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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:  September 30, 2011

Or

¨
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 x          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 nine months ended September 30, 2011 and 2010 (unaudited)
   
     
Statements of Financial Condition (a)
 
3
Statements of Operations (c)
 
4-5
Statements of Changes in Partners' Capital (b)
 
6
Statements of Financial Highlights (c)
 
7-10
Notes to Financial Statements
 
11-12

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

(b) For the nine months ended September 30, 2011 and 2010 (unaudited)

(c) For the three and nine months ended September 30, 2011 and 2010 (unaudited)

 
2

 

Millburn Multi-Markets Fund L.P.
Statements of Financial Condition (UNAUDITED)

   
September 30,
   
December 31,
 
   
2011
   
2010
 
ASSETS
           
Investment in Millburn Multi-Markets Trading L.P. (the "Master Fund")
 
$
215,820,219
   
$
111,327,838
 
Due from the Master Fund
   
394,357
     
233,876
 
Cash
   
12,779,798
     
7,916,721
 
TOTAL
 
$
228,994,374
   
$
119,478,435
 
                 
LIABILITIES AND PARTNERS' CAPITAL
               
                 
LIABILITIES:
               
Capital contributions received in advance
 
$
12,779,122
   
$
7,766,045
 
Capital withdrawal payable
   
392,472
     
233,876
 
Due to the General Partner
    1,885       -  
Due to the Master Fund
   
676
     
150,676
 
Total liabilities
   
13,174,155
     
8,150,597
 
                 
PARTNERS' CAPITAL:
               
General Partner
   
1,429,651
     
1,447,561
 
                 
Limited Partners:
               
Series A (139,784.6408 and 64,756.6985 units outstanding)
   
148,755,538
     
71,988,161
 
Series B (19,337.2293 and 5,662.0645 units outstanding)
   
21,230,195
     
6,405,290
 
Series C (40,223.4545 and 27,731.8983 units outstanding)
   
44,404,835
     
31,486,826
 
Total limited partners
   
214,390,568
     
109,880,277
 
Total partners' capital
   
215,820,219
     
111,327,838
 
                 
TOTAL
 
$
228,994,374
   
$
119,478,435
 
                 
NET ASSET VALUE PER UNIT OUTSTANDING
               
Series A
 
$
1,064.18
   
$
1,111.67
 
Series B
 
$
1,097.89
   
$
1,131.26
 
Series C
 
$
1,103.95
   
$
1,135.40
 

See notes to financial statements

 
3

 

Millburn Multi-Markets Fund L.P.
Statements of Operations (UNAUDITED)

   
For the three months ended
 
   
September 30,
   
September 30,
 
   
2011
   
2010
 
NET INVESTMENT LOSS ALLOCATED FROM THE MASTER FUND
           
INCOME — interest income
 
$
91,095
   
$
51,019
 
                 
Expenses:
               
Management fees
   
1,030,684
     
260,015
 
Brokerage commissions
   
133,724
     
49,840
 
Selling commissions and platform fees
   
719,855
     
233,505
 
Administrative and operating expenses
   
250,141
     
245,999
 
Custody fee and other expenses
   
8,334
     
2,467
 
Total expenses
   
2,142,738
     
791,826
 
                 
Operating expenses borne by General Partner
   
(1,931
   
(174,449
)
                 
Net expenses
   
2,140,807
     
617,377
 
                 
Net investment loss allocated from the Master Fund
   
(2,049,712
   
(566,358
)
                 
NET REALIZED AND UNREALIZED GAINS (LOSSES)  ALLOCATED FROM THE MASTER FUND
               
Net realized gains (losses) on closed positions:
               
Futures and forward currency contracts
   
7,073,675
     
(374,797
)
Foreign exchange translation
   
(27,223
)
   
(11,452
)
Net change in unrealized:
               
Futures and forward currency contracts
   
(119,903
)
   
2,951,037
 
Foreign exchange translation
   
(3,125
)
   
