Form 10-Q Millburn Multi-Markets For: Mar 31
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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM
For
the Quarterly Period Ended:
Or
For the Transition Period from __________ to __________
Commission
File Number:
(Exact name of registrant as specified in its charter)
| (State or other jurisdiction of | (I.R.S. Employer | |
| incorporation or organization) | Identification No.) |
(Address of principal executive offices) (Zip Code)
(Registrant’s telephone number, including area code)
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.
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).
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 | ☐ |
| ☐ | 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. ☐
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).
Yes
☐
PART I. FINANANCIAL INFORMATION
ITEM 1. FINANCIAL STATEMENTS
Millburn Multi-Markets Fund L.P.
Financial statements
For the three months ended March 31, 2022 and 2021 (unaudited)
| Statements of Financial Condition (a) | 1 | |
| Statements of Operations (b) | 2 | |
| Statements of Changes in Partners’ Capital (b) | 3 | |
| Statements of Financial Highlights (b) | 4 | |
| Notes to Financial Statements | 6 |
| (a) | At March 31, 2022 (unaudited) and December 31, 2021 |
| (b) | For the three months ended March 31, 2022 and 2021 (unaudited) |
i
Millburn Multi-Markets Fund L.P.
Statements of Financial Condition
| March 31, 2022 | December 31, 2021 | |||||||
| (unaudited) | ||||||||
| ASSETS | ||||||||
| Investment in Millburn Multi-Markets | - | - | ||||||
| Trading L.P. (the “Master Fund”) | $ | $ | ||||||
| Due from the Master Fund | ||||||||
| Cash and cash equivalents | ||||||||
| Total assets | $ | $ | ||||||
| LIABILITIES AND PARTNERS’ CAPITAL | ||||||||
| LIABILITIES: | ||||||||
| Capital withdrawals payable to Limited Partners | $ | $ | ||||||
| Capital withdrawal payable to General Partner | ||||||||
| Total liabilities | ||||||||
| PARTNERS’ CAPITAL: | ||||||||
| General Partner | ||||||||
| Limited partners: | ||||||||
| Series
A ( | ||||||||
| Series
B ( | ||||||||
| Series
C ( | ||||||||
| Series
D ( | ||||||||
| Total limited partners | ||||||||
| Total partners’ capital | ||||||||
| TOTAL | $ | $ | ||||||
| NET ASSET VALUE PER UNIT OUTSTANDING: | ||||||||
| Series A | $ | $ | ||||||
| Series B | $ | $ | ||||||
| Series C | $ | $ | ||||||
| Series D | $ | $ | ||||||
See notes to financial statements (Unaudited)
1
Millburn
Multi-Markets Fund L.P.
Statements of Operations (unaudited)
| For
the three months ended | ||||||||
| March 31, 2022 | March 31, 2021 | |||||||
| INVESTMENT INCOME: | ||||||||
| Interest income, net (allocated from the Master Fund) (1) | $ | $ | ||||||
| EXPENSES: | ||||||||
| Management fees (allocated from the Master Fund) (1) | ||||||||
| Brokerage commissions (allocated from the Master Fund) (1) | ||||||||
| Selling commissions and platform fees (allocated from the Master Fund) (1) | ||||||||
| Administrative and operating expenses (allocated from the Master Fund) (1) | ||||||||
| Custody fees and other expenses (allocated from the Master Fund) (1) | ||||||||
| Total expenses | ||||||||
| NET INVESTMENT LOSS | ( | ) | ( | ) | ||||
| REALIZED AND UNREALIZED GAINS (LOSSES) | ||||||||
| ALLOCATED FROM THE MASTER FUND (1) | ||||||||
| Net realized gains (losses) on closed positions: | ||||||||
| Futures and forward currency contracts | ||||||||
| Foreign exchange transaction | ( | ) | ( | ) | ||||
| Net change in unrealized: | ||||||||
| Futures and forward currency contracts | ( | ) | ||||||
| Foreign exchange translation | ( | ) | ||||||
| Net gains (losses) from U.S. Treasury notes: | ||||||||
| Realized | ( | ) | ( | ) | ||||
| Net change in unrealized | ( | ) | ||||||
| Net realized and unrealized gains allocated from the Master Fund | ||||||||
| NET INCOME | ||||||||
| LESS PROFIT SHARE ALLOCATION FROM THE MASTER FUND | ||||||||
| NET INCOME AFTER PROFIT SHARE | $ | $ | ||||||
| NET INCOME PER UNIT OUTSTANDING: | ||||||||
| Series A | $ | $ | ||||||
| Series B | $ | $ | ||||||
| Series C | $ | $ | ||||||
| Series D | $ | $ | ||||||
| (1) |
See notes to financial statements (Unaudited)
2
Millburn
Multi-Markets Fund L.P.
Statements of Changes in Partners’ Capital (unaudited)
For the three months ended March 31, 2022 and 2021
| 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, 2022 | $ | $ | $ | $ | $ | $ | ||||||||||||||||||||||||||||||||||
| Capital contributions | - | - | ||||||||||||||||||||||||||||||||||||||
| Capital withdrawals | ( | ) | ( | ) | ( | ) | ( | ) | ( | ) | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||||||||||||||||
| Net income before profit share | - | - | - | - | ||||||||||||||||||||||||||||||||||||
| Profit share | - | ( | ) | - | ( | ) | - | ( | ) | - | ( | ) | ||||||||||||||||||||||||||||
| PARTNERS’ CAPITAL — March 31, 2022 | $ | $ | $ | $ | $ | $ | ||||||||||||||||||||||||||||||||||
| Net Asset Value per Unit at March 31, 2022 | $ | $ | $ | $ | ||||||||||||||||||||||||||||||||||||
| 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, 2021 | $ | $ | $ | $ | $ | $ | ||||||||||||||||||||||||||||||||||
| Capital contributions | - | - | - | |||||||||||||||||||||||||||||||||||||
| Capital withdrawals | ( | ) | ( | ) | ( | ) | ( | ) | ( | ) | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||||||||||||||||
| Net income before profit share | - | - | - | - | ||||||||||||||||||||||||||||||||||||
| Profit share | - | - | - | - | ||||||||||||||||||||||||||||||||||||
| PARTNERS’ CAPITAL — March 31, 2021 | $ | $ | $ | $ | $ | $ | ||||||||||||||||||||||||||||||||||
| Net Asset Value per Unit at March 31, 2021 | $ | $ | $ | $ | ||||||||||||||||||||||||||||||||||||
See notes to financial statements (Unaudited)
3
Millburn Multi-Markets Fund L.P.
Statement of Financial Highlights (unaudited)
For the three months ended March 31, 2022
The following information presents per unit operating performance data for each series for the three months ended March 31, 2022.
| 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 | $ | $ | $ | $ | ||||||||||||
| INCOME (LOSS) ALLOCATED FROM THE MASTER FUND: | ||||||||||||||||
| Net investment loss (1) | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||
| Total trading and investing gains (1) | ||||||||||||||||
| Net income before profit share allocation from the Master Fund | ||||||||||||||||
| Less: profit share allocation from the Master Fund (1) (6) | ||||||||||||||||
| Net income from operations after profit share allocation from the Master Fund | ||||||||||||||||
| NET ASSET VALUE PER UNIT — End of period | $ | $ | $ | $ | ||||||||||||
| TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2) | % | % | % | % | ||||||||||||
| LESS: PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2) (6) | ||||||||||||||||
| TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2) | % | % | % | % | ||||||||||||
| RATIOS TO AVERAGE NET ASSET VALUE: | ||||||||||||||||
| Expenses (3) (4) (5) | % | % | % | % | ||||||||||||
| Profit share allocation from the Master Fund (2) (6) | ||||||||||||||||
| Total expenses | % | % | % | % | ||||||||||||
| Net investment loss (3) (4) (5) | ( | )% | ( | )% | ( | )% | ( | )% | ||||||||
| (1) |
| (2) |
| (3) |
| (4) |
| (5) |
| (6) |
See notes to financial statements (Unaudited)
4
Millburn Multi-Markets Fund L.P.
Statement of Financial Highlights (UNAUDITED)
For the three months ended March 31, 2021
The following information presents per unit operating performance data for each series for the three months ended March 31, 2021.
| 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 | $ | $ | $ | $ | ||||||||||||
| INCOME (LOSS) ALLOCATED FROM THE MASTER FUND: | ||||||||||||||||
| Net investment loss (1) | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||
| Total trading and investing losses (1) | 47.02 | 56.19 | 57.33 | 54.06 | ||||||||||||
| Net income before profit share allocation from the Master Fund | ||||||||||||||||
| Less: profit share allocation from the Master Fund (1) (6) | ||||||||||||||||
| Net income from operations after profit share allocation from the Master Fund | ||||||||||||||||
| NET ASSET VALUE PER UNIT — End of period | $ | $ | $ | $ | ||||||||||||
| TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2) | % | % | % | % | ||||||||||||
| LESS: PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2) (6) | ||||||||||||||||
| TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2) | % | % | % | % | ||||||||||||
| RATIOS TO AVERAGE NET ASSET VALUE: | ||||||||||||||||
| Expenses (3) (4) (5) | % | % | % | % | ||||||||||||
| Profit share allocation from the Master Fund (2) (6) | ||||||||||||||||
| Total expenses | % | % | % | % | ||||||||||||
| Net investment loss (3) (4) (5) | ( | )% | ( | )% | ( | )% | ( | )% | ||||||||
| (1) |
| (2) |
| (3) |
| (4) |
| (5) |
| (6) |
See notes to financial statements (Unaudited)
5
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. BASIS OF PRESENTATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The accompanying unaudited financial statements, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of Millburn Multi-Markets Fund L.P.’s (the “Partnership”) financial condition at March 31, 2022 (unaudited) and December 31, 2021 and the results of its operations for the three months ended March 31, 2022 and 2021 (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 2021 annual report included in Form 10-K filed with the Securities and Exchange Commission. The December 31, 2021 information has been derived from the audited financial statements as of December 31, 2021.
