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EX-31.2 - CERTIFICATION OF PRINCIPAL FINANCIAL OFFICER PURSUANT TO RULE 13A-14(A) UNDER THE SECURITIES EXCHANGE ACT OF 1934 - GRANT PARK FUTURES FUND LIMITED PARTNERSHIPex31-2.htm
EX-31.1 - CERTIFICATION OF PRINCIPAL EXECUTIVE OFFICER PURSUANT TO RULE 13A-14(A) UNDER THE SECURITIES EXCHANGE ACT OF 1934 - GRANT PARK FUTURES FUND LIMITED PARTNERSHIPex31-1.htm
EX-32.1 - CERTIFICATION PURSUANT TO 18 U.S.C. SECTION 1350, AS ADOPTED PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002 - GRANT PARK FUTURES FUND LIMITED PARTNERSHIPex32-1.htm
 



UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM 10-Q

ý QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF
THE SECURITIES EXCHANGE ACT OF 1934

For the Quarterly Period Ended:  September 30, 2009

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:  0-50316

Grant Park Futures Fund
Limited Partnership
(Exact name of registrant as specified in its charter)

Illinois
 
36-3596839
(State or other jurisdiction of
incorporation or organization)
 
(I.R.S. Employer
Identification No.)
     
c/o Dearborn Capital Management, L.L.C.
626 West Jackson Boulevard, Suite 600
Chicago, Illinois 60661
(Address of principal executive offices, including zip code)
     
Registrant’s telephone number, including area code: (312) 756-4450

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 ý   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 (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the Registrant was required to submit and post such files).
Yes ¨   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 “accelerated filer”, “large accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check one):
Large accelerated filer o
Accelerated filer o
Non-accelerated filer ý
Smaller reporting company o

Indicate by check mark whether the Registrant is a shell company (as defined in Rule 12b-2 of the Securities Exchange Act of 1934).  Yes o   No ý
 

 
GRANT PARK FUTURES FUND LIMITED PARTNERSHIP

QUARTER ENDED September 30, 2009


 
       
   
       
   
Consolidated Statements of Financial Condition as of September 30, 2009 (unaudited)
and December 31, 2008 (audited)
1
       
   
Consolidated Condensed Schedule of Investments as of September 30, 2009 (unaudited)
2
       
   
Condensed Schedule of Investments as of December 31, 2008 (audited)
5
       
   
Consolidated Statements of Operations for the three months ended September 30, 2009 and 2008 (unaudited)
8
       
   
Consolidated Statements of Operations for the nine months ended September 30, 2009 and 2008 (unaudited)
9
       
   
Consolidated Statements of Changes in Partners’ Capital (Net Asset Value)
for the three and nine months ended September 30, 2009 and 2008 (unaudited)
10
       
   
Notes to Consolidated Financial Statements (unaudited)
14
       
 
27
       
 
39
       
 
43
       
 
       
 
43
       
 
43
       
 
45
       
46
 
 
 


Grant Park Futures Fund Limited Partnership
Consolidated Statements of Financial Condition

   
September 30, 2009
   
December 31, 2008
 
   
Class A, Class B, Legacy 1 Class, Legacy 2 Class
   
GAM 1 Class, GAM 2 Class, GAM 3 Class
   
Class A, Class B
 
   
(Unaudited)
   
(Unaudited)
   
(Audited)
 
Assets
                 
Equity in brokers’ trading accounts:
                 
U.S. Government securities, at fair value
  $ 89,848,115     $     $ 29,215,898  
Government-sponsored enterprises, at fair value
                15,695,417  
Cash
    44,546,103             11,972,086  
Unrealized gain (loss) on open contracts, net
    23,586,665             5,210,231  
Deposits with brokers
    157,980,883             62,093,632  
Cash and cash equivalents
    105,934,210       8,698,329       157,740,416  
Certificates of deposit, at fair value
    17,398,849             28,525,736  
Commercial paper, at fair value
                9,979,833  
Government-sponsored enterprises, at fair value
    524,872,071             311,078,226  
U.S. Government securities, at fair value
    44,825,933              
Investment in unconsolidated trading companies
          26,170,181        
Redemption receivable
                115,343,975  
Interest receivable
    10,664             233,208  
Inter-class receivable, net
          266,945        
Total assets
  $ 851,022,610     $ 35,135,455     $ 684,995,026  
                         
