Attached files
file | filename |
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EX-31.02 - EXHIBIT 31.02 - FUTURES PORTFOLIO FUND L.P. | ex31_02.htm |
EX-32.01 - EXHIBIT 32.01 - FUTURES PORTFOLIO FUND L.P. | ex32_01.htm |
EX-31.01 - EXHIBIT 31.01 - FUTURES PORTFOLIO FUND L.P. | ex31_01.htm |
EX-32.02 - EXHIBIT 32.02 - FUTURES PORTFOLIO FUND L.P. | ex32_02.htm |
UNITED
STATES
SECURITIES
AND EXCHANGE COMMISSION
WASHINGTON,
D.C. 20549
FORM
10-Q
x
|
QUARTERLY
REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE
|
SECURITIES
EXCHANGE ACT OF 1934
|
|
For
the quarterly period ended September 30, 2009
|
|
OR
|
|
o
|
TRANSITION
REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE
|
SECURITIES
EXCHANGE ACT OF 1934
|
For
the transition period
from to
Commission
file number: 000-50728
FUTURES
PORTFOLIO FUND, LIMITED PARTNERSHIP
(Exact
name of registrant as specified in its charter)
Maryland
|
52-1627106
|
|||
(State
of Incorporation)
|
(IRS
Employer Identification No.)
|
c/o
Steben & Company, Inc.
2099
Gaither Road, Suite 200
Rockville,
Maryland 20850
(Address
of Principal Executive Office)(zip code)
(240)
631-9808
Registrant’s
Telephone Number, Including Area Code:
__________________________________________________
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 x No
o
Indicate
by check mark whether the registrant has submitted electronically and posted on
its corporate Web site, if any, every Interactive Data File required to be
submitted and posted pursuant to Rule 405 of Regulation S-T during the preceding
12 months (or for such shorter period that the registrant was required to submit
and post such files). Yes o No
o
Indicate
by check mark whether the registrant is a large accelerated filer, an
accelerated filer, a non-accelerated filer, or a small reporting
company. See definition of “large accelerated filer”, “accelerated
filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check
one):
o Large
accelerated filer
|
o Accelerated
filer
|
x Non-accelerated
filer
|
o Smaller
Reporting Company
|
Indicate
by check mark whether the registrant is a shell company (as defined in Rule
12b-2 of the Exchange Act). Yes o No
x
Indicate
the number of shares outstanding of each of the issuer’s classes of common
stock, as of the latest practicable date: N/A
Table of Contents
Part
I:
|
Financial
Information
|
1
|
Item
1.
|
1
|
|
1
|
||
2
|
||
5
|
||
7
|
||
8
|
||
9
|
||
10
|
||
Item
2.
|
21
|
|
Item
3.
|
27
|
|
Item
4.
|
31
|
|
Part
II:
|
Other
Information
|
32
|
Item
1.
|
32
|
|
Item
1A.
|
32
|
|
Item
2.
|
32
|
|
Item
3.
|
32
|
|
Item
4.
|
32
|
|
Item
5.
|
32
|
|
Item
6.
|
33
|
FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP
STATEMENTS
OF FINANCIAL CONDITION
September
30, 2009 (Unaudited) and December 31, 2008 (Audited)
September
30,
|
December
31,
|
|||||||
2009
|
2008
|
|||||||
ASSETS
|
||||||||
Equity
in broker trading accounts
|
||||||||
Cash
|
$ | 281,184,124 | $ | 218,445,964 | ||||
U.S.
Government securities, at fair value (cost - $0 and
$66,403,849)
|
- | 66,972,902 | ||||||
Interest
receivable
|
31,251 | 28,073 | ||||||
Net
unrealized gain on open futures contracts
|
39,660,692 | 34,492,682 | ||||||
Net
unrealized gain (loss) on open forward currency contracts
|
5,001,820 | (1,202,959 | ) | |||||
Deposits
with brokers
|
325,877,887 | 318,736,662 | ||||||
Cash
and cash equivalents
|
647,342,315 | 286,560,159 | ||||||
Commercial
paper, at fair value (cost - $0 and $139,797,933)
|
- | 140,590,377 | ||||||
Government-sponsored
enterprises, at fair value (cost - $107,153,196 and
$74,304,142)
|
107,341,414 | 75,198,945 | ||||||
Corporate
notes, at fair value (cost - $0 and $77,628,692)
|
- | 78,147,406 | ||||||
General
Partner 1 percent allocation
|
267,337 | - | ||||||
Total
assets
|
$ | 1,080,828,953 | $ | 899,233,549 | ||||
LIABILITIES
|
||||||||
Accounts
payable - General Partner
|
$ | 1,616,010 | $ | 1,313,479 | ||||
Commissions
and other trading fees on open contracts
|
115,742 | 60,314 | ||||||
General
Partner management fee
|
1,689,559 | 1,374,743 | ||||||
General
Partner 1 percent allocation
|
- | 1,879,337 | ||||||
Advisor
management fees
|
1,807,319 | 1,492,038 | ||||||
Advisor
incentive fees
|
5,633,419 | 18,771,604 | ||||||
Selling
Agents' fee – General Partner
|
1,185,478 | 971,084 | ||||||
Redemptions
payable
|
3,927,068 | 10,448,411 | ||||||
Subscriptions
received in advance
|
32,136,358 | 29,937,275 | ||||||
Total
liabilities
|
48,110,953 | 66,248,285 | ||||||
PARTNERS'
CAPITAL (Net Asset Value)
|
||||||||
Class
A Interests - 138,438.6924 units and 108,989.0639 units outstanding
at September 30, 2009 and December 31, 2008
|
$ | 670,137,654 | $ | 547,011,351 | ||||
Class
B Interests - 57,421.4483 units and 44,268.0740 units outstanding at
September 30, 2009 and December 31, 2008
|
362,580,346 | 285,973,913 | ||||||
Total
partners' capital (net asset value)
|
1,032,718,000 | 832,985,264 | ||||||
Total
liabilities and partners' capital (net asset value)
|
$ | 1,080,828,953 | $ | 899,233,549 |
The
accompanying notes are an integral part of these financial
statements.
FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP
CONDENSED
SCHEDULE OF INVESTMENTS
September
30, 2009
(Unaudited)
GOVERNMENT-SPONSORED
ENTERPRISES
|
||||||||||||
Face Value
|
Maturity Date
|
Description
|
Fair
Value
|
%
of Net
Asset
Value
|
||||||||
$46,750,000 |
01/28/10
|
Fed
Home Ln Bank Bond (not callable), 0.960%
|
$ | 46,873,641 | 4.54 | % | ||||||
60,000,000 |
03/30/10
|
Fed
Home Ln Bank Bond (not callable), 1.100%
|
60,467,773 | 5.86 | % | |||||||
Total
Government-sponsored enterprises (cost - $107,153,196)
|
$ | 107,341,414 | 10.40 | % |
LONG U.S. FUTURES CONTRACTS
|
||||||||||||
Description
|
Net
unrealized gain
(loss)
on open
long
contracts
(Fair
Value)
|
%
of Net
Asset
Value
|
||||||||||
Agricultural
|
$ | 1,815,107 | 0.18 | % | ||||||||
Currency
|
5,058,830 | 0.49 | % | |||||||||
Energy
|
(337,895 | ) | (0.03 | %) | ||||||||
Equity
|
(28,886 | ) | 0.00 | % | ||||||||
Interest
rate
|
9,220,024 | 0.89 | % | |||||||||
Metal**
|
10,326,185 | 1.00 | % | |||||||||
Stock
index
|
1,436,245 | 0.14 | % | |||||||||
Total
long U.S. futures contracts
|
$ | 27,489,610 | 2.67 | % |
SHORT U.S. FUTURES
CONTRACTS
|
|
|||||||||||
Description
|
Net unrealized gain
(loss) on open short
contracts (Fair Value)
|
% of Net
Asset Value
|
||||||||||
Agricultural
|
$ | 2,366,379 | 0.23 | % | ||||||||
Currency
|
174,775 | 0.02 | % | |||||||||
Energy
|
(3,738,486 | ) | (0.36 | %) | ||||||||
Interest
rate
|
(87,019 | ) | (0.01 | %) | ||||||||
Metal
|
(4,886,149 | ) | (0.47 | %) | ||||||||
Stock
index
|
2,570 | 0.00 | % | |||||||||
Total
short U.S. futures contracts
|
$ | (6,167,930 | ) | (0.59 | %) | |||||||
Total
U.S. futures contracts
|
$ | 21,321,680 | 2.08 | % |
LONG FOREIGN FUTURES
CONTRACTS
|
||||||||||||
Description
|
Net unrealized gain
(loss) on open long
contracts (Fair Value)
|
% of Net
Asset Value
|
||||||||||
Agricultural
|
$ | 515,350 | 0.05 | % | ||||||||
Currency
|
712,521 | 0.07 | % | |||||||||
Energy
|
(4,435 | ) | 0.00 | % | ||||||||
Interest
rate**
|
11,520,443 | 1.12 | % | |||||||||
Metal
|
(331,287 | ) | (0.03 | %) | ||||||||
Stock
index
|
1,239,700 | 0.12 | % | |||||||||
Total
long foreign futures contracts
|
$ | 13,652,292 | 1.33 | % |
**No
individual futures or forward contract position constituted greater than 1
percent of net asset value. Accordingly, the number of contracts and expiration
dates are not presented.The accompanying notes are an integral part of these
financial statements.
The
accompanying notes are an integral part of these financial statements.
FUTURES
PORTFOLIO FUND, LIMITED PARTNERSHIP
CONDENSED
SCHEDULE OF INVESTMENTS (continued)
September
30, 2009
(Unaudited)
SHORT FOREIGN FUTURES
CONTRACTS
|
||||||||||||
Description
|
Net
unrealized gain
(loss)
on open short
contracts
(Fair Value)
|
%
of Net
Asset
Value
|
||||||||||
Agricultural
|
$ | 277,771 | 0.03 | % | ||||||||
Currency
|
4,269,910 | 0.41 | % | |||||||||
Energy
|
75,877 | 0.01 | % | |||||||||
Interest
rate
|
85,419 | 0.01 | % | |||||||||
Stock
index
|
(22,257 | ) | 0.00 | % | ||||||||
Total
short foreign futures contracts
|
$ | 4,686,720 | 0.46 | % | ||||||||
Total
foreign futures contracts
|
$ | 18,339,012 | 1.79 | % | ||||||||
Net
unrealized gain on open futures contracts
|
$ | 39,660,692 | 3.87 | % | ||||||||
LONG/SHORT U.S. FORWARD CURRENCY
CONTRACTS
|
||||||||||||
Description
|
Net
unrealized gain
on
open long/short
contracts (Fair
Value)
|
%
of Net
Asset
Value
|
||||||||||
Long
U.S. forward currency
|
$ | 1,047,936 | 0.10 | % | ||||||||
Short
U.S. forward currency
|
403,634 | 0.04 | % | |||||||||
Total
U.S. forward currency contracts
|
$ | 1,451,570 | 0.14 | % |
LONG/SHORT FOREIGN FORWARD CURRENCY CONTRACTS | ||||||||||||
Description
|
Net
unrealized gain
on
open long/short
contracts
(Fair Value)
|
%
of Net
Asset
Value
|
||||||||||
Long
foreign forward currency
|
$ | 669,667 | 0.06 | % | ||||||||
Short
foreign forward currency
|
2,880,583 | 0.28 | % | |||||||||
Total
foreign forward currency contracts
|
$ | 3,550,250 | 0.34 | % | ||||||||
Net
unrealized gain on open forward currency contracts
|
$ | 5,001,820 | 0.48 | % |
**No
individual futures or forward contract position constituted greater than 1
percent of net asset value. Accordingly, the number of contracts and expiration
dates are not presented.
The
accompanying notes are an integral part of these financial
statements.
FUTURES
PORTFOLIO FUND, LIMITED PARTNERSHIP
CONDENSED
SCHEDULE OF INVESTMENTS
December
31, 2008
(Audited)
U.S. GOVERNMENT SECURITIES*
|
||||||||||||
Face Value
|
Maturity Date
|
Description
|
Fair Value
|
% of Net
Asset Value
|
||||||||
$67,000,000 |
01/08/09
|
U.S.
Treasury Bill, 1.820%
|
$ | 66,972,902 | 8.04 | % | ||||||
Total
U.S. Government securities (cost - $66,403,849)
|
$ | 66,972,902 | 8.04 | % | ||||||||
GOVERNMENT-SPONSORED
ENTERPRISES
|
||||||||||||
Face Value
|
Maturity Date
|
Description
|
Fair Value
|
% of Net
Asset Value
|
||||||||
$75,204,000 |
01/02/09
|
Fed
Home Ln Discount Nt, 2.42%
|
$ | 75,198,945 | 9.03 | % | ||||||
Total
Government-sponsored enterprises (cost - $74,304,142)
|
$ | 75,198,945 | 9.03 | % | ||||||||
COMMERCIAL PAPER
|
||||||||||||
Face Value
|
Maturity Date
|
Description
|
Fair Value
|
% of Net
Asset Value
|
||||||||
$47,000,000 |
03/06/09
|
Royal
Bk Of Scotland Grp, 2.65%
|
$ | 46,778,578 | 5.62 | % | ||||||
41,670,000 |
03/10/09
|
Citigroup
Funding Inc, 3.05%
|
41,429,934 | 4.97 | % | |||||||
5,000,000 |
03/10/09
|
Citigroup
Funding Inc, 2.43%
|
4,977,050 | 0.60 | % | |||||||
19,800,000 |
05/04/09
|
Shell
Intl Finance Bv, 2.08%
|
19,659,288 | 2.36 | % | |||||||
28,000,000 |
05/04/09
|
Societe
Generale N Amer, 2.66%
|
27,745,527 | 3.33 | % | |||||||
Total
commercial paper securities (cost - $139,797,933)
|
$ | 140,590,377 | 16.88 | % | ||||||||
CORPORATE NOTES
|
||||||||||||
Face Value
|
Maturity Date
|
Description
|
Fair Value
|
% of Net
Asset Value
|
||||||||
$50,461,000 |
03/25/09
|
Bear
Stearns Co. (JP Morgan Chase & Co.), 3.25%
|
$ | 50,631,503 | 6.08 | % | ||||||
27,500,000 |
08/19/09
|
Proc
& Gamb Intl F, 2.49%
|
27,515,903 | 3.30 | % | |||||||
Total
corporate notes (cost - $77,628,692)
|
$ | 78,147,406 | 9.38 | % | ||||||||
LONG U.S. FUTURES CONTRACTS
|
||||||||||||
Description
|
Net unrealized gain
(loss) on open long
contracts (Fair Value)
|
% of Net
Asset Value
|
||||||||||
Agricultural
|
$ | 209,623 | 0.03 | % | ||||||||
Currency
|
583,235 | 0.07 | % | |||||||||
Energy
|
36,851 | 0.00 | % | |||||||||
Interest
rate
|
7,568,968 | 0.91 | % | |||||||||
Metal
|
(5,458,382 | ) | (0.66 | %) | ||||||||
Stock
index
|
283,733 | 0.03 | % | |||||||||
Total
long U.S. futures contracts
|
$ | 3,224,028 | 0.38 | % |
*Pledged
as collateral for the trading of futures contracts.
