-----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, J58D0sWHwhuhaBIuEIixwiHczXbCc1ngnb4plN/v/UL3LuBnp9Zyy4imf4dFC1FD ljD1OcRJIbNosprDra/Jig== 0000950130-97-003613.txt : 19970814 0000950130-97-003613.hdr.sgml : 19970814 ACCESSION NUMBER: 0000950130-97-003613 CONFORMED SUBMISSION TYPE: 10-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 19970630 FILED AS OF DATE: 19970813 SROS: NONE 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: 1934 Act SEC FILE NUMBER: 000-18215 FILM NUMBER: 97657781 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 FORM 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 June 30, 1997 ----------------- 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. Merrill Lynch World Headquarters - South Tower, 6th Fl. World Financial Center New York, New York 10080-6106 ----------------------------------------------------- (Address of principal executive offices) (Zip Code) 212-236-5662 --------------------------------------------------- (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 --- --- This document contains 14 pages. PART I - FINANCIAL INFORMATION Item 1. Financial Statements JOHN W. HENRY & CO./MILLBURN L.P. (a Delaware limited partnership) --------------------------------- STATEMENTS OF FINANCIAL CONDITION ---------------------------------
June 30, December 31, 1997 1996 ---- ---- ASSETS Investments $59,848,195 $60,834,087 Receivable from investments 195,297 779,075 -------------- ----------------- TOTAL $60,043,492 $61,613,162 ============== ================= LIABILITIES AND PARTNERS' CAPITAL - --------------------------------- LIABILITIES: Redemptions payable $195,297 $778,385 Profit shares payable - 689 -------------- ----------------- Total liabilities 195,297 779,074 -------------- ----------------- PARTNERS' CAPITAL: General Partner: (780 and 780 Series A Units) 200,632 196,983 (1976 and 1976 Series B Units) 413,156 405,594 (1439 and 1439 Series C Units) 234,484 230,192 Limited Partners: (53345 and 55596 Series A Units) 13,721,595 14,040,479 (141653 and 146552 Series B Units) 29,619,005 30,082,484 (96095 and 99256 Series C Units) 15,659,323 15,878,356 -------------- ----------------- Total partners' capital 59,848,195 60,834,088 -------------- ----------------- TOTAL $60,043,492 $61,613,162 ============== ================= NET ASSET VALUE PER UNIT Series A (Based on 54125 and 56376 Units outstanding) $257.22 $252.54 ============== ================= Series B (Based on 143629 and 148528 Units outstanding) $209.10 $205.27 ============== ================= Series C (Based on 97534 and 100695 Units outstanding) $162.96 $159.97 ============== =================
See notes to financial statements. 2 JOHN W. HENRY & CO./MILLBURN L.P. --------------------------------- (a Delaware limited partnership) -------------------------------- STATEMENTS OF OPERATIONS ------------------------
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, 1997 1996 1997 1996 -------------- -------------- -------------- -------------- REVENUES: Trading profits (loss): Realized $ - $615,673 $ - $1,380,114 Change in unrealized - 904,623 - 191,595 -------------- -------------- -------------- -------------- Total trading results - 1,520,296 - 1,571,709 -------------- -------------- -------------- -------------- Interest income - 565,881 - 1,166,996 Income from investments (2,529,972) - 1,193,136 - -------------- -------------- -------------- -------------- Total revenues (2,529,972) 2,086,177 1,193,136 2,738,705 -------------- -------------- -------------- -------------- EXPENSES: Profit shares - - - 9,079 Brokerage commissions - 1,622,231 - 3,372,919 Administrative fees - 34,516 - 71,763 -------------- -------------- -------------- -------------- Total expenses - 1,656,747 - 3,453,761 -------------- -------------- -------------- -------------- NET INCOME (LOSS) $(2,529,972) $429,430 $1,193,136 $(715,056) ============== ============== ============== ============== NET INCOME (LOSS) PER UNIT: Weighted average number of units outstanding 298,128 333,061 300,829 339,371 ============== ============== ============== ============== Weighted average net income (loss) per Limited Partner and General Partner Unit $(8.49) $1.29 $3.97 $(2.11) ============== ============== ============== ==============
