**UNITEDSTATES SECURITIES AND EXCHANGE COMMISSION**

**Washington, D.C. 20549**

 

**FORM 10-Q**

 

**(Mark One)**

**x****QUARTERLY REPORT PURSUANT TOSECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934**

**For the quarterly period endedJune 30, 2006**

**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 ofRegistrant as

specified in its charter)
| **Delaware**                     | ** ** | **06-1287586**                |
|----------------------------------|------------|-------------------------------|
| (State or other  jurisdiction of |       | (IRS Employer  Identification |
| incorporation or  organization)  |       | No.)                          |

 

**c/oMerrill Lynch Alternative Investments LLC**

**PrincetonCorporate Campus**

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

**Plainsboro,New Jersey  08536**

(Address ofprincipal executive offices)

(Zip Code)

**609-282-6996**

(Registrant’s telephonenumber, including area code)

 

Indicate by checkmark  if the  registrant is a well-known seasoned issuer,as defined in Rule 405 of the Securities 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 | No o |
|--|-------|------|

 

Indicate by checkmark if disclosure of delinquent filers pursuant to Item 405 of Regulation S-Kis not contained herein, and will not be contained, to the best of registrant’sknowledge, in definitive proxy or information statements incorporated byreference in Part II of this Form 10-Q or any amendment to this Form 10-Q.    x

Indicateby check mark whether the registrant is a large accelerated filer, anaccelerated filer, or a non-accelerated filer. See definition of “accelerated filer and large accelerated filer” inRule 12b-2 of the Exchange Act. (Check one):
|  | Large accelerated filer o | Accelerated filer o | Non-accelerated filer x |
|--|---------------------------|---------------------|-------------------------|

 

Indicate by checkmark whether registrant is a shell company (as defined by Rule 12b-2 of theExchange Act).
|  | Yes o | No x |
|--|-------|------|

 

 

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

QUARTERLY REPORT FOR JUNE 30, 2006 ON FORM 10-Q

Table of Contents

PART I
| ** ** | ** **                                                                                  | **PAGE** |
|------------|---------------------------------------------------------------------------------------------|----------|
|       |                                                                                        |     |
| Item 1.    | Financial Statements                                                                        | 2        |
|       |                                                                                        |     |
| Item 2.    | Management’s Discussion and Analysis of Financial  Condition and Results of Operations | 7        |
|       |                                                                                        |     |
| Item 3.    | Quantitative and Qualitative Disclosures About  Market Risk                                 | 11       |
|       |                                                                                        |     |
| Item 4.    | Controls and Procedures                                                                     | 11       |
|       |                                                                                        |     |
| PART II    |
|       |                                                                                        |     |
| Item 1.    | Legal Proceedings                                                                           | 12       |
|       |                                                                                        |     |
| Item 2.    | Changes in Securities and Use of Proceeds                                                   | 12       |
|       |                                                                                        |     |
| Item 3.    | Defaults Upon Senior Securities                                                             | 12       |
|       |                                                                                        |     |
| Item 4.    | Submission of Matters to a Vote of Security Holders                                         | 12       |
|       |                                                                                        |     |
| Item 5.    | Other Information                                                                           | 12       |
|       |                                                                                        |     |
| Item 5a.   | Recent Sales of Unregistered Securities: Uses of  Proceeds From Registered Securities       | 12       |
|       |                                                                                        |     |
| Item 6.    | Exhibits and Reports on Form 8-K                                                            | 12       |

 

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PART I - FINANCIALINFORMATION

Item 1.    Financial Statements

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

(a DelawareLimited Partnership)

