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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, 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 / /
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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,
2004 DECEMBER 31,
(UNAUDITED) 2003
------------- -------------
ASSETS
Investments in Trading LLCs $ 24,450,668 $ 31,976,838
Receivable from Trading LLCs 192,703 226,885
------------- -------------
TOTAL $ 24,643,371 $ 32,203,723
============= =============
LIABILITY AND PARTNERS' CAPITAL
Administrative fees and other payables $ 50,000 $ 6,098
Redemptions payable 142,703 220,787
------------- -------------
Total liabilities 192,703 226,885
------------- -------------
PARTNERS' CAPITAL:
General Partner:
(209 and 209 Series A Units) 68,588 83,679
(478 and 478 Series B Units) 127,281 155,512
(339 and 339 Series C Units) 70,372 85,946
Limited Partners:
(19,079 and 20,239 Series A Units) 6,261,285 8,103,322
(42,646 and 46,566 Series B Units) 11,355,611 15,149,651
(31,637 and 33,127 Series C Units) 6,567,531 8,398,728
------------- -------------
Total partners' capital 24,450,668 31,976,838
------------- -------------
TOTAL $ 24,643,371 $ 32,203,723
============= =============
NET ASSET VALUE PER UNIT
Series A (based on 19,288 and 20,448 Units outstanding) $ 328.18 $ 400.38
============= =============
Series B (based on 43,124 and 47,044 Units outstanding) $ 266.28 $ 325.34
============= =============
Series C (based on 31,976 and 33,466 Units outstanding) $ 207.59 $ 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 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,
2004 2003 2004 2003
--------------- --------------- --------------- ---------------
REVENUES:
Trading profits (loss):
Realized $ (4,697,484) $ 2,812,793 $ (1,679,828) $ 8,923,058
Change in unrealized (614,690) 946,303 (2,425,072) (3,213,695)
--------------- --------------- --------------- ---------------
Total trading results (5,312,174) 3,759,096 (4,104,900) 5,709,363
--------------- --------------- --------------- ---------------
Interest income 79,586 93,208 154,160 188,366
--------------- --------------- --------------- ---------------
Total revenues (5,232,588) 3,852,304 (3,950,740) 5,897,729
--------------- --------------- --------------- ---------------
EXPENSES:
Brokerage commissions 559,096 723,739 1,254,112 1,436,254
Profit Shares (79,276) 499,549 33,869 683,593
Administrative fees 166,444 21,286 206,143 42,243
--------------- --------------- --------------- ---------------
Total expenses 646,264 1,244,574 1,494,124 2,162,090
--------------- --------------- --------------- ---------------
NET INCOME (LOSS) $ (5,878,852) $ 2,607,730 $ (5,444,864) $ 3,735,639
=============== =============== =============== ===============
NET INCOME (LOSS) PER UNIT:
Weighted average number of General Partner
and Limited Partner Units outstanding 95,784 105,868 97,510 107,373
=============== =============== =============== ===============
Net income (loss) per weighted average
General Partner and Limited Partner Unit $ (61.38) $ 24.63 $ (55.84) $ 34.79
=============== =============== =============== ===============
Net income (loss) per weighted average General
Partner and Limited Partner Unit by series
Series A $ (77.27) $ 31.09 $ (71.11) $ 43.99
=============== =============== =============== ===============
Series B $ (63.26) $ 25.09 $ (56.77) $ 35.61
=============== =============== =============== ===============
Series C $ (49.26) $ 19.97 $ (45.39) $ 27.98
=============== =============== =============== ===============
</Table>
All items of revenue and expense are allocated from investments in Trading LLCs.
