10-Q 1 a2122374z10-q.txt 10-Q UNITED STATES SECURITIES 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 ACT OF 1934 For the quarterly period ended September 30, 2003 OR / / TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT 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/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 whether the registrant (1) has filed all reports required to be filed by Section 13 or 15 (d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes /X/ No / / PART I - FINANCIAL INFORMATION Item 1. Financial Statements JOHN W. HENRY & CO./MILLBURN L.P. --------------------------------- (A Delaware Limited Partnership) -------------------------------- STATEMENTS OF FINANCIAL CONDITION ---------------------------------

See notes to financial statements. 2 JOHN W. HENRY & CO./MILLBURN L.P. --------------------------------- (A Delaware Limited Partnership) -------------------------------- STATEMENTS OF OPERATIONS ------------------------ (unaudited)

All items of income and expense are allocated from investments in Trading LLC's. Certain 2002 information has been reclassified to conform to 2003 presentation. See notes to financial statements. 3 JOHN W. HENRY & CO./MILLBURN L.P. --------------------------------- (A Delaware Limited Partnership) -------------------------------- STATEMENTS OF CHANGES IN PARTNERS' CAPITAL ------------------------------------------ For the nine months ended September 30, 2003 and 2002 ------------------------------------------------------ (unaudited)

See notes to financial statements. 4 JOHN W. HENRY & CO./MILLBURN L.P. --------------------------------- (A Delaware Limited Partnership) ------------------------------- NOTES TO FINANCIAL STATEMENTS (unaudited) 1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES These financial statements have been prepared without audit. In the opinion of management, the financial statements contain all adjustments (consisting of only normal recurring adjustments) necessary to present fairly the financial position of John W. Henry & Co./Millburn L.P. (the "Partnership") as of September 30, 2003, and the results of its operations for the three and nine month periods ended September 30, 2003 and 2002. However, the operating results for the interim periods may not be indicative of the results for the full year. Certain information and footnote disclosures normally included in annual financial statements prepared in conformity with accounting principles general accepted in the United States of America have been omitted. It is suggested that these financial statements be read in conjunction with the financial statements and notes thereto included in the Partnership's Annual Report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2002. 2. INVESTMENTS As of September 30, 2003, the Partnership had investments in ML JWH Financials and Metals Portfolio LLC ("JWH LLC") and Millburn Global LLC ("Millburn LLC") ("Trading LLC", collectively) of $16,116,954 and $16,116,954, respectively. For the year ending December 31, 2002, the Partnership had investments in JWH LLC and Millburn LLC of $15,464,388 and $15,464,388, respectively. Condensed statements of financial condition and statements of operations for JWH LLC and Millburn LLC are set forth as follows:

3. FAIR VALUE AND OFF-BALANCE SHEET RISK The nature of this Partnership has certain risks, which can not be presented on the financial statements. The following summarizes some of those risks. Market Risk ----------- Derivative instruments involve varying degrees of off-balance sheet market risk. Changes in the level or volatility of interest rates, foreign currency exchange rates or the market values of the financial instruments or commodities underlying such derivative instruments frequently resulted in changes in the net unrealized profit (loss) as reflected in the respective Statements of Financial Condition of the Trading LLCs. The Partnership's exposure to market risk is influenced by a number of factors, including the relationships among the derivative instruments held by the Partnership, through the Trading LLCs, as well as the volatility and liquidity of such markets in which such derivative instruments are traded. The General Partner, Merrill Lynch Alternative Investments LLC ("MLAI LLC"), has procedures in place intended to control market risk exposure, although there can be no assurance that they will, in fact, succeed in doing so. These procedures focus primarily on monitoring the trading of the Advisors selected from time to time for the Partnership, calculating the Net Asset Value of the Advisors' respective Trading LLC accounts as of the close of business on each day and reviewing outstanding positions for over-concentrations both on an Advisor-by-Advisor and on an overall Partnership basis. While MLAI LLC does not itself intervene in the markets to hedge or diversify the Partnership's market exposure, MLAI LLC may urge Advisors to reallocate positions or itself reallocate Partnership assets among Advisors (although typically 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 an Advisor has begun to deviate from past practice and trading policies or to be trading erratically, MLAI LLC's basic risk control procedures consist simply of the ongoing process of advisor monitoring and selection, with the market risk controls being applied by the Advisors themselves. 