Cover
Cover - shares | 6 Months Ended | |
Jun. 30, 2022 | Aug. 12, 2022 | |
Cover [Abstract] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Quarterly Report | true | |
Document Transition Report | false | |
Document Period End Date | Jun. 30, 2022 | |
Document Fiscal Period Focus | Q2 | |
Document Fiscal Year Focus | 2022 | |
Current Fiscal Year End Date | --12-31 | |
Entity File Number | 000-54028 | |
Entity Registrant Name | MILLBURN MULTI-MARKETS FUND L.P. | |
Entity Central Index Key | 0001468910 | |
Entity Tax Identification Number | 26-4038497 | |
Entity Incorporation, State or Country Code | DE | |
Entity Address, Address Line One | c/o MILLBURN RIDGEFIELD CORPORATION | |
Entity Address, Address Line Two | 55 West 46th Street | |
Entity Address, Address Line Three | 31st Floor | |
Entity Address, City or Town | New York | |
Entity Address, State or Province | NY | |
Entity Address, Postal Zip Code | 10036 | |
City Area Code | (212) | |
Local Phone Number | 332-7300 | |
Entity Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Filer Category | Non-accelerated Filer | |
Entity Small Business | true | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Entity Common Stock, Shares Outstanding | 0 |
Statements of Financial Conditi
Statements of Financial Condition (unaudited) - USD ($) | Jun. 30, 2022 | Dec. 31, 2021 |
ASSETS | ||
Trading L.P. (the “Master Fund”) | $ 142,500,839 | $ 128,076,157 |
Due from the Master Fund | 1,449,036 | |
CASH AND CASH EQUIVALENTS | 500,040 | |
EQUITY IN TRADING ACCOUNTS: | ||
TOTAL | 143,000,879 | 129,525,193 |
LIABILITIES: | ||
Capital contributions received in advance | 500,000 | |
Capital withdrawals payable to Limited Partners | 1,049,036 | |
Capital withdrawal payable to General Partner | 400,000 | |
Other liabilities | 40 | |
Total liabilities | 500,040 | 1,449,036 |
PARTNERS’ CAPITAL: | ||
General Partner | 3,090,009 | 2,667,014 |
Limited partners: | ||
Total limited partners | 139,410,830 | 125,409,143 |
PARTNERS’ CAPITAL | 142,500,839 | 128,076,157 |
TOTAL | 143,000,879 | 129,525,193 |
Millburn Multi Markets Trading L P [Member] | ||
ASSETS | ||
CASH AND CASH EQUIVALENTS | 37,690,596 | 30,759,711 |
ACCRUED INTEREST RECEIVABLE | 1,562,835 | 2,403,652 |
DUE FROM MILLBURN MULTI-MARKETS LTD. | 100 | |
OTHER ASSETS | 140 | |
EQUITY IN TRADING ACCOUNTS: | ||
Investments in U.S. Treasury notes — at fair value (amortized cost $70,889,567 and $72,157,073) | 70,427,624 | 72,137,475 |
Net unrealized appreciation on open futures and forward currency contracts | 16,636,019 | 1,066,071 |
Due from brokers, net | 16,969,860 | 16,286,684 |
Cash denominated in foreign currencies (cost $70,448 and $3,826,015) | 44,244 | 3,791,592 |
Total equity in trading accounts | 104,077,747 | 93,281,822 |
INVESTMENTS IN U.S. TREASURY NOTES — at fair value (amortized cost $314,169,866 and $321,308,973) | 312,666,389 | 321,235,987 |
TOTAL | 455,997,707 | 447,681,272 |
LIABILITIES: | ||
Net unrealized depreciation on open futures and forward currency contracts | 1,518,782 | 2,016,273 |
Cash overdrafts denominated in foreign currencies (cost $372,705 and $446,190) | 392,739 | 442,044 |
Subscriptions received in advance | 3,345,000 | 200,000 |
Capital withdrawals payable to Limited Partners | 500,000 | 43,226,180 |
Capital withdrawal payable to General Partner | 894,583 | |
Management fee payable | 411,486 | 427,786 |
Selling commissions payable | 205,180 | 183,023 |
Accrued expenses | 411,210 | 194,076 |
Commissions and other trading fees on open futures contracts | 19,687 | 84,775 |
Accrued profit share | 8,275,852 | |
Total liabilities | 15,079,936 | 47,668,740 |
Limited partners: | ||
PARTNERS’ CAPITAL | 440,917,771 | 400,012,532 |
TOTAL | 455,997,707 | 447,681,272 |
Series A [Member] | ||
Limited partners: | ||
Total limited partners | $ 119,304,689 | $ 105,051,882 |
NET ASSET VALUE PER UNIT OUTSTANDING: | ||
Net Asset Value Per Unit Outstanding | $ 1,296.27 | $ 1,147.79 |
Series B [Member] | ||
Limited partners: | ||
Total limited partners | $ 7,713,616 | $ 6,954,675 |
NET ASSET VALUE PER UNIT OUTSTANDING: | ||
Net Asset Value Per Unit Outstanding | $ 1,575.84 | $ 1,395.71 |
Series C [Member] | ||
Limited partners: | ||
Total limited partners | $ 4,166,040 | $ 3,469,370 |
NET ASSET VALUE PER UNIT OUTSTANDING: | ||
Net Asset Value Per Unit Outstanding | $ 1,607.81 | $ 1,424.03 |
Series D [Member] | ||
Limited partners: | ||
Total limited partners | $ 8,226,485 | $ 9,933,216 |
NET ASSET VALUE PER UNIT OUTSTANDING: | ||
Net Asset Value Per Unit Outstanding | $ 1,490.66 | $ 1,333.56 |
Statements of Financial Condi_2
Statements of Financial Condition (unaudited) (Parenthetical) - USD ($) | Jun. 30, 2022 | Dec. 31, 2021 |
Millburn Multi Markets Trading L P [Member] | ||
Auction Market Preferred Securities, Stock Series [Line Items] | ||
Investments in U.S Treasury notes, amortized cost | $ 70,889,567 | $ 72,157,073 |
Cash denominated in foreign currencies, cost | 70,448 | 3,826,015 |
Investments in U.S Treasury notes, amortized cost | 314,169,866 | 321,308,973 |
Cash denominated in foreign currencies, cost | $ 372,705 | $ 446,190 |
Series A [Member] | ||
Auction Market Preferred Securities, Stock Series [Line Items] | ||
Limited Partners' Capital Account, Units Outstanding | 92,036.8140 | 91,525.4967 |
Series B [Member] | ||
Auction Market Preferred Securities, Stock Series [Line Items] | ||
Limited Partners' Capital Account, Units Outstanding | 4,894.9260 | 4,982.8851 |
Series C [Member] | ||
Auction Market Preferred Securities, Stock Series [Line Items] | ||
Limited Partners' Capital Account, Units Outstanding | 2,591.1205 | 2,436.2995 |
Series D [Member] | ||
Auction Market Preferred Securities, Stock Series [Line Items] | ||
Limited Partners' Capital Account, Units Outstanding | 5,518.6834 | 7,448.6560 |
Statements of Operations (unaud
Statements of Operations (unaudited) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | |
INVESTMENT INCOME: | ||||
Interest income | $ 150 | $ 2 | $ 150 | $ 2 |
Interest income, net (allocated from the Master Fund) (1) | 323,381 | 15,462 | 385,981 | 33,330 |
INVESTMENT INCOME — Interest income | 323,531 | 15,464 | 386,131 | 33,332 |
EXPENSES: | ||||
Management fees | 601,640 | 603,432 | 1,145,808 | 1,285,148 |
Brokerage commissions | 148,587 | 224,735 | 323,477 | 435,694 |
Selling commissions and platform fees | 601,927 | 587,184 | 1,142,679 | 1,159,102 |
Administrative and operating expenses | 130,094 | 132,877 | 256,911 | 262,877 |
Custody fees and other expenses | 6,211 | 5,821 | 11,901 | 11,692 |
Total expenses | 1,488,459 | 1,554,049 | 2,880,776 | 3,154,513 |
NET INVESTMENT LOSS | (1,164,928) | (1,538,585) | (2,494,645) | (3,121,181) |
REALIZED AND UNREALIZED GAINS (LOSSES): | ||||
Futures and forward currency contracts | 9,852,913 | 14,411,445 | 14,953,194 | 25,347,625 |
Foreign exchange transaction | (52,199) | 54,824 | (115,302) | 51,361 |
Net change in unrealized: | ||||
Futures and forward currency contracts | 2,148,816 | (3,202,556) | 5,435,563 | (8,051,547) |
Foreign exchange translation | (29,555) | (21,868) | (3,455) | (265,453) |
Realized | (12,675) | (530) | (17,538) | (4,818) |
Net change in unrealized | (472,926) | (26,475) | (593,264) | 4,887 |
Total net realized and unrealized gains | 11,434,374 | 11,214,840 | 19,659,198 | 17,082,055 |
NET INCOME | 10,269,446 | 9,676,255 | 17,164,553 | 13,960,874 |
LESS PROFIT SHARE TO GENERAL PARTNER | 1,116,328 | 99,436 | 1,207,222 | 99,436 |
NET INCOME AFTER PROFIT SHARE TO GENERAL PARTNER | 9,153,118 | 9,576,819 | 15,957,331 | 13,861,438 |
Millburn Multi Markets Trading L P [Member] | ||||
INVESTMENT INCOME: | ||||
INVESTMENT INCOME — Interest income | 1,013,757 | 52,767 | 1,213,626 | 117,011 |
EXPENSES: | ||||
Management fees | 1,208,417 | 1,395,655 | 2,316,288 | 3,081,731 |
Brokerage commissions | 466,697 | 767,388 | 1,019,464 | 1,563,079 |
Selling commissions and platform fees | 601,934 | 591,172 | 1,142,690 | 1,169,231 |
Administrative and operating expenses | 268,589 | 283,506 | 528,772 | 569,118 |
Custody fees and other expenses | 19,359 | 19,870 | 37,631 | 43,662 |
Total expenses | 2,564,996 | 3,057,591 | 5,044,845 | 6,426,821 |
NET INVESTMENT LOSS | (1,551,239) | (3,004,824) | (3,831,219) | (6,309,810) |
REALIZED AND UNREALIZED GAINS (LOSSES): | ||||
Futures and forward currency contracts | 29,634,939 | 49,986,054 | 46,650,484 | 95,322,004 |
Foreign exchange transaction | (158,165) | 188,380 | (360,815) | 176,618 |
Net change in unrealized: | ||||
Futures and forward currency contracts | 6,742,153 | (11,775,913) | 16,067,439 | (31,775,451) |
Foreign exchange translation | (100,097) | (86,501) | (15,961) | (950,488) |
Realized | (39,664) | (1,823) | (54,860) | (17,884) |
Net change in unrealized | (1,484,347) | (90,401) | (1,872,836) | 33,076 |
Total net realized and unrealized gains | 34,594,819 | 38,219,796 | 60,413,451 | 62,787,875 |
NET INCOME | 33,043,580 | 35,214,972 | 56,582,232 | 56,478,065 |
LESS PROFIT SHARE TO GENERAL PARTNER | 6,184,610 | 1,201,187 | 8,349,031 | 1,516,337 |
NET INCOME AFTER PROFIT SHARE TO GENERAL PARTNER | $ 26,858,970 | $ 34,013,785 | $ 48,233,201 | $ 54,961,728 |
Series A [Member] | ||||
Net change in unrealized: | ||||
NET INCOME PER UNIT OUTSTANDING | $ 84.92 | $ 78.91 | $ 148.48 | $ 112.27 |
Series B [Member] | ||||
Net change in unrealized: | ||||
NET INCOME PER UNIT OUTSTANDING | 98.05 | 101.74 | 180.13 | 148.20 |
Series C [Member] | ||||
Net change in unrealized: | ||||
NET INCOME PER UNIT OUTSTANDING | 100.03 | 103.80 | 183.78 | 151.20 |
Series D [Member] | ||||
Net change in unrealized: | ||||
NET INCOME PER UNIT OUTSTANDING | $ 91.27 | $ 86.91 | $ 157.10 | $ 129.23 |
Statements of Changes in Partne
Statements of Changes in Partners' Capital (Unaudited) - USD ($) | General Partners [Member] | General Partners [Member] Millburn Multi Markets Trading L P [Member] | Limited Partners Series A [Member] | Limited Partners Series B [Member] | Limited Partners Series C [Member] | Limited Partners Series D [Member] | Total | Millburn Multi Markets Trading L P [Member] | Limited Partners [Member] Millburn Multi Markets Trading L P [Member] | New Profit Memo Account [Member] Millburn Multi Markets Trading L P [Member] |
PARTNERS’ CAPITAL - January 1, 2021 at Dec. 31, 2020 | $ 2,803,226 | $ 944,315 | $ 108,544,835 | $ 7,431,183 | $ 4,015,189 | $ 16,218,344 | $ 139,012,777 | $ 554,247,918 | $ 553,303,603 | |
Beginning balance, shares at Dec. 31, 2020 | 99,597.6414 | 5,720.6069 | 3,029.4662 | 12,963.4335 | ||||||
Contributions | $ 374,000 | 374,000 | 2,871,556 | 2,674,000 | 197,556 | |||||
Capital contributions, units | 327.6338 | |||||||||
Withdrawals | $ (8,998,786) | $ (772,055) | $ (727,142) | $ (8,427,720) | (18,925,703) | (147,929,872) | (147,929,872) | |||
Capital withdrawals, units | (7,911.3905) | (572.0942) | (514.5614) | (6,156.3006) | ||||||
Net income before profit share | 349,247 | 118,985 | $ 10,689,547 | $ 791,901 | $ 425,424 | $ 1,704,755 | 13,960,874 | 56,478,065 | 56,358,947 | 133 |
Profit share | $ (99,436) | (99,436) | ||||||||
Net Asset Value per Unit | $ 1,202.10 | $ 1,447.22 | $ 1,476.58 | $ 1,380.31 | ||||||
General Partner’s allocation - profit share | (1,516,337) | (1,516,337) | ||||||||
PARTNERS’ CAPITAL - June 30, 2021 at Jun. 30, 2021 | 3,152,473 | 1,063,300 | $ 110,609,596 | $ 7,451,029 | $ 3,713,471 | $ 9,395,943 | 134,322,512 | 464,151,330 | 462,890,341 | 197,689 |
Ending balance, shares at Jun. 30, 2021 | 92,013.8847 | 5,148.5127 | 2,514.9048 | 6,807.1329 | ||||||
PARTNERS’ CAPITAL - January 1, 2021 at Dec. 31, 2021 | 2,667,014 | 1,035,802 | $ 105,051,882 | $ 6,954,675 | $ 3,469,370 | $ 9,933,216 | 128,076,157 | 400,012,532 | 398,976,730 | |
Beginning balance, shares at Dec. 31, 2021 | 91,525.4967 | 4,982.8851 | 2,436.2995 | 7,448.6560 | ||||||
Contributions | $ 4,000,000 | $ 40,000 | $ 985,000 | $ 35,000 | 5,060,000 | 6,784,179 | 6,711,000 | 73,179 | ||
Capital contributions, units | 3,150.9841 | 29.4878 | 645.8210 | 24.0253 | ||||||
Withdrawals | $ 3,138,487 | $ 176,768 | $ 679,554 | $ 2,597,840 | 6,592,649 | (14,112,141) | (14,112,141) | |||
