Attached files
file | filename |
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EX-31.01 - EXHIBIT 31.01 - Millburn Multi-Markets Fund L.P. | v423631_ex31-01.htm |
EX-32.01 - EXHIBIT 32.01 - Millburn Multi-Markets Fund L.P. | v423631_ex32-01.htm |
EX-31.03 - EXHIBIT 31.03 - Millburn Multi-Markets Fund L.P. | v423631_ex31-03.htm |
EX-32.03 - EXHIBIT 32.03 - Millburn Multi-Markets Fund L.P. | v423631_ex32-03.htm |
EX-31.02 - EXHIBIT 31.02 - Millburn Multi-Markets Fund L.P. | v423631_ex31-02.htm |
EX-32.02 - EXHIBIT 32.02 - Millburn Multi-Markets Fund L.P. | v423631_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: September 30, 2015
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) 625-7554
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, 2015 and 2014 (unaudited) | |
Statements of Financial Condition (a) | 1 |
Statements of Operations (c) | 2 |
Statements of Changes in Partners' Capital (b) | 4 |
Statements of Financial Highlights (c) | 5 |
Notes to Financial Statements | 9 |
(a) At September 30, 2015 and December 31, 2014 (unaudited)
(b) For the nine months ended September 30, 2015 and 2014 (unaudited)
(c) For the three and nine months ended September 30, 2015 and 2014 (unaudited)
Millburn Multi-Markets Fund L.P.
Statements of Financial Condition (UNAUDITED)
September 30, 2015 | December 31, 2014 | |||||||
ASSETS | ||||||||
Investment in Millburn Multi-Markets | ||||||||
Trading L.P. (the “Master Fund”) | $ | 121,940,677 | $ | 118,612,452 | ||||
Due from the Master Fund | 1,494,261 | 838,054 | ||||||
Cash | 919,684 | 746,100 | ||||||
Total assets | $ | 124,354,622 | $ | 120,196,606 | ||||
LIABILITIES AND PARTNERS’ CAPITAL | ||||||||
LIABILITIES: | ||||||||
Capital contributions received in advance | $ | 917,000 | $ | 743,209 | ||||
Capital withdrawal payable | 1,494,261 | 838,054 | ||||||
Due to the Master Fund | 2,684 | 2,863 | ||||||
Total liabilities | 2,413,945 | 1,584,126 | ||||||
PARTNERS’ CAPITAL: | ||||||||
General Partner | 3,261,373 | 3,073,797 | ||||||
Limited partners: | ||||||||
Series A (107,039.6648 and 107,745.6394 units outstanding) | 107,508,643 | 105,099,830 | ||||||
Series B (7,421.7311 and 7,011.0183 units outstanding) | 8,225,416 | 7,468,031 | ||||||
Series C (2,616.3011 and 2,751.2975 units outstanding) | 2,945,245 | 2,970,822 | ||||||
Total limited partners | 118,679,304 | 115,538,683 | ||||||
Total partners’ capital | 121,940,677 | 118,612,480 | ||||||
TOTAL | $ | 124,354,622 | $ | 120,196,606 | ||||
NET ASSET VALUE PER UNIT OUTSTANDING: | ||||||||
Series A | $ | 1,004.38 | $ | 975.44 | ||||
Series B | $ | 1,108.29 | $ | 1,065.18 | ||||
Series C | $ | 1,125.73 | $ | 1,079.79 |
See notes to financial statements (Unaudited)
1 |
Millburn Multi-Markets Fund L.P.
Statements of Operations (UNAUDITED)
For the three months ended | ||||||||
September 30, 2015 | September 30, 2014 | |||||||
INVESTMENT INCOME: | ||||||||
Interest income (allocated from the Master Fund) | $ | 73,672 | $ | 32,033 | ||||
EXPENSES: | ||||||||
Management fees | 601,234 | 565,036 | ||||||
Brokerage commissions (allocated from the Master Fund) | 71,250 | 113,746 | ||||||
Selling commissions and platform fees | 547,621 | 514,406 | ||||||
Administrative and operating expenses | 154,393 | 148,171 | ||||||
Custody fees (allocated from the Master Fund) | 5,532 | 6,280 | ||||||
Total expenses | 1,380,030 | 1,347,639 | ||||||
NET INVESTMENT LOSS | (1,306,358 | ) | (1,315,606 | ) | ||||
REALIZED AND UNREALIZED GAINS (LOSSES) | ||||||||
ALLOCATED FROM THE MASTER FUND | ||||||||
Net realized gains (losses) on closed positions: | ||||||||
Futures and forward currency contracts | 7,120,971 | 6,006,764 | ||||||
Foreign exchange translation | (150,736 | ) | 13,995 | |||||
Net change in unrealized: | ||||||||
Futures and forward currency contracts | 694,796 | (1,647,746 | ) | |||||
Foreign exchange translation | 15,999 | (45,121 | ) | |||||
Net gains from U.S. Treasury notes: | ||||||||
Realized | - | 3,742 | ||||||
Net change in unrealized | 23,727 | 11,846 | ||||||
Net realized and unrealized gains allocated from the Master Fund | 7,704,757 | 4,343,480 | ||||||
NET INCOME | 6,398,399 | 3,027,874 | ||||||
LESS PROFIT SHARE ALLOCATION | 29,389 | - | ||||||
FROM THE MASTER FUND | ||||||||
NET INCOME AFTER PROFIT SHARE | $ | 6,369,010 | $ | 3,027,874 |
(Continued)
2 |
Millburn Multi-Markets Fund L.P.
Statements of Operations (UNAUDITED)
For the nine months ended | ||||||||
September 30, 2015 | September 30, 2014 | |||||||
INVESTMENT INCOME: | ||||||||
Interest income (allocated from the Master Fund) | $ | 162,227 | $ | 103,068 | ||||
EXPENSES: | ||||||||
Management fees | 1,809,490 | 1,759,863 | ||||||
Brokerage commissions (allocated from the Master Fund) | 223,223 | 364,804 | ||||||
Selling commissions and platform fees | 1,651,847 | 1,590,416 | ||||||
Administrative and operating expenses | 464,486 | 472,954 | ||||||
Custody fees (allocated from the Master Fund) | 16,543 | 22,440 | ||||||
Total expenses | 4,165,589 | 4,210,477 | ||||||
NET INVESTMENT LOSS | (4,003,362 | ) | (4,107,409 | ) | ||||
REALIZED AND UNREALIZED GAINS (LOSSES) | ||||||||
ALLOCATED FROM THE MASTER FUND | ||||||||
Net realized gains (losses) on closed positions: | ||||||||
Futures and forward currency contracts | 7,914,202 | 18,832,022 | ||||||
Foreign exchange translation | (325,175 | ) | (7,897 | ) | ||||
Net change in unrealized: | ||||||||
Futures and forward currency contracts | 25,913 | (1,287,414 | ) | |||||
Foreign exchange translation | 97,472 | (47,595 | ) | |||||
Net gains from U.S. Treasury notes: | ||||||||
Realized | - | 7,041 | ||||||
Net change in unrealized | 49,745 | 13,145 | ||||||
Net realized and unrealized gains allocated from the Master Fund | 7,762,157 | 17,509,302 | ||||||
NET INCOME | 3,758,795 | 13,401,893 | ||||||
LESS PROFIT SHARE ALLOCATION | 29,389 | - | ||||||
FROM THE MASTER FUND | ||||||||
NET INCOME AFTER PROFIT SHARE | $ | 3,729,406 | $ | 13,401,893 |
See notes to financial statements (Unaudited) | (Concluded) |
3 |
Millburn Multi-Markets Fund L.P.
Statements of Changes in Partners' Capital (UNAUDITED)
For the nine months ended September 30, 2015 and 2014
Limited Partners | ||||||||||||||||||||||||||||||||
General | ||||||||||||||||||||||||||||||||
Partner | Series A | Series B | Series C | Total | ||||||||||||||||||||||||||||
Amount | Amount | Units | Amount | Units | Amount | Units | Amount | |||||||||||||||||||||||||
PARTNERS' CAPITAL — December 31, 2014 | $ | 3,073,797 | $ | 105,099,830 | 107,745.6394 | $ | 7,468,031 | 7,011.0183 | $ | 2,970,822 | 2,751.2975 | $ | 118,612,480 | |||||||||||||||||||
Capital contributions | - | 7,837,216 | 7,853.5534 | 921,192 | 845.7238 | 50,000 | 45.7701 | 8,808,408 | ||||||||||||||||||||||||
Capital withdrawals | - | (8,532,528 | ) | (8,559.5280 | ) | (474,541 | ) | (435.0110 | ) | (202,548 | ) | (180.7665 | ) | (9,209,617 | ) | |||||||||||||||||
Net income | 187,576 | 3,104,125 | - | 332,150 | - | 134,944 | - | 3,758,795 | ||||||||||||||||||||||||
Profit share | - | (21,416 | ) | (7,973 | ) | (29,389 | ) | |||||||||||||||||||||||||
PARTNERS' CAPITAL — September 30, 2015 | $ | 3,261,373 | $ | 107,508,643 | 107,039.6648 | $ | 8,225,416 | 7,421.7311 | $ | 2,945,245 | 2,616.3011 | $ | 121,940,677 | |||||||||||||||||||
Net Asset Value per Unit at September 30, 2015 | $ | 1,004.38 | $ | 1,108.29 | $ | 1,125.73 |
Limited Partners | ||||||||||||||||||||||||||||||||
General | ||||||||||||||||||||||||||||||||
Partner | Series A | Series B | Series C | Total | ||||||||||||||||||||||||||||
Amount | Amount | Units | Amount | Units | Amount | Units | Amount | |||||||||||||||||||||||||
PARTNERS' CAPITAL — December 31, 2013 | $ | 2,572,915 | $ | 116,781,042 | 137,419.5284 | $ | 10,758,367 | 11,797.5645 | $ | 4,112,988 | 4,460.4110 | $ | 134,225,312 | |||||||||||||||||||
Capital contributions | - | 2,353,343 | 2,596.4237 | 10,000 | 11.2465 | - | - | 2,363,343 | ||||||||||||||||||||||||
Capital withdrawals | - | (28,402,286 | ) | (32,522.0697 | ) | (4,409,585 | ) | (4,705.6458 | ) | (1,390,247 | ) | (1,456.6135 | ) | (34,202,118 | ) | |||||||||||||||||
Net income | 396,702 | 11,586,447 | - | 992,226 | - | 426,518 | - | 13,401,893 | ||||||||||||||||||||||||
PARTNERS' CAPITAL — September 30, 2014 | $ | 2,969,617 | $ | 102,318,546 | 107,493.8824 | $ | 7,351,008 | 7,103.1652 | $ | 3,149,259 | 3,003.7975 | $ | 115,788,430 | |||||||||||||||||||
Net Asset Value per Unit at September 30, 2014 | $ | 951.85 | $ | 1,034.89 | $ | 1,048.43 |
See notes to financial statements (Unaudited)
4 |
Millburn Multi-Markets Fund L.P.
Statement of Financial Highlights (UNAUDITED)
For the three months ended September 30, 2015
The following information presents per unit operating performance data for each series for the three months ended September 30, 2015.
Per Unit Performance | ||||||||||||
(For a Unit Outstanding Throughout the Period) | Series A | Series B | Series C | |||||||||
NET ASSET VALUE PER UNIT — Beginning of period | $ | 953.74 | $ | 1,050.50 | $ | 1,066.37 | ||||||
INCOME (LOSS) ALLOCATED FROM MASTER FUND: | ||||||||||||
Net investment loss (1) | (11.23 | ) | (7.58 | ) | (7.01 | ) | ||||||
Total trading and investing gains (1) | 61.87 | 68.25 | 69.28 | |||||||||
Net income before profit share allocation from Master Fund | 50.64 | 60.67 | 62.27 | |||||||||
Less: profit share allocation from Master Fund (1) (6) | - | 2.88 | 2.91 | |||||||||
Net income from operations after profit share allocation from Master Fund | 50.64 | 57.79 | 59.36 | |||||||||
NET ASSET VALUE PER UNIT — End of period | $ | 1,004.38 | $ | 1,108.29 | $ | 1,125.73 | ||||||
TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM MASTER FUND (2) | 5.31 | % | 5.76 | % | 5.83 | % | ||||||
LESS: PROFIT SHARE ALLOCATION FROM MASTER FUND (2) (6) | - | 0.26 | 0.26 | |||||||||
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM MASTER FUND (2) | 5.31 | % | 5.50 | % | 5.57 | % | ||||||
RATIOS TO AVERAGE NET ASSET VALUE: | ||||||||||||
Expenses (3) (4) (5) | 4.76 | % | 3.01 | % | 2.76 | % | ||||||
Profit share allocation from Master Fund (2) (6) | - | 0.26 | 0.26 | |||||||||
Total expenses | 4.76 | % | 3.27 | % | 3.02 | % | ||||||
Net investment loss (3) (4) (5) | (4.52 | )% | (2.77 | )% | (2.52 | )% |
(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) | Includes the Partnership’s proportionate share of income and expense allocated from the Master Fund. |
(5) | Excludes profit share allocation from the Master Fund. |
(6) | 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. |
(Continued)
5 |
Millburn Multi-Markets Fund L.P.
Statement of Financial Highlights (UNAUDITED)
For the three months ended September 30, 2014
The following information presents per unit operating performance data for each series for the three months ended September 30, 2014.
