v3.26.1
DERIVATIVE INSTRUMENTS
 6 Months Ended
Jun. 30, 2026
Millburn Multi Markets Trading L P [Member]  
Derivative Instruments [Line Items]  
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, 2026 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 June 30, 2026 and December 31, 2025. 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, 2026

Fair Value - Long Positions

Fair Value - Short Positions

Net Unrealized

Unrealized

Unrealized

Unrealized

Unrealized

Gain (Loss) on

Sector

Gains

Losses

Gains

Losses

Open Positions

Futures contracts:

Currencies

$

14,421 

$

(84,397)

$

314,447 

$

(6,946)

$

237,525 

Energies

33,145 

(25,450)

152,072 

(237,890)

(78,123)

Grains

-

-

353,946 

(84,531)

269,415 

Interest rates

1,215,453 

(405,034)

342,554 

(477,973)

675,000 

Livestock

6,430 

(300)

29,160 

(60)

35,230 

Metals

340,403 

(3,853,681)

2,655,334 

(461,439)

(1,319,383)

Softs

16,733 

(7,669)

5,000 

(88,305)

(74,241)

Stock indices

214,088 

(128,896)

62,779 

(570,392)

(422,421)

Total futures contracts

1,840,673

(4,505,427)

3,915,292 

(1,927,536)

(676,998)

Forward currency contracts

439,751

(10,337,050)

14,793,535 

(200,539)

4,695,697 

Total futures and forward currency contracts

$

2,280,424

$

(14,842,477)

$

18,708,827

$

(2,128,075)

$

4,018,699 

Fair value of futures and forward currency contracts at December 31, 2025

Fair Value - Long Positions

Fair Value - Short Positions

Net Unrealized

Unrealized

Unrealized

Unrealized

Unrealized

Gain (Loss) on

Sector

Gains

Losses

Gains

Losses

Open Positions

Futures contracts:

Currencies

$

21,519 

$

(6,974)

$

16,018 

$

(14,640)

$

15,923 

Energies

130,648 

(363,960)

240,120 

(2,644)

4,164 

Grains

-

(27,402)

670,788 

(5,788)

637,598 

Interest rates

291,569 

(57,341)

222,273 

(315,309)

141,192 

Livestock

-

-

1,760 

(33,810)

(32,050)

Metals

3,082,565 

(158,376)

87,886 

(1,874,603)

1,137,472 

Softs

20,048 

(12,729)

28,952 

(24,846)

11,425 

Stock indices

721,043 

(594,900)

66,810 

(147,034)

45,919 

Total futures contracts

4,267,392

(1,221,682)

1,334,607 

(2,418,674)

1,961,643 

Forward currency contracts

4,337,732 

(1,095,934)

665,898 

(2,519,154)

1,388,542 

Total futures and forward currency contracts

$

8,605,124

$

(2,317,616)

$

2,000,505

$

(4,937,828)

$

3,350,185 

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, 2026 and 2025 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, 2026 and 2025

 

Three months

Three months

Six months

Six months

ended:

ended:

ended:

ended:

June 30

June 30

June 30

June 30

Sector

2026

2025

2026

2025

Futures contracts:

Currencies

$

1,071,897

$

(241,125)

$

1,031,106

$

(2,077,421)

Energies

(5,847,347)

(4,784,908)

2,892,254

(1,901,094)

Grains

1,027,764

242,171

(134,993)

(276,993)

Interest rates

(4,191,917)

502,920

12,152,702

1,667,948

Livestock

152,590

137,630

147,970

54,950

Metals

(1,802,123)

306,352

5,043,618

4,697,074

Softs

(537,297)

(455,626)

(855,665)

56,687

Stock indices

(377,455)

877,476

5,383,663

(964,032)

Total futures contracts

(10,503,888)

(3,415,110)

25,660,655

1,257,119

Forward currency contracts

6,496,760

468,824

10,429,814

(4,754,461)

Total futures and forward currency contracts

$

(4,007,128)

$

(2,946,286)

$

36,090,469

$

(3,497,342)

For the three months ended June 30, 2026 and 2025, the monthly average number of futures contracts bought and sold and the monthly average notional value of forward currency contracts traded are detailed below:

 

2026

2025

Average bought

42,961

49,941

Average sold

41,069

55,729

Average notional (in billions)

$

4.0

$

3.5

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 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 June 30, 2026 and December 31, 2025.

