**UNITED STATES SECURITIESAND EXCHANGE COMMISSION**

**Washington, D.C.20549**

**FORM 10-Q**

**(Mark One)**

**x****QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGEACT OF 1934**

**For the quarterly period endedMarch 31, 2007**

**OR**

**o****TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGEACT OF 1934**

**For the transition period from                to                **

**Commission File Number 0-18215**

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

(Exact Name of Registrant asspecified in its charter)
| **Delaware**                                               | **06-1287586**                     |
|------------------------------------------------------------|------------------------------------|
| (State or other  jurisdiction of                           | (IRS Employer  Identification No.) |
| incorporation or  organization)                            |                               |
|                                                       |                               |
| **c/o  Merrill Lynch Alternative Investments LLC**         |
| **Princeton  Corporate Campus**                            |
| **800  Scudders Mill Road – Section 2G**              |
| **Plainsboro,  New Jersey  08536**                    |
| (Address of  principal executive offices)                  |
| (Zip Code)                                                 |
|                                                       |                               |
| **609-282-6091**                                           |
| (Registrant’s  telephone number, including area code) |

 

Indicate by check mark whether the registrant (1)has filed all reports required to be filed by Section 13 or 15(d) of theSecurities Exchange Act of 1934 during the preceding 12 months (or for suchshorter period that the registrant was required to file such reports), and (2)has been subject to such filing requirements for the past 90 days.

Yes x   No o

Indicate by check mark whether the registrant is alarge accelerated filer, an accelerated filer, or a non-accelerated filer.  See definition of “accelerated filer andlarge accelerated filer” in Rule 12b-2 of the Exchange Act. (Check one):

Large accelerated filer o  Accelerated filer o       Non-acceleratedfiler x

Indicate by check mark whether registrant is a shell company (asdefined by Rule 12b-2 of the Exchange Act).

Yes o   No x

Indicateby check mark whether the registrant has filed all documents and reportsrequired to be filed by Sections 12, 13 or 15(d) of the Securities Exchange Actof 1934 subsequent to the distribution of securities under a plan confirmed bya court.

Yes o   No o

 

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

QUARTERLY REPORT FORMARCH 31, 2007 ON FORM 10-Q

 

Table of Contents

 
| PART I  |                                                                                        |
|---------|---------------------------------------------------------------------------------------------|
|    |                                                                                        |   |
| Item 1. | Financial Statements                                                                        | 2 |
|    |                                                                                        |   |
| Item 2. | Management’s  Discussion and Analysis of Financial Condition and Results of Operations | 8 |
|    |                                                                                        |   |
| Item 3. | Quantitative  and Qualitative Disclosures About Market Risk                                 | 10 |
|    |                                                                                        |   |
| Item 4. | Controls and  Procedures                                                                    | 13 |
|    |                                                                                        |   |
| PART II |                                                                                        |
|    |                                                                                        |   |
| Item 1. | Legal Proceedings                                                                           | 14 |
|    |                                                                                        |   |
| Item 2. | Unregistered  Sales of Equity Securities and Use of Proceeds                                | 15 |
|    |                                                                                        |   |
| Item 3. | Defaults Upon  Senior Securities                                                            | 15 |
|    |                                                                                        |   |
| Item 4. | Submission of  Matters to a Vote of Security Holders                                        | 15 |
|    |                                                                                        |   |
| Item 5. | Other Information                                                                           | 15 |
|    |                                                                                        |   |
| Item 6  | Exhibits and  Reports on Form 8-K                                                           | 15 |

 

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PART I - FINANCIALINFORMATION

Item1.    Financial Statements

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

(a Delaware limited partnership)

STATEMENTS OF FINANCIAL CONDITION
| ** **                                               | ** ** | **March 31,** | ** ** | **December 31,** | ** ** |
|----------------------------------------------------------|------------|--------------------|------------|-----------------------|------------|
| ** **                                               | ** ** | **2007**           | ** ** | **2006**              | ** ** |
| ** **                                               | ** ** | **(unaudited)**    | ** ** | ** **            | ** ** |
|                                                     |       |               |       |                  |       |
| **ASSETS:**                                              | ** ** | ** **         | ** ** | ** **            | ** ** |
| ** **                                               | ** ** | ** **         | ** ** | ** **            | ** ** |
| Investments in Trading  LLCs                             |       | $                  | 16,831,019 |                  | $          | 20,078,409 |   |
| Redemption receivable  from Trading LLCs                 |       | 387,212            |       | 384,920               |       |
|                                                     |       |               |       |                  |       |
| **TOTAL  ASSETS**                                        |       | $                  | 17,218,231 |                  | $          | 20,463,329 |   |
|                                                     |       |               |       |                  |       |
| **LIABILITIES AND PARTNERS’  CAPITAL:**             | ** ** | ** **         | ** ** | ** **            | ** ** |
| ** **                                               | ** ** | ** **         | ** ** | ** **            | ** ** |
| **LIABILITIES:**                                         | ** ** | ** **         | ** ** | ** **            | ** ** |
| ** **                                               | ** ** | ** **         | ** ** | ** **            | ** ** |
| Filing fees payable                                      |       | $                  | 11,488     |                  | $          | 11,250 |   |
| Redemptions  payable                                     |       | 375,724            |       | 373,670               |       |
|                                                     |       |               |       |                  |       |
| Total  liabilities                                       |       | 387,212            |       | 384,920               |       |
|                                                     |       |               |       |                  |       |
| **PARTNERS’ CAPITAL:**                              | ** ** | ** **         | ** ** | ** **            | ** ** |
| General Partner:                                         |       |               |       |                  |       |
| (152 and 159  Series A Units Outstanding)                |       | $                  | 48,391     |                  | $          | 55,828 |   |
| (303 and 346  Series B Units Outstanding)                |       | 78,270             |       | 98,575                |       |
| (238 and 248  Series C Units Outstanding)                |       | 47,928             |       | 55,081                |       |
| Limited  Partners:                                       |       |               |       |                  |       |
| (14,738 and  15,308 Series A Units Outstanding)          |       | 4,691,785          |       | 5,374,754             |       |
| (29,180 and  32,396 Series B Units Outstanding)          |       | 7,537,368          |       | 9,229,259             |       |
| (21,985 and  23,705 Series C Units Outstanding)          |       | 4,427,277          |       | 5,264,912             |       |
|                                                     |       |               |       |                  |       |
| Total partners’  capital                            |       | 16,831,019         |       | 20,078,409            |       |
|                                                     |       |               |       |                  |       |
| **TOTAL  LIABILITIES AND PARTNERS’ CAPITAL**        |       | $                  | 17,218,231 |                  | $          | 20,463,329 |   |
|                                                     |       |               |       |                  |       |
| **NET ASSET VALUE PER UNIT:**                            | ** ** | ** **         | ** ** | ** **            | ** ** |
| Series A (Based  on 14,890 and 15,467 Units outstanding) |       | $                  | 318.35     |                  | $          | 351.11 |   |
| Series B (Based  on 29,483 and 32,742 Units outstanding) |       | $                  | 258.31     |                  | $          | 284.89 |   |
| Series C (Based  on 22,223 and 23,953 Units outstanding) |       | $                  | 201.38     |                  | $          | 222.10 |   |