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, 2018 to 2021, Millburn Ridgefield Corporation (the “General Partner”) has determined that no reserves for uncertain tax positions were required.
Investment Company Status: The Partnership is for U.S. GAAP purposes an investment company in accordance with FASB Codification 946 Financial Services – Investment Companies.
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 2021.
2. INVESTMENT IN MILLBURN MULTI-MARKETS TRADING L.P.
The
Partnership invests substantially all of its assets in Millburn Multi-Markets Trading L.P. (the “Master Fund”). The Partnership’s
ownership percentage of the Master Fund at March 31, 2022 and December 31, 2021 was
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
Series A Limited Partners that redeem Units at or prior to the end of the first eleven months after such Units are sold shall be assessed redemption charges calculated based on their redeemed Units’ net asset value as of the date of redemption. All redemption charges will be paid to the General Partner. At March 31, 2022 and December 31, 2021, there were no redemption charges owed to the General Partner.
6
4. FINANCIAL HIGHLIGHTS
Per Unit operating performance for Series A, Series B, Series C and Series D Units is calculated based on Limited Partners’ Partnership capital for each series taken as a whole utilizing the beginning and ending net asset value per unit and weighted average number of units during the period. Weighted average number of units of each series is detailed below.
| Three
months ended March 31, | ||||||||
| 2022 | 2021 | |||||||
| Series A | ||||||||
| Series B | ||||||||
| Series C | ||||||||
| Series D | ||||||||
5. SUBSEQUENT EVENTS
The General Partner has performed its evaluation of subsequent events through May 16, 2022, the date the Form 10-Q was filed. Based on such evaluation, no events were discovered that required disclosure or adjustment to the financial statement.
7
Millburn Multi-Markets Trading L.P.
Financial statements
For the three months ended March 31, 2022 and 2021 (unaudited)
| (a) | At March 31, 2022 (unaudited) and December 31, 2021 |
| (b) | For the three months ended March 31, 2022 and 2021 (unaudited) |
ii
Millburn Multi-Markets Trading L.P.
Statements of Financial Condition
| March
31, 2022 | December 31, 2021 | |||||||
| (unaudited) | ||||||||
| ASSETS | ||||||||
| EQUITY IN TRADING ACCOUNTS: | ||||||||
| Investments
in U.S. Treasury notes — at fair value (amortized cost $ | $ | $ | ||||||
| Net unrealized appreciation on open futures and forward currency contracts | ||||||||
| Due from brokers, net | ||||||||
| Cash
denominated in foreign currencies (cost $ | ||||||||
| Total equity in trading accounts | ||||||||
| INVESTMENTS
IN U.S. TREASURY NOTES — at fair value (amortized cost $ | ||||||||
| CASH AND CASH EQUIVALENTS | ||||||||
| ACCRUED INTEREST RECEIVABLE | ||||||||
| REDEMPTIONS IN ADVANCE | ||||||||
| DUE FROM MILLBURN MULTI-MARKETS LTD. | ||||||||
| TOTAL | $ | $ | ||||||
| LIABILITIES AND PARTNERS’ CAPITAL | ||||||||
| LIABILITIES: | ||||||||
| Net unrealized depreciation on open futures and forward currency contracts | $ | |||||||
| Cash overdrafts denominated in foreign currencies (cost $ | ||||||||
| Subscriptions received in advance | ||||||||
| Capital withdrawal payable to Limited Partners | ||||||||
| Capital withdrawal payable to General Partner | ||||||||
| Management fee payable | ||||||||
| Selling commissions payable | ||||||||
| Accrued expenses | ||||||||
| Commissions and other trading fees on open futures contracts | ||||||||
| Accrued profit share | ||||||||
| Total liabilities | ||||||||
| PARTNERS’ CAPITAL | ||||||||
| TOTAL | $ | $ | ||||||
See notes to financial statements (Unaudited)
8
Millburn Multi-Markets Trading L.P.
Condensed Schedule of Investments (unaudited)
March 31, 2022
| FUTURES AND FORWARD CURRENCY CONTRACTS | Net
Unrealized Appreciation (Depreciation) as a % of Partners’ Capital | Net
Unrealized Appreciation (Depreciation) | ||||||
| FUTURES CONTRACTS | ||||||||
| Long futures contracts: | ||||||||
| Currencies | % | $ | ||||||
| Energies | ( | ) | ( | ) | ||||
| Grains | ( | ) | ( | ) | ||||
| Interest rates | ( | ) | ( | ) | ||||
| Livestock | ( | ) | ( | ) | ||||
| Metals | ||||||||
| Softs | ||||||||
| Stock indices | ( | ) | ( | ) | ||||
| Total long futures contracts | ||||||||
| Short futures contracts: | ||||||||
| Currencies | ||||||||
| Energies | ||||||||
| Grains | ||||||||
| Interest rates | ||||||||
| Livestock | ||||||||
| Metals | ( | ) | ( | ) | ||||
| Softs | ( | ) | ( | ) | ||||
| Stock indices | ||||||||
| Total short futures contracts | ||||||||
| TOTAL INVESTMENTS IN FUTURES CONTRACTS — Net | ||||||||
| FORWARD CURRENCY CONTRACTS | ||||||||
| Total long forward currency contracts | ||||||||
| Total short forward currency contracts | ||||||||
| TOTAL INVESTMENTS IN FORWARD CURRENCY CONTRACTS — Net | ||||||||
| TOTAL | % | $ | ||||||
(Continued)
9
Millburn Multi-Markets Trading L.P.
Condensed Schedule of Investments (unaudited)
March 31, 2022
U.S. TREASURY NOTES
| Face Amount | Description | Fair
Value as a % of Partners’ Capital | Fair Value | |||||||||
| $ | U.S.
Treasury notes, | % | $ | |||||||||
| U.S.
Treasury notes, | ||||||||||||
| U.S.
Treasury notes, | ||||||||||||
| U.S.
Treasury notes, | ||||||||||||
| Total
investments in U.S. Treasury notes (amortized cost $ | % | $ | ||||||||||
| See notes to financial statements (Unaudited) | (Concluded) |
10
Millburn Multi-Markets
Trading L.P.
Condensed Schedule of Investments
December 31, 2021
| FUTURES AND FORWARD CURRENCY CONTRACTS | Net
Unrealized Appreciation (Depreciation) as a % of Partners’ Capital | Net Unrealized Appreciation (Depreciation) | ||||||
| FUTURES CONTRACTS | ||||||||
| Long futures contracts: | ||||||||
| Currencies | % | $ | ||||||
| Energies | ||||||||
| Grains | ||||||||
| Interest rates | ( | ) | ( | ) | ||||
| Livestock | ( | ) | ( | ) | ||||
| Metals | ||||||||
| Softs | ( | ) | ( | ) | ||||
| Stock indices | ||||||||
| Total long futures contracts | ||||||||
| Short futures contracts: | ||||||||
| Currencies | ||||||||
| Energies | ||||||||
| Grains | ||||||||
| Interest rates | ||||||||
| Livestock | ||||||||
| Metals | ( | ) | ( | ) | ||||
| Softs | ||||||||
| Stock indices | ||||||||
| Total short futures contracts | ( | ) | ( | ) | ||||
| TOTAL INVESTMENTS IN FUTURES CONTRACTS — Net | ||||||||
| FORWARD CURRENCY CONTRACTS | ||||||||
| Total long forward currency contracts | ||||||||
| Total short forward currency contracts | ( | ) | ( | ) | ||||
| TOTAL INVESTMENTS IN FORWARD CURRENCY CONTRACTS — Net | ( | ) | ( | ) | ||||
| TOTAL | ( | )% | $ | ( | ) | |||
(Continued)
11
Millburn
Multi-Markets Trading L.P.
Condensed Schedule of Investments
December 31, 2021
U.S. TREASURY NOTES
| Face Amount | Description | Fair
Value as a % of Partners’ Capital | Fair Value | |||||||||
| $ | U.S.
Treasury notes, | % | $ | |||||||||
| U.S.
Treasury notes, | ||||||||||||
| U.S.
Treasury notes, | ||||||||||||
| Total
investments in U.S. Treasury notes (amortized cost $ | % | $ | ||||||||||
| See notes to financial statements (Unaudited) | (Concluded) |
12
Millburn Multi-Markets
Trading L.P.
