Millburn Multi-Markets Fund L.P. - FORM 10-K - EX-13.01 - EXHIBIT 13.01

Attached files

file	filename
EX-32.3 - EXHIBIT 32.3 - Millburn Multi-Markets Fund L.P.	s109281_ex32-3.htm
EX-32.2 - EXHIBIT 32.2 - Millburn Multi-Markets Fund L.P.	s109281_ex32-2.htm
EX-32.1 - EXHIBIT 32.1 - Millburn Multi-Markets Fund L.P.	s109281_ex32-1.htm
EX-31.3 - EXHIBIT 31.3 - Millburn Multi-Markets Fund L.P.	s109281_ex31-3.htm
EX-31.2 - EXHIBIT 31.2 - Millburn Multi-Markets Fund L.P.	s109281_ex31-2.htm
EX-31.1 - EXHIBIT 31.1 - Millburn Multi-Markets Fund L.P.	s109281_ex31-1.htm
10-K - 10-K - Millburn Multi-Markets Fund L.P.	s109281_10k.htm

Exhibit 13.01

Millburn Multi-Markets Fund L.P.
(A Delaware Limited Partnership)

Financial Statements for the Years Ended December 31,
2017 and 2016, and Report of Independent Registered
Public Accounting Firm

MILLBURN MULTI-MARKETS FUND L.P.

TABLE OF CONTENTS


	Page(s)

THIS ANNUAL REPORT IS COMPRISED OF SECTION I CONTAINING THE FINANCIAL STATEMENTS OF MILLBURN MULTI-MARKETS FUND L.P. FOR THE YEARS ENDED DECEMBER 31, 2017 AND 2016 AND SECTION II, CONTAINING THE FINANCIAL STATEMENTS OF MILLBURN MULTI-MARKETS TRADING L.P. FOR THE YEARS ENDED DECEMBER 31, 2017 AND 2016.

SECTION I

AFFIRMATION OF MILLBURN RIDGEFIELD CORPORATION

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	1

FINANCIAL STATEMENTS AS OF DECEMBER 31, 2017 AND 2016 AND FOR THE YEARS ENDED DECEMBER 31, 2017 AND 2016:

Statements of Financial Condition	2

Statements of Operations	3

Statements of Changes in Partners’ Capital	4

Statements of Financial Highlights	5–6

Notes to Financial Statements	7–10

SECTION II — FINANCIAL STATEMENTS OF MILLBURN MULTI-MARKETS TRADING L.P.

AFFIRMATION OF MILLBURN RIDGEFIELD CORPORATION

In compliance with the Commodity Futures Trading Commission’s regulations, I hereby affirm that to the best of my knowledge and belief, the information contained in the Statements of Financial Condition of Millburn Multi-Markets Fund L.P. as of December 31, 2017 and 2016, including the related Statements of Operations, Changes in Partners’ Capital and Financial Highlights for each of the two years in the period ended December 31, 2017, are complete and accurate.

Gregg Buckbinder, President
Millburn Ridgefield Corporation
General Partner of Millburn Multi-Markets Fund L.P.

Deloitte & Touche LLP

30 Rockefeller Plaza

New York, NY 10112-0015

USA

Tel: +1 212 492 4000
Fax: +1 212 489 1687
www.deloitte.com

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Partners of Millburn Multi-Markets Fund L.P.:

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statements of financial condition of Millburn Multi-Markets Fund L.P. (the “Partnership”), as of December 31, 2017 and 2016, the related statements of operations and changes in partners’ capital and the financial highlights for each of the two years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Partnership as of December 31, 2017 and 2016, and the results of its operations, the changes in its partners’ capital, and the financial highlights for each of the two years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Partnership’s management. Our responsibility is to express an opinion on the Partnership’s financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Partnership in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Partnership is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Partnership’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of December 31, 2017, by correspondence with the custodian and brokers. We believe that our audits provide a reasonable basis for our opinion.

/s/ Deloitte & Touche LLP
March 19, 2018

We have served as the auditor of one or more Millburn Ridgefield Corporation investment companies since 2004.

MILLBURN MULTI-MARKETS FUND L.P.

STATEMENTS OF FINANCIAL CONDITION

AS OF DECEMBER 31, 2017 AND 2016


	2017		2016
ASSETS

Investment in Millburn Multi-Markets
Trading L.P. (the “Master Fund”)	$	180,404,424	$	172,886,333
Due from the Master Fund		1,565,482		2,876,148
Cash and cash equivalents		1,283,292		2,119,000

Total assets	$	183,253,198	$	177,881,481

LIABILITIES AND PARTNERS’ CAPITAL

LIABILITIES:
Capital contributions received in advance	$	1,283,000	$	2,119,000
Capital withdrawal payable to Limited Partners		1,165,481		2,076,148
Capital withdrawal payable to General Partner		400,000		800,000
Due to the Master Fund		292		—

Total liabilities		2,848,773		4,995,148

PARTNERS’ CAPITAL:
General Partner		2,597,268		2,779,224

Limited partners:
Series A (140,430.1803 and 140,590.2950 units outstanding)		163,192,225		158,782,193
Series B (7,036.0325 and 7,017.8811 units outstanding)		9,255,157		8,846,058
Series C (3,956.9329 and 1,930.6399 units outstanding)		5,310,547		2,478,858
Series D (37.5601 and 0.0000 units outstanding)		49,228		—

Total limited partners		177,807,157		170,107,109

Total partners’ capital		180,404,425		172,886,333

TOTAL	$	183,253,198	$	177,881,481

NET ASSET VALUE PER UNIT OUTSTANDING:
Series A	$	1,162.09	$	1,129.40
Series B	$	1,315.39	$	1,260.50
Series C	$	1,342.09	$	1,283.96
Series D	$	1,310.65	$	—

See notes to financial statements within this report and the report of Millburn Multi-Markets Trading L.P. attached in Section II.

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MILLBURN MULTI-MARKETS FUND L.P.

STATEMENTS OF OPERATIONS

YEARS ENDED DECEMBER 31, 2017 AND 2016

	2017			2016

NET INVESTMENT LOSS

Income — interest income (allocated from the Master Fund)	$	1,488,520		$	591,444

Expenses:
Management fees (see note 4)		3,624,623			2,952,133
Brokerage commissions (allocated from the Master Fund)		560,113			360,004
Selling commissions and platform fees (see note 4)		3,357,673			2,690,103
Administrative fee and operating expenses (see note 5)		741,338			727,524
Custody fees and other expenses (allocated from the Master Fund)		32,344			25,878

Total expenses		8,316,091			6,755,642

Net investment loss		(6,827,571	)		(6,164,198	)

REALIZED AND UNREALIZED GAINS (LOSSES)
ALLOCATED FROM THE MASTER FUND
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		20,713,744			21,459,454
Foreign exchange translation		332,136			(199,268	)
Net change in unrealized:
Futures and forward currency contracts		(7,672,114	)		1,151,080
Foreign exchange translation		476,161			(136,475	)
Net gains (losses) from U.S. Treasury notes:
Net change in unrealized		(211,817	)		24,035

Net realized and unrealized gains allocated from the Master Fund		13,638,110			22,298,826

NET INCOME		6,810,539			16,134,628

LESS PROFIT SHARE ALLOCATION FROM THE MASTER FUND		1,338,994			2,716,451

NET INCOME AFTER PROFIT SHARE	$	5,471,545		$	13,418,177

See notes to financial statements within this report and the report of Millburn Multi-Markets Trading L.P. attached in Section II.

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MILLBURN MULTI-MARKETS FUND L.P.

STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL

YEARS ENDED DECEMBER 31, 2017 AND 2016

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

PARTNERS’ CAPITAL — January 1, 2016	$	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		—			50,735,385			44,912.7487			773,876			614.0657			75,000			58.7028								51,584,261
Capital withdrawals		(800,000	)		(11,664,667	)		(10,467.9038	)		(1,319,948	)		(1,045.3412	)		(526,722	)		(425.6700	)							(14,311,337	)
Net income		537,622			13,952,843			—			1,265,345			—			378,818			—								16,134,628
Profit share		—			(2,387,619	)		—			(253,918	)		—			(74,914	)		—								(2,716,451	)

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		—			25,986,904			22,579.9651			1,152,000			907.8384			390,000			297.7927			50,000			37.5601		27,578,904
Capital withdrawals		(400,000	)		(23,421,474	)		(20,261.5310	)		(1,134,248	)		(880.6830	)		(576,635	)		(434.0680	)		—			—		(25,532,357	)
Transfers between Series					(2,815,400	)		(2,478.5488	)		(11,677	)		(9.0040	)		2,827,077			2,162.5683			—			—		—
Net income (loss)		218,044			5,842,314			—			511,778			—			239,175			—			(772	)		—		6,810,539
Profit share		—			(1,182,312	)		—			(108,754	)		—			(47,928	)		—			—			—		(1,338,994	)

PARTNERS’ CAPITAL — December 31, 2017	$	2,597,268		$	163,192,225			140,430.1803		$	9,255,157			7,036.0325		$	5,310,547			3,956.9329		$	49,228			37.5601	$	180,404,425

NET ASSET VALUE PER UNIT — December 31, 2016				$	1,129.40					$	1,260.50					$	1,283.96					$	—

NET ASSET VALUE PER UNIT — December 31, 2017				$	1,162.09					$	1,315.39					$	1,342.09					$	1,310.65

See notes to financial statements within this report and the report of Millburn Multi-Markets Trading L.P. attached in Section II.

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MILLBURN MULTI-MARKETS FUND L.P.

STATEMENT OF FINANCIAL HIGHLIGHTS

YEAR ENDED DECEMBER 31, 2017

The following information presents per unit operating performance data for each series for the year ended December 31, 2017.

Per Unit Performance
(For a Unit Outstanding Throughout the Year)		Series A			Series B			Series C			Series D ⁽⁵⁾

NET ASSET VALUE PER UNIT — Beginning of year	$	1,129.40		$	1,260.50		$	1,283.96		$	1,331.20

GAIN (LOSS) ALLOCATED FROM THE MASTER FUND:
Net investment loss ⁽¹⁾		(45.17	)		(27.14	)		(25.43	)		(35.82	)
Total trading and investing gains ⁽¹⁾		85.99			97.47			101.94			15.27

Net income (loss) before profit share allocation from the Master Fund		40.82			70.33			76.51			(20.55	)

Less profit share allocation from the Master Fund ^{(1) (4)}		8.13			15.44			18.38			—

Net income (loss) after profit share allocation from the Master Fund		32.69			54.89			58.13			(20.55	)

NET ASSET VALUE PER UNIT — End of year	$	1,162.09		$	1,315.39		$	1,342.09		$	1,310.65

TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM THE MASTER FUND		3.60	%		5.54	%		5.92	%		(1.54	)%

LESS: PROFIT SHARE ALLOCATION FROM THE MASTER FUND ⁽⁴⁾		0.71			1.19			1.39			—

TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND		2.89	%		4.35	%		4.53	%		(1.54	)%

RATIOS TO AVERAGE NET ASSET VALUE:
Expenses ⁽²⁾		4.75	%		2.91	%		2.79	%		3.83	%
Profit share allocation from Master Fund ⁽⁴⁾		0.71			1.19			1.39			—

Total expenses		5.46	%		4.10	%		4.18	%		3.83	%

Net investment loss ^{(2) (3)}		(3.93	)%		(2.10	)%		(1.92	)%		(2.73	)%

⁽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 year. Total trading and investing losses is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.

⁽²⁾

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

⁽³⁾

Excludes profit share allocation from the Master Fund.

⁽⁴⁾

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.

⁽⁵⁾

Initial offering price for Series D is $1,331.20 as of November 1, 2017.

See notes to financial statements within this report and the report of Millburn Multi-Markets Trading L.P. attached in Section II.

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MILLBURN MULTI-MARKETS FUND L.P.

STATEMENT OF FINANCIAL HIGHLIGHTS YEAR
ENDED DECEMBER 31, 2016

The following information presents per unit operating performance data for each series for the year ended December 31, 2016.

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

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

GAIN (LOSS) ALLOCATED FROM THE MASTER FUND:
Net investment loss ⁽¹⁾		(49.20	)		(33.08	)		(30.49	)
Total trading and investing losses ⁽¹⁾		179.84			203.50			206.92

Net income before profit share allocation from the Master Fund		130.64			170.42			176.43

Less profit share allocation from the Master Fund ^{(1) (4)}		20.09			34.97			35.69

Net income after profit share allocation from the Master Fund		110.55			135.45			140.74

NET ASSET VALUE PER UNIT — End of year	$	1,129.40		$	1,260.50		$	1,283.96

TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM THE MASTER FUND		12.64	%		14.86	%		15.13	%

LESS: PROFIT SHARE ALLOCATION FROM THE MASTER FUND (4)
		1.79			2.82			2.82

TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND		10.85	%		12.04	%		12.31	%

RATIOS TO AVERAGE NET ASSET VALUE:
Expenses ⁽²⁾		4.79	%		3.06	%		2.81	%
Profit share allocation from Master Fund (4)		1.79			2.82			2.82

Total expenses		6.58	%		5.88	%		5.63	%

Net investment loss ^{(2) (3)}		(4.39	)%		(2.67	)%		(2.42	)%

⁽¹⁾

⁽²⁾

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

⁽³⁾

Excludes profit share allocation from the Master Fund.

⁽⁴⁾

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 within this report and the report of Millburn Multi-Markets Trading L.P. attached in Section II.

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MILLBURN MULTI-MARKETS FUND L.P.

NOTES TO FINANCIAL STATEMENTS YEARS
ENDED DECEMBER 31, 2017 AND 2016

ORGANIZATION

Millburn Multi-Markets Fund L.P. (the “Partnership”) is a limited partnership organized on September 8, 2008, under the Delaware Revised Uniform Limited Partnership Act and commenced operations on August 1, 2009. The Limited Partnership Agreement (the “Agreement”) was amended and restated as of August 24, 2017.

The Partnership is a “feeder-fund” and pools partners’ capital contributions for investment in Millburn Multi-Markets Trading L.P. (“Master Fund”). The Master Fund is a limited partnership organized during September 2004 under the Delaware Revised Uniform Limited Partnership Act and commenced operations on October 20, 2004. The Master Fund engages in the trading and investing in futures and forward currency contracts. Millburn Ridgefield Corporation (the “General Partner”) is the General Partner of the Partnership and the Master Fund (collectively, the “Funds”) and manages the business of the Funds. The financial statements of the Master Fund, including the Condensed Schedules of Investments, are included in Section II of this Annual report and should be read in conjunction with the Partnership’s financial statements.

The Partnership offers multiple series of Units, which differ in terms of fees charged at the Master Fund level. Initially, the Partnership offered Series A, Series B and Series C Units. On November 1, 2017 the Partnership offered Series D (collectively, the “Series”) and may offer additional series in the future.

SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

Basis of Presentation — The financial statements have been prepared in conformity with accounting principles generally accepted (“U.S. GAAP”) in the United States (“U.S.”) as detailed in the Financial Accounting Standards Board Accounting Standards Codification (“Codification”). Certain reclassifications have been made to the prior period financial statements to conform to the current period presentation.

The Partnership is an investment company following the accounting and reporting guidance put forth in Accounting Standard Update (“ASU”) 2013-08, “Financial Services — Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements”.

Investment — The investment in the Master Fund is reported at fair value in the Partnership’s Statements of Financial Condition. Fair value is the value determined by the Master Fund in accordance with the Master Fund’s valuation policies and reported at the time of the Partnership’s valuation by the General Partner of the Master Fund. Generally, the fair value of the Partnership’s investment in the Master Fund represents the amount that the Partnership could reasonably expect to receive from the Master Fund if the Partnership’s investment was redeemed at the time of valuation based on information available at the time the valuation was made and that the Partnership believes to be reliable. The Partnership records its proportionate share of each item of income, expense and net realized and unrealized gains (losses) from its investment in the Master Fund in the Statements of Operations. The accounting policies of the Master Fund including valuation policies are contained in the notes to the Master Fund’s financial statements included in Section II of this annual report.

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Income Taxes — Income taxes have not been provided as partners are individually liable for the taxes, if any, on their share of the Partnership’s income and expenses.

