<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 June 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 0-18215
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.
Princeton Corporate Campus
800 Scudders Mill Road - Section 2G
Plainsboro, New Jersey 08536
----------------------------
(Address of principal executive offices)
(Zip Code)
609-282-6996
----------------------------------------------
(Registrant's telephone number, including area code)
Indicate by check mark whether the registrant (1) has filed all reports
required to be filed by Section 13 or 15 (d) of the Securities Exchange Act of
1934 during the preceding 12 months (or for such shorter period that the
registrant was required to file such reports), and (2) has been subject to such
filing requirements for the past 90 days. Yes X No
---- -----
<PAGE>
PART I - FINANCIAL INFORMATION
Item 1. Financial Statements
JOHN W. HENRY & CO./MILLBURN L.P.
(a Delaware limited partnership)
------------------------------
STATEMENTS OF FINANCIAL CONDITION
---------------------------------
<TABLE>
<CAPTION>
June 30, December 31,
2000 1999
(unaudited)
--------------------- -----------------
<S> <C> <C>
ASSETS
------
Investments $ 27,993,225 $ 42,876,172
Receivable from investments 457,897 1,007,250
--------------------- -----------------
TOTAL $ 28,451,122 $ 43,883,422
===================== =================
LIABILITY AND PARTNERS' CAPITAL
-------------------------------
Liability - Redemptions payable $ 457,897 $ 1,007,250
PARTNERS' CAPITAL:
General Partner:
(434 and 504 Series A Units) 87,455 131,110
(1,088 and 1,338 Series B Units) 178,178 282,923
(726 and 926 Series C Units) 92,660 152,600
Limited Partners:
(34,480 and 39,335 Series A Units) 6,948,112 10,232,683
(83,823 and 100,451 Series B Units) 13,728,493 21,241,923
(54,515 and 65,744 Series C Units) 6,958,327 10,834,933
--------------------- -----------------
Total partners' capital 27,993,225 42,876,172
--------------------- -----------------
TOTAL $ 28,451,122 $ 43,883,422
===================== =================
NET ASSET VALUE PER UNIT
Series A (34,914 and 39,839 Units outstanding) $ 201.51 $ 260.14
===================== =================
Series B (84,911 and 101,789 Units outstanding) $ 163.78 $ 211.47
===================== =================
Series C (55,241 and 66,670 Units outstanding) $ 127.64 $ 164.80
===================== =================
</TABLE>
See notes to financial statements.
2
<PAGE>
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,
2000 1999 2000 1999
----------------- --------------------- ----------------- --------------------
<S> <C> <C> <C> <C>
REVENUES:
Income (Loss) from investments $ (4,121,469) $ 5,647,083 $ (8,895,947) $ 4,139,449
----------------- --------------------- ----------------- --------------------
NET INCOME (LOSS) $ (4,121,469) $ 5,647,083 $ (8,895,947) $ 4,139,449
================= ===================== ================= ====================
NET INCOME (LOSS) PER UNIT:
Weighted average number of
units outstanding 183,583 229,463 193,505 233,331
================= ===================== ================= ====================
Weighted average net income (loss)
per General Partner
and Limited Partner Unit $ (22.45) $ 24.61 $ (45.97) $ 17.74
================= ===================== ================= ====================
</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 six months ended June 30, 2000 and June 30, 1999
--------------------------------------------------------
(unaudited)
<TABLE>
<CAPTION>
Units General Partner
----- ---------------
Series A Series B Series C Series A Series B Series C
------------ ------------ ------------ ------------ ------------ -------------
<S> <C> <C> <C> <C> <C> <C>
PARTNERS' CAPITAL,
December 31, 1998 45,182 116,759 78,337 $149,246 $321,921 $173,635
Redemptions (1,997) (8,841) (3,889) - - -
Net income - - - 11,738 25,342 13,668
------------ ------------ ------------ ------------ ------------ -------------
PARTNERS' CAPITAL,
June 30, 1999 43,185 107,918 74,448 $160,984 $347,263 $187,303
============ ============ ============ ============ ============ =============
PARTNERS' CAPITAL,
December 31, 1999 39,839 101,789 66,670 $131,110 $282,923 $152,600
Redemptions (4,925) (16,878) (11,429) (16,686) (48,448) (30,206)
