**UNITEDSTATESSECURITIES AND EXCHANGE COMMISSION**

**Washington, D.C.20549**

**FORM 10-Q**

**(Mark One)**

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

**For the quarterly period endedSeptember 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 of Registrant as specified in its charter)

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

 

**c/oMerrill Lynch Alternative Investments LLCPrinceton Corporate Campus800 Scudders Mill Road – Section 2HPlainsboro, New Jersey  08536**(Address of principal executive offices)

(Zip Code)

**609-282-6091**

(Registrant’s telephone number, 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     Acceleratedfiler o     Non-acceleratedfiler x

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

Yes  o  No  x

 

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

QUARTERLY REPORT FOR SEPTEMBER 30, 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 |       | 8        |
|     |       |                                                                                        |       |     |
| Item 3.  |       | Quantitative and Qualitative Disclosures About  Market Risk                                 |       | 14       |
|     |       |                                                                                        |       |     |
| Item 4.  |       | Controls and Procedures                                                                     |       | 14       |
|     |       |                                                                                        |       |     |
| PART II  |
|     |       |                                                                                        |       |     |
| Item 1.  |       | Legal Proceedings                                                                           |       | 15       |
|     |       |                                                                                        |       |     |
| Item 2.  |       | Changes in Securities and Use of Proceeds                                                   |       | 15       |
|     |       |                                                                                        |       |     |
| Item 3.  |       | Defaults Upon Senior Securities                                                             |       | 15       |
|     |       |                                                                                        |       |     |
| Item 4.  |       | Submission of Matters to a Vote of Security Holders                                         |       | 15       |
|     |       |                                                                                        |       |     |
| Item 5.  |       | Other Information                                                                           |       | 15       |
|     |       |                                                                                        |       |     |
| Item 5a. |       | Recent Sales of Unregistered Securities: Uses of  Proceeds From Registered Securities       |       | 15       |
|     |       |                                                                                        |       |     |
| Item 6.  |       | Exhibits                                                                                    |       | 15       |

 

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PART I - FINANCIAL INFORMATION

Item 1. Financial Statements

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

(a DelawareLimited Partnership)

STATEMENTS OF FINANCIAL CONDITION
| ** **                                               | ** ** | **September 30,** | ** ** | **December 31,** | ** ** |
|----------------------------------------------------------|------------|------------------------|------------|-----------------------|------------|
| ** **                                               | ** ** | **2006**               | ** ** | **2005**              | ** ** |
| ** **                                               | ** ** | **(unaudited)**        | ** ** | ** **            | ** ** |
|                                                     |       |                   |       |                  |       |
| **ASSETS:**                                              |       |                   |       |                  |       |
| Investments in Trading  LLCs                             |       | $                      | 21,122,493 |                  | $          | 22,731,551 |   |
| Redemption receivable  from Trading LLCs                 |       | 377,918                |       | 282,573               |       |
|                                                     |       |                   |       |                  |       |
| **TOTAL  ASSETS**                                        |       | $                      | 21,500,411 |                  | $          | 23,014,124 |   |
|                                                     |       |                   |       |                  |       |
| **LIABILITIES AND PARTNERS’  CAPITAL:**             |       |                   |       |                  |       |
|                                                     |       |                   |       |                  |       |
| **LIABILITIES:**                                         |       |                   |       |                  |       |
|                                                     |       |                   |       |                  |       |
| Administrative fees and  other payables                  |       | $                      | 11,250     |                  | $          | 12,250 |   |
| Redemptions payable                                      |       | 366,668                |       | 270,323               |       |
|                                                     |       |                   |       |                  |       |
| Total  liabilities                                       |       | 377,918                |       | 282,573               |       |
|                                                     |       |                   |       |                  |       |
| **PARTNERS’ CAPITAL:**                              |       |                   |       |                  |       |
| General Partner:                                         |       |                   |       |                  |       |
| (166 and 189  Series A Units)                            |       | 58,901                 |       | 67,612                |       |
| (360 and 425  Series B Units)                            |       | 103,662                |       | 123,385               |       |
| (270 and 296  Series C Units)                            |       | 60,600                 |       | 66,981                |       |
| Limited  Partners:                                       |       |                   |       |                  |       |
| (15,341 and  16,224 Series A Units)                      |       | 5,443,198              |       | 5,803,895             |       |
| (34,465 and  36,815 Series B Units)                      |       | 9,923,871              |       | 10,688,039            |       |
| (24,649 and  26,433 Series C Units)                      |       | 5,532,261              |       | 5,981,639             |       |
|                                                     |       |                   |       |                  |       |
| Total partners’  capital                            |       | 21,122,493             |       | 22,731,551            |       |
|                                                     |       |                   |       |                  |       |
| **TOTAL  LIABILITIES AND PARTNERS’ CAPITAL**        |       | $                      | 21,500,411 |                  | $          | 23,014,124 |   |
|                                                     |       |                   |       |                  |       |
| **NET ASSET VALUE PER UNIT**                             |       |                   |       |                  |       |
| Series A (based  on 15,507 and 16,413 Units outstanding) |       | $                      | 354.81     |                  | $          | 357.74 |   |
| Series B (based  on 34,825 and 37,240 Units outstanding) |       | $                      | 287.94     |                  | $          | 290.32 |   |
| Series C (based on  24,919 and 26,729 Units outstanding) |       | $                      | 224.44     |                  | $          | 226.29 |   |

 

