Additional Disclosures : Millennium

Additional Disclosures

General

The information included herein represents the performance information of Millennium International, Ltd. (“International”), Millennium USA LP (“USA”) or Millennium Global Estate LP (“Global” and, together with International and USA, the “Feeder Funds”) as indicated, except as otherwise noted below. In considering the prior performance information contained herein, you should bear in mind that past performance may not be indicative of future results. Certain performance information contained herein is only an estimate of performance results and actual results may materially differ from the estimates presented. The footnotes on the page that includes performance information and the information provided below contain important disclosures relating to the performance information contained herein that should be reviewed in connection therewith.

The computation of returns may vary based on the timing of capital transactions. Commencing as of January 2022, the rate of return for a month is calculated by dividing (x) net monthly income by (y) the beginning net asset value from the current month, after deducting incentive compensation accrued as of the beginning of the month (including contributions and withdrawals at the beginning of the month). Prior to January 2022, the rate of return for a month was calculated in the same manner except that the beginning net asset value from the current month was prior to deducting incentive compensation accrued as of the beginning of the month. As a result of this change, for years commencing with 2022, the compounded monthly rate of return will equal year-to-date return. This change change does not impact the Feeder Funds' year-to-date returns.

With respect to the incentive compensation (whether in the form of a fee or an allocation) described throughout these disclosures, such incentive compensation is generally paid or allocated at the end of the year. Yearly net returns are based on money invested as of January 1 and reflect the incentive compensation being paid at the end of the year, if applicable; however, in order to calculate net monthly returns, incentive compensation, if applicable, has been included as if it were a monthly cost except for periods in which the applicable fund is below a high water mark. As a result, the yearly net return for a given year may not be able to be derived from the monthly net return figures for such year reflected herein.

The monthly returns for the current year set forth herein have not been audited but are believed by Millennium Management LLC (“Millennium Management”), Millennium International Management LP (“MIM LP”) and Millennium Global Estate GP LLC, in their respective capacities as general partner or investment manager, as the case may be, to be accurate. Financial statements of Millennium Partners, L.P. (“MLP”) and the Feeder Funds are audited by Ernst & Young LLP and are available upon request (unless otherwise noted).

MLP commenced operations in June 1989. This document sets forth the returns of MLP since January 1990. During 1989, MLP had an additional general partner and employed other trading strategies that are no longer used. MLP lost 10.31% from June 1989 to December 1989. MLP was restructured in 1990 and new trading strategies were thereafter implemented.

No information or communication provided herein or otherwise to the investor by Millennium is intended to be, or should be construed as, a recommendation within the meaning of the U.S. Department of Labor’s final regulation defining “investment advice”. Further, Millennium does not intend for any such information or communication to be, and should not be construed as, providing impartial investment advice.

International

Prior to January 1, 1998, investors invested directly in MLP and the performance results presented through December 31, 1997 are those of MLP. International, which commenced operations on January 1, 1998, invests primarily in MLP and results from and after January 1, 1998 are those of International. With respect to those figures through December 31, 1997, such figures are net of the costs of MLP and a 20% incentive allocation payable to MLP’s general partner. Since MLP was not a foreign entity prior to 1999, there was no tax withheld applicable to dividend income from U.S. sources.

Figures from and after January 1, 1998 for International are net of an incentive fee to MIM LP through June 30, 2011, and an incentive allocation made by Millennium Offshore Intermediate, L.P., an entity through which International invests in MLP, to Millennium Management thereafter. The incentive compensation calculation is net of the costs of International and International’s share of costs incurred by MLP.

Beginning in June 1999, included in the returns (other than for the most recent calendar month) is income from “hot issues” or “new issues” which is allocated to investors who are eligible to participate in such issues. If an investor in International did not own an interest that was eligible for “hot issue” or “new issue” income, its returns were decreased by the following amounts: 1999 0.80%; 2000 0.23%; 2001 0.04%; 2002 0.02%; 2003 0.02%; 2004 0.20%; 2005 0.30%; 2006 0.23%; 2007 0.33%; 2008 0.06%; 2009 0.06%; 2010 0.11%; 2011 0.16%; 2012 0.17%; 2013 0.45%; 2014 0.47%; 2015 0.13%; 2016 0.07%; 2017 0.17%; 2018 0.46%; 2019: 0.36%; 2020: 1.15%; 2021: 0.95%; 2022: 0.04%; 2023: 0.14% (as of September 30, 2023).

Lehman Exposure:
The -3.07% return in 2008 is inclusive of a -2.61% write-down of all the Fund’s exposure to Lehman Brothers. In the absence of the Lehman Brothers write-down, the return would have been -0.46% in 2008. The aggregate amounts ultimately recovered from the Lehman Brothers estate and the liquidation of the Fund’s remaining exposure, which were allocated to the holders (including former holders) of interests in the Fund at the time of the write-down, exceeded the amount of the initial write-down. The returns from 2009 through 2015 include the gains attributable to a recovery in value of the Fund’s exposure to the Lehman Brothers estate.

Additional information relating to the Euro-denominated sub-classes of International (the “Euro Shares”)

The Euro Shares were first issued in October 2010.