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, 2004 AND 2003
(unaudited)
<Table>
<Caption>
UNITS GENERAL PARTNER
-------------------------------------- --------------------------------------------
SERIES A SERIES B SERIES C SERIES A SERIES B SERIES C
---------- ---------- ---------- ------------ ------------ ------------
PARTNERS' CAPITAL, December 31, 2002 22,607 49,697 36,756 $ 82,826 $ 148,873 $ 85,813
Additions - 60 - - 20,255 -
Net income - - - 10,108 17,536 10,483
Redemptions (1,123) (1,471) (2,508) - - -
---------- ---------- ---------- ------------ ------------ ------------
PARTNERS' CAPITAL, June 30, 2003 21,484 48,286 34,248 $ 92,934 $ 186,664 $ 96,296
========== ========== ========== ============ ============ ============
PARTNERS' CAPITAL, December 31, 2003 20,448 47,044 33,466 $ 83,679 $ 155,512 $ 85,946
Net loss - - - (15,091) (28,231) (15,574)
Redemptions (1,160) (3,920) (1,490) - - -
---------- ---------- ---------- ------------ ------------ ------------
PARTNERS' CAPITAL, June 30, 2004 19,288 43,124 31,976 $ 68,588 $ 127,281 $ 70,372
========== ========== ========== ============ ============ ============
<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
Additions - - - 20,255
Net income 966,429 1,736,579 994,504 3,735,639
Redemptions (439,092) (467,885) (624,647) (1,531,624)
------------- ------------- ------------- -------------
PARTNERS' CAPITAL, June 30, 2003 $ 8,550,345 $ 15,598,332 $ 8,628,474 $ 33,153,045
============= ============= ============= =============
PARTNERS' CAPITAL, December 31, 2003 $ 8,103,322 $ 15,149,651 $ 8,398,728 $ 31,976,838
Net loss (1,381,852) (2,532,207) (1,471,909) (5,444,864)
Redemptions (460,185) (1,261,833) (359,288) (2,081,306)
------------- ------------- ------------- -------------
PARTNERS' CAPITAL, June 30, 2004 $ 6,261,285 $ 11,355,611 $ 6,567,531 $ 24,450,668
============= ============= ============= =============
</Table>
See notes to financial statements.
4
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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, 2004, and the results of its operations for the three and
six month periods ended June 30, 2004 and 2003. 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, 2003.
2. INVESTMENTS
As of June 30, 2004, the Partnership had investments in ML JWH Financials
and Metals Portfolio LLC ("JWH LLC") and Millburn Global LLC ("Millburn
LLC")(collectively "Trading LLCs") of $12,225,334 and $12,225,334,
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.
Condensed statements of financial condition and statements of operations
for JWH LLC and Millburn LLC are set forth as follows:
<Table>
<Caption>
JUNE 30, 2004
(UNAUDITED) DECEMBER 31, 2003
----------------------------- -----------------------------
JWH MILLBURN JWH MILLBURN
LLC LLC LLC LLC
------------- ------------- ------------- -------------
Assets $ 12,302,839 $ 12,778,993 $ 16,966,913 $ 16,374,341
============= ============= ============= =============
Liabilities $ 77,505 $ 553,659 $ 978,493 $ 385,922
Members' Capital 12,225,334 12,225,334 15,988,420 15,988,419
------------- ------------- ------------- -------------
Total $ 12,302,839 $ 12,778,993 $ 16,966,913 $ 16,374,341
============= ============= ============= =============
</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, 2004 JUNE 30, 2003 JUNE 30, 2004 JUNE 30, 2003
(UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED)
--------------- --------------- --------------- ---------------
Revenues $ (2,936,519) $ 1,500,475 $ (2,317,299) $ 3,981,895
Expenses 282,458 585,470 671,798 1,158,613
--------------- --------------- --------------- ---------------
Net Income (loss) $ (3,218,977) $ 915,005 $ (2,989,097) $ 2,823,282
=============== =============== =============== ===============
<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, 2004 JUNE 30, 2003 JUNE 30, 2004 JUNE 30, 2003
(UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED)
--------------- --------------- --------------- ---------------
Revenues $ (2,296,068) $ 2,351,829 $ (1,633,441) $ 1,915,834
Expenses 213,807 659,104 653,069 1,003,477
--------------- --------------- --------------- ---------------
Net Income (loss) $ (2,509,875) $ 1,692,725 $ (2,286,510) $ 912,357
=============== =============== =============== ===============
</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 can not
be presented on the financial statements. The following summarizes some of
those risks.
MARKET RISK
Derivative instruments involve varying degrees of off-balance sheet market
risk. Changes in the level or volatility of interest rates, foreign
currency exchange rates or the market values of the financial instruments
or commodities underlying such derivative instruments frequently results in
changes in the net unrealized profit (loss) as reflected in the respective
Statements of Financial Condition of the Trading LLCs. The Partnership's
exposure to market risk is influenced by a number of factors, including the
relationships among the derivative instruments held by the Partnership,
through the Trading LLCs, as well as the volatility and liquidity of such
markets in which such derivative instruments are traded.
