-----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, GyrSgZSWMINxxQVoCroQBnsBrv0ldrXRVZOc/CVX09yLqLo1Ui9xcaoWf0But4JF rsi4uzg9XTJObxpoF5yMWg== 0001047469-05-026874.txt : 20051114 0001047469-05-026874.hdr.sgml : 20051111 20051114131233 ACCESSION NUMBER: 0001047469-05-026874 CONFORMED SUBMISSION TYPE: 10-Q PUBLIC DOCUMENT COUNT: 5 CONFORMED PERIOD OF REPORT: 20050930 FILED AS OF DATE: 20051114 DATE AS OF CHANGE: 20051114 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: 051199217 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 a2164824z10-q.txt 10-Q UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM 10-Q (Mark One) /X/ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the quarterly period ended September 30, 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/ / Indicate by check mark whether registrant is an accelerated filer (as defined by Rule 12b-2 of the Act). Yes / / No /X/ Indicate by check mark whether registrant is a shell company (as defined by Rule 12b-2 of the Act). Yes / / No /X/ PART I - FINANCIAL INFORMATION Item 1. Financial Statements JOHN W. HENRY & CO./MILLBURN L.P. (A DELAWARE LIMITED PARTNERSHIP) STATEMENTS OF FINANCIAL CONDITION
SEPTEMBER 30, 2005 DECEMBER 31, (UNAUDITED) 2004 -------------- -------------- ASSETS Investments in Trading LLCs $ 22,258,596 $ 27,635,033 Receivable from Trading LLCs 197,012 601,536 -------------- -------------- TOTAL ASSETS $ 22,455,608 $ 28,236,569 ============== ============== LIABILITIES AND PARTNERS' CAPITAL LIABILITIES: Administrative fees $ 12,250 $ 50,000 Redemptions payable 184,762 551,536 -------------- -------------- Total liabilities 197,012 601,536 -------------- -------------- PARTNERS' CAPITAL: General Partner: (189 and 209 Series A Units) 63,818 80,720 (425 and 478 Series B Units) 116,462 149,823 (296 and 339 Series C Units) 63,223 82,822 Limited Partners: (16,993 and 18,554 Series A Units) 5,737,893 7,165,985 (38,588 and 41,696 Series B Units) 10,574,171 13,069,071 (26,700 and 29,006 Series C Units) 5,703,029 7,086,612 -------------- -------------- Total partners' capital 22,258,596 27,635,033 -------------- -------------- TOTAL LIABILITIES AND PARTNERS' CAPITAL $ 22,455,608 $ 28,236,569 ============== ============== NET ASSET VALUE PER UNIT Series A (Based on 17,182 and 18,763 Units outstanding) $ 337.66 $ 386.22 ============== ============== Series B (Based on 39,013 and 42,174 Units outstanding) $ 274.03 $ 313.44 ============== ============== Series C (Based on 26,996 and 29,345 Units outstanding) $ 213.60 $ 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 NINE FOR THE NINE MONTHS ENDED MONTHS ENDED MONTHS ENDED MONTHS ENDED SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, 2005 2004 2005 2004 -------------- -------------- -------------- -------------- TRADING PROFITS (LOSSES): Realized $ (281,922) $ (3,076,834) $ (1,569,565) $ (4,756,662) Change in unrealized (1,082,602) 1,579,555 (690,785) (845,517) -------------- -------------- -------------- -------------- Total trading losses (1,364,524) (1,497,279) (2,260,350) (5,602,179) -------------- -------------- -------------- -------------- INVESTMENT INCOME: Interest income 202,708 91,782 531,657 245,942 -------------- -------------- -------------- -------------- EXPENSES: Brokerage commissions 489,338 479,439 1,525,893 1,733,551 Profit shares - - - 33,869 Administrative fees 51,141 164,100 155,128 370,243 -------------- -------------- -------------- -------------- Total expenses 540,479 643,539 1,681,021 2,137,663 -------------- -------------- -------------- -------------- NET INVESTMENT LOSS (337,771) (551,757) (1,149,364) (1,891,721) -------------- -------------- -------------- -------------- NET LOSS $ (1,702,295) $ (2,049,036) $ (3,409,714) $ (7,493,900) ============== ============== ============== ============== NET LOSS PER UNIT: Weighted average number of General Partner and Limited Partner Units outstanding Series A 17,239 19,274 18,112 19,521 ============== ============== ============== ============== Series B 39,658 42,971 41,005 44,389 ============== ============== ============== ============== Series C 27,729 31,838 28,323 32,456 ============== ============== ============== ============== Net loss per weighted average General Partner and Limited Partner Unit by series Series A $ (25.35) $ (27.52) $ (48.63) $ (98.73) ============== ============== ============== ============== Series B $ (20.63) $ (22.39) $ (39.64) $ (79.36) ============== ============== ============== ============== Series C $ (16.12) $ (17.48) $ (31.90) $ (62.98) ============== ============== ============== ==============
