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

Attached files

file	filename
EX-32.03 - EXHIBIT 32.03 - Millburn Multi-Markets Fund L.P.	s109987_ex32-03.htm
EX-32.02 - EXHIBIT 32.02 - Millburn Multi-Markets Fund L.P.	s109987_ex32-02.htm
EX-32.01 - EXHIBIT 32.01 - Millburn Multi-Markets Fund L.P.	s109987_ex32-01.htm
EX-31.03 - EXHIBIT 31.03 - Millburn Multi-Markets Fund L.P.	s109987_ex31-03.htm
EX-31.02 - EXHIBIT 31.02 - Millburn Multi-Markets Fund L.P.	s109987_ex31-02.htm
EX-31.01 - EXHIBIT 31.01 - Millburn Multi-Markets Fund L.P.	s109987_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: March 31, 2018

☐	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, a 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 months ended March 31, 2018 and 2017 (unaudited)

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

(a) At March 31, 2018 and December 31, 2017 (unaudited)

(b) For the three months ended March 31, 2018 and 2017 (unaudited)

Millburn Multi-Markets Fund L.P.

Statements of Financial Condition (UNAUDITED)

ASSETS	March 31, 2018		December 31, 2017
Investment in Millburn Multi-Markets
Trading L.P. (the “Master Fund”)	$	167,774,370	$	180,404,424
Due from the Master Fund		3,370,148		1,565,482
Cash and cash equivalents		960,670		1,283,292

Total assets	$	172,105,188	$	183,253,198

LIABILITIES AND PARTNERS’ CAPITAL

LIABILITIES:
Capital contributions received in advance	$	960,000	$	1,283,000
Capital withdrawal payable to Limited Partners		3,370,148		1,165,481
Capital withdrawal payable to General Partner		—		400,000
Due to the Master Fund		670		292

Total liabilities		4,330,818		2,848,773

PARTNERS’ CAPITAL:
General Partner		2,463,063		2,597,268

Limited partners:
Series A (137,806.5077 and 140,430.1803 units outstanding)		150,358,895		163,192,225
Series B (7,349.5927 and 7,036.0325 units outstanding)		9,122,304		9,255,157
Series C (4,370.5973 and 3,956.9329 units outstanding)		5,534,864		5,310,547
Series D (239.8726 and 37.5601 units outstanding)		295,244		49,228

Total limited partners		165,311,307		177,807,157

Total partners’ capital		167,774,370		180,404,425

TOTAL	$	172,105,188	$	183,253,198

NET ASSET VALUE PER UNIT OUTSTANDING:
Series A	$	1,091.09	$	1,162.09
Series B	$	1,241.20	$	1,315.39
Series C	$	1,266.39	$	1,342.09
Series D	$	1,230.84	$	1,310.65

See notes to financial statements (Unaudited)

Millburn Multi-Markets Fund L.P.

Statements of Operations (UNAUDITED)

	For the three months ended
	March 31, 2018			March 31, 2017

INVESTMENT INCOME:
Interest income (allocated from the Master Fund)	$	541,218		$	261,312

EXPENSES:
Management fees		845,172			880,480
Brokerage commissions (allocated from the Master Fund)		143,860			108,625
Selling commissions and platform fees		765,911			820,055
Administrative and operating expenses		155,165			200,030
Custody fees and other expenses (allocated from the Master Fund)		7,232			8,305

Total expenses		1,917,340			2,017,495

NET INVESTMENT LOSS		(1,376,122	)		(1,756,183	)

REALIZED AND UNREALIZED GAINS (LOSSES)
ALLOCATED FROM THE MASTER FUND
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		(18,327,011	)		7,258,012
Foreign exchange translation		339,363			(2,844	)
Net change in unrealized:
Futures and forward currency contracts		8,471,640			(13,762	)
Foreign exchange translation		(144,579	)		212,762
Net losses from U.S. Treasury notes:
Realized		(7,440	)		—
Net change in unrealized		(21,470	)		(72,316	)

Net realized and unrealized gains (losses)
allocated from the Master Fund		(9,689,497	)		7,381,852

NET INCOME (LOSS)		(11,065,619	)		5,625,669

LESS PROFIT SHARE ALLOCATION		856			1,103,786
FROM THE MASTER FUND

NET INCOME (LOSS) AFTER PROFIT SHARE	$	(11,066,475	)	$	4,521,883

See notes to financial statements (Unaudited)

Millburn Multi-Markets Fund L.P.

Statements of Changes in Partners’ Capital (UNAUDITED)

For the three months ended March 31, 2018 and 2017

				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 — 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

Capital contributions		—			3,380,000			3,022.0600			778,000			596.1155			749,000			573.6217			241,820			202.3125		5,148,820
Capital withdrawals		—			(6,043,700	)		(5,538.9009	)		(347,554	)		(282.5553	)		(321,146	)		(252.3080	)		—			—		(6,712,400	)
Transfer between Series					(119,505	)		(106.8317	)		—			—			119,505			92.3507			—			—		—
Net income (loss) before profit share		(134,205	)		(10,050,125	)		—			(563,299	)		—			(323,042	)		—			5,052			—		(11,065,619	)
Profit share					—						—						—						(856	)				(856	)
PARTNERS’ CAPITAL — March 31, 2018	$	2,463,063		$	150,358,895			137,806.5077		$	9,122,304			7,349.5927		$	5,534,864			4,370.5973		$	295,244			239.8726	$	167,774,370

Net Asset Value per Unit at March 31, 2018							$	1,091.09					$	1,241.20					$	1,266.39					$	1,230.84

			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		—		7,070,400			6,200.9289			451,000			358.2823			50,000			38.9421		7,571,400
Capital withdrawals		—		(4,940,860	)		(4,312.6872	)		(443,099	)		(352.2280	)		—			—		(5,383,959	)
Net income before profit share		116,676		5,096,053			—			319,928			—			93,012			—		5,625,669
Profit share				(1,020,837	)					(64,566	)					(18,383	)				(1,103,786	)
PARTNERS’ CAPITAL — March 31, 2017	$	2,895,900	$	164,986,949			142,478.5367		$	9,109,321			7,023.9354		$	2,603,487			1,969.5820	$	179,595,657

Net Asset Value per Unit at March 31, 2017						$	1,157.98					$	1,296.90					$	1,321.85

See notes to financial statements (Unaudited)

Millburn Multi-Markets Fund L.P.

Statement of Financial Highlights (UNAUDITED)

For the three months ended March 31, 2018

The following information presents per unit operating performance data for each series for the three months ended March 31, 2018.

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

NET ASSET VALUE PER UNIT — Beginning of period	$	1,162.09		$	1,315.39		$	1,342.09		$	1,310.65

INCOME (LOSS) ALLOCATED FROM MASTER FUND:
Net investment loss ⁽¹⁾		(9.40	)		(4.50	)		(4.58	)		(6.32	)
Total trading and investing losses ⁽¹⁾		(61.60	)		(69.69	)		(71.12	)		(65.51	)

Net loss before profit share allocation from Master Fund		(71.00	)		(74.19	)		(75.70	)		(71.83	)

Less: profit share allocation from Master Fund ^{(1) (6)}		0.00			0.00			0.00			7.98

Net loss from operations after profit share allocation from Master Fund		(71.00	)		(74.19	)		(75.70	)		(79.81	)

NET ASSET VALUE PER UNIT — End of period	$	1,091.09		$	1,241.20		$	1,266.39		$	1,230.84

TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM MASTER FUND ⁽²⁾		(6.11	)%		(5.64	)%		(5.64	)%		(5.43	)%

LESS: PROFIT SHARE ALLOCATION FROM MASTER FUND ^{(2) (6)}		0.00			0.00			0.00			0.66

TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM MASTER FUND ⁽²⁾		(6.11	)%		(5.64	)%		(5.64	)%		(6.09	)%

RATIOS TO AVERAGE NET ASSET VALUE:
Expenses ^{(3) (4) (5)}		4.72	%		2.72	%		2.72	%		3.45	%
Profit share allocation from Master Fund ^{(2) (6)}		0.00			0.00			0.00			0.66

Total expenses		4.72	%		2.72	%		2.72	%		4.11	%

Net investment loss ^{(3) (4) (5)}		(3.45	)%		(1.45	)%		(1.45	)%		(2.10	)%

⁽¹⁾

The net investment loss per unit and profit share allocation from the Master Fund per unit is calculated by dividing the net investment loss and profit share allocation from the Master Fund by the average number of units outstanding during the period. Total trading and investing loss is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.