STATEMENTS OF FINANCIAL CONDITION
| ** **                                               | ** ** | **June 30,** | ** ** | **December 31,** | ** ** |
|----------------------------------------------------------|------------|-------------------|------------|-----------------------|------------|
| ** **                                               | ** ** | **2006**          | ** ** | **2005**              | ** ** |
| ** **                                               | ** ** | **(unaudited)**   | ** ** | ** **            | ** ** |
|                                                     |       |              |       |                  |       |
| **ASSETS:**                                              | ** ** | ** **        | ** ** | ** **            | ** ** |
| Investments in Trading  LLCs                             |       | $                 | 22,067,889 |                  | $          | 22,731,551 |   |
| Redemption receivable  from Trading LLCs                 |       | 114,527           |       | 282,573               |       |
|                                                     |       |              |       |                  |       |
| **TOTAL  ASSETS**                                        |       | $                 | 22,182,416 |                  | $          | 23,014,124 |   |
|                                                     |       |              |       |                  |       |
| **LIABILITIES AND PARTNERS’  CAPITAL:**             | ** ** | ** **        | ** ** | ** **            | ** ** |
| ** **                                               | ** ** | ** **        | ** ** | ** **            | ** ** |
| **LIABILITIES:**                                         | ** ** | ** **        | ** ** | ** **            | ** ** |
|                                                     |       |              |       |                  |       |
| Administrative fees and  other payables                  |       | $                 | 11,250     |                  | $          | 12,250 |   |
| Redemptions payable                                      |       | 103,277           |       | 270,323               |       |
|                                                     |       |              |       |                  |       |
| Total  liabilities                                       |       | 114,527           |       | 282,573               |       |
|                                                     |       |              |       |                  |       |
| **PARTNERS’ CAPITAL:**                              | ** ** | ** **        | ** ** | ** **            | ** ** |
| General Partner:                                         |       |              |       |                  |       |
| (166 and 189  Series A Units)                            |       | 59,853            |       | 67,612                |       |
| (377 and 425  Series B Units)                            |       | 110,295           |       | 123,385               |       |
| (270 and 296  Series C Units)                            |       | 61,571            |       | 66,981                |       |
| Limited  Partners:                                       |       |              |       |                  |       |
| (15,731 and  16,224 Series A Units)                      |       | 5,671,697         |       | 5,803,895             |       |
| (35,207 and  36,815 Series B Units)                      |       | 10,299,708        |       | 10,688,039            |       |
| (25,718 and  26,433 Series C Units)                      |       | 5,864,765         |       | 5,981,639             |       |
|                                                     |       |              |       |                  |       |
| Total partners’  capital                            |       | 22,067,889        |       | 22,731,551            |       |
|                                                     |       |              |       |                  |       |
| **TOTAL  LIABILITIES AND PARTNERS’ CAPITAL**        |       | $                 | 22,182,416 |                  | $          | 23,014,124 |   |
|                                                     |       |              |       |                  |       |
| **NET ASSET VALUE PER UNIT**                             | ** ** | ** **        | ** ** | ** **            | ** ** |
| Series A (based  on 15,897 and 16,413 Units outstanding) |       | $                 | 360.54     |                  | $          | 357.74 |   |
| Series B (based  on 35,584 and 37,240 Units outstanding) |       | $                 | 292.55     |                  | $          | 290.32 |   |
| Series C (based on  25,988 and 26,729 Units outstanding) |       | $                 | 228.04     |                  | $          | 226.29 |   |

 

See notes to financial statements.

 

2

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

(a Delaware Limited Partnership)