See notes tofinancial 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 nine** | ** ** | **For the nine** | ** ** |
|-----------------------------------------------------------------------------------|------------|-----------------------------|------------|-----------------------------|------------|----------------------------|------------|----------------------------|------------|
| ** **                                                                        | ** ** | **months ended**       | ** ** | **months ended**       | ** ** | **months ended**      | ** ** | **months ended**      | ** ** |
| ** **                                                                        | ** ** | **September 30,**      | ** ** | **September 30,**      | ** ** | **September 30,**     | ** ** | **September 30,**     | ** ** |
| ** **                                                                        | ** ** | **2006**                    | ** ** | **2005**                    | ** ** | **2006**                   | ** ** | **2005**                   | ** ** |
| **TRADING  PROFITS (LOSSES):**                                                    | ** ** | ** **                  | ** ** | ** **                  | ** ** | ** **                 | ** ** | ** **                 | ** ** |
|                                                                              |       |                        |       |                        |       |                       |       |                       |       |
| Realized                                                                          |       | $                           | (789,198   | )                           | $          | (281,922                   | )          | $                          | 766,930    |   | $ | (1,569,565 | ) |
| Change in unrealized                                                              |       | 628,849                     |       | (1,082,602                  | )          | (97,439                    | )          | (690,785                   | )          |
|                                                                              |       |                        |       |                        |       |                       |       |                       |       |
| Total trading profits (losses)                                                    |       | (160,349                    | )          | (1,364,524                  | )          | 669,491                    |       | (2,260,350                 | )          |
|                                                                              |       |                        |       |                        |       |                       |       |                       |       |
| **INVESTMENT  INCOME:**                                                           | ** ** | ** **                  | ** ** | ** **                  | ** ** | ** **                 | ** ** | ** **                 | ** ** |
|                                                                              |       |                        |       |                        |       |                       |       |                       |       |
| Interest                                                                          |       | 284,829                     |       | 202,708                     |       | 808,041                    |       | 531,657                    |       |
|                                                                              |       |                        |       |                        |       |                       |       |                       |       |
| **EXPENSES:**                                                                     | ** ** | ** **                  | ** ** | ** **                  | ** ** | ** **                 | ** ** | ** **                 | ** ** |
|                                                                              |       |                        |       |                        |       |                       |       |                       |       |
| Brokerage commissions                                                             |       | 464,865                     |       | 489,338                     |       | 1,462,113                  |       | 1,525,893                  |       |
| Profit Shares                                                                     |       | (44,191                     | )          | —                      |       | 11,793                     |       | —                     |       |
| Administrative and other fees                                                     |       | 47,422                      |       | 51,141                      |       | 144,253                    |       | 155,128                    |       |
|                                                                              |       |                        |       |                        |       |                       |       |                       |       |
| Total expenses                                                                    |       | 468,096                     |       | 540,479                     |       | 1,618,159                  |       | 1,681,021                  |       |
|                                                                              |       |                        |       |                        |       |                       |       |                       |       |
| **NET  INVESTMENT LOSS**                                                          |       | (183,267                    | )          | (337,771                    | )          | (810,118                   | )          | $                          | (1,149,364 | ) |
|                                                                              |       |                        |       |                        |       |                       |       |                       |       |
| **NET  LOSS**                                                                     |       | $                           | (343,616   | )                           | $          | (1,702,295                 | )          | $                          | (140,627   | ) | $ | (3,409,714 | ) |
|                                                                              |       |                        |       |                        |       |                       |       |                       |       |
| **NET  LOSS PER UNIT:**                                                           | ** ** | ** **                  | ** ** | ** **                  | ** ** | ** **                 | ** ** | ** **                 | ** ** |
| Weighted average  number of General Partner and Limited Partner Units outstanding |       |                        |       |                        |       |                       |       |                       |       |
| Series A                                                                          |       | 15,817                      |       | 17,239                      |       | 16,072                     |       | 18,112                     |       |
| Series B                                                                          |       | 35,420                      |       | 39,658                      |       | 36,157                     |       | 41,005                     |       |
| Series C                                                                          |       | 25,933                      |       | 27,729                      |       | 26,240                     |       | 28,323                     |       |
| Net loss per  weighted average General Partner and Limited Partner Unit by series |       |                        |       |                        |       |                       |       |                       |       |
| Series A                                                                          |       | $                           | (5.61      | )                           | $          | (25.35                     | )          | $                          | (2.30      | ) | $ | (48.63 | ) |
| Series B                                                                          |       | $                           | (4.57      | )                           | $          | (20.63                     | )          | $                          | (1.74      | ) | $ | (39.64 | ) |
| Series C                                                                          |       | $                           | (3.59      | )                           | $          | (16.12                     | )          | $                          | (1.56      | ) | $ | (31.90 | ) |

 

Substantially all items ofincome and expenses are derived from investments in Trading LLCs.

Seenotes to financial statements.

