10-Q 1 millburn_10q.htm QUARTERLY REPORT

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

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

For the Quarterly Period Ended: March 31, 2021

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

Commission File Number: 000-54028

MILLBURN MULTI-MARKETS FUND L.P.

(Exact name of registrant as specified in its charter)

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

c/o MILLBURN RIDGEFIELD CORPORATION

55 West 46^th Street, 31^st Floor

New York, NY 10036

(Address of principal executive offices) (Zip Code)

(212) 332-7300

(Registrant’s telephone number, including area code)

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

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

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.

Yes ☒ No ☐

Indicate by check mark whether the registrant has submitted electronically, every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).

Yes ☒ No ☐

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer”, “accelerated filer,” “smaller reporting company”, and “emerging growth company” in Rule 12b-2 of the Exchange Act.

Large accelerated filer ☐	Accelerated filer ☐
Non-accelerated filer ☐	Smaller reporting company ☒
	Emerging growth company ☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.

Yes ☐ No ☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).

Yes ☐ No ☒

PART I. FINANANCIAL INFORMATION

ITEM 1. FINANCIAL STATEMENTS

Millburn Multi-Markets Fund L.P.
Financial statements
For the three months ended March 31, 2021 and 2020 (unaudited)

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

(a) At March 31, 2021 (unaudited) and December 31, 2020

(b) For the three months ended March 31, 2021 and 2020 (unaudited)

Millburn Multi-Markets Fund L.P.

Statements of Financial Condition

	March 31, 2021		December 31,
	(unaudited)		2020
ASSETS
Investment in Millburn Multi-Markets
Trading L.P. (the “Master Fund”)	$	137,264,652	$	139,012,777
Due from the Master Fund		2,096,905		2,272,143

Total assets	$	139,361,557	$	141,284,920


LIABILITIES AND PARTNERS’ CAPITAL

LIABILITIES:
Capital withdrawals payable to Limited Partners	$	2,096,905	$	2,272,143

Total liabilities		2,096,905		2,272,143

PARTNERS’ CAPITAL:
General Partner		2,918,048		2,803,226

Limited partners:
Series A (95,502.7730 and 99,597.6414 units outstanding)		107,267,347		108,544,835
Series B (5,309.3080 and 5,720.6069 units outstanding)		7,143,564		7,431,183
Series C (2,888.6310 and 3,029.4662 units outstanding)		3,965,455		4,015,189
Series D (12,347.4668 and 12,963.4335 units outstanding)		15,970,238		16,218,344

Total limited partners		134,346,604		136,209,551

Total partners’ capital		137,264,652		139,012,777

TOTAL	$	139,361,557	$	141,284,920

NET ASSET VALUE PER UNIT OUTSTANDING:
Series A	$	1,123.19	$	1,089.83
Series B	$	1,345.48	$	1,299.02
Series C	$	1,372.78	$	1,325.38
Series D	$	1,293.40	$	1,251.08

See notes to financial statements (Unaudited)

Millburn Multi-Markets Fund L.P.

Statements of Operations (unaudited)

	For the three months ended
	March 31, 2021			March 31, 2020

INVESTMENT INCOME:
Interest income, net (allocated from the Master Fund)⁽¹⁾	$	17,868		$	745,458

EXPENSES:
Management fees (allocated from the Master Fund)⁽¹⁾		681,716			881,272
Brokerage commissions (allocated from the Master Fund)⁽¹⁾		210,959			239,309
Selling commissions and platform fees (allocated from the Master Fund)⁽¹⁾		571,918			777,504
Administrative and operating expenses (allocated from the Master Fund)⁽¹⁾		130,000			148,671
Custody fees and other expenses (allocated from the Master Fund)⁽¹⁾		5,871			7,360

Total expenses		1,600,464			2,054,116

NET INVESTMENT LOSS		(1,582,596	)		(1,308,658	)

REALIZED AND UNREALIZED GAINS (LOSSES)
ALLOCATED FROM THE MASTER FUND⁽¹⁾
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		10,936,180			(45,545,809	)
Foreign exchange transactions		(3,463	)		(212,434	)
Net change in unrealized:
Futures and forward currency contracts		(4,848,991	)		6,370,887
Foreign exchange translation		(243,585	)		(192,068	)
Net gains (losses) from U.S. Treasury notes:
Realized		(4,288	)		144,597
Net change in unrealized		31,362			619,570

Net realized and unrealized gains (losses) allocated from the Master Fund		5,867,215			(38,815,257	)

NET INCOME (LOSS)		4,284,619			(40,123,915	)

LESS PROFIT SHARE ALLOCATION FROM THE MASTER FUND		-			-

NET INCOME (LOSS) AFTER PROFIT SHARE	$	4,284,619		$	(40,123,915	)

NET INCOME (LOSS) PER UNIT OUTSTANDING:
Series A	$	33.36		$	(254.92	)
Series B	$	46.46		$	(291.97	)
Series C	$	47.40		$	(297.90	)
Series D	$	42.32		$	(285.46	)

(1)

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

See notes to financial statements (Unaudited)

Millburn Multi-Markets Fund L.P.

Statements of Changes in Partners’ Capital (unaudited)

For the three months ended March 31, 2021 and 2020

	General		Limited Partners
	Partner		Series A						Series B						Series C						Series D						Total
	Amount		Amount			Units			Amount			Units			Amount			Units			Amount			Units			Amount

PARTNERS’ CAPITAL — January 1, 2021	$	2,803,226	$	108,544,835			99,597.6414		$	7,431,183			5,720.6069		$	4,015,189			3,029.4662		$	16,218,344			12,963.4335		$	139,012,777

Capital contributions		-		321,000			283.7700			-			-			-			-			-			-			321,000
Capital withdrawals		-		(4,819,773	)		(4,378.6384	)		(545,834	)		(411.2989	)		(193,336	)		(140.8352	)		(794,801	)		(615.9667	)		(6,353,744	)
Net income before profit share		114,822		3,221,285			-			258,215			-			143,602			-			546,695			-			4,284,619
Profit share		-		-			-			-			-			-			-			-			-			-
PARTNERS’ CAPITAL — March 31, 2021	$	2,918,048	$	107,267,347			95,502.7730		$	7,143,564			5,309.3080		$	3,965,455			2,888.6310		$	15,970,238			12,347.4668		$	137,264,652

Net Asset Value per Unit at March 31, 2021						$	1,123.19					$	1,345.48					$	1,372.78					$	1,293.40

	General			Limited Partners
	Partner			Series A						Series B						Series C					Series D					Total
	Amount			Amount			Units			Amount			Units			Amount			Units		Amount			Units		Amount

PARTNERS’ CAPITAL — January 1, 2020	$	3,122,595		$	166,972,241			132,149.4067		$	10,343,480			7,006.4813		$	4,831,807			3,207.8856	$	5,919,234			4,132.1394	$	191,189,357

Capital contributions		-			2,241,400			1,775.4044			50,000			36.3723			150,000			106.9465		9,769,000			7,250.4465		12,210,400
Capital withdrawals		-			(2,019,450	)		(1,731.1646	)		(49,542	)		(36.0390	)		-			-		-			-		(2,068,992	)
Net (loss) before profit share		(605,005	)		(33,864,736	)		-			(2,045,748	)		-			(976,385	)		-		(2,632,041	)		-		(40,123,915	)
Profit share					-			-			-			-			-			-		-			-		-
PARTNERS’ CAPITAL — March 31, 2020	$	2,517,590		$	133,329,455			132,193.6465		$	8,298,190			7,006.8146		$	4,005,422			3,314.8321	$	13,056,193			11,382.5859	$	161,206,850

Net Asset Value per Unit at March 31, 2020							$	1,008.59					$	1,184.30					$	1,208.33				$	1,147.03

See notes to financial statements (Unaudited)

Millburn Multi-Markets Fund L.P.