The
accompanying notes are an integral part of these financial
statements.
FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP
CONDENSED
SCHEDULE OF INVESTMENTS (continued)
December
31, 2008
(Audited)
SHORT U.S. FUTURES
CONTRACTS
|
|
|||||||||||
Description
|
Net unrealized gain
(loss) on open short
contracts (Fair Value)
|
% of Net
Asset Value
|
||||||||||
Agricultural
|
$ | 203,129 | 0.02 | % | ||||||||
Currency
|
(536,035 | ) | (0.06 | %) | ||||||||
Energy
|
1,136,871 | 0.14 | % | |||||||||
Interest
rate
|
(34,304 | ) | 0.00 | % | ||||||||
Metal**
|
12,050,348 | 1.45 | % | |||||||||
Stock
index
|
(100,242 | ) | (0.01 | %) | ||||||||
Total
short U.S. futures contracts
|
$ | 12,719,767 | 1.54 | % | ||||||||
Total
U.S. futures contracts
|
$ | 15,943,795 | 1.92 | % | ||||||||
LONG FOREIGN FUTURES
CONTRACTS
|
||||||||||||
Description
|
Net unrealized gain
on open long
contracts (Fair Value)
|
% of Net
Asset Value
|
||||||||||
Agricultural
|
$ | 526,077 | 0.06 | % | ||||||||
Currency
|
386,518 | 0.05 | % | |||||||||
Interest
rate**
|
13,673,497 | 1.64 | % | |||||||||
Metal
|
132 | 0.00 | % | |||||||||
Stock
index
|
353,887 | 0.04 | % | |||||||||
Total
long foreign futures contracts
|
$ | 14,940,111 | 1.79 | % | ||||||||
SHORT FOREIGN FUTURES
CONTRACTS
|
||||||||||||
Description
|
Net unrealized gain
(loss) on open short
contracts (Fair Value)
|
% of Net
Asset Value
|
||||||||||
Agricultural
|
$ | 1,586,457 | 0.19 | % | ||||||||
Currency
|
768,035 | 0.09 | % | |||||||||
Energy
|
761,334 | 0.09 | % | |||||||||
Interest
rate
|
(443,162 | ) | (0.05 | %) | ||||||||
Metal
|
1,194,857 | 0.14 | % | |||||||||
Stock
index
|
(258,745 | ) | (0.03 | %) | ||||||||
Total
short foreign futures contracts
|
$ | 3,608,776 | 0.43 | % | ||||||||
Total
foreign futures contracts
|
$ | 18,548,887 | 2.22 | % | ||||||||
Net
unrealized gain on open futures contracts
|
$ | 34,492,682 | 4.14 | % | ||||||||
LONG/SHORT U.S. FORWARD CURRENCY
CONTRACTS
|
||||||||||||
Description
|
Net unrealized gain
(loss) on open long/short
contracts (Fair Value)
|
% of Net
Asset Value
|
||||||||||
Long
U.S. forward currency
|
$ | 495,615 | 0.06 | % | ||||||||
Short
U.S. forward currency
|
(1,697,447 | ) | (0.20 | %) | ||||||||
Total
U.S. forward currency contracts
|
$ | (1,201,832 | ) | (0.14 | %) |
**No
individual futures or forward contract position constituted greater than 1
percent of net asset value. Accordingly, the number of contracts and expiration
dates are not presented.
The
accompanying notes are an integral part of these financial
statements.
FUTURES
PORTFOLIO FUND, LIMITED PARTNERSHIP
CONDENSED
SCHEDULE OF INVESTMENTS (continued)
December
31, 2008
(Audited)
LONG/SHORT FOREIGN FORWARD CURRENCY
CONTRACTS
|
||||||||||||
Description
|
Net unrealized gain
(loss) on open long/short
contracts (Fair Value)
|
% of Net
Asset Value
|
||||||||||
Long
foreign forward currency
|
$ | 217,280 | 0.03 | % | ||||||||
Short
foreign forward currency
|
(218,407 | ) | (0.03 | %) | ||||||||
Total
foreign forward currency contracts
|
$ | (1,127 | ) | 0.00 | % | |||||||
Net
unrealized loss on open forward currency contracts
|
$ | (1,202,959 | ) | (0.14 | %) |
The
accompanying notes are an integral part of these financial
statements.
FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP
STATEMENTS
OF OPERATIONS
For
the Three and Nine Months Ended September 30, 2009 and 2008
(Unaudited)
Three
Months Ended
|
Nine
Months Ended
|
|||||||||||||||
September
30,
|
September
30,
|
|||||||||||||||
2009
|
2008
|
2009
|
2008
|
|||||||||||||
TRADING
GAIN (LOSS)
|
||||||||||||||||
Net
realized gain (loss)
|
$ | 15,792,051 | $ | (17,407,249 | ) | $ | 10,951,064 | $ | 122,910,706 | |||||||
Net
change in unrealized gain (loss)
|
32,514,500 | (32,409,033 | ) | 11,372,789 | (11,233,308 | ) | ||||||||||
Brokerage
commissions
|
(794,199 | ) | (578,707 | ) | (1,976,539 | ) | (1,601,441 | ) | ||||||||
Net
gain (loss) from trading
|
47,512,352 | (50,394,989 | ) | 20,347,314 | 110,075,957 | |||||||||||
NET
INVESTMENT LOSS
|
||||||||||||||||
Income
|
||||||||||||||||
Interest
income
|
633,167 | 4,250,117 | 4,125,311 | 14,779,999 | ||||||||||||
Expenses
|
||||||||||||||||
General
Partner management fee
|
4,876,085 | 3,267,502 | 13,715,606 | 9,410,879 | ||||||||||||
General
Partner 1 percent allocation
|
289,447 | (591,773 | ) | (267,337 | ) | 621,241 | ||||||||||
Advisor
management fees
|
3,630,303 | 2,798,548 | 10,665,853 | 8,235,991 | ||||||||||||
Advisor
incentive fees
|
5,631,887 | 3,572,159 | 12,560,513 | 35,230,213 | ||||||||||||
Selling
Agents' fee – General Partner
|
3,418,167 | 2,294,877 | 9,639,693 | 6,677,820 | ||||||||||||
Operating
expenses
|
2,201,007 | 2,560,381 | 6,507,786 | 5,430,445 | ||||||||||||
Total
expenses
|
20,046,896 | 13,901,694 | 52,822,114 | 65,606,589 | ||||||||||||
Operating
expenses waived
|
(556,610 | ) | (1,461,050 | ) | (1,883,103 | ) | (2,253,515 | ) | ||||||||
Net
total expenses
|
19,490,286 | 12,440,644 | 50,939,011 | 63,353,074 | ||||||||||||
Net
investment loss
|
(18,857,119 | ) | (8,190,527 | ) | (46,813,700 | ) | (48,573,075 | ) | ||||||||
NET
INCOME (LOSS)
|
$ | 28,655,233 | $ | (58,585,516 | ) | $ | (26,466,386 | ) | $ | 61,502,882 | ||||||
Three
Months Ended September 30,
|
Nine
Months Ended September 30,
|
|||||||||||||||||||||||||||||||
2009
|
2008
|
2009
|
2008
|
|||||||||||||||||||||||||||||
Class A
|
Class B
|
Class A
|
Class B
|
Class A
|
Class B
|
Class A
|
Class B
|
|||||||||||||||||||||||||
INCREASE
(DECREASE) IN NET ASSET VALUE PER UNIT
|
$ | 126.03 | $ | 191.93 | $ | (394.66 | ) | $ | (478.97 | ) | $ | (178.28 | ) | $ | (145.68 | ) | $ | 407.37 | $ | 586.55 | ||||||||||||
NET
INCOME (LOSS) PER UNIT
(based
on weighted average number of units outstanding)
|
$ | 131.58 | $ | 198.71 | $ | (380.34 | ) | $ | (470.82 | ) | $ | (163.61 | ) | $ | (124.05 | ) | $ | 407.07 | $ | 551.33 |
The
accompanying notes are an integral part of these financial
statements.
FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP
STATEMENTS
OF CASH FLOWS
For
the Nine Months Ended September 30, 2009 and 2008
(Unaudited)
__________
2009
|
2008
|
|||||||
Cash
flows provided by (used in) operating activities
|
||||||||
Net
income (loss)
|
$ | (26,466,386 | ) | $ | 61,502,882 | |||
Adjustments
to reconcile net income (loss) to net cash provided by (used in) operating
activities
|
||||||||
Net
change in unrealized (gain) loss
|
(11,372,789 | ) | 11,233,308 | |||||
Net
proceeds from commercial paper
|
140,590,377 | 3,802,964 | ||||||
Net
proceeds from corporate notes
|
78,147,406 | - | ||||||
Net
proceeds (purchases) of investments in U.S. government
securities
|
66,972,902 | (158,516,198 | ) | |||||
Net
purchases of Government-sponsored enterprises
|
(32,142,469 | ) | - | |||||
(Increase)
decrease in interest receivable
|
(3,178 | ) | 106,985 | |||||
Decrease
in accounts payable and accrued expenses
|
(11,935,735 | ) | (3,119 | ) | ||||
Increase
(decrease) in General Partner 1 percent allocation
|
(2,146,674 | ) | 370,923 | |||||
Net
cash provided by (used in) operating activities
|
201,643,454 | (81,502,255 | ) | |||||
Cash
flows provided by (used in) financing activities
|
||||||||
Contributions
|
262,412,284 | 147,677,830 | ||||||
Subscriptions
received in advance
|
32,136,358 | 8,604,457 | ||||||
Redemptions
|
(72,671,780 | ) | (61,726,355 | ) | ||||
Net
cash provided by financing activities
|
221,876,862 | 94,555,932 | ||||||
Net
increase in cash and cash equivalents
|
423,520,316 | 13,053,677 | ||||||
Cash
and cash equivalents
|
||||||||
Beginning
of period
|
505,006,123 | 85,537,812 | ||||||
End
of period
|
$ | 928,526,439 | $ | 98,591,489 | ||||
End
of period cash and cash equivalents consists of:
|
||||||||
Cash
in broker trading accounts
|
$ | 281,184,124 | $ | 70,173,684 | ||||
Cash
and cash equivalents
|
647,342,315 | 28,417,805 | ||||||
Total
end of period cash and cash equivalents
|
$ | 928,526,439 | $ | 98,591,489 | ||||
Supplemental
disclosure of cash flow information:
|
||||||||
Prior
period redemptions paid
|
$ | 10,448,411 | $ | 4,753,938 | ||||
Prior
period subscriptions received in advance
|
$ | 29,937,275 | $ | 3,956,128 | ||||
Supplemental
schedule of non-cash financing activities:
|
||||||||
Redemptions
payable
|
$ | 3,927,068 | $ | 4,518,384 |
The
accompanying notes are an integral part of these financial
statements.
FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP
STATEMENTS
OF CHANGES IN PARTNERS’ CAPITAL (NET ASSET VALUE)
For
the Nine Months Ended September 30, 2009 and 2008
(Unaudited)
__________
Class
A Interests
|
Class
B Interests
|
|||||||||||||||||||
Units
|
Amount
|
Units
|
Amount
|
Total
|
||||||||||||||||
Nine
Months Ended September 30, 2009
|
||||||||||||||||||||
Balance
at December 31, 2008
|
108,989.0639 | $ | 547,011,351 | 44,268.0740 | $ | 285,973,913 | $ | 832,985,264 | ||||||||||||
Net
loss for the nine months ended September 30, 2009
|
- | (20,137,315 | ) | (6,329,071 | ) | (26,466,386 | ) | |||||||||||||
Contributions
|
38,143.3711 | 185,460,951 | 16,967.3754 | 106,888,608 | 292,349,559 | |||||||||||||||
Redemptions
|
(7,367.0398 | ) | (35,743,853 | ) | (4,839.0585 | ) | (30,406,584 | ) | (66,150,437 | ) | ||||||||||
Transfers
|
(1,326.7028 | ) | (6,453,480 | ) | 1,025.0574 | 6,453,480 | - | |||||||||||||
Balance
at September 30, 2009
|
138,438.6924 | $ | 670,137,654 | 57,421.4483 | $ | 362,580,346 | $ | 1,032,718,000 | ||||||||||||
Class
A Interests
|
Class
B Interests
|
|||||||||||||||||||
Units
|
Amount
|
Units
|
Amount
|
Total
|
||||||||||||||||
Nine
Months Ended September 30, 2008
|
||||||||||||||||||||
Balance
at December 31, 2007
|
94,188.7078 | $ | 364,289,314 | 36,968.6171 | $ | 180,817,671 | $ | 545,106,985 | ||||||||||||
Net
income for the nine months ended September 30, 2008
|
- | 39,577,371 | - | 21,925,511 | 61,502,882 | |||||||||||||||
Contributions
|
22,398.8129 | 95,765,492 | 10,309.8664 | 55,868,466 | 151,633,958 | |||||||||||||||
Redemptions
|
(10,156.9137 | ) | (44,638,161 | ) | (3,144.1560 | ) | (16,852,640 | ) | (61,490,801 | ) | ||||||||||
Transfers
|
(166.0804 | ) | (711,220 | ) | 131.0055 | 711,220 | - | |||||||||||||
Balance
at September 30, 2008
|
106,264.5266 | $ | 454,282,796 | 44,265.3330 | $ | 242,470,228 | $ | 696,753,024 |
Net
Asset Value Per Unit
|
||||||||||||||||||||||||||||||
September
30, 2009
|
December
31, 2008
|
September
30, 2008
|
December
31, 2007
|
|||||||||||||||||||||||||||
Class
A
|
Class
B
|
Class
A
|
Class
B
|
Class
A
|
Class
B
|
Class
A
|
Class
B
|
|||||||||||||||||||||||
$ | 4,840.68 | $ | 6,314.37 | $ | 5,018.96 | $ | 6,460.05 | $ | 4,275.02 | $ | 5,477.66 | $ | 3,867.65 | $ | 4,891.11 |
The
accompanying notes are an integral part of these financial
statements.
FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP
NOTES
TO FINANCIAL STATEMENTS
(Unaudited)
__________
Note
1:
|
ORGANIZATION AND
SUMMARY OF SIGNIFICANT ACCOUNTING
POLICIES
|
General Description of the
Fund:
Futures
Portfolio Fund, Limited Partnership (the “Fund”) is a Maryland limited
partnership, which operates as a commodity investment pool that commenced
trading operations on January 2, 1990. The Fund issues units of
Limited Partnership Interests (“Units”) in two Classes, Class A and Class B,
which represent units of fractional undivided beneficial interest in and
ownership of the Fund. The Fund will automatically terminate on
December 31, 2025, unless terminated earlier as provided in the Limited
Partnership Agreement.
