Millburn Multi-Markets Fund L.P. - FORM 10-Q - November 12, 2020

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EX-32.04 - CERTIFICATION - Millburn Multi-Markets Fund L.P.f10q0920ex32-04_millburn.htm
EX-32.03 - CERTIFICATION - Millburn Multi-Markets Fund L.P.f10q0920ex32-03_millburn.htm
EX-32.02 - CERTIFICATION - Millburn Multi-Markets Fund L.P.f10q0920ex32-02_millburn.htm
EX-32.01 - CERTIFICATION - Millburn Multi-Markets Fund L.P.f10q0920ex32-01_millburn.htm
EX-31.04 - CERTIFICATION - Millburn Multi-Markets Fund L.P.f10q0920ex31-04_millburn.htm
EX-31.03 - CERTIFICATION - Millburn Multi-Markets Fund L.P.f10q0920ex31-03_millburn.htm
EX-31.02 - CERTIFICATION - Millburn Multi-Markets Fund L.P.f10q0920ex31-02_millburn.htm
EX-31.01 - CERTIFICATION - Millburn Multi-Markets Fund L.P.f10q0920ex31-01_millburn.htm

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM 10-Q

 

☒ Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

 

For the Quarterly Period Ended: September 30, 2020

 

Or

 

☐ Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

 

Commission File Number: 000-54028

 

MILLBURN MULTI-MARKETS FUND L.P.

 

(Exact name of registrant as specified in its charter)

 

Delaware   26-4038497
(State or other jurisdiction of   (I.R.S. Employer
incorporation or organization)   Identification No.)

 

c/o MILLBURN RIDGEFIELD CORPORATION

55 West 46th Street, 31st Floor

New York, NY 10036 

 

 (Address of principal executive offices) (Zip Code)

 

Registrant’s telephone number, including area code: (212) 332-7300

 

Securities registered pursuant to Section 12(b) of the Act:

 

Title of each class   Trading Symbol(s)   Name of each exchange on which registered
None   None   None

 

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, every Interactive Data File required to be submitted 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 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 ☐ 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. FINANCIAL INFORMATION

 

ITEM 1. FINANCIAL STATEMENTS

 

Millburn Multi-Markets Fund L.P.

Financial statements

For the three and nine months ended September 30, 2020 and 2019 (unaudited)

 

Statements of Financial Condition (a)   1
Statements of Operations (c)   2
Statements of Changes in Partners’ Capital (b)   4
Statements of Financial Highlights (c)   5
Notes to Financial Statements   9

 

(a)At September 30, 2020 (unaudited) and December 31, 2019

(b)For the nine months ended September 30, 2020 and 2019 (unaudited)

(c)For the three and nine months ended September 30, 2020 and 2019 (unaudited)

  

  

 

 

Millburn Multi-Markets Fund L.P.

Statements of Financial Condition

 

    September 30,
2020
(unaudited)		   December 31,
2019		 
         
ASSETS        
Investment in Millburn Multi-Markets          
Trading L.P. (the “Master Fund”)  $145,308,218   $191,189,357 
Due from the Master Fund   7,775,717    736,814 
Cash and cash equivalents   60,000    2,864,000 
Total assets  $153,143,935   $194,790,171 
           
LIABILITIES AND PARTNERS’ CAPITAL          
           
LIABILITIES:          
Capital contributions received in advance  $60,000   $2,864,000 
Capital withdrawals payable to Limited Partners   7,775,717    736,814 
           
Total liabilities   7,835,717    3,600,814 
           
PARTNERS’ CAPITAL:          
General Partner   2,717,415    3,122,595 
           
Limited partners:          
Series A (107,164.3869 and 132,149.4067  units outstanding)   114,353,977    166,972,241 
Series B (6,342.6726 and 7,006.4813 units outstanding)   8,027,115    10,343,480 
Series C (3,305.9311 and 3,207.8856 units outstanding)   4,268,791    4,831,807 
Series D (13,053.9392 and 4,132.1394 units outstanding)   15,940,920    5,919,234 
           
Total limited partners   142,590,803    188,066,762 
           
Total partners’ capital   145,308,218    191,189,357 
           
TOTAL  $153,143,935   $194,790,171 
           
NET ASSET VALUE PER UNIT OUTSTANDING:          
Series A  $1,067.09   $1,263.51 
Series B  $1,265.57   $1,476.27 
Series C  $1,291.25   $1,506.23 
Series D  $1,221.16   $1,432.49 

 

See notes to financial statements (Unaudited) 

 

1

 

 

Millburn Multi-Markets Fund L.P.