Per Unit Performance | ||||||||||||
(For a Unit Outstanding Throughout the Period) | Series A | Series B | Series C | |||||||||
NET ASSET VALUE PER UNIT — Beginning of period | $ | 927.88 | $ | 1,004.43 | $ | 1,016.93 | ||||||
INCOME (LOSS) ALLOCATED FROM MASTER FUND: | ||||||||||||
Net investment loss (1) | (11.30 | ) | (7.77 | ) | (7.23 | ) | ||||||
Total trading and investing gains (1) | 35.27 | 38.23 | 38.73 | |||||||||
Net income before profit share allocation from Master Fund | 23.97 | 30.46 | 31.50 | |||||||||
Profit share allocation from Master Fund (1) (6) | - | - | - | |||||||||
Net income from operations after profit share allocation from Master Fund | 23.97 | 30.46 | 31.50 | |||||||||
NET ASSET VALUE PER UNIT — End of period | $ | 951.85 | $ | 1,034.89 | $ | 1,048.43 | ||||||
TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM MASTER FUND (2) | 2.58 | % | 3.03 | % | 3.10 | % | ||||||
LESS: PROFIT SHARE ALLOCATION FROM MASTER FUND (2) (6) | - | - | - | |||||||||
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM MASTER FUND (2) | 2.58 | % | 3.03 | % | 3.10 | % | ||||||
RATIOS TO AVERAGE NET ASSET VALUE: | ||||||||||||
Expenses (3) (4) (5) | 4.94 | % | 3.18 | % | 2.93 | % | ||||||
Profit share allocation from Master Fund (2) (6) | - | - | - | |||||||||
Total expenses | 4.94 | % | 3.18 | % | 2.93 | % | ||||||
Net investment loss (3) (4) (5) | (4.82 | )% | (3.07 | )% | (2.82 | )% |
(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) | Includes the Partnership’s proportionate share of income and expense allocated from the Master Fund. |
(5) | Excludes profit share allocation from the Master Fund. |
(6) | 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 (Unaudited) | (Concluded) |
6 |
Millburn Multi-Markets Fund L.P.
Statement of Financial Highlights (UNAUDITED)
For the nine months ended September 30, 2015
The following information presents per unit operating performance data for each series for the nine months ended September 30, 2015.
Per Unit Performance | ||||||||||||
(For a Unit Outstanding Throughout the Period) | Series A | Series B | Series C | |||||||||
NET ASSET VALUE PER UNIT — Beginning of period | $ | 975.44 | $ | 1,065.18 | $ | 1,079.79 | ||||||
INCOME (LOSS) ALLOCATED FROM MASTER FUND: | ||||||||||||
Net investment loss (1) | (34.17 | ) | (23.21 | ) | (21.50 | ) | ||||||
Total trading and investing gains (1) | 63.11 | 69.20 | 70.35 | |||||||||
Net income before profit share allocation from Master Fund | 28.94 | 45.99 | 48.85 | |||||||||
Less: profit share allocation from Master Fund (1) (6) | - | 2.88 | 2.91 | |||||||||
Net income from operations after profit share allocation from Master Fund | 28.94 | 43.11 | 45.94 | |||||||||
NET ASSET VALUE PER UNIT — End of period | $ | 1,004.38 | $ | 1,108.29 | $ | 1,125.73 | ||||||
TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM MASTER FUND (2) | 2.97 | % | 4.31 | % | 4.51 | % | ||||||
LESS: PROFIT SHARE ALLOCATION FROM MASTER FUND (2) (6) | - | 0.26 | 0.26 | |||||||||
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM MASTER FUND (2) | 2.97 | % | 4.05 | % | 4.25 | % | ||||||
RATIOS TO AVERAGE NET ASSET VALUE: | ||||||||||||
Expenses (3) (4) (5) | 4.77 | % | 3.02 | % | 2.77 | % | ||||||
Profit share allocation from Master Fund (2) (6) | - | 0.26 | 0.26 | |||||||||
Total expenses | 4.77 | % | 3.28 | % | 3.03 | % | ||||||
Net investment loss (3) (4) (5) | (4.59 | )% | (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) | Includes the Partnership’s proportionate share of income and expense allocated from the Master Fund. |
(5) | Excludes profit share allocation from the Master Fund. |
(6) | 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. |
(Continued)
7 |
Millburn Multi-Markets Fund L.P.
Statement of Financial Highlights (UNAUDITED)
For the nine months ended September 30, 2014
The following information presents per unit operating performance data for each series for the nine months ended September 30, 2014.
Per Unit Performance | ||||||||||||
(For a Unit Outstanding Throughout the Period) | Series A | Series B | Series C | |||||||||
NET ASSET VALUE PER UNIT — Beginning of period | $ | 849.81 | $ | 911.91 | $ | 922.11 | ||||||
INCOME (LOSS) ALLOCATED FROM MASTER FUND: | ||||||||||||
Net investment loss (1) | (32.66 | ) | (22.46 | ) | (20.91 | ) | ||||||
Total trading and investing gains (1) | 134.70 | 145.44 | 147.23 | |||||||||
Net income before profit share allocation from Master Fund | 102.04 | 122.98 | 126.32 | |||||||||
Less: profit share allocation from Master Fund (1) (6) | - | - | - | |||||||||
Net income from operations after profit share allocation from Master Fund | 102.04 | 122.98 | 126.32 | |||||||||
NET ASSET VALUE PER UNIT — End of period | $ | 951.85 | $ | 1,034.89 | $ | 1,048.43 | ||||||
TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM MASTER FUND (2) | 12.01 | % | 13.49 | % | 13.70 | % | ||||||
LESS: PROFIT SHARE ALLOCATION FROM MASTER FUND (2) (6) | - | - | - | |||||||||
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM MASTER FUND (2) | 12.01 | % | 13.49 | % | 13.70 | % | ||||||
RATIOS TO AVERAGE NET ASSET VALUE: | ||||||||||||
Expenses (3) (4) (5) | 4.96 | % | 3.21 | % | 2.96 | % | ||||||
Profit share allocation from Master Fund (2) (6) | - | - | - | |||||||||
Total expenses | 4.96 | % | 3.21 | % | 2.96 | % | ||||||
Net investment loss (3) (4) (5) | (4.85 | )% | (3.10 | )% | (2.85 | )% |
(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) | Includes the Partnership’s proportionate share of income and expense allocated from the Master Fund. |
(5) | Excludes profit share allocation from the Master Fund. |
(6) | 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 (Unaudited) | (Concluded) |
8 |
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
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-Markets Fund L.P.’s (the “Partnership”) financial condition at September 30, 2015 and December 31, 2014 (unaudited) and the results of its operations for the three and nine months ended September 30, 2015 and 2014 (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 2014 annual report included in Form 10-K filed with the Securities and Exchange Commission. The December 31, 2014 information has been derived from the audited financial statements as of December 31, 2014.
The preparation of financial statements in conformity with accounting principles generally accepted (“U.S. GAAP”) in the United States of America (the “U.S.”), as detailed in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“Codification”), 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 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, 2011 to 2014, Millburn Ridgefield Corporation (the “General Partner”) has determined that no reserves for uncertain tax positions were required.
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 fiscal year 2014.
2. INVESTMENT IN MILLBURN MULTI-MARKETS TRADING L.P.
The Partnership invests substantially 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, 2015 and December 31, 2014 was 72.96% and 73.17%, 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.
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, 2015 and December 31, 2014, $79,483 and $54,226, respectively, were payable by the Master Fund to the General Partner and are 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, has reimbursed 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 exceeded 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 was absorbed by the General Partner. As of September 30, 2015, pursuant to this calculation, $30,987 has been borne by the General Partner and will not be reimbursed by the Partnership. For each of the three months ended September 30, 2015 and 2014, the costs incurred by the Partnership were $0 and $6,399, respectively. The final accrual period was in July 31, 2014.
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, 2015 and December 31, 2014, there were no redemption charges owed to the General Partner.
9 |
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 period. Weighted average number of units of each series is detailed below.
Three months ended September 30, | Nine months ended September 30, | |||||||||||||||
2015 | 2014 | 2015 | 2014 | |||||||||||||
Series A | 109,184.799 | 108,477.648 | 109,983.458 | 116,912.630 | ||||||||||||
Series B | 7,563.770 | 7,450.019 | 7,426.801 | 8,794.459 | ||||||||||||
Series C | 2,761.953 | 3,018.081 | 2,742.615 | 3,552.934 |
10 |
Millburn Multi-Markets Trading L.P. | |
Financial statements | |
For the three and nine months ended September 30, 2015 and 2014 (unaudited) | |
Statements of Financial Condition (a) | 11 |
Condensed Schedules of Investments (a) | 12 |
Statements of Operations (c) | 16 |
Statements of Changes in Partners' Capital (b) | 18 |
Statements of Financial Highlights (c) | 19 |
Notes to Financial Statements | 21 |
(a) At September 30, 2015 and December 31, 2014 (unaudited)
(b) For the nine months ended September 30, 2015 and 2014 (unaudited)
(c) For the three and nine months ended September 30, 2015 and 2014 (unaudited)
Millburn Multi-Markets Trading L.P.
Statements of Financial Condition (UNAUDITED)
September 30, | December 31, | |||||||
2015 | 2014 | |||||||
ASSETS | ||||||||
EQUITY IN TRADING ACCOUNTS: | ||||||||
Investments in U.S. Treasury notes — at fair value (amortized cost $28,049,335 and $19,091,112) | $ | 28,064,817 | $ | 19,093,847 | ||||
Net unrealized appreciation on open futures and forward currency contracts | 2,774,071 | 2,196,537 | ||||||
Due from brokers | 10,286,120 | 4,026,058 | ||||||
Cash denominated in foreign currencies (cost $1,093,726 and $1,775,062) | 1,066,493 | 1,616,642 | ||||||
Total equity in trading accounts | 42,191,501 | 26,933,084 | ||||||
INVESTMENTS IN U.S. TREASURY NOTES — at fair value (amortized cost $121,048,957 and $119,856,983) | 121,106,279 | 119,858,882 | ||||||
CASH AND CASH EQUIVALENTS | 8,767,172 | 18,207,276 | ||||||
ACCRUED INTEREST RECEIVABLE | 165,545 | 121,954 | ||||||
DUE FROM MILLBURN MULTI-MARKETS LTD. | 1,771 | 1,846 | ||||||
DUE FROM MILLBURN MULTI-MARKETS FUND L.P. | 2,684 | 2,863 | ||||||
TOTAL | $ | 172,234,952 | $ | 165,125,905 | ||||
LIABILITIES AND PARTNERS’ CAPITAL | ||||||||
LIABILITIES: | ||||||||
Net unrealized depreciation on open futures and forward currency contracts | $ | 1,127,201 | $ | 560,581 | ||||
Cash denominated in foreign currencies (cost $976,999 and $81,699) | 977,696 | 86,428 | ||||||
Capital withdrawal payable | 2,119,261 | 1,739,879 | ||||||
Management fee payable | 221,389 | 214,360 | ||||||
Selling commissions payable | 184,168 | 179,026 | ||||||
Accrued expenses | 409,787 | 220,060 | ||||||
Commissions and other trading fees on open futures contracts | 14,256 | 14,490 | ||||||
Other liabilities | 58,746 | - | ||||||
Total liabilities | 5,112,504 | 3,014,824 | ||||||
PARTNERS’ CAPITAL | 167,122,448 | 162,111,081 | ||||||
TOTAL | $ | 172,234,952 | $ | 165,125,905 |
See notes to financial statements (Unaudited)
11 |
Millburn Multi-Markets Trading L.P.
Condensed Schedule of Investments (UNAUDITED)
September 30, 2015
Net Unrealized | ||||||||
Appreciation | ||||||||
(Depreciation) | Net Unrealized | |||||||
as a % of | Appreciation | |||||||
Partners’ Capital | (Depreciation) | |||||||
FUTURES AND FORWARD CURRENCY CONTRACTS | ||||||||
FUTURES CONTRACTS | ||||||||
Long futures contracts: | ||||||||
Energies | (0.03 | )% | $ | (53,355 | ) | |||
Grains | (0.02 | ) | (26,420 | ) | ||||
Interest rates: | ||||||||
2 Year U.S. Treasury Note (582 contracts, settlement date December 2015) | 0.05 | 78,531 | ||||||
5 Year U.S. Treasury Note (479 contracts, settlement date December 2015) | 0.05 | 90,437 | ||||||
10 Year U.S. Treasury Note (256 contracts, settlement date December 2015) | 0.03 | 40,828 | ||||||
Other interest rates | 1.12 | 1,876,134 | ||||||
Total interest rates | 1.25 | 2,085,930 | ||||||
Metals | (0.10 | ) | (168,211 | ) | ||||
Softs | 0.04 | 70,327 | ||||||
Stock indices | (0.30 | ) | (501,685 | ) | ||||
Total long futures contracts | 0.84 | 1,406,586 | ||||||
Short futures contracts: | ||||||||
Energies | 0.16 | 267,658 | ||||||
Grains | (0.12 | ) | (197,594 | ) | ||||
Livestock | 0.12 | 197,430 | ||||||
Metals | 0.54 | 913,298 | ||||||
Softs | 0.08 | 128,970 | ||||||
Stock indices | 0.03 | 48,139 | ||||||
Total short futures contracts | 0.81 | 1,357,901 | ||||||
TOTAL INVESTMENTS IN FUTURES CONTRACTS — Net | 1.65 | 2,764,487 | ||||||
FORWARD CURRENCY CONTRACTS | ||||||||
Total long forward currency contracts | (0.82 | ) | (1,382,588 | ) | ||||
Total short forward currency contracts | 0.16 | 264,971 | ||||||
TOTAL INVESTMENTS IN FORWARD CURRENCY CONTRACTS — Net | (0.66 | ) | (1,117,617 | ) | ||||
TOTAL | 0.99 | % | $ | 1,646,870 |
(Continued)
12 |
Millburn Multi-Markets Trading L.P.
