-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, Db7EznS6rFG0kLspRHCOWr4Ss6NIFl3qNUwvPzBLPbdILKpArvN4seXOk2Iw9HBo m/xgRl433B5nsimv8uIrnQ== 0000912057-02-032021.txt : 20020814 0000912057-02-032021.hdr.sgml : 20020814 20020814145515 ACCESSION NUMBER: 0000912057-02-032021 CONFORMED SUBMISSION TYPE: 10-Q PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20020630 FILED AS OF DATE: 20020814 FILER: COMPANY DATA: COMPANY CONFORMED NAME: ML JWH STRATEGIC ALLOCATION FUND LP CENTRAL INDEX KEY: 0001005177 STANDARD INDUSTRIAL CLASSIFICATION: REAL ESTATE INVESTMENT TRUSTS [6798] STATE OF INCORPORATION: DE FISCAL YEAR END: 1230 FILING VALUES: FORM TYPE: 10-Q SEC ACT: 1934 Act SEC FILE NUMBER: 000-28928 FILM NUMBER: 02735170 BUSINESS ADDRESS: STREET 1: MERRILL LYNCH INVESTMENT PARTNERS STREET 2: WORLD FINANCIAL CTR SOUTH TOWER 6TH FL CITY: NEW YORK STATE: NY ZIP: 10080 BUSINESS PHONE: 2122364167 MAIL ADDRESS: STREET 1: MERRILL LYNCH INVESTMENT PARTNERS STREET 2: WORLD FINANCIAL CTR SOUTH TOWER 6TH FL CITY: NEW YORK STATE: NY ZIP: 10080 10-Q 1 a2086775z10-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 June 30, 2002 ------------- 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 0-28928 ML JWH STRATEGIC ALLOCATION FUND L.P. ------------------------------------- (Exact Name of Registrant as specified in its charter) Delaware 13-3887922 - ------------------------------- --------------------------------- (State or other jurisdiction of (IRS Employer Identification No.) incorporation or organization) c/o MLIM Alternative Strategies 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 ML JWH STRATEGIC ALLOCATION FUND L.P. ------------------------------------- (a Delaware Limited Partnership) -------------------------------- CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION ----------------------------------------------
June 30, December 31, 2002 2001 (unaudited) -------------- -------------- ASSETS - ------ Equity in commodity futures trading accounts: Cash and options premium $ 260,288,772 $ 248,619,755 Net unrealized profit on open contracts 50,271,002 14,955,289 Accrued interest 323,776 372,122 -------------- -------------- TOTAL $ 310,883,550 $ 263,947,166 ============== ============== LIABILITIES AND PARTNERS' CAPITAL - --------------------------------- LIABILITIES: Brokerage commissions payable $ 1,489,640 $ 1,236,104 Profit share payable 6,200,455 5,986,222 Redemptions payable 3,857,242 2,523,375 Administrative fees payable 64,767 53,744 -------------- -------------- Total liabilities 11,612,104 9,799,445 -------------- -------------- MINORITY INTEREST 203,880 170,731 PARTNERS' CAPITAL: General Partner (15,624 and 15,044 Units) 3,160,820 2,556,954 Limited Partners (1,457,857 and 1,479,238 Units) 295,906,746 251,420,036 -------------- -------------- Total partners' capital 299,067,566 253,976,990 -------------- -------------- TOTAL $ 310,883,550 $ 263,947,166 ============== ============== NET ASSET VALUE PER UNIT (Based on 1,473,481 and 1,494,282 Units outstanding) $ 202.97 $ 169.97 ============== ==============
See notes to consolidated financial statements. 2 ML JWH STRATEGIC ALLOCATION FUND L.P. ------------------------------------- (a Delaware Limited Partnership) -------------------------------- CONSOLIDATED STATEMENTS OF OPERATIONS ------------------------------------- (unaudited)
For the three For the three For the six For the six months ended months ended months ended months ended June 30, June 30, June 30, June 30, 2002 2001 2002 2001 --------------- --------------- --------------- --------------- REVENUES: Trading profit (loss): Realized $ 35,109,295 $ (12,791,872) $ 26,171,505 $ 44,305,818 Change in unrealized 47,262,771 (20,052,723) 35,315,857 (44,206,776) ---------------- ---------------- ---------------- ---------------- Total trading results 82,372,066 (32,844,595) 61,487,362 99,042 ---------------- ---------------- ---------------- ---------------- Interest income 930,865 2,248,361 1,821,786 6,145,388 ---------------- ---------------- ---------------- ---------------- Total revenues 83,302,931 (30,596,234) 63,309,148 6,244,430 ---------------- ---------------- ---------------- ---------------- EXPENSES: Administrative fees 166,879 163,612 319,142 343,169 Brokerage commissions 3,838,217 3,763,075 7,340,255 7,892,891 ---------------- ---------------- ---------------- ---------------- Total expenses 4,005,096 3,926,687 7,659,397 8,236,060 ---------------- ---------------- ---------------- ---------------- INCOME (LOSS) BEFORE MINORITY INTEREST AND PROFIT SHARE ALLOCATION 79,297,835 (34,522,921) 55,649,751 (1,991,630) Profit Share Allocation (6,198,706) (38,200) (6,208,345) (5,899,681) Minority Interest in (income) loss (49,020) 22,812 (33,149) 5,598 ---------------- ---------------- ---------------- ---------------- NET LOSS $ 73,050,109 $ (34,538,309) $ 49,408,257 $ (7,885,713) ================ ================ ================ ================ NET LOSS PER UNIT: Weighted average number of General Partner and Limited Partners Units outstanding 1,498,414 1,510,112 1,498,000 1,551,346 ================ ================ ================ ================ Net income (loss) per weighted average General Partner and Limited Partner Unit $ 48.75 $ (22.87) $ 32.98 $ (5.08) ================ ================ ================ ================
