<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 September 30, 2000
------------------
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 0-28928
ML JWH STRATEGIC ALLOCATION FUND L.P.
-------------------------------------
(Exact Name of Registrant as
specified in its charter)
Delaware 13-3887922
------------------------------ --------------------------------
(State or other jurisdiction of (IRS Employer Identification No.)
incorporation or organization)
c/o Merrill Lynch Investment Partners Inc.
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
ML JWH STRATEGIC ALLOCATION FUND L.P. AND JOINT VENTURE
(A DELAWARE LIMITED PARTNERSHIP)
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
<TABLE>
<CAPTION>
September 30, December 31,
2000 1999
(unaudited)
------------------- ------------------
<S> <C> <C>
ASSETS
------
Equity in commodity futures trading accounts:
Cash and options premiums $ 65,644,169 $ 49,466,829
Net unrealized profit (loss) on open contracts (14,648,279) 15,377,657
Government Securities (Cost $305,569,068) - 302,660,752
Commercial Papers (Cost $186,087,138) 187,633,858 -
Cash 123 15,003
Accrued interest 488,605 3,127,363
------------------- ------------------
Total assets $ 239,118,476 $ 370,647,604
=================== ==================
LIABILITIES AND PARTNERS' CAPITAL
---------------------------------
LIABILITIES:
Redemptions payable $ 6,586,133 $ 3,609,053
Profit share payable - 4,207,026
Brokerage commissions payable 1,544,257 2,366,595
Administrative fees payable 49,815 76,341
Ongoing offering costs payable - 21,755
------------------- ------------------
Total liabilities 8,180,205 10,280,770
------------------- ------------------
MINORITY INTEREST 132,655 146,975
PARTNERS' CAPITAL:
General Partner (23,183 and 27,921 Units) 2,882,253 4,087,563
Limited Partners (1,833,259 and 2,432,642 Units) 227,923,363 356,132,296
------------------- ------------------
Total partners' capital 230,805,616 360,219,859
------------------- ------------------
TOTAL $ 239,118,476 $ 370,647,604
=================== ==================
NET ASSET VALUE PER UNIT
(Based on 1,856,442 and 2,460,563 Units outstanding) $ 124.33 $ 146.40
=================== ==================
</TABLE>
See notes to consolidated financial statements.
2
<PAGE>
ML JWH STRATEGIC ALLOCATION FUND L.P. AND JOINT VENTURE
(A DELAWARE LIMITED PARTNERSHIP)
CONSOLIDATED STATEMENTS OF OPERATIONS
(UNAUDITED)
<TABLE>
<CAPTION>
For the three For the three For the nine For the nine
months ended months ended months ended months ended
September 30, September 30, September 30, September 30,
2000 1999 2000 1999
------------------ --------------------- ------------------ ----------------------
<S> <C> <C> <C> <C>
REVENUES:
Trading income (loss):
Realized $ 1,366,222 $ 4,302,870 $ (13,714,640) $ 40,090,981
Change in unrealized (19,545,415) (20,829,286) (27,115,688) (23,784,619)
------------------ --------------------- ------------------ ----------------------
Total trading results (18,179,193) (16,526,416) (40,830,328) 16,306,362
------------------ --------------------- ------------------ ----------------------
Interest income 4,492,287 4,822,038 13,390,817 13,007,356
------------------ --------------------- ------------------ ----------------------
Total revenues (13,686,906) (11,704,378) (27,439,511) 29,313,718
------------------ --------------------- ------------------ ----------------------
EXPENSES:
Administrative fees 164,061 239,279 582,111 675,066
Brokerage commissions 5,085,886 7,417,624 18,045,440 20,927,045
Ongoing Offering Expense 43,510 43,511 174,043 43,511
------------------ --------------------- ------------------ ----------------------
Total expenses 5,293,457 7,700,414 18,801,594 21,645,622
------------------ --------------------- ------------------ ----------------------
NET INCOME (LOSS) BEFORE
MINORITY INTEREST AND
PROFIT SHARE ALLOCATION (18,980,363) (19,404,792) (46,241,105) 7,668,096
Profit Share Allocation - - - -
Minority Interest 9,689 (33,927) 14,223 (4,155,830)
------------------ --------------------- ------------------ ----------------------
NET INCOME (LOSS) $ (18,970,674) $ (19,438,719) $ (46,226,882) $ 3,512,266
================== ===================== ================== ======================
NET INCOME (LOSS) PER UNIT:
Weighted average number of units
outstanding 2,014,776 2,398,632 2,221,048 2,270,203
================== ===================== ================== ======================
Net income (loss) per weighted average
General Partner and Limited Partner Unit $ (9.42) $ (8.10) $ (20.81) $ 1.55
================== ===================== ================== ======================
</TABLE>
See notes to consolidated financial statements.