The Fund
utilizes commodity trading advisors to engage in the trading of futures
contracts, forward currency contracts, and other financial instruments traded in
the United States and internationally.
The Fund
is a registrant with the U.S. Securities and Exchange Commission (“SEC”)
pursuant to the Securities Act of 1933, as amended, (the “’33 Act”) and the U.S.
Securities Exchange Act of 1934 (the “’34 Act”). As a registrant, the
Fund is subject to the regulations of the SEC and the disclosure requirements of
the Act. As a commodity pool, the Fund is subject to the regulations
of the U.S. Commodity Futures Trading Commission, an agency of the
United States (“U.S.”) government which regulates most aspects of the commodity
futures industry; rules of the National Futures Association (“NFA”), an industry
self-regulatory organization; rules of Financial Industry Regulatory Authority
(“FINRA”), an industry self-regulatory organization; and the requirements of
commodity exchanges where the Fund executes
transactions. Additionally, the Fund is subject to the requirements
of Futures Commission Merchants (brokers) and Interbank market makers through
which the fund trades.
Steben
& Company, Inc. (“Steben & Company”, the “General Partner” or the
“Commodity Pool Operator”), is a Maryland corporation registered with the CFTC
as a commodity pool operator and a commodities introducing broker, and is also
registered with the SEC as a registered investment advisor and a
broker-dealer. The General Partner is a member of the NFA and FINRA.
The General Partner manages all aspects of the Fund’s business and serves as one
of the Fund’s Selling Agents.
Classes of
Interests:
There are
two Classes of Interests held by the Limited Partners, Class A and Class B
Units. The General Partner may offer additional classes at its discretion. Both
Class A and Class B Units are traded pursuant to identical trading programs and
differ only in respect to the selling agents’ fees, which consists of selling
agents’ commissions and broker dealer servicing fees. Class B Units are issued
only at the General Partner’s discretion and are generally intended for
investors who are participating in fee based investment advisory programs. All
items of income or loss, except for the selling agents’ fees, are allocated pro
rata between Class A and Class B Units. The selling agents’ fees applicable to
each class of Units are then charged to each class. All items of income or loss
allocated to each class of Units are then allocated pro rata to each Limited
Partner within each class. For purposes of both financial reporting and
calculation of redemption value, net asset value per Class A or Class B Unit is
calculated by dividing the net asset value of Class A or Class B Interests by
the number or outstanding units of Class A or Class B.
Significant
accounting policies are as follows:
Use of
Estimates:
The
preparation of financial statements in conformity with U.S. generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of revenue and expenses during the reporting period. Actual
results could differ from those estimates.
Revenue
Recognition:
Futures,
options on futures, forward currency and swap contracts are recorded on a trade
date basis, and gains or losses are realized when contracts are liquidated.
Unrealized gains and losses on open contracts (the difference between contract
trade price and fair value) are reported in the statements of financial
condition as net unrealized gain or loss, as there exists a right of offset of
any unrealized gains or losses. Any change in net unrealized gain or
loss from the preceding period is reported in the statements of operations.
Commercial paper, corporate notes, U.S. Government securities and
Government-sponsored enterprises are recorded at amortized cost and interest is
accrued and recorded through maturity, which approximates fair
value. Fair value of exchange-traded contracts is based upon
settlement prices. Fair value of non-exchange traded contracts is based upon
third-party quoted dealer values on the Interbank market.
Cash and Cash
Equivalents:
Cash
equivalents are highly liquid investments with an original maturity of three
months or less at the date of acquisition that are not held for sale in the
normal course of business. The Fund is at risk to the extent that it maintains
balances with such institutions in excess of insured limits; however, the Fund
does not believe it is exposed to any significant credit risk. As of September
30, 2009, significant cash balances held at Newedge, UBS, and Bank of America
are $261,849,432, $294,946,984 and $371,730,023, respectively. As of
December 31, 2008, significant cash balances held at Newedge, UBS, and Bank of
America are $209,660,354, $213,671,965 and $81,663,804,
respectively.
Brokerage
Commissions:
Brokerage
commissions include other trading fees and are charged to expense when contracts
are opened and when the positions are closed.
Redemptions
Payable:
Redemptions
payable represent redemptions approved by the General Partner prior to period
end, including those that are not effective until subsequent
periods. These redemptions have been recorded using the period end
net asset value per Unit.
Income
Taxes:
The Fund
prepares calendar year U.S. and applicable state tax returns. The
Fund is not subject to federal income taxes as each partner is individually
liable for his or her allocable share of the Fund’s income, expenses and trading
gains or losses. The Fund, however, may be required to file returns
in various state and local jurisdictions as a result of its operations or the
residency of its partners. For the three and nine months ended
September 30, 2009 and 2008, and the year ended December 31, 2008, no income tax
liability for uncertain tax positions has been recognized in the accompanying
financial statements. The 2006 through 2008 tax years generally
remain subject to examination by U.S. federal and most state tax
authorities.
Fair Value of Financial
Instruments:
The Fund
measures financial instruments at fair value, which is defined as the price that
would be received to sell an asset or paid to transfer a liability in an orderly
transaction between market participants at the measurement date and sets out a
fair value hierarchy. The fair value hierarchy gives the highest
priority to quoted prices in active markets for identical assets or liabilities
(Level 1) and the lowest priority to unobservable inputs (Level
3). Inputs are broadly defined as assumptions market participants
would use in pricing an asset or liability. The three levels of the fair value
hierarchy are described below:
Level
1. Unadjusted quoted prices in active markets for identical assets or
liabilities that the reporting entity has the ability to access at the
measurement date.
Level
2. Inputs other than quoted prices within Level 1 that are observable
for the asset or liability, either directly or indirectly. A
significant adjustment to a Level 2 input could result in the Level 2
measurement becoming a Level 3 measurement.
Level
3. Inputs are unobservable for the asset or
liability.
The
following section describes the valuation techniques used by the Fund to measure
different financial instruments at fair value and includes the level within the
fair value hierarchy in which the financial instrument is
categorized.
The
Fund’s investments in U.S. Government securities, commercial paper,
Government-sponsored enterprises and corporate notes are short-term in nature
with a duration of less than one year, and typically, the Fund holds these
investments through maturity. As such, interest income generated from these
investments is recorded in the statements of operations. The fair value of these
investments as obtained from cash management and clearing firms statements are
compared to amortized cost to verify that the carrying amounts approximates
their fair value.
The
Fund’s cash management account holder and clearing firm (UBS and Newedge,
respectively) utilize pricing services to value U.S. Government securities,
commercial paper, Government-sponsored enterprises and corporate notes
investments. These pricing services utilize the market approach which uses
prices and other relevant information generated by market transactions involving
identical or comparable assets or liabilities. Valuation techniques consistent
with the market approach include matrix pricing. Matrix pricing, which is used
for Level 2 investments, is a mathematical technique used principally to value
debt securities without relying exclusively on quoted prices for the specific
securities, rather by relying on the securities’ relationship to other benchmark
quoted securities.
U.S.
Government securities are actively traded on a daily basis and the pricing
services are able to obtain bid and ask quotes for identical assets by CUSIP.
Commercial paper, Government-sponsored enterprises and corporate notes
investments are also actively traded, however, the pricing services are only
able to obtain bid and ask quotes for similar assets. As such, U.S. Government
securities are classified within Level 1 and commercial paper,
Government-sponsored enterprises and corporate notes investments are classified
within Level 2.
Fair
value of exchange traded contracts is based upon exchange settlement prices.