See notes to consolidated financial statements. 3 ML JWH STRATEGIC ALLOCATION FUND L.P. ------------------------------------- (a Delaware limited partnership) -------------------------------- CONSOLIDATED STATEMENTS OF CHANGES IN PARTNERS' CAPITAL ------------------------------------------------------- For the six months ended June 30, 2002 and 2001 ----------------------------------------------- (unaudited)
General Limited Units Partner Partners Total --------------- --------------- --------------- --------------- PARTNERS' CAPITAL, December 31, 2000 1,630,261 $ 3,219,589 $ 279,947,681 $ 283,167,270 Net loss - (103,269) (7,782,444) (7,885,713) Redemptions (158,761) - (27,889,048) (27,889,048) --------------- --------------- --------------- --------------- PARTNERS' CAPITAL, June 30, 2001 1,471,500 $ 3,116,320 $ 244,276,189 $ 247,392,509 =============== =============== =============== =============== PARTNERS' CAPITAL, December 31, 2001 1,494,282 $ 2,556,954 $ 251,420,036 $ 253,976,990 Additions 79,465 89,419 12,546,928 12,636,347 Net income - 514,447 48,893,810 49,408,257 Redemptions (100,266) - (16,954,028) (16,954,028) --------------- --------------- --------------- --------------- PARTNERS' CAPITAL, June 30, 2002 1,473,481 $ 3,160,820 $ 295,906,746 $ 299,067,566 =============== =============== =============== ===============
See notes to consolidated financial statements. 4 ML JWH STRATEGIC ALLOCATION FUND L.P. ------------------------------------- (a Delaware Limited Partnership) -------------------------------- NOTES TO CONSOLIDATED FINANCIAL STATEMENTS ------------------------------------------ (unaudited) 1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES These consolidated financial statements have been prepared without audit. In the opinion of management, the consolidated financial statements contain all adjustments (consisting of only normal recurring adjustments) necessary to present fairly the financial position of ML JWH Strategic Allocation Fund L.P. (the "Partnership") as of June 30, 2002, and the results of its operations for the three and six months ended June 30, 2002 and 2001. 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 generally 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, 2001. 2. 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 result in changes in the Partnership's net unrealized profit (loss) on such derivative instruments as reflected in the Consolidated Statements of Financial Condition. 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 as well as the volatility and liquidity of the markets in which the derivative instruments are traded. MLIM Alternative Strategies LLC ("MLIM AS 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 JWH(R), calculating the Net Asset Value of the Partnership as of the close of business on each day and reviewing outstanding positions for over-concentrations. While MLIM AS LLC does not itself intervene in the markets to hedge or diversify the Partnership's market exposure, MLIM AS LLC may urge JWH(R) to reallocate positions in an attempt to avoid over-concentrations. However, such interventions are unusual. Except in cases in which it appears that JWH(R) has begun to deviate from past practice or trading policies or to be trading erratically, MLIM AS LLC's basic risk control procedures consist simply of the ongoing process of advisor monitoring, with the market risk controls being applied by JWH(R) itself. 