-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, ObwUgehZEZnfAohxbwIJuqtVsv4WNg170hHIUDH4kbTOoqVM0ZK3YyHdNoMbuMt0 9v0fN7rqxiWjXekU3LDpAQ== 0000912057-00-024317.txt : 20000516 0000912057-00-024317.hdr.sgml : 20000516 ACCESSION NUMBER: 0000912057-00-024317 CONFORMED SUBMISSION TYPE: 10-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20000331 FILED AS OF DATE: 20000515 FILER: COMPANY DATA: COMPANY CONFORMED NAME: HENRY JOHN W & CO/MILLBURN L P CENTRAL INDEX KEY: 0000853456 STANDARD INDUSTRIAL CLASSIFICATION: [6221] IRS NUMBER: 061287586 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 10-Q SEC ACT: SEC FILE NUMBER: 000-18215 FILM NUMBER: 631526 BUSINESS ADDRESS: STREET 1: WORLD FINANCIAL CTR SOUTH TWR-6TH FLR STREET 2: C/O ML FUTURE INVESTMENT PARTNERS INCAGE CITY: MERRILL LYNCH WORLD STATE: NY ZIP: 10080 BUSINESS PHONE: 2122364161 MAIL ADDRESS: STREET 1: MERRILL LYNCH & CO STREET 2: WORLD FINANCIAL CTR, SOUTH TOWER, 6TH FL CITY: NEW YORK STATE: NY ZIP: 10080-6106 10-Q 1 10-Q 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, 2000 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 0-18215 JOHN W. HENRY & CO./MILLBURN L.P. (Exact Name of Registrant as specified in its charter) Delaware 06-1287586 - -------------------------------- --------------------------------- (State or other jurisdiction of (IRS Employer Identification No.) incorporation or organization) c/o Merrill Lynch Investment Partners Inc. 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 JOHN W. HENRY & CO./MILLBURN L.P. (A DELAWARE LIMITED PARTNERSHIP) STATEMENTS OF FINANCIAL CONDITION
March 31, December 31, 2000 1999 (unaudited) --------------- --------------- ASSETS Investments $ 34,673,800 $ 42,876,172 Receivable from investments 1,364,144 1,007,250 --------------- -------------- TOTAL $ 36,037,944 $ 43,883,422 =============== ============== LIABILITY AND PARTNERS' CAPITAL Liability - Redemptions payable $ 1,364,144 $ 1,007,250 PARTNERS' CAPITAL: General Partner: (434 and 504 Series A Units) 100,011 131,110 (1,088 and 1,338 Series B Units) 203,793 282,923 (726 and 926 Series C Units) 105,981 152,600 Limited Partners: (36,029 and 39,335 Series A Units) 8,302,614 10,232,683 (91,686 and 100,451 Series B Units) 17,175,082 21,241,923 (60,184 and 65,744 Series C Units) 8,786,319 10,834,933 --------------- -------------- Total partners' capital 34,673,800 42,876,172 --------------- -------------- TOTAL $ 36,037,944 $ 43,883,422 =============== ============== NET ASSET VALUE PER UNIT Series A (36,463 and 39,839 Units outstanding) $ 230.44 $ 260.14 =============== ================= Series B (92,774 and 101,789 Units outstanding) $ 187.32 $ 211.47 =============== ================= Series C (60,910 and 66,670 Units outstanding) $ 145.99 $ 164.80 =============== =================
See notes to financial statements. 2 JOHN W. HENRY & CO./MILLBURN L.P. (A DELAWARE LIMITED PARTNERSHIP) STATEMENTS OF OPERATIONS (unaudited)
For the three For the three months ended months ended March 31, March 31, 2000 1999 ---------------- ----------------- REVENUES: Loss from investments $ (4,774,478) $ (1,507,632) ---------------- ----------------- NET LOSS $ (4,774,478) $ (1,507,632) ================ ================= NET LOSS PER UNIT: Weighted average number of units outstanding 203,427 237,198 ================ ================= Weighted average net loss per Limited Partner and General Partner Unit $ (23.47) $ (6.36) ================ =================
See notes to financial statements. 3 JOHN W. HENRY & CO./MILLBURN L.P. (A DELAWARE LIMITED PARTNERSHIP) STATEMENTS OF CHANGES IN PARTNERS' CAPITAL FOR THE THREE MONTHS ENDED MARCH 31, 2000 AND MARCH 31, 1999 (unaudited)
Units Limited Partners General Partner ----- ---------------- --------------- Series A Series B Series C Series A Series B Series C Series A Series B Series C -------- --------- -------- ----------- ------------ ----------- -------- -------- --------- PARTNERS' CAPITAL, December 31, 1998 45,182 116,759 78,337 $13,230,285 $ 27,771,959 $14,516,267 $149,246 $321,921 $173,635 Redemptions (806) (5,643) (1,447) (232,524) (1,323,970) (264,957) - - - Net loss - - - (357,347) (743,714) (389,219) (4,034) (8,651) (4,667) -------- --------- -------- ----------- ------------ ----------- --------- -------- -------- PARTNERS' CAPITAL, March 31, 1999 44,376 111,116 76,890 $12,640,414 $ 25,704,275 $13,862,091 $145,212 $313,270 $168,968 ======== ========= ======== =========== ============ =========== ======== ======== ======== PARTNERS' CAPITAL, December 31, 1999 39,839 101,789 66,670 $10,232,683 $ 21,241,923 $10,834,933 $131,110 $282,923 $152,600 Redemptions (3,376) (9,015) (5,760) (779,617) (1,717,248) (835,689) (16,686) (48,448) (30,206) Net loss - - - (1,150,452) (2,349,593) (1,212,925) (14,413) (30,682) (16,413) -------- --------- -------- ----------- ------------- ----------- -------- -------- -------- PARTNERS' CAPITAL, March 31, 2000 36,463 92,774 60,910 $ 8,302,614 $ 17,175,082 $ 8,786,319 $100,011 $203,793 $105,981 ======== ========= ======== =========== ============ =========== ======== ======== ======== Total ----------- PARTNERS' CAPITAL, December 31, 1998 $56,163,313 Redemptions $(1,821,451) Net loss $(1,507,632) ----------- PARTNERS' CAPITAL, March 31, 1999 $52,834,230 =========== PARTNERS' CAPITAL, December 31, 1999 $42,876,172 Redemptions $(3,427,894) Net loss $(4,774,478) ----------- PARTNERS' CAPITAL, March 31, 2000 $34,673,800 ===========
See notes to financial statements. 4 JOHN W. HENRY & CO./MILLBURN L.P. (A DELAWARE LIMITED PARTNERSHIP) NOTES TO FINANCIAL STATEMENTS (unaudited) 1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES These financial statements have been prepared without audit. In the opinion of management, the financial statements contain all adjustments (consisting of only normal recurring adjustments) necessary to present fairly the financial position of John W. Henry & Co./Millburn L.P. (the "Partnership" or the "Fund") as of March 31, 2000, and the results of its operations for the three month period ended March 31, 2000 and March 31, 1999. However, the operating results for the interim periods may not be indicative of the results expected for the full year. Certain information and footnote disclosures normally included in annual financial statements prepared in accordance with general accepted accounting principles 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, 1999 (the "Annual Report"). 2. INVESTMENTS As of March 31, 2000, the Partnership had an investment in ML JWH Financials and Metals Portfolio LLC ("JWH LLC") and ML Millburn Global LLC ("Millburn LLC") of $16,004,224 and $18,669,576 respectively. For the period ending December 31, 1999, the Partnership had an investment in JWH LLC and Millburn LLC of $19,843,543 and $23,032,629, respectively. Total revenues and fees with respect to the Fund's investment are set forth as follows: 5
For the three months Total Brokerage Administrative Profit Loss from ended March 31, 2000 Revenue Commissions Fees Shares Investments ------------------ ------------------ ----------------- ----------------- -------------------- SERIES A UNITS JWH LLC $ (448,320) $ 103,868 $ 2,734 $ - $ (554,922) Millburn LLC (483,869) 122,841 3,233 - (609,943) ------------------ ------------------ ----------------- ----------------- -------------------- Total $ (932,189) $ 226,709 $ 5,967 $ - $ (1,164,865) ================== ================== ================= ================= ==================== SERIES B UNITS JWH LLC $ (914,342) $ 212,427 $ 5,590 $ - $ (1,132,359) Millburn LLC (987,939) 253,311 6,666 - (1,247,916) ------------------ ------------------ ----------------- ----------------- -------------------- Total $ (1,902,281) $ 465,738 $ 12,256 $ - $ (2,380,275) ================== ================== ================= ================= ==================== SERIES C UNITS JWH LLC $ (471,790) $ 109,180 $ 2,874 $ - $ (583,844) Millburn LLC (511,875) 130,193 3,426 (645,494) ------------------ ------------------ ----------------- ----------------- -------------------- Total $ (983,665) $ 239,373 $ 6,300 $ - $ (1,229,338) ================== ================== ================= ================= ==================== TOTAL ALL UNITS JWH LLC $ (1,834,452) $ 425,475 $ 11,198 $ - $ (2,271,125) Millburn LLC (1,983,683) 506,345 13,325 - (2,503,353) ------------------ ------------------ ----------------- ----------------- -------------------- Total $ (3,818,135) $ 931,820 $ 24,523 $ - $ (4,774,478) ================== ================== ================= ================= ==================== For the three months Total Brokerage Administrative Profit (Loss) Income from ended March 31, 1999 Revenue Commissions Fees Shares Investments ------------------ ------------------ ----------------- ----------------- -------------------- SERIES A UNITS JWH LLC $ (280,408) $ 156,448 $ 4,117 $ - $ (440,973) Millburn LLC 260,072 155,270 4,086 21,124 79,592 ------------------ ------------------ ----------------- ----------------- -------------------- Total $ (20,336) $ 311,718 $ 8,203 $ 21,124 $ (361,381) ================== ================== ================= ================= ==================== SERIES B UNITS JWH LLC $ (583,218) $ 321,372 $ 8,457 $ - $ (913,047) Millburn LLC 534,039 321,507 8,461 43,389 160,682 ------------------ ------------------ ----------------- ----------------- -------------------- Total $ (49,179) $ 642,879 $ 16,918 $ 43,389 $ (752,365) ================== ================== ================= ================= ==================== SERIES C UNITS JWH LLC $ (306,191) $ 171,057 $ 4,501 $ - $ (481,749) Millburn LLC 286,824 171,163 4,504 23,294 87,863 ------------------ ------------------ ----------------- ----------------- -------------------- Total $ (19,367) $ 342,220 $ 9,006 $ 23,294 $ (393,886) ================== ================== ================= ================= ==================== TOTAL ALL UNITS JWH LLC $ (1,169,817) $ 648,877 $ 17,075 $ - $ (1,835,769) Millburn LLC 1,080,935 647,940 17,052 87,806 328,137 ------------------ ------------------ ----------------- ----------------- -------------------- Total $ (88,882) $ 1,296,817 $ 34,127 $ 87,806 $ (1,507,632) ================== ================== ================= ================= ====================
6 Condensed statements of financial condition and statements of operations for JWH LLC and Millburn LLC are set forth as follows:
March 31, 2000 December 31, 1999 ---------------------------------- ------------------------------------ JWH Millburn JWH Millburn LLC LLC LLC LLC --------------- --------------- ---------------- ---------------- Assets $ 16,790,243 $ 19,565,510 $ 20,495,709 $ 23,769,789 =============== =============== ================ =============== Liabilities $ 786,019 $ 895,934 $ 652,166 $ 737,160 Members' Capital 16,004,224 18,669,576 19,843,543 23,032,629 --------------- --------------- ---------------- --------------- Total $ 16,790,243 $ 19,565,510 $ 20,495,709 $ 23,769,789 =============== =============== ================ =============== For the three For the three For the three For the three months months months months ended March 31, ended March 31, ended March 31, ended March 31, 2000 2000 1999 1999 --------------- --------------- ---------------- --------------- Revenues $ (1,834,452) $ (1,983,683) $ (1,169,816) $ 1,080,934 Expenses 436,673 519,670 665,953 752,797 --------------- --------------- ---------------- --------------- Net (Loss) Income $ (2,271,125) $ (2,503,353) $ (1,835,769) $ 328,137 =============== =============== ================ ===============
3. FAIR VALUE AND OFF-BALANCE SHEET RISK For the year ended December 31,1999, the Partnership invested all of its assets in Trading LLC's. Accordingly, the Partnership is invested indirectly in derivative instruments, but does not itself hold any derivative instrument positions. As such, MLIP does not believe that the adoption of the provisions of Statement of Financial Accounting Standards No. 133 had a significant effect on the financial statements of the Partnership. MARKET RISK Derivative financial 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 underlying financial instruments or commodities underlying such derivative instruments frequently resulted in changes in the Partnership's net unrealized profit on such derivative instruments as reflected in the Statements of Financial Condition or, with respect to Partnership assets invested in Trading LLC's, the net unrealized profit as reflected in the respective Statements of Financial Condition of the Trading LLC's. 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, through the Trading LLC's, as well as the volatility and liquidity of such markets in which such derivative instruments are traded. 