STATEMENTS OFOPERATIONS

(unaudited)
| ** **                                                                                  | ** ** | **For the three** | ** ** | **For the three** | ** ** | **For the six** | ** ** | **For the six** | ** ** |
|---------------------------------------------------------------------------------------------|------------|-----------------------------|------------|-----------------------------|------------|---------------------------|------------|---------------------------|------------|
| ** **                                                                                  | ** ** | **months ended**       | ** ** | **months ended**       | ** ** | **months ended**     | ** ** | **months ended**     | ** ** |
| ** **                                                                                  | ** ** | **June 30,**           | ** ** | **June 30,**           | ** ** | **June 30,**         | ** ** | **June 30,**         | ** ** |
| ** **                                                                                  | ** ** | **2006**                    | ** ** | **2005**                    | ** ** | **2006**                  | ** ** | **2005**                  | ** ** |
| **TRADING  PROFITS (LOSSES):**                                                              | ** ** | ** **                  | ** ** | ** **                  | ** ** | ** **                | ** ** | ** **                | ** ** |
| ** **                                                                                  | ** ** | ** **                  | ** ** | ** **                  | ** ** | ** **                | ** ** | ** **                | ** ** |
| Realized                                                                                    |       | $                           | 1,792,205  |                        | $          | 115,735                   |       | $                         | 1,556,128  |   | $ | (1,287,643 | ) |
| Change in unrealized                                                                        |       | (1,984,525                  | )          | 2,455,768                   |       | (726,288                  | )          | 391,817                   |       |
|                                                                                        |       |                        |       |                        |       |                      |       |                      |       |
| Total trading profits (losses)                                                              |       | (192,320                    | )          | 2,571,503                   |       | 829,840                   |       | (895,826                  | )          |
|                                                                                        |       |                        |       |                        |       |                      |       |                      |       |
| **INVESTMENT  INCOME:**                                                                     | ** ** | ** **                  | ** ** | ** **                  | ** ** | ** **                | ** ** | ** **                | ** ** |
|                                                                                        |       |                        |       |                        |       |                      |       |                      |       |
| Interest                                                                                    |       | 268,922                     |       | 169,143                     |       | 523,212                   |       | 328,949                   |       |
|                                                                                        |       |                        |       |                        |       |                      |       |                      |       |
| **EXPENSES:**                                                                               | ** ** | ** **                  | ** ** | ** **                  | ** ** | ** **                | ** ** | ** **                | ** ** |
| ** **                                                                                  | ** ** | ** **                  | ** ** | ** **                  | ** ** | ** **                | ** ** | ** **                | ** ** |
| Brokerage commissions                                                                       |       | 509,762                     |       | 509,394                     |       | 997,248                   |       | 1,036,555                 |       |
| Profit Shares                                                                               |       | (114,010                    | )          | —                      |       | 55,984                    |       | —                    |       |
| Administrative fees                                                                         |       | 48,743                      |       | 51,732                      |       | 96,831                    |       | 103,987                   |       |
|                                                                                        |       |                        |       |                        |       |                      |       |                      |       |
| Total expenses                                                                              |       | 444,495                     |       | 561,126                     |       | 1,150,063                 |       | 1,140,542                 |       |
|                                                                                        |       |                        |       |                        |       |                      |       |                      |       |
| **NET  INVESTMENT LOSS**                                                                    |       | (175,573                    | )          | (391,983                    | )          | (626,851                  | )          | (811,593                  | )          |
|                                                                                        |       |                        |       |                        |       |                      |       |                      |       |
| **NET  INCOME (LOSS)**                                                                      |       | $                           | (367,893   | )                           | $          | 2,179,520                 |       | $                         | 202,989    |   | $ | (1,707,419 | ) |
|                                                                                        |       |                        |       |                        |       |                      |       |                      |       |
| **NET  INCOME (LOSS) PER UNIT:**                                                            | ** ** | ** **                  | ** ** | ** **                  | ** ** | ** **                | ** ** | ** **                | ** ** |
| Weighted average  number of General Partner and Limited Partner Units outstanding           |       |                        |       |                        |       |                      |       |                      |       |
| Series A                                                                                    |       | 16,086                      |       | 18,438                      |       | 16,200                    |       | 18,549                    |       |
| Series B                                                                                    |       | 36,003                      |       | 41,450                      |       | 36,525                    |       | 41,678                    |       |
| Series C                                                                                    |       | 26,204                      |       | 28,077                      |       | 26,394                    |       | 28,622                    |       |
|                                                                                        |       |                        |       |                        |       |                      |       |                      |       |
| Net income  (loss) per weighted average General Partner and Limited Partner Unit by  series |       |                        |       |                        |       |                      |       |                      |       |
| Series A                                                                                    |       | $                           | (6.02      | )                           | $          | 31.24                     |       | $                         | 3.20       |   | $ | (23.92 | ) |
| Series B                                                                                    |       | $                           | (4.76      | )                           | $          | 25.37                     |       | $                         | 2.71       |   | $ | (19.37 | ) |
| Series C                                                                                    |       | $                           | (3.81      | )                           | $          | 19.66                     |       | $                         | 1.98       |   | $ | (15.95 | ) |

 

Substantially all items of income and expenses are derived frominvestments in Trading LLCs.

 

See notes to financial statements.

 

3

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

(a Delaware Limited Partnership)

STATEMENTS OFCHANGES IN PARTNERS’ CAPITAL

For the six monthsended June 30, 2006 and 2005

(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, 2004 |       | 18,763            |       | 42,174                   |       | 29,345                    |       | $                 | 80,720     |   | $ | 149,823 |   | $ | 82,822 |   | $ | 7,165,985 |   | $ | 13,069,071 |   | $ | 7,086,612 |   | $ | 27,635,033 |   |
|                                         |       |              |       |                     |       |                      |       |              |       |   |   |   |   |   |   |   |   |   |   |   |   |
| Net loss                                     |       | —            |       | —                   |       | —                    |       | (5,149            | )          | (9,645 | ) | (5,383 | ) | (438,538 | ) | (797,645 | ) | (451,059 | ) | (1,707,419 | ) |
|                                         |       |              |       |                     |       |                      |       |              |       |   |   |   |   |   |   |   |   |   |   |   |   |
| Redemptions                                  |       | (1,474            | )          | (1,956                   | )          | (1,399                    | )          | (6,962            | )          | (14,972 | ) | (9,469 | ) | (519,903 | ) | (548,334 | ) | (286,179 | ) | (1,385,819 | ) |
|                                         |       |              |       |                     |       |                      |       |              |       |   |   |   |   |   |   |   |   |   |   |   |   |
| PARTNERS’  CAPITAL,   June 30, 2005     |       | 17,289            |       | 40,218                   |       | 27,946                    |       | $                 | 68,609     |   | $ | 125,206 |   | $ | 67,970 |   | $ | 6,207,544 |   | $ | 11,723,092 |   | $ | 6,349,374 |   | $ | 24,541,795 |   |
|                                         |       |              |       |                     |       |                      |       |              |       |   |   |   |   |   |   |   |   |   |   |   |   |
| 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                                   |       | —            |       | —                   |       | —                    |       | 568               |       | 1,012 |   | 544 |   | 51,204 |   | 98,002 |   | 51,659 |   | 202,989 |   |
|                                         |       |              |       |                     |       |                      |       |              |       |   |   |   |   |   |   |   |   |   |   |   |   |
| Redemptions                                  |       | (516              | )          | (1,656                   | )          | (741                      | )          | (8,327            | )          | (14,102 | ) | (5,954 | ) | (183,402 | ) | (486,333 | ) | (168,533 | ) | (866,651 | ) |
|                                         |       |              |       |                     |       |                      |       |              |       |   |   |   |   |   |   |   |   |   |   |   |   |
| PARTNERS’ CAPITAL,   June 30, 2006      |       | 15,897            |       | 35,584                   |       | 25,988                    |       | $                 | 59,853     |   | $ | 110,295 |   | $ | 61,571 |   | $ | 5,671,697 |   | $ | 10,299,708 |   | $ | 5,864,765 |   | $ | 22,067,889 |   |

