**UNITED STATES**

**SECURITIES AND EXCHANGE COMMISSION**

**Washington, D.C. 20549**

**FORM 10-K**

**x****Annual Report Pursuant toSection 13 or 15(d)of the Securities Exchange Act of 1934**

**For thefiscal year ended: December 31, 2006**

**or**

**o****Transition Report Pursuant toSection 13or 15(d) of the Securities Exchange Act of 1934**

**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 |   | (I.R.S. Employer     |
| incorporation or  organization)  |   | Identification  No.) |

 

**c/oMerrill Lynch Alternative Investments LLC**

**PrincetonCorporate Campus**

**800Scudders Mill Road – Section 2G**

**Plainsboro,New Jersey  08536**

(Address of principal executive offices)

Registrant’s telephone number, including areacode:  (609) 282-6091

**Securities registered pursuant to Section 12(b) ofthe Act:**  None

**Securities registered pursuant to Section 12(g) ofthe Act:**  LimitedPartnership Units

Indicate by check mark ifthe registrant is a well-known seasoned issuer, as defined in Rule 405 of theSecurities Act.

Yes o   No x 

Indicate by checkmark if the registrant is not required to file reports pursuant to Section 13or 15(d) of the Act.

Yes o   No x 

Indicateby check mark whether the registrant (1) has filed all reports required to befiled by Section 13 or 15(d) of the Securities Exchange Act of 1934 during thepreceding 12 months (or for such shorter period that the registrant wasrequired to file such reports), and (2) has been subject to such filingrequirements for the past 90 days.

Yes  x      Noo

Indicate by check mark ifdisclosure of delinquent filers pursuant to Item 405 of Regulation S-K is notcontained herein, and will not be contained, to the best of registrant’s knowledge,in definitive proxy or information statements incorporated by reference in PartIII of this Form 10-K or any amendment to this Form 10-K.    x

Indicate by check markwhether the registrant is a large accelerated filer, an accelerated filer, or anon-accelerated filer.  See definition of“accelerated filer and large accelerated filer” in Rule 12b-2 of the ExchangeAct. (Check one):

Largeaccelerated filero   Acceleratedfilero     Non-acceleratedfilerx

Indicate by check markwhether registrant is a shell company (as defined by Rule 12b-2 of the ExchangeAct).

Yes o   No x 

The limited partnership units of the registrant arenot publicly traded. Accordingly, there is no aggregate market value for theregistrant’s outstanding equity that is readily determinable.

As of January 31, 2007,limited partnership units with an aggregate net asset value of $20,037,442 wereheld by non-affiliates.

**DocumentsIncorporated by Reference**

The registrant’s 2006 Annual Report and Report ofIndependent Registered Public Accounting Firm, the annual report to securityholders for the fiscal year ended December 31, 2006, is incorporated byreference into Part II, Item 8 and Part IV hereof and filed as an Exhibitherewith.  The annual reports areavailable free of charge by contacting Alternative Investments Client Servicesat 1-877-465-8435.

 

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

ANNUAL REPORT FOR2006 ON FORM 10-K

Table of Contents

 
|           | ** ** | ** **                                                                                                          | ** ** | **PAGE** |
|-----------|------------|---------------------------------------------------------------------------------------------------------------------|------------|----------|
|           |       | PART I                                                                                                              |       |     |
|      |       |                                                                                                                |       |     |
| Item 1.   |       | Business                                                                                                            |       | 1        |
|      |       |                                                                                                                |       |     |
| Item  1A. |       | Risk  Factors                                                                                                       |       | 5        |
|      |       |                                                                                                                |       |     |
| Item  2.  |       | Properties                                                                                                          |       | 7        |
|      |       |                                                                                                                |       |     |
| Item  3.  |       | Legal  Proceedings                                                                                                  |       | 7        |
|      |       |                                                                                                                |       |     |
| Item 4.   |       | Submission of  Matters to a Vote of Security Holders                                                                |       | 8        |
|      |       |                                                                                                                |       |     |
|      |       | PART II                                                                                                             |       |     |
|      |       |                                                                                                                |       |     |
| Item 5.   |       | Market for  Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases  of Equity Securities |       | 8        |
|      |       |                                                                                                                |       |     |
| Item 6.   |       | Selected Financial  Data                                                                                            |       | 9        |
|      |       |                                                                                                                |       |     |
| Item 7.   |       | Management’s  Discussion and Analysis of Financial Condition and Results of Operations                         |       | 14       |
|      |       |                                                                                                                |       |     |
| Item 7A.  |       | Quantitative  and Qualitative Disclosures about Market Risk                                                         |       | 19       |
|      |       |                                                                                                                |       |     |
| Item 8.   |       | Financial  Statements and Supplementary Data                                                                        |       | 25       |
|      |       |                                                                                                                |       |     |
| Item 9.   |       | Changes in and  Disagreements with Accountants on Accounting and Financial Disclosure                               |       | 25       |
|      |       |                                                                                                                |       |     |
| Item 9A.  |       | Controls and  Procedures                                                                                            |       | 25       |
|      |       |                                                                                                                |       |     |
| Item  9B. | ** ** | Other  Information                                                                                                  |       | 25       |
|      | ** ** | ** **                                                                                                          |       |     |
|      |       | PART III                                                                                                            |       |     |
|      |       |                                                                                                                |       |     |
| Item 10.  |       | Directors,  Executive Officers and Corporate Governance                                                             |       | 26       |
|      |       | ** **                                                                                                          |       |     |
| Item 11.  |       | Executive  Compensation                                                                                             |       | 29       |
|      |       |                                                                                                                |       |     |
| Item 12.  |       | Security  Ownership of Certain Beneficial Owners and Management and Related  Stockholder Matters               |       | 29       |
|      |       |                                                                                                                |       |     |
| Item 13.  |       | Certain  Relationships and Related Transactions                                                                     |       | 29       |
|      |       |                                                                                                                |       |     |
| Item 14.  |       | Principal  Accountant Fees and Services                                                                             |       | 30       |
|      |       |                                                                                                                |       |     |
|      |       | PART IV                                                                                                             |       |     |
|      |       |                                                                                                                |       |     |
| Item 15.  |       | Exhibits and  Financial Statement Schedules                                                                         |       | 31       |

 

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**PART I**

**Item 1:****          Business**

(a)                                  GeneralDevelopment of Business:

John W. Henry & Co./Millburn L.P. (the “Partnership”)was organized under the Delaware Revised Uniform Limited Partnership Act onAugust 29, 1989.  The original publicoffering of the Partnership’s units of limited partnership interest (the “SeriesA Units”) commenced on September 29, 1989, and the Partnership commencedtrading with respect to the Series A Units on January 5, 1990.  A second public offering of Series B Units oflimited partnership interest (the “Series B Units”) commenced on December 14,1990.  The Partnership began trading withrespect to the Series B Units on January 28, 1991.  A third public offering of Series C Units oflimited partnership interest (the “Series C Units”) commenced on September 13,1991.  The Partnership began trading withrespect to the Series C Units on January 2, 1992.  The Partnership’s objective is achieving,through speculative trading, substantial capital appreciation over time.

The proceeds of each of the three series of Units wereeach initially allocated equally between the Partnership’s two trading advisors— John W. Henry & Company, Inc. (“JWH”) and Millburn Ridgefield Corporation(“Millburn”) (collectively, the “Advisors”).

Merrill Lynch Alternative Investments LLC (“MLAI”) isan indirect wholly-owned subsidiary of Merrill Lynch & Co., Inc. (“MerrillLynch”), is the general partner of the Partnership.  Merrill Lynch, Pierce, Fenner & SmithIncorporated (“MLPF&S”), a wholly-owned subsidiary of Merrill Lynch, is thePartnership’s commodity broker. As used herein, the capitalized term “MLAI”also refers to the general partner at times when its name was MLIM AlternativeStrategies LLC, as applicable.

The Advisors have been the Partnership’s only tradingadvisors since inception.  Each Advisorwas allocated 50% of the total assets of each Series as of the date such Seriesbegan trading.  Subsequently, theseallocations have varied over time, but currently the allocations are rebalancedto 50%/50% at the start of each quarter. All series have the same percentage allocation of assets between theAdvisors.  As of December 1, 1996, thePartnership placed all of its assets under the management of the Advisorsthrough investing in two private limited liability companies (“Trading LLCs”)sponsored by MLAI, each one of which was traded by one of the Advisors.  Investing assets in the Trading LLCs ratherthan trading directly did not change the operation or fee structure of thePartnership. The administrative authority over the Partnership remains withMLAI. Throughout this document, references to the Partnership refer to thePartnership’s investment in the Trading LLC’s.

As of December 31, 2006, the aggregate capitalizationof the Partnership was $20,078,409 and the total capitalization of the SeriesA, Series B and Series C Units was $5,430,582, $9,327,834 and $5,319,993,respectively, and the Net Asset Value per Series A, Series B and Series CUnits, originally $100 as of January 5, 1990, January 28, 1991 and January 2,1992, respectively, had risen to $351.11 (excluding a $20 per Series A Unit distribution paid as of November 30,1990), $284.89  and $222.10,respectively.

1

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The highest month-end Net Asset Value per Series AUnit through December 31, 2006 was $422.69 (excluding the distributions paid in 1990) (February 29, 2004) and thelowest $100.31 (May 31, 1990); the highest month-end Net Asset Value per SeriesB Unit through December 31, 2006 was $343.47 (February 29, 2004) and the lowest $91.20 (May 31, 1992); the highestmonth-end Net Asset Value per Series C Unit through December 31, 2006 was$267.65  (February 29, 2004) and thelowest $75.87 (May 31, 1992).

(b)                                 FinancialInformation about Segments:

The Partnership’s business constitutes only onesegment for financial reporting purposes, i.e*.,*a speculative “commodity pool”. The Partnership does not engage in sales ofgoods or services.

(c)                                  NarrativeDescription of Business:

***General***

The Partnership trades (through its investments in theTrading LLCs) in the international futures, options on futures and forwardmarkets with the objective of achieving substantial capital appreciation.

The Partnership has entered into advisory agreementswith each Advisor (the “Advisory Agreement”). JWH trades the Partnership’s assets allocated to it in four marketsectors — interest rates, stock indices, currencies and metals — pursuant toits Financial and Metals Program. Millburn trades the Partnership’s assets allocated to it pursuant to itscurrency program, which concentrates exclusively on currency trading, primarilyin the interbank market.

One of the objectives of the Partnership is to providediversification to a limited portion of the risk segment of the LimitedPartners’ portfolios.  Commodity poolperformance has historically often demonstrated a low degree of performancecorrelation with traditional stock and bond holdings.  Since it began trading, the Partnership’sreturns have, in fact, frequently been significantly non-correlated with theUnited States stock and bond markets.

The Partnership accesses the Advisors not by openingindividual managed accounts with them, but rather through investing in privatefunds sponsored by MLAI through which the trading accounts of different MLAIsponsored funds managed by the same Advisor and pursuant to the same strategyare consolidated.

***Use of Proceeds and InterestIncome***

Market Sectors.

Under the direction of the two Advisors, thePartnership trades a portfolio, which is concentrated in the financial,currency and metals markets.  The limitedfocus of the Partnership’s trading increases volatility and market risk.

Market Types.

The Partnership trades on a variety of United Statesand foreign futures exchanges. Substantially all of the Partnership’soff-exchange trading takes place in the highly liquid, institutionally basedcurrency forward markets.

Many of the Partnership’s currency trades are executed in the spot andforward foreign exchange markets (the “FX Markets”) where there are no directexecution costs.  Instead, the participants,banks and dealers, in the FX Markets take a “spread” between the prices atwhich they are prepared to buy and sell a particular currency and such spreadsare built into the pricing of the spot or forward contracts with thePartnership.  In its exchange of futuresfor physical (“EFP”) trading, the Partnership acquires cash currency positionsthrough banks and dealers.  ThePartnership pays a spread when it exchanges these positions for futures.  This spread reflects, in part, the differentsettlement dates of the cash and the futures contracts, as well as prevailinginterest rates, but also includes a pricing spread in favor of the banks anddealers, which may include a Merrill Lynch entity.

2

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As in the case of its market sector allocations, thePartnership’s commitments to different types of markets — U.S. and non-U.S.,regulated and non-regulated — differ substantially from time to time, as wellas over time.  The Partnership has nopolicy restricting its relative commitment to any of these different types ofmarkets.

Custody of Assets.

All of the Partnership’s assets are currently held incustomer accounts at MLPF&S.

Interest paid byMerrill Lynch on the Partnership’s U.S. Dollar and Non U.S. Dollar Assets.

The Partnership’s(through the Trading LLCs) U.S. dollar assets are maintained atMLPF&S.  On assets held in U.S.dollars, Merrill Lynch credits the Partnership with interest at the prevailing91-day U.S. Treasury bill rate.  ThePartnership is credited with interest on any of its net gains actually held byMerrill Lynch in non-U.S. dollar currencies at a prevailing local rate receivedby Merrill Lynch.  Merrill Lynch mayderive certain economic benefit, in excess of the interest which Merrill Lynchpays to the Partnership, from possession of such assets.

MerrillLynch charges the Partnership (through the Trading LLCs) Merrill Lynch’s costof financing realized and unrealized losses on the Partnership’s non-U.S.dollar-denominated positions**.**

***Charges***

Each of the Series of Units is subject to the same charges.  However, these charges are calculatedseparately with respect to each Series, each of which maintains its own NetAsset Value.

During 2006, 2005 and 2004, all of the Partnership’sassets were invested in the two Trading LLCs mentioned above.

The Partnership’saverage month-end Net Assets during 2006, 2005 and 2004 equaled $22,032,107,$23,675,182, and $27,020,332, respectively.

3

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**Description of Current Charges**
| **Recipient** | ** ** | **Nature of Payment**     | ** ** | **Amount of Payment**                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |
|---------------|------------|---------------------------|------------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| MLPF&S    |       | Brokerage Commissions     |       | A flat-rate monthly  commission of 0.708 of 1% of the Partnership’s month-end trading assets (an  8.50% annual rate) of the Partnership’s month-end assets (including the  monthly interest credit and before reduction for accrued month-end  redemptions, distributions, brokerage commissions, administrative fees or  Profit Shares, in each case as of the end of the month of determination).  Such commissions cover Sunrise’s monthly consulting fee as well as all floor  brokerage and exchange, clearing and National Futures Association (“NFA”)  fees incurred in the Partnership’s trading.

