**Exhibit 13.01**

***JOHNW. HENRY & CO./***

***MILLBURNL.P .***

***(ADelaware Limited Partnership)***

Financial Statements for the years endedDecember 31, 2006, 2005 and 2004and Report of Independent RegisteredPublic Accounting Firm

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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, 2006 and 2005                                    |       | 2        |
|                                                                                                   |       |     |
| Statements of  Operations for the years ended December 31, 2006, 2005, and 2004                        |       | 3        |
|                                                                                                   |       |     |
| Statements of  Changes in Partners’ Capital for the years ended December 31, 2006, 2005 and  2004 |       | 4        |
|                                                                                                   |       |     |
| Financial Data Highlights for the year ended  December 31, 2006                                        |       | 5        |
|                                                                                                   |       |     |
| Notes to Financial Statements                                                                          |       | 6-9      |

 

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REPORTOF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Partners of

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

Wehave audited the accompanying statements of financial condition of John W.Henry & Co./Millburn L.P. (the “Partnership”) as of December 31, 2006 and2005, and the related statements of operations and of changes in partners’capital for each of the three years in the period ended December 31, 2006 andthe financial data highlights for the year ended December 31, 2006.  These financial statements and financial datahighlights are the responsibility of the Partnership’s management.  Our responsibility is to express an opinionon these financial statements and financial data highlights based on ouraudits.

Weconducted our audits in accordance with the standards of the Public CompanyAccounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtainreasonable assurance about whether the financial statements and financial datahighlights are free of material misstatement. The Partnership is not required to have, nor were we engaged to perform,an audit of its internal control 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 anopinion on the effectiveness of the Partnership’s internal control overfinancial reporting.  Accordingly, weexpress no such opinion.  An audit alsoincludes examining, on a test basis, evidence supporting the amounts anddisclosures in the financial statements, assessing the accounting principlesused and significant estimates made by management, as well as evaluating theoverall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

Inour opinion, the financial statements and financial data highlights referred toabove present fairly, in all material respects, the financial position ofJohn W. Henry & Co./Millburn L.P. as of December 31, 2006 and 2005,the results of its operations and of changes in its partners’ capital for eachof the three years in the period ended December 31, 2006, and the financialdata highlights for the year ended December 31, 2006, in conformity withaccounting principles generally accepted in the United States of America.
| /s/ Deloitte & Touche LLP |   |
|-------------------------------|--------|

New York, New York

March 27, 2007

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

(A Delaware Limited Partnership)

STATEMENTS OF FINANCIALCONDITION

DECEMBER 31, 2006 AND2005
| ** **                                     | ** ** | **December 31,** | ** ** | **December 31,** | ** ** |
|------------------------------------------------|------------|-----------------------|------------|-----------------------|------------|
| ** **                                     | ** ** | **2006**              | ** ** | **2005**              | ** ** |
| ASSETS:                                        |       |                  |       |                  |       |
|                                           |       |                  |       |                  |       |
| Investments in Trading LLCs                    |       | $                     | 20,078,409 |                  | $          | 22,731,551 |   |
| Receivable from Trading LLCs                   |       | 384,920               |       | 282,573               |       |
|                                           |       |                  |       |                  |       |
| TOTAL ASSETS                                   |       | $                     | 20,463,329 |                  | $          | 23,014,124 |   |
|                                           |       |                  |       |                  |       |
| LIABILITIES AND  PARTNERS’ CAPITAL        |       |                  |       |                  |       |
|                                           |       |                  |       |                  |       |
| LIABILITIES:                                   |       |                  |       |                  |       |
|                                           |       |                  |       |                  |       |
| Filing fees payable                            |       | $                     | 11,250     |                  | $          | 12,250 |   |
| Redemptions payable                            |       | 373,670               |       | 270,323               |       |
|                                           |       |                  |       |                  |       |
| Total liabilities                              |       | 384,920               |       | 282,573               |       |
|                                           |       |                  |       |                  |       |
| PARTNERS’  CAPITAL:                       |       |                  |       |                  |       |
|                                           |       |                  |       |                  |       |
| General Partner:                               |       |                  |       |                  |       |
| (159 and 189 Series A Units outstanding)       |       | 55,828                |       | 67,612                |       |
| (346 and 425 Series B Units outstanding)       |       | 98,575                |       | 123,385               |       |
| (248 and 296 Series C Units outstanding)       |       | 55,081                |       | 66,981                |       |
| Limited Partners:                              |       |                  |       |                  |       |
| (15,308 and 16,224 Series A Units outstanding) |       | 5,374,754             |       | 5,803,895             |       |
| (32,396 and 36,815 Series B Units outstanding) |       | 9,229,259             |       | 10,688,039            |       |
| (23,705 and 26,433 Series C Units outstanding) |       | 5,264,912             |       | 5,981,639             |       |
|                                           |       |                  |       |                  |       |
| Total partners’ capital                   |       | 20,078,409            |       | 22,731,551            |       |
|                                           |       |                  |       |                  |       |
| TOTAL LIABILITIES AND PARTNERS’ CAPITAL   |       | $                     | 20,463,329 |                  | $          | 23,014,124 |   |
|                                           |       |                  |       |                  |       |
| NET ASSET VALUE  PER UNIT:                     |       |                  |       |                  |       |
|                                           |       |                  |       |                  |       |
| Series A                                       |       | $                     | 351.11     |                  | $          | 357.74 |   |
| Series B                                       |       | $                     | 284.89     |                  | $          | 290.32 |   |
| Series C                                       |       | $                     | 222.10     |                  | $          | 226.29 |   |

