<Page>
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, 2003
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 / /
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PART I - FINANCIAL INFORMATION
Item 1. Financial Statements
JOHN W. HENRY & CO./MILLBURN L.P.
(a Delaware Limited Partnership)
--------------------------------
STATEMENTS OF FINANCIAL CONDITION
---------------------------------
<Table>
<Caption>
JUNE 30,
2003 DECEMBER 31,
(UNAUDITED) 2002
-------------- --------------
ASSETS
Investments $ 33,153,046 $ 30,928,776
Receivable from investments 97,755 45,048
-------------- --------------
TOTAL $ 33,250,801 $ 30,973,824
============== ==============
LIABILITY AND PARTNERS' CAPITAL
Redemptions payable $ 97,756 $ 45,049
-------------- --------------
Total liabilities 97,756 45,049
-------------- --------------
PARTNERS' CAPITAL:
General Partner:
(231 and 231 Series A Units) 92,934 82,826
(571 and 511 Series B Units) 186,664 148,873
(378 and 378 Series C Units) 96,296 85,813
Limited Partners:
(21,253 and 22,376 Series A Units) 8,550,345 8,023,008
(47,715 and 49,186 Series B Units) 15,598,332 14,329,638
(33,870 and 36,378 Series C Units) 8,628,474 8,258,617
-------------- --------------
Total partners' capital 33,153,045 30,928,775
-------------- --------------
TOTAL $ 33,250,801 $ 30,973,824
============== ==============
NET ASSET VALUE PER UNIT
Series A (based on 21,484 and 22,607 Units outstanding) $ 402.31 $ 358.55
============== ==============
Series B (based on 48,286 and 49,697 Units outstanding) $ 326.91 $ 291.34
============== ==============
Series C (based on 34,248 and 36,756 Units outstanding) $ 254.75 $ 227.02
============== ==============
</Table>
See notes to financial statements.
2
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JOHN W. HENRY & CO./MILLBURN L.P.
---------------------------------
(a Delaware Limited Partnership)
--------------------------------
STATEMENTS OF OPERATIONS
------------------------
(unaudited)
<Table>
<Caption>
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,
2003 2002 2003 2002
-------------- -------------- -------------- --------------
REVENUES:
Trading profits (loss):
Realized $ 2,812,793 $ 2,452,720 $ 8,923,058 $ 2,109,036
Change in unrealized 946,303 5,207,875 (3,213,695) 3,541,184
-------------- -------------- -------------- --------------
Total trading results 3,759,096 7,660,595 5,709,363 5,650,220
-------------- -------------- -------------- --------------
Interest income 93,208 101,448 188,366 204,804
-------------- -------------- -------------- --------------
Total revenues 3,852,304 7,762,043 5,897,729 5,855,024
-------------- -------------- -------------- --------------
EXPENSES:
Brokerage commissions 723,739 545,902 1,436,254 1,074,285
Profit Shares 499,549 129,912 683,593 129,912
Administrative fees 21,286 16,054 42,243 31,597
-------------- -------------- -------------- --------------
Total expenses 1,244,574 691,868 2,162,090 1,235,794
-------------- -------------- -------------- --------------
NET INCOME $ 2,607,730 $ 7,070,175 $ 3,735,639 $ 4,619,230
============== ============== ============== ==============
NET INCOME PER UNIT:
Weighted average number of General Partner
and Limited Partner units outstanding 105,868 118,855 107,373 120,439
============== ============== ============== ==============
Net income per weighted average
General Partner and Limited Partner Unit $ 24.63 $ 59.49 $ 34.79 $ 38.35
============== ============== ============== ==============
Net income per weighted average General Partner
and Limited Partner Unit by series
Series A $ 31.09 $ 75.54 $ 43.99 $ 48.39
============== ============== ============== ==============
Series B $ 25.09 $ 61.29 $ 35.61 $ 39.66
============== ============== ============== ==============
Series C $ 19.97 $ 47.38 $ 27.98 $ 30.51
============== ============== ============== ==============
</Table>
All items of income and expense are allocated from investments in Trading LLC's
Certain 2002 information has been reclassified to conform to 2003 presentation.