Liabilities and Partners’ Capital
                       
Liabilities
                       
Brokerage commission payable
  $ 5,211,622     $ 126,871     $ 3,928,422  
Accrued incentive fees
    1,788,828       127,802       8,324,848  
Organization and offering costs payable
    192,485       6,694       297,332  
Accrued operating expenses
    171,226       5,578       136,617  
Pending partner additions
    1,148,370       8,311,101       22,690,889  
Redemptions payable
    5,919,249       250       6,021,709  
Inter-class payable, net
    266,945              
Total liabilities
    14,698,725       8,578,296       41,399,817  
                         
Partners’ Capital
                       
Non-controlling interests
    26,557,159              
General Partner
                       
Class A (3,008.66 and 4,348.18 units outstanding at September 30, 2009 and December 31, 2008, respectively)
    4,379,153             6,827,509  
Class B (427.01 units outstanding at September 30, 2009)
    534,813              
Legacy 1 Class (1,025.00 units outstanding at September 30, 2009)
    1,007,528              
Legacy 2 Class (1,000.00 units outstanding at September 30, 2009)
    981,949              
GAM 1 Class (1,044.66 units outstanding at September 30, 2009)
          1,039,159        
GAM 2 Class (561.52 units outstanding at September 30, 2009)
          557,331        
GAM 3 Class (500.00 units outstanding at September 30, 2009)
          491,108        
Limited Partners
                       
Class A (49,655.38 and 52,408.70 units outstanding at September 30, 2009 and December 31, 2008, respectively)
    72,274,302             82,292,140  
Class B (580,289.12 and 408,160.74 units outstanding at September 30, 2009 and December 31, 2008, respectively)
    726,785,884             554,475,560  
Legacy 1 Class (2,276.28 units outstanding at September 30, 2009)
    2,237,482              
Legacy 2 Class (1,594.40 units outstanding at September 30, 2009)
    1,565,615              
GAM 1 Class (2,263.53 units outstanding at September 30, 2009)
          2,251,618        
GAM 2 Class (3,124.62 units outstanding at September 30, 2009)
          3,101,307        
GAM 3 Class (19,462.76 units outstanding at September 30, 2009)
          19,116,636        
Total partners’ capital
    836,323,885       26,557,159       643,595,209  
Total liabilities and partners’ capital
  $ 851,022,610     $ 35,135,455     $ 684,995,026  
 
 
The accompanying notes are an integral part of these consolidated financial statements.
 
 
 
Grant Park Futures Fund Limited Partnership
Consolidated Condensed Schedule of Investments
September 30, 2009
(Unaudited)
 
   
Unrealized gain/(loss) on open long contracts
   
Percent of Partners’ Capital
   
Unrealized gain/(loss) on open short contracts
   
Percent of Partners’ Capital
   
Net unrealized gain/(loss) on open contracts
   
Percent of Partners’ Capital
 
Futures Contracts *
                                   
U.S. Futures Positions:
                                   
Currencies
  $ 5,797,711       0.7 %   $ 174,890       **     $ 5,972,601       0.7 %
Energy
    (415,050 )     **       (1,249,313 )     (0.1 )%     (1,664,363 )     (0.2 )%
Grains
    (1,268,902 )     (0.2 )%     1,361,386       0.2 %     92,484       **  
Interest rates
    3,071,950       0.4 %     (189,914 )     **       2,882,036       0.3 %
Meats
    (9,262 )     **       (121,522 )     **       (130,784 )     **  
Metals
    2,463,563       0.3 %     4,662       **       2,468,225       0.3 %
Soft commodities
    4,845,949       0.6 %     (2,049,231 )     (0.2 )%     2,796,718       0.3 %
Stock indices and single stock futures
    905,235       0.1 %     25,942       **       931,177       0.1 %
Total U.S. Futures Positions                       
    15,391,194               (2,043,100 )             13,348,094          
Foreign Futures Positions:
                                               
