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

Attached files

file	filename
EX-31.02 - EXHIBIT 31.02 - Millburn Multi-Markets Fund L.P.	v439138_ex31-02.htm
EX-32.02 - EXHIBIG 32.02 - Millburn Multi-Markets Fund L.P.	v439138_ex32-02.htm
EX-32.01 - EXHIBIT 32.01 - Millburn Multi-Markets Fund L.P.	v439138_ex32-01.htm
EX-31.03 - EXHIBIT 31.03 - Millburn Multi-Markets Fund L.P.	v439138_ex31-03.htm
EX-31.01 - EXHIBIT 31.01 - Millburn Multi-Markets Fund L.P.	v439138_ex31-01.htm
EX-32.03 - EXHIBIT 32.03 - Millburn Multi-Markets Fund L.P.	v439138_ex32-03.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: March 31, 2016

¨	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. FINANCIAL INFORMATION

ITEM 1. FINANCIAL STATEMENTS

Millburn Multi-Markets Fund L.P.
Financial statements
For the three months ended March 31, 2016 and 2015 (unaudited)

Statements of Financial Condition (a)	1
Statements of Operations (b)	2
Statements of Changes in Partners' Capital (b)	3
Statements of Financial Highlights (b)	4
Notes to Financial Statements	6

(a) At March 31, 2016 and December 31, 2015 (unaudited)

(b) For the three months ended March 31, 2016 and 2015 (unaudited)

Millburn Multi-Markets Fund L.P.

Statements of Financial Condition (UNAUDITED)

	March 31, 2016		December 31, 2015
ASSETS
Investment in Millburn Multi-Markets
Trading L.P. (the “Master Fund”)	$	131,426,378	$	122,195,202
Due from the Master Fund		634,331		1,304,389
Cash		1,993,684		52,684

Total assets	$	134,054,393	$	123,552,275

LIABILITIES AND PARTNERS’ CAPITAL

LIABILITIES:
Capital contributions received in advance	$	1,991,000	$	50,000
Capital withdrawal payable to Limited Partners		634,331		1,004,389
Capital withdrawal payable to General Partner		-		300,000
Due to the Master Fund		2,657		2,654

Total liabilities		2,627,988		1,357,043

PARTNERS’ CAPITAL:
General Partner		3,354,512		3,041,602

Limited partners:
Series A (105,923.3253 and 106,145.4501 units outstanding)		116,259,287		108,146,251
Series B (7,449.1566 and 7,449.1566 units outstanding)		9,028,889		8,380,703
Series C (2,258.9231 and 2,297.6071 units outstanding)		2,783,717		2,626,676

Total limited partners		128,071,893		119,153,630

Total partners’ capital		131,426,405		122,195,232

TOTAL	$	134,054,393	$	123,552,275

NET ASSET VALUE PER UNIT OUTSTANDING:
Series A	$	1,097.58	$	1,018.85
Series B	$	1,212.07	$	1,125.05
Series C	$	1,232.32	$	1,143.22

See notes to financial statements (Unaudited)

Millburn Multi-Markets Fund L.P.

Statements of Operations (UNAUDITED)

	For the three months ended
	March 31, 2016			March 31, 2015
NET INVESTMENT LOSS

INVESTMENT INCOME — Interest income (allocated from the Master Fund)	$	96,679		$	34,201

EXPENSES:
Management fees		647,381			607,707
Brokerage commissions (allocated from the Master Fund)		92,975			82,077
Selling commissions and platform fees		587,436			555,984
Administrative and operating expenses		166,052			155,975
Custody fees (allocated from the Master Fund)		5,520			5,444

Total expenses		1,499,364			1,407,187

NET INVESTMENT LOSS		(1,402,685	)		(1,372,986	)

REALIZED AND UNREALIZED GAINS (LOSSES) ALLOCATED FROM THE MASTER FUND
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		11,288,293			7,465,841
Foreign exchange translation		(34,760	)		(22,360	)
Net change in unrealized:
Futures and forward currency contracts		1,249,284			1,438,562
Foreign exchange translation		123,244			(6,515	)
Net gains from U.S. Treasury notes:
Net change in unrealized		108,520			20,728

Net realized and unrealized gains allocated from the Master Fund		12,734,581			8,896,256

NET INCOME		11,331,896			7,523,270

LESS PROFIT SHARE ALLOCATION FROM THE MASTER FUND		1,800,842			77,723

NET INCOME AFTER PROFIT SHARE	$	9,531,054		$	7,445,547

See notes to financial statements (Unaudited)

Millburn Multi-Markets Fund L.P.

Statements of Changes in Partners' Capital (UNAUDITED)

For the three months ended March 31, 2016 and 2015

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

PARTNERS' CAPITAL — December 31, 2015	$	3,041,602	$	108,146,251			106,145.4501		$	8,380,703			7,449.1566	$	2,626,676			2,297.6071		$	122,195,232

Capital contributions		-		2,233,000			2,063.0533			-			-		-			-			2,233,000
Capital withdrawals		-		(2,485,683	)		(2,285.1781	)		-			-		(47,198	)		(38.6840	)		(2,532,881	)
Net income before profit share		312,910		9,953,455			-			810,506			-		255,025			-			11,331,896
Profit share				(1,587,736	)					(162,320	)				(50,786	)					(1,800,842	)
PARTNERS' CAPITAL — March 31, 2016	$	3,354,512	$	116,259,287			105,923.3253		$	9,028,889			7,449.1566	$	2,783,717			2,258.9231		$	131,426,405

Net Asset Value per Unit at March 31, 2016						$	1,097.58					$	1,212.07				$	1,232.32

			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		-		3,386,600			3,435.8394			670,000			618.2131			-			-			4,056,600
Capital withdrawals		-		(1,704,543	)		(1,672.3631	)		(245,034	)		(225.8940	)		(28,255	)		(25.8060	)		(1,977,832	)
Net income before profit share		221,377		6,591,877			-			513,421			-			196,595			-			7,523,270
Profit share										(56,591	)					(21,132	)					(77,723	)
PARTNERS' CAPITAL — March 31, 2015	$	3,295,174	$	113,373,764			109,509.1157		$	8,349,827			7,403.3374		$	3,118,030			2,725.4915		$	128,136,795

Net Asset Value per Unit at March 31, 2015						$	1,035.29					$	1,127.85					$	1,144.02

See notes to financial statements (Unaudited)

Millburn Multi-Markets Fund L.P.