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, for the U.S. Federal jurisdiction, the New York and Connecticut State jurisdictions and the New York City jurisdiction, there are no uncertain tax positions through its investment in the Master Fund. The Partnership is treated as a limited partnership for federal and state income tax reporting purposes.

Cash and Cash Equivalents — Cash includes cash held at First Republic Bank. Cash equivalents includes cash and investments in Dreyfus Treasury Prime Cash Management, a short term U.S. government securities money market fund, that is readily convertible to cash and has an original maturity of 90 days or less.

Estimates — The preparation of financial statements in conformity with U.S. GAAP 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.

Fair Value of Financial Instruments — Disclosures under the Fair Value Measurement topic of the Codification relating to the Partnership’s underlying investments held within the Master Fund are included in the attached Master Fund’s financial statements.

INVESTMENT IN MILLBURN MULTI-MARKETS TRADING L.P.

During the years ended December 31, 2017 and 2016, the Partnership invested substantially all of its assets in Millburn Multi-Markets Trading L.P. At December 31, 2017 and 2016, the Partnership’s investment in the Master Fund represents 35.47% and 74.91%, respectively, of total partners’ capital of the Master Fund.

As the Partnership’s sole investing activity during the years ended December 31, 2017 and 2016 consisted of its investment in the Master Fund, all amounts reflected in the Statements of Operations represent the Partnership’s allocated amount of each item of income and expense from the Master Fund.

The Partnership may make additional contributions to or redemptions from its investment in the Master Fund on a monthly basis subject to approval of the General Partner of the Master Fund.

The General Partner of the Master Fund may have different management fee and profit share allocation agreements for the partners of the Partnership as disclosed in the Master Fund’s financial statements included in Section II of this annual report.

MANAGEMENT FEES, SELLING COMMISSIONS, PLATFORM FEES AND PROFIT SHARE

Each Series of Units are allocated management fees at a fixed rate of 0.167% per month of net asset value (2% per annum) of a limited partner’s interest and a 20% profit share. Such management fees and profit share are allocated to the limited partners of the Partnership but charged at the Master Fund level. For the years ended December 31, 2017 and 2016, the Partnership incurred Partnership-level management fees of $3,624,623 and $2,952,133, respectively. These amounts are included in the Statements of Operations under “Management fees.” The management fee and profit share are described in more detail in the Master Fund’s financial statements included in Section II of this annual report.

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The original terms of the Series issued by the Partnership are: 1) Series A Units which, in addition to the management fees and profit share allocable to the General Partner, are subject to selling commissions payable to Selling Agents equal to 1/12 of 2% (2% per annum) based on the month-end Net Asset Value of such Series investment; 2) Series B Units which, in addition to the management fees and profit share allocable to the General Partner, are subject to a platform fee of 1/12 of 0.25% (0.25% per annum) based on the month end net asset value of such Series investment and are for those investors participating in asset-based or fixed fee registered investment adviser (“RIA”) platforms; and 3) Series C Units which are subject to the management fees and profit share allocable to the General Partner and are for those investors participating in asset-based or fixed fee RIA platforms not subject to the Platform Fee.

The amended terms of the Series issued by the Partnership per the restated LPA dated August 24, 2017 are: 1) Series A Units which, in addition to the management fees and profit share allocable to the General Partner, are subject to selling commissions payable to Selling Agents equal to 1/12 of 2% (2% per annum) based on the month-end Net Asset Value of such Series investment; 2) Series B Units and Series C Units which are subject to management fees and profit share allocable to the General Partner, are not subject to any fees payable to Selling Agents; and 3) Series D Units which, in addition to the management fees and profit share allocable to the General Partner, are subject to selling commissions payable to Selling Agents equal to 1/12 of 0.75% (0.75% per annum) based on the month-end Net Asset Value of such Series investment. For the years ended December 31, 2017 and 2016, Selling Commissions and Platform Fees were as follows:

	Selling Commissions					Platform Fees				Selling Commissions and Platform Fees
		2017		2016		2017		2016		2017		2016

Series A Units	$	3,342,675	$	2,667,559	$	—	$	—	$	3,342,675	$	2,667,559
Series B Units		14,936		—		—		22,544		14,936		22,544
Series D Units		62		—		—		—		62		—
	$	3,357,673	$	2,667,559	$	—	$	22,544	$	3,357,673	$	2,690,103

Amounts were charged at the Master Fund level and allocated to applicable Partnership investors only. No amounts were allocated to Series C Units.

OPERATING EXPENSES AND ADMINISTRATION FEE

Operating expenses of the Partnership include, but are not limited to, legal fees, accounting fees and filing fees. Total operating expenses of the Partnership (including its 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 net asset value. For the years ended December 31, 2017 and 2016, the Partnership incurred Partnership-level administrative and operating expenses of $486,931 and $395,947, respectively. These amounts are included in the Statements of Operations under “Administrative fee and operating expenses.” As of January 1, 2017, The Millburn Corporation no longer charges the Partnership for providing legal and accounting services.

The General Partner of the Master Fund is paid a monthly administration fee as disclosed in the Master Fund’s financial statements included in Section II of this annual report.

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DERIVATIVE INSTRUMENTS

The Partnership’s investment in the Master Fund is subject to the market and credit risk of financial instruments which include exchange-traded futures contracts and over-the-counter forward currency contracts. The Partnership bears the risk of loss only to the extent of the fair value of its investment in the Master Fund.

Millburn Ridgefield Corporation, as the General Partner of the Funds, has established procedures to actively monitor market risk and minimize credit risk although there can be no assurance that it will, in fact, succeed in doing so. The partners bear the risk of loss only to the extent of the fair value of their respective investments.

INDEMNIFICATIONS

In the normal course of business, the Partnership enters into contracts and agreements that contain a variety of representations and warranties and which provide general indemnifications. The Partnership’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Partnership that have not yet occurred. The Partnership expects the risk of any future obligation under these indemnifications to be remote.

ADMINISTRATOR AGREEMENT

The Partnership and the Master Fund (collectively, the “Funds”) have engaged CACEIS (USA) Inc. to provide certain administrative services for the Funds including, but not limited to, maintaining the books and records of the Funds and valuation of the Funds’ Net Asset Value.

FINANCIAL HIGHLIGHTS

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. An individual partner’s returns may vary from these returns based on the timing of capital transactions.

10.

SUBSEQUENT EVENTS

During the period from January 1, 2018 to March 19, 2018, contributions of $5,148,820 were made to the Partnership and withdrawals of $3,342,251 were made from the Partnership. The General Partner has performed its evaluation of subsequent events through March 19, 2018, the date the financial statements were issued. Based on such evaluation, no further events were discovered that required adjustment to or disclosure in the financial statements.

* * * * * *

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SECTION II

Millburn Multi-Markets

Trading L.P.

(A Delaware Limited Partnership)

Financial Statements for the Years Ended December 31,
2017 and 2016, and Independent Auditors’ Report

MILLBURN MULTI-MARKETS TRADING L.P.

TABLE OF CONTENTS


	Page(s)

AFFIRMATION OF MILLBURN RIDGEFIELD CORPORATION

INDEPENDENT AUDITORS’ REPORT	1

FINANCIAL STATEMENTS AS OF DECEMBER 31, 2017 AND 2016 AND FOR THE YEARS ENDED DECEMBER 31, 2017 AND 2016:

Statements of Financial Condition	2

Condensed Schedules of Investments	3–6

Statements of Operations	7

Statements of Changes in Partners’ Capital	8

Statements of Financial Highlights	9–10

Notes to Financial Statements	11–28

AFFIRMATION OF MILLBURN RIDGEFIELD CORPORATION

In compliance with the Commodity Futures Trading Commission’s regulations, I hereby affirm that to the best of my knowledge and belief, the information contained in the Statements of Financial Condition of Millburn Multi-Markets Trading L.P., including the Condensed Schedules of Investments, as of December 31, 2017 and 2016, and the related Statements of Operations, Changes in Partners’ Capital and Financial Highlights for each of the two years in the period ended December 31, 2017, are complete and accurate.

Gregg Buckbinder, President

Millburn Ridgefield Corporation

General Partner of Millburn Multi-Markets Trading L.P.