⁽²⁾

Not Annualized.

⁽³⁾

Annualized.

⁽⁴⁾

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

⁽⁵⁾

Excludes profit share allocation from the Master Fund.

⁽⁶⁾

Profit share for Series B and C is calculated based on Series B and C aggregate trading profits and may be impacted by rebalancing due to monthly capital activity.

See notes to financial statements (Unaudited)

Millburn Multi-Markets Fund L.P.

Statement of Financial Highlights (UNAUDITED)

For the three months ended March 31, 2017

The following information presents per unit operating performance data for each series for the three months ended March 31, 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⁾		(11.81	)		(7.62	)		(6.96	)
Total trading and investing gains ⁽¹⁾		47.54			53.09			54.18

Net income before profit share allocation from Master Fund		35.73			45.47			47.22

Less: profit share allocation from Master Fund ^{(1) (6)}		7.15			9.07			9.33

Net income from operations after profit share allocation from Master Fund		28.58			36.40			37.89

NET ASSET VALUE PER UNIT — End of period	$	1,157.98		$	1,296.90		$	1,321.85

TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM MASTER FUND ⁽²⁾		3.16	%		3.60	%		3.67	%

LESS: PROFIT SHARE ALLOCATION FROM MASTER FUND ^{(2) (6)}		0.63			0.71			0.72

TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM MASTER FUND ⁽²⁾		2.53	%		2.89	%		2.95	%

RATIOS TO AVERAGE NET ASSET VALUE:
Expenses ^{(3) (4) (5)}		4.72	%		2.97	%		2.72	%
Profit share allocation from Master Fund ^{(2) (6)}		0.63			0.71			0.72

Total expenses		5.35	%		3.68	%		3.44	%

Net investment loss ^{(3) (4) (5)}		(4.13	)%		(2.39	)%		(2.14	)%

⁽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)

NOTES TO FINANCIAL STATEMENTS

1. BASIS OF PRESENTATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

The accompanying unaudited financial statements, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of Millburn Multi-Markets Fund L.P.’s (the “Partnership”) financial condition at March 31, 2018 (unaudited) and December 31, 2017 and the results of its operations for the three months ended March 31, 2018 and 2017 (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 2017 annual report included in Form 10-K filed with the Securities and Exchange Commission. The December 31, 2017 information has been derived from the audited financial statements as of December 31, 2017.

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 2017.

2. INVESTMENT IN MILLBURN MULTI-MARKETS TRADING L.P.

The Partnership invests substantially all of its assets in Millburn Multi-Markets Trading L.P. (the “Master Fund”). The Partnership’s ownership percentage of the Master Fund at March 31, 2018 and December 31, 2017 was 29.92% and 35.47%, 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.

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 March 31, 2018 and December 31, 2017, there were no redemption charges owed to the General Partner.

4. FINANCIAL HIGHLIGHTS

Per Unit operating performance for Series A, Series B, Series C and Series D 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 March 31,
	2018		2017
Series A		140,903.511		142,832.206
Series B		7,518.812		7,121.848
Series C		4,432.382		1,969.559
Series D		107.245		—

5. SUBSEQUENT EVENTS

During the period from April 1, 2018 to May 14, 2018, contributions of $1,189,000 were made to the Partnership. The General Partner has performed its evaluation of subsequent events through May 14, 2018, the date the form 10-Q was filed. Based on such evaluation, no further events were discovered that required disclosure or adjustment to the 10-Q.


Millburn Multi-Markets Trading L.P.
Financial statements
For the three months ended March 31, 2018 and 2017 (unaudited)

Statements of Financial Condition (a)		7
Condensed Schedules of Investments (a)		8
Statements of Operations (b)		12
Statements of Changes in Partners’ Capital (b)		13
Statements of Financial Highlights (b)		14
Notes to Financial Statements		16

(a) At March 31, 2018 and December 31, 2017 (unaudited)

(b) For the three months ended March 31, 2018 and 2017 (unaudited)

Millburn Multi-Markets Trading L.P.

Statements of Financial Condition (UNAUDITED)

	March 31		December 31
	2018		2017
ASSETS

EQUITY IN TRADING ACCOUNTS:
Investments in U.S. Treasury notes — at fair value (amortized cost $72,311,247 and $128,131,904)	$	72,219,405	$	127,971,156
Net unrealized appreciation on open futures and forward currency contracts		19,522,855		2,145,457
Due from brokers		8,768,564		289,111
Cash denominated in foreign currencies (cost $10,256,568 and $27,839,061)		10,460,272		28,534,515

Total equity in trading accounts		110,971,096		158,940,239

INVESTMENTS IN U.S. TREASURY NOTES — at fair value (amortized cost $414,467,694 and $358,764,241)		413,794,235		358,229,399

CASH AND CASH EQUIVALENTS		41,602,659		75,905,244

ACCRUED INTEREST RECEIVABLE		1,323,831		1,364,398

DUE FROM MILLBURN MULTI-MARKETS LTD.		766		2,750

DUE FROM MILLBURN MULTI-MARKETS FUND L.P.		671		292

TOTAL	$	567,693,258	$	594,442,322

LIABILITIES AND PARTNERS’ CAPITAL

LIABILITIES:
Net unrealized depreciation on open futures and forward currency contracts	$	1,032,691	$	11,713,535
Subscriptions in advance		900,000		2,430,000
Capital withdrawal payable to Limited Partners		3,370,148		64,127,936
Capital withdrawal payable to General Partner		—		3,734,700
Management fee payable		693,678		708,614
Selling commissions payable		257,363		275,139
Accrued expenses		498,752		222,956
Due to brokers		62,365		2,519,264
Commissions and other trading fees on open futures contracts		68,449		82,629
Accrued profit share		7,931		—

Total liabilities		6,891,377		85,814,773

PARTNERS’ CAPITAL		560,801,881		508,627,549

TOTAL	$	567,693,258	$	594,442,322

See notes to financial statements (Unaudited)

Millburn Multi-Markets Trading L.P.

Condensed Schedule of Investments (UNAUDITED)

March 31, 2018

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

FUTURES CONTRACTS
Long futures contracts:
Energies		1.10	%	$	6,153,149
Grains		0.01			70,055
Interest rates:
2 Year U.S. Treasury Note (1,369 contracts, settlement date June 2018)		0.01			39,204
5 Year U.S. Treasury Note (1,064 contracts, settlement date June 2018)		0.08			471,985
10 Year U.S. Treasury Note (660 contracts, settlement date June 2018)		0.13			724,172
Other interest rates		2.21			12,395,460

Total interest rates		2.43			13,630,821

Metals		(1.03	)		(5,801,820	)
Softs		(0.01	)		(54,319	)
Stock indices		0.17			954,474

Total long futures contracts		2.67			14,952,360

Short futures contracts:
Energies		0.00			630
Grains		0.24			1,333,360
Interest rates		(0.07	)		(368,878	)
Livestock		0.01			65,630
Metals		0.59			3,336,073
Softs		0.10			558,363
Stock indices		(0.06	)		(354,683	)

Total short futures contracts		0.81			4,570,495

TOTAL INVESTMENTS IN FUTURES CONTRACTS — Net		3.48			19,522,855

FORWARD CURRENCY CONTRACTS
Total long forward currency contracts		(0.07	)		(408,188	)
Total short forward currency contracts		(0.11	)		(624,503	)

TOTAL INVESTMENTS IN FORWARD CURRENCY CONTRACTS — Net		(0.18	)		(1,032,691	)

TOTAL		3.30	%	$	18,490,164

(Continued)

Millburn Multi-Markets Trading L.P.