MLAI estimates that the round-turn equivalent rates  charged to Millburn during the years ended 2006, 2005 and 2004 were  approximately $523, $230, and $306, respectively. MLAI estimates that the  round-turn equivalent rates charged to JWH during the years ended 2006, 2005  and 2004 were approximately $234, $203, and $221, respectively. |
|          |       |                      |       |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |
| MLPF&S    |       | Use of Partnership assets |       | Merrill Lynch may derive an economic benefit from  the deposit of certain of the Partnership’s U.S. dollar assets.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |
|          |       |                      |       |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |
| MLAI          |       | Administrative Fees       |       | A flat rate monthly charge equal to 0.021 of 1%  (0.25% annually) of the Partnership’s month-end trading assets (including the  monthly interest credit and before reduction for accrued month-end  redemptions, distributions, brokerage commissions, administrative fees or  Profit Shares, in each case as of the end of the month of determination).  MLAI pays all of the Partnership’s routine administrative costs. The  Partnership also pays the actual cost of the State of New Jersey annual  filing fee. This filing fee is assessed on a per partner basis with a maximum  charge of $250,000 per year.                                                                                                                                                                                                                                                                                                                                                              |

** **

4

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** **
| Other  Counterparties |   | Bid–ask spreads   |   | Bid–ask spreads on forward and related trades.                                                                                                                                                                                                                                                                                                                                                               |
|-----------------------|--------|------------------------|--------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|                  |   |                   |   |                                                                                                                                                                                                                                                                                                                                                                                                              |
| Advisors              |   | Profit Shares          |   | Profit shares of 20% of any New Trading Profit,  either as of the end of each calendar quarter or year, achieved by each  Advisor’s trading account, individually, were paid to JWH and Millburn,  respectively. Profit Shares are also paid upon redemption of Units. New  Trading Profit is calculated separately in respect of each Advisor,  irrespective of the overall performance of the Partnership. |
|                  |   |                   |   |                                                                                                                                                                                                                                                                                                                                                                                                              |
| Advisors              |   | Consulting Fees        |   | MLPF&S pays the Advisors annual consulting fees  of 2% of the average month-end assets allocated to them for management.                                                                                                                                                                                                                                                                                      |
|                  |   |                   |   |                                                                                                                                                                                                                                                                                                                                                                                                              |
| MLPF&S;  Others   |   | Extraordinary expenses |   | Actual costs incurred; none paid to date.                                                                                                                                                                                                                                                                                                                                                                         |

 

***Regulation***

MLAI, the Advisorsand MLPF&S are each subject to regulation by the Commodity Futures TradingCommission (the “CFTC”) and the National Futures Association (“NFA”).  Other than in respect of its periodicreporting requirements under the Securities Exchange Act of 1934, thePartnership itself is generally not subject to regulation by the Securities andExchange Commission.  However, MLAIitself is registered as an “investment adviser” under the Investment AdvisersAct of 1940.

(i) through (xii)— not applicable.

(xiii)  The Partnership has no employees.

(d)                                 FinancialInformation about Geographic Areas

The Partnershiptrades on a number of foreign commodity exchanges.  The Partnership does not engage in the salesof goods or services.

**Item1A:  Risk Factors**

## **PastPerformance Not Necessarily Indicative of Future Results**

Pastperformance is not necessarily indicative of future results.  The Advisor’s past performance may be notrepresentative of how it may trade in the future for the Partnership.

## **VolatileMarkets; Highly Leveraged Trading**

Futuresand forward trading is highly leveraged, and market price levels are volatileand materially affected by unpredictable factors such as weather andgovernmental intervention.  Thecombination of leverage and volatility creates a high degree of risk.

## **Importanceof General Market Conditions**

Overallmarket or economic conditions — which neither MLAI nor the Advisor can predictor control — have a material effect on the performance of any managed futuresstrategy.

5

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## **ForwardTrading**

ThePartnership will trade currencies in the forward in addition to in the futuresmarkets.  The forward markets areover-the-counter, not exchange, markets, and in trading in these markets, thePartnership will be dependent on the credit standing of the counterparties withwhich they trade, without the financial support of any clearinghouse system.  In addition, the prices offered for the sameforward contract may vary significantly among different forward marketparticipants.  Forward marketcounterparties are under no obligation to enter into forward transactions witha Partnership, including transactions through which the Partnership isattempting to liquidate open positions.

## **IlliquidMarkets**

Certainpositions held by the Partnership may become illiquid, preventing the Advisorfrom acquiring positions otherwise indicated by its strategy or making itimpossible for the Advisor to close out positions against which the market ismoving.

Certainfutures markets are subject to “daily price limits,” restricting the maximumamount by which the price of a particular contract can change during any giventrading day.  Once a contract’s price hasmoved “the limit,” it may be impossible or economically non-viable to executetrades in such contract.  From time totime, prices have moved “the limit” for a number of consecutive days,making it impossible for traders against whose positions the market was movingto prevent large losses.

## **Tradingon Non-U.S. Exchanges**

TheAdvisor may trade extensively on non-U.S. exchanges.  These exchanges are not regulated by anyUnited States governmental agency.  ThePartnership could incur substantial losses trading on foreign exchanges towhich it would not have been subject had the Advisor limited its trading toU.S. markets.

Theprofits and losses derived from trading foreign futures and options willgenerally be denominated in foreign currencies; consequently, the Partnershipwill be subject to a certain degree of exchange-rate risk in trading suchcontracts.

## **Risksof Electronic Trading and Order Routing Systems**

AnAdvisor may from time to time trade on electronic trading and order routingsystems, which differ from traditional open outcry pit trading and manual orderrouting methods.  Transactions using anelectronic system are subject to the rules and regulations of the exchangesoffering the system or listing the contract. Characteristics of electronic trading and order routing systems varywidely among the different electronic systems with respect to order matchingprocedures, opening and closing procedures and prices, error trade policies andtrading limitations or requirements.  Thereare also differences regarding qualifications for access and grounds fortermination and limitations on the types of orders that may be entered into thesystem.  Each of these matters maypresent different risk factors with respect to trading on or using a particularsystem.  Each system may also presentrisks related to system access, varying response times and security.  In the case of Internet-based systems, theremay be additional risks related to service providers and the receipt andmonitoring of electronic mail.

Tradingthrough an electronic trading or order routing system also entails risksassociated with system or component failure. In the event of system or component failure, it is possible that for acertain time period, it might not be possible to enter new orders, executeexisting orders or modify or cancel orders that were previously entered.  System or component failure may also resultin loss of orders or order priority. Some contracts offered on an electronic trading system may be tradedelectronically and through open outcry during the same trading hours.  Exchanges offering an electronic trading ororder routing system and listing the contract may have adopted rules to limittheir liability, the liability of futures brokers and software andcommunication system vendors and the amount that may be collected for systemfailures and delays.  These limitation ofliability provisions vary among the exchanges.

6

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**ThePartnership Could Lose Assets and Have Its Trading Disrupted Due to the Bankruptcyof One of the Parties**

ThePartnership is subject to the risk of insolvency of a counterparty, anexchange, a clearinghouse or MLPF&S.  The Partnership’s assets couldbe lost or impounded during lengthy bankruptcy proceedings.  Were asubstantial portion of the Partnership’s capital tied up in a bankruptcy, MLAImight suspend or limit trading, perhaps causing the Fund to miss significantprofit opportunities.  There areincreased risks in dealing with unregulated tradingcounterparties including the risk that assets may not benefitfrom the protection afforded to “customer funds” deposited with regulateddealers and brokers.

**Item 2:****          Properties**

The Partnershipdoes not use any physical properties in the conduct of its business.

The Partnership’soffices are the offices of MLAI (Merrill Lynch Alternative Investments LLC,Princeton Corporate Campus, 800 Scudders Mill Road - Section 2G, Plainsboro,New Jersey 08536). MLAI performs administrative services for the Partnershipfrom MLAI’s offices.

**Item 3:****          Legal Proceedings**

There have been noadministrative, civil or criminal actions, whether pending or concluded,against MLAI or Merrill Lynch or any of its individual principals during thepast five years which would be considered “material” as that term is defined inSection 4.24(l)(2) of the Regulations of the CFTC, except as described below.

On May 21, 2002,MLPF&S, with no admission of wrongdoing or liability, agreed to pay $48million to the State of New York, $50 million to the remaining states,Washington, D.C. & Puerto Rico and $2 million to NASAA relating to aninvestigation conducted by the New York Attorney General concerning researchpractices.

On March 19, 2003,Merrill Lynch & Co., Inc., the parent company and an approved person ofMLPF&S, consented to an injunctive action instituted by the Securities andExchange Commission (the “SEC”).  In itscomplaint, the SEC alleged that three years ago, in 1999, Merrill Lynch aidedand abetted Enron Corp.’s (“Enron”) violations of Sections 10(b), 13(a),13(b)(2) and 13(b)(5) of the Exchange Act and Rules 10b-5, 12b-20, 13a-1, 13a-3and 13b2-1 thereunder, as a result of Merrill Lynch engaging in certainyear-end transactions designed and proposed by Enron.  Without admitting or denying the allegations,Merrill Lynch consented to the entry of an injunction enjoining it fromviolating the above-referenced provisions, and agreed to pay disgorgement,penalties and interest in the amount of $80 million.  In its release announcing the settlement, theCommission acknowledged that in agreeing to resolve this matter on the termsdescribed above, the Commission took into account certain affirmative conductby Merrill Lynch.

In April 2003, MLPF&Sentered into a settlement with the SEC, the National Association of SecuritiesDealers (the “NASD”) and the New York Stock Exchange (the “NYSE”) as part of ajoint settlement with the SEC, the NASD and the NYSE arising from a jointinvestigation by the SEC, the NASD and the NYSE into research analystsconflicts of interests.  Pursuant to theterms of the settlement with the SEC, NASD and NYSE, MLPF&S, withoutadmitting or denying the allegations, consented to a censure.  In addition, MLPF&S agreed to a paymentof (I) $100 million, which was offset in its entirety by the amount already paidby MLPF&S in the related proceeding with the State of New York and theother states (II) $75 million to fund the provision of independent research toinvestors; and (III) $25 million to promote investor education.  The payments for the provision of independentresearch to investors and to promote investor education are required to be madeover the course of the next five years. MLPF&S also agreed to comply with certain undertakings.

In March 2006, MLPF&Sentered into a settlement with the SEC arising from an investigation related toMLPF&S’ retention and production of e-mail. The SEC found that MLPF&S willfully violated Section 17(a) of theExchange Act, and Rules 17a-4(b)(4) and 17a-4(j) thereunder.  Without admitting or denying the allegations,Merrill Lynch consented to the entry of an injunction enjoining it fromviolating the above-referenced provisions, entered into an undertakingregarding its policies and procedures and agreed to pay a civil penalty$2,500,000.

7

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**Item 4:****          Submission of Mattersto a Vote of Security Holders**

None.

**PART II**

**Item 5:****          Market for Registrant’sCommon Equity, Related Stockholder Matters and Issuer Purchases of EquitySecurities**

Item 5(a)

(a)                                  MarketInformation:

There is noestablished public trading market for the Units, and none is likely todevelop.  Limited Partners may redeemUnits as of the end of each month at their Net Asset Value.

(b)                                 Holders:

As of December 31,2006, there were 150, 433 and 218 holders of the Series A, B and C Units,respectively, including MLAI.

(c)                                  Dividends:

The Partnershiphas made only one distribution ($20 per Series A Unit payable as of November30, 1990) since trading commenced. MLAI does not presently intend to make anyfurther distributions.

(d)                                 SecuritiesAuthorized for Issuance under Equity Compensation Plans:

Not applicable.

(e)                                  RecentSales of Unregistered Securities; Uses of Proceeds From Registered Securities:

Not applicable.

Item 5(b)

Not applicable.

Item 5(c)

Not applicable

8

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**Item 6:   Selected Financial Data**

The followingselected financial data has been derived from the audited financial statementsof the Partnership.
|                                     | ** ** | ** ** | ** ** | **For the Years Ended December 31,** | ** ** |
|-------------------------------------|------------|------------|------------|--------------------------------------|------------|
| ** **                          | ** ** | ** ** | ** ** | ** **                           | ** ** |
| **Income Statement Data** | ** ** | **2006**   | ** ** | **2005**                             | ** ** | **2004** | ** ** | **2003** | ** ** | **2002** | ** ** |
|                                |       |       |       |                                 |       |   |   |   |   |   |   |
| Revenues:                           |       |       |       |                                 |       |   |   |   |   |   |   |
|                                |       |       |       |                                 |       |   |   |   |   |   |   |
| Trading Profit  (Loss)              |       |       |       |                                 |       |   |   |   |   |   |   |
| Realized                            |       | $          | 586,600    |                                 | $          | 496,604 |   | $ | 1,696,804 |   | $ | 7,494,259 |   | $ | 10,429,479 |   |
| Change in Unrealized                |       | 227,608    |       | (1,111,030                           | )          | (281,869 | ) | (624,127 | ) | 1,084,889 |   |
| Total Trading profit (loss)         |       | 814,208    |       | (614,426                             | )          | 1,414,935 |   | $ | 6,870,132 |   | 11,514,368 |   |
| Investment  Income:                 |       |       |       |                                 |       |   |   |   |   |   |   |
| Interest                            |       | 1,066,585  |       | 738,940                              |       | 367,819 |   | 339,103 |   | 452,175 |   |
|                                |       |       |       |                                 |       |   |   |   |   |   |   |
| Expenses:                           |       |       |       |                                 |       |   |   |   |   |   |   |
| Brokerage Commissions               |       | 1,905,622  |       | 2,019,957                            |       | 2,309,432 |   | 2,823,906 |   | 2,442,927 |   |
| Administrative and Filing fees      |       | 191,046    |       | —                               |       | 537,182 |   | 710,980 |   | 1,149,373 |   |
| Profit Shares                       |       | 148,563    |       | 206,410                              |       | 131,611 |   | 101,873 |   | 71,850 |   |
| Total Expenses                      |       | 2,245,231  |       | 2,226,367                            |       | 2,978,225 |   | 3,636,759 |   | 3,664,150 |   |
|                                |       |       |       |                                 |       |   |   |   |   |   |   |
| Net Investments  Loss               |       | (1,178,646 | )          | (1,487,427                           | )          | (2,610,406 | ) | (3,297,656 | ) | (3,211,975 | ) |
| Net Income (Loss)                   |       | $          | (364,438   | )                                    | $          | (2,101,853 | ) | $ | (1,195,471 | ) | $ | 3,572,476 |   | $ | 8,302,393 |   |

 
|                                    | ** ** | **December 31,** | ** ** | **December 31,** | ** ** | **December 31,** | ** ** | **December 31,** | ** ** | **December 31,** | ** ** |
|------------------------------------|------------|-----------------------|------------|-----------------------|------------|-----------------------|------------|-----------------------|------------|-----------------------|------------|
| **Balance Sheet Data**   | ** ** | **2006**              | ** ** | **2005**              | ** ** | **2004**              | ** ** | **2003**              | ** ** | **2002**              | ** ** |
|                               |       |                  |       |                  |       |                  |       |                  |       |                  |       |
| Partnership Net  Asset Value       |       | $                     | 20,078,409 |                  | $          | 22,731,551            |       | $                     | 27,635,033 |                  | $          | 31,976,838 |   | $ | 30,928,775 |   |
| Net Asset Value  per Series A Unit |       | $                     | 351.11     |                  | $          | 357.74                |       | $                     | 386.22     |                  | $          | 400.38 |   | $ | 358.55 |   |
| Net Asset Value  per Series B Unit |       | $                     | 284.89     |                  | $          | 290.32                |       | $                     | 313.44     |                  | $          | 325.34 |   | $ | 291.34 |   |
| Net Asset Value per  Series C Unit |       | $                     | 222.10     |                  | $          | 226.29                |       | $                     | 244.32     |                  | $          | 253.53 |   | $ | 227.02 |   |

 

All income is frominvesting in the Trading LLCs.

