<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, 1998
----------------
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 Investment Partners Inc.
Merrill Lynch World Headquarters - South Tower, 6th Fl.
World Financial Center New York, New York 10080-6106
-----------------------------------------------------
(Address of principal executive offices)
(Zip Code)
212-236-9757
-------------------------------------------------------------
(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,
1998 1997
---- ----
<S> <C> <C>
ASSETS
- ------
Investments $58,674,167 $63,024,164
Receivable from investments 648,773 514,158
-------------------- --------------------
TOTAL $59,322,940 $63,538,322
==================== ====================
LIABILITIES AND PARTNERS' CAPITAL
- ---------------------------------
LIABILITIES:
Redemptions payable $648,773 $514,158
-------------------- --------------------
Total liabilities 648,773 514,158
-------------------- --------------------
PARTNERS' CAPITAL:
General Partner:
(780 and 780 Series A Units) 210,708 221,605
(1976 and 1976 Series B Units) 433,818 456,174
(1439 and 1439 Series C Units) 246,211 258,899
Limited Partners:
(49850 and 50992 Series A Units) 13,466,561 14,487,473
(132929 and 135244 Series B Units) 29,184,879 31,223,304
(88436 and 91020 Series C Units) 15,131,990 16,376,709
-------------------- --------------------
Total partners' capital 58,674,167 63,024,164
-------------------- --------------------
TOTAL $59,322,940 $63,538,322
==================== ====================
NET ASSET VALUE PER UNIT
Series A (Based on 50630 and 51772 Units outstanding) $270.14 $284.11
==================== ====================
Series B (Based on 134905 and 137220 Units outstanding) $219.55 $230.87
==================== ====================
Series C (Based on 89875 and 92459 Units outstanding) $171.11 $179.92
==================== ====================
</TABLE>
See notes to financial statements.
2
<PAGE>
JOHN W. HENRY & CO./MILLBURN L.P.
---------------------------------
(a Delaware limited partnership)
------------------------------
STATEMENTS OF INCOME
--------------------
<TABLE>
<CAPTION>
For the three For the three
months ended months ended
March 31, March 31,
1998 1997
------------------ --------------------
<S> <C> <C>
REVENUES:
Income from investments $3,078,837 $3,723,108
------------------ --------------------
NET INCOME $3,078,837 $3,723,108
================== ====================
NET INCOME PER UNIT:
Weighted average number of units
outstanding 279,873 303,531
================== ====================
Weighted average net income
per Limited Partner
and General Partner Unit $11.00 $12.27
================== ====================
</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, 1998 and 1997
--------------------------------------------------
<TABLE>
<CAPTION>
Units Limited Partners
----- ----------------
Series A Series B Series C Series A Series B Series C
------------ ------------- ------------ ----------------- ----------------- -----------------
<S> <C> <C> <C> <C> <C> <C>
PARTNERS' CAPITAL,
December 31, 1996 56,376 148,528 100,695 $14,040,479 $30,082,484 $15,878,356
Redemptions (1,665) (3,133) (1,273) (451,037) (688,349) (219,031)
Net income - - - 860,985 1,840,225 971,123
------------ ------------- ------------ ----------------- ----------------- -----------------
PARTNERS' CAPITAL,
March 31, 1997 54,711 145,395 99,422 $14,450,427 $31,234,360 $16,630,448
============ ============= ============ ================= ================= =================
PARTNERS' CAPITAL,
December 31, 1997 51,772 137,220 92,459 $14,487,473 $31,223,304 $16,376,709
Redemptions (1,142) (2,315) (2,584) (311,649) (511,234) (448,277)
Net loss - - - (709,263) (1,527,191) (796,442)
------------ ------------- ------------ ----------------- ----------------- -----------------
PARTNERS' CAPITAL,
March 31, 1998 50,630 134,905 89,875 $13,466,561 $29,184,879 $15,131,990
============ ============= ============ ================= ================= =================
<CAPTION>
General Partner
---------------
Series A Series B Series C Total
---------------- ---------------- ---------------- -----------------
<S> <C> <C> <C> <C> <C>
PARTNERS' CAPITAL,
- - December 31, 1996 $196,983 $405,594 $230,192 $60,834,088
Redemptions - - - (1,358,417)
Net income 12,010 24,730 14,035 3,723,108
---------------- ---------------- ---------------- -----------------
PARTNERS' CAPITAL,
March 31, 1997 $208,993 $430,324 $244,227 $63,198,779
================ ================ ================ =================
PARTNERS' CAPITAL,
December 31, 1997 $221,605 $456,174 $258,899 $63,024,164
Redemptions - - - (1,271,160)
Net loss (10,897) (22,356) (12,688) (3,078,837)
---------------- ---------------- ---------------- -----------------
PARTNERS' CAPITAL,
March 31, 1998 $210,708 $433,818 $246,211 $58,674,167
================ ================ ================ =================
</TABLE>
See notes to financial statements.