Condensed Schedule of Investments (UNAUDITED)

March 31, 2018

U.S. TREASURY NOTES

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

	118,640,000	U.S. Treasury notes, 1.000%, 05/15/2018		21.14	%	$	118,549,630
	132,540,000	U.S. Treasury notes, 1.000%, 08/15/2018		23.56			132,125,813
	118,640,000	U.S. Treasury notes, 1.250%, 11/15/2018		21.06			118,086,192
	118,640,000	U.S. Treasury notes, 0.750%, 02/15/2019		20.90			117,252,005
		Total investments in U.S. Treasury notes
		(amortized cost $486,778,941)		86.66	%	$	486,013,640

See notes to financial statements (Unaudited)

(Concluded)

Millburn Multi-Markets Trading L.P.

Condensed Schedule of Investments

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)

Millburn Multi-Markets Trading L.P.

Condensed Schedule of Investments

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 (Unaudited)

(Concluded)

Millburn Multi-Markets Trading L.P.

Statements of Operations (UNAUDITED)

	For the three months ended
	March 31			March 31
	2018			2017
INVESTMENT INCOME — Interest income	$	1,761,551		$	427,863

EXPENSES:
Brokerage fees		467,674			180,608
Management fees		2,055,081			1,134,079
Selling commissions and platform fees		770,731			823,696
Administrative and operating expenses		275,792			257,753
Custody fees and other expenses		23,684			11,124
Total expenses		3,592,962			2,407,260

NET INVESTMENT LOSS		(1,831,411	)		(1,979,397	)

REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		(59,748,255	)		9,830,518
Foreign exchange translation		1,116,934			(6,154	)
Net change in unrealized:
Futures and forward currency contracts		28,058,242			1,952,351
Foreign exchange translation		(491,750	)		316,616
Net losses from U.S. Treasury notes
Realized		(24,364	)		—
Net change in unrealized		(69,711	)		(188,613	)
Total net realized and unrealized gains (losses)		(31,158,904	)		11,904,718

NET INCOME (LOSS)		(32,990,315	)		9,925,321
LESS PROFIT SHARE TO GENERAL PARTNER		7,931			1,535,969
NET INCOME (LOSS) AFTER PROFIT SHARE TO GENERAL PARTNER	$	(32,998,246	)	$	8,389,352

See notes to financial statements (Unaudited)

Millburn Multi-Markets Trading L.P.

Statements of Changes in Partners’ Capital (UNAUDITED)

For the three months ended March 31, 2018

	Limited Partners			New Profit Memo Account		General Partner			Total
PARTNERS’ CAPITAL - January 1, 2018	$	507,755,056		$	—	$	872,493		$	508,627,549
Contributions		93,703,649			—		—			93,703,649
Withdrawals		(8,531,071	)		—		—			(8,531,071	)
Net loss before profit share		(32,945,783	)		—		(44,532	)		(32,990,315	)
General Partner’s allocation - profit share		(7,931	)		—		—			(7,931	)
PARTNERS’ CAPITAL- March 31, 2018	$	559,973,920		$	—	$	827,961		$	560,801,881

For the three months ended March 31, 2017

	Limited Partners			New Profit Memo Account		General Partner		Total
PARTNERS’ CAPITAL - January 1, 2017	$	229,993,162		$	—	$	806,883	$	230,800,045
Contributions		158,771,402			5,648		—		158,777,050
Withdrawals		(7,397,939	)		—		—		(7,397,939	)
Net income before profit share		9,890,749			77		34,495		9,925,321
General Partner’s allocation - profit share		(1,535,969	)		—		—		(1,535,969	)
PARTNERS’ CAPITAL- March 31, 2017	$	389,721,405		$	5,725	$	841,378	$	390,568,508

See notes to financial statements (Unaudited)

Millburn Multi-Markets Trading L.P.

Statements of Financial Highlights (UNAUDITED)

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

	For the three months ended
	March 31,			March 31,
	2018			2017

Total return before General Partner profit share allocation ⁽³⁾		(5.58	)%		3.75	%
Less: General Partner profit share allocation ⁽³⁾		—			0.75

Total return after General Partner profit share allocation ⁽³⁾		(5.58	)%		3.00	%

Ratios to average net asset value:
Expenses ^{(1) (4)}		2.48	%		2.40	%
General Partner profit share allocation ⁽³⁾		—			0.75

Total expenses ⁽¹⁾		2.48	%		3.15	%

Net investment loss ^{(1) (2) (4)}		(1.24	)%		(1.80	)%

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)

Millburn Multi-Markets Trading L.P.

Statements of Financial Highlights (UNAUDITED)

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

	For the three months ended
	March 31,			March 31,
	2018			2017

Total return before General Partner profit share allocation ⁽³⁾		(5.61	)%		3.50	%
Less: General Partner profit share allocation ⁽³⁾		—			0.54

Total return after General Partner profit share allocation ⁽³⁾		(5.61	)%		2.96	%

Ratios to average net asset value:
Expenses ^{(1) (4)}		2.64	%		3.32	%
General Partner profit share allocation ⁽³⁾		—			0.54

Total expenses ⁽¹⁾		2.64	%		3.86	%

Net investment loss ^{(1) (2) (4)}		(1.36	)%		(2.72	)%

⁽¹⁾ Includes the proportionate share of expenses of the Partnership and the Cayman Feeder for the period ending March 31, 2018 and March 31, 2017.

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

⁽³⁾ Not Annualized.

⁽⁴⁾Annualized.

See notes to financial statements (Unaudited)

NOTES TO FINANCIAL STATEMENTS

1. BASIS OF PRESENTATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

The Master Fund engages in the speculative trading of futures and forward currency contracts and also acts as a master fund for the Partnership, and Millburn Multi-Markets Ltd., a Cayman Islands exempted company (the “Cayman Feeder”).

The accompanying unaudited financial statements, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of the Master Fund’s financial condition at March 31, 2018 (unaudited) and December 31, 2017 and the results of its operations for the three months ended March 31, 2018 and 2017 (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, 2017 included in the Partnership’s annual report on Form 10-K filed with the Securities and Exchange Commission. The December 31, 2017 information has been derived from the audited financial statements as of December 31, 2017.

The Master Fund enters into contracts with various financial institutions that contain a variety of indemnification provisions. 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 March 31, 2018 and December 31, 2017, the respective ownership percentages of the Master Fund are detailed below. The remaining interests are held by direct investors in the Master Fund.

	March 31,			December 31,
	2018			2017
Partnership		29.92	%		35.47	%
Cayman Feeder		61.24	%		55.14	%

Total		91.16	%		90.61	%

The capital withdrawals payable at March 31, 2018 and December 31, 2017 were $3,370,148 and $67,862,636, respectively, as detailed below.

	March 31,		December 31,
	2018		2017
Direct investors ⁽¹⁾	$	—	$	3,934,700
Partnership		3,370,148		1,565,482
Cayman Feeder		—		62,362,454

Total	$	3,370,148	$	67,862,636

⁽¹⁾Includes General Partner’s profit share of $3,734,700 at December 31, 2017.

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. The General Partner bears any excess over such amounts.

3. FAIR VALUE

The Fair Value Measurements and Disclosures topic of the Codification defines fair value, establishes a framework for measuring fair value, and expands disclosures about fair value measurements. The three levels of the fair value hierarchy are described below:

Level 1: Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;

Level 2: Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or indirectly; and

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

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

Cash Instruments. The Master Fund’s cash instruments are generally classified within Level 1 of the fair value hierarchy because they are typically valued using quoted market prices. The types of instruments valued based on quoted market prices in active markets include U.S. government obligations. The General Partner does not adjust the quoted price for such instruments, even in situations where the Master Fund holds a large position and a sale could reasonably impact the quoted price.

Derivative Contracts. Derivative contracts can be exchange-traded or over-the-counter (“OTC”). Exchange-traded futures contracts are valued based on quoted closing settlement prices and typically fall within Level 1 of the fair value hierarchy.