19,923
 
Net gains (losses) from U.S. Treasury notes:
               
Net change in unrealized
   
(66,862
)
   
8,799
 
                 
Total net realized and unrealized gains allocated from the Master Fund
   
6,856,562
     
2,593,510
 
                 
NET INCOME
   
4,806,850
     
2,027,152
 
                 
LESS PROFIT SHARE ALLOCATION FROM THE MASTER FUND
   
-
     
116,832
  
                 
NET INCOME AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND
 
$
4,806,850
   
$
1,910,320
 
     
 
(continued)
 

See notes to financial statements

 
4

 

Millburn Multi-Markets Fund L.P.
Statements of Operations (UNAUDITED)

   
For the nine months ended
 
   
September 30,
   
September 30,
 
   
2011
   
2010
 
NET INVESTMENT LOSS ALLOCATED FROM THE MASTER FUND
           
INCOME — interest income
 
$
252,248
   
$
88,964
 
                 
Expenses:
               
Management fees
   
2,507,517
     
511,223
 
Brokerage commissions
   
355,843
     
90,773
 
Selling commissions and platform fees
   
1,708,429
     
458,960
 
Administrative and operating expenses
   
716,053
     
360,200
 
Custody fee and other expenses
   
19,731
     
4,174
 
Total expenses
   
5,307,573
     
1,425,330
 
                 
Operating expenses borne by General Partner
   
(57,517
   
(219,510
)
                 
Net expenses
   
5,250,056
     
1,205,820
 
                 
Net investment loss allocated from the Master Fund
   
(4,997,808
)
   
(1,116,856
)
                 
NET REALIZED AND UNREALIZED GAINS (LOSSES)  ALLOCATED FROM THE MASTER FUND
               
Net realized gains (losses) on closed positions:
               
Futures and forward currency contracts
   
5,801,619
     
(506,317
Foreign exchange translation
   
(27,082
)
   
(24,032
Net change in unrealized:
               
Futures and forward currency contracts
   
(7,616,618
)
   
2,168,953
 
Foreign exchange translation
   
(14,077
)
   
4,809
 
Net gains (losses) from U.S. Treasury notes:
               
Realized
   
3,031
     
-
 
Net change in unrealized
   
(18,167
   
19,166
 
                 
Total net realized and unrealized gains (losses) allocated from the Master Fund
   
(1,871,294
)
   
1,662,579
 
                 
NET INCOME (LOSS)
   
(6,869,102
)
   
545,723
 
                 
LESS PROFIT SHARE ALLOCATION FROM THE MASTER FUND
   
2,595
     
117,248
  
                 
NET INCOME (LOSS) AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND
 
$
(6,871,697
)
 
$
428,475
 
     
 
(concluded)
 

See notes to financial statements

 
5

 
 
Millburn Multi-Markets Fund L.P.
Statements of Changes in Partners' Capital (UNAUDITED)
For the nine months ended September 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
   
-
     
85,728,603
     
78,379.5252
     
15,901,098
     
14,234.2708
     
14,398,382
     
12,872.2000
     
116,028,083
 
Capital withdrawals
   
-
     
(3,622,803
)
   
(3,351.5829
)
   
(625,685
)
   
(559.1060
)
   
(415,517
)
   
(380.6438
   
(4,664,005
)
Net loss after profit share
   
(17,910
)
   
(5,338,423
)
   
-
     
(450,508
)
   
-
     
(1,064,856
)
   
-
     
(6,871,697
)
PARTNERS' CAPITAL — September 30, 2011
 
$
1,429,651
   
$
148,755,538
     
139,784.6408
   
$
21,230,195
     
19,337.2293
   
$
44,404,835
     
40,223.4545
   
$
215,820,219
 
                                                                 
Net Asset Value per Unit at September 30, 2011
                 
$
1,064.18
           
$
1,097.89
           
$
1,103.95
         

 
 