3

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

(a Delaware Limited Partnership)

 STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL

For the ninemonths ended September  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                                     |       | —            |       | —                   |       | —                    |       | (9,940            | )          | (18,389 | ) | (10,130 | ) | (870,792 | ) | (1,607,040 | ) | (893,423 | ) | (3,409,714 | ) |
|                                         |       |              |       |                     |       |                      |       |              |       |   |   |   |   |   |   |   |   |   |   |   |   |
| Redemptions                                  |       | (1,581            | )          | (3,161                   | )          | (2,349                    | )          | (6,962            | )          | (14,972 | ) | (9,469 | ) | (557,300 | ) | (887,860 | ) | (490,160 | ) | (1,966,723 | ) |
|                                         |       |              |       |                     |       |                      |       |              |       |   |   |   |   |   |   |   |   |   |   |   |   |
| PARTNERS’  CAPITAL,  September 30, 2005 |       | 17,182            |       | 39,013                   |       | 26,996                    |       | $                 | 63,818     |   | $ | 116,462 |   | $ | 63,223 |   | $ | 5,737,893 |   | $ | 10,574,171 |   | $ | 5,703,029 |   | $ | 22,258,596 |   |
|                                         |       |              |       |                     |       |                      |       |              |       |   |   |   |   |   |   |   |   |   |   |   |   |
| PARTNERS’  CAPITAL,  December 31, 2005  |       | 16,413            |       | 37,240                   |       | 26,729                    |       | $                 | 67,612     |   | $ | 123,385 |   | $ | 66,981 |   | $ | 5,803,895 |   | $ | 10,688,039 |   | $ | 5,981,639 |   | $ | 22,731,551 |   |
|                                         |       |              |       |                     |       |                      |       |              |       |   |   |   |   |   |   |   |   |   |   |   |   |
| Net loss                                     |       | —            |       | —                   |       | —                    |       | (384              | )          | (589 | ) | (427 | ) | (36,528 | ) | (62,278 | ) | (40,421 | ) | (140,627 | ) |
|                                         |       |              |       |                     |       |                      |       |              |       |   |   |   |   |   |   |   |   |   |   |   |   |
| Redemptions                                  |       | (906              | )          | (2,415                   | )          | (1,810                    | )          | (8,327            | )          | (19,134 | ) | (5,954 | ) | (324,169 | ) | (701,890 | ) | (408,957 | ) | (1,468,431 | ) |
|                                         |       |              |       |                     |       |                      |       |              |       |   |   |   |   |   |   |   |   |   |   |   |   |
| PARTNERS’ CAPITAL,  September 30, 2006  |       | 15,507            |       | 34,825                   |       | 24,919                    |       | $                 | 58,901     |   | $ | 103,662 |   | $ | 60,600 |   | $ | 5,443,198 |   | $ | 9,923,871 |   | $ | 5,532,261 |   | $ | 21,122,493 |   |

 

Seenotes 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 September 30,2006, and the results of its operations for the three and nine months endedSeptember 30, 2006 and 2005.  Theoperating results for the interim periods may not be indicative of the resultsfor 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 of financial statements in conformitywith US GAAP requires management to make estimates and assumptions that affectthe reported amounts of assets and liabilities and disclosure of contingentassets and liabilities at the date of the financial statements and the reportedamounts of revenues and expenses during the reporting period.  Actual results could differ from thoseestimates.

2.               INVESTMENTS

As of September 30, 2006, the Partnership hadinvestments in ML JWH Financials and Metals Portfolio LLC (“JWH LLC”) andMillburn Global LLC (“Millburn LLC”) (“Trading LLCs”, collectively) of$10,561,247 and $10,561,246, respectively. At December 31, 2005, thePartnership had investments in JWH LLC and Millburn LLC of $11,365,776 and$11,365,775, respectively.  The majorityof revenue and expenses of the Partnership have been derived from itsinvestments in the Trading LLCs.

Condensed statements of financial condition andstatements of operations for JWH LLC and Millburn LLC are set forth as follows:
|                       | ** ** | **September 30, 2006** | ** ** | **December 31, 2005** | ** ** |
|-----------------------|------------|----------------------------------|------------|---------------------------------|------------|
| ** **            | ** ** | **(unaudited)**                  | ** ** | ** **                      | ** ** |
| ** **            | ** ** | **JWH**                          | ** ** | **Millburn**                    | ** ** | **JWH** | ** ** | **Millburn** | ** ** |
| ** **            | ** ** | **LLC**                          | ** ** | **LLC**                         | ** ** | **LLC** | ** ** | **LLC** | ** ** |
|                  |       |                             |       |                            |       |   |   |   |   |
| Assets                |       | $                                | 11,345,273 |                            | $          | 10,636,574 |   | $ | 11,871,748 |   | $ | 11,448,400 |   |
|                  |       |                             |       |                            |       |   |   |   |   |
| Liabilities           |       | $                                | 784,026    |                            | $          | 75,328 |   | $ | 505,972 |   | $ | 82,625 |   |
| Members’ Capital |       | 10,561,247                       |       | 10,561,246                      |       | 11,365,776 |   | 11,365,775 |   |
|                  |       |                             |       |                            |       |   |   |   |   |
| Total                 |       | $                                | 11,345,273 |                            | $          | 10,636,574 |   | $ | 11,871,748 |   | $ | 11,448,400 |   |

 