 

See notes to financialstatements.

2

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

(a Delaware limited partnership)

STATEMENTS OFOPERATIONS

(unaudited)
| ** **                                                                                  | ** ** | **For the three  months ended  March 31, 2007** | ** ** | **For the three  months ended  March 31, 2006** | ** ** |
|---------------------------------------------------------------------------------------------|------------|--------------------------------------------------------------------------|------------|--------------------------------------------------------------------------|------------|
| **TRADING  PROFIT (LOSS):**                                                                 | ** ** | ** **                                                               | ** ** | ** **                                                               | ** ** |
|                                                                                        |       |                                                                     |       |                                                                     |       |
| Realized                                                                                    |       | $                                                                        | (1,340,066 | )                                                                        | $          | (236,077 | ) |
| Change in unrealized                                                                        |       | (212,922                                                                 | )          | 1,258,237                                                                |       |
|                                                                                        |       |                                                                     |       |                                                                     |       |
| Total trading profit (loss)                                                                 |       | (1,552,988                                                               | )          | 1,022,160                                                                |       |
|                                                                                        |       |                                                                     |       |                                                                     |       |
| **INVESTMENT  INCOME:**                                                                     | ** ** | ** **                                                               | ** ** | ** **                                                               | ** ** |
| Interest                                                                                    |       | 235,045                                                                  |       | 254,290                                                                  |       |
|                                                                                        |       |                                                                     |       |                                                                     |       |
| **EXPENSES:**                                                                               | ** ** | ** **                                                               | ** ** | ** **                                                               | ** ** |
|                                                                                        |       |                                                                     |       |                                                                     |       |
| Brokerage commissions                                                                       |       | 402,086                                                                  |       | 487,486                                                                  |       |
| Profit Shares                                                                               |       | 40,568                                                                   |       | 169,994                                                                  |       |
| Administrative fees                                                                         |       | 46,290                                                                   |       | 48,088                                                                   |       |
|                                                                                        |       |                                                                     |       |                                                                     |       |
| Total expenses                                                                              |       | 488,944                                                                  |       | 705,568                                                                  |       |
|                                                                                        |       |                                                                     |       |                                                                     |       |
| **NET  INVESTMENT LOSS**                                                                    |       | (253,899                                                                 | )          | (451,278                                                                 | )          |
|                                                                                        |       |                                                                     |       |                                                                     |       |
| **NET  INCOME (LOSS)**                                                                      |       | $                                                                        | (1,806,887 | )                                                                        | $          | 570,882 |   |
|                                                                                        |       |                                                                     |       |                                                                     |       |
| **NET  INCOME (LOSS) PER UNIT:**                                                            | ** ** | ** **                                                               | ** ** | ** **                                                               | ** ** |
| ** **                                                                                  | ** ** | ** **                                                               | ** ** | ** **                                                               | ** ** |
| Weighted average  number of General Partner and Limited Partner Units outstanding           |       |                                                                     |       |                                                                     |       |
| Series A                                                                                    |       | 15,135                                                                   |       | 16,313                                                                   |       |
| Series B                                                                                    |       | 31,702                                                                   |       | 37,047                                                                   |       |
| Series C                                                                                    |       | 23,643                                                                   |       | 26,582                                                                   |       |
|                                                                                        |       |                                                                     |       |                                                                     |       |
| Net income  (loss) per weighted average General Partner and Limited Partner Unit by  series |       |                                                                     |       |                                                                     |       |
| Series A                                                                                    |       | $                                                                        | (32.28     | )                                                                        | $          | 9.11 |   |
| Series B                                                                                    |       | $                                                                        | (26.25     | )                                                                        | $          | 7.30 |   |
| Series C                                                                                    |       | $                                                                        | (20.56     | )                                                                        | $          | 5.72 |   |

 

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

 

See notes tofinancial statements.