Statements of Operations (unaudited)
| For
the three months ended | ||||||||
| March 31 | March 31 | |||||||
| 2022 | 2021 | |||||||
| INVESTMENT INCOME — Interest income, net | $ | $ | ||||||
| EXPENSES: | ||||||||
| Brokerage fees | ||||||||
| Management fees | ||||||||
| Selling commissions and platform fees | ||||||||
| Administrative and operating expenses | ||||||||
| Custody fees and other expenses | ||||||||
| Total expenses | ||||||||
| NET INVESTMENT LOSS | ( | ) | ( | ) | ||||
| REALIZED AND UNREALIZED GAINS (LOSSES): | ||||||||
| Net realized gains (losses) on closed positions: | ||||||||
| Futures and forward currency contracts | ||||||||
| Foreign exchange transaction | ( | ) | ( | ) | ||||
| Net change in unrealized: | ||||||||
| Futures and forward currency contracts | ( | ) | ||||||
| Foreign exchange translation | ( | ) | ||||||
| Net gains (losses) from U.S. Treasury notes | ||||||||
| Realized | ( | ) | ( | ) | ||||
| Net change in unrealized | ( | ) | ||||||
| Total net realized and unrealized gains | ||||||||
| NET INCOME | ||||||||
| LESS PROFIT SHARE TO GENERAL PARTNER | ||||||||
| NET INCOME AFTER PROFIT SHARE TO GENERAL PARTNER | $ | $ | ||||||
See notes to financial statements (Unaudited)
13
Millburn Multi-Markets Trading L.P.
Statements of Changes in Partners’ Capital (unaudited)
For the three months ended March 31, 2022
| Limited Partners | New
Profit Memo Account | General Partner | Total | |||||||||||||
| PARTNERS’ CAPITAL - January 1, 2022 | $ | $ | $ | $ | ||||||||||||
| Contributions | ||||||||||||||||
| Withdrawals | ( | ) | ( | ) | ||||||||||||
| Net income before profit share | ||||||||||||||||
| General Partner’s allocation - profit share | ( | ) | ( | ) | ||||||||||||
| PARTNERS’ CAPITAL- March 31, 2022 | $ | $ | $ | $ | ||||||||||||
For the three months ended March 31, 2021
| Limited Partners | New
Profit Memo Account | General Partner | Total | |||||||||||||
| PARTNERS’ CAPITAL - January 1, 2021 | $ | $ | $ | $ | ||||||||||||
| Contributions | ||||||||||||||||
| Withdrawals | ( | ) | ( | ) | ||||||||||||
| Net income (loss) before profit share | ( | ) | ||||||||||||||
| General Partner’s allocation - profit share | ( | ) | ( | ) | ||||||||||||
| PARTNERS’ CAPITAL- March 31, 2021 | $ | $ | $ | $ | ||||||||||||
See notes to financial statements (Unaudited)
14
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% (fee reduced to 1.75% per annum, effective April 1, 2021) and an annual profit share of 20% of Trading Profits (as defined in the Limited Partnership Agreement).
| For
the three months ended | ||||||||
| March 31, | March 31, | |||||||
| 2022 | 2021 | |||||||
| Total return before General Partner profit share allocation (3) | % | % | ||||||
| Less: General Partner profit share allocation (3) | ||||||||
| Total return after General Partner profit share allocation (3) | % | % | ||||||
| Ratios to average net asset value: | ||||||||
| Expenses (1) (4) | % | % | ||||||
| General Partner profit share allocation (3) | ||||||||
| Total expenses (1) | % | % | ||||||
| Net investment loss (1) (2) (4) | ( | )% | ( | )% | ||||
Total returns and the ratios to average net asset value are calculated for a Limited Partner.
| (1) |
| (2) |
| (3) |
| (4) |
See notes to financial statements (Unaudited)
15
Millburn Multi-Markets Trading L.P.
Statements of Financial Highlights (unaudited)
The following information presents financial highlights for Limited Partners as a whole.
| For
the three months ended | ||||||||
| March 31, | March 31, | |||||||
| 2022 | 2021 | |||||||
| Total return before General Partner profit share allocation (3) | % | % | ||||||
| Less: General Partner profit share allocation (3) | ||||||||
| Total return after General Partner profit share allocation (3) | % | % | ||||||
| Ratios to average net asset value: | ||||||||
| Expenses (1) (4) | % | % | ||||||
| General Partner profit share allocation (3) | ||||||||
| Total expenses (1) | % | % | ||||||
| Net investment loss (1) (2) (4) | ( | )% | ( | )% | ||||
Total returns and the ratios to average net asset value are calculated for a Limited Partners. 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) |
| (2) |
| (3) |
| (4) |
See notes to financial statements (Unaudited)
16
NOTES TO FINANCIAL STATEMENTS
1. BASIS OF PRESENTATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The Master Fund engages in the speculative trading of futures and forward currency contracts and also acts as a master fund for the Partnership, and Millburn Multi-Markets Ltd., a Cayman Islands exempted company (the “Cayman Feeder”).
The accompanying unaudited financial statements, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of the Master Fund’s financial condition at March 31, 2022 (unaudited) and December 31, 2021 (audited) and the results of its operations for the three months ended March 31, 2022 and 2021 (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, 2021 included in the Partnership’s annual report on Form 10-K filed with the Securities and Exchange Commission. The December 31, 2021 information has been derived from the audited financial statements as of December 31, 2021.
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, 2018 to 2021, the General Partner has determined that no reserves for uncertain tax positions were required.
Investment Company Status: The Partnership is for U.S. GAAP purposes an investment company in accordance with FASB Codification 946 Financial Services – Investment Companies.
2. INVESTORS IN MILLBURN MULTI-MARKETS TRADING L.P.
The Partnership and the Cayman Feeder invest substantially all of their assets in the Master Fund. At March 31, 2022 and December 31, 2021, the respective ownership percentages of the Master Fund are detailed below. The remaining interests are held by direct investors in the Master Fund.
| March 31, | December 31, | |||||||
| 2022 | 2021 | |||||||
| Partnership | % | % | ||||||
| Cayman Feeder | % | % | ||||||
| Total | % | % | ||||||
The
capital withdrawals payable at March 31, 2022 and December 31, 2021 were $
| March 31, | December 31, | |||||||
| 2022 | 2021 | |||||||
| Direct investors (1) | $ | $ | ||||||
| Partnership | ||||||||
| Cayman Feeder | ||||||||
| Total | $ | $ | ||||||
| (1) |
The Master Fund bears expenses, including, but not limited to, periodic legal, accounting and filing fees, up to an amount equal to 1/4 of 1% per annum of average net assets of the Master Fund (the “Expense Cap”). Amounts subject to the Expense Cap include expenses incurred at the Master Fund and Cayman Feeder level. The General Partner bears any excess over such amounts.
17
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 months ended March 31, 2022 and 2021, there were no transfers of assets or liabilities between Level 1 and Level 2. The following tables represent the Master Fund’s investments by hierarchical level as of March 31, 2022 and December 31, 2021 in valuing the Master Fund’s investments at fair value. At March 31, 2022 and December 31, 2021, the Master Fund had no assets or liabilities in Level 3.
18
Financial assets and liabilities at fair value as of March 31, 2022
| Level 1 | Level 2 | Total | ||||||||||
| U.S. Treasury notes (1) | $ | $ | $ | |||||||||
| Short-Term Money Market Fund* | ||||||||||||
| Exchange-traded futures contracts | ||||||||||||
| Currencies | ||||||||||||
| Energies | ( | ) | ( | ) | ||||||||
| Grains | ( | ) | ( | ) | ||||||||
| Interest rates | ||||||||||||
| Livestock | ( | ) | ( | ) | ||||||||
| Metals | ||||||||||||
| Softs | ||||||||||||
| Stock indices | ||||||||||||
| Total exchange-traded futures contracts | ||||||||||||
| Over-the-counter forward currency contracts | ||||||||||||
| Total futures and forward currency contracts (2) | ||||||||||||
| Total financial assets and liabilities at fair value | $ | $ | $ | |||||||||
Per line item in Statements of Financial Condition
| (1) | ||||||||||||
| Investments in U.S. Treasury notes held in equity trading accounts as collateral | $ | |||||||||||
| Investments in U.S. Treasury notes held in custody | ||||||||||||
| Total investments in U.S. Treasury notes | $ | |||||||||||
| (2) | ||||||||||||
| Net unrealized appreciation on open futures and forward currency contracts | $ | |||||||||||
| Net unrealized depreciation on open futures and forward currency contracts | ( | ) | ||||||||||
| Total net unrealized appreciation on open futures and forward currency contracts | $ |
| * | The short-term money market fund is included in Cash and Cash Equivalents on the Statements of Financial Condition. |
19
Financial assets and liabilities at fair value as of December 31, 2021
| Level 1 | Level 2 | Total | ||||||||||
| U.S. Treasury notes (1) | $ | $ | $ | |||||||||
| Short-Term Money Market Fund* | ||||||||||||
| Exchange-traded futures contracts | ||||||||||||
| Currencies | ||||||||||||
| Energies | ||||||||||||
| Grains | ||||||||||||
| Interest rates | ( | ) | ( | ) | ||||||||
| Livestock | ( | ) | ( | ) | ||||||||
| Metals | ||||||||||||
| Softs | ( | ) | ( | ) | ||||||||
| Stock indices | ||||||||||||
| Total exchange-traded futures contracts | ||||||||||||
| Over-the-counter forward currency contracts | ( | ) | ( | ) | ||||||||
| Total futures and forward currency contracts (2) | ( | ) | ( | ) | ||||||||
| Total financial assets and liabilities at fair value | $ | $ | ( | ) | $ | |||||||
Per line item in Statements of Financial Condition
| (1) | ||||||||||||
| Investments in U.S. Treasury notes held in equity trading accounts as collateral | $ | |||||||||||
| Investments in U.S. Treasury notes | ||||||||||||
| Total investments in U.S. Treasury notes | $ | |||||||||||
| (2) | ||||||||||||
| Net unrealized appreciation on open futures and forward currency contracts | $ | |||||||||||
| Net unrealized depreciation on open futures and forward currency contracts | ( | ) | ||||||||||
| Total net unrealized depreciation on open futures and forward currency contracts | $ | ( | ) |
| * | The short-term money market fund is included in Cash and Cash Equivalents on the Statements of Financial Condition. |
20
4. DERIVATIVE INSTRUMENTS
The Derivatives and Hedging topic of the Codification requires qualitative disclosure about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments and disclosures about credit-risk-related contingent features in derivative agreements.
