-----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, IVh6pEYrHpgPGDqO2mVlR2afHxm6cXakHFvXO+gWqgwTGMOCZfoOFkzNIF5sIbS4 PmUgqUJoFi1VFMBiefhm9w== 0001047469-05-021483.txt : 20050812 0001047469-05-021483.hdr.sgml : 20050812 20050812152532 ACCESSION NUMBER: 0001047469-05-021483 CONFORMED SUBMISSION TYPE: 10-Q PUBLIC DOCUMENT COUNT: 5 CONFORMED PERIOD OF REPORT: 20050630 FILED AS OF DATE: 20050812 DATE AS OF CHANGE: 20050812 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: 051021317 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 a2161926z10-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 June 30, 2005 ------------- 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 Alternative Investments LLC 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
JUNE 30, 2005 DECEMBER 31, (UNAUDITED) 2004 -------------- -------------- ASSETS Investments in Trading LLCs $ 24,541,795 $ 27,635,033 Receivable from Trading LLCs 723,795 601,536 -------------- -------------- TOTAL ASSETS $ 25,265,590 $ 28,236,569 ============== ============== LIABILITY AND PARTNERS' CAPITAL Administrative fees and other payables $ 12,250 $ 50,000 Redemptions payable 711,545 551,536 -------------- -------------- Total liabilities 723,795 601,536 -------------- -------------- PARTNERS' CAPITAL: General Partner: (189 and 209 Series A Units) 68,609 80,720 (425 and 478 Series B Units) 125,206 149,823 (296 and 339 Series C Units) 67,970 82,822 Limited Partners: (17,100 and 18,554 Series A Units) 6,207,544 7,165,985 (39,793 and 41,696 Series B Units) 11,723,092 13,069,071 (27,650 and 29,006 Series C Units) 6,349,374 7,086,612 -------------- -------------- Total partners' capital 24,541,795 27,635,033 -------------- -------------- TOTAL LIABILITIES AND PARTNERS' CAPITAL $ 25,265,590 $ 28,236,569 ============== ============== NET ASSET VALUE PER UNIT Series A (based on 17,289 and 18,763 Units outstanding) $ 363.01 $ 386.22 ============== ============== Series B (based on 40,218 and 42,174 Units outstanding) $ 294.60 $ 313.44 ============== ============== Series C (based on 27,946 and 29,345 Units outstanding) $ 229.63 $ 244.32 ============== ==============
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 SIX FOR THE SIX MONTHS ENDED MONTHS ENDED MONTHS ENDED MONTHS ENDED JUNE 30, JUNE 30, JUNE 30, JUNE 30, 2005 2004 2005 2004 -------------- -------------- -------------- -------------- TRADING PROFITS (LOSSES): Realized $ 115,735 $ (4,697,484) $ (1,287,643) $ (1,679,828) Change in unrealized 2,455,768 (614,690) 391,817 (2,425,072) -------------- -------------- -------------- -------------- Total trading profits (losses) 2,571,503 (5,312,174) (895,826) (4,104,900) -------------- -------------- -------------- -------------- INVESTMENT INCOME: Interest income 169,143 79,586 328,949 154,160 -------------- -------------- -------------- -------------- EXPENSES: Brokerage commissions 509,394 559,096 1,036,555 1,254,112 Profit Shares - (79,276) - 33,869 Administrative fees 51,732 166,444 103,987 206,143 -------------- -------------- -------------- -------------- Total expenses 561,126 646,264 1,140,542 1,494,124 -------------- -------------- -------------- -------------- NET INVESTMENT LOSS (391,983) (566,678) (811,593) (1,339,964) -------------- -------------- -------------- -------------- NET INCOME (LOSS) $ 2,179,520 $ (5,878,852) $ (1,707,419) $ (5,444,864) ============== ============== ============== ============== NET INCOME (LOSS) PER UNIT: Weighted average number of General Partner and Limited Partner Units outstanding 87,967 95,784 88,847 97,510 ============== ============== ============== ============== Net income (loss) per weighted average General Partner and Limited Partner Unit $ 24.78 $ (61.38) $ (19.22) $ (55.84) ============== ============== ============== ============== Net income (loss) per weighted average General Partner and Limited Partner Unit by series Series A $ 31.24 $ (77.27) $ (23.92) $ (71.11) ============== ============== ============== ============== Series B $ 25.37 $ (63.26) $ (19.37) $ (56.77) ============== ============== ============== ============== Series C $ 19.66 $ (49.26) $ (15.95) $ (45.39) ============== ============== ============== ==============