Statement of Financial Highlights (UNAUDITED)

For the three months ended March 31, 2016

The following information presents per unit operating performance data for each series for the three months ended March 31, 2016.

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

NET ASSET VALUE PER UNIT — Beginning of period	$	1,018.85		$	1,125.05		$	1,143.22

INCOME (LOSS) ALLOCATED FROM MASTER FUND:
Net investment loss ⁽¹⁾		(12.39	)		(8.41	)		(7.80	)
Total trading and investing gains ⁽¹⁾		106.05			117.20			119.23

Net income before profit share allocation from Master Fund		93.66			108.79			111.43

Less: profit share allocation from Master Fund ^{(1) (6)}		14.93			21.77			22.33

Net income from operations after profit share allocation from Master Fund		78.73			87.02			89.10

NET ASSET VALUE PER UNIT — End of period	$	1,097.58		$	1,212.07		$	1,232.32

TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM MASTER FUND ⁽²⁾		9.10	%		9.54	%		9.62	%

LESS: PROFIT SHARE ALLOCATION FROM MASTER FUND ^{(2) (6)}		1.37			1.81			1.83

TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM MASTER FUND ⁽²⁾		7.73	%		7.73	%		7.79	%

RATIOS TO AVERAGE NET ASSET VALUE:
Expenses ^{(3) (4) (5)}		4.85	%		3.10	%		2.85	%
Profit share allocation from Master Fund ^{(2) (6)}		1.37			1.81			1.83

Total expenses		6.22	%		4.91	%		4.68	%

Net investment loss ^{(3) (4) (5)}		(4.55	)%		(2.80	)%		(2.55	)%

⁽¹⁾

The net investment loss per unit and profit share allocation from Master Fund per unit is calculated by dividing the net investment loss and profit share allocation from 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)

Millburn Multi-Markets Fund L.P.

Statement of Financial Highlights (UNAUDITED)

For the three months ended March 31, 2015

The following information presents per unit operating performance data for each series for the three months ended March 31, 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⁾		(11.76	)		(8.05	)		(7.46	)
Total trading and investing gains ⁽¹⁾		71.61			78.60			79.42

Net income before profit share allocation from Master Fund		59.85			70.55			71.96

Less: Profit share allocation from Master Fund ^{(1) (6)}		0.00			7.88			7.73

Net income from operations after profit share allocation from Master Fund		59.85			62.67			64.23

NET ASSET VALUE PER UNIT — End of period	$	1,035.29		$	1,127.85		$	1,144.02

TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM MASTER FUND ⁽²⁾		6.14	%		6.60	%		6.64	%

LESS: PROFIT SHARE ALLOCATION FROM MASTER FUND ^{(2) (6)}		0.00			0.72			0.69

TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM MASTER FUND ⁽²⁾		6.14	%		5.88	%		5.95	%

RATIOS TO AVERAGE NET ASSET VALUE:
Expenses ^{(3) (4) (5)}		4.79	%		3.04	%		2.79	%
Profit share allocation from Master Fund ^{(2) (6)}		0.00			0.72			0.69

Total expenses		4.79	%		3.76	%		3.48	%

Net investment loss ^{(3) (4) (5)}		(4.68	)%		(2.93	)%		(2.68	)%

⁽¹⁾

⁽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)

NOTES TO FINANCIAL STATEMENTS

1. BASIS OF PRESENTATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

The accompanying unaudited financial statements, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of Millburn Multi-Markets Fund L.P.’s (the “Partnership”) financial condition at March 31, 2016 and December 31, 2015 and the results of its operations for the three months ended March 31, 2016 and 2015 (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 2015 annual report included in Form 10-K filed with the Securities and Exchange Commission. The December 31, 2015 information has been derived from the audited financial statements as of December 31, 2015.

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, 2012 to 2015, 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 2015.

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 March 31, 2016 and December 31, 2015 was 72.30% and 72.71%, 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 March 31, 2016 and December 31, 2015, $66,000 and $51,447, 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.

Series A Unitholders that redeem Units at or prior to the end of the first eleven months after such Units are sold shall be assessed redemption charges calculated based on their redeemed Units' net asset value as of the date of redemption. All redemption charges will be paid to the General Partner. At March 31, 2016 and December 31, 2015, there were no redemption charges owed to the General Partner.

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 March 31,
	2016		2015
Series A		106,358.038		109,680.987
Series B		7,449.160		7,184.148
Series C		2,279.958		2,734.349

Millburn Multi-Markets Trading L.P.
Financial statements
For the three months ended March 31, 2016 and 2015 (unaudited)

Statements of Financial Condition (a)	8
Condensed Schedules of Investments (a)	9
Statements of Operations (b)	13
Statements of Changes in Partners' Capital (b)	14
Statements of Financial Highlights (b)	15
Notes to Financial Statements	17

(a) At March 31, 2016 and December 31, 2015 (unaudited)

(b) For the three months ended March 31, 2016 and 2015 (unaudited)

Millburn Multi-Markets Trading L.P.