Deloitte & Touche LLP

30 Rockefeller Plaza

New York, NY 10112-0015

USA

Tel: +1 212 492 4000
Fax: +1 212 489 1687
www.deloitte.com

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Partners of Millburn Multi-Markets Trading L.P.:

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statements of financial condition of Millburn Multi-Markets Trading L.P. (the “Partnership”), including the condensed schedules of investments, as of December 31, 2017 and 2016, the related statements of operations and changes in partners’ capital and the financial highlights for each of the two years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Partnership as of December 31, 2017 and 2016, and the results of its operations, the changes in its partners’ capital, and the financial highlights for each of the two years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Partnership’s management. Our responsibility is to express an opinion on the Partnership’s financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

/s/ Deloitte & Touche LLP

March 19, 2018

We have served as the auditor of one or more Millburn Ridgefield Corporation investment companies since 2004.

MILLBURN MULTI-MARKETS TRADING L.P.

STATEMENTS OF FINANCIAL CONDITION

AS OF DECEMBER 31, 2017 AND 2016

	2017		2016
ASSETS

EQUITY IN TRADING ACCOUNTS:
Investments in U.S. Treasury notes — at fair value (amortized cost $128,131,904 and $27,441,546)	$	127,971,156	$	27,428,997
Net unrealized appreciation on open futures and forward currency contracts		2,145,457		5,155,330
Due from brokers		289,111		547,898
Cash denominated in foreign currencies (cost $27,839,061 and $6,590,374)		28,534,515		6,335,327

Total equity in trading accounts		158,940,239		39,467,552

INVESTMENTS IN U.S. TREASURY NOTES — at fair value (amortized cost $358,764,241 and $179,527,858)		358,229,399		179,440,654

CASH AND CASH EQUIVALENTS		75,905,244		19,892,072

ACCRUED INTEREST RECEIVABLE		1,364,398		414,884

DUE FROM MILLBURN MULTI-MARKETS LTD.		2,750		100

DUE FROM MILLBURN MULTI-MARKETS FUND L.P.		292		—

TOTAL	$	594,442,322	$	239,215,262

LIABILITIES AND PARTNERS’ CAPITAL

LIABILITIES:
Net unrealized depreciation on open futures and forward currency contracts	$	11,713,535	$	—
Subscriptions in advance		2,430,000		—
Capital withdrawal payable to Limited Partners		64,127,936		2,929,148
Capital withdrawal payable to General Partner		3,734,700		3,294,748
Management fee payable		708,614		320,223
Selling commissions payable		275,139		271,795
Accrued expenses		222,956		184,565
Due to brokers		2,519,264		1,390,404
Commissions and other trading fees on open futures contracts		82,629		24,334

Total liabilities		85,814,773		8,415,217

PARTNERS’ CAPITAL		508,627,549		230,800,045

TOTAL	$	594,442,322	$	239,215,262

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MILLBURN MULTI-MARKETS TRADING L.P.

CONDENSED SCHEDULE OF INVESTMENTS

AS OF DECEMBER 31, 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		1.39	%	$	7,066,650
Grains		(0.00	)		(20,390	)
Interest rates:
10 Year U.S. Treasury Note (111 contracts, settlement date March 2018)		0.01			43,344
30 Year U.S. Treasury Bond (209 contracts, settlement date March 2018)		0.06			291,406
Other interest rates		(1.31	)		(6,661,826	)

Total interest rates		(1.24	)		(6,327,076	)

Metals		1.66			8,491,751
Softs		0.07			350,420
Stock indices		0.32			1,647,379

Total long futures contracts		2.20			11,208,734

Short futures contracts:
Energies		(0.17	)		(896,980	)
Grains		0.02			104,011
Interest rates		0.15			764,885
Livestock		(0.01	)		(66,920	)
Metals		(1.73	)		(8,777,976	)
Softs		0.08			404,426
Stock indices		(0.12	)		(594,723	)

Total short futures contracts		(1.78	)		(9,063,277	)

TOTAL INVESTMENTS IN FUTURES CONTRACTS — Net		0.42			2,145,457

FORWARD CURRENCY CONTRACTS
Total long forward currency contracts		0.32			1,616,927
Total short forward currency contracts		(2.62	)		(13,330,462	)

TOTAL INVESTMENTS IN FORWARD CURRENCY CONTRACTS — Net		(2.30	)		(11,713,535	)

TOTAL		(1.88	)%	$	(9,568,078	)

(Continued)

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MILLBURN MULTI-MARKETS TRADING L.P.

CONDENSED SCHEDULE OF INVESTMENTS
AS OF DECEMBER 31, 2017

U.S. TREASURY NOTES

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

$	116,040,000	U.S. Treasury notes, 1.000%, 02/15/2018		22.81	%	$	115,994,672
	115,440,000	U.S. Treasury notes, 1.000%, 05/15/2018		22.67			115,293,445
	140,540,000	U.S. Treasury notes, 1.000%, 08/15/2018		27.52			139,991,016
	115,440,000	U.S. Treasury notes, 1.250%, 11/15/2018		22.59			114,921,422
		Total investments in U.S. Treasury notes
		(amortized cost $486,896,145)		95.59	%	$	486,200,555

See notes to financial statements.

(Concluded)

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MILLBURN MULTI-MARKETS TRADING L.P.

CONDENSED SCHEDULE OF INVESTMENTS

AS OF DECEMBER 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		0.05	%	$	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)

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MILLBURN MULTI-MARKETS TRADING L.P.

CONDENSED SCHEDULE OF INVESTMENTS
AS OF 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.

(Concluded)

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MILLBURN MULTI-MARKETS TRADING L.P.

STATEMENTS OF OPERATIONS

YEARS ENDED DECEMBER 31, 2017 AND 2016

	2017			2016

INVESTMENT INCOME — Interest income	$	3,762,433		$	795,695

EXPENSES:
Brokerage commissions		1,390,339			485,886
Management fees		6,579,624			3,213,117
Selling commissions and platform fees		3,378,797			2,704,286
Administrative fee and operating expenses		1,163,307			952,830
Custody fees and other expenses		73,575			34,672

Total expenses		12,585,642			7,390,791

Operating expenses borne by General Partner		—			(104,187	)

Net expenses		12,585,642			7,286,604

NET INVESTMENT LOSS		(8,823,209	)		(6,490,909	)

REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		45,909,333			29,182,390
Foreign exchange translation		933,084			(265,318	)
Net change in unrealized:
Futures and forward currency contracts		(14,723,408	)		1,433,891
Foreign exchange translation		950,501			(183,785	)
Net gains (losses) from U.S. Treasury notes:
Net change in unrealized		(595,837	)		35,974

Total net realized and unrealized gains		32,473,673			30,203,152

NET INCOME		23,650,464			23,712,243

LESS PROFIT SHARE TO GENERAL PARTNER		3,732,701			2,985,754

NET INCOME AFTER PROFIT SHARE TO GENERAL PARTNER	$	19,917,763		$	20,726,489

See notes to financial statements

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MILLBURN MULTI-MARKETS TRADING L.P.

STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL

YEARS ENDED DECEMBER 31, 2017 AND 2016

					New Profit
		Limited			Memo			General
		Partners			Account			Partner			Total

PARTNERS’ CAPITAL — January 1, 2016	$	167,109,009		$	—		$	938,206		$	168,047,215

Contributions		60,797,262			—			—			60,797,262
Withdrawals		(18,461,927	)		—			(3,294,748	)		(21,756,675	)
Net income		23,534,572			8,994			168,677			23,712,243
General Partner’s allocation — profit share		(2,985,754	)		2,985,754			—			—
Transfer of New Profit Memo Account to General Partner		—			(2,994,748	)		2,994,748			—
PARTNERS’ CAPITAL — December 31, 2016		229,993,162			—			806,883			230,800,045

Contributions		348,496,195			—			—			348,496,195
Withdrawals		(90,584,455	)		—			(3,734,700	)		(94,319,155	)
Net income		23,582,855			1,999			65,610			23,650,464
General Partner’s allocation — profit share		(3,732,701	)		3,732,701			—			—
Transfer of New Profit Memo Account to General Partner		—			(3,734,700	)		3,734,700			—
PARTNERS’ CAPITAL — December 31, 2017	$	507,755,056		$	—		$	872,493		$	508,627,549

See notes to financial statements

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MILLBURN MULTI-MARKETS TRADING L.P.