Fair value of non-exchange traded contracts is based on third-party quoted
dealer values on the Interbank market. The investments in money market funds and
futures contracts are valued using quoted market prices and are classified
within Level 1. The fair values of forward currency contracts are based upon an
underlying asset, index, or reference rate or a combination of these factors and
are classified within Level 2. The Fund uses some or all, when applicable, of
these financial instruments as part of its trading activities. The recorded
values of commercial paper, Government-sponsored enterprises, U.S. Government
securities and corporate notes are based on amortized cost carrying amounts due
to the short-term maturity of the instruments and are classified within Level 1
or 2; therefore, their carrying amounts approximate fair values.
The
following tables present the Fund’s fair value hierarchy for those assets and
liabilities measured at fair value on a recurring basis as of September 30, 2009
and December 31, 2008:
September
30, 2009
|
||||||||||||
Level
1
|
Level
2
|
Total
|
||||||||||
Equity
in broker trading accounts
|
||||||||||||
Futures
contracts
|
$ | 39,660,692 | $ | 39,660,692 | ||||||||
Forward
currency contracts
|
$ | 5,001,820 | $ | 5,001,820 | ||||||||
Government-sponsored
enterprises
|
$ | 107,341,414 | $ | 107,341,414 | ||||||||
Cash
and cash equivalents
|
||||||||||||
Money
market funds
|
$ | 600,776,990 | $ | 600,776,990 |
December
31, 2008
|
||||||||||||
Level
1
|
Level
2
|
Total
|
||||||||||
Equity
in broker trading accounts
|
||||||||||||
Futures
contracts
|
$ | 34,492,682 | $ | 34,492,682 | ||||||||
Forward
currency contracts
|
$ | (1,202,959 | ) | $ | (1,202,959 | ) | ||||||
U.S.
Government securities
|
$ | 66,972,902 | $ | 66,972,902 | ||||||||
Commercial
paper
|
$ | 140,590,377 | $ | 140,590,377 | ||||||||
Government-sponsored
enterprises
|
$ | 75,198,945 | $ | 75,198,945 | ||||||||
Corporate
notes
|
$ | 78,147,406 | $ | 78,147,406 | ||||||||
Cash
and cash equivalents
|
||||||||||||
Money
market funds
|
$ | 256,592,512 | $ | 256,592,512 |
There
were no Level 3 holdings as of September 30, 2009 or December 31, 2008 or during
the three and nine months ended September 30, 2009 and 2008,
respectively.
Derivative
Instruments:
The Fund
adopted the provisions of the Derivatives and Hedging Topic of the Financial
Accounting Standards Board (“FASB”) Accounting Standards
Codification effective January 1, 2009. As required, the Fund
presents qualitative disclosures about objectives and strategies for using
derivatives, quantitative disclosures about fair value amounts of the gains and
losses on agreements.
The
Fund’s derivative contracts are comprised of futures and currency forward
contracts. These derivative contracts are recorded on the statements of
financial condition as assets measured at fair value and the related realized
and unrealized gain (loss) associated with these derivatives is recorded in the
statements of operations. The Fund has considered the counterparty credit risk
related to all its futures and forward currency contracts and does not deem any
counterparty credit risk material at this time. The Fund does not designate any
derivative instruments as hedging instruments.
As of
September 30, 2009 and for the three and nine months ended September 30, 2009,
the Fund’s derivative contracts had the following impact on the statements of
financial condition and the statements of operations:
Derivative Assets and
Liabilities
|
|||||||||||||||||
Statements of Financial Condition
Location
|
Assets
|
Liabilities
|
Net
|
Number of Contracts
|
|||||||||||||
Futures contracts
|
|||||||||||||||||
Agricultural
|
$ | 5,759,379 | $ | (784,772 | ) | $ | 4,974,607 | 5,007 | |||||||||
Currency
|
10,656,964 | (440,928 | ) | 10,216,036 | 4,945 | ||||||||||||
Energy
|
365,551 | (4,370,490 | ) | (4,004,939 | ) | 2,524 | |||||||||||
Equity
|
1,478 | (30,364 | ) | (28,886 | ) | 20 | |||||||||||
Interest
rate
|
21,121,712 | (382,845 | ) | 20,738,867 | 36,836 | ||||||||||||
Metal
|
10,360,588 | (5,251,839 | ) | 5,108,749 | 4,775 | ||||||||||||
Stock
index
|
3,729,104 | (1,072,846 | ) | 2,656,258 | 7,513 | ||||||||||||
Net
unrealized gain on open futures contracts
|
51,994,776 | (12,334,084 | ) | 39,660,692 | 61,620 |
Forward contracts
|
|||||||||||||||||
Currency
|
Net
unrealized gain (loss) on open forward currency contracts
|
7,143,681 | (2,141,861 | ) | 5,001,820 | N/A | |||||||||||
$ | 59,138,457 | $ | (14,475,945 | ) | $ | 44,662,512 | N/A |
Revenue
|
||||||||||||||||
Three Months Ended
September 30, 2009
|
Nine Months Ended
September 30, 2009
|
|||||||||||||||
Statements
of Operations Location
|
Net realized gain (loss)
|
Number of Contracts
|
Net realized gain (loss)
|
Number of Contracts
|
||||||||||||
Futures Contracts
|
||||||||||||||||
Agricultural
|
$ | 2,973,007 | 15,253 | $ | 1,230,290 | 40,324 | ||||||||||
Currency
|
(1,393,033 | ) | 19,770 | (6,233,611 | ) | 34,234 | ||||||||||
Energy
|
(19,190,870 | ) | 17,854 | (21,725,672 | ) | 34,194 | ||||||||||
Equity
|
(182,209 | ) | 725 | (82,127 | ) | 1,087 | ||||||||||
Interest
rate
|
570,484 | 86,512 | (9,651,428 | ) | 215,342 | |||||||||||
Metal
|
(1,446,981 | ) | 6,530 | 240,460 | 14,376 | |||||||||||
Stock
index
|
31,688,972 | 33,875 | 58,509,749 | 72,710 | ||||||||||||
13,019,370 | 180,519 | 22,287,661 | 421,267 | |||||||||||||
Forward contracts
|
||||||||||||||||
Currency
|
2,706,661 | N/A | (10,977,047 | ) | N/A | |||||||||||
Net
realized gain (loss)
|
$ | 15,726,031 | $ | 11,310,614 |
Revenue
|
||||||||
Net change in unrealized gain
(loss)
|
||||||||
Statements
of Operations Location
|
Three Months
Ended September 30,
2009
|
Nine Months
Ended September 30,
2009
|
||||||
Futures contracts
|
||||||||
Agricultural
|
$ | 882,036 | $ | 2,449,321 | ||||
Currency
|
7,789,122 | 9,014,283 | ||||||
Energy
|
(7,920,562 | ) | (5,939,995 | ) | ||||
Equity
|
(28,738 | ) | (28,886 | ) | ||||
Interest
rate
|
17,069,854 | (26,132 | ) | |||||
Metal
|
8,587,533 | (2,678,206 | ) | |||||
Stock
index
|
1,591,361 | 2,377,625 | ||||||
27,970,606 | 5,168,010 | |||||||
Forward contracts
|
||||||||
Currency
|
4,543,894 | 6,204,779 | ||||||
Net
change in unrealized gain (loss)
|
$ | 32,514,500 | $ | 11,372,789 |
Foreign Currency
Transactions:
The
Fund’s functional currency is the U.S. dollar; however, it transacts business in
currencies other than the U.S. dollar. Assets and liabilities
denominated in currencies other than the U.S. dollar are translated into U.S.
dollars at the rates in effect at the date of the statements of financial
condition. Income and expense items denominated in currencies other than the
U.S. dollar are translated into U.S. dollars at the rates in effect during the
period. Gains and losses resulting from the translation to U.S. dollars are
reported in income currently as part of net trading gains and
losses.
