** **

**UNITED STATES SECURITIES ANDEXCHANGE COMMISSION**

**Washington, D.C. 20549**

** **

**FORM 10-Q**

** **

**(MarkOne)**

 

**ý****QUARTERLY REPORT PURSUANT TO SECTION 13 OR15(d) OF THE SECURITIES EXCHANGE ACT OF 1934**

 

**For thequarterly period ended March 31, 2006**

 

**OR**

 

**o****TRANSITION REPORT PURSUANT TO SECTION 13 OR15(d) OF THE SECURITIES EXCHANGE ACT OF 1934**

 

**For thetransition period from                 to               **

 

**CommissionFile Number 0-18215**

 

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

(Exact Name of Registrant as

specified 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)                                                |
|                                                      |       |                              |
| **609-282-6996**                                          |
| (Registrant’s telephone number, including area code) |

 

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

 

Yes  o  No  ý

 

Indicateby check mark if the registrant is not required to file reports pursuant toSection 13 or 15(d) of the Act.

 

Yes  o  No  ý

 

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  ý  No  o

 

Indicateby check mark if disclosure of delinquent filers pursuant to Item 405 ofRegulation S-K is not contained herein, and will not be contained, to the bestof registrant’s knowledge, in definitive proxy or information statementsincorporated by reference in Part II of this Form 10-Q or any amendment to thisForm 10-Q.   ý

 

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   Acceleratedfiler  o   Non-acceleratedfiler  ý

 

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

 

Yes  o  No  ý

 

 

----

 

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

** **

QUARTERLY REPORT FOR MARCH 31, 2006 ON FORM 10-Q

 

Table of Contents

 
| ** ** | **Page**                                                                                    |
|------------|---------------------------------------------------------------------------------------------|
| ** ** | ** **                                                                                  |
| PART I     |                                                                                        |
|       |                                                                                        |   |
| 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                                 | 9 |
|       |                                                                                        |   |
| Item 4.    | Controls  and Procedures                                                                    | 9 |
|       |                                                                                        |   |
| PART II    |                                                                                        |
|       |                                                                                        |   |
| Item 1.    | Legal  Proceedings                                                                          | 10 |
|       |                                                                                        |   |
| Item 2.    | Changes  in Securities and Use of Proceeds                                                  | 10 |
|       |                                                                                        |   |
| Item 3.    | Defaults  Upon Senior Securities                                                            | 10 |
|       |                                                                                        |   |
| Item 4.    | Submission  of Matters to a Vote of Security Holders                                        | 10 |
|       |                                                                                        |   |
| Item 5.    | Other  Information                                                                          | 10 |
|       |                                                                                        |   |
| Item 5a.   | Recent  Sales of Unregistered Securities: Uses of Proceeds From Registered Securities       | 10 |
|       |                                                                                        |   |
| Item 6     | Exhibits  and Reports on Form 8-K                                                           | 11 |

 

1

----

 

PART I - FINANCIAL INFORMATION

 

Item 1.FinancialStatements

 

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

(a Delaware limited partnership)

 