4
<PAGE>
JOHN W. HENRY & CO./MILLBURN L.P.
(A Delaware Limited Partnership)
------------------------------
NOTES TO FINANCIAL STATEMENTS
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"
or the "Fund") as of March 31, 1998 and the results of its operations for the
three months ended March 31, 1998 and 1997. 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 accordance with general 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, 1997
(the "Annual Report").
As of December 1, 1996, the Partnership invested all of its assets in Trading
LLCs. The Partnership was, thus, invested indirectly in the trading of
derivative instruments, but did not itself hold any derivative positions.
Consequently, no such positions subsequent to November 30, 1996 are reflected
in these financial statements.
2. INVESTMENTS
As of March 31, 1998 and December 31, 1997, the Partnership had investments
in the ML JWH Financial and Metals Portfolio L.L.C. ("JWH LLC") and ML
Millburn Global L.L.C. ("Millburn LLC") as follows:
1998 1997
------------------ ------------------
JWH LLC $ 28,518,233 $ 31,979,914
Millburn LLC 30,155,934 31,044,250
------------------ ------------------
Total $ 58,674,167 $ 63,024,164
================== ==================
5
<PAGE>
Total revenues and fees with respect to such investments is set forth as
follows:
<TABLE>
<CAPTION>
For the three months Total Brokerage Administrative Profit Loss from
ended March 31, 1998 Revenue Commissions Fees Shares Investments
------------------- ---------------- ------------------ ------------------ -----------------
<S> <C> <C> <C> <C>
Series A Units
JWH LLC $(493,612) $166,854 $4,392 $ - $(664,858)
Millburn LLC 118,327 169,055 4,449 125 (55,302)
------------------- ---------------- ------------------ ------------------ -----------------
Total $(375,285) $335,909 $8,841 $125 $(720,160)
=================== ================ ================== ================== =================
Series B Units
JWH LLC $(1,059,688) $357,802 $9,416 $ - $(1,426,906)
Millburn LLC 252,625 365,495 9,618 153 (122,641)
------------------- ---------------- ------------------ ------------------ -----------------
Total $(807,063) $723,297 $19,034 $153 $(1,549,547)
=================== ================ ================== ================== =================
Series C Units
JWH LLC $(554,018) $186,982 $4,921 $ - $(745,921)
Millburn LLC 133,068 190,987 5,026 264 (63,209)
------------------- ---------------- ------------------ ------------------ -----------------
Total $(420,950) $377,969 $9,947 $264 $(809,129)
=================== ================ ================== ================== =================
Total All Units
JWH LLC $(2,107,318) $711,638 $18,729 $ - $(2,837,685)
Millburn LLC 504,020 725,537 19,093 542 (241,152)
------------------- ---------------- ------------------ ------------------ -----------------
Total $(1,603,298) $1,437,175 $37,822 $542 $(3,078,837)
=================== ================ ================== ================== =================
</TABLE>
6
<PAGE>
<TABLE>
<CAPTION>
For the three months Total Brokerage Administrative Profit Income from
ended March 31, 1997 Revenue Commissions Fees Shares Investments
----------------- ---------------- ------------------ ------------------ -------------------
<S> <C> <C> <C> <C> <C>
Series A Units
JWH LLC $263,141 $182,952 $4,464 $564 $75,161
Millburn LLC 1,218,823 206,509 5,040 209,441 797,833
----------------- ---------------- ------------------ ------------------ -------------------
Total $1,481,964 $389,461 $9,504 $210,005 $872,994
================= ================ ================== ================== ===================
Series B Units
JWH LLC $562,829 $393,474 $9,604 $795 $158,956
Millburn LLC 2,609,249 444,407 10,849 447,995 1,705,998
----------------- ---------------- ------------------ ------------------ -------------------
Total $3,172,078 $837,881 $20,453 $448,790 $1,864,954
================= ================ ================== ================== ===================
Series C Units
JWH LLC $297,018 $207,966 $5,076 $345 $83,631
