-----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, IG/MWM0hln1XjhQKDjQb2vAjFT7EjOfE18egcpddNxwzetAhinfaIT8fRk5vcKu5 ukUf4W9xbjqbCqzsHMMOVg== 0000912057-01-515142.txt : 20010515 0000912057-01-515142.hdr.sgml : 20010515 ACCESSION NUMBER: 0000912057-01-515142 CONFORMED SUBMISSION TYPE: 10-Q PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20010331 FILED AS OF DATE: 20010514 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: 1631961 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 a2046368z10-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 March 31, 2001 -------------- 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, 2001 2000 (unaudited) ----------------- ------------- ASSETS Investments $ 31,990,711 $ 29,423,145 Receivable from investments 687,246 414,650 ----------------- ------------- TOTAL $ 32,677,957 $ 29,837,795 ================= ============= LIABILITY AND PARTNERS' CAPITAL Redemptions payable $ 687,246 $ 414,650 ----------------- ------------- Total liabilities 687,246 414,650 ----------------- ------------- PARTNERS' CAPITAL: General Partner: (327 and 327 Series A Units) 97,236 84,379 (728 and 728 Series B Units) 175,870 152,621 (532 and 532 Series C Units) 100,161 86,921 Limited Partners: (27,177 and 28,737 Series A Units) 8,081,348 7,415,475 (62,538 and 66,325 Series B Units) 15,107,824 13,906,094 (44,766 and 47,598 Series C Units) 8,428,272 7,777,655 ----------------- ------------- Total partners' capital 31,990,711 29,423,145 ----------------- ------------- TOTAL $ 32,677,957 $ 29,837,795 ================= ============= NET ASSET VALUE PER UNIT Series A (based on 27,504 and 29,064 Units outstanding) $ 297.36 $ 258.05 ================= ============= Series B (based on 63,266 and 67,053 Units outstanding) $ 241.58 $ 209.67 ================= ============= Series C (based on 45,298 and 48,130 Units outstanding) $ 188.27 $ 163.40 ================= =============
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, 2001 2000 ------------------ --------------------- REVENUES: Income (loss) from investments $ 4,343,692 $ (4,774,478) ------------------ --------------------- NET INCOME (LOSS) $ 4,343,692 $ (4,774,478) ================== ===================== NET INCOME (LOSS) PER UNIT: Weighted average number of General Partner and Limited Partner Units outstanding 141,368 203,426 ================== ===================== Net income (loss) per weighted average General Partner and Limited Partner Unit $ 30.73 $ (23.47) ================== =====================
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, 2001 AND 2000 (unaudited)
UNITS GENERAL PARTNER LIMITED PARTNERS Series A Series B Series C Series A Series B Series C Series A Series B Series C Total --------- --------- --------- --------- ---------- --------- ------------ ------------ ------------ ------------ PARTNERS' CAPITAL, December 31, 1999 39,839 101,789 66,670 $131,110 $ 282,923 $152,600 $10,232,683 $21,241,923 $10,834,933 $42,876,172 Net loss - - (14,413) (30,682) (16,413) (1,150,452) (2,349,593) (1,212,925) (4,774,478) Redemptions (3,376) (9,015) (5,760) (16,686) (48,448) (30,206) (779,617) (1,717,248) (835,689) (3,427,894) --------- --------- --------- --------- ---------- --------- ------------ ------------ ------------ ------------ PARTNERS' CAPITAL, March 31, 2000 36,463 92,774 60,910 $100,011 $ 203,793 $105,981 $ 8,302,614 $17,175,082 $ 8,786,319 $34,673,800 ========= ========= ========= ========= ========== ========= ============ ============ ============ ============ PARTNERS' CAPITAL, December 31, 2000 29,064 67,053 48,130 $ 84,379 $ 152,621 $ 86,921 $ 7,415,475 $13,906,094 $ 7,777,655 $29,423,145 Net income - - 12,857 23,249 13,240 1,083,035 2,054,426 1,156,885 4,343,692 Redemptions (1,560) (3,787) (2,832) - - - (417,162) (852,696) (506,268) (1,776,126) --------- --------- --------- --------- ---------- --------- ------------ ------------ ------------ ------------ PARTNERS' CAPITAL, March 31, 2001 27,504 63,266 45,298 $ 97,236 $ 175,870 $100,161 $ 8,081,348 $15,107,824 $ 8,428,272 $ 31,990,711 ========= ========= ========= ========= ========== ========= ============ ============ ============ ============