Energy
    (562,260 )     (0.1 )%     337,918       **       (224,342 )     **  
Grains
          **       74,217       **       74,217       **  
Interest rates
    5,562,972       0.7 %     19,638       **       5,582,610       0.7 %
Metals
    9,885,041       1.2 %     (9,013,983 )     (1.1 )%     871,058       0.1 %
Soft commodities
    401,375       **       (96,810 )     **       304,565       **  
Stock indices
    455,320       0.1 %     26,073       **       481,393       0.1 %
Total Foreign Futures Positions
    15,742,448               (8,652,947 )             7,089,501          
Total Futures Contracts
    31,133,642       3.7 %     (10,696,047 )     (1.3 )%     20,437,595       2.4 %
 
Forward Contracts *
                                               
Currencies
    3,067,982       0.4 %     (58,362 )     **       3,009,620       0.4 %
                                                 
Options on Futures Contracts*
                                               
Currencies
    147,700       **             **       147,700       **  
Indices
    4,370       **       (12,620 )     **       (8,250 )     **  
Total Options on Futures Contracts
    152,070       **       (12,620 )     **       139,450       **  
                                                 
Total Futures, Forward and Options on  Futures Contracts
  $ 34,353,694       4.1 %   $ (10,767,029 )     (1.3 )%   $ 23,586,665       2.8 %
____________
 
*
No individual futures, forward, and option of futures contract position constituted greater than 1 percent of partners’ capital.  Accordingly, the number of contracts and expiration dates are not presented.
 
**
Represents less than 0.1% of partners’ capital.
 
 
Certificates of deposit
           
Face Value
 
Maturity Date
 
Description
 
Fair Value
   
Percent of Partners’ Capital
 
$ 240,000  
11/30/2009
 
Liberty Federal Bank, 1.7%
  $ 242,669       *  
  240,000  
12/29/2009
 
Cole Taylor Bank, 1.7%
    242,739       *  
  240,000  
12/29/2009
 
Nature Coast Bank, 1.8%
    242,819       *  
  240,000  
12/18/2009
 
Anchorbank, 2.5%
    244,701       *  
  240,000  
11/12/2009
 
Huntington National Bank, 3.8%
    247,964       *  
  240,000  
11/17/2009
 
Mercantile Bank of Michigan, 3.6%
    247,527       *  
  240,000  
12/17/2009
 
Goldman Sachs Bank, 2.5%
    244,734       *  
  240,000  
12/18/2009
 
GE Money Bank, 2.6%
    244,812       *  
  15,000,000  
2/2/2010
 
Harris Bank, 2.0%
    15,195,813       1.8 %
  245,000  
6/24/2010
 
Westernbank, 1.5%
    245,071       *  
     
Total Certificates of deposit
  $ 17,398,849       2.1 %
____________
 
*
Represents less than 0.1% of partners’ capital.
 
 
The accompanying notes are an integral part of these consolidated financial statements.
 
 

Grant Park Futures Fund Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
September 30, 2009
(Unaudited)
 
Government-sponsored enterprises
           
Face Value
 
Maturity Date
 
Description
 
Fair Value
   
Percent of Partners’ Capital
 
$ 10,000,000  
10/5/2009
 
Federal Home Loan Bank, 3 month LIBOR minus 4 basis points quarterly reset
  $ 10,013,151       1.2 %
  15,000,000  
10/19/2009
 
Freddie Mac, 1 month LIBOR minus 6 basis points monthly reset
    15,000,692       1.8 %
  20,000,000  
12/28/2009
 
Federal Home Loan Bank Discount Note, 0.9%
    19,958,444       2.4 %
  20,000,000  
12/30/2009
 
Farmer Mac, 1.0%
    20,050,556       2.4 %
  20,000,000  
2/5/2010
 
Federal Home Loan Bank, 1.0%
    20,030,402       2.4 %
 
12,700,000
 
2/19/2010
 
Federal Home Loan Bank, 3 month LIBOR minus 3.5 basis points quarterly reset
   
12,697,032
     
1.5
%
  20,000,000  
3/4/2010
 
Federal Home Loan Bank, 1.1%
    20,015,750       2.4 %
  14,500,000  
6/25/2010
 
Federal Home Loan Bank, 0.7%
    14,532,987       1.7 %
  20,000,000  
8/5/2010
 
Fannie Mae, 3 month LIBOR minus 5 basis points quarterly reset
    20,012,050       2.4 %
  25,000,000  
8/24/2010
 