Capital withdrawals, units | (2,639.6668) | (117.4469) | (491) | (1,953.9979) | ||||||
Net income before profit share | 422,995 | 165,777 | $ 14,201,617 | $ 1,029,494 | $ 454,232 | $ 1,056,215 | 17,164,553 | 56,582,232 | 56,410,766 | 5,689 |
Profit share | $ (810,323) | $ (133,785) | $ (63,008) | $ (200,106) | (1,207,222) | |||||
Net Asset Value per Unit | $ 1,296.27 | $ 1,575.84 | $ 1,607.81 | $ 1,490.66 | ||||||
General Partner’s allocation - profit share | (8,349,031) | (8,349,031) | ||||||||
PARTNERS’ CAPITAL - June 30, 2021 at Jun. 30, 2022 | $ 3,090,009 | $ 1,201,579 | $ 119,304,689 | $ 7,713,616 | $ 4,166,040 | $ 8,226,485 | $ 142,500,839 | $ 440,917,771 | $ 439,637,324 | $ 78,868 |
Ending balance, shares at Jun. 30, 2022 | 92,036.8140 | 4,894.9260 | 2,591.1205 | 5,518.6834 |
Statement of Financial Highligh
Statement of Financial Highlights (unaudited) - Limited Partner [Member] - $ / shares | 3 Months Ended | 6 Months Ended | ||||||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | |||||
Series A [Member] | ||||||||
Auction Market Preferred Securities, Stock Series [Line Items] | ||||||||
NET ASSET VALUE PER UNIT — Beginning of period | $ 1,211.35 | $ 1,123.19 | $ 1,147.79 | $ 1,089.83 | ||||
Net investment loss (1) | (11.68) | (14.14) | (24.69) | [1] | (27.80) | [2] | ||
Total trading and investing gains (1) | 105.47 | 93.05 | 182.04 | 140.07 | ||||
Net income before profit share allocation from the Master Fund | 93.79 | 78.91 | 157.35 | 112.27 | ||||
Less: profit share allocation from the Master Fund | 8.87 | 0 | 8.87 | 0 | ||||
Net income from operations after profit share allocation from the Master Fund | 84.92 | 78.91 | 148.48 | 112.27 | ||||
NET ASSET VALUE PER UNIT — End of period | $ 1,296.27 | $ 1,202.10 | $ 1,296.27 | $ 1,202.10 | ||||
TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2) | 7.70% | 7.03% | 13.67% | 10.30% | ||||
LESS: PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2) (6) | 0.69% | 0% | 0.73% | 0% | ||||
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2) | 7.01% | 7.03% | 12.94% | 10.30% | ||||
RATIOS TO AVERAGE NET ASSET VALUE: | ||||||||
Expenses | 4.58% | [3],[4],[5] | 4.79% | [6],[7],[8] | 4.65% | [9],[10],[11] | 4.90% | [12],[13],[14] |
Profit share allocation from the Master Fund (2) (6) | 0.69% | 0% | 0.73% | 0% | ||||
Total expenses | 5.27% | 4.79% | 5.38% | 4.90% | ||||
Net investment loss | (3.66%) | [3],[4],[5] | (4.75%) | [6],[7],[8] | (4.07%) | [9],[10],[11] | (4.85%) | [12],[13],[14] |
Series B [Member] | ||||||||
Auction Market Preferred Securities, Stock Series [Line Items] | ||||||||
NET ASSET VALUE PER UNIT — Beginning of period | $ 1,477.79 | $ 1,345.48 | $ 1,395.71 | $ 1,299.02 | ||||
Net investment loss (1) | (6.48) | (9.82) | (15.33) | [1] | (19.55) | [2] | ||
Total trading and investing gains (1) | 128.89 | 111.56 | 222.42 | 167.75 | ||||
Net income before profit share allocation from the Master Fund | 122.41 | 101.74 | 207.09 | 148.20 | ||||
Less: profit share allocation from the Master Fund | 24.36 | 0 | 26.96 | 0 | ||||
Net income from operations after profit share allocation from the Master Fund | 98.05 | 101.74 | 180.13 | 148.20 | ||||
NET ASSET VALUE PER UNIT — End of period | $ 1,575.84 | $ 1,447.22 | $ 1,575.84 | $ 1,447.22 | ||||
TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2) | 8.22% | 7.56% | 14.79% | 11.41% | ||||
LESS: PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2) (6) | 1.59% | 0% | 1.88% | 0% | ||||
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2) | 6.63% | 7.56% | 12.91% | 11.41% | ||||
RATIOS TO AVERAGE NET ASSET VALUE: | ||||||||
Expenses | 2.60% | [3],[4],[5] | 2.79% | [6],[7],[8] | 2.66% | [9],[10],[11] | 2.89% | [12],[13],[14] |
Profit share allocation from the Master Fund (2) (6) | 1.59% | 0% | 1.88% | 0% | ||||
Total expenses | 4.19% | 2.79% | 4.54% | 2.89% | ||||
Net investment loss | (1.67%) | [3],[4],[5] | (2.74%) | [6],[7],[8] | (2.08%) | [9],[10],[11] | (2.84%) | [12],[13],[14] |
Series C [Member] | ||||||||
Auction Market Preferred Securities, Stock Series [Line Items] | ||||||||
NET ASSET VALUE PER UNIT — Beginning of period | $ 1,507.78 | $ 1,372.78 | $ 1,424.03 | $ 1,325.38 | ||||
Net investment loss (1) | (6.43) | (10.03) | (15.46) | [1] | (19.96) | [2] | ||
Total trading and investing gains (1) | 132.22 | 113.83 | 227.58 | 171.16 | ||||
Net income before profit share allocation from the Master Fund | 125.79 | 103.80 | 212.12 | 151.20 | ||||
Less: profit share allocation from the Master Fund | 25.76 | 0 | 28.34 | 0 | ||||
Net income from operations after profit share allocation from the Master Fund | 100.03 | 103.80 | 183.78 | 151.20 | ||||
NET ASSET VALUE PER UNIT — End of period | $ 1,607.81 | $ 1,476.58 | $ 1,607.81 | $ 1,476.58 | ||||
TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2) | 8.22% | 7.56% | 14.79% | 11.41% | ||||
LESS: PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2) (6) | 1.59% | 0% | 1.88% | 0% | ||||
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2) | 6.63% | 7.56% | 12.91% | 11.41% | ||||
RATIOS TO AVERAGE NET ASSET VALUE: | ||||||||
Expenses | 2.60% | [3],[4],[5] | 2.79% | [6],[7],[8] | 2.66% | [9],[10],[11] | 2.90% | [12],[13],[14] |
Profit share allocation from the Master Fund (2) (6) | 1.59% | 0% | 1.88% | 0% | ||||
Total expenses | 4.19% | 2.79% | 4.54% | 2.90% | ||||
Net investment loss | (1.67%) | [3],[4],[5] | (2.74%) | [6],[7],[8] | (2.08%) | [9],[10],[11] | (2.85%) | [12],[13],[14] |
Series D [Member] | ||||||||
Auction Market Preferred Securities, Stock Series [Line Items] | ||||||||
NET ASSET VALUE PER UNIT — Beginning of period | $ 1,399.39 | $ 1,293.40 | $ 1,333.56 | $ 1,251.08 | ||||
Net investment loss (1) | (9.17) | (11.93) | (20.18) | [1] | (23.67) | [2] | ||
Total trading and investing gains (1) | 122.07 | 107.51 | 209.41 | 161.57 | ||||
Net income before profit share allocation from the Master Fund | 112.90 | 95.58 | 189.23 | 137.90 | ||||
Less: profit share allocation from the Master Fund | 21.63 | 8.67 | 32.13 | 8.67 | ||||
Net income from operations after profit share allocation from the Master Fund | 91.27 | 86.91 | 157.10 | 129.23 | ||||
NET ASSET VALUE PER UNIT — End of period | $ 1,490.66 | $ 1,380.31 | $ 1,490.66 | $ 1,380.31 | ||||
TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2) | 8.08% | 7.43% | 14.08% | 10.99% | ||||
LESS: PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2) (6) | 1.56% | 0.71% | 2.30% | 0.66% | ||||
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2) | 6.52% | 6.72% | 11.78% | 10.33% | ||||
RATIOS TO AVERAGE NET ASSET VALUE: | ||||||||
Expenses | 3.37% | [3],[4],[5] | 3.54% | [6],[7],[8] | 3.43% | [9],[10],[11] | 3.65% | [12],[13],[14] |
Profit share allocation from the Master Fund (2) (6) | 1.56% | 0.71% | 2.30% | 0.66% | ||||
Total expenses | 4.93% | 4.25% | 5.73% | 4.31% | ||||
Net investment loss | (2.44%) | [3],[4],[5] | (3.49%) | [6],[7],[8] | (2.89%) | [9],[10],[11] | (3.61%) | [12],[13],[14] |
[1]The net investment loss per unit and profit share allocation from the Master Fund per unit is calculated by dividing the net investment loss and profit share allocation from the Master Fund by the average number of units outstanding during the period. Total trading and investing loss is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.[2]The net investment loss per unit and profit share allocation from the Master Fund per unit is calculated by dividing the net investment loss and profit share allocation from the Master Fund by the average number of units outstanding during the period. Total trading and investing gains is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.[3]Annualized.[4]Excludes profit share allocation from the Master Fund.[5]Includes the Partnership’s proportionate share of income (if applicable) and expenses allocated from the Master Fund.[6]Annualized.[7]Excludes profit share allocation from the Master Fund.[8]Includes the Partnership’s proportionate share of income (if applicable) and expenses allocated from the Master Fund.[9]Annualized.[10]Excludes profit share allocation from the Master Fund.[11]Includes the Partnership’s proportionate share of income (if applicable) and expenses allocated from the Master Fund.[12]Annualized.[13]Excludes profit share allocation from the Master Fund.[14]Includes the Partnership’s proportionate share of income (if applicable) and expenses allocated from the Master Fund. |
Condensed Schedule of Investmen
Condensed Schedule of Investments (unaudited) - Millburn Multi Markets Trading L P [Member] - USD ($) | Jun. 30, 2022 | Dec. 31, 2021 |
Summary of Investment Holdings [Line Items] | ||
Investment Owned, Percent of Net Assets | 3.43% | (0.24%) |
Investment Owned, Unrecognized Unrealized Appreciation (Depreciation), Net | $ 15,117,237 | $ (950,202) |
U.S. Treasury notes, 1.625%, 08/15/2022 [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment Owned, Percent of Net Assets | 20.04% | |
Investment Owned, Balance, Principal Amount | $ 88,290,000 | |
Investment Owned, at Fair Value | $ 88,305,520 | |
U.S. Treasury notes, 1.625%, 11/15/2022 [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment Owned, Percent of Net Assets | 25.27% | |
Investment Owned, Balance, Principal Amount | $ 111,700,000 | |
Investment Owned, at Fair Value | $ 111,440,385 | |
U.S. Treasury notes, 2.000%, 02/15/2023 [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment Owned, Percent of Net Assets | 14.86% | |
Investment Owned, Balance, Principal Amount | $ 65,790,000 | |
Investment Owned, at Fair Value | $ 65,539,433 | |
U.S. Treasury notes, 1.750%, 05/15/2022 [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment Owned, Percent of Net Assets | 26.72% | 32.60% |
Investment Owned, Balance, Principal Amount | $ 118,940,000 | $ 129,640,000 |
Investment Owned, at Fair Value | $ 117,808,675 | $ 130,399,609 |
US Treasury Notes Securities [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment Owned, Percent of Net Assets | 86.89% | 98.34% |
Investment Owned, at Fair Value | $ 383,094,013 | $ 393,373,462 |
U.S. Treasury notes, 2.500%, 02/15/2022 [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment Owned, Percent of Net Assets | 31.94% | |
Investment Owned, Balance, Principal Amount | $ 127,400,000 | |
Investment Owned, at Fair Value | $ 127,768,266 | |
U.S. Treasury notes, 2.375%, 03/15/2022 [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment Owned, Percent of Net Assets | 33.80% | |
Investment Owned, Balance, Principal Amount | $ 134,580,000 | |
Investment Owned, at Fair Value | $ 135,205,587 | |
Exchange Traded Futures Contracts Currencies [Member] | Long Contracts [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment Owned, Percent of Net Assets | (0.00%) | 0% |
Investment Owned, Unrecognized Unrealized Appreciation (Depreciation), Net | $ (1,715) | $ 11,463 |
Exchange Traded Futures Contracts Currencies [Member] | Short Contracts [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment Owned, Percent of Net Assets | (0.00%) | 0% |
Investment Owned, Unrecognized Unrealized Appreciation (Depreciation), Net | $ (5,817) | $ 2,385 |
Exchange Traded Futures Contracts Energies [Member] | Long Contracts [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment Owned, Percent of Net Assets | (0.02%) | 0.40% |
Investment Owned, Unrecognized Unrealized Appreciation (Depreciation), Net | $ (99,034) | $ 1,587,533 |
Exchange Traded Futures Contracts Energies [Member] | Short Contracts [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment Owned, Percent of Net Assets | 0.58% | 0.05% |
Investment Owned, Unrecognized Unrealized Appreciation (Depreciation), Net | $ 2,564,346 | $ 213,078 |
Two Year U S Treasury Note [Member] | Long Contracts [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment Owned, Percent of Net Assets | 0.06% | |
Investment Owned, Unrecognized Unrealized Appreciation (Depreciation), Net | $ 259,273 | |
Five Year U S Treasury Note [Member] | Long Contracts [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment Owned, Percent of Net Assets | 0.08% | |