 

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 June 30, 2006,and the results of its operations for the six months ended June 30, 2006 and2005.  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 31,2005.

The preparation offinancial statements in conformity with US GAAP requires management to makeestimates and assumptions that affect the reported amounts of assets andliabilities and disclosure of contingent assets and liabilities at the date ofthe financial statements and the reported amounts of revenues and expensesduring the reporting period.  Actualresults could differ from those estimates.

2.               INVESTMENTS

As of June 30, 2006, the Partnership had investmentsin ML JWH Financials and Metals Portfolio LLC (“JWH LLC”) and Millburn GlobalLLC (“Millburn LLC”) (“Trading LLCs”, collectively) of $11,033,944 and$11,033,945, respectively. At December 31, 2005, the Partnership hadinvestments in JWH LLC and Millburn LLC of $11,365,776 and $11,365,775,respectively.  The majority of revenueand expenses of the Partnership have been derived from its investments in theTrading LLCs.

Condensed statements of financial condition andstatements of operations for JWH LLC and Millburn LLC are set forth as follows:
| ** **            | ** ** | **June 30, 2006** | ** ** | **December 31, 2005** | ** ** |
|-----------------------|------------|-----------------------------|------------|---------------------------------|------------|
| ** **            | ** ** | **(unaudited)**             | ** ** | ** **                      | ** ** |
| ** **            | ** ** | **JWH**                     | ** ** | **Millburn**                    | ** ** | **JWH** | ** ** | **Millburn** | ** ** |
| ** **            | ** ** | **LLC**                     | ** ** | **LLC**                         | ** ** | **LLC** | ** ** | **LLC** | ** ** |
|                  |       |                        |       |                            |       |   |   |   |   |
| Assets                |       | $                           | 11,444,033 |                            | $          | 11,158,078 |   | $ | 11,871,748 |   | $ | 11,448,400 |   |
|                  |       |                        |       |                            |       |   |   |   |   |
| Liabilities           |       | $                           | 410,089    |                            | $          | 124,133 |   | $ | 505,972 |   | $ | 82,625 |   |
| Members’ Capital |       | 11,033,944                  |       | 11,033,945                      |       | 11,365,776 |   | 11,365,775 |   |
|                  |       |                        |       |                            |       |   |   |   |   |
| Total                 |       | $                           | 11,444,033 |                            | $          | 11,158,078 |   | $ | 11,871,748 |   | $ | 11,448,400 |   |

 

5

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| ** **                                    | ** ** | **JWH LLC**                                                        | ** ** |
|-----------------------------------------------|------------|-------------------------------------------------------------------------|------------|
| ** **                                    | ** ** | **For the three  months ended  June 30, 2006** | ** ** | **For the three  months ended  June 30, 2005** | ** ** | **For the six  months ended  June 30, 2006 ** | ** ** | **For the six  months ended  June 30, 2005** | ** ** |
| ** **                                    | ** ** | **(unaudited)**                                                         | ** ** | **(unaudited)** | ** ** | **(unaudited)** | ** ** | **(unaudited)** | ** ** |
| Trading Profits  (Losses) and Interest Income |       | $                                                                       | 365,634    |   | $ | 2,054,595 |   | $ | 462,233 |   | $ | (540,940 | ) |
|                                          |       |                                                                    |       |   |   |   |   |   |   |
| Expenses                                      |       | 273,674                                                                 |       | 271,224 |   | 510,464 |   | 527,013 |   |
|                                          |       |                                                                    |       |   |   |   |   |   |   |
| Net Income (Loss)                             |       | $                                                                       | 91,960     |   | $ | 1,783,371 |   | $ | (48,231 | ) | $ | (1,067,953 | ) |