Freddie Mac, 3 month LIBOR minus 2 basis points quarterly reset
    25,010,209       3.0 %
  25,000,000  
9/3/2010
 
Freddie Mac, 3 month LIBOR minus 2 basis points quarterly reset
    25,006,113       3.0 %
  25,000,000  
9/24/2010
 
Freddie Mac, 3 month LIBOR minus 3 basis points quarterly reset
    25,001,243       3.0 %
 
10,000,000
 
11/8/2010
 
Federal Home Loan Bank, 3 month LIBOR minus 19 basis points quarterly reset
   
10,004,110
     
1.2
%
 
24,500,000
 
11/26/2010
 
Federal Home Loan Bank, 3 month LIBOR minus 15 basis points quarterly reset
   
24,501,796
     
2.9
%
 
14,500,000
 
12/6/2010
 
Federal Home Loan Bank, 3 month LIBOR minus 15 basis points quarterly reset
   
14,501,731
     
1.7
%
  25,000,000  
2/1/2011
 
Freddie Mac, 3 month LIBOR minus 13 basis points quarterly reset
    25,013,544       3.0 %
 
20,000,000
 
2/14/2011
 
Federal Farm Credit Bank, 1 month LIBOR minus 3 basis points monthly reset
   
19,993,697
     
2.4
%
  9,700,000  
3/29/2011
 
Federal Home Loan Bank , 0.5%
    9,700,269       1.2 %
  20,000,000  
4/28/2011
 
Freddie Mac, 1.3%
    20,106,250       2.4 %
  20,000,000  
5/27/2011
 
Fannie Mae, 3 month LIBOR plus 10 basis points quarterly reset
    20,007,557       2.4 %
  25,000,000  
6/17/2011
 
Freddie Mac, 3 month LIBOR plus 10 basis points quarterly reset
    25,003,825       3.0 %
  20,000,000  
7/7/2011
 
Freddie Mac, 1.6%
    20,063,484       2.4 %
  25,000,000  
7/20/2011
 
Federal Home Loan Bank, 1.0%
    25,049,306       3.0 %
  25,000,000  
8/17/2011
 
Fannie Mae, 1.6%
    25,016,493       3.0 %
  24,500,000  
8/24/2011
 
Freddie Mac, 1.5%
    24,537,771       2.9 %
  24,500,000  
8/24/2011
 
Federal Home Loan Bank, 1.2%
    24,530,217       2.9 %
  9,500,000  
9/2/2011
 
Freddie Mac, 1.8%
    9,513,392       1.1 %
     
Total Government-sponsored enterprises
  $ 524,872,071       62.7 %

 
U.S. Government securities
           
Face Value
 
Maturity Date
 
Description
 
Fair Value
   
Percent of Partners’ Capital
 
$ 15,000,000  
8/26/2010
 
U.S. Treasury Bills, 0.4%
  $ 14,947,908       1.2 %
  30,000,000  
9/23/2010
 
U.S. Treasury Bills, 0.4%
    29,878,025       3.6 %
     
Total U.S. Government securities
  $ 44,825,933       4.8 %
                       
 
 
The accompanying notes are an integral part of these consolidated financial statements.
 

 
Grant Park Futures Fund Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
September 30, 2009
(Unaudited)
 
U.S. Government securities in brokers’ trading accounts***
           
Face Value
 
Maturity Date
 
Description
 
Fair Value
   
Percent of Partners’ Capital
 
$ 6,500,000  
11/5/2009
 
U.S. Treasury Bills, 0.3%   (cost $6,490,230)
  $ 6,497,841       0.8 %
  4,000,000  
11/12/2009
 
U.S. Treasury Bills, 0.3%   (cost $3,994,976)
    3,998,605       0.5 %
  3,500,000  
11/27/2009
 
U.S. Treasury Bills, 0.3%   (cost $3,494,840)
    3,498,145       0.4 %
  10,000,000  
12/3/2009
 
U.S. Treasury Bills, 0.2%   (cost $9,990,039)
    9,995,783       1.2 %
  3,500,000  
12/3/2009
 