STATEMENTS OF FINANCIAL CONDITION

 
| ** **                                               | ** ** | **March 31,** | ** ** | **December 31,** | ** ** |
|----------------------------------------------------------|------------|--------------------|------------|-----------------------|------------|
| ** **                                               | ** ** | **2006**           | ** ** | **2005**              | ** ** |
| ** **                                               | ** ** | **(unaudited)**    | ** ** | ** **            | ** ** |
|                                                     |       |               |       |                  |       |
| **ASSETS:**                                              |       |               |       |                  |       |
|                                                     |       |               |       |                  |       |
| Investments in  Trading LLCs                             |       | $                  | 22,860,412 |                  | $          | 22,731,551 |   |
| Redemption  receivable from Trading LLCs                 |       | 215,318            |       | 282,573               |       |
|                                                     |       |               |       |                  |       |
| **TOTAL  ASSETS**                                        |       | $                  | 23,075,730 |                  | $          | 23,014,124 |   |
|                                                     |       |               |       |                  |       |
| **LIABILITIES  AND PARTNERS’ CAPITAL:**             |       |               |       |                  |       |
|                                                     |       |               |       |                  |       |
| **LIABILITIES:**                                         |       |               |       |                  |       |
|                                                     |       |               |       |                  |       |
| Administrative  fees payable                             |       | $                  | 11,250     |                  | $          | 12,250 |   |
| Redemptions  payable                                     |       | 204,068            |       | 270,323               |       |
|                                                     |       |               |       |                  |       |
| Total  liabilities                                       |       | 215,318            |       | 282,573               |       |
|                                                     |       |               |       |                  |       |
| **PARTNERS’  CAPITAL:**                             |       |               |       |                  |       |
| General Partner:                                         |       |               |       |                  |       |
| (166 and 189  Series A Units Outstanding)                |       | $                  | 60,906     |                  | $          | 67,612 |   |
| (377 and 425  Series B Units Outstanding)                |       | 112,236            |       | 123,385               |       |
| (270 and 296  Series C Units Outstanding)                |       | 62,655             |       | 66,981                |       |
| Limited  Partners:                                       |       |               |       |                  |       |
| (16,022 and  16,224 Series A Units Outstanding)          |       | 5,878,265          |       | 5,803,895             |       |
| (35,933 and  36,815 Series B Units Outstanding)          |       | 10,697,139         |       | 10,688,039            |       |
| (26,068 and  26,433 Series C Units Outstanding)          |       | 6,049,211          |       | 5,981,639             |       |
|                                                     |       |               |       |                  |       |
| Total partners’  capital                            |       | 22,860,412         |       | 22,731,551            |       |
|                                                     |       |               |       |                  |       |
| **TOTAL  LIABILITIES AND PARTNERS’ CAPITAL**        |       | $                  | 23,075,730 |                  | $          | 23,014,124 |   |
|                                                     |       |               |       |                  |       |
| **NET  ASSET VALUE PER UNIT:**                           |       |               |       |                  |       |
| Series A (Based  on 16,188 and 16,413 Units outstanding) |       | $                  | 366.89     |                  | $          | 357.74 |   |
| Series B (Based  on 36,310 and 37,240 Units outstanding) |       | $                  | 297.70     |                  | $          | 290.32 |   |
| Series C (Based  on 26,338 and 26,729 Units outstanding) |       | $                  | 232.06     |                  | $          | 226.29 |   |

 

See notes to financialstatements.

 

2

----

 

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

(a Delaware limited partnership)

 

STATEMENTS OF OPERATIONS

(unaudited)

 
| ** **                                                                                  | ** ** | **For the three  months ended  March 31, 2006** | ** ** | **For the three  months ended  March 31, 2005** | ** ** |
|---------------------------------------------------------------------------------------------|------------|--------------------------------------------------------------------------|------------|--------------------------------------------------------------------------|------------|
| **TRADING  PROFITS (LOSSES):**                                                              |       |                                                                     |       |                                                                     |       |
|                                                                                        |       |                                                                     |       |                                                                     |       |
| Realized                                                                                    |       | $                                                                        | (236,077   | )                                                                        | $          | (1,403,378 | ) |
| Change in  unrealized                                                                       |       | 1,258,237                                                                |       | (2,063,951                                                               | )          |
| Total trading  profits (losses)                                                             |       | 1,022,160                                                                |       | (3,467,329                                                               | )          |
|                                                                                        |       |                                                                     |       |                                                                     |       |
| **INVESTMENT  INCOME:**                                                                     |       |                                                                     |       |                                                                     |       |
| Interest                                                                                    |       | 254,290                                                                  |       | 159,806                                                                  |       |
|                                                                                        |       |                                                                     |       |                                                                     |       |
| **EXPENSES:**                                                                               |       |                                                                     |       |                                                                     |       |
|                                                                                        |       |                                                                     |       |                                                                     |       |
| Brokerage  commissions                                                                      |       | 487,486                                                                  |       | 527,161                                                                  |       |
| Profit Shares                                                                               |       | 169,994                                                                  |       | —                                                                   |       |
| Administrative  fees                                                                        |       | 48,088                                                                   |       | 52,255                                                                   |       |
| Total expenses                                                                              |       | 705,568                                                                  |       | 579,416                                                                  |       |
|                                                                                        |       |                                                                     |       |                                                                     |       |
| **NET  INVESTMENT LOSS**                                                                    |       | (451,278                                                                 | )          | (419,610                                                                 | )          |
|                                                                                        |       |                                                                     |       |                                                                     |       |
| **NET  INCOME (LOSS)**                                                                      |       | $                                                                        | 570,882    |                                                                     | $          | (3,886,939 | ) |
|                                                                                        |       |                                                                     |       |                                                                     |       |
| **NET  INCOME (LOSS) PER UNIT:**                                                            |       |                                                                     |       |                                                                     |       |
|                                                                                        |       |                                                                     |       |                                                                     |       |
| Weighted average  number of General Partner and Limited Partner Units outstanding           |       |                                                                     |       |                                                                     |       |
| Series A                                                                                    |       | 16,313                                                                   |       | 18,659                                                                   |       |
| Series B                                                                                    |       | 37,047                                                                   |       | 41,907                                                                   |       |
| Series C                                                                                    |       | 26,582                                                                   |       | 29,163                                                                   |       |
|                                                                                        |       |                                                                     |       |                                                                     |       |
| Net income  (loss) per weighted average General Partner and Limited Partner Unit by  series |       |                                                                     |       |                                                                     |       |
| Series A                                                                                    |       | $                                                                        | 9.11       |                                                                     | $          | (54.65 | ) |
| Series B                                                                                    |       | $                                                                        | 7.30       |                                                                     | $          | (44.36 | ) |
| Series C                                                                                    |       | $                                                                        | 5.72       |                                                                     | $          | (34.58 | ) |