9

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The followingselected month-end net asset value per unit has been derived from financial andaccounting data of the Partnership.

MONTH-END NET ASSET VALUE PER SERIES A UNIT
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **June** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** | **Oct.** | ** ** | **Nov.** | ** ** | **Dec.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|----------|------------|----------|------------|----------|------------|
| 2002       |       | $        | 269.22     |     | $          | 255.81   |       | $        | 242.23     |    | $          | 237.12   |       | $        | 258.85     |     | $          | 317.98    |       | $        | 345.63     |     | $          | 355.58   |       | $ | 378.00 |   | $ | 350.39 |   | $ | 333.11 |   | $ | 358.55 |   |
| 2003       |       | $        | 383.74     |     | $          | 393.54   |       | $        | 371.52     |    | $          | 376.91   |       | $        | 415.46     |     | $          | 402.31    |       | $        | 397.73     |     | $          | 406.17   |       | $ | 398.56 |   | $ | 388.98 |   | $ | 379.17 |   | $ | 400.38 |   |
| 2004       |       | $        | 405.87     |     | $          | 422.69   |       | $        | 405.35     |    | $          | 363.10   |       | $        | 342.77     |     | $          | 328.18    |       | $        | 298.88     |     | $          | 303.02   |       | $ | 300.68 |   | $ | 329.80 |   | $ | 379.21 |   | $ | 386.22 |   |
| 2005       |       | $        | 358.46     |     | $          | 348.10   |       | $        | 331.64     |    | $          | 320.87   |       | $        | 337.99     |     | $          | 363.01    |       | $        | 356.04     |     | $          | 329.68   |       | $ | 337.66 |   | $ | 340.34 |   | $ | 366.89 |   | $ | 357.74 |   |
| 2006       |       | $        | 362.06     |     | $          | 345.38   |       | $        | 366.89     |    | $          | 397.66   |       | $        | 389.16     |     | $          | 360.54    |       | $        | 348.49     |     | $          | 364.77   |       | $ | 354.81 |   | $ | 344.85 |   | $ | 357.26 |   | $ | 351.11 |   |

 

MONTH-ENDNET ASSET VALUE PER SERIES B UNIT

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **June** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** | **Oct.** | ** ** | **Nov.** | ** ** | **Dec.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|----------|------------|----------|------------|----------|------------|
| 2002       |       | $        | 218.75     |     | $          | 207.86   |       | $        | 196.82     |    | $          | 192.67   |       | $        | 210.33     |     | $          | 258.37    |       | $        | 280.70     |     | $          | 288.92   |       | $ | 307.14 |   | $ | 284.70 |   | $ | 270.66 |   | $ | 291.34 |   |
| 2003       |       | $        | 311.82     |     | $          | 319.78   |       | $        | 301.90     |    | $          | 306.27   |       | $        | 337.59     |     | $          | 326.91    |       | $        | 323.18     |     | $          | 330.04   |       | $ | 323.86 |   | $ | 316.08 |   | $ | 308.10 |   | $ | 325.34 |   |
| 2004       |       | $        | 329.80     |     | $          | 343.47   |       | $        | 329.38     |    | $          | 294.84   |       | $        | 278.12     |     | $          | 266.28    |       | $        | 242.50     |     | $          | 245.86   |       | $ | 243.96 |   | $ | 267.60 |   | $ | 307.75 |   | $ | 313.44 |   |
| 2005       |       | $        | 290.90     |     | $          | 282.50   |       | $        | 269.14     |    | $          | 260.40   |       | $        | 274.30     |     | $          | 294.60    |       | $        | 288.94     |     | $          | 267.55   |       | $ | 274.03 |   | $ | 276.20 |   | $ | 297.75 |   | $ | 290.32 |   |
| 2006       |       | $        | 293.78     |     | $          | 280.25   |       | $        | 297.70     |    | $          | 322.67   |       | $        | 315.77     |     | $          | 292.55    |       | $        | 282.81     |     | $          | 296.02   |       | $ | 287.94 |   | $ | 279.85 |   | $ | 289.88 |   | $ | 284.89 |   |

 

MONTH-END NET ASSET VALUE PER SERIES C UNIT
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **June** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** | **Oct.** | ** ** | **Nov.** | ** ** | **Dec.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|----------|------------|----------|------------|----------|------------|
| 2002       |       | $        | 170.48     |     | $          | 161.99   |       | $        | 153.39     |    | $          | 150.15   |       | $        | 163.92     |     | $          | 201.36    |       | $        | 218.76     |     | $          | 225.14   |       | $ | 239.33 |   | $ | 221.85 |   | $ | 210.91 |   | $ | 227.02 |   |
| 2003       |       | $        | 242.97     |     | $          | 249.18   |       | $        | 235.24     |    | $          | 238.65   |       | $        | 263.07     |     | $          | 245.75    |       | $        | 251.85     |     | $          | 257.19   |       | $ | 252.38 |   | $ | 246.31 |   | $ | 240.10 |   | $ | 253.53 |   |
| 2004       |       | $        | 257.00     |     | $          | 267.65   |       | $        | 256.68     |    | $          | 229.80   |       | $        | 216.82     |     | $          | 207.59    |       | $        | 189.06     |     | $          | 191.68   |       | $ | 190.19 |   | $ | 208.62 |   | $ | 239.88 |   | $ | 244.32 |   |
| 2005       |       | $        | 226.75     |     | $          | 220.20   |       | $        | 209.79     |    | $          | 202.98   |       | $        | 213.81     |     | $          | 229.63    |       | $        | 225.22     |     | $          | 208.55   |       | $ | 213.60 |   | $ | 215.29 |   | $ | 232.08 |   | $ | 226.29 |   |
| 2006       |       | $        | 229.00     |     | $          | 218.45   |       | $        | 232.05     |    | $          | 251.52   |       | $        | 246.14     |     | $          | 228.04    |       | $        | 220.44     |     | $          | 230.74   |       | $ | 224.44 |   | $ | 218.14 |   | $ | 225.99 |   | $ | 222.10 |   |

 

Pursuant to CFTCpolicy, monthly performance is presented from January 1, 2002 even though allSeries were outstanding prior to such date.

10

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

**(SERIES AUNITS)**

**December 31, 2006**

*Type ofPool:* Selected-Advisor/Publicly-Offered/Non-”Principal Protected”(1)

*Inceptionof Trading:*  January 5,1990

*AggregateSubscriptions:*   $18,182,000

*CurrentCapitalization: * $5,430,582

*WorstMonthly Drawdown**(2):(10.42)*%(04/04)

*Worst Peak-to-Valley Drawdown**(3):*(29.29)%(3/04-7/04)

*Net Asset Value per Series AUnit, December 31, 2006:*  $351.11

**MonthlyRates of Return(4)**
| Month                           | ** ** | **2006** | ** ** | **2005** | ** ** | **2004** | ** ** | **2003** | ** ** | **2002** | ** ** |
|---------------------------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|
| January                         |       | 1.21     | %          | (7.19    | )%         | 1.37     | %          | 7.03     | %          | 0.52     | %          |
| February                        |       | (4.61    | )          | (2.89    | )          | 4.14     |       | 2.55     |       | (4.98    | )          |
| March                           |       | 6.23     |       | (4.73    | )          | (4.10    | )          | (5.59    | )          | (5.31    | )          |
| April                           |       | 8.39     |       | (3.25    | )          | (10.42   | )          | 1.45     |       | (2.11    | )          |
| May                             |       | (2.14    | )          | 5.34     |       | (5.60    | )          | 10.23    |       | 9.17     |       |
| June                            |       | (7.35    | )          | 7.40     |       | (4.26    | )          | (3.16    | )          | 22.84    |       |
| July                            |       | (3.34    | )          | (1.92    | )          | (8.93    | )          | (1.14    | )          | 8.70     |       |
| August                          |       | 4.67     |       | (7.40    | )          | 1.39     |       | 2.12     |       | 2.88     |       |
| September                       |       | (2.73    | )          | 2.42     |       | (0.77    | )          | (1.87    | )          | 6.31     |       |
| October                         |       | (2.81    | )          | 0.79     |       | 9.69     |       | (2.40    | )          | (7.30    | )          |
| November                        |       | 3.60     |       | 7.80     |       | 14.98    |       | (2.52    | )          | (4.93    | )          |
| December                        |       | (1.72    | )          | (2.50    | )          | 1.85     |       | 5.59     |       | 7.64     |       |
| Compound Annual Rate of  Return |       | (1.85    | )%         | (7.38    | )%         | (3.53    | )%         | 11.67    | %          | 33.90    | %          |

 

(1)  Pursuant to applicable CFTC regulations, a “Multi-Advisor”fund is defined as one that allocates no more than 25% of its trading assets toany single manager.  As the Partnershipallocates approximately 50% of its assets to each of JWH and Millburn, it isreferred to as a “Selected-Advisor” fund. Certain funds, including funds sponsored by MLAI, are structured so asto guarantee to investors that their investment will be worth no less than aspecified amount (typically, the initial purchase price) as of a date certainafter the date of investment.  The CFTCrefers to such funds as “principal protected”. The Partnership has no suchfeature.

(2) Worst MonthlyDrawdown represents the largest negative Monthly Rate of Return experiencedsince January 1, 2002 by the Series; a Drawdown is measured on the basisof month-end Net Asset Value only, and does not reflect intra-month figures.

(3) WorstPeak-to-Valley Drawdown represents the greatest percentage decline sinceJanuary 1, 2002 from a month-end cumulative Monthly Rate of Return without suchcumulative Monthly Rate of Return being equaled or exceeded as of a subsequentmonth-end.  For example, if the MonthlyRate of Return was (1)% in each of January and February, 1% in March and (2)%in April, the Peak-to-Valley Drawdown would still be continuing at the end ofApril in the amount of approximately (3)%, whereas if the Monthly Rate ofReturn had been approximately 3% in March, the Peak-to-Valley Drawdown wouldhave ended as of the end of February at approximately the (2)% level.

(4)  Monthly Rate of Return is the net performanceof the Series during the month of determination (including interest income andafter all expenses have been accrued or paid) divided by the total equity ofthe Series as of the beginning of such month.

11

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

**(SERIES BUNITS)**

**December31, 2006**

*Type ofPool:* Selected-Advisor/Publicly-Offered/Non-”Principal Protected”(1)

*Inceptionof Trading:*  January28, 1991

*AggregateSubscriptions:*   $50,636,060

*CurrentCapitalization: * $9,327,834

*WorstMonthly Drawdown**(2):(10.49)*% (04/04)

*WorstPeak-to-Valley Drawdown**(3):*(29.29)% (3/04-7/04)

*Net AssetValue per Series B Unit, December 31, 2006:*   $284.89

**MonthlyRates of Return(4)**

| Month                           | ** ** | **2006** | ** ** | **2005** | ** ** | **2004** | ** ** | **2003** | ** ** | **2002** | ** ** |
|---------------------------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|
| January                         |       | 1.19     | %          | (7.19    | )%         | 1.37     | %          | 7.03     | %          | 0.52     | %          |
| February                        |       | (4.61    | )          | (2.89    | )          | 4.14     |       | 2.55     |       | (4.98    | )          |
| March                           |       | 6.23     |       | (4.73    | )          | (4.10    | )          | (5.59    | )          | (5.31    | )          |
| April                           |       | 8.39     |       | (3.25    | )          | (10.49   | )          | 1.45     |       | (2.11    | )          |
| May                             |       | (2.14    | )          | 5.34     |       | (5.67    | )          | 10.22    |       | 9.17     |       |
| June                            |       | (7.35    | )          | 7.40     |       | (4.26    | )          | (3.16    | )          | 22.84    |       |
| July                            |       | (3.33    | )          | (1.92    | )          | (8.93    | )          | (1.14    | )          | 8.64     |       |
| August                          |       | 4.67     |       | (7.40    | )          | 1.39     |       | 2.12     |       | 2.92     |       |
| September                       |       | (2.73    | )          | 2.42     |       | (0.77    | )          | (1.87    | )          | 6.30     |       |
| October                         |       | (2.81    | )          | 0.79     |       | 9.69     |       | (2.40    | )          | (7.30    | )          |
| November                        |       | 3.58     |       | 7.80     |       | 15.00    |       | (2.52    | )          | (4.93    | )          |
| December                        |       | (1.72    | )          | (2.50    | )          | 1.85     |       | 5.59     |       | 7.64     |       |
| Compound Annual Rate of  Return |       | (1.87    | )%         | (7.38    | )%         | (3.66    | )%         | 11.67    | %          | 33.88    | %          |

 

(1)  Pursuant to applicable CFTC regulations, a “Multi-Advisor”fund is defined as one that allocates no more than 25% of its trading assets toany single manager.  As the Partnershipallocates approximately 50% of its assets to each of JWH and Millburn, it isreferred to as a “Selected-Advisor” fund. Certain funds, including funds sponsored by MLAI, are structured so asto guarantee to investors that their investment will be worth no less than aspecified amount (typically, the initial purchase price) as of a date certainafter the date of investment.  The CFTCrefers to such funds as “principal protected”. The Partnership has no suchfeature.

