Attached files
file | filename |
---|---|
EX-31.03 - Millburn Multi-Markets Fund L.P. | v220783_ex31-03.htm |
EX-32.01 - Millburn Multi-Markets Fund L.P. | v220783_ex32-01.htm |
EX-32.03 - Millburn Multi-Markets Fund L.P. | v220783_ex32-03.htm |
EX-31.01 - Millburn Multi-Markets Fund L.P. | v220783_ex31-01.htm |
EX-32.02 - Millburn Multi-Markets Fund L.P. | v220783_ex32-02.htm |
EX-31.02 - Millburn Multi-Markets Fund L.P. | v220783_ex31-02.htm |
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
x
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Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
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For the Quarterly Period Ended: March 31, 2011
Or
Commission File Number: 000-54028
MILLBURN MULTI-MARKETS FUND L.P.
(Exact name of registrant as specified in its charter)
Delaware
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26-4038497
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State or other jurisdiction of
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(I.R.S. Employer
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incorporation or organization)
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Identification No.)
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c/o MILLBURN RIDGEFIELD CORPORATION
411 West Putnam Avenue
Greenwich, Connecticut 06830
(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code: (203) 625-8211
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 ¨
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).
Yes ¨ No ¨
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of “accelerated filer,” “large accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.
Large accelerated filer ¨
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Accelerated filer ¨
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Non-accelerated filer ¨ (Do not check if a smaller reporting company)
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Smaller reporting company x
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Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).
Yes ¨ No x
ITEM 1. FINANCIAL STATEMENTS
Millburn Multi-Markets Fund L.P.
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||
Financial statements
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||
For the three months ended March 31, 2011 and 2010 (unaudited)
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||
Statements of Financial Condition (a)
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3
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Statements of Operations (b)
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4
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Statements of Changes in Partners' Capital (b)
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5
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Statements of Financial Highlights (b)
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6
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Notes to Financial Statements
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8
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(a) At March 31, 2011 (unaudited) and December 31, 2010
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(b) For the three months ended March 31, 2011 and 2010 (unaudited)
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2
Millburn Multi-Markets Fund L.P.
Statements of Financial Condition (UNAUDITED)
March 31,
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December 31,
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|||||||
2011
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2010
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|||||||
ASSETS
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||||||||
Investment in Millburn Multi-Markets Trading L.P. (the "Master Fund")
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$ | 138,113,361 | $ | 111,327,838 | ||||
Due from the Master Fund
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244,262 | 233,876 | ||||||
Cash
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14,623,623 | 7,916,721 | ||||||
TOTAL
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$ | 152,981,246 | $ | 119,478,435 | ||||
LIABILITIES AND PARTNERS' CAPITAL
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||||||||
LIABILITIES:
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||||||||
Capital contributions received in advance
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$ | 14,622,947 | $ | 7,766,045 | ||||
Capital withdrawal payable
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244,262 | 233,876 | ||||||
Due to the Master Fund
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676 | 150,676 | ||||||
Total liabilities
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14,867,885 | 8,150,597 | ||||||
PARTNERS' CAPITAL:
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||||||||
General Partner
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1,439,877 | 1,447,561 | ||||||
Limited Partners:
|
||||||||
Series A (81,600.1729 and 64,756.6985 units outstanding)
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89,300,419 | 71,988,161 | ||||||
Series B (7,517.3051 and 5,662.0645 units outstanding)
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8,409,617 | 6,405,290 | ||||||
Series C (34,681.1702 and 27,731.8983 units outstanding)
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38,963,448 | 31,486,826 | ||||||
Total limited partners
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136,673,484 | 109,880,277 | ||||||
Total partners' capital
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138,113,361 | 111,327,838 | ||||||
TOTAL
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$ | 152,981,246 | $ | 119,478,435 | ||||
NET ASSET VALUE PER UNIT OUTSTANDING | ||||||||
Series A | $ | 1,094.37 | $ | 1,111.67 | ||||
Series B | $ | 1,118.70 | $ | 1,131.26 | ||||
Series C | $ | 1,123.48 | $ | 1,135.40 |
See notes to financial statements
3
Statements of Operations (UNAUDITED)
For the three months ended
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||||||||
March 31,
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March 31,
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|||||||
2011
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2010
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|||||||
NET INVESTMENT LOSS ALLOCATED FROM THE MASTER FUND
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||||||||
INCOME — interest income
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$ | 75,755 | $ | 10,900 | ||||
Expenses:
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||||||||
Management fees
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646,348 | 76,835 | ||||||
Brokerage commissions
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106,770 | 13,659 | ||||||
Selling commissions and platform fees
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426,345 | 70,043 | ||||||
Administrative and operating expenses
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199,386 | 51,001 | ||||||
Custody fee and other expenses
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5,320 | 503 | ||||||
Total expenses
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1,384,169 | 212,041 | ||||||
Operating expenses borne by General Partner
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(19,553 | ) | (31,347 | ) | ||||
Net expenses
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1,364,616 | 180,694 | ||||||
Net investment loss allocated from the Master Fund
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(1,288,861 | ) | (169,794 | ) | ||||
NET REALIZED AND UNREALIZED GAINS (LOSSES) ALLOCATED FROM THE MASTER FUND
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||||||||
Net realized gains on closed positions:
|
||||||||
Futures and forward currency contracts
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2,976,474 | 454,080 | ||||||
Foreign exchange translation
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(23,883 | ) | - | |||||
Net change in unrealized:
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||||||||
Futures and forward currency contracts
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(3,747,171 | ) | 688,520 | |||||
Foreign exchange translation
|
24,482 | 2,786 | ||||||
Net gains (losses) from U.S. Treasury notes:
|
||||||||
Realized
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3,031 | - | ||||||
Net change in unrealized
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4,063 | (529 | ) | |||||
Total net realized and unrealized gains (losses) allocated from the Master Fund
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(763,004 | ) | 1,144,857 | |||||
NET INCOME (LOSS)
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(2,051,865 | ) | 975,063 | |||||
LESS PROFIT SHARE ALLOCATION FROM THE MASTER FUND
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983 | 194,910 | ||||||
NET INCOME (LOSS) AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND
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$ | (2,052,848 | ) | $ | 780,153 |
See notes to financial statements
4
Millburn Multi-Markets Fund L.P.
