Millburn Multi-Markets Fund L.P. - FORM 10-K - EX-13.1 - EXHIBIT 13.1

Attached files

file	filename
10-K - 10-K - Millburn Multi-Markets Fund L.P.	millburnmulti_10k.htm
EX-32.4 - EXHIBIT 32.4 - Millburn Multi-Markets Fund L.P.	millburnmulti_ex32-4.htm
EX-32.3 - EXHIBIT 32.3 - Millburn Multi-Markets Fund L.P.	millburnmulti_ex32-3.htm
EX-32.2 - EXHIBIT 32.2 - Millburn Multi-Markets Fund L.P.	millburnmulti_ex32-2.htm
EX-32.1 - EXHIBIT 32.1 - Millburn Multi-Markets Fund L.P.	millburnmulti_ex32-1.htm
EX-31.4 - EXHIBIT 31.4 - Millburn Multi-Markets Fund L.P.	millburnmulti_ex31-4.htm
EX-31.3 - EXHIBIT 31.3 - Millburn Multi-Markets Fund L.P.	millburnmulti_ex31-3.htm
EX-31.2 - EXHIBIT 31.2 - Millburn Multi-Markets Fund L.P.	millburnmulti_ex31-2.htm
EX-31.1 - EXHIBIT 31.1 - Millburn Multi-Markets Fund L.P.	millburnmulti_ex31-1.htm

Exhibit 13.1

Millburn Multi-Markets
Fund L.P.

(A Delaware Limited Partnership)

Financial Statements for the Years Ended December 31,

2020 and 2019, and Report of Independent Registered

Public Accounting Firm

F-1

MILLBURN MULTI-MARKETS FUND L.P.

TABLE OF CONTENTS

	Page(s)

THIS ANNUAL REPORT IS COMPRISED OF SECTION I CONTAINING THE FINANCIAL STATEMENTS OF MILLBURN MULTI-MARKETS FUND L.P. FOR THE YEARS ENDED DECEMBER 31, 2020 AND 2019 AND SECTION II, CONTAINING THE FINANCIAL STATEMENTS OF MILLBURN MULTI-MARKETS TRADING L.P. FOR THE YEARS ENDED DECEMBER 31, 2020 AND 2019.

SECTION I

AFFIRMATION OF MILLBURN RIDGEFIELD CORPORATION	F-3

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	F-4

FINANCIAL STATEMENTS AS OF DECEMBER 31, 2020 AND 2019 AND FOR THE YEARS ENDED DECEMBER 31, 2020 AND 2019:

Statements of Financial Condition	F-5

Statements of Operations	F-6

Statements of Changes in Partners’ Capital	F-7

Statements of Financial Highlights	F-8–F-9

Notes to Financial Statements	F-10–F-13

SECTION II — FINANCIAL STATEMENTS OF MILLBURN MULTI-MARKETS TRADING L.P.	F-14

F-2

AFFIRMATION OF MILLBURN RIDGEFIELD CORPORATION

In compliance with the Commodity Futures Trading Commission’s regulations, I hereby affirm that to the best of my knowledge and belief, the information contained in the Statements of Financial Condition of Millburn Multi-Markets Fund L.P. as of December 31, 2020 and 2019, including the related Statements of Operations, Changes in Partners’ Capital and Financial Highlights for each of the two years in the period ended December 31, 2020, are complete and accurate.

Gregg Buckbinder, President

Millburn Ridgefield Corporation
General Partner of Millburn Multi-Markets Fund L.P.

F-3

Deloitte & Touche LLP

30 Rockefeller Plaza

New York, NY 10112-0015

USA

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

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

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

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statements of financial condition of Millburn Multi-Markets Fund L.P. (the “Partnership”), as of December 31, 2020 and 2019, the related statements of operations, changes in partners’ capital and the financial highlights for each of the two years in the period ended December 31, 2020, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Partnership as of December 31, 2020 and 2019, and the results of its operations, the changes in its partners’ capital, and the financial highlights for each of the two years in the period ended December 31, 2020, in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of December 31, 2020, by correspondence with the custodian and brokers. We believe that our audits provide a reasonable basis for our opinion.

Critical Audit Matters

Critical audit matters are matters arising from the current-period audit of the financial statements that were communicated or required to be communicated to the audit committee and that (1) relate to accounts or disclosures that are material to the financial statements and (2) involved our especially challenging, subjective, or complex judgments. We determined that there are no critical audit matters.

/s/ Deloitte & Touche LLP
March 18, 2021

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

F-4

MILLBURN MULTI-MARKETS FUND L.P.

STATEMENTS OF FINANCIAL CONDITION

AS OF DECEMBER 31, 2020 AND 2019

	2020		2019
ASSETS

Investment in Millburn Multi-Markets
Trading L.P. (the “Master Fund”)	$	139,012,777	$	191,189,357
Due from the Master Fund		2,272,143		736,814
Cash and cash equivalents		-		2,864,000

Total assets	$	141,284,920	$	194,790,171


LIABILITIES AND PARTNERS’ CAPITAL

LIABILITIES:
Capital contributions received in advance	$	-	$	2,864,000
Capital withdrawal payable to Limited Partners		2,272,143		736,814

Total liabilities		2,272,143		3,600,814

PARTNERS’ CAPITAL:
General Partner		2,803,226		3,122,595

Limited partners:
Series A (99,597.6414 and 132,149.4067 units outstanding)		108,544,835		166,972,241
Series B (5,720.6069 and 7,006.4813 units outstanding)		7,431,183		10,343,480
Series C (3,029.4662 and 3,207.8856 units outstanding)		4,015,189		4,831,807
Series D (12,963.4335 and 4,132.1394 units outstanding)		16,218,344		5,919,234

Total limited partners		136,209,551		188,066,762

Total partners’ capital		139,012,777		191,189,357

TOTAL	$	141,284,920	$	194,790,171

NET ASSET VALUE PER UNIT OUTSTANDING:
Series A	$	1,089.83	$	1,263.51
Series B	$	1,299.02	$	1,476.27
Series C	$	1,325.38	$	1,506.23
Series D	$	1,251.08	$	1,432.49

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

F-5

MILLBURN MULTI-MARKETS FUND L.P.