Statements of Operations (UNAUDITED)

 

   For the three months ended 
   September 30,
2020		   September 30,
2019		 
INVESTMENT INCOME:          
Interest income  $1   $- 
Interest income (allocated from the Master Fund) (1)   224,644    976,040 
           
Total investment income   224,645    976,040 
           
EXPENSES:          
Management fees (allocated from the Master Fund) (1)   767,867    861,699 
Brokerage commissions (allocated from the Master Fund) (1)   184,387    251,295 
Selling commissions and platform fees (allocated from the Master Fund) (1)   654,093    774,127 
Administrative and operating expenses (allocated from the Master Fund) (1)   117,935    148,720 
Custody fees and other expenses (allocated from the Master Fund) (1)   7,258    7,216 
           
Total expenses   1,731,540    2,043,057 
           
NET INVESTMENT LOSS   (1,506,895)   (1,067,017)
           
REALIZED AND UNREALIZED GAINS (LOSSES)          
ALLOCATED FROM THE MASTER FUND (1)          
Net realized gains (losses) on closed positions:          
Futures and forward currency contracts   5,183,119    3,870,390 
Foreign exchange transactions   444,691    (85,052)
Net change in unrealized:          
Futures and forward currency contracts   1,701,388    (1,455,882)
Foreign exchange translation   (6,377)   (104,967)
Net gains (losses) from U.S. Treasury notes:          
Realized   4,818    29,655 
Net change in unrealized   (182,589)   (89,503)
           
Net realized and unrealized gains allocated from the Master Fund   7,145,050    2,164,641 
           
NET INCOME   5,638,155    1,097,624 
           
LESS PROFIT SHARE ALLOCATION TO THE MASTER FUND   -    210,708 
           
NET INCOME AFTER PROFIT SHARE  $5,638,155   $886,916 
           
NET INCOME PER UNIT OUTSTANDING:          
Series A  $37.04   $5.40 
Series B  $50.01   $11.96 
Series C  $51.02   $12.20 
Series D  $46.06   $9.54 

 

(1)The Partnership’s proportionate share of income and expenses allocated from the Master Fund as of period end.

  

See notes to financial statements (Unaudited) (Continued)

 

2

 

 

Millburn Multi-Markets Fund L.P.

Statements of Operations (UNAUDITED)

 

   For the nine months ended 
   September 30,
2020		   September 30,
2019		 
INVESTMENT INCOME:          
Interest income  $5,930   $- 
Interest income (allocated from the Master Fund) (1)   1,392,430    2,866,732 
           
Total investment income   1,398,360    2,866,732 
           
EXPENSES:          
Management fees (allocated from the Master Fund) (1)   2,462,296    2,477,881 
Brokerage commissions (allocated from the Master Fund) (1)   605,926    641,629 
Selling commissions and platform fees (allocated from the Master Fund) (1)   2,132,257    2,244,243 
Administrative and operating expenses (allocated from the Master Fund) (1)   428,301    444,276 
Custody fees and other expenses (allocated from the Master Fund) (1)   22,051    21,270 
Total expenses   5,650,831    5,829,299 
           
NET INVESTMENT LOSS   (4,252,471)   (2,962,567)
           
REALIZED AND UNREALIZED GAINS (LOSSES)          
ALLOCATED FROM THE MASTER FUND (1)          
Net realized gains (losses) on closed positions:          
Futures and forward currency contracts   (29,969,802)   14,311,372 
Foreign exchange transactions   214,124    (175,671)
Net change in unrealized:          
Futures and forward currency contracts   3,078,876    (6,602,536)
Foreign exchange translation   (78,656)   (57,796)
Net gains (losses) from U.S. Treasury notes:          
Realized   207,165    28,729 
Net change in unrealized   (75,751)   250,751 
           
Net realized and unrealized gains (losses) allocated from the Master Fund   (26,624,044)   7,754,849 
           
NET INCOME (LOSS)   (30,876,515)   4,792,282 
           
LESS PROFIT SHARE ALLOCATION TO THE MASTER FUND   -    930,747 
           
NET INCOME (LOSS) AFTER PROFIT SHARE  $(30,876,515)  $3,861,535 
           
NET INCOME (LOSS) PER UNIT OUTSTANDING:          
Series A  $(196.42)  $25.84 
Series B  $(210.70)  $46.55 
Series C  $(214.98)  $47.49 
Series D  $(211.33)  $38.13 

 

(1)The Partnership’s proportionate share of income and expenses allocated from the Master Fund as of period end.

 

See notes to financial statements (Unaudited) (Concluded)

 

3

 

 

Millburn Multi-Markets Fund L.P.

Statements of Changes in Partners’ Capital (UNAUDITED)

For the nine months ended September 30, 2020 and 2019

  

   General   Limited Partners     
   Partner   Series A   Series B   Series C   Series D   Total 
   Amount   Units   Amount   Units   Amount   Units   Amount   Units   Amount   Units   Amount 
PARTNERS’ CAPITAL — January 1, 2020  $3,122,595    1,623.2659   $166,972,241    132,149.4067   $10,343,480    7,006.4813   $4,831,807    3,207.8856   $5,919,234    4,132.1394   $191,189,357 
                                                        