Statements of Changes in Partners' Capital (UNAUDITED)
For the three months ended March 31, 2011 and 2010
Limited Partners
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||||||||||||||||||||||||||||||||
General
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||||||||||||||||||||||||||||||||
Partner
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Series A
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Series B
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Series C
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Total | ||||||||||||||||||||||||||||
Amount
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Amount
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Units
|
Amount
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Units
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Amount
|
Units
|
Amount
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|||||||||||||||||||||||||
PARTNERS' CAPITAL — December 31, 2010
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$ | 1,447,561 | $ | 71,988,161 | 64,756.6985 | $ | 6,405,290 | 5,662.0645 | $ | 31,486,826 | 27,731.8983 | $ | 111,327,838 | |||||||||||||||||||
Capital contributions
|
- | 19,155,058 | 17,140.7920 | 2,313,000 | 2,031.6546 | 7,896,987 | 6,949.2719 | 29,365,045 | ||||||||||||||||||||||||
Capital withdrawals
|
- | (327,803 | ) | (297.3176 | ) | (198,871 | ) | (176.4140 | ) | - | - | (526,674 | ) | |||||||||||||||||||
Net loss after profit share
|
(7,684 | ) | (1,514,997 | ) | - | (109,802 | ) | - | (420,365 | ) | - | (2,052,848 | ) | |||||||||||||||||||
PARTNERS' CAPITAL — March 31, 2011
|
$ | 1,439,877 | $ | 89,300,419 | 81,600.1729 | $ | 8,409,617 | 7,517.3051 | $ | 38,963,448 | 34,681.1702 | $ | 138,113,361 | |||||||||||||||||||
Net Asset Value per Unit at March 31, 2011
|
$ | 1,094.37 | $ | 1,118.70 | $ | 1,123.48 |
Limited Partners
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||||||||||||||||||||||||||||||||
General
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||||||||||||||||||||||||||||||||
Partner
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Series A
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Series B
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Series C
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Total | ||||||||||||||||||||||||||||
Amount
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Amount
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Units
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Amount
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Units
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Amount
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Units
|
Amount
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|||||||||||||||||||||||||
PARTNERS' CAPITAL — December 31, 2009
|
$ | 10,159 | $ | 8,589,976 | 8,081.4364 | $ | 381,711 | 357.9807 | $ | 302,706 | 283.6015 | $ | 9,284,552 | |||||||||||||||||||
Capital contributions
|
- | 8,974,499 | 8,574.1123 | 881,700 | 834.8860 | 255,000 | 240.1472 | 10,111,199 | ||||||||||||||||||||||||
Capital withdrawals
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- | (32,140 | ) | (29.3034 | ) | (10,648 | ) | (9.6394 | ) | - | - | (42,788 | ) | |||||||||||||||||||
Net income after profit share
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514 | 703,508 | - | 54,318 | - | 21,813 | - | 780,153 | ||||||||||||||||||||||||
PARTNERS' CAPITAL — March 31, 2010
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$ | 10,673 | $ | 18,235,843 | 16,626.2453 | $ | 1,307,081 | 1,183.2273 | $ | 579,519 | 523.7487 | $ | 20,133,116 | |||||||||||||||||||
Net Asset Value per Unit at March 31, 2010
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$ | 1,096.81 | $ | 1,104.67 | $ | 1,106.48 |
See notes to financial statements
5
Millburn Multi-Markets Fund L.P.
Statement of Financial Highlights (UNAUDITED)
For the three months ended March 31, 2011
The following information presents per unit operating performance data for each series for the three months ended March 31, 2011.
Per Unit Performance
|
||||||||||||
(For a Unit Outstanding Throughout the Period)
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Series A
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Series B
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Series C
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|||||||||
NET ASSET VALUE PER UNIT — Beginning of period
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$ | 1,111.67 | $ | 1,131.26 | $ | 1,135.40 | ||||||
INCOME (LOSS) ALLOCATED FROM THE MASTER FUND:
|
||||||||||||
Net investment loss (1)
|
(12.94 | ) | (8.22 | ) | (7.56 | ) | ||||||
Total trading and investing losses (1)
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(4.36 | ) | (4.65 | ) | (4.29 | ) | ||||||
Net loss before profit share allocation from the Master Fund
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(17.30 | ) | (12.87 | ) | (11.85 | ) | ||||||
Profit share allocation from the Master Fund (1) (7)
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0.00 | 0.31 | (0.07 | ) | ||||||||
Net loss from operations after profit share allocation from the Master Fund
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(17.30 | ) | (12.56 | ) | (11.92 | ) | ||||||
NET ASSET VALUE PER UNIT — End of period
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$ | 1,094.37 | $ | 1,118.70 | $ | 1,123.48 | ||||||
TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM THE MASTER FUND
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(1.52 | )% | (1.09 | )% | (1.03 | )% | ||||||
PROFIT SHARE ALLOCATION FROM THE MASTER FUND
|
(0.04 | ) | (0.02 | ) | (0.02 | ) | ||||||
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND
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(1.56 | )% | (1.11 | )% | (1.05 | )% | ||||||
Ratios to average net asset value:
|
||||||||||||
Expenses (3) (4) (5) (6)
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4.91 | % | 3.15 | % | 2.90 | % | ||||||
Profit share allocation from the Master Fund (2) (7)
|
0.00 | (0.03 | ) | 0.01 | ||||||||
Total expenses | 4.91 | % | 3.12 | % | 2.91 | % | ||||||
Net investment loss (3) (4) (5) (6)
|
(4.66 | )% | (2.90 | )% | (2.65 | )% |
(1)
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The net investment loss per unit and profit share allocation from the Master Fund per unit is calculated by dividing the net investment loss and profit share allocation from the Master Fund by the average number of units outstanding during the period. Total trading and investing losses is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.
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(2)
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Not annualized.
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(3)
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Annualized.
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(4)
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Excludes profit share allocation from the Master Fund.
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(5)
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Ratios are computed net of voluntary waivers of operating expenses borne by the General Partner of the Partnership and General Partner of the Master Fund. For the three months ended March 31, 2011, the ratios are net of the 0.02% effect of the voluntary waivers of operating expenses (not annualized).