Statement of Financial Highlights (unaudited)

For the three months ended March 31, 2021

The following information presents per unit operating performance data for each series for the three months ended March 31, 2021.

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

NET ASSET VALUE PER UNIT — Beginning of period	$	1,089.83		$	1,299.02		$	1,325.38		$	1,251.08

INCOME (LOSS) ALLOCATED FROM THE MASTER FUND:
Net investment loss⁽¹⁾		(13.66	)		(9.73	)		(9.93	)		(11.74	)
Total trading and investing gains⁽¹⁾		47.02			56.19			57.33			54.06

Net income before profit share allocation from the Master Fund		33.36			46.46			47.40			42.32

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

Net income from operations after profit share allocation from the Master Fund		33.36			46.46			47.40			42.32

NET ASSET VALUE PER UNIT — End of period	$	1,123.19		$	1,345.48		$	1,372.78		$	1,293.40

TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM THE MASTER FUND⁽²⁾		3.06	%		3.58	%		3.58	%		3.38	%

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

TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND⁽²⁾		3.06	%		3.58	%		3.58	%		3.38	%

RATIOS TO AVERAGE NET ASSET VALUE:
Expenses^{(3) (4) (5)}		5.01	%		3.00	%		3.00	%		3.75	%
Profit share allocation from the Master Fund^{(2) (6)}		0.00			0.00			0.00			0.00

Total expenses		5.01	%		3.00	%		3.00	%		3.75	%

Net investment loss^{(3) (4) (5)}		(4.96	)%		(2.95	)%		(2.95	)%		(3.70	)%

(1)

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

(2)

Not Annualized.

(3)

Annualized.

(4)

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

(5)

Excludes profit share allocation from the Master Fund.

(6)

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

See notes to financial statements (Unaudited)

Millburn Multi-Markets Fund L.P.

Statement of Financial Highlights (unaudited)

For the three months ended March 31, 2020

The following information presents per unit operating performance data for each series for the three months ended March 31, 2020.

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

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

INCOME (LOSS) ALLOCATED FROM THE MASTER FUND:
Net investment loss⁽¹⁾		(9.22	)		(4.10	)		(4.18	)		(6.21	)
Total trading and investing losses⁽¹⁾		(245.70	)		(287.87	)		(293.72	)		(279.25	)

Net loss before profit share allocation from the Master Fund		(254.92	)		(291.97	)		(297.90	)		(285.46	)

Less: profit share allocation from the Master Fund⁽¹⁾⁽⁶⁾		0.00			0.00			0.00			0.00

Net loss from operations after profit share allocation from the Master Fund		(254.92	)		(291.97	)		(297.90	)		(285.46	)

NET ASSET VALUE PER UNIT — End of period	$	1,008.59		$	1,184.30		$	1,208.33		$	1,147.03

TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM THE MASTER FUND⁽²⁾		(20.18	)%		(19.78	)%		(19.78	)%		(19.93	)%

LESS: PROFIT SHARE ALLOCATION FROM THE MASTER FUND⁽²⁾⁽⁶⁾		0.00			0.00			0.00			0.00

TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND⁽²⁾		(20.18	)%		(19.78	)%		(19.78	)%		(19.93	)%

RATIOS TO AVERAGE NET ASSET VALUE:
Expenses^(3)(4)(5)		4.88	%		2.89	%		2.89	%		3.63	%
Profit share allocation from the Master Fund⁽²⁾⁽⁶⁾		0.00			0.00			0.00			0.00

Total expenses		4.88	%		2.89	%		2.89	%		3.63	%

Net investment loss^(3)(4)(5)		(3.21	)%		(1.22	)%		(1.22	)%		(1.99	)%

(1)

(2)

Not Annualized.

(3)

Annualized.

(4)

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

(5)

Excludes profit share allocation from the Master Fund.

(6)

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

See notes to financial statements (Unaudited)

NOTES TO FINANCIAL STATEMENTS (UNAUDITED)

1. BASIS OF PRESENTATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

The accompanying unaudited financial statements, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of Millburn Multi-Markets Fund L.P.’s (the “Partnership”) financial condition at March 31, 2021 (unaudited) and December 31, 2020 and the results of its operations for the three months ended March 31, 2021 and 2020 (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 2020 annual report included in Form 10-K filed with the Securities and Exchange Commission. The December 31, 2020 information has been derived from the audited financial statements as of December 31, 2020.

The preparation of financial statements in conformity with accounting principles generally accepted (“U.S. GAAP”) in the United States of America (the “U.S.”), as detailed in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“Codification”), requires management to make estimates and assumptions that affect the amounts and disclosures reported in the financial statements. Actual results could differ from these estimates.

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

The Income Taxes (Topic 740) of the Codification clarifies the accounting for uncertainty in tax positions. This requires that the Partnership recognize in its financial statements the impact of any uncertain tax positions. Based on a review of the Partnership’s open tax years, 2017 to 2020, 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 2020.

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

The Partnership invests substantially all of its assets in Millburn Multi-Markets Trading L.P. (the “Master Fund”). The Partnership’s ownership percentage of the Master Fund at March 31, 2021 and December 31, 2020 was 29.53% and 25.08%, respectively, of total partners’ capital of the Master Fund. See the attached financial statements of the Master Fund.

3. RELATED PARTY TRANSACTIONS

The Partnership bears its own expenses, including, but not limited to, periodic legal, accounting and filing fees. Administrative and operating expenses related to investors in the Partnership (including their pro-rata share of Master Fund expenses) are not expected to exceed 1/2 of 1% per annum of the Partnership’s average month-end partners’ capital.

Series A Limited Partners that redeem Units at or prior to the end of the first eleven months after such Units are sold shall be assessed redemption charges calculated based on their redeemed Units’ net asset value as of the date of redemption. All redemption charges will be paid to the General Partner. At March 31, 2021 and December 31, 2020, there were no redemption charges owed to the General Partner.

4. FINANCIAL HIGHLIGHTS

Per Unit operating performance for Series A, Series B, Series C and Series D Units is calculated based on Limited Partners’ Partnership capital for each series taken as a whole utilizing the beginning and ending net asset value per unit and weighted average number of units during the period. Weighted average number of units of each series is detailed below.

