<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, 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>
March 31, December 31,
2000 1999
(unaudited)
--------------- ---------------
<S> <C> <C>
ASSETS
Investments $ 34,673,800 $ 42,876,172
Receivable from investments 1,364,144 1,007,250
--------------- --------------
TOTAL $ 36,037,944 $ 43,883,422
=============== ==============
LIABILITY AND PARTNERS' CAPITAL
Liability - Redemptions payable $ 1,364,144 $ 1,007,250
PARTNERS' CAPITAL:
General Partner:
(434 and 504 Series A Units) 100,011 131,110
(1,088 and 1,338 Series B Units) 203,793 282,923
(726 and 926 Series C Units) 105,981 152,600
Limited Partners:
(36,029 and 39,335 Series A Units) 8,302,614 10,232,683
(91,686 and 100,451 Series B Units) 17,175,082 21,241,923
(60,184 and 65,744 Series C Units) 8,786,319 10,834,933
--------------- --------------
Total partners' capital 34,673,800 42,876,172
--------------- --------------
TOTAL $ 36,037,944 $ 43,883,422
=============== ==============
NET ASSET VALUE PER UNIT
Series A (36,463 and 39,839 Units outstanding) $ 230.44 $ 260.14
=============== =================
Series B (92,774 and 101,789 Units outstanding) $ 187.32 $ 211.47
=============== =================
Series C (60,910 and 66,670 Units outstanding) $ 145.99 $ 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
months ended months ended
March 31, March 31,
2000 1999
---------------- -----------------
<S> <C> <C>
REVENUES:
Loss from investments $ (4,774,478) $ (1,507,632)
---------------- -----------------
NET LOSS $ (4,774,478) $ (1,507,632)
================ =================
NET LOSS PER UNIT:
Weighted average number of units
outstanding 203,427 237,198
================ =================
Weighted average net loss
per Limited Partner
and General Partner Unit $ (23.47) $ (6.36)
================ =================
</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, 2000 AND MARCH 31, 1999
(unaudited)
<TABLE>
<CAPTION>
Units Limited Partners General Partner
----- ---------------- ---------------
Series A Series B Series C Series A Series B Series C Series A Series B Series C
-------- --------- -------- ----------- ------------ ----------- -------- -------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
PARTNERS' CAPITAL,
December 31, 1998 45,182 116,759 78,337 $13,230,285 $ 27,771,959 $14,516,267 $149,246 $321,921 $173,635
Redemptions (806) (5,643) (1,447) (232,524) (1,323,970) (264,957) - - -
Net loss - - - (357,347) (743,714) (389,219) (4,034) (8,651) (4,667)
-------- --------- -------- ----------- ------------ ----------- --------- -------- --------
PARTNERS' CAPITAL,
March 31, 1999 44,376 111,116 76,890 $12,640,414 $ 25,704,275 $13,862,091 $145,212 $313,270 $168,968
======== ========= ======== =========== ============ =========== ======== ======== ========
PARTNERS' CAPITAL,
December 31, 1999 39,839 101,789 66,670 $10,232,683 $ 21,241,923 $10,834,933 $131,110 $282,923 $152,600
Redemptions (3,376) (9,015) (5,760) (779,617) (1,717,248) (835,689) (16,686) (48,448) (30,206)
Net loss - - - (1,150,452) (2,349,593) (1,212,925) (14,413) (30,682) (16,413)
-------- --------- -------- ----------- ------------- ----------- -------- -------- --------
PARTNERS' CAPITAL,
March 31, 2000 36,463 92,774 60,910 $ 8,302,614 $ 17,175,082 $ 8,786,319 $100,011 $203,793 $105,981
======== ========= ======== =========== ============ =========== ======== ======== ========
<CAPTION>
Total
-----------
<S> <C>
PARTNERS' CAPITAL,
December 31, 1998 $56,163,313
Redemptions $(1,821,451)
Net loss $(1,507,632)
-----------
PARTNERS' CAPITAL,
March 31, 1999 $52,834,230
===========
PARTNERS' CAPITAL,
December 31, 1999 $42,876,172
Redemptions $(3,427,894)
Net loss $(4,774,478)
-----------
PARTNERS' CAPITAL,
March 31, 2000 $34,673,800
===========
</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"
or the "Fund") as of March 31, 2000, and the results of its operations for
the three month period ended March 31, 2000 and March 31, 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 March 31, 2000, the Partnership had an investment in ML JWH
Financials and Metals Portfolio LLC ("JWH LLC") and ML Millburn Global LLC
("Millburn LLC") of $16,004,224 and $18,669,576 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 March 31, 2000 Revenue Commissions Fees Shares Investments
------------------ ------------------ ----------------- ----------------- --------------------
<S> <C> <C> <C> <C> <C>
SERIES A UNITS
JWH LLC $ (448,320) $ 103,868 $ 2,734 $ - $ (554,922)
Millburn LLC (483,869) 122,841 3,233 - (609,943)