STATEMENTS OF FINANCIAL HIGHLIGHTS

YEARS ENDED DECEMBER 31, 2017 AND 2016

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).

	2017			2016

Total return before General Partner profit share allocation		5.96	%		15.35	%
Less: General Partner profit share allocation		1.17			2.83

Total return after General Partner profit share allocation		4.79	%		12.52	%

Ratios to average net asset value:
Expenses ^{(1) (2)}		2.48	%		2.55	%
General Partner profit share allocation		1.17			2.83

Total expenses ^{(1) (2)}		3.65	%		5.38	%

Net investment loss ^{(1) (2) (3)}		(1.67	)%		(2.15	)%

Total returns and the ratios to average net asset value are calculated for a Limited Partner. An individual Limited Partner’s total returns and ratios may vary from the above total returns and ratios based on different management fee and General Partner profit share allocation agreements and the timing of contributions and withdrawals.

⁽¹⁾Includes the proportionate share of expenses of the U.S. Feeder and Cayman Feeder (as defined in Footnote 1).

⁽²⁾Ratios are computed net of involuntary waivers of operating expenses borne by the General Partner of the Partnership. For each of the years ended December 31, 2017 and 2016, the ratios are net of the 0.00% and 0.05% effect of the involuntary waivers of operating expenses, respectively.

⁽³⁾Excludes General Partner profit share allocation.

See notes to financial statements

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MILLBURN MULTI-MARKETS TRADING L.P.

STATEMENTS OF FINANCIAL HIGHLIGHTS

YEARS ENDED DECEMBER 31, 2017 AND 2016

The following information presents financial highlights of Limited Partners as a whole.

	2017			2016

Total return before General Partner profit share allocation		5.43	%		14.03	%
Less: General Partner profit share allocation		0.85			1.49

Total return after General Partner profit share allocation		4.58	%		12.54	%

Ratios to average net asset value:
Expenses ^{(1) (2)}		2.86	%		3.65	%
General Partner profit share allocation		0.85			1.49

Total expenses ^{(1) (2)}		3.71	%		5.14	%

Net investment loss ^{(1) (2) (3)}		(2.00	)%		(3.25	)%

Total returns and the ratios to average net asset value are calculated for Limited Partners’ capital taken as a whole. 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 agreement and the timing of contributions and withdrawals.

⁽¹⁾Includes the proportionate share of expenses of the U.S. Feeder and Cayman Feeder (as defined in Footnote 1).

⁽²⁾Ratios are computed net of involuntary waivers of operating expenses borne by the General Partner of the Partnership. For each of the two years ended December 31, 2017 and 2016, the ratios are net of the 0.00% and 0.05% effect of the involuntary waivers of operating expenses, respectively.

⁽³⁾Excludes General Partner profit share allocation.

See notes to financial statements

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MILLBURN MULTI-MARKETS TRADING L.P.

NOTES TO FINANCIAL STATEMENTS
YEARS ENDED DECEMBER 31, 2017 AND 2016

ORGANIZATION

Millburn Multi-Markets Trading L.P. (the “Partnership”) is a limited partnership organized in September 2004 under the Delaware Revised Uniform Limited Partnership Act and commenced operations on October 20, 2004. The Partnership engages in the speculative trading of futures and forward currency contracts and also acts as a master fund for Millburn Multi-Markets Ltd., a Cayman Islands exempted company (the “Cayman Feeder”), and Millburn Multi-Markets Fund L.P., a Delaware limited partnership (the “U.S. Feeder”). The U.S. Feeder and Cayman Feeder invest substantially all of their assets in the Partnership. The Cayman Feeder and U.S. Feeder commenced operations on July 1, 2008, and August 1, 2009, respectively. All feeder fees and expenses will be charged at the master level. The Partnership is subject to the regulations of the Commodity Futures Trading Commission, an agency of the United States (“U.S.”) government which regulates most aspects of the commodity futures industry; rules of the National Futures Association, an industry self-regulatory organization; and the requirements of commodity exchanges and futures commission merchants (brokers) through which the Partnership trades.

The Limited Partnership Agreement (the “Agreement”) provides that subject to certain limitations, Millburn Ridgefield Corporation (the “General Partner”) shall conduct and manage the business of the Partnership. The General Partner has the right to make all investment decisions regarding the Partnership, authorize the payments of distributions to partners, enter into customer agreements with brokers and take such other actions, as it deems necessary or desirable, to manage the business of the Partnership.

The limited partners, special limited partners, New Profit Memo Account (Note 4) and the General Partner share in the profits and losses of the Partnership which are determined before management fees, selling commissions (Note 2) and profit share allocations on the basis of their proportionate interests of Partnership capital (Note 4). The General Partner and special limited partners are charged none or lower management fees than limited partners in accordance with the Agreement. No limited partner or special limited partner shall be liable for Partnership obligations in excess of their capital contribution plus profits allocated to their capital accounts, if any.

Subject to certain conditions, a partner has the right to redeem all or a portion of its partnership capital as of any month-end upon fifteen days’ prior written notice to the General Partner. In its sole discretion, the General Partner may permit redemptions on shorter notice or as of a date other than month-end. Redemptions will be made as of the last day of the month for an amount equal to the Net Asset Value of the portion of a partner’s capital being redeemed. A redeeming partner shall receive such redeemed capital less the redemption fee, if any.

The General Partner, subject to Commodity Futures Trading Commission requirements, may, at its discretion, sell additional limited partnership interests to investors desiring to become limited partners.

The Partnership will dissolve in the event of certain conditions set forth in the Agreement.

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SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

Basis of Presentation — The financial statements have been prepared in conformity with accounting principles generally accepted in the United States (“U.S. GAAP”) as detailed in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“Codification”). Certain reclassifications have been made to the prior period financial statements to conform to the current period presentation.

Investments — The Partnership records its transactions in futures, forward currency contracts and U.S. Treasury notes including related income and expenses on a trade-date basis. The Partnership bears all trade-related commission and clearing charges due to third party brokers.

Open futures contracts are valued at quoted market values. Open forward currency contracts are valued at fair value which is based on pricing models that consider the time value of money and the current market and contractual prices of the underlying financial instruments. Brokerage commissions on open futures contracts are expensed when the contracts are opened. Realized gains (losses) and changes in unrealized appreciation (depreciation) on futures and forward currency contracts are recognized in the periods in which the contracts are closed or the changes in the value of open contracts occur and are included in net realized and unrealized gains (losses) in the Statements of Operations.

Investments in U.S. Treasury notes are valued at fair value based on the midpoint of bid/ask quotations reported daily at 3pm EST by Bloomberg. The Partnership amortizes premiums and accretes discounts on U.S. Treasury notes. Such securities are normally on deposit with financial institutions (see Note 7) as collateral for performance of the Partnership’s trading obligations with respect to derivative contracts or held for safekeeping in a custody account at HSBC Bank USA, N.A.

Foreign Currency Cash — Includes foreign currency cash held at the Partnership’s trading counterparties. Foreign cash deficits, if applicable, are presented in the liabilities section of the Statements of Financial Condition.

Foreign Currency Translation — Assets and liabilities denominated in foreign currencies are translated to U.S. Dollars at prevailing exchange rates of such currencies. Purchases and sales of investments are translated to U.S. Dollars at the exchange rate prevailing when such transactions occurred.

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Management Fees — The Agreement provides that the Partnership shall charge the limited partners’ capital accounts and pay the General Partner management fees at a fixed rate of 0.167% per month of net asset value (2% per annum) of limited partnership interests. The General Partner retains the right to charge less than the annual management fee rate except as specified in the Agreement. Management fees for the years ended December 31, 2017 and 2016 were as follows:

		2017		2016

US Feeder	$	3,624,623	$	2,952,133
Cayman Feeder		2,883,089		205,708
Other ⁽¹⁾		71,912		55,276
Total	$	6,579,624	$	3,213,117

⁽¹⁾Direct investors in the Partnership

Selling Commissions — The U.S. Feeder has issued Units to its investors that are subject to selling commissions of 2% per annum or platform fees of 0.25% per annum. These selling commissions and platform fees are charged at the Partnership level but are allocated only to the applicable U.S. Feeder investors. On March 1, 2012, the Cayman Feeder began offering shares that are subject to selling commissions of 2% per annum. Selling commissions and platform fees for the years ended December 31, 2017 and 2016 were as follows:

	Selling Commissions				Platform Fees				Total Selling Commissions and Platform Fees
	2017		2016		2017		2016		2017		2016

U.S. Feeder	$	3,342,736	$	2,667,559	$	14,937	$	22,544	$	3,357,673	$	2,690,103
Cayman Feeder		21,124		14,183		—		—		21,124		14,183

Total	$	3,363,860	$	2,681,742	$	14,937	$	22,544	$	3,378,797	$	2,704,286

Administrative and Operating Expenses — Prior to January 1, 2017, the General Partner of the Partnership was paid a monthly administration fee for certain accounting, tax, legal and operational services it provided to the Partnership (the “Administration Fee”) calculated at 0.05% of month-end partners’ capital prior to reduction for capital withdrawals, management fees and the Administrative Fee then being calculated. As of January 1, 2017, the Administrative Fee was no longer being charged.