	Three months ended March 31,
	2021		2020
Series A		98,217.915		133,232.657
Series B		5,569.929		7,006.601
Series C		3,029.431		3,244.280
Series D		12,753.543		7,109.045

5. SUBSEQUENT EVENTS

The General Partner has performed its evaluation of subsequent events through May 14, 2021, the date the Form 10-Q was filed. Based on such evaluation, no events were discovered that required disclosure or adjustment to the financial statement.

Millburn Multi-Markets Trading L.P.
Financial statements
For the three months ended March 31, 2021 and 2020 (unaudited)

Statements of Financial Condition (a)	8
Condensed Schedules of Investments (a)	9
Statements of Operations (b)	13
Statements of Changes in Partners’ Capital (b)	14
Statements of Financial Highlights (b)	15
Notes to Financial Statements	17

(a) At March 31, 2021 (unaudited) and December 31, 2020

(b) For the three months ended March 31, 2021 and 2020 (unaudited)

Millburn Multi-Markets Trading L.P.

Statements of Financial Condition

	March 31, 2021		December 31,
	(unaudited)		2020
ASSETS
EQUITY IN TRADING ACCOUNTS:
Investments in U.S. Treasury notes — at fair value (amortized cost $74,053,243 and $91,546,413)	$	74,070,836	$	91,539,195
Net unrealized appreciation on open futures and forward currency contracts		3,445,130		20,183,485
Due from brokers, net		22,253,022		22,876,161
Cash denominated in foreign currencies (cost $30,131,386 and $21,945,775)		29,965,905		22,644,281

Total equity in trading accounts		129,734,893		157,243,122

INVESTMENTS IN U.S. TREASURY NOTES — at fair value (amortized cost $309,741,513 and $408,518,267)		309,798,017		408,476,105

CASH AND CASH EQUIVALENTS		41,004,174		42,498,650

ACCRUED INTEREST RECEIVABLE		2,633,856		3,523,202

DUE FROM MILLBURN MULTI-MARKETS LTD.		100		100

TOTAL	$	483,171,040	$	611,741,179

LIABILITIES AND PARTNERS’ CAPITAL

LIABILITIES:
Net unrealized depreciation on open futures and forward currency contracts	$	3,386,435	$	125,252
Capital withdrawal payable to Limited Partners		9,214,899		53,597,364
Capital withdrawal payable to General Partner		-		622,309
Management fee payable		498,136		648,347
Selling commissions payable		193,460		196,027
Accrued expenses		572,372		286,761
Due to brokers, net		4,179,366		1,909,153
Commissions and other trading fees on open futures contracts		33,087		108,048
Accrued profit share		314,956		-

Total liabilities		18,392,711		57,493,261

PARTNERS’ CAPITAL		464,778,329		554,247,918

TOTAL	$	483,171,040	$	611,741,179

See notes to financial statements (Unaudited)

Millburn Multi-Markets Trading L.P.

Condensed Schedule of Investments (unaudited)

March 31, 2021

	Net Unrealized
	Appreciation
	(Depreciation)			Net Unrealized
	as a % of			Appreciation
FUTURES AND FORWARD CURRENCY CONTRACTS	Partners’ Capital			(Depreciation)
FUTURES CONTRACTS
Long futures contracts:
Energies		(0.33	)%	$	(1,551,043	)
Grains		0.27			1,253,588
Interest rates		(0.65	)		(3,005,890	)
Metals		0.26			1,189,552
Softs		(0.01	)		(33,820	)
Stock indices		0.40			1,880,385

Total long futures contracts		(0.06	)		(267,228	)

Short futures contracts:
Grains		0.08			350,300
Interest rates		0.02			102,831
Livestock		(0.01	)		(46,990	)
Metals		0.10			482,068
Softs		0.16			745,747
Stock indices		0.34			1,579,024

Total short futures contracts		0.69			3,212,980

TOTAL INVESTMENTS IN FUTURES CONTRACTS — Net		0.63			2,945,752

FORWARD CURRENCY CONTRACTS
Total long forward currency contracts		(4.03	)		(18,739,385	)
Total short forward currency contracts		3.41			15,852,328

TOTAL INVESTMENTS IN FORWARD CURRENCY CONTRACTS — Net		(0.62	)		(2,887,057	)

TOTAL		0.01	%	$	58,695

(Continued)

Millburn Multi-Markets Trading L.P.

Condensed Schedule of Investments (unaudited)

March 31, 2021

U.S. TREASURY NOTES

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

$	126,900,000	U.S. Treasury notes, 2.625%, 05/15/2021		27.39	%	$	127,301,520
	126,640,000	U.S. Treasury notes, 2.750%, 08/15/2021		27.53			127,941,028
	127,080,000	U.S. Treasury notes, 2.000%, 11/15/2021		27.67			128,626,305
		Total investments in U.S. Treasury notes (amortized cost $383,794,756)		82.59	%	$	383,868,853

See notes to financial statements (Unaudited)

(Concluded)

Millburn Multi-Markets Trading L.P.

Condensed Schedule of Investments

December 31, 2020

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

Total interest rates		0.38			2,087,791

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

Total long futures contracts		3.14			17,392,227

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

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

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

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

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

TOTAL		3.62	%	$	20,058,233

(Continued)

Millburn Multi-Markets Trading L.P.

Condensed Schedule of Investments

December 31, 2020

U.S. TREASURY NOTES

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

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

See notes to financial statements (Unaudited)

(Concluded)

Millburn Multi-Markets Trading L.P.

Statements of Operations (unaudited)

	For the three months ended
	March 31			March 31
	2021			2020
INVESTMENT INCOME — Interest income, net	$	64,244		$	3,067,116

EXPENSES:
Brokerage fees		795,691			981,763
Management fees		1,686,076			2,509,260
Selling commissions and platform fees		578,059			781,193
Administrative and operating expenses		285,612			321,384
Custody fees and other expenses		23,792			31,902
Total expenses		3,369,230			4,625,502

NET INVESTMENT LOSS		(3,304,986	)		(1,558,386	)

REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		45,335,950			(191,462,689	)
Foreign exchange transactions		(11,762	)		(891,983	)
Net change in unrealized:
Futures and forward currency contracts		(19,999,538	)		24,986,609
Foreign exchange translation		(863,987	)		(765,687	)
Net gains (losses) from U.S. Treasury notes
Realized		(16,061	)		609,616
Net change in unrealized		123,477			2,645,501
Total net realized and unrealized gains (losses)		24,568,079			(164,878,633	)

NET INCOME (LOSS)		21,263,093			(166,437,019	)
LESS PROFIT SHARE TO GENERAL PARTNER		315,150			-
NET INCOME (LOSS) AFTER PROFIT SHARE TO GENERAL PARTNER	$	20,947,943		$	(166,437,019	)

See notes to financial statements (Unaudited)

Millburn Multi-Markets Trading L.P.