See notes to financial statements.
3
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JOHN W. HENRY & CO./MILLBURN L.P.
(a Delaware Limited Partnership)
--------------------------------
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
------------------------------------------
For the six months ended June 30, 2003 and 2002
-----------------------------------------------
(unaudited)
<Table>
<Caption>
UNITS GENERAL PARTNER LIMITED PARTNERS
----- --------------- ----------------
SERIES A SERIES B SERIES C SERIES A SERIES B SERIES C SERIES A SERIES B
---------- ---------- ---------- ---------- ---------- ---------- ------------ ------------
PARTNERS' CAPITAL,
December 31, 2001 25,885 55,740 41,824 $ 76,061 $ 133,398 $ 76,317 $ 6,856,493 $ 11,996,457
Additions - - - - - - - -
Net income - - - 14,244 24,980 14,296 1,195,912 2,131,707
Redemptions (1,735) (2,990) (2,300) - - - (463,605) (657,744)
---------- ---------- ---------- ---------- ---------- ---------- ------------ -------------
PARTNERS' CAPITAL,
June 30, 2002 24,150 52,750 39,524 $ 90,305 $ 158,378 $ 90,613 $ 7,588,800 $ 13,470,420
========== ========== ========== ========== ========== ========== ============ =============
PARTNERS' CAPITAL,
December 31, 2002 22,607 49,697 36,756 $ 82,826 $ 148,873 $ 85,813 $ 8,023,008 $ 14,329,638
Additions - 60 - - 20,255 - - -
Net income - - - 10,108 17,536 10,483 966,429 1,736,579
Redemptions (1,123) (1,471) (2,508) - - - (439,092) (467,885)
---------- ---------- ---------- ---------- ---------- ---------- ------------ -------------
PARTNERS' CAPITAL,
June 30, 2003 21,484 48,286 34,248 $ 92,934 $ 186,664 $ 96,296 $ 8,550,345 $ 15,598,332
========== ========== ========== ========== ========== ========== ============ =============
<Caption>
SERIES C TOTAL
------------- -------------
PARTNERS' CAPITAL,
December 31, 2001 $ 7,016,956 $ 26,155,682
Additions - -
Net income 1,238,091 4,619,230
Redemptions (387,004) (1,508,353)
------------- --------------
PARTNERS' CAPITAL,
June 30, 2002 $ 7,868,043 $ 29,266,559
============= ==============
PARTNERS' CAPITAL,
December 31, 2002 $ 8,258,617 $ 30,928,775
Additions - 20,255
Net income 994,504 3,735,639
Redemptions (624,647) (1,531,624)
------------- --------------
PARTNERS' CAPITAL,
June 30, 2003 $ 8,628,474 $ 33,153,045
============= ==============
</Table>
See notes to financial statements.
4
<Page>
JOHN W. HENRY & CO./MILLBURN L.P.
(a Delaware Limited Partnership)
--------------------------------
NOTES TO FINANCIAL STATEMENTS
(unaudited)
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
These financial statements have been prepared without audit. In the opinion
of management, the financial statements contain all adjustments (consisting
of only normal recurring adjustments) necessary to present fairly the
financial position of John W. Henry & Co./Millburn L.P. (the "Partnership")
as of June 30, 2003, and the results of its operations for the three and
six month periods ended June 30, 2003 and 2002. 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, 2002.
2. INVESTMENTS
As of June 30, 2003, the Partnership had investments in ML JWH Financials
and Metals Portfolio LLC ("JWH LLC") and Millburn Global LLC ("Millburn
LLC") of $16,576,523 and $16,576,523, respectively. For the year ending
December 31, 2002, the Partnership had investments in JWH LLC and Millburn
LLC of $15,464,388 and $15,464,388, respectively.