3

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

(a Delaware limited partnership)

STATEMENTS OFCHANGES IN PARTNERS’ CAPITALFor the three months ended March 31, 2007 and 2006

(unaudited)
| ** **                                 | ** ** | **Units**         | ** ** | **General  Partner** | ** ** | **Limited  Partners** | ** ** | ** **        | ** ** |
|--------------------------------------------|------------|-------------------|------------|----------------------|------------|-----------------------|------------|-------------------|------------|
| ** **                                 | ** ** | **Series A** | ** ** | **Series B**    | ** ** | **Series C**     | ** ** | **Series A** | ** ** | **Series B** | ** ** | **Series C** | ** ** | **Series A** | ** ** | **Series B** | ** ** | **Series C** | ** ** | **Total** | ** ** |
|                                       |       |              |       |                 |       |                  |       |              |       |   |   |   |   |   |   |   |   |   |   |   |   |
| PARTNERS’ CAPITAL, December 31, 2005  |       | 16,413            |       | 37,240               |       | 26,729                |       | $                 | 67,612     |   | $ | 123,385 |   | $ | 66,981 |   | $ | 5,803,895 |   | $ | 10,688,039 |   | $ | 5,981,639 |   | $ | 22,731,551 |   |
|                                       |       |              |       |                 |       |                  |       |              |       |   |   |   |   |   |   |   |   |   |   |   |   |
| Net income                                 |       | —            |       | —               |       | —                |       | 1,621             |       | 2,953 |   | 1,628 |   | 146,914 |   | 267,443 |   | 150,323 |   | 570,882 |   |
|                                       |       |              |       |                 |       |                  |       |              |       |   |   |   |   |   |   |   |   |   |   |   |   |
| Redemptions                                |       | (225              | )          | (930                 | )          | (391                  | )          | (8,327            | )          | (14,102 | ) | (5,954 | ) | (72,544 | ) | (258,343 | ) | (82,751 | ) | (442,021 | ) |
|                                       |       |              |       |                 |       |                  |       |              |       |   |   |   |   |   |   |   |   |   |   |   |   |
| PARTNERS’  CAPITAL, March 31, 2006    |       | 16,188            |       | 36,310               |       | 26,338                |       | $                 | 60,906     |   | $ | 112,236 |   | $ | 62,655 |   | $ | 5,878,265 |   | $ | 10,697,139 |   | $ | 6,049,211 |   | $ | 22,860,412 |   |
|                                       |       |              |       |                 |       |                  |       |              |       |   |   |   |   |   |   |   |   |   |   |   |   |
| PARTNERS’  CAPITAL, December 31, 2006 |       | 15,467            |       | 32,742               |       | 23,953                |       | $                 | 55,828     |   | $ | 98,575 |   | $ | 55,081 |   | $ | 5,374,754 |   | $ | 9,229,259 |   | $ | 5,264,912 |   | $ | 20,078,409 |   |
|                                       |       |              |       |                 |       |                  |       |              |       |   |   |   |   |   |   |   |   |   |   |   |   |
| Net loss                                   |       | —            |       | —               |       | —                |       | (5,114            | )          | (8,978 | ) | (5,054 | ) | (483,454 | ) | (823,356 | ) | (480,931 | ) | (1,806,887 | ) |
|                                       |       |              |       |                 |       |                  |       |              |       |   |   |   |   |   |   |   |   |   |   |   |   |
| Redemptions                                |       | (577              | )          | (3,259               | )          | (1,730                | )          | (2,323            | )          | (11,327 | ) | (2,099 | ) | (199,515 | ) | (868,535 | ) | (356,704 | ) | (1,440,503 | ) |
|                                       |       |              |       |                 |       |                  |       |              |       |   |   |   |   |   |   |   |   |   |   |   |   |
| PARTNERS’  CAPITAL, March 31, 2007    |       | 14,890            |       | 29,483               |       | 22,223                |       | $                 | 48,391     |   | $ | 78,270 |   | $ | 47,928 |   | $ | 4,691,785 |   | $ | 7,537,368 |   | $ | 4,427,277 |   | $ | 16,831,019 |   |

 

See notes to financial statements.

4

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

(A Delawarelimited partnership)

NOTES TO FINANCIALSTATEMENTS

(unaudited)

1.               SUMMARY OFSIGNIFICANT ACCOUNTING POLICIES

In the opinion of management, the financial statementscontain all adjustments necessary to present fairly the financial position ofJohn W. Henry & Co./Millburn L.P. (the “Partnership”) as of March 31, 2007,and the results of its operations for the three months ended March 31, 2007 and2006.  The operating results for theinterim periods may not be indicative of the results for the full year.

Certain information and footnote disclosures normallyincluded in annual financial statements prepared in accordance with accountingprinciples generally accepted in the United States of America (“US GAAP”) havebeen omitted.  It is suggested that thesefinancial statements be read in conjunction with the financial statements andnotes thereto included in the Partnership’s Annual Report on Form 10-K filedwith the Securities and Exchange Commission for the year ended December 31,2006.

The preparation of financial statements in conformitywith US GAAP requires management to make estimates and assumptions that affectthe reported amounts of assets and liabilities and disclosure of contingentassets and liabilities at the date of the financial statements and the reportedamounts of revenues and expenses during the reporting period.  Actual results could differ from thoseestimates.

2.               INVESTMENTS

As of March 31, 2007, the Partnership had investmentsin ML John W. Henry Financials and Metals Portfolio LLC (“JWH LLC”) andMillburn Global LLC (“Millburn LLC”) (“Trading LLCs”, collectively) of$8,415,510 and $8,415,509 respectively. As of December 31, 2006, thePartnership had investments in JWH LLC and Millburn LLC of $10,039,205 and$10,039,204, respectively.  The majorityof revenue and expenses of the Partnership have been derived from itsinvestments in the Trading LLCs.