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 six months ended June 30, 1997 and 1996 -----------------------------------------------
Units Limited Partners ----- --------------- Series A Series B Series C Series A Series B ---------- ---------- --------- ------------- ------------- PARTNERS' CAPITAL, December 31, 1995 63,573 168,337 117,797 $13,205,024 $28,450,897 Redemptions (4,415) (12,550) (9,387) (979,241) (2,147,090) Net loss - - - (129,014) (364,551) ---------- ---------- --------- ------------- ------------- PARTNERS' CAPITAL, June 30, 1996 59,158 155,787 108,410 $12,096,769 $25,939,256 ========== ========== ========= ============= ============= PARTNERS' CAPITAL, December 31, 1996 56,376 148,528 100,695 $14,040,479 $30,082,484 Redemptions (2,251) (4,899) (3,161) (601,205) (1,055,894) Net income - - - 282,321 592,415 ---------- ---------- --------- ------------- ------------- PARTNERS' CAPITAL, June 30, 1997 54,125 143,629 97,534 $13,721,595 $29,619,005 ========== ========== ========= ============= ============= General Partner --------------- Series C Series A Series B Series C Total ------------ ---------- ---------- ------------- ------------- PARTNERS' CAPITAL, December 31, 1995 $15,571,401 $164,028 $337,920 $192,564 $57,921,834 Redemptions (1,262,417) - - - $(4,388,748) Net loss (211,467) (2,402) (4,694) (2,928) $(715,056) ------------ ---------- ---------- ------------- ------------- PARTNERS' CAPITAL, June 30, 1996 $14,097,517 $161,626 $333,226 $189,636 $52,818,030 ============ ========== ========== ============= ============= PARTNERS' CAPITAL, December 31, 1996 $15,878,356 $196,983 $405,594 $230,192 $60,834,088 Redemptions (521,930) - - - $(2,179,029) Net income 302,897 3,649 7,562 4,292 $1,193,136 ------------ ---------- ---------- ------------- ------------- PARTNERS' CAPITAL, June 30, 1997 $15,659,323 $200,632 $413,156 $234,484 $59,848,195 ============ ========== ========== ============= =============
See notes to financial statements. 4 JOHN W. HENRY & CO./MILLBURN L.P. --------------------------------- (A Delaware Limited Partnership) -------------------------------- NOTES TO FINANCIAL STATEMENTS 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 June 30, 1997 and the results of its operations for the six months ended June 30, 1997 and 1996. 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, 1996 (the "Annual Report"). 2. INVESTMENTS At June 30, 1997, the Partnership had investment in the ML JWH Financial and Metals Portfolio L.L.C. ("JWH LLC") and ML Millburn Global L.L.C. ("Millburn LLC"). Total revenues and fees with respect to such investment is set forth as follows:
For the three months Total Brokerage Administrative Profit Income (loss) ended June 30, 1997 Revenue Commissions Fees Shares from Investments ---------------- ------------- ---------------- ------------- ----------------- SERIES A UNITS JWH LLC ($324,897) $155,602 $4,094 $ - $(484,593) Millburn LLC 60,246 182,786 4,810 (24,919) (102,431) ---------------- -------------- --------------- ---------------- ---------------- Total $(264,651) $338,388 $8,904 $(24,919) $(587,024) ================ ============== =============== ================ ================ SERIES B UNITS JWH LLC $(700,431) $335,091 $8,818 $ - $(1,044,340) Millburn LLC 131,882 395,769 10,415 (53,665) (220,637) ---------------- -------------- --------------- ---------------- ---------------- Total $(568,549) $730,860 $19,233 $(53,665) $(1,264,977) ================ ============== =============== ================ ================ SERIES C UNITS JWH LLC $(376,795) $178,460 $4,696 $ - $(559,951) Millburn LLC 69,592 210,777 5,547 (28,712) (118,020) ---------------- -------------- --------------- ---------------- ---------------- Total $(307,203) $389,237 $10,243 $(28,712) $(677,971) ================ ============== =============== ================ ================ TOTAL ALL UNITS JWH LLC $(1,402,123) $669,153 $17,608 $ - $(2,088,884) Millburn LLC 261,720 789,332 20,772 (107,296) (441,088) ---------------- -------------- --------------- ---------------- ---------------- Total $(1,140,403) $1,458,485 $38,380 $(107,296) $(2,529,972) ================ ============== =============== ================ ================
5