Statements of Changes in Partners’ Capital (unaudited)

For the three months ended March 31, 2021

	Limited Partners			New Profit Memo Account			General Partner		Total
PARTNERS’ CAPITAL - January 1, 2021	$	553,303,603		$	-		$	944,315	$	554,247,918
Contributions		2,521,000			194			-		2,521,194
Withdrawals		(112,938,726	)		-			-		(112,938,726	)
Net income (loss) before profit share		21,223,792			(1	)		39,302		21,263,093
General Partner’s allocation - profit share		(315,150	)		-			-		(315,150	)
PARTNERS’ CAPITAL- March 31, 2021	$	463,794,519		$	193		$	983,617	$	464,778,329

For the three months ended March 31, 2020
	Limited Partners			New Profit Memo Account		General Partner			Total
PARTNERS’ CAPITAL - January 1, 2020	$	629,952,934		$	-	$	1,049,391		$	631,002,325
Contributions		221,314,400			-		-			221,314,400
Withdrawals		(28,182,281	)		-		-			(28,182,281	)
Net loss before profit share		(166,234,154	)		-		(202,865	)		(166,437,019	)
General Partner’s allocation - profit share		-			-		-			-
PARTNERS’ CAPITAL- March 31, 2020	$	656,850,899		$	-	$	846,526		$	657,697,425

See notes to financial statements (Unaudited)

Millburn Multi-Markets Trading L.P.

Statements of Financial Highlights (unaudited)

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

	For the three months ended
	March 31,			March 31,
	2021			2020

Total return before General Partner profit share allocation ⁽³⁾		3.64	%		(19.73	)%
Less: General Partner profit share allocation ⁽³⁾		-			-

Total return after General Partner profit share allocation ⁽³⁾		3.64	%		(19.73	)%

Ratios to average net asset value:
Expenses ^{(1) (4)}		2.80	%		2.68	%
General Partner profit share allocation ⁽³⁾		-			-

Total expenses ⁽¹⁾		2.80	%		2.68	%

Net investment loss ^{(1) (2) (4)}		(2.76	)%		(1.00	)%

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

⁽¹⁾

Includes the Master Fund’s proportionate share of expenses allocated from the Master Fund’s operations for the three months ended March 31, 2021 and 2020.

⁽²⁾

Excludes General Partner profit share allocation and includes interest income.

⁽³⁾

Not Annualized.

⁽⁴⁾

Annualized.

See notes to financial statements (Unaudited)

Millburn Multi-Markets Trading L.P.

Statements of Financial Highlights (unaudited)

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

	For the three months ended
	March 31,			March 31,
	2021			2020

Total return before General Partner profit share allocation ⁽³⁾		3.69	%		(19.71	)%
Less: General Partner profit share allocation ⁽³⁾		0.06			-

Total return after General Partner profit share allocation ⁽³⁾		3.63	%		(19.71	)%

Ratios to average net asset value:
Expenses ^{(1) (4)}		2.56	%		2.56	%
General Partner profit share allocation ⁽³⁾		0.06			-

Total expenses ⁽¹⁾		2.62	%		2.56	%

Net investment loss ^{(1) (2) (4)}		(2.52	)%		(0.84	)%

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

⁽¹⁾

Includes the Master Fund’s proportionate share of expenses allocated from the Master Fund’s operations for the three months ended March 31, 2021 and 2020.

⁽²⁾

Excludes General Partner profit share allocation and includes interest income.

⁽³⁾

Not Annualized.

⁽⁴⁾

Annualized.

See notes to financial statements (Unaudited)

NOTES TO FINANCIAL STATEMENTS

1. BASIS OF PRESENTATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

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

The accompanying unaudited financial statements, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of the Master Fund’s financial condition at March 31, 2021 (unaudited) and December 31, 2020 (audited) and the results of its operations for the three months ended March 31, 2021 and 2020 (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, 2020 included in the Partnership’s annual report on Form 10-K filed with the Securities and Exchange Commission. The December 31, 2020 information has been derived from the audited financial statements as of December 31, 2020.

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

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

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

The Partnership and the Cayman Feeder invest substantially all of their assets in the Master Fund. At March 31, 2021 and December 31, 2020, the respective ownership percentages of the Master Fund are detailed below. The remaining interests are held by direct investors in the Master Fund.

	March 31,			December 31,
	2021			2020
Partnership		29.53	%		25.08	%
Cayman Feeder		59.39	%		65.81	%

Total		88.92	%		90.89	%

The capital withdrawals payable at March 31, 2021 and December 31, 2020 were $9,214,899 and $54,219,673, respectively, as detailed below.

	March 31,		December 31,
	2021		2020
Direct investors ⁽¹⁾	$	848,847	$	990,861
Partnership		2,096,905		2,272,143
Cayman Feeder		6,269,147		50,956,669

Total	$	9,214,899	$	54,219,673

⁽¹⁾ Includes General Partner’s profit share of $622,309 at December 31, 2020.

The Master Fund bears expenses, including, but not limited to, periodic legal, accounting and filing fees, up to an amount equal to 1/4 of 1% per annum of average net assets of the Master Fund (the “Expense Cap”). Amounts subject to the Expense Cap include expenses incurred at the Master Fund and Cayman Feeder level. The General Partner bears any excess over such amounts.

3. FAIR VALUE

Fair Value Measurement (Topic 820) of the Codification defines fair value, establishes a framework for measuring fair value, and expands disclosures about fair value measurements. The three levels of the fair value hierarchy are described below:

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

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

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

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

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

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

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

During the three months ended March 31, 2021 and 2020, there were no transfers of assets or liabilities between Level 1 and Level 2. The following tables represent the Master Fund’s investments by hierarchical level as of March 31, 2021 and December 31, 2020 in valuing the Master Fund’s investments at fair value. At March 31, 2021 and December 31, 2020, the Master Fund had no assets or liabilities in Level 3.

Financial assets and liabilities at fair value as of March 31, 2021

	Level 1			Level 2			Total

U.S. Treasury notes ⁽¹⁾	$	383,868,853		$	-		$	383,868,853

Short-Term Money Market Fund*		40,754,174			-			40,754,174
Exchange-traded futures contracts
Energies		(1,551,043	)		-			(1,551,043	)
Grains		1,603,888			-			1,603,888
Interest rates		(2,903,059	)		-			(2,903,059	)
Livestock		(46,990	)		-			(46,990	)
Metals		1,671,620			-			1,671,620
Softs		711,927			-			711,927
Stock indices		3,459,409			-			3,459,409

Total exchange-traded futures contracts		2,945,752			-			2,945,752

Over-the-counter forward currency contracts		-			(2,887,057	)		(2,887,057	)

Total futures and forward currency contracts ⁽²⁾		2,945,752			(2,887,057	)		58,695

Total financial assets and liabilities at fair value	$	427,568,779		$	(2,887,057	)	$	424,681,722

Per line item in Statements of Financial Condition
(1)
Investments in U.S. Treasury notes held in equity trading accounts as collateral							$	74,070,836
Investments in U.S. Treasury notes held in custody								309,798,017
Total investments in U.S. Treasury notes							$	383,868,853

(2)
Net unrealized appreciation on open futures and forward currency contracts							$	3,445,130
Net unrealized depreciation on open futures and forward currency contracts								(3,386,435	)
Total net unrealized appreciation on open futures and forward currency contracts							$	58,695

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

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

	Level 1			Level 2		Total

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

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

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

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

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

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

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

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

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

4. DERIVATIVE INSTRUMENTS

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 March 31, 2021 by market sector:

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

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

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

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

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

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

The Derivatives and Hedging (Topic 815) of the Codification requires entities to recognize in the Statements of Financial Condition all derivative contracts as assets or liabilities. Fair values of futures and forward currency contracts in a net asset position by counterparty are recorded in the Statements of Financial Condition as “Net unrealized appreciation on open futures and forward currency contracts.” Fair values of futures and forward currency contracts in a net liability position by counterparty are recorded in the Statements of Financial Condition as “Net unrealized depreciation on open futures and forward currency contracts.” The Master Fund’s policy regarding fair value measurement is discussed in the Fair Value note, contained herein.