Capital contributions   -    -    2,257,400    1,790.7268    150,000    120.8101    150,000    106.9465    11,859,000    9,052.9189    14,416,400 
Capital withdrawals   -    -    (28,285,064)   (26,775.7466)   (968,765)   (784.6188)   (11,039)   (8.9010)   (156,156)   (131.1191)   (29,421,024)
Net (loss) before profit share   (405,180)   -    (26,590,600)   -    (1,497,600)   -    (701,977)   -    (1,681,158)   -    (30,876,515)
Profit share   -    -    -    -    -    -    -    -    -    -    - 
PARTNERS’ CAPITAL — September 30, 2020  $2,717,415    1,623.2659   $114,353,977    107,164.3869   $8,027,115    6,342.6726   $4,268,791    3,305.9311   $15,940,920    13,053.9392   $145,308,218 
                                                        
Net Asset Value per Unit at September 30, 2020       $1,674.04        $1,067.09        $1,265.57        $1,291.25        $1,221.16      

  

   General   Limited Partners     
   Partner   Series A   Series B   Series C   Series D   Total 
   Amount   Amount   Units   Amount   Units   Amount   Units   Amount   Units   Amount 
PARTNERS’ CAPITAL — January 1, 2019  $2,788,913   $144,621,713    121,399.2481   $9,305,965    6,794.4628   $2,008,278    1,437.1195   $794,737    593.8529   $159,519,606 
                                                   
Capital contributions   -    20,942,369    17,256.2975    997,500    718.8190    1,211,000    859.3543    4,369,150    3,240.6694    27,520,019 
Capital withdrawals   -    (9,505,879)   (7,839.2192)   (653,063)   (467.7075)   (218,608)   (153.9490)   -    -    (10,377,550)
Net income before profit share   162,779    3,958,644    -    409,204    -    119,196    -    142,459    -    4,792,282 
Profit share   -    (796,416)   -    (81,759)   -    (24,080)   -    (28,492)   -    (930,747)
PARTNERS’ CAPITAL — September 30 2019  $2,951,692   $159,220,431    130,816.3264   $9,977,847    7,045.5743   $3,095,786    2,142.5248   $5,277,854    3,834.5223   $180,523,610 
                                                   
Net Asset Value per Unit at September 30, 2019            $1,217.13        $1,416.19        $1,444.92        $1,376.40      

  

See notes to financial statements (Unaudited)

 

4

 

 

Millburn Multi-Markets Fund L.P.

 Statement of Financial Highlights (UNAUDITED)

 For the three months ended September 30, 2020 

 

The following information presents per unit operating performance data for each series for the three months ended September 30, 2020.

 

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  $1,030.05   $1,215.56   $1,240.23   $1,175.10 
                     
INCOME (LOSS) ALLOCATED FROM THE MASTER FUND:                    
Net investment loss (1)   (11.07)   (6.87)   (7.15)   (9.36)
Total trading and investing gains (1)   48.11    56.88    58.17    55.42 
                     
Net income before profit share allocation from the Master Fund   37.04    50.01    51.02    46.06 
                     
Less: profit share allocation from the Master Fund (1) (6)   0.00    0.00    0.00    0.00 
                     
Net income from operations after profit share allocation from the Master Fund   37.04    50.01    51.02    46.06 
                     
NET ASSET VALUE PER UNIT — End of period  $1,067.09   $1,265.57   $1,291.25   $1,221.16 
                     
TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2)   3.60%   4.11%   4.11%   3.92%
                     
LESS: PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2) (6)   0.00    0.00    0.00    0.00 
                     
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2)   3.60%   4.11%   4.11%   3.92%
                     
RATIOS TO AVERAGE NET ASSET VALUE:                    
Expenses (3) (4) (5)   4.80%   2.80%   2.80%   3.55%
Profit share allocation from the Master Fund (2) (6)   0.00    0.00    0.00    0.00 
                     
Total expenses   4.80%   2.80%   2.80%   3.55%
                     
Net investment loss (3) (4) (5)   (4.22)%   (2.22)%   (2.22)%   (2.98)%

 

(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 (if applicable) and expenses 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) (Continued)

 

5

 

 

Millburn Multi-Markets Fund L.P.

 Statement of Financial Highlights (UNAUDITED)

 For the nine months ended September 30, 2020 

 

The following information presents per unit operating performance data for each series for the nine months ended September 30, 2020.

 

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  $1,263.51   $1,476.27   $1,506.23   $1,432.49 
                     
INCOME (LOSS) ALLOCATED FROM THE MASTER FUND:                    
Net investment loss (1)   (30.13)   (16.49)   (16.99)   (23.53)
Total trading and investing losses (1)   (166.29)   (194.21)   (197.99)   (187.80)
                     
Net loss before profit share allocation from the Master Fund   (196.42)   (210.70)   (214.98)   (211.33)
                     
Less: profit share allocation from the Master Fund (1) (6)   0.00    0.00    0.00    0.00 
                     
Net loss from operations after profit share allocation from the Master Fund   (196.42)   (210.70)   (214.98)   (211.33)
                     
NET ASSET VALUE PER UNIT — End of period  $1,067.09   $1,265.57   $1,291.25   $1,221.16 
                     
TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2)   (15.55)%   (14.27)%   (14.27)%   (14.75)%
                     
LESS: PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2) (6)   0.00    0.00    0.00    0.00 
                     
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2)   (15.55)%   (14.27)%   (14.27)%   (14.75)%
                     
RATIOS TO AVERAGE NET ASSET VALUE:                    
Expenses (3) (4) (5)   4.85%   2.85%   2.85%   3.59%
Profit share allocation from the Master Fund (2) (6)   0.00    0.00    0.00    0.00 
                     
Total expenses   4.85%   2.85%   2.85%   3.59%
                     
Net investment loss (3) (4) (5)   (3.72)%   (1.73)%   (1.73)%   (2.60)%

 

(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 (if applicable) and expenses allocated from the Master Fund.