(2) Worst MonthlyDrawdown represents the largest negative Monthly Rate of Return experiencedsince January 1, 2002 by the Series; a Drawdown is measured on the basisof month-end Net Asset Value only, and does not reflect intra-month figures.

(3) WorstPeak-to-Valley Drawdown represents the greatest percentage decline sinceJanuary 1, 2002 from a month-end cumulative Monthly Rate of Return without suchcumulative Monthly Rate of Return being equaled or exceeded as of a subsequentmonth-end.  For example, if the MonthlyRate of Return was (1)% in each of January and February, 1% in March and (2)%in April, the Peak-to-Valley Drawdown would still be continuing at the end ofApril in the amount of approximately (3)%, whereas if the Monthly Rate ofReturn had been approximately 3% in March, the Peak-to-Valley Drawdown wouldhave ended as of the end of February at approximately the (2)% level.

(4)  Monthly Rate of Return is the net performanceof the Series during the month of determination (including interest income andafter all expenses have been accrued or paid) divided by the total equity ofthe Series as of the beginning of such month.

12

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

**(SERIES CUNITS)**

**December31, 2006**

*Type ofPool:* Selected-Advisor/Publicly-Offered/Non-”PrincipalProtected”(1)

*Inceptionof Trading:*  January 2,1992

*AggregateSubscriptions:*   $40,000,000

*CurrentCapitalization: * $5,319,993

*WorstMonthly Drawdown**(2):(10.47)*% (04/04)

*Worst Peak-to-ValleyDrawdown**(3):*(29.36)% (3/04-7/04)

*Net AssetValue per Series C Unit, December 31, 2006:*   $222.10 

**MonthlyRates of Return(4)**
| Month                           | ** ** | **2006** | ** ** | **2005** | ** ** | **2004** | ** ** | **2003** | ** ** | **2002** | ** ** |
|---------------------------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|
| January                         |       | 1.20     | %          | (7.19    | )%         | 1.37     | %          | 7.03     | %          | 0.52     | %          |
| February                        |       | (4.61    | )          | (2.89    | )          | 4.14     |       | 2.55     |       | (4.98    | )          |
| March                           |       | 6.23     |       | (4.73    | )          | (4.10    | )          | (5.59    | )          | (5.31    | )          |
| April                           |       | 8.39     |       | (3.25    | )          | (10.47   | )          | 1.45     |       | (2.11    | )          |
| May                             |       | (2.14    | )          | 5.34     |       | (5.65    | )          | 10.24    |       | 9.17     |       |
| June                            |       | (7.35    | )          | 7.40     |       | (4.26    | )          | (3.16    | )          | 22.84    |       |
| July                            |       | (3.33    | )          | (1.92    | )          | (8.93    | )          | (1.14    | )          | 8.64     |       |
| August                          |       | 4.67     |       | (7.40    | )          | 1.39     |       | 2.12     |       | 2.92     |       |
| September                       |       | (2.73    | )          | 2.42     |       | (0.77    | )          | (1.87    | )          | 6.30     |       |
| October                         |       | (2.81    | )          | 0.79     |       | 9.69     |       | (2.40    | )          | (7.30    | )          |
| November                        |       | 3.60     |       | 7.80     |       | 14.99    |       | (2.52    | )          | (4.93    | )          |
| December                        |       | (1.72    | )          | (2.50    | )          | 1.85     |       | 5.59     |       | 7.64     |       |
| Compound Annual Rate of  Return |       | (1.85    | )%         | (7.38    | )%         | (3.63    | )%         | 11.68    | %          | 33.86    | %          |

 

(1) Pursuant to applicable CFTC regulations, a “Multi-Advisor” fund isdefined as one that allocates no more than 25% of its trading assets to anysingle manager.  As the Partnershipallocates approximately 50% of its assets to each of JWH and Millburn, it isreferred to as a “Selected-Advisor” fund. Certain funds, including funds sponsored by MLAI, are structured so asto guarantee to investors that their investment will be worth no less than aspecified amount (typically, the initial purchase price) as of a date certainafter the date of investment.  The CFTCrefers to such funds as “principal protected”. The Partnership has no suchfeature.

(2) Worst MonthlyDrawdown represents the largest negative Monthly Rate of Return experiencedsince January 1, 2002 by the Series; a drawdown is measured on the basisof month-end Net Asset Value only, and does not reflect intra-month figures.

(3) WorstPeak-to-Valley Drawdown represents the greatest percentage decline sinceJanuary 1, 2002 from a month-end cumulative Monthly Rate of Return withoutsuch cumulative Monthly Rate of Return being equaled or exceeded as of asubsequent month-end.  For example, ifthe Monthly Rate of Return was (1)% in each of January and February, 1% inMarch and (2)% in April, the Peak-to-Valley Drawdown would still be continuingat the end of April in the amount of approximately (3)%, whereas if the MonthlyRate of Return had been approximately 3% in March, the Peak-to-Valley Drawdown wouldhave ended as of the end of February at approximately the (2)% level.

(4)  Monthly Rate of Return is the net performanceof the Series during the month of determination (including interest income andafter all expenses have been accrued or paid) divided by the total equity ofthe Series as of the beginning of such month.

13

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**Item 7:   Management’s Discussion and Analysis ofFinancial Condition and Results of Operations**

#### Results ofOperations

### General

JWHand Millburn have been the Partnership’s two Advisors since inception.  Although from time to time one of theAdvisors is allocated a greater percentage of the Partnership’s assets than theother as a result of differential performance, MLAI periodically rebalances thePartnership’s asset allocation to approximately 50%/50% generally on aquarterly basis.

TheAdvisors are both trend-following traders, whose programs do not attempt topredict price move­ments. Neither JWH nor Millburn has generally relied onusing fundamental economic supply or demand analyses, macroeconomic assessmentsof the relative strengths of different national economies or economicsectors.  Instead, their programs applyproprietary computer models to analyzing past market data, and from this dataattempt to determine whether market prices are trending.  As technical traders, JWH and Millburn basetheir strategies on the theory that market prices reflect the collectivejudgment of numerous market participants and are, accordingly, an efficientindication of market movements.  However,there are frequent periods during which fundamental factors external to the marketdominate prices.

Ifan Advisor’s models identify a trend, they signal positions, which followit.  When these models identify the trendas having ended or reversed, these positions are either closed out orreversed.  Due to their trend-followingcharacter, the Advisors’ programs do not predict either the commencement or theend of a price movement. Rather, their objective is to identify a trend earlyenough to profit from it and detect its end or reversal in time to close outthe Partnership’s positions while retaining most of the profits made fromfollowing the trend.

Thereare many influences on the markets that the same general type of economic eventmay lead to a price trend in some cases but not in others.  The analysis is further complicated by thefact that the programs are designed to recognize only certain types of trendsand to apply only certain criteria of when a trend has begun.  Consequently, even though significant pricetrends may occur, if these trends are not comprised of the type of intra-periodprice movements, which their programs are, designed to identify, either or bothAdvisors may miss the trend altogether.

PerformanceSummary

Thisperformance summary is an outline description of how the Partnership performedin the past, not necessarily any indication of how it will perform in thefuture.  In addition, the general causesto which certain price movements are attributed may or may not in fact havecaused such movements, but simply occurred at or about the same time.

BothAdvisors are unlikely to be profitable in markets in which such trends do notoccur.  Static or erratic prices arelikely to result in losses.  Similarly,unexpected events (for example, a political upheaval, natural disaster orgovernmental intervention) can lead to major short-term losses, as well asgains.

Whilethere can be no assurance that either Advisor will be profitable, under anygiven market condition, markets in which substantial and sustained pricemovements occur typically offer the best profit potential for the Partnership.

***2006***

The Partnership’soverall trading was profitable for the year. The Partnership experienced gainsin the metals and stock indices sectors with losses being posted in interestrates and currency sectors.

Themetals sector was the most profitable for the Partnership. Gains were postedbeginning of the year as the 

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Partnership waswell positioned to capture the sector’s sustained upward trend. Preciousmetals, gold and silver bolstered the Partnership’s returns as investors soughtthe safety of these markets when tensions in Iran increased over its nuclearprogram. Long positions in the base metals copper, zinc and aluminum added toprofitability. Returns were buoyed mid-year by the gold, copper and aluminummarkets that were driven by global construction, as demand, particularly inChina as well as certain mining and supply disruptions. Gold moved higher asinvestors flocked to its safety in light of increased U.S. inflation andconflict in Iran over its nuclear capabilities. Nickel trended higher on supply concerns after global inventoriestumbled to the lowest in 15 years and a strike halted output at a mine ineastern Canada. However, nickel futures posted gains up to 6.72% towards theend of year on speculation that supply will remain tight after two miningprojects were delayed. Additionally, stockpiles of nickel plunged 81% in 2006to less than two days of global usage. Short positions in copper and longpositions in aluminum mitigated a portion of the losses as the year ended.  Copper declined -10.01% and almost 41% forthe year as inventories of the metal used in wires and pipes grew indicatingweakening demand.

Stockindices posted the second highest profits for the Partnership.  The markets were very choppy and exposureschanged continuously. The year began as the Partnership held long positions inall 15 traded markets which benefited from the strong worldwide equity markets.The Nikkei 225 (up 3.3%) was the most profitable stock index trade as it roseto a 5 1⁄2 year high after sustaining high intra-month volatility. Successfultrading in the major U.S. indices contributed positively as well as the S&P500 and Dow Jones Industrial Average at five year highs and the Russell 2000 atall-time highs. Several markets in Asia such as Taiwan’s Taiex and Hong Kong’sHan Seng Index recorded gains mid-year only to be offset with negativeperformance attributed to poor trading in the Dow Jones EuroStoxx Index asstock indices fell on fears that liquidity will be pulled from the global economyas American, European, Japanese and Emerging Market Central Banks all appearedpoised to hike rates further. The NASDAQ was down on concerns over fighting inthe Middle East, the growing options back dating scandal and some earningdisappointments. U.S. stocks rallied to a four month high after the governmentsaid employers added more jobs and wage increases slowed, easing concern thathigher interest rates would lead to an economic slump. Globally, stock indiceswere aided by decreasing energy prices as crude oil fell over-10% and signs ofslowing inflation.  The Hang Seng hit anall-time high after the U.S. Federal Reserve left interest rates unchangedtowards the end of the year.  Strongcorporate earnings helped push the stock indices sector higher resulting in theDow Jones Industrial Average closing at an all time high. The best performersas the year ended were Hong Kong’s Hang Seng Index, the OMX Stock Index andFrances’s CAC40 with equities  aided by adecrease in energy prices as well as continued strong economic data.

Theinterest rate sector posted losses for the Partnership. The beginning of theyear was difficult due to losses made in long positions in U.S. ten-year notesin the Japanese, German and U.S. markets. Short positions in the U.S. Treasurytwo-year and ten-year notes contributed with modest profits as traders steppedup bets that the U.S. Federal Reserve will raise interest rates at least twomore times by June. The majority of the gains were made through short positionsin the U.S. and German Bonds across the yield curve. Yields on the U.S.Treasury ten year note rose to the highest level since May 2004 after the U.S.Federal Reserve lifted its target rate for the 15th consecutive time and hinted there may be more.The top performers were the German ten-year note, U.K. long gilt and the U.S.30-year Treasury Bond as all three markets fell for the fourth consecutivemonth. Signs of growth and indications that the central banks in all threemarkets will raise rates spurred yields higher and prices lower. Difficulttrading due to short positions in all 18 instruments traded, especially in theGerman and Japanese ten-year notes. Broad bond markets reversed their six monthdownward trend in anticipation of a pause in rate hikes from the U.S. FederalReserve Board.  Global bond marketscontinued their strengthening trend as investors in the Japan, Europe and theU.S. rates pushed bond prices higher on optimism that the world-wide campaignof central banks to raise interest rates would contain inflation. European andJapanese government bonds fell on speculation the European Central Bank wouldkeep raising interest rates in 2007 to combat inflation. The year ended as U.S.Treasuries advanced on concern of a standstill between the White House andCongress as Democrats gained control of both the Senate and House ofRepresentatives.

Thecurrency sector also posted losses for the Partnership. Short positions in theJapanese yen was the worst performance position beginning of the year after theBank of Japan, Governor Toshihiko Fukui stated that a seven-year bout ofdeflation has almost ended and the central bank will gradually raise interestrates from zero percent, resulting in the Japanese yen rising over 2.50%.Traders drove the Canadian dollar lower on concerns that Canada’s interest ratedisadvantage with U.S. will widen. In Mexico, the Bank of Mexico cut rates,further weakening the currency versus the U.S. dollar. The general trend in themarket was the weakening U.S. dollar on concerns over inflation and the currentaccount deficit. Profits were posted in long positions in the Euro versus theU.S. dollar and the British pound versus. the 

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U.S. dollar. Aprilsaw the Japanese yen strengthen 3.4% versus the U.S. dollar, the most sinceOctober 2004 and currencies posted a limited gain for the Partnership. Longpositions in the British pound and euro were the hardest hit due to the factthe British pound dropped -1.14% versus the U.S. dollar on speculation that theU.S. Federal Reserve would continue to raise rates faster than the Bank ofEngland. The British pound was down versus the U.S. dollar mid-year as fadingexpectations for the Bank of England rate increases enhanced the appeal of U.S.treasuries compared with the British gilts, helping push the British poundlower.  The U.S. dollar reached itshighest exchange rate against the Japanese yen towards the end of the yearhowever, lost money overall as the U.S. dollar weakened and plunging againstmost major currencies.  The sell off wasattributed to the San Francisco Federal Reserve indicating that there may be ashift away from U.S. assets into the assets of Europe and Japan where interestrates are projected to rise faster. China also announced it would diversify itsforeign exchange reserves away from the U.S. dollar. The year ended as theJapanese yen fell against the U.S. dollar, Euro, the New Zealand dollar and theAustralian dollar.

