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Exhibit 99.13.01
JOHN W. HENRY & CO./
MILLBURN L.P.
(A DELAWARE LIMITED PARTNERSHIP)
Financial Statements for the years ended
December 31, 2004, 2003 and 2002
and Report of Independent Registered
Public Accounting Firm
[MERRILL LYNCH LOGO]
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JOHN W. HENRY & CO./MILLBURN L.P.
(A DELAWARE LIMITED PARTNERSHIP)
TABLE OF CONTENTS
<Table>
<Caption>
PAGE
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM 1
FINANCIAL STATEMENTS:
Statements of Financial Condition as of December 31, 2004 and 2003 2
Statements of Operations for the years ended December 31, 2004, 2003, and 2002 3
Statements of Changes in Partners' Capital for the years ended December 31, 2004, 4
2003 and 2002
Financial Data Highlights for the year ended December 31, 2004 5
Notes to Financial Statements 6-9
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Partners of
John W. Henry & Co./Millburn L.P.:
We have audited the accompanying statements of financial condition of John W.
Henry & Co./Millburn L.P. (the "Partnership") as of December 31, 2004 and 2003,
and the related statements of operations and changes in partners' capital for
each of the three years in the period ended December 31, 2004 and the financial
data highlights for the year ended December 31, 2004. These financial statements
and financial data highlights are the responsibility of the Partnership's
management. Our responsibility is to express an opinion on these financial
statements and financial data highlights based on our audits.
We conducted our audits in accordance with the standards of the Public
Company Accounting Oversight Board (United States). Those standards require
that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements and financial data highlights are free of
material misstatement. The Partnership is not required to have, nor were we
engaged to perform, an audit of its internal control over financial
reporting. An audit includes consideration of internal control over financial
reporting as a basis for designing audit procedures that are appropriate in
the circumstances, but not for the purpose of expressing an opinion on the
effectiveness of the Partnership's internal control over financial reporting.
Accordingly, we express no such opinion. An audit also includes examining, on
a test basis, evidence supporting the amounts and disclosures in the
financial statements. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.
In our opinion, such financial statements and financial data highlights present
fairly, in all material respects, the financial position of John W. Henry &
Co./Millburn L.P. as of December 31, 2004 and 2003, and the results of its
operations, changes in its partners' capital and the financial data highlights
for each of the periods presented in conformity with accounting principles
generally accepted in the United States of America.
New York, New York
March 28, 2005
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JOHN W. HENRY & CO./MILLBURN L.P.
(A DELAWARE LIMITED PARTNERSHIP)
STATEMENTS OF FINANCIAL CONDITION
DECEMBER 31, 2004 AND 2003
<Table>
<Caption>
2004 2003
--------------- ---------------
ASSETS:
Investments in Trading LLCs $ 27,635,033 $ 31,976,838
Receivable Trading LLCs 601,536 226,885
--------------- ---------------
TOTAL $ 28,236,569 $ 32,203,723
=============== ===============
LIABILITIES AND PARTNERS' CAPITAL
LIABILITIES:
Administrative fees payable $ 50,000 $ 6,098
Redemptions payable 551,536 220,787
--------------- ---------------
Total liabilities 601,536 226,885
--------------- ---------------
PARTNERS' CAPITAL:
General Partner:
(209 and 209 Series A Units outstanding) 80,720 83,679
(478 and 478 Series B Units outstanding) 149,823 155,512
(339 and 339 Series C Units outstanding) 82,822 85,946
Limited Partners:
(18,554 and 20,239 Series A Units outstanding) 7,165,985 8,103,322
(41,696 and 46,566 Series B Units outstanding) 13,069,071 15,149,651
(29,006 and 33,127 Series C Units outstanding) 7,086,612 8,398,728
--------------- ---------------
Total partners' capital 27,635,033 31,976,838
--------------- ---------------
TOTAL $ 28,236,569 $ 32,203,723
=============== ===============
NET ASSET VALUE PER UNIT:
Series A $ 386.22 $ 400.38
=============== ===============
Series B $ 313.44 $ 325.34
=============== ===============
Series C $ 244.32 $ 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
FOR THE YEARS ENDED DECEMBER 31, 2004, 2003 AND 2002
<Table>
<Caption>
2004 2003 2002
-------------- -------------- --------------
TRADING REVENUES:
Trading profit (loss):
Realized $ 1,696,804 $ 7,494,259 $ 10,429,479
Change in unrealized (281,869) (624,127) 1,084,889
-------------- -------------- --------------
Total trading revenues 1,414,935 6,870,132 11,514,368
-------------- -------------- --------------
INVESTMENT INCOME:
Interest 367,819 339,103 452,175
-------------- -------------- --------------
EXPENSES:
Brokerage commissions 2,309,432 2,823,906 2,442,927
Profit Shares 131,611 710,980 1,149,373
Administrative fees 537,182 101,873 71,850
-------------- -------------- --------------
Total expenses 2,978,225 3,636,759 3,664,150
-------------- -------------- --------------
NET INVESTMENT LOSS (2,610,406) (3,297,656) (3,211,975)
-------------- -------------- --------------
NET INCOME (LOSS) $ (1,195,471) $ 3,572,476 $ 8,302,393
============== ============== ==============
NET INCOME (LOSS) PER UNIT:
Weighted average number of General Partner
and Limited Partner Units outstanding 95,534 105,010 116,271
============== ============== ==============
Net income (loss) per weighted average General Partner
and Limited Partner Unit by series
Series A $ (14.81) $ 43.49 $ 90.31
============== ============== ==============
Series B $ (12.93) $ 34.51 $ 73.48
============== ============== ==============
Series C $ (10.56) $ 27.49 $ 57.07
============== ============== ==============
</Table>
The majority of income and expense are derived from investments in Trading LLCs
(Note 2).