Net loss - - - (26,969) (56,297) (29,734)
------------ ------------ ------------ ------------ ------------ -------------
PARTNERS' CAPITAL,
June 30, 2000 34,914 84,911 55,241 $ 87,455 $178,178 $ 92,660
============ ============ ============ ============ ============ =============
<CAPTION>
Limited Partners
----------------
Series A Series B Series C Total
-------------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
PARTNERS' CAPITAL,
December 31, 1998 $ 13,230,285 $ 27,771,959 $ 14,516,267 $ 56,163,313
Redemptions (594,092) (2,110,389) (734,028) $ (3,438,509)
Net income 996,793 2,001,838 1,090,070 $ 4,139,449
-------------- -------------- -------------- --------------
PARTNERS' CAPITAL,
June 30, 1999 $ 13,632,986 $ 27,663,408 $ 14,872,309 $ 56,864,253
============== ============== ============== ==============
PARTNERS' CAPITAL,
December 31, 1999 $ 10,232,683 $ 21,241,923 $ 10,834,933 $ 42,876,172
Redemptions (1,129,185) (3,123,230) (1,639,245) $ (5,987,000)
Net loss (2,155,386) (4,390,200) (2,237,361) $ (8,895,947)
-------------- -------------- -------------- --------------
PARTNERS' CAPITAL,
June 30, 2000 $ 6,948,112 $ 13,728,493 $ 6,958,327 $ 27,993,225
============== ============== ============== ==============
</TABLE>
See notes to financial statements.
4
<PAGE>
JOHN W. HENRY & CO./MILLBURN L.P.
(A Delaware Limited Partnership)
------------------------------
NOTES TO FINANCIAL STATEMENTS
(unaudited)
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
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, 2000, and the results of its operations for the six month
period ended June 30, 2000 and June 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 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, 1999 (the
"Annual Report").
2. INVESTMENTS
As of June 30, 2000, the Partnership had an investment in ML JWH Financials
and Metals Portfolio LLC ("JWH LLC") and ML Millburn Global LLC ("Millburn
LLC") of $13,509,749 and $14,483,476 respectively. For the period ending
December 31, 1999, the Partnership had an investment in JWH LLC and Millburn
LLC of $19,843,543 and $23,032,629, respectively.
Total revenues and fees with respect to the Fund's investment are set forth
as follows:
5
<PAGE>
<TABLE>
<CAPTION>
For the three months Total Brokerage Administrative Profit Loss from
ended June 30, 2000 Revenue Commissions Fees Shares Investments
------------------ ------------------ ----------------- ----------------- --------------------
<S> <C> <C> <C> <C> <C>
SERIES A UNITS
JWH LLC $ (225,656) $ 89,588 $ 2,358 $ - $ (317,602)
Millburn LLC (600,858) 96,491 2,539 - (699,888)
------------------ ------------------ ----------------- ----------------- --------------------
Total $ (826,514) $ 186,079 $ 4,897 $ - $ (1,017,490)
================== ================== ================= ================= ====================
SERIES B UNITS
JWH LLC $ (448,256) $ 182,504 $ 4,804 $ - $ (635,564)
Millburn LLC (1,227,232) 198,210 5,216 - (1,430,658)
------------------ ------------------ ----------------- ----------------- --------------------
Total $ (1,675,488) $ 380,714 $ 10,020 $ - $ (2,066,222)
================== ================== ================= ================= ====================
SERIES C UNITS
JWH LLC $ (222,427) $ 92,282 $ 2,427 $ - $ (317,136)
Millburn LLC (617,744) 100,239 2,638 - (720,621)
------------------ ------------------ ----------------- ----------------- --------------------
Total $ (840,171) $ 192,521 $ 5,065 $ - $ (1,037,757)
================== ================== ================= ================= ====================
TOTAL ALL UNITS
JWH LLC $ (896,339) $ 364,374 $ 9,589 $ - $ (1,270,302)
Millburn LLC (2,445,834) 394,940 10,393 - (2,851,167)
------------------ ------------------ ----------------- ----------------- --------------------
Total $ (3,342,173) $ 759,314 $ 19,982 $ - $ (4,121,469)
================== ================== ================= ================= ====================
<CAPTION>
For the three months Total Brokerage Administrative Profit Gain from
ended June 30, 1999 Revenue Commissions Fees Shares Investments
------------------ ------------------ ----------------- ----------------- --------------------
<S> <C> <C> <C> <C> <C>
SERIES A UNITS
JWH LLC $ 1,011,896 $ 161,295 $ 4,244 $ - $ 846,357