***2005***

ThePartnership’s overall trading was unprofitable for the year. The Partnershipexperienced gains in two of the four sectors, with the largest gain in thestock indices.

Thestock indices were the most profitable for the Partnership.  The markets were very choppy and exposureschanged continuously. The main drivers to performance in the first quarter werethe Asian equities and selected U.S. equities. The Asian equities and selectedU.S. equities markets began the first quarter with a loss only to gain in themiddle part of the quarter and ending the quarter with a loss. Weak U.S.economic data and disappointing earnings reports sent global equities lowerearly in the second quarter. The second quarter ended with gains generated inlong exposure to European and Asian stock indices. Gains were experienced earlyon in the third quarter as global indices rallied. Long exposure across thesector, both domestic and international, contributed to the positiveperformance. The largest gains came from exposure to the Nikkei and the NASDAQ.Gains continued during the quarter as the Nikkei and TOPIX rallied as the Japaneseeconomy grew for the third straight quarter. The Nikkei rallied to a four yearhigh. Optimism for Japanese growth and the election victory of Prime MinisterKoizumi sparked a rally in Japanese equities. Stock indices suffered asignificant loss at the beginning of the fourth quarter as most major globalequity indices reversed from their trend upwards on fear of rising inflationand continued rate hikes by the Federal Reserve. However, the year ended withstock indices as the most profitable of all the sectors due to long positionsheld in all 15 traded markets throughout the end of the quarter.

Themetals sector had the second highest gains for the Partnership. The sectorgained during the first quarter as markets rallied in both the precious andbase metals, particularly in gold, copper and aluminum. The gains from the basemetals such as aluminum and copper were offset by losses in silver and gold.Base metals took a step back during the second quarter specifically in aluminumand copper. A slight gain in the middle part of the quarter due to exposure toprecious metals was not enough to outweigh other losses. The second quarterended with gold being sold off due to a strengthening U.S. dollar. Copper andgold added to the performance of this sector in the third quarter. Copperprices were driven higher on stronger global economic data and gold rallied onincreased fear of inflationary pressures due to higher energy costs. Basemetals, particularly copper, trended higher throughout the fourth quarter as thefear increased that demand could outweigh supply in the short-term as U.S.economic growth increased. The year ended with gold rising to 4.9% which was a24 year high.

Theinterest rate sector posted losses for this Partnership. The beginning of thefirst quarter gains were generated in exposure to Japanese, U.S. and Europeanfixed income. Profits were also made from short exposure to Eurodollar and U.S.Treasury note contracts. The quarter ended with gains generated at the frontend of the U.S. curve, while losses were experienced in exposure to Europeanand Japanese fixed income. A sell off of stocks and an increase in bondinvestments during the second quarter sparked a rally in interest rates. Longexposure to European bonds and a rally in the bond market attributed toprofits. Stronger than expected economic growth in Europe, Japan and the U.S.caused a sell off in global bond markets at the beginning of the third quarter.Exposure to the German Bund, Japanese government bonds, and the U.S. Treasury bondwere the detractors from performance. Concerns over Hurricane Katrina and the impact it would have on energyprices sparked a rally at the end of August in global bond markets,contributing further to losses. Volatility increased in the markets contributingto a significant loss at the end of the quarter.  As it became clear that the hurricanes in theUnited States would not send the economy into recession, U.S. Treasury ratesbegan to rise causing additional losses in the portfolio. Gains were made in thebeginning of the fourth quarter as 

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concerns overcentral banks raising interest rates caused a sell-off in U.S., Japanese andEuropean fixed income. The year ended with losses in short interest rates innearly every market. Losses were incurred in all U.S. traded markets as well asin Japanese, German and UK markets.

Thecurrency sector was the least profitable for the Partnership. The first quarterbegan with a loss, as the U.S. dollar strengthened against various othercurrencies. Losses early in the second quarter were posted as currency tradingcontinued to be challenging and the U.S. dollar remained in a tight range.Exposure to the Euro, Japanese yen and Swiss franc were the main drivers ofperformance. The third quarter began with a gain as the U.S. dollarstrengthened based on widening interest rate differential versus many developedcountries. The currency markets were extremely volatile in reaction to Chinaending its policy of pegging its currency at 8.3 yuan to the U.S. dollar. Chinarevalued the yuan by 2.1% in July. Exposure to the Japanese yen and the Swissfranc were the main drivers of performance, while exposure to the Australiandollar detracted from performance. Halfway through the third quarter, the U.S.dollar began to decline against most major currencies. The decline was a resultof the expected slowdown in growth due to higher energy prices in the U.S.. TheU.S. dollar strengthened against most major currencies early in the fourthquarter as a result of the possibility that the U.S. Federal Reserve wouldraise rates at a faster pace than previously expected after reports showed alarge increase in inflation figures and data pointing to the U.S. economyexpanding faster than the economies in Europe and Japan.  The year ended with a loss driven by a largeexposure to the Japanese yen which reacted to a strong Japanese TankanConfidence report and accommodative hints from the Bank of Japan.

Specifictrading results are not included for 2006 because the Partnership tradedexclusively through investing in Trading LLCs.

***2004***

ThePartnership’s overall trading was unprofitable for the year.  The Partnership experienced gains in two ofthe four sectors, with the largest gain in the interest rate sector.

Theinterest rate sector was the most profitable for the Partnership, despitechoppy trading conditions early in the year. Long exposure early in the year to most of the major global yield curvesproved to generate positive results though overall exposure was light comparedto historical exposure. Bond markets were fairly range bound during the secondquarter however, yields on the U.S. ten-year note reached their highest levelssince July 2002. U.S. Treasury markets reacted to the employment data duringthe third quarter with a strong sell-off, which caused the sector to reduce thelong exposure to change to a net short bias. The Federal Reserve raised keyinterest rates by 25 basis points on September 21st and softer economic data eventually pushedlonger-term maturities higher by the end of the quarter. The U.S. fixed incomemarkets, particularly the front end, reversed their sell-off, which started inNovember, but rallied during the first week of December, only to reverse thattrend during the last two weeks of the year.

Themetals sector had the second highest gains for the Partnership. Base metalscontinued their upward move early in the year as the sector experienced strongdemand, shrinking supply and the U.S. dollar weakening helped to drive priceshigher. Strong industrial demand for copper and continued speculative interestpushed the market to a seven year high. Both industrial and precious metalsgenerated slight losses in the second quarter due to the fact most markets wererange-bound and the U.S. dollar did not provide any momentum to thesemarkets.  Industrial metals, particularlycopper added to performance in the third quarter. Copper rallied based onincreasing demand from China and tight supply conditions. The year ended withthe sector posting a small loss as gains in industrials were outweighed bylosses in long precious metals exposure.

Thecurrency sector posted a loss for the Partnership. The currency marketscontinued its long trend of a weakening U.S. dollar. However, trading was verychoppy and gains generated in the beginning of the first quarter were lost.Early U.S. dollar strength turned around towards the end of the first quarterand a large drop at the close of the first quarter resulted in  the U.S. dollar falling  to a four year low against the Japanese yen.The U.S. dollar rebounded at the beginning of the second quarter only to berange bound throughout the quarter pending the Federal Reserve’s decision onshort term interest rates. The currency markets remained range bound versus theU.S. dollar throughout the third quarter. The year ended with a bearish U.S.dollar trend on the speculation that U.S. officials favor a weaker currency toshrink the record current account deficit. The U.S. dollar declined to a recordlow versus the Euro and fell to its lowest level versus the Japanese yen since2000.

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Stockindices were the least profitable for the Partnership. The Partnership was ableto realize some gains in the beginning of the year. The main drivers toperformance in this sector were the DAX and the NASDAQ indices. The marketswere very choppy and exposures changed continuously. Losses were incurredduring the second quarter in both the U.S. and global equity positioning due tothe concerns of the imminent rate increases in U.S. interest rates. Losses inthe U.S. outweighed moderate gains in some of the international markets late inthe third quarter. However, stock indices posted stronger gains towards the endof the year, as markets continued an upward trend on positive economic data, adecline in energy prices and increased overall confidence. Gains were madeacross the U.S., Asia and Europe.

Specifictrading results are not included for 2004 because the Partnership tradedexclusively through investing in Trading LLCs.

## Variables Affecting Performance

Theprincipal variables, which determine the net performance of the Partnership,are gross profitability and interest income from the investments in the tradingLLC’s.

Duringall periods set forth under “Selected Financial Data,” the interest rates inmany countries were at unusually low levels. The low interest rates in the United States (although higher than inmany other countries) negatively impacted revenues because interest income istypically a major component of the Partnership’s profitability.  In addition, low interest rates arefrequently associated with reduced fixed income market volatility, and instatic markets the Partnership’s profit potential generally tends to bediminished.  On the other hand, duringperiods of higher interest rates, the relative attractiveness of a high riskinvestment such as the Partnership may be reduced as compared to high yieldingand much lower risk fixed-income investments.

The Partnership’s Brokerage Commissions andAdministrative Fees are a constant percentage of the Partnership’s assetsallocated to trading.  The onlyPartnership costs (other than the New Jersey filing fees and the insignificantcurrency trading costs) which are not based on a percentage of the Partnership’sassets (allocated to trading or total) are the Profit Shares payable to JWH andMillburn separately on their individual performance, irrespective of theoverall performance of the Partnership. During periods when Profit Shares are a high percentage of net tradinggains, it is likely that there has been substantial performance non-correlationbetween JWH and Millburn (so that the total Profit Shares paid to the Advisorwhich has traded profitably are a high percentage, or perhaps even in excess,of the total profits recognized, as the other Advisor incurred offsettinglosses, reducing overall trading gains but not the Profit Shares paid to thesuccessful Advisor) — suggesting the likelihood of generally trendless,non-consensus  markets.

Unlikemany investment fields, there is no meaningful distinction in the operation ofthe Partnership between realized and unrealized profits.  Most of the contracts traded by thePartnership are highly liquid and can be closed out at any time.

Exceptin unusual circumstances, factors — regulatory approvals, cost of goods sold,employee relations and the like — which often materially affect an operatingbusiness, have virtually no impact on the Partnership.

##### Liquidity; Capital Resources

The Partnership borrowsonly to a limited extent and only on a strictly short-term basis in order tofinance losses on non-U.S. dollar denominated trading positions pending theconversion of the Partnership’s U.S. dollar deposits.  These borrowings are at a prevailingshort-term rate in the relevant currency.

Substantiallyall of the Partnership’s assets at the Trading LLCs are held in cash.  The Net Asset Value of the Partnership’s cashis not affected by inflation.   However,changes in interest rates could cause periods of strong up or down pricetrends, during which the Partnership’s profit potential generallyincreases.  Inflation in commodity 

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prices could alsogenerate price movements, which the strategies might successfully follow.

Except in veryunusual circumstances, the Trading LLCs should be able to close out any or allof their open trading positions and liquidate any or all of their securitiesholdings quickly and at market prices. This permits an Advisor to limit losses as well as reduce marketexposure on short notice should its strategies indicate doing so.  In addition, because there is a readilyavailable market value for the Partnership’s positions and assets, thePartnership’s monthly Net Asset Value calculations are precise, and investorsneed only wait ten business days to receive the full redemption proceeds oftheir Units.

(The Partnershiphas no off-balance sheet arrangements or contractual obligations of the typedescribed in Items 303(a)(4) and 303(a)(5) of Regulation S-K.)

**Item 7A: Quantitativeand Qualitative Disclosures about Market Risks.**

***Introduction***

PastResults Not Necessarily Indicative of Future Performance

The Partnership is a speculative commodity pool.  Unlike an operating company, the risk ofmarket sensitive instruments is integral, not incidental, to the Partnership’smain line of business.

Market movements result in frequent changes in thefair market value of the Trading LLC’s open positions and, consequently, in itsearnings and cash flow.  The Partnership’smarket risk is influenced by a wide variety of factors, including the level andvolatility of interest rates, exchange rates, equity price levels, the marketvalue of financial instruments and contracts, the diversification effects amongthe Partnership’s open positions and the liquidity of the markets in which ittrades.

The Partnership, under the direction of the twoAdvisors, which it has retained since inception, rapidly acquires andliquidates both long and short positions in a wide range of differentmarkets.  Consequently, it is notpossible to predict how a particular future market scenario will affectperformance, and the Partnership’s past performance is not necessarilyindicative of its future results.

Value at Risk is a measure of the maximum amount whichthe Partnership could reasonably be expected to lose in a given marketsector.  However, the inherentuncertainty of the Partnership’s speculative trading and the recurrence in themarkets traded by the Partnership of market movements far exceedingexpectations could result in actual trading or non-trading losses far beyondthe indicated Value at Risk or the Partnership’s experience to date (i.e*.,* “risk of ruin”). In light of the foregoing, as well as the risks and uncertaintiesintrinsic to all future projections, the quantifications included in thissection should not be considered to constitute any assurance or representationthat the Partnership’s losses in any market sector will be limited to Value atRisk or by the Partnership’s attempts to manage its market risk.

***Quantifying thePartnership’s Trading Value at Risk***

QuantitativeForward-Looking Statements

*The following quantitative disclosures regarding thePartnership’s market risk exposures contain “forward-looking statements” withinthe meaning of the safe harbor from civil liability provided for suchstatements by the Private Securities Litigation Reform Act of 1995 (set forthin Section 27A of the Securities Act of 1933 and Section 21E of the SecuritiesExchange Act of 1934).  All quantitativedisclosures in this section are deemed to be forward-looking statements forpurposes of the safe harbor, except for statements of historical fact.*

The Partnership’s risk exposure in the various market sectors traded bythe Advisors is quantified 

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below in terms ofValue at Risk.  Due to the Partnership’smark-to-market accounting, any loss in the fair value of the Partnership’s openpositions is directly reflected in the Partnership’s earnings (realized orunrealized) and cash flow (at least in the case of exchange-traded contracts inwhich profits and losses on open positions are settled daily through variationmargin).