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 5 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 credit risk associated with these instruments from counterparty nonperformance is the net unrealized profit on open contracts, if any, included in the Consolidated Statements of Financial Condition. The Partnership attempts to mitigate this risk by dealing exclusively with Merrill Lynch entities as clearing brokers. The Partnership, 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 Consolidated Statements of Financial Condition 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 UNIT ---------------------------------------------------------------------- Jan. Feb. Mar. Apr. May Jun. ---------------------------------------------------------------------- 2001 $172.60 $171.38 $190.83 $172.29 $176.63 $168.12 ---------------------------------------------------------------------- 2002 $168.42 $162.64 $154.17 $155.57 $168.98 $202.97 ---------------------------------------------------------------------- Performance Summary JANUARY 1, 2002 to JUNE 30, 2002 - -------------------------------- January 1, 2002 to March 31, 2002 Trading in the energy markets was profitable. Trading in natural gas and crude oil resulted in gains. All markets posted gains in March, as crude and Brent oil, gas oil, heating oil and unleaded gas produced profits. Metals trading was moderately profitable. The Japanese government announced that at the end of March they would no longer guarantee time deposits in excess of ten million yen. Concerned Japanese citizens purchased physical gold, causing a rally. Profits were realized in copper, zinc, nickel and silver as industrial demand in anticipation of a strong global economic recovery pushed prices higher. Losses were posted across the board in agricultural commodity trading. Soybean and sugar combined for the largest losses. The sector was flat by quarter end. Stock index trading was unprofitable as volatile conditions made it difficult to generate profits. Losses were realized in the Nikkei, DAX, Eurostoxx and NASDAQ indices. The interest rate sector sustained losses throughout the quarter. Optimism surrounding the Japanese government's proposed anti-deflation measures had a negative effect on Japanese government bonds. The sector as a whole was unprofitable, as U.S. and Japanese interest rate contracts were unprofitable. Significant losses occurred in the currency markets. The U.S. dollar weakened against major currencies, particularly the Japanese yen. The sector performed poorly, specifically the U.S. dollar/Japanese yen cross trades, as Japanese fiscal year-end considerations made trading extremely volatile. Positions in Swiss franc, Euro and British pound also turned in negative performances. 6 April 1, 2002 to June 30, 2002 Profits resulting from trading in the currency sector provided the Partnership with an over 33% rate of return (on the total net assets of the Partnership) for the second quarter. Strong trends developed from a weakening U.S. dollar, which continued through June. Most of the major currencies made new highs versus the U.S. dollar in June. The trading in stock indices found profits from its short positions. Worldwide equity markets attempted to move higher, but failed and resumed their downtrend. 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 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. Losses were experienced in the agricultural commodities markets. Positions in coffee, corn and soybean meal were mostly to blame. Energy produced losses for the Partnership. Fears of possible supply disruption abated, stifling a previously strong uptrend. In June, a good crude supply coupled with tensions in the Middle East provided negative returns for the month. JANUARY 1, 2001 to JUNE 30, 2001 - -------------------------------- January 1, 2001 to March 31, 2001 Interest rate trading was the biggest contributor to the Partnership's overall profitability during the quarter. The sector realized gains in all global bond markets traded, primarily Asia. Interest rates declined at year-end and the market reversed in January. Bonds generally benefited from the weakness in the equity markets. Gains were realized in short-term interest rates on Central Bank easing and the massive rally in Japanese government bonds as the Japanese economy showed signs of sputtering. Currency trading was profitable during the quarter. Currencies suffered losses early in the quarter by a weakening in the Euro. The Euro tumbled to two-month lows against the U.S. dollar in the wake of Turkey's lira currency float. Market concerns about European bank exposure to Turkish assets pushed the Euro to new lows. Strength in the U.S. dollar in March led to strong profits in Japanese yen, Euro, Swiss franc and British pound. Cross-rate trading was also profitable in March. Trading in stock indices was profitable despite a slow start to the quarter. The NASDAQ continued its slide into the new year, reaching a new 52 week low during February. The Nikkei 225 set a 15-year low during February. Equity indices, in general, declined sharply in March, leading to profits from short positions. Agricultural commodities posted gains for the quarter. Corn and sugar were the primary drivers for poor performance for January. This sector rebounded in March as solid gains were attributable to sugar, corn and cotton all falling to new contract lows. Metals trading was moderately successful. Positions in gold were profitable amid the Bank of England gold sale, but they failed to offset losses in other metals traded in January. Gains in copper failed to offset losses in aluminum, nickel and silver in February. All contracts were slightly profitable in March, leading to a gain in the overall sector. 