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EXCEL - IDEA: XBRL DOCUMENT - FUTURES PORTFOLIO FUND L.P.Financial_Report.xls
EX-32.1 - CERTIFICATION OF CHIEF EXECUTIVE OFFICER - FUTURES PORTFOLIO FUND L.P.ex32-1.htm
EX-31.1 - CERTIFICATION OF CHIEF EXECUTIVE OFFICER - FUTURES PORTFOLIO FUND L.P.ex31-1.htm
EX-32.2 - CERTIFICATION OF CHIEF FINANCIAL OFFICER - FUTURES PORTFOLIO FUND L.P.ex32-2.htm
EX-31.2 - CERTIFICATION OF CHIEF FINANCIAL OFFICER - FUTURES PORTFOLIO FUND L.P.ex31-2.htm
 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM 10-Q

 

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

 

For the quarterly period ended September 30, 2014

 

Commission file number: 000-50728

 

FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP

 

Organized in MarylandIRS Employer Identification No.: 52-1627106

 

c/o Steben & Company, Inc.

9711 Washingtonian Blvd., Suite 400

Gaithersburg, Maryland 20878

(240) 631-7600

 

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 No

 

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 No

 

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See definition of “large accelerated filer”, “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.

Large accelerated filer Accelerated filer
Non-accelerated filer 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 No

 

 
 

 

PART I: FINANCIAL INFORMATION

Item 1. Financial Statements

 

Futures Portfolio Fund, Limited Partnership

Consolidated Statements of Financial Condition

September 30, 2014 (Unaudited) and December 31, 2013 (Audited)

 

   September 30,
2014
   December 31,
2013
 
Assets          
Equity in broker trading accounts          
Cash  $259,918,610   $289,217,101 
Net unrealized gain (loss) on open futures contracts   19,893,623    37,958,108 
Net unrealized gain (loss) on open forward currency contracts   (4,539,267)   695,075 
Total equity in broker trading accounts   275,272,966    327,870,284 
Cash and cash equivalents   25,702,137    22,745,016 
Investment in swap contract, at fair value   15,967,905     
Investments in securities, at fair value   396,227,308    530,922,246 
Certificates of deposit, at fair value   28,886,206    42,625,053 
General Partner 1% allocation receivable       283,366 
Total assets  $742,056,522   $924,445,965 
           
Liabilities and Partners’ Capital (Net Asset Value)          
Liabilities          
Trading Advisor management fees payable  $752,232   $2,512,701 
Trading Advisor incentive fees payable   3,832,220    177,898 
Commissions and other trading fees payable on open contracts   151,633    144,920 
Cash Manager fees payable   106,373    164,805 
General Partner management and performance fees payable   911,527    1,145,591 
General Partner 1% allocation payable   88,360     
Selling Agent fees payable – General Partner   825,460    1,016,111 
Administrative expenses payable – General Partner   185,761    344,649 
Investment Manager fees payable   63,431     
Distribution (12b-1) fees payable   57     
Operating services fee payable   25,372     
Redemptions payable   12,068,807    36,130,211 
Subscriptions received in advance   5,658,415    2,399,374 
Total liabilities   24,669,648    44,036,260 
Partners’ Capital (Net Asset Value)          
Class A Interests – 110,745.8776 and 133,795.0412 units outstanding at September 30, 2014 and December 31, 2013, respectively   460,839,675    550,501,395 
Class B Interests – 42,772.7517 and 56,246.4420 units outstanding at September 30, 2014 and December 31, 2013, respectively   253,834,381    325,651,536 
Class I Interests – 2,445.6642 and 4,675.5936 units outstanding at September 30, 2014 and December 31, 2013, respectively   2,300,937    4,256,774 
Non-controlling interest   411,881     
Total partners’ capital (net asset value)   717,386,874    880,409,705 
Total liabilities and partners’ capital (net asset value)  $742,056,522   $924,445,965 

 

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

 

1
 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments

September 30, 2014

(Unaudited)

 

           Description  Fair Value   % of Partners’ Capital
(Net Asset Value)
 