(5)Excludes profit share allocation from the Master Fund.

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

 

See notes to financial statements (Unaudited) (Concluded)

 

6

 

 

Millburn Multi-Markets Fund L.P.

Statement of Financial Highlights (UNAUDITED)

For the three months ended September 30, 2019

 

The following information presents per unit operating performance data for each series for the three months ended September 30, 2019.

 

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  $1,211.73   $1,404.23   $1,432.72   $1,366.86 
                     
INCOME (LOSS) ALLOCATED FROM THE MASTER FUND:                    
Net investment loss (1)   (8.25)   (2.50)   (2.67)   (5.25)
Total trading and investing gains (1)   14.99    17.39    17.45    17.33 
                     
Net income (loss) before profit share allocation from the Master Fund   6.74    14.89    14.78    12.08 
                     
Less: profit share allocation from the Master Fund (1) (6)   1.34    2.93    2.58    2.54 
                     
Net income (loss) from operations after profit share allocation from the Master Fund   5.40    11.96    12.20    9.54 
                     
NET ASSET VALUE PER UNIT — End of period  $1,217.13   $1,416.19   $1,444.92   $1,376.40 
                     
TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2)   0.56%   1.06%   1.06%   0.93%
                     
LESS: PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2) (6)   0.11    0.21    0.21    0.23 
                     
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2)   0.45%   0.85%   0.85%   0.70%
                     
RATIOS TO AVERAGE NET ASSET VALUE:                    
Expenses (3) (4) (5)   4.95%   2.96%   2.96%   3.70%
Profit share allocation from the Master Fund (2) (6)   0.11    0.21    0.21    0.23 
                     
Total expenses   5.06%   3.17%   3.17%   3.93%
                     
Net investment loss (3) (4) (5)   (2.71)%   (0.71)%   (0.71)%   (1.46)%

 

(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 (if applicable) and expenses 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) (Continued)

 

7

 

 

Millburn Multi-Markets Fund L.P.

Statement of Financial Highlights (UNAUDITED)

For the nine months ended September 30, 2019

 

The following information presents per unit operating performance data for each series for the nine months ended September 30, 2019.

 

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  $1,191.29   $1,369.64   $1,397.43   $1,338.27 
                     
INCOME (LOSS) ALLOCATED FROM THE MASTER FUND:                    
Net investment loss (1)   (23.57)   (6.34)   (6.63)   (14.13)
Total trading and investing gains (1)   55.88    64.49    67.36    63.97 
                     
Net income before profit share allocation from the Master Fund   32.31    58.15    60.73    49.84 
                     
Less: profit share allocation from the Master Fund (1) (6)   6.47    11.60    13.24    11.71 
                     
Net income from operations after profit share allocation from the Master Fund   25.84    46.55    47.49    38.13 
                     
NET ASSET VALUE PER UNIT — End of period  $1,217.13   $1,416.19   $1,444.92   $1,376.40 
                     
TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2)   2.71%   4.23%   4.33%   3.71%
                     
LESS: PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2) (6)   0.54    0.83    0.93    0.86 
                     
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2)   2.17%   3.40%   3.40%   2.85%
                     
RATIOS TO AVERAGE NET ASSET VALUE:                    
Expenses (3) (4) (5)   4.90%   2.90%   2.91%   3.67%
Profit share allocation from the Master Fund (2) (6)   0.54    0.83    0.93    0.86 
                     
Total expenses   5.44%   3.73%   3.84%   4.53%
                     
Net investment loss (3) (4) (5)   (2.61)%   (0.61)%   (0.62)%   (1.38)%

 

(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 (if applicable) and expenses allocated from the Master Fund.

(5)Excludes profit share allocation from the Master Fund.

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

  

See notes to financial statements (Unaudited) (Concluded)

 

8

 

 

NOTES TO FINANCIAL STATEMENTS (UNAUDITED)

 

1. BASIS OF PRESENTATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

 

The accompanying financial statements, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of Millburn Multi-Markets Fund L.P.’s (the “Partnership”) financial condition at September 30, 2020 (unaudited) and December 31, 2019 and the results of its operations for the three and nine months ended September 30, 2020 and 2019 (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 2019 annual report included in Form 10-K filed with the Securities and Exchange Commission. The December 31, 2019 information has been derived from the audited financial statements as of December 31, 2019.