U.S. Treasury Bills, 0.3%   (cost $3,494,635)
    3,497,824       0.4 %
  1,000,000  
12/10/2009
 
U.S. Treasury Bills, 0.3%   (cost $998,559)
    999,355       0.1 %
  23,000,000  
12/15/2009
 
U.S. Treasury Notes, 3.5%   (cost $23,704,375)
    23,394,111       2.8 %
  4,500,000  
12/17/2009
 
U.S. Treasury Bills, 0.3%   (cost $4,493,180)
    4,496,516       0.5 %
  6,700,000  
12/31/2009
 
U.S Treasury Bills, 0.3%   (cost $6,688,822)
    6,693,325       0.8 %
  5,000,000  
1/14/2010
 
U.S Treasury Bills, 0.3%   (cost $4,993,138)
    4,995,399       0.6 %
  7,000,000  
1/14/2010
 
U.S Treasury Bills, 0.2%   (cost $6,992,117)
    6,994,538       0.8 %
  3,500,000  
2/4/2010
 
U.S Treasury Bills, 0.3%   (cost $3,495,353)
    3,496,362       0.4 %
  10,000,000  
3/4/2010
 
U.S Treasury Bills, 0.2%   (cost $9,991,203)
    9,991,550       1.2 %
  1,300,000  
3/11/2010
 
U.S Treasury Bills, 0.2%   (cost $1,298,718)
    1,298,761       0.2 %
     
Total U.S. Government securities
  $ 89,848,115       10.7 %
____________
 
***
Pledged as collateral for the trading of futures, forward and option on futures contracts.
 
 
The accompanying notes are an integral part of these consolidated financial statements.
 
 
 
Grant Park Futures Fund Limited Partnership
Condensed Schedule of Investments
December 31, 2008
 
   
No. of contracts
                                     
   
Expiration Date
   
Long
   
Short
   
Unrealized
gain/(loss)
on open
long
contracts
   
Percent of Partners’ Capital
   
Unrealized
gain/(loss)
on open
short
contracts
   
Percent of Partners’ Capital
   
Net
unrealized gain/(loss)
on open
contracts
   
Percent of Partners’ Capital
 
Futures Contracts*
                                                     
U.S. Futures Positions:
                                                     
Currencies
                    $ (375,126 )     (0.1 )%   $ 47,001       **     $ (328,125 )     (0.1 )%
Energy
                      5,640       **       (145,915 )     **       (140,275 )     **  
Grains
                      57,264       **       (207,024 )     **       (149,760 )     **  
Interest rates
                      (150,471 )     **       (1,063 )     **       (151,534 )     **  
Meats
                      332       **       (77,490 )     **       (77,158 )     **  
Metals
                      57,033       **       (123,818 )     **       (66,785 )     **  
Soft commodities
                      (1,690 )     **       (116,292 )     **       (117,982 )     **  
Stock indices
                      81,725       **       12,201       **       93,926       **  
Total U.S. Futures Positions
                      (325,293 )             (612,400 )             (937,693 )        
Foreign Futures Positions:
                                                                 
Energy
                            **       188,636       **       188,636       **  
Grains
                            **       (1,016 )     **       (1,016 )     **  
Interest rates
                      5,693,855       0.9 %     (244,950 )     **       5,448,905       0.8 %
Metals
                                                                 
Aluminum
    03/09       449       471       (6,717,297 )     (1.0 )%     8,461,295       1.3 %     1,743,998       0.3 %
Other Metals
                            (8,929,298 )     (1.4 )%     9,148,339       1.4 %     219,041       **  
Soft commodities
                            95,511       **       15,170       **       110,681       **  
Stock indices
                            49,768       **       (218,881 )     **       (169,113 )     **  
Total Foreign Futures Positions
                            (9,807,461 )             17,348,593               7,541,132          
Total Futures Contracts
                          $ (10,132,754 )     (1.6 )%   $ 16,736,193       2.6 %   $ 6,603,439       1.0 %
 
Forward Contracts *
                                                                       
Currencies
                          $ 336,467       0.1 %   $ (1,729,675 )     (0.3 )%   $ (1,393,208 )     (0.2 )%
Total Futures and Forward Contracts
                          $ (9,796,287 )     (1.5 )%   $ 15,006,518       2.3 %   $ 5,210,231       0.8 %
 
____________
 
*
 No individual futures and forward contract position, other than those presented, constituted greater than 1 percent of partners’ capital.   Accordingly, the number of contracts and expiration dates are not presented.
 
