**Exhibit 13.01**

 

***JOHN W. HENRY & CO./***

***MILLBURN L.P .***

***(A Delaware Limited Partnership)***

 

Financial Statements forthe years ended

December 31, 2005, 2004and 2003

and Report of IndependentRegistered

PublicAccounting Firm

 

 

----

 

JOHN W. HENRY &CO./MILLBURN L. P.

(A Delaware LimitedPartnership)

 

TABLE OF CONTENTS

 
| ** **                                                                                             | **Page** |
|--------------------------------------------------------------------------------------------------------|----------|
|                                                                                                   |     |
| REPORT OF INDEPENDENT  REGISTERED PUBLIC ACCOUNTING FIRM                                               | 1        |
|                                                                                                   |     |
| FINANCIAL STATEMENTS:                                                                                  |     |
|                                                                                                   |     |
| Statements  of Financial Condition as of December 31, 2005 and 2004                                    | 2        |
|                                                                                                   |     |
| Statements  of Operations for the years ended December 31, 2005, 2004, and 2003                        | 3        |
|                                                                                                   |     |
| Statements  of Changes in Partners’ Capital for the years ended December 31, 2005, 2004  and 2003 | 4        |
|                                                                                                   |     |
| Financial  Data Highlights for the year ended December 31, 2005                                        | 5        |
|                                                                                                   |     |
| Notes  to Financial Statements                                                                         | 6-8      |

 

----

 

REPORT OF INDEPENDENT REGISTEREDPUBLIC ACCOUNTING FIRM

 

 

To the Partners of

   JohnW. Henry & Co./Millburn L.P.:

 

We have audited theaccompanying statements of financial condition of John W. Henry &Co./Millburn L.P. (the “Partnership”) as of December 31, 2005 and 2004, and therelated statements of operations and changes in partners’ capital for each ofthe three years in the period ended December 31, 2005 and the financial datahighlights for the year ended December 31, 2005. These financial statements andfinancial data highlights are the responsibility of the Partnership’smanagement. Our responsibility is to express an opinion on these financialstatements and financial data highlights based on our audits.

 

We conducted our auditsin accordance with the standards of the Public Company Accounting OversightBoard (United States). Those standards require that we plan and perform theaudit to obtain reasonable assurance about whether the financial statements andfinancial data highlights are free of material misstatement. The Partnership isnot required to have, nor were we engaged to perform, an audit of its internalcontrol over financial reporting. Our audits included consideration of internalcontrol over financial reporting as a basis for designing audit procedures thatare appropriate in the circumstances, but not for the purpose of expressing an opinionon the effectiveness of the Partnership’s internal control over financialreporting. Accordingly, we express no such opinion. An audit also includesexamining, on a test basis, evidence supporting the amounts and disclosures inthe financial statements, assessing the accounting principles used andsignificant estimates made by management, as well as evaluating the overallfinancial statement presentation. We believe that our audits provide areasonable basis for our opinion.

 

In our opinion, suchfinancial statements and financial data highlights present fairly, in allmaterial respects, the financial position of John W. Henry &Co./Millburn L.P. as of December 31, 2005 and 2004, and the results of itsoperations, changes in its partners’ capital and the financial data highlightsfor each of the periods presented in conformity with accounting principlesgenerally accepted in the United States of America.

 

 

/s/ Deloitte & ToucheLLP

 

New York, New York

March 30, 2006

 

----

 

JOHN W. HENRY &CO./MILLBURN L.P.

(A Delaware LimitedPartnership)

 