Statements of Financial Condition (UNAUDITED)

	March 31,		December 31,
	2016		2015
ASSETS

EQUITY IN TRADING ACCOUNTS:
Investments in U.S. Treasury notes — at fair value (amortized cost $26,023,481 and $30,540,808)	$	26,026,013	$	30,521,416
Net unrealized appreciation on open futures and forward currency contracts		5,442,112		4,044,127
Due from brokers		6,361,091		6,174,878
Cash denominated in foreign currencies (cost $3,105,656 and $4,266,766)		3,204,103		4,195,504

Total equity in trading accounts		41,033,319		44,935,925

INVESTMENTS IN U.S. TREASURY NOTES — at fair value (amortized cost $127,837,383 and $118,488,573)		127,848,414		118,372,238

CASH AND CASH EQUIVALENTS		15,994,665		6,904,511

ACCRUED INTEREST RECEIVABLE		170,149		244,041

DUE FROM MILLBURN MULTI-MARKETS LTD.		1,771		1,770

DUE FROM MILLBURN MULTI-MARKETS FUND L.P.		2,657		2,654

TOTAL	$	185,050,975	$	170,461,139

LIABILITIES AND PARTNERS’ CAPITAL

LIABILITIES:
Net unrealized depreciation on open futures and forward currency contracts	$	-	$	322,688
Capital withdrawal payable to Limited Partners		634,331		1,409,085
Capital withdrawal payable to General Partner		-		142,581
Management fee payable		239,799		221,009
Selling commissions payable		197,797		184,527
Accrued expenses		205,641		116,361
Commissions and other trading fees on open futures contracts		13,628		17,673
Other liabilities		1,981,827		-

Total liabilities		3,273,023		2,413,924

PARTNERS’ CAPITAL		181,777,952		168,047,215

TOTAL	$	185,050,975	$	170,461,139

See notes to financial statements (Unaudited)

Millburn Multi-Markets Trading L.P.

Condensed Schedule of Investments (UNAUDITED)

March 31, 2016

	Net Unrealized
	Appreciation
	(Depreciation)			Net Unrealized
	as a % of			Appreciation
FUTURES AND FORWARD CURRENCY CONTRACTS	Partners’ Capital			(Depreciation)

FUTURES CONTRACTS
Long futures contracts:
Energies		(0.04	)%	$	(65,195	)
Grains		0.04			69,011
Interest rates:
2 Year U.S. Treasury Note (573 contracts, settlement date June 2016)		0.21			387,484
5 Year U.S. Treasury Note (302 contracts, settlement date June 2016)		0.16			282,391
10 Year U.S. Treasury Note (207 contracts, settlement date June 2016)		0.13			233,969
30 Year U.S. Treasury Bond (53 contracts, settlement date June 2016)		0.07			128,938
Other interest rates		0.68			1,243,987

Total interest rates		1.25			2,276,769

Livestock		(0.01	)		(15,970	)
Metals		(0.13	)		(236,892	)
Softs		0.03			49,223
Stock indices		0.19			347,720

Total long futures contracts		1.33			2,424,666

Short futures contracts:
Energies		(0.04	)		(65,477	)
Grains		0.07			122,178
Interest rates		(0.02	)		(32,466	)
Livestock		0.00			6,150
Metals		(0.13	)		(239,758	)
Softs		(0.05	)		(103,406	)
Stock indices		0.07			133,365

Total short futures contracts		(0.10	)		(179,414	)

TOTAL INVESTMENTS IN FUTURES CONTRACTS — Net		1.23			2,245,252

FORWARD CURRENCY CONTRACTS
Total long forward currency contracts		3.09			5,618,073
Total short forward currency contracts		(1.33	)		(2,421,213	)

TOTAL INVESTMENTS IN FORWARD CURRENCY CONTRACTS — Net		1.76			3,196,860

TOTAL		2.99	%	$	5,442,112

(Continued)

Millburn Multi-Markets Trading L.P.

Condensed Schedule of Investments (UNAUDITED)

March 31, 2016

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		22.97	%	$	41,755,708
	37,140,000	U.S. Treasury notes, 0.250%, 05/15/2016		20.43			37,140,725
	43,140,000	U.S. Treasury notes, 0.625%, 07/15/2016		23.76			43,180,444
	31,730,000	U.S. Treasury notes, 0.875%, 09/15/2016		17.49			31,797,550
		Total investments in U.S. Treasury notes (amortized cost $153,860,864)		84.65	%	$	153,874,427

See notes to financial statements (Unaudited)

(Concluded)

Millburn Multi-Markets Trading L.P.

Condensed Schedule of Investments

December 31, 2015

	Net Unrealized
	Appreciation
	(Depreciation)			Net Unrealized
	as a % of			Appreciation
FUTURES AND FORWARD CURRENCY CONTRACTS	Partners’ Capital			(Depreciation)

FUTURES CONTRACTS
Long futures contracts:
Energies		(0.02	)%	$	(28,090	)
Interest rates		(0.15	)		(246,519	)
Metals		0.22			362,631
Softs		0.04			61,106
Stock indices		0.29			486,949

Total long futures contracts		0.38			636,077

Short futures contracts:
Energies		0.75			1,268,803
Grains		0.28			478,333
Interest rates		(0.00	)		(925	)
Livestock		(0.06	)		(104,550	)
Metals		0.07			119,525
Softs		(0.06	)		(109,099	)
Stock indices		0.04			67,778

Total short futures contracts		1.02			1,719,865

TOTAL INVESTMENTS IN FUTURES CONTRACTS — Net		1.40			2,355,942

FORWARD CURRENCY CONTRACTS
Total long forward currency contracts		(0.52	)		(867,640	)
Total short forward currency contracts		1.33			2,233,137

TOTAL INVESTMENTS IN FORWARD CURRENCY CONTRACTS — Net		0.81			1,365,497

TOTAL		2.21	%	$	3,721,439

(Continued)

Millburn Multi-Markets Trading L.P.