The majority of income and expenses are derived from investments in Trading LLCs (Note 2). 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, 2005 AND 2004 (unaudited) UNITS GENERAL PARTNER ----------------------------------------------- ----------------------------------------------- SERIES A SERIES B SERIES C SERIES A SERIES B SERIES C ------------- ------------- ------------- ------------- ------------- ------------- PARTNERS' CAPITAL, December 31, 2003 20,448 47,044 33,466 $ 83,679 $ 155,512 $ 85,946 Net loss - - - (15,091) (28,231) (15,574) Redemptions (1,160) (3,920) (1,490) - - - ------------- ------------- ------------- ------------- ------------- ------------- PARTNERS' CAPITAL, June 30, 2004 19,288 43,124 31,976 $ 68,588 $ 127,281 $ 70,372 ============= ============= ============= ============= ============= ============= PARTNERS' CAPITAL, December 31, 2004 18,763 42,174 29,345 $ 80,720 $ 149,823 $ 82,822 Net loss - - - (5,149) (9,645) (5,383) Redemptions (1,474) (1,956) (1,399) (6,962) (14,972) (9,469) ------------- ------------- ------------- ------------- ------------- ------------- PARTNERS' CAPITAL, June 30, 2005 17,289 40,218 27,946 $ 68,609 $ 125,206 $ 67,970 ============= ============= ============= ============= ============= ============= LIMITED PARTNERS ----------------------------------------------- SERIES A SERIES B SERIES C TOTAL ------------- ------------- ------------- ------------- PARTNERS' CAPITAL, December 31, 2003 $ 8,103,322 $ 15,149,651 $ 8,398,728 $ 31,976,838 Net loss (1,381,852) (2,532,207) (1,471,909) (5,444,864) Redemptions (460,185) (1,261,833) (359,288) (2,081,306) ------------- ------------- ------------- ------------- PARTNERS' CAPITAL, June 30, 2004 $ 6,261,285 $ 11,355,611 $ 6,567,531 $ 24,450,668 ============= ============= ============= ============= PARTNERS' CAPITAL, December 31, 2004 $ 7,165,985 $ 13,069,071 $ 7,086,612 $ 27,635,033 Net loss (438,538) (797,645) (451,059) (1,707,419) Redemptions (519,903) (548,334) (286,179) (1,385,819) ------------- ------------- ------------- ------------- PARTNERS' CAPITAL, June 30, 2005 $ 6,207,544 $ 11,723,092 $ 6,349,374 $ 24,541,795 ============= ============= ============= =============
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 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 June 30, 2005, and the results of its operations for the three and six month periods ended June 30, 2005 and 2004. However, the operating results for the interim periods may not be indicative of the results for the full year. Certain information and footnote disclosures normally included in annual financial statements prepared in conformity 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, 2004. 2. INVESTMENTS As of June 30, 2005, the Partnership had investments in ML JWH Financials and Metals Portfolio LLC ("JWH LLC") and Millburn Global LLC ("Millburn LLC") ("Trading LLCs", collectively) of $12,270,898 and $12,270,897, respectively. For the year ending December 31, 2004, the Partnership had investments in JWH LLC and Millburn LLC of $13,817,517 and $13,817,516, respectively. The majority of revenue and expenses of the Partnership have been derived from its investments in the Trading LLCs. Condensed statements of financial condition and statements of operations for JWH LLC and Millburn LLC are set forth as follows:
JUNE 30, 2005 (UNAUDITED) DECEMBER 31, 2004 ------------------------------- ------------------------------- JWH MILLBURN JWH MILLBURN LLC LLC LLC LLC -------------- -------------- -------------- -------------- Assets $ 13,413,079 $ 12,369,167 $ 15,414,858 $ 13,923,728 ============== ============== ============== ============== Liabilities $ 1,142,181 $ 98,270 $ 1,597,341 $ 106,212 Members' Capital 12,270,898 12,270,897 13,817,517 13,817,516 -------------- -------------- -------------- -------------- Total $ 13,413,079 $ 12,369,167 $ 15,414,858 $ 13,923,728 ============== ============== ============== ==============
5
JWH LLC FOR THE THREE FOR THE THREE FOR THE SIX FOR THE SIX MONTHS ENDED MONTHS ENDED MONTHS ENDED MONTHS ENDED JUNE 30, 2005 JUNE 30, 2004 JUNE 30, 2005 JUNE 30, 2004 (UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED) -------------- -------------- -------------- -------------- Trading Profits (Losses) and Interest Income $ 2,054,595 $ (2,936,519) $ (540,940) $ (2,317,299) Expenses 271,224 282,458 527,012 671,798 -------------- -------------- -------------- -------------- Net Income (Loss) $ 1,783,371 $ (3,218,977) $ (1,067,952) $ (2,989,097) ============== ============== ============== ============== MILLBURN LLC FOR THE THREE FOR THE THREE FOR THE SIX FOR THE SIX MONTHS ENDED MONTHS ENDED MONTHS ENDED MONTHS ENDED JUNE 30, 2005 JUNE 30, 2004 JUNE 30, 2005 JUNE 30, 2004 (UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED) -------------- -------------- -------------- -------------- Trading Profits (Losses)and Interest Income $ 686,051 $ (2,296,068) $ (25,937) $ (1,633,441) Expenses 253,152 213,807 540,030 653,069 -------------- -------------- -------------- -------------- Net Income (Loss) $ 432,899 $ (2,509,875) $ (565,967) $ (2,286,510) ============== ============== ============== ==============