STATEMENTS OF FINANCIALCONDITION

DECEMBER 31, 2005 AND 2004

 
| ** **                                      | ** ** | **2005**   | ** ** | **2004**   | ** ** |
|-------------------------------------------------|------------|------------|------------|------------|------------|
| ASSETS:                                         |       |       |       |       |       |
|                                            |       |       |       |       |       |
| Investments in  Trading LLCs                    |       | $          | 22,731,551 |       | $          | 27,635,033 |   |
| Redemption Receivable  from Trading LLCs        |       | 282,573    |       | 601,536    |       |
|                                            |       |       |       |       |       |
| TOTAL ASSETS                                    |       | $          | 23,014,124 |       | $          | 28,236,569 |   |
|                                            |       |       |       |       |       |
| LIABILITIES AND  PARTNERS’ CAPITAL         |       |       |       |       |       |
|                                            |       |       |       |       |       |
| LIABILITIES:                                    |       |       |       |       |       |
|                                            |       |       |       |       |       |
| Administrative  fees payable                    |       | $          | 12,250     |       | $          | 50,000 |   |
| Redemptions  payable                            |       | 270,323    |       | 551,536    |       |
|                                            |       |       |       |       |       |
| Total  liabilities                              |       | 282,573    |       | 601,536    |       |
|                                            |       |       |       |       |       |
| PARTNERS’  CAPITAL:                        |       |       |       |       |       |
|                                            |       |       |       |       |       |
| General Partner:                                |       |       |       |       |       |
| (189 and 209  Series A Units outstanding)       |       | 67,612     |       | 80,720     |       |
| (425 and 478  Series B Units outstanding)       |       | 123,385    |       | 149,823    |       |
| (296 and 339  Series C Units outstanding)       |       | 66,981     |       | 82,822     |       |
| Limited  Partners:                              |       |       |       |       |       |
| (16,224 and  18,554 Series A Units outstanding) |       | 5,803,895  |       | 7,165,985  |       |
| (36,815 and  41,696 Series B Units outstanding) |       | 10,688,039 |       | 13,069,071 |       |
| (26,433 and  29,006 Series C Units outstanding) |       | 5,981,639  |       | 7,086,612  |       |
|                                            |       |       |       |       |       |
| Total partners’  capital                   |       | 22,731,551 |       | 27,635,033 |       |
|                                            |       |       |       |       |       |
| TOTAL  LIABILITIES AND PARTNERS’ CAPITAL   |       | $          | 23,014,124 |       | $          | 28,236,569 |   |
|                                            |       |       |       |       |       |
| NET ASSET VALUE  PER UNIT:                      |       |       |       |       |       |
|                                            |       |       |       |       |       |
| Series A                                        |       | $          | 357.74     |       | $          | 386.22 |   |
| Series B                                        |       | $          | 290.32     |       | $          | 313.44 |   |
| Series C                                        |       | $          | 226.29     |       | $          | 244.32 |   |

 

See notes to financial statements.

 

2

----

 

JOHN W. HENRY &CO./MILLBURN L.P.

(A Delaware Limited Partnership)

 

STATEMENTS OF OPERATIONS

FOR THE YEARS ENDEDDECEMBER 31, 2005, 2004 AND 2003

 
| ** **                                                                                  | ** ** | **2005**   | ** ** | **2004**   | ** ** | **2003**   | ** ** |
|---------------------------------------------------------------------------------------------|------------|------------|------------|------------|------------|------------|------------|
| **TRADING PROFITS (LOSSES):**                                                               |       |       |       |       |       |       |       |
| Trading profit  (loss):                                                                     |       |       |       |       |       |       |       |
| Realized                                                                                    |       | $          | 496,604    |       | $          | 1,696,804  |       | $ | 7,494,259 |   |
| Change in  unrealized                                                                       |       | (1,111,030 | )          | (281,869   | )          | (624,127   | )          |
|                                                                                        |       |       |       |       |       |       |       |
| Total trading  profits (losses)                                                             |       | (614,426   | )          | 1,414,935  |       | 6,870,132  |       |
|                                                                                        |       |       |       |       |       |       |       |
| **INVESTMENT  INCOME:**                                                                     |       |       |       |       |       |       |       |
| Interest                                                                                    |       | 738,940    |       | 367,819    |       | 339,103    |       |
|                                                                                        |       |       |       |       |       |       |       |
| **EXPENSES:**                                                                               |       |       |       |       |       |       |       |
|                                                                                        |       |       |       |       |       |       |       |
| Brokerage  commissions                                                                      |       | 2,019,957  |       | 2,309,432  |       | 2,823,906  |       |
| Profit Shares                                                                               |       | —     |       | 131,611    |       | 710,980    |       |
| Administrative  fees                                                                        |       | 206,410    |       | 537,182    |       | 101,873    |       |
|                                                                                        |       |       |       |       |       |       |       |
| Total expenses                                                                              |       | 2,226,367  |       | 2,978,225  |       | 3,636,759  |       |
|                                                                                        |       |       |       |       |       |       |       |
| **NET  INVESTMENT LOSS**                                                                    |       | (1,487,427 | )          | (2,610,406 | )          | (3,297,656 | )          |
| ** **                                                                                  |       |       |       |       |       |       |       |
| **NET  INCOME (LOSS)**                                                                      |       | $          | (2,101,853 | )          | $          | (1,195,471 | )          | $ | 3,572,476 |   |
|                                                                                        |       |       |       |       |       |       |       |
| **NET  INCOME(LOSS) PER UNIT:**                                                             |       |       |       |       |       |       |       |
| Weighted average  number of General Partner and Limited Partner Units outstanding           |       |       |       |       |       |       |       |
| Series A                                                                                    |       | 17,825     |       | 19,410     |       | 21,574     |       |
| Series B                                                                                    |       | 40,315     |       | 43,912     |       | 48,521     |       |
| Series C                                                                                    |       | 27,966     |       | 32,213     |       | 34,916     |       |
|                                                                                        |       |       |       |       |       |       |       |
| Net income  (loss) per weighted average General Partner and Limited Partner Unit by  series |       |       |       |       |       |       |       |
| Series A                                                                                    |       | $          | (30.00     | )          | $          | (14.81     | )          | $ | 43.49 |   |
| Series B                                                                                    |       | $          | (24.96     | )          | $          | (12.93     | )          | $ | 34.51 |   |
| Series C                                                                                    |       | $          | (20.06     | )          | $          | (10.56     | )          | $ | 27.49 |   |