Substantially all items of income and expense related to the Trading LLCs are allocated to the Partnership. See notes to financial statements. 3 JOHN W. HENRY & CO./MILLBURN L.P. (A DELAWARE LIMITED PARTNERSHIP) STATEMENTS OF CHANGES IN PARTNERS' CAPITAL FOR THE NINE MONTHS ENDED SEPTEMBER 30, 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 - - - (20,838) (38,896) (21,471) Redemptions (1,200) (4,405) (1,705) - - - ------------ ------------ ------------ ------------ ------------ ------------ PARTNERS' CAPITAL, September 30, 2004 19,248 42,639 31,761 $ 62,841 $ 116,616 $ 64,475 ============ ============ ============ ============ ============ ============ PARTNERS' CAPITAL, December 31, 2004 18,763 42,174 29,345 $ 80,720 $ 149,823 $ 82,822 Net loss - - - (9,940) (18,389) (10,130) Redemptions (1,581) (3,161) (2,349) (6,962) (14,972) (9,469) ------------ ------------ ------------ ------------ ------------ ------------ PARTNERS' CAPITAL, September 30, 2005 17,182 39,013 26,996 $ 63,818 $ 116,462 $ 63,223 ============ ============ ============ ============ ============ ============ 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 (1,906,452) (3,483,768) (2,022,475) (7,493,900) Redemptions (472,305) (1,380,213) (399,976) (2,252,494) ------------ ------------ ------------ ------------ PARTNERS' CAPITAL, September 30, 2004 $ 5,724,565 $ 10,285,670 $ 5,976,277 $ 22,230,444 ============ ============ ============ ============ PARTNERS' CAPITAL, December 31, 2004 $ 7,165,985 $ 13,069,071 $ 7,086,612 $ 27,635,033 Net loss (870,792) (1,607,040) (893,423) (3,409,714) Redemptions (557,300) (887,860) (490,160) (1,966,723) ------------ ------------ ------------ ------------ PARTNERS' CAPITAL, September 30, 2005 $ 5,737,893 $ 10,574,171 $ 5,703,029 $ 22,258,596 ============ ============ ============ ============
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 necessary to present fairly the financial position of John W. Henry & Co./Millburn L.P. (the "Partnership") as of September 30, 2005, and the results of its operations for the three and nine month periods ended September 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 general 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 September 30, 2005, the Partnership had investments in ML JWH Financials and Metals Portfolio LLC ("JWH LLC") and Millburn Global LLC ("Millburn LLC") (collectively, "Trading LLCs") of $11,129,298 and $11,129,298, respectively. As of December 31, 2004, the Partnership had investments in JWH LLC and Millburn LLC of $13,817,517 and $13,817,516, respectively. Condensed statements of financial condition and statements of operations for JWH LLC and Millburn LLC are set forth as follows:
SEPTEMBER 30, 2005 (UNAUDITED) DECEMBER 31, 2004 ------------------------------- ------------------------------- JWH MILLBURN JWH MILLBURN LLC LLC LLC LLC -------------- -------------- -------------- -------------- Assets $ 11,190,859 $ 12,761,732 $ 15,414,858 $ 13,923,728 ============== ============== ============== ============== Liabilities $ 61,561 $ 1,632,434 $ 1,597,341 $ 106,212 Members' Capital 11,129,298 11,129,298 13,817,517 13,817,516 -------------- -------------- -------------- -------------- Total $ 11,190,859 $ 12,761,732 $ 15,414,858 $ 13,923,728 ============== ============== ============== ==============
5
JWH LLC FOR THE THREE FOR THE THREE FOR THE NINE FOR THE NINE MONTHS ENDED MONTHS ENDED MONTHS ENDED MONTHS ENDED SEPTEMBER 30, 2005 SEPTEMBER 30, 2004 SEPTEMBER 30, 2005 SEPTEMBER 30, 2004 (UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED) ------------------ ------------------ ------------------ ------------------ Revenues $ (2,036,374) $ (499,081) $ (2,577,314) $ (2,816,380) Expenses 232,545 247,526 759,557 919,324 ------------------ ------------------ ------------------ ------------------ Net Loss $ (2,268,919) $ (746,607) $ (3,336,871) $ (3,735,704) ================== ================== ================== ================== MILLBURN LLC FOR THE THREE FOR THE THREE FOR THE NINE FOR THE NINE MONTHS ENDED MONTHS ENDED MONTHS ENDED MONTHS ENDED SEPTEMBER 30, 2005 SEPTEMBER 30, 2004 SEPTEMBER 30, 2005 SEPTEMBER 30, 2004 (UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED) ------------------ ------------------ ------------------ ------------------ Revenues $ 874,558 $ (906,416) $ 848,621 $ (2,539,857) Expenses 271,184 246,014 811,214 899,083 ------------------ ------------------ ------------------ ------------------ Net Income (Loss) $ 603,374 $ (1,152,430) $ 37,407 $ (3,438,940) ================== ================== ================== ==================