3. FAIR VALUE AND OFF-BALANCE SHEET RISK The Partnership invests indirectly in derivative instruments by investing in the Trading LLCs but does not itself hold any derivative instrument positions. The nature of this Partnership has certain risks, which can not be presented on the financial statements. The following summarizes some of those risks. MARKET RISK Derivative 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 financial instruments or commodities underlying such derivative instruments frequently results in changes in the net unrealized profit (loss) 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 LLCs, as well as the volatility and liquidity of such markets in which such derivative instruments are traded. Merrill Lynch Alternative Investments LLC ("MLAI"), the General Partner, 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 and reviewing outstanding positions for over-concentrations both on an Advisor-by-Advisor and on an overall Partnership basis. While MLAI does not itself intervene in the markets to hedge or diversify the Partnership's market 6 exposure, MLAI 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, MLAI'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, Pierce, Fenner & Smith Inc. ("MLPF&S") acting as its commodity broker. Pursuant to the brokerage agreement with MLPF&S (which includes a netting arrangement), to the extent that such trading results in receivables from and payables to MLPF&S, 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 trading 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. APR. MAY JUN. ---------- ---------- ---------- ---------- ---------- ---------- 2004 $ 405.87 $ 422.69 $ 405.35 $ 363.10 $ 342.77 $ 328.18 2005 $ 358.46 $ 348.10 $ 331.64 $ 320.87 $ 337.99 $ 363.01
MONTH-END NET ASSET VALUE PER SERIES B UNIT
JAN. FEB. MAR. APR. MAY JUN. ---------- ---------- ---------- ---------- ---------- ---------- 2004 $ 329.80 $ 343.47 $ 329.38 $ 294.84 $ 278.12 $ 266.28 2005 $ 290.90 $ 282.50 $ 269.14 $ 260.40 $ 274.30 $ 294.60
MONTH-END NET ASSET VALUE PER SERIES C UNIT
JAN. FEB. MAR. APR. MAY JUN. ---------- ---------- ---------- ---------- ---------- ---------- 2004 $ 257.00 $ 267.65 $ 256.68 $ 229.80 $ 216.82 $ 207.59 2005 $ 226.75 $ 220.20 $ 209.79 $ 202.98 $ 213.81 $ 229.63
7 Performance Summary All of the Partnership's assets are invested in Trading LLCs. The Partnership receives trading profits (losses) as an investor in Trading LLCs. The following commentary describes the trading results of Trading LLCs. JANUARY 1, 2005 TO JUNE 30, 2005 January 1, 2005 to March 31, 2005 The Partnership was unprofitable for the first quarter of 2005. In the beginning of the quarter, many trend-following programs experienced difficulty, as larger trends which started in the fourth quarter reversed during the quarter. Global equity markets sold-off after rallying in December. The U.S. dollar began strengthening and metal markets also sold-off. Throughout the remainder of the quarter, many longer-term trend-following programs experienced difficulty, as markets remained quite range bound and choppy. The currency sector began the first quarter with a loss, as the U.S. dollar strengthened against various other currencies. Gains achieved in exposure to the Japanese yen were outweighed by losses in the Euro, Canadian dollar and Australian dollar. At mid-quarter, gains generated in exposure to the Australian dollar and Polish zloty were outweighed by losses in the Euro, Japanese yen and Swiss franc. At the end of the quarter, gains generated in exposure to the Japanese yen and Swiss franc were outweighed by losses in the Polish zloty, Brazilian real, and Australian dollar. The metals sector also posted losses, as markets sold off on slower growth estimates in 2005. Both exposure to industrial and precious metals detracted from performance. The sector gained during the quarter as markets rallied in both the precious and industrial sub-sectors, particularly gold, copper and aluminum. However, the sector ended the quarter with a loss as gains in non-precious metals such as aluminum and copper were offset by losses in silver and gold contracts. A loss was posted for the stock indices sector, as markets reversed and sold off. Major losses were from exposure to the United States and Asia. During the quarter, a gain was posted, as exposure to Asian equities and selected U.S. equities posted gains. A loss was realized at the end of the quarter as exposure to U.S. equities and Asian equities contributed to the