 

Substantially all items of income and expense are derived from theinvestments in Trading LLCs. See notes to financial statements.

 

3

----

 

JOHN W. HENRY &CO./MILLBURN L.P.

(A Delaware LimitedPartnership)

 

STATEMENTS OF CHANGES INPARTNERS’ CAPITAL

FOR THE YEARS ENDEDDECEMBER 31, 2005, 2004 AND 2003

 
| ** **                                 | ** ** | **Series** | ** ** | **Series** | ** ** | **Series** | ** ** | **General  Partner** | ** ** | **Limited  Partners** | ** ** | ** ** | ** ** |
|--------------------------------------------|------------|------------|------------|------------|------------|------------|------------|----------------------|------------|-----------------------|------------|------------|------------|
| ** **                                 | ** ** | **A**      | ** ** | **B**      | ** ** | **C**      | ** ** | **Series**           | ** ** | **Series**            | ** ** | **Series** | ** ** | **Series** | ** ** | **Series** | ** ** | **Series** | ** ** | ** ** | ** ** |
| ** **                                 | ** ** | **Units**  | ** ** | **Units**  | ** ** | **Units**  | ** ** | **A**                | ** ** | **B**                 | ** ** | **C**      | ** ** | **A** | ** ** | **B** | ** ** | **C** | ** ** | **Total** | ** ** |
|                                       |       |       |       |       |       |       |       |                 |       |                  |       |       |       |   |   |   |   |   |   |   |   |
| PARTNERS’  CAPITAL, DECEMBER 31, 2002 |       | 22,607     |       | 49,697     |       | 36,756     |       | $                    | 82,826     |                  | $          | 148,873    |       | $ | 85,813 |   | $ | 8,023,008 |   | $ | 14,329,638 |   | $ | 8,258,617 |   | $ | 30,928,775 |   |
|                                       |       |       |       |       |       |       |       |                 |       |                  |       |       |       |   |   |   |   |   |   |   |   |
| Net income                                 |       | —     |       | —     |       | —     |       | 9,662                |       | 16,640                |       | 10,020     |       | 928,545 |   | 1,657,813 |   | 949,796 |   | 3,572,476 |   |
|                                       |       |       |       |       |       |       |       |                 |       |                  |       |       |       |   |   |   |   |   |   |   |   |
| Redemptions                                |       | (2,159     | )          | (2,653     | )          | (3,290     | )          | (8,809               | )          | (10,001               | )          | (9,887     | )          | (848,231 | ) | (837,800 | ) | (809,685 | ) | (2,524,413 | ) |
|                                       |       |       |       |       |       |       |       |                 |       |                  |       |       |       |   |   |   |   |   |   |   |   |
| PARTNERS’  CAPITAL, DECEMBER 31, 2003 |       | 20,448     |       | 47,044     |       | 33,466     |       | 83,679               |       | 155,512               |       | 85,946     |       | 8,103,322 |   | 15,149,651 |   | 8,398,728 |   | 31,976,838 |   |
|                                       |       |       |       |       |       |       |       |                 |       |                  |       |       |       |   |   |   |   |   |   |   |   |
| Net loss                                   |       | —     |       | —     |       | —     |       | (2,959               | )          | (5,689                | )          | (3,124     | )          | (284,577 | ) | (561,943 | ) | (337,179 | ) | (1,195,471 | ) |
|                                       |       |       |       |       |       |       |       |                 |       |                  |       |       |       |   |   |   |   |   |   |   |   |
| Redemptions                                |       | (1,685     | )          | (4,870     | )          | (4,121     | )          | —               |       | —                |       | —     |       | (652,760 | ) | (1,518,637 | ) | (974,937 | ) | (3,146,334 | ) |
|                                       |       |       |       |       |       |       |       |                 |       |                  |       |       |       |   |   |   |   |   |   |   |   |
| PARTNERS’  CAPITAL, DECEMBER 31, 2004 |       | 18,763     |       | 42,174     |       | 29,345     |       | 80,720               |       | 149,823               |       | 82,822     |       | 7,165,985 |   | 13,069,071 |   | 7,086,612 |   | 27,635,033 |   |
|                                       |       |       |       |       |       |       |       |                 |       |                  |       |       |       |   |   |   |   |   |   |   |   |
| Net loss                                   |       | —     |       | —     |       | —     |       | (6,146               | )          | (11,466               | )          | (6,372     | )          | (528,534 | ) | (994,691 | ) | (554,644 | ) | (2,101,853 | ) |
|                                       |       |       |       |       |       |       |       |                 |       |                  |       |       |       |   |   |   |   |   |   |   |   |
| Redemptions                                |       | (2,350     | )          | (4,934     | )          | (2,616     | )          | (6,962               | )          | (14,972               | )          | (9,469     | )          | (833,556 | ) | (1,386,341 | ) | (550,329 | ) | (2,801,629 | ) |
|                                       |       |       |       |       |       |       |       |                 |       |                  |       |       |       |   |   |   |   |   |   |   |   |
| PARTNERS’  CAPITAL, DECEMBER 31, 2005 |       | 16,413     |       | 37,240     |       | 26,729     |       | $                    | 67,612     |                  | $          | 123,385    |       | $ | 66,981 |   | $ | 5,803,895 |   | $ | 10,688,039 |   | $ | 5,981,639 |   | $ | 22,731,551 |   |

