Millburn Multi-Markets Fund L.P. - FORM 10-Q

Attached files

file	filename
EX-31.03 - EXHIBIT 31.03 - Millburn Multi-Markets Fund L.P.	v229887_ex31-03.htm
EX-31.02 - EXHIBIT 31.02 - Millburn Multi-Markets Fund L.P.	v229887_ex31-02.htm
EX-31.01 - EXHIBIT 31.01 - Millburn Multi-Markets Fund L.P.	v229887_ex31-01.htm
EX-32.01 - EXHIBIT 32.01 - Millburn Multi-Markets Fund L.P.	v229887_ex32-01.htm
EX-32.03 - EXHIBIT 32.03 - Millburn Multi-Markets Fund L.P.	v229887_ex32-03.htm
EX-32.02 - EXHIBIT 32.02 - Millburn Multi-Markets Fund L.P.	v229887_ex32-02.htm

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

x	Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

For the Quarterly Period Ended: June 30, 2011

¨	Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

Commission File Number: 000-54028

MILLBURN MULTI-MARKETS FUND L.P.

(Exact name of registrant as specified in its charter)

Delaware		26-4038497
State or other jurisdiction of		(I.R.S. Employer
incorporation or organization)		Identification No.)

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 ¨	Accelerated filer ¨
Non-accelerated filer ¨ (Do not check if a smaller reporting company)	Smaller reporting company x

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

Yes ¨ No x

PART I. FINANANCIAL INFORMATION

ITEM 1. FINANCIAL STATEMENTS

Millburn Multi-Markets Fund L.P.
Financial statements
For the three and six months ended June 30, 2011 and 2010

Statements of Financial Condition (a)		3
Statements of Operations (c)		4
Statements of Changes in Partners' Capital (b)		6
Statements of Financial Highlights (c)		7
Notes to Financial Statements		11

(a) At June 30, 2011 and December 31, 2010

(b) For the six months ended June 30, 2011 and 2010

Millburn Multi-Markets Fund L.P.

Statements of Financial Condition (UNAUDITED)

	June 30,		December 31,
	2011		2010
ASSETS
Investment in Millburn Multi-Markets Trading L.P. (the "Master Fund")	$	172,486,029	$	111,327,838
Due from the Master Fund		529,871		233,876
Cash		19,242,753		7,916,721
TOTAL	$	192,258,653	$	119,478,435

LIABILITIES AND PARTNERS' CAPITAL

LIABILITIES:
Capital contributions received in advance	$	19,242,077	$	7,766,045
Capital withdrawal payable		528,430		233,876
Due to the General Partner		1,441		-
Due to the Master Fund		676		150,676
Total liabilities		19,772,624		8,150,597

PARTNERS' CAPITAL:
General Partner		1,381,875		1,447,561

Limited Partners:
Series A (112,639.6857 and 64,756.6985 units outstanding)		117,027,307		71,988,161
Series B (14,156.6023 and 5,662.0645 units outstanding)		15,107,830		6,405,290
Series C (36,337.6368 and 27,731.8983 units outstanding)		38,969,017		31,486,826
Total limited partners		171,104,154		109,880,277
Total partners' capital		172,486,029		111,327,838

TOTAL	$	192,258,653	$	119,478,435

NET ASSET VALUE PER UNIT OUTSTANDING
Series A	$	1,038.95	$	1,111.67
Series B	$	1,067.19	$	1,131.26
Series C	$	1,072.41	$	1,135.40

See notes to financial statements

Millburn Multi-Markets Fund L.P.

Statements of Operations (UNAUDITED)

	For the three months ended
	June 30,			June 30,
	2011			2010
NET INVESTMENT LOSS ALLOCATED FROM THE MASTER FUND
INCOME — interest income	$	85,398		$	27,045

Expenses:
Management fees		830,485			174,373
Brokerage fees		115,349			27,274
Selling commissions and platform fees		562,229			155,412
Administrative and operating expenses		266,526			63,200
Custody fee and other expenses		6,077			1,204
Total expenses		1,780,666			421,463

Operating expenses borne by General Partner		(36,033	)		(13,714	)

Net expenses		1,744,633			407,749

Net investment loss allocated from the Master Fund		(1,659,235)			(380,704	)

NET REALIZED AND UNREALIZED GAINS (LOSSES) ALLOCATED FROM THE MASTER FUND
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		(4,248,530	)		(585,600	)
Foreign exchange translation		24,024			(12,580	)
Net change in unrealized:
Futures and forward currency contracts		(3,749,544	)		(1,470,604	)
Foreign exchange translation		(35,434	)		(17,900	)
Net gains from U.S. Treasury notes:
Net change in unrealized		44,632			10,896

Total net realized and unrealized losses allocated from the Master Fund		(7,964,852	)		(2,075,788	)

NET LOSS		(9,624,087	)		(2,456,492	)

LESS PROFIT SHARE ALLOCATION FROM THE MASTER FUND		1,612			(194,494)

NET LOSS AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND	$	(9,625,699	)	$	(2,261,998	)

(Continued)

Millburn Multi-Markets Fund L.P.