Condensed Schedule of Investments

December 31, 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		24.84	%	$	41,746,738
	32,240,000	U.S. Treasury notes, 0.250%, 05/15/2016		19.17			32,221,739
	43,140,000	U.S. Treasury notes, 0.625%, 07/15/2016		25.68			43,151,796
	31,730,000	U.S. Treasury notes, 0.875%, 09/15/2016		18.91			31,773,381
		Total investments in U.S. Treasury notes (amortized cost $149,029,381)		88.60	%	$	148,893,654

See notes to financial statements (Unaudited)

(Concluded)

Millburn Multi-Markets Trading L.P.

Statements of Operations (UNAUDITED)

	For the three months ended
	March 31			March 31
	2016			2015
INVESTMENT INCOME — Interest income	$	133,012		$	46,557

EXPENSES:
Brokerage fees		127,920			110,919
Management fees		711,509			668,512
Selling commissions and platform fees		590,847			559,636
Administrative and operating expenses		197,255			185,299
Custody fees		7,599			7,146
Total expenses		1,635,130			1,531,512

NET INVESTMENT LOSS		(1,502,118	)		(1,484,955	)

REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		15,522,743			10,165,122
Foreign exchange translation		(47,852	)		(168,631	)
Net change in unrealized:
Futures and forward currency contracts		1,720,673			1,951,504
Foreign exchange translation		169,709			129,256
Net gains (losses) from U.S. Treasury notes
Net change in unrealized		149,290			26,245
Total net realized and unrealized gains		17,514,563			12,103,496

NET INCOME		16,012,445			10,618,541
LESS PROFIT SHARE TO GENERAL PARTNER		2,002,388			149,160
NET INCOME AFTER PROFIT SHARE TO GENERAL PARTNER	$	14,010,057		$	10,469,381

See notes to financial statements (Unaudited)

Millburn Multi-Markets Trading L.P.

Statements of Changes in Partners' Capital (UNAUDITED)

For the three months ended March 31, 2016:

	Limited Partners			New Profit Memo Account		General Partner		Total
PARTNERS' CAPITAL - January 1, 2016	$	167,109,009		$	-	$	938,206	$	168,047,215
Contributions		2,233,000			20,561		-		2,253,561
Withdrawals		(2,532,881	)		-		-		(2,532,881	)
Net income before profit share		15,914,989			290		97,166		16,012,445
General Partner's allocation - profit share		(2,002,388	)		-				(2,002,388	)
PARTNERS' CAPITAL- March 31, 2016	$	180,721,729		$	20,851	$	1,035,372	$	181,777,952

For the three months ended March 31, 2015:

	Limited Partners			New Profit Memo Account		General Partner		Total
PARTNERS' CAPITAL - January 1, 2015	$	161,250,243		$	-	$	860,838	$	162,111,081
Contributions		4,056,600			-		-		4,056,600
Withdrawals		(1,977,814	)		-		-		(1,977,814	)
Net income before profit share		10,555,965			-		62,576		10,618,541
General Partner's allocation - profit share		(149,160	)		-		-		(149,160	)
PARTNERS' CAPITAL- March 31, 2015	$	173,735,834		$	-	$	923,414	$	174,659,248

See notes to financial statements (Unaudited)

Millburn Multi-Markets Trading L.P.

Statements of Financial Highlights (UNAUDITED)

The following information presents financial highlights of a Limited Partner that is charged a monthly management fee of 1/12 of 2.00% (2.00% per annum) and an annual profit share of 20% of Trading Profits (as defined in the Limited Partnership Agreement).

	For the three months ended
	March 31			March 31
	2016			2015

Total return before General Partner profit share allocation ⁽³⁾		9.68	%		6.72	%
Less: General Partner profit share allocation ⁽³⁾		1.84			0.54

Total return after General Partner profit share allocation ⁽³⁾		7.84	%		6.18	%

Ratios to average net asset value:
Expenses ^{(1) (4)}		2.56	%		2.48	%
General Partner profit share allocation ⁽³⁾		1.84			0.54

Total expenses ⁽¹⁾		4.40	%		3.02	%

Net investment loss ^{(1) (2) (4)}		(2.24	)%		(2.36	)%

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

⁽²⁾ Excludes General Partner profit share allocation and includes interest income.

⁽³⁾ Not Annualized.

⁽⁴⁾Annualized.

See notes to financial statements (Unaudited)

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
	March 31			March 31
	2016			2015

Total return before General Partner profit share allocation ⁽³⁾		9.44	%		6.44	%
Less: General Partner profit share allocation ⁽³⁾		1.11			0.09

Total return after General Partner profit share allocation ⁽³⁾		8.33	%		6.35	%

Ratios to average net asset value:
Expenses ^{(1) (4)}		3.64	%		3.60	%
General Partner profit share allocation ⁽³⁾		1.11			0.09

Total expenses ⁽¹⁾		4.75	%		3.69	%

Net investment loss ^{(1) (2) (4)}		(3.36	)%		(3.48	)%

⁽¹⁾ Includes the proportionate share of expenses of the U.S. Feeder and the Cayman Feeder for the three months ending March 31, 2016 and 2015.

⁽²⁾ Excludes General Partner profit share allocation and includes interest income.

⁽³⁾ Not Annualized.

⁽⁴⁾Annualized.

See notes to financial statements (Unaudited)

NOTES TO FINANCIAL STATEMENTS

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, and Millburn Multi-Markets Ltd., a Cayman Islands exempted company (the “Cayman Feeder”).

The accompanying unaudited financial statements, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of the Master Fund’s financial condition at March 31, 2016 (unaudited) and December 31, 2015 and the results of its operations for the three months ended March 31, 2016 and 2015 (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, 2015 included in Millburn Multi-Markets Fund L.P. (the “Partnership”) annual report on Form 10-K filed with the Securities and Exchange Commission. The December 31, 2015 information has been derived from the audited financial statements as of December 31, 2015.