Spot currency contracts are valued based on current market prices (“Spot Price”). Forward currency contracts are valued based on pricing models that consider the Spot Price plus the financing cost or benefit (“Forward Point”). Forward Points from the quotation service providers are generally in periods of one month, two months, three months, six months, nine months and twelve months forward while the contractual forward delivery dates for the forward currency contracts traded by the Master Fund may be in between these periods. The General Partner’s policy to determine fair value for forward currency contracts involves first calculating the number of months from the date the forward currency contract is being valued to its maturity date (“Months to Maturity”), then identifying the forward currency contracts for the two forward months that are closest to the Months to Maturity (“Forward Month Contracts”). Linear interpolation is then performed between the dates of these two Forward Month Contracts to calculate the interpolated Forward Point. Model inputs can generally be verified and model selection does not involve significant management judgment. Such instruments are typically classified within Level 2 of the fair value hierarchy.

Investment Company Status: The Partnership adopted Accounting Standard Update (“ASU”) 2013-08, “Financial Services — Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements” and based on the General Partner’s assessment, the Partnership has been deemed to be an investment company since inception. Accordingly, the Partnership follows the investment company accounting and reporting guidance of Topic 946 and reflects its investments at fair value with unrealized gains and losses resulting from changes in fair value reflected in the Statements of Income and Expenses and Changes in Partners’ Capital.

During the three months ended March 31, 2018 and 2017, there were no transfers of assets or liabilities between Level 1 and Level 2. The following tables represent the Master Fund’s investments by hierarchical level as of March 31, 2018 and December 31, 2017 in valuing the Master Fund’s investments at fair value. At March 31, 2018 and December 31, 2017, the Master Fund had no assets or liabilities in Level 3.

Financial assets and liabilities at fair value as of March 31, 2018

	Level 1			Level 2			Total

U.S. Treasury notes (1)	$	486,013,640		$	—		$	486,013,640

Short-Term Money Market Fund*		41,352,659			—			41,352,659
Exchange-traded futures contracts
Energies		6,153,779			—			6,153,779
Grains		1,403,415			—			1,403,415
Interest rates		13,261,943			—			13,261,943
Livestock		65,630			—			65,630
Metals		(2,465,747	)		—			(2,465,747	)
Softs		504,044			—			504,044
Stock indices		599,791			—			599,791

Total exchange-traded futures contracts		19,522,855			—			19,522,855

Over-the-counter forward currency contracts		—			(1,032,691	)		(1,032,691	)

Total futures and forward currency contracts (2)		19,522,855			(1,032,691	)		18,490,164

Total financial assets and liabilities at fair value	$	546,889,154		$	(1,032,691	)	$	545,856,463

Per line item in Statements of Financial Condition
(1)
Investments in U.S. Treasury notes held in equity trading accounts as collateral							$	72,219,405
Investments in U.S. Treasury notes held in custody								413,794,235
Total investments in U.S. Treasury notes							$	486,013,640

(2)
Net unrealized appreciation on open futures and forward currency contracts							$	19,522,855
Net unrealized depreciation on open futures and forward currency contracts								(1,032,691	)
Total net unrealized appreciation on open futures and forward currency contracts							$	18,490,164

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

Financial assets and liabilities 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 held in custody								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 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.

4. DERIVATIVE INSTRUMENTS

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

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

The Master Fund engages in the speculative trading of futures and forward contracts on interest rates, grains, softs, currencies, metals, energies, livestock and stock indices. The following were the primary trading risk exposures of the Master Fund at March 31, 2018 by market sector:

Agricultural (grains, livestock and softs) – The Master Fund’s primary exposure is to agricultural price movements, which are often directly affected by severe or unexpected weather conditions, as well as supply and demand factors.

Currencies – Exchange rate risk is a principal market exposure of the Master Fund. The Master Fund’s currency exposure is to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. The fluctuations are influenced by interest rate changes, as well as political and general economic conditions. The Master Fund trades in a large number of currencies, including cross-rates—e.g., positions between two currencies other than the U.S. dollar.

Energies – The Master Fund’s primary energy market exposure is to gas and oil price movements often resulting from political developments in the oil producing countries and economic conditions worldwide. Energy prices are volatile and substantial profits and losses have been and are expected to continue to be experienced in this sector.

Interest rates – Interest rate movements directly affect the price of the sovereign bond futures positions held by the Master Fund and indirectly the value of its stock index and currency positions. Interest rate movements in one country, as well as relative interest rate movements between countries may materially impact the Master Fund’s profitability. The Master Fund’s primary interest rate exposure is to interest rate fluctuations in countries or regions including Australia, Canada, Japan, Switzerland, the United Kingdom, the U.S. and the Eurozone. However, the Master Fund also may take positions in futures contracts on the government debt of other nations. The General Partner anticipates that interest rates in these industrialized countries or areas, both long-term and short-term, will remain the primary interest rate market exposure of the Master Fund for the foreseeable future.

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

Stock indices – The Master Fund’s equity exposure, through stock index futures, is to equity price risk in the major industrialized countries, as well as other countries.

The Derivatives and Hedging topic of the Codification requires entities to recognize in the Statements of Financial Condition all derivative contracts as assets or liabilities. Fair values of futures and forward currency contracts in an asset position by counterparty are recorded in the Statements of Financial Condition as “Net unrealized appreciation on open futures and forward currency contracts.” Fair values of futures and forward currency contracts in a liability position by counterparty are recorded in the Statements of Financial Condition as “Net unrealized depreciation on open futures and forward currency contracts.” The Master Fund’s policy regarding fair value measurement is discussed in the Fair Value and Disclosures note, contained herein.

Since the derivatives held or sold by the Master Fund are for speculative trading purposes, the derivative instruments are not designated as hedging instruments under the provisions of the Derivatives and Hedging guidance. Accordingly, all realized gains and losses, as well as any change in net unrealized gains or losses on open positions from the preceding period, are recognized as part of the Master Fund’s trading gains and losses in the Statements of Operations.

The following tables present the fair value of open futures and forward currency contracts, held long or sold short, at March 31, 2018 and December 31, 2017. Fair value is presented on a gross basis even though the contracts are subject to master netting agreements and qualify for net presentation in the Master Fund’s Statements of Financial Condition.

Fair value of futures and forward currency contracts at March 31, 2018

											Net
											Unrealized
											Gain (Loss)
		Fair Value - Long Positions					Fair Value - Short Positions				on Open
Sector		Gains		Losses			Gains		Losses		Positions
Futures contracts:
Energies	$	6,160,044	$	(6,895	)	$	8,140	$	(7,510	)	$	6,153,779
Grains		93,753		(23,698	)		1,362,413		(29,053	)		1,403,415
Interest rates		13,771,808		(140,987	)		2,053		(370,931	)		13,261,943
Livestock		—		—			111,550		(45,920	)		65,630
Metals		104,203		(5,906,023	)		3,683,610		(347,537	)		(2,465,747	)
Softs		8,005		(62,324	)		586,751		(28,388	)		504,044
Stock indices		3,184,389		(2,229,915	)		5,310		(359,993	)		599,791
Total futures contracts		23,322,202		(8,369,842	)		5,759,827		(1,189,332	)		19,522,855

Forward currency contracts		4,042,394		(4,450,582	)		3,565,883		(4,190,386	)		(1,032,691	)

Total futures and forward currency contracts	$	27,364,596	$	(12,820,424	)	$	9,325,710	$	(5,379,718	)	$	18,490,164

Fair value of futures and forward currency contracts at December 31, 2017

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

The effect of trading futures and forward currency contracts is represented on the Master Fund’s Statements of Operations for the three months ended March 31, 2018 and 2017 as “Net realized gains (losses) on closed positions: Futures and forward currency contracts” and “Net change in unrealized: Futures and forward currency contracts.” These trading gains and losses are detailed below.

Trading gains (losses) of futures and forward currency contracts for the three months ended March 31, 2018 and 2017

	Three months			Three months
	ended:			ended:
	March 31,			March 31,
Sector	2018			2017
Futures contracts:
Energies	$	1,398,261		$	(2,711,704	)
Grains		(1,246,757	)		85,133
Interest rates		8,783,509			(317,559	)
Livestock		97,500			(229,000	)
Metals		(1,724,080	)		199,742
Softs		66,699			419,398
Stock indices		(33,285,722	)		14,447,557
Total futures contracts		(25,910,590	)		11,893,567

Forward currency contracts		(5,779,423	)		(110,698	)

Total futures and forward currency contracts	$	(31,690,013	)	$	11,782,869

For the three months ended March 31, 2018 and 2017, the monthly average number of futures contracts bought and sold and the monthly average notional value of forward currency contracts traded are detailed below:

	2018		2017

Average bought		51,167		18,521
Average sold		47,432		17,868
Average notional	$	4,036,590,726	$	2,040,356,435

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 tables present gross amounts of assets or liabilities which qualify for offset as presented in the Statements of Financial Condition as of March 31, 2018 and December 31, 2017.