Statements of Operations (UNAUDITED)

	For the six months ended
	June 30,			June 30,
	2011			2010
NET INVESTMENT LOSS ALLOCATED FROM THE MASTER FUND
INCOME — interest income	$	161,153		$	37,945

Expenses:
Management fees		1,476,833			251,208
Brokerage fees		222,119			40,933
Selling commissions and platform fees		988,574			225,455
Administrative and operating expenses		465,912			114,201
Custody fee and other expenses		11,397			1,707
Total expenses		3,164,835			633,504

Operating expenses borne by General Partner		(55,586)			(45,061)

Net expenses		3,109,249			588,443

Net investment loss allocated from the Master Fund		(2,948,096	)		(550,498)

NET REALIZED AND UNREALIZED GAINS (LOSSES) ALLOCATED FROM THE MASTER FUND
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		(1,272,056	)		(131,520)
Foreign exchange translation		141			(12,580)
Net change in unrealized:
Futures and forward currency contracts		(7,496,715	)		(782,084)
Foreign exchange translation		(10,952	)		(15,114)
Net gains from U.S. Treasury notes:
Realized		3,031			-
Net change in unrealized		48,695			10,367

Total net realized and unrealized losses allocated from the Master Fund		(8,727,856	)		(930,931)

NET LOSS		(11,675,952	)		(1,481,429)

LESS PROFIT SHARE ALLOCATION FROM THE MASTER FUND		2,595			416

NET LOSS AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND	$	(11,678,547	)	$	(1,481,845)

See notes to financial statements

(Concluded)

Millburn Multi-Markets Fund L.P.

Statements of Changes in Partners' Capital (UNAUDITED)

For the six months ended June 30, 2011 and 2010

	General			Limited Partners
	Partner			Series A						Series B						Series C					Total
	Amount			Amount			Units			Amount			Units			Amount			Units		Amount

PARTNERS' CAPITAL — December 31, 2010	$	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		-			54,848,801			49,212.1823			10,110,485			8,896.6968			9,969,828			8,782.9085		74,929,114
Capital withdrawals		-			(1,449,450	)		(1,329.1951	)		(452,926	)		(402.1590	)		(190,000	)		(177.1700)		(2,092,376	)
Net loss after profit share		(65,686	)		(8,360,205	)		-			(955,019	)		-			(2,297,637	)		-		(11,678,547	)
PARTNERS' CAPITAL — June 30, 2011	$	1,381,875		$	117,027,307			112,639.6857		$	15,107,830			14,156.6023		$	38,969,017			36,337.6368	$	172,486,029

Net Asset Value per Unit at June 30, 2011							$	1,038.95					$	1,067.19					$	1,072.41

	General		Limited Partners
	Partner		Series A						Series B						Series C				Total
	Amount		Amount			Units			Amount			Units			Amount		Units		Amount

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		-		29,610,455			27,638.9681			1,967,992			1,820.2767			1,790,000		1,623.7465		33,368,447
Capital withdrawals		-		(42,182	)		(38.9384	)		(25,148	)		(23.5331	)		-		-		(67,330	)
Net loss after profit share		(39)		(1,308,673	)		-			(75,793	)		-			(97,340)		-		(1,481,845	)
PARTNERS' CAPITAL — June 30, 2010	$	10,120	$	36,849,576			35,681.4661		$	2,248,762			2,154.7243		$	1,995,366		1,907.3480	$	41,103,824

Net Asset Value per Unit at June 30, 2010						$	1,032.74					$	1,043.64				$	1,046.15

See notes to financial statements

Millburn Multi-Markets Fund L.P.

Statement of Financial Highlights (UNAUDITED)

For the three months ended June 30, 2011

The following information presents per unit operating performance data for each series for the three months ended June 30, 2011.