Millburn LLC 1,379,039 235,001 5,737 236,772 901,529
----------------- ---------------- ------------------ ------------------ -------------------
Total $1,676,057 $442,967 $10,813 $237,117 $985,160
================= ================ ================== ================== ===================
Total All Units
JWH LLC $1,122,988 $784,392 $19,144 $1,704 $317,748
Millburn LLC 5,207,111 885,917 21,626 894,208 3,405,360
----------------- ---------------- ------------------ ------------------ -------------------
Total $6,330,099 $1,670,309 $40,770 $895,912 $3,723,108
================= ================ ================== ================== ===================
</TABLE>
7
<PAGE>
Condensed statements of financial condition as of March 31, 1998 and
December 31, 1997 and statements of operations for the three months ended
March 31, 1998 and 1997 are set forth as follows:
<TABLE>
<CAPTION>
1998 1997
----------------------------------------- ------------------------------------------
JWH Millburn JWH Millburn
LLC LLC LLC LLC
-------------------- -------------------- -------------------- --------------------
<S> <C> <C> <C> <C>
Assets $54,294,178 $33,747,360 $62,481,438 $35,584,936
==================== ==================== ==================== ====================
Liabilities $431,357 $662,386 $1,122,533 $1,454,659
Members' Capital 53,862,821 33,084,974 61,358,905 34,130,277
-------------------- -------------------- -------------------- --------------------
Total $54,294,178 $33,747,360 $62,481,438 $35,584,936
==================== ==================== ==================== ====================
Revenues $(4,026,600) $553,011 $2,281,696 $5,750,149
Expenses 1,342,197 813,068 1,487,835 1,975,225
-------------------- -------------------- -------------------- --------------------
Net (Loss) Income $(5,368,797) ($260,057) $793,861 $3,774,924
==================== ==================== ==================== ====================
</TABLE>
8
<PAGE>
3. INCOME (LOSS) PER UNIT
The profit and loss of the Series A, Series B and Series C Units for the three
months ended March 31, 1998 and 1997 is as follows:
<TABLE>
<CAPTION>
1998 1997
------------------------------------------------- --------------------------------------------------
Series A Series B Series C Series A Series B Series C
--------------- ---------------- ---------------- ---------------- --------------- -----------------
<S> <C> <C> <C> <C> <C> <C>
REVENUES:
Income from investments $(720,160) $(1,549,547) $(809,130) $872,994 $1,864,954 $985,160
--------------- ---------------- ---------------- ---------------- --------------- -----------------
Total revenues (720,160) (1,549,547) (809,130) 872,994 1,864,954 985,160
--------------- ---------------- ---------------- ---------------- --------------- -----------------
NET (LOSS) INCOME $(720,160) $(1,549,547) $(809,130) $872,994 $1,864,954 $985,160
=============== ================ ================ ================ =============== =================
NET (LOSS) INCOME
PER UNIT:
Weighted average number
of units outstanding 51,579 142,368 96,211 55,776 147,631 100,124
=============== ================ ================ ================ =============== =================
Weighted average net
(loss) income per Limited
Partner and General
Partner Unit $(13.96) $(10.88) $(8.41) $15.65 $12.63 $9.84
=============== ================ ================ ================ =============== =================
</TABLE>
9
<PAGE>
Item 2: Management's Discussion and Analysis of Financial Condition and Results
of Operations
MONTH-END NET ASSET VALUE PER SERIES A UNIT
Jan. Feb. Mar.
----------------------------------------
1997 $273.52 $270.58 $267.94
----------------------------------------
1998 $281.00 $268.85 $270.14
----------------------------------------
MONTH-END NET ASSET VALUE PER SERIES B UNIT
Jan. Feb. Mar.
---------------------------------------
1997 $222.32 $219.93 $217.78
---------------------------------------
1998 $228.36 $218.48 $219.55
---------------------------------------
MONTH-END NET ASSET VALUE PER SERIES C UNIT
Jan. Feb. Mar.