The Partnership 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 Partners’ Capital of the Partnership (the “Expense Cap”). Amounts subject to the Expense Cap include expenses incurred at the Partnership level and Cayman Feeder level and the Administration Fee due to the General Partner. The General Partner of the Partnership and the Investment Adviser of the Cayman Feeder bear any excess over such amounts. The Partnership, the U.S. Feeder, and the Cayman Feeder will pay any extraordinary expenses. The Investment Adviser of the Cayman Feeder directly paid operating expenses in excess of 1/4 of 1% of average shareholders’ equity for the year ended December 31, 2016.

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The U.S. Feeder bears its own expenses including, but not limited to, periodic legal, accounting and filing fees. Total operating expenses related to investors in the U.S. Feeder (including their pro-rata share of Partnership expenses) are not expected to exceed 1/2 of 1% per annum of the U.S. Feeder’s average month-end partners’ capital. For the years ended December 31, 2017 and 2016, such operating expenses did not exceed 1/2 of 1% per annum of the U.S. Feeder’s average month-end partners’ capital.

Administrative and operating expenses related to the Partnership are charged pro-rata to all investors. Operating expenses related to the U.S. Feeder and Cayman Feeder are charged at the Partnership level and allocated only to those respective investors.

For the year ended December 31, 2017, operating expenses were as follows:

	Operating
Fund	Expenses

Partnership	$	551,775
U.S. Feeder		486,931
Cayman Feeder		124,601
Total	$	1,163,307

For the year ended December 31, 2016, operating expenses and the Administration Fee were as follows:

	Operating			Administration		Total
Fund	Expenses			Fee

Partnership	$	349,150		$	100,308	$	449,458
U.S. Feeder		395,947			—		395,947
Cayman Feeder		107,425			—		107,425
Total	$	852,522		$	100,308	$	952,830

Borne by General Partner or Investment Adviser *	$	(104,187	)	$	—	$	(104,187	)

* by General Partner (in the case of the Partnership and U.S. Feeder) or Investment Adviser (Cayman Feeder)

Income Taxes — The Partnership is treated as a limited partnership for federal and state income tax reporting purposes. Accordingly, the Partnership prepares calendar year U.S. federal and applicable state tax returns and reports to the partners their allocable shares of the Partnership’s income, expenses and trading gains or losses. No provision for income taxes has been made in the accompanying financial statements as the partners are responsible for the payment of taxes.

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Estimates — The preparation of financial statements in conformity with U.S. GAAP requires the General Partner to make estimates and assumptions that affect the amounts and disclosures reported in the financial statements. Actual results could differ from these estimates.

Right of Offset — The customer agreements between the Partnership and its brokers give the Partnership the legal right to net unrealized gains and losses with each broker. Unrealized gains and losses related to offsetting transactions with these brokers are reflected on a net basis in the equity in trading accounts in the Statements of Financial Condition.

Fair Value of Financial Instruments — The fair value of the Partnership’s assets and liabilities which qualify as financial instruments under the Fair Value Measurements and Disclosures topic of the Codification approximates the carrying amounts presented in the Statements of Financial Condition. The topic defines fair value, establishes a framework for measurement of 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;

Level 3 — Prices or valuations that require inputs that are both significant to the fair value measurement and unobservable.

In determining fair value, the Partnership separates its investments into two categories: cash instruments and derivative contracts.

Cash Instruments — The Partnership’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 of the Partnership does not adjust the quoted price for such instruments even in situations where the Partnership 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.

OTC derivatives or forward currency contracts are valued based on pricing models that consider the current market prices plus the time value of money (“forward points”) and contractual prices of the underlying financial instruments. The forward points from the quotation service providers are generally in periods of one month, two months, three months and six months forward while the contractual forward delivery dates for the foreign forward currency contracts traded by the Partnership may be in between these periods. The General Partner’s policy is to calculate the forward points for each contract being valued by determining the number of days from the date the forward currency contract is being valued to its maturity date and then using straight-line interpolation to calculate the valuation of forward points for the applicable forward currency contract. 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.

- 15 -

During the years ended December 31, 2017 and 2016, there were no transfers of assets or liabilities between Level 1 and Level 2. The following table represents the Partnership’s investments by hierarchical level as of December 31, 2017 and 2016 in valuing the Partnership’s investments at fair value. At December 31, 2017 and 2016, the Partnership held no assets or liabilities classified in Level 3.

Financial assets at fair value as of December 31, 2017
	Level 1			Level 2			Total

U.S. Treasury notes (1)	$	486,200,555		$	—		$	486,200,555

Short-Term Money Market Fund*		75,655,244			—			75,655,244
Exchange-traded futures contracts
Energies		6,169,670			—			6,169,670
Grains		83,621			—			83,621
Interest rates		(5,562,191	)		—			(5,562,191	)
Livestock		(66,920	)		—			(66,920	)
Metals		(286,225	)		—			(286,225	)
Softs		754,846			—			754,846
Stock indices		1,052,656			—			1,052,656

Total exchange-traded futures contracts		2,145,457			—			2,145,457

Over-the-counter forward currency contracts		—			(11,713,535	)		(11,713,535	)

Total futures and forward currency contracts (2)		2,145,457			(11,713,535	)		(9,568,078	)

Total financial assets and liabilities at fair value	$	564,001,256		$	(11,713,535	)	$	552,287,721

Per line item in Statements of Financial Condition
(1)
Investments in U.S. Treasury notes held in equity trading accounts as collateral	$	127,971,156
Investments in U.S. Treasury notes		358,229,399
Total investments in U.S. Treasury notes	$	486,200,555

(2)
Net unrealized appreciation on open futures and forward currency contracts	$	2,145,457
Net unrealized depreciation on open futures and forward currency contracts		(11,713,535	)
Total net unrealized depreciation on open futures and forward currency contracts	$	(9,568,078	)

* The short-term money market fund is included in Cash and Cash Equivalents on the Statements of Financial Condition.

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Financial assets 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							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 net unrealized appreciation on open futures and forward currency contracts						$	5,155,330

ADMINISTRATOR AGREEMENT

The Partnership, U.S. Feeder, and Cayman Feeder (collectively, the “Funds”) have engaged CACEIS (USA) Inc. (the “Administrator”) to provide certain administrative services for the Funds, including, but not limited to, maintaining the books and records of the Funds and valuation of the Funds’ net asset value.

PROFIT SHARE ALLOCATION

The Agreement provides that the General Partner’s profit share equal to 20% of Trading Profits at the end of each year is charged to the limited partners’ capital accounts. New Trading Profits include realized and unrealized trading profits (losses), interest income, brokerage fees, trading-related expenses and administrative expenses. For limited partners’ withdrawals during the year, the profit share calculation shall be computed as though the withdrawal date was at year-end. Profit share attributable to interests redeemed during a year is tentatively credited to an account maintained for bookkeeping purposes called the New Profit Memo Account. Because limited partners may purchase their partnership interests at different times, they may recognize different amounts of Trading Profits. Each limited partner pays a profit share only on Trading Profits applicable to its partnership interest. Profit share will be determined based on the Trading Profits of each limited partners’ investment in the Partnership as a whole rather than on the Trading Profits of each capital contribution made by a limited partner.