3
<PAGE>
ML JWH STRATEGIC ALLOCATION FUND L.P. AND JOINT VENTURE
(A DELAWARE LIMITED PARTNERSHIP)
CONSOLIDATED STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2000 AND SEPTEMBER 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
Units General Limited Total
Partner Partners
-------------- --------------- ----------------- -----------------
<S> <C> <C> <C> <C>
PARTNERS' CAPITAL,
December 31, 1998 2,037,826 $ 2,667,093 $ 311,845,818 $ 314,512,911
Additions 566,800 1,788,180 86,865,746 88,653,926
Net income (loss) - (12,448) 3,524,714 3,512,266
Redemptions (175,180) - (27,370,826) (27,370,826)
-------------- --------------- ----------------- -----------------
PARTNERS' CAPITAL,
September 30, 1999 2,429,446 $ 4,442,825 $ 374,865,452 $ 379,308,277
============== =============== ================= =================
PARTNERS' CAPITAL,
December 31, 1999 2,460,563 $ 4,087,563 $ 356,132,296 $ 360,219,859
Additions 105,683 23,716 15,854,641 15,878,357
Net loss - (522,714) (45,704,168) (46,226,882)
Redemptions (709,804) (706,312) (98,359,406) (99,065,718)
-------------- --------------- ----------------- -----------------
PARTNERS' CAPITAL,
September 30, 2000 1,856,442 $ 2,882,253 $ 227,923,363 $ 230,805,616
============== =============== ================= =================
</TABLE>
4
<PAGE>
ML JWH STRATEGIC ALLOCATION FUND L.P.
(A DELAWARE LIMITED PARTNERSHIP)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
(UNAUDITED)
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
These consolidated financial statements have been prepared without audit. In
the opinion of management, the consolidated financial statements contain all
adjustments (consisting of only normal recurring adjustments) necessary to
present fairly the financial position of ML JWH Strategic Allocation Fund L.P
(the "Partnership") as of September 30, 2000, and the results of its
operations for the three and nine months ended September 30, 2000 and
September 30, 1999. However, the operating results for the interim periods
may not be indicative of the results expected for the full year.
Certain information and footnote disclosures normally included in annual
financial statements prepared in conformity with generally accepted
accounting principles 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, 1999
(the "Annual Report").
2. FAIR VALUE AND OFF-BALANCE SHEET RISK
In June 1998, the Financial Accounting Standards Board issued Statement of
Financial Accounting Standard ("SFAS") No. 133, "Accounting for Derivative
Instruments and Hedging Activities" (the "Statement"), effective for fiscal
years beginning after June 15, 2000, as amended by SFAS No. 137. SFAS No. 133
is further amended by SFAS No. 138, which clarifies issues surrounding
interest risk, foreign currency denominated items, normal purchases and sales
and net hedging. This Statement supercedes SFAS No. 119 ("Disclosure about
Derivative Financial Instruments and Fair Value of Financial Instruments")
and SFAS No. 105 ("Disclosure of information about Financial Instruments with
Off-Balance Sheet Risk and Financial Instruments with Concentrations of
Credit Risk") whereby disclosure of average aggregate fair values and
contract/notional values, respectively, of derivative financial instruments
is no longer required for an entity such as the Partnership which carries its
assets at fair value. Such Statement sets forth a much broader definition of
a derivative instrument. The General Partner does not believe that the
application of the provisions of SFAS No. 133, as amended by SFAS No. 137,
had a significant effect on the consolidated financial statements, nor will
the application of the provisions of SFAS No. 138 have a significant effect
on the financial statements.