Condensedstatements of financial condition and statements of operations for JWH LLC andMillburn LLC are set forth as follows:

|                       | ** ** | **March 31, 2007** | ** ** | **December 31, 2006** | ** ** |
|-----------------------|------------|------------------------------|------------|---------------------------------|------------|
| ** **            | ** ** | **(unaudited)**              | ** ** | ** **                      | ** ** | ** ** | ** ** |
| ** **            | ** ** | **JWH**                      | ** ** | **Millburn**                    | ** ** | **JWH** | ** ** | **Millburn** | ** ** |
| ** **            | ** ** | **LLC**                      | ** ** | **LLC**                         | ** ** | **LLC** | ** ** | **LLC** | ** ** |
|                  |       |                         |       |                            |       |   |   |   |   |
|                  |       |                         |       |                            |       |   |   |   |   |
| Assets                |       | $                            | 8,471,027  |                            | $          | 9,777,850 |   | $ | 10,128,414 |   | $ | 11,623,182 |   |
|                  |       |                         |       |                            |       |   |   |   |   |
| Liabilities           |       | $                            | 55,517     |                            | $          | 1,362,341 |   | $ | 89,209 |   | $ | 1,583,978 |   |
| Members’ Capital |       | 8,415,510                    |       | 8,415,509                       |       | 10,039,205 |   | 10,039,204 |   |
|                  |       |                         |       |                            |       |   |   |   |   |
| Total                 |       | $                            | 8,471,027  |                            | $          | 9,777,850 |   | $ | 10,128,414 |   | $ | 11,623,182 |   |

 

5

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| ** **        | ** ** | **JWH**                                                                            | ** ** | **Millburn**                                                                       | ** ** | **JWH**                                                                            | ** ** | **Millburn**                                                                       | ** ** |
|-------------------|------------|------------------------------------------------------------------------------------|------------|------------------------------------------------------------------------------------|------------|------------------------------------------------------------------------------------|------------|------------------------------------------------------------------------------------|------------|
| ** **        | ** ** | **LLC**                                                                            | ** ** | **LLC**                                                                            | ** ** | **LLC**                                                                            | ** ** | **LLC**                                                                            | ** ** |
| ** **        | ** ** | **For the three  months  ended March 31, 2007** | ** ** | **For the three  months  ended March 31, 2007** | ** ** | **For the three  months  ended March 31, 2006** | ** ** | **For the three  months  ended March 31, 2006** | ** ** |
|              |       |                                                                               |       |                                                                               |       |                                                                               |       |                                                                               |       |
| Revenue (loss)    |       | $                                                                                  | (1,756,600 | )                                                                                  | $          | 438,657                                                                            |       | $                                                                                  | 96,599     |   | $ | 1,179,850 |   |
|              |       |                                                                               |       |                                                                               |       |                                                                               |       |                                                                               |       |
| Expenses          |       | (196,700                                                                           | )          | (257,780                                                                           | )          | (236,790                                                                           | )          | (435,028                                                                           | )          |
|              |       |                                                                               |       |                                                                               |       |                                                                               |       |                                                                               |       |
| Net income (loss) |       | $                                                                                  | (1,953,300 | )                                                                                  | $          | 180,877                                                                            |       | $                                                                                  | (140,191   | ) | $ | 744,822 |   |

 

3.               MARKET AND CREDIT RISKS

The nature of this Partnership has certain risks,which cannot be presented on the financial statements.  The following summarizes some of those risks.

Market Risk

Derivative instruments involve varying degrees ofmarket risk.  Changes in the level orvolatility of interest rates, foreign currency exchange rates or the marketvalues of the financial instruments or commodities underlying such derivativeinstruments frequently result in changes in the Partnership’s Net unrealizedprofit (loss) on such derivative instruments as reflected in the Statements ofFinancial Condition.  The Partnership’sexposure to market risk is influenced by a number of factors, including therelationships among the derivative instruments held by the Partnership as wellas the volatility and liquidity of the markets in which the derivativeinstruments are traded. Investments in foreign markets may also entail legaland political risks.

Merrill LynchAlternative Investments LLC (“MLAI”), the General Partner, has procedures inplace intended to control market risk exposure, although there can be noassurance that they will, in fact, succeed in doing so.  These procedures focus primarily onmonitoring the trading of the advisors selected from time to time for thePartnership, calculating the Net Asset Value of the advisors’ respectiveTrading LLC accounts as of the close of business on each day and reviewingoutstanding positions for over-concentrations both on an advisor-by-advisor andon an overall Partnership basis.  WhileMLAI does not intervene in the markets to hedge or diversify the Partnership’smarket exposure, MLAI may urge advisors to reallocate positions or itselfreallocate Partnership assets among advisors (although typically only as of theend of a month) in an attempt to avoid over-concentration.  However, such interventions are unusual.  Except in cases in which it appears that anadvisor has begun to deviate from past practice and trading policies or to betrading erratically, MLAI’s basic risk control procedures consist simply of theongoing process of advisor monitoring and selection, with the market riskcontrols being applied by the advisors.

###### Credit Risk

The risks associated with exchange-traded contractsare typically perceived to be less than those associated with over-the-counter(non-exchange-traded) transactions, because exchanges typically

6

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provide clearinghouse arrangements in which thecollective credit (in some cases limited in amount, in some cases not) of themembers of the exchange is pledged to support the financial integrity of theexchange.  In over-the-counter transactions,on the other hand, traders must rely solely on the credit of their respectiveindividual counterparties.  Margins,which may be subject to loss in the event of a default, are generally requiredin exchange trading, and counterparties may also require margin in theover-the-counter markets.