- 17 -

Any profit share charged is added to the General Partner’s capital account to the extent that net taxable capital gains are allocated to the General Partner and the remainder, if any, of such profit share is added to the New Profit Memo Account. The General Partner may not make any withdrawal from the balance in the New Profit Memo Account. If, at the end of a subsequent year, net taxable gains are allocated to the General Partner in excess of such year’s profit share, a corresponding amount is transferred from the New Profit Memo Account to the General Partner’s capital account.

Profit share allocation for the years ended December 31, 2017 and 2016 were as follows:

	2017		2016

US Feeder	$	1,338,994	$	2,716,451
Cayman Feeder		2,376,745		239,199
Other ⁽¹⁾		16,962		30,104
Total	$	3,732,701	$	2,985,754

⁽¹⁾

Direct investors in the Partnership

DUE FROM/TO BROKERS

At December 31, 2017 and 2016, due from and due to brokers balances, if any, in the Statements of Financial Condition include net cash receivable from each broker and net cash payable to each broker, respectively.

TRADING ACTIVITIES

The Partnership conducts its futures trading with various futures commission merchants (“FCMs”) on futures exchanges and its forward currency trading with various banks or dealers (“Dealers”) in the interbank markets. Substantially all assets included in the Partnership’s equity in trading accounts and certain liability accounts, as discussed below, were held as collateral by such FCMs in either U.S. regulated segregated accounts (for futures contracts traded on U.S. exchanges) or non-U.S. secured accounts (for futures contracts traded on non-U.S. exchanges) as required by U.S. Commodity Futures Trading Commission’s regulations, or held as collateral by the counterparty Dealers.

Liabilities in the Statements of Financial Condition that are components of “Total equity in trading accounts” include net unrealized depreciation on open futures and forward currency contracts, cash denominated in foreign currencies and due to brokers, if any.

The Partnership enters into contracts with various 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.

- 18 -

DERIVATIVE INSTRUMENTS

The Partnership is party to derivative financial instruments in the normal course of its business. These financial instruments include futures and forward currency contracts which may be traded on an exchange or OTC.

The Partnership records its derivative activities on a mark-to-market basis as described in Note 2. For OTC contracts, the Partnership enters into master netting agreements with its counterparties. Therefore, assets represent the Partnership’s unrealized gains, less unrealized losses for OTC contracts in which the Partnership has a master netting agreement. Similarly, liabilities represent net amounts owed to counterparties on OTC contracts.

Futures contracts are agreements to buy or sell an underlying asset or index for a set price in the future. Initial margin deposits are made upon entering into futures contracts and can be either in cash or treasury securities. Open futures contracts are revalued on a daily basis to reflect the market value of the contracts at the end of each trading day. Variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. When the contract is closed, the Partnership records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed. The Partnership bears the market risk that arises from changes in the value of these financial instruments.

Forward currency contracts entered into by the Partnership represent a firm commitment to buy or sell an underlying currency at a specified value and point in time based upon an agreed or contracted quantity. The ultimate gain or loss is equal to the difference between the value of the contract at the onset and the value of the contract at settlement date.

Each of these financial instruments is subject to various risks similar to those related to the underlying financial instruments including market risk, credit risk, concentration risk and sovereign risk.

Market risk is the potential change in the value of the instruments traded by the Partnership due to market changes including interest and foreign exchange rate movements and fluctuations in futures or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The financial instruments traded by the Partnership contain varying degrees of off-balance sheet risk whereby changes in the market values of the futures and forward currency contracts and the Partnership’s satisfaction of its obligations related to such market value changes may exceed the amount recognized in the Statements of Financial Condition.

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 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. In the case of OTC transactions, the Partnership must rely solely on the credit of the individual counterparties. The contract amounts of the forward currency and futures contracts do not represent the Partnership’s risk of loss due to counterparty nonperformance. The Partnership’s exposure to credit risk associated with counterparty nonperformance of these forward currency contracts is limited to the unrealized gains inherent in such contracts which are recognized in the Statements of Financial Condition plus the value of margin or collateral held in cash and U.S. Treasury Notes by the counterparty. The amount of such credit risk was $49,457,913 and $12,232,055 at December 31, 2017 and 2016, respectively.

The General Partner has established procedures to actively monitor market risk and minimize credit risk, although there can be no assurance that it will in fact succeed in doing so. The General Partner’s market risk control procedures include diversification of the Partnership’s portfolio and continuously monitoring the portfolio’s open positions, historical volatility and maximum historical loss. The General Partner seeks to minimize credit risk primarily by depositing and maintaining the Partnership’s assets at financial institutions and brokers which the General Partner believes to be creditworthy. The Partnership’s trading activities are primarily with brokers and other financial institutions located in North America, Europe and Asia. All futures transactions of the Partnership are cleared by major securities firms, pursuant to customer agreements, including Deutsche Bank Securities Inc. (a wholly owned subsidiary of Deutsche Bank AG), and SG Americas Securities, LLC., collectively the “Futures Clearing Brokers.”. For all forward currency transactions, the Partnership utilizes one prime broker, Deutsche Bank AG. In addition, the Partnership clears trades through Morgan Stanley & Co., LLC (“MS”), utilizing MS as a swap dealer.

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The Partnership is subject to sovereign risk such as the risk of restrictions being imposed by foreign governments on the repatriation of cash and the effects of political or economic uncertainties. Net unrealized appreciation (depreciation) on futures and forward currency contracts are denominated in the Partnership’s functional currency (U.S. Dollar). Cash settlement of futures and forward currency contracts is made in the local currency (settlement currency) and then translated to U.S. Dollars. Net unrealized appreciation (depreciation) on futures and forward currency contracts at December 31, 2017 and 2016, by settlement currency type, denominated in U.S. Dollars, is detailed below:

	As of December 31,
	2017					2016
		Total Net					Total Net
		Unrealized					Unrealized
		Appreciation		Percent			Appreciation		Percent
Currency Type		(Depreciation)		of Total			(Depreciation)		of Total

Australian dollar	$	(671,838	)	7.02	%	$	128,539		2.49	%
British pound		2,903,486		(30.35	)		558,726		10.84
Canadian dollar		47,569		(0.50	)		(6,500	)	(0.13	)
Euro		(9,368,585	)	97.92			2,687,273		52.13
Hong Kong dollar		18,681		(0.20	)		46,550		0.90
Japanese yen		1,438,203		(15.03	)		490,906		9.52
Korean won		340,400		(3.56	)		269,231		5.22
Malaysian ringgit		20,435		(0.21	)		(74,203	)	(1.44	)
Norwegian krone		(566,513	)	5.92			(108,330	)	(2.10	)
Polish zloty		151,032		(1.58	)		(44,969	)	(0.87	)
Singapore dollar		25,755		(0.27	)		(4,520	)	(0.09	)
South African rand		45,803		(0.48	)		17,049		0.33
Swedish krona		(493,314	)	5.16			(136,742	)	(2.65	)
Turkish lira		(557,950	)	5.83			(38,566	)	(0.75	)
U.S. dollar		(2,901,242	)	30.33			1,370,886		26.60

Total	$	(9,568,078	)	100.00	%	$	5,155,330		100.00	%

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.

- 20 -

The Partnership’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 Partnership’s open positions and the liquidity of the markets in which it trades.

The Partnership engages in the speculative trading of futures and forward contracts on agricultural commodities, currencies, energies, interest rates, metals, and stock indices. The following were the primary trading risk exposures of the Partnership at December 31, 2017 and 2016, by market sector:

Agricultural (grains, livestock and softs) — The Partnership’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 Partnership. The Partnership’s currency exposure is to exchange rate fluctuations that 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 Partnership trades in a large number of currencies including cross-rates — e.g., positions between two currencies other than the U.S. dollar.

Energies — The Partnership’s primary energy market exposure is to gas and oil price movements often resulting from political developments in the Middle East 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 market.

Interest Rates — Interest rate movements directly affect the price of the sovereign bond futures positions held by the Partnership 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 Partnership’s profitability. The Partnership’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 Partnership also may take positions in futures contracts on the government debt of other countries. 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 Partnership for the foreseeable future.

Metals — The Partnership’s metals market exposure is to fluctuations in the price of aluminum, copper, gold, lead, nickel, palladium, platinum, silver, tin and zinc.