 

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 740) 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, 2016 to 2019, 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 2019.

 

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

 

The Partnership invests substantially all of its assets in Millburn Multi-Markets Trading L.P. (the “Master Fund”). The Partnership’s ownership percentage of the Master Fund at September 30, 2020 and December 31, 2019 was 22.66% and 30.30%, 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. Administrative and 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 September 30, 2020 and December 31, 2019, 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
September 30,		   Nine months ended
September 30,		 
   2020   2019   2020   2019 
Series A   118,034.723    125,709.641    127,159.028    123,125.249 
Series B   6,537.753    7,109.971    6,850.092    7,045.821 
Series C   3,305.893    2,181.524    3,288.386    1,818.834 
Series D   13,018.240    3,510.215    10,959.560    2,434.064 

 

5. SUBSEQUENT EVENTS

 

During the period from October 1, 2020 to November 12, 2020, contributions of $249,500 were made to the Partnership. The General Partner has performed its evaluation of subsequent events through November 12, 2020, the date the form 10-Q was filed. Based on such evaluation, no further events were discovered that required disclosure or adjustment to the Financial Statements.

 

9

 

 

Millburn Multi-Markets Trading L.P.

Financial statements

For the three and nine months ended September 30, 2020 and 2019 (unaudited)

 

Statements of Financial Condition (a) 11
Condensed Schedules of Investments (a) 12
Statements of Operations (c) 16
Statements of Changes in Partners’ Capital (b) 18
Statements of Financial Highlights (c) 19
Notes to Financial Statements 21

 

(a)At September 30, 2020 (unaudited) and December 31, 2019

(b)For the nine months ended September 30, 2020 and 2019 (unaudited)

(c)For the three and nine months ended September 30, 2020 and 2019 (unaudited)

 

10

 

 

Millburn Multi-Markets Trading L.P.

Statements of Financial Condition

 

   September 30,
2020
(unaudited)		   December 31,
2019		 
       
ASSETS        
EQUITY IN TRADING ACCOUNTS:          
Investments in U.S. Treasury notes — at fair value (amortized cost $76,239,671 and $99,692,940)  $76,305,893   $99,835,520 
Net unrealized appreciation on open futures and forward currency contracts   9,798,973    5,430,488 
Due from brokers, net   47,821,242    20,430,870 
Cash denominated in foreign currencies (cost $29,482,037 and $31,152,549)   29,574,880    31,566,671 
          
Total equity in trading accounts   163,500,988    157,263,549 
           
INVESTMENTS IN U.S. TREASURY NOTES — at fair value (amortized cost $455,513,791 and $440,349,793)   455,672,774    440,688,034 
          
CASH AND CASH EQUIVALENTS   50,147,363    53,997,893 
           
ACCRUED INTEREST RECEIVABLE   3,071,664    2,333,434 
           
DUE FROM MILLBURN MULTI-MARKETS LTD.   -    100 
           
TOTAL  $672,392,789   $654,283,010 
           
LIABILITIES AND PARTNERS’ CAPITAL          
           
LIABILITIES:          
Net unrealized depreciation on open futures and forward currency contracts  $1,100,687   $5,818,429 
Cash overdrafts denominated in foreign currencies (cost $4,172,452 and $0)   4,167,129    - 
Subscriptions received in advance   -    1,565,000 
Capital withdrawals payable to Limited Partners   19,520,112    736,814 
Capital withdrawal payable to General Partner   -    9,224,590 
Management fee payable   725,504    798,199 
Selling commissions payable   215,538    283,920 
Accrued expenses   533,342    254,637 
Due to brokers, net   4,776,888    4,479,776 
Commissions and other trading fees on open futures contracts   61,666    119,320 
Accrued profit share   105,482    - 
          
Total liabilities   31,206,348    23,280,685 
           
PARTNERS’ CAPITAL   641,186,441    631,002,325 
           
TOTAL  $672,392,789   $654,283,010 

 

See notes to financial statements (Unaudited)

 

11

 

 

Millburn Multi-Markets Trading L.P.

Condensed Schedule of Investments (UNAUDITED)

September 30, 2020

 

FUTURES AND FORWARD CURRENCY CONTRACTS  Net Unrealized
Appreciation
(Depreciation)
as a % of
Partners’
Capital		   Net Unrealized
Appreciation
(Depreciation)		 
FUTURES CONTRACTS          
Long futures contracts:          
Energies   0.01%  $46,620 
Grains   0.20    1,261,865 
Interest rates:          
2 Year U.S. Treasury Note (951 contracts, settlement date December 2020)   0.00    30,946 
10 Year U.S. Treasury Note (1,202 contracts, settlement date December 2020)   0.00    22,250 
30 Year U.S. Treasury Bond (311 contracts, settlement date December 2020)   0.00    1,781 
Other interest rates   0.67    4,268,656 
           
Total interest rates   0.67    4,323,633 
           
Metals   0.00    (8,187)
Softs   0.02    120,496 
Stock indices   0.15    980,941 
           