The credit risk associated with these instruments fromcounterparty nonperformance is the Net unrealized profit (loss) on opencontracts, if any, included in the Statements of Financial Condition of theTrading LLCs. The Trading LLCs attempt to mitigate this risk by dealingexclusively with Merrill Lynch entities as clearing brokers. 

The Trading LLCs,in their normal course of business, enter into various contracts, withMLPF&S acting as their commodity broker. Pursuant to the brokerage arrangement with MLPF&S (which includes anetting arrangement), to the extent that such trading results in receivablesfrom and payables to MLPF&S, these receivables and payables are offset andreported as a net receivable or payable and included in Equity in commodityfutures trading accounts in the respective Statements of Financial Condition ofthe Trading LLCs.

4.               RECENT ACCOUNTING PRONOUNCEMENTS

In July 2006, the Financial Accounting StandardsBoard (“FASB”) issued Interpretation No. 48 (“FIN 48”), Accounting for Uncertaintyin Income Taxes — an interpretation of FASB Statement No. 109. FIN 48prescribes the minimum recognition threshold a tax position must meet inconnection with accounting for uncertainties in income tax positions taken orexpected to be taken by an entity before being measured and recognized in thefinancial statements. Adoption of FIN 48 is required for fiscal years beginningafter December 15, 2006. The Partnership has evaluated its tax positions andhas determined that the implementation of this pronouncement does not have amaterial impact on its financial statements.

In September 2006, the FASB issued Statement ofFinancial Accounting Standards No. 157, Fair Value Measurements (“FAS 157”). FAS 157 establishes a common definition for fair value under accountingprinciples generally accepted in the United States of America, establishes aframework for measuring fair value and expands disclosure requirements aboutsuch fair value measurements.  FAS 157 is effective for fiscal years beginningafter November 15, 2007.  The Partnership is currently evaluating theimpact of adopting FAS 157 on its financial statements.

7

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Item 2:    Management’s Discussion and Analysis ofFinancial Condition and Results of Operations

MONTH-END NETASSET VALUE PER SERIES A UNIT

|      | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------|------------|----------|------------|----------|------------|----------|------------|
| 2006 |       | $        | 362.06     |     | $          | 345.38   |       | $ | 366.89 |   |
| 2007 |       | $        | 356.51     |     | $          | 331.87   |       | $ | 318.35 |   |

 

MONTH-END NETASSET VALUE PER SERIES B UNIT

|      | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------|------------|----------|------------|----------|------------|----------|------------|
| 2006 |       | $        | 293.78     |     | $          | 280.25   |       | $ | 297.70 |   |
| 2007 |       | $        | 289.28     |     | $          | 269.28   |       | $ | 258.31 |   |

 

MONTH-END NET ASSET VALUEPER SERIES C UNIT

|      | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------|------------|----------|------------|----------|------------|----------|------------|
| 2006 |       | $        | 229.00     |     | $          | 218.45   |       | $ | 232.05 |   |
| 2007 |       | $        | 225.52     |     | $          | 209.93   |       | $ | 201.38 |   |

 

Performance Summary

All of the Partnership’sassets are invested in the Trading LLCs. The Partnership receives trading profits and losses as an investor inthe Trading LLCs. The following commentary describes the trading results of theTrading LLCs.

January 1, 2007 to March31, 2007

The Partnership posted anoverall loss for the first quarter. 

The metals sector posted losses for the Partnership. Precious metal prices reacted tofluctuations in the U.S. dollar at the beginning of the quarter as reversal inthe U.S. dollar’s weakening trend reduced the appeal of gold as an alternativeinvestment. Gold weakened, falling 3.1% after the U.S. dollar rose to a six-week high as the United Statesannounced higher-than-expected employment figures in December 2006 only to rise3.9% as the U.S. dollar once again weakened and speculation increased that theprecious metal’s decline was excessive. The London Metal Exchange Copperlimited the sector’s losses as copper prices fell 10% and 35% since reaching arecord high of 8,724 per metric ton since May 2006. Copper prices declined amidexpectations that a housing slowdown in the United States, the world’ssecond-largest user of the metal, would continue to reduce demand this year.Base metals suffered strong reversals mid-quarter as copper, which had beenweakening prior to February on reports of rising stockpiles signaled productionwas exceeding demand and rallied on speculation that China, its largest user,would accelerate its buying. Performance in gold and silver limited losses asprices found further

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support as they climbed to nine-month highs asescalating tension over Iran’s nuclear research program increased and investorssearched for safe-haven investments. However, as the quarter ended the drop inprice in the equity markets sent precious metals lower, reversing their strengtheningtrend.  

The interest rate sector posted losses for thePartnership. The quarter began with stronger than expected growth and fears ofincreasing inflation led European ten-year bond yields to reach six-month highsand the U.K. two-year gilt yields to move toward five-year highs. U.K. longgilts slumped, which sent yields soaring after the Bank of England policymakers unexpectedly raised interest rates by a quarter point. Fixed-incomemarkets, which had rallied mid-quarter continued to strengthen as uncertaintyincreased that the drop in equities and the rising defaults among the riskiestmortgages would slow consumer spending and the global economy. Europeangovernment bonds posted their biggest back-to-back weekly decline in threemonths as European Central Bank President Jean-Claude Trichet reassuredinvestors and stated that growth was “broader and sustained” and left “no timefor complacency.”  The quarter ended asthe U.S. ten-year Treasury note surrendered the remainder of the gains it hadamassed after the equity sell-off that began on February 27th which had driven the yield to as low as 4.44%.