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 March 31, 2001, and the results of its operations for the three month period ended March 31, 2001 and 2000. 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 accounting principles generally accepted in The United States of America have been omitted. It is suggested that these financial statements be read in conjunction with the financial statements and notes thereto included in the Partnership's Annual Report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2000 (the "Annual Report"). 2. INVESTMENTS As of March 31, 2001, the Partnership had an investment in ML JWH Financials and Metals Portfolio L.L.C. ("JWH LLC") and Millburn Global L.L.C. ("Millburn LLC") of $17,096,257 and $14,894,454 respectively. For the year ending December 31, 2000, the Partnership had an investment in JWH LLC and Millburn LLC of $15,281,744 and $14,141,401 respectively. Total revenues and fees with respect to the Partnership's investment are set forth as follows: 5
For the three months Total Brokerage Administrative Income from ended March 31, 2001 Revenue Commissions Fees Investments ------------------ ----------------- ----------------- ------------------ SERIES A UNITS JWH LLC $ 786,701 $ 88,174 $ 2,593 $ 695,934 Millburn LLC 480,106 77,858 2,290 399,958 ------------------ ----------------- ----------------- ------------------ Total $ 1,266,807 $ 166,032 $ 4,883 $ 1,095,892 ================== ================= ================= ================== SERIES B UNITS JWH LLC $ 1,487,802 $ 166,636 $ 4,901 $ 1,316,265 Millburn LLC 914,108 148,336 4,362 761,410 ------------------ ----------------- ----------------- ------------------ Total $ 2,401,910 $ 314,972 $ 9,263 $ 2,077,675 ================== ================= ================= ================== SERIES C UNITS JWH LLC $ 837,428 $ 93,629 $ 2,754 $ 741,045 Millburn LLC 514,870 83,338 2,452 429,080 ------------------ ----------------- ----------------- ------------------ Total $ 1,352,298 $ 176,967 $ 5,206 $ 1,170,125 ================== ================= ================= ================== TOTAL ALL UNITS JWH LLC $ 3,111,931 $ 348,439 $ 10,248 $ 2,753,244 Millburn LLC 1,909,084 309,532 9,104 1,590,448 ------------------ ----------------- ----------------- ------------------ Total $ 5,021,015 $ 657,971 $ 19,352 $ 4,343,692 ================== ================= ================= ================== For the three months Total Brokerage Administrative Loss from ended March 31, 2000 Revenue Commissions Fees 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) ================== ================= ================= ==================
6 Condensed statements of financial condition and statements of operations for JWH LLC and Millburn LLC are set forth as follows:
March 31, 2001 December 31, 2000 ---------------------------------------- ---------------------------------------- JWH Millburn JWH Millburn LLC LLC LLC LLC ------------------- -------------------- ------------------- ------------------- Assets $ 17,611,550 $ 15,329,037 $ 15,631,088 $ 14,448,475 =================== ==================== =================== =================== Liabilities $ 515,293 $ 434,583 $ 349,344 $ 307,074 Members' Capital 17,096,257 14,894,454 15,281,744 14,141,401 ------------------- -------------------- ------------------- ------------------- Total $ 17,611,550 $ 15,329,037 $ 15,631,088 $ 14,448,475 =================== ==================== =================== =================== 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, 2001 2001 2000 2000 ------------------- -------------------- ------------------- ------------------- Revenues $ 3,111,932 $ 1,909,084 $ (1,834,452) $ (1,983,683) Expenses 358,687 318,637 436,673 519,670 ------------------- -------------------- ------------------- ------------------- Net Income (Loss) $ 2,753,245 $ 1,590,447 $ (2,271,125) $ (2,503,353) =================== ==================== =================== ===================