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 YEARS ENDED DECEMBER 31, 2004, 2003 AND 2002
<Table>
<Caption>
GENERAL PARTNER
SERIES SERIES SERIES --------------------------------------------
A B C SERIES SERIES SERIES
UNITS UNITS UNITS A B C
------------ ------------ ------------ ------------ ------------ ------------
PARTNERS' CAPITAL,
DECEMBER 31, 2001 25,885 55,740 41,824 $ 76,061 $ 133,398 $ 76,317
Net income - - - 25,336 44,514 25,469
Redemptions (3,278) (6,043) (5,068) (18,571) (29,039) (15,973)
------------ ------------ ------------ ------------ ------------ ------------
PARTNERS' CAPITAL,
DECEMBER 31, 2002 22,607 49,697 36,756 82,826 148,873 85,813
Net income - - - 9,662 16,640 10,020
Redemptions (2,159) (2,653) (3,290) (8,809) (10,001) (9,887)
------------ ------------ ------------ ------------ ------------ ------------
PARTNERS' CAPITAL,
DECEMBER 31, 2003 20,448 47,044 33,466 83,679 155,512 85,946
Net loss - - - (2,959) (5,689) (3,124)
Redemptions (1,685) (4,870) (4,121) - - -
------------ ------------ ------------ ------------ ------------ ------------
PARTNERS' CAPITAL,
DECEMBER 31, 2004 18,763 42,174 29,345 $ 80,720 $ 149,823 $ 82,822
============ ============ ============ ============ ============ ============
<Caption>
LIMITED PARTNERS
--------------------------------------------
SERIES SERIES SERIES
A B C TOTAL
------------ ------------ ------------ ------------
PARTNERS' CAPITAL,
DECEMBER 31, 2001 $ 6,856,493 $ 11,996,457 $ 7,016,956 $ 26,155,682
Net income 2,149,615 3,834,085 2,223,374 8,302,393
Redemptions (983,100) (1,500,904) (981,713) (3,529,300)
------------ ------------ ------------ ------------
PARTNERS' CAPITAL,
DECEMBER 31, 2002 8,023,008 14,329,638 8,258,617 30,928,775
Net income 928,545 1,657,813 949,796 3,572,476
Redemptions (848,231) (837,800) (809,685) (2,524,413)
------------ ------------ ------------ ------------
PARTNERS' CAPITAL,
DECEMBER 31, 2003 8,103,322 15,149,651 8,398,728 31,976,838
Net loss (284,577) (561,943) (337,179) (1,195,471)
Redemptions (652,760) (1,518,637) (974,937) (3,146,334)
------------ ------------ ------------ ------------
PARTNERS' CAPITAL,
DECEMBER 31, 2004 $ 7,165,985 $ 13,069,071 $ 7,086,612 $ 27,635,033
============ ============ ============ ============
</Table>
See notes to financial statements.
4
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JOHN W. HENRY & CO./MILLBURN L.P.
(A DELAWARE LIMITED PARTNERSHIP)
FINANCIAL DATA HIGHLIGHTS
FOR THE YEAR ENDED DECEMBER 31, 2004
The following per Unit data and ratios have been derived from information
provided in the financial statements.