bulk of losses. The interest rate sector was the poorest performing sector for the first quarter. The beginning of the quarter had gains generated in exposure to Japanese, U.S. and European fixed income. Toward the end of the quarter, gains were generated at the front end of the U.S. curve, while losses were experienced in exposure to European and Japanese fixed income. Losses were mainly from exposure to German and Japanese fixed income instruments. Profits were made from short exposure to Eurodollar and U.S. Treasury note contracts. April 1, 2005 to June 30, 2005 Gains were posted in the interest rate and currency sectors, while losses were incurred trading in stock indices and the metals sector. There were net trading profits overall. Trading in interest rates provided the greatest amount of gains for the Partnership, posting gains throughout the quarter. A sell off of stocks and an increase in bond investments during the quarter sparked a rally in interest rates. Long exposure to European bonds and a rally in the bond market attributed to profits. 8 The currency sector posted a gain for the quarter, despite losses incurred early in the quarter. Losses early in the quarter were posted as currency trading continued to be challenging and the U.S. dollar remained in a tight range. The U.S. dollar strengthened based on the widening interest rate differential versus many developed countries. Exposure to the Euro, Japanese yen and Swiss franc were the main drivers of performance. Trading in stock indices was unprofitable for the Partnership, despite profits posted the latter half of the quarter. Weak U.S. economic data and disappointing earnings reports sent global equities lower early in the quarter. Long exposure to European and Asian stock indices generated gains which outweighed losses from exposure to the U.S. markets. The metals sector posted the largest losses for the Partnership during the quarter. Base metals took a step back causing losses in aluminum and copper. Gold and silver prices showed volatile price behavior which also generated losses. Slight gains were posted mid-quarter due to exposure to precious metals, but weren't enough to outweigh the losses for the quarter. The metals sector continued its decline as gold sold off due to a strengthening U.S. dollar. JANUARY 1, 2004 TO JUNE 30, 2004 January 1, 2004 to March 31, 2004 Gains were experienced in the interest rate, metals and stock indices and losses in the currency sector. Overall, the Partnership experienced a positive rate of return for the quarter. The interest rate sector posted the largest gains. In January, the fixed income market slowly drifted higher, but exhibited reversals, mainly due to foreign exchange moves. Profits were generated from various positions at the short end of the yield curve in the U.S. and Europe, while losses were posted at longer points in the yield curve in both the U.S. and Europe. In February, fixed income markets resumed their slow upward trend. The overall sector exposure had been limited compared to historical exposures but profits were generated from both U.S. and German yield curves. Gains were also posted in March. Long exposure to most of the major global yield curves generated positive results. German Bunds and the longer end of the U.S. yield curve posted gains, while Japanese exposure detracted from performance. The metals sector posted gains for the quarter. In January, long positions in both precious and industrial metals generated positive returns. Copper continued to move higher and rose to its highest price in more than six years due to supply disruptions and heavy demand from new home construction. Gold also reached highs not seen since 1988. In February, industrial metals generated positive returns from the long side, while precious metals detracted from performance. Base metals continued their upward move as the sector experienced strong demand, shrinking supply and U.S. dollar weakness, helping to drive prices higher. Strong industrial demand for copper and continued speculative interest pushed the market to a seven year high. In March, industrial metals and precious metals, especially gold, contributed to profits. Stock indices also posted gains for the quarter. Stock indices posted a profit for January as long exposure to global equities from momentum based and fundamental models performed well. The main drivers to performance in this sector were the DAX and the NASDAQ Indices. In February, exposure to global equities produced negative performance. Asian equities produced positive performance while other markets, specifically the U.S., outweighed those gains. Stock