Exchange maintenance margin requirements have beenused by the Partnership as the measure of its Value at Risk.  Maintenance margin requirements are set byexchanges to equal or exceed the maximum loss in the fair value of any givencontract incurred in 95%–99% of the one-day time periods included in thehistorical sample (generally approximately one year) researched for purposes ofestablishing margin levels. The maintenance margin levels are established bydealers and exchanges using historical price studies as well as an assessmentof current market volatility (including the implied volatility of the optionson a given futures contract) and economic fundamentals to provide aprobabilistic estimate of the maximum expected near-term one-day pricefluctuation.

In the case of market sensitive instruments which arenot exchange-traded (almost exclusively currencies in the case of thePartnership), the margin requirements for the equivalent futures positions havebeen used as Value at Risk.  In thoserare cases in which a futures-equivalent margin is not available, dealers’margins have been used.

The fair value of the Partnership’s futures andforward positions does not have any optionality component. However, both JWHand Millburn trade options on futures to a limited extent.  The Value at Risk associated with options isreflected in the following table as the margin requirement attributable to theinstrument underlying each option.

100% positive correlation in the different positions heldin each market risk category has been assumed. Consequently, the margin requirements applicable to the open contractshave been aggregated to determine each trading category’s aggregate Value atRisk.  The diversification effectsresulting from the fact that the Partnership’s positions are rarely, if ever,100% positively correlated have not been reflected.

***ThePartnership’s Trading Value at Risk in Different Market Sectors***

The following tableindicates the average, highest and lowest trading Value at Risk associated withthe Partnership’s open positions by market category for the fiscal year2006.  During the fiscal year 2006, thePartnership’s average capitalization was approximately $22,032,107.  As of December 31, 2005, the averagecapitalization was approximately $23,675,183.

The Partnership does nottrade commodities or energy futures.

**FiscalYear 2006**
| Market Sector | ** ** | **AverageValue at   Risk** | ** ** | **% of Average   Capitalization** | ** ** | **Highest Value at   Risk** | ** ** | **Lowest Value at   Risk** | ** ** |
|--------------------|------------|--------------------------------------|------------|--------------------------------------------------|------------|--------------------------------------------|------------|-------------------------------------------|------------|
|               |       |                                 |       |                                             |       |                                       |       |                                      |       |
| Interest Rates     |       | $                                    | 2,423,515  |                                             | 11.00      | %                                          | $          | 3,441,752                                 |       | $ | 1,794,844 |   |
| Currencies         |       | 341,165                              |       | 1.55                                             | %          | 957,448                                    |       | 40,320                                    |       |
| Stock Indices      |       | 298,573                              |       | 1.36                                             | %          | 548,558                                    |       | 70,594                                    |       |
| Metals             |       | 60,374                               |       | 0.27                                             | %          | 157,669                                    |       | 19,469                                    |       |
| TOTAL              |       | $                                    | 3,123,627  |                                             | 14.18      | %                                          | $          | 5,105,427                                 |       | $ | 1,925,227 |   |

 

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**FiscalYear 2005**

 
| Market Sector | ** ** | **AverageValue at   Risk** | ** ** | **% of Average   Capitalization** | ** ** | **Highest Value at   Risk** | ** ** | **Lowest Value at   Risk** | ** ** |
|--------------------|------------|--------------------------------------|------------|--------------------------------------------------|------------|--------------------------------------------|------------|-------------------------------------------|------------|
|               |       |                                 |       |                                             |       |                                       |       |                                      |       |
| Interest Rates     |       | $                                    | 2,366,567  |                                             | 10.00      | %                                          | $          | 3,130,761                                 |       | $ | 1,696,426 |   |
| Currencies         |       | 545,071                              |       | 2.30                                             | %          | 981,619                                    |       | 117,105                                   |       |
| Stock Indices      |       | 461,653                              |       | 1.95                                             | %          | 696,031                                    |       | 191,445                                   |       |
| Metals             |       | 117,727                              |       | 0.50                                             | %          | 237,480                                    |       | 39,876                                    |       |
| TOTAL              |       | $                                    | 3,491,018  |                                             | 14.75      | %                                          | $          | 5,045,891                                 |       | $ | 2,044,852 |   |

 

Average, highest andlowest value at Risk amounts relate to month end amounts for each month duringthe year.  Average Capitalization is theaverage or the Partnership’s capitalization at the end of each month of 2006and 2005.

***Material Limitations on Value atRisk as an Assessment of Market Risk***

The face value of themarket sector instruments held by the Partnership is typically many times theapplicable maintenance margin requirement (maintenance margin requirementsgenerally ranging between approximately 1% and 10% of contract face value) aswell as many times the capitalization of the Partnership.  The magnitude of the Partnership’s openpositions creates a “risk of ruin” not typically found in most other investmentvehicles.  Because of the size of itspositions, certain market conditions — unusual, but historically recurring fromtime to time — could cause the Partnership to incur severe losses over a shortperiod of time.  The foregoing Value atRisk table — as well as the past performance of the Partnership — give noindication of this “risk of ruin.”

***Non-TradingRisk***

*ForeignCurrency Balances; Cash on Deposit with MLPF&S*

The Partnership hasnon-trading market risk on its foreign cash balances not needed formargin.  However, these balances (as wellas the market risk they represent) are immaterial.

The Partnership also hasnon-trading market risk on the approximately 90%—95% of its assets which areheld in cash at MLPF&S.  The value ofthis cash is not interest rate sensitive, but there is cash flow risk in thatif interest rates decline so will the cash flow generated on these monies.  This cash flow risk is immaterial.

**Qualitative Disclosures Regarding Primary TradingRisk Exposures**

The following qualitativedisclosures regarding the Partnership’s market risk exposures — except for (i)those disclosures that are statements of historical fact and (ii) thedescriptions of how the Partnership manages its primary market risk exposures —constitute forward-looking statements within the meaning of Section 27A of theSecurities Act and Section 21E of the Securities Exchange Act.  The Partnership’s primary market riskexposures as well as the strategies used and to be used by MLAI and thePartnership’s two Advisors for managing such exposures are subject to numerousuncertainties, contingencies and risks, any one of which could cause the actualresults of the Partnership’s risk controls to differ materially from theobjectives of such strategies. Government interventions, defaults and expropriations, illiquid markets,the emergence of dominant fundamental factors, political upheavals, changes inhistorical price relation­ships, an influx of new market participants,increased regulation and many other factors could result in material losses aswell as in material changes to the risk exposures and the risk managementstrategies of the Partnership.  There canbe no assurance that the Partnership’s current market exposure and/or riskmanagement strategies will not change materially or that any such strategieswill be effective in either the short- or long-term.  Investors must be prepared to lose all orsubstantially all of the time value of their investment in the Partnership.

The following were the primary trading risk exposuresof the Partnership as of December 31, 2006, by market 

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sector.

**InterestRates**.

Interest rate riskis the principal market exposure of the Partnership.  Interest rate movements directly affect theprice of derivative sovereign bond positions held by the Partnership andindirectly the value of its stock index and currency positions.  Interest rate movements in one country aswell as relative interest rate movements between countries materially impactthe Partnership’s profitability.  ThePartnership’s primary interest rate exposure is to interest rate fluctuationsin the United States and the other G-7 countries.  However, the Partnership also takes positionsin the government debt of smaller nations — e.g*.,*New Zealand and Australia.  MLAIanticipates that G-7 interest rates will remain the primary market exposure ofthe Partnership for the foreseeable future.

**Currencies**.

The Partnershiptrades in a large number of currencies, including cross-rates — i.e*.,* positions between two currencies other than the U.S.dollar.  However, the Partnership’s majorexposures have typically been in the U.S. dollar/Japanese yen and U.S. dollar/Euro positions.  The Partnership doesnot anticipate that the risk profile of the Partnership’s currency sector willchange significantly in the future.  Thecurrency trading Value at Risk figure includes foreign margin amounts convertedinto U.S. dollars with an incremental adjustment to reflect the exchange raterisk inherent to the U.S. dollar-based Partnership in expressing Value at Riskin a functional currency other than U.S. dollars.

**StockIndices**.

The Partnership’sprimary equity exposure is to equity index price movements.  The stock index futures traded by thePartnership are by law limited to futures on broadly based indices.  As of December 31, 2006, the Partnership’sprimary exposures were in the S&P 500, Financial Times (England), Nikkei (Japan)and DAX (Germany) stock indices. MLAI anticipates little, if any, trading innon-G-7 stock indices.  The Partnershipis primarily exposed to the risk of adverse price trends or static markets inthe major U.S., European and Japanese indices.

**Metals**.

The Partnership’sprimary metals market exposure is to fluctuations in the price of gold andsilver. Although the Advisors will from time to time trade base metals such asaluminum, copper and tin, the principal market exposures of the Partnershiphave consistently been in the precious metals, gold and silver (and, to a muchlesser extent, platinum).  However, goldprices have remained volatile over this period, and the Advisors have from timeto time taken substantial positions as they have perceived market opportunitiesto develop. MLAI anticipates that gold and silver will remain the primarymetals market exposure for the Partnership.

***Qualitative Disclosures RegardingNon-Trading Risk Exposure***

The following were theonly non-trading risk exposures of the Partnership as of December 31, 2006.

**Foreign Currency Balances.**

ThePartnership’s primary foreign currency balances are in Japanese yen, Britishpounds and Euros.

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**U.S. Dollar Cash Balance.**

The Partnership holds U.S. dollars only in cash atMLPF&S.  The Partnership hasimmaterial cash flow interest rate risk on its cash on deposit with MLPF&Sin that declining interest rates would cause the income from such cash todecline.

***QualitativeDisclosures Regarding Means of Managing Risk Exposure***

*Trading Risk*

MLAI has procedures inplace intended to control market risk, although there can be no assurance thatthey will, in fact, succeed in doing so. These procedures focus primarily on monitoring the trading of JWH andMillburn, calculating the Net Asset Value of the Partnership accounts managedby the two Advisors as of the close of business on each day and reviewingoutstanding positions for over-concentrations. While MLAI does not itself intervene in the markets to hedge ordiversify the Partnership’s market exposure, MLAI may urge either or both ofJWH and Millburn to reallocate positions managed by the two Advisors, in anattempt to avoid over-concentrations. However, such interventions are unusual, except in cases in which itappears that JWH and Millburn has begun to deviate from past practice andtrading policies or to be trading erratically, MLAI’s basic control proceduresconsist of simply of the ongoing process of monitoring JWH and Millburn withthe market risk controls being applied by JWH and Millburn itself.

*JWH RiskManagement*

JWH attempts to controlrisk in all aspects of the investment process — from confirmation of a trend to determining the optimal exposure in agiven market, and to money management issues such as the startup or upgrade ofinvestor accounts.  JWH double checks theaccuracy of market data, and will not trade a market without multiple pricesources for analytical input.  Inconstructing a portfolio, JWH seeks to control overall risk as well as the riskof any one position, and JWH trades only markets that have been identified ashaving positive performance characteristics. Trading discipline requires plansfor the exit of a market as well as for entry. JWH factors the point of exit into the decision to enter (stoploss).  The size of JWH’s positions in aparticular market is not a matter of how large a return can be generated but ofhow much risk it is willing to take relative to that expected return.

To attempt to reduce the risk of volatility whilemaintaining the potential for excellent performance, proprietary research isconducted on an ongoing basis to refine the JWH investment strategies.  Research may suggest substitution ofalternative investment methodologies with respect to particular contracts; thismay occur, for example, when the testing of a new methodology has indicatedthat its use might have resulted in different historical performance. Inaddition, risk management research and analysis may suggest modificationsregarding the relative weighting among various contracts, the addition ordeletion of particular contracts from a program, or a change in position sizein relation to account equity.  Theweighting of capital committed to various markets in the investment programs isdynamic, and JWH may vary the weighting at its discretion as market conditions,liquidity, position limit considerations and other factors warrant.

JWH may determine that risks arise when markets areilliquid or erratic, such as may occur cyclically during holiday seasons, or onthe basis of irregularly occurring market events.  In such cases, JWH at its sole discretion mayoverride computer-generated signals and may at times use discretion in theapplication of its quantitative models, which may affect performance positivelyor negatively.

Adjustments in position size in relation to accountequity have been and continue to be an integral part of JWH’s investmentstrategy.  At its discretion, JWH mayadjust the size of a position in relation to equity in certain markets orentire programs.  Such adjustments may bemade at certain times for some programs but not for others.  Factors, which may affect the decision toadjust the size of a position in relation to account equity, include ongoingresearch, program volatility, assessments of current market volatility and riskexposure, subjective judgment, and evaluation of these and other general marketconditions.

23

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*MillburnRisk Management*

Millburn attempts tocontrol risk through the systematic application of its trading method, whichincludes a multi-system approach to price trend recognition, an analysis ofmarket volatility, the application of certain money management principles,which may be revised from time to time, and adjusting leverage or portfoliosize.  In addition, Millburn limits itstrading to markets which it believes are sufficiently liquid in respect of theamount of trading it contemplates conducting.

Millburn develops tradingsystems using various classes of quantitative models and data such as price,volume and interest rates, and tests those systems in numerous markets againsthistorical data to simulate trading results. Millburn then analyzes theprofitability of the systems looking at such features as the percentage ofprofitable trades, the worst losses experienced, the average giveback ofmaximum profits on profitable trades and risk-adjusted returns.  The performance of all systems in the marketare then ranked, and three or four systems are selected which make decisions indifferent ways at different times.  Thismulti-system approach ensures that the total risk intended to be taken in amarket is spread over several different strategies.

Millburn also attempts toassess market volatility as a means of monitoring and evaluating risk.   In doing so, Millburn uses a volatilityoverlay system which measures the risk in a portfolio’s position in a marketand signals a decrease in position size when risk increases and an increase inposition size when risk decreases. Millburn’s volatility overlay maintainsoverall portfolio risk and distri­bution of risk across markets withindesignated ranges.

