-----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, Ts3rL9GMsOZlc+cyAGydeG9J4KfxmOtYA/hBcDehjMFFLVmmjM8v04na37OCcaS7 I2WSZpwH6EyoitY3N1Uthg== /in/edgar/work/0000912057-00-049546/0000912057-00-049546.txt : 20001115 0000912057-00-049546.hdr.sgml : 20001115 ACCESSION NUMBER: 0000912057-00-049546 CONFORMED SUBMISSION TYPE: 10-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20000930 FILED AS OF DATE: 20001114 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: 763805 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 a2028253z10-q.txt 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 September 30, 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
September 30, December 31, 2000 1999 (unaudited) ---------------- ------------- ASSETS - ------ Investments $ 23,222,770 $ 42,876,172 Receivable from investments 1,993,896 1,007,250 ---------------- ------------- Total assets $ 25,216,666 $ 43,883,422 ================ ============= LIABILITY AND PARTNERS' CAPITAL - ------------------------------- Liability - Redemptions payable $ 1,993,896 $ 1,007,250 PARTNERS' CAPITAL: General Partner: (634 and 504 Series A Units) 120,330 131,110 (1,118 and 1,338 Series B Units) 172,469 282,923 (726 and 926 Series C Units) 87,284 152,600 Limited Partners: (31,577 and 39,335 Series A Units) 5,993,158 10,232,683 (69,220 and 100,451 Series B Units) 10,679,057 21,241,923 (51,320 and 65,744 Series C Units) 6,170,472 10,834,933 ---------------- ------------- Total partners' capital 23,222,770 42,876,172 ---------------- ------------- TOTAL $ 25,216,666 $ 43,883,422 ================ ============= NET ASSET VALUE PER UNIT Series A (32,211 and 39,839 Units outstanding) $ 189.80 $ 260.14 ================ ============= Series B (70,338 and 101,789 Units outstanding) $ 154.28 $ 211.47 ================ ============= Series C (52,046 and 66,670 Units outstanding) $ 120.24 $ 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 For the nine For the nine months ended months ended months ended months ended September 30, September 30, September 30, September 30, 2000 1999 2000 1999 ----------------- -------------------- ----------------- -------------------- REVENUES: Loss from investments $ (1,573,481) $ (5,273,759) $ (10,469,428) $ (1,134,309) ----------------- -------------------- ----------------- -------------------- NET LOSS $ (1,573,481) $ (5,273,759) $ (10,469,428) $ (1,134,309) ================= ==================== ================= ==================== NET LOSS PER UNIT: Weighted average number of units outstanding 171,211 223,130 186,073 229,930 ================= ==================== ================= ==================== Weighted average net loss per General Partner and Limited Partner Unit $ (9.19) $ (23.64) $ (56.27) $ (4.93) ================= ==================== ================= ====================
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 NINE MONTHS ENDED SEPTEMBER 30, 2000 AND SEPTEMBER 30, 1999 (UNAUDITED)
Units General Partner ----- --------------- Series A Series B Series C Series A Series B Series C -------------- ------------- ------------- -------------- ------------- ------------- PARTNERS' CAPITAL, December 31, 1998 45,182 116,759 78,337 $ 149,246 $ 321,921 $ 173,635 Redemptions (4,269) (10,779) (7,688) - - - Net loss - - - (3,392) (7,250) (3,910) -------------- ------------- ------------- --------------- ----------- ------------- PARTNERS' CAPITAL, September 30, 1999 40,913 105,980 70,649 $ 145,854 $ 314,671 $ 169,725 ============== ============= ============= =============== =========== ============= PARTNERS' CAPITAL, December 31, 1999 39,839 101,789 66,670 $ 131,110 $ 282,923 $ 152,600 Additions 200 - - 39,434 - - Redemptions (7,828) (31,451) (14,624) (16,686) (43,534) (30,206) Net loss - - - (33,528) (66,920) (35,110) -------------- ------------- ------------- --------------- ----------- ------------- PARTNERS' CAPITAL, September 30, 2000 32,211 70,338 52,046 $ 120,330 $ 172,469 $ 87,284 ============== ============= ============= ================ =========== ============= Limited Partners ---------------- Series A Series B Series C Total ------------ -------------- -------------- -------------- PARTNERS' CAPITAL, December 31, 1998 $ 13,230,285 $ 27,771,959 $ 14,516,267 $ 56,163,313 