Total long futures contracts   1.05    6,725,368 
           
Short futures contracts:          
Energies   0.03    163,087 
Grains   (0.18)   (1,117,034)
Interest rates   0.00    (6,480)
Livestock   0.00    3,650 
Metals   0.04    233,167 
Softs   0.01    88,570 
Stock indices   0.04    232,788 
           
Total short futures contracts   (0.06)   (402,252)
           
TOTAL INVESTMENTS IN FUTURES CONTRACTS — Net   0.99    6,323,116 
           
FORWARD CURRENCY CONTRACTS          
Total long forward currency contracts   (1.55)   (9,946,552)
Total short forward currency contracts   1.92    12,321,722 
           
TOTAL INVESTMENTS IN FORWARD CURRENCY CONTRACTS — Net   0.37    2,375,170 
           
TOTAL   1.36%  $8,698,286

 

(Continued)

 

12

 

 

Millburn Multi-Markets Trading L.P.

Condensed Schedule of Investments (UNAUDITED)

September 30, 2020

 

U.S. TREASURY NOTES

 

Face Amount   Description  Fair Value
as a % of
Partners’
Capital		   Fair Value 
$138,540,000   U.S. Treasury notes, 1.750%, 11/15/2020   21.65%  $138,829,527 
 121,540,000   U.S. Treasury notes, 2.250%, 02/15/2021   19.11    122,510,896 
 134,900,000   U.S. Treasury notes, 2.625%, 05/15/2021   21.37    137,007,813 
 130,640,000   U.S. Treasury notes, 2.750%, 08/15/2021   20.84    133,630,431 
     Total investments in U.S. Treasury notes (amortized cost $531,753,462)   82.97%  $531,978,667 

 

See notes to financial statements (Unaudited) (Concluded)

 

13

 

 

Millburn Multi-Markets Trading L.P.

Condensed Schedule of Investments

December 31, 2019

 

FUTURES AND FORWARD CURRENCY CONTRACTS  Net Unrealized
Appreciation
(Depreciation)
as a % of
Partners’
Capital		   Net Unrealized
Appreciation
(Depreciation)		 
FUTURES CONTRACTS        
Long futures contracts:        
Energies   0.16%  $1,041,056 
Grains   0.02    97,048 
Interest rates:          
2 Year U.S. Treasury Note (300 contracts, settlement date March 2020)   0.00    11,242 
5 Year U.S. Treasury Note (612 contracts, settlement date March 2020)   0.00    1,312 
Other interest rates   (0.04)   (274,802)
           
Total interest rates   (0.04)   (262,248)
           
Livestock   0.00    (560)
Metals   0.30    1,850,831 
Softs   0.01    78,535 
Stock indices   0.05    334,857 
           
Total long futures contracts   0.50    3,139,519 
           
Short futures contracts:          
Energies   0.07    447,160 
Grains   (0.17)   (1,053,425)
Interest rates:          
10 Year U.S. Treasury Note (773 contracts, settlement date March 2020)   0.00    15,234 
Other interest rates   0.35    2,235,084 
           
Total interest rates   0.35    2,250,318 
           
Metals   (0.07)   (432,195)
Softs   (0.01)   (90,206)
Stock indices   0.19    1,169,317 
           
Total short futures contracts   0.36    2,290,969 
           
TOTAL INVESTMENTS IN FUTURES CONTRACTS — Net   0.86    5,430,488 
           
FORWARD CURRENCY CONTRACTS          
Total long forward currency contracts   2.22    13,991,397 
Total short forward currency contracts   (3.14)   (19,809,826)
          
TOTAL INVESTMENTS IN FORWARD CURRENCY CONTRACTS — Net   (0.92)   (5,818,429)
           
TOTAL   (0.06)%  $(387,941)

 

(Continued)

 

14

 

 

Millburn Multi-Markets Trading L.P.

Condensed Schedule of Investments

December 31, 2019

 

U.S. TREASURY NOTES

 

Face Amount   Description  Fair Value
as a % of  
Partners’
Capital		   Fair Value 
$178,740,000   U.S. Treasury notes, 1.375%, 02/15/2020   28.32%  $178,698,108 
 184,140,000   U.S. Treasury notes, 1.500%, 05/15/2020   29.17    184,089,649 
 177,840,000   U.S. Treasury notes, 1.500%, 08/15/2020   28.17    177,735,797 
     Total investments in U.S. Treasury notes (amortized cost $540,042,733)   85.66%  $540,523,554 

 

See notes to financial statements (Unaudited)

(Concluded)

 

15

 

 

Millburn Multi-Markets Trading L.P.