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

The following tables present the fair value of open futures and forward currency contracts, held long or sold short, at March 31, 2021 and December 31, 2020. Fair value is presented on a gross basis even though the contracts are subject to master netting agreements and qualify for net presentation in the Master Fund’s Statements of Financial Condition.

Fair value of futures and forward currency contracts at March 31, 2021

											Net Unrealized
	Fair Value - Long Positions					Fair Value - Short Positions					Gain (Loss) on Open
Sector	Gains		Losses			Gains		Losses			Positions
Futures contracts:
Energies	$	27,230	$	(1,578,273	)	$	-	$	-		$	(1,551,043	)
Grains		1,254,044		(456	)		623,375		(273,075	)		1,603,888
Interest rates		209,210		(3,215,100	)		120,150		(17,319	)		(2,903,059	)
Livestock		-		-			270		(47,260	)		(46,990	)
Metals		3,957,367		(2,767,815	)		2,082,762		(1,600,694	)		1,671,620
Softs		3,800		(37,620	)		748,946		(3,199	)		711,927
Stock indices		2,223,396		(343,011	)		1,935,259		(356,235	)		3,459,409
Total futures contracts		7,675,047		(7,942,275	)		5,510,762		(2,297,782	)		2,945,752

Forward currency contracts		2,977,017		(21,716,402	)		19,917,180		(4,064,852	)		(2,887,057	)

Total futures and forward currency contracts	$	10,652,064	$	(29,658,677	)	$	25,427,942	$	(6,362,634	)	$	58,695

Fair value of futures and forward currency contracts at December 31, 2020

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

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

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

The effect of trading futures and forward currency contracts is represented on the Master Fund’s Statements of Operations for the three months ended March 31, 2021 and 2020 as “Net realized gains (losses) on closed positions: Futures and forward currency contracts” and “Net change in unrealized: Futures and forward currency contracts.” These trading gains and losses are detailed below.

Trading gains (losses) of futures and forward currency contracts for the three months ended March 31, 2021 and 2020

	Three months			Three months
	ended:			ended:
	March 31,			March 31,
Sector	2021			2020
Futures contracts:
Energies	$	7,024,900		$	49,101,218
Grains		4,615,819			(1,129,745	)
Interest rates		(15,426,558	)		(11,638,533	)
Livestock		(580,650	)		845,070
Metals		(1,002,589	)		(7,132,220	)
Softs		215,389			2,602,868
Stock indices		35,718,996			(204,346,133	)
Total futures contracts		30,565,307			(171,697,475	)

Forward currency contracts		(5,228,895	)		5,221,395

Total futures and forward currency contracts	$	25,336,412		$	(166,476,080	)

For the three months ended March 31, 2021 and 2020, the monthly average number of futures contracts bought and sold and the monthly average notional value of forward currency contracts traded are detailed below:

	2021		2020

Average bought		89,709		127,925
Average sold		94,746		119,470
Average notional	$	9,418,000,000	$	8,430,000,000

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 ceased clearing futures trades through SG Americas Securities, LLC. during November 2020.The Master Fund netted, for financial reporting purposes, the unrealized gains and losses on open futures and forward currency contracts on the Statements of Financial Condition as the criteria under FASB Accounting Standards Codification Topic 210, “Balance Sheet,” were met.

The following tables present gross amounts of assets or liabilities which qualify for offset as presented in the Statements of Financial Condition as of March 31, 2021 and December 31, 2020.

Offsetting of derivative assets and liabilities at March 31, 2021

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

Futures contracts
Counterparty C	$	3,656,868	$	(2,699,457	)	$	957,411
Counterparty J		1,213,785		(749,443	)		464,342
Counterparty L		8,315,156		(6,791,157	)		1,523,999
Total futures contracts		13,185,809		(10,240,057	)		2,945,752

Forward currency contracts
Counterparty K		17,083,076		(16,583,698	)		499,378
Total assets	$	30,268,885	$	(26,823,755	)	$	3,445,130

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

Forward currency contracts
Counterparty G	$	9,197,556	$	(5,811,121	)	$	3,386,435
Total liabilities	$	9,197,556	$	(5,811,121	)	$	3,386,435

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

Counterparty C	$	957,411	$	-	$	(957,411	)	$	-
Counterparty J		464,342		-		(464,342	)		-
Counterparty L		1,523,999		-		(1,523,999	)		-
Counterparty K		499,378		-		-			499,378

Total	$	3,445,130	$	-	$	(2,945,752	)	$	499,378

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

Counterparty G	$	3,386,435	$	-	$	3,386,435	$	-

Total	$	3,386,435	$	-	$	3,386,435	$	-

⁽¹⁾

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

⁽²⁾

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

⁽³⁾

Net amount represents the amount that is subject to loss in the event of a counterparty failure as of March 31, 2021.

⁽⁴⁾

Net amount represents the amounts owed by the Master Fund to each counterparty as of March 31, 2021.

Offsetting of derivative assets and liabilities at December 31, 2020

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

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

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

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

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

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

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

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

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

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

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

⁽¹⁾

⁽²⁾

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

⁽³⁾

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

⁽⁴⁾

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

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 $54,953,293 and $47,021,416 at March 31, 2021 and December 31, 2020, respectively.

5. PROFIT SHARE

The following table indicates the total profit share earned and accrued during the three months ended March 31, 2021 and 2020. Profit share earned (from Limited Partners’ redemptions) is credited to the New Profit Memo account as defined in the Master Fund’s Agreement of Limited Partnership.

	Three months ended:		Three months ended:
	March 31, 2021		March 31, 2020
Profit share earned	$	194	$	-
Profit share accrued		314,956		-
Total profit share	$	315,150	$	-

6. FINANCIAL HIGHLIGHTS

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

7. SUBSEQUENT EVENTS

During the period from April 1, 2021 to May 14, 2021, withdrawals of $6,912,000 were made from the Master Fund. The General Partner has performed its evaluation of subsequent events through May 14, 2021 the date the Form 10-Q was filed. Based on such evaluation, no further events were discovered that required disclosure or adjustment to the financial statement.