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(6)
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Includes the Partnership’s proportionate share of income and expense allocated from the Master Fund.
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(7)
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Profit share for Series B and C is calculated based on Series B and C aggregate trading profits and may be impacted by rebalancing due to monthly capital activity.
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See notes to financial statements
6
Millburn Multi-Markets Fund L.P.
Statement of Financial Highlights (UNAUDITED)
For the three months ended March 31, 2010
The following information presents per unit operating performance data for each series for the three months ended March 31, 2010.
Per Unit Performance
|
||||||||||||
(For a Unit Outstanding Throughout the Period)
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Series A
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Series B
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Series C
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|||||||||
NET ASSET VALUE PER UNIT — Beginning of period
|
$
|
1,062.93
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$
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1,066.29
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$
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1,067.37
|
||||||
INCOME (LOSS) ALLOCATED FROM THE MASTER FUND:
|
||||||||||||
Total trading and investing gains (1)
|
59.82
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60.94
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58.17
|
|||||||||
Net investment loss (1)
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(12.37
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)
|
(7.72
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)
|
(7.02
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)
|
||||||
Net income before profit share allocation from the Master Fund
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47.45
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53.22
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51.15
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|||||||||
Profit share allocation from the Master Fund (1)
|
(13.57
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)
|
(14.84
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)
|
(12.04
|
)
|
||||||
Net income from operations after profit share allocation from the Master Fund
|
33.88
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38.38
|
39.11
|
|||||||||
NET ASSET VALUE PER UNIT — End of period
|
$
|
1,096.81
|
$
|
1,104.67
|
$
|
1,106.48
|
||||||
TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM THE MASTER FUND
|
4.46
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%
|
4.99
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%
|
4.79
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%
|
||||||
PROFIT SHARE ALLOCATION FROM THE MASTER FUND
|
(1.27
|
)
|
(1.39
|
)
|
(1.13
|
)
|
||||||
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND
|
3.19
|
%
|
3.60
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%
|
3.66
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%
|
||||||
Ratios to average net asset value:
|
||||||||||||
Expenses (3)(4)(5)(6)
|
4.95
|
%
|
3.18
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%
|
2.94
|
%
|
||||||
Profit share allocation from the Master Fund (2)
|
1.27
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%
|
1.39
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%
|
1.13
|
%
|
||||||
Total expenses
|
6.22
|
%
|
4.57
|
%
|
4.07
|
%
|
||||||
Net investment loss (3)(4)(5)(6)
|
(4.64
|
)%
|
(2.88
|
)%
|
(2.62
|
)%
|
(1)
|
The net investment loss per unit and profit share allocation from the Master Fund per unit is calculated by dividing the net investment loss and profit share allocation from the Master Fund by the average number of units outstanding during the period. Total trading and investing gains is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.
|
(2)
|
Not annualized.
|
(3)
|
Annualized.
|
(4)
|
Excludes profit share allocation from the Master Fund.
|
(5)
|
Ratios are computed net of voluntary waivers of operating expenses borne by the General Partner of the Partnership and General Partner of the Master Fund. For the period ended March 31, 2010, the ratios are net of the 0.21% effect of the voluntary waivers of operating expenses (not annualized).
|
(6)
|
Includes the Partnership's proportionate share of income and expense allocated from the Master Fund.
|
See notes to financial statements
7
1. BASIS OF PRESENTATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The accompanying unaudited financial statements, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of Millburn Multi-Market Fund L.P.’s (the “Partnership”) financial condition at March 31, 2011 (unaudited) and December 31, 2010 and the results of its operations for the three months ended March 31, 2011 and 2010 (unaudited).
These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. It is suggested that these financial statements be read in conjunction with the audited financial statements and notes included in the Partnership’s 2010 annual report included in Form 10-K filed with the Securities and Exchange Commission. The December 31, 2010 information has been derived from the audited financial statements as of December 31, 2010.
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (the “U.S.”) requires management to make estimates and assumptions that affect the amounts and disclosures reported in the financial statements. Actual results could differ from these estimates.
The Partnership enters into contracts with various financial institutions that contain a variety of indemnifications. The Partnership’s maximum exposure under these arrangements is unknown. However, the Partnership has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.
The Income Taxes topic of the Financial Accounting Standards Board Codification (the “Codification”) clarifies the accounting for uncertainty in tax positions. This requires that the Partnership recognize in its financial statements the impact of a tax position if that position is more likely than not of not being sustained on audit based on the technical merits of the position. Based on a review of the Partnership’s open tax year, 2009 and 2010, for the U.S. Federal jurisdiction, the New York and Connecticut state jurisdictions, and the New York City jurisdiction, it did not have an impact on the Partnership. The Partnership is treated as a limited partnership for federal and state income tax reporting purposes.
There have been no material changes with respect to the Partnership’s critical accounting policies, off-balance sheet arrangements or disclosure of contractual obligations as reported in the Partnership's Annual Report on Form 10-K for the fiscal year 2010.
2. INVESTMENT IN MILLBURN MULTI-MARKETS TRADING L.P.
The Partnership invests all of its assets in Millburn Multi-Markets Trading L.P. (the “Master Fund”). The Partnership’s ownership percentage of the Master Fund at March 31, 2011 and December 31, 2010 was 43.80% and 37.43%, respectively, of total partners’ capital of the Master Fund. See the attached financial statements of the Master Fund.
3. RELATED PARTY TRANSACTIONS
The Partnership bears its own expenses, including, but not limited to, periodic legal, accounting and filing fees. Total operating expenses related to investors in the Partnership (including their pro-rata share of Master Fund expenses) are not expected to exceed 1/2 of 1% per annum of the Partnership’s average month-end partners’ capital. For the three months ended March 31, 2011 and 2010, Millburn Ridgefield Corporation (the “General Partner”) chose to directly bear operating expenses in excess of 1/2 of 1% of average net assets of the Partnership’s average month-end partners’ capital.
During any time in which a third-party administrator is providing services to the Master Fund, as is currently the case, the General Partner is paid a monthly Administration Fee for administration services it provides, calculated as a percentage of the month-end net asset value (prior to reduction for withdrawals or redemptions, management fees, amounts payable to selling agents and the administration fee then being calculated) of the Master Fund equal to 0.05% per annum of the Master Fund’s average net assets. The Partnership is allocated its pro rata portion of the administration fee which is charged at the Master Fund level. As of March 31, 2011 and December 31, 2010, $112,768 and $73,244, respectively, was payable by the Master Fund to the General Partner and is included in “accrued expenses” in the Master Fund’s Statements of Financial Condition.