 **
 Represents less than 0.1% of partners’ capital.
 
 
Certificates of deposit
           
Face Value
 
Maturity Date
 
Description
 
Fair Value
   
Percent of Partners’ Capital
 
$ 12,000,000  
5/1/2009
 
Comerica Bank, 1 month LIBOR plus 15 basis points
  $ 12,021,183       1.9 %
  15,000,000  
5/4/2009
 
Bank of America, 2.6%
    15,060,417       2.3 %
  240,000  
8/14/2009
 
Amcore Bank, 3.5%
    241,120       *  
  240,000  
11/12/2009
 
Huntington National Bank, 3.8%
    241,250       *  
  240,000  
11/17/2009
 
Mercantile Bank of Michigan, 3.6%
    241,065       *  
  240,000  
12/17/2009
 
Goldman Sachs Bank, 2.6%
    240,246       *  
  240,000  
12/18/2009
 
GE Money Bank, 2.6%
    240,238       *  
  240,000  
12/18/2009
 
Anchorbank FSB, 2.5%
    240,217       *  
     
Total Certificates of deposit
  $ 28,525,736       4.4 %
____________
 
*
  Represents less than 0.1% of partners’ capital.
 
 
The accompanying notes are an integral part of these financial statements.
 
 
 
Grant Park Futures Fund Limited Partnership
Condensed Schedule of Investments (continued)
December 31, 2008
 
Commercial paper
           
Face Value
 
Maturity Date
 
Description
 
Fair Value
   
Percent of Partners’ Capital
 
$ 10,000,000  
2/3/2009
 
Hewlett-Packard Co., 2.2%
  $ 9,979,833       1.6 %
     
Total Commercial paper
  $ 9,979,833       1.6 %
 
 
Government-sponsored enterprises
           
Face Value
 
Maturity Date
 
Description
 
Fair Value
   
Percent of Partners’ Capital
 
$ 10,000,000  
1/2/2009
 
Federal Farm Credit Bank, 3 month US Treasury bill plus 82 basis points weekly reset
  $ 10,030,603       1.6 %
  10,000,000  
1/2/2009
 
Federal Home Loan Bank, 3.8%
    10,093,944       1.6 %
 
8,000,000
 
1/14/2009
 
Federal Home Loan Bank, 3 month LIBOR minus 20 basis points quarterly reset
   
8,081,089
     
1.3
%
  10,000,000  
1/29/2009
 
Fannie Mae Discount Note, 2.3%
    9,982,500       1.6 %
  7,500,000  
2/13/2009
 
Federal Home Loan Bank Discount Note, 3.2%
    7,472,229       1.2 %
  10,000,000  
2/18/2009
 
Freddie Mac Discount Note, 2.3%
    9,970,000       1.5 %
  10,000,000  
2/24/2009
 
Freddie Mac Discount Note, 2.6%
    9,961,150       1.5 %
  10,000,000  
3/20/2009
 
Federal Home Loan Bank Discount Note, 2.9%
    9,939,333       1.5 %
  8,000,000  
4/1/2009
 
Farmer Mac, 2.3%
    8,046,000       1.3 %
  8,000,000  
4/7/2009
 
Freddie Mac, 2.4%
    8,044,911       1.3 %
  10,000,000  
4/15/2009
 
Federal Home Loan Bank Discount Note, 3.0%
    9,917,378       1.5 %
  10,500,000  
4/17/2009
 
Federal Home Loan Bank Discount Note, 3.2%
    10,404,158       1.6 %
 
10,000,000
 
4/24/2009
 
Federal Home Loan Bank, 1 month LIBOR minus 8 basis points monthly reset
   
9,998,363
     
1.6
%
  8,000,000  
4/24/2009
 
Farmer Mac, 2.3%
    8,034,244       1.2 %
  10,000,000  
4/27/2009
 
Federal Home Loan Bank Discount Note, 2.8%
    9,909,778       1.5 %
  10,000,000  
4/30/2009
 