For the six months Total Brokerage Administrative Profit Income (loss) ended June 30, 1997 Revenue Commissions Fees Shares from Investments ---------------- ------------- ---------------- ------------- ----------------- SERIES A UNITS JWH LLC ($61,756) $338,554 $8,558 $564 $(409,432) Millburn LLC 1,279,069 389,295 9,850 184,522 695,402 ---------------- -------------- --------------- ---------------- ---------------- Total $1,217,313 $727,849 $18,408 $185,086 $285,970 ================ ============== =============== ================ ================ SERIES B UNITS JWH LLC $(137,602) $728,565 $18,422 $795 $(885,384) Millburn LLC 2,741,131 840,176 21,264 394,330 1,485,361 ---------------- -------------- --------------- ---------------- ---------------- Total $2,603,529 $1,568,741 $39,686 $395,125 $599,977 ================ ============== =============== ================ ================ SERIES C UNITS JWH LLC $(79,777) $386,426 $9,772 $345 $(476,320) Millburn LLC 1,448,631 445,778 11,284 208,060 783,509 ---------------- -------------- --------------- ---------------- ---------------- Total $1,368,854 $832,204 $21,056 $208,405 $307,189 ================ ============== =============== ================ ================ TOTAL ALL UNITS JWH LLC $(279,135) $1,453,545 $36,752 $1,704 $(1,771,136) Millburn LLC 5,468,831 1,675,249 42,398 786,912 2,964,272 ---------------- -------------- --------------- ---------------- ---------------- Total $5,189,696 $3,128,794 $79,150 $788,616 $1,193,136 ================ ============== =============== ================ ================
6 3. INCOME (LOSS) PER UNIT The profit and loss of the Series A, Series B and Series C Units for the three months ended June 30, 1997 and 1996 is as follows:
1997 1996 --------------------------------------- ---------------------------------- Series A Series B Series C Series A Series B Series C ----------- --------------- ----------- ---------- ----------- ----------- REVENUES: Trading profits (loss): Realized $ - $ - $ - $157,322 $298,959 $159,392 Change in unrealized - - - 212,893 450,062 241,668 ----------- --------------- ----------- ---------- ----------- ----------- Total trading results - - - 370,215 749,021 401,060 ----------- --------------- ----------- ---------- ----------- ----------- Interest income 127,298 282,715 155,868 Income from investments (587,025) (1,264,978) (677,969) - - - ----------- --------------- ----------- ---------- ----------- ----------- Total revenues (587,025) (1,264,978) (677,969) 497,513 1,031,736 556,928 ----------- --------------- ----------- ---------- ----------- ----------- EXPENSES: Profit shares - - - - - - Brokerage commissions - - - 370,034 808,906 443,291 Administrative fees - - - 7,875 17,211 9,430 ----------- --------------- ----------- ---------- ----------- ----------- Total expenses - - - 377,909 826,117 452,721 ----------- --------------- ----------- ---------- ----------- ----------- NET INCOME $(587,025) $(1,264,978) $(677,969) $119,604 $205,619 $104,207 =========== =============== =========== ========== =========== =========== NET INCOME (LOSS) Weighted average number of units outstanding 54,476 144,739 98,913 59,684 160,677 112,700 =========== =============== =========== ========== =========== =========== Weighted average net income (loss) per Limited Partner and General Partner Unit $(10.78) $(8.74) $(6.85) $2.00 $1.28 $0.92 =========== =============== =========== ========== =========== ===========
7 The profit and loss of the Series A, Series B and Series C Units for the six months ended June 30, 1997 and 1996 is as follows:
1997 1996 ---------------------- ----------- ---------------------- ----------- Series A Series B Series C Series A Series B Series C ----------- ---------- ----------- ----------- ---------- ----------- REVENUES: Trading profits (loss): Realized $ - $ - $ - $345,225 $673,456 $361,433 Change in unrealized - - - 50,596 95,249 45,750 ----------- ---------- ----------- ----------- ---------- ----------- Total trading results - - - 395,821 768,705 407,183 Interest income 262,601 583,009 321,386 Income from investments 285,970 599,977 307,189 - - - ----------- ---------- ----------- ----------- ---------- ----------- Total revenues 285,970 599,977 307,189 658,422 1,351,714 728,569 ----------- ---------- ----------- ----------- ---------- ----------- EXPENSES: Profit shares - - - 16,339 35,831 19,593 Brokerage commissions - - - 767,943 1,684,061 920,915 Administrative fees - - - 5,557 1,065 2,457 ---------------------------------- ----------- ---------- ----------- Total expenses - - - 789,839 1,720,957 942,965 ----------- ---------- ----------- ----------- ---------- ----------- NET INCOME $285,970 $599,977 $307,189 $(131,417) $(369,243) $(214,396) =========== ========== =========== =========== ========== =========== NET INCOME (LOSS) PER UNIT: Weighted average number of units outstanding 55,126 146,186 99,517 60,901 163,857 114,613 =========== ========== =========== =========== ========== =========== Weighted average net income (loss) per Limited Partner and General Partner Unit $5.19 $4.10 $3.09 $(2.16) $(2.25) $(1.87) =========== ========== =========== =========== ========== ===========
8 4. FAIR VALUE AND OFF-BALANCE SHEET RISK The Partnership's revenues by reporting category for the respecitive periods were as follows For the three For the six months ended months ended June 30, June 30, 1996 1996 ---------------- ----------------- Interest rate & Stock indices $(2,306,005) $(2,450,982) Currencies 2,972,081 4,229,451 Metals 854,220 (206,760) ---------------- ----------------- $1,520,296 $1,571,709 ================ ================= The average fair value of the Partnership's derivative instrument positions which were open as of the end of each calendar month during the six months ended December 31, 1996 were as follows (there were no open contracts for each of the six months ended June 30, 1997): 1996 ------------------------------------- Commitment to Commitment to Purchase (Futures, Sell (Futures, Options & Options & Forwards) Forwards) ------------------------------------- Interest rate & Stock indices $237,102,957 $183,615,337 Indices 13,728,737 6,759,498 Currencies 296,018,497 334,030,991 Metals 18,491,709 29,682,273 ------------- --------------- $565,341,900 $554,088,099 ============= =============== Item 2: Management's Discussion and Analysis of Financial Condition and Results of Operations Operational Overview: Advisor Selections - ---------------------------------------- Due to the nature of the Fund's business, its results of operations depend on Merrill Lynch Investment Partners Inc.'s, ("MLIP") ability to select Advisors and determine the appropriate percentage of assets to allocate to them for trading, as well as the Advisors' ability to recognize and capitalize on trends and other profit opportunities in different sectors of the world commodity markets. MLIP's leveraging analysis, as well as the Advisors' trading methods, are confidential, so that substantially the only information that can be furnished regarding the Fund's results of operations is contained in the performance record of its trading. Unlike operating businesses, general economic or seasonal conditions do not directly affect the profit potential of the Fund, and its past performance is not necessarily indicative of future results. Because of the speculative nature of its trading, operational or economic trends have little relevance to the Fund's results. MLIP believes, however, that there are certain market conditions, for example, markets with strong price trends, in which the Fund has a better likelihood of being profitable than in others. 9 Results of Operations - General - ------------------------------- MLIP believes that multi-Advisor futures funds should be regarded as medium- to long-term investments but, unlike an operating business, it is difficult to identify "trends" in the Fund's operations and virtually impossible to make any predictions regarding future results based on results to date. Markets in which sustained price trends occur with some frequency tend to be more favorable to managed futures investments than "whipsaw," "choppy" markets, but (i) this is not always the case, (ii) it is impossible to predict when trending markets will occur and (iii) different Advisors are affected differently by trends in general as well as by particular types of trends. The Fund controls credit risk in its trading in the derivatives markets by trading only through Merrill Lynch entities which MLIP believes to be creditworthy. The Fund attempts to control the market risk inherent in its derivatives trading by utilizing a multi-advisor, multi-strategy structure. This structure purposefully attempts to diversify the Fund's Advisor group among different strategy types and market sectors