SFAS No. 133 defines a derivative as a financial instrument or other contract
that has all three of the following characteristics (1) one or more
underlyings, notional amounts or payment provisions (2) requires no initial
net investment or a smaller initial net investment than would be required
relative to changes in market factors (3) terms require or permit net
settlement. Generally, derivatives include futures, forwards, swaps, options
or other financial instruments with similar characteristics such as caps,
floors and collars.
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 Partnership's net unrealized profit (loss) on such derivative
instruments as reflected in the Consolidated Statements of Financial
Condition. 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 as well as the volatility and liquidity
in the markets in which such derivative instruments are traded.
The General Partner has procedures in place intended to control market risk
exposure, although there can be no assurance that they will, in fact, succeed
in doing so. The procedures focus primarily on monitoring the trading of JWH,
calculating the Net Asset Value of the Partnership as of the close of
business each day and reviewing outstanding positions for
over-concentrations. While the General Partner will not itself intervene in
the markets to hedge or diversify the Joint Venture's market exposure, the
General Partner may urge JWH to reallocate positions
5
<PAGE>
in an attempt to avoid over-concentrations. However, such interventions are
unusual. Except in cases in which it appears that JWH has begun to deviate from
past practice and trading policies or to be trading erratically, the General
Partner's basic risk control procedures consist simply of monitoring JWH, with
the market risk controls being applied by JWH itself.
CREDIT RISK
The risks associated with exchange-traded contracts are typically perceived to
be less than those associated with over-the-counter transactions
(non-exchange-traded), 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. Margin, which may be subject to loss in
the event of a default, are generally required in exchange trading, and
counterparties may require margin in the over-the-counter markets.
The credit risk associated with these instruments from counterparty
non-performance is the net unrealized profit included on the Consolidated
Statements of Financial Condition.
The Partnership attempts to mitigate credit risk by dealing almost exclusively
with Merrill Lynch entities as clearing brokers.
The Partnership, in its normal course of business, enters into various
contracts, with MLF acting as its commodity broker. Pursuant to the brokerage
agreement with MLF (which includes a netting arrangement), to the extent that
such trading results in receivables from and Payables to MLF, these
receivables and payables are offset and reported as a net receivable or
payable and included in the Consolidated Statements of Financial Condition
under equity in commodity futures accounts.
Item 2: Management's Discussion and Analysis of Financial Condition and Results
of Operations
<TABLE>
<CAPTION>
MONTH-END NET ASSET VALUE PER UNIT
---------------------------------------------------------------------------------------------------------
Jan Feb Mar Apr May Jun Jul Aug Sep
---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1999 $149.98 $153.82 $152.11 $158.66 $158.41 $164.26 $159.64 $159.75 $156.13
---------------------------------------------------------------------------------------------------------
2000 $147.98 $149.61 $143.39 $141.10 $139.63 $134.11 $129.33 $134.06 $124.33
---------------------------------------------------------------------------------------------------------
</TABLE>
Performance Summary
January 1, 1999 to September 30, 1999
-------------------------------------
January 1, 1999 to March 31, 1999
The Partnership recorded slight losses in the three month period ended March
31, 1999, largely reflecting poor performance in the interest rate and metals
market sectors.
Interest rate markets for the first part of the quarter moved upward; however,
March saw a significant decline in European rates as an economic slowdown became
more evident in the European Union. The expectation, realized in early April,
was that the European Central Bank (ECB) would lower rates in Europe to provide
a more favorable interest rate environment. Coupled with the change in direction
in European markets, there was increased volatility in Japanese interest rate
markets as the Bank of Japan switched from interest rate targeting to a monetary
growth targeting policy. In an effort to stem the current recession, Japanese
policy officials have attempted various fiscal and monetary stimuli, which have
caused significant directional changes in interest rates. U.S. interest rates
have continued to inch upward for the quarter. There are few signs that the U.S.
economy will slow during 1999.