The General Partner has advanced expenses incurred in connection with the organization of the Partnership and the initial offering of the units of limited partnership (“Units”). The total amount advanced by the General Partner was $191,967. The Master Fund, on behalf of the Partnership, is reimbursing the General Partner for these costs in 60 equal monthly installments, beginning August 1, 2009; provided, however, that to the extent the reimbursement amount of such organizational and initial offering costs exceeds in the aggregate for any month 1/12 of 0.05% of the Partnership’s month-end net asset value (a 0.05% annual rate), such excess will not be reimbursed to, but will be borne by, the General Partner. For the three months ended March 31, 2011 and 2010, costs incurred were $16,349 and $1,923, respectively, and are included in "administrative and operating expenses" in the Master Fund's Statements of Operations. Further, as of March 31, 2011 and December 31, 2010, $21,064 and $25,277, respectively, were payable by the Master Fund to the General Partner as reimbursement for such costs and are included in “accrued expenses” in the Master Fund’s Statement of Financial Condition.
Series A Unitholders that redeem Units at or prior to the end of the first eleven months after such Units are sold shall be assessed redemption charges calculated based on their redeemed Units' net asset value as of the date of redemption. All redemption charges will be paid to the General Partner. At March 31, 2011 and December 31, 2010, no redemption charges were owed to the General Partner.
8
4. FINANCIAL HIGHLIGHTS
Per Unit operating performance for Series A, Series B and Series C Units is calculated based on Unitholders’ partners’ capital for each series taken as a whole utilizing the beginning and ending net asset value per unit and weighted average number of units during the quarter. Weighted average number of units of each series is detailed below.
Three months ending March 31,
|
||||||||
2011
|
2010
|
|||||||
Series A
|
75,676.962 | 12,956.107 | ||||||
Series B
|
7,023.091 | 891.029 | ||||||
Series C
|
32,247.613 | 482.786 |
9
Millburn Multi-Markets Trading L.P.
|
||
Financial statements
|
||
For the three months ended March 31, 2011 and 2010 (unaudited)
|
||
Statements of Financial Condition (a)
|
11
|
|
Condensed Schedules of Investments (a)
|
12
|
|
Statements of Operations (b)
|
16
|
|
Statements of Changes in Partners' Capital (b)
|
17
|
|
Statements of Financial Highlights (b)
|
18
|
|
Notes to Financial Statements
|
20
|
(a) At March 31, 2011 (unaudited) and December 31, 2010
(b) For the three months ended March 31, 2011 and 2010 (unaudited)
10
Millburn Multi-Markets Trading L.P.
Statements of Financial Condition (UNAUDITED)
See notes to financial statements
11
Millburn Multi-Markets Trading L.P.
Condensed Schedule of Investments (UNAUDITED)
March 31, 2011
FUTURES AND FORWARD CURRENCY CONTRACTS
|
Net Unrealized
Appreciation/
(Depreciation)
as a % of
Partners' Capital
|
Net Unrealized
Appreciation/
(Depreciation)
|
||||||
FUTURES CONTRACTS
|
||||||||
Long futures contracts:
|
||||||||
Energies
|
0.73 | % | $ | 2,300,815 | ||||
Grains
|
0.61 | 1,916,461 | ||||||
Interest rates:
|
||||||||
2 Year U.S. Treasury Note (604 contracts, expiration date 06/30/2011)
|
(0.12 | ) | (363,144 | ) | ||||
Other interest rates
|
(0.11 | ) | (359,441 | ) | ||||
Total interest rates
|
(0.23 | ) | (722,585 | ) | ||||
Livestock
|
0.43 | 1,363,770 | ||||||
Metals
|
0.00 | 3,880 | ||||||
Softs
|
(0.16 | ) | (517,348 | ) | ||||
Stock indices
|
0.90 | 2,843,160 | ||||||
Total long futures contracts
|
2.28 | 7,188,153 | ||||||
Short futures contracts:
|
||||||||
Energies
|
(0.37 | ) | (1,174,429 | ) | ||||
Grains
|
(0.38 | ) | (1,209,450 | ) | ||||
Interest rates
|
0.11 | 346,445 | ||||||
Livestock
|
(0.24 | ) | (770,070 | ) | ||||
Metals
|
0.03 | 84,991 | ||||||
Softs
|
0.03 | 110,360 | ||||||
Stock indices
|
(0.06 | ) | (173,733 | ) | ||||
Total short futures contracts
|
(0.88 | ) | (2,785,886 | ) | ||||
TOTAL INVESTMENTS IN FUTURES CONTRACTS - Net
|
1.40 | 4,402,267 | ||||||
FORWARD CURRENCY CONTRACTS:
|
||||||||
Total long forward currency contracts
|
1.45 | 4,562,356 | ||||||
Total short forward currency contracts
|
(1.45 | ) | (4,542,031 | ) | ||||
TOTAL INVESTMENTS IN FORWARD CURRENCY CONTRACTS - Net
|
0.00 | 20,325 | ||||||
TOTAL
|
1.40 | % | $ | 4,422,592 |
(Continued)
12
Millburn Multi-Markets Trading L.P.
Condensed Schedule of Investments (UNAUDITED)
March 31, 2011
U.S. Treasury Notes
Face Amount
|
Description
|
Fair Value
as a % of
Partners' Capital
|
Fair Value
|
|||||||||
|
||||||||||||
$ | 70,760,000 |
U.S. Treasury notes, 0.875%, 05/31/2011
|
22.47 | % | $ | 70,848,450 | ||||||
70,760,000 |
U.S. Treasury notes, 1.000%, 08/31/2011
|
22.52 | 71,003,238 | |||||||||
70,760,000 |
U.S. Treasury notes, 0.750%, 11/30/2011
|
22.52 | 71,014,294 | |||||||||
70,760,000 |
U.S. Treasury notes, 0.875%, 02/29/2012
|
22.56 | 71,135,913 | |||||||||
Total investments in U.S. Treasury notes
|
||||||||||||
(amortized cost $283,931,789)
|
90.07 | % | $ | 284,001,895 |
See notes to financial statements | (concluded) |
13
Millburn Multi-Markets Trading L.P.