Stock Indices — The Partnership’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 value of futures and forward currency contracts are first netted by the broker as discussed in Note 2. Futures and forward currency contracts in a net asset or liability position are recorded in the Statements of Financial Condition as “Net unrealized appreciation on open futures and forward currency contracts” or “Net unrealized depreciation on open futures and forward currency contracts,” respectively. The Partnership’s policy regarding fair value measurement is discussed in Note 2.

Since the derivatives held or sold by the Partnership are for speculative trading purposes, the derivative instruments are not designated as hedging instruments under the provisions of the Derivatives and Hedging Topic of the Codification. 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 Partnership’s trading gains and losses in the Statements of Operations.

- 21 -

The following table presents the fair value of open futures and forward currency contracts, held long or sold short, at December 31, 2017 and 2016. Fair value, below, is presented on a gross basis even though the contracts are subject to master netting agreements and qualify for net presentation in the Statements of Financial Condition.

Fair Value of Futures and Forward Currency Contracts at December 31, 2017

											Net Unrealized
		Fair Value - Long Positions					Fair Value - Short Positions					Gain (Loss) on
Sector		Gains		Losses			Gains		Losses			Open Positions
Futures contracts:
Energies	$	7,084,104	$	(17,454	)	$	115,340	$	(1,012,320	)	$	6,169,670
Grains		100		(20,490	)		274,100		(170,089	)		83,621
Interest rates		1,344,904		(7,671,980	)		829,470		(64,585	)		(5,562,191	)
Livestock		—		—			6,260		(73,180	)		(66,920	)
Metals		8,558,331		(66,580	)		22,964		(8,800,940	)		(286,225	)
Softs		357,125		(6,705	)		679,252		(274,826	)		754,846
Stock indices		4,844,811		(3,197,432	)		858,712		(1,453,435	)		1,052,656
Total futures contracts		22,189,375		(10,980,641	)		2,786,098		(11,849,375	)		2,145,457

Forward currency contracts		5,225,346		(3,608,419	)		2,226,484		(15,556,946	)		(11,713,535	)

Total futures and forward currency contracts	$	27,414,721	$	(14,589,060	)	$	5,012,582	$	(27,406,321	)	$	(9,568,078	)

Fair Value of Futures and Forward Currency Contracts at December 31, 2016

											Net Unrealized
		Fair Value - Long Positions					Fair Value - Short Positions					Gain (Loss) on
Sector		Gains		Losses			Gains		Losses			Open 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

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The effect of trading futures and forward currency contracts is presented on the Statements of Operations for the years ended December 31, 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 years ended December 31, 2017 and 2016

Sector	2017			2016

Futures contracts:
Energies	$	(4,125,803	)	$	(6,466,624	)
Grains		(2,701,652	)		2,864,072
Interest rates		(3,601,865	)		10,837,509
Livestock		(434,030	)		139,270
Metals		604,208			(916,623	)
Softs		2,476,401			(1,026,914	)
Stock indices		67,182,560			17,017,329

Total futures contracts		59,399,819			22,448,019

Forward currency contracts		(28,213,894	)		8,168,262

Total futures and forward currency contracts	$	31,185,925		$	30,616,281

For the years ended December 31, 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		35,579		12,089
Average sold		34,774		11,834
Average notional	$	3,685,000,000	$	1,360,000,000

The Customer Agreement between the Partnership, the Futures Clearing Brokers and the FX Prime Brokers gives the Partnership the legal right to net unrealized gains and losses on open futures and foreign currency contracts. The Partnership 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 tables summarize the valuation of the Partnership’s investments as of December 31, 2017 and 2016.

- 23 -

Offsetting of derivative assets and liabilities at December 31, 2017

Assets	Gross amounts of recognized assets		Gross amounts offset in the Statement of Financial Condition			Net amounts of assets presented in the Statement of Financial Condition

Futures contracts
Counterparty C	$	8,020,778	$	(7,204,167	)	$	816,611
Counterparty I		16,954,695		(15,625,849	)		1,328,846
Total futures contracts		24,975,473		(22,830,016	)		2,145,457

Total assets	$	24,975,473	$	(22,830,016	)	$	2,145,457

Liabilities	Gross amounts of recognized liabilities		Gross amounts offset in the Statement of Financial Condition			Net amounts of liabilities presented in the Statement of Financial Condition

Forward currency contracts
Counterparty G	$	7,086,206	$	(2,515,193	)	$	4,571,013
Counterparty H		12,079,159		(4,936,637	)		7,142,522
Total forward contracts		19,165,365		(7,451,830	)		11,713,535

Total liabilities	$	19,165,365	$	(7,451,830	)	$	11,713,535

(Continued)

- 24 -

	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	$	816,611	$	—	$	(816,611	)	$	—
Counterparty I		1,328,846		—		(1,328,846	)		—
Total	$	2,145,457	$	—	$	(2,145,457	)	$	—

	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 G	$	4,571,013	$	—	$	4,571,013	$	—
Counterparty H		7,142,522		—		7,142,522		—
Total	$	11,713,535	$	—	$	11,713,535	$	—

⁽¹⁾

Collateral received includes trades made on exchanges. These trades are subject to central counterparty clearing where settlement is guaranteed by the exchange. Collateral pledged includes both cash and U.S. Treasury notes held at each respective counterparty.

⁽²⁾

Collateral disclosed is limited to an amount not to exceed 100% of the net amount of liabilities 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, 2017.

⁽⁴⁾

Net amount represents the amounts owed by the Partnership to each counterparty as of December 31, 2017.

(Concluded)

- 25 -

Offsetting of derivative assets and liabilities at December 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	$	3,612,002	$	(1,405,548	)	$	2,206,454
Counterparty I		2,675,437		(1,473,519	)		1,201,918
Total futures contracts		6,287,439		(2,879,067	)		3,408,372

Forward currency contracts
Counterparty G		1,707,952		(615,087	)		1,092,865
Counterparty H		1,827,750		(1,173,657	)		654,093
Total forward contracts		3,535,702		(1,788,744	)		1,746,958
Total assets	$	9,823,141	$	(4,667,811	)	$	5,155,330

	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	$	2,206,454	$	—	$	(2,206,454	)	$	—
Counterparty I		1,201,918		—		(1,201,918	)		—
Counterparty G		1,092,865		—		—			1,092,865
Counterparty H		654,093		—		—			654,093
Total	$	5,155,330	$	—	$	(3,408,372	)	$	1,746,958

⁽¹⁾

Collateral received includes trades made on exchanges. These trades are subject to central counterparty clearing where settlement is guaranteed by the exchange.

⁽²⁾

Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements 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, 2016.

- 26 -

FINANCIAL HIGHLIGHTS

The ratios 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 partner’s 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.

INVESTORS IN MILLBURN MULTI-MARKETS TRADING L.P.

The U.S. Feeder and Cayman Feeder invest substantially all of their assets in the Partnership. For the years ended December 31, 2017 and 2016, respective ownership percentages of the Partnership are detailed below:

	2017			2016

U.S. Feeder		35.47	%		74.91	%
Cayman Feeder		55.14			6.68

Total		90.61	%		81.59	%

The remaining interests are held by direct investors in the Partnership.

The capital withdrawals payable at December 31, 2017 and 2016 were $67,862,636 and $6,223,896, respectively, detailed below.

	2017		2016
Direct investors ⁽¹⁾	$	3,934,700	$	3,294,748
U.S. Feeder		1,565,482		2,876,148
Cayman Feeder		62,362,454		53,000

Total	$	67,862,636	$	6,223,896

⁽¹⁾

Includes profit share to the General Partner of $3,734,700 and a limited partner redemption of $200,000, totaling $3,934,700 at December 31, 2017. Includes profit share of $2,994,748 and General Partner redemptions of $300,000, totaling $3,294,748 at December 31, 2016.

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10.

SUBSEQUENT EVENTS

During the period from January 1, 2018 to March 19, 2018, contributions of $93,703,649 were made to the Partnership and withdrawals of $5,160,923 were made from the Partnership. The General Partner has performed its evaluation of subsequent events through March 19, 2018, the date the financial statements were issued. Based on such evaluation, no further events were discovered that required adjustment to or disclosure in the financial statements.

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Millburn Multi-Markets Fund L.P. - FORM 10-K - EX-13.01 - EXHIBIT 13.01 - March 29, 2018

Attached files

Millburn Multi-Markets Fund L.P. Reports