The stock indices sector posted losses for thePartnership. The quarter began with gains posted for the Partnership due to long positions in every market thatthe Partnership traded. The German DAX Index gained 2.9%, its sixth monthlygain in a row. Domestic equity positions contributed as U.S. stocks rallied dueto the month’s early decrease in energy prices and continued strong economicdata. U.S. stocks had their biggest tumble since 2002 mid-quarter after aplunge in the Chinese equity market caused by concern that a governmentcrackdown on investments with borrowed money will end a rally that drovebenchmarks to records, sparked a global drop in equity prices and raisedconcerns that investors would unload equities after a four-year bull market. OnFebruary 27th,Chinese stocks suffered their greatest loss in a decade, while the Dow JonesStoxx 600 Index dropped 3%  and the DowJones Industrial Average fell as much as 546 points intraday, the most sincethe first day of trading after September 11th, 2001. The quarter ended as theglobal sell-off that began on February 27th caused more than$2.4 trillion in share value to be lost over five days.  

The currency sector posted losses for the Partnership. The quarter began with marketsanticipating the economic data releases and central bank policy announcementsin the hopes of gaining insight into the health of the world’s largesteconomies. On January 3rd, the U.S. dollar rose to its highest level in sixmonths against the Euro on the news that the Institute for Supply ManagementManufacturing Index came in at a higher than expected 51.4, signaling anexpansion of the U.S. economy. The Japanese yen declined to 122.19 per U.S.dollar, the lowest in more than four years, due to speculation that there wouldbe increased government pressure on policy makers not to raise borrowing costs.The U.S. dollar had its largest fall mid-quarter against the Japanese yen inmore than two months after U.S. Treasury Secretary Henry Paulson said he wouldbe watching the Japanese currency “very carefully”. The Japanese yen ralliedagainst the U.S. dollar to its highest level in more than 19 months amid acorrection in U.S. stocks as the investors avoided emerging market assets,triggering an unwinding of trades betting on a decline in the Japanesecurrency. The Japanese yen continued to advance against the U.S. dollar andgained against all 16 of the most-active currencies during the first week ofMarch, as global stocks extended a slump. The British pound, the sector’s worstperformer fell to its lowest level against the Japanese yen in more than fourmonths, as in one month the British pound sterling/Japanese yen implied volatilitysoared to a record high of 11.75 due to concerns of rising risk. The quarterended with slight gains produced by the Brazilian Real as the currency’sstrengthening trend remained intact and reached a six-year high on speculationthat the U.S. dollar flows from both financial investments and a trade surpluswould remain strong.

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January 1, 2006 toMarch 31, 2006

The Partnership’soverall trading was profitable for the quarter. The Partnership experiencedgains in three of the four sectors, with the largest gain in the stock indicessector.

The stock indicessector was the most profitable for the Partnership. At the beginning of thequarter, the Partnership continued to hold long positions in all 15 tradedmarkets which benefited from strong worldwide equity markets. The Nikkei 225(up 3.3%) was the most profitable stock index traded as it rose to an over fiveyear high after sustaining high intra-month volatility. In the middle of thequarter, most indices lost profits but rebounded by the end of the quarter.Successful trading in the major U.S. indices contributed positively, with theS&P 500 and Dow Jones Industrial Average, at five year highs and theRussell 2000 at all-time highs. 

The metals sectorposted a gain as the Partnership was well positioned to capture the sector’ssustained upward trend. Precious metals, gold and silver bolstered thePartnership’s returns as investors sought the safety of these markets whentensions in Iran increased over its nuclear program. Long positions in the basemetals copper, zinc and aluminum added to profitability. Industrial metalsslumped mid-quarter. The metals sector bounced back the end of the quarter dueto a strong performance from silver and copper. Silver, for May delivery,closed the month at $11.66, its highest level since September 1983. An 18.52%gain for silver was driven largely by the anticipation of the launching of asilver exchange traded fund by Barclays Capital. Copper rallied to an all timehigh with a 13.84% gain at the end of the quarter. The metal’s rally has beenfueled by speculation that increased worldwide economic growth (particularly inChina) will reduce inventories and potentially trigger supply shortfalls.

The interest ratesector posted a profit for the Partnership. The beginning of the quarter wasdifficult due to losses made in long positions in ten year notes in theJapanese, German and U.S. markets. However, gains were recaptured mid-quarterdue to short positions in the Eurodollar and Euribor contracts. Short positionsin the U.S. Treasury two-year and ten-year notes contributed with modestprofits as traders stepped up bets that the U.S. Federal Reserve will raiseinterest rates at least two more times by June. Gains continued through the endof the quarter as the Partnership had short positions in nearly everyinstrument it traded in the sector. The majority of the gains were made throughshort positions in the U.S. and German bonds across the yield curve. Yields onthe U.S. Treasury ten-year note rose to the highest level since May 2004 afterthe U.S. Federal Reserve lifted its target rate for the 15th consecutive time and hinted there may be moreincreases.

The currencysector posted losses for the Partnership. Losses were particularly attributed to short positions in the Swiss francand Japanese yen. Short position in the Japanese yen was the worst performingposition for the Partnership after the Bank of Japan Governor, Toshihiko Fukuisaid a seven-year bout of deflation has almost ended and the central bank willgradually raise interest rates from zero percent, resulting in the Japanese yenrising over 2.50%. The Euro proved to be difficult as the market moved againstthe Partnership’s long position. The Canadian dollar and Mexican peso wereespecially challenging as both currencies suffered sharp reversals versus theU.S. dollar. Traders drove the Canadian dollar lower on concerns that Canada’sinterest rate disadvantage with U.S. will widen. In Mexico, the Bank of Mexicocut rates, further weakening the currency versus the U.S. dollar.     