6 Credit Risk ----------- The risks associated with exchange-traded contracts are typically perceived to be less than those associated with over-the-counter (non-exchange-traded) transactions, because exchanges typically (but not universally) provide clearinghouse arrangements in which the collective credit (in some cases limited in amount, in some cases not) of the members of the exchange is pledged to support the financial integrity of the exchange. In over-the-counter transactions, on the other hand, traders must rely solely on the credit of their respective individual counterparties. Margins, which may be subject to loss in the event of a default, are generally required in exchange trading, and counterparties may also require margin in the over-the-counter markets. The Partnership, through the Trading LLCs, has credit risk in respect of its counterparties and brokers, but attempts to mitigate this risk by dealing almost exclusively with Merrill Lynch entities as clearing brokers. The Partnership, through the Trading LLCs, in its normal course of business, enters into various contracts, with Merrill Lynch, Pierce, Fenner & Smith Inc. ("MLPF&S") acting as its commodity broker. Pursuant to the brokerage agreement with MLPF&S (which includes a netting arrangement), to the extent that such trading results in receivables from and payables to MLPF&S, these receivables and payables are offset and reported as a net receivable or payable and included in the Statements of Financial Condition of the Trading LLC's under Equity in commodity futures trading accounts. Item 2: Management's Discussion and Analysis of Financial Condition and Results of Operations MONTH-END NET ASSET VALUE PER SERIES A UNIT

MONTH-END NET ASSET VALUE PER SERIES B UNIT

MONTH-END NET ASSET VALUE PER SERIES C UNIT

Performance Summary All of the Partnership's assets are invested in Trading LLCs. The Partnership receives trading profits as an investor in the Trading LLCs. The following commentary describes the trading results of the Trading LLCs. 7 January 1, 2003 to September 30, 2003 ------------------------------------- January 1, 2003 to March 31, 2003 The Partnership experienced gains in the interest rate, stock index and currency sectors and losses in the metals sector. Overall, the Partnership experienced a positive rate of return for the quarter. Interest rate futures were the best performers for the quarter. Interest rates continued to push lower as economic data for the fourth quarter announced an annual growth rate for the economy of about 1% for 2002. Consumer spending and confidence remained low and even the housing market stumbled in March. The global fixed income markets continued their upward climb until mid-March when expectations of a short conflict triggered the liquidation of many fixed income investments hurting long exposure. Trading in stock indices posted gains for each of the months in the quarter. European stock markets attempted to start the year with some optimism only to succumb to eroding prices throughout the quarter. Global economies suffered throughout the quarter; however, in mid-March the equities market did react with the currency and fixed income markets. Equities appeared to be more in tune to the overall market fundamental and were quick to resume their downward trend. The currency forward and futures trading had gains for the quarter. The weakening U.S. dollar was continuing to decline as it has for over a year and the Partnership was well positioned to capitalize on its U.S. dollar positions against other currencies. In March, on hopes that the war with Iraq would be short, the U.S. dollar strengthened and returned some of the profits earned early in the year. The metals sector had losses for the quarter. Gold drove profits in January as it continued its run up. The general perception of risks in the financial markets and the geopolitical situation unfolding was the main driver for the gold market in January. The Partnership sustained losses in February as the long bias in precious metals hurt the portfolio when gold reversed its rising trend in February with the announcement that the German Bundesbank had sold a portion of its gold reserves. Industrial metals markets were choppy throughout the quarter. April 1, 2003 to June 30, 2003 The Partnership realized gains in the currency, interest rate and stock index sectors. Losses were realized in the metals sector. Overall, the Partnership recognized gains for the quarter. The currency sector drove the returns of the Partnership for the quarter. The currency markets judged the developments in the Middle East as negative for the U.S. economy and trade, and the U.S. dollar sold off against most major currencies in April and May. U.S. Treasury Secretary John Snow indicated he was comfortable with current decline in the U.S. dollar and that a cheaper U.S. dollar would increase exports. The U.S. dollar reversed its weakening trend in June which offset some of the previous gains. The interest rate sector provided the Partnership with profits for the second quarter. May gains outpaced losses from June. The decline in interest rates resulted in profits in many of the Partnership's long positions. Some factors that kept the interest rates falling were rumors of deflation, hedging by long term lenders against the falling interest rates, and foreign banks buying U.S. Treasuries as part of their monetary policy to control the value of their currency. The market reversed in June due to disappointing news about a smaller rate cut by the Federal Reserve then expected. The stock index futures produced small gains for the quarter capitalizing on the global upswing in stock prices in June. Investors reacted to the hope that deflation and economic contraction were coming to an end in Japan. Reports indicate that the rally in Japanese stocks has been fueled by foreign mutual funds, hedge funds and other non-Japanese institutional investors who invested more than ten times as much as local investors in June. 8 The metals sector posted a small loss for the second quarter. Positions in gold shifted from profitable to not