in an effort to reduce risk (although the Fund's portfolio currently emphasizes technical and trend-following approaches). Performance Summary - ------------------- SERIES A UNITS: During the first six months of 1996, the Series' average month-end Net Assets equaled $12,845261, and the Series recognized gross trading profit of $395,824 or 3.08% of average month-end Net Assets. Brokerage commissions of $767,943 or 5.98%, Administrative fees of $16,338 or .13% and Profit shares of $5,558 or .04% of average month-end Net Assets were paid. Interest income of $262,602 or 2.04% of average month-end Net Assets resulted in a net loss of $131,413 or 1.02%) of average month-end Assets which resulted in a 1.46% decrease in the Net Asset Value per Unit since December 31, 1995. During the first six months of 1997, the Series' average month-end Net Assets equaled $14,460,252. Income from investments resulted in a net gain of $285,970 or 1.98% of average month-end Net Assets which resulted in a 1.85% increase in the Net Asset Value per Unit since December 31, 1996. During the first six months of 1997 and 1996, the Series experienced 5 profitable months and 7 unprofitable months. MONTH-END NET ASSET VALUE PER SERIES A UNIT ---------------------------------------------------------- Jan. Feb. Mar. Apr. May Jun. ---------------------------------------------------------- 1996 $231.67 $209.48 $205.35 $213.42 $204.22 $207.21 ---------------------------------------------------------- 1997 $273.52 $270.58 $267.94 $261.04 $251.03 $257.22 ---------------------------------------------------------- SERIES B UNITS: During the first six months of 1996, the Series' average month-end Net Assets equaled $28,174,692, and the Series recognized gross trading profit of $768,705 or 2.73% of such average month-end Net Assets. Brokerage commissions of $1,684,061 or 5.98%, Administrative fees of $35,831 or .13% and Profit shares of $1,066 or .004% of average month-end Net Assets were paid. Interest income of $583,008 or 2.07% of average month-end Net Assets resulted in net loss of $369,245 or 1.31% of average month-end Net Assets which resulted in a 1.39% decrease in the Net Asset Value per Unit since December 31, 1996. During the first six months of 1997, the Series' average month-end Net Assets equaled $31,188,445. Income from investments resulted in net gain of $599,977 or 1.92% of average month-end Net Assets which resulted in a 1.87% increase in the Net Asset Value per Unit since December 31, 1996. During the first six months of 1997 and 1996, the Series experienced 5 profitable months and 7 unprofitable months. MONTH-END NET ASSET VALUE PER SERIES B UNIT ----------------------------------------------------------- Jan. Feb. Mar. Apr. May Jun. ----------------------------------------------------------- 1996 $188.93 $171.14 $167.47 $173.94 $166.31 $168.64 ----------------------------------------------------------- 1997 $222.32 $219.93 $217.78 $212.17 $204.08 $209.10 ----------------------------------------------------------- SERIES C UNITS: During the six months of 1996, the Series' average month-end Net Assets equaled $15,398,289, and the Series realized gross trading profit of $407,180 or 2.64% of such average month-end Net Assets. Brokerage commissions of $920,915 or 5.98%, Administrative fees of $19,594 or .13% and Profit shares of $2,455 or .02% of average month-end Net Assets were paid. Interest income of $321,386 or 2.09% of average month-end Net Assets resulted in net loss of $214,398 or 1.39% of average month-end Net Assets which resulted in a 1.52% decrease in the Net Asset Value since December 31, 1995. 10 During the first six months of 1997, the Series' average month-end Net Assets equaled $16,549,191. Income from Investments resulted in net gain of $307,189 or 1.86% of average month-end Net Assets which resulted in a 1.87% increase in the Net Asset Value since December 31, 1996. During the first six months of 1997 and 1996, the Series experienced 5 profitable months and 7 unprofitable months. MONTH-END NET ASSET VALUE PER SERIES C UNIT ----------------------------------------------------------- Jan. Feb. Mar. Apr. May Jun. ----------------------------------------------------------- 1996 $147.90 $133.80 $130.88 $135.93 $129.91 $131.79 ----------------------------------------------------------- 