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, 2012 to 2015, 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 March 31, 2016 and December 31, 2015, the respective ownership percentages of the Master Fund are detailed below. The remaining interests are held by direct investors in the Master Fund.

	March 31,			December 31,
	2016			2015
Partnership		72.30	%		72.71	%
Cayman Feeder		5.55	%		5.57	%

Total		77.85	%		78.28	%

The capital withdrawals payable at March 31, 2016 and December 31, 2015 were $634,331 and $1,551,666, respectively, as detailed below.

	March 31,		December 31,
	2016		2015
Direct investors (1)	$	-	$	142,581
Partnership		634,331		1,304,389
Cayman Feeder		-		104,696

Total	$	634,331	$	1,551,666

(1) Includes General Partner’s profit share of $142,581 at December 31, 2015.

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 Partnership 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 Partnership has been deemed to be an investment company since inception. Accordingly, the Partnership 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 months ended March 31, 2016 and 2015, 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 March 31, 2016 and December 31, 2015 in valuing the Master Fund’s investments at fair value. At March 31, 2016 and December 31, 2015, the Master Fund had no assets or liabilities in Level 3.

Financial assets and liabilities at fair value as of March 31, 2016

	Level 1			Level 2		Total

U.S. Treasury notes (1)	$	153,874,427		$	-	$	153,874,427

Exchange-traded futures contracts
Energies		(130,672	)		-		(130,672	)
Grains		191,189			-		191,189
Interest rates		2,244,303			-		2,244,303
Livestock		(9,820	)		-		(9,820	)
Metals		(476,650	)		-		(476,650	)
Softs		(54,183	)		-		(54,183	)
Stock indices		481,085			-		481,085

Total exchange-traded futures contracts		2,245,252			-		2,245,252

Over-the-counter forward currency contracts		-			3,196,860		3,196,860

Total futures and forward currency contracts (2)		2,245,252			3,196,860		5,442,112

Total financial assets and liabilities at fair value	$	156,119,679		$	3,196,860	$	159,316,539

Per line item in Statements of Financial Condition
(1)
Investments in U.S. Treasury notes held in brokers' trading accounts as collateral						$	26,026,013
Investments in U.S. Treasury notes held in custody							127,848,414
Total investments in U.S. Treasury notes						$	153,874,427

(2)
Net unrealized appreciation on open futures and forward currency contracts						$	5,442,112
Net unrealized depreciation on open futures and forward currency contracts							-
Total net unrealized appreciation on open futures and forward currency contracts						$	5,442,112

Financial assets and liabilities at fair value as of December 31, 2015

	Level 1			Level 2		Total

U.S. Treasury notes (1)	$	148,893,654		$	-	$	148,893,654

Exchange-traded futures contracts
Energies		1,240,713			-		1,240,713
Grains		478,333			-		478,333
Interest rates		(247,444	)		-		(247,444	)
Livestock		(104,550	)		-		(104,550	)
Metals		482,156			-		482,156
Softs		(47,993	)		-		(47,993	)
Stock indices		554,727			-		554,727

Total exchange-traded futures contracts		2,355,942			-		2,355,942

Over-the-counter forward currency contracts		-			1,365,497		1,365,497

Total futures and forward currency contracts (2)		2,355,942			1,365,497		3,721,439

Total financial assets and liabilities at fair value	$	151,249,596		$	1,365,497	$	152,615,093

Per line item in Statements of Financial Condition
(1)
Investments in U.S. Treasury notes held in brokers' trading accounts as collateral						$	30,521,416
Investments in U.S. Treasury notes held in custody							118,372,238
Total investments in U.S. Treasury notes						$	148,893,654

(2)
Net unrealized appreciation on open futures and forward currency contracts						$	4,044,127
Net unrealized depreciation on open futures and forward currency contracts							(322,688	)
Total net unrealized appreciation on open futures and forward currency contracts						$	3,721,439

4. DERIVATIVE INSTRUMENTS

The Derivatives and Hedging topic of the Codification requires qualitative disclosure about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments and disclosures about credit-risk-related contingent features in derivative agreements.

The Master Fund’s market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Master Fund’s open positions and the liquidity of the markets in which it trades.

The Master Fund engages in the speculative trading of futures and forward contracts on interest rates, grains, softs, currencies, metals, energies, livestock and stock indices. The following were the primary trading risk exposures of the Master Fund at March 31, 2016 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.

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 March 31, 2016 and December 31, 2015. 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 March 31, 2016

											Net
											Unrealized
											Gain (Loss)
	Fair Value - Long Positions					Fair Value - Short Positions					on Open
Sector	Gains		Losses			Gains		Losses			Positions
Futures contracts:
Energies	$	17,685	$	(82,880	)	$	40,060	$	(105,537	)	$	(130,672	)
Grains		70,742		(1,731	)		249,363		(127,185	)		191,189
Interest rates		2,434,657		(157,888	)		17,107		(49,573	)		2,244,303
Livestock		-		(15,970	)		8,470		(2,320	)		(9,820	)
Metals		166,075		(402,967	)		231,875		(471,633	)		(476,650	)
Softs		96,422		(47,199	)		9,859		(113,265	)		(54,183	)
Stock indices		561,183		(213,463	)		222,181		(88,816	)		481,085
Total futures contracts		3,346,764		(922,098	)		778,915		(958,329	)		2,245,252

Forward currency contracts		5,728,961		(110,888	)		297,354		(2,718,567	)		3,196,860

Total futures and forward currency contracts	$	9,075,725	$	(1,032,986	)	$	1,076,269	$	(3,676,896	)	$	5,442,112