Redemptions (1,271,117) (2,590,016) (1,451,929) $ (5,313,062) Net loss (264,967) (570,613) (284,177) $ (1,134,309) ------------- ------------- ------------- ------------- PARTNERS' CAPITAL, September 30, 1999 $ 11,694,201 $ 24,611,330 $ 12,780,161 $ 49,715,942 ============= ============= ============= ============= PARTNERS' CAPITAL, December 31, 1999 $ 10,232,683 $ 21,241,923 $ 10,834,933 $ 42,876,172 Additions - - - $ 39,434 Redemptions (1,693,973) (5,406,903) (2,032,106) $ (9,223,408) Net loss (2,545,552) (5,155,963) (2,632,355) $(10,469,428) -------------- ------------- ------------- ------------- PARTNERS' CAPITAL, September 30, 2000 $ 5,993,158 $ 10,679,057 $ 6,170,472 $ 23,222,770 ============= ============= ============= =============
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") as of September 30, 2000, and the results of its operations for the three and nine month period ended September 30, 2000 and September 30, 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 conformity 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 September 30, 2000, the Partnership had investments in ML JWH Financials and Metals Portfolio LLC ("JWH LLC") and ML Millburn Global LLC ("Millburn LLC") of $10,835,448 and $12,387,322 respectively. As of December 31, 1999, the Partnership had investments in JWH LLC and Millburn LLC of $19,843,543 and $23,032,629, respectively. Total revenues and fees with respect to the Partnership's investments are set forth as follows: 5
For the three months Total Brokerage Administrative Profit Loss ended September 30, 2000 Revenue Commissions Fees Shares from Investments ------------ -------------- ---------------- ----------- ---------------- SERIES A UNITS JWH LLC $ (215,884) $ 76,512 $ 2,014 $ - $ (294,410) Millburn LLC (16,334) 83,779 2,202 - (102,315) ------------ -------------- ---------------- ----------- ---------------- Total $ (232,218) $ 160,291 $ 4,216 $ - $ (396,725) ============ ============== ================ =========== ================ SERIES B UNITS JWH LLC $ (422,243) $ 149,391 $ 3,930 $ - $ (575,564) Millburn LLC (31,545) 164,936 4,341 - (200,822) ------------ -------------- ---------------- ----------- ---------------- Total $ (453,788) $ 314,327 $ 8,271 $ - $ (776,386) ============ ============== ================ =========== ================ SERIES C UNITS JWH LLC $ (218,557) $ 76,584 $ 2,015 $ - $ (297,156) Millburn LLC (16,419) 84,569 2,226 - (103,214) ------------ -------------- ---------------- ----------- ---------------- Total $ (234,976) $ 161,153 $ 4,241 $ - $ (400,370) ============ ============== ================ =========== ================ TOTAL ALL UNITS - --------------- JWH LLC $ (856,684) $ 302,487 $ 7,959 $ - $ (1,167,130) Millburn LLC (64,298) 333,284 8,769 - (406,351) ------------ -------------- ---------------- ----------- ---------------- Total $ (920,982) $ 635,771 $ 16,728 $ - $ (1,573,481) ============ ============== ================ =========== ================ For the three months Total Brokerage Administrative Profit Loss ended September 30, 1999 Revenue Commissions Fees Shares from Investments ------------ -------------- ---------------- ----------- ---------------- SERIES A UNITS JWH LLC $ (705,123) $ 154,110 $ 4,055 $ - $ (863,288) Millburn LLC (359,813) 154,044 4,053 (104,309) (413,601) ------------ -------------- ---------------- ----------- ---------------- Total $(1,064,936) $ 308,154 $ 8,108 $ (104,309) $ (1,276,889) ============ ============== ================ =========== ================ SERIES B UNITS JWH LLC $(1,436,935) $ 313,367 $ 8,247 $ - $ (1,758,549) Millburn LLC (735,817) 315,850 8,312 (213,485) (846,494) ------------ -------------- ---------------- ----------- ---------------- Total $(2,172,752) $ 629,217 $ 16,559 $ (213,485) $ (2,605,043) ============ ============== ================ =========== ================ SERIES C UNITS JWH LLC $ (764,909) $ 167,926 $ 4,419 $ - $ (937,254) Millburn LLC (395,565) 169,199 4,452 (114,643) (454,573) ------------ -------------- ---------------- ----------- ---------------- Total $(1,160,474) $ 337,125 $ 8,871 $ (114,643) $ (1,391,827) ============ ============== ================ =========== ================ TOTAL ALL UNITS - --------------- JWH LLC $(2,906,967) $ 635,403 $ 16,721 $ - $ (3,559,091) Millburn LLC (1,491,195) 639,093 16,817 (432,437) (1,714,668) ------------ -------------- ---------------- ----------- ---------------- Total $(4,398,162) $ 1,274,496 $ 33,538 $ (432,437) $ (5,273,759) ============ ============== ================ =========== ================