Condensed statements of financial condition and statements of operations
for JWH LLC and Millburn LLC are set forth as follows:
<Table>
<Caption>
JUNE 30, 2003
(UNAUDITED) DECEMBER 31, 2002
------------------------------- -------------------------------
JWH MILLBURN JWH MILLBURN
LLC LLC LLC LLC
-------------- -------------- -------------- --------------
Assets $ 16,908,019 $ 17,416,429 $ 15,577,828 $ 16,300,716
============== ============== ============== ==============
Liabilities $ 331,496 $ 839,906 $ 113,440 $ 836,328
Members' Capital 16,576,523 16,576,523 15,464,388 15,464,388
-------------- -------------- -------------- --------------
Total $ 16,908,019 $ 17,416,429 $ 15,577,828 $ 16,300,716
============== ============== ============== ==============
</Table>
5
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<Table>
<Caption>
JWH LLC
FOR THE THREE FOR THE THREE FOR THE SIX FOR THE SIX
MONTHS ENDED MONTHS ENDED MONTHS ENDED MONTHS ENDED
JUNE 30, 2003 JUNE 30, 2002 JUNE 30, 2003 JUNE 30, 2002
(UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED)
-------------- -------------- -------------- --------------
Revenues $ 1,500,475 $ 4,795,775 $ 3,981,895 $ 3,442,829
Expenses 585,470 289,859 1,158,613 554,146
-------------- -------------- -------------- --------------
Net Income $ 915,005 $ 4,505,916 $ 2,823,282 $ 2,888,683
============== ============== ============== ==============
</Table>
<Table>
<Caption>
MILLBURN LLC
FOR THE THREE FOR THE THREE FOR THE SIX FOR THE SIX
MONTHS ENDED MONTHS ENDED MONTHS ENDED MONTHS ENDED
JUNE 30, 2003 JUNE 30, 2002 JUNE 30, 2003 JUNE 30, 2002
(UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED)
-------------- -------------- -------------- --------------
Revenues $ 2,351,829 $ 2,966,268 $ 1,915,834 $ 2,412,195
Expenses 659,104 402,009 1,003,477 681,648
-------------- -------------- -------------- --------------
Net Income $ 1,692,725 $ 2,564,259 $ 912,357 $ 1,730,547
============== ============== ============== ==============
</Table>
3. FAIR VALUE AND OFF-BALANCE SHEET RISK
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 resulted
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.
The General Partner, Merrill Lynch Alternative Investments LLC ("MLAI LLC")
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 LLC does not itself intervene in the markets
to hedge or diversify the Partnership's market exposure, MLAI LLC 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
6
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trading erratically, MLAI LLC'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
<Table>
<Caption>
-----------------------------------------------------------
JAN. FEB. MAR. APR. MAY JUN.
-----------------------------------------------------------
2002 $269.22 $255.81 $242.23 $237.12 $258.85 $317.98
-----------------------------------------------------------
2003 $383.74 $393.54 $371.52 $376.91 $415.46 $402.31
-----------------------------------------------------------
</Table>
MONTH-END NET ASSET VALUE PER SERIES B UNIT
<Table>
<Caption>
-----------------------------------------------------------
JAN. FEB. MAR. APR. MAY JUN.
-----------------------------------------------------------
2002 $218.75 $207.86 $196.82 $192.67 $210.33 $258.37
-----------------------------------------------------------
2003 $311.82 $319.78 $301.90 $306.27 $337.59 $326.91
-----------------------------------------------------------
</Table>
MONTH-END NET ASSET VALUE PER SERIES C UNIT
<Table>
<Caption>
-----------------------------------------------------------
JAN. FEB. MAR. APR. MAY JUN.
-----------------------------------------------------------
2002 $170.48 $161.99 $153.39 $150.15 $163.92 $201.36
-----------------------------------------------------------
2003 $242.97 $249.18 $235.24 $238.65 $263.07 $254.75
-----------------------------------------------------------
</Table>
Performance Summary
7
<Page>
All of the Partnership's assets are invested in Trading LLCs. The Partnership
receives trading profits as an investor in Trading LLCs . The following
commentary describes the trading results of Trading LLCs.