Condensed Schedule of Investments (UNAUDITED)
December 31, 2010
FUTURES AND FORWARD CURRENCY CONTRACTS
|
Net Unrealized
Appreciation/
(Depreciation)
as a % of
Partners' Capital
|
Net Unrealized
Appreciation/
(Depreciation)
|
||||||
FUTURES CONTRACTS
|
||||||||
Long futures contracts:
|
||||||||
Energies
|
0.35 | % | $ | 1,050,235 | ||||
Grains
|
1.09 | 3,239,089 | ||||||
Interest rates:
|
||||||||
2 Year U.S. Treasury Note (244 contracts, expiration date 03/31/2011)
|
0.00 | 11,712 | ||||||
Other interest rates
|
0.14 | 407,761 | ||||||
Total interest rates
|
0.14 | 419,473 | ||||||
Livestock
|
0.23 | 684,170 | ||||||
Metals
|
1.37 | 4,074,267 | ||||||
Softs
|
0.76 | 2,260,705 | ||||||
Stock indices
|
0.53 | 1,573,129 | ||||||
Total long futures contracts
|
4.47 | 13,301,068 | ||||||
Short futures contracts:
|
||||||||
Energies
|
(0.21 | ) | (616,642 | ) | ||||
Grains
|
(0.40 | ) | (1,199,300 | ) | ||||
Interest rates
|
(0.07 | ) | (215,100 | ) | ||||
Livestock
|
(0.22 | ) | (636,480 | ) | ||||
Metals
|
(0.12 | ) | (362,273 | ) | ||||
Softs
|
(0.19 | ) | (565,117 | ) | ||||
Stock indices
|
0.05 | 142,434 | ||||||
Total short futures contracts
|
(1.16 | ) | (3,452,478 | ) | ||||
TOTAL INVESTMENTS IN FUTURES CONTRACTS - Net
|
3.31 | 9,848,590 | ||||||
FORWARD CURRENCY CONTRACTS:
|
||||||||
Total long forward currency contracts
|
1.53 | 4,559,059 | ||||||
Total short forward currency contracts
|
(0.36 | ) | (1,095,471 | ) | ||||
TOTAL INVESTMENTS IN FORWARD CURRENCY CONTRACTS - Net
|
1.17 | 3,463,588 | ||||||
TOTAL
|
4.48 | % | $ | 13,312,178 | ||||
(Continued)
|
14
Millburn Multi-Markets Trading L.P.
Condensed Schedule of Investments (UNAUDITED)
December 31, 2010
U.S. Treasury Notes
Face Amount
|
Description
|
Fair Value as a % of
Partners' Capital
|
Fair Value
|
||||||||
|
|||||||||||
$ | 67,330,000 |
U.S. Treasury notes, 0.875%, 03/31/2011
|
22.67 | % | $ | 67,445,723 | |||||
67,330,000 |
U.S. Treasury notes, 0.875%, 05/31/2011
|
22.70 | 67,529,886 | ||||||||
67,330,000 |
U.S. Treasury notes, 1.000%, 08/31/2011
|
22.75 | 67,677,170 | ||||||||
67,330,000 |
U.S. Treasury notes, 0.750%, 11/30/2011
|
22.73 | 67,603,529 | ||||||||
Total investments in U.S. Treasury notes
|
|||||||||||
(amortized cost $270,200,939)
|
90.85 | % | $ | 270,256,308 | |||||||
See notes to financial statements
|
(Concluded)
|
15
Millburn Multi-Markets Trading L.P.
Statements of Operations (UNAUDITED)
For the three months ended
|
||||||||
March 31
|
March 31
|
|||||||
2011
|
2010
|
|||||||
INVESTMENT INCOME:
|
||||||||
Interest income
|
$ | 181,357 | $ | 77,710 | ||||
EXPENSES:
|
||||||||
Brokerage fees
|
256,550 | 84,388 | ||||||
Management fees
|
1,363,374 | 273,164 | ||||||
Selling commissions and platform fees
|
426,345 | 70,044 | ||||||
Administrative and operating expenses
|
295,711 | 108,389 | ||||||
Custody fees and other expenses
|
13,665 | 2,944 | ||||||
Total expenses
|
2,355,645 | 538,929 | ||||||
Operation expenses borne by General Partner or Investment Adviser
|
- | (37,749 | ) | |||||
Net expenses
|
2,355,645 | 501,180 | ||||||
NET INVESTMENT LOSS
|
(2,174,288 | ) | (423,470 | ) | ||||
NET REALIZED AND UNREALIZED GAINS (LOSSES):
|
||||||||
Net realized gains (losses) on closed positions:
|
||||||||
Futures and forward currency contracts
|
7,702,811 | 2,344,948 | ||||||
Foreign exchange translation
|
(54,516 | ) | - | |||||
Net change in unrealized:
|
||||||||
Futures and forward currency contracts
|
(8,889,586 | ) | 4,646,589 | |||||
Foreign exchange translation
|
51,482 | 18,282 | ||||||
Net gains (losses) from U.S. Treasury notes
|
||||||||
Realized
|
6,906 | - | ||||||
Net change in unrealized
|
14,737 | (5,707 | ) | |||||
TOTAL NET REALIZED AND UNREALIZED GAINS (LOSSES)
|
(1,168,166 | ) | 7,004,112 | |||||
NET INCOME (LOSS)
|
(3,342,454 | ) | 6,580,642 | |||||
LESS PROFIT SHARE TO GENERAL PARTNER
|
58,974 | 910,287 | ||||||
NET INCOME (LOSS) AFTER PROFIT SHARE TO GENERAL PARTNER
|
$ | (3,401,428 | ) | $ | 5,670,355 |
See notes to financial statements
16
Millburn Multi-Markets Trading L.P.