Investment Owned, Unrecognized Unrealized Appreciation (Depreciation), Net | $ 352,125 | |
Ten Year U S Treasury Note [Member] | Long Contracts [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment Owned, Percent of Net Assets | 0.03% | |
Investment Owned, Unrecognized Unrealized Appreciation (Depreciation), Net | $ 164,703 | |
Thirty Year U S Treasury Bond [Member] | Long Contracts [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment Owned, Percent of Net Assets | 0.03% | |
Investment Owned, Unrecognized Unrealized Appreciation (Depreciation), Net | $ 126,656 | |
Other Interest Rates [Member] | Long Contracts [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment Owned, Percent of Net Assets | 1.30% | |
Investment Owned, Unrecognized Unrealized Appreciation (Depreciation), Net | $ 5,732,112 | |
Interest Rate Contract [Member] | Long Contracts [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment Owned, Percent of Net Assets | 1.50% | (0.84%) |
Investment Owned, Unrecognized Unrealized Appreciation (Depreciation), Net | $ 6,634,869 | $ (3,364,575) |
Interest Rate Contract [Member] | Short Contracts [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment Owned, Percent of Net Assets | (0.00%) | 0.05% |
Investment Owned, Unrecognized Unrealized Appreciation (Depreciation), Net | $ (6,366) | $ 182,789 |
Exchange Traded Futures Contracts Livestock [Member] | Long Contracts [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment Owned, Percent of Net Assets | (0.01%) | (0.01%) |
Investment Owned, Unrecognized Unrealized Appreciation (Depreciation), Net | $ (19,050) | $ (18,210) |
Exchange Traded Futures Contracts Livestock [Member] | Short Contracts [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment Owned, Percent of Net Assets | (0.00%) | 0% |
Investment Owned, Unrecognized Unrealized Appreciation (Depreciation), Net | $ (100) | $ 17,170 |
Exchange Traded Futures Contracts Metals [Member] | Long Contracts [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment Owned, Percent of Net Assets | (1.00%) | 1.09% |
Investment Owned, Unrecognized Unrealized Appreciation (Depreciation), Net | $ (4,420,857) | $ 4,360,711 |
Exchange Traded Futures Contracts Metals [Member] | Short Contracts [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment Owned, Percent of Net Assets | 1.52% | (0.98%) |
Investment Owned, Unrecognized Unrealized Appreciation (Depreciation), Net | $ 6,703,997 | $ (3,921,479) |
Exchange Traded Futures Contracts Softs [Member] | Long Contracts [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment Owned, Percent of Net Assets | (0.00%) | (0.01%) |
Investment Owned, Unrecognized Unrealized Appreciation (Depreciation), Net | $ (3,719) | $ (53,106) |
Exchange Traded Futures Contracts Softs [Member] | Short Contracts [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment Owned, Percent of Net Assets | 0.06% | 0% |
Investment Owned, Unrecognized Unrealized Appreciation (Depreciation), Net | $ 271,800 | $ 12,566 |
Exchange Traded Futures Contracts Stock Indices [Member] | Long Contracts [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment Owned, Percent of Net Assets | (0.05%) | 0.19% |
Investment Owned, Unrecognized Unrealized Appreciation (Depreciation), Net | $ (221,803) | $ 746,305 |
Exchange Traded Futures Contracts Stock Indices [Member] | Short Contracts [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment Owned, Percent of Net Assets | 0.51% | 0.04% |
Investment Owned, Unrecognized Unrealized Appreciation (Depreciation), Net | $ 2,229,191 | $ 152,730 |
Future [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment Owned, Percent of Net Assets | 3.63% | 0.01% |
Investment Owned, Unrecognized Unrealized Appreciation (Depreciation), Net | $ 15,984,271 | $ 35,062 |
Future [Member] | Long Contracts [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment Owned, Percent of Net Assets | 0.42% | 0.83% |
Investment Owned, Unrecognized Unrealized Appreciation (Depreciation), Net | $ 1,868,691 | $ 3,301,276 |
Future [Member] | Short Contracts [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment Owned, Percent of Net Assets | 3.21% | (0.82%) |
Investment Owned, Unrecognized Unrealized Appreciation (Depreciation), Net | $ 14,115,580 | $ (3,266,214) |
Exchange Traded Futures Contracts Grains [Member] | Long Contracts [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment Owned, Percent of Net Assets | 0.01% | |
Investment Owned, Unrecognized Unrealized Appreciation (Depreciation), Net | $ 31,155 | |
Exchange Traded Futures Contracts Grains [Member] | Short Contracts [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment Owned, Percent of Net Assets | 0.54% | 0.02% |
Investment Owned, Unrecognized Unrealized Appreciation (Depreciation), Net | $ 2,358,529 | $ 74,547 |
Forward Contracts [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment Owned, Percent of Net Assets | (0.20%) | (0.25%) |
Investment Owned, Unrecognized Unrealized Appreciation (Depreciation), Net | $ (867,034) | $ (985,264) |
Forward Contracts [Member] | Long Contracts [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment Owned, Percent of Net Assets | (1.47%) | 1.68% |
Investment Owned, Unrecognized Unrealized Appreciation (Depreciation), Net | $ (6,457,621) | $ 6,719,651 |
Forward Contracts [Member] | Short Contracts [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment Owned, Percent of Net Assets | 1.27% | (1.93%) |
Investment Owned, Unrecognized Unrealized Appreciation (Depreciation), Net | $ 5,590,587 | $ (7,704,915) |
Condensed Schedule of Investm_2
Condensed Schedule of Investments (unaudited) (Parenthetical) - Millburn Multi Markets Trading L P [Member] | 6 Months Ended | |
Jun. 30, 2022 USD ($) Decimal | Dec. 31, 2021 USD ($) | |
U.S. Treasury notes, 1.625%, 08/15/2022 [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment Interest Rate | 1.625% | |
Investment Maturity Date | Aug. 15, 2022 | |
U.S. Treasury notes, 1.625%, 11/15/2022 [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment Interest Rate | 1.625% | |
Investment Maturity Date | Nov. 15, 2022 | |
U.S. Treasury notes, 2.000%, 02/15/2023 [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment Interest Rate | 2% | |
Investment Maturity Date | Feb. 15, 2023 | |
U.S. Treasury notes, 1.750%, 05/15/2022 [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment Interest Rate | 1.75% | 1.75% |
Investment Maturity Date | May 15, 2023 | May 15, 2022 |
US Treasury Notes Securities [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Amortized Cost of U.S. Treasury Notes | $ | $ 385,059,433 | $ 393,466,046 |
U.S. Treasury notes, 2.500%, 02/15/2022 [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment Interest Rate | 2.50% | |
Investment Maturity Date | Feb. 15, 2022 | |
U.S. Treasury notes, 2.375%, 03/15/2022 [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment Interest Rate | 2.375% | |
Investment Maturity Date | Mar. 15, 2022 | |
Two Year U S Treasury Note [Member] | Long Contracts [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment term | 2 years | |
Investment Owned, Balance, Contracts | 325 | |
Investment settlement date | September 2022 | |
Five Year U S Treasury Note [Member] | Long Contracts [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment term | 5 years | |
Investment Owned, Balance, Contracts | 302 | |
Investment settlement date | September 2022 | |
Ten Year U S Treasury Note [Member] | Long Contracts [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment term | 10 years | |
Investment Owned, Balance, Contracts | 89 | |
Investment settlement date | September 2022 | |
Thirty Year U S Treasury Bond [Member] | Long Contracts [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment term | 30 years | |
Investment Owned, Balance, Contracts | 39 | |
Investment settlement date | September 2022 |
Statements of Financial Highlig
Statements of Financial Highlights (unaudited) - Millburn Multi Markets Trading L P [Member] | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | ||
Tracking Partner [Member] | |||||
Total return before General Partner profit share allocation | [1] | 8.29% | 7.63% | 14.89% | 11.55% |
Less: General Partner profit share allocation | [1] | 1.60% | 1.84% | ||
Total return after General Partner profit share allocation | [1] | 6.69% | 7.63% | 13.05% | 11.55% |
Ratios to average net asset value: | |||||
Expenses | [2],[3] | 2.36% | 2.60% | 2.40% | 2.68% |
General Partner profit share allocation | [1] | 1.60% | 1.84% | ||
Total expenses | [3] | 3.96% | 2.60% | 4.24% | 2.68% |
Net investment loss | [2],[3],[4] | (1.44%) | (2.56%) | (1.82%) | (2.64%) |
Limited Partner [Member] | |||||
Total return before General Partner profit share allocation | [5] | 7.95% | 7.60% | 14.22% | 11.55% |
Less: General Partner profit share allocation | [5] | 1.43% | 0.25% | 2% | 0.30% |
Total return after General Partner profit share allocation | [5] | 6.52% | 7.35% | 12.22% | 11.25% |
Ratios to average net asset value: | |||||
Expenses | [6],[7] | 2.40% | 2.52% | 2.42% | 2.56% |
General Partner profit share allocation | [5] | 1.43% | 0.25% | 2% | 0.30% |
Total expenses | [7] | 3.83% | 2.77% | 4.42% | 2.86% |
Net investment loss | [6],[7],[8] | (1.48%) | (2.48%) | (1.84%) | (2.52%) |
[1]Not Annualized.[2]Annualized.[3]Includes the Limited Partner’s proportionate share of expenses allocated from the Master Fund’s operations for the [4]Excludes General Partner profit share allocation and includes interest income.[5]Not Annualized.[6]Annualized.[7]Includes the Limited Partners’ proportionate share of expenses allocated from the Master Fund’s operations for the three[8]Excludes General Partner profit share allocation and includes interest income. |
BASIS OF PRESENTATION AND SUMMA
BASIS OF PRESENTATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES | 6 Months Ended |
Jun. 30, 2022 | |
BASIS OF PRESENTATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES | 1. BASIS OF PRESENTATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES The accompanying financial statements, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of Millburn Multi-Markets Fund L.P.’s (the “Partnership”) financial condition at June 30, 2022 (unaudited) and December 31, 2021 and the results of its operations for the three and six months ended June 30, 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 in the United States of America (“U.S. GAAP”), 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. |
Millburn Multi Markets Trading L P [Member] | |
BASIS OF PRESENTATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES | 1. BASIS OF PRESENTATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES The Master Fund engages in the speculative trading of futures and forward currency contracts, as well as hedging using forward currency contracts and also acts as a master fund for the Partnership and Millburn Multi-Markets Ltd., a Cayman Islands exempted company (the “Cayman Feeder”). The accompanying financial statements, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of the Master Fund’s financial condition at June 30, 2022 (unaudited) and December 31, 2021 (audited) and the results of its operations for the three and six months ended June 30, 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 |
INVESTMENT IN MILLBURN MULTI-MA
INVESTMENT IN MILLBURN MULTI-MARKETS TRADING L.P. | 6 Months Ended |
Jun. 30, 2022 | |
Investments, All Other Investments [Abstract] | |
INVESTMENT IN MILLBURN MULTI-MARKETS TRADING L.P. | 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 June 30, 2022 and December 31, 2021 was 32.32 32.02 |
RELATED PARTY TRANSACTIONS
RELATED PARTY TRANSACTIONS | 6 Months Ended |
Jun. 30, 2022 | |
Related Party Transactions [Abstract] | |