STATEMENTS OF OPERATIONS
YEARS ENDED DECEMBER 31, 2020 AND 2019

	2020			2019

NET INVESTMENT LOSS
Interest income	$	5,931		$	-
Interest income, net (allocated from the Master Fund)		1,445,023			3,798,503

Total investment income		1,450,954			3,798,503

Expenses:
Management fees (allocated from the Master Fund) (see note 4)		3,148,410			3,415,443
Brokerage commissions (allocated from the Master Fund)		817,597			917,967
Selling commissions and platform fees (allocated from the Master Fund) (see note 4)		2,707,949			3,083,970
Operating expenses (allocated from the Master Fund) (see note 5)		562,898			578,293
Custody fees and other expenses (allocated from the Master Fund)		28,172			29,669

Total expenses		7,265,026			8,025,342

Net investment loss		(5,814,072	)		(4,226,839	)

REALIZED AND UNREALIZED GAINS (LOSSES)
ALLOCATED FROM THE MASTER FUND
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		(27,502,396	)		23,000,241
Foreign exchange transactions		195,956			(167,733	)
Net change in unrealized:
Futures and forward currency contracts		4,931,684			(5,321,011	)
Foreign exchange translation		62,045			133,981
Net gains (losses) from U.S. Treasury notes:
Realized		223,242			28,729
Net change in unrealized		(138,615	)		182,394

Net realized and unrealized gains (losses) allocated from the Master Fund		(22,228,084	)		17,856,601

NET INCOME (LOSS)		(28,042,156	)		13,629,762

LESS PROFIT SHARE ALLOCATION FROM THE MASTER FUND		-			2,664,064

NET INCOME (LOSS) AFTER PROFIT SHARE	$	(28,042,156	)	$	10,965,698

NET INCOME PER UNIT OUTSTANDING:
Series A	$	(173.68	)	$	72.22
Series B	$	(177.25	)	$	106.63
Series C	$	(180.85	)	$	108.80
Series D	$	(181.41	)	$	94.22

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

F-6

MILLBURN MULTI-MARKETS FUND L.P.

STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL

YEARS ENDED DECEMBER 31, 2020 AND 2019

	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		-			24,245,369			19,958.3203			1,017,500			732.3428			3,026,843			2,063.5082			4,810,150			3,553.2974			33,099,862
Capital withdrawals					(11,221,354	)		(9,208.1617	)		(751,777	)		(534.8900	)		(422,678	)		(292.7421	)		-			-			(12,395,809	)
Transfers between Series					-			-			21,503			14.5657			-			-			(21,503	)		(15.0109	)		-
Net income		333,682			11,664,001			-			937,753			-			274,513			-			419,813			-			13,629,762
Profit share		-			(2,337,488	)		-			(187,464	)		-			(55,149	)		-			(83,963	)		-			(2,664,064	)

PARTNERS’ CAPITAL — December 31, 2019		3,122,595			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		-			2,408,900			1,937.3600			150,000			120.8101			150,000			106.9465			11,957,000			9,137.4424			14,665,900
Capital withdrawals					(36,313,448	)		(34,489.1253	)		(1,751,324	)		(1,406.6845	)		(363,693	)		(285.3659	)		(371,859	)		(306.1483	)		(38,800,324	)
Net loss		(319,369	)		(24,522,858	)		-			(1,310,973	)		-			(602,925	)		-			(1,286,031	)		-			(28,042,156	)
Profit share		-			-			-						-			-			-			-			-			-

PARTNERS’ CAPITAL — December 31, 2020	$	2,803,226		$	108,544,835			99,597.6414		$	7,431,183			5,720.6069		$	4,015,189			3,029.4662		$	16,218,344			12,963.4335		$	139,012,777

NET ASSET VALUE PER UNIT — December 31, 2019				$	1,263.51					$	1,476.27					$	1,506.23					$	1,432.49

NET ASSET VALUE PER UNIT — December 31, 2020				$	1,089.83					$	1,299.02					$	1,325.38					$	1,251.08

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

F-7

MILLBURN MULTI-MARKETS FUND L.P.

STATEMENT OF FINANCIAL HIGHLIGHTS

YEAR ENDED DECEMBER 31, 2020

The following information presents per unit operating performance data for each series for the year ended December 31, 2020.

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

NET ASSET VALUE PER UNIT — Beginning of year	$	1,263.51		$	1,476.27		$	1,506.23		$	1,432.49

LOSS ALLOCATED FROM THE MASTER FUND:
Net investment loss ⁽¹⁾		(42.52	)		(25.17	)		(26.03	)		(34.83	)
Total trading and investing losses ⁽¹⁾		(131.16	)		(152.08	)		(154.82	)		(146.58	)

Net loss before profit share allocation from the Master Fund		(173.68	)		(177.25	)		(180.85	)		(181.41	)

Less profit share allocation from the Master Fund ^{(1) (4)}		-			-			-			-

Net loss after profit share allocation from the Master Fund		(173.68	)		(177.25	)		(180.85	)		(181.41	)

NET ASSET VALUE PER UNIT — End of year	$	1,089.83		$	1,299.02		$	1,325.38		$	1,251.08

TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM THE MASTER FUND		(13.75	)%		(12.01	)%		(12.01	)%		(12.66	)%

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

TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND		(13.75	)%		(12.01	)%		(12.01	)%		(12.66	)%

RATIOS TO AVERAGE NET ASSET VALUE:
Expenses ⁽²⁾		4.89	%		2.89	%		2.89	%		3.64	%
Profit share allocation from Master Fund ⁽⁴⁾		-			-			-			-

Total expenses		4.89	%		2.89	%		2.89	%		3.64	%

Net investment loss ^{(2) (3)}		(3.96	)%		(1.99	)%		(2.02	)%		(2.89	)%

⁽¹⁾

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

⁽²⁾

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

⁽³⁾

Excludes profit share allocation from the Master Fund.

⁽⁴⁾

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

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

F-8

MILLBURN MULTI-MARKETS FUND L.P.

STATEMENT OF FINANCIAL HIGHLIGHTS

YEAR ENDED DECEMBER 31, 2019

The following information presents per unit operating performance data for each series for the year ended December 31, 2019.

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

NET ASSET VALUE PER UNIT — Beginning of year	$	1,191.29		$	1,369.64		$	1,397.43		$	1,338.27

GAIN (LOSS) ALLOCATED FROM THE MASTER FUND:
Net investment loss ⁽¹⁾		(32.83	)		(9.75	)		(10.55	)		(20.62	)
Total trading and investing gains ⁽¹⁾		123.69			143.00			147.07			144.52

Net income before profit share allocation from the Master Fund		90.86			133.25			136.52			123.90

Less profit share allocation from the Master Fund ^{(1) (4)}		18.64			26.62			27.72			29.68

Net income after profit share allocation from the Master Fund		72.22			106.63			108.80			94.22

NET ASSET VALUE PER UNIT — End of year	$	1,263.51		$	1,476.27		$	1,506.23		$	1,432.49

TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM THE MASTER FUND		7.59	%		9.68	%		9.71	%		9.19	%

LESS: PROFIT SHARE ALLOCATION FROM THE MASTER FUND ⁽⁴⁾		1.53			1.89			1.92			2.15

TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND		6.06	%		7.79	%		7.79	%		7.04	%

RATIOS TO AVERAGE NET ASSET VALUE:
Expenses ⁽²⁾		4.91	%		2.90	%		2.92	%		3.67	%
Profit share allocation from Master Fund ⁽⁴⁾		1.53			1.89			1.92			2.15

Total expenses		6.44	%		4.79	%		4.84	%		5.82	%

Net investment loss ^{(2) (3)}		(2.70	)%		(0.69	)%		(0.73	)%		(1.50	)%

⁽¹⁾

⁽²⁾

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

⁽³⁾

Excludes profit share allocation from the Master Fund.

