Attached files
file | filename |
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EX-32.03 - EXHIBIT 32.03 - Millburn Multi-Markets Fund L.P. | s107976_ex32-03.htm |
EX-32.02 - EXHIBIT 32.02 - Millburn Multi-Markets Fund L.P. | s107976_ex32-02.htm |
EX-32.01 - EXHIBIT 32.01 - Millburn Multi-Markets Fund L.P. | s107976_ex32-01.htm |
EX-31.03 - EXHIBIT 31.03 - Millburn Multi-Markets Fund L.P. | s107976_ex31-03.htm |
EX-31.02 - EXHIBIT 31.02 - Millburn Multi-Markets Fund L.P. | s107976_ex31-02.htm |
EX-31.01 - EXHIBIT 31.01 - Millburn Multi-Markets Fund L.P. | s107976_ex31-01.htm |
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
☒ | Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 |
For the Quarterly Period Ended: September 30, 2017
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 ☒ No ☐
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).
Yes ☒ No ☐
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer”, “accelerated filer,” “smaller reporting company”, and “emerging growth 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 ☒ |
Emerging growth company ☐ |
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.
Yes ☐ No ☐
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).
Yes ☐ No ☒
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, 2017 and 2016 (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, 2017 and December 31, 2016 (unaudited)
(b) For the nine months ended September 30, 2017 and 2016 (unaudited)
(c) For the three and nine months ended September 30, 2017 and 2016 (unaudited)
Millburn Multi-Markets Fund L.P.
Statements of Financial Condition (UNAUDITED)
September 30, 2017 | December 31, 2016 | |||||||
ASSETS | ||||||||
Investment in Millburn Multi-Markets | ||||||||
Trading L.P. (the “Master Fund”) | $ | 179,662,569 | $ | 172,886,333 | ||||
Due from the Master Fund | 2,480,864 | 2,876,148 | ||||||
Cash and cash equivalents | 807,107 | 2,119,000 | ||||||
Total assets | $ | 182,950,540 | $ | 177,881,481 | ||||
LIABILITIES AND PARTNERS’ CAPITAL | ||||||||
LIABILITIES: | ||||||||
Capital contributions received in advance | $ | 807,000 | $ | 2,119,000 | ||||
Capital withdrawal payable to Limited Partners | 2,480,864 | 2,076,148 | ||||||
Capital withdrawal payable to General Partner | — | 800,000 | ||||||
Due to the Master Fund | 107 | — | ||||||
Total liabilities | 3,287,971 | 4,995,148 | ||||||
PARTNERS’ CAPITAL: | ||||||||
General Partner | 2,897,144 | 2,779,224 | ||||||
Limited partners: | ||||||||
Series A (143,576.1126 and 140,590.2950 units outstanding) | 163,661,026 | 158,782,193 | ||||||
Series B (6,982.9299 and 7,017.8811 units outstanding) | 8,976,840 | 8,846,058 | ||||||
Series C (3,146.8994 and 1,930.6399 units outstanding) | 4,127,559 | 2,478,858 | ||||||
Total limited partners | 176,765,425 | 170,107,109 | ||||||
Total partners’ capital | 179,662,569 | 172,886,333 | ||||||
TOTAL | $ | 182,950,540 | $ | 177,881,481 | ||||
NET ASSET VALUE PER UNIT OUTSTANDING: | ||||||||
Series A | $ | 1,139.89 | $ | 1,129.40 | ||||
Series B | $ | 1,285.54 | $ | 1,260.50 | ||||
Series C | $ | 1,311.63 | $ | 1,283.96 |
See notes to financial statements (Unaudited)
1
Millburn Multi-Markets Fund L.P.
Statements of Operations (UNAUDITED)
For the three months ended | ||||||||
September 30, 2017 | September 30, 2016 | |||||||
INVESTMENT INCOME: | ||||||||
Interest income (allocated from the Master Fund) | $ | 399,476 | $ | 168,252 | ||||
EXPENSES: | ||||||||
Management fees | 912,657 | 796,810 | ||||||
Brokerage commissions (allocated from the Master Fund) | 144,862 | 90,460 | ||||||
Selling commissions and platform fees | 847,959 | 723,400 | ||||||
Administrative and operating expenses | 159,790 | 203,842 | ||||||
Custody fees and other expenses (allocated from the Master Fund) | 8,005 | 6,867 | ||||||
Total expenses | 2,073,273 | 1,821,379 | ||||||
NET INVESTMENT LOSS | (1,673,797 | ) | (1,653,127 | ) | ||||
REALIZED AND UNREALIZED GAINS (LOSSES) | ||||||||
ALLOCATED FROM THE MASTER FUND | ||||||||
Net realized gains (losses) on closed positions: | ||||||||
Futures and forward currency contracts | (684,481 | ) | 5,049,885 | |||||
Foreign exchange translation | 258,680 | (23,059 | ) | |||||
Net change in unrealized: | ||||||||
Futures and forward currency contracts | 7,997,669 | (2,088,358 | ) | |||||
Foreign exchange translation | (14,722 | ) | 81,655 | |||||
Net gains (losses) from U.S. Treasury notes: | ||||||||
Net change in unrealized | 42,731 | (32,504 | ) | |||||
Net realized and unrealized gains allocated from the Master Fund | 7,599,877 | 2,987,619 | ||||||
NET INCOME | 5,926,080 | 1,334,492 | ||||||
LESS PROFIT SHARE ALLOCATION | 386,837 | 254,063 | ||||||
FROM THE MASTER FUND | ||||||||
NET INCOME AFTER PROFIT SHARE | $ | 5,539,243 | $ | 1,080,429 |
(Continued)
2
Millburn Multi-Markets Fund L.P.