JANUARY 1, 2003 TO JUNE 30, 2003
January 1, 2003 to March 31, 2003
The Partnership experienced gains in the interest rate, stock index and
currency sectors and losses in the metals sector. Overall, the Partnership
experienced a positive rate of return for the quarter.
Interest rate futures were the best performers for the quarter. Interest rates
continued to push lower as economic data for the fourth quarter announced an
annual growth rate for the economy of about 1% for 2002. Consumer spending and
confidence remained low and even the housing market stumbled in March. The
global fixed income markets continued their upward climb until mid-March when
expectations of a short conflict triggered the liquidation of many fixed income
investments hurting long exposure.
Trading in stock indices posted gains for each of the months in the quarter.
European stock markets attempted to start the year with some optimism only to
succumb to eroding prices throughout the quarter. Global economies suffered
throughout the quarter; however, in mid-March the equities market did react with
the currency and fixed income markets. Equities appeared to be more in tune to
the overall market fundamental and were quick to resume their downward trend.
The currency forward and futures trading had gains for the quarter. The
weakening U.S. dollar was continuing to decline as it has for over a year and
the Partnership was well positioned to capitalize on its U.S. dollar positions
against other currencies. In March, on hopes that the war with Iraq would be
short, the U.S. dollar strengthened and returned some of the profits earned
early in the year.
The metals sector had losses for the quarter. Gold drove profits in January as
it continued its run up. The general perception of risks in the financial
markets and the geopolitical situation unfolding was the main driver for the
gold market in January. The Partnership sustained losses in February as the long
bias in precious metals hurt the portfolio when gold reversed its rising trend
in February with the announcement that the German Bundesbank had sold a portion
of its gold reserves. Industrial metals markets were choppy throughout the
quarter.
April 1, 2003 to June 30, 2003
The Partnership realized gains in the currency, interest rate and stock index
sectors. Losses were realized in the metals sector. Overall, the Partnership
recognized gains for the quarter.
The currency sector drove the returns of the Partnership for the quarter. The
currency markets judged the developments in the Middle East as negative for the
U.S. economy and trade, and the U.S. dollar sold off against most major
currencies in April and May. U.S. Treasury Secretary John Snow indicated he was
comfortable with current decline in the U.S. dollar and that a cheaper U.S.
dollar would increase exports. The U.S. dollar reversed its weakening trend in
June which caused offset some of the previous gains.
The interest rate sector provided the Partnership with profits for the second
quarter. May gains outpaced losses from June. The decline in interest rates
resulted in profits in many of the Partnership's long positions. Some factors
that kept the interest rates falling were rumors of deflation, hedging by long
term lenders against the falling interest rates, and foreign banks buying U.S.
Treasuries as part of their monetary policy to control the value of their
currency. The market reversed in June due to disappointing news about a smaller
rate cut by the Federal Reserve then expected.
8
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The stock index futures produced small gains for the quarter capitalizing on the
global upswing in stock prices in June. Investors reacted to the hope that
deflation and economic contraction were coming to an end in Japan. Reports
indicate that the rally in Japanese stocks has been fueled by foreign mutual
funds, hedge funds and other non-Japanese institutional investors who invested
more than ten times as much as local investors in June.
The metals sector posted a small loss for the second quarter. Positions in gold
shifted from profitable to not throughout the quarter. Copper and other base
metals were unprofitable.
JANUARY 1, 2002 TO JUNE 30, 2002
January 1, 2002 to March 31, 2002
Trading in the metals sector was unprofitable for the quarter. Long positions in
gold suffered losses. The gold market slumped, reversing January gains. Base
metal positioning posted losses as prices soared on the hope that an economic
recovery in the United States would boost demand.
Trading in the interest rate markets produced losses on conflicting economic
reports. U.S. short rate profits offset losses incurred further out on the U.S.
curve under very choppy market conditions. European and Japanese fixed income
exposures posted losses under particularly direction-less markets. Global bond
prices declined on growing optimism for a stronger economic outlook for the
remainder of 2002, benefiting short positioning.