Offsetting of derivative assets and liabilities at March 31, 2018

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	$	11,870,039	$	(1,765,960	)	$	10,104,079
Counterparty I		17,211,990		(7,793,214	)		9,418,776
Total futures contracts		29,082,029		(9,559,174	)		19,522,855
Total assets	$	29,082,029	$	(9,559,174	)	$	19,522,855

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	$	2,852,962	$	(2,801,274	)	$	51,688
Counterparty H		5,788,006		(4,807,003	)		981,003
Total forward currency contracts		8,640,968		(7,608,277	)		1,032,691

Total liabilities	$	8,640,968	$	(7,608,277	)	$	1,032,691

			Amounts Not Offset in the Statement of Financial Condition
Counterparty	Net amounts of Assets presented in the Statement of Financial Condition		Financial Instruments		Collateral Received⁽¹⁾⁽²⁾			Net Amount⁽³⁾

Counterparty C	$	10,104,079	$	—	$	(10,104,079	)	$	—
Counterparty I		9,418,776		—		(9,418,776	)		—

Total	$	19,522,855	$	—	$	(19,522,855	)	$	—

			Amounts Not Offset in the Statement of Financial Condition
Counterparty	Net amounts of Liabilities presented in the Statement of Financial Condition		Financial Instruments		Collateral Pledged⁽¹⁾⁽²⁾		Net Amount⁽⁴⁾

Counterparty G	$	51,688	$	—	$	51,688	$	—
Counterparty H		981,003		—		981,003		—

Total	$	1,032,691	$	—	$	1,032,691	$	—

⁽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 March 31, 2018.

⁽⁴⁾

Net amount represents the amounts owed by the Partnership to each counterparty as of March 31, 2018.

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 currency contracts		19,165,365		(7,451,830	)		11,713,535

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

			Amounts Not Offset in the Statement of Financial Condition
Counterparty	Net amounts of Assets presented in the Statement of Financial Condition		Financial Instruments		Collateral 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
Counterparty	Net amounts of Liabilities presented in the Statement of Financial Condition		Financial Instruments		Collateral 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⁾

⁽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.

CONCENTRATION OF CREDIT RISK

Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk is normally reduced to the extent that an exchange or clearing organization acts as a counterparty to futures transactions since typically the collective credit of the members of the exchange is pledged to support the financial integrity of the exchange.

The General Partner seeks to minimize credit risk primarily by depositing and maintaining the Master Fund’s assets at financial institutions and trading counterparties which the General Partner believes to be creditworthy. In addition, for OTC forward currency contracts, the Master Fund enters into master netting agreements with its counterparties. Collateral posted at the various counterparties for trading of futures and forward currency contracts includes cash and U.S. Treasury notes.

The Master Fund’s forward currency trading activities are cleared by Deutsche Bank AG (“DB”) and Morgan Stanley & Co. LLC (“MS”). The Master Fund’s concentration of credit risk associated with DB or MS nonperformance includes unrealized gains inherent in such contracts, which are recognized in the Statements of Financial Condition plus the value of margin or collateral held by DB, and MS. The amount of such credit risk was $23,026,779 and $49,457,913 at March 31, 2018 and December 31, 2017, respectively.

5. PROFIT SHARE

The following table indicates the total profit share earned and accrued during the three months ended March 31, 2018 and 2017. Profit share earned (from Limited Partners’ redemptions) is credited to the New Profit Memo account as defined in the Master Fund’s Agreement of Limited Partnership.

	Three months ended: March 31, 2018		Three months ended: March 31, 2017
Profit share earned	$	—	$	5,648
Profit share accrued		7,931		1,530,321
Total profit share	$	7,931	$	1,535,969

6. FINANCIAL HIGHLIGHTS

Ratios to average capital are calculated based on 1) a Limited Partner that is charged a monthly management fee of 1/12 of 2.00% (2.00% per annum) and 20% of Trading Profits and 2) Limited Partners’ capital taken as a whole. The computation of such ratios based on the amount of expenses and profit share allocation assessed to an individual partner’s capital account may vary from these ratios based on the timing of capital transactions and differences in individual partners’ management fee, selling commission, platform fee and profit share allocation arrangements. Returns are calculated based on 1) a Limited Partner that is charged a monthly management fee of 1/12 of 2.00% (2.00% per annum) and 20% of Trading Profits and 2) Limited Partners’ capital taken as a whole. An individual partner’s returns may vary from these returns based on the timing of capital transactions and differences in individual partners’ management fee, selling commission, platform fee and profit share allocation arrangements.

7. SUBSEQUENT EVENTS

During the period from April 1, 2018 to May 14, 2018, contributions of $8,839,000 were made to the Master Fund. The General Partner has performed its evaluation of subsequent events through May 14, 2018, the date the form 10-Q was filed. Based on such evaluation, no further events were discovered that required disclosure or adjustment to the 10-Q.

ITEM 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

Reference is made to Item 1, “Financial Statements.” The information contained therein is essential to, and should be read in connection with, the following analysis.

OPERATIONAL OVERVIEW

The Partnership invests substantially all of its assets in the Master Fund. Due to the nature of the Master Fund’s business, its results of operations depend on the General Partner’s ability to recognize and capitalize on trends and other profit opportunities in different sectors of the global capital and commodity markets. The General Partner’s investment and trading methods are confidential so that substantially the only information that can be furnished regarding the Master Fund’s results of operations is contained in the performance record of its trading. Unlike operating businesses, general economic or seasonal conditions do not directly affect the profit potential of the Master Fund, and its past performance is not necessarily indicative of future results. The General Partner believes, however, that there are certain market conditions, for example, markets with strong price trends, in which the Master Fund has a better likelihood of being profitable than in others.

LIQUIDITY AND CAPITAL RESOURCES

Units may be offered for sale as of the beginning, and may be redeemed as of the end, of each month.

The amount of capital raised for the Partnership should not have a significant impact on its operations, as the Partnership and the Master Fund have no significant capital expenditure or working capital requirements other than for monies to pay trading losses, brokerage commissions and charges. Within broad ranges of capitalization, the General Partner’s trading positions should increase or decrease in approximate proportion to the size of the Master Fund (in which the Partnership participates).

The Partnership raises additional capital only through the sale of Units and capital is increased through trading profits (if any). Neither the Partnership nor the Master Fund engages in borrowing.

The Master Fund trades futures, forward, and spot contracts on interest rate instruments, agricultural commodities, currencies, metals, energy and stock indices, and forward contracts on currencies, and may trade options on the foregoing and swaps thereon. Risk arises from changes in the value of these contracts (market risk) and the potential inability of counterparties or brokers to perform under the terms of their contracts (credit risk). Market risk is generally measured by the face amount of the futures positions acquired and the volatility of the markets traded. The credit risk from counterparty non-performance associated with these instruments is the net unrealized gain, if any, on these positions plus the value of the margin or collateral held by the counterparty. The risks associated with exchange-traded contracts are generally perceived to be less than those associated with OTC transactions because exchanges typically (but not universally) provide clearinghouse arrangements in which the collective credit (in some cases limited in amount, in some cases not) of the members of the exchange is pledged to support the financial integrity of the exchange. In most OTC transactions, on the other hand, traders must rely (typically but not universally) solely on the credit of their respective individual counterparties. Margins which may be subject to loss in the event of a default are generally required in exchange trading and counterparties may require margin or collateral in the OTC markets.

The General Partner has procedures in place to control market risk, although there can be no assurance that they will, in fact, succeed in doing so. These procedures primarily focus on (1) real time monitoring of open positions; (2) diversifying positions among various markets; (3) limiting the assets committed as margin or collateral, generally within a range of 5% to 35% of an account’s net assets, though the amount may at any time be substantially higher; and (4) prohibiting pyramiding (that is, using unrealized profits in a particular market as margin for additional positions in the same market). The General Partner attempts to control credit risk by causing the Partnership to deal exclusively with large, well-capitalized financial institutions as brokers and counterparties.