⁽⁴⁾

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

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

F-9

MILLBURN MULTI-MARKETS FUND L.P.

NOTES TO FINANCIAL STATEMENTS

YEARS ENDED DECEMBER 31, 2020 AND 2019

ORGANIZATION

Millburn Multi-Markets Fund L.P. (the “Partnership”) is a limited partnership organized on September 8, 2008, under the Delaware Revised Uniform Limited Partnership Act and commenced operations on August 1, 2009. The Limited Partnership Agreement (the “Agreement”) was amended and restated as of August 27, 2010.

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

The Partnership offers multiple series of Units, which differ in terms of fees charged at the Master Fund level. Initially, the Partnership offered Series A, Series B and Series C Units. On November 1, 2017, the Partnership offered Series D (collectively, the “Series”) and may offer additional series in the future. A Limited Partner may redeem some or all of its Units as of the end of any month on 15 days’ prior written notice.

SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

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

The Partnership is for U.S. GAAP purposes an investment company in accordance with FASB Codification 946 Financial Services – Investment Companies.

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

F-10

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

The Income Taxes topic of the Codification clarifies the accounting for uncertainty in tax positions. This requires that the Partnership recognize in its financial statements the impact of any uncertain tax positions. Based on a review of the Partnership’s open tax years, 2017 to 2020, for the U.S. Federal jurisdiction, the New York and Connecticut State jurisdictions and the New York City jurisdiction, there are no uncertain tax positions through its investment in the Master Fund. The Partnership is treated as a limited partnership for federal and state income tax reporting purposes.

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

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

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

INVESTMENT IN MILLBURN MULTI-MARKETS TRADING L.P.

During the years ended December 31, 2020 and 2019, the Partnership invested substantially all of its assets in Millburn Multi-Markets Trading L.P. At December 31, 2020 and 2019, the Partnership’s investment in the Master Fund represents 25.08% and 30.30%, respectively, of total partners’ capital of the Master Fund.

As the Partnership’s sole investing activity during the years ended December 31, 2020 and 2019 consisted of its investment in the Master Fund, all amounts reflected in the Statements of Operations represent the Partnership’s allocated amount of each item of income and expense from the Master Fund.

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

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

MANAGEMENT FEES, SELLING COMMISSIONS, PLATFORM FEES AND PROFIT SHARE

Each Series of Units are allocated management fees at a fixed rate of 0.167% per month of net asset value (2% per annum) of a limited partner’s interest and a 20% profit share. Such management fees and profit share are allocated to the limited partners of the Partnership but charged at the Master Fund level. For the years ended December 31, 2020 and 2019, the Partnership incurred Partnership-level management fees of $3,148,410 and $3,415,443, respectively. These amounts are included in the Statements of Operations under “Management fees.” The management fee and profit share are described in more detail in the Master Fund’s financial statements included in Section II of this annual report.

F-11

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

The amended terms of the Series issued by the Partnership are: 1) Series A Units which, in addition to the management fees and profit share allocable to the General Partner, are subject to selling commissions payable to Selling Agents equal to 1/12 of 2% (2% per annum) based on the month-end Net Asset Value of such Series investment; 2) Series B Units and Series C Units, each have the same terms, are subject to management fees and profit share allocable to the General Partner and are not subject to any fees payable to Selling Agents; and 3) Series D Units which, in addition to the management fees and profit share allocable to the General Partner, are subject to selling commissions payable to Selling Agents equal to 1/12 of 0.75% (0.75% per annum) based on the month-end Net Asset Value of such Series investment. For the years ended December 31, 2020 and 2019, there were no Platform Fees. Selling Commissions were as follows:

	Selling Commissions
	2020		2019

Series A Units	$	2,604,190	$	3,054,665
Series D Units		103,759		29,305
	$	2,707,949	$	3,083,970

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

OPERATING EXPENSES

Operating expenses of the Partnership include, but are not limited to, legal fees, accounting fees and filing fees. Total operating expenses of the Partnership (including its pro-rata share of Master Fund expenses) are not expected to exceed 1/2 of 1% per annum of the Partnership’s average month-end net asset value. For the years ended December 31, 2020 and 2019, the Partnership incurred Partnership-level administrative and operating expenses of $386,250 and $378,968, respectively. These amounts are included in the Statements of Operations under “Operating expenses.”

DERIVATIVE INSTRUMENTS

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

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

F-12

INDEMNIFICATIONS

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

ADMINISTRATOR AGREEMENT

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

FINANCIAL HIGHLIGHTS

The computation of such ratios based on the amount of expenses and profit share allocation assessed to an individual partner’s capital account may vary from these ratios based on the timing of capital transactions. An individual partner’s returns may vary from these returns based on the timing of capital transactions.

10.

SUBSEQUENT EVENTS

The General Partner has performed its evaluation of subsequent events through March 18, 2021, the date the financial statements were issued. Based on such evaluation, no events were discovered that required adjustment to or disclosure in the financial statements.

******

F-13

SECTION II

F-14

Millburn Multi-Markets

Trading L.P.

(A Delaware Limited Partnership)

Financial Statements for the Years Ended December 31,
2020 and 2019, and Independent Auditors’ Report

F-15

MILLBURN MULTI-MARKETS TRADING L.P.

TABLE OF CONTENTS

	Page(s)

AFFIRMATION OF MILLBURN RIDGEFIELD CORPORATION	F-17

INDEPENDENT AUDITORS’ REPORT	F-18

FINANCIAL STATEMENTS AS OF DECEMBER 31, 2020 AND 2019 AND FOR THE YEARS ENDED DECEMBER 31, 2020 AND 2019:

Statements of Financial Condition	F-19

Condensed Schedules of Investments	F-20–F-23

Statements of Operations	F-24

Statements of Changes in Partners’ Capital	F-25

Statements of Financial Highlights	F-26–F-27

Notes to Financial Statements	F-28–F-46

F-16

AFFIRMATION OF MILLBURN RIDGEFIELD CORPORATION

In compliance with the Commodity Futures Trading Commission’s regulations, I hereby affirm that to the best of my knowledge and belief, the information contained in the Statements of Financial Condition of Millburn Multi-Markets Trading L.P., including the Condensed Schedules of Investments, as of December 31, 2020 and 2019, and the related Statements of Operations, Changes in Partners’ Capital and Financial Highlights for each of the two years in the period ended December 31, 2020, are complete and accurate.

Gregg Buckbinder, President

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

F-17

Deloitte & Touche LLP

30 Rockefeller Plaza

New York, NY 10112-0015

USA

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

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

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

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statements of financial condition of Millburn Multi-Markets Trading L.P. (the “Partnership”), including the condensed schedules of investments, as of December 31, 2020 and 2019, the related statements of operations, changes in partners’ capital and the financial highlights for each of the two years in the period ended December 31, 2020, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Partnership as of December 31, 2020 and 2019, and the results of its operations, the changes in its partners’ capital, and the financial highlights for each of the two years in the period ended December 31, 2020, in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

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

Critical Audit Matters

/s/ Deloitte & Touche LLP

March 18, 2021

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

F-18

MILLBURN MULTI-MARKETS TRADING L.P.