Statements of Operations (UNAUDITED)

 

   For the three months ended 
   September 30,   September 30, 
   2020   2019 
INVESTMENT INCOME — Interest income  $953,944   $3,354,029 
          
EXPENSES:          
Brokerage commissions   786,171    870,942 
Management fees   2,199,572    2,241,169 
Selling commissions and platform fees   660,975    776,923 
Administrative and operating expenses   293,017    302,196 
Custody fees and other expenses   31,152    25,133 
Total expenses   3,970,887    4,216,363 
           
NET INVESTMENT LOSS   (3,016,943)   (862,334)
           
REALIZED AND UNREALIZED GAINS (LOSSES):          
Net realized gains (losses) on closed positions:          
Futures and forward currency contracts   26,629,664    12,039,616 
Foreign exchange transactions   1,834,663    (263,750)
Net change in unrealized:          
Futures and forward currency contracts   5,221,855    (3,925,457)
Foreign exchange translation   23,731    (411,180)
Net gains (losses) from U.S. Treasury notes:          
Realized   20,841    103,281 
Net change in unrealized   (776,203)   (313,407)
Total net realized and unrealized gains   32,954,551    7,229,103 
           
NET INCOME   29,937,608    6,366,769 
LESS PROFIT SHARE TO GENERAL PARTNER   72,899    1,007,012 
NET INCOME AFTER PROFIT SHARE TO GENERAL PARTNER  $29,864,709   $5,359,757 

 

See notes to financial statements (Unaudited)

(Continued)

 

16

 

 

Millburn Multi-Markets Trading L.P.

Statements of Operations (UNAUDITED)

 

   For the nine months ended 
   September 30,   September 30, 
   2020   2019 
INVESTMENT INCOME — Interest income  $5,780,865   $9,502,971 
           
EXPENSES:          
Brokerage commissions   2,512,532    2,141,062 
Management fees   6,977,202    6,174,785 
Selling commissions and platform fees   2,149,586    2,252,534 
Administrative and operating expenses   937,709    880,074 
Custody fees and other expenses   94,547    70,388 
Total expenses   12,671,576    11,518,843 
           
NET INVESTMENT LOSS   (6,890,711)   (2,015,872)
           
REALIZED AND UNREALIZED GAINS (LOSSES):          
Net realized gains (losses) on closed positions:          
Futures and forward currency contracts   (122,763,161)   43,681,528 
Foreign exchange transactions   926,261    (585,846)
           
Net change in unrealized:          
Futures and forward currency contracts   9,086,227    (19,350,534)
Foreign exchange translation   (315,956)   (189,202)
           
Net gains (losses) from U.S. Treasury notes:          
Realized   875,124    100,553 
Net change in unrealized   (255,616)   821,663 
Total net realized and unrealized gains (losses)   (112,447,121)   24,478,162 
           
           
NET INCOME (LOSS)   (119,337,832)   22,462,290 
LESS PROFIT SHARE TO GENERAL PARTNER   105,482    3,692,622 
NET INCOME (LOSS) AFTER PROFIT SHARE TO GENERAL PARTNER  $(119,443,314)  $18,769,668 

 

See notes to financial statements (Unaudited)

(Concluded)

 

17

 

 

Millburn Multi-Markets Trading L.P.

Statements of Changes in Partners’ Capital (UNAUDITED)

 

For the nine months ended September 30, 2020

 

   Limited Partners   New Profit
Memo
Account		   General
Partner		   Total 
PARTNERS’ CAPITAL - January 1, 2020  $629,952,934   $       -   $1,049,391   $631,002,325 
Contributions   268,999,600    -    -    268,999,600 
Withdrawals   (139,372,170)   -    -    (139,372,170)
Net (loss) before profit share   (119,203,276)   -    (134,556)   (119,337,832)
General Partner’s allocation - profit share   (105,482)   -    -    (105,482)
PARTNERS’ CAPITAL - September 30, 2020  $640,271,606  $-  $914,835  $641,186,441 

 

For the nine months ended September 30, 2019

 

   Limited Partners   New Profit
Memo
Account		   General
Partner		   Total 
PARTNERS’ CAPITAL - January 1, 2019  $473,885,200   $-   $939,174   $474,824,374 
Contributions   191,493,602    90,153    -    191,583,755 
Withdrawals   (84,628,037)   -    -    (84,628,037)
Net income before profit share   22,409,213    698    52,379    22,462,290 
General Partner’s allocation - profit share   (3,692,622)   -    -    (3,692,622)
PARTNERS’ CAPITAL - September 30, 2019  $599,467,356  $90,851  $991,553  $600,549,760 

 

See notes to financial statements (Unaudited)

 

18

 

 

Millburn Multi-Markets Trading L.P.

Statements of Financial Highlights (UNAUDITED)

 

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

 

   For the three months ended   For the nine months ended 
   September 30,   September 30,   September 30,   September 30, 
   2020   2019   2020   2019 
                 
Total return before General Partner profit share allocation (3)   4.17%   1.11%   (14.12)%   4.42%
Less: General Partner profit share allocation (3) (5)   0.00    0.22    0.00    0.87 
                     
Total return after General Partner profit share allocation (3)   4.17%   0.89%   (14.12)%   3.55%
                     
Ratios to average net asset value:                    
Expenses (1) (4)   2.64%   2.68%   2.61%   2.65%
General Partner profit share allocation (3) (5)   0.00    0.22    0.00    0.87 
                     
Total expenses (1)   2.64%   2.90%   2.61%   3.52%
                     
Net investment loss (1) (2) (4)   (2.08)%   (0.48)%   (1.50)%   (0.37)%

 

Total returns and the ratios to average net asset value are calculated for a Limited Partner.