The financial instruments traded by the Master Fund contain varying degrees of off-balance sheet risk whereby changes in the market values of the futures, forward and spot contracts or the Master Fund’s satisfaction of the obligations may exceed the amount recognized in the Statements of Financial Condition of the Master Fund.

Due to the nature of the Master Fund’s business, substantially all its assets are represented by cash, cash equivalents and U.S. government obligations, while the Master Fund maintains its market exposure through open futures, forward and spot contract positions.

The Master Fund’s futures contracts are settled by offset and are cleared by the exchange clearinghouse function. Open futures positions are marked-to-market each trading day and the Master Fund’s trading accounts are debited or credited accordingly. Options on futures contracts are settled either by offset or by exercise. If an option on a future is exercised, the Master Fund is assigned a position in the underlying future which is then settled by offset. The Master Fund’s spot and forward currency transactions conducted in the interbank market are settled by netting offsetting positions or payment obligations and by cash payments.

The value of the Master Fund’s cash and financial instruments is not materially affected by inflation. Changes in interest rates, which are often associated with inflation, could cause the value of certain of the Master Fund’s debt securities to decline, but only to a limited extent. More importantly, changes in interest rates could cause periods of strong up or down market price trends, during which the Master Fund’s profit potential generally increases. However, inflation can also give rise to markets which have numerous short price trends followed by rapid reversals, markets in which the Master Fund is likely to suffer losses.

The Master Fund’s assets are generally held as cash or cash equivalents, including U.S. government securities or securities issued by federal agencies, other Commodity Futures Trading Commission-authorized investments or bank held or certain other money market instruments (e.g., bankers acceptances and Eurodollar or other time deposits), which are used to margin the Master Fund’s futures, forward, and spot currency positions and withdrawn, as necessary, to pay redemptions and expenses. Other than potential market-imposed limitations on liquidity, due, for example, to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Master Fund’s futures, forward and spot trading, the Master Fund’s assets are highly liquid and are expected to remain so. During its operations through March 31, 2017, the Partnership, through its investment in the Master Fund, experienced no meaningful periods of illiquidity in any of the numerous markets traded by the General Partner.

CRITICAL ACCOUNTING ESTIMATES

The Master Fund records its transactions in futures, forward and spot contracts, including related income and expenses, on a trade date basis. Open futures contracts traded on an exchange are valued at fair value, which is based on the closing settlement price on the exchange where the futures contract is traded by the Master Fund on the day with respect to which net assets are being determined. Spot currency contracts are valued based on current market prices (“Spot Price”). Forward currency contracts are valued based on pricing models that consider the Spot Price plus the financing cost or benefit (“Forward Point”). Forward Points from the quotation service providers are generally in periods of one month, two months, three months, six months, nine months and twelve months forward while the contractual forward delivery dates for the forward currency contracts traded by the Master Fund may be in between these periods. The General Partner’s policy to determine fair value for forward currency contracts involves first calculating the number of months from the date the forward currency contract is being valued to its maturity date (“Months to Maturity”), then identifying the forward currency contracts for the two forward months that are closest to the Months to Maturity (“Forward Month Contracts”). Linear interpolation is then performed between the dates of these two Forward Month Contracts to calculate the interpolated Forward Point. Model inputs can generally be verified and model selection does not involve significant management judgment. Such instruments are typically classified within Level 2 of the fair value hierarchy.

The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions, such as accrual of expenses, that affect the amounts and disclosures reported in the financial statements. Based on the nature of the business and operations of the Partnership, the General Partner believes that the estimates utilized in preparing the Partnership’s financial statements are appropriate and reasonable, however actual results could differ from these estimates. The estimates used do not provide a range of possible results that would require the exercise of subjective judgment. The General Partner further believes that, based on the nature of the business and operations of the Partnership, no other reasonable assumptions relating to the application of the Partnership’s critical accounting estimates other than those currently used would likely result in materially different amounts from those reported.

RESULTS OF OPERATIONS

Due to the nature of the Partnership’s trading, through its investment in the Master Fund, the results of operations for the interim periods presented should not be considered indicative of the results that may be expected for the entire year.

Period ended March 31, 2018

Month Ending:	Total Partners’ Capital of the Partnership
March 31, 2018	$	167,774,370
December 31, 2017		180,404,425

	Three Months
Change in Partners’ Capital	$	(12,630,055	)
Percent Change		(7.00	)%

THREE MONTHS ENDED MARCH 31, 2018

The decrease in the Partnership’s net assets of $12,630,055 was attributable to net loss after profit share through its investment in the Master Fund of $11,066,475 and withdrawals of $6,712,400 which were partially offset by contributions of $5,148,820.

Management fees, through the Partnership’s investment in the Master Fund, are calculated on the net asset value on the last day of each month and are affected by trading performance, contributions and withdrawals. Management fees, through the Partnership’s investment in the Master Fund, for the three months ended March 31, 2018 decreased $35,308 relative to the corresponding period in 2017. The decrease was due to a decrease in the average net asset value of the Partnership during the three months ended March 31, 2018, relative to the corresponding period in 2017.

The Partnership, through its investment in the Master Fund, bears all trade-related commission and clearing charges due to third-party brokers. Brokerage commissions, through the Partnership’s investment in the Master Fund, for the three months ended March 31, 2018 increased $35,235 relative to the corresponding period in 2017. The increase was due to an increase in trading activity during the three months ended March 31, 2018, relative to the corresponding period in 2017.

Selling commissions and platform fees are calculated on the net asset value on the last day of each month and are affected by trading performance, contributions and withdrawals. Selling commissions and platform fees for the three months ended March 31, 2018 decreased $54,144 relative to the corresponding period in 2017. The decrease was due to a decrease in the average net asset value of commission paying investors of the Partnership during the three months ended March 31, 2018, relative to the corresponding period in 2017.

The Partnership, through its investment in the Master Fund, pays administrative expenses for legal, audit and accounting services. Administrative expenses, net of amounts borne by the General Partner, through the Partnership’s investment in the Master Fund, for the three months ended March 31, 2018 decreased $44,865 relative to the corresponding period in 2017. The decrease was due to a decrease in the average net asset value of the Partnership during the three months ended March 31, 2018, relative to the corresponding period in 2017.

Interest income, through the Partnership’s investment in the Master Fund, is derived from cash and U.S. Treasury instruments held at the Master Fund’s brokers and custodian. Interest income, through the Partnership’s investment in the Master Fund, for the three months ended March 31, 2018 increased $279,906 relative to the corresponding period in 2017. This increase was due predominantly to an increase in short-term U.S. Treasury yields during the three months ended March 31, 2018 relative to the corresponding period in 2017.

For the three months ended March 31, 2018, the Partnership, through its investment in the Master Fund, experienced net realized and unrealized losses of $9,689,497 from trading operations (including foreign exchange transactions and translations). Management fees of $845,172, brokerage commissions of $143,860, selling commissions and platform fees of $765,911, administrative and operating expenses of $155,165, custody fees and other expenses of $7,232, and profit share of $856 were paid or accrued. Interest income of $541,218 partially offset the Master Fund expenses allocated to the Partnership resulting in net loss after profit share of $11,066,475.

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

Sector	% Gain (Loss)
Currencies		(1.00	)%
Energies		0.28	%
Grains		(0.23	)%
Interest rates		1.64	%
Livestock		0.01	%
Metals		(0.31	)%
Softs		(0.01	)%
Stock indices		(5.75	)%
Trading loss		(5.37	)%

MANAGEMENT DISCUSSION – 2018

Three months ended March 31, 2018

The Partnership was unprofitable during the quarter almost entirely due to losses from trading global stock index futures. Elsewhere, profits from trading interest rate and energy futures were largely offset by losses from trading currency forwards, and grain and metal futures. Trading of soft and livestock futures was essentially flat.