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

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

OPERATIONAL OVERVIEW

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

LIQUIDITY AND CAPITAL RESOURCES

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

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

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

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

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

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

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

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

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

The Master Fund’s assets are generally held as cash or cash equivalents, including U.S. government securities or securities issued by federal agencies, other Commodity Futures Trading Commission-authorized investments or bank held or certain other money market instruments (e.g., bankers acceptances and Eurodollar or other time deposits), which are used to margin the Master Fund’s futures, forward, and spot currency positions and withdrawn, as necessary, to pay redemptions and expenses. Other than potential market-imposed limitations on liquidity, due to limited open interest in certain futures markets or to daily price fluctuation limits, for example, to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Master Fund’s futures, forward and spot trading, the Master Fund’s assets are highly liquid and are expected to remain so. During its operations for the three months ended March 31, 2021, the Partnership, through its investment in the Master Fund, experienced no meaningful periods of illiquidity in any of the numerous markets traded by the General Partner.

CRITICAL ACCOUNTING ESTIMATES

The Master Fund records its transactions in futures, forward and spot contracts, including related income and expenses, on a trade date basis. Open futures contracts traded on an exchange are valued at fair value, which is based on the closing settlement price on the exchange where the futures contract is traded by the Master Fund on the day with respect to which net assets are being determined. Open spot currency contracts are valued based on the current Spot Price. Open forward currency contracts are recorded at fair value, based on pricing models that consider the Spot Price and Forward Point. Spot Prices and Forward Points for open forward currency contracts are generally based on the median of the average midpoint of bid/ask quotations at the last minute ending at 3:00 P.M. New York time provided by widely used quotation service providers on the day with respect to which net assets are being determined. Forward Points from the quotation service providers are generally in periods of one month, two months, three months, six months, nine months and twelve months forward while the contractual forward delivery dates for the forward currency contracts traded by the Partnership may be in between these periods. The General Partner’s policy to determine fair value for forward currency contracts involves first calculating the number of Months to Maturity, then identifying the Forward Month Contracts. Linear interpolation is then performed between the dates of these two Forward Month Contracts to calculate the interpolated Forward Point. The General Partner will also compare the calculated price to the forward currency prices provided by dealers to determine whether the calculated price is fair and reasonable.

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

RESULTS OF OPERATIONS

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

Period ended March 31, 2021

	Total
	Partners’
	Capital of the
Month Ended:	Partnership
March 31, 2021	$	137,264,652
December 31, 2020		139,012,777

	Three Months
Change in Partners’ Capital	$	(1,748,125	)
Percent Change		(1.26	)%

THREE MONTHS ENDED MARCH 31, 2021

The decrease in the Partnership’s net assets of $1,748,125 was attributable to withdrawals of $6,353,744 which were partially offset by net income after profit share through its investment in the Master Fund of $4,284,619 and contributions of $321,000.

Management fees, through the Partnership’s investment in the Master Fund, are calculated on the net asset value on the last day of each month and are affected by trading performance, contributions and withdrawals. Management fees, through the Partnership’s investment in the Master Fund, for the three months ended March 31, 2021 decreased $199,556 relative to the corresponding period in 2020. The decrease was due to a decrease in the average net asset value of the Partnership during the three months ended March 31, 2021, relative to the corresponding period in 2020.

The Partnership, through its investment in the Master Fund, bears all trade-related commission and clearing charges due to third-party brokers. Brokerage commissions, through the Partnership’s investment in the Master Fund, for the three months ended March 31, 2021 decreased $28,350 relative to the corresponding period in 2020. The decrease was due to a decrease in the trading volume during the three months ended March 31, 2021, relative to the corresponding period in 2020.

Selling commissions and platform fees are calculated on the net asset value on the last day of each month and are affected by trading performance, contributions and withdrawals. Selling commissions and platform fees for the three months ended March 31, 2021 decreased $205,586 relative to the corresponding period in 2020. The decrease was due predominantly to a decrease in the average net asset value of the Partnership during the three months ended March 31, 2021, relative to the corresponding period in 2020.

The Partnership, through its investment in the Master Fund, pays administrative expenses for legal, audit and accounting services. Administrative expenses, net of amounts borne by the General Partner, through the Partnership’s investment in the Master Fund, for the three months ended March 31, 2021 decreased $18,671 relative to the corresponding period in 2020. The decrease was due to a decrease in the average net asset value of the Partnership during the three months ended March 31, 2021, relative to the corresponding period in 2020.

Interest income, through the Partnership’s investment in the Master Fund, is derived from cash and U.S. Treasury instruments held at the Master Fund’s brokers and custodian. Interest income, through the Partnership’s investment in the Master Fund, for the three months ended March 31, 2021 decreased $727,590 relative to the corresponding period in 2020. The decrease was due predominantly to a decrease in short-term U.S. Treasury yields during the three months ended March 31, 2021, relative to the corresponding period in 2020.

For the three months ended March 31, 2021, the Partnership, through its investment in the Master Fund, achieved net realized and unrealized gains of $5,867,215 from trading operations (including foreign exchange transactions and translations). Management fees of $681,716, brokerage commissions of $210,959, selling commissions and platform fees of $571,918, administrative and operating expenses of $130,000, custody fees and other expenses of $5,871. Interest income of $17,868 partially offset the Master Fund expenses allocated to the Partnership resulting in net income after profit share of $4,284,619.

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

	% Gain
Sector	(Loss)
Currencies		(1.05	)%
Energies		1.17	%
Grains		0.88	%
Interest rates		(2.97	)%
Livestock		(0.16	)%
Metals		(0.32	)%
Softs		0.00	%
Stock indices		6.98	%
Trading gain*		4.53	%

Percentage of the Partnership Capital

MANAGEMENT DISCUSSION – 2021

Three months ended March 31, 2021

The Partnership was profitable in the quarter as gains from trading equity, energy and grain futures outpaced losses from trading interest rate futures, metal futures and currency forwards. Trading of livestock and soft commodity futures was marginally negative.

The global reflation trade gathered momentum throughout the quarter amid fiscal stimulus expansion from the Biden Administration; Federal Reserve (the “Fed”) Chairman Powell reiterating in testimony before Congress that the Fed will maintain low interest rates and continue asset purchases until “substantial further progress has been made” toward its employment and inflation goals; the global vaccine rollout; and the resurgence of global trade. Periodically, however, the growth outlook and investor enthusiasm were tamped down and markets experienced increased volatility while concerns about the slow pace of vaccine distribution in Europe, Asia and emerging markets relative to the U.S. and U.K. lingered; evidence of moderating monetary and fiscal policy support came out of China; and the geopolitical conflict between China and the U.S expanded.

Trading of equity futures was highly profitable. Positive impulses from massive fiscal and monetary policy support globally outweighed the negative impact of higher global interest rates and less synchronous global growth. The Reddit-driven short frenzy in January, Archegos events in March, and the week-long Suez Canal closure in March did not seem to have long-term effects on equity markets. Long positions in U.S., Canadian, European, British, Chinese and EAFE equity index futures were profitable. A short VIX position and trading of the EEM emerging market index future were also profitable. On the other hand, trading of South African and Australian futures registered small offsetting losses.