Millburn’s riskmanagement also focuses on money management principles applicable to aportfolio as a whole rather than to individual markets.  The first principle is reducing overallportfolio volatility through diversification among markets.   Millburn seeks a portfolio in which returnsfrom trading in different markets are not highly correlated, that is, in whichreturns are not all positive or negative at the same time.  Additional money management principlesinclude limiting the assets committed as margin or collateral, gener­allywithin a range of 15% to 30% of an account’s net assets; avoiding the use ofunrealized profits in a particular market as margin for additional positions inthe same market; and chang­ing the equity used for trading an account solely ona controlled periodic basis, not automatically due to an increase in equityfrom trading profits.

Another important riskmanagement function is the careful control of leverage or portfolio size.  Leverage levels are determined by simulatingthe entire portfolio over the past five or ten years to determine the worstcase experienced by the portfolio in the simulation period.  The worst case or peak-to-trough drawdown, ismeasured from a daily high in portfolio assets to the subsequent daily lowwhether that occurs days, weeks or months after the daily high.  If Millburn considers the drawdown toosevere, it reduces the leverage or portfolio size.

Millburn determines assetallocation among markets and position size on the basis of the money managementprinciples and trading data research discussed above and the market experienceof Millburn’s principles. From time to time Millburn may adjust the size of aposition, long or short, in any given market. Decisions to make such adjustments require the exercise of judgment andmay include consideration of the volatility of the particular market, thepattern of price movements, both inter-day and intra-day, open interest, volumeof trading, changes in spread relationships between various forward contracts,and overall portfolio balance and risk exposure.

*Non-Trading Risk*

The Partnership controlsthe non-trading exchange rate risk by regularly converting foreign balancesback into U.S. dollars on a weekly basis.

The Partnership has cashflow interest rate risk on its cash on deposit with MLPF&S in thatdeclining interest rates would cause the income from such cash to decline.  However, a certain amount of cash or cash equivalentsmust be held by the Partnership in order to facilitate margin payments and payexpenses and redemptions. MLAI does not take any steps to limit the cash flowrisk on its cash held on deposit at MLPF&S.

24

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**Item 8:   Financial Statements and SupplementaryData**

**SelectedQuarterly Financial Data**

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

Net Income byQuarter (unaudited)

Eight Quartersthrough December 31, 2006
| ** **                                                | ** ** | **Fourth**  | ** ** | **Third**   | ** ** | **Second**  | ** ** | **First**   | ** ** | **Fourth**  | ** ** | **Third**   | ** ** | **Second**  | ** ** | **First**   | ** ** |
|-----------------------------------------------------------|------------|-------------|------------|-------------|------------|-------------|------------|-------------|------------|-------------|------------|-------------|------------|-------------|------------|-------------|------------|
| ** **                                                | ** ** | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter** | ** ** |
| ** **                                                | ** ** | **2006**    | ** ** | **2006**    | ** ** | **2006**    | ** ** | **2006**    | ** ** | **2005**    | ** ** | **2005**    | ** ** | **2005**    | ** ** | **2005**    | ** ** |
| Total Income                                              |       | $           | 403,261    |        | $          | 124,480     |       | $           | 76,602     |        | $          | 1,276,450   |       | $           | 1,853,207  |        | $          | (1,161,816 | ) | $ | 2,740,646 |   | $ | (3,307,523 | ) |
| Total Expenses                                            |       | 627,072     |       | 468,096     |       | 444,495     |       | 705,568     |       | 545,346     |       | 540,479     |       | 561,126     |       | 579,416     |       |
| Net Income (loss)                                         |       | $           | (223,811   | )           | $          | (343,616    | )          | $           | (367,893   | )           | $          | 570,882     |       | $           | 1,307,861  |        | $          | (1,702,295 | ) | $ | 2,179,520 |   | $ | (3,886,939 | ) |
|                                                      |       |        |       |        |       |        |       |        |       |        |       |        |       |        |       |        |       |
| Net Income (loss) per Weighted Average Units  outstanding |       |        |       |        |       |        |       |        |       |        |       |        |       |
|                                                      |       |        |       |        |       |        |       |        |       |        |       |        |       |        |       |        |       |
| Series A                                                  |       | $           | (3.71      | )           | $          | (5.61       | )          | $           | (6.02      | )           | $          | 9.11        |       | $           | 20.41      |        | $          | (25.35 | ) | $ | 31.24 |   | $ | (54.65 | ) |
| Series B                                                  |       | (3.13       | )          | (4.57       | )          | (4.76       | )          | 7.30        |       | 16.19       |       | (20.63      | )          | 25.37       |       | (44.36      | )          |
| Series C                                                  |       | (2.40       | )          | (3.59       | )          | (3.81       | )          | 5.72        |       | 12.74       |       | (16.12      | )          | 19.66       |       | (34.58      | )          |

 

The financialstatements required by this Item are included in Exhibit 13.01.

The supplementaryfinancial information (“information about oil and gas producing activities”)specified by Item 302 of Regulation S-K is not applicable.  MLAI promoted the Partnership and is itscontrolling person.

**Item 9:   Changes in and Disagreements withAccountants on Accounting and Financial Disclosure**

There were nochanges in or disagreements with the independent registered public accountingfirm on accounting or financial disclosure.

**Item 9A: Controlsand Procedures**

Merrill LynchAlternative Investments LLC, the General Partner of John W. Henry &Co./Millburn L.P., with the participation of the General Partner’s ChiefExecutive Officer and the Chief Financial Officer, has evaluated theeffectiveness of the design and operation of its disclosure controls andprocedures with respect to the Partnership as of the end of the period coveredby this annual report, and, based on their evaluation, have concluded thatthese disclosure controls and procedures are effective.  Additionally, there were no significantchanges in the Partnership’s internal controls or in other factors that couldsignificantly affect these controls subsequent to the date of their evaluation,including any corrective actions with regard to significant deficiencies andmaterial weaknesses.

**Item 9B:Other Information**

**Notapplicable**

25

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**PART III**

**Item10:  Directors, Executive Officers andCorporate Governance**

10(a) & 10(b)         Identification ofDirectors and Executive Officers:

As a limitedpartnership, the Partnership itself has no officers or directors and is managedby MLAI.  Trading decisions are made bythe Advisors on behalf of the Partnership.

The managers andexecutive officers of MLAI and their business backgrounds are as follows.
| **Benjamin C. Weston**   |   | Chief Executive Officer and President |
|--------------------------|--------|---------------------------------------|
| ** **               |   |                                  |
| **Robert D. Ollwerther** |   | Chief Operating Officer and Manager   |
| ** **               |   |                                  |
| **Barbra E. Kocsis**     |   | Chief Financial Officer               |
| ** **               |   |                                  |
| **Robert M. Alderman**   |   | Vice President and Manager            |
| ** **               |   |                                  |
| **Andrew B. Weisman**    |   | Manager                               |

 

BenjaminC. Weston was born in 1954. Mr. Weston is the Chief Executive Officer, Presidentand a Manager of MLAI and Head of MLAI’s Hedge Fund Development and ManagementGroup at Merrill Lynch where he is responsible for all hedge fund investmentactivities for Merrill Lynch worldwide. Mr. Weston joined Merrill Lynch fromIndeman Capital Management (IDM), a hedge fund incubation business formed in2003 with the backing of Ritchie Capital Management and Azimuth Trust. Beforefounding IDM, Mr. Weston worked as a consultant for Ritchie Capital which hejoined in September 2002 from Credit Suisse First Boston where he was aManaging Director and Head of the Funds Development Group. The FundsDevelopment Group developed and launched a series of market-leading hedgefunds, including three that today rank in the world’s 50 largest funds. Until2000, Mr. Weston served on the Management Committee of CSFB’s Fixed IncomeDivision and was Head of the Leveraged Capital Services Group, which advised aselect group of hedge funds on global market strategy, optimal investmentexpression and risk management. Prior to transferring to CSFB in 1996, Mr.Weston was Co-Head of Credit Suisse Financial Products in the Americas (CSFP)and a Member of the Executive Board from 1990 to 1995. Before founding CSFP inNew York in 1990, Mr. Weston held various senior management positions from 1983to 1990 at Bankers Trust including Head of the Capital Markets Group in London,Head of the Equity Derivatives business in Europe and Head of the bank’s equitybusinesses in Asia from Hong Kong. Mr. Weston started his career at JP Morganin 1978 where he worked in the Funding Services Group in New York and London.Mr. Weston received a Bachelor of Arts in International Studies from MiamiUniversity in 1976 and a Master of Arts in International Affairs with Honors inEconomics from The Johns Hopkins School of Advanced International Studies

RobertD. Ollwerther was born in 1956. He is Chief Operating Officer for and a Managerof MLAI. He is responsible for Finance, Operations, Technology andAdministration for the Fund and other MLAI products which invest in hedgefunds. He has over 20 years of experience in the securities industry. He beganhis career with Coopers & Lybrand, CPAs. Since joining Merrill Lynch in1981, he has primarily served in finance positions in the U.S. and abroad,including Chief Financial Officer for Europe, the Middle East and Africa, ChiefFinancial Officer for Latin America and Canada, Chief Financial Officer ofGlobal Equity Markets, Director of Institutional and International Audit andManager of Merrill Lynch Financial Reporting. He holds a Bachelor of Science in accounting from Fairfield Universityand a Master of Business Administration from New York University, and is aCertified Public Accountant.

Barbra E. Kocsis was born in 1966. She is Chief FinancialOfficer for MLAI. She is also a Director within the Merrill Lynch GlobalPrivate Client Global Infrastructure Solutions group. Prior to that, she wasthe Fund Controller of MLAI. Before coming to MLAI, Ms. Kocsis held variousaccounting and tax positions at Derivatives Portfolio Management LLC from May1992 until May 1999, at which time she held the position of accountingdirector. 

26

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Prior to that, she was an associate at Coopers & Lybrand in both theaudit and tax practices. She graduated cum laude from Monmouth College in 1988with a Bachelor of Science in Business Administration – Accounting and is a CertifiedPublic Accountant.

Robert M. Alderman wasborn in 1960. He is Managing Director of Merrill Lynch Global Private Client,and a Vice President and a Manager of MLAI. He is responsible for coordinating a global sales effort and managingthe retail product line, which includes hedge funds, private equityopportunities, managed futures funds and exchange funds.  Prior to re-joining Merrill Lynch and theInternational Private Client Group in 1999, he was a partner in the Nashville,Tennessee-based firm of J.C. Bradford & Co. where he was the Director ofMarketing, and a National Sales Manager for Prudential Investments.  Mr. Alderman first joined Merrill Lynch in1987 where he worked until 1997.  Duringhis tenure at Merrill Lynch, Mr. Alderman has held positions in FinancialPlanning, Asset Management and High Net Worth Services.  He received his Master of BusinessAdministration from the Carroll School of Management, Boston College and aBachelor of Arts from Clark University.

Andrew B. Weisman wasborn in 1959. He is Manager of MLAI and is head of HFDMG’s ConsolidatedInvestment Analytics group.  Mr. Weismanjoined Merrill Lynch in August 2005. From April 2002 to July 2005, Mr. Weisman was a partner and director ofresearch for Stradivarius Capital Management, and from January 1998 until April2002, he served as Chief Investment Officer of Nikko SecuritiesInternational.  Mr. Weisman holds aMaster of International Affairs and a Bachelor of Arts from ColumbiaUniversity.

As of December 31,2006, the principals of MLAI had no investment in the Partnership, and MLAI’sgeneral partnership interest was valued at $209,484

MLAIacts as the sponsor, general partner or manager to eight public futures fundswhose units of limited partner or member interests are registered under theSecurities Exchange Act of 1934: ML Select Futures I L.P., ML JWH StrategicAllocation L.P., ML APM Global FuturesAccess LLC, ML Appleton FuturesAccessLLC, ML Aspect FuturesAccess LLC, ML Cornerstone FuturesAccess LLC, ML WintonFuturesAccess LLC and the Partnership. Because MLAI serves as the sponsor,general partner or manager of each of these funds, the officers and managers ofMLAI effectively manage them as officers and directors of such funds.
| (c)    |   | Identification of Certain Significant Employees: |
|--------|--------|--------------------------------------------------|
|   |   |                                             |
|   |   | None.                                            |
|   |   |                                             |
| (d)    |   | Family Relationships:                            |
|   |   |                                             |
|   |   | None.                                            |
|   |   |                                             |
| (e)    |   | Business Experience:                             |
|   |   |                                             |
|   |   | See Item 10(a) and (b) above.                    |
|   |   |                                             |
| (f)    |   | Involvement in Certain Legal Proceedings:        |
|   |   |                                             |
|   |   | None.                                            |
|   |   |                                             |
| (g)    |   | Promoters and Control Persons:                   |
|   |   |                                             |
|   |   | Not applicable.                                  |
|   |   |                                             |
|   |   |                                             |
|   |   | Code of Ethics:                                  |

 

27

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MLAI and Merrill Lynchhave adopted a code of ethics, as of the end of the period covered by thisreport, which applies to the Partnership’s (MLAI’s) principal executive officerand principal financial officer or persons performing similar functions onbehalf of the Partnership.  A copy of thecode of ethics is available to any person, without charge, upon request bycalling 1-877-465-8435.

NominatingCommittee:

Notapplicable.  (Neither the Partnership norMLAI has a nominating committee.)

Audit Committee:Audit Committee Financial Expert:

Not applicable.(Neither the Partnership nor MLAI has a nominating committee. There is nolisted Shares of the Partnership or MLAI.)

28

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**Item 11: ExecutiveCompensation**

The officers ofMLAI are remunerated by Merrill Lynch in their respective positions.  The Partnership does not itself have anyofficers, directors or employees.  ThePartnership pays Brokerage Commissions to an affiliate of MLAI andAdministrative Fees to MLAI.  MLAI or itsaffiliates also may receive certain economic benefits from holding thePartnership’s U.S. dollar assets in offset accounts, as described in Item 1(c)above.  The managers and officers receiveno “other compensation” from the Partnership, and the managers receive nocompensation for serving as directors of MLAI. There are no compensation plans or arrangements relating to a change incontrol of either the Partnership or MLAI.

**Item12:  Security Ownership of CertainBeneficial Owners and Management and Related Stockholder Matters**

(a)           Security Ownershipof Certain Beneficial Owners:

Not applicable(The Units are non-voting limited partnership interests.  The Partnership is managed   by MLAI, its general partner).