Item 3.   Quantitative and Qualitative DisclosuresAbout Market Risk

Past Results Not Necessarily Indicative of Future Performance

ThePartnership is a speculative commodity pool. Unlike an operating company, the risk of market sensitive instruments isintegral, not incidental, to the Partnership’s main line of business.

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Marketmovements result in frequent changes in the fair market value of the TradingLLC’s open positions and, consequently, in its earnings and cash flow.  The Partnership’s market risk is influencedby a wide variety of factors, including the level and volatility of interestrates, exchange rates, equity price levels, the market value of financialinstruments and contracts, the diversification effects among the Partnership’sopen positions and the liquidity of the markets in which it trades.

ThePartnership, under the direction of the two advisors, which it has retainedsince inception, rapidly acquires and liquidates both long and short positionsin a wide range of different markets. Consequently, it is not possible to predict how a particular futuremarket scenario will affect performance, and the Partnership’s past performanceis not necessarily indicative of its future results. 

Value at Risk is a measureof the maximum amount which the Partnership could reasonably be expected tolose in a given market sector.  However,the inherent uncertainty of the Partnership’s speculative trading and therecurrence in the markets traded by the Partnership of market movements farexceeding expectations could result in actual trading or non-trading losses farbeyond the 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.

Quantifyingthe Partnership’s Trading Value at Risk

Quantitative Forward-Looking Statements

The following quantitativedisclosures regarding the Partnership’s market risk exposures contain “forward-lookingstatements” within the meaning of the safe harbor from civil liability providedfor such statements by the Private Securities Litigation Reform Act of 1995(set forth in Section 27A of the Securities Act of 1933 and Section 21E of theSecurities Exchange Act of 1934).  Allquantitative disclosures in this section are deemed to be forward-lookingstatements for purposes of the safe harbor, except for statements of historicalfact.

The Partnership’s riskexposure in the various market sectors traded by the advisors is quantified belowin terms of Value at Risk.  Due to thePartnership’s mark-to-market accounting, any loss in the fair value of thePartnership’s open positions is directly reflected in the Partnership’searnings (realized or unrealized) and cash flow (at least in the case ofexchange-traded contracts in which profits and losses on open positions aresettled daily through variation margin).

Exchange maintenance marginrequirements have been used by the Partnership as the measure of its Value atRisk.  Maintenance margin requirementsare set by exchanges to equal or exceed the maximum loss in the fair value ofany given contract incurred in 95%-99% of the one-day time periods included inthe historical sample (generally approximately one year) researched forpurposes of establishing margin levels. The maintenance margin levels areestablished by dealers and exchanges using historical price studies as well asan assessment of current market volatility (including the implied volatility ofthe options on a given futures contract) and economic fundamentals to provide a

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probabilistic estimate of the maximum expectednear-term one-day price fluctuation.  

In the case of market sensitive instruments whichare not exchange-traded (almost exclusively currencies in the case of the Partnership),the margin requirements for the equivalent futures positions have been used asValue at Risk.  In those rare cases inwhich a futures-equivalent margin is not available, dealers’ margins have beenused.

The fair value of thePartnership’s futures and forward positions does not have any optionalitycomponent. However, both JWH LLC and Millburn LLC trade options on futures to alimited extent.  The Value at Riskassociated with options is reflected in the following table as the marginrequirement attributable to the instrument underlying each option.

100% positive correlation inthe different positions held in each market risk category has beenassumed.  Consequently, the marginrequirements applicable to the open contracts have been aggregated to determineeach trading category’s aggregate Value at Risk.  The diversification effects resulting fromthe fact that the Partnership’s positions are rarely, if ever, 100% positivelycorrelated have not been reflected.

***The Partnership’s Trading Valueat Risk in Different Market Sectors***

Thefollowing table indicates the average, highest and lowest trading Value at Riskassociated with the Partnership’s open positions by market category for thefiscal year 2006.  During the firstquarter 2007, the Partnership’s average capitalization was approximately$18,721,181.  As of March 31, 2006, theaverage capitalization was approximately $22,542,893.  

**March31, 2007**
| Market Sector | ** ** | **AverageValue at  Risk** | ** ** | **% of Average  Capitalization** | ** ** | **Highest Value at  Risk** | ** ** | **Lowest Value at  Risk** | ** ** |
|--------------------|------------|--------------------------------|------------|--------------------------------------------|------------|--------------------------------------|------------|--------------------------------|------------|
|               |       |                           |       |                                       |       |                                 |       |                           |       |
| Interest Rates     |       | 2,125,696                      |       | 11.35                                      | %          | $                                    | 2,984,171  |                           | $          | 1,388,823 |   |
| Currencies         |       | $                              | 455,228    |                                       | 2.43       | %                                    | 660,336    |                           | 273,238    |   |
| Stock indices      |       | 248,786                        |       | 1.33                                       | %          | 310,151                              |       | 140,212                        |       |
| Metals             |       | 83,140                         |       | 0.44                                       | %          | 173,943                              |       | 37,233                         |       |
| TOTAL              |       | $                              | 2,912,850  |                                       | 15.55      | %                                    | $          | 4,128,601                      |       | $ | 1,839,506 |   |

 