 

See notes tofinancial statements.

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STATEMENTS OF OPERATIONS

FOR THE YEARS ENDEDDECEMBER 31, 2006, 2005 AND 2004
| ** **                                                                        | ** ** | **2006**   | ** ** | **2005**   | ** ** | **2004**   | ** ** |
|-----------------------------------------------------------------------------------|------------|------------|------------|------------|------------|------------|------------|
| **TRADING  PROFIT (LOSS):**                                                       |       |       |       |       |       |       |       |
| Trading profit (loss):                                                            |       |       |       |       |       |       |       |
| Realized                                                                          |       | $          | 586,600    |       | $          | 496,604    |       | $ | 1,696,804 |   |
| Change in unrealized                                                              |       | 227,608    |       | (1,111,030 | )          | (281,869   | )          |
|                                                                              |       |       |       |       |       |       |       |
| Total trading profit (loss)                                                       |       | 814,208    |       | (614,426   | )          | 1,414,935  |       |
|                                                                              |       |       |       |       |       |       |       |
| **INVESTMENT  INCOME:**                                                           |       |       |       |       |       |       |       |
| Interest                                                                          |       | 1,066,585  |       | 738,940    |       | 367,819    |       |
|                                                                              |       |       |       |       |       |       |       |
|                                                                              |       |       |       |       |       |       |       |
| **EXPENSES:**                                                                     |       |       |       |       |       |       |       |
|                                                                              |       |       |       |       |       |       |       |
| Brokerage commissions                                                             |       | 1,905,622  |       | 2,019,957  |       | 2,309,432  |       |
| Profit Shares                                                                     |       | 148,563    |       | —     |       | 131,611    |       |
| Administrative and Filing fees                                                    |       | 191,046    |       | 206,410    |       | 537,182    |       |
|                                                                              |       |       |       |       |       |       |       |
| Total expenses                                                                    |       | 2,245,231  |       | 2,226,367  |       | 2,978,225  |       |
|                                                                              |       |       |       |       |       |       |       |
| **NET  INVESTMENT LOSS**                                                          |       | (1,178,646 | )          | (1,487,427 | )          | (2,610,406 | )          |
|                                                                              |       |       |       |       |       |       |       |
| **NET  LOSS**                                                                     |       | $          | (364,438   | )          | $          | (2,101,853 | )          | $ | (1,195,471 | ) |
|                                                                              |       |       |       |       |       |       |       |
| **NET  LOSS PER UNIT:**                                                           |       |       |       |       |       |       |       |
| Weighted average  number of General Partner and Limited Partner Units outstanding |       |       |       |       |       |       |       |
| Series A                                                                          |       | 15,928     |       | 17,825     |       | 19,410     |       |
| Series B                                                                          |       | 35,673     |       | 40,315     |       | 43,912     |       |
| Series C                                                                          |       | 25,838     |       | 27,966     |       | 32,213     |       |
|                                                                              |       |       |       |       |       |       |       |
| Net loss per  weighted average General Partner and Limited Partner Unit by series |       |       |       |       |       |       |       |
| Series A                                                                          |       | $          | (5.93      | )          | $          | (30.00     | )          | $ | (14.81 | ) |
| Series B                                                                          |       | $          | (4.76      | )          | $          | (24.96     | )          | $ | (12.93 | ) |
| Series C                                                                          |       | $          | (3.87      | )          | $          | (20.06     | )          | $ | (10.56 | ) |

 

Substantially allitems of income and expense are derived from the investments in Trading LLCs.

See notes tofinancial statements.