Millburn LLC 823,753 163,495 4,303 132,399 523,556
------------------ ------------------ ----------------- ----------------- --------------------
Total $ 1,835,649 $ 324,790 $ 8,547 $ 132,399 $ 1,369,913
================== ================== ================= ================= ====================
SERIES B UNITS
JWH LLC $ 2,044,696 $ 326,120 $ 8,584 $ - $ 1,709,992
Millburn LLC 1,682,105 333,312 8,771 270,468 1,069,554
------------------ ------------------ ----------------- ----------------- --------------------
Total $ 3,726,801 $ 659,432 $ 17,355 $ 270,468 $ 2,779,546
================== ================== ================= ================= ====================
SERIES C UNITS
JWH LLC $ 1,101,309 $ 175,701 $ 4,623 $ - $ 920,985
Millburn LLC 906,766 179,580 4,726 145,821 576,639
------------------ ------------------ ----------------- ----------------- --------------------
Total $ 2,008,075 $ 355,281 $ 9,349 $ 145,821 $ 1,497,624
================== ================== ================= ================= ====================
TOTAL ALL UNITS
JWH LLC $ 4,157,901 $ 663,116 $ 17,451 $ - $ 3,477,334
Millburn LLC 3,412,624 676,387 17,800 548,688 2,169,749
------------------ ------------------ ----------------- ----------------- --------------------
Total $ 7,570,525 $ 1,339,503 $ 35,251 $ 548,688 $ 5,647,083
================== ================== ================= ================= ====================
<PAGE>
<CAPTION>
For the six months Total Brokerage Administrative Profit Loss from
ended June 30, 2000 Revenue Commissions Fees Shares Investments
------------------ ------------------ ----------------- ----------------- --------------------
<S> <C> <C> <C> <C> <C>
SERIES A UNITS
JWH LLC $ (673,976) $ 193,456 $ 5,092 $ - $ (872,524)
Millburn LLC (1,084,727) 219,332 5,772 - (1,309,831)
------------------ ------------------ ----------------- ----------------- --------------------
Total $ (1,758,703) $ 412,788 $ 10,864 $ - $ (2,182,355)
================== ================== ================= ================= ====================
SERIES B UNITS
JWH LLC $ (1,362,598) $ 394,931 $ 10,394 $ - $ (1,767,923)
Millburn LLC (2,215,171) 451,521 11,882 - (2,678,574)
------------------ ------------------ ----------------- ----------------- --------------------
Total $ (3,577,769) $ 846,452 $ 22,276 $ - $ (4,446,497)
================== ================== ================= ================= ====================
SERIES C UNITS
JWH LLC $ (694,217) $ 201,462 $ 5,301 $ - $ (900,980)
Millburn LLC (1,129,619) 230,432 6,064 (1,366,115)
------------------ ------------------ ----------------- ----------------- --------------------
Total $ (1,823,836) $ 431,894 $ 11,365 $ - $ (2,267,095)
================== ================== ================= ================= ====================
TOTAL ALL UNITS
JWH LLC $ (2,730,791) $ 789,849 $ 20,787 $ - $ (3,541,427)
Millburn LLC (4,429,517) 901,285 23,718 - (5,354,520)
------------------ ------------------ ----------------- ----------------- --------------------
Total $ (7,160,308) $ 1,691,134 $ 44,505 $ - $ (8,895,947)
================== ================== ================= ================= ====================
<CAPTION>
For the six months Total Brokerage Administrative Profit Gain from
ended June 30, 1999 Revenue Commissions Fees Shares Investments
------------------ ------------------ ----------------- ----------------- --------------------
<S> <C> <C> <C> <C> <C>
SERIES A UNITS
JWH LLC $ 731,487 $ 317,743 $ 8,361 $ - $ 405,383
Millburn LLC 1,083,825 318,765 8,389 153,523 603,148
------------------ ------------------ ----------------- ----------------- --------------------
Total $ 1,815,312 $ 636,508 $ 16,750 $ 153,523 $ 1,008,531
================== ================== ================= ================= ====================
SERIES B UNITS
JWH LLC $ 1,461,478 $ 647,492 $ 17,042 $ - $ 796,944
Millburn LLC 2,216,144 654,819 17,232 313,857 1,230,236
------------------ ------------------ ----------------- ----------------- --------------------
Total $ 3,677,622 $ 1,302,311 $ 34,274 $ 313,857 $ 2,027,180
================== ================== ================= ================= ====================
SERIES C UNITS
JWH LLC $ 795,118 $ 346,758 $ 9,124 $ - $ 439,236
Millburn LLC 1,193,590 350,743 9,230 169,115 664,502