Energy markets were volatile during the quarter. After exceeding 2-year highs early in March amid strong reflation trade and Organization of the Petroleum Exporting Countries’ production restraint, crude prices dropped sharply as reopening demand expectations receded along with the global growth outlook. For example, Brent crude, climbed from just over $50/barrel at the start of the year to nearly $71/barrel on March 7, but plunged to nearly $60/barrel on March 23. Even though the closure of the Suez Canal provided some support to crude prices, Brent closed the month at less than $63/barrel. Overall, long positions in Brent crude, RBOB gasoline, London gas oil and heating oil were profitable. On the other hand, a short natural gas trade was unprofitable, especially as prices rose in January in response to unusually cold weather across Europe and China and in February in the wake of weather-induced energy market turmoil in Texas. Trading of WTI crude oil was slightly unprofitable as well.

Chinese demand for U.S. exports, a weaker than expected U.S. harvest of row crops and dry weather in South America contributed to profits on long corn, soybean and soybean oil trades. Then, on March 31 the USDA reported that farmers are likely to plant lower-than-expected corn and soybean acreage in 2021, and corn and soybean prices traded limit-up on the day, reinforcing results from earlier in the quarter. Trading of soybean meal was marginally unprofitable.

Interest rates were volatile during the quarter, trading across a broad range in January, spiking higher in February, and then dropping back sharply in March before entering volatile range-trading to close out the period. Amid growth, inflation and government borrowing concerns, global note and bond yields pushed sharply higher during the January-February period as evidenced by the German 10-year Bund yield which rose from about -0.60% at the start of January to as high as -0.23% on February 25. Then, as growth optimism faded somewhat in March, the Bund yield fell to -0.39% on March 21 before closing the quarter at -0.32%. Long positions in U.S., Canadian and Australian long bond futures were unprofitable, especially in February. Trading of German, French, Italian and Japanese bond futures were also unprofitable, particularly in January and March. Trading of U.S., British, Australian, German and Italian short-term interest rate futures registered small losses as well. On the other hand, short positions in the U.S. 5-year note future and in the German ultra-long bond future posted partially offsetting gains in February.

Currency markets too were impacted by the fluid growth, inflation and interest rate developments, and trading of currency forwards was mixed and unprofitable. The euro, which traded toward five-year highs during January and February, declined sharply in March and a long euro position against the dollar was unprofitable. Long Swiss franc and Swedish krona positions were also unprofitable. Trading the U.S. dollar against the currencies of Brazil and Singapore posted losses, as did a long U.S. dollar/short Canadian dollar position as commodity currencies outperformed. On the other hand, long dollar positions versus the Japanese yen and Israeli shekel, short dollar trades versus the Norwegian krone and South African rand, and trading the dollar against the British pound sterling produced partially offsetting gains.

The improving economic outlook and COVID-19 prognosis together with higher interest rates and a stronger dollar weighed on precious metal prices and long gold and silver positions posted losses. Meanwhile, long positions in copper and aluminum produced partially offsetting profits, especially in February as prices rose and reflation optimism was high.

Period ended March 31, 2020

	Total
	Partners’
	Capital of the
Month Ended:	Partnership
March 31, 2020	$	161,206,850
December 31, 2019		191,189,357

	Three Months
Change in Partners’ Capital	$	(29,982,507	)
Percent Change		(15.68	)%

THREE MONTHS ENDED MARCH 31, 2020

The decrease in the Partnership’s net assets of $29,982,507 was attributable to net loss after profit share through its investment in the Master Fund of $40,123,915 and withdrawals of $2,068,992 which were partially offset by contributions of $12,210,400.

Management fees, through the Partnership’s investment in the Master Fund, are calculated on the net asset value on the last day of each month and are affected by trading performance, contributions and withdrawals. Management fees, through the Partnership’s investment in the Master Fund, for the three months ended March 31, 2020 increased $82,918 relative to the corresponding period in 2019. The increase was due to an increase in the average net asset value of the Master Fund during the three months ended March 31, 2020, relative to the corresponding period in 2019.

The Partnership, through its investment in the Master Fund, bears all trade-related commission and clearing charges due to third-party brokers. Brokerage commissions, through the Partnership’s investment in the Master Fund, for the three months ended March 31, 2020 increased $63,059 relative to the corresponding period in 2019. The increase was due predominantly to an increase in the average net asset value of the Partnership during the three months ended March 31, 2020, relative to the corresponding period in 2019.

Selling commissions and platform fees are calculated on the net asset value on the last day of each month and are affected by trading performance, contributions and withdrawals. Selling commissions and platform fees for the three months ended March 31, 2020 increased $46,455 relative to the corresponding period in 2019. The increase was due to an increase in the average net asset value of commission paying investors of the Master Fund during the three months ended March 31, 2020, relative to the corresponding period in 2019.

The Partnership, through its investment in the Master Fund, pays administrative expenses for legal, audit and accounting services. Administrative expenses, net of amounts borne by the General Partner, through the Partnership’s investment in the Master Fund, for the three months ended March 31, 2020 increased $1,439 relative to the corresponding period in 2019. The increase was due to an increase in the average net asset value of the Master Fund during the three months ended March 31, 2020, relative to the corresponding period in 2019.

Interest income, through the Partnership’s investment in the Master Fund, is derived from cash and U.S. Treasury instruments held at the Master Fund’s brokers and custodian. Interest income, through the Partnership’s investment in the Master Fund, for the three months ended March 31, 2020 decreased $173,175 relative to the corresponding period in 2019. This decrease was due predominantly to a decrease in short-term U.S. Treasury yields and partially offset by an increase in average net asset value of the Partnership during the three months ended March 31, 2020 relative to the corresponding period in 2019.

For the three months ended March 31, 2020, the Partnership, through its investment in the Master Fund, experienced net realized and unrealized losses of $38,815,257 from trading operations (including foreign exchange transactions and translations). Management fees of $881,272, brokerage commissions of $239,309, selling commissions and platform fees of $777,504, administrative and operating expenses of $148,671, custody fees and other expenses of $7,360. Interest income of $745,458 partially offset the Master Fund expenses allocated to the Partnership resulting in net loss after profit share of $40,123,915.

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

	% Gain
Sector	(Loss)
Currencies		0.63	%
Energies		6.25	%
Grains		(0.22	)%
Interest rates		(1.51	)%
Livestock		0.06	%
Metals		(1.01	)%
Softs		0.32	%
Stock indices		(24.26	)%
Trading gain*		(19.74	)%

Percentage of the Partnership Capital

MANAGEMENT DISCUSSION – 2020

Three months ended March 31, 2020

The Partnership posted a sizable loss in the first quarter as the COVID-19 pandemic and its economic impacts spread across the globe, roiling financial and commodity markets. The onset of the oil price war between Saudi Arabia and Russia in early March added significantly to the market turmoil. Losses from long equity futures positions and, to a much lesser extent, from trading interest rate and metal futures far outpaced the profits from trading energy futures, currency forwards and soft and agricultural commodity futures.