Commodity markets have had mixed performance. Metals markets have been choppy
for the entire quarter and have not exhibited any clear trends. This lack of
direction has caused poor performance in the precious metals area
6
<PAGE>
to be somewhat offset by base metal profits. The energy sector performed well
for the quarter with a major trend developing in March. Since the beginning
of March there has been a significant upward trend in crude oil prices.
Agriculture commodities experienced mixed performance with many markets
showing potential signs of reversal. Overall, the Partnership had slight
losses in these markets.
Currencies have provided positive performance for the Partnership. A
continuation of the strong dollar, especially relative to the new euro,
offset some of the losses in other markets. Contrary to the belief of many
investment banking economists, the euro has not started out as a strong
currency and there seems to be little flow into this new potential reserve
currency. With a decline of over seven percent for the quarter, the euro has
not lived up to its potential expectations.
Index performance was positive for the quarter with early losses offset by
significant gains in March with the increase in the Nikkei stock index.
On the balance for the quarter, profitable positions in global currencies,
energy, and agricultural commodities were offset by losses in interest rates and
metals.
April 1, 1999 to June 30, 1999
Interest rate markets followed a consistent pattern throughout the quarter
toward lower prices as strong economic growth in the U.S. was coupled by
fears of Federal Reserve bias to higher interest rates. Long-term rates rose
above the 6% mark leading to the highest interest rates in over a year.
Though only taking a neutral policy stand at the end of the quarter, the Fed
raised rates 25 basis points on June 30. Europe, though having overall slower
growth, also showed the same trend toward higher rates especially in the last
two months. This rise in longer-term yields came in spite of a rate cut by
the European Central Bank in early April in an effort to stem the slowing
growth in key economies.
Commodity markets have had mixed performance. While many agricultural
commodities have continued to show a downtrend, the descent has been muted and
volatility has picked up as markets headed into the key summer season. In spite
of the lackluster trend performance in many agricultural commodities, there was
good performance from both the gold market and energy complexes. The gold market
has been in steep decline after the Bank of England announced that it would
begin auctioning some of its gold reserves starting in July. The energy markets
also have shown favorable trends with oil prices continuing their upward trend.
Currencies have provided positive performance for the Partnership with the
decline in the euro that began with its introduction at the beginning of the
year still in place. The key European currency has fallen from $1.17 to below
$1.03 since the beginning of the year. The yen has been rangebound for the
more recent period caused by intervention by the Bank of Japan which has
tried to stop the yen from appreciating. Other key currencies have not shown
as significant trends as the euro and thus had a smaller contribution to
overall performance.
The Nikkei index continued to show upward trends during the quarter in response
to the latest economic numbers that suggest the Japanese economy is firming
after its long decline.
July 1, 1999 to September 30, 1999
The Partnership was unprofitable for the three-month period ending September
30, 1999. While certain markets traded were profitable, the overall market
environment was marked by volatility and trend reversals. In such an
environment, the Partnership had a difficult time generating profits.
The interest rate sector provided a good example of volatility and trend
reversals. Interest rates in the U.S. had been steadily rising for most of
the year. This had generated profits for the Partnership through most of
1999. During the third quarter, the market became choppy, as U.S. interest
rates changed direction several times. As a result, this was an unprofitable
market for the Partnership. Interest rates in the Pacific rim performed
similarly. However, European interest
7
<PAGE>
rates continued a long-term trend of rising, but were not enough to offset
losses incurred in the U.S. and Pacific rim markets.
In the currency markets, the strength in the Japanese yen yielded profits for
the Partnership despite attempts by the Japanese central bank to talk the
dollar up and, on a small scale, to intervene outright to prop up the dollar
versus the yen. The profit in the yen was more than eroded by trading in
European currencies and the sector overall was unprofitable.
Extreme heat in the United States led to volatility in agricultural prices.