RELATED PARTY TRANSACTIONS | 3. RELATED PARTY TRANSACTIONS The Partnership bears its own expenses, including, but not limited to, periodic legal, accounting and filing fees. Administrative and operating expenses related to investors in the Partnership (including their pro-rata share of Master Fund expenses) are not expected to exceed 1/2 of 1% per annum of the Partnership’s average month-end partners’ capital. Series A Limited Partners that redeem Units at or prior to the end of the first eleven months after such Units are sold shall be assessed redemption charges calculated based on their redeemed Units’ net asset value as of the date of redemption. All redemption charges will be paid to the General Partner. At June 30, 2022 and December 31, 2021, there were no redemption charges owed to the General Partner. |
FINANCIAL HIGHLIGHTS
FINANCIAL HIGHLIGHTS | 6 Months Ended |
Jun. 30, 2022 | |
FINANCIAL HIGHLIGHTS | 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. Schedule of weighted number of units Three months ended Six months ended 2022 2021 2022 2021 Series A 91,566.012 94,115.569 91,305.247 96,155.410 Series B 4,921.973 5,217.391 4,961.875 5,392.686 Series C 2,273.031 2,638.080 2,223.496 2,832.674 Series D 5,575.760 10,200.782 6,227.851 11,470.111 |
Millburn Multi Markets Trading L P [Member] | |
FINANCIAL HIGHLIGHTS | 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 1.75% (1.75% per annum, fee reduced to 1.75% from 2.00% 20 1.75 |
SUBSEQUENT EVENTS
SUBSEQUENT EVENTS | 6 Months Ended |
Jun. 30, 2022 | |
SUBSEQUENT EVENTS | 5. SUBSEQUENT EVENTS During the period from July 1, 2022 to August 12, 2022, contributions of $ 440,000 |
Millburn Multi Markets Trading L P [Member] | |
SUBSEQUENT EVENTS | 7. SUBSEQUENT EVENTS During the period from July 1, 2022 to August 12, 2022, contributions of $ 38,040,000 |
INVESTORS IN MILLBURN MULTI-MAR
INVESTORS IN MILLBURN MULTI-MARKETS TRADING L.P. | 6 Months Ended |
Jun. 30, 2022 | |
Millburn Multi Markets Trading L P [Member] | |
INVESTORS IN MILLBURN MULTI-MARKETS TRADING L.P. | 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 June 30, 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. Schedule of interests are held by direct investors in the Master Fund June 30, December 31, Partnership 32.32 % 32.02 % Cayman Feeder 53.33 % 54.63 % Total 85.65 % 86.65 % The capital withdrawals payable at June 30, 2022 and December 31, 2021 were $ 500,000 44,120,763 Schedule of capital withdrawals payable June 30, December 31, 2022 2021 Direct investors (1) $ - $ 894,583 Partnership - 1,449,036 Cayman Feeder 500,000 41,777,144 Total $ 500,000 $ 44,120,763 (1) Includes General Partner’s profit share of $ 894,583 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. |
FAIR VALUE
FAIR VALUE | 6 Months Ended |
Jun. 30, 2022 | |
Millburn Multi Markets Trading L P [Member] | |
FAIR VALUE | 3. FAIR VALUE The Fair Value Measurement (Topic 820) of the Codification defines fair value, establishes a framework for measuring fair value, and expands disclosures about fair value measurements. The three levels of the fair value hierarchy are described below: Level 1: Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities; Level 2: Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or indirectly; and Level 3: Prices or valuations that require inputs that are both significant to the fair value measurement and unobservable. In determining fair value, the Master Fund separates its investments into two categories: cash instruments and derivative contracts. Cash Instruments. The Master Fund’s cash instruments are generally classified within Level 1 of the fair value hierarchy because they are typically valued using quoted market prices. The types of instruments valued based on quoted market prices in active markets include U.S. government obligations. The General Partner does not adjust the quoted price for such instruments, even in situations where the Master Fund holds a large position and a sale could reasonably impact the quoted price. Derivative Contracts. Derivative contracts can be exchange-traded or over-the-counter (“OTC”). Exchange-traded futures contracts are valued based on quoted closing settlement prices and typically fall within Level 1 of the fair value hierarchy. Spot currency contracts are valued based on current market prices (“Spot Price”). Forward currency contracts are valued based on pricing models that consider the Spot Price plus the financing cost or benefit (“Forward Point”). Forward Points from the quotation service providers are generally in periods of one month, two months, three months, six months, nine months and twelve months forward while the contractual forward delivery dates for the forward currency contracts traded by the Master Fund may be in between these periods. The General Partner’s policy to determine fair value for forward currency contracts involves first calculating the number of months from the date the forward currency contract is being valued to its maturity date (“Months to Maturity”), then identifying the forward currency contracts for the two forward months that are closest to the Months to Maturity (“Forward Month Contracts”). Linear interpolation is then performed between the dates of these two Forward Month Contracts to calculate the interpolated Forward Point. Model inputs can generally be verified and model selection does not involve significant management judgment. Such instruments are typically classified within Level 2 of the fair value hierarchy. During the three and six months ended June 30, 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 June 30, 2022 and December 31, 2021 in valuing the Master Fund’s investments at fair value. At June 30, 2022 and December 31, 2021, the Master Fund had no assets or liabilities in Level 3. Financial assets and liabilities at fair value as of June 30, 2022 Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis Level 1 Level 2 Total U.S. Treasury notes (1) $ 383,094,013 $ - $ 383,094,013 Short-Term Money Market Fund* 37,440,596 - 37,440,596 Exchange-traded futures contracts Currencies (7,532 ) - (7,532 ) Energies 2,465,312 - 2,465,312 Grains 2,358,529 - 2,358,529 Interest rates 6,628,503 - 6,628,503 Livestock (19,150 ) - (19,150 ) Metals 2,283,140 - 2,283,140 Softs 268,081 - 268,081 Stock indices 2,007,388 - 2,007,388 Total exchange-traded futures contracts 15,984,271 - 15,984,271 Over-the-counter forward currency contracts - (867,034 ) (867,034 ) Total futures and forward currency contracts (2) 15,984,271 (867,034 ) 15,117,237 Total financial assets and liabilities at fair value $ 436,518,880 $ (867,034 ) $ 435,651,846 Per line item in the Statements of Financial Condition (1) Investments in U.S. Treasury notes held in equity trading accounts as collateral $ 70,427,624 Investments in U.S. Treasury notes held in custody 312,666,389 Total investments in U.S. Treasury notes $ 383,094,013 (2) Net unrealized appreciation on open futures and forward currency contracts $ 16,636,019 Net unrealized depreciation on open futures and forward currency contracts (1,518,782 ) Total net unrealized appreciation on open futures and forward currency contracts $ 15,117,237 * The short-term money market fund is included in Cash and Cash Equivalents in the Statements of Financial Condition. Financial assets and liabilities at fair value as of December 31, 2021 Level 1 Level 2 Total U.S. Treasury notes (1) $ 393,373,462 $ - $ 393,373,462 Short-Term Money Market Fund* 30,509,711 - 30,509,711 Exchange-traded futures contracts Currencies 13,848 - 13,848 Energies 1,800,611 - 1,800,611 Grains 105,702 - 105,702 Interest rates (3,181,786 ) - (3,181,786 ) Livestock (1,040 ) - (1,040 ) Metals 439,232 - 439,232 Softs (40,540 ) - (40,540 ) Stock indices 899,035 - 899,035 Total exchange-traded futures contracts 35,062 - 35,062 Over-the-counter forward currency contracts - (985,264 ) (985,264 ) Total futures and forward currency contracts (2) 35,062 (985,264 ) (950,202 ) Total financial assets and liabilities at fair value $ 423,918,235 $ (985,264 ) $ 422,932,971 Per line item in Statements of Financial Condition (1) Investments in U.S. Treasury notes held in equity trading accounts as collateral $ 72,137,475 Investments in U.S. Treasury notes 321,235,987 Total investments in U.S. Treasury notes $ 393,373,462 (2) Net unrealized appreciation on open futures and forward currency contracts $ 1,066,071 Net unrealized depreciation on open futures and forward currency contracts (2,016,273 ) Total net unrealized depreciation on open futures and forward currency contracts $ (950,202 ) * The short-term money market fund is included in Cash and Cash Equivalents on the Statements of Financial Condition. |
DERIVATIVE INSTRUMENTS
DERIVATIVE INSTRUMENTS | 6 Months Ended |
Jun. 30, 2022 | |
Millburn Multi Markets Trading L P [Member] | |
DERIVATIVE INSTRUMENTS | 4. DERIVATIVE INSTRUMENTS The Derivatives and Hedging (Topic 815) 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 June 30, 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 an asset position by counterparty are recorded in the Statements of Financial Condition as “Net unrealized appreciation on open futures and forward currency contracts.” Fair values of futures and forward currency contracts in a liability position by counterparty are recorded in the Statements of Financial Condition as “Net unrealized depreciation on open futures and forward currency contracts.” The Master Fund’s policy regarding fair value measurement is discussed in the Fair Value note, contained herein. Since the derivatives held or sold by the Master Fund are for speculative trading purposes, the derivative instruments are not designated as hedging instruments under the provisions of the Derivatives and Hedging guidance. Accordingly, all realized gains and losses, as well as any change in net unrealized gains or losses on open positions from the preceding period, are recognized as part of the Master Fund’s trading gains and losses in the Statements of Operations. The following tables present the fair value of open futures and forward currency contracts, held long or sold short, at June 30, 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 June 30, 2022 Schedule of fair value of futures and forward currency contracts Net Unrealized Fair Value - Long Positions Fair Value - Short Positions Open Sector Gains Losses Gains Losses Positions Futures contracts: Currencies $ 4,205 $ (5,920 ) $ 24,491 $ (30,308 ) $ (7,532 ) Energies 147,057 (246,091 ) 2,568,728 (4,382 ) 2,465,312 Grains - - 2,637,195 (278,666 ) 2,358,529 Interest rates 6,647,450 (12,581 ) 3,621 (9,987 ) 6,628,503 Livestock 250 (19,300 ) 130 (230 ) (19,150 ) Metals 10,021 (4,430,878 ) 6,724,526 (20,529 ) 2,283,140 Softs 20,231 (23,950 ) 377,523 (105,723 ) 268,081 Stock indices 307 (222,110 ) 2,733,652 (504,461 ) 2,007,388 Total futures contracts 6,829,521 (4,960,830 ) 15,069,866 (954,286 ) 15,984,271 Forward currency contracts 1,956,096 (8,413,717 ) 10,167,207 (4,576,620 ) (867,034 ) Total futures and forward currency contracts $ 8,785,617 $ (13,374,547 ) $ 25,237,073 $ (5,530,906 ) $ 15,117,237 Fair value of futures and forward currency contracts at December 31, 2021 Net Unrealized Fair Value - Long Positions Fair Value - Short Positions Open Sector Gains Losses Gains Losses Positions Futures contracts: Currencies $ 11,463 $ - $ 13,106 $ (10,721 ) $ 13,848 Energies 2,020,956 (433,423 ) 343,300 (130,222 ) 1,800,611 Grains 288,920 (257,765 ) 241,782 (167,235 ) 105,702 Interest rates 616,220 (3,980,795 ) 203,333 (20,544 ) (3,181,786 ) Livestock - (18,210 ) 17,370 (200 ) (1,040 ) Metals 4,543,642 (182,931 ) 98,540 (4,020,019 ) 439,232 Softs 20,189 (73,295 ) 65,654 (53,088 ) (40,540 ) Stock indices 1,633,415 (887,110 ) 633,174 (480,444 ) 899,035 Total futures contracts 9,134,805 (5,833,529 ) 1,616,259 (4,882,473 ) 35,062 Forward currency contracts 9,261,243 (2,541,592 ) 2,604,920 (10,309,835 ) (985,264 ) Total futures and forward currency contracts $ 18,396,048 $ (8,375,121 ) $ 4,221,179 $ (15,192,308 ) $ (950,202 ) The effect of trading futures and forward currency contracts is represented on the Master Fund’s Statements of Operations for the three and six months ended June 30, 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 and six months ended June 30, 2022 and 2021 Schedule of trading gains (losses) of futures and forward currency contracts Three months ended: Three