Because of

the size of its positions, certain market conditions — unusual, but historically recurring from time to time — could cause the Partnership to incur severe losses over a short period of time. The foregoing Value at Risk table — as well as the past performance of the Partnership — gives no indication of this “risk of ruin.”

Non-Trading Risk.

Foreign Currency Balances; Cash on Deposit with MLPF&S and MLI

The Partnership has non-trading market risk on its foreign cash balances not needed for margin. However, these balances (as well as the market risk they represent) are immaterial.

The Partnership also has non-trading market risk on approximately 90% of its assets which are held in cash at MLPF&S. The value of this cash is not interest rate sensitive, but there is cash flow risk in that if interest rates decline so will the cash flow generated on these monies.

Qualitative Disclosures Regarding Primary Trading Risk Exposures

The following qualitative disclosures regarding the Partnership’s market risk exposures — except for (i) those disclosures that are statements of historical fact and (ii) the descriptions of how the Partnership manages its primary market risk exposures — constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Securities Exchange Act. The Partnership’s primary market risk exposures as well as the strategies used and to be used by MLAI and the Trading Advisor for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Partnership’s risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Partnership. There can be no assurance that the Partnership’s current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short- or long-term. Investors must be prepared to lose all or substantially all of the time value of their investment in the Partnership.

The following were the primary trading risk exposures of the Partnership as of December 31, 2015 by market sector. There have been no material changes at June 30, 2016.

Interest Rates

Interest rate movements directly affect the price of derivative sovereign bond positions held by the Partnership and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries may materially impact the Partnership’s profitability. The Partnership’s primary interest rate exposure is to interest rate fluctuations in the United States and the other G-7 countries. However, the Partnership may also take positions in the government debt of smaller nations. MLAI anticipates that G-7 interest rates will remain the primary market exposure of the Partnership for the foreseeable future.

Currencies

The Partnership trades in a number of currencies. However, the Partnership’s major exposures have typically been in the U.S. dollar/Singapore dollar, U.S. dollar/New Zealand dollar and U.S. dollar/Danish krone positions. The Partnership does not anticipate that the risk profile of the Partnership’s currency sector will change significantly in the future. The currency trading VaR figure includes foreign margin amounts converted into U.S. dollars with an incremental adjustment to reflect the exchange rate risk of maintaining VaR in a functional currency other than U.S. dollars.

Stock Indices

The Partnership’s primary equity exposure is to S&P 500, Nikkei and German DAX equity index price movements. The Partnership is primarily exposed to the risk of adverse price trends or static markets in the major U.S., European and Asian indices.

Metals

The Partnership’s metals market exposure is to fluctuations in the price of precious and non-precious metals.

Agricultural Commodities

The Partnership’s primary agricultural commodities exposure is to agricultural price movements which are often directly affected by severe or unexpected weather conditions. Corn, grains, cotton, coffee and sugar accounted for the substantial bulk of the Partnership’s agricultural commodities exposure.

Energy

The Partnership’s primary energy market exposure is to natural gas and crude oil price movements, often resulting from political developments in the Middle East. Oil prices can be volatile and substantial profits and losses have been and are expected to continue to be experienced in this market.

Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following were the primary non-trading risk exposures of the Partnership as of December 31, 2015. There have been no material changes at June 30, 2016.

Foreign Currency Balances

The Partnership’s primary foreign currency balances are in Japanese yen, Australian dollar, Swiss franc and Euros.

U.S. Dollar Cash Balance

The Partnership holds the vast majority of its U.S. dollars in cash at MLPF&S and MLI. The Partnership has immaterial cash flow interest rate risk on its cash on deposit with MLPF&S in that declining interest rates would cause the income from such cash to decline.

Qualitative Disclosures Regarding Means of Managing Risk Exposure

Trading Risk

MLAI has procedures in place intended to control market risk, although there can be no assurance that they will, in fact, succeed in doing so. While MLAI does not itself intervene in the markets to hedge or diversify the Partnership’s market exposure, MLAI may urge the Trading Advisor to reallocate positions in an attempt to avoid over-concentrations. However, such interventions are unusual, except in cases in which it appears that the Trading Advisor has begun to deviate from past practice and trading policies or to be trading erratically. MLAI’s basic control procedures consist of the process of monitoring the Trading Advisor with the market risk controls being applied by the Trading Advisor itself.