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STATEMENTS OFCHANGES IN PARTNERS’ CAPITAL

FOR THE YEARSENDED DECEMBER 31, 2006, 2005 AND 2004
| ** **                                 | ** ** | **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, 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 |   |
|                                       |       |       |       |       |       |       |       |                     |       |                      |       |       |       |   |   |   |   |   |   |   |   |
| Net loss                                   |       | —     |       | —     |       | —     |       | (1,043                   | )          | (1,618                    | )          | (975       | )          | (93,436 | ) | (168,277 | ) | (99,089 | ) | (364,438 | ) |
|                                       |       |       |       |       |       |       |       |                     |       |                      |       |       |       |   |   |   |   |   |   |   |   |
| Redemptions                                |       | (946       | )          | (4,498     | )          | (2,776     | )          | (10,741                  | )          | (23,192                   | )          | (10,925    | )          | (335,705 | ) | (1,290,503 | ) | (617,638 | ) | (2,288,704 | ) |
|                                       |       |       |       |       |       |       |       |                     |       |                      |       |       |       |   |   |   |   |   |   |   |   |
| PARTNERS’  CAPITAL, DECEMBER 31, 2006 |       | 15,467     |       | 32,742     |       | 23,953     |       | $                   | 55,828     |                      | $     | 98,575     |       | $  | 55,081 |   | $  | 5,374,754 |   | $  | 9,229,259 |   | $  | 5,264,912 |   | $  | 20,078,409 |   |

 

See notes to financialstatements.

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FINANCIAL DATA HIGHLIGHTS

FOR THE YEAR ENDEDDECEMBER 31, 2006

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  |       | $                 | 357.74     |              | $          | 290.32            |       | $ | 226.29 |   |
|                                 |       |              |       |              |       |              |       |
| Realized trading  profit             |       | 9.29              |       | 7.54              |       | 5.88              |       |
| Change in  unrealized                |       | 3.29              |       | 2.67              |       | 2.08              |       |
| Interest income                      |       | 17.44             |       | 14.15             |       | 11.03             |       |
| Expenses                             |       | (36.65            | )          | (29.79            | )          | (23.18            | )          |
|                                 |       |              |       |              |       |              |       |
| Net asset value,  end of year        |       | $                 | 351.11     |              | $          | 284.89            |       | $ | 222.10 |   |
|                                 |       |              |       |              |       |              |       |
| **Total  Return:**                   |       |              |       |              |       |              |       |
| ** **                           |       |              |       |              |       |              |       |
| Total return  before Profit Shares   |       | -1.19             | %          | -1.19             | %          | -1.19             | %          |
| Profit Shares                        |       | -0.77             | %          | -0.79             | %          | -0.77             | %          |
| Total return  after Profit Shares    |       | -1.85             | %          | -1.87             | %          | -1.85             | %          |
|                                 |       |              |       |              |       |              |       |
| **Ratios  to Average Net Assets:**   |       |              |       |              |       |              |       |
|                                 |       |              |       |              |       |              |       |
| Expenses  (excluding Profit Shares)  |       | 9.49              | %          | 9.52              | %          | 9.52              | %          |
| Profit Shares                        |       | 0.67              | %          | 0.69              | %          | 0.65              | %          |
| Expenses  (including Profit Shares)  |       | 10.16             | %          | 10.21             | %          | 10.17             | %          |
|                                 |       |              |       |              |       |              |       |
| Net investment  loss                 |       | -5.33             | %          | -5.37             | %          | -5.33             | %          |

 

Seenotes to financial statements.

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NOTESTO FINANCIAL STATEMENTS

1.               SUMMARY OFSIGNIFICANT ACCOUNTING POLICIES

John W. Henry & Co./MillburnL.P. (the “Partnership”) was organized under the Delaware Revised UniformLimited Partnership Act on August 29, 1989. The Partnership’s initial offering of Units of limited partnershipinterest (“Series A Units”) commenced trading activities on January 5, 1990. Asecond offering of Units of limited partnership interest (“Series B Units”)commenced trading activities with respect to the Series B Units onJanuary 28, 1991.  A third offeringof Units of limited partnership interest (“Series C Units”) commenced tradingactivities 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 of futures,options on futures and forward contracts on a wide range of commodities.Merrill Lynch Alternative Investments LLC (“MLAI”) is an indirect wholly-ownedsubsidiary of Merrill Lynch & Co., Inc. (“Merrill Lynch”), is the generalpartner of the Partnership. Merrill Lynch, Pierce, Fenner & SmithIncorporated (“MLPF&S”), a wholly-owned subsidiary of Merrill Lynch, is thePartnership’s commodity broker.  MLAI hasagreed to maintain a general partner’s interest of at least 1% of total capitalof each Series of Units.  MLAI and eachLimited Partner share in the profits and losses of such Series in proportion totheir respective interests in it.