 

Substantially all itemsof income and expenses are derived from the investments in Trading LLCs.

 

See notes to financialstatements.

 

3

----

 

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

(a Delaware limited partnership)

 

STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL

For the three months ended March 31, 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                                   |       | —            |       | —                   |       | —                    |       | (11,078           | )          | (20,465 | ) | (11,257 | ) | (1,008,662 | ) | (1,838,393 | ) | (997,084 | ) | (3,886,939 | ) |
|                                       |       |              |       |                     |       |                      |       |              |       |   |   |   |   |   |   |   |   |   |   |   |   |
| Redemptions                                |       | (251              | )          | (610                     | )          | (1,003                    | )          | (6,962            | )          | (14,973 | ) | (9,468 | ) | (80,650 | ) | (158,451 | ) | (205,799 | ) | (476,303 | ) |
|                                       |       |              |       |                     |       |                      |       |              |       |   |   |   |   |   |   |   |   |   |   |   |   |
| PARTNERS’  CAPITAL, March 31, 2005    |       | 18,512            |       | 41,564                   |       | 28,342                    |       | $                 | 62,680     |   | $ | 114,385 |   | $ | 62,097 |   | $ | 6,076,673 |   | $ | 11,072,227 |   | $ | 5,883,729 |   | $ | 23,271,791 |   |
|                                       |       |              |       |                     |       |                      |       |              |       |   |   |   |   |   |   |   |   |   |   |   |   |
| 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 |   |

 

See notes to financial statements.

 

4

----

 

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

(A Delaware limited partnership)

 

NOTES TO FINANCIAL STATEMENTS

(unaudited)

 

1.     SUMMARY OFSIGNIFICANT ACCOUNTING POLICIES

 

In the opinion of management, the financial statements contain alladjustments necessary to present fairly the financial position of John W. Henry& Co./Millburn L.P. (the “Partnership”) as of March 31, 2006, and theresults of its operations for the three months ended March 31, 2006 and 2005.  The operating results for the interim periodsmay not be indicative of the results for the full year.

 

Certain information and footnote disclosures normally included inannual financial statements prepared in accordance with accounting principlesgenerally accepted in the United States of America (“US GAAP”) have beenomitted.  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 of financial statements in conformity with US GAAPrequires management to make estimates and assumptions that affect the reportedamounts of assets and liabilities and disclosure of contingent assets andliabilities at the date of the financial statements and the reported amounts ofrevenues and expenses during the reporting period.  Actual results could differ from thoseestimates.

 

2.     INVESTMENTS

 

As of March 31, 2006, the Partnership had investments in ML JWHFinancials and Metals Portfolio LLC (“JWH LLC”) and Millburn Global LLC (“MillburnLLC”) (“Trading LLCs”, collectively) of $11,430,206 and $11,430,206,respectively. As of December 31, 2005, the Partnership had investments in JWHLLC and Millburn LLC of $11,365,776 and $11,365,775, respectively.  The majority of revenue and expenses of thePartnership have been derived from its investments in the Trading LLCs.