7 MLIP has procedures in place intended to control market risk exposure, although there can be no assurance that they will, in fact, succeed in doing so. These procedures focus primarily on monitoring the trading of the Advisors selected from time to time for the Partnership, calculating the Net Asset Value of the Advisors' respective Partnership accounts and Trading LLC accounts, as of the close of business on each day and reviewing outstanding positions for over-concentrations both on an Advisor-by-Advisor and on an overall Partnership basis. While MLIP does not itself intervene in the markets to hedge or diversify the Partnership's market exposure MLIP may urge Advisors to reallocate positions, or itself reallocate Partnership assets among Advisors (although typically only as of the end of a month) in an attempt to avoid over-concentration. However, such interventions are unusual. Except in cases in which it appears that an Advisor has begun to deviate from past practice and trading policies or to be trading erratically, MLIP's basic risk control procedures consist simply of the ongoing process of advisor monitoring and selection, with the market risk controls being applied by the Advisors themselves. CREDIT RISK The risks associated with exchange-traded contracts are typically perceived to be less than those associated with over-the-counter (non-exchange-traded) transactions, because exchanges typically (but not universally) provide clearinghouse arrangements in which the collective credit (in some cases limited in amount, in some cases not) of the members of the exchange is pledged to support the financial integrity of the exchange. In over-the-counter transactions, on the other hand, traders must rely solely on the credit of their respective individual counterparties. Margins, which may be subject to loss in the event of a default, are generally required in exchange trading, and counterparties may also require margin in the over-the-counter markets. The Partnership has credit risk in respect of its counterparties and brokers, but attempts to control this risk by dealing almost exclusively with Merrill Lynch entities as counterparties and clearing brokers. The Partnership, through the Trading LLC's, in its normal course of business, enters into various contracts, with MLF acting as its commodity broker. Pursuant to the brokerage agreement with MLF (which includes a netting arrangement), to the extent that such trading results in receivables from and payables to MLF, these receivables and payables are offset and reported as a net receivable or payable and included in the Statements of Financial Condition under Equity in commodity futures accounts. 8 Item 2: Management's Discussion and Analysis of Financial Condition and Results of Operations MONTH-END NET ASSET VALUE PER SERIES A UNIT ---------------------------------- Jan. Feb. Mar. ---------------------------------- 1999 $287.86 $291.22 $288.12 ---------------------------------- 2000 $255.72 $238.38 $230.44 ---------------------------------- MONTH-END NET ASSET VALUE PER SERIES B UNIT ---------------------------------- Jan. Feb. Mar. ---------------------------------- 1999 $233.92 $236.65 $234.15 ---------------------------------- 2000 $207.89 $193.79 $187.32 ---------------------------------- MONTH-END NET ASSET VALUE PER SERIES C UNIT ---------------------------------- Jan. Feb. Mar. ---------------------------------- 1999 $182.30 $184.43 $182.48 ---------------------------------- 2000 $162.02 $151.03 $145.99 ---------------------------------- Performance Summary January 1, 1999 to March 31, 1999 Profits were produced in currency trading during the quarter. On a trade-weighted basis, the Swiss franc ended the quarter at close to a seven-month low, mostly as a result of the stronger U.S. dollar. In January, the yen had advanced by nearly 35% against the dollar since early in August, and the Bank of Japan lowered rates to keep the economy sufficiently liquid so as to allow fiscal spending to restore some growth to the economy and to drive down the surging yen. Stock index trading was also profitable. Also of note, the Dow Jones Industrial Average closed above the 10,000 mark for the first time ever at the end of March, setting a record for the index. Interest rate trading proved unprofitable. Early in January, the yield on the Japanese government 10-year bond increased to 1.8%, sharply above the record low of 0.695% it reached on October 7, 1998. This was triggered by the Japanese Trust Fund Bureau's decision to absorb a smaller share of future issues, leaving the burden of financing future budget deficits to the private sector. In January, burdensome warehouse stocks and questionable demand prospects weighed on base metals