Per Unit Performance
(For a Unit Outstanding Throughout the Period)	Series A			Series B			Series C

NET ASSET VALUE PER UNIT — Beginning of period	$	1,094.37		$	1,118.70		$	1,123.48

INCOME (LOSS) ALLOCATED FROM THE MASTER FUND:
Net investment loss (1)		(12.71	)		(8.11	)		(7.48	)
Total trading and investing losses (1)		(42.69	)		(44.64	)		(43.18	)

Net loss before profit share allocation from the Master Fund		(55.40	)		(52.75	)		(50.66	)

Profit share allocation from the Master Fund (1) (2) (7)		(0.02	)		1.24			(0.41)

Net loss from operations after profit share allocation from the Master Fund		(55.42	)		(51.51	)		(51.07	)

NET ASSET VALUE PER UNIT — End of period	$	1,038.95		$	1,067.19		$	1,072.41

TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2)		(5.06	)%		(4.71	)%		(4.51	)%

LESS: PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2)		0.00			(0.11	)		0.04

TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2)		(5.06	)%		(4.60	)%		(4.55	)%

Ratios to average net asset value:
Expenses (3) (4) (5) (6)		4.86	%		3.11	%		2.85	%

Profit share allocation from the Master Fund (2) (7)		0.00			(0.11	)		0.04

Total expenses and profit share allocation		4.86	%		3.00	%		2.89	%

Net investment loss (3) (4) (5) (6)		(4.65	)%		(2.90	)%		(2.65	)%

(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 losses 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 three months ended June 30, 2011, the ratios are net of the 0.02% effect of the reduction of voluntary waivers of operating expenses (not annualized).

(6)	Includes the Partnership’s proportionate share of income and expense allocated from the Master Fund.

(7)	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.

See notes to financial statements

Millburn Multi-Markets Fund L.P.

Statement of Financial Highlights (UNAUDITED)

For the three months ended June 30, 2010

The following information presents per unit operating performance data for each series for the three months ended June 30, 2010.

Per Unit Performance
(For a Unit Outstanding Throughout the Period)	Series A			Series B			Series C

NET ASSET VALUE PER UNIT — Beginning of period	$	1,096.81			1,104.67			1,106.48

INCOME (LOSS) ALLOCATED FROM THE MASTER FUND:
Net investment loss (1)		(6.85	)		(6.93	)		(6.96	)
Total trading and investing losses (1)		(63.31	)		(59.14	)		(58.43	)

Net loss before profit share allocation from the Master Fund		(70.16	)		(66.07	)		(65.39	)

Profit share allocation from the Master Fund (1) (2) (7)		6.09			5.04			5.06

Net loss from operations after profit share allocation from the Master Fund		(64.07	)		(61.03	)		(60.33	)

NET ASSET VALUE PER UNIT — End of period	$	1,032.74		$	1,043.64		$	1,046.15

TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2)		(6.40	)%		(5.98	)%		(5.91	)%

LESS: PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2)		(0.56	)		(0.46	)		(0.46	)

TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2)		(5.84	)%		(5.52	)%		(5.45	)%

Ratios to average net asset value:
Expenses (3) (4) (5) (6)		4.91	%		3.15	%		2.89	%

Net investment loss (3) (4) (5) (6)		(4.60	)%		(2.84	)%		(2.59	)%

(1)

(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 three months ended June 30, 2010, the ratios are net of the 0.04% 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.

(7)	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.

See notes to financial statements

Millburn Multi-Markets Fund L.P.

Statement of Financial Highlights (UNAUDITED)

For the six months ended June 30, 2011

The following information presents per unit operating performance data for each series for the six months ended June 30, 2011.

Per Unit Performance
(For a Unit Outstanding Throughout the Period)	Series A			Series B			Series C

NET ASSET VALUE PER UNIT — Beginning of period	$	1,111.67		$	1,131.26		$	1,135.40

INCOME (LOSS) ALLOCATED FROM THE MASTER FUND:
Net investment loss (1)		(25.60	)		(16.27	)		(15.03	)
Total trading and investing losses (1)		(47.10	)		(49.59	)		(47.46	)

Net loss before profit share allocation from the Master Fund		(72.70	)		(65.86	)		(62.49	)

Profit share allocation from the Master Fund (1) (2)		(0.02	)		1.79			(0.50	)

Net loss from operations after profit share allocation from the Master Fund		(72.72	)		(64.07	)		(62.99	)

NET ASSET VALUE PER UNIT — End of period	$	1,038.95		$	1,067.19		$	1,072.41

TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2)		(6.54	)%		(5.82)	%		(5.51	)%