The Master Fund’s market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Master Fund’s open positions and the liquidity of the markets in which it trades.
The Master Fund engages in the speculative trading of futures and forward contracts on interest rates, grains, softs, currencies, metals, energies, livestock and stock indices. The following were the primary trading risk exposures of the Master Fund at March 31, 2022 by market sector:
Agricultural (grains, livestock and softs) – The Master Fund’s primary exposure is to agricultural price movements, which are often directly affected by severe or unexpected weather conditions, as well as supply and demand factors.
Currencies – Exchange rate risk is a principal market exposure of the Master Fund. The Master Fund’s currency exposure is to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. The fluctuations are influenced by interest rate changes, as well as political and general economic conditions. The Master Fund trades in a large number of currencies, including cross-rates—e.g., positions between two currencies other than the U.S. dollar.
Energies – The Master Fund’s primary energy market exposure is to gas and oil price movements often resulting from political developments in the oil producing countries and economic conditions worldwide. Energy prices are volatile and substantial profits and losses have been and are expected to continue to be experienced in this sector.
Interest rates – Interest rate movements directly affect the price of the sovereign bond futures positions held by the Master Fund and indirectly the value of its stock index and currency positions. Interest rate movements in one country, as well as relative interest rate movements between countries may materially impact the Master Fund’s profitability. The Master Fund’s primary interest rate exposure is to interest rate fluctuations in countries or regions including Australia, Canada, Japan, Switzerland, the United Kingdom, the U.S. and the Eurozone. However, the Master Fund also may take positions in futures contracts on the government debt of other nations. The General Partner anticipates that interest rates in these industrialized countries or areas, both long-term and short-term, will remain the primary interest rate market exposure of the Master Fund for the foreseeable future.
Metals – The Master Fund’s metals market exposure is to fluctuations in the price of aluminum, copper, gold, lead, nickel, platinum, silver, tin and zinc.
Stock indices – The Master Fund’s equity exposure, through stock index futures, is to equity price risk in the major industrialized countries, as well as other countries.
The Derivatives and Hedging (Topic 815) of the Codification requires entities to recognize in the Statements of Financial Condition all derivative contracts as assets or liabilities. Fair values of futures and forward currency contracts in a net asset position by counterparty are recorded in the Statements of Financial Condition as “Net unrealized appreciation on open futures and forward currency contracts.” Fair values of futures and forward currency contracts in a net liability position by counterparty are recorded in the Statements of Financial Condition as “Net unrealized depreciation on open futures and forward currency contracts.” The Master Fund’s policy regarding fair value measurement is discussed in the Fair Value note, contained herein.
Since the derivatives held or sold by the Master Fund are for speculative trading purposes, the derivative instruments are not designated as hedging instruments under the provisions of the Derivatives and Hedging guidance. Accordingly, all realized gains and losses, as well as any change in net unrealized gains or losses on open positions from the preceding period, are recognized as part of the Master Fund’s trading gains and losses in the Statements of Operations.
21
The following tables present the fair value of open futures and forward currency contracts, held long or sold short, at March 31, 2022 and December 31, 2021. Fair value is presented on a gross basis even though the contracts are subject to master netting agreements and qualify for net presentation in the Master Fund’s Statements of Financial Condition.
Fair value of futures and forward currency contracts at March 31, 2022
| Fair Value - Long Positions | Fair Value - Short Positions | Net Unrealized Gain (Loss) on Open | ||||||||||||||||||
| Sector | Gains | Losses | Gains | Losses | Positions | |||||||||||||||
| Futures contracts: | ||||||||||||||||||||
| Currencies | $ | $ | ( | ) | $ | $ | ( | ) | $ | |||||||||||
| Energies | ( | ) | ( | ) | ( | ) | ||||||||||||||
| Grains | ( | ) | ( | ) | ( | ) | ||||||||||||||
| Interest rates | ( | ) | ( | ) | ||||||||||||||||
| Livestock | ( | ) | ( | ) | ( | ) | ||||||||||||||
| Metals | ( | ) | ( | ) | ||||||||||||||||
| Softs | ( | ) | ( | ) | ||||||||||||||||
| Stock indices | ( | ) | ( | ) | ||||||||||||||||
| Total futures contracts | ( | ) | ( | ) | ||||||||||||||||
| Forward currency contracts | ( | ) | ( | ) | ||||||||||||||||
| Total futures and forward currency contracts | $ | $ | ( | ) | $ | $ | ( | ) | $ | |||||||||||
Fair value of futures and forward currency contracts at December 31, 2021
| Fair Value - Long Positions | Fair Value - Short Positions | Net Unrealized Gain (Loss) on Open | ||||||||||||||||||
| Sector | Gains | Losses | Gains | Losses | Positions | |||||||||||||||
| Futures contracts: | ||||||||||||||||||||
| Currencies | $ | $ | $ | $ | ( | ) | $ | |||||||||||||
| Energies | ( | ) | ( | ) | ||||||||||||||||
| Grains | ( | ) | ( | ) | ||||||||||||||||
| Interest rates | ( | ) | ( | ) | ( | ) | ||||||||||||||
| Livestock | ( | ) | ( | ) | ( | ) | ||||||||||||||
| Metals | ( | ) | ( | ) | ||||||||||||||||
| Softs | ( | ) | ( | ) | ( | ) | ||||||||||||||
| Stock indices | ( | ) | ( | ) | ||||||||||||||||
| Total futures contracts | ( | ) | ( | ) | ||||||||||||||||
| Forward currency contracts | ( | ) | ( | ) | ( | ) | ||||||||||||||
| Total futures and forward currency contracts | $ | $ | ( | ) | $ | $ | ( | ) | $ | ( | ) | |||||||||
22
The effect of trading futures and forward currency contracts is represented on the Master Fund’s Statements of Operations for the three months ended March 31, 2022 and 2021 as “Net realized gains (losses) on closed positions: Futures and forward currency contracts” and “Net change in unrealized: Futures and forward currency contracts.” These trading gains and losses are detailed below.
Trading gains (losses) of futures and forward currency contracts for the three months ended March 31, 2022 and 2021
| March 31, | March 31, | |||||||
| Sector | 2022 | 2021 | ||||||
| Futures contracts: | ||||||||
| Currencies | $ | $ | ||||||
| Energies | ||||||||
| Grains | ( | ) | ||||||
| Interest rates | ( | ) | ||||||
| Livestock | ( | ) | ( | ) | ||||
| Metals | ( | ) | ( | ) | ||||
| Softs | ||||||||
| Stock indices | ||||||||
| Total futures contracts | ||||||||
| Forward currency contracts | ( | ) | ||||||
| Total futures and forward currency contracts | $ | $ | ||||||
For the three months ended March 31, 2022 and 2021, the monthly average number of futures contracts bought and sold and the monthly average notional value of forward currency contracts traded are detailed below:
| 2022 | 2021 | ||||||||
| Average bought | |||||||||
| Average sold | |||||||||
| Average notional | $ | $ | |||||||
The customer agreements between the Master Fund, the futures clearing brokers including, Deutsche Bank Securities Inc. (a wholly owned subsidiary of Deutsche Bank AG), BofA Securities, Inc. (formerly Merrill Lynch Pierce, Fenner & Smith Inc.) and Goldman Sachs & Co. LLC, as well as the FX prime brokers, Deutsche Bank AG (“DB”) and Bank of America, N.A. (“BA”), give the Master Fund the legal right to net unrealized gains and losses on open futures and forward currency contracts. The Master Fund netted, for financial reporting purposes, the unrealized gains and losses on open futures and forward currency contracts on the Statements of Financial Condition as the criteria under FASB Accounting Standards Codification Topic 210, “Balance Sheet,” were met.