5

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| ** **                                    | ** ** | **JWH LLC**                 | ** ** |
|-----------------------------------------------|------------|----------------------------------|------------|
| ** **                                    | ** ** | **For the three**      | ** ** | **For the three** | ** ** | **For the nine** | ** ** | **For the nine** | ** ** |
| ** **                                    | ** ** | **months ended**            | ** ** | **months ended** | ** ** | **months ended** | ** ** | **months ended** | ** ** |
| ** **                                    | ** ** | **September 30, 2006** | ** ** | **September 30, 2005** | ** ** | **September 30, 2006** | ** ** | **September 30, 2005** | ** ** |
| ** **                                    | ** ** | **(unaudited)**                  | ** ** | **(unaudited)** | ** ** | **(unaudited)** | ** ** | **(unaudited)** | ** ** |
| Trading Profits (Losses)  and Interest Income |       | $                                | 591,568    |   | $ | (2,036,374 | ) | $ | 1,053,801 |   | $ | (2,577,314 | ) |
|                                          |       |                             |       |   |   |   |   |   |   |
| Expenses                                      |       | 247,866                          |       | 232,545 |   | $ | 758,330 |   | 759,557 |   |
|                                          |       |                             |       |   |   |   |   |   |   |
| Net Income (Loss)                             |       | $                                | 343,702    |   | $ | (2,268,919 | ) | $ | 295,471 |   | $ | (3,336,871 | ) |

 
| ** **                                    | ** ** | **Millburn LLC**            | ** ** |
|-----------------------------------------------|------------|----------------------------------|------------|
| ** **                                    | ** ** | **For the three**      | ** ** | **For the three** | ** ** | **For the nine** | ** ** | **For the nine** | ** ** |
| ** **                                    | ** ** | **months ended**            | ** ** | **months ended** | ** ** | **months ended** | ** ** | **months ended** | ** ** |
| ** **                                    | ** ** | **September 30, 2006** | ** ** | **September 30, 2005** | ** ** | **September 30, 2006** | ** ** | **September 30, 2005** | ** ** |
| ** **                                    | ** ** | **(unaudited)**                  | ** ** | **(unaudited)** | ** ** | **(unaudited)** | ** ** | **(unaudited)** | ** ** |
| Trading Profits (Losses)  and Interest Income |       | $                                | (467,088   | ) | $ | 874,558 |   | $ | 423,731 |   | $ | 848,621 |   |
|                                          |       |                             |       |   |   |   |   |   |   |
| Expenses                                      |       | 186,480                          |       | 271,184 |   | $ | 758,579 |   | 811,214 |   |
|                                          |       |                             |       |   |   |   |   |   |   |
| Net Income (Loss)                             |       | $                                | (653,568   | ) | $ | 603,374 |   | $ | (334,848 | ) | $ | 37,407 |   |

 

3.               FAIR VALUE ANDOFF-BALANCE SHEET RISK

The Partnership invests indirectly in derivativeinstruments by investing in the Trading LLCs but does not itself hold anyderivative instrument positions. The nature of this Partnership has certainrisks, which can not all be presented on the financial statements.  The following summarizes 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 Alternative Investments LLC (“MLAI”), has procedures in placeintended to control market risk exposure, although there can be no assurancethat they will, in fact, succeed in doing so. These procedures focus primarily on monitoring the trading of theAdvisors

6

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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 exposure, MLAI may urgeAdvisors to reallocate positions or itself reallocate Partnership assets amongAdvisors (although typically only as of the end of a month) in an attempt toavoid over-concentration.  However, suchinterventions are unusual.  Except incases in which it appears that an Advisor has begun to deviate from pastpractice and trading policies or to be trading erratically, MLAI’s basic riskcontrol procedures consist simply of the ongoing process of advisor monitoringand selection, with the market risk controls being applied by the Advisorsthemselves.

###### Credit Risk

The risks associated withexchange-traded contracts are typically perceived to be less than thoseassociated with over-the-counter (non-exchange-traded) transactions, becauseexchanges typically (but not universally) provide clearinghouse arrangements inwhich the collective credit (in some cases limited in amount, in some casesnot) of the members of the exchange is pledged to support the financialintegrity of the exchange.  Inover-the-counter transactions, on the other hand, traders must rely solely onthe credit of their respective individual counterparties.  Margins, which may be subject to loss in theevent of a default, are generally required in exchange trading, andcounterparties may also require margin in the over-the-counter markets.

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 & Co., Inc. (“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.

4.               RECENT ACCOUNTING PRONOUNCEMENTS

InJuly 2006, the Financial Accounting Standards Board (“FASB”) issuedInterpretation No. 48 (“FIN 48”) entitled “Accounting for Uncertainty in IncomeTaxes — an interpretation of FASB Statement No. 109”. FIN 48 prescribes theminimum recognition threshold a tax position must meet in connection withaccounting for uncertainties in income tax positions taken or expected to betaken by an entity before being measured and recognized in the financialstatements. Adoption of FIN 48 is required for fiscal years beginning afterDecember 15, 2006. The impact on the Partnership financial statements, if any,is currently being assessed.

InSeptember 2006, the Securities Exchange Commission (“SEC”) staff also issuedStaff Accounting Bulletin No. 108,*“Consideringthe Effects of Prior Year Misstatements when Quantifying Misstatements inCurrent Year Financial Statements”* (“SAB 108”). While not anofficial rule or interpretation of the SEC, SAB 108 was issued to address thediversity in practice in quantifying misstatements from prior years andassessing their effect on current year financial statements. SAB 108 iseffective for the first annual period ending after November 15, 2006, with

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earlyapplication encouraged. The Partnership has assessed the impact of SAB 108 onits financial statements and does not expect the impact of adoption to bematerial to its financial statements.

InSeptember 2006, the FASB issued Statement of Financial Accounting Standards No.157, Fair Value Measurements (“FAS 157”).  FAS 157 establishes acommon definition for fair value under accounting principles generally acceptedin the United States of America, establishes a framework for measuring fairvalue and expands disclosure requirements about such fair valuemeasurements.  FAS 157 is effective for fiscal years beginning afterNovember 15, 2007.  The Partnership is currently evaluating the impact ofadopting FAS 157 on its financial statements.