 
| ** **                                    | ** ** | **Millburn LLC**                                                   | ** ** |
|-----------------------------------------------|------------|-------------------------------------------------------------------------|------------|
| ** **                                    | ** ** | **For the three  months ended  June 30, 2006** | ** ** | **For the three  months ended  June 30, 2005 ** | ** ** | **For the six  months ended  June 30, 2006** | ** ** | **For the six  months ended  June 30, 2005** | ** ** |
| ** **                                    | ** ** | **(unaudited)**                                                         | ** ** | **(unaudited)** | ** ** | **(unaudited)** | ** ** | **(unaudited)** | ** ** |
| Trading Profits  (Losses) and Interest Income |       | $                                                                       | (289,031   | ) | $ | 686,051 |   | $ | 890,819 |   | $ | (25,937 | ) |
|                                          |       |                                                                    |       |   |   |   |   |   |   |
| Expenses                                      |       | 137,071                                                                 |       | 253,152 |   | 572,099 |   | 540,030 |   |
|                                          |       |                                                                    |       |   |   |   |   |   |   |
| Net Income (Loss)                             |       | $                                                                       | (426,102   | ) | $ | 432,899 |   | $ | 318,720 |   | $ | (565,967 | ) |

 

3.               FAIR VALUE ANDOFF-BALANCE SHEET RISK

The Partnershipinvests indirectly in derivative instruments by investing in the Trading LLCsbut does not itself hold any derivative instrument positions. The nature ofthis Partnership has certain risks, which can not all be presented on thefinancial statements.  The followingsummarizes some of those risks.

##### Market Risk

Derivative instruments involve varying degrees ofoff-balance sheet market risk.  Changesin the level or volatility of interest rates, foreign currency exchange ratesor the market values of the financial instruments or commodities underlyingsuch derivative instruments frequently result in changes in the net unrealizedprofit (loss) as reflected in the respective Statements of Financial Conditionof the Trading LLCs.  The Partnership’sexposure to market risk is influenced by a number of factors, including therelationships among the derivative instruments held by the Partnership, throughthe Trading LLCs, as well as the volatility and liquidity of such markets inwhich such derivative instruments are traded.

The General Partner, Merrill Lynch AlternativeInvestments LLC (“MLAI”), has procedures in place intended to control marketrisk exposure, although there can be no assurance that they will, in fact,succeed in doing so.  These proceduresfocus primarily on monitoring the trading of the Advisors selected from time totime for the Partnership, calculating the Net Asset Value of the Advisors’respective Trading LLC accounts as of the close of business on each day andreviewing outstanding positions for over-concentrations both on anadvisor-by-advisor and on an overall Partnership basis.  While MLAI does not itself intervene in themarkets to hedge or diversify the Partnership’s market 

6

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exposure, MLAI may urge Advisors to reallocatepositions or itself reallocate Partnership assets among Advisors (althoughtypically only as of the end of a month) in an attempt to avoid over-concentration.  However, such interventions are unusual.  Except in cases in which it appears that anAdvisor has begun to deviate from past practice and trading policies or to be tradingerratically, MLAI’s basic risk control procedures consist simply of the ongoingprocess of advisor monitoring and selection, with the market risk controlsbeing applied by the Advisors themselves.

###### 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 (but notuniversally) provide clearinghouse arrangements in which the collective credit(in some cases limited in amount, in some cases not) of the members of theexchange is pledged to support the financial integrity of the exchange.  In over-the-counter transactions, on theother 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 Partnership,through the Trading LLCs, has credit risk with respect to non-performance ofits counterparties and brokers, but attempts to mitigate this risk by dealingalmost exclusively with Merrill Lynch & Co., Inc. (“Merrill Lynch”)entities as clearing brokers.

The Partnership,through the Trading LLCs, in its normal course of business, enters into variouscontracts with Merrill Lynch Pierce Fenner & Smith Inc. (“MLPF&S”)acting as its commodity broker.  Pursuantto the brokerage agreement with MLPF&S (which includes a nettingarrangement), to the extent that such trading results in receivables from andpayables to MLPF&S, these receivables and payables are offset and reportedas a net receivable or payable and included in the Trading LLC’s Statements ofFinancial Condition under equity in commodity futures trading accounts.

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

MONTH-END NETASSET VALUE PER SERIES A UNIT

 
|      | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** |
|------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|
| 2005 |       | $        | 358.46     |     | $          | 348.10   |       | $        | 331.64     |    | $          | 320.87   |       | $ | 337.99 |   | $ | 363.01 |   |
| 2006 |       | $        | 362.06     |     | $          | 345.38   |       | $        | 366.89     |    | $          | 397.66   |       | $ | 389.16 |   | $ | 360.54 |   |

 

MONTH-END NETASSET VALUE PER SERIES B UNIT

 
|      | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** |
|------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|
| 2005 |       | $        | 290.90     |     | $          | 282.50   |       | $        | 269.14     |    | $          | 260.40   |       | $ | 274.30 |   | $ | 294.60 |   |
| 2006 |       | $        | 293.78     |     | $          | 280.25   |       | $        | 297.70     |    | $          | 322.67   |       | $ | 315.77 |   | $ | 292.55 |   |

 

MONTH-END NETASSET VALUE PER SERIES C UNIT

 
|      | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** |
|------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|
| 2005 |       | $        | 226.75     |     | $          | 220.20   |       | $        | 209.79     |    | $          | 202.98   |       | $ | 213.81 |   | $ | 229.63 |   |
| 2006 |       | $        | 229.00     |     | $          | 218.45   |       | $        | 232.05     |    | $          | 251.52   |       | $ | 246.14 |   | $ | 228.04 |   |

 

7

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Performance Summary

 

All of the Partnership’s assets are invested in Trading LLCs.  The Partnership receives trading profits(losses) as an investor in the Trading LLCs. The following commentary describesthe trading results of Trading LLCs.

