<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 March 31, 2004
--------------
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 / /
<Page>
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>
MARCH 31, DECEMBER 31,
2004 2003
(UNAUDITED)
------------- -------------
ASSETS
Investments in Trading LLCs $ 30,868,153 $ 31,976,838
Receivable from Trading LLCs 199,755 226,885
------------- -------------
TOTAL $ 31,067,908 $ 32,203,723
============= =============
LIABILITY AND PARTNERS' CAPITAL
Administrative fees payable $ 6,478 $ 6,098
Redemptions payable 193,277 220,787
------------- -------------
Total liabilities 199,755 226,885
------------- -------------
PARTNERS' CAPITAL:
General Partner:
(209 and 209 Series A Units) 84,717 83,679
(478 and 478 Series B Units) 157,445 155,512
(339 and 339 Series C Units) 87,012 85,946
Limited Partners:
(19,269 and 20,239 Series A Units) 7,810,703 8,103,322
(43,806 and 46,566 Series B Units) 14,428,919 15,149,651
(32,334 and 33,127 Series C Units) 8,299,357 8,398,728
------------- -------------
Total partners' capital 30,868,153 31,976,838
------------- -------------
TOTAL $ 31,067,908 $ 32,203,723
============= =============
NET ASSET VALUE PER UNIT:
Series A (Based on 19,478 and 20,448 Units outstanding) $ 405.35 $ 400.38
============= =============
Series B (Based on 44,284 and 47,044 Units outstanding) $ 329.38 $ 325.34
============= =============
Series C (Based on 32,673 and 33,466 Units outstanding) $ 256.68 $ 253.53
============= =============
</Table>
See notes to financial statements.
2
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JOHN W. HENRY & CO./MILLBURN L.P.
(A DELAWARE LIMITED PARTNERSHIP)
STATEMENTS OF INCOME
(unaudited)
<Table>
<Caption>
FOR THE THREE FOR THE THREE
MONTHS ENDED MONTHS ENDED
MARCH 31, 2004 MARCH 31, 2003
-------------- --------------
REVENUES:
Trading profit (loss):
Realized $ 3,017,656 $ 6,110,265
Change in unrealized (1,810,382) (4,159,998)
------------- -------------
Total trading results 1,207,274 1,950,267
Interest income 74,574 95,158
------------- -------------
Total revenues 1,281,848 2,045,425
------------- -------------
EXPENSES:
Brokerage commissions 695,016 712,515
Profit Shares 113,145 184,044
Administrative fees 39,699 20,957
------------- -------------
Total expenses 847,860 917,516
------------- -------------
NET INCOME $ 433,988 $ 1,127,909
============= =============
NET INCOME PER UNIT:
Weighted average number of General Partner
and Limited Partner Units outstanding 99,235 108,876
============= =============
Net income per weighted average
General Partner and Limited Partner Unit $ 4.37 $ 10.36
============= =============
Net income per weighted average General Partner
and Limited Partner Unit by series
Series A $ 5.22 $ 13.18
============= =============
Series B $ 4.87 $ 10.62
============= =============
Series C $ 3.17 $ 8.27
============= =============
</Table>
See notes to financial statements.
3
<Page>
JOHN W. HENRY & CO./MILLBURN L.P.