1997 $173.26 $171.40 $169.73 $165.35 $159.04 $162.96 ----------------------------------------------------------- Importance of Market Factors - ---------------------------- Comparisons between the Fund's performance in a given period in one fiscal year to the same period in a prior year are unlikely to be meaningful, given the uncertainty of price movements in the markets traded by the Fund. In general, MLIP expects that the Fund is most likely to trade successfully in markets which exhibit strong and sustained price trends. The Advisors' emphasizes technical and trend-following methods. Consequently, one would expect that in trendless, "choppy" markets the Fund would likely be unprofitable, while in markets in which major price movements occur, the Fund would have its best profit potential (although there could be no assurance that the Fund would, in fact, trade profitably). However, trend-followers not infrequently will miss major price movements, and market corrections can result in rapid and material losses (sometimes as much as 5% in a single day). Although MLIP monitors market conditions and Advisor performance on an ongoing basis in overseeing the Fund's trading, MLIP does not attempt to "market forecast" or to "match" trading styles with predicted market conditions. Because managed futures advisors' strategies are proprietary and confidential and market movements unpredictable, selecting advisors to implement speculative trading strategies involves considerable uncertainty. Furthermore, the concentration of the Fund's current Advisor portfolio, both in terms of the number of managers retained and the common emphasis of their strategies on technical and trend-following methods, increases the risk that unexpectedly bad performance, turbulent market conditions or a combination of the two will result in significant losses. Liquidity - --------- Most of the Partnership's assets are held as cash which, in turn, is used to margin its futures positions and earn interest income and is withdrawn, as necessary, to pay redemptions and fees. The futures contracts in which the Partnership trades may become illiquid under certain market conditions. Commodity exchanges limit fluctuations in futures prices during a single day by regulations referred to as "daily limits." During a single day no trades may be executed at prices beyond the daily limit. Once the price of a futures contract for a particular commodity has increased or decreased by an amount equal to the daily limit, positions in the commodity can generally neither be taken nor liquidated unless traders are willing to effect trades at or within the limit. Futures contracts have occasionally moved to the daily limit for several consecutive days with little or no trading. Such market conditions could prevent the Partnership from promptly liquidating its futures (including its options) positions. There are no limitations on the daily price moves in trading foreign currency forward contracts through banks, although illiquidity may develop in the forward markets due to large spreads between "bid" and "ask" prices quoted. (Forward contracts are the bank version of currency futures contracts and are not traded on exchanges.) Capital Resources - ----------------- The Partnership does not have, nor does it expect to have, any capital assets and has no material commitments for capital expenditures. The Partnership uses its assets to supply the necessary margin or premiums for, and to pay any losses incurred in connection with, its trading activity and to pay redemptions and fees. Inflation is not a significant factor in the Fund's profitability, although inflationary cycles can give rise to the type of major price movements which can have a materially favorable or adverse impact on the Fund's performance. 