While the long-term trend had been a decline in prices in the agricultural
sector, in the third quarter, it was punctuated by sharp rises in certain
agricultural markets, which led to Fund losses. A multi-year down trend in
gold was abruptly reversed in the last days of the quarter and losses were
registered in metals.
During the third quarter, the strongest performing sector for the Partnership
was energy. The doubling of the price of crude oil through 1999 has been a
very profitable trend for the Partnership.
January 1, 2000 to September 30, 2000
-------------------------------------
January 1, 2000 to March 31, 2000
Trading in the energy sector produced profits for the quarter. Crude and heating
oil prices surged in January as heating demand rose during several snowstorms in
the Northeast -- the biggest world consumer of heating oil. Continued supply
restrictions by OPEC further pushed the price of oil to price levels near that
of the Gulf War. Profits were hindered in March after OPEC and Mexico said they
would raise oil production beginning April 1.
Performance of agricultural commodities was mixed, however, a profit was
produced for the quarter. Coffee prices were lower for the quarter due to an
oversupplied market, limiting the trading profits .
Currency trading provided modest gains as the dollar rose against the British
pound and to a 3 1/2 month high against the Japanese yen, as the U.S. economy
continued to outperform global economies. Currency markets provided gains as the
yen formed a profitable trend with its continued depreciation and contributed
significant profits. The Bank of Japan bought dollars for yen in an effort to
weaken the yen, however the yen moved higher despite the intervention.
The stock sector suffered losses in the Nikkei 225 Stock Index and the All
Ordinaries Share Price Index when the market fell in response to speculation
that the Group of Seven would take steps to weaken the yen. Towards the end
of the quarter, the Partnership fluctuated with gains and then losses in
positions in the Nikkei 225 Stock Index, the All Ordinaries Share Index and
FTSE 100 Index.
In metals trading, the fourth Bank of England auction of gold reserves was well
received and positions in gold were profitable, reaching a February high and
then falling nearly 10% at month-end. News that the Bank of France might sell
gold reserves drove the price of gold down by quarter-end producing losses for
the quarter.
Positions in interest rates were unprofitable. Many major central banks raised
rates in order to protect against the perception of impending inflation;
nevertheless, almost all bond markets experienced rallies in response to these
rate hikes which proved unprofitable for the sector.
April 1, 2000 to June 30, 2000
Performance of agricultural commodities was mixed and the sector had gains
overall for the quarter due to positions in coffee, corn and sugar. A report
from Brazil stated that due to unfavorable weather conditions that prevailed
last year, there will be a significant drop in the 2000/01 sugar production
which contributed to the rise in sugar prices. Good weather conditions exerted
pressure on the market in anticipation of a large yield during harvest and corn
prices were down.
8
<PAGE>
Energy trading was profitable as surging crude prices and worries about new
standards for reformulated gasoline sent gas prices higher. Gains stemming from
crude continued throughout the quarter despite OPEC's increase in daily quota
amounts, crude markets remained bullish and prices remained well above the $25 a
barrel target set by OPEC.
Stock indices were profitable for the quarter primarily due to gains from short
positions in the Nikkei 225 Index. The Japanese stock market declined as
investors sold high technology issues on concerns over the future course of the
U.S. market. During May, the Nikkei 225 hit its lowest level since May 1999.
Metals were unprofitable when gold prices ended higher for the quarter in
reaction to the Fed leaving interest rates unchanged and a report that the South
African Reserve Bank received a $500 million gold denominated loan. While other
central banks are decreasing reserves, this positive message to the bullion
market pushed up prices creating losses in short positions.
Currency trading proved unprofitable for the quarter due to losses from
positions in Japanese yen. In May, currencies suffered when the Japanese yen
appreciated against the dollar due to speculation that the Japanese government
was considering a stimulus package after the G8 summit in late July. The yen was
firmer in June due to capital data spending which indicated strong first-quarter
growth and signals that an end is near to Japan's 16-month old zero interest
rate policy.