 

(1)Includes the Limited Partner’s proportionate share of expenses allocated from the Master Fund’s operations for the   three and nine months ended September 30, 2020 and 2019.
(2)Excludes General Partner profit share allocation and includes interest income.
(3)Not Annualized.
(4)Annualized.
(5)In instances of 0.00, value is less than 0.01 when rounded to two decimal places.

 

See notes to financial statements (Unaudited)

 

19

 

 

Millburn Multi-Markets Trading L.P.

Statements of Financial Highlights (UNAUDITED)

 

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

 

   For the three months ended   For the nine months ended 
   September 30,   September 30,   September 30,   September 30, 
   2020   2019   2020   2019 
                 
Total return before General Partner profit share allocation (3)   4.65%   1.10%   (13.75)%   4.29%
Less: General Partner profit share allocation (3)   0.01    0.17    0.02    0.67 
                     
Total return after General Partner profit share allocation (3)   4.64%   0.93%   (13.77)%   3.62%
                     
Ratios to average net asset value:                    
Expenses (1) (4)   2.40%   2.76%   2.45%   2.77%
General Partner profit share allocation (3)   0.01    0.17    0.02    0.67 
                     
Total expenses (1)   2.41%   2.93%   2.47%   3.44%
                     
Net investment loss (1) (2) (4)   (1.84)%   (0.56)%   (1.33)%   (0.48)%

 

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 Limited Partners’ proportionate share of expenses allocated from the Master Fund’s operations for the three and nine months ended September 30, 2020 and 2019.
(2)Excludes General Partner profit share allocation and includes interest income.
(3)Not Annualized.
(4)Annualized.

 

See notes to financial statements (Unaudited)

 

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NOTES TO FINANCIAL STATEMENTS (UNAUDITED)

 

1. BASIS OF PRESENTATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

 

The Master Fund engages in the speculative trading of futures and forward currency contracts, as well as hedging using 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 financial statements, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of the Master Fund’s financial condition at September 30, 2020 (unaudited) and December 31, 2019 and the results of its operations for the three and nine months ended September 30, 2020 and 2019 (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, 2019 included in the Partnership’s annual report on Form 10-K filed with the Securities and Exchange Commission. The December 31, 2019 information has been derived from the audited financial statements as of December 31, 2019.

 

The preparation of financial statements in conformity with U.S. GAAP in the U.S, as detailed in the FASB Codification, requires management to make estimates and assumptions that affect the amounts and disclosures reported in the financial statements. Actual results could differ from these estimates.

 

The Master Fund enters into contracts with various financial institutions that contain a variety of 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 740) 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, 2016 to 2019, the General Partner has determined that no reserves for uncertain tax positions were required.

 

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

 

The Partnership and the Cayman Feeder invest substantially all of their assets in the Master Fund. At September 30, 2020 and December 31, 2019, the respective ownership percentages of the Master Fund are detailed below. The remaining interests are held by direct investors in the Master Fund.

 

   September 30,   December 31, 
   2020   2019 
Partnership   22.66%   30.30%
Cayman Feeder   69.60%   60.29%
           
Total   92.26%   90.59%

 

The capital withdrawals payable at September 30, 2020 and December 31, 2019 were $19,520,112 and $9,961,404, respectively, as detailed below.

 

   September 30,   December 31, 
   2020   2019 
Direct investors (1)  $-   $9,224,590 
Partnership   7,775,717    736,814 
Cayman Feeder   11,744,395    - 
           
Total  $19,520,112   $9,961,404 

 

(1)Includes General Partner’s profit share of $9,224,590 at December 31, 2019.

 

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The Master Fund bears expenses, incurred at the Master Fund and Cayman Feeder level, 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”). The General Partner bears any excess over such amounts.

 

3. FAIR VALUE

 

The Fair Value Measurement (Topic 820) 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.

 

During the three and nine months ended September 30, 2020 and 2019, there were no transfers of assets or liabilities between Level 1 and Level 2. The following tables represent the Master Fund’s investments by hierarchical level as of September 30, 2020 and December 31, 2019 in valuing the Master Fund’s investments at fair value. At September 30, 2020 and December 31, 2019, the Master Fund had no assets or liabilities in Level 3.

 

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Financial assets and liabilities at fair value as of September 30, 2020

 

   Level 1   Level 2   Total 
             
U.S. Treasury notes (1)  $531,978,667   $-   $531,978,667 
                
Short-Term Money Market Fund*   49,897,263    -    49,897,263 
Exchange-traded futures contracts               
Energies   209,707    -    209,707 
Grains   144,831    -    144,831 
Interest rates   4,317,153    -    4,317,153 
Livestock   3,650    -    3,650 
Metals   224,980    -    224,980 
Softs   209,066    -    209,066 
Stock indices   1,213,729    -    1,213,729