Federal Home Loan Bank, 2.6%
    10,044,479       1.6 %
  10,000,000  
5/4/2009
 
Federal Home Loan Bank Discount Note, 1.7%
    9,943,625       1.5 %
  10,000,000  
5/11/2009
 
Federal Home Loan Bank Discount Note, 3.0%
    9,895,278       1.5 %
  10,000,000  
5/13/2009
 
Fannie Mae Discount Note, 1.2%
    9,956,000       1.5 %
 
12,000,000
 
5/20/2009
 
Federal Home Loan Bank, 3 month LIBOR minus 18 basis points quarterly reset
   
12,025,644
     
1.9
%
  8,000,000  
5/20/2009
 
Federal Home Loan Bank Discount Note, 1.4%
    7,958,300       1.2 %
  8,000,000  
6/30/2009
 
Federal Home Loan Bank, 3.0%
    8,000,667       1.2 %
  8,000,000  
7/14/2009
 
Federal Home Loan Bank, 3.2%
    8,116,755       1.3 %
  10,000,000  
8/20/2009
 
Federal Home Loan Bank, 3.1%
    10,109,167       1.6 %
 
8,500,000
 
10/5/2009
 
Federal Home Loan Bank, 3 month LIBOR minus 4 basis points quarterly reset
   
8,587,338
     
1.3
%
  12,500,000  
10/19/2009
 
Freddie Mac, 1 month LIBOR minus 6 basis points monthly reset
    12,501,579       1.9 %
  7,000,000  
11/25/2009
 
Freddie Mac, 2.1%
    7,014,292       1.1 %
  10,000,000  
12/1/2009
 
Federal Home Loan Bank, 2.0%
    10,016,667       1.6 %
  11,000,000  
12/15/2009
 
Federal Home Loan Bank, 1.8%
    11,008,996       1.7 %
  11,000,000  
12/16/2009
 
Freddie Mac, 1.9%
    11,008,708       1.7 %
  15,000,000  
12/30/2009
 
Farmer Mac, 1.0%
    15,000,417       2.3 %
  10,000,000  
2/9/2010
 
Federal Home Loan Bank, 3 month LIBOR minus 3.5 basis points
    10,004,634       1.6 %
     
Total Government-sponsored enterprises
  $ 311,078,226       48.3 %

 
The accompanying notes are an integral part of these financial statements.

 

Grant Park Futures Fund Limited Partnership
Condensed Schedule of Investments (continued)
December 31, 2008
 
U.S. Government securities***
           
Face Value
 
Maturity Date
 
Description
 
Fair Value
   
Percent of Partners’ Capital
 
$ 5,500,000  
6/4/2009
 
U.S. Treasury Bills, 0.2% (cost $5,493,705)
  $ 5,497,798       0.8 %
  23,000,000  
12/15/2009
 
U.S. Treasury Notes, 3.5% (cost $23,682,812)
    23,718,100       3.7 %
     
Total U.S. Government securities
  $ 29,215,898       4.5 %
 
 
Government-sponsored enterprises in brokers’ trading accounts***
           
Face Value
 
Maturity Date
 
Description
 
Fair Value
   
Percent of Partners’ Capital
 
$ 6,700,000  
1/2/2009
 
Federal Home Loan Bank Discount Note, 0.4%
  $ 6,699,993       1.0 %
  4,000,000  
3/9/2009
 
Freddie Mac Discount Note, 2.7%
    3,998,295       0.6 %
  5,000,000  
5/4/2009
 
Federal Home Loan Bank Discount Note, 1.7%
    4,997,129       0.8 %
     
Total Government-sponsored enterprises
  $ 15,695,417       2.4 %
____________
 
*** 
Pledged as collateral for the trading of futures, forward and option on futures contracts.
 
 
The accompanying notes are an integral part of these financial statements.