Statements of Operations (UNAUDITED)
For the nine months ended | ||||||||
September 30, 2017 | September 30, 2016 | |||||||
INVESTMENT INCOME: | ||||||||
Interest income (allocated from the Master Fund) | $ | 1,005,972 | $ | 380,227 | ||||
EXPENSES: | ||||||||
Management fees | 2,709,419 | 2,114,538 | ||||||
Brokerage commissions (allocated from the Master Fund) | 391,150 | 267,872 | ||||||
Selling commissions and platform fees | 2,523,380 | 1,919,462 | ||||||
Administrative and operating expenses | 490,833 | 541,800 | ||||||
Custody fees and other expenses (allocated from the Master Fund) | 24,797 | 18,562 | ||||||
Total expenses | 6,139,579 | 4,862,234 | ||||||
NET INVESTMENT LOSS | (5,133,607 | ) | (4,482,007 | ) | ||||
REALIZED AND UNREALIZED GAINS (LOSSES) | ||||||||
ALLOCATED FROM THE MASTER FUND | ||||||||
Net realized gains on closed positions: | ||||||||
Futures and forward currency contracts | 12,685,017 | 24,569,098 | ||||||
Foreign exchange translation | 242,374 | 33,396 | ||||||
Net change in unrealized: | ||||||||
Futures and forward currency contracts | (5,837,585 | ) | 1,140,607 | |||||
Foreign exchange translation | 397,153 | 71,004 | ||||||
Net gains (losses) from U.S. Treasury notes: | ||||||||
Net change in unrealized | (73,085 | ) | 120,649 | |||||
Net realized and unrealized gains allocated from the Master Fund | 7,413,874 | 25,934,754 | ||||||
NET INCOME | 2,280,267 | 21,452,747 | ||||||
LESS PROFIT SHARE ALLOCATION | 446,914 | 3,763,011 | ||||||
FROM THE MASTER FUND | ||||||||
NET INCOME AFTER PROFIT SHARE | $ | 1,833,353 | $ | 17,689,736 |
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, 2017 and 2016
Limited Partners | ||||||||||||||||||||||||||||||||
General | ||||||||||||||||||||||||||||||||
Partner | Series A | Series B | Series C | Total | ||||||||||||||||||||||||||||
Amount | Amount | Units | Amount | Units | Amount | Units | Amount | |||||||||||||||||||||||||
PARTNERS’ CAPITAL — December 31, 2016 | $ | 2,779,224 | $ | 158,782,193 | 140,590.2950 | $ | 8,846,058 | 7,017.8811 | $ | 2,478,858 | 1,930.6399 | $ | 172,886,333 | |||||||||||||||||||
Capital contributions | — | 22,783,577 | 19,836.2183 | 952,000 | 752.2613 | 315,000 | 240.6106 | 24,050,577 | ||||||||||||||||||||||||
Capital withdrawals | — | (17,672,573 | ) | (15,358.9212 | ) | (1,011,080 | ) | (787.2125 | ) | (424,041 | ) | (321.7214 | ) | (19,107,694 | ) | |||||||||||||||||
Transfers between Series | (1,663,205 | ) | (1,491.4795 | ) | 1,663,205 | 1,297.3703 | — | |||||||||||||||||||||||||
Net income before profit share | 117,920 | 1,806,103 | — | 240,618 | — | 115,626 | — | 2,280,267 | ||||||||||||||||||||||||
Profit share | (375,069 | ) | (50,756 | ) | (21,089 | ) | (446,914 | ) | ||||||||||||||||||||||||
PARTNERS’ CAPITAL — September 30, 2017 | $ | 2,897,144 | $ | 163,661,026 | 143,576.1126 | $ | 8,976,840 | 6,982.9299 | $ | 4,127,559 | 3,146.8994 | $ | 179,662,569 | |||||||||||||||||||
Net Asset Value per Unit at September 30, 2017 | $ | 1,139.89 | $ | 1,285.54 | $ | 1,311.63 |
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 | — | 29,227,508 | 25,854.3736 | 319,876 | 250.1280 | — | — | 29,547,384 | ||||||||||||||||||||||||
Capital withdrawals | — | (7,576,692 | ) | (6,833.8174 | ) | (826,341 | ) | (650.8812 | ) | (408,752 | ) | (333.7870 | ) | (8,811,785 | ) | |||||||||||||||||
Net income before profit share | 622,943 | 18,842,533 | — | 1,533,908 | — | 453,363 | — | 21,452,747 | ||||||||||||||||||||||||
Profit share | (3,365,557 | ) | (307,481 | ) | (89,973 | ) | (3,763,011 | ) | ||||||||||||||||||||||||
PARTNERS’ CAPITAL — September 30, 2016 | $ | 3,664,545 | $ | 145,274,043 | 125,166.0063 | $ | 9,100,665 | 7,048.4034 | $ | 2,581,314 | 1,963.8201 | $ | 160,620,567 | |||||||||||||||||||
Net Asset Value per Unit at September 30, 2016 | $ | 1,160.65 | $ | 1,291.17 | $ | 1,314.44 |
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, 2017
The following information presents per unit operating performance data for each series for the three months ended September 30, 2017.
Per Unit Performance | ||||||||||||
(For a Unit Outstanding Throughout the Period) | Series A | Series B | Series C | |||||||||
NET ASSET VALUE PER UNIT — Beginning of period | $ | 1,106.68 | $ | 1,246.45 | $ | 1,271.22 | ||||||
INCOME (LOSS) ALLOCATED FROM MASTER FUND: | ||||||||||||
Net investment loss (1) | (10.88 | ) | (6.39 | ) | (5.98 | ) | ||||||
Total trading and investing gains (1) | 46.27 | 52.12 | 52.95 | |||||||||
Net income before profit share allocation from Master Fund | 35.39 | 45.73 | 46.97 | |||||||||
Less: profit share allocation from Master Fund (1) (6) | 2.18 | 6.64 | 6.56 | |||||||||
Net income from operations after profit share allocation from Master Fund | 33.21 | 39.09 | 40.41 | |||||||||
NET ASSET VALUE PER UNIT — End of period | $ | 1,139.89 | $ | 1,285.54 | $ | 1,311.63 | ||||||
TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM MASTER FUND (2) | 3.19 | % | 3.66 | % | 3.68 | % | ||||||
LESS: PROFIT SHARE ALLOCATION FROM MASTER FUND (2) (6) | 0.19 | 0.52 | 0.50 | |||||||||
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM MASTER FUND (2) | 3.00 | % | 3.14 | % | 3.18 | % | ||||||
RATIOS TO AVERAGE NET ASSET VALUE: | ||||||||||||
Expenses (3) (4) (5) | 4.69 | % | 2.86 | % | 2.70 | % | ||||||
Profit share allocation from Master Fund (2) (6) | 0.19 | 0.52 | 0.50 | |||||||||
Total expenses | 4.88 | % | 3.38 | % | 3.20 | % | ||||||
Net investment loss (3) (4) (5) | (3.83 | )% | (1.99 | )% | (1.82 | )% |
(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. |
(Continued)
5
Millburn Multi-Markets Fund L.P.