throughout the quarter. Copper and other base metals were unprofitable. July 1, 2003 to September 30, 2003 Two out of the four sectors were profitable during the third quarter for the Partnership. Gains were generated in the stock and metals sectors, while losses were posted in interest rates and the currency sectors. The stock index sector posted the strongest profits for the third quarter. During the first part of the third quarter, U.S. equities were fairly quiet while strong gains were generated in trading global stock indices. The mid part of the third quarter, the Japanese Nikkei was the star performer as it gained over 8% on strong economic numbers. Gains in the Nikkei and the U.S. outweighed small losses in other markets. At the end of the third quarter, small gains in the Japanese Nikkei and the CAC 40 were outweighed by losses in other global indices. The metals sector posted gains for the third quarter. The beginning of the third quarter profits in the industrial complex were outweighed by losses in the precious metal sector. Copper and other industrial metals rallied on technical buying and stronger demand as economies showed stronger growth prospects. During the mid third quarter, the metals sector posted a gain while profits in precious metals outweighed losses in the industrial complex. Long exposure in gold generated gains as the market rallied $20 per ounce, while long exposure in copper and other industrial metals posted losses. At the end of the third quarter, the metals sector posted a profit with long positions in the metals, particularly gold and nickel, making significant price movements to the upside. Wherein, gold appreciated by 2.50% and nickel appreciated by 8.02%. In September, both the industrial and metal complex sectors benefited from increases in valuation. The interest rate sector posted a loss for the third quarter. The beginning of the third quarter U.S. bond market suffered heavy losses after the U.S. government announced its intentions to borrow a record amount to finance the huge deficit. European bonds were weaker, but outperformed the U.S. Profits generated in the U.S. segment of the portfolio, across the entire yield curve outweighed losses in global bonds. In the mid part of the third quarter, there were massive sell-offs in bonds during July, which seemed to have found a base during the month of August. Despite a record $60 billion refunding program in the U.S., bonds managed a timid recovery after making new lows while the Japanese government bonds lost five figures. With interest rates on hold at the short end of the curve in the U.S., trading was characterized by small ranges, which generated minor losses. The Japanese government bond exposure outweighed moderate losses across other global fixed income markets. At the end of the third quarter the short positions in the ten year and 30-year sector of the U.S. bond market generated losses, as yields dropped from 4.46% to 3.94% on the ten year. The currency sector posted a loss for the third quarter for the Partnership. In the beginning of the third quarter, the U.S. Dollar appreciated relative to other currencies with losses being experienced in most positions specifically, the Australian dollar, the Canadian dollar and the British pound. Large reversals occurred in these carry-trades, as markets focused attention on economic fundamentals rather than yield differentials. During the middle of the third quarter the U.S. dollar appreciated relative to the European currencies. The third quarter ended with the G-7 summit directing the market to the idea that a weak U.S. dollar is important to global trade balance. Foreign currencies against the U.S. dollar appreciated. 9 January 1, 2002 to September 30, 2002 ------------------------------------- January 1, 2002 to March 31, 2002 Trading in the metals sector was unprofitable for the quarter. Long positions in gold suffered losses. The gold market slumped, reversing January gains. Base metal positioning posted losses as prices soared on the hope that an economic recovery in the United States would boost demand. Trading in the interest rate markets produced losses on conflicting economic reports. U.S. short rate profits offset losses incurred further out on the U.S. curve under very choppy market conditions. European and Japanese fixed income exposures posted losses under particularly direction-less markets. Global bond prices declined on growing optimism for a stronger economic outlook for the remainder of 2002, benefiting short positioning. Stock indices trading incurred losses for the quarter. Long equity exposures were flipped to short exposures during the quarter, added to losses in volatile market conditions as profit forecasts fell short and concern over the Enron accounting situation deepened. Global equity markets appreciated in March, notably in Japan, Germany and France, which generated losses on short positioning. Currency trading was the most unprofitable strategy for the quarter. Early in the quarter, strong gains were generated from short Japanese yen positions as the Japanese yen continued to depreciate against the U.S. dollar. In February, all of the futures traded currencies appreciated against the U.S. dollar, with the exception of the Canadian dollar. March was a relatively volatile month for G-7 currencies. The U.S. dollar fell from 133 to 127.50 Japanese yen during the first week, and then almost completely reversed that move by month end, generating substantial losses. April 1, 2002 to June 30, 2002 Large profits were the result of trading in the currency sector. Strong trends developed from a weakening U.S. dollar and continued through June. Most of the majors currencies made new highs versus the U.S. dollar in June. The