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
    -       42,920,446       40,584.7502       3,787,992       3,561.6469       2,437,483       2,245.8081       49,145,921  
Capital withdrawals
    -       (536,472 )       (527.6004 )       (166,243 )       (156.5341 )       (181,093 )       (178.2290 )       (883,808 )
Net income (loss) after profit share
    418       369,311       -       67,009       -       (8,263 )       -       428,475  
PARTNERS' CAPITAL — September 30, 2010
  $ 10,577     $ 51,343,261       48,138.5862     $ 4,070,469       3,763.0935     $ 2,550,833       2,351.1806     $ 57,975,140  
                                                                 
Net Asset Value per Unit at September 30, 2010
                  $ 1,066.57             $ 1,081.68             $ 1,084.91          
 
See notes to financial statements

 
6

 

Millburn Multi-Markets Fund L.P.
Statement of Financial Highlights (UNAUDITED)
For the three months ended September 30, 2011

The following information presents per unit operating performance data for each series for the three months ended September 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
 
$
1,038.95
   
$
1,067.19
   
$
1,072.41
 
                         
INCOME (LOSS) ALLOCATED FROM THE MASTER FUND:
                       
Net investment loss (1)
   
(12.27
    (7.81 )    
(7.16
Total trading and investing gains (1)
   
37.50
 
   
38.51
 
    38.70
 
                         
Net profit before profit share allocation from the Master Fund
   
25.23
     
30.70
     
31.54
 
                         
Profit share allocation from the Master Fund (1) (7)
   
0.00
     
0.00
     
0.00
 
                         
Net profit from operations after profit share allocation from the Master Fund
   
25.23
     
30.70
     
31.54
 
                         
NET ASSET VALUE PER UNIT — End of period
 
$
1,064.18
   
$
1,097.89
   
$
1,103.95
 
                         
TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2)
   
2.43
%
   
2.88
%
   
2.94
%
                         
LESS: PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2)(7)
   
0.00
     
0.00
     
0.00
 
                         
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2)
   
2.43
%
   
2.88
%
   
     2.94
%
                         
Ratios to average net asset value:
                       
Expenses (3) (4) (5) (6)
   
4.76
%
   
3.01
%
   
2.76
%
Profit share allocation from the Master Fund (2) (7)
   
0.00
     
0.00
     
0.00
 
                         
Total expenses
   
4.76
%
   
3.01
%
   
2.76
%
                         
Net investment loss (3) (4) (5) (6)
   
(4.58
)%
   
(2.83
)%
   
     (2.58
)%

(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 three months ended September 30, 2011, the ratios are net of the 0.00% 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
(Continued)
 
7

 
 
Millburn Multi-Markets Fund L.P.
Statement of Financial Highlights (UNAUDITED)
For the three months ended September 30, 2010

The following information presents per unit operating performance data for each series for the three months ended September 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
 
$
1,032.74
     
1,043.64
     
1,046.15
 
                         
INCOME (LOSS) ALLOCATED FROM THE MASTER FUND:
                       
Net investment loss (1)
    (12.01 )    
(7.56
   
(6.89
)
Total trading and investing gains (1)
   
48.06
 
    49.08
 
    48.90
 
                         
Net profit before profit share allocation from the Master Fund
   
36.05
     
41.52
     
42.01
 
                         
Profit share allocation from the Master Fund (1) (2)(7)
   
(2.22
)
   
(3.48
)
   
(3.25
)
                         
Net profit from operations after profit share allocation from the Master Fund
   
33.83
     
38.04
     
38.76
 
                         
NET ASSET VALUE PER UNIT — End of period
 
$
1,066.57
   
$
 1,081.68
   
$
1,084.91
 
                         
TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2)
   
3.48
%
   
3.92
%
   
4.00
%
                         
LESS: PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2)
   
0.20
 
   
0.28
 
   
0.29
 
                         
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2)
   