Statement of Financial Highlights (UNAUDITED)
For the nine months ended September 30, 2017
The following information presents per unit operating performance data for each series for the nine months ended September 30, 2017.
Per Unit Performance | ||||||||||||
(For a Unit Outstanding Throughout the Period) | Series A | Series B | Series C | |||||||||
NET ASSET VALUE PER UNIT — Beginning of period | $ | 1,129.40 | $ | 1,260.50 | $ | 1,283.96 | ||||||
INCOME (LOSS) ALLOCATED FROM MASTER FUND: | ||||||||||||
Net investment loss (1) | (33.77 | ) | (20.83 | ) | (19.08 | ) | ||||||
Total trading and investing gains (1) | 47.07 | 52.83 | 54.61 | |||||||||
Net income before profit share allocation from Master Fund | 13.30 | 32.00 | 35.53 | |||||||||
Less: profit share allocation from Master Fund (1) (6) | 2.81 | 6.96 | 7.86 | |||||||||
Net income from operations after profit share allocation from Master Fund | 10.49 | 25.04 | 27.67 | |||||||||
NET ASSET VALUE PER UNIT — End of period | $ | 1,139.89 | $ | 1,285.54 | $ | 1,311.63 | ||||||
TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM MASTER FUND (2) | 1.15 | % | 2.55 | % | 2.88 | % | ||||||
LESS: PROFIT SHARE ALLOCATION FROM MASTER FUND (2) (6) | 0.22 | 0.56 | 0.72 | |||||||||
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM MASTER FUND (2) | 0.93 | % | 1.99 | % | 2.16 | % | ||||||
RATIOS TO AVERAGE NET ASSET VALUE: | ||||||||||||
Expenses (3) (4) (5) | 4.68 | % | 2.90 | % | 2.68 | % | ||||||
Profit share allocation from Master Fund (2) (6) | 0.22 | 0.56 | 0.72 | |||||||||
Total expenses | 4.90 | % | 3.46 | % | 3.40 | % | ||||||
Net investment loss (3) (4) (5) | (3.94 | )% | (2.17 | )% | (1.93 | )% |
(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 three months ended September 30, 2016
The following information presents per unit operating performance data for each series for the three months ended September 30, 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 | $ | 1,153.29 | $ | 1,278.43 | $ | 1,300.62 | ||||||
INCOME (LOSS) ALLOCATED FROM MASTER FUND: | ||||||||||||
Net investment loss (1) | (12.73 | ) | (8.53 | ) | (7.85 | ) | ||||||
Total trading and investing gains (1) | 20.66 | 24.81 | 26.11 | |||||||||
Net income before profit share allocation from Master Fund | 7.93 | 16.28 | 18.26 | |||||||||
Less: profit share allocation from Master Fund (1) (6) | 0.57 | 3.54 | 4.44 | |||||||||
Net income from operations after profit share allocation from Master Fund | 7.36 | 12.74 | 13.82 | |||||||||
NET ASSET VALUE PER UNIT — End of period | $ | 1,160.65 | $ | 1,291.17 | $ | 1,314.44 | ||||||
TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM MASTER FUND (2) | 0.80 | % | 1.25 | % | 1.31 | % | ||||||
LESS: PROFIT SHARE ALLOCATION FROM MASTER FUND (2) (6) | 0.16 | 0.25 | 0.25 | |||||||||
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM MASTER FUND (2) | 0.64 | % | 1.00 | % | 1.06 | % | ||||||
RATIOS TO AVERAGE NET ASSET VALUE: | ||||||||||||
Expenses (3) (4) (5) | 4.81 | % | 3.08 | % | 2.83 | % | ||||||
Profit share allocation from Master Fund (2) (6) | 0.16 | 0.25 | 0.25 | |||||||||
Total expenses | 4.97 | % | 3.33 | % | 3.08 | % | ||||||
Net investment loss (3) (4) (5) | (4.39 | )% | (2.65 | )% | (2.40 | )% |
(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, 2016
The following information presents per unit operating performance data for each series for the nine months ended September 30, 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) | (37.48 | ) | (25.28 | ) | (23.34 | ) | ||||||
Total trading and investing gains (1) | 209.06 | 233.21 | 236.78 | |||||||||
Net income before profit share allocation from Master Fund | 171.58 | 207.93 | 213.44 | |||||||||
Less: profit share allocation from Master Fund (1) (6) | 29.78 | 41.81 | 42.22 | |||||||||
Net income from operations after profit share allocation from Master Fund | 141.80 | 166.12 | 171.22 | |||||||||
NET ASSET VALUE PER UNIT — End of period | $ | 1,160.65 | $ | 1,291.17 | $ | 1,314.44 | ||||||
TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM MASTER FUND (2) | 16.58 | % | 18.14 | % | 18.36 | % | ||||||
LESS: PROFIT SHARE ALLOCATION FROM MASTER FUND (2) (6) | 2.66 | 3.38 | 3.38 | |||||||||
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM MASTER FUND (2) | 13.92 | % | 14.76 | % | 14.98 | % | ||||||
RATIOS TO AVERAGE NET ASSET VALUE: | ||||||||||||
Expenses (3) (4) (5) | 4.83 | % | 3.08 | % | 2.83 | % | ||||||
Profit share allocation from Master Fund (2) (6) | 2.66 | 3.38 | 3.38 | |||||||||
Total expenses | 7.49 | % | 6.46 | % | 6.21 | % | ||||||
Net investment loss (3) (4) (5) | (4.47 | )% | (2.73 | )% | (2.48 | )% |
(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, 2017 (unaudited) and December 31, 2016 and the results of its operations for the three and nine months ended September 30, 2017 and 2016 (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 2016 annual report included in Form 10-K filed with the Securities and Exchange Commission. The December 31, 2016 information has been derived from the audited financial statements as of December 31, 2016.