------------------ ------------------ ----------------- ----------------- --------------------
Total $ 1,988,708 $ 697,501 $ 18,354 $ 169,115 $ 1,103,738
================== ================== ================= ================= ====================
TOTAL ALL UNITS
JWH LLC $ 2,988,083 $ 1,311,993 $ 34,527 $ - $ 1,641,563
Millburn LLC 4,493,559 1,324,327 34,851 636,495 2,497,886
------------------ ------------------ ----------------- ----------------- --------------------
Total $ 7,481,642 $ 2,636,320 $ 69,378 $ 636,495 $ 4,139,449
================== ================== ================= ================= ====================
</TABLE>
<PAGE>
Condensed statements of financial condition and statements of operations for JWH
LLC and Millburn LLC are set forth as follows:
<TABLE>
<CAPTION>
June 30, 2000 December 31, 1999
------------------------------------------- ------------------------------------------
JWH Millburn JWH Millburn
LLC LLC LLC LLC
----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C>
Assets $ 13,863,027 $ 14,843,757 $ 20,495,709 $ 23,769,789
================= ================= ================= =================
Liabilities $ 353,278 $ 360,281 $ 652,166 $ 737,160
Members' Capital 13,509,749 14,483,476 19,843,543 23,032,629
----------------- ----------------- ----------------- -----------------
Total $ 13,863,027 $ 14,843,757 $ 20,495,709 $ 23,769,789
================= ================= ================= =================
</TABLE>
JWH LLC
<TABLE>
<CAPTION>
For the three For the three For the six For the six
months ended months ended months ended months ended
June 30, 2000 June 30, 1999 June 30, 2000 June 30, 1999
----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C>
Revenues $ (896,339) $ 4,157,901 $ (2,730,791) $ 2,988,083
Expenses 373,963 680,567 810,636 1,346,520
----------------- ----------------- ----------------- -----------------
Net Income (Loss) $ (1,270,302) $ 3,477,334 $ (3,541,427) $ 1,641,563
================= ================= ================= =================
</TABLE>
Millburn LLC
<TABLE>
<CAPTION>
For the three For the three For the six For the six
months ended months ended months ended months ended
June 30, 2000 June 30, 1999 June 30, 2000 June 30, 1999
----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C>
Revenues $ (2,445,834) $ 3,412,624 $ (4,429,517) $ 4,493,559
Expenses 405,333 1,242,875 925,003 1,995,673
----------------- ----------------- ----------------- -----------------
Net Income (Loss) $ (2,851,167) $ 2,169,749 $ (5,354,520) $ 2,497,886
================= ================= ================= =================
</TABLE>
8
<PAGE>
3. FAIR VALUE AND OFF-BALANCE SHEET RISK
For the period ended June 30, 2000 and the year ended December 31,1999, the
Partnership invested all of its assets in Trading LLC's. Accordingly, the
Partnership is invested indirectly in derivative instruments, but does not
itself hold any derivative instrument positions. As such, MLIP does not
believe that the adoption of the provisions of Statement of Financial
Accounting Standards No. 133 had a significant effect on the financial
statements of the Partnership.
MARKET RISK
Derivative financial 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 underlying financial
instruments or commodities underlying such derivative instruments frequently
resulted in changes in the Partnership's net unrealized profit on such
derivative instruments as reflected in the Statements of Financial Condition
or, with respect to Partnership assets invested in Trading LLC's, the net
unrealized profit as reflected in the respective Statements of Financial
Condition of the Trading LLC's. 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 LLC's, as
well as the volatility and liquidity of such markets in which such derivative
instruments are traded.
MLIP 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 Partnership accounts and 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 MLIP does not itself intervene in the
markets to hedge or diversify the Partnership's market exposure MLIP may urge
Advisors to reallocate positions, or itself reallocate Partnership assets
among Advisors (although typically only as of the end of a month) in an
attempt to avoid over-concentration. However, such interventions are unusual.