as aluminum fell to a 5-year low and copper fell to nearly an 11-year low. Major surpluses in both metals were expected, keeping prices down, and there was no supply side response to weak demand and lower prices. However, the end of March showed copper and aluminum leading a surge in base metals as prices recovered from multi-year lows. In precious metals, gold failed to sustain a rally, and gold's role as a flight to safety vehicle has clearly been greatly diminished as has its role as a monetary asset. January 1, 2000 to March 31, 2000 Currency trading alternated through out the month as gains in Swiss franc positions were outweighed by losses in British pound trading in the beginning of the quarter. Despite evidence of expansion in Europe, the Swiss franc slipped to a 10-year low against the dollar. This move mimicked the decline in the Euro which came after officials from the Group of Seven met and failed to express concern about the low levels of the European currency. Trading during the middle of the quarter was profitable through gains in Euro futures and Japanese yen trading. The Euro's continued weakness can be attributed to a number of factors, including the slow pace of microeconomic reform in Europe, plans for a European withholding tax and the scale of direct investment flows outside of Europe. In the end of the quarter losses were sustained in Japanese yen and British pound positions. The yen has been strong in spite of Japan's slide back into recession during the second half of 1999. Trading in Nikkei 225 Stock Index positions resulted in losses. The losses suffered early in the quarter rebounded to close at its highest level since 1997 and carried on throughout mid-quarter. Positions in the Nikkei 225 and FTSE Financial Times Stock Index resulted in profits for the Fund. The economy in the United Kingdom has been growing at a robust pace and is accompanied by low inflation. Metals trading was unprofitable for the quarter. Concerns about higher U.S. interest rates and the sharp declines in global stock prices during January created a somewhat nervous and defensive tone in base metals trading. Trading was unprofitable in February due to losses in gold and aluminum. Mid-month reports showed aluminum inventories monitored by the London Metal Exchange at their highest level in almost three years, resulting in a decrease in prices. Short Eurodollar trading was profitable as the currency continued to decline in January. The European Union ministers blamed the currency's slide in January on rapid U.S. growth and fears that the Federal Reserve will increase U.S. interest rates. These profits were far outweighed by losses in the Japanese 10-year bond, U.S. 10-year Treasury note positions and long U.S. Treasury positions as the yield curve fluctuated widely during the quarter. PART II - OTHER INFORMATION Item 1. Legal Proceedings There are no pending legal proceedings to which the Partnership or the General Partner is a party. Item 2. Changes in Securities and Use of Proceeds (a) None. (b) None. (c) None. (d) None. 9 Item 3. Defaults Upon Senior Securities None. Item 4. Submission of Matters to a Vote of Security Holders None. Item 5. Other information None. Item 6. Exhibits and Reports on Form 8-K. (a) EXHIBITS There are no exhibits required to be filed as part of this report. (b) REPORTS ON FORM 8-K There were no reports on Form 8-K filed during the first three months of fiscal 2000. 10 SIGNATURE 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. JOHN W. HENRY & CO./MILLBURN L.P. By: MERRILL LYNCH INVESTMENT PARTNERS INC. (General Partner) Date: May 15, 1999 By /s/ JOHN R. FRAWLEY J.R. ------------------------ John R. Frawley, Jr. Chairman, Chief Executive Officer, President and Director Date: May 15, 1999 By /s/ MICHAEL L. PUNGELLO ----------------------- Michael L. Pungello Vice President, Chief Financial Officer and Treasurer 11 EX-27.1 2 EXHIBIT 27.1
BD 0000853456 JOHN W. HENRY & CO/MILLBURN LP 3-MOS 3-MOS DEC-31-2000 DEC-31-1999 JAN-01-2000 JAN-01-1999 MAR-31-2000 MAR-31-1999 0 0 36,037,944 53,361,244 0 0 0 0 0 0 0 0 36,037,944 53,361,244 0 0 1,364,144 527,014 0 0 0 0 0 0 0 0 0 0 0 0 0 0 34,673,800 52,834,230 36,037,944 53,361,244 0 0 0 0 0 0 0 0 0 0 0 0 0 0 (4,774,478) (1,507,632) 0 0 0 0 0 0 (4,774,478) (1,507,632) (23.47) (6.36) (23.47) (6.36)
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