 

January 1, 2006 to June 30, 2006

January 1, 2006 to March31, 2006

The Partnership’s overalltrading was profitable for the quarter. The Partnership experienced gains inthree of the four sectors, with the largest gain in the stock indices sector.

The stock indices sectorwas the most profitable for the Partnership. At the beginning of the quarter,the Partnership continued to hold long positions in all 15 traded markets whichbenefited from strong worldwide equity markets. The Nikkei 225 (up 3.3%) wasthe most profitable stock index traded as it rose to an over five year highafter sustaining high intra-month volatility. In the middle of the quarter,most indices lost profits but rebounded by the end of the quarter. Successfultrading in the major U.S. indices contributed positively, with the S&P 500and Dow Jones Industrial Average, at five year highs and the Russell 2000 atall-time highs.

The metals sector posteda gain as the Partnership was well positioned to capture the sector’s sustainedupward trend. Precious metals, gold and silver bolstered the Partnership’sreturns as investors sought the safety of these markets when tensions in Iranincreased over its nuclear program. Long positions in the base metals copper,zinc and aluminum added to profitability. Industrial metals slumpedmid-quarter. The metals sector bounced back at the end of the quarter due to astrong performance from silver and copper. Silver, for May delivery, closed themonth at $11.66, its highest level since September 1983. An 18.52% gain for silverwas driven largely by the anticipation of the launching of a silver exchangetraded fund by Barclays Capital. Copper rallied to an all time high with a13.84% gain at the end of the quarter. The metal’s rally has been fueled byspeculation that increased worldwide economic growth (particularly in China)will reduce inventories and potentially trigger supply shortfalls.

The interest rate sectorposted a profit for the Partnership. The beginning of the quarter was difficultdue to losses made in long positions in ten year notes in the Japanese, Germanand U.S. markets. However, gains were recaptured mid-quarter due to shortpositions in the Eurodollar and Euribor contracts. Short positions in the U.S.Treasury two-year and ten-year notes contributed with modest profits as tradersstepped up bets that the U.S. Federal Reserve will raise interest rates atleast two more times by June. Gains continued through the end of the quarter asthe Partnership had short positions in nearly every instrument it traded in thesector. The majority of the gains were made through short positions in the U.S.and German bonds across the yield curve. Yields on the U.S. Treasury ten-yearnote rose to the highest level since May 2004 after the U.S. Federal Reservelifted its target rate for the 15th consecutive time and hinted there may be moreincreases.

The currency sectorposted losses for the Partnership. Losses were particularly attributed to short positions in the Swissfranc and Japanese yen. Short position in the Japanese yen was the worstperforming position for the Partnership after the Bank of Japan Governor,Toshihiko Fukui said a seven-year bout of deflation has almost ended and thecentral bank will gradually raise interest rates from zero percent, resultingin the Japanese yen rising over 2.50%. The Euro proved to be difficult as themarket moved against the Partnership’s long position. The Canadian dollar andMexican peso were especially challenging as both currencies suffered sharpreversals versus the U.S. dollar. Traders drove the Canadian dollar lower onconcerns that Canada’s interest rate disadvantage with U.S. will widen. InMexico, the Bank of Mexico cut rates, further weakening the currency versus theU.S. dollar.

8

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April 1, 2006 to June 30,2006

The Partnership’s overalltrading was not profitable for the quarter. The Partnership posted gains in themetals and interest rate sectors with the currency and stock indices sectorsposting losses.

The metals sector postedthe highest gains for the Partnership as many markets raced to all timemulti-decade highs. Returns were buoyed by the gold, copper and aluminummarkets. Copper and aluminum were driven by global construction demandparticularly in China as well as certain mining and supply disruptions. Goldmoved higher as investors flocked to its safety in light of increased U.S.inflation and conflict in Iran over its nuclear capabilities. Long positionsled the way mid-quarter and copper raced to all time highs on May 11th then fell throughout the remainder of the monthas traders grew concerned that the worldwide economy may slow demand for theindustrial metal. Aluminum and gold detracted from performance as the strongupward trend in most metals reversed mid-month. The quarter ended with poor returns from copper and gold. Copper’slosses stemmed from a -16.8% four day mid month reversal which caused thePartnership to cut all copper positions. Gold was down as a strengthening U.S.dollar eroded the precious metal’s appeal as an alternative investment.