 

Condensed statements of financial condition and statements ofoperations for JWH LLC and Millburn LLC are set forth as follows:

 
| ** **            | ** ** | **March 31, 2006** | ** ** | ** **                      | ** ** |
|-----------------------|------------|------------------------------|------------|---------------------------------|------------|
| ** **            | ** ** | **(unaudited)**              | ** ** | **December 31, 2005** | ** ** |
| ** **            | ** ** | **JWH**                      | ** ** | **Millburn**                    | ** ** | **JWH** | ** ** | **Millburn** | ** ** |
| ** **            | ** ** | **LLC**                      | ** ** | **LLC**                         | ** ** | **LLC** | ** ** | **LLC** | ** ** |
|                  |       |                         |       |                            |       |   |   |   |   |
| Assets                |       | $                            | 11,534,383 |                            | $          | 12,234,185 |   | $ | 11,871,748 |   | $ | 11,448,400 |   |
|                  |       |                         |       |                            |       |   |   |   |   |
| Liabilities           |       | $                            | 104,177    |                            | $          | 803,979 |   | $ | 505,972 |   | $ | 82,625 |   |
| Members’ Capital |       | 11,430,206                   |       | 11,430,206                      |       | 11,365,776 |   | 11,365,775 |   |
|                  |       |                         |       |                            |       |   |   |   |   |
| Total                 |       | $                            | 11,534,383 |                            | $          | 12,234,185 |   | $ | 11,871,748 |   | $ | 11,448,400 |   |

 

5

----

 
| ** **         | ** ** | **JWH**                                                                      | ** ** | **Millburn**                                                                 | ** ** | **JWH**                                                                      | ** ** | **Millburn**                                                                 | ** ** |
|--------------------|------------|------------------------------------------------------------------------------|------------|------------------------------------------------------------------------------|------------|------------------------------------------------------------------------------|------------|------------------------------------------------------------------------------|------------|
| ** **         | ** ** | **LLC**                                                                      | ** ** | **LLC**                                                                      | ** ** | **LLC**                                                                      | ** ** | **LLC**                                                                      | ** ** |
| ** **         | ** ** | **For the three months  ended March 31, 2006** | ** ** | **For the three months  ended March 31, 2006** | ** ** | **For the three months  ended March 31, 2005** | ** ** | **For the three months  ended March 31, 2005** | ** ** |
| ** **         | ** ** | **(unaudited)**                                                              | ** ** | **(unaudited)**                                                              | ** ** | **(unaudited)**                                                              | ** ** | **(unaudited)**                                                              | ** ** |
| Revenue (loss)     |       | $                                                                            | 96,599     |                                                                         | $          | 1,179,850                                                                    |       | $                                                                            | (2,595,535 | ) | $ | (711,988 | ) |
|               |       |                                                                         |       |                                                                         |       |                                                                         |       |                                                                         |       |
| Expenses           |       | (236,790                                                                     | )          | (435,028                                                                     | )          | (255,788                                                                     | )          | (286,878                                                                     | )          |
|               |       |                                                                         |       |                                                                         |       |                                                                         |       |                                                                         |       |
| Net income  (loss) |       | $                                                                            | (140,191   | )                                                                            | $          | 744,822                                                                      |       | $                                                                            | (2,851,323 | ) | $ | (998,866 | ) |

 

3.     FAIR VALUE ANDOFF-BALANCE SHEET RISK

 

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

 

##### Market Risk

 

Derivative instruments involve varying degrees of off-balancesheet market risk.  Changes in the levelor volatility of interest rates, foreign currency exchange rates or the marketvalues of the financial instruments or commodities underlying such derivativeinstruments frequently result in changes in the net unrealized profit (loss) asreflected in the respective Statements of Financial Condition of the TradingLLCs.  The Partnership’s exposure tomarket risk is influenced by a number of factors, including the relationshipsamong the derivative instruments held by the Partnership, through the TradingLLCs, as well as the volatility and liquidity of such markets in which such derivativeinstruments are traded.

 

Merrill Lynch Alternative Investments LLC (“MLAI”), theGeneral Partner, has procedures in place intended to control market riskexposure, although there can be no assurance that they will, in fact, succeedin doing so.  These procedures focusprimarily on monitoring the trading of the Advisors selected from time to timefor 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 an advisor-by-advisorand on an overall Partnership basis. While MLAI does not itself intervene in the markets to hedge ordiversify the Partnership’s market 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 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 themselves.