Condensed Schedule of Investments (UNAUDITED)
September 30, 2015
U.S. TREASURY NOTES
Face Amount | Description | Fair Value as a % of Partners' Capital | Fair Value | |||||||||
$ | 41,750,000 | U.S. Treasury notes, 0.375%, 04/30/2016 | 25.01 | 41,793,218 | ||||||||
32,240,000 | U.S. Treasury notes, 0.250%, 05/15/2016 | 19.29 | 32,245,667 | |||||||||
43,140,000 | U.S. Treasury notes, 0.625%, 07/15/2016 | 25.88 | 43,250,378 | |||||||||
31,730,000 | U.S. Treasury notes, 0.875%, 09/15/2016 | 19.08 | 31,881,833 | |||||||||
Total investments in U.S. Treasury notes (amortized cost $149,098,292) | 89.26 | % | $ | 149,171,096 |
See notes to financial statements (Unaudited) | (Concluded) |
13 |
Millburn Multi-Markets Trading L.P.
Condensed Schedule of Investments
December 31, 2014
Net Unrealized | ||||||||
Appreciation | ||||||||
(Depreciation) | Net Unrealized | |||||||
as a % of | Appreciation | |||||||
Partners’ Capital | (Depreciation) | |||||||
FUTURES AND FORWARD CURRENCY CONTRACTS | ||||||||
FUTURES CONTRACTS | ||||||||
Long futures contracts: | ||||||||
Grains | (0.10 | )% | $ | (161,378 | ) | |||
Interest rates: | ||||||||
5 Year U.S. Treasury Note (504 contracts, settlement date March 2015) | 0.01 | 12,359 | ||||||
30 Year U.S. Treasury Bond (40 contracts, settlement date March 2015) | 0.03 | 51,094 | ||||||
Other interest rates | 0.46 | 742,377 | ||||||
Total interest rates | 0.50 | 805,830 | ||||||
Livestock | (0.01 | ) | (14,690 | ) | ||||
Metals | (0.70 | ) | (1,129,554 | ) | ||||
Softs | 0.02 | 32,956 | ||||||
Stock indices | 0.41 | 656,236 | ||||||
Total long futures contracts | 0.12 | 189,400 | ||||||
Short futures contracts: | ||||||||
Energies | 0.31 | 500,398 | ||||||
Grains | 0.00 | 678 | ||||||
Interest rates | (0.10 | ) | (160,599 | ) | ||||
Livestock | 0.10 | 167,720 | ||||||
Metals | 0.49 | 796,529 | ||||||
Softs | 0.29 | 460,177 | ||||||
Stock indices | 0.06 | 101,126 | ||||||
Total short futures contracts | 1.15 | 1,866,029 | ||||||
TOTAL INVESTMENTS IN FUTURES CONTRACTS — Net | 1.27 | 2,055,429 | ||||||
FORWARD CURRENCY CONTRACTS | ||||||||
Total long forward currency contracts | (0.69 | ) | (1,117,993 | ) | ||||
Total short forward currency contracts | 0.43 | 698,520 | ||||||
TOTAL INVESTMENTS IN FORWARD CURRENCY CONTRACTS — Net | (0.26 | ) | (419,473 | ) | ||||
TOTAL | 1.01 | % | $ | 1,635,956 |
(Continued)
14 |
Millburn Multi-Markets Trading L.P.
Condensed Schedule of Investments
December 31, 2014
U.S. TREASURY NOTES
Face Amount | Description | Fair Value as a % of Partners' Capital | Fair Value | |||||||||
$ | 41,750,000 | U.S. Treasury notes, 0.375%, 03/15/2015 | 25.77 | % | $ | 41,780,171 | ||||||
27,240,000 | U.S. Treasury notes, 0.250%, 05/15/2015 | 16.81 | 27,260,217 | |||||||||
43,140,000 | U.S. Treasury notes, 0.250%, 07/15/2015 | 26.63 | 43,170,333 | |||||||||
26,730,000 | U.S. Treasury notes, 0.250%, 09/15/2015 | 16.50 | 26,742,008 | |||||||||
Total investments in U.S. Treasury notes (amortized cost $138,948,095) | 85.71 | % | $ | 138,952,729 |
See notes to financial statements (Unaudited) | (Concluded) |
15 |
Millburn Multi-Markets Trading L.P.
Statements of Operations (UNAUDITED)
For the three months ended | ||||||||
September 30, | September 30, | |||||||
2015 | 2014 | |||||||
INVESTMENT INCOME — Interest income | $ | 100,675 | $ | 49,935 | ||||
EXPENSES: | ||||||||
Brokerage fees | 97,352 | 174,165 | ||||||
Management fees | 661,696 | 677,597 | ||||||
Selling commissions and platform fees | 551,237 | 518,318 | ||||||
Administrative and operating expenses | 182,667 | 189,905 | ||||||
Custody fees | 7,580 | 10,467 | ||||||
Total expenses | 1,500,532 | 1,570,452 | ||||||
NET INVESTMENT LOSS | (1,399,857 | ) | (1,520,517 | ) | ||||
REALIZED AND UNREALIZED GAINS (LOSSES): | ||||||||
Net realized gains (losses) on closed positions: | ||||||||
Futures and forward currency contracts | 9,741,384 | 10,183,409 | ||||||
Foreign exchange translation | (208,492 | ) | 70,618 | |||||
Net change in unrealized: | ||||||||
Futures and forward currency contracts | 918,188 | (4,477,832 | ) | |||||
Foreign exchange translation | 24,538 | (100,960 | ) | |||||
Net gains from U.S. Treasury notes | ||||||||
Realized | - | 5,226 | ||||||
Net change in unrealized | 32,769 | 14,866 | ||||||
Total net realized and unrealized gains | 10,508,387 | 5,695,327 | ||||||
NET INCOME | 9,108,530 | 4,174,810 | ||||||
LESS PROFIT SHARE TO GENERAL PARTNER | 58,746 | (58,956 | ) | |||||
NET INCOME AFTER PROFIT SHARE TO GENERAL PARTNER | $ | 9,049,784 | $ | 4,233,766 |
(Continued)
16 |
Millburn Multi-Markets Trading L.P.
Statements of Operations (UNAUDITED)
For the nine months ended | ||||||||
September 30, | September 30, | |||||||
2015 | 2014 | |||||||
INVESTMENT INCOME — Interest income | $ | 221,096 | $ | 176,099 | ||||
EXPENSES: | ||||||||
Brokerage fees | 304,084 | 619,604 | ||||||
Management fees | 1,990,175 | 2,303,363 | ||||||
Selling commissions and platform fees | 1,662,674 | 1,602,290 | ||||||
Administrative and operating expenses | 548,606 | 679,003 | ||||||
Custody fees | 22,545 | 37,485 | ||||||
Total expenses | 4,528,084 | 5,241,745 | ||||||
NET INVESTMENT LOSS | (4,306,988 | ) | (5,065,646 | ) | ||||
REALIZED AND UNREALIZED GAINS (LOSSES): | ||||||||
Net realized gains (losses) on closed positions: | ||||||||
Futures and forward currency contracts | 10,834,560 | 33,494,391 | ||||||
Foreign exchange translation | (445,553 | ) | 32,246 | |||||
Net change in unrealized: | ||||||||
Futures and forward currency contracts | 10,914 | (3,667,383 | ) | |||||
Foreign exchange translation | 135,219 | (105,061 | ) | |||||
Net gains from U.S. Treasury notes | ||||||||
Realized | - | 10,939 | ||||||
Net change in unrealized | 68,170 | 16,971 | ||||||
Total net realized and unrealized gains | 10,603,310 | 29,782,103 | ||||||
NET INCOME | 6,296,322 | 24,716,457 | ||||||
LESS PROFIT SHARE TO GENERAL PARTNER | 58,746 | 460,842 | ||||||
NET INCOME AFTER PROFIT SHARE TO GENERAL PARTNER | $ | 6,237,576 | $ | 24,255,615 |
(Concluded)
See notes to financial statements (Unaudited)
17 |
Millburn Multi-Markets Trading L.P.
Statements of Changes in Partners' Capital (UNAUDITED)
For the nine months ended September 30, 2015:
Limited Partners | New Profit Memo Account | General Partner | Total | |||||||||||||
PARTNERS' CAPITAL - January 1, 2015 | $ | 161,250,243 | $ | - | $ | 860,838 | $ | 162,111,081 | ||||||||
Contributions | 8,808,408 | - | - | 8,808,408 | ||||||||||||
Withdrawals | (10,034,617 | ) | - | - | (10,034,617 | ) | ||||||||||
Net income before profit share | 6,242,075 | - | 54,247 | 6,296,322 | ||||||||||||
General Partner's allocation - profit share | (58,746 | ) | - | - | (58,746 | ) | ||||||||||
PARTNERS' CAPITAL- September 30, 2015 | $ | 166,207,363 | $ | - | $ | 915,085 | $ | 167,122,448 |
For the nine months ended September 30, 2014:
Limited Partners | New Profit Memo Account | General Partner | Total | |||||||||||||
PARTNERS' CAPITAL - January 1, 2014 | $ | 223,671,126 | $ | - | $ | 1,404,989 | $ | 225,076,115 | ||||||||
Contributions | 6,408,343 | - | - | 6,408,343 | ||||||||||||
Withdrawals | (96,988,434 | ) | - | (500,000 | ) | (97,488,434 | ) | |||||||||
Net income before profit share | 24,480,451 | 20,410 | 215,596 | 24,716,457 | ||||||||||||
General Partner's allocation - profit share | (460,842 | ) | 460,829 | - | (13 | ) | ||||||||||
PARTNERS' CAPITAL- September 30, 2014 | $ | 157,110,644 | $ | 481,239 | $ | 1,120,585 | $ | 158,712,468 |
See notes to financial statements (Unaudited)
18 |
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 | For the nine months ended | |||||||||||||||
September 30, | September 30, | September 30, | September 30, | |||||||||||||
2015 | 2014 | 2015 | 2014 | |||||||||||||
Total return before General Partner profit share allocation (3) | 5.90 | % | 3.15 | % | 4.72 | % | 13.94 | % | ||||||||
Less: General Partner profit share allocation (3) | 0.15 | - | 0.15 | - | ||||||||||||
Total return after General Partner profit share allocation (3) | 5.75 | % | 3.15 | % | 4.57 | % | 13.94 | % | ||||||||
Ratios to average net asset value: | ||||||||||||||||
Expenses (1) (4) | 2.48 | % | 2.72 | % | 2.46 | % | 2.67 | % | ||||||||
General Partner profit share allocation (3) | 0.15 | - | 0.15 | - | ||||||||||||
Total expenses (1) | 2.63 | % | 2.72 | % | 2.61 | % | 2.67 | % | ||||||||
Net investment loss (1) (2) (4) | (2.24 | )% | (2.60 | )% | (2.29 | )% | (2.55 | )% |
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) Excludes General Partner profit share allocation and includes interest income.
(3) Not Annualized.
(4) Annualized.
See notes to financial statements (Unaudited)
19 |
Millburn Multi-Markets Trading L.P.
Statements of Financial Highlights (UNAUDITED)
The following information presents financial highlights for Limited Partners as a whole.
For the three months ended | For the nine months ended | |||||||||||||||
September 30, | September 30, | September 30, | September 30, | |||||||||||||
2015 | 2014 | 2015 | 2014 | |||||||||||||
Total return before General Partner profit share allocation (3) | 5.62 | % | 2.92 | % | 3.87 | % | 13.27 | % | ||||||||
Less: General Partner profit share allocation (3) | 0.04 | (0.03 | ) | 0.04 | 0.23 | |||||||||||
Total return after General Partner profit share allocation (3) | 5.58 | % | 2.95 | % | 3.83 | % | 13.04 | % | ||||||||
Ratios to average net asset value: | ||||||||||||||||
Expenses (1) (4) | 3.56 | % | 3.52 | % | 3.58 | % | 3.43 | % | ||||||||
General Partner profit share allocation (3) | 0.04 | (0.03 | ) | 0.04 | 0.23 | |||||||||||
Total expenses (1) | 3.60 | % | 3.49 | % | 3.62 | % | 3.66 | % | ||||||||
Net investment loss (1) (2) (4) | (3.32 | )% | (3.40 | )% | (3.41 | )% | (3.31 | )% |
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 proportionate share of expenses of the U.S. Feeder and the Cayman Feeder for the period ending September 30, 2015 and the U.S. Feeder, the Cayman Feeder and the Cayman SPC Feeder (as defined in footnote 1) for the period ending September 30, 2014.
(2) Excludes General Partner profit share allocation and includes interest income.
(3) Not Annualized.
(4) Annualized.
See notes to financial statements (Unaudited)
20 |
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. BASIS OF PRESENTATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The Master Fund engages in the speculative trading of futures and forward currency contracts and also acts as a master fund for the Partnership, Millburn Multi-Markets Ltd., a Cayman Islands exempted company (the “Cayman Feeder”) and previously for Millburn Multi-Markets Low Vol. SPC, a Cayman Islands Segregated Portfolio Company (the “Cayman SPC Feeder”). The Cayman SPC Feeder redeemed 100% of its partnership interest in the Master Fund on September 30, 2014.
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 September 30, 2015 and December 31, 2014 (unaudited) and the results of its operations for the three and nine months ended September 30, 2015 and 2014 (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, 2014 included in the Partnership’s annual report on Form 10-K filed with the Securities and Exchange Commission. The December 31, 2014 information has been derived from the audited financial statements as of December 31, 2014.
The preparation of financial statements in conformity with accounting principles generally accepted (“U.S. GAAP”) in the United States of America (the “U.S.”), as detailed in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“Codification”), 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 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, 2011 to 2014, the General Partner has determined that no reserves for uncertain tax positions were required.