----------------------------------------
1997 $173.26 $171.40 $169.73
----------------------------------------
1998 $177.97 $170.27 $171.11
----------------------------------------
Item 3. Quantitative and Qualitative Disclosures About Market Risk
Not Applicable
Performance Summary
January 1, 1997 to March 31, 1997
In currency markets, the U.S. dollar rallied and started 1997 on a strong
note, rising to a four-year high versus the Japanese yen and two-and-a-half year
highs versus the Deutsche mark and the Swiss franc. Currency trading was
profitable in January and February; March was, however, unprofitable.
Global interest rate markets began the year on a volatile note, as investors
evaluated economic data for signs of inflation. Interest rate trading was
profitable in March; losses were sustained in January and February.
January 1, 1998, to March 31, 1998
The Fund's most profitable positions during the quarter were in the global
interest rate markets. In Europe, an extended bond market rally continued
despite an environment of robust growth in the United States, Canada and the
United Kingdom, as well as a strong pick-up in growth in continental Europe.
Gold prices drifted sideways and lower as Asian demand continued to slow and
demand in the Middle East was affected by low oil prices. Trading results in
stock index markets were mixed, but unprofitable, despite a strong first-quarter
performance by the U.S. equity market as several consecutive weekly gains were
recorded with most market averages setting new highs. Results in currency
trading were also mixed, but unprofitable. In particular, the Swiss franc
weakened versus the U.S. dollar.
10
<PAGE>
PART II - OTHER INFORMATION
Item 1. Legal Proceedings
There are no pending legal 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) None.
Item 3. Defaults Upon Senior Securities
None.
Item 4. Submission of Matters to a Vote of Security Holders
None.
Item 5. Other information
Mr. Michael A. Karmelin, Chief Financial Officer, Vice President and
Treasurer of Merrill Lynch Investment Partners Inc. ("MLIP"), has announced that
he will resign from MLIP effective April 15, 1998 to pursue other business
opportunities. MLIP expects to announce his successor in the near future.
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 1998.
11
<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: MERRILL LYNCH INVESTMENT PARTNERS INC.
(General Partner)
Date: May 11, 1998 By /s/JOHN R. FRAWLEY, JR.
-----------------------
John R. Frawley, Jr.
Chairman, Chief Executive Officer,
President and Director
Date: May 11, 1998 By /s/ SERGIO M. PAVONE
--------------------
Sergio M. Pavone
Vice President and Controller
(Chief Accounting Officer)
<TABLE> <S> <C>
<PAGE>
<ARTICLE> BD
<S> <C> <C>
<PERIOD-TYPE> 3-MOS 3-MOS
<FISCAL-YEAR-END> DEC-31-1998 DEC-31-1997
<PERIOD-START> JAN-01-1998 JAN-01-1997
<PERIOD-END> MAR-31-1998 MAR-31-1997
<CASH> 0 0
<RECEIVABLES> 59,322,940 63,659,714
<SECURITIES-RESALE> 0 0
<SECURITIES-BORROWED> 0 0
<INSTRUMENTS-OWNED> 0 0
<PP&E> 0 0
<TOTAL-ASSETS> 59,322,940 63,659,714
<SHORT-TERM> 0 0
<PAYABLES> 648,773 460,935
<REPOS-SOLD> 0 0
<SECURITIES-LOANED> 0 0
<INSTRUMENTS-SOLD> 0 0
<LONG-TERM> 0 0
0 0
0 0
<COMMON> 0 0
<OTHER-SE> 58,674,167 63,198,779
<TOTAL-LIABILITY-AND-EQUITY> 59,322,940 63,659,714
<TRADING-REVENUE> 0 0
<INTEREST-DIVIDENDS> 0 0
<COMMISSIONS> 0 0
<INVESTMENT-BANKING-REVENUES> 3,078,837 3,723,108
<FEE-REVENUE> 0 0
<INTEREST-EXPENSE> 0 0
<COMPENSATION> 0 0
<INCOME-PRETAX> 3,078,837 3,723,108
<INCOME-PRE-EXTRAORDINARY> 3,078,837 3,723,108
<EXTRAORDINARY> 0 0
<CHANGES> 0 0
<NET-INCOME> 3,078,837 3,723,108
<EPS-PRIMARY> 11.00 12.27
<EPS-DILUTED> 11.00 12.27
</TABLE>