Except in cases in which it appears that an Advisor has begun to deviate from
past practice and trading policies or to be trading erratically, MLIP'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 has credit risk in respect of its counterparties and brokers,
but attempts to control this risk by dealing almost exclusively with Merrill
Lynch entities as counterparties and clearing brokers.
The Partnership, through the Trading LLC's, 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 Statements of Financial
Condition under Equity in commodity futures accounts.
9
<PAGE>
Item 2: Management's Discussion and Analysis of Financial Condition and
Results of Operations
<TABLE>
<CAPTION>
MONTH-END NET ASSET VALUE PER SERIES A UNIT
-------------------------------------------------------------
Jan. Feb. Mar. Apr. May Jun.
-------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
1999 $287.86 $291.22 $288.12 $297.02 $303.11 $319.42
-------------------------------------------------------------
2000 $255.72 $238.38 $230.44 $230.52 $221.13 $201.51
-------------------------------------------------------------
<CAPTION>
MONTH-END NET ASSET VALUE PER SERIES B UNIT
-------------------------------------------------------------
Jan. Feb. Mar. Apr. May Jun.
-------------------------------------------------------------
1999 $233.92 $236.65 $234.15 $241.40 $246.31 $259.56
-------------------------------------------------------------
2000 $207.89 $193.79 $187.32 $187.37 $179.72 $163.78
-------------------------------------------------------------
<CAPTION>
MONTH-END NET ASSET VALUE PER SERIES C UNIT
-------------------------------------------------------------
Jan. Feb. Mar. Apr. May Jun.
-------------------------------------------------------------
1999 $182.30 $184.43 $182.48 $188.13 $191.96 $202.28
-------------------------------------------------------------
2000 $162.02 $151.03 $145.99 $146.03 $140.07 $127.64
-------------------------------------------------------------
</TABLE>
Performance Summary
January 1, 1999 to June 30, 1999
--------------------------------
January 1, 1999 to March 31, 1999
The Partnership produced gains in currency trading during the quarter. On a
trade-weighted basis, the Swiss franc ended the quarter at close to a
seven-month low, mostly as a result of the stronger U.S. dollar. In January,
the yen had advanced by nearly 35% against the dollar since early in August,
and the Bank of Japan lowered rates to keep the economy sufficiently liquid
so as to allow fiscal spending to restore some growth to the economy and to
drive down the surging yen.
Stock index trading was also profitable. Also of note, the Dow Jones Industrial
Average closed above the 10,000 mark for the first time ever at the end of
March, setting a record for the index.
Interest rate trading proved unprofitable for the Partnership. Early in
January, the yield on the Japanese government 10-year bond increased to 1.8%,
sharply above the record low of 0.695% it reached on October 7, 1998. This
was triggered by the Japanese Trust Fund Bureau's decision to absorb a
smaller share of future issues, leaving the burden of financing future budget
deficits to the private sector.
In January, burdensome warehouse stocks and questionable demand prospects
weighed on base metals as aluminum fell to a 5-year low and copper fell to
nearly an 11-year low. Major surpluses in both metals were expected, keeping
prices down, and there was no supply side response to weak demand and lower
prices. However, the end of March showed copper and aluminum leading a surge in
base metals as prices recovered from multi-year lows. In precious metals, gold
failed to sustain a rally, and gold's role as a flight to safety vehicle has
clearly been greatly diminished as has its role as a monetary asset.
April 1, 1999 to June 30, 1999
During the second quarter of 1999, the Partnership's NAV increased as the
Partnership profited from trading in the interest rate, metals, stock indices
and currencies markets. Interest rate trading was profitable as the flight to
quality in the bond market reversed during the first half of 1999 and
concerns about higher interest rates in the U.S. continued to rattle the
financial markets.
In the metals sector there were also gains. Throughout the first half of
1999, gold prices were in a state of gradual erosion and in early June,
prices hit their lowest levels in over 20 years. Gold continued to show a
lack of response to political and military events such as Kosovo and also
lost much of its role as a monetary asset and flight to safety vehicle. The
economic scenario for Asia, Brazil, emerging market nations and Europe helped
keep copper and other base metals on the defensive as demand receded with
virtually no supply side response.
10
<PAGE>
Stock Index trading also resulted in gains overall for the quarter, as equity
markets rallied worldwide in April and June.