2. INVESTORS IN MILLBURN MULTI-MARKETS TRADING L.P.
The Partnership and the Cayman Feeder invest substantially all of their assets in the Master Fund. At September 30, 2015 and December 31, 2014, the respective ownership percentages of the Master Fund are detailed below. The remaining interests are held by direct investors in the Master Fund.
September 30, | December 31, | |||||||
2015 | 2014 | |||||||
Partnership | 72.96 | % | 73.17 | % | ||||
Cayman Feeder | 5.57 | % | 5.51 | % | ||||
Total | 78.53 | % | 78.68 | % |
The capital withdrawals payable at September 30, 2015 and December 31, 2014 were $2,119,261 and $1,739,879, respectively, detailed below.
September 30, | December 31, | |||||||
2015 | 2014 | |||||||
Direct investors | $ | 625,000 | $ | 800,925 | ||||
Partnership | 1,494,261 | 838,054 | ||||||
Cayman Feeder | - | 100,900 | ||||||
Total | $ | 2,119,261 | $ | 1,739,879 |
21 |
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 Cayman Feeder level and the Administration Fee due to the General Partner, as general partner of the Master Fund. The General Partner 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;
Level 2: Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or indirectly; and
Level 3: Prices or valuations that require inputs that are both significant to the fair value measurement and unobservable.
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. 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.
Spot currency contracts are valued based on current market prices (“Spot Price”). Forward currency contracts are valued based on pricing models that consider the Spot Price plus the financing cost or benefit (“Forward Point”). Forward Points from the quotation service providers are generally in periods of one month, two months, three months, six months, nine months and twelve months forward while the contractual forward delivery dates for the forward currency contracts traded by the Master Fund may be in between these periods. The General Partner’s policy to determine fair value for forward currency contracts involves first calculating the number of months from the date the forward currency contract is being valued to its maturity date (“Months to Maturity”), then identifying the forward currency contracts for the two forward months that are closest to the Months to Maturity (“Forward Month Contracts”). Linear interpolation is then performed between the dates of these two Forward Month Contracts to calculate the interpolated Forward Point. 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.
Investment Company Status: The Master Fund adopted Accounting Standard Update (“ASU”) 2013-08, “Financial Services — Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements” and based on the General Partner’s assessment, the Master Fund has been deemed to be an investment company since inception. Accordingly, the Master Fund follows the investment company accounting and reporting guidance of Topic 946 and reflects its investments at fair value with unrealized gains and losses resulting from changes in fair value reflected in the Statements of Income and Expenses and Changes in Partners’ Capital.
During the three and nine months ended September 30, 2015 and 2014, there were no transfers of assets or liabilities between Level 1 and Level 2. The following tables represent the Master Fund’s investments by hierarchical level as of September 30, 2015 and December 31, 2014 in valuing the Master Fund’s investments at fair value. At September 30, 2015 and December 31, 2014, the Master Fund had no assets or liabilities in Level 3.
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Financial assets and liabilities at fair value as of September 30, 2015
Level 1 | Level 2 | Total | ||||||||||
U.S. Treasury notes (1) | $ | 149,171,096 | $ | - | $ | 149,171,096 | ||||||
Exchange-traded futures contracts | ||||||||||||
Energies | 214,303 | - | 214,303 | |||||||||
Grains | (224,014 | ) | - | (224,014 | ) | |||||||
Interest rates | 2,085,930 | - | 2,085,930 | |||||||||
Livestock | 197,430 | - | 197,430 | |||||||||
Metals | 745,087 | - | 745,087 | |||||||||
Softs | 199,297 | - | 199,297 | |||||||||
Stock indices | (453,546 | ) | - | (453,546 | ) | |||||||
Total exchange-traded futures contracts | 2,764,487 | - | 2,764,487 | |||||||||
Over-the-counter forward currency contracts | - | (1,117,617 | ) | (1,117,617 | ) | |||||||
Total futures and forward currency contracts (2) | 2,764,487 | (1,117,617 | ) | 1,646,870 | ||||||||
Total financial assets and liabilities at fair value | $ | 151,935,583 | $ | (1,117,617 | ) | $ | 150,817,966 | |||||
Per line item in Statements of Financial Condition | ||||||||||||
(1) | ||||||||||||
Investments in U.S. Treasury notes held in equity trading accounts as collateral | $ | 28,064,817 | ||||||||||
Investments in U.S. Treasury notes held in custody | 121,106,279 | |||||||||||
Total investments in U.S. Treasury notes | $ | 149,171,096 | ||||||||||
(2) | ||||||||||||
Net unrealized appreciation on open futures and forward currency contracts | $ | 2,774,071 | ||||||||||
Net unrealized depreciation on open futures and forward currency contracts | (1,127,201 | ) | ||||||||||
Total unrealized appreciation on open futures and forward currency contracts | $ | 1,646,870 |
23 |
Financial assets and liabilities at fair value as of December 31, 2014
Level 1 | Level 2 | Total | ||||||||||
U.S. Treasury notes (1) | $ | 138,952,729 | $ | - | $ | 138,952,729 | ||||||
Exchange-traded futures contracts | ||||||||||||
Energies | 500,398 | - | 500,398 | |||||||||
Grains | (160,700 | ) | - | (160,700 | ) | |||||||
Interest rates | 645,231 | - | 645,231 | |||||||||
Livestock | 153,030 | - | 153,030 | |||||||||
Metals | (333,025 | ) | - | (333,025 | ) | |||||||
Softs | 493,133 | - | 493,133 | |||||||||
Stock indices | 757,362 | - | 757,362 | |||||||||
Total exchange-traded futures contracts | 2,055,429 | - | 2,055,429 | |||||||||
Over-the-counter forward currency contracts | - | (419,473 | ) | (419,473 | ) | |||||||
Total futures and forward currency contracts (2) | 2,055,429 | (419,473 | ) | 1,635,956 | ||||||||
Total financial assets and liabilities at fair value | $ | 141,008,158 | $ | (419,473 | ) | $ | 140,588,685 | |||||
Per line item in Statements of Financial Condition | ||||||||||||
(1) | ||||||||||||
Investments in U.S. Treasury notes held in equity trading accounts as collateral | $ | 19,093,847 | ||||||||||
Investments in U.S. Treasury notes held in custody | 119,858,882 | |||||||||||
Total investments in U.S. Treasury notes | $ | 138,952,729 | ||||||||||
(2) | ||||||||||||
Net unrealized appreciation on open futures and forward currency contracts | $ | 2,196,537 | ||||||||||
Net unrealized depreciation on open futures and forward currency contracts | (560,581 | ) | ||||||||||
Total unrealized appreciation on open futures and forward currency contracts | $ | 1,635,956 |
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 September 30, 2015 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.
Energies – The Master Fund’s primary energy market exposure is to gas and oil price movements often resulting from political developments in the oil producing countries 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 sector.
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 these industrialized countries or areas, both long-term and short-term, will remain the primary interest rate market exposure of the Master Fund for the foreseeable future.
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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 are recorded in the Statements of Financial Condition as “Net unrealized appreciation on open futures and forward currency contracts.” Fair values of futures and forward currency contracts in a liability position by counterparty 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 September 30, 2015 and December 31, 2014. 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.
Fair value of futures and forward currency contracts at September 30, 2015
Net | ||||||||||||||||||||
Unrealized | ||||||||||||||||||||
Gain (Loss) | ||||||||||||||||||||
Fair Value - Long Positions | Fair Value - Short Positions | on Open | ||||||||||||||||||
Sector | Gains | Losses | Gains | Losses | Positions | |||||||||||||||
Futures contracts: | ||||||||||||||||||||
Energies | $ | 9,460 | $ | (62,815 | ) | $ | 342,775 | $ | (75,117 | ) | $ | 214,303 | ||||||||
Grains | 710 | (27,130 | ) | 117,196 | (314,790 | ) | (224,014 | ) | ||||||||||||
Interest rates | 2,410,008 | (324,078 | ) | - | - | 2,085,930 | ||||||||||||||
Livestock | - | - | 199,340 | (1,910 | ) | 197,430 | ||||||||||||||
Metals | 205,600 | (373,811 | ) | 1,082,943 | (169,645 | ) | 745,087 | |||||||||||||
Softs | 114,713 | (44,386 | ) | 148,975 | (20,005 | ) | 199,297 | |||||||||||||
Stock indices | 161,289 | (662,974 | ) | 105,210 | (57,071 | ) | (453,546 | ) | ||||||||||||
Total futures contracts | 2,901,780 | (1,495,194 | ) | 1,996,439 | (638,538 | ) | 2,764,487 | |||||||||||||
Forward currency contracts | 609,274 | (1,991,862 | ) | 1,548,539 | (1,283,568 | ) | (1,117,617 | ) | ||||||||||||
Total futures and forward currency contracts | $ | 3,511,054 | $ | (3,487,056 | ) | $ | 3,544,978 | $ | (1,922,106 | ) | $ | 1,646,870 |
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Fair value of futures and forward currency contracts at December 31, 2014
Net | ||||||||||||||||||||
Unrealized | ||||||||||||||||||||
Gain (Loss) | ||||||||||||||||||||
Fair Value - Long Positions | Fair Value - Short Positions | on Open | ||||||||||||||||||
Sector | Gains | Losses | Gains | Losses | Positions | |||||||||||||||
Futures contracts: | ||||||||||||||||||||
Energies | $ | - | $ | - | $ | 524,710 | $ | (24,312 | ) | $ | 500,398 | |||||||||
Grains | 11,552 | (172,930 | ) | 852 | (174 | ) | (160,700 | ) | ||||||||||||
Interest rates | 1,373,183 | (567,353 | ) | - | (160,599 | ) | 645,231 | |||||||||||||
Livestock | 2,670 | (17,360 | ) | 167,720 | - | 153,030 | ||||||||||||||
Metals | 11,216 | (1,140,770 | ) | 820,318 | (23,789 | ) | (333,025 | ) | ||||||||||||
Softs | 43,201 | (10,245 | ) | 475,037 | (14,860 | ) | 493,133 | |||||||||||||
Stock indices | 970,972 | (314,736 | ) | 143,204 | (42,078 | ) | 757,362 | |||||||||||||
Total futures contracts | 2,412,794 | (2,223,394 | ) | 2,131,841 | (265,812 | ) | 2,055,429 | |||||||||||||
Forward currency contracts | 424,804 | (1,542,797 | ) | 1,670,536 | (972,016 | ) | (419,473 | ) | ||||||||||||
Total futures and forward currency contracts | $ | 2,837,598 | $ | (3,766,191 | ) | $ | 3,802,377 | $ | (1,237,828 | ) | $ | 1,635,956 |
The effect of trading futures and forward currency contracts is represented on the Master Fund’s Statements of Operations for the three and nine months ended September 30, 2015 and 2014 as “Net realized gains (losses) on closed positions: Futures and forward currency contracts” and “Net change in unrealized: Futures and forward currency contracts.” These trading gains and losses are detailed below.
Trading gains (losses) of futures and forward currency contracts for the three and nine months ended September 30, 2015 and 2014
Three months | Three months | Nine months | Nine months | |||||||||||||
ended: | ended: | ended: | ended: | |||||||||||||
September 30, | September 30, | September 30, | September 30, | |||||||||||||
Sector | 2015 | 2014 | 2015 | 2014 | ||||||||||||
Futures contracts: | ||||||||||||||||
Energies | $ | 3,379,051 | $ | 98,352 | $ | (152,147 | ) | $ | 2,290,736 | |||||||
Grains | (906,630 | ) | 3,741,002 | (1,709,661 | ) | 3,718,948 | ||||||||||
Interest rates | 6,723,608 | 4,083,906 | 7,375,225 | 18,392,078 | ||||||||||||
Livestock | 187,630 | (186,430 | ) | 553,700 | 942,780 | |||||||||||
Metals | 2,424,745 | 742,968 | 3,006,988 | (1,835,194 | ) | |||||||||||
Softs | 118,811 | 2,086,203 | 315,981 | 2,449,208 | ||||||||||||
Stock indices | (3,549,547 | ) | (2,363,932 | ) | 197,850 | 2,622,108 | ||||||||||
Total futures contracts | 8,377,668 | 8,202,069 | 9,587,936 | 28,580,664 | ||||||||||||
Forward currency contracts | 2,281,904 | (2,496,492 | ) | 1,257,538 | 1,246,344 | |||||||||||
Total futures and forward currency contracts | $ | 10,659,572 | $ | 5,705,577 | $ | 10,845,474 | $ | 29,827,008 |
For the three months ended September 30, 2015, the monthly average number of futures contracts bought and sold was 10,772 and 10,704, respectively, and the monthly average notional value of forward currency contracts traded was approximately $1,273,000,000. Over the same period in 2014, the monthly average number of futures contracts bought and sold was 16,655 and 17,890, respectively, and the monthly average notional value of forward currency contracts traded was approximately $735,000,000.
The customer agreements between the Master Fund, the futures clearing brokers including Deutsche Bank Securities Inc. (a wholly owned subsidiary of Deutsche Bank AG), and SG Americas Securities, LLC., as well as the FX prime broker, Deutsche Bank AG, and the swap dealer, Morgan Stanley & Co., LLC, give the Master Fund the legal right to net unrealized gains and losses on open futures and foreign currency contracts. The Master Fund netted, for financial reporting purposes, the unrealized gains and losses on open futures and forward currency contracts on the Statements of Financial Condition as the criteria under ASC 210-20, “Balance Sheet,” were met. The Master Fund ceased clearing trades through J.P. Morgan Securities LLC., Barclays Capital Inc. and Barclays Bank PLC during September 2015, June 2014 and October 2014, respectively.
26 |
The following tables present gross amounts of assets or liabilities which qualify for offset as presented in the Statements of Financial Condition at September 30, 2015 and December 31, 2014.