Stock indices trading incurred losses for the quarter. Long equity exposures
were flipped to short exposures during the quarter, added to losses in volatile
market conditions as profit forecasts fell short and concern over the Enron
accounting situation deepened. Global equity markets appreciated in March,
notably in Japan, Germany and France, which generated losses on short
positioning.
Currency trading was the most unprofitable strategy for the quarter. Early in
the quarter, strong gains were generated from short Japanese yen positions as
the Japanese yen continued to depreciate against the U.S. dollar. In February,
all of the futures traded currencies appreciated against the U.S. dollar, with
the exception of the Canadian dollar. March was a relatively volatile month for
G-7 currencies. The U.S. dollar fell from 133 to 127.50 Japanese yen during the
first week, and then almost completely reversed that move by month end,
generating substantial losses.
April 1, 2002 to June 30, 2002
Large profits were the result of trading in the currency sector. Strong trends
developed from a weakening U.S. dollar and continued through June. Most of the
majors currencies made new highs versus the U.S. dollar in June.
The interest rate sector was profitable for the Partnership despite its slow
start. The quarter began with a loss as interest rates were particularly
sensitive to economic data that was released, and more so to its varied
interpretations. By quarter end, the Partnership profited from a strong bond
market, which benefited from the weakness in the stock market and unchanged
interest rates.
The trading in stock indices found profits from its short positions. Worldwide
equity market attempted to move higher, but failed and resumed their longer-term
downtrend. The metals sector sustained slight
9
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losses for the quarter. In June, the uptrend in gold reversed and losses were
sustained on a long position eliminating slight profits earned earlier in the
quarter.
The metals sector sustained slight losses for the quarter. In June, the uptrend
in gold reversed and losses were sustained on a long position eliminating slight
profits earned earlier in the quarter.
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 within 90 days of the filing date of
this quarterly report, and, based on their evaluation, have 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.
10
<Page>
PART II - OTHER INFORMATION
Item 1. Legal Proceedings
There are no pending proceedings to which the Partnership or MLAI LLC
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 2003.
11
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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: August 14, 2003 By /s/ ROBERT M. ALDERMAN
----------------------
Robert M. Alderman
Chairman, Chief Executive Officer and
Manager
(Principal Executive Officer)
Date: August 14, 2003 By /s/ MICHAEL L. PUNGELLO
-----------------------
Michael L. Pungello
Vice President, Chief Financial Officer
and Treasurer
(Principal Financial and Accounting
Officer)
12
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EXHIBIT 99
Form of Certification Pursuant to Section 1350 of Chapter 63
------------------------------------------------------------
of Title 180 of the United States Code
--------------------------------------
I, Robert M. Alderman, certify that:
1. I have reviewed this quarterly report on Form 10-Q of John W. Henry &
Co./Millburn L.P.;
2. Based on my knowledge, this quarterly 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 quarterly
report;
3. Based on my knowledge, the financial statements, and other financial
information included in this quarterly 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 quarterly report;
4. The registrant's other certifying officers and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined in
Exchange Act Rules 13a-14 and 15d-14) for the registrant and have:
a) designed such disclosure controls and procedures 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 quarterly report is being
prepared;
b) evaluated the effectiveness of the registrant's disclosure controls and
procedures as of a date within 90 days prior to the filing date of this
quarterly report (the "Evaluation Date"); and
c) presented in this quarterly report our conclusions about the
effectiveness of the disclosure controls and procedures based on our
evaluation as of the Evaluation Date;
5. The registrant's other certifying officers and I have disclosed, based on our
most recent evaluation, 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 in the design or operation of internal
controls which could adversely affect the registrant's ability to record,
process, summarize and report financial data and have identified for the
registrant's auditors any material weaknesses in internal controls; and
b) any fraud, whether or not material, that involves management or other
employees who have a significant role in the registrant's internal
controls;
6. The registrant's other certifying officers and I have indicated in this
quarterly report whether there were significant changes in internal controls or
in other factors that could significantly affect internal controls subsequent to
the date of our most recent evaluation, including any corrective actions with
regard to significant deficiencies and material weaknesses.