The performance information of the Euro Shares also reflects the expenses of currency conversions in connection with subscriptions and redemptions and the expenses, as well as profits or losses of currency hedging activities undertaken in relationship to the Euro Shares.

Included in the returns is income from “hot issues” or “new issues” which is allocated to investors who are eligible to participate in such issues. If an investor in International did not own an interest that was eligible for “hot issue” or “new issue” income, its returns were decreased by the following amounts: 2010 0.05%; 2011 0.15%; 2012 0.17%; 2013 0.44%; 2014 0.48%; 2015 0.13%; 2016 0.07%; 2017 0.17%; 2018 0.45%; 2019: 0.35%; 2020: 1.12%; 2021: 0.95%; 2022: 0.04%; 2023: 0.15% (as of September 30, 2023).

Additional Information relating to the Japanese Yen-denominated sub-classes of International (the “Yen Shares”)

The Yen Shares were first issued in September 2011.

The performance information of the Yen Shares also reflects the expenses of currency conversions in connection with subscriptions and redemptions and the expenses, as well as profits or losses of currency hedging activities undertaken in relationship to the Yen Shares.

Additional Information relating to the Class SC Shares of International (“Class SC Shares”)

Millennium Strategic Capital, Ltd. (“Strategic, Ltd.”) commenced operations in September 2011 and as of December 31, 2015 its structure was altered such that instead of being a separate fund investing indirectly in MLP, its key terms are reflected in Class SC Shares of International (“SC Shares”). As a result, the performance data contained herein for the period prior to September 2011 and after December 2015 reflects the performance of MLP and International, adjusted to reflect the applicable incentive compensation, as described in more detail below.

* With respect to those figures through December 31, 1997, such figures are net of the costs of MLP and an 18% incentive allocation payable to MLP’s general partner.

* All figures from January 1, 1998 through August 31, 2011, are those of International and are net of incentive compensation (adjusted on a pro forma basis from 20% to 18%), International’s costs and a share of costs incurred by MLP.

* All figures from September 1, 2011 through December 31, 2015 are those of Strategic, Ltd. and are net of an 18% incentive allocation to Millennium Management, Strategic, Ltd.’s costs and a share of costs incurred by MLP.

* All figures subsequent to December 31, 2015 are those of International and are net of an 18% incentive allocation to Millennium Management, International’s costs and a share of costs incurred by MLP.

Although International’s financial statements are audited, the pro forma performance results have not been audited. Past performance of International and Strategic, Ltd. is not a guarantee or representation of the future performance of the Class SC Shares, and there can be no assurance the Class SC Shares will achieve comparable results. An investment in the Class SC Shares is speculative and involves substantial risks.

Beginning in June 1999, included in the returns is income from “hot issues” or “new issues” which is allocated to investors who are eligible to participate in such issues. If an investor did not own an interest that was eligible for “hot issue” or “new issue” income, its returns were decreased by the following amounts: 1999 0.82%; 2000 0.24%; 2001 0.04%; 2002 0.02%; 2003 0.02%; 2004 0.21%; 2005 0.31%; 2006 0.24%; 2007 0.34%; 2008 0.06%; 2009 0.06%; 2010 0.11%; 2011 0.16%; 2012 0.17%; 2013 0.46%; 2014 0.48%; 2015 0.14%; 2016 0.08%; 2017 0.18%; 2018 0.46%; 2019: 0.37%; 2020: 1.18%; 2021: 0.97%; 2022: 0.04%; 2023: 0.14% (as of September 30, 2023).

USA

Prior to January 1, 1998, investors invested directly in MLP and the performance results presented through December 31, 1997 are those of MLP. USA, which commenced operations on January 1, 1998, invests primarily in MLP and results from and after January 1, 1998 are those of USA. With respect to those figures through December 31, 1997, such figures are net of the costs of MLP and a 20% incentive allocation payable to MLP’s general partner. Since MLP was not a foreign entity prior to 1999, there was no tax withheld applicable to dividend income from U.S. sources.

Figures from and after January 1, 1998 for USA are net of the incentive allocation to Millennium Management, expenses of USA and USA’s pro rata share of expenses incurred by MLP.

Beginning in June 1999, included in the returns is income from “hot issues” or “new issues,” which is allocated to investors who are eligible to participate in such issues. If an investor did not own an interest that was eligible for “hot issue” or “new issue” income, its returns were decreased by the following amounts: 1999 0.80%; 2000 0.23%; 2001 0.04%; 2002 0.02%; 2003 0.01%; 2004 0.22%; 2005 0.30%; 2006 0.24%; 2007 0.37%; 2008 0.05%; 2009 0.06%; 2010 0.11%; 2011 0.20%; 2012 0.33%; 2013 0.54%; 2014 0.73%; 2015 0.33%; 2016 0.09%; 2017 0.18%; 2018 0.46%; 2019: 0.36%; 2020: 1.16%; 2021: 0.95%; 2022: 0.04%; 2023: 0.14% (as of September 30, 2023).