 

6

----

 

###### 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 required inexchange trading, and counterparties may also require margin in the over-the-countermarkets.

 

The Partnership, throughthe Trading LLCs, has credit risk with respect to non-performance of itscounterparties and brokers, but attempts to mitigate this risk by dealingalmost exclusively with Merrill Lynch entities as clearing brokers. 

 

The Partnership, throughthe 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’sDiscussion and Analysis of Financial Condition and Results of Operations

 

MONTH-END NET ASSET VALUE PER SERIES A UNIT

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|
| 2005       |       | $        | 358.46     |     | $          | 348.10   |       | $ | 331.64 |   |
| 2006       |       | $        | 362.06     |     | $          | 345.38   |       | $ | 366.89 |   |

 

MONTH-END NET ASSET VALUE PER SERIES B UNIT

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|
| 2005       |       | $        | 290.90     |     | $          | 282.50   |       | $ | 269.14 |   |
| 2006       |       | $        | 293.78     |     | $          | 280.25   |       | $ | 297.70 |   |

 

MONTH-END NET ASSET VALUE PER SERIES C UNIT

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|
| 2005       |       | $        | 226.75     |     | $          | 220.20   |       | $ | 209.79 |   |
| 2006       |       | $        | 229.00     |     | $          | 218.45   |       | $ | 232.05 |   |

 

7

----

 

PerformanceSummary

 

All of the Partnership’s assets are invested in the Trading LLCs.  The Partnership receives trading profits andlosses as an investor in the Trading LLCs .  The following commentary describes thetrading results of the Trading LLCs.

 

January 1, 2006 to March 31, 2006

 

ThePartnership’s overall trading was profitable for the quarter. The Partnershipexperienced gains in three of the four sectors, with the largest gain in thestock indices sector.

 

Thestock indices sector was the most profitable for the Partnership. At thebeginning of the quarter, the Partnership continued to hold long positions inall 15 traded markets which benefited from strong worldwide equity markets. TheNikkei 225 (up 3.3%) was the most profitable stock index traded as it rose toan over five year high after sustaining high intra-month volatility. In themiddle of the quarter, most indices lost profits but rebounded by the end ofthe quarter. Successful trading in the major U.S. indices contributedpositively, with the S&P 500 and Dow Jones Industrial Average, at five yearhighs and the Russell 2000 at all-time highs. 

 

Themetals sector posted a gain as the Partnership was well positioned to capturethe sector’s sustained upward trend. Precious metals, gold and silver bolsteredthe Partnership’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.

 

Theinterest rate sector posted a profit for the Partnership. The beginning of thequarter was difficult due to losses made in long positions in ten year notes inthe Japanese, 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 15thconsecutive time and hinted there may be more increases.

 

Thecurrency sector posted losses for the Partnership.  Losses were particularly attributed to shortpositions in the Swiss franc and Japanese yen. Short position in the Japaneseyen was the worst performing position for the Partnership after the Bank ofJapan Governor, Toshihiko Fukui said a seven-year bout of deflation has almostended and the central bank will gradually raise interest rates from zeropercent, resulting in the Japanese yen rising over 2.50%. The Euro proved to bedifficult as the market moved against the Partnership’s long position. TheCanadian dollar and Mexican peso were especially challenging as both currenciessuffered sharp reversals versus the U.S. dollar. Traders drove the Canadiandollar lower on concerns that Canada’s interest rate disadvantage with U.S.will widen. In Mexico, the Bank of Mexico cut rates, further weakening thecurrency versus the U.S. dollar.     

 

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January 1, 2005 toMarch 31, 2005

 

ThePartnership was unprofitable for the first quarter of 2005. In the beginning ofthe quarter, many trend-following programs experienced difficulty as largertrends, which started in the fourth quarter reversed during the quarter. Globalequity markets sold-off after rallying in December. The U.S. dollar beganstrengthening and metal markets also sold-off. Throughout the remainder of thequarter, many longer-term trend-following programs experienced difficulty, asmarkets remained quite range bound and choppy.