interest rate sector was profitable for the Partnership despite its slow start. The quarter began with a loss as interest rates were particularly sensitive to economic data that was released, and more so to its varied interpretations. By quarter end, the Partnership profited from a strong bond market, which benefited from the weakness in the stock market and unchanged interest rates. The trading in stock indices found profits from its short positions. Worldwide equity market attempted to move higher, but failed and resumed their longer-term downtrend. The metals sector sustained slight losses for the quarter. In June, the uptrend in gold reversed and losses were sustained on a long position eliminating slight profits earned earlier in the quarter. The metals sector sustained slight losses for the quarter. In June, the uptrend in gold reversed and losses were sustained on a long position eliminating slight profits earned earlier in the quarter. July 1, 2002 to September 30, 2002 Results from the interest rate sector provided solid positive performance for the Partnership. The yield curve on major debt instruments declined throughout the quarter. This market environment was supported by the increased risk aversion, the continued U.S. stock market decline and the conflicting 10 reports regarding the pace of the U.S. economic recovery. The economic news from Europe also pointed to a weak recovery overseas. Stock index futures also brought strong positive returns for the quarter. The downward trending market created a good environment for the trend following traders. Investors in the equity markets are still liquidating equity exposure. Metals produced only slight losses this quarter citing declines in precious and base metals throughout the quarter due to liquidation pressures in the market. Gold, however, had a weak rally during the second half of the quarter. Currency trading was the sad story this quarter being the sector with overall losses. The sector was choppy throughout the quarter making it difficult for any of the trend following traders to lock onto a market trend. The Partnership, as a member of a class of plaintiffs, received a settlement payment in August relating to certain copper trades made by a number of investors, including the Partnership, during a period in the mid-1990s. Members of the class were those who purchased or sold Comex copper futures or options contracts between June 24, 1993 and June 15, 1996. The amount of the settlement for the Partnership was $100,571, which is included in the realized profit of JWH LLC and Millburn LLC for $52,219 and $48,352, respectively. The effect of the settlement payment was included in the Partnership's performance in August. Item 3. Quantitative and Qualitative Disclosures About Market Risk Not applicable Item 4. Controls and Procedures Merrill Lynch Alternative Investments LLC, the General Partner of John W. Henry & Co./Millburn L.P., with the participation of the General Partner's Chief Executive Officer and the Chief Financial Officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to the Partnership within 90 days of the filing date of this quarterly report, and, based on their evaluation, have concluded that these disclosure controls and procedures are effective. Additionally, there were no significant changes in the Partnership's internal controls or in other factors that could significantly affect these controls subsequent to the date of their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses. 11 PART II - OTHER INFORMATION Item 1. Legal Proceedings There are no pending legal proceedings to which the Partnership or MLAI LLC is a party. Item 2. Changes in Securities and Use of Proceeds (a) None. (b) None. (c) None. (d) None. Item 3. Defaults Upon Senior Securities None. Item 4. Submission of Matters to a Vote of Security Holders None. Item 5. Other information None. Item 6. Exhibits and Reports on Form 8-K. (a) Exhibits -------- There are no exhibits required to be filed as part of this report. (b) Reports on Form 8-K ------------------- There were no reports on Form 8-K filed during the first nine months of fiscal 2003. 12 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 the undersigned thereunto duly authorized. JOHN W. HENRY & CO./MILLBURN L.P. By: MERRIL LYNCH ALTERNATIVE INVESTMENTS LLC General Partner Date: November 14, 2003 By /s/ ROBERT M. ALDERMAN ---------------------- Robert M. Alderman Chairman, Chief Executive Officer and Manager (Principal Executive Officer) Date: November 14, 2003 By /s/ MICHAEL L. PUNGELLO ---------------------- Michael L. Pungello Vice President, Chief Financial Officer and Treasurer (Principal Financial and Accounting Officer) 13 EXHIBIT 99 Form of Certification Pursuant to Section 1350 of Chapter 63 ------------------------------------------------------------ of Title 180 of the United States Code -------------------------------------- I, Robert M. Alderman, certify that: 1. I have reviewed this quarterly report on Form 10-Q of John W. Henry & Co./Millburn L.P.; 2. Based on my knowledge, this quarterly report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this quarterly report; 3. Based on my knowledge, the financial statements, and other financial information included in this quarterly report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this quarterly report; 4. The registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-14 and 15d-14) for the registrant and have: a) designed such disclosure controls and procedures to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this quarterly report is being prepared; b) evaluated the effectiveness of the registrant's disclosure controls and procedures as of a date within 90 days prior to the filing date of this