Lehman Exposure:
The -3.50% return in 2008 is inclusive of a -2.51% write-down of all the Fund’s exposure to Lehman Brothers. In the absence of the Lehman Brothers write-down, the return would have been -0.99% in 2008. The amounts ultimately recovered from the Lehman Brothers estate and the liquidation of the Fund’s remaining exposure exceeded the amount of the initial write-down, which were allocated to holders of interests in the Fund at the time of the write-down. The returns from 2009 through 2015 include the gains attributable to a recovery in value of the Fund’s exposure to the Lehman Brothers estate.

Additional Information relating to Class SC Interests of USA (“Class SC Interests”)

Millennium Strategic Capital LP (“Strategic LP”) commenced operations in September 2011 and as of December 31, 2016 its structure was altered such that instead of being a separate fund investing indirectly in MLP, its key terms are reflected in Class SC Interests of USA (“SC Interests”). As a result, the performance data contained herein for the period prior to September 2011 and after December 2016 reflects the performance of MLP and USA, adjusted to reflect the applicable incentive compensation, as described in more detail below.

* With respect to those figures through December 31, 1997, such figures are net of the costs of MLP and an 18% incentive allocation payable to MLP’s general partner at the time.

* All figures from January 1, 1998 through June 30, 2011 are those of USA and are net of the incentive allocation (adjusted on a pro forma basis from 20% to 18%), to Millennium Management, costs of USA and USA’s pro rata share of costs incurred by MLP.

* All figures from July 1, 2011 through December 31, 2016 are those of Strategic LP and are net of an 18% incentive allocation to Millennium Management, costs of Strategic LP and Strategic LP’s share of costs incurred by MLP.

* All figures subsequent to December 31, 2016 are those of USA and are net of an 18% incentive allocation to Millennium Management, USA’s costs and a share of costs incurred by MLP.

Although USA’s financial statements are audited, the pro forma performance results have not been audited. Past performance of USA and Strategic LP is not a guarantee or representation of the future performance of the Class SC Interests, and there can be no assurance the Class SC Interests will achieve comparable results. An investment in the Class SC Interests is speculative and involves substantial risks.

Beginning in June 1999, included in the returns is income from “hot issues” or “new issues,” which is allocated to investors who are eligible to participate. If an investor did not own an interest that was eligible for “hot issue” or “new issue” income, its returns were decreased by the following amounts (pro forma): 1999 0.82%; 2000 0.24%; 2001 0.04%; 2002 0.02%; 2003 0.01%; 2004 0.23%; 2005 0.31%; 2006 0.25%; 2007 0.38%; 2008 0.05%; 2009 0.06%; 2010 0.11%; 2011 0.20%; 2012 0.34%; 2013 0.55%; 2014 0.75%; 2015 0.34%; 2016 0.10%; 2017 0.19%; 2018 0.47%; 2019: 0.37%; 2020: 1.19%; 2021: 0.98%; 2022: 0.04%; 2023: 0.14% (as of September 30, 2023).

Global

Returns for the period prior to January 1, 2008 reflect Global’s fee structure that was in place prior to such date, which included an incentive allocation equal to 20% of net capital appreciation. For purposes of such calculation, net capital appreciation was deemed reduced by the amount of any unrecovered prior losses allocable to the accounts of investors bearing the incentive allocation. As of January 1, 2008, the incentive allocation was replaced with an asset-based management fee equal to 2.5% (per annum), which is reflected as a monthly expense in returns subsequent to such date. The rate of return figures for all periods are based on the net return on investments held by Global, reduced by the incentive allocation or asset-based management fee described above, as applicable, as well as the direct and indirect expenses of Global.

The monthly returns reflect only the income and expenses of Global, and do not reflect the effect of any fees or expenses charged by life insurance companies with respect to the variable life insurance or annuity contracts that have funds allocated to Global. If these expenses were included, the return under variable life insurance or annuity contracts that allow allocation of cash values to Global would be decreased.

Included in the returns is income from “hot issues” or “new issues.” Certain holders of variable life insurance or annuity contracts may not be permitted to participate in such issues. In such cases returns allocated to the cash value of contracts held by such persons were decreased by the following amounts: 2001 0.00%; 2002 0.02%; 2003 0.02%; 2004 0.03%; 2005 0.00%; 2006 0.19%; 2007 0.37%; 2008 0.06%; 2009 0.08%; 2010 0.13%; 2011 0.23%; 2012 0.40%; 2013 0.65%; 2014 0.88%; 2015 0.40%; 2016 0.12%; 2017 0.22%; 2018 0.56%; 2019: 0.44%; 2020: 1.40%; 2021: 1.16%; 2022: 0.05%; 2023: 0.18% (as of September 30, 2023).

Lehman Exposure:
The -6.00% return in 2008 is inclusive of a -2.44% write-down of all the Fund’s exposure to Lehman Brothers. In the absence of the Lehman Brothers write-down, the return would have been -3.57% in 2008. The amounts ultimately recovered from the Lehman Brothers estate and the liquidation of the Fund’s remaining exposure exceeded the amount of the initial write-down, which were allocated to holders of interests in the Fund at the time of the write-down. The returns from 2009 through 2015 include the gains attributable to a recovery in value of the Fund’s exposure to the Lehman Brothers estate.