INVESTMENTS IN SECURITIES            
  U.S. Treasury Securities               
    Face Value   Maturity Date  Name  Yield1        
    $7,200,000   11/30/14  U.S. Treasury Note   2.13%  $7,275,898    1.01%
     3,185,000   12/15/14  U.S. Treasury Note   0.25%   3,188,592    0.44%
     2,700,000   12/31/14  U.S. Treasury Note   0.13%   2,701,274    0.38%
     3,700,000   1/31/15  U.S. Treasury Note   0.25%   3,704,015    0.52%
     1,000,000   2/28/15  U.S. Treasury Note   2.38%   1,014,239    0.14%
     3,000,000   3/31/15  U.S. Treasury Note   2.50%   3,036,650    0.42%
     5,000,000   4/30/15  U.S. Treasury Note   0.13%   5,004,570    0.70%
     1,000,000   4/30/15  U.S. Treasury Note   2.50%   1,024,642    0.14%
     5,500,000   5/31/15  U.S. Treasury Note   0.25%   5,511,496    0.77%
     4,100,000   5/31/15  U.S. Treasury Note   2.13%   4,185,163    0.58%
     3,000,000   11/30/15  U.S. Treasury Note   1.38%   3,054,528    0.43%
     3,000,000   1/15/16  U.S. Treasury Note   0.38%   3,006,720    0.42%
     2,000,000   7/15/16  U.S. Treasury Note   0.63%   2,007,259    0.28%
    Total U.S. Treasury securities (cost:  $44,816,559)        44,715,046    6.23%
                            
  U.S. Government Sponsored Enterprise Notes               
     Face Value   Maturity Date  Name   Yield1          
    $2,000,000   9/18/15  Federal Home Loan Banks   0.20%   2,000,753    0.28%
    Total U.S. government sponsored entities (cost:  $1,999,600)        2,000,753    0.28%
                            
  U.S. Commercial Paper               
     Face Value   Maturity Date  Name   Yield1          
    Automotive                      
    $1,400,000   10/6/14  Nissan Motor Acceptance Corporation   0.24%   1,399,952    0.20%
     400,000   11/21/14  Nissan Motor Acceptance Corporation   0.28%   399,841    0.06%
     1,500,000   10/8/14  VW Credit, Inc.   0.25%   1,499,927    0.21%
    Banks                      
     2,000,000   11/6/14  Bank of Tokyo-Mitsubishi UFJ, Ltd.   0.17%   1,999,660    0.28%
     1,000,000   11/3/14  Manhattan Asset Funding Company LLC   0.16%   999,853    0.14%
     2,500,000   11/21/14  Mizuho Funding LLC   0.20%   2,499,309    0.35%
     1,800,000   10/20/14  Standard Chartered Bank   0.14%   1,799,867    0.25%
     300,000   11/13/14  Standard Chartered Bank   0.19%   299,932    0.04%
     1,600,000   11/13/14  Toronto Dominion Holdings (U.S.A.), Inc.   0.13%   1,599,752    0.22%
    Beverages                      
     2,100,000   10/22/14  Bacardi U.S.A., Inc.   0.23%   2,099,718    0.28%
     400,000   10/7/14  Brown-Forman Corporation   0.11%   399,993    0.06%
    Charity                      
     500,000   10/20/14  Catholic Health Initiatives   0.11%   499,971    0.07%

 

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

 

2
 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

September 30, 2014

(Unaudited)

 

           Description  Fair Value   % of Partners’ Capital
(Net Asset Value)
 
  U.S. Commercial Paper (continued)         
    Face Value   Maturity Date  Name  Yield1        
    Diversified Financial Services                   
    $2,000,000   11/3/14  ABN AMRO Funding USA LLC   0.18%  $1,999,745    0.28%
     250,000   10/15/14  AXA Financial, Inc.   0.21%   249,980    0.03%
     1,500,000   11/3/14  DCAT, LLC   0.22%   1,499,698    0.21%
     1,800,000   10/1/14  Gotham Funding Corporation   0.18%   1,800,000    0.25%
     200,000   10/22/14  ING (U.S.) Funding LLC   0.21%   199,976    0.03%
     2,100,000   10/23/14  ING (U.S.) Funding LLC   0.20%   2,099,745    0.28%
     500,000   10/17/14  J.P. Morgan Securities LLC   0.16%   499,964    0.07%
     1,800,000   10/14/14  Liberty Street Funding LLC   0.15%   1,799,903    0.25%
     1,500,000   11/12/14  Sheffield Receivables Corporation   0.18%   1,499,685    0.21%
    Energy                       
     500,000   10/6/14  Dominion Resources, Inc.   0.22%   499,985    0.07%
     1,100,000   10/16/14  Dominion Resources, Inc.   0.22%   1,099,899    0.15%
     1,700,000   10/7/14  Enterprise Products Operating LLC   0.25%   1,699,929    0.24%
     500,000   10/20/14  Enterprise Products Operating LLC   0.25%   499,934    0.07%
     400,000   10/23/14  Oglethorpe Power Corporation   0.12%   399,971    0.06%
     1,500,000   10/20/14  Sempra Energy Global Enterprises   0.28%   1,499,778    0.21%
     300,000   10/22/14  Sempra Energy Global Enterprises   0.28%   299,951    0.04%
     400,000   10/15/14  Southern Company Funding Corporation   0.17%   399,974    0.06%
     1,700,000   10/29/14  Southern Company Funding Corporation   0.18%   1,699,762    0.24%
    Total U.S. commercial paper (cost:  $35,237,691)            35,245,654   4.91 %
                            