Interest rate positions were unprofitable throughout the quarter. After the Fed
raised interest rates 50 bps, U.S. interest rates rallied due to a combination
of lower stock prices and a perception that the Fed will be able to slow the
economy. Since the most recent Fed funds and discount rate increase, the long
bond has increased over 4 points or a decline of over 25 basis points in yield.
U.S. bonds were unprofitable when bonds rallied during June both after a higher
than expected unemployment report and on a lack of interest rate action by the
Fed.
July 1, 2000 to September 30, 2000
In the energy sector, crude prices were under $28 per barrel early in the
quarter and were subject to increased volatility. The current imbalance between
supply and demand suggests that there may be only a limited down trend in prices
over the near-term. By mid-quarter this sector posted gains to offset losses as
Brent oil prices hit 10 years highs and U.S. crude coming within $1 of a new
post-Gulf War record amid evidence of historically low U.S. oil reserves.
Agricultural commodities were unprofitable in the beginning of the quarter.
Losses in cocoa, soybeans and wheat were sustained in August. Sugar proved to be
the most volatile commodity this quarter as sugar prices soared amid smaller
than expected harvests. Cold weather in Brazil slowed the cane harvest and may
have damaged the crop. Sugar positions had slight gains later in the month on a
spate of Asian buying. At quarter end losses were sustained in sugar as world
sugar supplies remained burdensome and potential sales from India continued to
weigh on the market.
Metals trading was unprofitable as gold positions sustained losses throughout
the quarter. Gold prices dropped throughout July in anticipation of and after
the Bank of England 25 tonne bullion auction. Strong dollar gains put pressure
on gold in August, leading to almost three month price lows. Higher copper
prices supported by falling inventories and robust demand produced gains in
September.
Euro positions continued to struggle irregardless of improving European economic
data while a resilient U.S. economy attracted foreign capital. The currency
sector also suffered losses when the Japanese yen drew support from rising
expectations that Japan's second quarter gross domestic data will show
convincing strength in the wake of surprisingly robust all-industries figures.
The European Central Bank's surprise announcement mid-September that it would
sell some of its foreign exchange reserves for euros gave the ailing currency a
boost late in the month. The intervention led to reverberations throughout
currency markets and despite some gains, positions in European and Asian
currencies were mostly unprofitable.
Stock index trading was unprofitable during the quarter. The DAX German Index
was the primary contributor to underperformance during July. A position in the
Nikkei 225 suffered losses in response to the Bank of Japan's decision to hike
interest rates and end the 18-month zero interest policy in August. Losses in
the NASDAQ Stock Index were incurred at quarter end.
Interest rate trading was unprofitable for the Partnership. Reverberations from
the currency markets were felt in the interest rates markets. Positions in
Australian and Asian debt were most unprofitable and moderate losses were
sustained U.S. and European instruments.
Cash Management
Prior to May 26, 2000, MLIM invested approximately 80% of the Partnership's
assets in Government Securities.
As of September 30, 2000 the Partnership held approximately $188 million of
Commercial Paper. As of December 31, 1999, the Partnership's MLIM account
totaled approximately $303 million.