Offsetting of derivative assets and liabilities at September 30, 2015
Gross amounts | Net amounts of | |||||||||||
offset in the | assets presented in | |||||||||||
Gross amounts of | Statement of | the Statement of | ||||||||||
Assets | recognized assets | Financial Condition | Financial Condition | |||||||||
Futures contracts | ||||||||||||
Counterparty C | $ | 2,133,799 | $ | (786,941 | ) | $ | 1,346,858 | |||||
Counterparty I | 2,764,420 | (1,346,791 | ) | 1,417,629 | ||||||||
Total futures contracts | 4,898,219 | (2,133,732 | ) | 2,764,487 | ||||||||
Forward currency contracts Counterparty G | 1,520,812 | (1,511,228 | ) | 9,584 | ||||||||
Total assets | $ | 6,419,031 | $ | (3,644,960 | ) | $ | 2,774,071 |
Gross amounts | Net amounts of | |||||||||||
offset in the | liabilities presented in | |||||||||||
Gross amounts of | Statement of | the Statement of | ||||||||||
Liabilities | recognized liabilities | Financial Condition | Financial Condition | |||||||||
Forward currency contracts Counterparty H | $ | 1,764,202 | $ | (637,001 | ) | $ | 1,127,201 | |||||
Total liabilities | $ | 1,764,202 | $ | (637,001 | ) | $ | 1,127,201 |
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Amounts Not Offset in the Statement of Financial Condition | ||||||||||||||||
Net amounts of | ||||||||||||||||
Assets | ||||||||||||||||
presented in the | ||||||||||||||||
Counterparty | Statement of Financial | Financial | Collateral | |||||||||||||
Condition | Instruments | Received(1)(2) | Net Amount(3) | |||||||||||||
Counterparty C | $ | 1,346,858 | $ | - | $ | (1,346,858 | ) | $ | - | |||||||
Counterparty I | 1,417,629 | - | (1,417,629 | ) | - | |||||||||||
Counterparty G | 9,584 | - | - | 9,584 | ||||||||||||
Total | $ | 2,774,071 | $ | - | $ | (2,764,487 | ) | $ | 9,584 |
Amounts Not Offset in the Statement of Financial Condition | ||||||||||||||||
Net amounts of | ||||||||||||||||
Liabilities | ||||||||||||||||
presented in the | ||||||||||||||||
Counterparty | Statement of Financial | Financial | Collateral | |||||||||||||
Condition | Instruments | Pledged(1)(2) | Net Amount(4) | |||||||||||||
Counterparty H | $ | 1,127,201 | $ | - | $ | (1,127,201 | ) | $ | - | |||||||
Total | $ | 1,127,201 | $ | - | $ | (1,127,201 | ) | $ | - |
(1) Collateral received includes trades made on exchanges. These trades are subject to central counterparty clearing where settlement is guaranteed by the exchange. Collateral pledged includes both cash and U.S. Treasury notes held at each respective counterparty.
(2) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statement of Financial Condition, for each respective counterparty.
(3) Net amount represents the amount that is subject to loss in the event of a counterparty failure as of September 30, 2015.
(4) Net amount represents the amounts owed by the Partnership to each counterparty as of September 30, 2015.
28 |
Offsetting of derivative assets and liabilities at December 31, 2014
Gross amounts | Net amounts of | |||||||||||
offset in the | assets presented in | |||||||||||
Gross amounts of | Statement of | the Statement of | ||||||||||
Assets | recognized assets | Financial Condition | Financial Condition | |||||||||
Futures contracts | ||||||||||||
Counterparty C | $ | 1,796,920 | $ | (684,174 | ) | $ | 1,112,746 | |||||
Counterparty D | 2,747,715 | (1,805,032 | ) | 942,683 | ||||||||
Total futures contracts | 4,544,635 | (2,489,206 | ) | 2,055,429 | ||||||||
Forward currency contracts Counterparty G | 798,097 | (656,989 | ) | 141,108 | ||||||||
Total assets | $ | 5,342,732 | $ | (3,146,195 | ) | $ | 2,196,537 |
Gross amounts | Net amounts of | |||||||||||
offset in the | liabilities presented in | |||||||||||
Gross amounts of | Statement of | the Statement of | ||||||||||
Liabilities | recognized liabilities | Financial Condition | Financial Condition | |||||||||
Forward currency contracts Counterparty H | $ | 1,857,824 | $ | (1,297,243 | ) | $ | 560,581 | |||||
Total liabilities | $ | 1,857,824 | $ | (1,297,243 | ) | $ | 560,581 |
29 |
Amounts Not Offset in the Statement of Financial Condition | ||||||||||||||||
Net amounts of | ||||||||||||||||
Assets | ||||||||||||||||
presented in the | ||||||||||||||||
Counterparty | Statement of Financial | Financial | Collateral | |||||||||||||
Condition | Instruments | Received(1)(2) | Net Amount(3) | |||||||||||||
Counterparty C | $ | 1,112,746 | $ | - | $ | (1,112,746 | ) | $ | - | |||||||
Counterparty D | 942,683 | - | (942,683 | ) | - | |||||||||||
Counterparty G | 141,108 | - | (141,108 | ) | - | |||||||||||
Total | $ | 2,196,537 | $ | - | $ | (2,196,537 | ) | $ | - |
Amounts Not Offset in the Statement of Financial Condition | ||||||||||||||||
Net amounts of | ||||||||||||||||
Liabilities | ||||||||||||||||
presented in the | ||||||||||||||||
Counterparty | Statement of Financial | Financial | Collateral | |||||||||||||
Condition | Instruments | Pledged(1)(2) | Net Amount(4) | |||||||||||||
Counterparty H | $ | 560,581 | $ | - | $ | (560,581 | ) | $ | - | |||||||
Total | $ | 560,581 | $ | - | $ | (560,581 | ) | $ | - |
(1) Collateral received includes trades made on exchanges. These trades are subject to central counterparty clearing where settlement is guaranteed by the exchange. Collateral pledged includes both cash and U.S. Treasury notes held at each respective counterparty.
(2) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statement of Financial Condition, for each respective counterparty.
(3) Net amount represents the amount that is subject to loss in the event of a counterparty failure as of December 31, 2014.
(4) Net amount represents the amounts owed by the Partnership to each counterparty as of December 31, 2014.
CONCENTRATION OF CREDIT RISK
Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk is normally reduced to the extent that an exchange or clearing organization acts as a counterparty to futures transactions since typically the collective credit of the members of the exchange is pledged to support the financial integrity of the exchange.
The General Partner seeks to minimize credit risk primarily by depositing and maintaining the Master Fund’s assets at financial institutions and trading counterparties which the General Partner believes to be creditworthy. In addition, for OTC forward currency contracts, the Master Fund enters into master netting agreements with its counterparties. Collateral posted at the various counterparties for trading of futures and forward currency contracts includes cash and U.S. Treasury notes.
The Master Fund’s forward currency trading activities are cleared through Deutsche Bank AG (“DB”) and Morgan Stanley & Co. LLC (“MS”). The Master Fund’s concentration of credit risk associated with DB or MS nonperformance includes unrealized gains inherent in such contracts, which are recognized in the Statements of Financial Condition plus the value of margin or collateral held by DB, and MS. The amount of such credit risk was $13,843,156 and $9,145,400 at September 30, 2015 and December 31, 2014, respectively.
5. PROFIT SHARE
The following table indicates the total profit share earned and accrued during the three and nine months ended September 30, 2015 and 2014. Profit share earned (from Limited Partners’ redemptions) is credited to the New Profit Memo account as defined in the Master Fund’s Agreement of Limited Partnership.
30 |
Three months ended: | Three months ended: | |||||||
September 30, 2015 | September 30, 2014 | |||||||
Profit share earned | $ | - | $ | 432,185 | ||||
Reversal of profit share | - | (491,154 | ) | |||||
Profit share accrued | 58,746 | (1) | 13 | |||||
Total profit share | $ | 58,746 | $ | (58,956 | ) |
Nine months ended: | Nine months ended: | |||||||
September 30, 2015 | September 30, 2014 | |||||||
Profit share earned | $ | - | $ | 460,829 | ||||
Profit share accrued | 58,746 | (1) | 13 | |||||
Total profit share | $ | 58,746 | $ | 460,842 |
(1)Included in “Other liabilities” in the Statements of Financial Condition.
6. FINANCIAL HIGHLIGHTS
Ratios to average capital are calculated based on 1) a Limited Partner that is charged a monthly management fee of 1/12 of 2.00% (2.00% per annum) and 20% of Trading Profits and 2) Limited Partners’ capital taken as a whole. The computation of such ratios based on the amount of expenses and profit share allocation assessed to an individual partner’s capital account may vary from these ratios based on the timing of capital transactions and differences in individual partners’ management fee, selling commission, platform fee and profit share allocation arrangements. Returns are calculated based on 1) a Limited Partner that is charged a monthly management fee of 1/12 of 2.00% (2.00% per annum) and 20% of Trading Profits and 2) Limited Partners’ capital taken as a whole. An individual partner’s returns may vary from these returns based on the timing of capital transactions and differences in individual partners’ management fee, selling commission, platform fee and profit share allocation arrangements.
ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
Reference is made to Item 1, "Financial Statements.” The information contained therein is essential to, and should be read in connection with, the following analysis.
OPERATIONAL OVERVIEW
The Partnership invests substantially all of its assets in the Master Fund. Due to the nature of the Master Fund's business, its results of operations depend on the General Partner's ability to recognize and capitalize on trends and other profit opportunities in different sectors of the global capital and commodity markets. The General Partner's investment and trading methods are confidential so that substantially the only information that can be furnished regarding the Master Fund's results of operations is contained in the performance record of its trading. Unlike operating businesses, general economic or seasonal conditions do not directly affect the profit potential of the Master Fund, and its past performance is not necessarily indicative of future results. The General Partner believes, however, that there are certain market conditions, for example, markets with strong price trends, in which the Master Fund has a better likelihood of being profitable than in others.
LIQUIDITY AND CAPITAL RESOURCES
Units may be offered for sale as of the beginning, and may be redeemed as of the end, of each month.
The amount of capital raised for the Partnership should not have a significant impact on its operations, as the Partnership and the Master Fund have no significant capital expenditure or working capital requirements other than for monies to pay trading losses, brokerage commissions and charges. Within broad ranges of capitalization, the General Partner’s trading positions should increase or decrease in approximate proportion to the size of the Master Fund (in which the Partnership participates).
The Partnership raises additional capital only through the sale of Units and capital is increased through trading profits (if any). Neither the Partnership nor the Master Fund engages in borrowing.
The Master Fund trades futures, forwards, and spot contracts on interest rate instruments, agricultural commodities, currencies, metals, energy and stock indices, and forward contracts on currencies, and may trade options on the foregoing and swaps thereon. Risk arises from changes in the value of these contracts (market risk) and the potential inability of counterparties or brokers to perform under the terms of their contracts (credit risk). Market risk is generally measured by the face amount of the futures positions acquired and the volatility of the markets traded. The credit risk from counterparty non-performance associated with these instruments is the net unrealized gain, if any, on these positions plus the value of the margin or collateral held by the counterparty. The risks associated with exchange-traded contracts are generally perceived to be less than those associated with OTC transactions because exchanges typically (but not universally) provide clearinghouse arrangements in which the collective credit (in some cases limited in amount, in some cases not) of the members of the exchange is pledged to support the financial integrity of the exchange. In most OTC transactions, on the other hand, traders must rely (typically but not universally) solely on the credit of their respective individual counterparties. Margins which may be subject to loss in the event of a default are generally required in exchange trading and counterparties may require margin or collateral in the OTC markets.
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The General Partner has procedures in place to control market risk, although there can be no assurance that they will, in fact, succeed in doing so. These procedures primarily focus on (1) real time monitoring of open positions; (2) diversifying positions among various markets; (3) limiting the assets committed as margin or collateral, generally within a range of 5% to 35% of an account’s net assets, though the amount may at any time be substantially higher; and (4) prohibiting pyramiding (that is, using unrealized profits in a particular market as margin for additional positions in the same market). The General Partner attempts to control credit risk by causing the Partnership to deal exclusively with large, well-capitalized financial institutions as brokers and counterparties.
The financial instruments traded by the Master Fund contain varying degrees of off-balance sheet risk whereby changes in the market values of the futures, forwards, and spot contracts or the Master Fund’s satisfaction of the obligations may exceed the amount recognized in the Statements of Financial Condition of the Master Fund.
Due to the nature of the Master Fund’s business, substantially all its assets are represented by cash, cash equivalents, and U.S. government obligations, while the Master Fund maintains its market exposure through open futures, forwards, and spot contract positions.
The Master Fund’s futures contracts are settled by offset and are cleared by the exchange clearinghouse function. Open futures positions are marked-to-market each trading day and the Master Fund’s trading accounts are debited or credited accordingly. Options on futures contracts are settled either by offset or by exercise. If an option on a future is exercised, the Master Fund is assigned a position in the underlying future which is then settled by offset. The Master Fund’s spot and forward currency transactions conducted in the interbank market are settled by netting offsetting positions or payment obligations and by cash payments.
The value of the Master Fund’s cash and financial instruments is not materially affected by inflation. Changes in interest rates, which are often associated with inflation, could cause the value of certain of the Master Fund’s debt securities to decline, but only to a limited extent. More importantly, changes in interest rates could cause periods of strong up or down market price trends, during which the Master Fund’s profit potential generally increases. However, inflation can also give rise to markets which have numerous short price trends followed by rapid reversals, markets in which the Master Fund is likely to suffer losses.