  Foreign Commercial Paper                   
    Face Value   Maturity Date  Name   Yield1          
    Banks                       
    $500,000   10/16/14  Nordea Bank AB   0.12%   499,975    0.07%
     1,600,000   10/23/14  Oversea-Chinese Banking Corporation Ltd   0.18%   1,599,824    0.22%
     2,000,000   11/14/14  Oversea-Chinese Banking Corporation Ltd   0.18%   1,999,660    0.28%
     500,000   10/10/14  Skandinaviska Enskilda Banken AB   0.14%   499,982    0.07%
     1,800,000   10/3/14  Sumitomo Mitsui Banking Corporation   0.14%   1,799,986    0.25%
     500,000   10/27/14  Sumitomo Mitsui Banking Corporation   0.15%   499,946    0.07%
    Beverages                       
     500,000   10/9/14  Diageo Capital PLC   0.25%   499,972    0.07%
    Consumer Products                   
     3,000,000   4/21/15  Reckitt Benckiser Treasury Services PLC   0.18%   2,996,790    0.41%
    Diversified Financial Services                    
     1,800,000   11/19/14  Toyota Credit Canada Inc.   0.17%   1,799,583    0.25%
    Energy                       
     2,500,000   1/2/15  Electricite de France   0.18%   2,498,549    0.35%
     1,550,000   10/27/14  GDF Suez   0.16%   1,549,821    0.22%
    Multi-National                   
     2,200,000   10/15/14  Corporacion Andina de Fomento   0.16%   2,199,863    0.31%
    Total foreign commercial paper (cost:  $18,424,354)            18,443,951    2.57 %
    Total commercial paper (cost:  $53,662,045)            53,689,605   7.48 %

 

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

 

3
 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

September 30, 2014

(Unaudited)

 

           Description  Fair Value   % of Partners’ Capital
(Net Asset Value)
 