 
 
Grant Park Futures Fund Limited Partnership
Consolidated Statements of Operations
For the Three Months Ended September 30, 2009 and 2008
 
   
September 30, 2009
   
September 30, 2008
 
   
Class A, Class B, Legacy 1 Class, Legacy 2 Class
   
GAM 1 Class, GAM 2 Class, GAM 3 Class
   
Class A, Class B
 
   
(Unaudited)
   
(Unaudited)
   
(Unaudited)
 
                   
Net gains (losses) on investments
                 
Net gain (loss) from trading
                 
Realized
  $ 1,845,064     $     $ (5,311,272 )
Change in unrealized
    23,885,788             (12,847,743
Commissions
    (3,141,586 )           (1,701,641
                         
Net gains (losses) from trading
    22,589,266             (19,860,656 )
                         
Income allocated from Dearborn Select Master Fund, SPC
                (9,894,659
Gain from investments in unconsolidated trading companies
          608,330        
 
Total gains (losses) on investments
    22,589,266       608,330       (29,755,315
                         
Net investment income
                       
Income
                       
Interest income
    1,160,703       39,010       2,893,792  
                         
Expenses from operations
                       
Brokerage commission
    13,057,517       228,090       8,491,761  
Incentive fees
    1,788,829       127,802       111,614  
Operating expenses
    510,817       12,780       350,687  
Organizational and offering costs
    573,982       15,336        
                         
Total expenses 
    15,931,145       384,008       8,954,062  
                         
Net investment (loss)    
    (14,770,442 )     (344,998 )     (6,060,270
                         
Non-controlling interests in (earnings) losses
    (608,330 )            
                         
Net income (loss)
  $ 7,210,494     $ 263,332     $ (35,815,585
 

Net income (loss) per unit from operations (based on weighted average number of units outstanding during the period):
                 
General Partner & Limited Partner Class A Units
  $ 15.03     $ N/A     $ (93.39 )
General Partner & Limited Partner Class B Units
  $ 10.91     $ N/A     $ (82.55 )
General Partner & Limited Partner Legacy 1 Class Units
  $ 13.49     $ N/A     $ N/A  
General Partner & Limited Partner Legacy 2 Class Units
  $ 13.31     $ N/A     $ N/A  
General Partner & Limited Partner GAM 1 Class Units
  $ N/A     $ 10.05     $ N/A  
General Partner & Limited Partner GAM 2 Class Units
  $ N/A     $ 8.81     $ N/A  
General Partner & Limited Partner GAM 3 Class Units
  $ N/A     $ 4.47     $ N/A  
                         
Increase (decrease) in net asset value per unit for the period:
                       
General Partner & Limited Partner Class A Units
  $ 15.03     $ N/A     $ (94.13 )
General Partner & Limited Partner Class B Units
  $ 10.91     $ N/A     $ (84.47 )
General Partner & Limited Partner Legacy 1 Class Units
  $ 13.49     $ N/A     $ N/A  
General Partner & Limited Partner Legacy 2 Class Units
  $ 13.31     $ N/A     $ N/A  
General Partner & Limited Partner GAM 1 Class Units
  $ N/A     $ 10.05     $ N/A  
General Partner & Limited Partner GAM 2 Class Units
  $ N/A     $ 8.81     $ N/A  
General Partner & Limited Partner GAM 3 Class Units
  $ N/A     $ 4.47     $ N/A  

 
The accompanying notes are an integral part of these consolidated financial statements.
 
 
 
Grant Park Futures Fund Limited Partnership
Consolidated Statements of Operations
For the Nine Months Ended September 30, 2009 and 2008

   
September 30, 2009
   
September 30, 2008
 
   
Class A, Class B, Legacy 1 Class, Legacy 2 Class
   
GAM 1 Class, GAM 2 Class, GAM 3 Class
   
Class A, Class B
 
   
(Unaudited)
   
(Unaudited)
   
(Unaudited)
 
                   
Net gains (losses) on investments
                 
Net gain (loss) from trading
                 
Realized
  $ (32,650,299 )   $     $ 81,411,635  
Change in unrealized
    18,752,471             (4,844,873 )
Commissions
    (8,705,979 )           (4,866,660 )
                         
Net gains (losses) from trading
    (22,603,807 )           71,700,102  
                         
Income allocated from Dearborn Select Master Fund, SPC
                6,542,915  
Loss allocated from GP 1, LLC
    (2,740,621            
Gain from investments in unconsolidated trading companies
          437,553        
 
Total gains (losses) on investments
    (25,344,428 )     437,553       78,243,017