FAIR VALUE (Tables)

6 Months Ended

Jun. 30, 2024


Financial assets and liabilities at fair value as of June 30, 2024
	Level 1		Level 2		Total

U.S. Treasury notes (1)	$	401,306,697	$	-	$	401,306,697

Exchange-traded futures contracts
Currencies		1,003,533		-		1,003,533
Energies		867,490		-		867,490
Grains		1,796,504		-		1,796,504
Interest rates		(47,815)		-		(47,815)
Livestock		(17,390)		-		(17,390)
Metals		(51,488)		-		(51,488)
Softs		(319,684)		-		(319,684)
Stock indices		(428,179)		-		(428,179)

Total exchange-traded futures contracts		2,802,971		-		2,802,971

Over-the-counter forward currency contracts		-		5,483,394		5,483,394

Total futures and forward currency contracts (2)		2,802,971		5,483,394		8,286,365

Total financial assets and liabilities at fair value	$	404,109,668	$	5,483,394	$	409,593,062

Per line item in Statements of Financial Condition
(1)
Investments in U.S. Treasury notes held in equity trading accounts as collateral					$	107,925,720
Investments in U.S. Treasury notes held in custody						293,380,977
Total investments in U.S. Treasury notes					$	401,306,697

(2)
Net unrealized appreciation on open futures and forward currency contracts					$	8,457,532
Net unrealized depreciation on open futures and forward currency contracts						(171,167)
Total net unrealized appreciation on open futures and forward currency contracts					$	8,286,365

‎


Financial assets and liabilities at fair value as of December 31, 2023
	Level 1		Level 2		Total

U.S. Treasury notes (1)	$	391,760,866	$	-	$	391,760,866

Short-Term Money Market Fund*		18,717,049		-		18,717,049
Exchange-traded futures contracts
Currencies		(196,774)		-		(196,774)
Energies		(3,062,691)		-		(3,062,691)
Grains		309,433		-		309,433
Interest rates		(1,339,320)		-		(1,339,320)
Livestock		(6,150)		-		(6,150)
Metals		(72,785)		-		(72,785)
Softs		547,547		-		547,547
Stock indices		898,582		-		898,582

Total exchange-traded futures contracts		(2,922,158)		-		(2,922,158)

Over-the-counter forward currency contracts		-		(1,613,422)		(1,613,422)

Total futures and forward currency contracts (2)		(2,922,158)		(1,613,422)		(4,535,580)

Total financial assets and liabilities at fair value	$	407,555,757	$	(1,613,422)	$	405,942,335

Per line item in Statements of Financial Condition
(1)
Investments in U.S. Treasury notes held in equity trading accounts as collateral					$	82,759,250
Investments in U.S. Treasury notes						309,001,616
Total investments in U.S. Treasury notes					$	391,760,866

(2)
Net unrealized appreciation on open futures and forward currency contracts					$	388,051
Net unrealized depreciation on open futures and forward currency contracts						(4,923,631)
Total net unrealized depreciation on open futures and forward currency contracts					$	(4,535,580)

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

Millburn Multi-Markets Fund L.P. 10-Q