STATEMENTS OF FINANCIAL CONDITION

AS OF DECEMBER 31, 2020 AND 2019

	2020		2019
ASSETS

EQUITY IN TRADING ACCOUNTS:
Investments in U.S. Treasury notes — at fair value (amortized cost $91,546,413 and $99,692,940)	$	91,539,195	$	99,835,520
Net unrealized appreciation on open futures and forward currency contracts		20,183,485		5,430,488
Due from brokers, net		22,876,161		20,430,870
Cash denominated in foreign currencies (cost $21,945,775 and $31,152,549)		22,644,281		31,566,671

Total equity in trading accounts		157,243,122		157,263,549

INVESTMENTS IN U.S. TREASURY NOTES — at fair value (amortized cost $408,518,267 and $440,349,793)		408,476,105		440,688,034

CASH AND CASH EQUIVALENTS		42,498,650		53,997,893

ACCRUED INTEREST RECEIVABLE		3,523,202		2,333,434

DUE FROM MILLBURN MULTI-MARKETS LTD.		100		100

TOTAL	$	611,741,179	$	654,283,010

LIABILITIES AND PARTNERS’ CAPITAL

LIABILITIES:
Net unrealized depreciation on open futures and forward currency contracts	$	125,252	$	5,818,429
Subscriptions received in advance		-		1,565,000
Capital withdrawal payable to Limited Partners		53,597,364		736,814
Capital withdrawal payable to General Partner		622,309		9,224,590
Management fee payable		648,347		798,199
Selling commissions payable		196,027		283,920
Accrued expenses		286,761		254,637
Due to brokers, net		1,909,153		4,479,776
Commissions and other trading fees on open futures contracts		108,048		119,320

Total liabilities		57,493,261		23,280,685

PARTNERS’ CAPITAL		554,247,918		631,002,325

TOTAL	$	611,741,179	$	654,283,010

See notes to financial statements

F-19

MILLBURN MULTI-MARKETS TRADING L.P.

CONDENSED SCHEDULE OF INVESTMENTS

AS OF DECEMBER 31, 2020

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

FUTURES CONTRACTS
Long futures contracts:
Energies		0.15	%	$	819,755
Grains		0.60			3,317,996
Interest rates:
2 Year U.S. Treasury Note (400 contracts, settlement date March 2021)		0.00			12,742
5 Year U.S. Treasury Note (2,390 contracts, settlement date March 2021)		0.04			227,326
10 Year U.S. Treasury Note (1,971 contracts, settlement date March 2021)		0.04			201,234
30 Year U.S. Treasury Bond (556 contracts, settlement date March 2021)		0.02			85,906
Other interest rates		0.28			1,560,583

Total interest rates		0.38			2,087,791

Metals		1.13			6,253,013
Softs		0.06			345,995
Stock indices		0.82			4,567,677

Total long futures contracts		3.14			17,392,227

Short futures contracts:
Energies		0.11			591,490
Grains		(0.06	)		(347,625	)
Interest rates		0.00			(25,918	)
Livestock		0.00			(12,760	)
Metals		(0.22	)		(1,137,354	)
Softs		(0.02	)		(115,670	)
Stock indices		0.14			773,085

Total short futures contracts		(0.05	)		(274,752	)

TOTAL INVESTMENTS IN FUTURES CONTRACTS — Net		3.09			17,117,475

FORWARD CURRENCY CONTRACTS
Total long forward currency contracts		2.02			11,186,702
Total short forward currency contracts		(1.49	)		(8,245,944	)

TOTAL INVESTMENTS IN FORWARD CURRENCY CONTRACTS — Net		0.53			2,940,758

TOTAL		3.62	%	$	20,058,233

(Continued)

F-20

MILLBURN MULTI-MARKETS TRADING L.P.

CONDENSED SCHEDULE OF INVESTMENTS

AS OF DECEMBER 31, 2020

U.S. TREASURY NOTES

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

$	189,080,000	U.S. Treasury notes, 2.250%, 02/15/2021		34.21	%	$	189,560,086
	152,900,000	U.S. Treasury notes, 2.625%, 05/15/2021		27.84			154,306,561
	153,640,000	U.S. Treasury notes, 2.750%, 08/15/2021		28.17			156,148,653
		Total investments in U.S. Treasury notes (amortized cost $500,064,680)		90.22	%	$	500,015,300

See notes to financial statements.

(Concluded)

F-21

MILLBURN MULTI-MARKETS TRADING L.P.

CONDENSED SCHEDULE OF INVESTMENTS

AS OF DECEMBER 31, 2019

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

F-22

MILLBURN MULTI-MARKETS TRADING L.P.

CONDENSED SCHEDULE OF INVESTMENTS
AS OF 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.

(Concluded)

F-23

MILLBURN MULTI-MARKETS TRADING L.P.

STATEMENTS OF OPERATIONS
YEARS ENDED DECEMBER 31, 2020 AND 2019

	2020			2019

INVESTMENT INCOME — Interest income, net	$	6,011,434		$	12,584,791

EXPENSES:
Brokerage commissions		3,422,934			3,054,092
Management fees		8,923,504			8,522,450
Selling commissions		2,731,894			3,095,156
Operating expenses		1,272,162			1,135,541
Custody fees and other expenses		120,360			98,119

Total expenses		16,470,854			15,905,358

NET INVESTMENT LOSS		(10,459,420	)		(3,320,567	)

REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		(114,346,895	)		72,332,240
Foreign exchange transactions		838,679			(557,191	)
Net change in unrealized:
Futures and forward currency contracts		20,446,174			(15,056,938	)
Foreign exchange translation		284,384			443,419
Net gains (losses) from U.S. Treasury notes:
Realized		943,072			100,553
Net change in unrealized		(530,201	)		598,001

Total net realized and unrealized gains (losses)		(92,364,787	)		57,860,084

NET INCOME (LOSS)		(102,824,207	)		54,539,517

LESS PROFIT SHARE TO GENERAL PARTNER		622,309			9,214,564

NET INCOME (LOSS) AFTER PROFIT SHARE TO GENERAL PARTNER	$	(103,446,516	)	$	45,324,953

See notes to financial statements

F-24

MILLBURN MULTI-MARKETS TRADING L.P.

STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL

YEARS ENDED DECEMBER 31, 2020 AND 2019

				New Profit
	Limited			Memo			General
	Partners			Account			Partner			Total

PARTNERS’ CAPITAL —January 1, 2019	$	473,885,200		$	-		$	939,174		$	474,824,374

Contributions		199,073,445			-			-			199,073,445
Transfers		4,000			-			(4,000	)		-
Withdrawals		(88,210,421	)		-			(9,224,590	)		(97,435,011	)
Net income		54,415,274			10,026			114,217			54,539,517
General Partner’s allocation —profit share		(9,214,564	)		9,214,564			-			-
Transfer of New Profit Memo Account to General Partner		-			(9,224,590	)		9,224,590			-

PARTNERS’ CAPITAL —December 31, 2019		629,952,934			-			1,049,391			631,002,325

Contributions		290,299,100			-			-			290,299,100
Withdrawals		(263,606,991	)		-			(622,309	)		(264,229,300	)
Net loss		(102,719,131	)					(105,076	)		(102,824,207	)
General Partner’s allocation —profit share		(622,309	)		622,309			-			-
Transfer of New Profit Memo Account to General Partner		-			(622,309	)		622,309			-

PARTNERS’ CAPITAL —December 31, 2020	$	553,303,603		$	-		$	944,315		$	554,247,918

See notes to financial statements

F-25

MILLBURN MULTI-MARKETS TRADING L.P.

STATEMENTS OF FINANCIAL HIGHLIGHTS

YEARS ENDED DECEMBER 31, 2020 AND 2019

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).

	2020			2019

Total return before General Partner profit share allocation		(11.80	)%		9.92	%
Less: General Partner profit share allocation		-			1.94

Total return after General Partner profit share allocation		(11.80	)%		7.98	%


Ratios to average net asset value:
Expenses ^{(1) (2)}		2.64	%		2.68	%
General Partner profit share allocation ⁽³⁾		-			1.94

Total expenses ⁽¹⁾		2.64	%		4.62	%

Net investment loss ^{(1) (2)}		(1.76	)%		(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 proportionate share of expenses of the U.S. Feeder and Cayman Feeder (as defined in Footnote 1).

⁽²⁾

Excludes General Partner profit share allocation.

⁽³⁾

In instances of 0.00, value is less than 0.01 when rounded to two decimal places.

See notes to financial statements

F-26

MILLBURN MULTI-MARKETS TRADING L.P.

STATEMENTS OF FINANCIAL HIGHLIGHTS
YEARS ENDED DECEMBER 31, 2020 AND 2019

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

	2020			2019

Total return before General Partner profit share allocation		(10.95	)%		9.81	%
Less: General Partner profit share allocation		0.09			1.62

Total return after General Partner profit share allocation		(11.04	)%		8.19	%

Ratios to average net asset value:
Expenses ^{(1) (2)}		2.47	%		2.79	%
General Partner profit share allocation		0.09			1.62

Total expenses ⁽¹⁾		2.56	%		4.41	%

Net investment loss ^{(1) (2)}		(1.56	)%		(0.58	)%

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

⁽¹⁾

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

⁽²⁾

Excludes General Partner profit share allocation.

See notes to financial statements

F-27

MILLBURN MULTI-MARKETS TRADING L.P.

NOTES TO FINANCIAL STATEMENTS
YEARS ENDED DECEMBER 31, 2020 AND 2019

ORGANIZATION

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

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

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

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

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

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

F-28

SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

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

The Partnership is for U.S. GAAP purposes an investment company in accordance with FASB Codification 946 Financial Services – Investment Companies.

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

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

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

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

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

F-29

Management Fees — The Agreement provides that the Partnership shall charge the limited partners’ capital accounts and pay the General Partner management fees at a fixed rate of 0.167% per month of net asset value (2% per annum) of limited partnership interests. The General Partner retains the right to charge less than the annual management fee rate except as specified in the Agreement. Management fees for the years ended December 31, 2020 and 2019 were as follows:

	Management Fees
	2020		2019

US Feeder	$	3,148,410	$	3,415,443
Cayman Feeder		5,609,122		4,977,566
Other ⁽¹⁾		165,972		129,441
Total	$	8,923,504	$	8,522,450

⁽¹⁾

Direct investors in the Partnership

Selling Commissions — The U.S. Feeder has issued Units to its investors that are subject to selling commissions of 2% per annum. These selling commissions are charged at the Partnership level but are allocated only to the applicable U.S. Feeder investors. On March 1, 2012, the Cayman Feeder began offering shares that are subject to selling commissions of 2% per annum. For the years ended December 31, 2020 and 2019, selling commissions were as follows:

	Selling Commissions
	2020		2019

U.S. Feeder	$	2,707,949	$	3,083,970
Cayman Feeder		23,945		11,186

Total	$	2,731,894	$	3,095,156

Operating Expenses — The Partnership bears expenses including, but not limited to, periodic legal, accounting and filing fees up to an amount equal to 1/4 of 1% per annum of average Partners’ Capital of the Partnership (the “Expense Cap”). Amounts subject to the Expense Cap include expenses incurred at the Partnership level and Cayman Feeder level and the Administration Fee due to the General Partner. The General Partner of the Partnership and the Investment Adviser of the Cayman Feeder bear any excess over such amounts. The Partnership, the U.S. Feeder, and the Cayman Feeder will pay any extraordinary expenses.

The U.S. Feeder bears its own expenses including, but not limited to, periodic legal, accounting and filing fees. Total operating expenses related to investors in the U.S. Feeder (including their pro-rata share of Partnership expenses) are not expected to exceed 1/2 of 1% per annum of the U.S. Feeder’s average month-end partners’ capital. For the years ended December 31, 2020 and 2019, such operating expenses did not exceed 1/2 of 1% per annum of the U.S. Feeder’s average month-end partners’ capital.

F-30

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

For the year ended December 31, 2020 and 2019, operating expenses were as follows:

	Operating Expenses
	2020		2019

Partnership	$	732,611	$	648,908
U.S. Feeder		386,250		378,968
Cayman Feeder		153,301		107,665
Total	$	1,272,162	$	1,135,541

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

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, 2017 to 2020, the General Partner has determined that no reserves for uncertain tax positions were required.

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

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

Fair Value of Financial Instruments — The fair value of the Partnership’s assets and liabilities which qualify as financial instruments under the Fair Value Measurements and Disclosures topic of the Codification approximates the carrying amounts presented in the Statements of Financial Condition. The topic defines fair value, establishes a framework for measurement of fair value and expands disclosures about fair value measurements. The three levels of the fair value hierarchy are described below:

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

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

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

F-31

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

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

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

OTC derivatives or forward currency contracts are valued based on pricing models that consider the current market prices plus the time value of money (“forward points”) and contractual prices of the underlying financial instruments. The forward points from the quotation service providers are generally in periods of one month, two months, three months and six months forward while the contractual forward delivery dates for the foreign forward currency contracts traded by the Partnership may be in between these periods. The General Partner’s policy is to calculate the forward points for each contract being valued by determining the number of days from the date the forward currency contract is being valued to its maturity date and then using straight-line interpolation to calculate the valuation of forward points for the applicable forward currency contract. Model inputs can generally be verified and model selection does not involve significant management judgment. Such instruments are typically classified within Level 2 of the fair value hierarchy.