LESS: PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2)		0.00			(0.16	)		0.04

TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2)		(6.54	)%		(5.66	)%		(5.55)	%

Ratios to average net asset value:
Expenses (3) (4) (5) (6)		4.88	%		3.12	%		2.88	%

Profit share allocation from the Master Fund (2)		0.00			(0.16	)		0.04

Total expenses and profit share allocation		4.88	%		2.96	%		2.92	%

Net investment loss (3) (4) (5) (6)		(4.66	)%		(2.90	)%		(2.65	)%

(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 six months ended June 30, 2011, the ratios are net of the 0.04% 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

Millburn Multi-Markets Fund L.P.

Statement of Financial Highlights (UNAUDITED)

For the six months ended June 30, 2010

The following information presents per unit operating performance data for each series for the six months ended June 30, 2010.

Per Unit Performance
(For a Unit Outstanding Throughout the Period)	Series A			Series B			Series C

NET ASSET VALUE PER UNIT — Beginning of period	$	1,062.93		$	1,066.29		$	1,067.37

INCOME (LOSS) ALLOCATED FROM THE MASTER FUND:
Net investment loss (1)		(24.45	)		(15.25	)		(13.90	)
Total trading and investing losses (1)		(5.73	)		(4.98	)		(10.22	)

Net loss before profit share allocation from the Master Fund		(30.18	)		(20.23	)		(24.12	)

Profit share allocation from the Master Fund (1) (2)		(0.01	)		(2.42	)		2.90

Net loss from operations after profit share allocation from the Master Fund		(30.19	)		(22.65	)		(21.22	)

NET ASSET VALUE PER UNIT — End of period	$	1,032.74		$	1043.64		$	1,046.15

TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2)		(2.84	)%		(1.90	)%		(2.26	)%

LESS: PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2)		0.00			0.22			(0.27	)

TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2)		(2.84	)%		(2.12	)%		(1.99	)%

Ratios to average net asset value:
Expenses (3) (4) (5) (6)		4.91%			3.15	%		2.89	%

Profit share allocation from the Master Fund (2)		0.00			0.22			(0.27	)

Total expenses and profit share allocation		4.91	%		3.37	%		2.62	%

Net investment loss (3) (4) (5) (6)		(4.60	)%		(2.84	)%		(2.59	)%

(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 six months ended June 30, 2010, the ratios are net of the 0.18% 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

NOTES TO FINANCIAL STATEMENTS

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 June 30, 2011 and December 31, 2010 and the results of its operations for the three and six months ended June 30, 2011 and 2010.

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 any uncertain tax positions. Based on a review of the Partnership’s open tax years, 2009 and 2010, for the U.S. Federal jurisdiction, the New York and Connecticut state jurisdictions, and the New York City jurisdiction, there are no uncertain tax positions. 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 June 30, 2011 and December 31, 2010 was 49.26% 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 six months ended June 30, 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 June 30, 2011 and December 31, 2010, $157,024 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 and six months ended June 30, 2011, costs incurred were $20,954 and $37,303, respectively. For the three and six months ended June 30, 2010, costs incurred were $4,361 and $6,284. Organizational and offering costs are included in "administrative and operating expenses" in the Partnership’s and Master Fund's Statements of Operations. Further, as of June 30, 2011 and December 31, 2010, $37,303 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 June 30, 2011, $1,441 was owed to the General Partner for redemption charges. No such charges were owed at December 31, 2010.

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 each three and six month period. Weighted average number of units of each series is detailed below.

	Three months ending June 30,				Six months ending June 30,
	2011		2010		2011		2010
Series A		101,336.794		28,838.812		88,577.762		20,941.335
Series B		12,138.565		1,941.626		9,594.959		1,419.230
Series C		36,182.463		1,807.486		34,225.908		1,148.795

Millburn Multi-Markets Trading L.P.

Financial statements

For the three and six months ended June 30, 2011 and 2010

Statements of Financial Condition (a)		14
Condensed Schedules of Investments (a)		15
Statements of Operations (c)		19
Statements of Changes in Partners' Capital (b)		21
Statements of Financial Highlights (c)		22
Notes to Financial Statements		24

(a) At June 30, 2011 and December 31, 2010

(b) For the six months ended June 30, 2011 and 2010

Millburn Multi-Markets Trading L.P.