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

MONTH-END NET ASSET VALUEPER SERIES A UNIT

|      | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **Jul.** | ** ** | **Aug.** | ** ** | **Sep.** | ** ** |
|------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|----------|------------|
| 2005 |       | $        | 358.46     |     | $          | 348.10   |       | $        | 331.64     |    | $          | 320.87   |       | $        | 337.99     |     | $          | 363.01   |       | $ | 356.04 |   | $ | 329.68 |   | $ | 337.66 |   |
| 2006 |       | $        | 362.06     |     | $          | 345.38   |       | $        | 366.89     |    | $          | 397.66   |       | $        | 389.16     |     | $          | 360.54   |       | $ | 348.49 |   | $ | 364.76 |   | $ | 354.81 |   |

 

MONTH-END NET ASSET VALUEPER SERIES B UNIT

|      | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **Jul.** | ** ** | **Aug.** | ** ** | **Sep.** | ** ** |
|------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|----------|------------|
| 2005 |       | $        | 290.90     |     | $          | 282.50   |       | $        | 269.14     |    | $          | 260.40   |       | $        | 274.30     |     | $          | 294.60   |       | $ | 288.94 |   | $ | 267.55 |   | $ | 274.03 |   |
| 2006 |       | $        | 293.78     |     | $          | 280.25   |       | $        | 297.70     |    | $          | 322.67   |       | $        | 315.77     |     | $          | 292.55   |       | $ | 282.81 |   | $ | 296.02 |   | $ | 287.94 |   |

 

MONTH-END NET ASSET VALUEPER SERIES C UNIT

|      | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **Jul.** | ** ** | **Aug.** | ** ** | **Sep.** | ** ** |
|------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|----------|------------|
| 2005 |       | $        | 226.75     |     | $          | 220.20   |       | $        | 209.79     |    | $          | 202.98   |       | $        | 213.81     |     | $          | 229.63   |       | $ | 225.22 |   | $ | 208.55 |   | $ | 213.60 |   |
| 2006 |       | $        | 229.00     |     | $          | 218.45   |       | $        | 232.05     |    | $          | 251.52   |       | $        | 246.14     |     | $          | 228.04   |       | $ | 220.44 |   | $ | 230.74 |   | $ | 224.44 |   |

 

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Performance Summary

All of the Partnership’s assets are invested inTrading LLCs.  The Partnership receivestrading profits (losses) as an investor in the Trading LLCs . The following commentary describes thetrading results of Trading LLCs.

January 1, 2006 toSeptember 30, 2006

January 1, 2006 to March 31, 2006

The Partnership’s overall trading was profitable forthe quarter. The Partnership experienced gains in three of the four sectors,with the largest gain in the stock indices sector.

The stock indices sector was the most profitable forthe Partnership. At the beginning of the quarter, the Partnership continued tohold long positions in all 15 traded markets which benefited from strongworldwide equity markets. The Nikkei 225 (up 3.3%) was the most profitablestock index traded as it rose to an over five year high after sustaining highintra-month volatility. In the middle of the quarter, most indices lost profitsbut rebounded by the end of the quarter. Successful trading in the major U.S.indices contributed positively, with the S&P 500 and Dow Jones IndustrialAverage, at five year highs and the Russell 2000 at all-time highs.

The metals sector posted a gain as the Partnership waswell positioned to capture the sector’s sustained upward trend. Preciousmetals, gold and silver bolstered the Partnership’s returns as investors soughtthe safety of these markets when tensions in Iran increased over its nuclearprogram. Long positions in the base metals copper, zinc and aluminum added toprofitability. Industrial metals slumped mid-quarter. The metals sector bouncedback at the end of the quarter due to a strong performance from silver andcopper. Silver, for May delivery, closed the month at $11.66, its highest levelsince September 1983. An 18.52% gain for silver was driven largely by theanticipation of the launching of a silver exchange traded fund by BarclaysCapital. Copper rallied to an all time high with a 13.84% gain at the end ofthe quarter. The metal’s rally has been fueled by speculation that increasedworldwide economic growth (particularly in China) will reduce inventories andpotentially trigger supply shortfalls.

The interest rate sector posted a profit for thePartnership. The beginning of the quarter was difficult due to losses made inlong positions in ten year notes in the Japanese, German and U.S. markets.However, gains were recaptured mid-quarter due to short positions in theEurodollar and Euribor contracts. Short positions in the U.S. Treasury two-yearand ten-year notes contributed with modest profits as traders stepped up betsthat the U.S. Federal Reserve will raise interest rates at least two more timesby June. Gains continued through the end of the quarter as the Partnership hadshort positions in nearly every instrument it traded in the sector. The majorityof the gains were made through short positions in the U.S. and German bondsacross the yield curve. Yields on the U.S. Treasury ten-year note rose to thehighest level since May 2004 after the U.S. Federal Reserve lifted its targetrate for the 15th consecutive time and hinted there may be moreincreases.

The currency sector posted losses for thePartnership.  Losses were particularlyattributed to short positions in the Swiss franc and Japanese yen. Shortposition in the Japanese yen was the worst performing position for thePartnership after the Bank of Japan Governor, Toshihiko Fukui said a seven-yearbout of deflation has almost ended and the central bank will gradually raiseinterest rates from zero percent, resulting in the Japanese yen rising over 2.50%.The Euro proved to be difficult as the market moved against the Partnership’slong position. The Canadian dollar and Mexican peso were especially challengingas both currencies suffered sharp reversals versus the U.S. dollar. Tradersdrove the Canadian dollar lower on concerns that Canada’s interest ratedisadvantage with U.S. will widen. In Mexico, the Bank of Mexico cut rates,further weakening the currency versus the U.S. dollar.