Fair value of futures and forward currency contracts at December 31, 2015

											Net Unrealized Gain (Loss)
	Fair Value - Long Positions					Fair Value - Short Positions					on Open
Sector	Gains		Losses			Gains		Losses			Positions
Futures contracts:
Energies	$	10,310	$	(38,400	)	$	1,633,223	$	(364,420	)	$	1,240,713
Grains		-		-			487,520		(9,187	)		478,333
Interest rates		814,802		(1,061,321	)		-		(925	)		(247,444	)
Livestock		-		-			-		(104,550	)		(104,550	)
Metals		407,419		(44,788	)		543,624		(424,099	)		482,156
Softs		171,009		(109,903	)		100		(109,199	)		(47,993	)
Stock indices		708,220		(221,271	)		94,368		(26,590	)		554,727
Total futures contracts		2,111,760		(1,475,683	)		2,758,835		(1,038,970	)		2,355,942

Forward currency contracts		596,972		(1,464,612	)		3,130,304		(897,167	)		1,365,497

Total futures and forward currency contracts	$	2,708,732	$	(2,940,295	)	$	5,889,139	$	(1,936,137	)	$	3,721,439

The effect of trading futures and forward currency contracts is represented on the Master Fund’s Statements of Operations for the three months ended March 31, 2016 and 2015 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 months ended March 31, 2016 and 2015

	Three months			Three months
	ended:			ended:
	March 31,			March 31,
Sector	2016			2015
Futures contracts:
Energies	$	1,011,721		$	46,732
Grains		356,917			(632,827	)
Interest rates		12,345,114			5,316,663
Livestock		(3,700	)		307,790
Metals		(600,975	)		170,813
Softs		(901,352	)		348,617
Stock indices		3,191,703			4,573,088
Total futures contracts		15,399,428			10,130,876

Forward currency contracts		1,843,988			1,985,750

Total futures and forward currency contracts	$	17,243,416		$	12,116,626

For the three months ended March 31, 2016 and 2015, the monthly average number of future contracts bought and sold and the monthly average notional value of forward currency contracts traded are detailed below:

	2016		2015

Average bought		12,220		10,280
Average sold		12,401		10,129
Average notional	$	1,416,000,000	$	1,194,000,000

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 during September 2015.

Offsetting of derivative assets and liabilities at March 31, 2016
			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	$	1,737,422	$	(478,645	)	$	1,258,777
Counterparty I		2,388,257		(1,401,782	)		986,475
Total futures contracts		4,125,679		(1,880,427	)		2,245,252

Forward currency contracts
Counterparty G		3,253,893		(2,074,812	)		1,179,081
Counterparty H		2,772,422		(754,643	)		2,017,779
Total forward currency contracts		6,026,315		(2,829,455	)		3,196,860

Total assets	$	10,151,994	$	(4,709,882	)	$	5,442,112

			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	$	1,258,777	$	-	$	(1,258,777	)	$	-
Counterparty I		986,475		-		(986,475	)		-
Counterparty G		1,179,081		-		-			1,179,081
Counterparty H		2,017,779		-		-			2,017,779
Total	$	5,442,112	$	-	$	(2,245,252	)	$	3,196,860

(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 broker.

(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 March 31, 2016.

Offsetting of derivative assets and liabilities at December 31, 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	$	1,841,417	$	(1,090,906	)	$	750,511
Counterparty I		3,029,178		(1,423,747	)		1,605,431
Total futures contracts		4,870,595		(2,514,653	)		2,355,942

Forward currency contracts
Counterparty G		2,843,717		(1,155,532	)		1,688,185

Total assets		7,714,312		(3,670,185	)		4,044,127

			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	$	1,206,247	$	(883,559	)	$	322,688

Total liabilities	$	1,206,247	$	(883,559	)	$	322,688

			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	$	750,511	$	-	$	(750,511	)	$	-
Counterparty I		1,605,431		-		(1,605,431	)		-
Counterparty G		1,688,185		-		-			1,688,185

Total	$	4,044,127		-	$	(2,355,942	)	$	1,688,185

			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	$	322,688	$	-	$	(322,688	)	$	-
Total	$	322,688	$	-	$	(322,688	)	$	-

(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, 2015.

(4) Net amount represents the amounts owed by the Partnership to each counterparty as of December 31, 2015.

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 by 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 $20,070,703 and $18,848,878 at March 31, 2016 and December 31, 2015, respectively.

5. PROFIT SHARE

The following table indicates the total profit share earned and accrued during the three months ended March 31, 2016 and 2015. 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.

	Three months ended:			Three months ended:
	March 31, 2016			March 31, 2015
Profit share earned	$	20,561		$	-
Profit share accrued		1,981,827	(1)		149,160
Total profit share	$	2,002,388		$	149,160

(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 and forward contracts, and may trade swap, spot and options contracts, on interest rates, commodities, currencies, metals, energy and stock indices. 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 to be 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.

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 at exchange, 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, forward 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, forward 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, forward 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 March 31, 2016, 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, forward 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. 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.

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.

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.

Period ended March 31, 2016

	Total
	Partners'
	Capital of the
Month Ending:	Partnership
March 31, 2016	$	131,426,405
December 31, 2015		122,195,232

	Three Months
Change in Partners' Capital	$	9,231,173
Percent Change		7.55	%

THREE MONTHS ENDED MARCH 31, 2016

The increase in the Partnership’s net assets of $9,231,173 was attributable to net income after profit share through its investment in the Master Fund of $9,531,054 and contributions of $2,233,000 which were partially offset by withdrawals of $2,532,881.

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 March 31, 2016 increased $39,674 relative to the corresponding period in 2015. The increase was due to an increase in the average net asset value of the Partnership during the three months ended March 31, 2016, relative to the corresponding period in 2015.

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 March 31, 2016 increased $10,898 relative to the corresponding period in 2015. The increase was due mainly to an increase in trading volume at the Master Fund, relative to the corresponding period in 2015.

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 March 31, 2016 increased $31,452 relative to the corresponding period in 2015. 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 March 31, 2016, relative to the corresponding period in 2015.