(b)           Security Ownershipof Management:

As of December 31,2006, the Advisors owned 1,015 Series A Units, 1,000 Series B Units and 1,500Series C Units and MLAI owned 159 Series A Units, 346 Series B Units and248 Series C Units (unit-equivalent general partnership interests) which wasless than 3.50% of Series A and B, except for Series C which is 4.10%, of thetotal Units outstanding.

(c)           Changes in Control:

None.

**Item 13:  Certain Relationships and RelatedTransactions**

(a)           Transactions betweenMerrill Lynch and the Partnership

All of the service providers to the Partnership, other than theAdvisors, are affiliates of Merrill Lynch. Merrill Lynch negotiated with theAdvisors over the level of their advisory fees and Profit Shares.  However, none of the fees paid by thePartnership to any Merrill Lynch party were negotiated, and they are higherthan would have been obtained in arm’s-length bargaining.

The Partnership through trading LLCs indirectly paysMerrill Lynch through MLPF&S and MLAI substantial Brokerage Commissions andAdministrative Fees, respectively, as well as bid-ask spreads on forwardcurrency trades.  The Partnership throughtrading LLCs also pays MLPF&S interest on short-term loans extended byMLPF&S to cover losses on foreign currency positions.

Within the Merrill Lynch organization, MLAI is thedirect beneficiary of the revenues received by different Merrill Lynch entitiesfrom the Partnership.  MLAI controls themanagement of the Partnership and serves as its promoter. Although MLAI has notsold any assets, directly or indirectly, to the Partnership, MLAI makessubstantial profits from the Partnership due to the foregoing revenues.

No loans have been, are or will be outstanding betweenMLAI or any of its principals and the Partnership.

MLAI pays substantial selling commissions and trailingcommissions to MLPF&S for distributing the Units.  MLAI is ultimately paid back for theseexpenditures from the revenues it receives from the Partnership.

29

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(b)           Certain BusinessRelationships:

MLPF&S, anaffiliate of MLAI, acts as the principal commodity broker for the Partnership.

In 2006, thePartnership expensed through its investment in the Trading LLCs:  (i) Brokerage Commissions of $1,905,622 toMLPF&S, which included $582,449  inconsulting fees earned by the Advisors; and (ii) Administrative Fees of $56,047to MLAI.  In addition, MLAI and itsaffiliates may have derived certain economic benefits from possession of thePartnership’s assets, as well as from foreign exchange and EFP trading.

(c)           Indebtedness ofManagement:

The Partnership isprohibited from making any loans, to management or otherwise.

(d)           Transactions withPromoters:

Not applicable.

**Item 14: PrincipalAccountant Fees and Services**

(a)                                  AuditFees

Aggregatefees billed for professional services rendered by Deloitte & Touche LLP inconnection with the audit of the Partnership’s financial statements as of andfor the year ended December 31, 2006 were $46,857.

Aggregate fees billed for these services for the yearended December 31, 2005 were $40,000.

*(b)*                                 Audit-Related Fees 

*Therewere no other audit-related fees billed for the years ended December 31, 2006or 2005 related to the Partnership.*

*(c)*                                  Tax Fees

*Aggregatefees billed for professional services rendered by Deloitte Tax LLP inconnection with the tax compliance, advice and preparation of the Partnershipstax returns for the year ended December 31, 2006 were $190,000.*

*Aggregatefees billed for these services for the year ended December 31, 2005 were$190,000.*

*(d)*                                 All Other Fees

*No feeswere paid to Deloitte & Touche LLP nor Deloitte Tax LLP or any of theirrelated entities during the years ended December 31, 2006 or 2005 for any otherprofessional services in relation to the Partnership.*

*Neitherthe Partnership nor MLAI has an audit committee to pre-approve principalaccountant fees and services. In lieu of an audit committee, the managers andthe principal financial officer pre-approve all billings prior to thecommencement of the performance of such services.*

30

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**PART IV**

**Item15:  Exhibits and Financial StatementSchedules**
|                                                                                                       | ** ** | **Page** |
|-------------------------------------------------------------------------------------------------------|------------|----------|
|                                                                                                  |       |     |
| 1.             Financial  Statements:     |       |     |
|                                                                                                  |       |     |
| REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING  FIRM                                              |       | 1        |
|                                                                                                  |       |     |
| FINANCIAL STATEMENTS:                                                                                 |       | 2        |
|                                                                                                  |       |     |
| Statements of Financial Condition as of December 31,  2006 and 2005                                   |       |     |
|                                                                                                  |       |     |
| 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      |

 

2.             FinancialStatement Schedules:

Financial statement schedules not included in thisForm 10-K have been omitted for the reason that they are not required or arenot applicable or that equivalent information has been included in thefinancial statements or notes thereto.

3.             Exhibits:

The following exhibitsare incorporated by reference or are filed herewith to this Annual Report onForm 10-K:
| Designation       | ** ** | **Description**                                                                                                                                                                                                                                                                               |
|-------------------|------------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|              |       |                                                                                                                                                                                                                                                                                          |
| 3.01(ii)          |       | Amended and Restated Limited Partnership Agreement  of the Partnership.                                                                                                                                                                                                                       |
|              |       |                                                                                                                                                                                                                                                                                          |
| Exhibit 3.01(ii): |       | Is incorporated herein by reference from Exhibit  3.01(ii) contained in Amendment No. 1 (as Exhibit A) to the Registration  Statement (File No. 33-41373) filed on August 20, 1991, on Form S-1 under the  Securities Act of 1933 (the “Registrant’s Registration Statement”). |
|              |       |                                                                                                                                                                                                                                                                                          |
| 3.02(c)           |       | Amended and Restated Certificate of Limited Partnership  of the Partnership, dated July 27, 1995.                                                                                                                                                                                             |
|              |       |                                                                                                                                                                                                                                                                                          |
| Exhibit 3.02(c):  |       | Is incorporated by reference from Exhibit 3.02(c)  contained in the Registrant’s report on Form 10-Q for the Quarter Ended June  30, 1995.                                                                                                                                               |
|              |       |                                                                                                                                                                                                                                                                                          |
| 10.01(o)          |       | Form of Advisory Agreement between the Partnership,  MLIM , MLPF&S and each of John W. Henry & Company, Inc. and Millburn  Ridgefield Corporation.                                                                                                                                    |
|              |       |                                                                                                                                                                                                                                                                                          |
| Exhibit 10.01(o): |       | Is incorporated by reference from Exhibit 10.01(o)  contained in the Registrant’s report on Form 10-Q for the Quarter Ended June  30, 1995.                                                                                                                                              |
|              |       |                                                                                                                                                                                                                                                                                          |
| 10.02(a)          |       | Form of Consulting Agreement between each trading  advisor, the Partnership and MLPF&S.                                                                                                                                                                                                   |

 

31

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| Exhibit 10.02(a): |   | Is incorporated herein by reference from Exhibit  10.02(a) contained in Amendment No. 1 to the Registration Statement (File No.  33-30096) dated as of September 21, 1989, on Form S-1 under the  Securities Act of 1933. |
|-------------------|--------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|              |   |                                                                                                                                                                                                                           |
| 10.03             |   | Form of Customer Agreement between the Partnership  and MLPF&S.                                                                                                                                                            |
|              |   |                                                                                                                                                                                                                           |
| Exhibit 10.03:    |   | Is incorporated herein by reference from Exhibit  10.03 contained in the Registrant’s Registration Statement.                                                                                                             |
|              |   |                                                                                                                                                                                                                           |
| 10.06             |   | Foreign Exchange Desk Service Agreement, dated July  1, 1993 among Merrill Lynch International Bank, MLIM, MLPF&S and the  Partnership.                                                                                    |
|              |   |                                                                                                                                                                                                                           |
| Exhibit 10.06:    |   | Is incorporated herein by reference from Exhibit  10.06 contained in the Registrant’s report on Form 10-K for the year ended  December 31, 1996.                                                                          |
|              |   |                                                                                                                                                                                                                           |
| 10.07(a)          |   | Form of Advisory and Consulting Agreement Amendment  among MLIM, each Advisor, the Partnership and MLPF&S.                                                                                                                 |
|              |   |                                                                                                                                                                                                                           |
| Exhibit 10.07(a): |   | Is incorporated herein by reference from Exhibit  10.07(a) contained in the Registrant’s report on Form 10-K for the year ended  December 31, 1996.                                                                       |
|              |   |                                                                                                                                                                                                                           |
| 10.07(b)          |   | Form of Amendment to the Customer Agreement among  the Partnership and MLPF&S.                                                                                                                                             |
|              |   |                                                                                                                                                                                                                           |
| Exhibit 10.07(b)  |   | is incorporated herein by reference from Exhibit  10.07(b) contained in the Registrant’s report on Form 10-K for the year ended  December 31, 1996.                                                                       |
|              |   |                                                                                                                                                                                                                           |
| 13.01             |   | 2006 Annual Report and Report of Independent  Registered Public Accounting Firm.                                                                                                                                               |
|              |   |                                                                                                                                                                                                                           |
| Exhibit 13.01:    |   | Is filed herewith.                                                                                                                                                                                                             |
|              |   |                                                                                                                                                                                                                           |
| 13.01(a)          |   | 2006 Annual Report and Independent Auditors’ Report  for the following Trading Limited Liability Companies sponsored by MLAI:                                                                                             |
|              |   | ML Millburn Global L.L.C.                                                                                                                                                                                                      |
|              |   | ML JWH Financial and Metals Portfolio L.L.C.                                                                                                                                                                                   |
|              |   |                                                                                                                                                                                                                           |
| Exhibit 13.01(a): |   | Is filed herewith.                                                                                                                                                                                                             |
|              |   |                                                                                                                                                                                                                           |
| 28.01             |   | Prospectus of the Partnership dated  September 29, 1989.                                                                                                                                                                  |
|              |   |                                                                                                                                                                                                                           |
| Exhibit 28.01:    |   | Is incorporated by reference as filed with the  Securities and Exchange Commission pursuant to Rule 424 under the Securities  Act of 1933, as amended, on October 10, 1989.                                               |
|              |   |                                                                                                                                                                                                                           |
| 28.02             |   | Prospectus of the Partnership dated  December 14, 1990.                                                                                                                                                                   |
|              |   |                                                                                                                                                                                                                           |
| Exhibit 28.02:    |   | Is incorporated by reference as filed with the  Securities and Exchange Commission pursuant to Rule 424 under the Securities  Act of 1933, as amended, on December 20, 1990.                                              |
|              |   |                                                                                                                                                                                                                           |
| 28.03             |   | Prospectus of the Partnership dated September 13,  1991.                                                                                                                                                                       |

 

32

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| Exhibit 28.03:  |   | Is incorporated by reference as filed with the  Securities and Exchange Commission pursuant to Rule 424 under the Securities  Act of 1933, Registration Statement on September 23, 1991. |
|-----------------|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|            |   |                                                                                                                                                                                          |
| 31.01 and 31.02 |   | Rule 13a-14(a)/15d-14(a) Certifications                                                                                                                                                       |
|            |   |                                                                                                                                                                                          |
| Exhibit 31.01   |   |                                                                                                                                                                                          |
| and 31.02:      |   | Are filed herewith.                                                                                                                                                                           |
|            |   |                                                                                                                                                                                          |
| 32.01 and 32.02 |   | Section 1350 Certifications                                                                                                                                                                   |
|            |   |                                                                                                                                                                                          |
| Exhibit 32.01   |   |                                                                                                                                                                                          |
| and 32.02:      |   | Are filed herewith.                                                                                                                                                                           |

 

33

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SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) ofthe Securities Exchange Act of 1934, the Registrant has duly caused this reportto be signed on its behalf by the undersigned, thereunto duly authorized.
| ** ** | **JOHN W. HENRY & CO./MILLBURN L.P.**         |
|------------|---------------------------------------------------|
| ** ** | ** **                                        |
| ** ** | By: **MERRIL LYNCH ALTERNATIVE  INVESTMENTS LLC** |
| ** ** | General Partner                                   |
|       |                                              |
|       | By:                                               | /s/Benjamin C. Weston |   |
|       | Benjamin C. Weston                                |
|       | Chief Executive Officer and President             |
|       | (Principal Executive Officer)                     |

 

Pursuant to therequirements of Section 13 or 15(d) of the Securities Exchange Act of 1934,this report has been signed on March 30, 2007 by the following persons onbehalf of the Registrant and in the capacities indicated.
| Signature                | ** ** | **Title** | ** **                            | **Date** |
|--------------------------|------------|-----------|---------------------------------------|----------|
|                     |       |      |                                  |     |
| /s/Benjamin C. Weston    |       |      | Chief Executive Officer and President |     | March 30, 2007 |
| Bejamin Weston           |       |      |                                  |     |
|                     |       |      |                                  |     |
| /s/ Robert D. Ollwerther |       |      | Chief Operating Officer and Manager   |     | March 30, 2007 |
| Robert D. Ollwerther     |       |      |                                  |     |
|                     |       |      |                                  |     |
| /s/Barbra E. Kocsis      |       |      | Chief Financial Officer               |     | March 30, 2007 |
| Barbra E. Kocsis         |       |      |                                  |     |
|                     |       |      |                                  |     |
| /s/Robert M. Alderman    |       |      | Vice President and Manager            |     | March 30, 2007 |
| Robert M. Alderman       |       |      |                                  |     |
|                     |       |      |                                  |     |
| /s/Andrew B. Weisman     |       |      | Manager                               |     | March 30, 2007 |
| Andrew B. Weisman        |       |      |                                  |     |
|                          |            |           |                                       |          |  |  |  |  |  |

 

(Being the principal executive officer, the principal financial andaccounting officer and a majority of the managers of Merrill Lynch AlternativeInvestments LLC)

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

2006 FORM 10-K

INDEX TO EXHIBITS
|                  | ** ** | **Exhibit**                                                                     |
|------------------|------------|---------------------------------------------------------------------------------|
|             |       |                                                                            |
| Exhibit 13.01    |       | 2006 Annual Report and Report of Independent  Registered Public Accounting Firm |
|             |       |                                                                            |
| Exhibit 13.01(a) |       | 2006 Annual Report and Independent Auditors’ Report                        |
|             |       | ML Millburn Global, LLC                                                         |
|             |       | ML JWH Financials & Metals Portfolio, LLC                                   |

 

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