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April 1, 2006 to June 30, 2006

The Partnership’s overall trading was not profitablefor the quarter. The Partnership posted gains in the metals and interest ratesectors with the currency and stock indices sectors posting losses.

The metals sector posted the highest gains for thePartnership as many markets raced to all time multi-decade highs. Returns werebuoyed by the gold, copper and aluminum markets. Copper and aluminum weredriven by global construction demand particularly in China as well as certainmining and supply disruptions. Gold moved higher as investors flocked to itssafety in light of increased U.S. inflation and conflict in Iran over itsnuclear capabilities. Long positions led the way mid-quarter and copper racedto all time highs on May 11th then fellthroughout the remainder of the month as traders grew concerned that theworldwide economy may slow demand for the industrial metal. Aluminum and golddetracted from performance as the strong upward trend in most metals reversedmid-month.  The quarter ended with poor returnsfrom copper and gold. Copper’s losses stemmed from a -16.8% four day mid monthreversal which caused the Partnership to cut all copper positions. Gold wasdown as a strengthening U.S. dollar eroded the precious metal’s appeal as analternative investment.

The interest rate sector posted a profit for thePartnership. Gains were attributed to short positions in 16 of the 18instruments traded. Top performers were the German ten-year note, U.K. LongGilt and the U.S. 30-year Treasury bond as all three markets fell for thefourth consecutive month. Signs of growth and indications that the centralbanks in all three markets will raise rates spurred yields higher and priceslower. Difficult trading mid-quarter was due to short positions in all 18instruments traded, especially in the German and Japanese ten-year notes. Boththe German and Japanese government bonds posted their first monthly gain of2006 when investors flocked to the relative safety of government bonds ascommodities and stock indices struggled. The quarter ended with negative resultsholding short positions in 15 of 18 instruments traded. The U.S. ten-yearTreasury note posted its sixth consecutive monthly decline and the downwardtrend persisted.

The currency sector posted losses for thePartnership.  The general trend in themarket was the weakening U.S. dollar on concerns over inflation and the currentaccount deficit. Profits were posted in long positions in the Euro vs. the U.S.dollar and the British pound vs. the U.S. dollar. A trade that was short theJapanese yen against the U.S. dollar was a major detractor. April saw theJapanese yen strengthen 3.4% vs. the U.S. dollar, the most since October 2004.Currencies posted a limited gain for the Partnership mid-quarter. Longpositions in the British pound and Euro were the hardest hit by quarter’s-end.The British pound dropped -1.14% versus the U.S. dollar on speculation that theU.S. Federal Reserve would continue to raise rates faster than the Bank ofEngland. Although the Euro was down only -0.14% against the U.S. dollar, the Partnershipposted losses when the Euro plunged more than -3.00% over the course of sevendays. After the sharp drop, the Partnership’s systems cut nearly all exposurecausing the Partnership to miss the 1.80% rally on the final two days of thequarter.

Trading in stock indices were the least profitable forthe Partnership. Several markets in Asia recorded gains, such as Taiwan’s Taiexand Hong Kong’s Han Seng Index. However, the negative performance can beattributed to poor trading in the Dow Jones EuroStoxx Index. A gradual increasein long exposure in the Dow Jones EuroStoxx profited as the index rallied butgave back the profits and more when the Euro Stoxx reversed direction at thebeginning of the quarter. Remarkably, 19 out of 20 stock indices tradedsuffered losses mid-quarter. Only a short position in the NASDAQ 100 produced asmall gain. Across the board, stock indices fell on fears that liquidity willbe pulled from the global economy as American, European, Japanese and EmergingMarket Central Banks all appeared poised to hike rates further. Only the HangSeng and NASDAQ 100 were able to post marginally positive returns at quarter’send, resulting in just two positive markets out of 19 traded. Stock indicesworld-wide were down only to rally at the end of the quarter when the U.S.Federal Reserve hinted it may soon end its run of rate increases.

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July 1, 2006 to September 30, 2006

The Partnership’s overall trading was not profitablefor the quarter. The Partnership posted gains in the stock indices and interestrate sectors with metals and currency sectors posting losses.

The stock indices posted gains for thePartnership.  The quarter began with theNASDAQ down on concerns over fighting in the Middle East, the options backdating scandal and some earning disappointments. Gains were also posted in theNikkei 225 and the Hang Sang markets. Mid-quarter losses in the sector wereprimarily caused by a short position in the NASDAQ 100. This sector suffered asU.S. stocks rallied to a four month high after the government said employersadded more jobs and wage increases slowed in July, easing concern that higherinterest rates would lead to an economic slump. The quarter ended as long positions in every market traded generatedsolid returns. The best performers were the Dow Jones Euro Stoxx, Spain’s IBEX35 and the NASDAQ 100. Globally, stock indices were aided by decreasing energyprices as crude oil fell over 10% and there were signs of slowing inflation.

The interest rate sector also posted gains for thePartnership. The quarter began as the broad bond markets reversed their sixmonth downward trend in anticipation of a pause in rate hikes from the U.S.Federal Reserve.  Global bond marketscontinued their strengthening trend mid quarter as investors in the Japan,Europe and the U.S. rates pushed bond prices higher on optimism that theworld-wide campaign of central banks to raise interest rates would containinflation. The quarter ended as the U.S. interest rates recorded gains from thelong side as U.S. Treasuries advanced as evidence accumulated that the U.S.economy would slow.