  U.S. Corporate Notes                   
     Face Value   Maturity Date  Name   Yield1          
    Aerospace                      
    $3,800,000   12/15/16  Rockwell Collins, Inc.   0.58%  $3,812,384    0.53%
    Automotive                      
     1,000,000   9/15/16  Daimler Finance North America LLC   2.63%   1,031,027    0.14%
     1,400,000   1/30/15  Nissan Motor Acceptance Corporation   4.50%   1,429,287    0.20%
     1,700,000   9/18/15  Toyota Motor Credit Corporation   0.38%   1,702,242    0.24%
     1,400,000   9/23/16  Toyota Motor Credit Corporation   0.33%   1,398,163    0.19%
     2,000,000   5/23/16  Volkswagen Group of America Finance, LLC   0.45%   2,001,858    0.28%
     500,000   5/23/17  Volkswagen Group of America Finance, LLC   0.60%   500,611    0.07%
    Banks                      
     2,250,000   4/1/15  Bank of America   4.50%   2,344,140    0.33%
     5,250,000   3/22/16  Bank of America   1.05%   5,288,132    0.74%
     3,500,000   1/15/15  Bank of New York Company, Inc.   3.10%   3,550,766    0.49%
     2,000,000   2/20/15  Bank of New York Company, Inc.   1.20%   2,008,139    0.28%
     1,000,000   2/13/17  Capital One Bank   0.73%   1,004,378    0.14%
     9,250,000   4/1/16  Citigroup Inc.   1.30%   9,345,923    1.30%
     2,000,000   9/16/15  Comerica Incorporated   3.00%   2,047,104    0.29%
     1,000,000   2/26/16  Fifth Third Bank   0.64%   1,003,202    0.14%
     7,750,000   7/22/15  Goldman Sachs Group, Inc.   0.63%   7,762,754    1.08%
     1,000,000   2/7/16  Goldman Sachs Group, Inc.   3.63%   1,040,748    0.15%
     9,650,000   2/26/16  JPMorgan Chase & Co.   0.85%   9,718,080    1.35%
     1,500,000   2/26/16  JPMorgan Chase & Co.   0.85%   1,510,582    0.21%
     8,500,000   10/15/15  Morgan Stanley   0.71%   8,527,592    1.19%
     1,000,000   7/27/15  U.S. Bancorp   2.45%   1,021,256    0.14%
     2,500,000   10/1/15  U.S. Bank NA   0.29%   2,503,000    0.35%
     2,515,000   2/13/15  Wells Fargo & Company   1.25%   2,527,743    0.35%
     1,500,000   7/20/15  Wells Fargo Bank, National Association   0.51%   1,504,287    0.21%
     1,000,000   5/16/16  Wells Fargo Bank, National Association   0.44%   998,139    0.14%
    Beverages                      
     750,000   3/1/17  Anheuser-Busch Companies, LLC   5.60%   830,060    0.12%
     9,220,000   1/27/17  Anheuser-Busch Inbev Finance Inc.   1.13%   9,264,809    1.29%
    Biotechnology                  
     1,500,000   11/15/14  Amgen Inc.   1.88%   1,513,381    0.21%
     5,000,000   12/1/16  Gilead Sciences, Inc.   3.05%   5,255,933    0.73%
    Chemical                      
     1,400,000   12/8/14  Ecolab Inc.   2.38%   1,415,667    0.20%
    Computer                      
     3,000,000   2/5/16  International Business Machines Corporation   0.31%   3,002,648    0.42%
    Diversified Financial Services                
     1,750,000   3/4/15  General Electric Capital Corporation   4.88%   1,790,723    0.25%
     3,500,000   7/2/15  General Electric Capital Corporation   1.63%   3,547,346    0.49%
     1,000,000   7/12/16  General Electric Capital Corporation   0.88%   1,011,239    0.14%
    Electronics                  
     1,350,000   11/17/15  Honeywell International Inc.   0.28%   1,351,373    0.19%
     4,196,000   2/1/17  Thermo Fisher Scientific Inc.   1.30%   4,192,587    0.58%

 

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

 

4
 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

September 30, 2014

(Unaudited)

 

           Description  Fair Value   % of Partners’ Capital
(Net Asset Value)
 