months ended: Six months ended: Six months ended: June 30, June 30, June 30, June 30, Sector 2022 2021 2022 2021 Futures contracts: Currencies $ 1,171,479 $ - $ 1,428,995 $ - Energies 14,834,133 13,531,340 41,213,583 20,556,240 Grains 3,495,720 (2,808,688 ) 1,910,299 1,807,131 Interest rates (18,003,261 ) 13,005,358 (17,399,443 ) (2,421,200 ) Livestock 180,340 51,570 148,480 (529,080 ) Metals 5,918,686 6,023,444 (1,812,427 ) 5,020,855 Softs 158,385 (2,210,646 ) 705,166 (1,995,257 ) Stock indices 19,192,045 15,112,656 23,587,125 50,831,652 Total futures contracts 26,947,527 42,705,034 49,781,778 73,270,341 Forward currency contracts 9,429,565 (4,494,893 ) 12,936,145 (9,723,788 ) Total futures and forward currency contracts $ 36,377,092 $ 38,210,141 $ 62,717,923 $ 63,546,553 For the three months ended June 30, 2022 and 2021, the monthly average number of future contracts bought and sold and the monthly average notional value of forward currency contracts traded are detailed below: Schedule of monthly average future and forward currency contracts 2022 2021 Average bought 65,074 75,850 Average sold 65,571 76,557 Average notional $ 3,370,000,000 $ 11,798,000,000 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 The following tables represent gross amounts of assets or liabilities which qualify for offset as presented in the Statements of Financial Condition as of June 30, 2022 and December 31, 2021. Offsetting of derivative assets and liabilities at June 30, 2022 Schedule of Offsetting of derivative assets and liabilities Assets Gross Gross amounts Net amounts Futures contracts Counterparty C $ 5,348,725 $ (876,079 ) $ 4,472,646 Counterparty J 981,457 (129,063 ) 852,394 Counterparty L 15,569,205 (4,909,974 ) 10,659,231 Total futures contracts 21,899,387 (5,915,116 ) 15,984,271 Forward currency contracts Counterparty K 6,694,631 (6,042,883 ) 651,748 Total assets $ 28,594,018 $ (11,957,999 ) $ 16,636,019 Liabilities Gross Gross amounts Net amounts Forward currency contracts Counterparty G $ 6,947,454 $ (5,428,672 ) $ 1,518,782 Total liabilities $ 6,947,454 $ (5,428,672 ) $ 1,518,782 Net amounts Amounts Not Offset in the Statements of Financial Condition Counterparty Financial Financial Collateral (1)(2) Net Amount (3) Counterparty C $ 4,472,646 $ - $ (4,472,646 ) $ - Counterparty J 852,394 - (852,394 ) - Counterparty L 10,659,231 - (10,659,231 ) - Counterparty K 651,748 - - 651,748 Total $ 16,636,019 $ - $ (15,984,271 ) $ 651,748 Net amounts Amounts Not Offset in the Statements of Financial Condition Counterparty Financial Financial Collateral (1)(2) Net Amount (4) Counterparty G $ 1,518,782 $ - $ 1,518,782 $ - Total $ 1,518,782 $ - $ 1,518,782 $ - (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 Statements of Financial Condition, for each respective counterparty. (3) Net amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2022. (4) Net amount represents the amounts owed by the Master Fund to each counterparty as of June 30, 2022. Offsetting of derivative assets and liabilities at December 31, 2021 Assets Gross Gross amounts Net amounts Futures contracts Counterparty J $ 1,771,788 $ (925,604 ) $ 846,184 Counterparty L 7,082,484 (6,862,597 ) 219,887 Total futures contracts 8,854,272 (7,788,201 ) 1,066,071 Total assets $ 8,854,272 $ (7,788,201 ) $ 1,066,071 Liabilities Gross Gross amounts Net amounts Futures contracts Counterparty C $ 2,927,801 $ (1,896,792 ) $ 1,031,009 Forward currency contracts Counterparty G $ 5,584,433 $ (4,738,867 ) $ 845,566 Counterparty K 7,266,994 (7,127,296 ) 139,698 Total forward contracts 12,851,427 (11,866,163 ) 985,264 Total liabilities $ 15,779,228 $ (13,762,955 ) $ 2,016,273 Net amounts Amounts Not Offset in the Statements of Financial Condition Counterparty Financial Financial Collateral (1)(2) Net Amount (3) Counterparty J $ 846,184 $ - $ (846,184 ) $ - Counterparty L 219,887 - (219,887 ) - Total $ 1,066,071 $ - $ (1,066,071 ) $ - Net amounts Amounts Not Offset in the Statement of Financial Condition Counterparty Financial Financial Collateral (1)(2) Net Amount (4) Counterparty C $ 1,031,009 $ - $ 1,031,009 $ - Counterparty G 845,566 - 845,566 - Counterparty K 139,698 - 139,698 - Total $ 2,016,273 $ - $ 2,016,273 $ - (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, 2021. (4) Net amount represents the amounts owed by the Master Fund to each counterparty as of December 31, 2021. 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 $ 35,486,056 31,976,629 |
PROFIT SHARE
PROFIT SHARE | 6 Months Ended |
Jun. 30, 2022 | |
Millburn Multi Markets Trading L P [Member] | |
PROFIT SHARE | 5. PROFIT SHARE The following table indicates the total profit share earned and accrued during the three and six months ended June 30, 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. Schedule of profit share Three months ended: Three months ended: June 30, June 30, Profit share earned $ 73,179 $ 197,362 Reversal of profit share (1) (2,164,421 ) (314,956 ) Profit share accrued 8,275,852 1,318,781 Total profit share $ 6,184,610 $ 1,201,187 Six months ended: Six months ended: June 30, June 30, Profit share earned $ 73,179 $ 197,556 Profit share accrued 8,275,852 1,318,781 Total profit share $ 8,349,031 $ 1,516,337 (1) Reversal of profit share occurs on April 1st |
FINANCIAL HIGHLIGHTS (Tables)
FINANCIAL HIGHLIGHTS (Tables) | 6 Months Ended |
Jun. 30, 2022 | |
Financial Highlights | |
Schedule of weighted number of units | Schedule of weighted number of units Three months ended Six months ended 2022 2021 2022 2021 Series A 91,566.012 94,115.569 91,305.247 96,155.410 Series B 4,921.973 5,217.391 4,961.875 5,392.686 Series C 2,273.031 2,638.080 2,223.496 2,832.674 Series D 5,575.760 10,200.782 6,227.851 11,470.111 |
INVESTORS IN MILLBURN MULTI-M_2
INVESTORS IN MILLBURN MULTI-MARKETS TRADING L.P. (Tables) | 6 Months Ended |
Jun. 30, 2022 | |
Schedule of capital withdrawals payable | Schedule of capital withdrawals payable June 30, December 31, 2022 2021 Direct investors (1) $ - $ 894,583 Partnership - 1,449,036 Cayman Feeder 500,000 41,777,144 Total $ 500,000 $ 44,120,763 (1) Includes General Partner’s profit share of $ 894,583 |
Millburn Multi Markets Trading L P [Member] | |
Schedule of interests are held by direct investors in the Master Fund | Schedule of interests are held by direct investors in the Master Fund June 30, December 31, Partnership 32.32 % 32.02 % Cayman Feeder 53.33 % 54.63 % Total 85.65 % 86.65 % |
FAIR VALUE (Tables)
FAIR VALUE (Tables) | 6 Months Ended |
Jun. 30, 2022 | |
Millburn Multi Markets Trading L P [Member] | |
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis | Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis Level 1 Level 2 Total U.S. Treasury notes (1) $ 383,094,013 $ - $ 383,094,013 Short-Term Money Market Fund* 37,440,596 - 37,440,596 Exchange-traded futures contracts Currencies (7,532 ) - (7,532 ) Energies 2,465,312 - 2,465,312 Grains 2,358,529 - 2,358,529 Interest rates 6,628,503 - 6,628,503 Livestock (19,150 ) - (19,150 ) Metals 2,283,140 - 2,283,140 Softs 268,081 - 268,081 Stock indices 2,007,388 - 2,007,388 Total exchange-traded futures contracts 15,984,271 - 15,984,271 Over-the-counter forward currency contracts - (867,034 ) (867,034 ) Total futures and forward currency contracts (2) 15,984,271 (867,034 ) 15,117,237 Total financial assets and liabilities at fair value $ 436,518,880 $ (867,034 ) $ 435,651,846 Per line item in the Statements of Financial Condition (1) Investments in U.S. Treasury notes held in equity trading accounts as collateral $ 70,427,624 Investments in U.S. Treasury notes held in custody 312,666,389 Total investments in U.S. Treasury notes $ 383,094,013 (2) Net unrealized appreciation on open futures and forward currency contracts $ 16,636,019 Net unrealized depreciation on open futures and forward currency contracts (1,518,782 ) Total net unrealized appreciation on open futures and forward currency contracts $ 15,117,237 * The short-term money market fund is included in Cash and Cash Equivalents in the Statements of Financial Condition. Financial assets and liabilities at fair value as of December 31, 2021 Level 1 Level 2 Total U.S. Treasury notes (1) $ 393,373,462 $ - $ 393,373,462 Short-Term Money Market Fund* 30,509,711 - 30,509,711 Exchange-traded futures contracts Currencies 13,848 - 13,848 Energies 1,800,611 - 1,800,611 Grains 105,702 - 105,702 Interest rates (3,181,786 ) - (3,181,786 ) Livestock (1,040 ) - (1,040 ) Metals 439,232 - 439,232 Softs (40,540 ) - (40,540 ) Stock indices 899,035 - 899,035 Total exchange-traded futures contracts 35,062 - 35,062 Over-the-counter forward currency contracts - (985,264 ) (985,264 ) Total futures and forward currency contracts (2) 35,062 (985,264 ) (950,202 ) Total financial assets and liabilities at fair value $ 423,918,235 $ (985,264 ) $ 422,932,971 Per line item in Statements of Financial Condition (1) Investments in U.S. Treasury notes held in equity trading accounts as collateral $ 72,137,475 Investments in U.S. Treasury notes 321,235,987 Total investments in U.S. Treasury notes $ 393,373,462 (2) Net unrealized appreciation on open futures and forward currency contracts $ 1,066,071 Net unrealized depreciation on open futures and forward currency contracts (2,016,273 ) Total net unrealized depreciation on open futures and forward currency contracts $ (950,202 ) * The short-term money market fund is included in Cash and Cash Equivalents on the Statements of Financial Condition. |
DERIVATIVE INSTRUMENTS (Tables)
DERIVATIVE INSTRUMENTS (Tables) - Millburn Multi Markets Trading L P [Member] | 6 Months Ended |
Jun. 30, 2022 | |
Schedule of fair value of futures and forward currency contracts | Schedule of fair value of futures and forward currency contracts Net Unrealized Fair Value - Long Positions Fair Value - Short Positions Open Sector Gains Losses Gains Losses Positions Futures contracts: Currencies $ 4,205 $ (5,920 ) $ 24,491 $ (30,308 ) $ (7,532 ) Energies 147,057 (246,091 ) 2,568,728 (4,382 ) 2,465,312 Grains - - 2,637,195 (278,666 ) 2,358,529 Interest rates 6,647,450 (12,581 ) 3,621 (9,987 ) 6,628,503 Livestock 250 (19,300 ) 130 (230 ) (19,150 ) Metals 10,021 (4,430,878 ) 6,724,526 (20,529 ) 2,283,140 Softs 20,231 (23,950 ) 377,523 (105,723 ) 268,081 Stock indices 307 (222,110 ) 2,733,652 (504,461 ) 2,007,388 Total futures contracts 6,829,521 (4,960,830 ) 15,069,866 (954,286 ) 15,984,271 Forward currency contracts 1,956,096 (8,413,717 ) 10,167,207 (4,576,620 ) (867,034 ) Total futures and forward currency contracts $ 8,785,617 $ (13,374,547 ) $ 25,237,073 $ (5,530,906 ) $ 15,117,237 Fair value of futures and forward currency contracts at December 31, 2021 Net Unrealized Fair Value - Long Positions Fair Value - Short Positions Open Sector Gains Losses Gains Losses Positions Futures contracts: Currencies $ 11,463 $ - $ 13,106 $ (10,721 ) $ 13,848 Energies 2,020,956 (433,423 ) 343,300 (130,222 ) 1,800,611 Grains 288,920 (257,765 ) 241,782 (167,235 ) 105,702 Interest rates 616,220 (3,980,795 ) 203,333 (20,544 ) (3,181,786 ) Livestock - (18,210 ) 17,370 (200 ) (1,040 ) Metals 4,543,642 (182,931 ) 98,540 (4,020,019 ) 439,232 Softs 20,189 (73,295 ) 65,654 (53,088 ) (40,540 ) Stock indices 1,633,415 (887,110 ) 633,174 (480,444 ) 899,035 Total futures contracts 9,134,805 (5,833,529 ) 1,616,259 (4,882,473 ) 35,062 Forward currency contracts 9,261,243 (2,541,592 ) 2,604,920 (10,309,835 ) (985,264 ) Total futures and forward currency contracts $ 18,396,048 $ (8,375,121 ) $ 4,221,179 $ (15,192,308 ) $ (950,202 ) |
Schedule of trading gains (losses) of futures and forward currency contracts | Schedule of trading gains (losses) of futures and forward currency contracts Three months ended: Three months ended: Six months ended: Six months ended: June 30, June 30, June 30, June 30, Sector 2022 2021 2022 2021 Futures contracts: Currencies $ 1,171,479 $ - $ 1,428,995 $ - Energies 14,834,133 13,531,340 41,213,583 20,556,240 Grains 3,495,720 (2,808,688 ) 1,910,299 1,807,131 Interest rates (18,003,261 ) 13,005,358 (17,399,443 ) (2,421,200 ) Livestock 180,340 51,570 148,480 (529,080 ) Metals 5,918,686 6,023,444 (1,812,427 ) 5,020,855 Softs 158,385 (2,210,646 ) 705,166 (1,995,257 ) Stock indices 19,192,045 15,112,656 23,587,125 50,831,652 Total futures contracts 26,947,527 42,705,034 49,781,778 73,270,341 Forward currency contracts 9,429,565 (4,494,893 ) 12,936,145 (9,723,788 ) Total futures and forward currency contracts $ 36,377,092 $ 38,210,141 $ 62,717,923 $ 63,546,553 |