Statements of Changes in Partners' Capital (UNAUDITED)
For the three months ended March 31, 2011:
Limited
Partners
|
New Profit
Memo
Account
|
General
Partner
|
Total
|
|||||||||||||
PARTNERS' CAPITAL-
|
||||||||||||||||
January 1, 2011
|
$ | 295,722,233 | $ | - | $ | 1,737,376 | $ | 297,459,609 | ||||||||
Contributions
|
33,577,644 | - | - | 33,577,644 | ||||||||||||
Withdrawals
|
(12,391,788 | ) | - | - | (12,391,788 | ) | ||||||||||
Net loss
|
(3,332,590 | ) | (1,938 | ) | (7,926 | ) | (3,342,454 | ) | ||||||||
General Partner's allocation:
|
||||||||||||||||
New Profit-Accrued
|
(58,974 | ) | 58,974 | - | - | |||||||||||
PARTNERS' CAPITAL-
|
||||||||||||||||
March 31, 2011
|
$ | 313,516,525 | $ | 57,036 | $ | 1,729,450 | $ | 315,303,011 |
For the three months ended March 31, 2010:
Limited
Partners
|
New Profit
Memo
Account
|
General
Partner
|
Total
|
|||||||||||||
PARTNERS' CAPITAL-
|
||||||||||||||||
January 1, 2010
|
$ | 64,665,135 | $ | - | $ | 47,127 | $ | 64,712,262 | ||||||||
Contributions
|
46,191,299 | - | - | 46,191,299 | ||||||||||||
Withdrawals
|
(42,788 | ) | - | - | (42,788 | ) | ||||||||||
Net income
|
6,578,140 | - | 2,502 | 6,580,642 | ||||||||||||
General Partner's allocation:
|
||||||||||||||||
New Profit-Accrued
|
(910,287 | ) | 910,287 | - | - | |||||||||||
PARTNERS' CAPITAL-
|
||||||||||||||||
March 31, 2010
|
$ | 116,481,499 | $ | 910,287 | $ | 49,629 | $ | 117,441,415 |
See notes to financial statements
17
Millburn Multi-Markets Trading L.P.
Statements of Financial Highlights (UNAUDITED)
The following information presents financial highlights of a Limited Partner that is charged a monthly management fee of 1/12 of 2.00% (2.00% per annum) and an annual profit share of 20% of Trading Profits (as defined in the Limited Partnership Agreement).
For the three months ended
|
||||||||
March 31
|
March 31
|
|||||||
2011
|
2010
|
|||||||
Total return before General Partner profit share allocation
|
(0.97 | )% | 4.78 | % | ||||
General Partner profit share allocation
|
0.02 | (0.55 | ) | |||||
Total return after General Partner profit share allocation
|
(0.95 | )% | 4.23 | % | ||||
Ratios to average net asset value:
|
||||||||
Expenses (1) (2)
|
2.56 | % | 2.72 | % | ||||
General Partner profit share allocation
|
0.00 | 0.55 | ||||||
Total expenses (1) (2)
|
2.56 | % | 3.27 | % | ||||
Net investment loss (1) (2) (3)
|
(2.36 | )% | (2.41 | )% |
Total returns and the ratios to average net asset value are calculated for a Limited Partner. An individual Limited Partner's total returns and ratios may vary from the above total returns and ratios based on different management fee and General Partner profit share allocation agreements and the timing of contributions and withdrawals.
(1) Includes the Partnership's proportionate share of expenses allocated from the Partnership's operations.
(2) Ratios are computed net of voluntary waivers of operating expenses borne by the General Partner. For the three months ended March 31, 2011 and 2010, the ratios are net of the 0.00% and 0.04% effect of the voluntary waivers of operating expenses, respectively.
(3) Excludes General Partner profit share allocation and includes interest income.
See notes to financial statements
18
Millburn Multi-Markets Trading L.P.
Statements of Financial Highlights (UNAUDITED)
The following information presents financial highlights for the Limited Partner as a whole.
For the three months ended
|
||||||||
March 31
|
March 31
|
|||||||
2011
|
2010
|
|||||||
Total return before General Partner profit share allocation
|
(1.06 | ) % | 4.92 | % | ||||
General Partner profit share allocation
|
(0.02 | ) | (0.82 | ) | ||||
Total return after General Partner profit share allocation
|
(1.08 | ) % | 4.10 | % | ||||
Ratios to average net asset value:
|
||||||||
Expenses (1) (2)
|
3.04 | % | 2.16 | % | ||||
General Partner profit share allocation
|
0.02 | 0.82 | ||||||
Total expenses (1) (2)
|
3.06 | % | 2.98 | % | ||||
Net investment loss (1) (2) (3)
|
(2.84 | ) % | (1.84 | ) % |
Total returns and the ratios to average net asset value are calculated for a Limited Partner. An individual Limited Partner's total returns and ratios may vary from the above total returns and ratios based on different management fee and General Partner profit share allocation agreements and the timing of contributions and withdrawals.
(1) Includes the Partnership's proportionate share of expenses allocated from the Partnership's operations.
(2) Ratios are computed net of voluntary waivers of operating expenses borne by the General Partner. For the three months ended March 31, 2011 and 2010, the ratios are net of the 0.00% and 0.04% effect of the voluntary waivers of operating expenses, respectively.
(3) Excludes General Partner profit share allocation and includes interest income.
See notes to financial statements
19
NOTES TO FINANCIAL STATEMENTS
1. BASIS OF PRESENTATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
Millburn Multi-Markets Trading L.P. (the “Master Fund”) engages in the speculative trading of futures and forward currency contracts and also acts as a master fund for Millburn Multi-Markets Fund L.P. (the “Partnership”) and Millburn Multi-Markets Ltd. (the “Company”).
The accompanying unaudited financial statements, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of the Master Fund’s financial condition at March 31, 2011 (unaudited) and December 31, 2010 and the results of its operations for the three months ended March 31, 2011 and 2010 (unaudited).
These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. It is suggested that these financial statements be read in conjunction with the audited financial statements and notes included in the Master Fund’s annual report for the year ended December 31, 2010 included in the Partnership’s annual report on Form 10-K filed with the Securities and Exchange Commission. The December 31, 2010 information has been derived from the audited financial statements as of December 31, 2010.
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (the “U.S.”) requires management to make estimates and assumptions that affect the amounts and disclosures reported in the financial statements. Actual results could differ from these estimates.
The Master Fund enters into contracts with various financial institutions that contain a variety of indemnifications. The Master Fund's maximum exposure under these arrangements is unknown. However, the Master Fund has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.