The General Partner, Merrill Lynch Alternative Investments LLC ("MLAI"),
has procedures in place intended to control market risk exposure, although
there can be no assurance that they will, in fact, succeed in doing so.
These procedures focus primarily on monitoring the trading of the Advisors
selected from time to time for the Partnership, calculating the Net Asset
Value of the Advisors' respective Trading LLC accounts as of the close of
business on each day and reviewing outstanding positions for
over-concentrations both on an Advisor-by-Advisor and on an overall
Partnership basis. While MLAI does not itself intervene in the markets to
hedge or diversify the Partnership's market 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-
6
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concentration. However, such interventions are unusual. Except in cases in
which it appears that an Advisor has begun to deviate from past practice
and trading policies or to be trading erratically, MLAI's basic risk
control procedures consist simply of the ongoing process of advisor
monitoring and selection, with the market risk controls being applied by
the Advisors themselves.
CREDIT RISK
The risks associated with exchange-traded contracts are typically perceived
to be less than those associated with over-the-counter
(non-exchange-traded) transactions, because exchanges typically (but not
universally) provide clearinghouse arrangements in which the collective
credit (in some cases limited in amount, in some cases not) of the members
of the exchange is pledged to support the financial integrity of the
exchange. In over-the-counter transactions, on the other hand, traders must
rely solely on the credit of their respective individual counterparties.
Margins, which may be subject to loss in the event of a default, are
generally required in exchange trading, and counterparties may also require
margin in the over-the-counter markets.
The Partnership, through the Trading LLCs, has credit risk in respect of
its counterparties and brokers, but attempts to mitigate this risk by
dealing almost exclusively with Merrill Lynch entities as clearing brokers.
The Partnership, through the Trading LLCs, in its normal course of
business, enters into various contracts, with Merrill Lynch, Pierce, Fenner
& Smith Inc. ("MLPF&S") acting as its commodity broker. Pursuant to the
brokerage agreement with MLPF&S (which includes a netting arrangement), to
the extent that such trading results in receivables from and payables to
MLPF&S, these receivables and payables are offset and reported as a net
receivable or payable and included in the Statements of Financial Condition
under Equity in commodity futures trading accounts.
Item 2: Management's Discussion and Analysis of Financial Condition and Results
of Operations
MONTH-END NET ASSET VALUE PER SERIES A UNIT
<Table>
<Caption>
JAN. FEB. MAR. APR. MAY JUN.
---- ---- ---- ---- --- ----
2003 $ 383.74 $ 393.54 $ 371.52 $ 376.91 $ 415.46 $ 402.31
2004 $ 405.87 $ 422.69 $ 405.35 $ 363.10 $ 342.77 $ 328.18
</Table>
MONTH-END NET ASSET VALUE PER SERIES B UNIT
<Table>
<Caption>
JAN. FEB. MAR. APR. MAY JUN.
---- ---- ---- ---- --- ----
2003 $ 311.82 $ 319.78 $ 301.90 $ 306.27 $ 337.59 $ 326.91
2004 $ 329.80 $ 343.47 $ 329.38 $ 294.84 $ 278.12 $ 266.28
</Table>
MONTH-END NET ASSET VALUE PER SERIES C UNIT
<Table>
<Caption>
JAN. FEB. MAR. APR. MAY JUN.
---- ---- ---- ---- --- ----
2003 $ 242.97 $ 249.18 $ 235.24 $ 238.65 $ 263.07 $ 254.75
2004 $ 257.00 $ 267.65 $ 256.68 $ 229.80 $ 216.82 $ 207.59
</Table>
Performance Summary
7
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All of the Partnership's assets are invested in Trading LLCs. The Partnership
receives trading profits (losses) as an investor in Trading LLCs. The following
commentary describes the trading results of Trading LLCs.
JANUARY 1, 2004 TO JUNE 30, 2004
January 1, 2004 to March 31, 2004
Gains were experienced in the interest rate, metals and stock indices and losses
in the currency sector. Overall, the Partnership experienced a positive rate of
return for the quarter.