23
The following tables present gross amounts of assets or liabilities which qualify for offset as presented in the Statements of Financial Condition as of March 31, 2022 and December 31, 2021.
Offsetting of derivative assets and liabilities at March 31, 2022
| Gross amounts of | Gross amounts offset in the Statement of | Net
amounts of assets presented in the Statement of | ||||||||||
| Assets | recognized assets | Financial Condition | Financial Condition | |||||||||
| Futures contracts | ||||||||||||
| Counterparty C | $ | $ | ( | ) | $ | |||||||
| Forward currency contracts | ||||||||||||
| Counterparty G | $ | $ | ( | ) | $ | |||||||
| Counterparty K | ( | ) | ||||||||||
| Total forward currency contracts | ( | ) | ||||||||||
| Total assets | $ | $ | ( | ) | $ | |||||||
| Gross amounts of | Gross amounts offset in the Statement of | Net
amounts of liabilities presented in the Statement of | ||||||||||
| Liabilities | recognized liabilities | Financial Condition | Financial Condition | |||||||||
| Futures contracts | ||||||||||||
| Counterparty J | $ | $ | ( | ) | $ | |||||||
| Counterparty L | ( | ) | ||||||||||
| Total futures contracts | ( | ) | ||||||||||
| Total liabilities | $ | $ | ( | ) | $ | |||||||
24
| Net amounts of Assets presented in the Statement of |
Amounts Not Offset in the Statement of Financial Condition |
|||||||||||||||
| Financial | Financial | Collateral | Net | |||||||||||||
| Counterparty | Condition | Instruments | Received(1)(2) | Amount(3) | ||||||||||||
| Counterparty C | $ | $ | $ | ( | ) | $ | ||||||||||
| Counterparty G | ||||||||||||||||
| Counterparty K | ||||||||||||||||
| Total | $ | $ | $ | ( | ) | $ | ||||||||||
| Net
amounts of Liabilities presented in the Statement of |
Amounts Not Offset in the Statement of Financial Condition |
|||||||||||||||
| Financial | Financial | Collateral | Net | |||||||||||||
| Counterparty | Condition | Instruments | Pledged(1)(2) | Amount(4) | ||||||||||||
| Counterparty J | $ | $ | $ | $ | ||||||||||||
| Counterparty L | ||||||||||||||||
| Total | $ | $ | - | $ | $ | |||||||||||
| (1) | |
| (2) | |
| (3) | |
| (4) |
25
Offsetting of derivative assets and liabilities at December 31, 2021
| Gross | Gross amounts offset in the | Net
amounts of assets presented in the | ||||||||||
| amounts of | Statement of | Statement of | ||||||||||
| Assets | recognized assets | Financial Condition | Financial Condition | |||||||||
| Futures contracts | ||||||||||||
| Counterparty J | $ | $ | ( | ) | $ | |||||||
| Counterparty L | ( | ) | ||||||||||
| Total futures contracts | ( | ) | ||||||||||
| Total assets | $ | $ | ( | ) | $ | |||||||
| Gross | Gross amounts offset in the | Net
amounts of liabilities presented in the | ||||||||||
| amounts of | Statement of | Statement of | ||||||||||
| Liabilities | recognized liabilities | Financial Condition | Financial Condition | |||||||||
| Futures contracts | ||||||||||||
| Counterparty C | $ | $ | ( | ) | $ | |||||||
| Forward currency contracts | ||||||||||||
| Counterparty G | $ | $ | ( | ) | $ | |||||||
| Counterparty K | ( | ) | ||||||||||
| Total forward contracts | ( | ) | ||||||||||
| Total liabilities | $ | $ | ( | ) | $ | |||||||
26
| Net
amounts of Assets presented in the Statement of |
Amounts
Not Offset in the Statement of Financial Condition |
|||||||||||||||
| Financial | Financial | Collateral | Net | |||||||||||||
| Counterparty | Condition | Instruments | Received(1)(2) | Amount(3) | ||||||||||||
| Counterparty J | $ | $ | $ | ( | ) | $ | ||||||||||
| Counterparty L | ( | ) | ||||||||||||||
| Total | $ | $ | $ | ( | ) | $ | ||||||||||
| Net amounts of Liabilities presented in the Statement of |
Amounts
Not Offset in the Statement of Financial Condition |
|||||||||||||||
| Financial | Financial | Collateral | Net | |||||||||||||
| Counterparty | Condition | Instruments | Pledged(1)(2) | Amount(4) | ||||||||||||
| Counterparty C | $ | $ | $ | $ | ||||||||||||
| Counterparty G | ||||||||||||||||
| Counterparty K | ||||||||||||||||
| Total | $ | $ | $ | $ | ||||||||||||
| (1) | |
| (2) | |
| (3) | |
| (4) |
27
CONCENTRATION OF CREDIT RISK
Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk is normally reduced to the extent that an exchange or clearing organization acts as a counterparty to futures transactions since typically the collective credit of the members of the exchange is pledged to support the financial integrity of the exchange.
The General Partner seeks to minimize credit risk primarily by depositing and maintaining the Master Fund’s assets at financial institutions and trading counterparties which the General Partner believes to be creditworthy. In addition, for OTC forward currency contracts, the Master Fund enters into master netting agreements with its counterparties. Collateral posted at the various counterparties for trading of futures and forward currency contracts includes cash and U.S. Treasury notes.
The
Master Fund’s forward currency trading activities are cleared by DB, and BA. The Master Fund’s concentration of credit risk
associated with DB, or BA nonperformance includes unrealized gains inherent in such contracts, which are recognized in the Statements
of Financial Condition plus the value of margin or collateral held by DB, and BA. The amount of such credit risk was $
The following table indicates the total profit share earned and accrued during the three months ended March 31, 2022 and 2021. Profit share earned (from Limited Partners’ redemptions) is credited to the New Profit Memo account as defined in the Master Fund’s Agreement of Limited Partnership.
| Three months ended: | Three months ended: | ||||||||
| March 31, 2022 | March 31, 2021 | ||||||||
| Profit share earned | $ | $ | |||||||
| Profit share accrued | |||||||||
| Total profit share | $ | $ | |||||||
6. FINANCIAL HIGHLIGHTS
Ratios
to average capital are calculated based on 1) a Limited Partner that is charged a monthly management fee of 1/12 of
7. SUBSEQUENT EVENTS
The General Partner has performed its evaluation of subsequent events from April 1, 2022 to May 16, 2022, the date the Form 10-Q was filed. Based on such evaluation, no events were discovered that required disclosure or adjustment to the financial statement.
28
ITEM 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
Reference is made to Item 1, “Financial Statements.” The information contained therein is essential to, and should be read in connection with, the following analysis.
OPERATIONAL OVERVIEW
The Partnership invests substantially all of its assets in the Master Fund. Due to the nature of the Master Fund’s business, its results of operations depend on the General Partner’s ability to recognize and capitalize on trends and other profit opportunities in different sectors of the global capital and commodity markets. The General Partner’s investment and trading methods are confidential so that substantially the only information that can be furnished regarding the Master Fund’s results of operations is contained in the performance record of its trading. Unlike operating businesses, general economic or seasonal conditions do not directly affect the profit potential of the Master Fund, and its past performance is not necessarily indicative of future results. The General Partner believes, however, that there are certain market conditions, for example, markets with strong price trends, in which the Master Fund has a better likelihood of being profitable than in others.
LIQUIDITY AND CAPITAL RESOURCES
Units may be offered for sale as of the beginning, and may be redeemed as of the end, of each month.
The amount of capital raised for the Partnership should not have a significant impact on its operations, as the Partnership and the Master Fund have no significant capital expenditure or working capital requirements other than for monies to pay trading losses, brokerage commissions and charges. Within broad ranges of capitalization, the General Partner’s trading positions should increase or decrease in approximate proportion to the size of the Master Fund (in which the Partnership participates).
The Partnership raises additional capital only through the sale of Units and capital is increased through trading profits (if any). Neither the Partnership nor the Master Fund engages in borrowing.
The Master Fund trades futures, forward, and spot contracts on interest rate instruments, agricultural commodities, currencies, metals, energy and stock indices, and forward contracts on currencies, and may trade options on the foregoing and swaps thereon. Risk arises from changes in the value of these contracts (market risk) and the potential inability of counterparties or brokers to perform under the terms of their contracts (credit risk). Market risk is generally measured by the face amount of the futures positions acquired and the volatility of the markets traded. The credit risk from counterparty non-performance associated with these instruments is the net unrealized gain, if any, on these positions plus the value of the margin or collateral held by the counterparty. The risks associated with exchange-traded contracts are generally perceived to be less than those associated with OTC transactions because exchanges typically (but not universally) provide clearinghouse arrangements in which the collective credit (in some cases limited in amount, in some cases not) of the members of the exchange is pledged to support the financial integrity of the exchange. In most OTC transactions, on the other hand, traders must rely (typically but not universally) solely on the credit of their respective individual counterparties. Margins which may be subject to loss in the event of a default are generally required in exchange trading and counterparties may require margin or collateral in the OTC markets.