7 Energy trading was the lone sector which sustained losses for the quarter. Losses were incurred when U.S. oil prices gained more than $2 a barrel on an OPEC announcement that it would cut production by 1.5 million barrels a day beginning February 1. OPEC officials made a follow-up announcement that they may need to act again on concern of a cooling economy may reduce demand for oil products. April 1, 2001 to June 30, 2001 Trading in agricultural commodities was the sole profitable strategy for the Partnership. Corn and cotton markets were profitable throughout the quarter. Sugar positions sustained losses early on but rebounded by quarter end. Energy trading was unprofitable despite posting the first monthly gain for the sector for the year. Energy contracts in crude oil and heating oil had losses in April and June. These losses offset the gains realized from natural gas contracts in May. The gains were attributed to the sharp decline in prices and from generally weakened markets. The metals sector suffered losses during the quarter. Losses were incurred in the gold markets in April and May, but rebounded slightly by June. Base metals were mixed to flat. Silver and aluminum markets were unprofitable. Copper trading was slightly profitable in June. Losses were sustained in currency trading. In April, Pacific rim and European currencies suffered losses, while slight profits were generated in the Mexican peso, the Euro/Canadian dollar cross and the Thai baht. European currencies rebounded in May. The quarter ended with losses in the Japanese yen and crosses involving the yen. Trading in stock indices was unprofitable. The sharp decline in stock prices in April contributed to losses in all markets traded. Across the board market volatility continued into May. By June, most markets were flat but losses were sustained in NASDAQ and German DAX trading. Trading in the interest rates sector was difficult, leading to substantial losses. British and Japanese interest rate markets was the only profitable sector. The Eurobond market and the U.S. interest rate complex proved tough to trade and were the primary reason the sector lost money overall. Item 3. Quantitative and Qualitative Disclosure About Market Risk Not applicable 8 PART II - OTHER INFORMATION Item 1. Legal Proceedings There are no pending proceedings to which the Partnership or MLIM AS 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 six months of fiscal 2002. 9 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. ML JWH STRATEGIC ALLOCATION FUND L.P. By: MLIM ALTERNATIVE STRATEGIES LLC (General Partner) Date: August 15, 2002 By /s/ FABIO P. SAVOLDELLI ----------------------- Fabio P. Savoldelli Chairman, Chief Executive Officer and Manager (Principal Executive Officer) Date: August 15, 2002 By /s/ MICHAEL L. PUNGELLO ----------------------- Michael L. Pungello Vice President, Chief Financial Officer and Treasurer (Principal Financial and Accounting Officer) 10 EXHIBIT 99 FORM OF CERTIFICATION PURSUANT TO SECTION 1350 OF CHAPTER 63 OF TITLE 18 OF THE UNITED STATES CODE We, Fabio P. Savoldelli and Michael L. Pungello, the chief executive officer and chief financial officer, respectively, of MLIM Alternative Strategies LLC, general partner of ML JWH Strategic Allocation Fund L.P., certify that (i) the quarterly report Form 10-Q fully complies with the requirements of Section 13(a) or 15(d) of the Securities and Exchange Act of 1934 and (ii) the information contained in the Form 10-Q fairly presents, in all material respects, the financial condition and results of operations of ML JWH Strategic Allocation Fund L.P. Date: August 15, 2002 By /s/ FABIO P. SAVOLDELLI ----------------------- Fabio P. Savoldelli Chairman, Chief Executive Officer and Manager (Principal Executive Officer) Date: August 15, 2002 By /s/ MICHAEL L. PUNGELLO ----------------------- Michael L. Pungello Vice President, Chief Financial Officer and Treasurer (Principal Financial and Accounting Officer) 11 -----END PRIVACY-ENHANCED MESSAGE-----