Offsetting of derivative assets and liabilities at June 30, 2026

Gross amounts

Net amounts of

offset in the

assets presented in

Gross amounts of

Statements of

the Statements of

Assets

recognized assets

Financial Condition

Financial Condition

Futures contracts

Counterparty J

$

628,342 

$

(618,265)

$

10,077 

Forward currency contracts

Counterparty G

$

5,139,786 

(2,525,755)

2,614,031 

Counterparty K

10,093,500 

(8,011,834)

2,081,666 

Total forward currency contracts

15,233,286 

(10,537,589)

4,695,697 

Total assets

$

15,861,628 

$

(11,155,854)

$

4,705,774 

Gross amounts

Net amounts of

offset in the

liabilities presented in

Gross amounts of

Statements of

the Statements of

Liabilities

recognized liabilities

Financial Condition

Financial Condition

Futures contracts

Counterparty C

$

343,157 

$

(203,177)

$

139,980 

Counterparty L

5,471,539 

(4,924,444)

547,095 

Total futures contracts

5,814,696 

(5,127,621)

687,075 

Total liabilities

$

5,814,696 

$

(5,127,621)

$

687,075 


‎

Amounts Not Offset in the Statements of Financial Condition

Net amounts of

Assets

presented in the

Counterparty

Statements of Financial

Financial

Collateral

Condition

Instruments

Received(1)(2)

Net Amount(3)

Counterparty G

$

2,614,031 

$

-

$

$

2,614,031 

Counterparty J

10,077 

-

(10,077)

-

Counterparty K

2,081,666 

-

-

2,081,666 

Total

$

4,705,774 

$

-

$

(10,077)

$

4,695,697 

Amounts Not Offset in the Statements of Financial Condition

Net amounts of

Liabilities

presented in the

Counterparty

Statements of Financial

Financial

Collateral

Condition

Instruments

Pledged(1)(2)

Net Amount(4)

Counterparty C

$

139,980 

$

-

$

(139,980)

$

-

Counterparty L

547,095 

-

(547,095)

-

Total

$

687,075 

$

-

$

(687,075)

$

-

(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, if any, 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 assets and 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, 2026.


‎

Offsetting of derivative assets and liabilities at December 31, 2025

Gross amounts

Net amounts of

offset in the

assets presented in

Gross amounts of

Statements of

the Statements of

Assets

recognized assets

Financial Condition

Financial Condition

Futures contracts

Counterparty J

$

665,355 

$

(302,647)

$

362,708 

Counterparty L

4,820,067 

(2,982,101)

1,837,966 

Total futures contracts

5,485,422 

(3,284,748)

2,200,674 

Forward currency contracts

Counterparty K

3,424,714 

(2,010,027)

1,414,687 

Total assets

$

8,910,136 

$

(5,294,775)

$

3,615,361 

Gross amounts

Net amounts of

offset in the

liabilities presented in

Gross amounts of

Statements of

the Statements of

Liabilities

recognized liabilities

Financial Condition

Financial Condition

Futures contracts

Counterparty C

$

355,608 

$

(116,577)

$

239,031 

Forward currency contracts

Counterparty G

1,605,061 

(1,578,916)

26,145 

Total liabilities

$

1,960,669 

$

(1,695,493)

$

265,176 


‎

Amounts Not Offset in the Statements of Financial Condition

Net amounts of

Assets

presented in the

Counterparty

Statements of Financial

Financial

Collateral

Condition

Instruments

Received(1)(2)

Net Amount(3)

Counterparty J

$

362,708 

$

-

$

(362,708)

$

-

Counterparty L

1,837,966 

-

(1,837,966)

-

Counterparty K

1,414,687 

-

-

1,414,687 

Total

$

3,615,361 

$

-

$

(2,200,674)

$

1,414,687 

Amounts Not Offset in the Statements of Financial Condition

Net amounts of

Liabilities

presented in the

Counterparty

Statements of Financial

Financial

Collateral

Condition

Instruments

Pledged(1)(2)

Net Amount(4)

Counterparty C

$

239,031 

$

-

$

(239,031)

$

-

Counterparty G

26,145 

-

(26,145)

-

Total

$

265,176 

$

-

$

(265,176)

$

-

(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 December 31, 2025.

(4) Net amount represents the amounts owed by the Master Fund to each counterparty as of December 31, 2025.

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 $43,609,575 and $32,577,526 at June 30, 2026 and December 31, 2025, respectively.