Risk Management

While the Trading Advisor relies on mechanical technical trading systems in making investment decisions, the overall strategy does include the latitude to depart from this approach if market conditions are such that, in the opinion of the Trading Advisor, execution of trades recommended by the mechanical systems would be difficult or unusually risky to an account.

Non-Trading Risk

The Partnership controls the non-trading exchange rate risk by regularly converting foreign currency balances back into U.S. dollars at least once per week, and more frequently if a particular foreign currency balance becomes unusually high.

The Partnership has cash flow interest rate risk on its cash on deposit with MLPF&S in that declining interest rates would cause the income from such cash to decline. However, a certain amount of cash or cash equivalents must be held by the Partnership in order to facilitate margin payments and pay expenses and redemptions. MLAI does not take any steps to limit the cash flow risk on its cash held on deposit at MLPF&S.

Item 4. Controls and Procedures

Disclosure Controls and Procedures

MLAI’s Chief Executive Officer and Chief Financial Officer, on behalf of the Partnership, have evaluated the effectiveness of the design and operation of its disclosure controls and procedures (as defined in Rule 13a-15(e) or Rule 15d-15(e) under the Securities Exchange Act) with respect to the Partnership as of the end of the quarter which ended June 30, 2016, and, based on their evaluation, have concluded that these disclosure controls and procedures are effective.

Changes in Internal Control over Financial Reporting

No change in internal control over financial reporting (in connection with Rule 13a-15 or Rule 15d-15 under the Securities Exchange Act) occurred during the quarter ended June 30, 2016 that has materially affected, or is reasonably likely to materially affect, the Partnership’s internal control, over financial reporting.

PART II - OTHER INFORMATION

Item 1. Legal Proceedings

None.

Item 1A. Risk Factors

There are no material changes from risk factors as previously disclosed in the Partnership’s report on Form 10-K for the year ended December 31, 2015, filed with the Securities and Exchange Commission on March 18, 2016.

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds

(a) Units are privately offered and sold to “accredited investors” (as defined in Rule 501(a) under the Securities Act) in reliance on the exemption from registration provided by Section 4(2) of the Securities Act and Rule 506 thereunder. The selling agent of the Units is MLPF&S.

The Partnership’s sales of unregistered securities are as follows for each Class of Units:

	Subscription
	Amount		Units	NAV (1)
1/01/2016	$	—	—	$	224.9680
2/01/2016	—		—	227.1967
3/01/2016	—		—	230.2900
4/01/2016	—		—	234.1081
5/01/2016	—		—	229.6172
6/01/2016	—		—	225.0136
7/01/2016	—		—	221.9419

(1) Beginning of the month Net Asset Value

(b) Not applicable.

Item 3. Defaults Upon Senior Securities

None.

Item 4. Mine Safety Disclosures

Not applicable.

Item 5. Other Information

None.

Item 6. Exhibits

The following exhibits are filed herewith to this Quarterly Report on Form 10-Q:

31.01 and

31.02 Rule 13a-14(a)/15d-14(a) Certifications

Exhibit 31.01

and 31.02: Are filed herewith.

32.01 and

32.02 Section 1350 Certifications

Exhibit 32.01

and 32.02 Are filed herewith.

Exhibit 101 Are filed herewith.

The following materials from the Partnership’s quarterly Report on Form 10-Q for the three and six month periods ended June 30, 2016 formatted in XBRL (Extensible Business Reporting Language): (i) Statements of Financial Condition (ii) Statements of Operations (iii) Statements of Changes in Partners’ Capital (iv) Financial Data Highlights and (v) Notes to Financial Statements, tagged as blocks of text.

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: August 12, 2016	By:	/s/ NANCY FAHMY
		Nancy Fahmy
		Chief Executive Officer and President
		(Principal Executive Officer)


Date: August 12, 2016	By:	/s/ BARBRA E. KOCSIS
		Barbra E. Kocsis
		Chief Financial Officer
		Principal Financial Officer)

ML SELECT FUTURES I LP 10-Q