The Income Taxes topic of the FASB Accounting Standards Codification (the “Codification”) clarifies the accounting for uncertainty in tax positions. This requires that the Master Fund recognize in its financial statements the impact of a tax position if that position is more likely than not of not being sustained on audit based on the technical merits of the position. Based on a review of the Master Fund’s open tax years, 2007 through 2010, for the U.S. Federal jurisdiction, the New York and Connecticut State jurisdictions, and the New York City jurisdiction, it did not have an impact on the Master Fund. The Master Fund is treated as a limited partnership for federal and state income tax reporting purposes.
2. INVESTORS IN MILLBURN MULTI-MARKETS TRADING L.P.
The Partnership and the Company invest all of their assets in the Master Fund. The Partnership’s and the Company’s ownership percentages of the Master Fund at March 31, 2011 and December 31, 2010 of total partners’ capital of the Master Fund are detailed below. The remaining interests are held by direct investors.
March 31,
|
December 31,
|
|||||||
2010
|
2010
|
|||||||
Partnership
|
43.80 | % | 37.43 | % | ||||
Company
|
40.26 | % | 45.74 | % | ||||
Total
|
84.06 | % | 83.17 | % |
The capital withdrawal payable at March 31, 2011 of $271,262 consists of withdrawals of $244,262 and $27,000 from the Partnership and the Company, respectively.
The Master Fund bears expenses, including, but not limited to, periodic legal, accounting and filing fees, up to an amount equal to 1/4 of 1% per annum of average net assets of the Master Fund (the “Expense Cap”). Amounts subject to the Expense Cap include expenses incurred at the Master Fund and Company level and the Administration Fee due to the General Partner. The General Partner of the Master Fund bears any excess over such amounts.
3. FAIR VALUE
The Fair Value Measurements and Disclosures topic of the Codification defines fair value, establishes a framework for measuring fair value, and expands disclosures about fair value measurements. The three levels of the fair value hierarchy are described below:
Level 1: Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
20
Level 2: Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or indirectly;
Level 3: Prices or valuations that require inputs that are both significant to the fair value measurement and unobservable.
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement.
In determining fair value, the Master Fund separates its investments into two categories: cash instruments and derivative contracts.
Cash Instruments. The Master Fund’s cash instruments are generally classified within Level 1 of the fair value hierarchy because they are typically valued using quoted market prices. The types of instruments valued based on quoted market prices in active markets include U.S. government obligations and a short-term U.S. government money market fund. The general partner of the Master Fund (the “General Partner”) does not adjust the quoted price for such instruments, even in situations where the Master Fund holds a large position and a sale could reasonably impact the quoted price.
Derivative Contracts. Derivative contracts can be exchange-traded or over-the-counter (“OTC”). Exchange-traded futures contracts are valued based on quoted closing settlement prices and typically fall within Level 1 of the fair value hierarchy.
OTC derivatives, or forward currency contracts, are valued based on pricing models that consider the current market prices plus the time value of money (“Forward Points”) and contractual prices of the underlying financial instruments. The Forward Points from the quotation service providers are generally in periods of one month, two months, three months and six months forward while the contractual forward delivery dates for the foreign forward currency contracts traded by the Master Fund may be in between these periods. The General Partner’s policy is to calculate the Forward Points for each contract being valued by determining the number of days from the date the forward currency contract is being valued to its maturity date and then using straight-line interpolation to calculate the valuation of Forward Points for the applicable forward currency contract. Model inputs can generally be verified and model selection does not involve significant management judgment. Such instruments are typically classified within Level 2 of the fair value hierarchy.
During the three months ended March 31, 2011 and 2010, there were no transfers of assets or liabilities between Level 1 and Level 2. The following tables set forth by level and major category within the fair value hirerarchy. At March 31, 2011 and December 31, 2010, the Master Fund had no assets or liabilities in Level 3.
21
Financial assets and liabilities at fair value as of March 31, 2011
Level 1
|
Level 2
|
Total
|
||||||||||
U.S. Treasury notes (1)
|
$ | 284,001,895 | $ | - | $ | 284,001,895 | ||||||
Cash and cash equivalents
|
||||||||||||
Cash
|
326,903 | - | 326,903 | |||||||||
Short-term money market fund
|
16,578,923 | - | 16,578,923 | |||||||||
Total cash and cash equivalents
|
16,905,826 | - | 16,905,826 | |||||||||
Exchange-traded futures contracts
|
||||||||||||
Energies
|
1,126,386 | - | 1,126,386 | |||||||||
Grains
|
707,011 | - | 707,011 | |||||||||
Interest rates
|
(376,140 | ) | - | (376,140 | ) | |||||||
Livestock
|
593,700 | - | 593,700 | |||||||||
Metals
|
88,871 | - | 88,871 | |||||||||
Softs
|
(406,988 | ) | - | (406,988 | ) | |||||||
Stock indices
|
2,669,427 | - | 2,669,427 | |||||||||
Total exchange-traded futures contracts
|
4,402,267 | - | 4,402,267 | |||||||||
Over-the-counter forward currency contracts
|
- | 20,325 | 20,325 | |||||||||
Total futures and forward currency contracts (2)
|
4,402,267 | 20,325 | 4,422,592 | |||||||||
Total financial assets and liabilities at fair value
|
$ | 305,309,988 | $ | 20,325 | $ | 305,330,313 |
Per line item in Statements of Financial Condition
|
||||
(1)
|
||||
Investments in U.S. Treasury notes held in brokers' trading accounts as collateral
|
$ | 70,688,925 | ||
Investments in U.S. Treasury notes held in custody
|
213,312,970 | |||
Net investments in U.S. Treasury notes
|
$ | 284,001,895 | ||
(2)
|
||||
Net unrealized appreciation on futures and forward currency contracts
|
$ | 5,008,430 | ||
Net unrealized depreciation on futures and forward currency contracts
|
(585,838 | ) | ||
Net unrealized appreciation on futures and forward currency contracts
|
$ | 4,422,592 |
22
Financial assets and liabilities at fair value as of December 31, 2010
Level 1
|
Level 2
|
Total
|
||||||||||
U.S. Treasury notes (1)
|
$ | 270,256,308 | $ | - | $ | 270,256,308 | ||||||
Cash and cash equivalents
|
||||||||||||
Cash
|
851,071 | - | 851,071 | |||||||||
Short-term money market fund
|
13,532,683 | - | 13,532,683 | |||||||||
Total cash and cash equivalents
|
14,383,754 | - | 14,383,754 | |||||||||
Exchange-traded futures contracts
|
||||||||||||
Energies
|
433,593 | - | 433,593 | |||||||||
Grains
|
2,039,789 | - | 2,039,789 | |||||||||
Interest rates
|
204,373 | - | 204,373 | |||||||||
Livestock
|