 

See notes tofinancial statements.

 

4

----

 

JOHN W. HENRY &CO./MILLBURN L.P.

(A Delaware Limited Partnership)

 

FINANCIAL DATA HIGHLIGHTS

FOR THE YEAR ENDEDDECEMBER 31, 2005

 

The following per Unit data and ratios have been derived frominformation provided in the financial statements.

 
| ** **                           | ** ** | **Series A** | ** ** | **Series B** | ** ** | **Series C** | ** ** |
|--------------------------------------|------------|--------------|------------|--------------|------------|--------------|------------|
|                                 |       |         |       |         |       |         |       |
| **Per  Unit Operating Performance:** |       |         |       |         |       |         |       |
| ** **                           |       |         |       |         |       |         |       |
| Net asset value,  beginning of year  |       | $            | 386.22     |         | $          | 313.44       |       | $ | 244.32 |   |
|                                 |       |         |       |         |       |         |       |
| Realized trading  profit             |       | 10.19        |       | 8.27         |       | 6.43         |       |
| Change in  unrealized                |       | (16.92       | )          | (13.73       | )          | (10.70       | )          |
| Interest income                      |       | 10.89        |       | 8.83         |       | 6.89         |       |
| Expenses                             |       | (32.64       | )          | (26.49       | )          | (20.65       | )          |
|                                 |       |         |       |         |       |         |       |
| Net asset value,  end of year        |       | $            | 357.74     |         | $          | 290.32       |       | $ | 226.29 |   |
|                                 |       |         |       |         |       |         |       |
| **Total  Return:**                   |       |         |       |         |       |         |       |
|                                 |       |         |       |         |       |         |       |
| Total return                         |       | -7.38        | %          | -7.38        | %          | -7.38        | %          |
|                                 |       |         |       |         |       |         |       |
| **Ratios  to Average Net Assets:**   |       |         |       |         |       |         |       |
|                                 |       |         |       |         |       |         |       |
| Expenses                             |       | 9.41         | %          | 9.41         | %          | 9.38         | %          |
|                                 |       |         |       |         |       |         |       |
| Net investment  loss                 |       | -6.29        | %          | -6.29        | %          | -6.27        | %          |

 

See notes tofinancial statements.

 

5

----

 

JOHN W. HENRY & CO./MILLBURNL.P.