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 indemnification provisions. 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, 2014 to 2017, 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 2016.
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, 2017 and December 31, 2016 was 36.51% and 74.91%, 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.
Prior to January 1, 2017, the General Partner was 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. As of January 1, 2017, the Administration Fee was no longer being charged. The Partnership was allocated its pro-rata portion of the administration fee which was charged at the Master Fund level. As of December 31, 2016, $9,903 was payable by the Master Fund to the General Partner and was included in “accrued expenses” in the Master Fund’s Statements of Financial Condition.
Series A Limited Partners 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, 2017 and December 31, 2016, there were no redemption charges owed to the General Partner.
Effective August 24, 2017, the Partnership began offering a new Series D which, like Series A, will be offered to accredited investors acquiring units through certain selling agents. The only difference between Series D and the other Partnership interests are its fees. No Series D Units have been issued as of November 13, 2017.
9
4. FINANCIAL HIGHLIGHTS
Per Unit operating performance for Series A, Series B and Series C Units is calculated based on Limited Partners’ Partnership 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, | |||||||||||||||
2017 | 2016 | 2017 | 2016 |
Series A | 148,282.529 | 123,785.440 | 146,547.251 | 113,006.923 | ||||||||||||
Series B | 7,014.374 | 7,188.676 | 7,010.924 | 7,354.335 | ||||||||||||
Series C | 2,814.813 | 2,012.683 | 2,251.568 | 2,131.661 |
5. SUBSEQUENT EVENTS
The General Partner has performed its evaluation of subsequent events from October 1, 2017 to November 13, 2017, the date this form 10-Q was filed. Based on such evaluation, no events were discovered that required disclosure or adjustment to the financial statements.
10
Millburn Multi-Markets Trading L.P. | ||
Financial statements | ||
For the three and nine months ended September 30, 2017 and 2016 (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, 2017 and December 31, 2016 (unaudited)
(b) For the nine months ended September 30, 2017 and 2016 (unaudited)
(c) For the three and nine months ended September 30, 2017 and 2016 (unaudited)
Millburn Multi-Markets Trading L.P.
Statements of Financial Condition (UNAUDITED)
September 30, | December 31, | |||||||
2017 | 2016 | |||||||
ASSETS | ||||||||
EQUITY IN TRADING ACCOUNTS: | ||||||||
Investments in U.S. Treasury notes — at fair value (amortized cost $105,728,604 and $27,441,546) | $ | 105,651,347 | $ | 27,428,997 | ||||
Net unrealized appreciation on open futures and forward currency contracts | 2,658,334 | 5,155,330 | ||||||
Due from brokers | 211,627 | 547,898 | ||||||
Cash denominated in foreign currencies (cost $23,708,420 and $6,590,374) | 24,152,999 | 6,335,327 | ||||||
Total equity in trading accounts | 132,674,307 | 39,467,552 | ||||||
INVESTMENTS IN U.S. TREASURY NOTES — at fair value | ||||||||
(amortized cost $356,699,373 and $179,527,858) | 356,505,453 | 179,440,654 | ||||||
CASH AND CASH EQUIVALENTS | 24,156,217 | 19,892,072 | ||||||
ACCRUED INTEREST RECEIVABLE | 1,072,127 | 414,884 | ||||||
DUE FROM MILLBURN MULTI-MARKETS LTD. | 4,638 | 100 | ||||||
DUE FROM MILLBURN MULTI-MARKETS FUND L.P. | 107 | — | ||||||
TOTAL | $ | 514,412,849 | $ | 239,215,262 | ||||
LIABILITIES AND PARTNERS’ CAPITAL | ||||||||
LIABILITIES: | ||||||||
Net unrealized depreciation on open futures and forward currency contracts | $ | 5,854,364 | $ | — | ||||
Capital withdrawal payable to Limited Partners | 2,580,068 | 2,929,148 | ||||||
Capital withdrawal payable to General Partner | — | 3,294,748 | ||||||
Management fee payable | 606,037 | 320,223 | ||||||
Selling commissions payable | 277,610 | 271,795 | ||||||
Accrued expenses | 168,825 | 184,565 | ||||||
Due to brokers | 11,705,760 | 1,390,404 | ||||||
Commissions and other trading fees on open futures contracts | 78,029 | 24,334 | ||||||
Accrued profit share | 1,037,700 | — | ||||||
Total liabilities | 22,308,393 | 8,415,217 | ||||||
PARTNERS’ CAPITAL | 492,104,456 | 230,800,045 | ||||||
TOTAL | $ | 514,412,849 | $ | 239,215,262 |
See notes to financial statements (Unaudited)
11
Millburn Multi-Markets Trading L.P.