quarterly report (the "Evaluation Date"); and c) presented in this quarterly report our conclusions about the effectiveness of the disclosure controls and procedures based on our evaluation as of the Evaluation Date; 5. The registrant's other certifying officers and I have disclosed, based on our most recent evaluation, to the registrant's auditors and the audit committee of registrant's board of directors (or persons performing the equivalent functions): a) all significant deficiencies in the design or operation of internal controls which could adversely affect the registrant's ability to record, process, summarize and report financial data and have identified for the registrant's auditors any material weaknesses in internal controls; and b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal controls; 6. The registrant's other certifying officers and I have indicated in this quarterly report whether there were significant changes in internal controls or in other factors that could significantly affect internal controls subsequent to the date of our most recent evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses. Date: November 14, 2003 ---------------------- By /s/ ROBERT M. ALDERMAN ---------------------- Robert M. Alderman Chairman, Chief Executive Officer and Manager (Principal Executive Officer) 14 EXHIBIT 99 (a) AS ADOPTED TO ------------- SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002 --------------------------------------------- In connection with this quarterly report of John W. Henry & Co./Millburn L.P. on Form 10-Q for the period ended September 30, 2003 as filed with the Securities and Exchange Commission on the date hereof, I, Robert M. Alderman, certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant of the Sarbanes-Oxley Act of 2002, that: 1. This quarterly report fully complies with the requirements of Section 13 or 15(d) of the Securities and Exchange Act of 1934; and 2. The information contained in this quarterly report fairly presents, in all material respects, the financial condition and results of operations of John W. Henry & Co./Millburn L.P. Date: November 14, 2003 ---------------------- By /s/ ROBERT M. ALDERMAN --------------------- Robert M. Alderman Chairman, Chief Executive Officer and Manager (Principal Executive Officer) 15 EXHIBIT 99 Form of Certification Pursuant to Section 1350 of Chapter 63 ------------------------------------------------------------ of Title 180 of the United States Code -------------------------------------- I, Michael L. Pungello, certify that: 1. I have reviewed this quarterly report on Form 10-Q of John W. Henry & Co./Millburn L.P.; 2. Based on my knowledge, this quarterly report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this quarterly report; 3. Based on my knowledge, the financial statements, and other financial information included in this quarterly report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this quarterly report; 4. The registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-14 and 15d-14) for the registrant and have: a) designed such disclosure controls and procedures to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this quarterly report is being prepared; b) evaluated the effectiveness of the registrant's disclosure controls and procedures as of a date within 90 days prior to the filing date of this quarterly report (the "Evaluation Date"); and c) presented in this quarterly report our conclusions about the effectiveness of the disclosure controls and procedures based on our evaluation as of the Evaluation Date; 5. The registrant's other certifying officers and I have disclosed, based on our most recent evaluation, to the registrant's auditors and the audit committee of registrant's board of directors (or persons performing the equivalent functions): a) all significant deficiencies in the design or operation of internal controls which could adversely affect the registrant's ability to record, process, summarize and report financial data and have identified for the registrant's auditors any material weaknesses in internal controls; and b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal controls; 6. The registrant's other certifying officers and I have indicated in this quarterly report whether there were significant changes in internal controls or in other factors that could significantly affect internal controls subsequent to the date of our most recent evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses. Date: November 14, 2003 ----------------------- By /s/ MICHAEL L. PUNGELLO ----------------------- Michael L. Pungello Vice President, Chief Financial Officer and Treasurer (Principal Financial and Accounting Officer) 16 EXHIBIT 99 (a) AS ADOPTED TO ------------- SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002 --------------------------------------------- In connection with this quarterly report of John W. Henry & Co./Millburn L.P. on Form 10-Q for the period ended September 30, 2003 as filed with the Securities and Exchange Commission on the date hereof, I, Michael L. Pungello, certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant of the Sarbanes-Oxley Act of 2002, that: 1. This quarterly report fully complies with the requirements of Section 13 or 15(d) of the Securities and Exchange Act of 1934; and 2. The information contained in this quarterly report fairly presents, in all material respects, the financial condition and results of operations of John W. Henry & Co./Millburn L.P. Date: November 14, 2003 ----------------------- By /s/ MICHAEL L. PUNGELLO ---------------------- Michael L. Pungello Vice President, Chief Financial Officer and Treasurer (Principal Financial and Accounting Officer) 17

HENRY JOHN W & CO/MILLBURN L P 10-Q