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 cannot 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) 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 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 for the Partnership from time to time, calculating the Net Asset Values of the Advisors' respective 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 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 and unless 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. 6 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 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 net unrealized profit on open contracts on the Trading LLC's Statements of Financial Condition. Item 2: Management's Discussion and Analysis of Financial Condition and Results of Operations MONTH-END NET ASSET VALUE PER SERIES A UNIT
JAN. FEB. MAR. APR. MAY JUN. JUL. AUG. SEP. ------------------------------------------------------------------------------------------------ 2004 $ 405.87 $ 422.69 $ 405.35 $ 363.10 $ 342.77 $ 328.18 $ 298.88 $ 303.02 $ 300.68 2005 $ 358.46 $ 348.10 $ 331.64 $ 320.87 $ 337.99 $ 363.01 $ 356.04 $ 329.68 $ 337.66
MONTH-END NET ASSET VALUE PER SERIES B UNIT
JAN. FEB. MAR. APR. MAY JUN. JUL. AUG. SEP. ------------------------------------------------------------------------------------------------ 2004 $ 329.80 $ 343.47 $ 329.38 $ 294.84 $ 278.12 $ 266.28 $ 242.50 $ 245.86 $ 243.96 2005 $ 290.90 $ 282.50 $ 269.14 $ 260.40 $ 274.30 $ 294.60 $ 288.94 $ 267.55 $ 274.03
MONTH-END NET ASSET VALUE PER SERIES C UNIT
JAN. FEB. MAR. APR. MAY JUN. JUL. AUG. SEP. ------------------------------------------------------------------------------------------------ 2004 $ 257.00 $ 267.65 $ 256.68 $ 229.80 $ 216.82 $ 207.59 $ 189.06 $ 191.68 $ 190.19 2005 $ 226.75 $ 220.20 $ 209.79 $ 202.98 $ 213.81 $ 229.63 $ 225.22 $ 208.55 $ 213.60
7 Performance Summary All of the Partnership's assets are invested in Trading LLCs. The Partnership receives trading profits as an investor in the Trading LLCs . The following commentary describes the trading results of the Trading LLCs. JANUARY 1, 2005 TO SEPTEMBER 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. 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 8 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 frank 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 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. July 1, 2005 to September 30, 2005 The stock indices sector was profitable for the quarter, while losses were posted for the metals sector, the currencies sector, and the interest rate sector. Longer-term trend-following programs experienced difficulty under volatile market conditions resulting from terror attacks in London and the devaluation of the Chinese Yuan in July and Hurricane Katrina in August. As a result, an overall loss was posted for the quarter. Stock indices posted a gain for the quarter. Gains were experienced early on as global indices rallied at the beginning of the quarter. Long exposure across the sector, both domestic and international, contributed to the positive performance. The largest gains came from exposure to the Nikkei and the NASDAQ. Gains continued during the quarter as the Nikkei and TOPIX rallied as the Japanese economy grew for the third straight quarter. The Nikkei rallied to a four year high. Optimism for Japanese growth and the election victory of Prime Minister Koizumi sparked a rally in Japanese equities. Other global equities experienced heightened volatility, partly due to the potential impact of Hurricane Katrina, and posted losses as a result. The metals sector posted a loss for the quarter. Gold prices fell from recent highs as the U.S. dollar strengthened. Copper prices were driven higher on stronger global economic data, which generated positive performance for the portfolio, but these gains did not outweigh losses in exposure to precious metals, particularly gold and silver. Towards the end of the quarter, the sector posted a gain as gold and copper trended higher. Gold