The interest rate sector posted the largest gains. In January, the fixed income
market slowly drifted higher, but exhibited reversals, mainly due to foreign
exchange moves. Profits were generated from various positions at the short end
of the yield curve in the U.S. and Europe, while losses were posted at longer
points in the yield curve in both the U.S. and Europe. In February, fixed income
markets resumed their slow upward trend. The overall sector exposure had been
limited compared to historical exposures but profits were generated from both
U.S. and German yield curves. Gains were also posted in March. Long exposure to
most of the major global yield curves generated positive results. German Bunds
and the longer end of the U.S. yield curve posted gains, while Japanese exposure
detracted from performance.
The metals sector posted gains for the quarter. In January, long positions in
both precious and industrial metals generated positive returns. Copper continued
to move higher and rose to its highest price in more than six years due to
supply disruptions and heavy demand from new home construction. Gold also
reached highs not seen since 1988. In February, industrial metals generated
positive returns from the long side, while precious metals detracted from
performance. Base metals continued their upward move as the sector experienced
strong demand, shrinking supply and U.S. dollar weakness, helping to drive
prices higher. Strong industrial demand for copper and continued speculative
interest pushed the market to a seven year high. In March, industrial metals and
precious metals, especially gold, contributed to profits.
Stock indices also posted gains for the quarter. Stock indices posted a profit
for January as long exposure to global equities from momentum based and
fundamental models performed well. The main drivers to performance in this
sector were the DAX and the NASDAQ Indices. In February, exposure to global
equities produced negative performance. Asian equities produced positive
performance while other markets, specifically the U.S., outweighed those gains.
Stock indices posted a small gain for March. Asian equity exposure outperformed
U.S. exposure during the month.
The currency sector experienced losses despite gains early in the quarter. In
January, the currency sector continued its long trend of a weakening U.S.
dollar. Currency trading was very choppy, but gains were generated in the
earlier part of the month. The currency sector posted losses for the month of
February 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
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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.
JANUARY 1, 2003 TO JUNE 30, 2003
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.
9
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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.
April 1, 2003 to June 30, 2003
The Trading LLCs 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 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 Trading LLC 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 U.S. Federal Reserve then expected.
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.
Item 3. Quantitative and Qualitative Disclosures About Market Risk
Not applicable
10
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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 this evaluation, has concluded that these
disclosure controls and procedures are effective. Additionally, there were no
significant changes in the Partnership's internal controls or in other factors
that could significantly affect these controls subsequent to the date of this
evaluation, including any corrective actions with regard to significant
deficiencies and material weaknesses.
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PART II - OTHER INFORMATION
Item 1. Legal Proceedings
There are no pending proceedings to which the Partnership, Trading LLC's
or MLAI is a party.
Item 2. Changes in Securities and Use of Proceeds
(a) None.
(b) None.
(c) None.
(d) None.
Item 3. Defaults Upon Senior Securities
None.
Item 4. Submission of Matters to a Vote of Security Holders
None.
Item 5. Other Information
None.
Item 6. Exhibits and Reports on Form 8-K.
(a) EXHIBITS
There are no exhibits required to be filed as part of this report.
(b) REPORTS ON FORM 8-K
There were no reports on Form 8-K filed during the first six months of
fiscal 2004.
12
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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: MERRILL LYNCH ALTERNATIVE
INVESTMENTS LLC
General Partner
Date: August 13, 2004 By /s/ ROBERT M. ALDERMAN
----------------------
Robert M. Alderman
Chief Executive Officer, President and Manager
(Principal Executive Officer)
Date: August 13, 2004 By /s/ MICHAEL L. PUNGELLO
-----------------------
Michael L. Pungello
Vice President, Chief Financial Officer
and Treasurer
(Principal Financial and Accounting Officer)
13
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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: August 13, 2004
By /s/ ROBERT M. ALDERMAN
----------------------
Robert M. Alderman
Chief Executive Officer, President and Manager
(Principal Executive Officer)
14
<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: August 13, 2004
By /s/ MICHAEL L. PUNGELLO
-----------------------
Michael L. Pungello
Vice President, Chief Financial Officer
and Treasurer
(Principal Financial and Accounting Officer)
15
<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 June 30, 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: August 13, 2004
By /s/ ROBERT M. ALDERMAN
----------------------
Robert M. Alderman
Chief Executive Officer, President and Manager
(Principal Executive Officer)
16
<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 June 30, 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: August 13, 2004
By /s/ MICHAEL L. PUNGELLO
-----------------------
Michael L. Pungello
Vice President, Chief Financial Officer
and Treasurer
(Principal Financial and Accounting Officer)
17