(A Delaware Limited Partnership)

 

NOTES TO FINANCIALSTATEMENTS

 

1.               SUMMARY OFSIGNIFICANT ACCOUNTING POLICIES

 

JohnW. Henry & Co./Millburn L.P. (the “Partnership”) was organized under theDelaware Revised Uniform Limited Partnership Act on August 29, 1989. ThePartnership’s initial offering of Units of limited partnership interest (“SeriesA Units”) commenced trading activities on January 5, 1990. A second offering ofUnits of limited partnership interest (“Series B Units”) commenced tradingactivities with respect to the Series B Units on January 28, 1991. A thirdoffering of Units of limited partnership interest (“Series C Units”) commencedtrading activities on January 2, 1992. (Series A, B and C units are,hereinafter, collectively referred to as “Units.”)  The Partnership engages, through investmentsin limited liability companies (see below), in the speculative trading offutures, options on futures and forward contracts on a wide range ofcommodities. Merrill Lynch Alternative Investments LLC (“MLAI”), a wholly-ownedsubsidiary of Merrill Lynch Investment Managers L.P. (“MLIM”) which in turn, isan indirect wholly-owned subsidiary of Merrill Lynch & Co., Inc. (“MerrillLynch”), is the general partner of the Partnership. Merrill Lynch, Pierce,Fenner & Smith Incorporated (“MLPF&S”), a wholly-owned subsidiary ofMerrill Lynch, is the Partnership’s commodity broker. MLAI has agreed tomaintain a general partner’s interest of at least 1% of total capital of eachSeries of Units. MLAI and each Limited Partner share in the profits and lossesof such Series in proportion to their respective interests in it.

 

John W. Henry &Company, Inc. and Millburn Ridgefield Corporation (each an “Advisor”, together,“Advisors”) have been the Partnership’s only trading advisors since inception. EachAdvisor was allocated 50% of the total assets of each Series as of the datesuch Series began trading. Subsequently, these allocations have varied overtime. MLAI may, in its discretion, reallocate assets between the Advisors as ofany month-end. The Partnership has placed all of its assets under themanagement of the Advisors through investing in private limited liabilitycompanies, ML JWH Financials and Metals Portfolio LLC (“JWH LLC”) and MLMillburn Global LLC (“Millburn LLC”), together (“Trading LLCs”), as describedin Note 2. Certain of the following notes to financial statements are directlyrelated to Partnership assets managed by the Advisors in the Trading LLCs. TheAdvisors also hold investments in the Partnership as limited partners withcombined ownership as of December 31, 2005.

 

Estimates

 

The preparation offinancial statements in conformity with accounting principles generallyaccepted in the United States of America requires management to make estimatesand assumptions that affect the reported amounts of assets and liabilities anddisclosure of contingent assets and liabilities at the date of the financialstatements and the reported amounts of revenues and expenses during thereporting period. Actual results could differ from those estimates.

 

RevenueRecognition

 

See Note 2 for discussionof revenue recognition for the Partnership’s investments in Trading LLCs.

 

OperatingExpenses

 

MLAIpays all routine operating expenses excluding the State of New Jersey filingfee (which is borne by the Partnership) but including legal, accounting,printing, postage and similar administrative expenses. MLAI receives anadministrative fee as well as a portion of the brokerage commissions paid toMLPF&S by the Partnership (see Note 3).

 

6

----

 

IncomeTaxes

 

No provision for incometaxes has been made in the accompanying financial statements as each Partner isindividually responsible for such Partner’s respective share of the income andexpenses of the Series in which such Partner is invested as reported for incometax purposes.

 

Redemptions

 

A Limited Partner mayredeem some or all of such Partner’s Units at Net Asset Value as of the closeof business on the last business day of any month upon ten calendar days’notice.

 

Dissolution of thePartnership

 

The Partnership will terminate on December 31, 2016 or at an earlierdate if certain conditions occur, as well as under certain other circumstancesas set forth in the Limited Partnership Agreement.

 

Indemnifications

 

In the normal course of business, the Partnership enters into contractsand agreements that contain a variety of representations and warranties andwhich provide general indemnifications. The Partnership’s maximum exposureunder these arrangements is unknown, as this would involve future claims thatmay be made against the Partnership that have not yet occurred. The Partnershipexpects the risk of any future obligation under these indemnifications to beremote.

 

2.               INVESTMENTS INTRADING LLCs

 

The Partnership placesall of its assets in the Trading LLCs. The financial statements of the TradingLLCs are bound together with this report and should be read in conjunction withthe Partnership’s financial statements.