As of September 30, 2000, the Partnership held the following securities:
<TABLE>
<CAPTION>
Short Term
------------------
Par Value Description Maturity Date Fair Value
----------------- ------------------------------------------ ---------------------- ---------------------
<S> <C> <C> <C>
32,456,000 IBM Commercial Paper October 4, 2000 $ 32,426,835
19,847,000 Citicorp Commercial Paper October 10, 2000 19,807,824
19,847,000 Hertz Commercial Paper October 10, 2000 19,807,824
32,518,000 Prudential Funding Commercial Paper October 10, 2000 32,453,614
6,132,000 General Motors Commercial Paper October 19, 2000 6,109,959
6,132,000 John Deere Commercial Paper October 19, 2000 6,109,959
5,635,000 Ford Motor Commercial Paper October 23, 2000 5,610,582
5,633,000 IBM Commercial Paper October 23, 2000 5,608,834
23,904,000 General Electric Commercial Paper November 6, 2000 23,740,749
23,904,000 General Motors Commercial Paper November 6, 2000 23,740,749
6,166,000 American General Commercial Paper November 20, 2000 6,108,375
6,166,000 Citicorp Commercial Paper November 20, 2000 6,108,554
---------------------
Total Debt $ 187,633,858
=====================
</TABLE>
9
<PAGE>
As of December 31, 1999, the Partnership's MLIM account held the following
securities:
<TABLE>
<CAPTION>
Par Value
------------------
Long-Term Description Rate Maturity Date Fair Value
------------------ ------------------------------------------ ------------ ---------------------- ---------------------
<S> <C> <C> <C> <C>
30,000,000 U.S. Treasury Note 5.375% February 15, 2001 $ 29,751,563
15,000,000 U.S. Treasury Note 5.000% February 28, 2001 14,810,156
13,500,000 U.S. Treasury Note 5.625% May 15, 2001 13,399,804
13,000,000 U.S. Treasury Note 6.125% December 31, 2001 12,972,578
1,000,000 U.S. Treasury Note 6.000% November 15, 2004 994,375
25,000,000 U.S. Treasury Note 5.875% February 15, 2001 24,513,672
12,000,000 Federal National Mortgage Association 5.720% January 9, 2001 11,926,200
25,000,000 Federal National Mortgage Association 5.625% March 15, 2001 24,781,250
23,000,000 Federal National Mortgage Association 5.375% March 15, 2002 22,468,240
---------------------
Subtotal 155,617,838
---------------------
Short Term
------------------
8,125,000 Federal Home Loan Discount Note 0.000% January 14, 2000 8,108,750
6,370,000 Federal National Discount Note 0.000% January 19, 2000 6,352,164
50,550,000 Federal Home Loan Discount Note 0.000% February 17, 2000 50,175,930
4,000,000 U.S. Treasury Note 5.375% July 31, 2000 3,989,375
20,000,000 U.S. Treasury Note 4.500% September 30, 2000 19,775,000
59,500,000 U.S. Treasury Note 4.625% November 30, 2000 58,641,695
---------------------
Subtotal 147,042,914
---------------------
Total Debt $ 302,660,752
=====================
</TABLE>
10
<PAGE>
PART II - OTHER INFORMATION
Item 1. Legal Proceedings
There are no pending proceedings to which the Partnership or the
General Partner is a party.
Item 2. Changes in Securities and Use of Proceeds
(a) None.
(b) None.
(c) None.
(d) The Partnership originally registered 2,000,000 units of
limited partnership interest. The partnership subsequently
registered an additional 2,960,000 units of limited
partnership interest. As of September 30, 2000, the
Partnership has sold 4,299,684 units of limited partnership
interest, with an aggregate price of $455,585,270.
Item 3. Defaults Upon Senior Securities
None.
Item 4. Submission of Matters to a Vote of Security Holders
None.
Item 5. Other Information
As part of a restructuring of Merrill Lynch's investment
management operations, Merrill Lynch Investment Partners Inc. ("MLIP") and
other Merrill Lynch advisory entities are being consolidated under Merrill
Lynch Investment Managers ("MLIM"), the principal Merrill Lynch investment
management affiliate. MLIP is now part of MLIM's Alternative Investments
group, headed by Ron Rosenberg, Managing Director and former head of Merrill
Lynch's Global Hedge Fund Sales and International Fixed Income Group. Fabio
Savoldelli, Managing Director and head of MLIM - Alternative Strategies, has
assumed management responsibilities for MLIP's business, reporting to Mr.
Rosenberg. In connection with this consolidation, John R. Frawley, Jr., the
President of MLIP, and certain other MLIP staff members have left Merrill
Lynch, effective October 20, 2000.
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 nine
months of fiscal 2000.
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<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.
ML JWH STRATEGIC ALLOCATION FUND L.P.
By: MERRILL LYNCH INVESTMENT PARTNERS INC.
(General Partner)
Date: November 14, 2000 By /s/ Michael L. Pungello
-----------------------
Michael L. Pungello
Duly Authorized Signatory
Vice President, Chief Financial Officer
and Treasurer
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