rallied on increased fear of inflationary pressures due to higher energy costs. Exposure to base metals, particularly aluminum and nickel, muted some of these gains. A loss was posted for the currencies sector. The quarter began with a gain as the U.S. dollar strengthened based on widening interest rate differential versus many developed countries. The currency markets were extremely volatile in reaction to China ending its policy of pegging its currency at 8.3 Yuan to the U.S. dollar. China revalued the Yuan by 2.1% in July. Exposure to the Japanese yen and the Swiss franc were the main drivers of performance, while exposure to the Australian dollar detracted from performance. Halfway through the quarter, the U.S. dollar began to decline against most major currencies. The decline was a result of the expected slowdown in growth due to higher energy prices in the U.S. Gains in exposure to the Canadian dollar were outweighed by losses in exposure to the Japanese yen, Swiss franc, and British pound. The resurgent U.S. dollar gained against the Japanese yen at the end of the quarter. However, the gains were offset by exposure to the British pound. The interest rate sector posted the largest loss for the quarter. Stronger than expected economic growth in the U.S., Europe, and Japan caused a sell off in global bond markets at the beginning of the quarter. Exposure to the German Bund, Japanese government bonds, and the U.S. Treasury bond were the main detractors from performance. Concerns over Hurricane Katrina and the impact it would have on energy 9 prices sparked a rally at the end of August in global bond markets, contributing further to losses. Volatility increased in the markets contributing to a significant loss at the end of the quarter. As it became clear that the hurricanes in the United States would not send the economy into recession, U.S. Treasury rates began to rise causing additional losses in the portfolio. JANUARY 1, 2004 TO SEPTEMBER 30, 2004 All of the Partnership's assets are invested in the Trading LLCs. The Partnership receives trading profits as an investor in the Trading LLCs. The following commentary describes the trading results of the Trading LLCs. 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 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. 10 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. July 1, 2004 to September 30, 2004 Losses were experienced in the stock indices and currency sectors, with gains in the interest rate and metals sectors. Overall, the Partnership experienced a negative rate of return for the quarter. The interest rate sector posted a gain for the quarter despite losses posted in July. In July, U.S. bond prices rallied for a second month on weaker employment data. Bond prices in Europe advanced, while in Japan they declined. Eurodollar futures rose sharply, as inflation figures were strong. In August, U.S. bond prices rallied early in the month following the release of lackluster payroll data. Bond prices in Europe also advanced. In September, U.S. Treasury markets reacted to the employment data with a violent sell-off at the beginning of the month, which caused a slight reduction in exposure. Softer economic data eventually pushed longer-term maturities higher by the end of the month. Gains in trading Japanese bonds outweighed losses in other global yield curves. 11 The metals sector posted a small gain for the quarter. Industrial metals detracted from performance in July, as gains in copper could not offset losses in aluminum positioning. Gold exposure also detracted from performance as prices posted a modest gain. In August, gains in precious metals outweighed losses in base metals. Industrial metals detracted from performance, particularly, copper. Gold prices rose, as weak economic data continued to drive down expectations of future rate hikes in the U.S. In September, industrial metals, particularly copper added to performance. Copper rallied based on increasing demand from China and tight supply conditions. Trading in stock indices posted a loss for the quarter. Major global equity markets recorded sharp declines in July. In August, on average, global equity indices were largely unchanged for the month after an initial sell-off and rally at the end of the month. Gains in the U.S. outweighed losses in exposure to Asian and European equities. Global equity indices experienced a small rally during