Against a background of synchronized global growth and expanding corporate profits, stocks reached overbought levels during the sharp price run-up in early 2018. Subsequently, equity markets were weighed down by a series of worries including: reports suggesting that an acceleration of U.S. wages and inflation combined with increased fiscal deficit spending could prompt the Federal Reserve to raise interest rates faster and further than previously anticipated; increased equity market volatility globally as the “central bank put” was removed from market psychology; the rising threat of a trade war; a first quarter slowdown in global growth momentum; and unsettled political conditions in the U.S., Germany and the U.K. Importantly, the tech sector, which has led the equity rally of recent years, was negatively impacted by the Facebook data breach, by the influence of the first autonomous car fatalities on the stock prices of Uber, Nvidia, and Tesla, by Moody’s downgrade of Tesla and by President Trump’s tweets about Amazon. As a result, equity markets fell sharply in volatile trading from their late January highs to the end of March. For example, the S&P 500 and EAFE equity indices fell nearly 10% from those peaks. Short VIX trades were the largest contributor to the Partnership’s equity sector losses during the quarter as this market saw an historic spike in prices caused by the sudden February selloff in equity markets, the increase in volatility, and the resulting liquidation of two short volatility exchange traded notes. Long positions in European, British, Japanese, Australian, Canadian, and U.S equity futures also generated losses. There were also losses from countertrend short positions in U.S. equity futures that were triggered by short term trading systems during the rapid equity price gains in January. On the other hand, long positions in Chinese, Hong Kong and Taiwanese stock futures were slightly profitable.

Interest rate futures were buffeted by conflicting forces during the quarter. At the start of the year, signs of strengthening global growth, evidence of rising wages and inflation in the U.S., and indications that major central banks, including the U.S. Federal Reserve, European Central Bank, and Bank of Japan, were pulling back on monetary accommodation led to rising interest rates and falling prices of interest rate futures. Later in the quarter, however, the threat of a trade war, increased equity market volatility globally, subdued actual inflation statistics, and a first quarter slowdown in global growth momentum generated solid demand for government securities, contributing to rising futures prices. Strong demand from central banks, pension funds and insurance related buyers for high quality government debt with attractive yields added to the price rallies. Meanwhile, in Japan, the February reappointment of Hiroki Kuroda to a second term as Bank of Japan Governor underpinned demand for Japanese government bonds. Ultimately, long positions in German, French, Italian, Canadian and Japanese interest rate futures were profitable. Trading of U.S. interest rate futures, though mixed, was also profitable. Long U.S. 2- and 5-year note trades were unprofitable in January, while a long 10-year note position was profitable in March. Also, a short euro-dollar trade was quite profitable in January as rates rose, while a long euro-dollar trade posted a small gain in March as rates declined. Meanwhile trading of British interest rate futures was fractionally negative.

Energy prices were volatile during the quarter, but energy trading was marginally profitable. For example, Brent crude prices climbed over $70 per barrel in January as the Organization of the Petroleum Exporting Countries (“OPEC”)/non-OPEC production control agreement and rising global demand continued to drag down inventories. A weaker U.S. dollar early in 2018 also boosted energy prices. Then prices plunged to under $63/barrel in mid-February due to the depressive impacts from the shale revolution and some worries about a slowing in global growth. From then to quarter end the price ratcheted up above $70 per barrel again in response to rising geopolitical anxiety. The hawkish appointments by President Trump of Mike Pompeo as U.S. Secretary of State and John Bolton as National Security Advisor heightened concern about the continuation of the 2015 Iran Nuclear Deal, and hence, about supplies of Iranian oil to the global market. For the quarter, the profits on long positions in Brent and WTI crude slightly outweighed the losses on long positions in RBOB gasoline, heating oil, and London gas oil. A short natural gas position was also slightly negative as unusually severe winter weather underpinned natural gas prices.

A short sugar trade was profitable as prices declined as world sugar production hit record highs in the wake surging supplies from India and Thailand. A short coffee position was also profitable. Meanwhile, a short cocoa trade produced a largely offsetting loss as dry weather in western Africa and demand increases from Europe and Asia supported prices.

Currency trading was unprofitable during the quarter. The U.S. dollar index, after falling about 4% during January, was range-bound thereafter. Long U.S. dollar positions against the currencies of Japan, Switzerland, Australia, New Zealand and Norway posted losses as the U.S. dollar displayed surprising weakness in January. Deterioration in the political environment in the U.S. and relatively stronger growth abroad weighed on the U.S. dollar even as interest rates rose in America. Later in the quarter as the U.S. dollar bounced off its lows, short U.S. dollar trades against the Swedish krona, Turkish lira and Brazilian real posted small losses. A cut in the official interest rate by Brazil’s central bank, a persistently negative official short term rate in Sweden, and worsening inflation and trade balance data from Turkey also influenced these losses. Trading the Canadian dollar was also unprofitable. On the other hand, long positions in the Mexican peso, Columbian peso and euro were profitable as the U.S. dollar weakened early in the quarter. A short British pound trade was also profitable due to Brexit concerns.

Early in the period, drought concerns in Argentina and the U.S. pushed grain prices higher despite the persistence of large inventories. However, later in the quarter, worries about a trade war with China weighed heavily on grain prices. Overall, losses on short soybean, corn and wheat trades early on and from long soybean and corn trades late in the period fractionally outdistanced the profits from a long soybean meal trade in January and February and a short wheat trade in March.

Metal trading was marginally negative for the quarter as losses from trading copper, aluminum and palladium outweighed the profit from a short silver position.

Period ended March 31, 2017

Month Ending:	Total Partners’ Capital of the Partnership
March 31, 2017	$	179,595,657
December 31, 2016		172,886,333

	Three Months
Change in Partners’ Capital	$	6,709,324
Percent Change		3.88	%

THREE MONTHS ENDED MARCH 31, 2017

The increase in the Partnership’s net assets of $6,709,324 was attributable to net income after profit share through its investment in the Master Fund of $4,521,883 and contributions of $7,571,400 which were partially offset by withdrawals of $5,383,959.

Management fees, through the Partnership’s investment in the Master Fund, are calculated on the net asset value on the last day of each month and are affected by trading performance, contributions and withdrawals. Management fees, through the Partnership’s investment in the Master Fund, for the three months ended March 31, 2017 increased $233,099 relative to the corresponding period in 2016. The increase was due to an increase in the average net asset value of the Partnership during the three months ended March 31, 2017, relative to the corresponding period in 2016.

The Partnership, through its investment in the Master Fund, bears all trade-related commission and clearing charges due to third-party brokers. Brokerage commissions, through the Partnership’s investment in the Master Fund, for the three months ended March 31, 2017 increased $15,650 relative to the corresponding period in 2016. The increase was due to an increase in average net assets of the Partnership during the three months ended March 31, 2017, relative to the corresponding period in 2016.

Selling commissions and platform fees are calculated on the net asset value on the last day of each month and are affected by trading performance, contributions and withdrawals. Selling commissions and platform fees for the three months ended March 31, 2017 increased $232,619 relative to the corresponding period in 2016. The increase was due to an increase in the average net asset value of commission paying investors of the Partnership during the three months ended March 31, 2017, relative to the corresponding period in 2016.

The Partnership, through its investment in the Master Fund, pays administrative expenses for legal, audit and accounting services. Administrative expenses, net of amounts borne by the General Partner, through the Partnership’s investment in the Master Fund, for the three months ended March 31, 2017 increased $33,978 relative to the corresponding period in 2016. The increase was due mainly to an increase in the Partnership’s average net asset value during the three months ended March 31, 2017, relative to the corresponding period in 2016.

Interest income, through the Partnership’s investment in the Master Fund, is derived from cash and U.S. Treasury instruments held at the Master Fund’s brokers and custodian. Interest income, through the Partnership’s investment in the Master Fund, for the three months ended March 31, 2017 increased $164,633 relative to the corresponding period in 2016. This increase was due predominantly to an increase in short-term U.S. Treasury yields during the three months ended March 31, 2017 relative to the corresponding period in 2016, and partially due to an increase in average net assets over the same period.