3.28
%
   
3.64
%
   
3.71
%
                         
Ratios to average net asset value:
                       
Expenses (3) (4) (5) (6)
   
4.97
%
   
3.21
%
   
2.96
%
Profit share allocation from the Master Fund(2)(7)     0.20       0.28       0.29  
                         
Total expenses
    5.17 %     3.49 %     3.25 %
                         
Net investment loss (3) (4) (5) (6)
   
(4.62
)%
   
(2.86
)%
   
(2.61
)%

(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. Profit sharing allocation applicable to Series A, B and C were 0.20%, 0.28% and 0.29%, respectively.
(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 September 30, 2010, the ratios are net of the 0.34% 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
 
(Continued)
 
8

 
 
Millburn Multi-Markets Fund L.P.
Statement of Financial Highlights (UNAUDITED)
For the nine months ended September 30, 2011

The following information presents per unit operating performance data for each series for the nine months ended September 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)
    (37.67 )     (23.89 )     (22.14 )
Total trading and investing losses (1)
    (9.80 )     (10.86 )     (8.83 )
                         
Net loss before profit share allocation from the Master Fund
    (47.47 )     (34.75 )     (30.97 )
                         
Profit share allocation from the Master Fund (1) (2) (7)
    (0.02 )     1.38       (0.48 )
                         
Net loss from operations after profit share allocation from the Master Fund
    (47.49 )     (33.37 )     (31.45 )
                         
NET ASSET VALUE PER UNIT — End of period
  $ 1,064.18     $ 1,097.89     $ 1,103.95  
                         
TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2)
    (4.27 )%     (3.07 )%     (2.73 )%
                         
LESS: PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2) (7)
    0.00       (0.12 )     0.04  
                         
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2)
    (4.27 )%     (2.95 )%     (2.77 )%
                         
Ratios to average net asset value:
                       
Expenses (3) (4) (5) (6)
    4.83 %     3.07 %     2.83 %
Profit share allocation from the Master Fund (2) (7)
    0.00       (0.12 )     0.04  
                         
Total expenses
    4.83 %     2.95 %     2.87 %
                         
Net investment loss (3) (4) (5) (6)
    (4.63 )%     (2.89 )%     (2.63 )%

(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 loss 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 nine months ended September 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.
(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
(Continued)

 
9

 

Millburn Multi-Markets Fund L.P.
Statement of Financial Highlights (UNAUDITED)
For the nine months ended September 30, 2010

The following information presents per unit operating performance data for each series for the nine months ended September 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) 
    (36.27     (22.72     (20.73 )
Total trading and investing gains (1)
    43.34       45.36       40.78  
                         
Net profit before profit share allocation from the Master Fund
    7.07       22.64       20.05  
                         
Profit share allocation from the Master Fund (1) (2)
    (3.43 )     (7.25 )     (2.51 )
                         
Net profit from operations after profit share allocation from the Master Fund
    3.64       15.39       17.54  
                         
NET ASSET VALUE PER UNIT — End of period
  $ 1,066.57     $ 1081.68     $ 1,084.91  
                         
TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2)
    1.03 %     2.37 %     2.57 %
                         
LESS: PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2)(7)
    0.69       0.93       0.93  
                         
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2)
    0.34 %     1.44 %     1.64 %
                         
Ratios to average net asset value:
                       
Expenses (3) (4) (5) (6)
    4.95 %     3.19 %     2.93 %
Profit share from the Master Fund (2) (7)
    0.69       0.93       0.93  
                         
Total expenses
    5.64 %     4.12 %     3.86 %
                         
Net investment loss (3) (4) (5) (6)
    (4.62 )%     (2.86 )%     (2.60 )%

(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. Profit share allocation applicable to Series A, B and C were 0.69%, 0.93% and 0.93%, respectively.
(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 nine months ended September 30, 2010, the ratios are net of the 0.65% 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
(Concluded)

 
10

 