The metals sector posted losses for the Partnership.Base metals such as nickel, zinc and copper were the best performers in thesector, as nickel gained 21.47% at the beginning of the quarter. Nickel trendedhigher on supply concerns after global inventories tumbled to the lowest in 15years and a strike halted output at a mine in eastern Canada. Long positions innickel and silver posted gains mid quarter. Nickel prices, which have more thandoubled in 2006 as inventory stockpiles, continued to hover near all time lows.Losses were posted in long copper positions as investor concerns over theslowing U.S. housing market. Aluminum declined as stockpiles of the metalgained the most in more than nine months after the International AluminumInstitute said production rose in the first seven months of 2006. The quarterended with losses posted in aluminum and silver. Aluminum rose to an eight weekhigh after a decline in inventories spurred speculation that demand for themetal used in cans and cars would outpace production this year. Shortly aftertouching the eight week high, the metal plummeted over 9% in the following sixtrading days.

The currency sector was the least profitable for thePartnership due to market volatility. The largest loss came from a longposition in the Euro versus U.S. dollar as investors sought a haven fromescalating violence in the Middle East. The quarter ended as losses were posted primarily due to long positionsin the British pound and Euro. The British pound was down versus the U.S.dollar as fading expectations for the Bank of England rate increases enhancedthe appeal of U.S. Treasuries compared with the British Gilts, helping push theBritish pound lower. The U.S. dollar posted gains against the Euro as reportsshowed the U.S. Federal Reserve’s preferred inflation measure rose last monthand consumer confidence.

January 1, 2005 to June30, 2005

January 1, 2005 to March 31, 2005

The Partnership was unprofitable for the first quarterof 2005.  In the beginning of thequarter, many trend-following programs experienced difficulty, as larger trendswhich started in the fourth quarter reversed during the quarter.  Global equity markets sold-off after rallyingin December. The U.S. dollar

11

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began strengthening and metal markets alsosold-off.  Throughout the remainder ofthe quarter, many longer-term trend-following programs experienced difficulty,as markets remained quite range bound and choppy.

The currency sector began the first quarter with aloss, as the U.S. dollar strengthened against various other currencies.  Gains achieved in exposure to the Japaneseyen were outweighed by losses in the Euro, Canadian dollar and Australiandollar.  At mid-quarter, gains generatedin exposure to the Australian dollar and Polish zloty were outweighed by lossesin the Euro, Japanese yen and Swiss franc. At the end of the quarter, gains generated in exposure to the Japaneseyen and Swiss franc were outweighed by losses in the Polish zloty, Brazilianreal, and Australian dollar.

The metals sector also posted losses, as markets soldoff on slower growth estimates in 2005. Both exposure to industrial and precious metals detracted fromperformance.  The sector gained duringthe quarter as markets rallied in both the precious and industrial sub-sectors,particularly gold, copper and aluminum. However, the sector ended the quarter with a loss as gains innon-precious metals such as aluminum and copper were offset by losses in silverand gold contracts.

A loss was posted for the stock indices sector, asmarkets reversed and sold off.  Majorlosses were from exposure to the United States and Asia.  During the quarter, a gain was posted, asexposure to Asian equities and selected U.S. equities posted gains.  A loss was realized at the end of the quarteras exposure to U.S. equities and Asian equities contributed to the bulk oflosses.

The interest rate sector was the poorest performingsector for the first quarter.  Thebeginning of the quarter had gains generated in exposure to Japanese, U.S. andEuropean fixed income.  Toward the end ofthe quarter, gains were generated at the front end of the U.S. curve, whilelosses were experienced in exposure to European and Japanese fixed income.  Losses were mainly from exposure to Germanand Japanese fixed income instruments. Profits were made from short exposure to Eurodollar and U.S. Treasurynote contracts.

April 1, 2005 to June 30, 2005

Gains were posted in the interest rate and currencysectors, while losses were incurred trading in stock indices and the metalssector.  There were net trading profitsoverall.

Trading in interest rates provided the greatest amountof gains for the Partnership, 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 losses incurred early in the quarter. Losses early in the quarter were posted as currency trading continued tobe challenging and the U.S. dollar remained in a tight range. The U.S. dollarstrengthened based on the widening interest rate differential versus manydeveloped countries.  Exposure to theEuro, Japanese yen and Swiss franc were the main drivers of performance.

Trading in stock indices was unprofitable for thePartnership, despite profits posted the latter half of the quarter.  Weak U.S. economic data and disappointingearnings reports sent global equities lower early in the quarter.  Long exposure to European and Asian stockindices generated gains which outweighed losses from exposure to the U.S.markets.

The metals sector posted the largest losses for thePartnership during the quarter.  Basemetals took a step back causing losses in aluminum and copper.  Gold and silver prices showed volatile pricebehavior which also generated losses. Slight gains posted mid-quarter due to exposure to precious metals, but

12

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weren’t enough to outweigh the losses for the quarter.The metals sector continued its decline as gold sold off due to a strengtheningU.S. dollar.

July 1, 2005 to September 30, 2005

The stock indices sector was profitable for thequarter, while losses were posted for the metals sector, the currencies sector,and the interest rate sector.  Longer-termtrend-following programs experienced difficulty under volatile marketconditions resulting from terror attacks in London and the devaluation of theChinese yuan in July and Hurricane Katrina in August.  As a result, an overall loss was posted forthe quarter.