------------------ ------------------ ----------------- ----------------- --------------------
Total $ (932,189) $ 226,709 $ 5,967 $ - $ (1,164,865)
================== ================== ================= ================= ====================
SERIES B UNITS
JWH LLC $ (914,342) $ 212,427 $ 5,590 $ - $ (1,132,359)
Millburn LLC (987,939) 253,311 6,666 - (1,247,916)
------------------ ------------------ ----------------- ----------------- --------------------
Total $ (1,902,281) $ 465,738 $ 12,256 $ - $ (2,380,275)
================== ================== ================= ================= ====================
SERIES C UNITS
JWH LLC $ (471,790) $ 109,180 $ 2,874 $ - $ (583,844)
Millburn LLC (511,875) 130,193 3,426 (645,494)
------------------ ------------------ ----------------- ----------------- --------------------
Total $ (983,665) $ 239,373 $ 6,300 $ - $ (1,229,338)
================== ================== ================= ================= ====================
TOTAL ALL UNITS
JWH LLC $ (1,834,452) $ 425,475 $ 11,198 $ - $ (2,271,125)
Millburn LLC (1,983,683) 506,345 13,325 - (2,503,353)
------------------ ------------------ ----------------- ----------------- --------------------
Total $ (3,818,135) $ 931,820 $ 24,523 $ - $ (4,774,478)
================== ================== ================= ================= ====================
<CAPTION>
For the three months Total Brokerage Administrative Profit (Loss) Income from
ended March 31, 1999 Revenue Commissions Fees Shares Investments
------------------ ------------------ ----------------- ----------------- --------------------
<S> <C> <C> <C> <C> <C>
SERIES A UNITS
JWH LLC $ (280,408) $ 156,448 $ 4,117 $ - $ (440,973)
Millburn LLC 260,072 155,270 4,086 21,124 79,592
------------------ ------------------ ----------------- ----------------- --------------------
Total $ (20,336) $ 311,718 $ 8,203 $ 21,124 $ (361,381)
================== ================== ================= ================= ====================
SERIES B UNITS
JWH LLC $ (583,218) $ 321,372 $ 8,457 $ - $ (913,047)
Millburn LLC 534,039 321,507 8,461 43,389 160,682
------------------ ------------------ ----------------- ----------------- --------------------
Total $ (49,179) $ 642,879 $ 16,918 $ 43,389 $ (752,365)
================== ================== ================= ================= ====================
SERIES C UNITS
JWH LLC $ (306,191) $ 171,057 $ 4,501 $ - $ (481,749)
Millburn LLC 286,824 171,163 4,504 23,294 87,863
------------------ ------------------ ----------------- ----------------- --------------------
Total $ (19,367) $ 342,220 $ 9,006 $ 23,294 $ (393,886)
================== ================== ================= ================= ====================
TOTAL ALL UNITS
JWH LLC $ (1,169,817) $ 648,877 $ 17,075 $ - $ (1,835,769)
Millburn LLC 1,080,935 647,940 17,052 87,806 328,137
------------------ ------------------ ----------------- ----------------- --------------------
Total $ (88,882) $ 1,296,817 $ 34,127 $ 87,806 $ (1,507,632)
================== ================== ================= ================= ====================
</TABLE>
6
<PAGE>
Condensed statements of financial condition and statements of operations for JWH
LLC and Millburn LLC are set forth as follows:
<TABLE>
<CAPTION>
March 31, 2000 December 31, 1999
---------------------------------- ------------------------------------
JWH Millburn JWH Millburn
LLC LLC LLC LLC
--------------- --------------- ---------------- ----------------
<S> <C> <C> <C>
Assets $ 16,790,243 $ 19,565,510 $ 20,495,709 $ 23,769,789
=============== =============== ================ ===============
Liabilities $ 786,019 $ 895,934 $ 652,166 $ 737,160
Members' Capital 16,004,224 18,669,576 19,843,543 23,032,629
--------------- --------------- ---------------- ---------------
Total $ 16,790,243 $ 19,565,510 $ 20,495,709 $ 23,769,789
=============== =============== ================ ===============
For the three For the three For the three For the three
months months months months
ended March 31, ended March 31, ended March 31, ended March 31,
2000 2000 1999 1999
--------------- --------------- ---------------- ---------------
Revenues $ (1,834,452) $ (1,983,683) $ (1,169,816) $ 1,080,934
Expenses 436,673 519,670 665,953 752,797
--------------- --------------- ---------------- ---------------
Net (Loss) Income $ (2,271,125) $ (2,503,353) $ (1,835,769) $ 328,137
=============== =============== ================ ===============
</TABLE>
3. FAIR VALUE AND OFF-BALANCE SHEET RISK
For 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.