The interest rate sectorposted a profit for the Partnership. Gains were attributed to short positionsin 16 of the 18 instruments traded. Top performers were the German 10-yearnote, U.K. Long Gilt and the U.S. 30-year Treasury bond as all three marketsfell for the fourth consecutive month. Signs of growth and indications that thecentral banks in all three markets will raise rates spurred yields higher andprices lower. Difficult trading mid-quarter was due to short positions in all18 instruments traded, especially in the German and Japanese 10-year notes.Both the German and Japanese government bonds posted their first monthly gainof 2006 when investors flocked to the relative safety of government bonds ascommodities and stock indices struggled. The quarter ended with negativeresults holding short positions in 15 of 18 instruments traded. The U.S.10-year Treasury note posted its sixth consecutive monthly decline and thedownward trend persisted.

The currency sectorposted losses for the Partnership.  Thegeneral trend in the market was the weakening U.S. dollar on concerns overinflation and the current account deficit. Profits were posted in longpositions in the Euro vs. the U.S. dollar and the British pound vs. the U.S.dollar. A trade that was short the Japanese yen against the U.S. dollar was amajor detractor. April saw the Japanese yen strengthen 3.4% vs. the U.S.dollar, the most since October 2004. Currencies posted a limited gain for thePartnership mid-quarter. Long positions in the British Pound and Euro were thehardest hit by quarter’s-end. The British pound dropped -1.14% versus the U.S.dollar on speculation that the U.S. Federal Reserve would continue to raiserates faster than the Bank of England. Although the Euro was down only -0.14%against the U.S. dollar, the Partnership posted losses when the Euro plungedmore than -3.00% over the course of seven days. After the sharp drop, thePartnership’s systems cut nearly all exposure causing the Partnership to missthe 1.80 % rally on the final two days of the quarter.

Trading in stock indiceswere the least profitable for the Partnership. Several markets in Asia recordedgains, such as Taiwan’s Taiex and Hong Kong’s Han Seng Index. However, thenegative performance can be attributed to poor trading in the Dow JonesEuroStoxx Index. A gradual increase in long exposure in the Dow Jones EuroStoxxprofited as the index’s rallied but gave back the profits and more when theEuro Stoxx reversed direction at the beginning of the quarter. Remarkably, 19out of 20 stock indices traded suffered losses mid-quarter. Only a shortposition in the NASDAQ 100 produced a small gain. Across the board, stockindices fell on fears that liquidity will be pulled from the global economy asAmerican, European, Japanese and Emerging Market Central Banks all appearedpoised to hike rates further. Only the Hang Seng and NASDAQ 100 were able topost marginally positive returns at quarter’s end, resulting in just twopositive markets out of 19 traded. Stock indices world-wide were down only torally at the end of the quarter when the U.S. Federal Reserve hinted it maysoon end its run of rate increases.

9

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January 1, 2005 to June30, 2005

January 1, 2005 to March 31, 2005

 

The Partnership wasunprofitable for the first quarter of 2005. In the beginning of the quarter, many trend-following programsexperienced difficulty, as larger trends which started in the fourth quarterreversed during the quarter.  Globalequity markets sold-off after rallying in December. The U.S. dollar began strengtheningand metal markets also sold-off. Throughout the remainder of the quarter, many longer-termtrend-following programs experienced difficulty, as markets remained quiterange bound and choppy.

The currency sector beganthe first quarter with a loss, as the U.S. dollar strengthened against variousother currencies.  Gains achieved inexposure to the Japanese yen were outweighed by losses in the Euro, Canadiandollar and Australian dollar.  Atmid-quarter, gains generated in exposure to the Australian dollar and Polishzloty were outweighed by losses in the Euro, Japanese yen and Swiss franc.  At the end of the quarter, gains generated inexposure to the Japanese yen and Swiss franc were outweighed by losses in thePolish zloty, Brazilian real, and Australian dollar.

The metals sector alsoposted losses, as markets sold off on slower growth estimates in 2005.  Both exposure to industrial and preciousmetals detracted from performance.  Thesector gained during the quarter as markets rallied in both the precious andindustrial sub-sectors, particularly gold, copper and aluminum.  However, the sector ended the quarter with aloss as gains in non-precious metals such as aluminum and copper were offset bylosses in silver and gold contracts.

A loss was posted for thestock indices sector, as markets reversed and sold off.  Major losses were from exposure to the UnitedStates and Asia.  During the quarter, again was posted, as exposure to Asian equities and selected U.S. equitiesposted gains.  A loss was realized at theend of the quarter as exposure to U.S. equities and Asian equities contributedto the bulk of losses.