September. European equities outperformed the U.S. and Asian markets. Gains in European equities were outweighed by losses in Asian and U.S. equities exposure. The currency sector posted the largest losses for the quarter. Currency markets remain choppy as the market continues to react to new releases of weak economic data. July began with a U.S. dollar sell-off, as a disappointing employment report was released, and then went onto rally, based on a robust forecast for U.S. economic growth by Federal Reserve Chairman, Alan Greenspan. The portfolio had reduced exposure during the latter part of the month, as the U.S. dollar strengthened. Losses were incurred in most major markets traded. Uncertainty about the future macroeconomic environment resulted in random price moves and a lack of any sustainable trends within the sector in August. The majority of the losses came from positioning in the Japanese yen, the Euro and the British pound. Most currency markets remained range bound versus the U.S. dollar throughout September. The positive non-farm payroll data initially caused an appreciation of the U.S. dollar, which later faded toward the end of the month, as the announcement of China joining the G-8 meeting re-ignited a U.S. dollar weakening. Losses in Japanese yen and British pound outweighed gains in the Canadian dollar and Euro. 12 Item 3. Quantitative and Qualitative Disclosures About Market Risk Not applicable 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 their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses. 13 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. Unregistered Sales of Equity 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 The following exhibits are incorporated by reference or are filed herewith to this Quarterly Report on Form 10-Q: 31.01 and 31.02 Rule 13a-14(a)/15d-14(a) Certifications EXHIBIT 31.01 AND 31.02: Are filed herewith. 32.01 and 32.02 Section 1350 Certifications EXHIBIT 32.01 AND 32.02: Are filed herewith. (b) REPORTS ON FORM 8-K There were no reports on Form 8-K filed during the first nine months of fiscal 2005. 14 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: MERRIL LYNCH ALTERNATIVE INVESTMENTS LLC General Partner Date: November 14, 2005 By /S/ ROBERT M. ALDERMAN ---------------------- Robert M. Alderman Chairman, Chief Executive Officer and Manager (Principal Executive Officer) Date: November 14, 2005 By /S/ MICHAEL L. PUNGELLO ----------------------- Michael L. Pungello Vice President, Chief Financial Officer and Treasurer (Principal Financial and Accounting Officer) 15 EX-31.01 2 a2164824zex-31_01.txt EX-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 annualreport 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 annualreport, 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: November 14, 2005 - ------------------------ By /s/ ROBERT M. ALDERMAN ---------------------- Robert M. Alderman Chief Executive Officer, President and Manager (Principal Executive Officer) EX-31.02 3 a2164824zex-31_02.txt EX-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; 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: November 14, 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 a2164824zex-32_01.txt EX-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 September 30, 2005 as filed with the Securities and Exchange Commission on the date hereof (this "Report"), I, Robert M. Alderman, Chief Executive Officer, President and Manager of the Company, certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant of the Sarbanes-Oxley Act of 2002, that: 1. This Report containing the financial statements 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: November 14, 2005 - ------------------------ By /s/ ROBERT M. ALDERMAN ---------------------- Robert M. Alderman Chief Executive Officer, President and Manager (Principal Executive Officer) EX-32.02 5 a2164824zex-32_02.txt EX-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 September 30, 2005 as filed with the Securities and Exchange Commission on the date hereof (this "Report"), I, Michael L. Pungello, Chief Financial Officer and Treasurer of the Company, certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant of the Sarbanes-Oxley Act of 2002, that: 1. This Report containing the financial statements 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: November 14, 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-----