Condensed Schedule of Investments (UNAUDITED)
September 30, 2017
Net Unrealized | ||||||||
Appreciation | ||||||||
(Depreciation) | Net Unrealized | |||||||
as a % of | Appreciation | |||||||
FUTURES AND FORWARD CURRENCY CONTRACTS | Partners’ Capital | (Depreciation) | ||||||
FUTURES CONTRACTS | ||||||||
Long futures contracts: | ||||||||
Energies | 0.18 | % | $ | 878,300 | ||||
Interest rates | (1.17 | ) | (5,745,739 | ) | ||||
Metals | (0.24 | ) | (1,166,120 | ) | ||||
Softs | (0.01 | ) | (31,163 | ) | ||||
Stock indices | 1.47 | 7,219,201 | ||||||
Total long futures contracts | 0.23 | 1,154,479 | ||||||
Short futures contracts: | ||||||||
Energies | (0.19 | ) | (941,765 | ) | ||||
Grains | 0.48 | 2,360,148 | ||||||
Interest rates | 0.02 | 104,691 | ||||||
Livestock | (0.04 | ) | (221,420 | ) | ||||
Metals | (0.11 | ) | (540,828 | ) | ||||
Softs | 0.05 | 245,113 | ||||||
Stock indices | 0.10 | 497,916 | ||||||
Total short futures contracts | 0.31 | 1,503,855 | ||||||
TOTAL INVESTMENTS IN FUTURES CONTRACTS — Net | 0.54 | 2,658,334 | ||||||
FORWARD CURRENCY CONTRACTS | ||||||||
Total long forward currency contracts | (1.66 | ) | (8,188,369 | ) | ||||
Total short forward currency contracts | 0.47 | 2,334,005 | ||||||
TOTAL INVESTMENTS IN FORWARD CURRENCY CONTRACTS — Net | (1.19 | ) | (5,854,364 | ) | ||||
TOTAL | (0.65 | )% | $ | (3,196,030 | ) |
(Continued)
12
Millburn Multi-Markets Trading L.P.
Condensed Schedule of Investments (UNAUDITED)
September 30, 2017
U.S. TREASURY NOTES
Face Amount | Description | Fair Value as a % of Partners' Capital | Fair Value | |||||||||
$ | 104,940,000 | U.S. Treasury notes, 0.875%, 11/15/2017 | 21.32 | % | $ | 104,931,802 | ||||||
116,040,000 | U.S. Treasury notes, 1.000%, 02/15/2018 | 23.57 | 115,992,405 | |||||||||
101,240,000 | U.S. Treasury notes, 1.000%, 05/15/2018 | 20.54 | 101,101,586 | |||||||||
140,540,000 | U.S. Treasury notes, 1.000%, 08/15/2018 | 28.48 | 140,131,007 | |||||||||
Total investments in U.S. Treasury notes | ||||||||||||
(amortized cost $462,427,977) | 93.91 | % | $ | 462,156,800 |
See notes to financial statements (Unaudited) | (Concluded) |
13
Millburn Multi-Markets Trading L.P.
Condensed Schedule of Investments
December 31, 2016
FUTURES AND FORWARD CURRENCY CONTRACTS | Net
Unrealized Appreciation (Depreciation) as a % of Partners’ Capital | Net Unrealized Appreciation (Depreciation) | ||||||
FUTURES CONTRACTS | ||||||||
Long futures contracts: | ||||||||
Energies | 0.05 | % | $ | 115,591 | ||||
Grains | (0.00 | ) | (2,980 | ) | ||||
Interest rates | ||||||||
10 Year U.S. Treasury Note (4 contracts, settlement date March 2017) | 0.00 | 3,188 | ||||||
Other interest rates | 0.96 | 2,222,359 | ||||||
Total interest rates | 0.96 | 2,225,547 | ||||||
Livestock | 0.00 | 2,280 | ||||||
Metals | (0.01 | ) | (22,535 | ) | ||||
Softs | (0.04 | ) | (87,444 | ) | ||||
Stock indices | 0.53 | 1,211,342 | ||||||
Total long futures contracts | 1.49 | 3,441,801 | ||||||
Short futures contracts: | ||||||||
Energies | (0.03 | ) | (75,226 | ) | ||||
Grains | 0.02 | 51,885 | ||||||
Interest rates | (0.01 | ) | (31,802 | ) | ||||
Metals | 0.12 | 288,271 | ||||||
Softs | 0.02 | 52,670 | ||||||
Stock indices | (0.14 | ) | (319,227 | ) | ||||
Total short futures contracts | (0.02 | ) | (33,429 | ) | ||||
TOTAL INVESTMENTS IN FUTURES CONTRACTS — Net | 1.47 | 3,408,372 | ||||||
FORWARD CURRENCY CONTRACTS | ||||||||
Total long forward currency contracts | (0.34 | ) | (784,446 | ) | ||||
Total short forward currency contracts | 1.10 | 2,531,404 | ||||||
TOTAL INVESTMENTS IN FORWARD CURRENCY CONTRACTS — Net | 0.76 | 1,746,958 | ||||||
TOTAL | 2.23 | % | $ | 5,155,330 |
(Continued)
14
Millburn Multi-Markets Trading L.P.
Condensed Schedule of Investments
December 31, 2016
U.S. TREASURY NOTES
Face
Amount | Description | Fair
Value as a % of Partners’ Capital | Fair Value | |||||||||
$ | 51,750,000 | U.S. Treasury notes, 0.625%, 02/15/2017 | 22.43 | % | $ | 51,755,054 | ||||||
51,140,000 | U.S. Treasury notes, 0.875%, 05/15/2017 | 22.18 | 51,192,938 | |||||||||
53,140,000 | U.S. Treasury notes, 0.875%, 08/15/2017 | 23.04 | 53,186,705 | |||||||||
50,730,000 | U.S. Treasury notes, 0.875%, 11/15/2017 | 21.98 | 50,734,954 | |||||||||
Total investments in U.S. Treasury notes | ||||||||||||
(amortized cost $206,969,404) | 89.63 | % | $ | 206,869,651 |
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, | |||||||
2017 | 2016 | |||||||
INVESTMENT INCOME — Interest income | $ | 1,075,657 | $ | 223,115 | ||||
EXPENSES: | ||||||||
Brokerage fees | 386,487 | 119,909 | ||||||
Management fees | 1,815,461 | 854,090 | ||||||
Selling commissions and platform fees | 854,342 | 727,086 | ||||||
Administrative and operating expenses | 264,296 | 237,029 | ||||||
Custody fees and other expenses | 21,184 | 9,048 | ||||||
Total expenses | 3,341,770 | 1,947,162 | ||||||
NET INVESTMENT LOSS | (2,266,113 | ) | (1,724,047 | ) | ||||
REALIZED AND UNREALIZED GAINS (LOSSES): | ||||||||
Net realized gains (losses) on closed positions: | ||||||||
Futures and forward currency contracts | (1,747,412 | ) | 6,638,522 | |||||
Foreign exchange translation | 694,984 | (30,834 | ) | |||||
Net change in unrealized: | ||||||||
Futures and forward currency contracts | 20,864,904 | (2,673,356 | ) | |||||
Foreign exchange translation | (54,959 | ) | 108,847 | |||||
Net gains (losses) from U.S. Treasury notes | ||||||||
Net change in unrealized | 110,333 | (41,816 | ) | |||||
Total net realized and unrealized gains | 19,867,850 | 4,001,363 | ||||||
NET INCOME | 17,601,737 | 2,277,316 | ||||||
LESS PROFIT SHARE TO GENERAL PARTNER | 1,067,296 | 288,402 | ||||||
NET INCOME AFTER PROFIT SHARE TO GENERAL PARTNER | $ | 16,534,441 | $ | 1,988,914 |
(Continued)
16
Millburn Multi-Markets Trading L.P.