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 March 31, 2016 increased $10,077 relative to the corresponding period in 2015. The increase was due mainly to an increase in the Partnership’s average net asset value during the three months ended March 31, 2016, relative to the corresponding period in 2015.

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 March 31, 2016 increased $62,478 relative to the corresponding period in 2015. This increase was due predominantly to an increase in short-term U.S. Treasury yields during the three months ended March 31, 2016 relative to the corresponding period in 2015, and partially due to an increase in average net assets over the same period.

For the three months ended March 31, 2016, the Partnership, through its investment in the Master Fund, achieved net realized and unrealized gains of $12,734,581 from trading operations (including foreign exchange transactions and translations). Management fees of $647,381, brokerage commissions of $92,975, selling commissions and platform fees of $587,436, administrative and operating expenses of $166,052, custody fees and other expenses of $5,520, and profit share of $1,800,842 were paid or accrued. Interest income of $96,679 partially offset the Master Fund expenses allocated to the Partnership resulting in net income after profit share of $9,531,054.

An analysis of the Master Fund’s trading gain (loss) by sector is as follows:

	% Gain
Sector	(Loss)
Currencies		1.04	%
Energies		0.68	%
Grains		0.22	%
Interest rates		7.37	%
Livestock		(0.00	)%
Metals		(0.31	)%
Softs		(0.49	)%
Stock indices		1.77	%
Trading gain		10.28	%

MANAGEMENT DISCUSSION – 2016

Three months ended March 31, 2016

During a quarter of extreme market volatility, the Fund registered a strong performance led by gains on long interest rate futures positions. Trading of equity futures and foreign exchange forwards were also profitable. Meanwhile, commodity futures were marginally negative as a gain from trading energy futures was outweighed by fractional losses from trading metal and agricultural futures.

Concerns about global growth that International Monetary Fund Managing Director Christine Lagarde described as ‘…too low, too fragile and facing increased risks to its durability…”, combined with doubts about policy makers’ competence and capabilities, generated strong demand for government securities for most of the quarter. The demand for this debt was underpinned when: the Bank of Japan moved official interest rates into negative territory at the end of January; the Bank of England delayed any potential rate increase; the European Central Bank (the “ECB”) and People’s Bank of China (the “PBOC”) eased monetary policy in March; and a speech by Federal Reserve (“Fed”) Chair Janet Yellen squashed expectations for a near term Fed rate increase. Consequently, long positions in U.S., German, French, Italian, British, Japanese, Australian and Canadian notes and bonds were profitable. Long positions in short-term dollar and sterling interest rate futures were also profitable.

Equity markets were particularly volatile during the first quarter of 2016, tracing out a classic V-shaped path. The tumultuous first half of the period saw many equity indices experiencing multiyear lows before rebounding impressively over the second half of the quarter. Early on, weak economic data out of China and concerns about official policy decisions generated a renewed rout in Chinese equities and the yuan. These events, combined with a further collapse in energy prices; worries that Fed interest rate increases and a stronger dollar might impede global growth; and a halt in corporate profit growth, produced a broad, sharp equity selloff. Later, equity prices recovered as energy prices rebounded, the ECB, PBOC and Fed displayed easier policy tendencies, the U.S. dollar eased and growth concerns moderated. On balance, short positions in Chinese, Hong Kong, Japanese, Singaporean, Indian, and Spanish futures were profitable. Trading of U.S. and Canadian stock index futures also posted gains. On the other hand, short positions in Dutch and South African futures, a long U.K stock futures position, and trading of the European stoxx future resulted in somewhat offsetting losses.

Foreign exchange trading was also volatile. At the beginning of the year, given the search for safety, declining oil prices and the Fed “relatively hawkish” policy position, the U.S. dollar strengthened. Thus, during January and February, long dollar trades versus the pound sterling, Canadian dollar, Korean won, Russian Ruble and Mexican peso were profitable. The pound fell precipitously when the possibility of Britain’s exit from the EU became more likely and Boris Johnson, the mayor of London, endorsed the move. As the quarter unfolded, however, the PBOC aggressively implemented measures to support the yuan; the G-20 Shanghai Communique in late February signaled a strong stance against currency competition that took some steam out of the dollar; and the likelihood of a near term increase in interest rates by the Fed diminished, prompting a U.S. dollar decline, especially against emerging market currencies where interest rates tend to be higher. A stabilization of commodity prices also helped the commodity producing countries. A series of events abroad further encouraged the U.S. dollar slippage: Mexico’s surprise February 50 basis point hike in official interest rates; the increasing likelihood of an ouster of President Dilma Rousseff in Brazil; an increase in official rates in South Africa; and rising oil prices and high interest rates supporting the Russian ruble. Consequently, short dollar positions against the currencies of Australia, Brazil, Canada, Columbia, India, Israel, Mexico, New Zealand, Russia, South Africa, and Turkey were profitable. On the other hand, long dollar trades versus the euro, yen, Swiss franc, Swedish krona, Norwegian kroner, Czech koruna, Polish zloty and Chilean peso were unprofitable.

With the International Energy Agency suggesting that the “…world could drown in [oil] oversupply…”; with crude oil production at or near recent record levels in many countries—e.g., Saudi Arabia, Russia, the U.S., and Iraq; with Iranian exports ramping up; and with global demand still sluggish, crude prices slumped below $30 per barrel in January. Short positions in Brent crude, WTI crude, RBOB gasoline, London gas oil, heating oil and natural gas were profitable. Subsequently, reports that Saudi Arabia, Russia and a number of other producers were discussing plans for a production freeze and would meet in Doha in April sparked an oil price rebound. Indeed, oil prices reached a three month high above $40 per barrel on March 18. Consequently, losses were suffered on these same short crude oil, crude products and natural gas trades, and positions were reduced and/or reversed. Overall, energy trading was fractionally profitable for the quarter due to gains from WTI crude, natural gas, London gas oil and spread trading of crude.