Schedule of monthly average future and forward currency contracts | Schedule of monthly average future and forward currency contracts 2022 2021 Average bought 65,074 75,850 Average sold 65,571 76,557 Average notional $ 3,370,000,000 $ 11,798,000,000 |
Schedule of Offsetting of derivative assets and liabilities | Schedule of Offsetting of derivative assets and liabilities Assets Gross Gross amounts Net amounts Futures contracts Counterparty C $ 5,348,725 $ (876,079 ) $ 4,472,646 Counterparty J 981,457 (129,063 ) 852,394 Counterparty L 15,569,205 (4,909,974 ) 10,659,231 Total futures contracts 21,899,387 (5,915,116 ) 15,984,271 Forward currency contracts Counterparty K 6,694,631 (6,042,883 ) 651,748 Total assets $ 28,594,018 $ (11,957,999 ) $ 16,636,019 Liabilities Gross Gross amounts Net amounts Forward currency contracts Counterparty G $ 6,947,454 $ (5,428,672 ) $ 1,518,782 Total liabilities $ 6,947,454 $ (5,428,672 ) $ 1,518,782 Net amounts Amounts Not Offset in the Statements of Financial Condition Counterparty Financial Financial Collateral (1)(2) Net Amount (3) Counterparty C $ 4,472,646 $ - $ (4,472,646 ) $ - Counterparty J 852,394 - (852,394 ) - Counterparty L 10,659,231 - (10,659,231 ) - Counterparty K 651,748 - - 651,748 Total $ 16,636,019 $ - $ (15,984,271 ) $ 651,748 Net amounts Amounts Not Offset in the Statements of Financial Condition Counterparty Financial Financial Collateral (1)(2) Net Amount (4) Counterparty G $ 1,518,782 $ - $ 1,518,782 $ - Total $ 1,518,782 $ - $ 1,518,782 $ - (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 Statements of Financial Condition, for each respective counterparty. (3) Net amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2022. (4) Net amount represents the amounts owed by the Master Fund to each counterparty as of June 30, 2022. Offsetting of derivative assets and liabilities at December 31, 2021 Assets Gross Gross amounts Net amounts Futures contracts Counterparty J $ 1,771,788 $ (925,604 ) $ 846,184 Counterparty L 7,082,484 (6,862,597 ) 219,887 Total futures contracts 8,854,272 (7,788,201 ) 1,066,071 Total assets $ 8,854,272 $ (7,788,201 ) $ 1,066,071 Liabilities Gross Gross amounts Net amounts Futures contracts Counterparty C $ 2,927,801 $ (1,896,792 ) $ 1,031,009 Forward currency contracts Counterparty G $ 5,584,433 $ (4,738,867 ) $ 845,566 Counterparty K 7,266,994 (7,127,296 ) 139,698 Total forward contracts 12,851,427 (11,866,163 ) 985,264 Total liabilities $ 15,779,228 $ (13,762,955 ) $ 2,016,273 Net amounts Amounts Not Offset in the Statements of Financial Condition Counterparty Financial Financial Collateral (1)(2) Net Amount (3) Counterparty J $ 846,184 $ - $ (846,184 ) $ - Counterparty L 219,887 - (219,887 ) - Total $ 1,066,071 $ - $ (1,066,071 ) $ - Net amounts Amounts Not Offset in the Statement of Financial Condition Counterparty Financial Financial Collateral (1)(2) Net Amount (4) Counterparty C $ 1,031,009 $ - $ 1,031,009 $ - Counterparty G 845,566 - 845,566 - Counterparty K 139,698 - 139,698 - Total $ 2,016,273 $ - $ 2,016,273 $ - (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, 2021. (4) Net amount represents the amounts owed by the Master Fund to each counterparty as of December 31, 2021. |
PROFIT SHARE (Tables)
PROFIT SHARE (Tables) | 6 Months Ended |
Jun. 30, 2022 | |
Millburn Multi Markets Trading L P [Member] | |
Schedule of profit share | Schedule of profit share Three months ended: Three months ended: June 30, June 30, Profit share earned $ 73,179 $ 197,362 Reversal of profit share (1) (2,164,421 ) (314,956 ) Profit share accrued 8,275,852 1,318,781 Total profit share $ 6,184,610 $ 1,201,187 Six months ended: Six months ended: June 30, June 30, Profit share earned $ 73,179 $ 197,556 Profit share accrued 8,275,852 1,318,781 Total profit share $ 8,349,031 $ 1,516,337 (1) Reversal of profit share occurs on April 1st |
INVESTMENT IN MILLBURN MULTI-_2
INVESTMENT IN MILLBURN MULTI-MARKETS TRADING L.P. (Details Narrative) | Jun. 30, 2022 | Dec. 31, 2021 |
Investments, All Other Investments [Abstract] | ||
Partnerships investment | 32.32% | 32.02% |
RELATED PARTY TRANSACTIONS (Det
RELATED PARTY TRANSACTIONS (Details Narrative) | 6 Months Ended |
Jun. 30, 2022 | |
Related Party Transactions [Abstract] | |
Description of administrative and operating expenses related to investors | 1/2 of 1% per annum of the Partnership’s average month-end partners’ capital. |
FINANCIAL HIGHLIGHTS (Details)
FINANCIAL HIGHLIGHTS (Details) - shares | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | |
Series A [Member] | ||||
Auction Market Preferred Securities, Stock Series [Line Items] | ||||
Weighted average number of units | 91,566.012 | 94,115.569 | 91,305.247 | 96,155.410 |
Series B [Member] | ||||
Auction Market Preferred Securities, Stock Series [Line Items] | ||||
Weighted average number of units | 4,921.973 | 5,217.391 | 4,961.875 | 5,392.686 |
Series C [Member] | ||||
Auction Market Preferred Securities, Stock Series [Line Items] | ||||
Weighted average number of units | 2,273.031 | 2,638.080 | 2,223.496 | 2,832.674 |
Series D [Member] | ||||
Auction Market Preferred Securities, Stock Series [Line Items] | ||||
Weighted average number of units | 5,575.760 | 10,200.782 | 6,227.851 | 11,470.111 |
SUBSEQUENT EVENTS (Details Narr
SUBSEQUENT EVENTS (Details Narrative) - USD ($) | 1 Months Ended | 6 Months Ended | |
Aug. 12, 2022 | Jun. 30, 2022 | Jun. 30, 2021 | |
Subsequent Event [Line Items] | |||
Contributions | $ 5,060,000 | $ 374,000 | |
Subsequent Event [Member] | |||
Subsequent Event [Line Items] | |||
Contributions | $ 440,000 | ||
Subsequent Event [Member] | Millburn Multi Markets Trading L P [Member] | |||
Subsequent Event [Line Items] | |||
Contributions | $ 38,040,000 |
INVESTORS IN MILLBURN MULTI-M_3
INVESTORS IN MILLBURN MULTI-MARKETS TRADING L.P. (Details) - Millburn Multi Markets Trading L P [Member] | Jun. 30, 2022 | Dec. 31, 2021 |
Noncontrolling Interest, Ownership Percentage by Noncontrolling Owners | 85.65% | 86.65% |
Partnerships [Member] | ||
Noncontrolling Interest, Ownership Percentage by Noncontrolling Owners | 32.32% | 32.02% |
Cayman Feeder [Member] | ||
Noncontrolling Interest, Ownership Percentage by Noncontrolling Owners | 53.33% | 54.63% |
INVESTORS IN MILLBURN MULTI-M_4
INVESTORS IN MILLBURN MULTI-MARKETS TRADING L.P. (Details 1) - USD ($) | Jun. 30, 2022 | Dec. 31, 2021 | |
Millburn Multi Markets Trading L P [Member] | |||
Capital withdrawals payable | $ 500,000 | $ 44,120,763 | |
Millburn Multi Markets Trading L P [Member] | |||
Capital withdrawal payable to General Partner | 894,583 | ||
Direct Investor [Member] | Millburn Multi Markets Trading L P [Member] | |||
Capital withdrawals payable | [1] | 894,583 | |
Partnerships [Member] | Millburn Multi Markets Trading L P [Member] | |||
Capital withdrawals payable | 1,449,036 | ||
Cayman Feeder [Member] | Millburn Multi Markets Trading L P [Member] | |||
Capital withdrawals payable | $ 500,000 | $ 41,777,144 | |
[1]Includes General Partner’s profit share of $ 894,583 |
INVESTORS IN MILLBURN MULTI-M_5
INVESTORS IN MILLBURN MULTI-MARKETS TRADING L.P. (Details Narrative) - USD ($) | Jun. 30, 2022 | Dec. 31, 2021 |
Millburn Multi Markets Trading L P [Member] | ||
Capital withdrawals payable | $ 500,000 | $ 44,120,763 |
FAIR VALUE (Details)
FAIR VALUE (Details) - Millburn Multi Markets Trading L P [Member] - USD ($) | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2022 | Dec. 31, 2021 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Derivative Assets (Liabilities), at Fair Value, Net | $ 15,117,237 | $ (950,202) | ||
Fair Value, Net Asset (Liability) | 435,651,846 | 422,932,971 | ||
Investments in U.S. Treasury notes | 70,427,624 | 72,137,475 | ||
Financial Instruments, Owned, US Government and Agency Obligations, at Fair Value | 312,666,389 | 321,235,987 | ||
Financial Instruments, Owned, at Fair Value | 383,094,013 | 393,373,462 | ||
Net unrealized appreciation on open futures and forward currency contracts | 16,636,019 | 1,066,071 | ||
Net unrealized depreciation on open futures and forward currency contracts | (1,518,782) | (2,016,273) | ||
Unrealized Gain (Loss) on Derivatives | 15,117,237 | (950,202) | ||
Future [Member] | Exchange Traded [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total exchange-traded futures contracts | 15,984,271 | 35,062 | ||
Forward Contracts [Member] | Over-the-Counter [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Derivative forward currency contract | (867,034) | (985,264) | ||
Currencies [Member] | Future [Member] | Exchange Traded [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total exchange-traded futures contracts | (7,532) | 13,848 | ||
Energy Related Derivative [Member] | Future [Member] | Exchange Traded [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total exchange-traded futures contracts | 2,465,312 | 1,800,611 | ||
Commodity Contract [Member] | Future [Member] | Exchange Traded [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total exchange-traded futures contracts | 2,358,529 | 105,702 | ||
Interest Rate Contract [Member] | Future [Member] | Exchange Traded [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total exchange-traded futures contracts | 6,628,503 | (3,181,786) | ||
Livestock Contract [Member] | Future [Member] | Exchange Traded [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total exchange-traded futures contracts | (19,150) | (1,040) | ||
Metal Contract [Member] | Future [Member] | Exchange Traded [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total exchange-traded futures contracts | 2,283,140 | 439,232 | ||
Softs Contract [Member] | Future [Member] | Exchange Traded [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total exchange-traded futures contracts | 268,081 | (40,540) | ||
Stock Indices Contract [Member] | Future [Member] | Exchange Traded [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total exchange-traded futures contracts | 2,007,388 | 899,035 | ||
US Treasury Notes Securities [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investment Owned, at Fair Value | 383,094,013 | 393,373,462 | ||
Money Market Funds [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investment Owned, at Fair Value | 37,440,596 | [1] | 30,509,711 | [2] |
Fair Value, Inputs, Level 1 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Derivative Assets (Liabilities), at Fair Value, Net | 15,984,271 | 35,062 | ||
Fair Value, Net Asset (Liability) | 436,518,880 | 423,918,235 | ||
Fair Value, Inputs, Level 1 [Member] | Future [Member] | Exchange Traded [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total exchange-traded futures contracts | 15,984,271 | 35,062 | ||
Fair Value, Inputs, Level 1 [Member] | Forward Contracts [Member] | Over-the-Counter [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Derivative forward currency contract | ||||
Fair Value, Inputs, Level 1 [Member] | Currencies [Member] | Future [Member] | Exchange Traded [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total exchange-traded futures contracts | (7,532) | 13,848 | ||
Fair Value, Inputs, Level 1 [Member] | Energy Related Derivative [Member] | Future [Member] | Exchange Traded [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total exchange-traded futures contracts | 2,465,312 | 1,800,611 | ||
Fair Value, Inputs, Level 1 [Member] | Commodity Contract [Member] | Future [Member] | Exchange Traded [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total exchange-traded futures contracts | 2,358,529 | 105,702 | ||
Fair Value, Inputs, Level 1 [Member] | Interest Rate Contract [Member] | Future [Member] | Exchange Traded [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total exchange-traded futures contracts | 6,628,503 | (3,181,786) | ||