John W. Henry & Company, Inc. and MillburnRidgefield Corporation (each an “Advisor”, together, “Advisors”) have been thePartnership’s only trading advisors since inception.  Each Advisor was allocated 50% of the totalassets of each Series as of the date such Series began trading.  Subsequently, these allocations have variedover time.  MLAI may, in its discretion,reallocate assets between the Advisors as of any quarter-end.  The Partnership has placed all of its assetsunder the management of the Advisors through investing in private limitedliability companies, ML JWH Financials and Metals Portfolio LLC (“JWH LLC”) andML Millburn Global LLC (“Millburn LLC”), (together, “Trading LLCs”), asdescribed in Note 2.  Certain of thefollowing notes to financial statements are directly related to Partnershipassets managed by the Advisors in the Trading LLCs.  The Advisors also hold investments in thePartnership as limited partners with combined ownership of 4.8% of thePartnership as of December 31, 2006.

Estimates

The preparation of financial statements in conformitywith accounting principles generally accepted in the United States of Americarequires management to make estimates and assumptions that affect the reportedamounts of assets and liabilities and disclosure of contingent assets andliabilities at the date of the financial statements and the reported amounts ofrevenues and expenses during the reporting period.  Actual results could differ from thoseestimates.

Revenue Recognition

The revenues of thetrading LLCs are directly allocated to the Partnership.

Operating Expenses

MLAI pays all routineoperating expenses excluding the State of New Jersey filing fee (which is borneby the Partnership and is allocated based on relative net assets of eachseries) but including legal, accounting, printing, postage and similarexpenses.  MLAI receives anadministrative fee as well as a portion of the brokerage commissions paid toMLPF&S by the Partnership (see Note 3).

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Income Taxes

No provision for income taxes has been made in theaccompanying financial statements as each Partner is individually responsiblefor such Partner’s respective share of the income and expenses of the Series inwhich such Partner is invested as reported for income tax 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 exposure under these arrangements is unknown,as this would involve future claims that may be made against the Partnershipthat have not yet occurred.  ThePartnership expects the risk of any future obligation under theseindemnifications to be remote.

2.               INVESTMENTS INTRADING LLCs

The Partnership places all of its assets in the Trading LLCs.  The financial statements of the Trading LLCsare bound together with this report and should be read in conjunction with thePartnership’s financial statements.

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

At December 31, 2006and 2005, the Partnership had investments in JWH LLC and Millburn LLC asfollows:
|              | ** ** | **2006**   | ** ** | **2005**   | ** ** |
|--------------|------------|------------|------------|------------|------------|
|         |       |       |       |       |       |
| JWH LLC      |       | $          | 10,039,205 |       | $          | 11,365,776 |   |
| Millburn LLC |       | 10,039,204 |       | 11,365,775 |       |
| Total        |       | $          | 20,078,409 |       | $          | 22,731,551 |   |

 

3.               RELATED PARTYTRANSACTIONS

The Partnership’s U.S. dollar assets invested through the Trading LLCsare maintained at MLPF&S. On assets held in U.S. dollars, Merrill Lynchcredits the Trading LLCs with interest at the prevailing 91-day U.S. Treasurybill rate.  The Trading LLCs are creditedwith interest on any of its assets and net gains actually held by MLPF&S innon-U.S. dollar currencies at a prevailing local interest rate received byMerrill Lynch.  Merrill Lynch may derivecertain economic benefit, in excess of the interest, which Merrill Lynch paysto the Trading LLCs, from possession of such assets.

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Merrill Lynchcharges the Trading LLCs Merrill Lynch’s cost of financing realized andunrealized losses on the Trading LLC’s non-U.S. dollar-denominatedpositions.  Such amounts are nettedagainst interest income due to the insignificance of such amounts.

The Partnershippays brokerage commissions to MLPF&S through the Trading LLCs at a flatmonthly rate of .708 of 1% (an 8.50% annual rate) of the Trading LLCs’month-end trading assets.  ThePartnership also pays MLAI a monthly administrative fee through the TradingLLCs of .021 of 1% (a 0.25% annual rate) of the Trading LLCs’ month-end tradingassets.  Month-end trading assets are notreduced for purposes of calculating brokerage commissions and administrativefees by any accrued brokerage commissions, administrative fees, Profit Sharesor other fees or charges.

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 LLCsentered into Advisory Agreements with the Advisors, which are in effect forsuccessive one 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.  ProfitShares are also paid out in respect of Units redeemed as of the end of interimmonths, to the extent the applicable percentage of any New Trading Profitsattributable to such Units.