During the years ended December 31, 2020 and 2019, there were no transfers of assets or liabilities between Level 1 and Level 2. The following table represents the Partnership’s investments by hierarchical level as of December 31, 2020 and 2019 in valuing the Partnership’s investments at fair value. At December 31, 2020 and 2019, the Partnership held no assets or liabilities classified in Level 3.

F-32

Financial assets and liabilities at fair value as of December 31, 2020

	Level 1			Level 2		Total

U.S. Treasury notes (1)	$	500,015,300		$	-	$	500,015,300

Short-Term Money Market Fund*		42,248,650			-		42,248,650
Exchange-traded futures contracts
Energies		1,411,245			-		1,411,245
Grains		2,970,371			-		2,970,371
Interest rates		2,061,873			-		2,061,873
Livestock		(12,760	)		-		(12,760	)
Metals		5,115,659			-		5,115,659
Softs		230,325			-		230,325
Stock indices		5,340,762			-		5,340,762

Total exchange-traded futures contracts		17,117,475			-		17,117,475

Over-the-counter forward currency contracts		-			2,940,758		2,940,758

Total futures and forward currency contracts (2)		17,117,475			2,940,758		20,058,233

Total financial assets and liabilities at fair value	$	559,381,425		$	2,940,758	$	562,322,183

Per line item in Statements of Financial Condition
(1)
Investments in U.S. Treasury notes held in equity trading accounts as collateral						$	91,539,195
Investments in U.S. Treasury notes							408,476,105
Total investments in U.S. Treasury notes						$	500,015,300

(2)
Net unrealized appreciation on open futures and forward currency contracts						$	20,183,485
Net unrealized depreciation on open futures and forward currency contracts							(125,252	)
Total net unrealized appreciation on open futures and forward currency contracts						$	20,058,233

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

F-33

Financial assets and liabilities at fair value as of December 31, 2019

	Level 1			Level 2			Total

U.S. Treasury notes (1)	$	540,523,554		$	-		$	540,523,554

Short-Term Money Market Fund*		53,739,414			-			53,739,414
Exchange-traded futures contracts
Energies		1,488,216			-			1,488,216
Grains		(956,377	)		-			(956,377	)
Interest rates		1,988,070			-			1,988,070
Livestock		(560	)		-			(560	)
Metals		1,418,636			-			1,418,636
Softs		(11,671	)		-			(11,671	)
Stock indices		1,504,174			-			1,504,174

Total exchange-traded futures contracts		5,430,488			-			5,430,488

Over-the-counter forward currency contracts		-			(5,818,429	)		(5,818,429	)

Total futures and forward currency contracts (2)		5,430,488			(5,818,429	)		(387,941	)

Total financial assets and liabilities at fair value	$	599,693,456		$	(5,818,429	)	$	593,875,027

Per line item in Statements of Financial Condition
(1)
Investments in U.S. Treasury notes held in equity trading accounts as collateral							$	99,835,520
Investments in U.S. Treasury notes								440,688,034
Total investments in U.S. Treasury notes							$	540,523,554

(2)
Net unrealized appreciation on open futures and forward currency contracts							$	5,430,488
Net unrealized depreciation on open futures and forward currency contracts								(5,818,429	)
Total net unrealized depreciation on open futures and forward currency contracts							$	(387,941	)

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

ADMINISTRATOR AGREEMENT

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

F-34

PROFIT SHARE ALLOCATION

The General Partner’s profit share equal to between 0% and 30% of Trading Profits at the end of each year is charged to the limited partners’ capital accounts. New Trading Profits include realized and unrealized trading profits (losses), interest income, brokerage fees, trading-related expenses and administrative expenses. For limited partners’ withdrawals during the year, the profit share calculation shall be computed as though the withdrawal date was at year-end. Profit share attributable to interests redeemed during a year is tentatively credited to an account maintained for bookkeeping purposes called the New Profit Memo Account. Because limited partners may purchase their partnership interests at different times, they may recognize different amounts of Trading Profits. Each limited partner pays a profit share only on Trading Profits applicable to its partnership interest. Profit share will be determined based on the Trading Profits of each limited partners’ investment in the Partnership as a whole rather than on the Trading Profits of each capital contribution made by a limited partner.

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

Profit share allocation for the years ended December 31, 2020 and 2019 were as follows:

	Profit Share
	2020		2019

US Feeder	$	-	$	2,664,064
Cayman Feeder		505,336		6,447,171
Other ⁽¹⁾		116,973		103,329
Total	$	622,309	$	9,214,564

⁽¹⁾

Direct investors in the Partnership

DUE FROM/TO BROKERS

At December 31, 2020 and 2019, due from and due to brokers balances, if any, in the Statements of Financial Condition include net cash receivable from each broker and net cash payable to each broker, respectively. The due from broker balance also includes cash held as collateral at Bank of America, N.A.

TRADING ACTIVITIES

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

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

F-35

The Partnership enters into contracts with various institutions that contain a variety of indemnifications. The Partnership’s maximum exposure under these arrangements is unknown. However, the Partnership has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.

DERIVATIVE INSTRUMENTS

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

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

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

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

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

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

F-36

Since the mid-1990s, the world has seen a number of outbreaks of new viral illnesses of varying severity, including avian flus, Severe Acute Respiratory Syndrome (SARS), Middle East Respiratory Syndrome (MERS), the H1N1 Flu (Swine Flu), and COVID-19 caused by the novel Coronavirus known as SARS–CoV-2. The responses to these outbreaks have varied as has their impact on human health, local economies and the global economy, and it is impossible at the outset of any such outbreak to estimate accurately what the ultimate impact of any such outbreak will be. Protective measures taken by governments and the private sector, including the General Partner, to mitigate the spread of any such illness, including travel restrictions and outright bans, mandatory business closures, quarantines, and work-from-home arrangements, may lead to, or may be expected to lead to, wide spread economic damage, resulting in severe disruptions in the markets in which the Partnership trades and, potentially, adversely affecting the Partnership’s profit potential; and the spread of any such illness within the offices of the General Partner, the Partnership’s service providers, and/or the exchanges and other components of market infrastructure could severely impair the operational capabilities of the General Partner, the Partnership’s service providers or various markets themselves resulting in harm to the Partnership’s business and its operating results.

Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk is normally reduced to the extent that an exchange or clearing organization acts as counterparty to futures transactions since typically the collective credit of the members of the exchange is pledged to support the financial integrity of the exchange. In the case of OTC transactions, the Partnership must rely solely on the credit of the individual counterparties. The contract amounts of the forward currency and futures contracts do not represent the Partnership’s risk of loss due to counterparty nonperformance. The Partnership’s exposure to credit risk associated with counterparty nonperformance of these forward currency contracts is limited to the unrealized gains inherent in such contracts which are recognized in the Statements of Financial Condition plus the value of margin or collateral held in cash and U.S. Treasury Notes by the counterparty. The amount of such credit risk was $47,021,416 and $55,480,494 at December 31, 2020 and 2019, respectively.