The interest rate sectorwas the poorest performing sector for the first quarter.  The beginning of the quarter had gainsgenerated in exposure to Japanese, U.S. and European fixed income.  Toward the end of the quarter, gains weregenerated at the front end of the U.S. curve, while losses were experienced inexposure to European and Japanese fixed income. Losses were mainly from exposure to German and Japanese fixed incomeinstruments.  Profits were made fromshort exposure to Eurodollar and U.S. Treasury note contracts.

April 1, 2005 to June 30,2005

Gains were posted in the interest rate and currency sectors, whilelosses were incurred trading in stock indices and the metals sector.  There were net trading profits overall.

 

Trading in interest rates provided the greatest amount of gains for thePartnership, posting gains throughout the quarter.  A sell off of stocks and an increase in bondinvestments during the quarter sparked a rally in interest rates.  Long exposure to European bonds and a rallyin the bond market attributed to profits.

 

The currency sector posted a gain for the quarter, despite lossesincurred early in the quarter.  Losses earlyin the quarter were posted as currency trading continued to be challenging andthe U.S. dollar remained in a tight range. The U.S. dollar strengthened basedon the widening interest rate differential versus many developed countries.  Exposure to the Euro, Japanese yen and Swissfranc were the main drivers of performance.

 

10

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Trading in stock indices was unprofitable for the Partnership, despiteprofits posted the latter half of the quarter. Weak U.S. economic data and disappointing earnings reports sent globalequities lower early in the quarter. Long exposure to European and Asian stock indices generated gains whichoutweighed losses from exposure to the U.S. markets.

 

The metals sector posted the largest losses for the Partnership duringthe quarter.  Base metals took a stepback causing losses in aluminum and copper. Gold and silver prices showed volatile price behavior which alsogenerated losses.  Slight gains postedmid-quarter due to exposure to precious metals, but weren’t enough to outweighthe losses for the quarter. The metals sector continued its decline as goldsold off due to a strengthening U.S. dollar.

 

Item 3.   Quantitative and Qualitative DisclosuresAbout Market Risk

Not applicable

Item4. Controls and Procedures

MLAI, the General Partnerof John W. Henry & Co./Millburn L.P., with the participation of the GeneralPartner’s Chief Executive Officer and the Chief Financial Officer, hasevaluated the effectiveness of the design and operation of its disclosurecontrols and procedures with respect to the Partnership as of the end of theperiod of this quarterly report, and, based on this evaluation, has concludedthat these 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 this evaluation,including any corrective actions with regard to significant deficiencies andmaterial weaknesses.

11

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PART II - OTHERINFORMATION

Item 1.    Legal Proceedings

Neither thePartnership nor MLAI has ever been the subject of any material litigation.  Merrill Lynch is the 100% indirect owner ofMLAI, MLPF&S and all other Merrill Lynch entities involved in the operationof the Partnership.  Merrill Lynch aswell as certain of its subsidiaries and affiliates have been named asdefendants in civil actions, arbitration proceedings and claims arising out oftheir respective business activities. Although the ultimate outcome of theseactions cannot be predicted at this time and the results of legal proceedingscannot be predicted with certainty, it is the opinion of management that theresult of these matters will not be materially adverse to the businessoperations or the financial condition of MLAI or the Partnership.

Item 2.    Changes in Securities and Use of Proceeds

(a)          None.

(b)         None.

(c)          None.

(d)         None.

 

Item 3. DefaultsUpon Senior Securities

None.

Item 4. Submissionof Matters to a Vote of Security Holders

None.

Item 5. Other information

None.

Item 5(a). Recent Sale ofUnregistered Securities: Uses of Proceeds from Registered Securities

Not applicable

Item 6.             Exhibits

The following exhibits are incorporated by reference or are filedherewith to this Quarterly Report on Form 10-Q:

31.01 and

31.02                                                                     Rule13a-14(a)/15d-14(a) Certifications

Exhibit 31.01

and 31.02:                                           Are filedherewith.

32.01 and

32.02                                                                     Section1350 Certifications

Exhibit 32.01 

and 32.02: Are filed herewith

12

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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:  MERRILL  LYNCH ALTERNATIVE |
|                        |                                  | INVESTMENTS   LLC |
|                        |                                  | General Partner |
|                        |                                  |
|                        |                                  |
| Date:  August 14, 2006 |                                  | By | /s/ BENJAMIN WESTON |   |
|                        |                                  |   | Benjamin Weston |
|                        |                                  |   | Chief Executive  Officer and President |
|                        |                                  |   | (Principal  Executive Officer) |
|                        |                                  |   |
|                        |                                  |   |
| Date:  August 14, 2006 |                                  | By | /s/ MICHAEL L. PUNGELLO |   |
|                        |                                  |   | Michael L.  Pungello |
|                        |                                  |   | Vice President  and Chief Financial Officer |
|                        |                                  |   | (Principal  Financial and Accounting Officer) |
|                             |                                       |  |  |  |  |  |  |  |

 

13

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