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 September 30, 2011 and December 31, 2010 and the results of its operations for the three and nine months ended September 30, 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 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 September 30, 2011 and December 31, 2010 was 54.60% 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 nine months ended September 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 September 30, 2011 and December 31, 2010, $132,667 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 paid expenses incurred in connection with the organization of the Partnership and the initial offering of the units of limited partnership (“Units”).  The total amount paid 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 of $3,199 which began on August 1, 2009.  However, to the extent that for any month the $3,199 exceeds 1/12 of 0.05% (0.05% per annum) of the Partnership’s month-end net asset value, such excess will not be reimbursed by the Partnership but will be absorbed by the General Partner.  As of September 30, 2011, pursuant to this calculation, $30,987 has been borne by the General Partner and will not be reimbursed by the Partnership.  For the three and nine months ended September 30, 2011, the costs incurred by the Partnership were $9,598 and $28,795, respectively.  For the three and nine months ended September 30, 2010, the costs incurred by the Partnership were $6,505 and $12,790, respectively.  Organization and initial offering costs are included in “administrative and operating expenses” in the Master Fund’s Statements of Operations.

 
11

 

Further, as of September 30, 2011 and December 31, 2010, $28,795 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 September 30, 2011 and December 31, 2010, $1,885 and $0 were owed to the General Partner, respectively.

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 September 30,
   
Nine months ending September 30,
 
   
2011
   
2010
   
2011
   
2010
 
Series A
    132,002.964       44,307.290       103,211.896       28,815.576  
Series B
    18,151.473       3,224.115       12,478.476       2,027.470  
Series C
    39,743.001       2,183.414       36,085.151       1,497.458  
 
 
12

 

Millburn Multi-Markets Trading L.P.
     
Financial statements
     
For the three and nine months ended September 30, 2011 and 2010 (unaudited)
     
       
Statements of Financial Condition (a)
    14  
Condensed Schedules of Investments (a)
    15-18  
Statements of Operations (c)
    19-20  
Statements of Changes in Partners' Capital (b)
    21  
Statements of Financial Highlights (c)
    22-23  
Notes to Financial Statements
    24  

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

(b) For the nine months ended September 30, 2011 and 2010 (unaudited)

(c) For the three and nine months ended September 30, 2011 and 2010 (unaudited)

 
13

 

Millburn Multi-Markets Trading L.P.
Statements of Financial Condition (UNAUDITED)

   
September 30
   
December 31
 
   
2011
   
2010
 
Assets
           
EQUITY IN TRADING ACCOUNTS:
           
Investments in U.S. Treasury notes−at fair value (amortized cost $60,315,210 and $51,569,250)
 
$
60,339,341
   
$
51,585,010
 
Net unrealized appreciation on open futures and forward currency contracts
   
7,627,307
     
13,312,178
 
Due from brokers
   
5,801,940
     
3,146,214
 
Cash denominated in foreign currencies (cost $1,875,111 and $2,353,889)
   
1,821,339
     
2,324,160
 
Total equity in trading accounts
   
75,589,927
     
70,367,562
 
                 
INVESTMENTS IN U.S TREASURY NOTES−at fair value (amortized cost $323,249,916 and $218,631,689)
   
323,264,832
     
218,671,298
 
CASH AND CASH EQUIVALENTS
   
8,597,859
     
14,383,754
 
ACCRUED INTEREST RECEIVABLE
   
540,674
     
476,291
 
DUE FROM MILLBURN MULTI-MARKETS LTD.
   
328
     
712
 
DUE FROM MILLBURN MULTI-MARKETS FUND L.P.
   