(A DELAWARE LIMITED PARTNERSHIP)
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
FOR THE THREE MONTHS ENDED MARCH 31, 2004 AND 2003
(unaudited)
<Table>
<Caption>
UNITS
--------------------------------------------
SERIES A SERIES B SERIES C
------------ ------------ ------------
PARTNERS' CAPITAL,
December 31, 2002 22,607 49,697 36,756
Net income - - -
Redemptions (378) (330) (1,203)
------------ ------------ ------------
PARTNERS' CAPITAL,
March 31, 2003 22,229 49,367 35,553
============ ============ ============
PARTNERS' CAPITAL,
December 31, 2003 20,448 47,044 33,466
Net income - -
Redemptions (970) (2,760) (793)
------------ ------------ ------------
PARTNERS' CAPITAL,
March 31, 2004 19,478 44,284 32,673
============ ============ ============
<Caption>
GENERAL PARTNER
--------------------------------------------
SERIES A SERIES B SERIES C
------------ ------------ ------------
PARTNERS' CAPITAL,
December 31, 2002 $ 82,826 $ 148,873 $ 85,813
Net income 2,996 5,396 3,106
Redemptions - - -
------------ ------------ ------------
PARTNERS' CAPITAL,
March 31, 2003 $ 85,822 $ 154,269 $ 88,919
============ ============ ============
PARTNERS' CAPITAL,
December 31, 2003 $ 83,679 $ 155,512 $ 85,946
Net income 1,038 1,933 1,066
Redemptions - - -
------------ ------------ ------------
PARTNERS' CAPITAL,
March 31, 2004 $ 84,717 $ 157,445 $ 87,012
============ ============ ============
<Caption>
LIMITED PARTNERS
--------------------------------------------
SERIES A SERIES B SERIES C TOTAL
------------ ------------ ------------ ------------
PARTNERS' CAPITAL,
December 31, 2002 $ 8,023,008 $ 14,329,638 $ 8,258,617 $ 30,928,775
Net income 294,005 521,755 300,651 1,127,909
Redemptions (144,224) (102,010) (284,806) (531,040)
------------ ------------ ------------ ------------
PARTNERS' CAPITAL,
March 31, 2003 $ 8,172,789 $ 14,749,383 $ 8,274,462 $ 31,525,644
============ ============ ============ ============
PARTNERS' CAPITAL,
December 31, 2003 $ 8,103,322 $ 15,149,651 $ 8,398,728 $ 31,976,838
Net income 102,731 222,916 104,304 433,988
Redemptions (395,350) (943,648) (203,675) (1,542,673)
------------ ------------ ------------ ------------
PARTNERS' CAPITAL,
March 31, 2004 $ 7,810,703 $ 14,428,919 $ 8,299,357 $ 30,868,153
============ ============ ============ ============
</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
In the opinion of management, the financial statements contain all
adjustments (consisting of only recurring adjustments) necessary to
present fairly the financial position of John W. Henry & Co./Millburn
L.P. (the "Partnership") as of March 31, 2004, and the results of its
operations for the three months ended March 31, 2004 and 2003. 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 accordance 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, 2003.
2. INVESTMENTS
As of March 31, 2004, the Partnership had investments in ML JWH Financials
and Metals Portfolio LLC ("JWH LLC") and Millburn Global LLC ("Millburn
LLC") ("Trading LLCs", collectively) of $15,434,076 and $15,434,077,
respectively. For the year ending December 31, 2003, the Partnership had
investments in JWH LLC and Millburn LLC of $15,988,419 and $15,988,419,
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:
<Table>
<Caption>
MARCH 31, 2004 DECEMBER 31, 2003
(UNAUDITED)
-------------------------- ---------------------------
JWH MILLBURN JWH MILLBURN
LLC LLC LLC LLC
------------ ------------ ------------ ------------
Assets $ 15,671,149 $ 15,748,341 $ 16,966,913 $ 16,374,341
============ ============ ============ ============
Liabilities $ 237,073 $ 314,264 $ 978,494 $ 385,922
Members' Capital 15,434,076 15,434,077 15,988,419 15,988,419
------------ ------------ ------------ ------------
Total $ 15,671,149 $ 15,748,341 $ 16,966,913 $ 16,374,341
============ ============ ============ ============
</Table>
5
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<Table>
<Caption>
JWH MILLBURN JWH MILLBURN
LLC LLC LLC LLC
-------------------- -------------------- -------------------- --------------------
FOR THE THREE MONTHS FOR THE THREE MONTHS FOR THE THREE MONTHS FOR THE THREE MONTHS
ENDED MARCH 31, ENDED MARCH 31, ENDED MARCH 31, ENDED MARCH 31,
2004 2004 2003 2003
(UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED)
-------------------- -------------------- -------------------- --------------------
Revenues $ 619,220 $ 662,627 $ 2,481,420 $ (435,995)
Expenses 389,340 439,262 573,142 344,373
---------- ---------- ----------- ----------
Net Income (Loss) $ 229,880 $ 223,365 $ 1,908,278 $ (780,368)
========== ========== =========== ==========
</Table>
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 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 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.