The General Partner has procedures in place to control market risk, although there can be no assurance that they will, in fact, succeed in doing so. These procedures primarily focus on (1) real time monitoring of open positions; (2) diversifying positions among various markets; (3) limiting the assets committed as margin or collateral, generally within a range of 5% to 35% of an account’s net assets, though the amount may at any time be substantially higher; and (4) prohibiting pyramiding (that is, using unrealized profits in a particular market as margin for additional positions in the same market). The General Partner attempts to control credit risk by causing the Partnership and the Master Fund to deal exclusively with large, well-capitalized financial institutions as brokers and counterparties.
The financial instruments traded by the Master Fund contain varying degrees of off-balance sheet risk whereby changes in the market values of the futures, forward and spot contracts or the Master Fund’s satisfaction of the obligations may exceed the amount recognized in the Statements of Financial Condition of the Master Fund.
29
Due to the nature of the Master Fund’s business, substantially all its assets are represented by cash, cash equivalents and U.S. government obligations, while the Master Fund maintains its market exposure through open futures, forward and spot contract positions.
The Master Fund’s futures contracts are settled by offset and are cleared by the exchange clearinghouse function. Open futures positions are marked-to-market each trading day and the Master Fund’s trading accounts are debited or credited accordingly. Options on futures contracts are settled either by offset or by exercise. If an option on a future is exercised, the Master Fund is assigned a position in the underlying future which is then settled by offset. The Master Fund’s spot and forward currency transactions conducted in the interbank market are settled by netting offsetting positions or payment obligations and by cash payments.
The value of the Master Fund’s cash and financial instruments is not materially affected by inflation. Changes in interest rates, which are often associated with inflation, could cause the value of certain of the Master Fund’s debt securities to decline, but only to a limited extent. More importantly, changes in interest rates could cause periods of strong up or down market price trends, during which the Master Fund’s profit potential generally increases. However, inflation can also give rise to markets which have numerous short price trends followed by rapid reversals, markets in which the Master Fund is likely to suffer losses.
The Master Fund’s assets are generally held as cash or cash equivalents, including U.S. government securities or securities issued by federal agencies, other Commodity Futures Trading Commission-authorized investments or bank held or certain other money market instruments (e.g., bankers acceptances and Eurodollar or other time deposits), which are used to margin the Master Fund’s futures, forward, and spot currency positions and withdrawn, as necessary, to pay redemptions and expenses. Other than potential market-imposed limitations on liquidity, due to limited open interest in certain futures markets or to daily price fluctuation limits, for example, to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Master Fund’s futures, forward and spot trading, the Master Fund’s assets are highly liquid and are expected to remain so. During its operations for the three months ended March 31, 2021, the Partnership, through its investment in the Master Fund, experienced no meaningful periods of illiquidity in any of the numerous markets traded by the General Partner.
CRITICAL ACCOUNTING ESTIMATES
The Master Fund records its transactions in futures, forward and spot contracts, including related income and expenses, on a trade date basis. Open futures contracts traded on an exchange are valued at fair value, which is based on the closing settlement price on the exchange where the futures contract is traded by the Master Fund on the day with respect to which net assets are being determined. Open spot currency contracts are valued based on the current Spot Price. Open forward currency contracts are recorded at fair value, based on pricing models that consider the Spot Price and Forward Point. Spot Prices and Forward Points for open forward currency contracts are generally based on the median of the average midpoint of bid/ask quotations at the last minute ending at 3:00 P.M. New York time provided by widely used quotation service providers on the day with respect to which net assets are being determined. 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 Partnership 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 to Maturity, then identifying the Forward Month Contracts. Linear interpolation is then performed between the dates of these two Forward Month Contracts to calculate the interpolated Forward Point. The General Partner will also compare the calculated price to the forward currency prices provided by dealers to determine whether the calculated price is fair and reasonable.
The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions, such as accrual of expenses, that affect the amounts and disclosures reported in the financial statements. Based on the nature of the business and operations of the Partnership, the General Partner believes that the estimates utilized in preparing the Partnership’s financial statements are appropriate and reasonable, however actual results could differ from these estimates. The estimates used do not provide a range of possible results that would require the exercise of subjective judgment. The General Partner further believes that, based on the nature of the business and operations of the Partnership, no other reasonable assumptions relating to the application of the Partnership’s critical accounting estimates other than those currently used would likely result in materially different amounts from those reported.
30
RESULTS OF OPERATIONS
Due to the nature of the Partnership’s trading, through its investment in the Master Fund, the results of operations for the interim periods presented should not be considered indicative of the results that may be expected for the entire year.
Period ended March 31, 2022
| Partners’ | ||||
| Capital of the | ||||
| Month Ended: | Partnership | |||
| March 31, 2022 | $ | 129,950,379 | ||
| December 31, 2021 | 128,076,157 | |||
| Three Months | ||||
| Change in Partners’ Capital | $ | 1,874,222 | ||
| Percent Change | 1.46 | % | ||
THREE MONTHS ENDED MARCH 31, 2022
The increase in the Partnership’s net assets of $1,874,222 was attributable to net income after profit share through its investment in the Master Fund of $6,804,213 and contributions of $280,000 which were partially offset by withdrawals of $5,209,991.
Management fees, through the Partnership’s investment in the Master Fund, are calculated on the net asset value on the last day of each month and are affected by trading performance, contributions and withdrawals. Management fees, through the Partnership’s investment in the Master Fund, for the three months ended March 31, 2022 decreased $137,548 relative to the corresponding period in 2021. The decrease was due to a decrease in the management fee rate, effective 4/1/2021 and a decrease in the average net asset value of the Partnership during the three months ended March 31, 2022, relative to the corresponding period in 2021.
The Partnership, through its investment in the Master Fund, bears all trade-related commission and clearing charges due to third-party brokers. Brokerage commissions, through the Partnership’s investment in the Master Fund, for the three months ended March 31, 2022 decreased $36,069 relative to the corresponding period in 2021. The decrease was due to a decrease in the trading volume during the three months ended March 31, 2022, relative to the corresponding period in 2021.
Selling commissions and platform fees are calculated on the net asset value on the last day of each month and are affected by trading performance, contributions and withdrawals. Selling commissions and platform fees for the three months ended March 31, 2022 decreased $31,166 relative to the corresponding period in 2021. The decrease was due predominantly to a decrease in the average net asset value of the Partnership during the three months ended March 31, 2022, relative to the corresponding period in 2021.
The Partnership, through its investment in the Master Fund, pays administrative expenses for legal, audit and accounting services. Administrative expenses, net of amounts borne by the General Partner, through the Partnership’s investment in the Master Fund, for the three months ended March 31, 2022 decreased $3,183 relative to the corresponding period in 2021. The decrease was due to a decrease in the average net asset value of the Partnership during the three months ended March 31, 2022, relative to the corresponding period in 2021.
Interest income, through the Partnership’s investment in the Master Fund, is derived from cash and U.S. Treasury instruments held at the Master Fund’s brokers and custodian. Interest income, through the Partnership’s investment in the Master Fund, for the three months ended March 31, 2022 increased $44,732 relative to the corresponding period in 2021. The increase was due predominantly to an increase in short-term U.S. Treasury yields during the three months ended March 31, 2022, relative to the corresponding period in 2021.
31
For the three months ended March 31, 2022, the Partnership, through its investment in the Master Fund, achieved net realized and unrealized gains of $8,224,824 from trading operations (including foreign exchange transactions and translations). Management fees of $544,168, brokerage commissions of $174,890, selling commissions and platform fees of $540,752, administrative and operating expenses of $126,817, custody fees and other expenses of $5,690, and profit share of $90,894 were paid or accrued. Interest income of $62,600 partially offset the Master Fund expenses allocated to the Partnership resulting in net income after profit share of $6,804,213.
An analysis of the Master Fund’s trading gain (loss) by sector is as follows:
| % Gain | ||||
| Sector | (Loss) | |||
| Currencies | 0.89 | % | ||
| Energies | 6.82 | % | ||
| Grains | (0.41 | )% | ||
| Interest rates | 0.16 | % | ||
| Livestock | (0.01 | )% | ||
| Metals | (1.97 | )% | ||
| Softs | 0.13 | % | ||
| Stock indices | 1.00 | % | ||
| Trading gain* | 6.61 | % | ||
| * | Percentage of the Partnership Capital |
MANAGEMENT DISCUSSION – 2022
Three months ended March 31, 2022
The Partnership was profitable in the quarter as gains from trading energy futures, stock index futures and currency forwards outpaced losses from trading metal futures. Elsewhere, trading of interest rate futures and softs futures were marginally positive while trading of agricultural commodity futures was marginally negative.
During the quarter, market prices experienced significant volatility as market participants endeavored to understand the impacts of recent events—including the increasingly hawkish Federal Reserve (the “Fed”) and global central bank monetary policies; the Russia-Ukraine war and accompanying sanctions; and the Chinese growth slowdown, which was exacerbated by recent COVID-19 lockdowns—on individual markets and on growth/inflation outlooks for various regions of the world.