**March31, 2006**

 
| Market Sector | ** ** | **AverageValue at  Risk** | ** ** | **% of Average  Capitalization** | ** ** | **Highest Value at  Risk** | ** ** | **Lowest Value at  Risk** | ** ** |
|--------------------|------------|--------------------------------|------------|--------------------------------------------|------------|--------------------------------------|------------|-------------------------------------|------------|
|               |       |                           |       |                                       |       |                                 |       |                                |       |
| Interest Rates     |       | $                              | 2,676,131  |                                       | 11.87      | %                                    | $          | 3,022,500                           |       | $ | 2,224,246 |   |
| Currencies         |       | 214,247                        |       | 0.95                                       | %          | 464,623                              |       | 66,175                              |       |
| Stock Indices      |       | 418,578                        |       | 1.86                                       | %          | 548,558                              |       | 331,457                             |       |
| Metals             |       | 105,378                        |       | 0.47                                       | %          | 157,669                              |       | 75,300                              |       |
| TOTAL              |       | $                              | 3,414,334  |                                       | 15.15      | %                                    | $          | 4,193,350                           |       | $ | 2,697,178 |   |

 

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Average, highest and lowest Value at Risk amountsrelate to month end amounts for each month during the year.  Average capitalization is the average or thePartnership’s capitalization at the end of each month of 2007 and 2006.

Material Limitations onValue at Risk as an Assessment of Market Risk

The face value of the marketsector 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) as wellas 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 — gives noindication of this “risk of ruin.”

**Non-Trading Risk**

Foreign Currency Balances;Cash on Deposit with MLPF&S.

The Partnership hasnon-trading market risk on its foreign cash balances not needed for margin.However, these balances (as well as 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 of this cash is not interest ratesensitive, but there is cash flow risk in that if interest rates decline so willthe cash flow generated on these monies. This cash flow risk is immaterial.

Item 4. Controls and 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 and Trading LLCs as of the end ofthe period of this quarterly report, and, based on this evaluation, hasconcluded that these disclosure controls and procedures are effective.  Additionally, there were no significantchanges in the Partnership or Trading LLCs internal controls or in otherfactors that could significantly affect these controls subsequent to the dateof this evaluation, including any corrective actions with regard to significantdeficiencies and material weaknesses.

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PART II - OTHER INFORMATION

Item 1.     Legal Proceedings

Therehave been no administrative, civil or criminal actions, whether pending orconcluded, against MLAI or Merrill Lynch or any of its individual principalsduring the past five years which would be considered “material” as that term isdefined in Section 4.24(l)(2) of the Regulations of the CFTC, except asdescribed below.

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

OnMarch 19, 2003, Merrill Lynch & Co., Inc., the parent company and anapproved person of MLPF&S, consented to an injunctive action instituted bythe Securities and Exchange Commission (“SEC”). In its complaint, the SEC alleged that three years ago, in 1999, MerrillLynch aided and 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-3 and 13b2-1 thereunder, as a result of Merrill Lynch engaging incertain year-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.

InApril 2003, MLPF&S entered into a settlement with the SEC, the NationalAssociation of Securities Dealers (“NASD”) and the New York Stock Exchange (“NYSE”)as part of a joint settlement with the SEC, the NASD and the NYSE arising froma joint investigation by the SEC, NASD and 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 alreadypaid by 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.

InMarch 2006, MLPF&S entered into a settlement with the SEC arising from aninvestigation related to MLPF&S’ retention and production of e-mail.  The SEC found that MLPF&S willfullyviolated Section 17(a) of the Exchange Act, and Rules 17a-4(b)(4) and 17a-4(j)thereunder.  Without admitting or denyingthe allegations, Merrill Lynch consented to the entry of an injunctionenjoining it from violating the above-referenced provisions, entered into anundertaking regarding its policies and procedures and agreed to pay a civilpenalty $2,500,000.

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Item 2.     Unregistered Sales of Equity Securities andUse of Proceeds

(a)          None.

(b)         None.

(c)          None.

Item 3.     Defaults Upon Senior Securities

None.

Item 4.    Submission of Matters to a Vote of SecurityHolders

None.

Item 5.    Other information

On May 31, 2007, John W. Henry & Co./MillburnL.P. will be liquidating all partnership interests. Payments of all partnershipinterests will be made shortly thereafter.

Item 6.    Exhibits and Reports on Form 8-K.

(a)  Exhibits

The following exhibits areincorporated by reference or are filed herewith to this Quarterly Report onForm 10-Q:
| 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                      |

 

(b)  Reports on Form 8-K

There were no reports onForm 8-K filed during the first three months of fiscal 2007.

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**SIGNATURES**

Pursuant to therequirements of the Securities Exchange Act of 1934, the registrant has dulycaused this report to be signed on its behalf by the undersigned thereunto dulyauthorized.

 
|                          | JOHN W. HENRY & CO./MILLBURN L.P. |
|--------------------------|---------------------------------------|
|                     |                                  |   |
|                     |                                  |   |
|                     | By:                                   | **MERRIL LYNCH ALTERNATIVE  INVESTMENTS  LLC** |
|                     |                                  | (General  Partner) |
|                     |                                  |   |
|                     |                                  |   |
| Date:  May 15, 2007 | By                                    | /s/ BENJAMIN C. WESTON |   |
|                     |                                  | Benjamin C.  Weston |
|                     |                                  | Chief Executive  Officer and President |
|                     |                                  | (Principal  Executive Officer) |
|                     |                                  |   |
|                     |                                  |   |
| Date:  May 15, 2007 | By                                    | /s/ BARBRA E. KOCSIS |   |
|                     |                                  | Barbra E. Kocsis |
|                     |                                  | Chief Financial  Officer |
|                     |                                  | (Principal  Financial and Accounting Officer) |
|                          |                                       |  |  |  |  |  |

 

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