Stock indices posted a gain for the quarter.  Gains were experienced early on as globalindices rallied at the beginning of the quarter.  Long exposure across the sector, both domesticand international, contributed to the positive performance.  The largest gains came from exposure to theNikkei and the NASDAQ.  Gains continuedduring the quarter as the Nikkei and TOPIX rallied as the Japanese economy grewfor the third straight quarter.  TheNikkei rallied to a four year high. Optimism for Japanese growth and the election victory of Prime MinisterKoizumi sparked a rally in Japanese equities. Other global equities experienced heightened volatility, partly due tothe potential impact of Hurricane Katrina, and posted losses as a result.

The metals sector posted a loss for the quarter.  Gold prices fell from recent highs as theU.S. dollar strengthened.  Copper priceswere driven higher on stronger global economic data, which generated positiveperformance for the portfolio, but these gains did not outweigh losses inexposure to precious metals, particularly gold and silver.  Toward the end of the quarter, the sectorposted a gain as gold and copper trended higher.  Gold rallied on increased fear ofinflationary pressures due to higher energy costs.  Exposure to base metals, particularlyaluminum and nickel, muted some of these gains.

A loss was posted for the currencies sector.  The quarter began with a gain as the U.S.dollar strengthened based on widening interest rate differential versus manydeveloped countries.  The currencymarkets were extremely volatile in reaction to China ending its policy ofpegging its currency at 8.3 yuan to the U.S. dollar.  China revalued the yuan by 2.1% in July.  Exposure to the Japanese yen and the Swissfranc were the main drivers of performance, while exposure to the Australiandollar detracted from performance. Halfway through the quarter, the U.S. dollar began to decline againstmost major currencies.  The decline was aresult of the expected slowdown in growth due to higher energy prices in theU.S.  Gains in exposure to the Canadiandollar were outweighed by losses in exposure to the Japanese yen, Swiss franc,and British pound.  The resurgent U.S.dollar gained against the Japanese yen at the end of the quarter.  However, the gains were offset by exposure tothe British pound.

The interest rate sector posted the largest loss forthe quarter.  Stronger than expectedeconomic growth in the U.S., Europe, and Japan caused a sell off in global bondmarkets at the beginning of the quarter. Exposure to the German bund, Japanese government bonds, and the U.S.Treasury bond were the main detractors from performance.  Concerns over Hurricane Katrina and theimpact it would have on energy prices sparked a rally at the end of August inglobal bond markets, contributing further to losses.  Volatility increased in the marketscontributing to a significant loss at the end of the quarter.  As it became clear that the hurricanes in theUnited States would not send the economy into recession, U.S. Treasury ratesbegan to rise causing additional losses in the portfolio.

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Item 3. Quantitativeand Qualitative Disclosures About Market Risk

Not applicable

Item4. Controls and Procedures

MLAI, the GeneralPartner of John W. Henry & Co./Millburn L.P., with the participation of theGeneral Partner’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.

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PART II - OTHER INFORMATION

Item 1. LegalProceedings

Neither the Partnership norMLAI 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.  Changesin Securities and Use of Proceeds

(a)          None.

(b)         None.

(c)          None.

(d)         None.

Item 3.  DefaultsUpon Senior Securities

None.

Item 4. Submission of Matters to a Vote of SecurityHolders

None.

Item 5.  Otherinformation

None.

Item5(a). Recent Sale of Unregistered Securities: Uses of Proceeds from RegisteredSecurities

Not applicable

Item 6.                    Exhibits
|               |   | The following exhibits are  incorporated by reference or are filed herewith to this Quarterly Report on  Form 10-Q: |
|---------------|--------|---------------------------------------------------------------------------------------------------------------------|
|          |   |                                                                                                                |
|          |   |                                                                                                                |
| 31.01 and     |   |                                                                                                                |
| 31.02         |   | Rule 13a-14(a)/15d-14(a) Certifications                                                                             |
|          |   |                                                                                                                |
| Exhibit 31.01 |   |                                                                                                                |
| and 31.02:    |   | Are filed herewith.                                                                                                 |
|          |   |                                                                                                                |
| 32.01 and     |   |                                                                                                                |
| 32.02         |   | Section 1350 Certifications                                                                                         |
|          |   |                                                                                                                |
| Exhibit 32.01 |   |                                                                                                                |
| and 32.02:    |   | Are filed herewith                                                                                                  |

** **

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**SIGNATURES**

Pursuant to the requirements of the Securities Exchange Act of 1934,the registrant has duly caused this report to be signed on its behalf by theundersigned thereunto duly authorized.
|                     |   | JOHN W. HENRY &  CO./MILLBURN L.P. |
|--------------------------|--------|----------------------------------------|
|                     |   | By: MERRILL LYNCH ALTERNATIVE          |
| ** **               |   | INVESTMENTS LLC                        |
|                     |   | General Partner                        |
|                     |   |                                   |
|                     |   |                                   |
| Date: November  14, 2006 |   | By                                     | /s/ BENJAMIN WESTON |   |
|                     |   |                                   | Benjamin Weston |
|                     |   |                                   | Chief Executive  Officer and President |
|                     |   |                                   | (Principal  Executive Officer) |
|                     |   |                                   |
|                     |   |                                   |
| Date: November  14, 2006 |   | By                                     | /s/ BARBRA E. KOCSIS |   |
|                     |   |                                   | Barbra E. Kocsis |
|                     |   |                                   | Chief Financial  Officer |
|                     |   |                                   | (Principal  Financial and Accounting Officer) |
|                          |        |                                        |  |  |  |

 

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