Disciplined supply management from both Organization of the Petroleum Exporting Countries (“OPEC+”) and non-OPEC producers together with oil consumption recovering toward pre-pandemic levels underpinned a rise in Brent crude oil prices from $77/barrel at the end of 2021 to around $90/barrel on January 31 amid concerns that the market may face an oil-market squeeze triggered by too little investment and quickly rebounding demand. Then, as the Russia-Ukraine war erupted, energy prices, represented by Brent crude oil, surge to nearly $130/barrel on March 8 amid fears that Russian energy supplies would be negatively impacted. Russia is among the top three global producers of crude oil and natural gas. Over the last three weeks of the quarter, energy prices were extremely volatile with Brent crude plunging to $98/barrel on March 16 and jumping to $122/barrel on March 24 before closing the month at $108/barrel. The price drop near month-end followed news that the U.S. would release a million barrels per day from the Strategic Petroleum Reserve for up to six months. Overall, long positions in Brent crude, WTI crude, RBOB gasoline, London gas oil, and heating oil were profitable. In addition, periodic short positions in Brent crude, RBOB gasoline and London gas oil posted small gains. On the other hand, a short position in U.S. natural gas was unprofitable and shifted to a long position late in the quarter.
32
The Fed and other central banks’ embrace of more hawkish policy impacted global financial markets, contributing to increased volatility and significant losses for global equities, despite a modest recovery at quarter-end. China’s growth slowdown and property market distress also weighed on equities, as did Europe’s struggles with high energy prices, supply bottlenecks and personnel shortages. The potential stagflationary impacts of the Russia-Ukraine war also contributed to uncertainty in global equity markets. Overall, short positions in Chinese, Hong Kong, Korean, Singaporean, German, Italian, South African, and the EEM and EAFE index futures were profitable. Trading of the S&P Mid-Cap index, and long positions in Australian and British index futures late in the quarter were also profitable. On the other hand, long positions in most U.S. equity index futures and trading of Dutch, French, and the Euro Stoxx index futures posted partially offsetting losses. Short vix and Brazilian index futures positions, a long Canadian equity index future position, and trading of the Taiwanese stock index future were also unprofitable.
The U.S. dollar was volatile for most of the quarter, but it spiked about 3% higher during the first week of the Russian invasion of Ukraine and as market participants anticipated a hawkish tilt for the mid-March Federal Open Market Committee meeting. A long U.S. dollar trade versus the Japanese yen was particularly profitable as the Bank of Japan continued to pursue an expansive monetary policy while the Fed was becoming decidedly more restrictive. A long Brazilian real/short dollar trade benefitted from high level of Brazilian interest rates and from rising commodity prices. Given that the war in Ukraine is likely to have a much greater negative impact on Europe than the U.S., a long U.S. dollar position against the Euro was profitable. A short U.S. dollar trade versus the Russian ruble was closed out at a loss during February when the Partnership halted trading of the Russian currency. Elsewhere, trading the U.S. dollar against the currencies of Switzerland, Sweden, the U.K. and India; long U.S. dollar trades against the Australian and Canadian currencies; and a short U.S. dollar/ long New Zealand dollar position posted partially offsetting losses.
Led by a seemingly increasingly hawkish Fed, global interest rates increased throughout the quarter as Chairman Powell indicated that the March start to official rate increases and end to Quantitative Easing would be followed shortly thereafter by Quantitate Tightening (“QT”) as the Fed seeks to rein in inflation without derailing strong GDP and employment growth. Following this news, the 10-year U.S. government bond yield, which ended 2021 near 1.50%, soared to nearly 2.50% on March 28 before settling back to about 2.30% at month-end. Concerns that higher rates and QT would slow growth nor safe haven demand deriving from the Russian-Ukraine kept rates down. On balance, short positions in shorter-term U.S., European, Canadian and Italian interest rate futures were profitable. In addition, short positions in the U.S. ultra-bond future and the 10-year Italian bond future were profitable. On the other hand, trading of Australian, Canadian, French, Japanese and U.S. note futures posted largely offsetting losses.
Geopolitical developments, the Chinese growth slowdown, monetary policy uncertainties and dollar volatility impacted metal markets, which experienced an overall sector loss. Trading of silver, gold, platinum and copper futures produced losses. On the other hand, a long nickel position was profitable as rising demand—especially for EV batteries, and low inventories buoyed prices. Trading of zinc was also slightly profitable.
Finally, turning to soft and agricultural commodities, losses from a short wheat position and from trading soybean oil, sugar and coffee outdistanced the profits from long soybean, soybean meal and cotton positions.
33
Period ended March 31, 2021
| Total | ||||
| Partners’ | ||||
| Capital of the | ||||
| Month Ended: | Partnership | |||
| March 31, 2021 | $ | 137,264,652 | ||
| December 31, 2020 | 139,012,777 | |||
| Three Months | ||||
| Change in Partners’ Capital | $ | (1,748,125 | ) | |
| Percent Change | (1.26 | )% | ||
THREE MONTHS ENDED MARCH 31, 2021
The decrease in the Partnership’s net assets of $1,748,125 was attributable to withdrawals of $6,353,744 which were partially offset by net income after profit share through its investment in the Master Fund of $4,284,619 and contributions of $321,000.
Management fees, through the Partnership’s investment in the Master Fund, are calculated on the net asset value on the last day of each month and are affected by trading performance, contributions and withdrawals. Management fees, through the Partnership’s investment in the Master Fund, for the three months ended March 31, 2021 decreased $199,556 relative to the corresponding period in 2020. The decrease was due to a decrease in the average net asset value of the Partnership during the three months ended March 31, 2021, relative to the corresponding period in 2020.
The Partnership, through its investment in the Master Fund, bears all trade-related commission and clearing charges due to third-party brokers. Brokerage commissions, through the Partnership’s investment in the Master Fund, for the three months ended March 31, 2021 decreased $28,350 relative to the corresponding period in 2020. The decrease was due to a decrease in the trading volume during the three months ended March 31, 2021, relative to the corresponding period in 2020.
Selling commissions and platform fees are calculated on the net asset value on the last day of each month and are affected by trading performance, contributions and withdrawals. Selling commissions and platform fees for the three months ended March 31, 2021 decreased $205,586 relative to the corresponding period in 2020. The decrease was due predominantly to a decrease in the average net asset value of the Partnership during the three months ended March 31, 2021, relative to the corresponding period in 2020.
The Partnership, through its investment in the Master Fund, pays administrative expenses for legal, audit and accounting services. Administrative expenses, net of amounts borne by the General Partner, through the Partnership’s investment in the Master Fund, for the three months ended March 31, 2021 decreased $18,671 relative to the corresponding period in 2020. The decrease was due to a decrease in the average net asset value of the Partnership during the three months ended March 31, 2021, relative to the corresponding period in 2020.
Interest income, through the Partnership’s investment in the Master Fund, is derived from cash and U.S. Treasury instruments held at the Master Fund’s brokers and custodian. Interest income, through the Partnership’s investment in the Master Fund, for the three months ended March 31, 2021 decreased $727,590 relative to the corresponding period in 2020. The decrease was due predominantly to a decrease in short-term U.S. Treasury yields during the three months ended March 31, 2021, relative to the corresponding period in 2020.
34
For the three months ended March 31, 2021, the Partnership, through its investment in the Master Fund, achieved net realized and unrealized gains of $5,867,215 from trading operations (including foreign exchange transactions and translations). Management fees of $681,716, brokerage commissions of $210,959, selling commissions and platform fees of $571,918, administrative and operating expenses of $130,000, custody fees and other expenses of $5,871. Interest income of $17,868 partially offset the Master Fund expenses allocated to the Partnership resulting in net income after profit share of $4,284,619.
An analysis of the Master Fund’s trading gain (loss) by sector is as follows:
| % Gain | ||||
| Sector | (Loss) | |||
| Currencies | (1.05 | )% | ||
| Energies | 1.17 | % | ||
| Grains | 0.88 | % | ||
| Interest rates | (2.97 | )% | ||
| Livestock | (0.16 | )% | ||
| Metals | (0.32 | )% | ||
| Softs | 0.00 | % | ||
| Stock indices | 6.98 | % | ||
| Trading gain* | 4.53 | % | ||
| * | Percentage of the Partnership Capital |
MANAGEMENT DISCUSSION – 2021
Three months ended March 31, 2021
The Partnership was profitable in the quarter as gains from trading equity, energy and grain futures outpaced losses from trading interest rate futures, metal futures and currency forwards. Trading of livestock and soft commodity futures was marginally negative.
The global reflation trade gathered momentum throughout the quarter amid fiscal stimulus expansion from the Biden Administration; Federal Reserve (the “Fed”) Chairman Powell reiterating in testimony before Congress that the Fed will maintain low interest rates and continue asset purchases until “substantial further progress has been made” toward its employment and inflation goals; the global vaccine rollout; and the resurgence of global trade. Periodically, however, the growth outlook and investor enthusiasm were tamped down and markets experienced increased volatility while concerns about the slow pace of vaccine distribution in Europe, Asia and emerging markets relative to the U.S. and U.K. lingered; evidence of moderating monetary and fiscal policy support came out of China; and the geopolitical conflict between China and the U.S expanded.