<Table>
<Caption>
SERIES A SERIES B SERIES C
--------------- --------------- ---------------
PER UNIT OPERATING PERFORMANCE:
Net asset value, beginning of year $ 400.38 $ 325.34 $ 253.53
Realized trading profit 23.86 19.40 15.11
Change in unrealized trading profit (loss) (3.88) (3.23) (2.49)
Interest income 4.90 3.98 3.10
Expenses (39.04) (32.05) (24.93)
--------------- --------------- ---------------
Net asset value, end of year $ 386.22 $ 313.44 $ 244.32
=============== =============== ===============
TOTAL RETURN:
Total return before Profit Shares -3.21% -3.35% -3.31%
Profit Shares -0.48% -0.45% -0.48%
Total return -3.54% -3.66% -3.64%
RATIOS TO AVERAGE NET ASSETS:
Expenses (excluding Profit Shares) 10.43% 10.57% 10.57%
Profit Shares 0.47% 0.51% 0.46%
--------------- --------------- ---------------
Expenses 10.90% 11.08% 11.03%
=============== =============== ===============
Net investment loss -9.54% -9.72% -9.67%
=============== =============== ===============
</Table>
See notes to financial statements.
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JOHN W. HENRY & CO./MILLBURN L.P.
(A DELAWARE LIMITED PARTNERSHIP)
NOTES TO FINANCIAL STATEMENTS
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
John W. Henry & Co./Millburn L.P. (the "Partnership") was organized under
the Delaware Revised Uniform Limited Partnership Act on August 29, 1989.
The Partnership's initial offering of Units of limited partnership interest
("Series A Units") commenced trading activities on January 5, 1990. A
second offering of Units of limited partnership interest ("Series B Units")
commenced trading activities with respect to the Series B Units on January
28, 1991. A third offering of Units of limited partnership interest
("Series C Units") commenced trading activities on January 2, 1992. (Series
A, B and C units are, hereinafter, collectively referred to as "Units.")
The Partnership engages, through investments in limited liability companies
(see below), in the speculative trading of futures, options on futures and
forward contracts on a wide range of commodities. Merrill Lynch Alternative
Investments LLC ("MLAI"), a wholly-owned subsidiary of Merrill Lynch
Investment Managers L.P. ("MLIM") which in turn, is an indirect
wholly-owned subsidiary of Merrill Lynch & Co., Inc. ("Merrill Lynch"), is
the general partner of the Partnership. Merrill Lynch, Pierce, Fenner &
Smith Incorporated ("MLPF&S"), a wholly-owned subsidiary of Merrill Lynch,
is the Partnership's commodity broker. MLAI has agreed to maintain a
general partner's interest of at least 1% of total capital of each Series
of Units. MLAI and each Limited Partner share in the profits and losses of
such Series in proportion to their respective interests in it.
John W. Henry & Company, Inc. and Millburn Ridgefield Corporation (each an
"Advisor", together, "Advisors") have been the Partnership's only trading
advisors since inception. Each Advisor was allocated 50% of the total
assets of each Series as of the date such Series began trading.
Subsequently, these allocations have varied over time. MLAI may, in its
discretion, reallocate assets between the Advisors as of any month end. The
Partnership has placed all of its assets under the management of the
Advisors through investing in private limited liability companies, ML JWH
Financials and Metals Portfolio LLC ("JWH LLC") and ML Millburn Global LLC
("Millburn LLC"), together ("Trading LLCs"), as described in Note 2.
Certain of the following notes to financial statements are directly related
to Partnership assets managed by the Advisors in the Trading LLCs.
ESTIMATES
The preparation of financial statements in conformity with accounting
principles generally accepted in the United States of America requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported
amounts of revenues and expenses during the reporting period. Actual
results could differ from those estimates.
REVENUE RECOGNITION
See Note 2 for discussion of revenue recognition for the Partnership's
investments in Trading LLCs.
OPERATING EXPENSES
MLAI pays all routine operating expenses excluding the State of New Jersey
filing fee (which is borne by the Partnership) but including legal,
accounting, printing, postage and similar administrative expenses. MLAI
receives an administrative fee as well as a portion of the brokerage
commissions paid to MLPF&S by the Partnership (see Note 3).
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INCOME TAXES
No provision for income taxes has been made in the accompanying financial
statements as each Partner is individually responsible for such Partner's
respective share of the income and expenses of the series in which such
partner is invested as reported for income tax purposes.
REDEMPTIONS
A Limited Partner may redeem some or all of such Partner's Units at Net
Asset Value as of the close of business on the last business day of any
month upon ten calendar days' notice.