The Master Fund’s assets are generally held as cash or cash equivalents, including U.S. government securities or securities issued by federal agencies, other Commodity Futures Trading Commission-authorized investments or bank held or certain other money market instruments (e.g., bankers acceptances and Eurodollar or other time deposits), which are used to margin the Master Fund’s futures, forwards, and spot currency positions and withdrawn, as necessary, to pay redemptions and expenses. Other than potential market-imposed limitations on liquidity, due, for example, to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Master Fund’s futures, forward and spot trading, the Master Fund’s assets are highly liquid and are expected to remain so. During its operations through September 30, 2015, the Partnership, through its investment in the Master Fund, experienced no meaningful periods of illiquidity in any of the numerous markets traded by the General Partner.
CRITICAL ACCOUNTING ESTIMATES
The Master Fund records its transactions in futures, forwards and spot contracts, including related income and expenses, on a trade date basis. Open futures contracts traded on an exchange are valued at fair value, which is based on the closing settlement price on the exchange where the futures contract is traded by the Master Fund on the day with respect to which net assets are being determined. Open spot currency contracts are valued based on the current Spot Price. Open forward currency contracts are recorded at fair value, based on pricing models that consider the Spot Price and Forward Point. Spot Prices and Forward Points for open forward currency contracts are generally based on the average midpoint of bid/ask quotations at the last second ending at 3:00 P.M. New York time provided by widely used quotation service providers on the day with respect to which net assets are being determined. Forward Points from the quotation service providers are generally in periods of one month, two months, three months, six months, nine months and twelve months forward while the contractual forward delivery dates for the forward currency contracts traded by the Master Fund may be in between these periods. The General Partner’s policy to determine fair value for forward currency contracts involves first calculating the number of Months to Maturity, then identifying the Forward Month Contracts. Linear interpolation is then performed between the dates of these two Forward Month Contracts to calculate the interpolated Forward Point. The General Partner will also compare the calculated price to the forward currency prices provided by dealers to determine whether the calculated price is fair and reasonable.
The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions, such as accrual of expenses, that affect the amounts and disclosures reported in the financial statements. Based on the nature of the business and operations of the Partnership, the General Partner believes that the estimates utilized in preparing the Partnership’s financial statements are appropriate and reasonable, however actual results could differ from these estimates. The estimates used do not provide a range of possible results that would require the exercise of subjective judgment. The General Partner further believes that, based on the nature of the business and operations of the Partnership, no other reasonable assumptions relating to the application of the Partnership’s critical accounting estimates other than those currently used would likely result in materially different amounts from those reported.
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The General Partner has paid expenses incurred in connection with the organization of the Partnership and the initial offering of the Units. The Master Fund, on behalf of the Partnership, has reimbursed 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 exceeded 1/12 of 0.05% (0.05% per annum) of the Partnership’s month-end net asset value, such excess was not reimbursed by the Partnership but was absorbed by the General Partner. As of September 30, 2015, pursuant to this calculation $30,987 has been borne by the General Partner and will not be reimbursed by the Partnership. The final accrual period was July 31, 2014.
RESULTS OF OPERATIONS
Due to the nature of the Partnership’s trading, through its investment in the Master Fund, the results of operations for the interim periods presented should not be considered indicative of the results that may be expected for the entire year.
Periods ended September 30, 2015
Total | ||||
Partners' | ||||
Capital of the | ||||
Month Ending: | Partnership | |||
September 30, 2015 | $ | 121,940,677 | ||
June 30, 2015 | 119,062,443 | |||
December 31, 2014 | 118,612,480 |
Three Months | Nine months | |||||||
Change in Partners' Capital | $ | 2,878,234 | $ | 3,328,197 | ||||
Percent Change | 2.42 | % | 2.81 | % |
THREE MONTHS ENDED SEPTEMBER 30, 2015
The increase in the Partnership’s net assets of $2,878,234 was attributable to net income after profit share of $6,369,010 and contributions of $1,110,226, which were partially offset by withdrawals of $4,601,002.
Management fees, through the Partnership’s investment in the Master Fund, are calculated on the net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Management fees, through the Partnership’s investment in the Master Fund, for the three months ended September 30, 2015 increased $36,198 relative to the corresponding period in 2014. The increase was due to an increase in the average net asset value of the Partnership during the three months ended September 30, 2015, relative to the corresponding period in 2014.
The Partnership, through its investment in the Master Fund, bears all trade-related commission and clearing charges due to third-party brokers. Brokerage commissions, through the Partnership’s investment in the Master Fund, for the three months ended September 30, 2015 decreased $42,496 relative to the corresponding period in 2014. The decrease was due mainly to a decrease in trading volume at the Master Fund, relative to the corresponding period in 2014.
Selling commissions and platform fees are calculated on the net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Selling commissions and platform fees for the three months ended September 30, 2015 increased $33,215 relative to the corresponding period in 2014. The increase was due to an increase in the average net asset value of commission paying investors of the Partnership during the three months ended September 30, 2015, relative to the corresponding period in 2014.
The Partnership, through its investment in the Master Fund, pays administrative expenses for legal, audit and accounting services. Administrative expenses, net of amounts borne by the General Partner, through the Partnership’s investment in the Master Fund, for the three months ended September 30, 2015 increased $6,222 relative to the corresponding period in 2014. The increase was due mainly to an increase in the Partnership’s pro rata percentage allocation of administrative expenses at the Master Fund during the three months ended September 30, 2015, relative to the corresponding period in 2014.
Interest income, through the Partnership’s investment in the Master Fund, is derived from cash and U.S. Treasury instruments held at the Master Fund’s brokers and custodian. Interest income, through the Partnership’s investment in the Master Fund, for the three months ended September 30, 2015 increased $41,639 relative to the corresponding period in 2014. This increase was due primarily to an increase in U.S. Treasury coupon interest during the three months ended September 30, 2015 relative to the corresponding period in 2014, and partially due to an increase in average net assets over the same period.
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For the three months ended September 30, 2015, the Partnership, through its investment in the Master Fund, experienced net realized and unrealized gains of $7,704,757 from its trading operations (including foreign exchange translations and U.S. Treasury notes). Management fees of $601,234, brokerage commissions of $71,250, selling commissions and platform fees of $547,621, administrative and operating expenses of $154,393, custody fees and other expenses of $5,532 and an accrued profit share to the General Partner of $29,389 were incurred. Interest income of $73,672 partially offset the Master Fund expenses allocated to the Partnership resulting in net income after profit share to the General Partner of $6,369,010.
An analysis of the Master Fund’s trading gain (loss) by sector is as follows:
% Gain | ||||
Sector | (Loss) | |||
Currencies | 1.38 | % | ||
Energies | 2.08 | % | ||
Grains | (0.57 | )% | ||
Interest rates | 4.16 | % | ||
Livestock | 0.11 | % | ||
Metals | 1.49 | % | ||
Softs | 0.06 | % | ||
Stock indices | (2.10 | )% | ||
Trading gain | 6.61 | % |
NINE MONTHS ENDED SEPTEMBER 30, 2015
The increase in the Partnership’s net assets of $3,328,197 was attributable to net income after profit share of $3,729,406 and contributions of $8,808,408, which were partially offset by withdrawals of $9,209,617.
Management fees, through the Partnership’s investment in the Master Fund, are calculated on the net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Management fees, through the Partnership’s investment in the Master Fund, for the nine months ended September 30, 2015 increased $49,627 relative to the corresponding period in 2014. The increase was due to an increase in the average net asset value of the Partnership during the nine months ended September 30, 2015, relative to the corresponding period in 2014.
The Partnership, through its investment in the Master Fund, bears all trade-related commission and clearing charges due to third-party brokers. Brokerage commissions, through the Partnership’s investment in the Master Fund, for the nine months ended September 30, 2015 decreased $141,581 relative to the corresponding period in 2014. The decrease was due mainly to a decrease in trading volume at the Master Fund, relative to the corresponding period in 2014.
Selling commissions and platform fees are calculated on the net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Selling commissions and platform fees for the nine months ended September 30, 2015 increased $61,431 relative to the corresponding period in 2014. The increase was due to an increase in the average net asset value of commission paying investors of the Partnership during the nine months ended September 30, 2015, relative to the corresponding period in 2014.
The Partnership, through its investment in the Master Fund, pays administrative expenses for legal, audit and accounting services. Administrative expenses, net of amounts borne by the General Partner, through the Partnership’s investment in the Master Fund, for the nine months ended September 30, 2015 decreased $8,468 relative to the corresponding period in 2014. The decrease was due mainly to a decrease in the administrative expenses at the Master Fund during the nine months ended September 30, 2015, relative to the corresponding period in 2014.
Interest income, through the Partnership’s investment in the Master Fund, is derived from cash and U.S. Treasury instruments held at the Master Fund’s brokers and custodian. Interest income, through the Partnership’s investment in the Master Fund, for the nine months ended September 30, 2015 increased $59,159 relative to the corresponding period in 2014. This increase was due primarily to an increase in U.S. Treasury coupon interest during the nine months ended September 30, 2015 relative to the corresponding period in 2014, and partially due to an increase in average net assets over the same period.
For the nine months ended September 30, 2015, the Partnership, through its investment in the Master Fund, experienced net realized and unrealized gains of $7,762,157 from its trading operations (including foreign exchange translations and U.S. Treasury notes). Management fees of $1,809,490, brokerage commissions of $223,223, selling commissions and platform fees of $1,651,847, administrative and operating expenses of $464,486, custody fees and other expenses of $16,543 and an accrued profit share to the General Partner of $29,389 were incurred. Interest income of $162,227 partially offset the Master Fund expenses allocated to the Partnership resulting in net income after profit share to the General Partner of $3,729,406.
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An analysis of the Master Fund’s trading gain (loss) by sector is as follows:
% Gain | ||||
Sector | (Loss) | |||
Currencies | 0.84 | % | ||
Energies | 0.00 | % | ||
Grains | (1.07 | )% | ||
Interest rates | 4.66 | % | ||
Livestock | 0.33 | % | ||
Metals | 1.86 | % | ||
Softs | 0.18 | % | ||
Stock indices | (0.05 | )% | ||
Trading gain | 6.75 | % |
MANAGEMENT DISCUSSION – 2015
Three months ended September 30, 2015
At the end of a quarter of extraordinary volatility in both financial and commodity markets, The Partnership posted a gain due to profits from long interest rate futures positions, short energy and metal future positions and, long dollar foreign exchange forward positions. On the other hand, trading of stock index futures was unprofitable, as was, to a lesser extent, trading of agricultural commodity futures.
Futile attempts by Chinese officials to stem a sharp equity selloff, two official rate cuts by the People’s Bank of China (the “PBOC”), and a surprise devaluation of the Chinese yuan, coupled with weak economic data, raised questions about how China’s leadership was addressing its economic slowdown. Also during the quarter, the vacillating prospects for a Federal Reserve interest rate increase were answered in a somewhat surprising way in September when the Federal Reserve failed to raise official rates. The decision not to change rates, even as U.S. growth and employment data remained strong, led the markets to conclude that U.S. policymakers think the rising U.S. dollar, increased market volatility and slowing growth in emerging economies could derail global economic activity, and they did not want to exacerbate that threat with a rate increase. Actual and upcoming elections in Greece, Portugal, Spain, Turkey, Argentina, Singapore, Canada and Australia, and heightened political uncertainties elsewhere—Brazil, Russia, Malaysia, Thailand and the Middle East—only added to investor skittishness.
Against this background and with inflation generally subdued globally, demand for government securities, augmented by some safe haven buying, was strong. Consequently, long positions in U.S., Canadian, German, French, Italian, British and Japanese note and bond futures were profitable. Long positions in U.S. and British short-term interest rate futures were profitable also. Official rate reductions by several central banks including those of China (twice), New Zealand (twice), Canada, Taiwan, Norway, Sweden, India and Hungary added to the downward pressure on interest rates. A September comment from ECB President Draghi that “…more ease is possible…” also supported government securities purchases.
Lowered global growth projections from the IMF, World Bank, OECD, WTO and Asian Development Bank cemented the outlook for low energy demand amid continuing oversupply. Consequently, energy prices declined and short positions in crude oil, crude oil products, and natural gas were profitable. This occurred despite an abrupt—though temporary 25% oil price spike on the final three trading days of August, amid signs that U.S. production during the first half of 2015 had fallen more than previously reported, and that OPEC might be willing to alter its current production stance. This was the largest three day gain in the price of oil in 25 years.
Prices of industrial metals fell in the July-September period. Short positions in copper, aluminum, nickel, zinc and platinum were profitable. Abundant supplies and inventories of metals brought on by the expansion of productive capacity over the past 10-20 years have combined with sluggish demand—especially from China— and a stronger U.S. dollar to depress prices. Trading of gold and silver were marginally unprofitable.
In the wake of the difficult economic and political situations in Asia and emerging markets, long U.S. dollar positions versus the currencies of Brazil, Chile, Colombia, Mexico, Korea, Canada, New Zealand, Russia, and Turkey were profitable. On the other hand, as risk was unwound, the euro, which had been used as funding vehicle due to its low interest rate, advanced faster than the U.S. dollar and a long U.S. dollar position versus the euro was unprofitable. Trading the U.S. dollar against the currencies of India, Australia, the U.K., Switzerland, the Czech Republic and Poland was unprofitable. After the Federal Reserve failed to raise interest rates, the U.S. dollar fell back somewhat, earlier profits were reduced and positions were cut back. Short Australian dollar trades versus a number of other currencies added fractionally to profits.
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In this environment, investors sold equities aggressively and volatility spiked higher, especially in August and September. Long positions in Japanese, Hong Kong, Chinese and U.S. equity futures were unprofitable, and positions were reduced or reversed. Short positions in Korean and Singaporean indices, and trading of Dutch and German stock futures were profitable, reducing the sector’s overall loss. In addition, these overall losses were reduced somewhat when equity prices rallied on the last day of September quarter.