3. FAIR VALUE AND OFF-BALANCE SHEET RISK The Partnership invests 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. The application of the provisions of Statement of Financial Accounting Standards ("SFAS") No. 133, as amended by SFAS No. 137 and SFAS No. 138, did not have 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 Trading LLC's net unrealized profit (loss) on such derivative instruments as reflected in the respective Statements of Financial Condition of the Trading LLCs. 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. The General Partner, Merrill Lynch Investment Partners Inc., ("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 Trading LLC accounts as of the close of business on each day 7 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, through the Trading LLCs, has credit risk in respect of its counterparties and brokers, but attempts to mitigate this risk by dealing almost exclusively with Merrill Lynch entities as clearing brokers. The Partnership, through the Trading LLCs, in its normal course of business, enters into various contracts, with Merrill Lynch Futures ("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 of the Trading LLCs under Equity in commodity futures accounts. 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. ---------------------------------- 2000 $255.72 $238.38 $230.44 ---------------------------------- 2001 $264.13 $265.03 $297.36 ---------------------------------- MONTH-END NET ASSET VALUE PER SERIES B UNIT ----------------------------------- Jan. Feb. Mar. ----------------------------------- 2000 $207.89 $193.79 $187.32 ----------------------------------- 2001 $214.61 $215.32 $241.58 -----------------------------------
8 MONTH-END NET ASSET VALUE PER SERIES C UNIT
---------------------------------- Jan. Feb. Mar. ---------------------------------- 2000 $162.02 $151.03 $145.99 ---------------------------------- 2001 $167.25 $167.81 $188.27 ----------------------------------
Performance Summary All of the Partnership's assets were invested in Trading LLC's. The Partnership received trading profits as an investor in Trading LLC's. The following commentary describes the trading results of Trading LLC's. January 1, 2001 to March 31, 2001 Trading in the interest rate markets was profitable during the quarter. Euro dollar trading was successful in January as the weakening U.S. economy and the Federal Reserve's move to cut interest rate caused Euro dollar futures contracts to rise dramatically from December 2000 lows. Japanese ten-year bond and Euro-bund cross futures trading was profitable in February and March. Despite its volatility, trading in the currency markets resulted in gains. Losses from British pound and the Euro offset early gains from Japanese yen positions. By February, the Euro corrected from a near high 96 cents back to the 90-cent level, causing losses. Profits from Japanese yen and Swiss franc positions realized in March erased losses sustained earlier in the quarter. Stock index trading was moderately successful for the Partnership. Profits from Hang Seng and FTSE Financial Times Stock Index outweighed losses from Nikkei 225, DAX German Stock Index and Topix positions. Global equity markets remain caught between negative news about earnings and the potential positive effects of further monetary easings. Metals trading was moderately unprofitable, almost flat, for the Partnership. Gold, copper and aluminum trading alternated between profitability and unprofitability throughout the quarter. 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 for the Partnership. 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. 9 PART II - OTHER INFORMATION Item 1. Legal Proceedings There are no pending legal proceedings to which the Partnership or MLIP is a party. Item 2. Changes in Securities and Use of Proceeds None. None. None. None. Item 3. Defaults Upon Senior Securities None. Item 4. Submission of Matters to a Vote of Security Holders None. Item 5. Other information None. Item 6. Exhibits and Reports on Form 8-K. (a) EXHIBITS There are no exhibits required to be filed as part of this report. (b) REPORTS ON FORM 8-K There were no reports on Form 8-K filed during the first three months of fiscal 2001. 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, 2001 By /s/ RONALD S. ROSENBERG ----------------------- Ronald S. Rosenberg Chairman and Director Date: May 15, 2001 By /s/ MICHAEL L. PUNGELLO ----------------------- Michael L. Pungello Vice President, Chief Financial Officer and Treasurer 11 -----END PRIVACY-ENHANCED MESSAGE-----