The Financial Accounting Standards Board ("FASB") has issued Statement
No. 150, ACCOUNTING FOR CERTAIN FINANCIAL INSTRUMENTS WITH
CHARACTERISTICS OF BOTH LIABILITIES AND EQUITY, ("FAS 150") and is
effective for mandatorily redeemable financial instruments of entities
that are public entities for the first interim period beginning after
June 15, 2003. FAS 150 requires that a mandatorily redeemable financial
instrument shall be classified as a liability if the financial interest
is required be redeemed at a specified date or upon an event certain to
occur. The limited partners' financial interests are not required to be
redeemed at a specified date or upon an event certain to occur and thus
are not considered mandatorily redeemable financial instruments.
However, the limited partner may give 10 days notice for redemption of
their units and redeem at that month's net asset value. The Partnership
records the financial interests redeemed as a liability once the notice
of redemption is received from the limited partner. The adoption of FAS
150 will have no impact on the financial statements of the Partnership.
DISSOLUTION OF THE PARTNERSHIP
The Partnership will terminate on December 31, 2016 or at an earlier date
if certain conditions occur, as well as under certain other circumstances
as set forth in the Limited Partnership Agreement.
2. INVESTMENTS IN TRADING LLCS
The Partnership places all of its assets in the Trading LLCs. The financial
statements of the Trading LLCs are bound together with this report and
should be read in conjunction with the Partnership's financial statements.
The investments in the Trading LLCs are reflected in the financial
statements at fair value based upon the Partnership's interest in the
Trading LLCs. Fair value of the investments in the Trading LLCs as an
investor is equal to the market value of the net assets of the Trading LLCs
allocable to the Partnership as an investor.
At December 31, 2004 and 2003, the Partnership had investments in JWH LLC
and Millburn LLC as follows:
<Table>
<Caption>
2004 2003
------------ ------------
JWH LLC $ 13,817,517 $ 15,988,419
Millburn LLC 13,817,516 15,988,419
------------ ------------
Total $ 27,635,033 $ 31,976,838
============ ============
</Table>
3. RELATED PARTY TRANSACTIONS
The Partnership's U.S. dollar assets invested through the Trading LLCs are
maintained at MLPF&S. On assets held in U.S. dollars, Merrill Lynch credits
the Trading LLCs with interest at the prevailing 91-day U.S. Treasury bill
rate. The Trading LLCs are credited with interest on any of its assets and
net gains actually held by MLPF&S in non-U.S. dollar currencies at a
prevailing local rate received by Merrill Lynch. Merrill Lynch may derive
certain economic benefit, in excess of the interest, which Merrill Lynch
pays to the Trading LLCs, from possession of such assets.
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Merrill Lynch charges the Trading LLCs Merrill Lynch's cost of financing
realized and unrealized losses on the Trading LLCs non-U.S.
dollar-denominated positions. Such amounts are netted against interest
income due to the insignificance of such amounts.
The Partnership pays brokerage commissions to MLPF&S through the Trading
LLCs at a flat monthly rate of .708 of 1% (an 8.50% annual rate) of the
Partnership's month-end trading assets. The Partnership also pays MLAI a
monthly administrative fee through the Trading LLCs of .021 of 1% (a 0.25%
annual rate) of the Partnership's month-end trading assets. Month-end
trading assets are not reduced for purposes of calculating brokerage
commissions and administrative fees by any accrued brokerage commissions,
administrative fees, Profit Shares or other fees or charges.
MLPF&S pays the Advisors annual consulting fees of 2% of the average
month-end assets allocated to them for management after a reduction for a
portion of brokerage commissions.
4. ADVISORY AGREEMENTS
The Trading LLCs entered into the Advisory Agreements with the Advisors,
which are in effect for successive one year terms.
Profit Shares of 20% of any New Trading Profit, as defined, either as of
the end of each calendar quarter or year, are paid to each Advisor based on
the performance of the Partnership account managed by such Advisor,
irrespective of the overall performance of the Partnership. Profit Shares
are also paid out in respect of Units redeemed as of the end of interim
months, to the extent the applicable percentage of any New Trading Profits
attributable to such Units.
5. WEIGHTED AVERAGE UNITS
The weighted average number of Units of each series outstanding is computed
for purposes of computing net income per weighted average Unit. The
weighted average number of Units of each series outstanding for the years
ended December 31, 2004, 2003 and 2002 equals the Units of such series
outstanding as of such date, adjusted proportionately for Units redeemed
based on the respective length of time each was outstanding during the
year.
6. 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.
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 result 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.
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* * * * * * * * * *
To the best of the knowledge and belief of the
undersigned, the information contained in this
report is accurate and complete.
Michael L. Pungello
Chief Financial Officer
Merrill Lynch Alternative Investments LLC
General Partner of
John W. Henry & Co./Millburn L.P.
9