The General Partner has established procedures to actively monitor market risk and minimize credit risk, although there can be no assurance that it will in fact succeed in doing so. The General Partner’s market risk control procedures include diversification of the Partnership’s portfolio and continuously monitoring the portfolio’s open positions, historical volatility and maximum historical loss. The General Partner seeks to minimize credit risk primarily by depositing and maintaining the Partnership’s assets at financial institutions and brokers which the General Partner believes to be creditworthy. The Partnership’s trading activities are primarily with brokers and other financial institutions located in North America, Europe and Asia. All futures transactions of the Partnership are cleared by major securities firms, pursuant to customer agreements, including Deutsche Bank Securities Inc. (a wholly owned subsidiary of Deutsche Bank AG), Goldman Sachs & Co., and BofA Securities, Inc. (formerly Merrill Lynch Pierce, Fenner & Smith Inc), collectively the “Futures Clearing Brokers”. The Partnership ceased clearing trades through SG Americas Securities, LLC. during November 2020. For all forward currency transactions, the Partnership utilizes two prime brokers, Deutsche Bank AG, and Bank of America, N.A.

F-37

The Partnership is subject to sovereign risk such as the risk of restrictions being imposed by foreign governments on the repatriation of cash and the effects of political or economic uncertainties. Net unrealized appreciation (depreciation) on futures and forward currency contracts are denominated in the Partnership’s functional currency (U.S. Dollar). Cash settlement of futures and forward currency contracts is made in the local currency (settlement currency) and then translated to U.S. Dollars. Net unrealized appreciation (depreciation) on futures and forward currency contracts at December 31, 2020 and 2019, by settlement currency type, denominated in U.S. Dollars, is detailed below:

	As of December 31,
	2020						2019
	Total Net						Total Net
	Unrealized						Unrealized
	Appreciation			Percent			Appreciation			Percent
Currency Type	(Depreciation)			of Total			(Depreciation)			of Total

Australian dollar	$	114,388			0.57	%	$	113,405			(29.23	)%
Brazilian real		15,123			0.08			20			(0.01	)
British pound		575,236			2.87			(137,801	)		35.52
Canadian dollar		266,411			1.33			182,285			(46.99	)
Euro		353,192			1.76			1,775,867			(457.77	)
Hong Kong dollar		1,924,362			9.59			162,175			(41.80	)
Japanese yen		(11,111	)		(0.06	)		(885,850	)		228.35
Korean won		-			-			765,900			(197.43	)
Malaysian ringgit		(3,157	)		(0.02	)		(29,911	)		7.71
Norwegian krone		172,312			0.86			(423,000	)		109.04
Polish zloty		35,226			0.18			264,515			(68.18	)
Singapore dollar		14,315			0.07			2,740			(0.71	)
South African rand		(3,522	)		(0.02	)		87,305			(22.50	)
Swedish krona		(228,598	)		(1.14	)		112,125			(28.90	)
Taiwan dollar		23,145			0.12			(4,145	)		1.07
Thai baht		(5,437	)		(0.03	)		(3,188	)		0.82
U.S. dollar		16,816,348			83.84			(2,370,383	)		611.01

Total	$	20,058,233			100.00	%	$	(387,941	)		100.00	%

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

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

The Partnership engages in the speculative trading of futures and forward contracts on agricultural commodities, currencies, energies, interest rates, metals, and stock indices. The following were the primary trading risk exposures of the Partnership at December 31, 2020 and 2019, by market sector:

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

F-38

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

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

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

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

Stock Indices — The Partnership’s equity exposure, through stock index futures, is to equity price risk in the major industrialized countries as well as other countries.

The Derivatives and Hedging topic of the Codification requires entities to recognize in the Statements of Financial Condition all derivative contracts as assets or liabilities. Fair value of futures and forward currency contracts are first netted by the broker as discussed in Note 2. Futures and forward currency contracts in a net asset or liability position are recorded in the Statements of Financial Condition as “Net unrealized appreciation on open futures and forward currency contracts” or “Net unrealized depreciation on open futures and forward currency contracts,” respectively. The Partnership’s policy regarding fair value measurement is discussed in Note 2.

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

The following table presents the fair value of open futures and forward currency contracts, held long or sold short, at December 31, 2020 and 2019. Fair value, below, is presented on a gross basis even though the contracts are subject to master netting agreements and qualify for net presentation in the Statements of Financial Condition.

F-39

Fair Value of Futures and Forward Currency Contracts at December 31, 2020

											Net Unrealized
	Fair Value - Long Positions					Fair Value - Short Positions					Gain (Loss) on
Sector	Gains		Losses			Gains		Losses			Open Positions
Futures contracts:
Energies	$	951,320	$	(131,565	)	$	854,540	$	(263,050	)	$	1,411,245
Grains		3,318,296		(300	)		-		(347,625	)		2,970,371
Interest rates		2,550,872		(463,081	)		-		(25,918	)		2,061,873
Livestock		-		-			1,910		(14,670	)		(12,760	)
Metals		7,202,141		(949,128	)		737,287		(1,874,641	)		5,115,659
Softs		346,947		(952	)		2,090		(117,760	)		230,325
Stock indices		5,173,445		(605,768	)		795,375		(22,290	)		5,340,762
Total futures contracts		19,543,021		(2,150,794	)		2,391,202		(2,665,954	)		17,117,475

Forward currency contracts		14,163,798		(2,977,096	)		3,203,228		(11,449,172	)		2,940,758

Total futures and forward currency contracts	$	33,706,819	$	(5,127,890	)	$	5,594,430	$	(14,115,126	)	$	20,058,233

Fair Value of Futures and Forward Currency Contracts at December 31, 2019

											Net Unrealized
	Fair Value - Long Positions					Fair Value - Short Positions					Gain (Loss) on
Sector	Gains		Losses			Gains		Losses			Open Positions
Futures contracts:
Energies	$	1,656,534	$	(615,478	)	$	454,900	$	(7,740	)	$	1,488,216
Grains		108,438		(11,390	)		27,625		(1,081,050	)		(956,377	)
Interest rates		100,513		(362,761	)		2,831,719		(581,401	)		1,988,070
Livestock		220		(780	)		-		-			(560	)
Metals		3,111,912		(1,261,081	)		1,384,686		(1,816,881	)		1,418,636
Softs		85,545		(7,010	)		51,203		(141,409	)		(11,671	)
Stock indices		1,842,192		(1,507,335	)		1,346,994		(177,677	)		1,504,174
Total futures contracts		6,905,354		(3,765,835	)		6,097,127		(3,806,158	)		5,430,488

Forward currency contracts		16,640,916		(2,649,519	)		2,433,081		(22,242,907	)		(5,818,429	)

Total futures and forward currency contracts	$	23,546,270	$	(6,415,354	)	$	8,530,208	$	(26,049,065	)	$	(387,941	)

F-40

The effect of trading futures and forward currency contracts is presented on the Statements of Operations for the years ended December 31, 2020 and 2019 as “Net realized gains on closed positions: Futures and forward currency contracts” and “Net change in unrealized: Futures and forward currency contracts.” These trading gains and losses are detailed below:

Trading gains (losses) of futures and forward currency contracts for the years ended December 31, 2020 and 2019

Sector	2020			2019

Futures contracts:
Energies	$	19,671,270		$	(18,872,478	)
Grains		6,792,979			5,709,589
Interest rates		(31,940,798	)		38,105,109
Livestock		1,908,210			(130,000	)
Metals		3,326,401			(689,005	)
Softs		(2,098,002	)		(2,319,947	)
Stock indices		(120,979,734	)		50,352,316

Total futures contracts		(123,319,674	)		72,155,584

Forward currency contracts		29,418,953			(14,880,282	)

Total futures and forward currency contracts	$	(93,900,721	)	$	57,275,302

For the years ended December 31, 2020 and 2019, the monthly average number of future contracts bought and sold and the monthly average notional value of forward currency contracts traded are detailed below:

	2020		2019

Average bought		103,440		87,028
Average sold		100,852		88,251
Average notional	$	7,540,000,000	$	9,596,000,000

The Customer Agreement between the Partnership, the Futures Clearing Brokers and the FX Prime Brokers gives the Partnership the legal right to net unrealized gains and losses on open futures and foreign currency contracts. The Partnership netted, for financial reporting purposes, the unrealized gains and losses on open futures and forward currency contracts on the Statements of Financial Condition as the criteria under ASC 210-20, “Balance Sheet,” were met.

F-41

The following tables summarize the valuation of the Partnership’s investments as of December 31, 2020 and 2019.

Offsetting of derivative assets and liabilities at December 31, 2020

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

Futures contracts
Counterparty C	$	7,424,604	$	(845,191	)	$	6,579,413
Counterparty J		2,079,575		(195,917	)		1,883,658
Counterparty L		12,430,044		(3,775,640	)		8,654,404
Total futures contracts		21,934,223		(4,816,748	)		17,117,475

Forward currency contracts
Counterparty G		8,394,326		(5,328,316	)		3,066,010

Total assets	$	30,328,549	$	(10,145,064	)	$	20,183,485

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

Forward currency contracts
Counterparty K	$	9,097,952	$	(8,972,700	)	$	125,252

Total liabilities	$	9,097,952	$	(8,972,700	)	$	125,252

(Continued)

F-42

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

Counterparty C	$	6,579,413	$	-	$	(6,579,413	)	$	-
Counterparty J		1,883,658		-		(1,883,658	)		-
Counterparty L		8,654,404		-		(8,654,404	)		-
Counterparty G		3,066,010		-		-			3,066,010
Total	$	20,183,485	$	-	$	(17,117,475	)	$	3,066,010

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

Counterparty K	$	125,252		-	$	(125,252	)		-
Total	$	125,252	$	-	$	(125,252	)		-

⁽¹⁾

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

⁽²⁾

Collateral disclosed is limited to an amount not to exceed 100% of the net amount of liabilities presented in the Statement of Financial Condition, for each respective counterparty.

⁽³⁾

Net amount represents the amount that is subject to loss in the event of a counterparty failure as of December 31, 2020.

⁽⁴⁾

Net amount represents the amounts owed by the Master Fund to each counterparty as of December 31, 2020.

(Concluded)

F-43

Offsetting of derivative assets and liabilities at December 31, 2019

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

Futures contracts
Counterparty C	$	3,717,018	$	(1,875,962	)	$	1,841,056
Counterparty I		8,233,113		(4,958,504	)		3,274,609
Counterparty J		1,052,350		(737,527	)		314,823

Total assets	$	13,002,481	$	(7,571,993	)	$	5,430,488

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

Forward currency contracts
Counterparty G	$	13,703,550	$	(9,104,039	)	$	4,599,511
Counterparty K		11,188,876		(9,969,958	)		1,218,918

Total liabilities	$	24,892,426	$	(19,073,997	)	$	5,818,429

(Continued)

F-44

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

Counterparty C	$	1,841,056	$	-	$	(1,841,056	)	$	-
Counterparty I		3,274,609		-		(3,274,609	)		-
Counterparty J		314,823		-		(314,823	)		-
Total	$	5,430,488	$	-	$	(5,430,488	)	$	-

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

Counterparty G	$	4,599,511	$	-	$	(4,599,511	)	$	-
Counterparty K		1,218,918		-		(1,218,918	)		-
Total	$	5,818,429	$	-	$	(5,818,429	)	$	-

⁽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, 2019.

⁽⁴⁾

Net amount represents the amounts owed by the Partnership to each counterparty as of December 31, 2019.

(Concluded)

FINANCIAL HIGHLIGHTS

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

Returns are calculated based on 1) a limited partner that is charged a monthly management fee of 1/12 of 2.00% (2.00% per annum) and 20% of Trading Profits and 2) limited partners’ capital taken as a whole. An individual partner’s returns may vary from these returns based on the timing of capital transactions and differences in individual partners’ management fee, selling commission, platform fee and profit share allocation arrangements.

F-45

INVESTORS IN MILLBURN MULTI-MARKETS TRADING L.P.

The U.S. Feeder and Cayman Feeder invest substantially all of their assets in the Partnership. For the years ended December 31, 2020 and 2019, respective ownership percentages of the Partnership are detailed below:

	2020			2019

U.S. Feeder		25.08	%		30.30	%
Cayman Feeder		65.81			60.29

Total		90.89	%		90.59	%

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

The capital withdrawals payable at December 31, 2020 and 2019 were $54,219,673 and $9,961,404, respectively, detailed below.

	2020		2019
Direct investors ⁽¹⁾	$	990,861	$	9,224,590
U.S. Feeder		2,272,143		736,814
Cayman Feeder		50,956,669		-

Total	$	54,219,673	$	9,961,404

⁽¹⁾

Includes profit share to the General Partner of $622,309 and a limited partner redemption of $368,552, totaling $990,861 at December 31, 2020. Includes profit share to the General Partner of $9,224,590 at December 31, 2019.

During February 2020, the Cayman Feeder created a new GBP share class. As the Cayman Feeder determines its net asset value in U.S. dollars and the GBP share class’s functional currency is British Pound Sterling, an investment in the GBP share class involves exchange-rate risk. It’s the Master Fund’s general practice to enter into a one-month forward currency contract at the beginning of each month for the purpose of hedging the GBP share class’ beginning of month exposure to U.S. dollars. Hedging the Cayman Feeder’s GBP share class exposure to U.S. dollars takes place at the Master Fund level. In the event of mid-month investor subscriptions or redemptions, the Master Fund may increase or decrease its hedge by entering into one or more additional forward currency contracts. The Master Fund may or may not adjust the hedge during a month for profits and losses. All gains and losses and all expenses of such currency hedging will be allocated at the Master Fund level to the Class GBP Shares.

10.

SUBSEQUENT EVENTS

F-46

Millburn Multi-Markets Fund L.P. - FORM 10-K - EX-13.1 - EXHIBIT 13.1 - March 30, 2021

Attached files

Millburn Multi-Markets Fund L.P. Reports