Reclassification:
Certain
amounts in the 2008 financial statements have been reclassified to conform with
the 2009 presentation without affecting previously reported partner’s capital
(net asset value).
Recently Adopted Accounting
Standards:
The Fund
adopted FASB Accounting
Standards Codification (the “Codification”) on July 1,
2009. The Codification is the single source of authoritative
nongovernmental U.S. generally accepted accounting principles
(“GAAP”). The Codification does not change U.S. GAAP but combines all
authoritative standards into a comprehensive, topically organized online
database. Effective with the Codification launch on July 1, 2009,
only one level of authoritative U.S. GAAP exists, other than guidance
issued by the SEC. All other accounting literature excluded from the
Codification is considered non-authoritative. The Codification
impacted the Fund’s financial statement disclosures by eliminating prior FASB
reference since all references to authoritative accounting literature are now
referenced in accordance with the Codification.
The Fund
adopted the provisions of the Subsequent Events Topic of the Codification
effective June 30, 2009. The Subsequent Event Topic establishes
general standards of and accounting for and disclosure of events that occur
after the balance sheet data but before financial statements are issued or
available to be issued.
Note
2:
|
GENERAL
PARTNER
|
The
General Partner of the Fund is Steben & Company, Inc., which conducts and
manages the business of the Fund. During the nine months ended
September 30, 2009 and 2008, the General Partner did not maintain a capital
balance in the Fund; however, the sole shareholder of the General Partner has an
investment in Class B Interests of the Fund.
During
the nine months ended September 30, 2009 and 2008, the General Partner received
the following compensation:
|
·
|
Class
A Units incur a monthly management fee equal to 1/12 of 1.95 percent (1.95
percent per annum) of the net asset value of the Class A Interests as of
the last day of each month.
|
|
·
|
Class
A Units incur a monthly selling agents’ commissions equal to 1/12 of 2
percent (2.00 percent per annum) of the net asset value of the Class A
Units as of the last day of each month. The General Partner, in turn, pays
the selling agents’ commissions to the respective selling agents. If the
selling agents’ commissions are not paid to the selling agent, or the
General Partner was the selling agent, such portions of the selling
agents’ commissions are retained by the General
Partner.
|
|
·
|
Class
B Units incur a monthly management fee equal to 1/12 of 1.95 percent (1.95
percent per annum) of the net asset value of the Class B Units as of the
last day of each month.
|
|
·
|
Class
B Units incur a monthly broker dealer servicing fee equal to 1/12 of 0.20
percent (0.20 percent per annum) of the net asset value of the Class B
Units as of the last day of each month. The General Partner, in
turn, pays the broker dealers’ servicing fees to the respective selling
agent. If the broker dealers’ servicing fees are not paid to
the selling agent, or the General Partner was the selling agent, such
portions of the broker dealers’ servicing fees are retained by the General
Partner.
|
Pursuant
to the terms of the Limited Partnership Agreement, the General Partner receives
1 percent of any increase or decrease in the Fund’s net assets, as
defined. Such amount is reflected as the General Partner 1 percent
allocation in the statements of financial condition and the statements of
operations.
Note
3:
|
COMMODITY TRADING
ADVISORS
|
|
The
Fund has Advisory Agreements with various commodity trading advisors,
pursuant to which the Fund pays each commodity trading advisor a monthly
or quarterly management fee equal to 0 percent, 1 percent or 2 percent per
annum of allocated net assets (as separately defined in each respective
Advisory Agreement) and a quarterly or annual incentive fee equal to 20
percent, 25 percent or 30 percent of net new trading profits (as
separately defined in each respective Advisory
Agreement).
|
Note
4:
|
DEPOSITS WITH
BROKERS
|
The Fund
deposits funds with brokers, subject to U.S. Commodity Futures Trading
Commission regulations and various exchange and broker requirements. Margin
requirements are satisfied by the deposit of U.S. Government securities and cash
with such brokers. The Fund earns interest income on its assets deposited with
the brokers.
Note
5:
|
OPERATING
EXPENSES
|
The Fund
is responsible for all of its operating expenses such as accounting, audit,
legal, administrative, marketing and offering expenses. Operating
expenses also include salary and administrative costs incurred by the General
Partner relating to marketing and administration of the Fund, such as salaries
and commissions of General Partner marketing personnel, and administrative
employee salaries and related costs. Pursuant to the terms of the
Limited Partnership Agreement, operating expenses that exceed 1 percent of the
average month-end net assets of the Fund are the responsibility of the General
Partner. For the three and nine months ended September 30, 2009,
actual operating expenses were below this 1 percent (pro rated operating expense
limitation) of average month-end net assets of the Fund by $319,229 and
$580,530, respectively. For the three and nine months ended September
30, 2008, actual operating expenses exceeded this 1 percent (pro rated operating
expense limitation) of average month-end net assets of the Fund by $879,390 and
$586,634, respectively. Additionally, during the three and nine
months ended September 30, 2009, the General Partner voluntarily waived $556,610
and $1,883,103, respectively ($581,660 and $1,666,881, respectively – September
30, 2008), of operating expenses of the Fund, with such amounts included in
operating expenses waived in the statements of operations. As of
September 30, 2009 and December 31, 2008, $1,616,010 and $1,313,479,
respectively, were payable to the General Partner for operating expenses not
waived. Such amounts are presented as accounts payable in the
statements of financial condition.
Note
6:
|
SUBSCRIPTIONS,
DISTRIBUTIONS, AND
REDEMPTIONS
|
Investments
in the Fund are made by subscription agreement, subject to acceptance by the
General Partner. Units are sold at the net asset value per Class A or Class B
Unit as of the close of business on the last day of the month in which the
subscription is accepted. Investors whose subscriptions are accepted are
admitted as Limited Partners as of the beginning of the month following the
month in which their subscriptions were accepted. At September 30, 2009 and
December 31, 2008, the Fund had received subscriptions of $32,136,358 and
$29,937,275, respectively, which were additions to the Fund or returned, if
applicable, subsequent to the quarter-end and year-end.
The Fund
is not required to make distributions, but may do so at the sole discretion of
the General Partner. A Limited Partner may request and receive redemption of
Class A or Class B Units owned at the end of any month, subject to 15 days
written notice to the General Partner and restrictions in the Limited
Partnership Agreement.
The
General Partner may require a Limited Partner to redeem from the Fund if the
General Partner deems the redemption (a) necessary to prevent or correct the
occurrence of a nonexempt prohibited transaction (see SA-4, “Investment by
Employee Benefit Plans”) under the Employee Retirement Income Security Act of
1974, as amended, or the Internal Revenue Code of 1986, as amended, or (b)
beneficial to the Fund or (c) necessary to comply state, federal, or other
self-regulatory organization regulations.
Note
7:
|
TRADING ACTIVITIES AND
RELATED RISKS
|
The Fund
engages in the speculative trading of futures, swaps, options and
over-the-counter contracts, including currency forwards traded in the United
States and internationally (collectively, “derivatives”). The Fund is exposed to
both market risk, the risk arising from changes in the fair value of the
contracts, and credit risk, the risk of failure by another party to perform
according to the terms of a contract.
Purchase
and sale of futures contracts requires margin deposits with the brokers.