 

Thecurrency sector began the first quarter with a loss, as the U.S. dollarstrengthened against various other currencies. Gains achieved in exposure tothe Japanese yen were outweighed by losses in the Euro, Canadian dollar andAustralian dollar. At mid-quarter, gains generated in exposure to theAustralian dollar and Polish zloty 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.

 

Themetals sector also posted losses, as markets sold off on slower growthestimates in 2005. Both exposure to industrial and precious metals detractedfrom performance. The sector gained during the quarter as markets rallied inboth the precious and industrial sub-sectors, particularly gold, copper andaluminum. However, the sector ended the quarter with a loss as gains in non-preciousmetals such as aluminum and copper were offset by losses in silver and goldcontracts.  

 

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

 

Theinterest rate sector was the poorest performing sector for the first quarter.The beginning of the quarter had gains generated in exposure to Japanese, U.S.and European fixed income. Toward the end of the quarter, gains were generatedat the front end of the U.S. curve, while losses were experienced in exposureto European and Japanese fixed income. Losses were mainly from exposure to German and Japanese fixed incomeinstruments. Profits were made from short exposure to Eurodollar and U.S.Treasury note contracts.

 

Item 3.   Quantitative and Qualitative DisclosuresAbout Market Risk

 

Notapplicable

 

Item 4.   Controls and Procedures 

 

MerrillLynch Alternative 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 the effectivenessof the design and operation of its disclosure controls and procedures withrespect to the Partnership and Trading LLCs as of the end of the period of thisquarterly report, and, based on this evaluation, has concluded that thesedisclosure 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

 

Neither the Partnership nor MLAI has ever been thesubject of any material litigation. Merrill Lynch is the 100% indirect owner of MLAI, MLPF&S and allother Merrill Lynch entities involved in the operation of the Partnership.  Merrill Lynch as well as certain of itssubsidiaries and affiliates have been named as defendants in civil actions,arbitration proceedings and claims arising out of their respective businessactivities. Although the ultimate outcome of these actions cannot be predictedat this time and the results of legal proceedings cannot be predicted withcertainty, it is the opinion of management that the result of these matterswill not be materially adverse to the business operations or the financialcondition of MLAI or the Partnership.

 

Item 2.  Changes in Securities and Use ofProceeds

 

(a)  None.

(b)  None.

(c)  None.

(d)  None.

 

Item 3.  Defaults Upon Senior Securities

 

None.

 

Item 4.  Submission of Matters to a Vote of SecurityHolders

 

None.

 

Item 5.  Other information

 

None.

 

Item 5(a). RecentSale of Unregistered Securities: Uses of Proceeds from Registered Securities

 

Not applicable

 

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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:

 

31.01and

31.02                       Rule 13a-14(a)/15d-14(a) Certifications

 

Exhibit31.01

and31.02:              Are filed herewith.

 

32.01and

32.02                       Section 1350 Certifications

 

Exhibit32.01

and32.02: Are filedherewith

 

(b)  Reports on Form 8-K

 

There were no reports on Form 8-K filed during the first three monthsof fiscal 2006.

 

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**SIGNATURES**

** **

Pursuantto the requirements of the Securities Exchange Act of 1934, the registrant hasduly caused this report to be signed on its behalf by the undersigned thereuntoduly authorized.

 

 
|                | JOHN  W. HENRY & CO./MILLBURN L.P. |
|---------------------|----------------------------------------|
|                |                                   |
|                |                                   |
| ** **          | ** **                             | By: | **MERRIL LYNCH ALTERNATIVE** |
| ** **          | ** **                             | ** ** | ** INVESTMENTS LLC** |
| ** **          | ** **                             | ** ** | **       General Partner** |
|                |                                   |   |
|                |                                   |
| Date:  May 15, 2006 | By                                     | /s/  ROBERT M. ALDERMAN |   |
|                |                                   | Robert  M. Alderman |
|                |                                   | Chief  Executive Officer, President and Manager |
|                |                                   | (Principal  Executive Officer) |
|                |                                   |
|                |                                   |
| Date:  May 15, 2006 | By                                | /s/  MICHAEL L. PUNGELLO |   |
|                |                                   | Michael  L. Pungello |
|                |                                   | Vice  President, Chief Financial Officer |
|                |                                   | and  Treasurer |
|                |                                   | (Principal  Financial and Accounting Officer) |
|                     |                                        |  |  |  |

 

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