47,690 | - | 47,690 | |||||||||
Metals
|
3,711,994 | - | 3,711,994 | |||||||||
Softs
|
1,695,588 | - | 1,695,588 | |||||||||
Stock indices
|
1,715,563 | - | 1,715,563 | |||||||||
Total exchange-traded futures contracts
|
9,848,590 | - | 9,848,590 | |||||||||
Over-the-counter forward currency contracts
|
- | 3,463,588 | 3,463,588 | |||||||||
Total futures and forward currency contracts (2)
|
9,848,590 | 3,463,588 | 13,312,178 | |||||||||
Total financial assets and liabilities at fair value
|
$ | 294,488,652 | $ | 3,463,588 | $ | 297,952,240 |
Per line item in Statements of Financial Condition
|
||||
(1)
|
||||
Investments in U.S. Treasury notes held in brokers' trading accounts as collateral
|
$ | 51,585,010 | ||
Investments in U.S. Treasury notes held in custody
|
218,671,298 | |||
Total investments in U.S. Treasury notes
|
$ | 270,256,308 | ||
(2)
|
||||
Net unrealized appreciation on futures and forward currency contracts
|
$ | 13,312,178 | ||
Net unrealized depreciation on futures and forward currency contracts
|
- | |||
Net unrealized appreciation on futures and forward currency contracts
|
$ | 13,312,178 |
4. DERIVATIVE INSTRUMENTS
The Derivatives and Hedging topic of the Codification requires qualitative disclosure about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments and disclosures about credit-risk-related contingent features in derivative agreements.
The Master Fund’s market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Master Fund’s open positions and the liquidity of the markets in which it trades.
The Master Fund engages in the speculative trading of futures and forward contracts on interest rates, grains, softs, currencies, metals, energies, livestock and stock indices. The following were the primary trading risk exposures of the Master Fund at March 31, 2011, by market sector:
Agricultural (grains, livestock and softs) – The Master Fund’s primary exposure is to agricultural price movements, which are often directly affected by severe or unexpected weather conditions as well as supply and demand factors.
Currencies – Exchange rate risk is a principal market exposure of the Master Fund. The Master Fund’s currency exposure is to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. The fluctuations are influenced by interest rate changes as well as political and general economic conditions. The Master Fund trades in a large number of currencies, including cross-rates—e.g., positions between two currencies other than the U.S. dollar.
23
Energies – The Master Fund’s primary energy market exposure is to gas and oil price movements, often resulting from political developments in the Middle East and economic conditions worldwide. Energy prices are volatile and substantial profits and losses have been and are expected to continue to be experienced in this market.
Interest rates – Interest rate movements directly affect the price of the sovereign bond futures positions held by the Master Fund and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries may materially impact the Master Fund’s profitability. The Master Fund’s primary interest rate exposure is to interest rate fluctuations in countries or regions including Australia, Canada, Japan, Switzerland, the United Kingdom, the U.S. and the Eurozone. However, the Master Fund also may take positions in futures contracts on the government debt of other nations. The General Partner anticipates that interest rates in the industrialized countries, both long-term and short-term, will remain the interest rate market exposure of the Master Fund for the foreseeable future.
Metals – The Master Fund’s metals market exposure is to fluctuations in the price of aluminum, copper, gold, lead, nickel, platinum, silver, tin and zinc.
Stock Indices – The Master Fund’s equity exposure, through stock index futures, is to equity price risk in the major industrialized countries as well as other countries.
The Derivatives and Hedging topic of the Codification requires entities to recognize in the Statements of Financial Condition all derivative contracts as assets or liabilities. Fair values of futures and forward currency contracts in an asset position by counterparty, respectively are recorded in the Statements of Financial Condition as “Net unrealized appreciation on open futures and forward currency contracts.” Fair value of futures and forward currency contracts in a liability position by counterparty, respectively are recorded in the statements of financial condition as “Net unrealized depreciation on open futures and forward currency contracts.” The Master Fund’s policy regarding fair value measurement is discussed in the Fair Value and Disclosures note, contained herein.
Since the derivatives held or sold by the Master Fund are for speculative trading purposes, the derivative instruments are not designated as hedging instruments under the provisions of the Derivatives and Hedging guidance. Accordingly, all realized gains and losses, as well as any change in net unrealized gains or losses on open positions from the preceding period, are recognized as part of the Master Fund’s trading gains and losses in the Statements of Operations.
The following tables present the fair value of open futures and forward currency contracts, held long or sold short, at March 31, 2011 and December 31, 2010. Fair value is presented on a gross basis even though the contracts are subject to master netting agreements and qualify for net presentation in the Master Fund’s Statements of Financial Condition.
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Fair value of futures and forward currency contracts at March 31, 2011
Net Unrealized
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Fair Value - Long Positions
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Fair Value - Short Positions
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Gain (Loss) on
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Sector
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Gains
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Losses
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Gains
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Losses
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Open Positions
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Futures contracts:
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Energies
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$ | 2,352,036 | $ | (51,221 | ) | $ | - | $ | (1,174,429 | ) | $ | 1,126,386 | ||||||||
Grains
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2,553,097 | (636,636 | ) | 670,750 | (1,880,200 | ) | 707,011 | |||||||||||||
Interest rates
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186,212 | (908,797 | ) | 352,688 | (6,243 | ) | (376,140 | ) | ||||||||||||
Livestock
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1,363,770 | - | - | (770,070 | ) | 593,700 | ||||||||||||||
Metals
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1,766,061 | (1,762,181 | ) | 543,838 | (458,847 | ) | 88,871 | |||||||||||||
Softs
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1,065,000 | (1,582,348 |