11 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. John W. Henry & Company, Inc., ("JWH") is one of the Advisors retained by the Fund, managing approximately 46.51% of the fund's assets committed to trading as of July 1, 1997. In September 1996, JWH was named as a co-defendant in a class action lawsuits brought in the California Superior Court, Los Angeles County and in the New York Supreme Court, New York County. In November, JWH was named as a co-defendant in a class action complaint filed in Superior Court of the State of Delaware for Newcastle County that contained the same allegations as the New York and California complaints. The actions, which seek unspecified damages, purport to be brought on behalf of investors in certain Dean Witter, Discover & Co. ("Dean Witter") commodity pools, some of which are advised by JWH, and are primarily directed at Dean Witter's alleged fraudulent selling practices in connection with the marketing of those pools. JWH is essentially alleged to have aided and abetted or directly participated with Dean Witter in those practices. JWH believes the allegations against it are without merit; it intends to contest these allegations vigorously, and is convinced that it will be shown to have acted properly and in the best interest of the investors. On June 24, 1997, the Commodity Futures Trading Commission("CFTC") accepted an Offer of Settlement from Merrill Lynch Futures Inc. ("MLF") and others, in a matter captioned "In the Matter of Mitsubishi Corporation and Merrill Lynch Futures Inc., et al.", CFTC Docket No. 97-10, pursuant to which MLF, without admitting or denying the allegations against it, consented to a finding by the CFTC that MLF had violated Section 4c(a)(A) of the Commodity Exchange Act (the "Act"), relating to wash sales, and CFTC Regulation 1.37(a), relating to recordkeeping requirements . MLF agreed to cease and desist from violating Section 4c(a)(A) of the Act and Regulation 1.37(a), and to pay a civil monetary penalty of $175,000. Item 2. Changes in Securities None. Item 3. Defaults Upon Senior Securities None. Item 4. Submission of Matters to a Vote of Security Holders None. Item 5. Other information James M. Bernard, formerly a Senior Vice President of MLIP is no longer with the firm. Michael A. Karmelin has been appointed Chief Financial Officer, Vice President and Treasurer of MLIP. Mr. Karmelin assumed these positions on April 14, 1997, when he completed his tenure as Chief Financial Officer of Merrill Lynch, Hubbard Inc. ("ML Hubbard"), a sponsor of real estate limited partnerships. Mr. Karmelin was born in 1947. Mr. Karmelin joined ML Hubbard in January 1994 as a Vice President. From May 1994 until he joined MLIP, Mr. Karmelin was the Chief Financial Officer of ML Hubbard, responsible for its accounting, treasury and tax functions. Prior to joining ML Hubbard, Mr. Karmelin held several senior financial positions with Merrill Lynch & Co., Inc. ("ML&Co.") and Merrill Lynch, Pierce, Fenner & Smith Incorporated from December 1985 to December 1993, including Vice President/Senior Financial Officer Corporate Real Estate and Purchasing, Manager Commitment Control/Capital Budgeting, and Senior Project Manager/Project Analysis. Prior to joining ML&Co., Mr. Karmelin was employed at Avco Corporation for 17 years, where he held a variety of financial positions. Mr. Karmelin holds a B.B.A. degree in Accounting from Baruch College, C.U.N.Y. and a Master of Business Administration degree in Corporate Strategy and Finance from New York University. Mr. Karmelin passed the Certified Public Accountant examination in 1974 and is a member of the Treasury Management Association, the Institute of Management Accountants and The Strategic Leadership Forum. 12 Item 6. Exhibits and Reports on Form 8-K. (a) Exhibits There are no exhibits required to be filed as part of this document. (b) Reports on Form 8-K There were no reports on Form 8-K filed during the first six months of fiscal 1997. 13 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. JOHN W. HENRY & CO./MILLBURN L.P. By: MERRILL LYNCH INVESTMENT PARTNERS INC. (General Partner) Date: August 13, 1997 By /s/JOHN R. FRAWLEY, JR. ----------------------- John R. Frawley, Jr. President, Chief Executive Officer and Director Date: August 13, 1997 By /s/MICHAEL A. KARMELIN ---------------------- Michael A. Karmelin Chief Financial Officer, Vice President and Treasurer 14 EX-27 2 FINANCIAL DATA SCHEDULE
BD 6-MOS 6-MOS DEC-31-1996 DEC-31-1995 JAN-01-1997 JAN-01-1996 JUN-30-1997 JUN-30-1996 0 0 60043492 53920552 0 0 0 0 0 0 0 0 60043492 53922552 0 0 195297 1104522 0 0 0 0 0 0 0 0 0 0 0 0 0 0 59848195 52818030 60043492 53922522 0 1571709 0 1166996 0 3453761 1193136 0 0 0 0 0 0 0 1193136 (715056) 1193136 (715056) 0 0 0 0 1193136 (715056) 3.97 (2.11) 3.97 (2.11)
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