Statements of Operations (UNAUDITED)
For the nine months ended | ||||||||
September 30, | September 30, | |||||||
2017 | 2016 | |||||||
INVESTMENT INCOME — Interest income | $ | 2,275,095 | $ | 513,124 | ||||
EXPENSES: | ||||||||
Brokerage fees | 871,023 | 362,716 | ||||||
Management fees | 4,478,516 | 2,294,452 | ||||||
Selling commissions and platform fees | 2,539,008 | 1,930,026 | ||||||
Administrative and operating expenses | 728,341 | 637,347 | ||||||
Custody fees and other expenses | 50,520 | 24,926 | ||||||
Total expenses | 8,667,408 | 5,249,467 | ||||||
NET INVESTMENT LOSS | (6,392,313 | ) | (4,736,343 | ) | ||||
REALIZED AND UNREALIZED GAINS (LOSSES): | ||||||||
Net realized gains on closed positions: | ||||||||
Futures and forward currency contracts | 21,107,114 | 33,271,030 | ||||||
Foreign exchange translation | 657,370 | 44,857 | ||||||
Net change in unrealized: | ||||||||
Futures and forward currency contracts | (8,351,360 | ) | 1,591,820 | |||||
Foreign exchange translation | 699,626 | 96,757 | ||||||
Net gains (losses) from U.S. Treasury notes | ||||||||
Net change in unrealized | (171,424 | ) | 164,877 | |||||
Total net realized and unrealized gains | 13,941,326 | 35,169,341 | ||||||
NET INCOME | 7,549,013 | 30,432,998 | ||||||
LESS PROFIT SHARE TO GENERAL PARTNER | 1,130,868 | 4,090,106 | ||||||
NET INCOME AFTER PROFIT SHARE TO GENERAL PARTNER | $ | 6,418,145 | $ | 26,342,892 |
(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, 2017:
Limited Partners | New Profit Memo Account | General Partner | Total | |||||||||||||
PARTNERS’ CAPITAL - January 1, 2017 | $ | 229,993,162 | $ | — | $ | 806,883 | $ | 230,800,045 | ||||||||
Contributions | 276,213,975 | 93,168 | — | 276,307,143 | ||||||||||||
Withdrawals | (21,420,877 | ) | — | — | (21,420,877 | ) | ||||||||||
Net income (loss) before profit share | 7,514,367 | (1,017 | ) | 35,663 | 7,549,013 | |||||||||||
General Partner’s allocation - profit share | (1,130,868 | ) | — | — | (1,130,868 | ) | ||||||||||
PARTNERS’ CAPITAL- September 30, 2017 | $ | 491,169,759 | $ | 92,151 | $ | 842,546 | $ | 492,104,456 |
For the nine months ended September 30, 2016:
Limited Partners | New Profit Memo Account | General Partner | Total | |||||||||||||
PARTNERS’ CAPITAL - January 1, 2016 | $ | 167,109,009 | $ | — | $ | 938,206 | $ | 168,047,215 | ||||||||
Contributions | 35,397,382 | 186,437 | — | 35,583,819 | ||||||||||||
Withdrawals | (12,824,862 | ) | — | — | (12,824,862 | ) | ||||||||||
Net income before profit share | 30,225,381 | 13,344 | 194,273 | 30,432,998 | ||||||||||||
General Partner’s allocation - profit share | (4,090,106 | ) | — | — | (4,090,106 | ) | ||||||||||
PARTNERS’ CAPITAL- September 30, 2016 | $ | 215,816,804 | $ | 199,781 | $ | 1,132,479 | $ | 217,149,064 |
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, | |||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Total return before General Partner profit share allocation (3) | 3.74 | % | 1.38 | % | 2.86 | % | 18.57 | % | ||||||||
Less: General Partner profit share allocation (3) | 0.56 | 0.28 | 0.56 | 3.44 | ||||||||||||
Total return after General Partner profit share allocation (3) | 3.18 | % | 1.10 | % | 2.30 | % | 15.13 | % | ||||||||
Ratios to average net asset value: | ||||||||||||||||
Expenses (1) (4) | 2.44 | % | 2.52 | % | 2.44 | % | 2.54 | % | ||||||||
General Partner profit share allocation (3) | 0.56 | 0.28 | 0.56 | 3.44 | ||||||||||||
Total expenses (1) | 3.00 | % | 2.80 | % | 3.00 | % | 5.98 | % | ||||||||
Net investment loss (1) (2) (4) | (1.56 | )% | (2.08 | )% | (1.71 | )% | (2.18 | )% |
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, | |||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Total return before General Partner profit share allocation (3) | 3.69 | % | 1.07 | % | 2.31 | % | 17.66 | % | ||||||||
Less: General Partner profit share allocation (3) | 0.22 | 0.14 | 0.29 | 2.13 | ||||||||||||
Total return after General Partner profit share allocation (3) | 3.47 | % | 0.93 | % | 2.02 | % | 15.53 | % | ||||||||
Ratios to average net asset value: | ||||||||||||||||
Expenses (1) (4) | 2.68 | % | 3.68 | % | 2.91 | % | 3.64 | % | ||||||||
General Partner profit share allocation (3) | 0.22 | 0.14 | 0.29 | 2.13 | ||||||||||||
Total expenses (1) | 2.90 | % | 3.82 | % | 3.20 | % | 5.77 | % | ||||||||
Net investment loss (1) (2) (4) | (1.80 | )% | (3.24 | )% | (2.14 | )% | (3.28 | )% |
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 Partnership and the Cayman Feeder for the period ending September 30, 2017 and September 30, 2016. |
(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 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 September 30, 2017 (unaudited) and December 31, 2016 and the results of its operations for the three and nine months ended September 30, 2017 and 2016 (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, 2016 included in the Partnership’s annual report on Form 10-K filed with the Securities and Exchange Commission. The December 31, 2016 information has been derived from the audited financial statements as of December 31, 2016.