676
     
150,676
 
TOTAL
 
$
407,994,296
   
$
304,050,293
 
                 
LIABILITIES AND PARTNERS' CAPITAL
               
                 
LIABILITIES:
               
Net unrealized depreciation on open futures and forward currency contracts
 
$
10,248,405
   
$
-
 
Cash denominated in foreign currencies (cost $- and $-251,028)
   
-
     
248,557
 
Capital contributions received in advance
   
14,793
     
884,835
 
Capital withdrawals payable
   
592,472
     
4,726,525
 
Management fee payable
   
575,499
     
418,270
 
Selling commissions payable
   
252,799
     
122,477
 
Accrued expenses
   
597,045
     
122,002
 
Due to broker
   
343,266
     
-
 
Commissions and other trading fees on open futures contracts
   
64,208
     
67,334
 
Due to Millburn Multi-Markets Fund L.P.
   
1,885
     
684
 
Total liabilities
   
12,690,372
     
6,590,684
 
                 
PARTNERS' CAPITAL
   
395,303,924
     
297,459,609
 
                 
TOTAL
 
$
407,994,296
   
$
304,050,293
 

See notes to financial statements

 
14

 

Millburn Multi-Markets Trading L.P.
Condensed Schedule of Investments (UNAUDITED)
September 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
   
(0.64
)%
 
$
(2,522,627
Grains
   
(0.99
)
   
(3,930,475
)
Interest rates:
               
2 Year U.S. Treasury Note (1,409 contracts, settlement date 12/31/2011)
   
(0.08
)
   
(336,414
)
5 Year U.S. Treasury Note (525 contracts, settlement date 12/31/2011)
   
(0.05
)
   
(179,266
)
10 Year U.S. Treasury Note (145 contracts, settlement date 12/31/2011)
   
0.01
     
28,953
 
30 Year U.S. Treasury Bond (76 contracts, settlement date 12/31/2011)
   
0.04
     
139,250
 
Other interest rates
   
(0.09
)
   
(346,304
)
Total interest rates
   
(0.17
)
   
(693,781
)
                 
Livestock
   
0.07
     
270,690
 
Metals
   
(0.81
   
(3,186,538
Softs
   
(0.34
)
   
(1,335,319
)
Stock indices
   
0.02
     
66,750
 
Total long futures contracts
   
(2.86
)
   
(11,331,300
)
                 
Short futures contracts:
               
Energies
   
0.70
     
2,769,266
 
Grains
   
        1.62
     
6,399,399
 
Interest rates
   
0.01
     
38,296
 
Livestock
   
(0.22
)
   
(869,900
)
Metals
   
    1.91
     
7,560,170
 
Softs
   
  0.61
     
2,398,959
 
Stock indices
   
0.00
     
18,674
 
Total short futures contracts
   
4.63
     
18,314,864
 
TOTAL INVESTMENTS IN FUTURES CONTRACTS - Net
   
1.77
     
6,983,564
 
                 
FORWARD CURRENCY CONTRACTS:
               
Total long forward currency contracts
   
(5.36
   
(21,178,089
Total short forward currency contracts
   
2.93
     
11,573,427
 
TOTAL INVESTMENTS IN FORWARD CURRENCY CONTRACTS - Net
   
(2.43
)
   
(9,604,662
)
                 
TOTAL
   
(0.66
)%
 
$
(2,621,098
)

 
(Continued)
 
 
15

 

Millburn Multi-Markets Trading L.P.
Condensed Schedule of Investments (UNAUDITED)
September 30, 2011

 
U.S. Treasury Notes

 
Face Amount  
Description
 
Fair Value
as a % of
Partners' Capital
   
Fair Value
 
                   
171,170,000  
U.S. Treasury notes, 0.750%, 11/30/2011
    43.35 %   $ 171,367,246  
 
97,740,000
 
U.S. Treasury notes, 0.875%, 02/29/2012
    24.81       98,058,800  
 
113,960,000
 
U.S. Treasury notes, 0.375%, 08/31/2012
    28.88       114,178,127  
     
Total investments in U.S. Treasury notes
               
         
(amortized cost  $383,565,126)
    97.04 %   $ 383,604,173  
 
See notes to financial statements
(Concluded)

 
16

 