For the nine months Total Brokerage Administrative Profit Loss ended September 30, 2000 Revenue Commissions Fees Shares from Investments ------------ -------------- ---------------- ----------- ---------------- SERIES A UNITS JWH LLC $ (889,860) $ 269,968 $ 7,106 $ - $ (1,166,934) Millburn LLC (1,101,061) 303,111 7,974 - (1,412,146) ------------ -------------- ---------------- ----------- ---------------- Total $(1,990,921) $ 573,079 $ 15,080 $ - $ (2,579,080) ============ ============== ================ =========== ================ SERIES B UNITS JWH LLC $(1,784,841) $ 544,322 $ 14,324 $ - $ (2,343,487) Millburn LLC (2,246,716) 616,457 16,223 - (2,879,396) ------------ -------------- ---------------- ----------- ---------------- Total $(4,031,557) $ 1,160,779 $ 30,547 $ - $ (5,222,883) ============ ============== ================ =========== ================ SERIES C UNITS JWH LLC $ (912,774) $ 278,046 $ 7,316 $ - $ (1,198,136) Millburn LLC (1,146,038) 315,001 8,290 (1,469,329) ------------ -------------- ---------------- ----------- ---------------- Total $(2,058,812) $ 593,047 $ 15,606 $ - $ (2,667,465) ============ ============== ================ =========== ================ TOTAL ALL UNITS - --------------- JWH LLC $(3,587,475) $ 1,092,336 $ 28,746 $ - $ (4,708,557) Millburn LLC (4,493,815) 1,234,569 32,487 - (5,760,871) ------------ -------------- ---------------- ----------- ---------------- Total $(8,081,290) $ 2,326,905 $ 61,233 $ - $ (10,469,428) ============ ============== ================ =========== ================ For the nine months Total Brokerage Administrative Profit Income (Loss) ended September 30, 1999 Revenue Commissions Fees Shares from Investments ------------ -------------- ---------------- ----------- ---------------- SERIES A UNITS JWH LLC $ 26,364 $ 471,853 $ 12,416 $ - $ (457,905) Millburn LLC 724,010 472,809 12,442 49,214 189,545 ------------ -------------- ---------------- ----------- ---------------- Total $ 750,374 $ 944,662 $ 24,858 $ 49,214 $ (268,360) ============ ============== ================ =========== ================ SERIES B UNITS JWH LLC $ 24,543 $ 960,859 $ 25,288 $ - $ (961,604) Millburn LLC 1,480,326 970,669 25,544 100,372 383,741 ------------ -------------- ---------------- ----------- ---------------- Total $ 1,504,869 $ 1,931,528 $ 50,832 $ 100,372 $ (577,863) ============ ============== ================ =========== ================ SERIES C UNITS JWH LLC $ 30,209 $ 514,682 $ 13,543 $ - $ (498,016) Millburn LLC 798,025 519,941 13,682 54,472 209,930 ------------ -------------- ---------------- ----------- ---------------- Total $ 828,234 $ 1,034,623 $ 27,225 $ 54,472 $ (288,086) ============ ============== ================ =========== ================ TOTAL ALL UNITS - --------------- JWH LLC $ 81,116 $ 1,947,394 $ 51,247 $ - $ (1,917,525) Millburn LLC 3,002,361 1,963,419 51,668 204,058 783,216 ------------ -------------- ---------------- ----------- ---------------- Total $ 3,083,477 $ 3,910,813 $ 102,915 $ 204,058 $ (1,134,309) ============ ============== ================ =========== ================
6 Condensed statements of financial condition and statements of operations for JWH LLC and Millburn LLC are set forth as follows:
September 30, 2000 December 31, 1999 (unaudited) ------------------------------- ------------------------------ JWH Millburn JWH Millburn LLC LLC LLC LLC --------------- --------------- -------------- -------------- Assets $ 11,881,545 $ 13,564,288 $ 20,495,709 $ 23,769,789 =============== =============== ============== ============== Liabilities $ 1,046,097 $ 1,176,966 $ 652,166 $ 737,160 Members' Capital 10,835,448 12,387,322 19,843,543 23,032,629 --------------- --------------- -------------- -------------- Total $ 11,881,545 $ 13,564,288 $ 20,495,709 $ 23,769,789 =============== =============== ============== ============== JWH LLC For the three For the three For the nine For the nine months ended months ended months ended months