For the three months ended March 31, 2017, the Partnership, through its investment in the Master Fund, achieved net realized and unrealized gains of $7,381,852 from trading operations (including foreign exchange transactions and translations). Management fees of $880,480, brokerage commissions of $108,625, selling commissions and platform fees of $820,055, administrative and operating expenses of $200,030, custody fees and other expenses of $8,305, and profit share of $1,103,786 were paid or accrued. Interest income of $261,312 partially offset the Master Fund expenses allocated to the Partnership resulting in net income after profit share of $4,521,883.

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

Sector	% Gain (Loss)
Currencies		0.11	%
Energies		(0.63	)%
Grains		(0.23	)%
Interest rates		0.07	%
Livestock		(0.08	)%
Metals		0.13	%
Softs		0.03	%
Stock indices		4.81	%
Trading gain		4.21	%

MANAGEMENT DISCUSSION – 2017

Three months ended March 31, 2017

The Partnership registered a solid first quarter gain due to profits from long equity futures positions. Trading of currency forwards was slightly profitable, trading of commodity futures was fractionally negative and trading of interest rate futures was essentially flat.

According to the Brookings Institution and the Financial Times, the global economic recovery is now “broad-based and stable”. Morgan Stanley concurs, stating that a “…synchronous global recovery…is exhibiting more self-sustaining characteristics”. Against this background, long positions in U.S., European and Asian equity futures were broadly profitable. A long VIX trade was also profitable. Short positions in Indian and South African stock futures were marginally negative. Neither the fading of the positive impulses from the Trump election victory nor an increase in political and geopolitical tensions was able to blunt this equity advance.

The U.S. dollar, which had risen sharply during 2016’s fourth quarter, was volatile and weakened during the first three months of 2017 as the difficult reality of governing diminished the election euphoria for the Trump administration. Profits from short U.S. dollar trades versus the currencies of Australia, Brazil, India, Mexico, Russia, and Turkey were offset by the losses from long U.S. dollar positions versus the euro and the currencies of Great Britain, Canada, Japan, Korea, New Zealand, Norway, Sweden and Singapore. Meanwhile, a long euro/short Polish zloty trade and a short euro/long Turkish lira position were each slightly profitable.

Interest rates rose early in the period in response to the improving economic outlook and to evidence that central banks worldwide were pulling back from the long era of ultralow interest rates and quantitative easing. Indeed the U.S. Federal Reserve (the “Fed”) did raise its official rate again by 0.25% during the quarter. Moreover, Mario Draghi, the President of the European Central Bank (the “ECB”), indicated that “there is no longer the sense of urgency in taking further actions.” The People’s Bank of China (the “PBOC”) edged toward a tighter policy during the quarter, as well. Finally, the Bank of England and the Bank of Japan issued improved outlooks for their economies. Later on, however, political tensions in the U.S., Great Britain, the Netherlands, France, Turkey and South Africa and geopolitical tensions and terrorism involving North Korea, South Korea, the U.K., Canada and Syria produced a flight to safety and declining rates. On balance, the sector was flat for the quarter and at month-end the Partnership’s interest rate futures positions remained generally long.

Energy prices were volatile and range-bound in the quarter. Production cut efforts by the Organization of the Petroleum Exporting Countries buoyed prices at times, while increasing U.S. shale production weighed on prices at other times. A long RBOB gasoline position was unprofitable as was trading of crude oil and other products.

Trading of metal futures was marginally profitable as small profits from long aluminum, zinc and palladium positions were larger than small losses from short gold and silver positions.

Trading of soft and agricultural commodities was marginally unprofitable. Grain trading was unprofitable due to losses from a short corn trade early in the period and from long soybean and soybean meal positions. A short wheat position was profitable in March. A short sugar position was also profitable in March. Trading of livestock was slightly negative.

OFF-BALANCE SHEET ARRANGEMENTS

Neither the Partnership nor the Master Fund engages in off-balance sheet arrangements with other entities.

CONTRACTUAL OBLIGATIONS

Neither the Partnership nor the Master Fund enters into any contractual obligations or commercial commitments to make future payments of a type that would be typical for an operating company or that would affect its liquidity or capital resources. The Partnership’s sole business, through its investment in the Master Fund, is trading futures, forward currency, spot and swap contracts, both long (contracts to buy) and short (contacts to sell). All such contracts are settled by offset, not delivery. Substantially all such contracts are for settlement within four months of the trade date and substantially all such contracts are held by the Master Fund for less than four months before being offset or rolled over into new contracts with similar maturities. The financial statements of the Master Fund present a condensed schedule of investments setting forth open futures, forward and other contracts at March 31, 2018 and December 31, 2017.

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Not required.

ITEM 4. CONTROLS AND PROCEDURES

The General Partner, with the participation of the principal executive officers and principal financial officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to the Partnership as of the end of the period covered by this quarterly report, and, based on its evaluation, has concluded that these disclosure controls and procedures are effective. There were no changes in the General Partner’s internal controls over financial reporting during the quarter ended March 31, 2018 that have materially affected, or are reasonably likely to materially affect, the General Partner’s internal controls over financial reporting with respect to the Partnership.

PART II. OTHER INFORMATION

ITEM 1. Legal Proceedings

None.

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

(a) Pursuant to the Partnership's Third Amended and Restated Limited Partnership Agreement (the “Partnership Agreement”), the Partnership may sell Units at the beginning of each calendar month. On January 1, 2018, February 1, 2018, and March 1, 2018, the Partnership sold Units to new and existing limited partners of $1,283,000, $3,304,000 and $561,820 respectively. There were no underwriting discounts or commissions in connection with the sales of the Units described above.

Each of the foregoing Interests were offered and sold only to “accredited investors” as defined in Rule 501(a) under the Securities Act of 1933 as amended (the “1933 Act”), in reliance on the exemption from registration provided by Rule 506(b) under the 1933 Act.

(b) Pursuant to the Partnership’s Partnership Agreement, investors may redeem their Units at the end of each calendar month at the then current month-end net asset value. The redemption of Units has no impact on the value of Units that remain outstanding, and Units are not reissued once redeemed.

The following table summarizes the redemptions by Series A, Series B and Series C limited partners during the three months ended March 31, 2018. There were no Series D redemptions.

	Series A					Series B					Series C
Date of Withdrawal	Units Redeemed			NAV per Unit		Units Redeemed			NAV per Unit		Units Redeemed			NAV per Unit
January 31, 2018		(1,550.4862	)	$	1,118.63		(46.6462	)	$	1,268.30		(58.9300	)	$	1,294.04
February 28, 2018		(1,267.0879	)		1,057.60		(110.1800	)		1,201.11		—			1,225.48
March 31, 2018		(2,721.3268	)		1,091.09		(125.7291	)		1,241.20		(193.3780	)		1,266.39

Total		(5,538.9009	)				(282.5553	)				(252.3080	)

ITEM 3. DEFAULTS UPON SENIOR SECURITIES

Not Applicable.

ITEM 4. MINE SAFETY DISCLOSURES

Not Applicable.

ITEM 5. OTHER INFORMATION

None.

ITEM 6. EXHIBITS

The following exhibits are included herewith:

31.01

Rule 13(a)-14(a)/15(d)-14(a) Certification of Co-Chief Executive Officer

31.02

Rule 13(a)-14(a)/15(d)-14(a) Certification of Co-Chief Executive Officer

31.03

Rule 13(a)-14(a)/15(d)-14(a) Certification of President and Chief Financial Officer

32.01

Section 1350 Certification of Co-Chief Executive Officer

32.02

Section 1350 Certification of Co-Chief Executive Officer

32.03

Section 1350 Certification of President and Chief Financial Officer

101.INS	XBRL Instance Document
101.SCH	XBRL Taxonomy Extension Schema Document
101.CAL	XBRL Taxonomy Extension Calculation Linkbase Document
101.DEF	XBRL Taxonomy Extension Definition Linkbase Document
101.LAB	XBRL Taxonomy Extension Label Linkbase Document
101.PRE	XBRL Taxonomy Extension Presentation Linkbase Document

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

By:	Millburn Ridgefield Corporation,
	General Partner

Date: May 14, 2018

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

Millburn Multi-Markets Fund L.P. - FORM 10-Q - May 14, 2018

Attached files

Millburn Multi-Markets Fund L.P. Reports