Additional deposits may be necessary for any loss on contract value. The
Commodity Exchange Act requires a broker to segregate all customer transactions
and assets from such broker’s proprietary activities. A customer’s cash and
other property (for example, U.S. Government securities) deposited with a broker
are considered commingled with all other customer funds subject to the broker’s
segregation requirements. In the event of a broker’s insolvency, recovery may be
limited to a pro rata share of segregated funds available. It is possible that
the recovered amount could be less than (or none of) the total cash and other
property deposited. The Fund utilizes Newedge USA, LLC as its futures broker and
Newedge Group (U.K. Branch) as its options broker and forwards
counterparty.
The Fund
trades forward currency contracts in unregulated markets between principals and
assumes the risk of loss from counterparty nonperformance. Accordingly, the
risks associated with forward currencies are generally greater than those
associated with exchange traded contracts because of the greater risk of
counterparty default. Additionally, the trading of forward currency contracts
typically involves delayed cash settlement.
The Fund
has a substantial portion of its assets on deposit with Interbank market makers
and other financial institutions in connection with its trading of forward
currency contracts and its cash management activities. In the event of an
Interbank market maker’s or financial institution’s insolvency, recovery of Fund
assets on deposit may be limited to account insurance or other protection
afforded such deposits.
The Fund
utilizes UBS Financial Services, Inc. and Bank of America as its cash management
securities broker for the investment of some margin excess amounts into
short-term fixed income instruments including high grade commercial paper
(interest bearing with some credit risk), U.S. Government securities and
Government-sponsored enterprises (interest bearing and credit risk free) with
durations no longer than one year. The Fund invests in certain commercial paper
issued by an affiliate of UBS Financial Services, Inc. Fluctuations in
prevailing interest rates could cause immaterial market-to-market losses on the
Fund’s U.S. Government securities and other fixed income instruments, although
substantially all of the short-term investments are held to
maturity.
For
derivatives, risks arise from changes in the fair value of the contracts.
Theoretically, the Fund is exposed to a market risk equal to the value of
futures and forward contracts purchased and unlimited liability on such
contracts sold short. As both a buyer and seller of options, the Fund pays or
receives a premium at the outset and then bears the risk of unfavorable changes
in the price of the contract underlying the option. Written options expose the
Fund to potentially unlimited liability; for purchased options the risk of loss
is limited to the premiums paid.
In
addition to market risk, upon entering into commodity interest contracts there
is a credit risk that a counterparty will not be able to meet its obligations to
the Fund. The counterparty for futures and options on futures contracts traded
in the United States and on most non-U.S. futures exchanges is the clearinghouse
associated with such exchanges. In general, clearinghouses are backed by the
corporate members of the clearinghouse who are required to share any financial
burden resulting from the nonperformance by one of their members and, as such,
should significantly reduce this credit risk. In cases where the clearinghouse
is not backed by the clearing members, like some non-U.S. exchanges, it is
normally backed by a consortium of banks or other financial
institutions.
In the
case of forward contracts, over-the-counter options contracts or swap contracts,
which are traded on the Interbank or other institutional market rather than on
exchanges, the counterparty is generally a single bank or other financial
institution, rather than a clearinghouse backed by a group of financial
institutions; thus there likely will be greater counterparty credit risk. The
Fund trades only with those counterparties that it believes to be creditworthy.
All positions of the Fund are valued each day on a mark-to-market basis. There
can be no assurance that any clearing member, clearinghouse or other
counterparty will be able to meet its obligations to the Fund.
The net
unrealized gain (loss) on open futures and forward currency contracts is
comprised of the following:
Futures Contracts
(exchange traded)
|
Forward Currency Contracts
(non-exchange traded)
|
|||||||||||||||
September 30,
2009
|
December 31,
2008
|
September 30,
2009
|
December 31,
2008
|
|||||||||||||
Gross
unrealized gains
|
$ | 51,994,776 | $ | 45,886,155 | $ | 7,143,681 | $ | 2,924,001 | ||||||||
Gross
unrealized losses
|
(12,334,084 | ) | (11,393,473 | ) | (2,141,861 | ) | (4,126,960 | ) | ||||||||
Net
unrealized gain (loss)
|
$ | 39,660,692 | $ | 34,492,682 | $ | 5,001,820 | $ | (1,202,959 | ) |
The
General Partner has established procedures to actively monitor market risk and
minimize credit risk, although there can be no assurance that it will, in fact,
succeed in doing so. The Limited Partners bear the risk of loss only to the
extent of the fair value of their respective investments and, in certain
specific circumstances, distributions and redemptions received.
Note
8:
|
INDEMNIFICATIONS
|
In the
normal course of business, the Fund may enter into contracts and agreements that
contain a variety of representations and warranties and which provide general
indemnifications. The Fund’s maximum exposure under these
arrangements cannot be estimated. However, the Fund believes that it
is unlikely it will have to make material payments under these arrangements and
has not recorded any contingent liability in the financial statements for such
indemnifications.
Note
9:
|
INTERIM FINANCIAL
STATEMENTS
|
The
statements of financial condition, including the condensed schedule of
investments, as of September 30, 2009, the statements of operations for the
three and nine months ended September 30, 2009 and 2008, the statements of cash
flows and changes in partners’ capital (net asset value) for the nine months
ended September 30, 2009 and 2008, and the accompanying notes to the financial
statements are unaudited. Certain information and footnote
disclosures normally included in financial statements prepared in accordance
with U.S. generally accepted accounting principles may be omitted pursuant to
such rules and regulations. In the opinion of management, such
financial statements and accompanying disclosures reflect all adjustments, which
were of a normal and recurring nature, necessary for a fair presentation of
financial position as of September 30, 2009, results of operations for the three
and nine months ended September 30, 2009 and 2008, cash flows and changes in
partners’ capital (net asset value) for the nine months ended September 30, 2009
and 2008. The results of operations for the three and nine months
ended September 30, 2009 and 2008 are not necessarily indicative of the results
to be expected for the full year or any other period. These financial
statements should be read in conjunction with the audited financial statements
and the notes thereto included in our Form 10-K as filed with the U.S.
Securities and Exchange Commission.
Note
10:
|
FINANCIAL
HIGHLIGHTS
|
The
following information presents per Unit operating performance data and other
supplemental financial data for the three and nine months ended September 30,
2009 and 2008. This information has been derived from information
presented in the financial statements.
Three
months ended September 30,
|
||||||||||||||||
2009
|
2008
|
|||||||||||||||
(Unaudited)
|
(Unaudited)
|
|||||||||||||||
Class
A
|
Class
B
|
Class
A
|
Class
B
|
|||||||||||||
Interests
|
Interests
|
Interests
|
Interests
|
|||||||||||||
Per
Unit Performance
|
||||||||||||||||
(for a unit outstanding throughout the entire
period)
|
||||||||||||||||
Net
asset value per unit at beginning of period
|
$ | 4,714.65 | $ | 6,122.44 | $ | 4,669.68 | $ | 5,956.63 | ||||||||
Income
(loss) from operations:
|
||||||||||||||||
Gain
(loss) from trading (1)
|
225.14 | 292.65 | (335.19 | ) | (428.03 | ) | ||||||||||
Net
investment loss (1)
|
(99.11 | ) | (100.72 | ) | (59.47 | ) | (50.94 | ) | ||||||||
Total
income (loss) from operations
|
126.03 | 191.93 | (394.66 | ) | (478.97 | ) | ||||||||||
Net
asset value per unit at end of period
|
$ | 4,840.68 | $ | 6,314.37 | $ | 4,275.02 | $ | 5,477.66 | ||||||||
Total
Return
|
2.67 | % | 3.13 | % | (8.45 | %) | (8.04 | %) | ||||||||
Supplemental
data
|
||||||||||||||||
Ratios
to average net asset value:
|