Currency trading also resulted in gains for the Partnership. After suffering
under the weight of lower commodity prices and the Asian recession, the
Canadian dollar underwent a significant rally in the first half of 1999,
moving up about 3 cents from the end of 1998. It has been in a corrective
mode since early May, but unlike past years has retained much of its gain.
January 1, 2000 to June 30, 2000
---------------------------------
January 1, 2000 to March 31, 2000
Currency trading alternated through out the month as gains in Swiss franc
positions were outweighed by losses in British pound trading in the beginning of
the quarter. Despite evidence of expansion in Europe, the Swiss franc slipped to
a 10-year low against the dollar. This move mimicked the decline in the Euro
which came after officials from the Group of Seven met and failed to express
concern about the low levels of the European currency. Trading during the middle
of the quarter was profitable through gains in Euro futures and Japanese yen
trading. The Euro's continued weakness can be attributed to a number of factors,
including the slow pace of microeconomic reform in Europe, plans for a European
withholding tax and the scale of direct investment flows outside of Europe. In
the end of the quarter losses were sustained in Japanese yen and British pound
positions. The yen has been strong in spite of Japan's slide back into recession
during the second half of 1999.
Trading in Nikkei 225 Stock Index positions resulted in losses. The losses
suffered early in the quarter rebounded to close at its highest level since
1997 and carried on throughout mid-quarter. Positions in the Nikkei 225 and
FTSE Financial Times Stock Index resulted in profits for the Partnership. The
economy in the United Kingdom has been growing at a robust pace and is
accompanied by low inflation.
Metals trading was unprofitable for the quarter. Concerns about higher U.S.
interest rates and the sharp declines in global stock prices during January
created a somewhat nervous and defensive tone in base metals trading. Trading
was unprofitable in February due to losses in gold and aluminum. Mid-month
reports showed aluminum inventories monitored by the London Metal Exchange at
their highest level in almost three years, resulting in a decrease in prices.
Short Eurodollar trading was profitable as the currency continued to decline in
January. The European Union ministers blamed the currency's slide in January on
rapid U.S. growth and fears that the Federal Reserve will increase U.S. interest
rates. These profits were far outweighed by losses in the Japanese 10-year bond,
U.S. 10-year Treasury note positions and long U.S. Treasury positions as the
yield curve fluctuated widely during the quarter.
April 1, 2000 to June 30, 2000
Metals trading was unprofitable for the quarter. During the middle of the
quarter, copper trading resulted in losses for the sector. A Freeport, Indonesia
mine announced output cuts would not be as large as the Indonesian government
had forecast, resulting in losses for the Partnership's long positions. Losses
continued through the quarter as trading in both base and precious metals was
unprofitable as losses were sustained in gold and aluminum positions. As has
been the ongoing pattern, gold showed virtually no response to activities in the
financial and equity markets, including the surge in energy prices.
Currency trading proved unprofitable for the Partnership. Early in the quarter,
gains from long Swiss franc positions could not outweighed losses sustained in
other currencies. Despite the dramatic interest rate hikes by the Swiss National
Bank ("SNB"), the SNB said it will not keep the Swiss franc from rising.
Currency trading resulted in losses for the sector during May despite gains in
short positions in the British pound, as losses were sustained in Euro futures
trading. The Euro rallied to U.S. $0.97 early in June, but faced profit-taking
after news of some capital outflow from Euroland.
Stock index trading was unprofitable as losses were sustained in Nikkei 225 and
S&P 500 positions in the quarter. Signs of rising inflation fueled fears that
the Federal Reserve will continue to raise interest rates aggressively to slow
the robust economy.
Interest rate trading results were unprofitable for the quarter. Losses from
U.S. Treasury note trading exceeded gains from Japanese 10-year bond positions.
U.S. yields fell during the month as investors shifted to Treasuries due to
increased volatility in the NASDAQ and other equity markets. Losses were
incurred in Euro dollar and Euro-Bund positions. Short positions resulted in
losses as the Euro dollar improved after the European Central Bank's 50 basis
point repo rate hike.
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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
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 2000.
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SIGNATURE
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: August 15, 2000 By /s/ JOHN R. FRAWLEY J.R.
------------------------
John R. Frawley, Jr.
Chairman, Chief Executive Officer,
President and Director
Date: August 15, 2000 By /s/ MICHAEL L. PUNGELLO
-----------------------
Michael L. Pungello
Vice President, Chief Financial Officer
and Treasurer
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