Turning to agricultural commodities, trading of corn, wheat, soybeans and soybean meal; a long cotton position and a short crude palm oil trade; and a short hog position were unprofitable. On the other hand, long soybean oil, KC wheat, sugar and cocoa positions; and short coffee and cattle trades provided partially offsetting gains.
Three months ended June 30, 2015
The Partnership sustained a loss as a number of profitable, consensus trades from the first quarter proved unprofitable in second quarter. Long positions in interest rate futures, equity futures, and U.S. dollar forwards and short euro currency trades were unprofitable. Short energy futures trades were unprofitable as well. On the other hand, trading of metal futures was profitable, while trading of soft and agricultural commodities was nearly flat.
The sanguine attitude towards Greece from the first quarter became a second quarter ebb and flow of meetings, proposals, information and recriminations around the Greek crisis, culminating in the imposition of capital controls; a week-long bank holiday; and a nationwide referendum that rattled equity, bond and currency markets. The U.S. economy rebounded from its poor first quarter performance, although inflation and wages did not register explicit improvements. Consequently, the on-again, off-again prospects for a Federal Reserve rate increase added to market anxiety. Finally, uncertainty about China’s growth prospects were compounded late in the period by the sudden, precipitous collapse in Chinese equity markets.
The prices of German, French, and Italian note and bond futures, which had risen precipitously in the wake of the European Central Bank’s quantitative easing program, reversed course abruptly, driving rates sharply higher as analysts questioned the extraordinarily low levels they had reached particularly as EU economic data was improving and the Greek situation seemed to defy solution. Consequently, long positions in Continental European note and bond futures were unprofitable. Though the path was not a straight line partly due to reduced global bond market liquidity, better U.S. economic news pushed U.S. interest rates higher, producing losses from long positions in U.S. note and bond futures. Long positions in Japanese bond futures, U.K. bond futures, and short sterling futures also registered losses. Long positions in U.S. 2-year notes and short term euro-U.S. dollar futures did register small gains.
The path of equity prices during the quarter was uneven across time and markets. Equity futures were buffeted in a positive way by improving economic data from the U.S. and Europe, and in a negative way by the unfolding Greek tragedy; by economic growth concerns and wild swings in equity markets in China that prompted a Bank of China rate cut; and by worries about the timing of possible federal funds rate increases. In the end, the negative influences carried the day. Long positions in European, British, Canadian, Australian, Korean and Taiwanese equity futures posted losses, especially in June. Meanwhile, long positions in Chinese, Hong Kong and Japanese futures remained profitable even after posting losses in May and June. As volatility spiked in June, the gain from a short VIX position was pared back.
Currency trading was also volatile during the quarter. In April and early May, poor results from the U.S. first quarter GDP report raised the likelihood that an anticipated Federal Reserve interest rate increase would be delayed. Consequently, long U.S. dollar positions registered losses and were reduced or reversed. Later on, the U.S. dollar steadied as U.S. economic data recovered and as the situations in China and Greece deteriorated. On balance, trading the U.S. dollar against the currencies of Australia, the U.K., Canada, Brazil, Chile, Columbia, Czech Republic, Sweden, and Korea was unprofitable. Short euro trades versus several currencies were also unprofitable. The gain from a long U.S. dollar/short Japanese yen trade provided a partial offset.
Energy prices moved higher in April amid signs of a growth improvement in Europe and a weakening dollar. Consequently, short positions in crude oil, crude oil products and natural gas generated losses and were scaled back.
Short positions in aluminum, copper, palladium, platinum, and silver were profitable, particularly in May and June, as China’s slowdown and equity turmoil led to reduced demand and some increased supplies on world markets. Increased palladium and platinum production from South Africa also weighed on prices. Meanwhile, a sharp swing in the price of zinc led to a loss on a long position, and trading of gold was also unprofitable.
Grain prices, which have been falling rather persistently, rose somewhat late in the period as heavy rains in the U.S. threatened to delay harvests of some crops and planting of others. Consequently, losses on short corn and wheat positions outweighed the gains from long soybean and soybean meal trades.
The losses on a short sugar position and trading of crude palm oil slightly outweighed the gains from long cocoa positions and a short coffee trade.
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Three months ended March 31, 2015
Solid first quarter performance was led by gains from trading of financial markets—interest rate and equity futures, and currency forwards. Commodity futures trading was nearly flat as losses from trading grain futures were countered by gains from trading soft, metal and livestock futures.
The European Central Bank’s historic quantitative easing announcement, several easing moves by the People’s Bank of China and more than 20 other official interest rate reductions led to sharp gains on long positions in U.S. interest rate futures across the yield curve. Long positions in German, Italian, French, Canadian and Australian notes and bonds also registered profits. A long position in short-term sterling rates was profitable as events suggested that any tightening of U.K. monetary policy would be delayed.
The more accommodative monetary policy environment and some improvement in growth indicators for Europe led to gains on long positions in Continental European, Chinese, Hong Kong, Japanese, and Australian equity futures. On the other hand, a short Korean kospi futures trade was unprofitable. Meanwhile, U.S. equity futures, after reaching record levels, stagnated in the wake of the stronger dollar, disappointing earnings reports, and a first quarter growth slowdown.
Currency markets were volatile during the quarter, although a solid U.S. economic outlook, generally higher relative interest rates, and some safe haven cachet underpinned the U.S. dollar. Still, a tentative Russia/ Ukraine ceasefire and temporary bouts of sanity around the Greek crisis periodically took some steam out of the dollar. Overall, long dollar positions versus the euro, Czech koruna, Swedish krona, Turkish lira, Brazilian real, and Canadian dollar were profitable. On the other hand, a long U.S. dollar/short Swiss franc trade sustained a large loss when, on January 15, the Swiss National Bank unexpectedly ended the franc’s peg to the euro and the franc soared 15%. Long U.S. dollar trades against the South African, Norwegian and New Zealand currencies produced small losses.
Grain prices recovered a bit after the USDA projected a reduction in planting acreage for the current crop year. Consequently, short wheat positions, and to a lesser extent trading of corn, soybeans, soybean meal, and bean oil produced minor losses. Coffee and sugar prices continued to fall and short positions in both were profitable. Meanwhile, trading of cocoa, a short cotton position, and a long crude palm oil trade were unprofitable. A short hog trade was marginally positive.
Energy trading was flat as the gains from short WTI crude and U.S. natural gas positions offset the losses from short Brent crude, heating oil and London gas oil trades. Metal trading was marginally profitable with gains from short aluminum, silver and nickel positions and trading of gold outpacing the losses from short copper, zinc, and platinum positions and trading of palladium.
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Periods ended September 30, 2014
Total | ||||
Partners' | ||||
Capital of the | ||||
Month Ending: | Partnership | |||
September 30, 2014 | $ | 115,788,430 | ||
June 30, 2014 | 114,129,379 | |||
December 31, 2013 | 134,225,312 |
Three Months | Nine months | |||||||
Change in Partners' Capital | $ | 1,659,051 | $ | (18,436,882 | ) | |||
Percent Change | 1.45 | % | (13.74 | )% |
THREE MONTHS ENDED SEPTEMBER 30, 2014
The increase in the Partnership’s net assets of $1,659,051was attributable to contributions of $1,664,443 and net income through its investment in the Master Fund of $3,027,874 which was partially offset by withdrawals of $3,033,266.
Management fees, through the Partnership’s investment in the Master Fund, are calculated on the net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Management fees, through the Partnership’s investment in the Master Fund, for the three months ended September 30, 2014 decreased $241,530 relative to the corresponding period in 2013. The decrease was due to a decrease in the average net asset value of the Partnership during the three months ended September 30, 2014, relative to the corresponding period in 2013.
The Partnership, through its investment in the Master Fund, bears all trade-related commission and clearing charges due to third-party brokers. Brokerage commissions, through the Partnership’s investment in the Master Fund, for the three months ended September 30, 2014 decreased $94,661 relative to the corresponding period in 2013. The decrease was due mainly to a decrease in trading volume at the Master Fund, relative to the corresponding period in 2013.
Selling commissions and platform fees are calculated on the net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Selling commissions and platform fees for the three months ended September 30, 2014 decreased $198,047 relative to the corresponding period in 2013. The decrease was due to a decrease in the average net asset value of commission paying investors of the Partnership during the three months ended September 30, 2014, relative to the corresponding period in 2013.
The Partnership, through its investment in the Master Fund, pays administrative expenses for legal, audit and accounting services. Administrative expenses, net of amounts borne by the General Partner, through the Partnership’s investment in the Master Fund, for the three months ended September 30, 2014 decreased $66,905 relative to the corresponding period in 2013. The decrease was due mainly to a decrease in the Partnership’s average net asset value during the three months ended September 30, 2014, relative to the corresponding period in 2013.
Interest income, through the Partnership’s investment in the Master Fund, is derived from cash and U.S. Treasury instruments held at the Master Fund’s brokers and custodian. Interest income, through the Partnership’s investment in the Master Fund, for the three months ended September 30, 2014 decreased $29,737 relative to the corresponding period in 2013. This decrease was due primarily to a decrease in the Partnership’s average net asset value during the three months ended September 30, 2014 relative to the corresponding period in 2013.
For the three months ended September 30, 2014, the Partnership, through its investment in the Master Fund, achieved net realized and unrealized gains of $4,343,480 from trading operations (including foreign exchange transactions and translations). Management fees of $565,036, brokerage commissions of $113,746, selling commissions and platform fees of $514,406, administrative and operating expenses of $148,171 and custody fees and other expenses of $6,280 were paid or accrued. Interest income of $32,033 partially offset the Master Fund expenses allocated to the Partnership resulting in net income of $3,027,874.
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An analysis of the Master Fund’s trading gain (loss) by sector is as follows:
% Gain | ||||
Sector | (Loss) | |||
Currencies | (1.02 | )% | ||
Energies | 0.37 | % | ||
Grains | 2.19 | % | ||
Interest rates | 2.54 | % | ||
Livestock | (0.11 | )% | ||
Metals | 0.39 | % | ||
Softs | 1.10 | % | ||
Stock indices | (1.60 | )% | ||
Trading gain | 3.86 | % |
NINE MONTHS ENDED SEPTEMBER 30, 2014
The decrease in the Partnership’s net assets of $18,436,882 was attributable to contributions of $2,363,343 and net income through its investment in the Master Fund of $13,401,893 which was partially offset by withdrawals of $34,202,118.
Management fees, through the Partnership’s investment in the Master Fund, are calculated on the net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Management fees, through the Partnership’s investment in the Master Fund, for the nine months ended September 30, 2014 decreased $1,023,181 relative to the corresponding period in 2013. The decrease was due to a decrease in the average net asset value of the Partnership during the nine months ended September 30, 2014, relative to the corresponding period in 2013.
The Partnership, through its investment in the Master Fund, bears all trade-related commission and clearing charges due to third-party brokers. Brokerage commissions, through the Partnership’s investment in the Master Fund, for the nine months ended September 30, 2014 decreased $398,522 relative to the corresponding period in 2013. The decrease was due to a decrease in the average net asset value of the Partnership as well as a decrease in trading volume at the Master Fund, relative to the corresponding period in 2013.
Selling commissions and platform fees are calculated on the net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Selling commissions and platform fees for the nine months ended September 30, 2014 decreased $819,421 relative to the corresponding period in 2013. The decrease was due to a decrease in the average net asset value of commission paying investors of the Partnership during the nine months ended September 30, 2014, relative to the corresponding period in 2013.
The Partnership, through its investment in the Master Fund, pays administrative expenses for legal, audit and accounting services. Administrative expenses, net of amounts borne by the General Partner, through the Partnership’s investment in the Master Fund, for the nine months ended September 30, 2014 decreased $263,742 relative to the corresponding period in 2013. The decrease was due mainly to a decrease in the Partnership’s average net asset value during the nine months ended September 30, 2014, relative to the corresponding period in 2013.
Interest income, through the Partnership’s investment in the Master Fund, is derived from cash and U.S. Treasury instruments held at the Master Fund’s brokers and custodian. Interest income, through the Partnership’s investment in the Master Fund, for the nine months ended September 30, 2014 decreased $135,331 relative to the corresponding period in 2013. This decrease was due to a decrease in the Partnership’s average net asset value during the nine months ended September 30, 2014 relative to the corresponding period in 2013.
For the nine months ended September 30, 2014, the Partnership, through its investment in the Master Fund, achieved net realized and unrealized gains of $17,509,302 from trading operations (including foreign exchange transactions and translations). Management fees of $1,759,863, brokerage commissions of $364,804, selling commissions and platform fees of $1,590,416, administrative and operating expenses of $472,954 and custody fees and other expenses of $22,440 were paid or accrued. Interest income of $103,068 partially offset the Master Fund expenses allocated to the Partnership resulting in net income of $13,401,893.
39 |
An analysis of the Master Fund’s trading gain (loss) by sector is as follows:
% Gain | ||||
Sector | (Loss) | |||
Currencies | 0.87 | % | ||
Energies | 1.49 | % | ||
Grains | 2.22 | % | ||
Interest rates | 9.60 | % | ||
Livestock | 0.51 | % | ||
Metals | (0.68 | )% | ||
Softs | 1.33 | % | ||
Stock indices | 0.89 | % | ||
Trading gain | 16.23 | % |
MANAGEMENT DISCUSSION – 2014
Three months ended September 30, 2014
The Partnership, through its investment in the Master Fund, registered a gain during the quarter ended September 30, 2014 as profits from trading interest rate and commodity futures outpaced losses from trading stock index futures and currency forwards.