Fair Value, Inputs, Level 1 [Member] | Livestock Contract [Member] | Future [Member] | Exchange Traded [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total exchange-traded futures contracts | (19,150) | (1,040) | ||
Fair Value, Inputs, Level 1 [Member] | Metal Contract [Member] | Future [Member] | Exchange Traded [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total exchange-traded futures contracts | 2,283,140 | 439,232 | ||
Fair Value, Inputs, Level 1 [Member] | Softs Contract [Member] | Future [Member] | Exchange Traded [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total exchange-traded futures contracts | 268,081 | (40,540) | ||
Fair Value, Inputs, Level 1 [Member] | Stock Indices Contract [Member] | Future [Member] | Exchange Traded [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total exchange-traded futures contracts | 2,007,388 | 899,035 | ||
Fair Value, Inputs, Level 1 [Member] | US Treasury Notes Securities [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investment Owned, at Fair Value | 383,094,013 | 393,373,462 | ||
Fair Value, Inputs, Level 1 [Member] | Money Market Funds [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investment Owned, at Fair Value | 37,440,596 | [1] | 30,509,711 | [2] |
Fair Value, Inputs, Level 2 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Derivative Assets (Liabilities), at Fair Value, Net | (867,034) | (985,264) | ||
Fair Value, Net Asset (Liability) | (867,034) | (985,264) | ||
Fair Value, Inputs, Level 2 [Member] | Future [Member] | Exchange Traded [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total exchange-traded futures contracts | ||||
Fair Value, Inputs, Level 2 [Member] | Forward Contracts [Member] | Over-the-Counter [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Derivative forward currency contract | (867,034) | (985,264) | ||
Fair Value, Inputs, Level 2 [Member] | Currencies [Member] | Future [Member] | Exchange Traded [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total exchange-traded futures contracts | ||||
Fair Value, Inputs, Level 2 [Member] | Energy Related Derivative [Member] | Future [Member] | Exchange Traded [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total exchange-traded futures contracts | ||||
Fair Value, Inputs, Level 2 [Member] | Commodity Contract [Member] | Future [Member] | Exchange Traded [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total exchange-traded futures contracts | ||||
Fair Value, Inputs, Level 2 [Member] | Interest Rate Contract [Member] | Future [Member] | Exchange Traded [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total exchange-traded futures contracts | ||||
Fair Value, Inputs, Level 2 [Member] | Livestock Contract [Member] | Future [Member] | Exchange Traded [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total exchange-traded futures contracts | ||||
Fair Value, Inputs, Level 2 [Member] | Metal Contract [Member] | Future [Member] | Exchange Traded [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total exchange-traded futures contracts | ||||
Fair Value, Inputs, Level 2 [Member] | Softs Contract [Member] | Future [Member] | Exchange Traded [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total exchange-traded futures contracts | ||||
Fair Value, Inputs, Level 2 [Member] | Stock Indices Contract [Member] | Future [Member] | Exchange Traded [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total exchange-traded futures contracts | ||||
Fair Value, Inputs, Level 2 [Member] | US Treasury Notes Securities [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investment Owned, at Fair Value | ||||
Fair Value, Inputs, Level 2 [Member] | Money Market Funds [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investment Owned, at Fair Value | [1] | [2] | ||
[1]The short-term money market fund is included in Cash and Cash Equivalents in the Statements of Financial Condition.[2]The short-term money market fund is included in Cash and Cash Equivalents on the Statements of Financial Condition. |
DERIVATIVE INSTRUMENTS (Details
DERIVATIVE INSTRUMENTS (Details) - Millburn Multi Markets Trading L P [Member] - USD ($) | Jun. 30, 2022 | Dec. 31, 2021 |
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | $ 15,117,237 | $ (950,202) |
Exchange Traded Futures Contracts Currencies [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | (7,532) | 13,848 |
Exchange Traded Futures Contracts Energies [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | 2,465,312 | 1,800,611 |
Exchange Traded Futures Contracts Grains [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | 2,358,529 | 105,702 |
Interest Rate Contract [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | 6,628,503 | (3,181,786) |
Exchange Traded Futures Contracts Livestock [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | (19,150) | (1,040) |
Exchange Traded Futures Contracts Metals [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | 2,283,140 | 439,232 |
Exchange Traded Futures Contracts Softs [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | 268,081 | (40,540) |
Exchange Traded Futures Contracts Stock Indices [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | 2,007,388 | 899,035 |
Future [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | 15,984,271 | 35,062 |
Forward Contracts [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | (867,034) | (985,264) |
Futures And Forward Currency Contracts Gains [Member] | Long [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | 8,785,617 | 18,396,048 |
Futures And Forward Currency Contracts Gains [Member] | Short [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | 25,237,073 | 4,221,179 |
Futures And Forward Currency Contracts Gains [Member] | Exchange Traded Futures Contracts Currencies [Member] | Long [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | 4,205 | 11,463 |
Futures And Forward Currency Contracts Gains [Member] | Exchange Traded Futures Contracts Currencies [Member] | Short [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | 24,491 | 13,106 |
Futures And Forward Currency Contracts Gains [Member] | Exchange Traded Futures Contracts Energies [Member] | Long [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | 147,057 | 2,020,956 |
Futures And Forward Currency Contracts Gains [Member] | Exchange Traded Futures Contracts Energies [Member] | Short [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | 2,568,728 | 343,300 |
Futures And Forward Currency Contracts Gains [Member] | Exchange Traded Futures Contracts Grains [Member] | Long [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | 288,920 | |
Futures And Forward Currency Contracts Gains [Member] | Exchange Traded Futures Contracts Grains [Member] | Short [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | 2,637,195 | 241,782 |
Futures And Forward Currency Contracts Gains [Member] | Interest Rate Contract [Member] | Long [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | 6,647,450 | 616,220 |
Futures And Forward Currency Contracts Gains [Member] | Interest Rate Contract [Member] | Short [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | 3,621 | 203,333 |
Futures And Forward Currency Contracts Gains [Member] | Exchange Traded Futures Contracts Livestock [Member] | Long [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | 250 | |
Futures And Forward Currency Contracts Gains [Member] | Exchange Traded Futures Contracts Livestock [Member] | Short [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | 130 | 17,370 |
Futures And Forward Currency Contracts Gains [Member] | Exchange Traded Futures Contracts Metals [Member] | Long [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | 10,021 | 4,543,642 |
Futures And Forward Currency Contracts Gains [Member] | Exchange Traded Futures Contracts Metals [Member] | Short [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | 6,724,526 | 98,540 |
Futures And Forward Currency Contracts Gains [Member] | Exchange Traded Futures Contracts Softs [Member] | Long [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | 20,231 | 20,189 |
Futures And Forward Currency Contracts Gains [Member] | Exchange Traded Futures Contracts Softs [Member] | Short [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | 377,523 | 65,654 |
Futures And Forward Currency Contracts Gains [Member] | Exchange Traded Futures Contracts Stock Indices [Member] | Long [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | 307 | 1,633,415 |
Futures And Forward Currency Contracts Gains [Member] | Exchange Traded Futures Contracts Stock Indices [Member] | Short [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | 2,733,652 | 633,174 |
Futures And Forward Currency Contracts Gains [Member] | Future [Member] | Long [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | 6,829,521 | 9,134,805 |
Futures And Forward Currency Contracts Gains [Member] | Future [Member] | Short [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | 15,069,866 | 1,616,259 |
Futures And Forward Currency Contracts Gains [Member] | Forward Contracts [Member] | Long [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | 1,956,096 | 9,261,243 |
Futures And Forward Currency Contracts Gains [Member] | Forward Contracts [Member] | Short [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | 10,167,207 | 2,604,920 |
Futures And Forward Currency Contracts Losses [Member] | Long [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | (13,374,547) | (8,375,121) |
Futures And Forward Currency Contracts Losses [Member] | Short [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | (5,530,906) | (15,192,308) |
Futures And Forward Currency Contracts Losses [Member] | Exchange Traded Futures Contracts Currencies [Member] | Long [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | (5,920) | |
Futures And Forward Currency Contracts Losses [Member] | Exchange Traded Futures Contracts Currencies [Member] | Short [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | (30,308) | (10,721) |
Futures And Forward Currency Contracts Losses [Member] | Exchange Traded Futures Contracts Energies [Member] | Long [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | (246,091) | (433,423) |
Futures And Forward Currency Contracts Losses [Member] | Exchange Traded Futures Contracts Energies [Member] | Short [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | (4,382) | (130,222) |
Futures And Forward Currency Contracts Losses [Member] | Exchange Traded Futures Contracts Grains [Member] | Long [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | (257,765) | |
Futures And Forward Currency Contracts Losses [Member] | Exchange Traded Futures Contracts Grains [Member] | Short [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | (278,666) | (167,235) |
Futures And Forward Currency Contracts Losses [Member] | Interest Rate Contract [Member] | Long [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | (12,581) | (3,980,795) |
Futures And Forward Currency Contracts Losses [Member] | Interest Rate Contract [Member] | Short [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | (9,987) | (20,544) |
Futures And Forward Currency Contracts Losses [Member] | Exchange Traded Futures Contracts Livestock [Member] | Long [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | (19,300) | (18,210) |
Futures And Forward Currency Contracts Losses [Member] | Exchange Traded Futures Contracts Livestock [Member] | Short [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | (230) | (200) |
Futures And Forward Currency Contracts Losses [Member] | Exchange Traded Futures Contracts Metals [Member] | Long [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | (4,430,878) | (182,931) |
Futures And Forward Currency Contracts Losses [Member] | Exchange Traded Futures Contracts Metals [Member] | Short [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | (20,529) | (4,020,019) |