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, 2014 to 2017, 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, 2017 and December 31, 2016, 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, | |||||||
2017 | 2016 | |||||||
Partnership | 36.51 | % | 74.91 | % | ||||
Cayman Feeder | 54.17 | % | 6.68 | % | ||||
Total | 90.68 | % | 81.59 | % |
The capital withdrawals payable at September 30, 2017 and December 31, 2016 were $2,580,067 and $6,223,896, respectively, as detailed below.
September 30, | December 31, | |||||||
2017 | 2016 | |||||||
Direct investors (1) | $ | — | $ | 3,294,748 | ||||
Partnerships | 2,480,864 | 2,876,148 | ||||||
Cayman Feeder | 99,204 | 53,000 | ||||||
Total | $ | 2,580,068 | $ | 6,223,896 |
(1) Includes General Partner’s profit share of $2,994,748 at December 31, 2016.
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, prior to January 1, 2017. 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 and nine months ended September 30, 2017 and 2016, 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, 2017 and December 31, 2016 in valuing the Master Fund’s investments at fair value. At September 30, 2017 and December 31, 2016, the Master Fund had no assets or liabilities in Level 3.
22
Financial assets and liabilities at fair value as of September 30, 2017
Level 1 | Level 2 | Total | ||||||||||
U.S. Treasury notes (1) | $ | 462,156,800 | $ | — | $ | 462,156,800 | ||||||
Short-Term Money Market Fund* | 23,906,217 | — | 23,906,217 | |||||||||
Exchange-traded futures contracts | ||||||||||||
Energies | (63,465 | ) | — | (63,465 | ) | |||||||
Grains | 2,360,148 | — | 2,360,148 | |||||||||
Interest rates | (5,641,048 | ) | — | (5,641,048 | ) | |||||||
Livestock | (221,420 | ) | — | (221,420 | ) | |||||||
Metals | (1,706,948 | ) | — | (1,706,948 | ) | |||||||
Softs | 213,950 | — | 213,950 | |||||||||
Stock indices | 7,717,117 | — | 7,717,117 | |||||||||
Total exchange-traded futures contracts | 2,658,334 | — | 2,658,334 | |||||||||
Over-the-counter forward currency contracts | — | (5,854,364 | ) | (5,854,364 | ) | |||||||
Total futures and forward currency contracts (2) | 2,658,334 | (5,854,364 | ) | (3,196,030 | ) | |||||||
Total financial assets and liabilities at fair value | $ | 488,721,351 | $ | (5,854,364 | ) | $ | 482,866,987 | |||||
Per line item in Statements of Financial Condition | ||||||||||||
(1) | ||||||||||||
Investments in U.S. Treasury notes held in equity trading accounts as collateral | $ | 105,651,347 | ||||||||||
Investments in U.S. Treasury notes held in custody | 356,505,453 | |||||||||||
Total investments in U.S. Treasury notes | $ | 462,156,800 | ||||||||||
(2) | ||||||||||||
Net unrealized appreciation on open futures and forward currency contracts | $ | 2,658,334 | ||||||||||
Net unrealized depreciation on open futures and forward currency contracts | (5,854,364 | ) | ||||||||||
Total net unrealized appreciation on open futures and forward currency contracts | $ | (3,196,030 | ) |
* The short-term money market fund is included in Cash and Cash Equivalents on the Statements of Financial Condition.
23
Financial assets and liabilities at fair value as of December 31, 2016
Level 1 | Level 2 | Total | ||||||||||
U.S. Treasury notes (1) | $ | 206,869,651 | $ | — | $ | 206,869,651 | ||||||
Exchange-traded futures contracts | ||||||||||||
Energies | 40,365 | — | 40,365 | |||||||||
Grains | 48,905 | — | 48,905 | |||||||||
Interest rates | 2,193,745 | — | 2,193,745 | |||||||||
Livestock | 2,280 | — | 2,280 | |||||||||
Metals | 265,736 | — | 265,736 | |||||||||
Softs | (34,774 | ) | — | (34,774 | ) | |||||||
Stock indices | 892,115 | — | 892,115 | |||||||||
Total exchange-traded futures contracts | 3,408,372 | — | 3,408,372 | |||||||||
Over-the-counter forward currency contracts | — | 1,746,958 | 1,746,958 | |||||||||
Total futures and forward currency contracts (2) | 3,408,372 | 1,746,958 | 5,155,330 | |||||||||
Total financial assets and liabilities at fair value | $ | 210,278,023 | $ | 1,746,958 | $ | 212,024,981 | ||||||
Per line item in Statements of Financial Condition | ||||||||||||
(1) | ||||||||||||
Investments in U.S. Treasury notes held in equity trading accounts as collateral | $ | 27,428,997 | ||||||||||
Investments in U.S. Treasury notes held in custody | 179,440,654 | |||||||||||
Total investments in U.S. Treasury notes | $ | 206,869,651 | ||||||||||
(2) | ||||||||||||
Net unrealized appreciation on open futures and forward currency contracts | $ | 5,155,330 | ||||||||||
Net unrealized depreciation on open futures and forward currency contracts | — | |||||||||||
Total unrealized appreciation on open futures and forward currency contracts | $ | 5,155,330 |
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, 2017 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.