Statements of Financial Condition (UNAUDITED)

	June 30		December 31
	2011		2010
Assets
EQUITY IN TRADING ACCOUNTS:
Investments in U.S. Treasury notes−at fair value (amortized cost $74,697,620 and $51,569,250)	$	74,744,078	$	51,585,010
Net unrealized appreciation on open futures and forward currency contracts		2,947,662		13,312,178
Due from brokers		3,659,824		3,146,214
Cash denominated in foreign currencies (cost $675,563 and $2,353,889)		690,361		2,324,160
Total equity in trading accounts		82,041,925		70,367,562

INVESTMENTS IN U.S TREASURY NOTES−at fair value (amortized cost $258,259,548 and $218,631,689)		258,376,804		218,671,298
CASH AND CASH EQUIVALENTS		18,886,879		14,383,754
ACCRUED INTEREST RECEIVABLE		649,050		476,291
DUE FROM MILLBURN MULTI-MARKETS LTD.		578		712
DUE FROM MILLBURN MULTI-MARKETS FUND L.P.		676		150,676
TOTAL	$	359,955,912	$	304,050,293

LIABILITIES AND PARTNERS' CAPITAL

LIABILITIES:
Net unrealized depreciation on open futures and forward currency contracts	$	5,511,656	$	-
Cash denominated in foreign currencies (cost -$986,122 and -$251,028)		997,339		248,557
Capital contributions received in advance		458,585		884,835
Capital withdrawal payable		635,448		4,726,525
Management fee payable		498,344		418,270
Selling commissions payable		198,805		122,477
Accrued expenses		567,739		122,002
Due to brokers		876,038		-
Commissions and other trading fees on open futures contracts		67,434		67,334
Due to General Partner		1,441		684
Total liabilities		9,812,829		6,590,684

PARTNERS' CAPITAL		350,143,083		297,459,609

TOTAL	$	359,955,912	$	304,050,293

See notes to financial statements

Millburn Multi-Markets Trading L.P.

Condensed Schedule of Investments (UNAUDITED)

June 30, 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		(0.04	)%	$	(129,499	)
Grains		(1.29	)		(4,522,085	)
Interest rates:
2 Year U.S. Treasury Note (1,011 contracts, settlement date 09/30/2011)		0.13			445,500
5 Year U.S. Treasury Note (580 contracts, settlement date 09/30/2011)		(0.03	)		(118,820	)
10 Year U.S. Treasury Note (399 contracts, settlement date 09/30/2011)		(0.10	)		(336,218	)
30 Year U.S. Treasury Bond (215 contracts, settlement date 09/30/2011)		(0.15	)		(538,594	)
Other interest rates		0.06			218,043
Total interest rates		(0.09	)		(330,089	)

Livestock		0.08			272,780
Metals		0.00			19,189
Softs		0.14			490,188
Stock indices		0.49			1,717,287
Total long futures contracts		(0.71	)		(2,482,229	)

Short futures contracts:
Energies		0.08			285,786
Grains		1.35			4,727,535
Interest rates		0.03			100,333
Livestock		(0.15	)		(536,090	)
Metals		(0.36	)		(1,255,708	)
Softs		(0.26	)		(910,351	)
Stock indices		(0.40	)		(1,408,318	)
Total short futures contracts		0.29			1,003,187
TOTAL INVESTMENTS IN FUTURES CONTRACTS - Net		(0.42	)		(1,479,042	)

FORWARD CURRENCY CONTRACTS:
Total long forward currency contracts		0.40			1,402,437
Total short forward currency contracts		(0.71	)		(2,487,389	)
TOTAL INVESTMENTS IN FORWARD CURRENCY CONTRACTS - Net		(0.31	)		(1,084,952	)

TOTAL		(0.73	)%	$	(2,563,994	)

(Continued)

Millburn Multi-Markets Trading L.P.

Condensed Schedule of Investments (UNAUDITED)

June 30, 2011

U.S. Treasury Notes

Face Amount		Description	Fair Value as a % of Partners' Capital			Fair Value

$	79,170,000	U.S. Treasury notes, 1.000%, 08/31/2011		22.65	%	$	79,298,342
	155,170,000	U.S. Treasury notes, 0.750%, 11/30/2011		44.44			155,603,385
	97,740,000	U.S. Treasury notes, 0.875%, 02/29/2012		28.05			98,219,155
		Total investments in U.S. Treasury notes
		(amortized cost $332,957,168)		95.14	%	$	333,120,882

See notes to financial statements

(Concluded)

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:

Millburn Multi-Markets Fund L.P. - FORM 10-Q - August 12, 2011

Attached files