Trading of equity futures was highly profitable. Positive impulses from massive fiscal and monetary policy support globally outweighed the negative impact of higher global interest rates and less synchronous global growth. The Reddit-driven short frenzy in January, Archegos events in March, and the week-long Suez Canal closure in March did not seem to have long-term effects on equity markets. Long positions in U.S., Canadian, European, British, Chinese and EAFE equity index futures were profitable. A short VIX position and trading of the EEM emerging market index future were also profitable. On the other hand, trading of South African and Australian futures registered small offsetting losses.
Energy markets were volatile during the quarter. After exceeding 2-year highs early in March amid strong reflation trade and Organization of the Petroleum Exporting Countries’ production restraint, crude prices dropped sharply as reopening demand expectations receded along with the global growth outlook. For example, Brent crude, climbed from just over $50/barrel at the start of the year to nearly $71/barrel on March 7, but plunged to nearly $60/barrel on March 23. Even though the closure of the Suez Canal provided some support to crude prices, Brent closed the month at less than $63/barrel. Overall, long positions in Brent crude, RBOB gasoline, London gas oil and heating oil were profitable. On the other hand, a short natural gas trade was unprofitable, especially as prices rose in January in response to unusually cold weather across Europe and China and in February in the wake of weather-induced energy market turmoil in Texas. Trading of WTI crude oil was slightly unprofitable as well.
35
Chinese demand for U.S. exports, a weaker than expected U.S. harvest of row crops and dry weather in South America contributed to profits on long corn, soybean and soybean oil trades. Then, on March 31 the USDA reported that farmers are likely to plant lower-than-expected corn and soybean acreage in 2021, and corn and soybean prices traded limit-up on the day, reinforcing results from earlier in the quarter. Trading of soybean meal was marginally unprofitable.
Interest rates were volatile during the quarter, trading across a broad range in January, spiking higher in February, and then dropping back sharply in March before entering volatile range-trading to close out the period. Amid growth, inflation and government borrowing concerns, global note and bond yields pushed sharply higher during the January-February period as evidenced by the German 10-year Bund yield which rose from about -0.60% at the start of January to as high as -0.23% on February 25. Then, as growth optimism faded somewhat in March, the Bund yield fell to -0.39% on March 21 before closing the quarter at -0.32%. Long positions in U.S., Canadian and Australian long bond futures were unprofitable, especially in February. Trading of German, French, Italian and Japanese bond futures were also unprofitable, particularly in January and March. Trading of U.S., British, Australian, German and Italian short-term interest rate futures registered small losses as well. On the other hand, short positions in the U.S. 5-year note future and in the German ultra-long bond future posted partially offsetting gains in February.
Currency markets too were impacted by the fluid growth, inflation and interest rate developments, and trading of currency forwards was mixed and unprofitable. The euro, which traded toward five-year highs during January and February, declined sharply in March and a long euro position against the dollar was unprofitable. Long Swiss franc and Swedish krona positions were also unprofitable. Trading the U.S. dollar against the currencies of Brazil and Singapore posted losses, as did a long U.S. dollar/short Canadian dollar position as commodity currencies outperformed. On the other hand, long dollar positions versus the Japanese yen and Israeli shekel, short dollar trades versus the Norwegian krone and South African rand, and trading the dollar against the British pound sterling produced partially offsetting gains.
The improving economic outlook and COVID-19 prognosis together with higher interest rates and a stronger dollar weighed on precious metal prices and long gold and silver positions posted losses. Meanwhile, long positions in copper and aluminum produced partially offsetting profits, especially in February as prices rose and reflation optimism was high.
OFF-BALANCE SHEET ARRANGEMENTS
Neither the Partnership nor the Master Fund engages in off-balance sheet arrangements with other entities.
CONTRACTUAL OBLIGATIONS
Neither the Partnership nor the Master Fund enters into any contractual obligations or commercial commitments to make future payments of a type that would be typical for an operating company or that would affect its liquidity or capital resources. The Partnership’s sole business, through its investment in the Master Fund, is trading futures, forward currency, spot and swap contracts, both long (contracts to buy) and short (contacts to sell). All such contracts are settled by offset, not delivery. Substantially all such contracts are for settlement within four months of the trade date and substantially all such contracts are held by the Master Fund for less than four months before being offset or rolled over into new contracts with similar maturities. The financial statements of the Master Fund present a condensed schedules of investments setting forth open futures, forward and other contracts at March 31, 2022 and December 31, 2021.
36
ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
Not required.
ITEM 4. CONTROLS AND PROCEDURES
The General Partner, with the participation of the principal executive officers and principal financial officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to the Partnership as of the end of the period covered by this quarterly report, and, based on its evaluation, has concluded that these disclosure controls and procedures are effective. There were no changes in the General Partner’s internal controls over financial reporting during the quarter ended March 31, 2022 that have materially affected, or are reasonably likely to materially affect, the General Partner’s internal controls over financial reporting with respect to the Partnership.
37
PART II. OTHER INFORMATION
ITEM 1. Legal Proceedings
None.
ITEM 1A. Risk Factors
Not required.
ITEM 2. UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS
(a) Pursuant to the Partnership’s Third Amended and Restated Limited Partnership Agreement (the “Partnership Agreement”), the Partnership may sell Units at the beginning of each calendar month. On February 1, 2022, and March 1, 2022, the Partnership sold Units to new and existing limited partners of $40,000, and $240,000. There were no underwriting discounts or commissions in connection with the sales of the Units described above.
Each of the foregoing Interests were offered and sold only to “accredited investors” as defined in Rule 501(a) under the Securities Act of 1933 as amended (the “1933 Act”), in reliance on the exemption from registration provided by Rule 506(b) under the 1933 Act.
(b) Pursuant to the Partnership’s Partnership Agreement, investors may redeem their Units at the end of each calendar month at the then current month-end net asset value. The redemption of Units has no impact on the value of Units that remain outstanding, and Units are not reissued once redeemed.
The following table summarizes the redemptions by Series A, Series B, Series C and Series D limited partners during the three months ended March 31, 2022.
| Series A | Series B | Series C | Series D | ||||||||||||||||||||||||||||||
| Date of | Units | NAV | Units | NAV | Units | NAV | Units | NAV | |||||||||||||||||||||||||
| Withdrawal | Redeemed | per Unit | Redeemed | per Unit | Redeemed | per Unit | Redeemed | per Unit | |||||||||||||||||||||||||
| January 31, 2022 | (211.2611 | ) | $ | 1,113.68 | - | $ | 1,356.50 | (491.0000 | ) | $ | 1,384.02 | - | $ | 1,295.28 | |||||||||||||||||||
| February 28, 2022 | (1,002.8597 | ) | 1,125.27 | - | 1,372.90 | - | 1,400.75 | (1,629.9987 | ) | 1,310.12 | |||||||||||||||||||||||
| March 31, 2022 | (578.2430 | ) | 1,211.35 | (64.9361 | ) | 1,477.79 | - | 1,507.78 | (167.7590 | ) | 1,399.39 | ||||||||||||||||||||||
| Total | (1,792.3638 | ) | (64.9361 | ) | (491.0000 | ) | (1,797.7577 | ) | |||||||||||||||||||||||||
ITEM 3. DEFAULTS UPON SENIOR SECURITIES
Not Applicable.
ITEM 4. MINE SAFETY DISCLOSURES
Not Applicable.
ITEM 5. OTHER INFORMATION
None.
38
ITEM 6. EXHIBITS
The following exhibits are included herewith:
| 31.01 | Rule 13(a)-14(a)/15(d)-14(a) Certification of Co-Chief Executive Officer |
| 31.02 | Rule 13(a)-14(a)/15(d)-14(a) Certification of Co-Chief Executive Officer |
| 31.03 | Rule 13(a)-14(a)/15(d)-14(a) Certification of President and Chief Operating Officer |
| 31.04 | Rule 13(a)-14(a)/15(d)-14(a) Certification of Chief Financial Officer |
| 32.01 | Section 1350 Certification of Co-Chief Executive Officer |
| 32.02 | Section 1350 Certification of Co-Chief Executive Officer |
| 32.03 | Section 1350 Certification of President and Chief Operating Officer |
| 32.04 | Section 1350 Certification of Chief Financial Officer |
| 101.INS | iXBRL Instance Document |
| 101.SCH | iXBRL Taxonomy Extension Schema Document |
| 101.CAL | iXBRL Taxonomy Extension Calculation Linkbase Document |
| 101.DEF | iXBRL Taxonomy Extension Definition Linkbase Document |
| 101.LAB | iXBRL Taxonomy Extension Label Linkbase Document |
| 101.PRE | iXBRL Taxonomy Extension Presentation Linkbase Document |
39
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| By: | Millburn Ridgefield
Corporation, General Partner |
| Date: May 16, 2022 | |
| /s/ Michael W. Carter | |
| Michael W. Carter | |
| Vice-President | |
| (Principal Accounting Officer) |
40
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