  U.S. Corporate Notes (continued)                  
     Face Value   Maturity Date  Name   Yield1          
    Energy                      
    $400,000   10/15/14  Atmos Energy Corporation   4.95%  $409,743    0.06%
     5,750,000   4/3/17  Duke Energy Corporation   0.61%   5,777,770    0.81%
     1,273,000   3/6/15  Duke Energy Ohio, Inc.   0.37%   1,274,079    0.18%
     2,000,000   12/15/14  Entergy Louisiana, LLC   1.88%   2,017,336    0.28%
     1,000,000   8/15/16  Georgia Power Company   0.63%   1,000,827    0.14%
     1,370,000   10/1/14  Niagara Mohawk Power Corporation   3.55%   1,394,338    0.19%
     4,850,000   2/1/16  ONEOK Partners, L.P.   3.25%   5,015,417    0.70%
     1,100,000   11/15/14  PC Financial Partnership   5.00%   1,126,780    0.16%
     1,000,000   3/5/15  Phillips 66   1.95%   1,007,801    0.14%
     4,778,000   7/15/16  Pioneer Natural Resources Company   5.88%   5,219,500    0.73%
     5,500,000   6/15/16  Spectra Energy Partners, LP   2.95%   5,721,079    0.80%
     500,000   9/15/16  The Dayton Power and Light Company   1.88%   505,567    0.07%
    Food                      
     1,200,000   10/17/16  Kroger Co.   0.76%   1,202,653    0.17%
     500,000   10/17/16  Kroger Co.   0.76%   501,105    0.07%
    Healthcare                      
     600,000   12/11/14  Baxter International Inc.   0.40%   600,310    0.08%
     3,500,000   3/15/15  Medtronic, Inc.   3.00%   3,546,632    0.49%
     1,050,000   11/30/14  Zimmer Holdings, Inc.   1.40%   1,056,587    0.15%
     4,360,000   9/26/16  Ventas Realty, Limited Partnership   1.55%   4,383,131    0.61%
    Insurance                      
     1,500,000   2/11/15  Berkshire Hathaway Inc.   3.20%   1,522,228    0.21%
     4,000,000   9/30/15  Jackson National Life Global Funding   0.58%   4,010,801    0.56%
     1,000,000   4/10/17  Metropolitan Life Global Funding I   0.61%   1,004,081    0.14%
     2,500,000   10/5/15  New York Life Global Funding   0.26%   2,502,354    0.35%
     600,000   8/19/15  Pricoa Global Funding I   0.50%   600,561    0.08%
     2,498,000   12/1/15  Travelers Companies, Inc.   5.50%   2,685,064    0.37%
    Manufacturing                      
     600,000   2/19/15  Caterpillar Financial Services Corporation   0.30%   600,400    0.08%
     1,000,000   3/3/17  Caterpillar Financial Services Corporation   0.46%   999,861    0.14%
     4,890,000   11/2/15  Eaton Corporation   0.95%   4,922,968    0.69%
     800,000   10/8/14  John Deere Capital Corporation   0.33%   800,651    0.11%
     1,500,000   3/9/15  John Deere Capital Corporation   2.95%   1,520,214    0.21%
     2,400,000   6/15/15  John Deere Capital Corporation   0.35%   2,402,598    0.33%
     500,000   10/11/16  John Deere Capital Corporation   0.52%   501,497    0.07%
    Media                      
     2,945,000   4/15/16  NBC Universal Media, LLC   0.77%   2,951,979    0.41%
    Software                      
     1,500,000   7/7/17  Oracle Corporation   0.43%   1,502,434    0.21%
    Telecommunications               
     694,000   8/15/15  AT&T Inc.   2.50%   707,988    0.10%
     1,500,000   8/15/16  AT&T Inc.   2.40%   1,543,780    0.22%
     3,000,000   9/3/15  Cisco Systems, Inc.   0.28%   3,002,285    0.42%
     9,575,000   9/15/16  Verizon Communications Inc.   1.76%   9,836,245    1.38%
    Total U.S. corporate notes (cost:  $194,696,009)        194,135,947     27.06 %

 

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

 

5
 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

September 30, 2014

(Unaudited)

 

           Description  Fair Value   % of Partners’ Capital
(Net Asset Value)
 
  Foreign Corporate Notes                   
    Face Value   Maturity Date  Name   Yield1          
    Automotive                      
    $9,500,000   11/18/16  Volkswagen International Finance N.V.   0.67%  $9,526,795    1.33%
    Banks                      
     2,200,000   11/10/14  Abbey National Treasury Services PLC   3.88%   2,241,228    0.31%
     1,000,000   1/13/15  Australia and New Zealand Banking Group Ltd   3.70%   1,017,517    0.14%
     3,950,000   5/7/15  Australia and New Zealand Banking Group Ltd   0.44%   3,957,022    0.55%
     4,100,000   9/24/15  Bank of Montreal   0.49%   4,108,517    0.57%
     4,740,000   3/19/15  Commonwealth Bank of Australia   3.50%   4,816,606    0.67%
     2,000,000   5/24/16  HSBC Bank PLC   3.10%   2,098,814    0.29%
     1,500,000   9/1/15  ING Bank N.V.   3.00%   1,532,928    0.21%
     5,650,000   9/25/15  ING Bank N.V.   2.00%   5,711,660    0.80%
     3,050,000   9/25/15  ING Bank N.V.   1.87%   3,088,163    0.43%
     1,500,000   7/27/15  Macquarie Bank Limited   3.45%   1,544,243    0.22%
     3,431,000   3/11/15  Rabobank Nederland   3.20%   3,477,712    0.48%
     4,190,000   11/18/14  Standard Chartered PLC   5.50%   4,301,954    0.60%
     5,000,000   5/1/15  Toronto-Dominion Bank   0.42%   5,009,751    0.70%
     2,200,000   1/15/15  UBS AG   3.88%   2,240,959    0.31%
     2,000,000   9/25/15  Westpac Banking Corporation   0.99%   2,014,251    0.28%
    Energy                      
     2,100,000   3/10/15  BP Capital Markets P.L.C.   3.88%   2,137,246    0.30%
     750,000   3/11/16  BP Capital Markets P.L.C.   3.20%   778,393    0.11%
     4,800,000   5/9/16  CNOOC Finance (2013) Limited   1.13%   4,814,820    0.67%
     8,000,000   6/2/17  Enbridge Inc.   0.68%   8,019,605    1.12%
     1,500,000   3/2/15  TransCanada PipeLines Limited   0.88%   1,504,062    0.21%
     1,000,000   1/15/16  TransCanada PipeLines Limited   0.75%   1,001,073    0.14%
    Healthcare                      
     2,550,000   5/29/15  Covidien International Finance S.A.   1.35%   2,573,338    0.36%
    Pharmaceuticals                      
     4,200,000   3/17/15  Takeda Pharmaceutical Co Ltd   1.03%   4,214,397    0.59%
    Telecommunication                   
     5,600,000   4/27/15  Telefonica Emisiones, S.A.U.   3.73%   5,775,402    0.81%
    Transportation                      
     4,500,000   10/28/16  Kansas City Southern de Mexico, SA   0.94%   4,535,948    0.63%
    Total foreign corporate notes (cost:  $92,674,049)           92,042,404     12.83 %
    Total corporate notes (cost:  $287,370,058)          286,178,351     39.89 %
                            