ended September 30, September 30, September 30, September 30, 2000 1999 2000 1999 (unaudited) (unaudited) (unaudited) (unaudited) --------------- --------------- --------------- --------------- Revenues $ (856,684) $ (2,906,967) $ (3,587,475) $ 81,116 Expenses 310,446 652,124 1,121,082 1,998,641 --------------- --------------- --------------- --------------- Net Loss $ (1,167,130) $ (3,559,091) $ (4,708,557) $ (1,917,525) =============== =============== =============== =============== Millburn LLC For the three For the three For the nine For the nine months ended months ended months ended months ended September 30, September 30, September 30, September 30, 2000 1999 2000 1999 (unaudited) (unaudited) (unaudited) (unaudited) --------------- --------------- --------------- --------------- Revenues $ (64,298) $ (1,491,195) $ (4,493,815) $ 3,002,361 Expenses 342,053 223,473 1,267,056 2,219,145 --------------- --------------- --------------- --------------- Net Loss $ (406,351) $ (1,714,668) $ (5,760,871) $ 783,216 =============== =============== =============== ===============
3. FAIR VALUE AND OFF-BALANCE SHEET RISK For the period ended September 30, 2000 and the year ended December 31,1999, the Partnership invested all of its assets in Trading LLC's. Accordingly, the Partnership 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, as amended by SFAS No. 137, had a significant effect on the financial statements of the Partnership, nor does MLIP believe that the application of the provisions of SFAS No. 138 will have an effect on the financial statements. 7 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 (loss) 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. 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 or the Trading LLC's, and include adjusting the percentage of the Partnership's, or the Trading LLC's total assets allocated to trading, 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 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. Apr. May Jun Jul. Aug. Sep. - --------------------------------------------------------------------------------------- 1999 $287.86 $291.22 $288.12 $297.02 $303.11 $319.42 $310.07 $302.24 $289.40 - --------------------------------------------------------------------------------------- 2000 $255.72 $238.38 $230.44 $230.52 $221.13 $201.51 $199.30 $197.17 $189.80 - ---------------------------------------------------------------------------------------
MONTH-END NET ASSET VALUE PER SERIES B UNIT - ---------------------------------------------------------------------------------------- Jan. Feb. Mar. Apr. May Jun. Jul. Aug. Sep. - ---------------------------------------------------------------------------------------- 1999 $233.92 $236.65 $234.15 $241.40 $246.31 $259.56 $251.96 $245.60 $235.20 - ---------------------------------------------------------------------------------------- 2000 $207.89 $193.79 $187.32 $187.37 $179.72 $163.78 $161.98 $160.25 $154.28 - ----------------------------------------------------------------------------------------
MONTH-END NET ASSET VALUE PER SERIES C UNIT - --------------------------------------------------------------------------------------- Jan. Feb. Mar. Apr. May Jun. Jul. Aug. Sep. - --------------------------------------------------------------------------------------- 1999 $182.30 $184.43 $182.48 $188.13 $191.96 $202.28 $196.36 $191.41 $183.30 - --------------------------------------------------------------------------------------- 2000 $162.02 $151.03 $145.99 $146.03 $140.07 $127.64 $126.24 $124.89 $120.24 - ---------------------------------------------------------------------------------------