6
<Page>
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 with respect
to 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 Trading LLC's 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.
-------- -------- --------
2003 $ 383.74 $ 393.54 $ 371.52
2004 $ 405.87 $ 422.69 $ 405.35
</Table>
MONTH-END NET ASSET VALUE PER SERIES B UNIT
<Table>
<Caption>
JAN. FEB. MAR.
-------- -------- --------
2003 $ 311.82 $ 319.78 $ 301.90
2004 $ 329.80 $ 343.47 $ 329.38
</Table>
MONTH-END NET ASSET VALUE PER SERIES C UNIT
<Table>
<Caption>
JAN. FEB. MAR.
-------- -------- --------
2003 $ 242.97 $ 249.18 $ 235.24
2004 $ 257.00 $ 267.65 $ 256.68
</Table>
7
<Page>
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, 2004 to March 31, 2004
The Trading LLCs experienced gains 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 for the Trading LLCs. 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
the Trading LLCs were able to generate profits 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 the Trading LLCs were able to hold
on to gains 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.
8
<Page>
January 1, 2003 to March 31, 2003
The Trading LLCs 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 Trading LLCs were 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 Trading LLCs 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.
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 and Trading LLCs within 90 days of
the filing date 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 or Trading
LLCs 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.
9
<Page>
PART II - OTHER INFORMATION
Item 1. Legal Proceedings
There are no pending legal proceedings to which the Partnership,
Trading LLCs 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 three months
of fiscal 2004.
10
<Page>
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: May 14, 2004 By /s/ ROBERT M. ALDERMAN
----------------------
Robert M. Alderman
Chief Executive Officer, President and Manager
(Principal Executive Officer)
Date: May 14, 2004 By /s/ MICHAEL L. PUNGELLO
-----------------------
Michael L. Pungello
Vice President, Chief Financial Officer
and Treasurer
(Principal Financial and Accounting Officer)
11
<Page>
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;
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: May 14, 2004
- -----------------------
By /s/ ROBERT M. ALDERMAN
----------------------
Robert M. Alderman
Chief Executive Officer, President and Manager
(Principal Executive Officer)
12
<Page>
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;
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: May 14, 2004
- -----------------------
By /s/ MICHAEL L. PUNGELLO
-----------------------
Michael L. Pungello
Vice President, Chief Financial Officer
and Treasurer
(Principal Financial and Accounting Officer)
13
<Page>
EXHIBIT 32.01
SECTION 1350 CERTIFICATIONS
In connection with this quarterly report of John W. Henry & Co./Millburn L.P. on
Form 10-Q for the period ended March 31, 2004 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 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 quarterly report fairly presents, in all
material respects, the financial condition and results of operations of John W.
Henry & Co./Millburn L.P.
Date: May 14, 2004
- -----------------------
By /s/ ROBERT M. ALDERMAN
----------------------
Robert M. Alderman
Chief Executive Officer, President and Manager
(Principal Executive Officer)
14
<Page>
EXHIBIT 32.02
SECTION 1350 CERTIFICATIONS
In connection with this quarterly report of John W. Henry & Co./Millburn L.P. on
Form 10-Q for the period ended March 31, 2004 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 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 quarterly report fairly presents, in all
material respects, the financial condition and results of operations of John W.
Henry & Co./Millburn L.P.
Date: May 14, 2004
- -----------------------
By /s/ MICHAEL L. PUNGELLO
-----------------------
Michael L. Pungello
Vice President, Chief Financial Officer
and Treasurer
(Principal Financial and Accounting Officer)
15