indices posted a small gain for March. Asian equity exposure outperformed U.S. exposure during the month. The currency sector experienced losses despite gains early in the quarter. In January, the currency sector continued its long trend of a weakening U.S. dollar. Currency trading was very choppy, but gains were generated in the earlier part of the month. The currency sector posted losses for the month of February 9 under highly volatile market conditions. The main event in the currency markets was the meeting of the G-7 Finance Ministers, hoping that some indication would be given as to the future directions of the U.S. dollar. The U.S. dollar continued to be range bound after the meeting. Gains in the British pound were not able to offset losses in other major or minor currency markets. Losses were also posted in March under difficult trading conditions. All of the political events during the month and rumors of the Bank of Japan's intervention policies caused for significant uncertainty in the markets. Early U.S. dollar strength turned around towards the end of the month and a large drop right at the month's close saw the U.S. dollar fall to four year lows against the Japanese yen. April 1, 2004 to June 30, 2004 Losses were experienced in all four sectors. Overall, the Partnership experienced a negative rate of return for the quarter. The metals sector posted a loss for the quarter. In April, the combination of the U.S. dollar strengthening and the fear of higher interest rates, which would curb growth, caused base and precious metals to sell-off. Most markets during May were range-bound and the U.S. dollar did not provide any momentum to these markets. Exposure to aluminum was the main cause for losses as the market sold off during the month of May. In June, industrial metals detracted from performance as well as precious metals. Both industrial and precious metals generated losses throughout the quarter. Stock indices posted a net loss for the quarter. Equities rallied in the early part of April, but fear of rate increases based on positive economic news sent equities falling with a steep sell-off towards month's end. During May, equities worldwide were weak on continued concerns of the imminent rate increases in U.S. interest rates. The Japanese Nikkei index experienced a sudden deterioration in sentiment, which sent the market plunging approximately 5% in one day. Exposure to this region and other equity indices generated losses, which were not overcome in the latter part of the month. Volatility was very low throughout June and there has not been a clear direction in the markets. Losses were incurred in both the U.S. and global equity positioning. The currency sector also posted losses for each month of the quarter. The U.S. dollar strengthened considerably during the month, with the Euro falling below 120 and the British pound falling to 1.77 in April. Gains in the Euro and the Swiss franc were outweighed by losses in the Japanese yen and British pound positioning. In May the U.S. dollar weakened against major currencies except for the Australian dollar after strengthening considerably during the prior month. Significant reversals occurred early in the month and led to range-bound market, which creates a difficult environment for this trading style. In June, many currency markets continued to be range bound waiting for the Federal Reserve's decision on short term interest rates. Losses were incurred from positions in the Euro, Swiss franc, British pound and other major markets. The interest rate sector posted a loss for the quarter. The fixed income markets experienced heightened volatility and fell sharply on April 2nd, followed by a short bounce and then trended down for the rest of the month. Eurodollars and short Sterling exposure proved profitable during the month of May, though the sector posted a small loss for the month. Bond markets were fairly range bound during the month, although yields on the ten-year note in the U.S. reached their highest levels since July 2002. Bonds continued to be fairly range bound pending the release of economic data and action by the U.S. Federal Reserve during the month of June. Eurodollars fell early in the month and finally gained 28 basis points from their lows. Gains in trading Japanese Government Bonds were outweighed by losses in trading both U.S. fixed income and the European yield curve. Item 3. Quantitative and Qualitative Disclosures About Market Risk Not applicable 10 Item 4. Controls and Procedures Merrill Lynch Alternative Investments LLC, the General Partner of John W. Henry & Co./Millburn L.P., with the participation