Performance Summary January 1, 2000 to September 30, 1999 - -------------------------------------- January 1, 1999 to March 31, 1999 The Partnership produced gains 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 for the Partnership. 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. April 1, 1999 to June 30, 1999 During the second quarter of 1999, the Partnership's NAV increased as the Partnership profited from trading in the interest rate, metals, stock indices and currencies markets. Interest rate trading was profitable as the flight to quality in the bond market reversed during the first half of 1999 and concerns about higher interest rates in the U.S. continued to rattle the financial markets. In the metals sector, there were also gains. Throughout the first half of 1999, gold prices were in a state of gradual erosion and in early June, prices hit their lowest levels in over 20 years. Gold continued to show a lack of response to political and military events such as Kosovo and also lost much of its role as a monetary asset and flight to safety vehicle. The economic scenario for Asia, Brazil, emerging market nations and Europe helped keep copper and other base metals on the defensive as demand receded with virtually no supply side response. Stock index trading also resulted in gains overall for the quarter, as equity markets rallied worldwide in April and June. Currency trading also resulted in gains for the Partnership. After suffering under the weight of lower commodity prices and the Asian recession, the Canadian dollar underwent a significant rally in the first half of 1999, moving up about 3 cents from the end of 1998. It has been in a corrective mode since early May, but unlike past years has retained much of its gain. July 1, 1999 to September 30, 1999 During the third quarter of 1999, the Partnership's NAV decreased. Trading in the interest rate, stock index, metals and currencies markets all resulted in losses. Interest rate trading was unprofitable for the third quarter. Eurodollar trading generated losses amidst speculation of the probability of a tightening bias by the U.S. Federal Reserve. Eurodollar contracts gave up much of the gains that they enjoyed following the Federal Open Market Committee's adoption of a neutral bias. The Partnership suffered losses in stock index positions as trading throughout the quarter was volatile. Though the S&P finished the third quarter by breaking its post-October 1998 highs, stock index trading was mixed due to significant volatility globally. Trading in the metals markets was also unprofitable for the Partnership. A major statement from the President of the European Central Bank sent gold prices sharply higher in late September. A key part of the statement was the fact that the banks have agreed not to expand their gold lending. This initiated the first bullish bias in years. Aluminum prices also traded higher even despite a 5-year low in early March, managing to gain nearly 25 percent this year. Steady Japanese consumer buying and the strength in the yen versus the dollar have played a part in this. Currency trading resulted in losses for the quarter as well. The Bank of Japan refused to ease monetary policy which caused the yen to reach a two-year high during the quarter. The most positive sign in Japan was that, for the second quarter in a row, domestic consumption exceeded that of the year ago quarter. January 1, 2000 to September 30, 2000 - ------------------------------------- January 1, 2000 to March 31, 2000 Currency trading alternated throughout 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. 9 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 Partnership. 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. April 1, 2000 to June 30, 2000 Metals trading was unprofitable for the quarter. During the middle of the quarter, copper trading resulted in losses for the sector. A Freeport, Indonesia mine announced output cuts would not be as large as the Indonesian government had forecast, resulting in losses for the Partnership's long positions. Losses continued through the quarter as trading in both base and precious metals was unprofitable as losses were sustained in gold and aluminum positions. As has been the ongoing pattern, gold showed virtually no response to activities in the financial and equity markets, including the surge in energy prices. Currency trading proved unprofitable for the Partnership. Early in the quarter, gains from long Swiss franc positions could not outweighed losses sustained in other currencies. Despite the dramatic interest rate hikes by the Swiss National Bank ("SNB"), the SNB said it will not keep the Swiss franc from rising. Currency trading resulted in losses for the sector during May despite gains in short positions in the British pound, as losses were sustained in Euro futures trading. The Euro rallied to U.S. $0.97 