Industrial metal prices vacillated during the quarter but did move up somewhat in synchrony with energy prices, and short positions in industrial metals were unprofitable. Safe haven demand pushed up gold prices, especially in February, and a small long trade was fractionally profitable, providing a partial offset.

Trading of sugar was unprofitable, as was a long cocoa trade in January, and a short Arabica coffee position in March. The profits from short corn and wheat trades fractionally outdistanced the losses from trading soybeans and soybean meal.

Period ended March 31, 2015

	Total
	Partners'
	Capital of the
Month Ending:	Partnership
March 31, 2015	$	128,136,795
December 31, 2014		118,612,480

	Three Months
Change in Partners' Capital	$	9,524,315
Percent Change		8.03	%

THREE MONTHS ENDED MARCH 31, 2015

The increase in the Partnership’s net assets of $9,524,315 was attributable to net income after profit share through its investment in the Master Fund of $7,445,547 and contributions of $4,056,600 which were partially offset by withdrawals of $1,977,832.

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 March 31, 2015 decreased $18,857 relative to the corresponding period in 2014. The decrease was due to a decrease in the average net asset value of the Partnership during the three months ended March 31, 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 March 31, 2015 decreased $58,816 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 March 31, 2015 decreased $4,521 relative to the corresponding period in 2014. 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 March 31, 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 March 31, 2015 decreased $13,578 relative to the corresponding period in 2014. The decrease was due mainly to a decrease in the Partnership’s average net asset value during the three months ended March 31, 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 March 31, 2015 decreased $4,058 relative to the corresponding period in 2014. This decrease was due primarily to a decrease in the Partnership’s average net asset value during the three months ended March 31, 2015 relative to the corresponding period in 2014.

For the three months ended March 31, 2015, the Partnership, through its investment in the Master Fund, achieved net realized and unrealized gains of $8,896,256 from trading operations (including foreign exchange transactions and translations). Management fees of $607,707, brokerage commissions of $82,077, selling commissions and platform fees of $555,984, administrative and operating expenses of $155,975, custody fees and other expenses of $5,444, and profit share of $77,723 were paid or accrued. Interest income of $34,201 partially offset the Master Fund expenses allocated to the Partnership resulting in net income after profit share of $7,445,547.

An analysis of the Master Fund’s trading gain (loss) by sector is as follows:

	% Gain
Sector	(Loss)
Currencies		1.22	%
Energies		0.01	%
Grains		(0.37	)%
Interest rates		3.28	%
Livestock		0.20	%
Metals		0.12	%
Softs		0.22	%
Stock indices		2.72	%
Trading gain		7.40	%

MANAGEMENT DISCUSSION – 2015

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 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 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.

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). The Partnership, through its investment in the Master Fund, may also engage in trading swaps. 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 March 31, 2016 and December 31, 2015.

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 March 31, 2016 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

CYBER SECURITY ISSUES

With the increased use of technologies such as the Internet to conduct business, the Partnership and the Master Fund is susceptible to operational, information security and related risks. In general, cyber incidents can result from deliberate attacks or unintentional events. Cyber-attacks include, but are not limited to, gaining unauthorized access to digital systems (e.g., through "hacking" or malicious software coding) for purposes of misappropriating assets or sensitive information, corrupting data, or causing operational disruption. Cyber-attacks may also be carried out in a manner that does not require gaining unauthorized access, such as causing denial-of-service attacks on websites (i.e., efforts to make network services unavailable to intended users). Cyber security failures or breaches by the Partnership and the Master Fund, and other service providers (including, but not limited to custodians), and the issuers of securities in which the Master Fund invests, have the ability to cause disruptions and impact business operations, potentially resulting in financial losses, interference with the Partnership and the Master Fund’s ability to calculate its net asset value, impediments to trading, violations of applicable privacy and other laws, regulatory fines, penalties, reputational damage, reimbursement or other compensation costs, or additional compliance costs. In addition, substantial costs may be incurred in order to prevent any cyber incidents in the future. While the Partnership and the Master Fund has established business continuity plans in the event of, and risk management systems to prevent, such cyber attacks, there are inherent limitations in such plans and systems including the possibility that certain risks have not been identified. Furthermore, the Partnership and the Master Fund cannot control the cyber security plans and systems put in place by service providers to the Partnership and the Master Fund and issuers in which the Master Fund invests. The Partnership and the Master Fund and its clients could be negatively impacted as a result.

ITEM 2. UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS

(a) Pursuant to the Partnership's Third Amended and Restated Limited Partnership Agreement (the “Partnership Agreement”), the Partnership may sell Interests at the beginning of each calendar month. On January 1, 2016, February 1, 2016, and March 1, 2016, the Partnership sold Interests to new and existing limited partners of $50,000, $1,110,000 and $1,073,000 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.

(b) Pursuant to the Partnership’s 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 March 31, 2016.

	Series A					Series B				Series C
Date of	Units			NAV		Units		NAV		Units			NAV
Withdrawal	Redeemed			per Unit		Redeemed		per Unit		Redeemed			per Unit
January 31, 2016		(853.2637	)	$	1,068.97		-	$	1,177.59		(13.9410	)	$	1,196.86
February 29, 2016		(853.9776	)		1,099.84		-		1,213.16		(24.7430	)		1,233.18
March 31, 2016		(577.9368	)		1,097.58		-		1,212.07		-			1,232.32

Total		(2,285.1781	)				-				(38.6840	)

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 President and 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 President and 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

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: May 13, 2016

	/s/ Michael W. Carter
	Michael W. Carter
	Vice-President
	(Principal Accounting Officer)

Millburn Multi-Markets Fund L.P. - FORM 10-Q - May 13, 2016

Attached files

Millburn Multi-Markets Fund L.P. Reports