24
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, 2017 and December 31, 2016. 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, 2017
Net | |||||||||||||||
Unrealized | |||||||||||||||
Gain (Loss) | |||||||||||||||
Fair Value - Long Positions | Fair Value - Short Positions | on Open | |||||||||||||
Sector | Gains | Losses | Gains | Losses | Positions | ||||||||||
Futures contracts: | |||||||||||||||
Energies | $ | 1,191,542 | $ | (313,242) | $ | 67,239 | $ | (1,009,004) | $ | (63,465) | |||||
Grains | — | — | 2,945,967 | (585,819) | 2,360,148 | ||||||||||
Interest rates | 456,685 | (6,202,424) | 135,891 | (31,200) | (5,641,048) | ||||||||||
Livestock | — | — | 1,080 | (222,500) | (221,420) | ||||||||||
Metals | 1,116,254 | (2,282,374) | 1,569,907 | (2,110,735) | (1,706,948) | ||||||||||
Softs | — | (31,163) | 385,812 | (140,699) | 213,950 | ||||||||||
Stock indices | 7,482,968 | (263,767) | 566,663 | (68,747) | 7,717,117 | ||||||||||
Total futures contracts | 10,247,449 | (9,092,970) | 5,672,559 | (4,168,704) | 2,658,334 | ||||||||||
Forward currency contracts | 1,674,150 | (9,862,519) | 4,039,404 | (1,705,399) | (5,854,364) | ||||||||||
Total futures and forward currency contracts | $ | 11,921,599 | $ | (18,955,489) | $ | 9,711,963 | $ | (5,874,103) | $ | (3,196,030) |
25
Fair value of futures and forward currency contracts at December 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 | $ | 125,805 | $ | (10,214 | ) | $ | 23,840 | $ | (99,066 | ) | $ | 40,365 | ||||||||
Grains | — | (2,980 | ) | 122,923 | (71,038 | ) | 48,905 | |||||||||||||
Interest rates | 2,658,089 | (432,542 | ) | 104 | (31,906 | ) | 2,193,745 | |||||||||||||
Livestock | 5,130 | (2,850 | ) | — | — | 2,280 | ||||||||||||||
Metals | 750,102 | (772,637 | ) | 545,558 | (257,287 | ) | 265,736 | |||||||||||||
Softs | 547 | (87,991 | ) | 156,789 | (104,119 | ) | (34,774 | ) | ||||||||||||
Stock indices | 1,876,503 | (665,161 | ) | 22,049 | (341,276 | ) | 892,115 | |||||||||||||
Total futures contracts | 5,416,176 | (1,974,375 | ) | 871,263 | (904,692 | ) | 3,408,372 | |||||||||||||
Forward currency contracts | 476,460 | (1,260,906 | ) | 3,059,242 | (527,838 | ) | 1,746,958 | |||||||||||||
Total futures and forward currency contracts | $ | 5,892,636 | $ | (3,235,281 | ) | $ | 3,930,505 | $ | (1,432,530 | ) | $ | 5,155,330 |
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, 2017 and 2016 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, 2017 and 2016
Three months | Three months | Nine months | Nine months | |||||||||||||
ended: | ended: | ended: | ended: | |||||||||||||
September 30, | September 30, | September 30, | September 30, | |||||||||||||
Sector | 2017 | 2016 | 2017 | 2016 | ||||||||||||
Futures contracts: | ||||||||||||||||
Energies | $ | (1,344,515 | ) | $ | (3,614,218 | ) | $ | (10,087,547 | ) | $ | (3,798,915 | ) | ||||
Grains | 581,715 | 467,090 | (4,689,545 | ) | 3,731,258 | |||||||||||
Interest rates | (610,263 | ) | 2,303,538 | (8,238,107 | ) | 25,650,395 | ||||||||||
Livestock | 259,720 | 664,530 | (273,000 | ) | 672,790 | |||||||||||
Metals | (788,041 | ) | (283,569 | ) | (516,224 | ) | (1,852,189 | ) | ||||||||
Softs | (325,826 | ) | (227,230 | ) | 2,093,443 | (1,071,043 | ) | |||||||||
Stock indices | 22,123,955 | 4,159,234 | 46,818,237 | 8,424,324 | ||||||||||||
Total futures contracts | 19,896,745 | 3,469,375 | 25,107,257 | 31,756,620 | ||||||||||||
Forward currency contracts | (779,253 | ) | 495,791 | (12,351,503 | ) | 3,106,230 | ||||||||||
Total futures and forward currency contracts | $ | 19,117,492 | $ | 3,965,166 | $ | 12,755,754 | $ | 34,862,850 |
For the three months ended September 30, 2017 and 2016, the monthly average number of future contracts bought and sold and the monthly average notional value of forward currency contracts traded are detailed below:
2017 | 2016 | |||||||||
Average bought | 39,823 | 12,159 | ||||||||
Average sold | 40,637 | 11,463 | ||||||||
Average notional | $ | 4,043,000,000 | $ | 1,223,000,000 | ||||||
26
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 following table represents gross amounts of assets or liabilities which qualify for offset as presented per the Statement of Financial Condition as of September 30, 2017 and December 31, 2016.
Offsetting of derivative assets and liabilities at September 30, 2017 | ||||||||||||
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 | $ | 6,085,416 | $ | (5,118,059 | ) | $ | 967,357 | |||||
Counterparty I | 9,834,592 | (8,143,615 | ) | 1,690,977 | ||||||||
Total futures contracts | 15,920,008 | (13,261,674 | ) | 2,658,334 | ||||||||
Total assets | $ | 15,920,008 | $ | (13,261,674 | ) | $ | 2,658,334 |
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 | |||||||||