early in June, but faced profit-taking after news of some capital outflow from Euroland. Stock index trading was unprofitable as losses were sustained in Nikkei 225 and S&P 500 positions in the quarter. Signs of rising inflation fueled fears that the Federal Reserve will continue to raise interest rates aggressively to slow the robust economy. Interest rate trading results were unprofitable for the quarter. Losses from U.S. Treasury note trading exceeded gains from Japanese 10-year bond positions. U.S. yields fell during the month as investors shifted to Treasuries due to increased volatility in the NASDAQ and other equity markets. Losses were incurred in Euro dollar and Euro-Bund positions. Short positions resulted in losses as the Euro dollar improved after the European Central Bank's 50 basis point repo rate hike. July 1, 2000 to September 30, 2000 During the third quarter of 2000, the Partnership's NAV decreased as trading in currencies, interest rate, stock index and metals markets were unprofitable. Losses in Japanese yen and euros eroded gains from British pound, Australian dollar and Thailand baht trading. The yen finished weaker against the dollar in anticipation that the U.S. Federal Reserve would continue to increase interest rates. The Euro faced a difficult year of trading as the depressed currency had a late-September bounce in the wake of the European Central Bank's intervention, expressing plans to sell some of its foreign exchange reserves. Stock index trading was unprofitable for the quarter. Slight gains in Topix positions were offset with losses in DAX German Stock Index, Nikkei 225 and FTSE Financial Times Stock Index trading. Losses sustained from gold and aluminum positions outweighed gains from copper trading. Gold prices declined in July as a result of the Bank of England's bullion auction. Despite gains from gold trading in August, the metals sector was unprofitable as a result of zinc and nickel trading. Nickel prices declined as demand slowed for stainless steel in Europe and Asia. By quarter end, copper trading was profitable as demand from Asia, particularly China, pushed prices higher. Despite gains from Japanese government bond positions in the beginning of the quarter, interest rate trading was unprofitable as the Partnership had losses in U.S. Treasury bond, Japanese 10-year bond and Australian 10-year bond trading. 10 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. Item 3. Defaults Upon Senior Securities None. Item 4. Submission of Matters to a Vote of Security Holders None. Item 5. Other information As part of a restructuring of Merrill Lynch's investment management operations, Merrill Lynch Investment Partners Inc. ("MLIP") and other Merrill Lynch advisory entities are being consolidated under Merrill Lynch Investment Managers ("MLIM"), the principal Merrill Lynch investment management affiliate. MLIP is now part of MLIM's Alernative Investments group, headed by Ron Rosenberg, Managing Director and former head of Merrill Lynch's Global Hedge Fund Sales and International Fixed Income Group. Fabio Savoldelli, Managing Director and head of MLIM - Alternative Strategies, has assumed management responsibilities for MLIP's business, reporting to Mr. Rosenberg. In connection with this consolidation, John R. Frawley, Jr., the President of MLIP, and certain other MLIP staff members have left Merrill Lynch, effective October 20, 2000. 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 nine months of fiscal 2000. 11 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: November 14, 2000 By /S/ MICHAEL L. PUNGELLO ----------------------- Michael L. Pungello, Duly Authorized Signatory Vice President, Chief Financial Officer and Treasurer 12 EX-27 2 a2028253zex-27.txt EXHIBIT 27
BD 0000853456 ML/JOHN W HENRY & CO/MILLBURN LP 9-MOS 9-MOS DEC-31-2000 DEC-31-1999 JAN-01-2000 JAN-01-1999 SEP-30-2000 SEP-30-1999 0 0 25,216,666 50,375,641 0 0 0 0 0 0 0 0 25,216,666 50,375,641 0 0 1,993,896 659,700 0 0 0 0 0 0 0 0 0 0 0 0 0 0 23,222,770 49,715,941 25,216,666 50,375,641 0 0 0 0 0 0 (10,469,428) (1,134,309) 0 0 0 0 0 0 (10,469,428) (1,134,309) (10,469,428) (1,134,309) 0 0 0 0 (10,469,428) (1,134,309) (56.27) (4.93) (56.27) (4.93)
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