5.               WEIGHTED AVERAGEUNITS

The weightedaverage number of Units of each Series outstanding is computed for purposes ofcomputing net loss per weighted average Unit. The weighted average number of Units of each Series outstanding for theyears ended December 31, 2006, 2005 and 2004 equals the Units of such Seriesoutstanding as of such date, adjusted proportionately for Units redeemed basedon the respective length of time each was outstanding during the year.

6.       RECENT ACCOUNTINGPRONOUNCEMENTS

InJuly 2006, the Financial Accounting Standards Board (“FASB”) issuedInterpretation No. 48 (“FIN 48”), Accounting for Uncertainty in Income Taxes —an interpretation of FASB Statement No. 109. FIN 48 prescribes the minimumrecognition threshold a tax position must meet in connection with accountingfor uncertainties in income tax positions taken or expected to be taken by anentity before being measured and recognized in the financial statements.Adoption of FIN 48 is required for fiscal years beginning after December 15,2006. The impact on the Partnership’s financial statements, if any, iscurrently being assessed.

InSeptember 2006, the Securities Exchange Commission (“SEC”) staff also issuedStaff Accounting Bulletin No. 108,**Considering the Effects of Prior Year Misstatementswhen Quantifying Misstatements in Current Year Financial Statements (“SAB108”). While not an official rule or interpretation of the SEC, SAB 108 wasissued to address the diversity in practice in quantifying misstatements fromprior years and assessing their effect on current year financial statements.SAB 108 is effective for the first annual period ending after November 15,2006, with early application encouraged. The Partnership has assessed theimpact of SAB 108 on its financial statements and does not expect the impact ofadoption to be material to its financial statements.

In September 2006, the FASBissued Statement of Financial Accounting Standards No. 157, Fair ValueMeasurements (“FAS 157”).  FAS 157 establishes a common definition forfair value under accounting principles generally accepted in the United Statesof America, establishes a framework for measuring fair value and expandsdisclosure requirements about such fair value measurements.  FAS 157 iseffective for fiscal years beginning after November 15, 2007.  ThePartnership is currently evaluating the impact of adopting FAS 157 on itsfinancial statements.

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7.               MARKET RISK

The Partnership invests indirectly in derivativeinstruments by investing in the Trading LLCs, but does not itself hold anyderivative instrument positions.  Thenature of this Partnership has certain risks, which cannot all be presented onthe financial statements.

Market Risk

Derivativeinstruments involve varying degrees of market risk.  Changes in the level or volatility ofinterest rates, foreign currency exchange rates or the market values of thefinancial instruments or commodities underlying such derivative instrumentsfrequently result in changes in the net unrealized profit (loss) as reflectedin the respective Statements of Financial Condition of the Trading LLCs.  The Partnership’s exposure to market risk isinfluenced by a number of factors, including the relationships among thederivative instruments held by the Partnership, through the Trading LLCs, aswell as the volatility and liquidity of such markets in which such derivativeinstruments are traded. Investments in foreign markets may also entail legaland political risks.

Credit Risk

The risksassociated with exchange-traded contracts are typically perceived to be lessthan those associated with over-the-counter (non-exchange-traded) transactions,because exchanges typically provide clearinghouse arrangements in which thecollective credit (in some cases limited in amount, in some cases not) of themembers of the exchange is pledged to support the financial integrity of theexchange.  In over-the-countertransactions, on the other hand, traders must rely solely on the credit oftheir respective individual counterparties. Margins, which may be subject to loss in the event of a default, aregenerally required in exchange trading, and counterparties may also requiremargin in the over-the-counter markets.

The credit riskassociated with these instruments from counterparty nonperformance is the Netunrealized gains on open contracts, if any, included in the Statements ofFinancial Condition of the Trading LLCs. The Trading LLCs attempt to mitigatethis risk by dealing exclusively with Merrill Lynch entities as clearingbrokers.

The Trading LLCs, in theirnormal course of business, enter into various contracts, with MLPF&S actingas their commodity broker.  Pursuant tothe brokerage arrangement with MLPF&S (which includes a nettingarrangement), to the extent that such trading results in receivables from andpayables to MLPF&S, these receivables and payables are offset and reportedas a net receivable or payable and included in Equity in commodity futurestrading accounts in the respective Statements of Financial Condition of theTrading LLCs.

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To the best of theknowledge and belief of theundersigned, the information contained in thisreport is accurate and complete.
|  | /s/ Barbra E. Kocsis |   |
|--|----------------------|--------|

Barbra E.Kocsis

Chief Financial Officer

Merrill Lynch AlternativeInvestments LLC

General Partner of

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

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