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, settlement 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)
 
 
 
17

 

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)
 
 
 
18

 

Millburn Multi-Markets Trading L.P.
Statements of Operations (UNAUDITED)
 
   
For the three months ended
 
   
September 30
   
September 30
 
   
2011
   
2010
 
INVESTMENT INCOME:
           
Interest income
 
$
171,776
   
$
106,362
 
                 
EXPENSES:
               
Brokerage commissions
   
246,497
     
119,305
 
Management fees
   
1,740,520
     
431,782
 
Selling commissions and platform fees
   
724,620
     
233,505
 
Administrative and operating expenses
   
362,803
     
331,937
 
Custody fees and other expenses
   
16,148
     
6,616
 
Total expenses
   
3,090,588
     
1,123,145
 
                 
Operating expenses borne by General Partner
   
-
     
(213,030
)
                 
Net expenses
   
3,090,588
     
910,115
 
                 
NET INVESTMENT LOSS
   
(2,918,812
)
   
(803,753
)
                 
NET REALIZED AND UNREALIZED GAINS (LOSSES):
               
Net realized gains (losses) on closed positions:
               
Futures and forward currency contracts
   
13,600,278
     
(946,420
)
Foreign exchange translation
   
(74,906
)
   
(25,765
)
Net change in unrealized:
               
Futures and forward currency contracts
   
(57,104
)
   
6,619,053
 
Foreign exchange translation
   
(57,353
   
45,699
 
Net gains (losses) from U.S. Treasury notes
               
Net change in unrealized
   
(124,667
   
41,666
 
TOTAL NET REALIZED AND UNREALIZED GAINS
   
13,286,248
     
5,734,233
 
                 
NET INCOME
   
10,367,436
     
4,930,480
 
LESS PROFIT SHARE TO GENERAL PARTNER
   
2,640
     
302,912
 
NET INCOME AFTER PROFIT SHARE TO GENERAL PARTNER
 
$
10,364,796
   
$
4,627,568
 
     
 
(Continued)
 
                                     
See notes to financial statements

 
19

 

Millburn Multi-Markets Trading L.P.
Statements of Operations (UNAUDITED)

   
For the nine months ended
 
   
September 30
   
September 30
 
   
2011
   
2010
 
INVESTMENT INCOME:
           
Interest income
 
$
539,946
   
$
284,166
 
                 
EXPENSES:
               
Brokerage commissions
   
746,108
     
304,481
 
Management fees
   
4,660,140
     
1,129,877
 
Selling commissions and platform fees
   
1,713,194
     
458,960
 
Administrative and operating expenses
   
1,005,514
     
562,261
 
Custody fees and other expenses
   
43,144
     
14,792
 
Total expenses
   
8,168,100
     
2,470,371
 
                 
Operating expenses borne by General Partner
   
-
     
(263,965
)
                 
Net expenses
   
8,168,100
     
2,206,406
 
                 
NET INVESTMENT LOSS
   
(7,628,154
)
   
(1,922,240
)
                 
NET REALIZED AND UNREALIZED GAINS (LOSSES):
               
Net realized gains (losses) on closed positions:
               
Futures and forward currency contracts
   
12,841,121
     
(540,853
Foreign exchange translation
   
(51,008
)
   
(67,073
)
Net change in unrealized:
               
Futures and forward currency contracts
   
(15,933,276
)
   
6,130,115
 
Foreign exchange translation
   
(26,514
)
   
(5,786
)
Net gains (losses) from U.S. Treasury notes
               
Realized
   
6,906
     
-
 
Net change in unrealized
   
(16,322
   
71,282
 
TOTAL NET REALIZED AND UNREALIZED GAINS (LOSSES)
   
(3,179,093
)
   
5,587,685
 
                 
NET INCOME (LOSS)
   
(10,807,247
)
   
3,665,445
 
LESS PROFIT SHARE TO GENERAL PARTNER
   
63,226
    <