Equity futures, which had been underpinned early in January by the U.S.-China trade deal, accommodative global monetary policy and the conservative election victory in Great Britain, collapsed as COVID-19 spread from China to the Middle East to Europe to the U.S.A. and became a global pandemic. As the potential scope and duration of the damage to global demand became evident, the selling of equities and other financial investments cascaded violently. In response, strong, coordinated and unprecedented monetary and fiscal measures were implemented by countries across the globe. For example in the U.S., the Federal Reserve (the “Fed”), at two emergency meetings, cut interest rates by 1.5% to near zero; the Fed also expanded the magnitude and scope of its QE, swap lines and other lending facilities well beyond that seen during the Global Financial Crisis; and a fiscal stimulus package measured at about 10% of GDP was assembled in about a week and was added to two smaller packages announced early in March. While these policy efforts did give a fillip to financial markets and help to stabilize them, the damage to equity prices and markets remained large. Broad-based losses were sustained on a short vix trade and on long positions in U.S., Canadian, European, British, Japanese, non-Japan Asian and emerging markets equity index futures, especially in the second half of the quarter.

Interest rates on government debt were buffeted by a variety of cross currents during the quarter including: the actual and anticipated negative impact of the pandemic on global growth; a flight to safety that boosted demand for government debt; a rush for liquidity and U.S. dollars that at times led to a forced liquidation of government debt; 27 central banks cutting official rates 68 times during March, according to centralbankrates.com; and central banks creating numerous massive liquidity provision and QE programs in order to stabilize struggling financial markets globally. Overall, short positions in U.S., German and Canadian note and bond futures posted losses and were reversed to long positions. Trading of British Gilts, long positions in French and Australian bond futures and a long position in the short-term euribor future were also unprofitable, particularly in mid-March, when market participants sought liquidity. Long positions in short-term eurodollar, British, Italian and Australian interest rate futures and in Japanese government bond futures produced partially offsetting profits. A long position in the 5-year U.S. note in January was also profitable.

Trading of metal futures was fractionally unprofitable. Industrial metal prices were pummeled in response to the actual and expected growth-reducing impacts of COVID-19. The price of silver, which had been supported for a time as a safe haven precious metal, succumbed to profit-taking and to a dramatic weakening in industrial demand and a long position was unprofitable. A long platinum position was also unprofitable. On the other hand, short copper, aluminum, nickel and zinc positions were profitable and a long gold trade benefitted from safe haven demand and also posted a gain.

Oil prices fell to their lowest levels in 17 years as demand collapsed due to shelter-in-place orders, travel bans and other efforts to mitigate the pandemic, and as supply surged due to the unrelenting price war between Saudi Arabia and Russia. The price of WTI crude oil, which had eased down from $61/barrel at the end of 2019 to about $54/barrel on February 20, plunged precipitously thereafter, falling to under $20/barrel on March 30. Short positions in Brent crude, WTI crude, RBOB gasoline, London gas oil, heating oil and natural gas were highly profitable, particularly in March.

Foreign exchange rates were buffeted by a variety of cross currents from interest rate, liquidity, safe haven and energy price influences during the quarter. Performance in these instruments was mixed but slightly profitable. Long dollar trades against the Brazilian real, Russian ruble, Aussie dollar and a few other emerging market currencies were profitable. A long euro/short Norway trade was also profitable in the wake of the oil price collapse. On the other hand, long dollar trades versus the euro, yen, Singapore dollar, and Swedish krona were unprofitable, as was trading versus the British, Canadian, Indian, South African, Norwegian, Polish and New Zealand currencies.

Trading of soft and agricultural commodity futures was fractionally profitable.

OFF-BALANCE SHEET ARRANGEMENTS

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

CONTRACTUAL OBLIGATIONS

Neither the Partnership nor the Master Fund enters into any contractual obligations or commercial commitments to make future payments of a type that would be typical for an operating company or that would affect its liquidity or capital resources. The Partnership’s sole business, through its investment in the Master Fund, is trading futures, forward currency, spot and swap contracts, both long (contracts to buy) and short (contacts to sell). All such contracts are settled by offset, not delivery. Substantially all such contracts are for settlement within four months of the trade date and substantially all such contracts are held by the Master Fund for less than four months before being offset or rolled over into new contracts with similar maturities. The financial statements of the Master Fund present a condensed schedules of investments setting forth open futures, forward and other contracts at March 31, 2021 and December 31, 2020.

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Not required.

ITEM 4. CONTROLS AND PROCEDURES

The General Partner, with the participation of the principal executive officers and principal financial officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to the Partnership as of the end of the period covered by this quarterly report, and, based on its evaluation, has concluded that these disclosure controls and procedures are effective. There were no changes in the General Partner’s internal controls over financial reporting during the quarter ended March 31, 2021 that have materially affected, or are reasonably likely to materially affect, the General Partner’s internal controls over financial reporting with respect to the Partnership.

PART II. OTHER INFORMATION

ITEM 1. Legal Proceedings

None.

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

(a) Pursuant to the Partnership’s Third Amended and Restated Limited Partnership Agreement (the “Partnership Agreement”), the Partnership may sell Units at the beginning of each calendar month. On March 1, 2021, the Partnership sold Units to new and existing limited partners of $321,000. There were no underwriting discounts or commissions in connection with the sales of the Units described above.

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

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

The following table summarizes the redemptions by Series A, Series B, Series C and Series D limited partners during the three months ended March 31, 2021.

	Series A					Series B					Series C					Series D
Date of	Units			NAV		Units			NAV		Units			NAV		Units			NAV
Withdrawal	Redeemed			per Unit		Redeemed			per Unit		Redeemed			per Unit		Redeemed			per Unit
January 31, 2021		(1,593.7708	)	$	1,055.22		(108.1709	)	$	1,259.86		-		$	1,285.43		(69.8233	)	$	1,212.62
February 28, 2021		(1,256.1563	)		1,131.20		(231.5910	)		1,352.82		-			1,380.27		(476.3347	)		1,301.27
March 31, 2021		(1,528.7113	)		1,123.19		(71.5370	)		1,345.48		(140.8352	)		1,372.78		(69.8087	)		1,293.40

Total		(4,378.6384	)				(411.2989	)				(140.8352	)				(615.9667	)

ITEM 3. DEFAULTS UPON SENIOR SECURITIES

Not Applicable.

ITEM 4. MINE SAFETY DISCLOSURES

Not Applicable.

ITEM 5. OTHER INFORMATION

None.

ITEM 6. EXHIBITS

The following exhibits are included herewith:

31.01	Rule 13(a)-14(a)/15(d)-14(a) Certification of Co-Chief Executive Officer
31.02	Rule 13(a)-14(a)/15(d)-14(a) Certification of Co-Chief Executive Officer
31.03	Rule 13(a)-14(a)/15(d)-14(a) Certification of President and Chief Operating Officer
31.04	Rule 13(a)-14(a)/15(d)-14(a) Certification of Chief Financial Officer
32.01	Section 1350 Certification of Co-Chief Executive Officer
32.02	Section 1350 Certification of Co-Chief Executive Officer
32.03	Section 1350 Certification of President and Chief Operating Officer
32.04	Section 1350 Certification of Chief Financial Officer

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

SIGNATURES

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

By:	Millburn Ridgefield Corporation,
	General Partner

Date: May 14, 2021

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