of the General Partner's Chief Executive Officer and the Chief Financial Officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to the Partnership as of the end of the period of this quarterly report, and, based on this evaluation, has concluded that these disclosure controls and procedures are effective. Additionally, there were no significant changes in the Partnership's internal controls or in other factors that could significantly affect these controls subsequent to the date of this evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses. 11 PART II - OTHER INFORMATION Item 1. Legal Proceedings There are no pending proceedings to which the Partnership, Trading LLCs or MLAI 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 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 six months of fiscal 2005. 12 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 ALTERNATIVE INVESTMENTS LLC General Partner Date: August 12, 2005 By /s/ ROBERT M. ALDERMAN ---------------------- Robert M. Alderman Chief Executive Officer, President and Manager (Principal Executive Officer) Date: August 12, 2005 By /s/ MICHAEL L. PUNGELLO ----------------------- Michael L. Pungello Vice President, Chief Financial Officer and Treasurer (Principal Financial and Accounting Officer) 13 EX-31.01 2 a2161926zex-31_01.txt EXHIBIT 31.01 EXHIBIT 31.01 RULE 13a-14(a)/15d-14(a) CERTIFICATIONS I, Robert M. Alderman, certify that: 1. I have reviewed this report on Form 10-Q of John W. Henry & Co./Millburn L.P.; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) for the registrant and have: a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and c) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; 5. The registrant's other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of registrant's board of directors (or persons performing the equivalent functions): a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: August 12, 2005 - -------------------------- By /s/ ROBERT M. ALDERMAN ---------------------- Robert M. Alderman Chief Executive Officer, President and Manager (Principal Executive Officer) EX-31.02 3 a2161926zex-31_02.txt EXHIBIT 31.02 EXHIBIT 31.02 RULE 13a-14(a)/15d-14(a) CERTIFICATIONS I, Michael L. Pungello, certify that: 1. I have reviewed this report on Form 10-Q of John W. Henry & Co./Millburn L.P.; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) for the registrant and have: a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and c) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of registrant's board of directors (or persons performing the equivalent functions): a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: August 12, 2005 - ----------------------- By /s/ MICHAEL L. PUNGELLO ----------------------- Michael L. Pungello Vice President, Chief Financial Officer and Treasurer (Principal Financial and Accounting Officer) EX-32.01 4 a2161926zex-32_01.txt EXHIBIT 32.01 EXHIBIT 32.01 SECTION 1350 CERTIFICATIONS In connection with this quarterly report of John W. Henry & Co./Millburn L.P. (the "Company") on Form 10-Q for the period ended June 30, 2005 as filed with the Securities and Exchange Commission on the date hereof (this "Report"), I, Robert M. Alderman, certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant of the Sarbanes-Oxley Act of 2002, that: 1. This Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and 2. The information contained in this Report fairly presents, in all material respects, the financial condition and results of operations of the Company. Date: August 12, 2005 - ----------------------- By /s/ ROBERT M. ALDERMAN ---------------------- Robert M. Alderman Chief Executive Officer, President and Manager (Principal Executive Officer) EX-32.02 5 a2161926zex-32_02.txt EXHIBIT 32.02 EXHIBIT 32.02 SECTION 1350 CERTIFICATIONS In connection with this quarterly report of John W. Henry & Co./Millburn L.P. (the "Company") on Form 10-Q for the period ended June 30, 2005 as filed with the Securities and Exchange Commission on the date hereof (this "Report"), I, Michael L. Pungello, certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant of the Sarbanes-Oxley Act of 2002, that: 1. This Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and 2. The information contained in this Report fairly presents, in all material respects, the financial condition and results of operations of the Company. Date: August 12, 2005 - ----------------------- By /s/ MICHAEL L. PUNGELLO ----------------------- Michael L. Pungello Vice President, Chief Financial Officer and Treasurer (Principal Financial and Accounting Officer) -----END PRIVACY-ENHANCED MESSAGE-----