With growth solid and inflation concerns gaining some traction, the U.S. Federal Reserve and Bank of England were discussing the timing of official rate increases. On the other hand, with inflation stubbornly at or below 0.5% in the European Union and core inflation quiescent in Japan, and with growth stagnant in both countries, the European Central Bank and the Bank of Japan were continuing to move in the direction of further monetary ease. Finally, the People’s Bank of China implemented targeted lending measures to underpin an economy that was slowing more than desired under the weight of a sinking property sector and the transition from an export led economy to an economy led by domestic demand. These differential growth, inflation and policy patterns seemed to drive financial market developments, while commodity markets responded more to their specific supply and demand factors rather than to the broad sweep of global macro factors.
In this environment and with demand for government securities augmented by a flight to safety reflecting the geopolitical strains in the Ukraine and the Middle East, European interest rates were driven to record lows and profits were recorded on long positions in German, French, Italian, British, and Japanese note, bond, and short-term interest rate futures. On the other hand, long positions in U.S. interest rate futures were fractionally unprofitable.
In the agricultural sector, short corn, wheat, soybean and soybean oil positions were profitable as the U.S. Department of Agriculture (“USDA”) forecast bumper crops and ample inventories, driving corn and wheat prices to four year lows. A short cotton trade benefitted from an abundant U.S. cotton harvest and slowing Chinese demand. A short sugar position profited from news of a better supply outlook in Brazil that pushed down sugar prices to seven year lows. Finally, a long cocoa trade was profitable as concern about Ebola in West Africa prompted supply worries. Meanwhile, livestock trading was marginally unprofitable.
For much of the quarter, energy prices were volatile, buffeted by adequate supplies on the one hand –especially in the U.S.—and Middle East turmoil on the other. By September, however, weakening Chinese demand, a stronger U.S. dollar and ample supplies drove energy prices lower and short positions in Brent crude, London gas oil, and heating oil had produced profits. However, trading of WTI crude, RBOB gasoline and natural gas early in the quarter produced largely offsetting losses.
Metal trading was marginally profitable as prices weakened late in the period in response to a stronger dollar and softer economic data out of China, and short positions in nickel, platinum and silver posted gains. A long zinc trade was profitable as supplies tightened in the wake of several “old mine” closures. A long aluminum trade was also profitable as Indonesia continues to restrict bauxite exports.
Long positions in Continental European equity futures were unprofitable as the fallout from the Russia-Ukraine confrontation undermined the already weak growth outlook, especially in Germany and Eastern Europe. With the Bank of England discussing the timing of rate increases and in the heat of the Scottish independence vote, a long British equity futures trade generated a loss. Late in the quarter, political turmoil in Hong Kong and news of slower than expected growth in China led to losses on long positions in Korean, Hong Kong, Australian and Chinese equity futures. Long positions in South African, Canadian and small cap U.S. equity futures were also unprofitable, as was a short vix trade. Long positions in Japanese futures were marginally profitable.
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Entering the quarter, the Partnership was short the U.S. dollar versus a number of currencies that had higher interest rates and/or apparently better growth prospects. As it became evident that U.S economic activity was accelerating and that the U.S. Federal Reserve was moving toward tighter policy, the U.S. dollar started to climb and losses were sustained during July and into August. Thereafter, long U.S. dollar trades produced somewhat offsetting profits. Short U.S. dollar trades against New Zealand, Canada, Switzerland, Korea, Brazil, Mexico, India and Singapore registered losses. The fact that New Zealand officials suggested that the rise in the New Zealand dollar was “unjustified and unsustainable”; that the Reserve Bank of Australia claimed that the Australian dollar was “overvalued”; that the Reserve Bank of India intervened to buy U.S. dollars; and that the IMF suggested that the pound sterling was “overvalued” added to the U.S. dollar’s advance. Heightened political tensions worldwide also underpinned the U.S. currency. Consequently, long U.S. dollar positions against the euro, Swedish krona, Czech koruna and Chilean peso were profitable. A long British pound trade was profitable in the wake of the Scottish independence “No” vote. Non-U.S. dollar cross rate trading was marginally profitable, largely due to a few short euro trades early in the quarter.
Three months ended June 30, 2014
The Partnership, through its investment in the Master Fund, registered a gain during the second quarter largely due to profits from long interest rate and equity futures positions, and from short U.S. dollar trades. Long energy positions were also profitable but those gains were more than offset by losses from trading agricultural commodities. Finally, trading of metal futures was flat.
A further easing of monetary policy by the European Central Bank in early June, persistently accommodative monetary policy elsewhere in the developed world, stubbornly low inflation worldwide, and some flight to safety demand pushed government bond prices higher. Consequently, long positions in U.S., German, U.K., Canadian, French, Italian, Australian and Japanese note and bond future were profitable, especially in April and May. On the other hand, a long position in short-term British interest rate futures was unprofitable after Bank of England Governor Carney hinted that official British rates might rise sooner than previously expected.
Against this easy money background and with economic growth rebounding from a weather induced first quarter slowdown, long positions in German, Spanish, Dutch, French, U.S., British, Indian, Taiwanese, Singaporean, Hong Kong and South African equity futures were profitable. Also, with volatility plummeting to historically low levels, a short VIX trade produced a gain.
Higher interest rates and/or stronger growth prospects in certain countries weighed on the U.S. dollar. In particular, short dollar trades against the New Zealand dollar, British pound, Australian dollar, Korean won and Brazilian real were profitable. Short dollar trades against the currencies of Colombia, Israel, Mexico, Singapore and Switzerland also registered gains. On the other hand long dollar positions relative to the Canadian dollar and Japanese yen were unprofitable, as was trading of the Swedish and Norwegian currencies.
The expanding turmoil in the Middle East pushed energy prices higher, particularly in May and June, and long positions in Brent crude, WTI crude and RBOB gasoline were profitable, and outpaced losses from trading heating oil and London gas oil.
Grain prices were volatile during the quarter, rising early on due to dry weather in the U.S. and concern about the impact of the Russia-Ukraine confrontation and falling later due to improved weather conditions and better USDA crop forecasts. As a result, long positions in corn, wheat, soybeans, and soybean meal were unprofitable. Long cotton and palm oil trades produced losses, as did trading of sugar. Meanwhile, trading of cattle was marginally profitable.
A long nickel trade benefitted from the Indonesian export ban that drove prices higher; a long palladium trade was profitable as labor turmoil in South Africa and Russian tensions boosted prices; and a long gold trade was a positive due to flight to safety demand. Losses were incurred from trading aluminum, copper, lead and silver.
Three months ended March 31, 2014
After a quarter of significant market volatility, the Partnership, through its investment in the Master Fund, produced a profit, predominantly due to gains from long interest rate futures positions. There were also profits from trading agricultural commodities, energy and currencies, but these were largely offset by the losses from trading metals.
Shifting perceptions about U.S. and Chinese growth prospects, about the future course of Federal Reserve monetary policy, about political and economic turmoil in several emerging economies—including Turkey, India, Indonesia, and Thailand, and about the impact of the Russia/Ukraine-Crimea situation kept markets off balance during the quarter.
Given persistent concerns about worldwide growth, and social and political unrest in numerous emerging markets and a lack of inflationary impulses in the developed world, it should come as no surprise that a flight to safety and quality would push up note and bond prices. Consequently, long positions in German, French, Italian, Japanese, Canadian and U.S. note and bond futures were profitable. Long positions in U.S. and German short term interest rate futures also registered gains. On the other hand, trading Australian and British note and bond futures was unprofitable.
Equity prices were particularly volatile during the quarter as the markets digested weather related growth problems in the U.S., slowing Chinese growth, the outlook for U.S. quantitative easing, and Chinese policy efforts to wring excess debt and capacity out of the economy without threatening too many corporate defaults or bankruptcies. Losses from trading of and long positions in Chinese, Hong Kong, Korean, Japanese, Singaporean and Australian equity futures that slightly outweighed the gains from long U.S., German, Spanish and Canadian equity futures positions.
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Foreign exchange markets were rattled by the political and economic turmoil in many emerging markets, by monetary policy developments in China and the U.S., as well as by growth concerns. Short U.S. dollar positions against sterling, the Indian rupee, the New Zealand dollar, and the Swiss franc were profitable, as were long dollar trades against Chile and Russia and a long New Zealand/short Canada trade. These gains were partially offset by losses on: short dollar trades against the euro, Czech koruna, Polish zloty and Korean won; a long U.S./short Singapore dollar position; long euro trades versus Australia, Turkey and Hungary; a short euro trade versus the Polish zloty; and trading the Australian dollar relative to the yen and pound sterling.
Turning to agricultural commodities, long positions in soybeans, soybean meal, corn, coffee, cocoa, cotton and livestock, and a short wheat trade were profitable. Meanwhile, short sugar and soybean oil trades produced small losses.
Metal trading was unprofitable due to losses from long copper, lead, gold and silver trades and from a short aluminum position. A long nickel trade produced a partially offsetting profit.
Energy trading was marginally profitable as gains from a long WTI crude position and trading of natural gas outweighed the losses from long Brent crude and London gas oil positions.
OFF-BALANCE SHEET ARRANGEMENTS
Neither the Partnership nor the Master Fund engages in off-balance sheet arrangements with other entities.
CONTRACTUAL OBLIGATIONS
Neither the Partnership nor the Master Fund enters into any contractual obligations or commercial commitments to make future payments of a type that would be typical for an operating company or that would affect its liquidity or capital resources. The Partnership’s sole business, through its investment in the Master Fund, is trading futures, forward currency, spot and swap contracts, both long (contracts to buy) and short (contacts to sell). All such contracts are settled by offset, not delivery. Substantially all such contracts are for settlement within four months of the trade date and substantially all such contracts are held by the Master Fund for less than four months before being offset or rolled over into new contracts with similar maturities. The financial statements of the Master Fund present a condensed schedule of investments setting forth open futures, forward and other contracts at September 30, 2015 and December 31, 2014.
ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
Not required.
ITEM 4. CONTROLS AND PROCEDURES
The General Partner, with the participation of the principal executive officers and principal financial officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to the Partnership as of the end of the period covered by this quarterly report, and, based on its evaluation, has concluded that these disclosure controls and procedures are effective. There were no changes in the General Partner's internal controls over financial reporting during the quarter ended September 30, 2015 that have materially affected, or are reasonably likely to materially affect, the General Partner's internal controls over financial reporting with respect to the Partnership.
PART II. OTHER INFORMATION
ITEM 1. Legal Proceedings
None.
ITEM 1A. Risk Factors
Not required.
ITEM 2. UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS
(a) Pursuant to the Partnership's Agreement of Limited Partnership, the Partnership may sell Interests at the beginning of each calendar month. On July 1, 2015, August 1, 2015, and September 1, 2015 the Partnership sold Interests to new and existing limited partners of $229,000, $620,000, and $261,226 respectively. There were no underwriting discounts or commissions in connection with the sales of the Interests described above.
Each of the foregoing Interests were offered and sold only to “accredited investors” as defined in Rule 501(a) under the Securities Act of 1933 as amended (the “1933 Act”), in reliance on the exemption from registration provided by Rule 506(b) under the 1933 Act.
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(c) Pursuant to the Partnership’s Third Amended and Restated Limited Partnership Agreement, investors may redeem their Units at the end of each calendar month at the then current month-end net asset value. The redemption of Units has no impact on the value of Units that remain outstanding, and Units are not reissued once redeemed.
The following table summarizes the redemptions by Series A, Series B and Series C limited partners during the three months ended September 30, 2015.
Series A | Series B | Series C | ||||||||||||||||||||||
Date of | Units | NAV | Units | NAV | Units | NAV | ||||||||||||||||||
Withdrawal | Redeemed | per Unit | Redeemed | per Unit | Redeemed | per Unit | ||||||||||||||||||
July 31, 2015 | (2,188.7880 | ) | $ | 1,005.22 | - | $ | 1,106.47 | - | $ | 1,123.41 | ||||||||||||||
August 31, 2015 | (887.7590 | ) | 971.30 | (41.2360 | ) | 1,072.97 | - | 1,089.63 | ||||||||||||||||
September 30, 2015 | (1,198.3935 | ) | 1,004.38 | (114.2470 | ) | 1,108.29 | (145.6820 | ) | 1,125.73 | |||||||||||||||
Total | (4,274.9405 | ) | (155.4830 | ) | (145.6820 | ) |
ITEM 3. DEFAULTS UPON SENIOR SECURITIES
Not Applicable.
ITEM 4. MINE SAFETY DISCLOSURES
Not Applicable.
ITEM 5. OTHER INFORMATION
None.
ITEM 6. EXHIBITS
The following exhibits are included herewith:
31.01 Rule 13(a)-14(a)/15(d)-14(a) Certification of Co-Chief Executive Officer
31.02 Rule 13(a)-14(a)/15(d)-14(a) Certification of Co-Chief Executive Officer
31.03 Rule 13(a)-14(a)/15(d)-14(a) Certification of Chief Financial Officer
32.01 Section 1350 Certification of Co-Chief Executive Officer
32.02 Section 1350 Certification of Co-Chief Executive Officer
32.03 Section 1350 Certification of Chief Financial Officer
101.INS | XBRL Instance Document |
101.SCH | XBRL Taxonomy Extension Schema Document |
101.CAL | XBRL Taxonomy Extension Calculation Linkbase Document |
101.DEF | XBRL Taxonomy Extension Definition Linkbase Document |
101.LAB | XBRL Taxonomy Extension Label Linkbase Document |
101.PRE | XBRL Taxonomy Extension Presentation Linkbase Document |
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
By: | Millburn Ridgefield Corporation, | |
General Partner |
Date: November 13, 2015 | |
/s/ Michael W. Carter | |
Michael W. Carter | |
Vice-President | |
(Principal Accounting Officer) |
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