 

The investments in theTrading LLCs are reflected in the financial statements at fair value based uponthe Partnership’s interest in the Trading LLCs. Fair value of the investmentsin the Trading LLCs as an investor is equal to the market value of the net assetsof the Trading LLCs allocable to the Partnership as an investor.

 

AtDecember 31, 2005 and 2004, the Partnership had investments in JWH LLC andMillburn LLC as follows:

 
| ** **   | ** ** | **2005**   | ** ** | **2004**   | ** ** |
|--------------|------------|------------|------------|------------|------------|
|         |       |       |       |       |       |
| JWH LLC      |       | $          | 11,365,776 |       | $          | 13,817,517 |   |
| Millburn LLC |       | 11,365,775 |       | 13,817,516 |       |
| Total        |       | $          | 22,731,551 |       | $          | 27,635,033 |   |

 

3.               RELATED PARTYTRANSACTIONS

 

The Partnership’s U.S.dollar assets invested through the Trading LLCs are maintained at MLPF&S.On assets held in U.S. dollars, Merrill Lynch credits the Trading LLCs withinterest at the prevailing 91-day U.S. Treasury bill rate. The Trading LLCs arecredited with interest on any of its assets and net gains actually held by MLPF&Sin non-U.S. dollar currencies at a prevailing local rate received by MerrillLynch. Merrill Lynch may derive certain economic benefit, in excess of theinterest, which Merrill Lynch pays to the Trading LLCs, from possession of suchassets.

 

Merrill Lynchcharges the Trading LLCs Merrill Lynch’s cost of financing realized andunrealized losses on the Trading LLC’s non-U.S. dollar-denominated positions. Suchamounts are netted against interest income due to the insignificance of suchamounts.

 

7

----

 

The Partnership paysbrokerage commissions to MLPF&S through the Trading LLCs at a flat monthlyrate of .708 of 1% (an 8.50% annual rate) of the Partnership’s month-endtrading assets. The Partnership also pays MLAI a monthly administrative feethrough the Trading LLCs of .021 of 1% (a 0.25% annual rate) of the Partnership’smonth-end trading assets. Month-end trading assets are not reduced for purposesof calculating brokerage commissions and administrative fees by any accruedbrokerage commissions, administrative fees, Profit Shares or other fees orcharges.

 

MLPF&S paysthe Advisors annual consulting fees of 2% of the average month-end assetsallocated to them for management after a reduction for a portion of brokeragecommissions.

 

4.               ADVISORY AGREEMENTS

 

The Trading LLCs enteredinto Advisory Agreements with the Advisors, which are in effect for successiveone year terms.

 

Profit Shares of20% of any New Trading Profit, as defined, either as of the end of eachcalendar quarter or year, are paid to each Advisor based on the performance ofthe Partnership account managed by such Advisor, irrespective of the overallperformance of the Partnership. Profit Shares are also paid out in respect ofUnits redeemed as of the end of interim months, to the extent the applicablepercentage of any New Trading Profits attributable to such Units.

 

5.               WEIGHTED AVERAGEUNITS

 

The weighted averagenumber of Units of each series outstanding is computed for purposes ofcomputing net income per weighted average Unit. The weighted average number ofUnits of each series outstanding for the years ended December 31, 2005, 2004and 2003 equals the Units of such series outstanding as of such date, adjustedproportionately for Units redeemed based on the respective length of time eachwas outstanding during the year.

 

6.               FAIR VALUE AND OFF-BALANCESHEET RISK

 

The Partnership investsindirectly in derivative instruments by investing in the Trading LLCs, but doesnot itself hold any derivative instrument positions. The nature of thisPartnership has certain risks, which cannot all be presented on the financialstatements.

 

Market Risk

 

Derivative instrumentsinvolve varying degrees of off-balance sheet market risk. Changes in the levelor volatility of interest rates, foreign currency exchange rates or the marketvalues of the financial instruments or commodities underlying such derivativeinstruments frequently result in changes in the net unrealized profit (loss) asreflected in the respective Statements of Financial Condition of the TradingLLCs. The Partnership’s exposure to market risk is influenced by a number offactors, including the relationships among the derivative instruments held bythe Partnership, through the Trading LLCs, as well as the volatility andliquidity of such markets in which such derivative instruments are traded.

 

8

----

 

*     *    *     *     *    *     *     *    *    *

 

To the best of theknowledge and belief of theundersigned, the information contained in thisreport is accurate and complete.

 

Michael Pungello

Chief FinancialOfficer

Merrill LynchAlternative Investments LLC

General Partner of

John W. Henry& Co./Millburn L.P.

 

9

----