Date: August 14, 2003
- -----------------------
By /s/ ROBERT M. ALDERMAN
----------------------
Robert M. Alderman
Chairman, Chief Executive Officer and Manager
(Principal Executive Officer)
13
<Page>
EXHIBIT 99 (a)
AS ADOPTED TO
-------------
SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002
---------------------------------------------
In connection with this quarterly report of John W. Henry & Co./Millburn L.P. on
Form 10-Q for the period ended June 30, 2003 as filed with the Securities and
Exchange Commission on the date hereof, 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 quarterly report fully complies with the requirements of Section 13 or
15(d) of the Securities and Exchange Act of 1934; and
2. The information contained in this quarterly report fairly presents, in all
material respects, the financial condition and results of operations of John W.
Henry & Co./Millburn L.P.
Date: August 14, 2003
- -----------------------
By /s/ ROBERT M. ALDERMAN
----------------------
Robert M. Alderman
Chairman, Chief Executive Officer and Manager
(Principal Executive Officer)
14
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EXHIBIT 99
Form of Certification Pursuant to Section 1350 of Chapter 63
------------------------------------------------------------
of Title 180 of the United States Code
--------------------------------------
I, Michael L. Pungello, certify that:
1. I have reviewed this quarterly report on Form 10-Q of John W. Henry &
Co./Millburn L.P.;
2. Based on my knowledge, this quarterly 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 quarterly
report;
3. Based on my knowledge, the financial statements, and other financial
information included in this quarterly 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 quarterly report;
4. The registrant's other certifying officers and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined in
Exchange Act Rules 13a-14 and 15d-14) for the registrant and have:
a) designed such disclosure controls and procedures 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 quarterly report is being
prepared;
b) evaluated the effectiveness of the registrant's disclosure controls and
procedures as of a date within 90 days prior to the filing date of this
quarterly report (the "Evaluation Date"); and
c) presented in this quarterly report our conclusions about the
effectiveness of the disclosure controls and procedures based on our
evaluation as of the Evaluation Date;
5. The registrant's other certifying officers and I have disclosed, based on our
most recent evaluation, 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 in the design or operation of internal
controls which could adversely affect the registrant's ability to record,
process, summarize and report financial data and have identified for the
registrant's auditors any material weaknesses in internal controls; and
b) any fraud, whether or not material, that involves management or other
employees who have a significant role in the registrant's internal
controls;
6. The registrant's other certifying officers and I have indicated in this
quarterly report whether there were significant changes in internal controls or
in other factors that could significantly affect internal controls subsequent to
the date of our most recent evaluation, including any corrective actions with
regard to significant deficiencies and material weaknesses.
Date: August 14, 2003
- -----------------------
By /s/ MICHAEL L. PUNGELLO
-----------------------
Michael L. Pungello
Vice President, Chief Financial Officer
and Treasurer
(Principal Financial and Accounting Officer)
15
<Page>
EXHIBIT 99 (a)
AS ADOPTED TO
-------------
SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002
---------------------------------------------
In connection with this quarterly report of John W. Henry & Co./Millburn L.P. on
Form 10-Q for the period ended June 30, 2003 as filed with the Securities and
Exchange Commission on the date hereof, 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 quarterly report fully complies with the requirements of Section 13 or
15(d) of the Securities and Exchange Act of 1934; and
2. The information contained in this quarterly report fairly presents, in all
material respects, the financial condition and results of operations of
John W. Henry & Co./Millburn L.P.
Date: August 14, 2003
- -----------------------
By /s/ MICHAEL L. PUNGELLO
-----------------------
Michael L. Pungello
Vice President, Chief Financial Officer
and Treasurer
(Principal Financial and Accounting Officer)
16