Futures And Forward Currency Contracts Losses [Member] | Exchange Traded Futures Contracts Softs [Member] | Long [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | (23,950) | (73,295) |
Futures And Forward Currency Contracts Losses [Member] | Exchange Traded Futures Contracts Softs [Member] | Short [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | (105,723) | (53,088) |
Futures And Forward Currency Contracts Losses [Member] | Exchange Traded Futures Contracts Stock Indices [Member] | Long [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | (222,110) | (887,110) |
Futures And Forward Currency Contracts Losses [Member] | Exchange Traded Futures Contracts Stock Indices [Member] | Short [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | (504,461) | (480,444) |
Futures And Forward Currency Contracts Losses [Member] | Future [Member] | Long [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | (4,960,830) | (5,833,529) |
Futures And Forward Currency Contracts Losses [Member] | Future [Member] | Short [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | (954,286) | (4,882,473) |
Futures And Forward Currency Contracts Losses [Member] | Forward Contracts [Member] | Long [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | (8,413,717) | (2,541,592) |
Futures And Forward Currency Contracts Losses [Member] | Forward Contracts [Member] | Short [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets (Liabilities), at Fair Value, Net | $ (4,576,620) | $ (10,309,835) |
DERIVATIVE INSTRUMENTS (Detai_2
DERIVATIVE INSTRUMENTS (Details 1) - Millburn Multi Markets Trading L P [Member] - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Trading Gain (Loss) | $ 36,377,092 | $ 38,210,141 | $ 62,717,923 | $ 63,546,553 |
Exchange Traded Futures Contracts Currencies [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Trading Gain (Loss) | 1,171,479 | 1,428,995 | ||
Exchange Traded Futures Contracts Energies [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Trading Gain (Loss) | 14,834,133 | 13,531,340 | 41,213,583 | 20,556,240 |
Exchange Traded Futures Contracts Grains [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Trading Gain (Loss) | 3,495,720 | (2,808,688) | 1,910,299 | 1,807,131 |
Interest Rate Contract [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Trading Gain (Loss) | (18,003,261) | 13,005,358 | (17,399,443) | (2,421,200) |
Exchange Traded Futures Contracts Livestock [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Trading Gain (Loss) | 180,340 | 51,570 | 148,480 | (529,080) |
Exchange Traded Futures Contracts Metals [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Trading Gain (Loss) | 5,918,686 | 6,023,444 | (1,812,427) | 5,020,855 |
Exchange Traded Futures Contracts Softs [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Trading Gain (Loss) | 158,385 | (2,210,646) | 705,166 | (1,995,257) |
Exchange Traded Futures Contracts Stock Indices [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Trading Gain (Loss) | 19,192,045 | 15,112,656 | 23,587,125 | 50,831,652 |
Future [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Trading Gain (Loss) | 26,947,527 | 42,705,034 | 49,781,778 | 73,270,341 |
Forward Contracts [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Trading Gain (Loss) | $ 9,429,565 | $ (4,494,893) | $ 12,936,145 | $ (9,723,788) |
DERIVATIVE INSTRUMENTS (Detai_3
DERIVATIVE INSTRUMENTS (Details 2) - Millburn Multi Markets Trading L P [Member] | 6 Months Ended | |
Jun. 30, 2022 USD ($) Decimal | Jun. 30, 2021 USD ($) Decimal | |
Average bought | 65,074 | 75,850 |
Average sold | 65,571 | 76,557 |
Average notional | $ | $ 3,370,000,000 | $ 11,798,000,000 |
DERIVATIVE INSTRUMENTS (Detai_4
DERIVATIVE INSTRUMENTS (Details 3) - Millburn Multi Markets Trading L P [Member] - USD ($) | Jun. 30, 2022 | Dec. 31, 2021 | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gross amounts of recognized assets | $ 28,594,018 | $ 8,854,272 | |||
Gross amounts offset in the Statement of Financial Condition | (11,957,999) | (7,788,201) | |||
Net amounts of assets presented in the Statements of Financial Condition | 16,636,019 | 1,066,071 | |||
Gross amounts of recognized liabilities | 6,947,454 | 15,779,228 | |||
Gross amounts offset in the Statement of Financial Condition | (5,428,672) | (13,762,955) | |||
Net amounts of liabilities presented in the Statements of Financial Condition | 1,518,782 | 2,016,273 | |||
Financial Instruments | |||||
Collateral Received | (15,984,271) | [1],[2] | (1,066,071) | [3],[4] | |
Derivative Asset, Fair Value, Offset Against Collateral, Net of Not Subject to Master Netting Arrangement, Policy Election | 651,748 | [5] | [6] | ||
Collateral pledged | 1,518,782 | [1],[2] | 2,016,273 | [3],[4] | |
Derivative Liability, Fair Value, Offset Against Collateral, Net of Not Subject to Master Netting Arrangement, Policy Election | [7] | [8] | |||
Future [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gross amounts of recognized assets | 21,899,387 | 8,854,272 | |||
Gross amounts offset in the Statement of Financial Condition | (5,915,116) | (7,788,201) | |||
Net amounts of assets presented in the Statements of Financial Condition | 15,984,271 | 1,066,071 | |||
Forward Contracts [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gross amounts of recognized liabilities | 12,851,427 | ||||
Gross amounts offset in the Statement of Financial Condition | (11,866,163) | ||||
Net amounts of liabilities presented in the Statements of Financial Condition | 985,264 | ||||
Counterparty C [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net amounts of assets presented in the Statements of Financial Condition | 4,472,646 | ||||
Net amounts of liabilities presented in the Statements of Financial Condition | 1,031,009 | ||||
Financial Instruments | |||||
Collateral Received | [1],[2] | (4,472,646) | |||
Derivative Asset, Fair Value, Offset Against Collateral, Net of Not Subject to Master Netting Arrangement, Policy Election | [5] | ||||
Collateral pledged | [3],[4] | 1,031,009 | |||
Derivative Liability, Fair Value, Offset Against Collateral, Net of Not Subject to Master Netting Arrangement, Policy Election | [8] | ||||
Counterparty C [Member] | Future [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gross amounts of recognized assets | 5,348,725 | ||||
Gross amounts offset in the Statement of Financial Condition | (876,079) | ||||
Net amounts of assets presented in the Statements of Financial Condition | 4,472,646 | ||||
Counterparty C [Member] | Futures Contracts [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gross amounts of recognized liabilities | 2,927,801 | ||||
Gross amounts offset in the Statement of Financial Condition | (1,896,792) | ||||
Net amounts of liabilities presented in the Statements of Financial Condition | 1,031,009 | ||||
Counterparty J [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net amounts of assets presented in the Statements of Financial Condition | 852,394 | 846,184 | |||
Financial Instruments | |||||
Collateral Received | (852,394) | [1],[2] | (846,184) | [3],[4] | |
Derivative Asset, Fair Value, Offset Against Collateral, Net of Not Subject to Master Netting Arrangement, Policy Election | [5] | [6] | |||
Counterparty J [Member] | Future [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gross amounts of recognized assets | 981,457 | 1,771,788 | |||
Gross amounts offset in the Statement of Financial Condition | (129,063) | (925,604) | |||
Net amounts of assets presented in the Statements of Financial Condition | 852,394 | 846,184 | |||
Counterparty L [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net amounts of assets presented in the Statements of Financial Condition | 10,659,231 | 219,887 | |||
Financial Instruments | |||||
Collateral Received | (10,659,231) | [1],[2] | (219,887) | [3],[4] | |
Derivative Asset, Fair Value, Offset Against Collateral, Net of Not Subject to Master Netting Arrangement, Policy Election | [5] | [6] | |||
Counterparty L [Member] | Future [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gross amounts of recognized assets | 15,569,205 | 7,082,484 | |||
Gross amounts offset in the Statement of Financial Condition | (4,909,974) | (6,862,597) | |||
Net amounts of assets presented in the Statements of Financial Condition | 10,659,231 | 219,887 | |||
Counterparty K [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net amounts of assets presented in the Statements of Financial Condition | 651,748 | ||||
Net amounts of liabilities presented in the Statements of Financial Condition | 139,698 | ||||
Financial Instruments | |||||
Collateral Received | [1],[2] | ||||
Derivative Asset, Fair Value, Offset Against Collateral, Net of Not Subject to Master Netting Arrangement, Policy Election | [5] | 651,748 | |||
Collateral pledged | [3],[4] | 139,698 | |||
Derivative Liability, Fair Value, Offset Against Collateral, Net of Not Subject to Master Netting Arrangement, Policy Election | [8] | ||||
Counterparty K [Member] | Forward Contracts [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gross amounts of recognized assets | 6,694,631 | ||||
Gross amounts offset in the Statement of Financial Condition | (6,042,883) | ||||
Net amounts of assets presented in the Statements of Financial Condition | 651,748 | ||||
Gross amounts of recognized liabilities | 7,266,994 | ||||
Gross amounts offset in the Statement of Financial Condition | (7,127,296) | ||||
Net amounts of liabilities presented in the Statements of Financial Condition | 139,698 | ||||
Counterparty G [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net amounts of liabilities presented in the Statements of Financial Condition | 1,518,782 | 845,566 | |||
Financial Instruments | |||||
Collateral pledged | 1,518,782 | [1],[2] | 845,566 | [3],[4] | |
Derivative Liability, Fair Value, Offset Against Collateral, Net of Not Subject to Master Netting Arrangement, Policy Election | [7] | [8] | |||
Counterparty G [Member] | Forward Contracts [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gross amounts of recognized liabilities | 6,947,454 | 5,584,433 | |||
Gross amounts offset in the Statement of Financial Condition | (5,428,672) | (4,738,867) | |||
Net amounts of liabilities presented in the Statements of Financial Condition | $ 1,518,782 | $ 845,566 | |||
[1]Collateral disclosed is limited to an amount not to exceed 100% of the net amount of liabilities presented in the[2]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[3]Collateral disclosed is limited to an amount not to exceed 100% of the net amount of liabilities presented in the Statement[4]Collateral received includes trades made on exchanges. These trades are subject to central counterparty clearing where[5]Net amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2022.[6]Net amount represents the amount that is subject to loss in the event of a counterparty failure as of December 31, 2021.[7]Net amount represents the amounts owed by the Master Fund to each counterparty as of June 30, 2022.[8]Net amount represents the amounts owed by the Master Fund to each counterparty as of December 31, 2021. |
DERIVATIVE INSTRUMENTS (Detai_5
DERIVATIVE INSTRUMENTS (Details Narrative) - USD ($) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Credit risk | $ 35,486,056 | $ 31,976,629 |
PROFIT SHARE (Details)
PROFIT SHARE (Details) - Millburn Multi Markets Trading L P [Member] - USD ($) | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | ||
Profit share earned | $ 73,179 | $ 197,362 | $ 73,179 | $ 197,556 | |
Reversal of profit share | [1] | (2,164,421) | (314,956) | ||
Profit share accrued | 8,275,852 | 1,318,781 | 8,275,852 | 1,318,781 | |
Total profit share | $ 6,184,610 | $ 1,201,187 | $ 8,349,031 | $ 1,516,337 | |
[1]Reversal of profit share occurs on April 1st |
PROFIT SHARE (Details Narrative
PROFIT SHARE (Details Narrative) - Millburn Multi Markets Trading L P [Member] | 6 Months Ended |
Jun. 30, 2022 | |
Monthly management fee charges description | 1.75% (1.75% per annum, fee reduced to 1.75% from 2.00% |
Management fee percentage per annum | 20% |
Trading profits percent included in computing ratios to average capital | 1.75% |