7
<PAGE>
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.
8
<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.
----------------------------------
1999 $287.86 $291.22 $288.12
----------------------------------
2000 $255.72 $238.38 $230.44
----------------------------------
MONTH-END NET ASSET VALUE PER SERIES B UNIT
----------------------------------
Jan. Feb. Mar.
----------------------------------
1999 $233.92 $236.65 $234.15
----------------------------------
2000 $207.89 $193.79 $187.32
----------------------------------
MONTH-END NET ASSET VALUE PER SERIES C UNIT
----------------------------------
Jan. Feb. Mar.
----------------------------------
1999 $182.30 $184.43 $182.48
----------------------------------
2000 $162.02 $151.03 $145.99
----------------------------------
Performance Summary
January 1, 1999 to March 31, 1999
Profits were produced 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. 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.
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 Fund. 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.
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.
9
<PAGE>
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 three
months of fiscal 2000.
10
<PAGE>
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: May 15, 1999 By /s/ JOHN R. FRAWLEY J.R.
------------------------
John R. Frawley, Jr.
Chairman, Chief Executive Officer,
President and Director
Date: May 15, 1999 By /s/ MICHAEL L. PUNGELLO
-----------------------
Michael L. Pungello
Vice President, Chief Financial Officer
and Treasurer
11
<TABLE> <S> <C>
<PAGE>
<ARTICLE> BD
<CIK> 0000853456
<NAME> JOHN W. HENRY & CO/MILLBURN LP
<S> <C> <C>
<PERIOD-TYPE> 3-MOS 3-MOS
<FISCAL-YEAR-END> DEC-31-2000 DEC-31-1999
<PERIOD-START> JAN-01-2000 JAN-01-1999
<PERIOD-END> MAR-31-2000 MAR-31-1999
<CASH> 0 0
<RECEIVABLES> 36,037,944 53,361,244
<SECURITIES-RESALE> 0 0
<SECURITIES-BORROWED> 0 0
<INSTRUMENTS-OWNED> 0 0
<PP&E> 0 0
<TOTAL-ASSETS> 36,037,944 53,361,244
<SHORT-TERM> 0 0
<PAYABLES> 1,364,144 527,014
<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> 34,673,800 52,834,230
<TOTAL-LIABILITY-AND-EQUITY> 36,037,944 53,361,244
<TRADING-REVENUE> 0 0
<INTEREST-DIVIDENDS> 0 0
<COMMISSIONS> 0 0
<INVESTMENT-BANKING-REVENUES> 0 0
<FEE-REVENUE> 0 0
<INTEREST-EXPENSE> 0 0
<COMPENSATION> 0 0
<INCOME-PRETAX> (4,774,478) (1,507,632)
<INCOME-PRE-EXTRAORDINARY> 0 0
<EXTRAORDINARY> 0 0
<CHANGES> 0 0
<NET-INCOME> (4,774,478) (1,507,632)
<EPS-BASIC> (23.47) (6.36)
<EPS-DILUTED> (23.47) (6.36)
</TABLE>