  U.S. Asset Backed Securities                
    Automotive                      
    $525,000   6/15/17  Ally Master Owner Trust   1.21%   527,519    0.07%
     1,000,000   9/15/17  BMW Manufacturing Co., LLC   0.55%   1,002,343    0.14%
     972,016   10/20/16  Ally Auto Receivables Trust 2014-SN1   0.52%   972,054    0.14%
     516,982   1/15/21  ARI Fleet Lease TR 2012-B   0.45%   516,388    0.07%
     990,000   6/20/17  Capital Auto Receivables Asset Trust 2013-1   0.79%   990,952    0.14%
     172,113   3/20/19  Enterprise Fleet Financing, LLC   1.06%   172,816    0.02%
     950,000   5/15/17  Honda Auto Receivables 2013-3 Owner Trust   0.77%   951,703    0.13%

 

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

 

6
 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

September 30, 2014

(Unaudited)

 

           Description  Fair Value   % of Partners’ Capital
(Net Asset Value)
 
  U.S. Asset Backed Securities (continued)                 
    Face Value   Maturity Date  Name   Yield1          
    Credit Card                      
    $1,000,000   1/15/20  BA Credit Card Trust   0.44%  $998,777    0.14%
     1,030,000   10/16/17  Chase Issuance Trust   0.30%   1,030,252    0.14%
    Other                      
     500,000   7/20/19  GE Dealer Floorplan Master Not   0.53%   498,142    0.07%
     55,000   8/15/17  VOLVO Financial Equipment LLC SER2012-1   1.51%   55,372    0.01%
    Student Loan                  
     953,579   12/15/21  SLM Private Education Loan Trust 2012-B   1.25%   955,960    0.13%
     425,716   8/15/23  SLM Private Education Loan Trust 2012-C   1.25%   427,384    0.06%
     542,096   10/16/23  SLM Private Education Loan Trust 2012-E   0.90%   543,891    0.08%
    Total U.S. asset backed securities (cost:  $9,650,437)        9,643,553     1.34 %
    Total investments in securities (cost:  $397,498,699)        $396,227,308     55.22 %
                            
CERTIFICATES OF DEPOSIT                
  U.S. Certificates of Deposit                   
    Face Value   Maturity Date  Name   Yield1          
    Banks                      
    $1,750,000   2/11/15  Bank of Tokyo-Mitsubishi UFJ, Ltd.   0.33%  $1,754,419    0.24%
     2,000,000   10/7/14  China Construction Bank Corporation   0.58%   2,003,021    0.28%
     3,000,000   9/4/15  Lloyds Bank PLC   0.48%   3,000,200    0.42%
     1,200,000   3/2/15  Standard Chartered Bank   0.35%   1,202,818    0.17%
    Total U.S. certificates of deposit (cost:  $7,950,000)           7,960,458     1.11 %
                            
  Foreign Certificates of Deposit                
    Face Value   Maturity Date  Name   Yield1          
    Banks                      
    $2,000,000   10/23/15  Bank of Nova Scotia   0.48%   2,005,889    0.28%
     2,200,000   5/9/16  Bank of Nova Scotia   0.42%   2,200,584    0.31%
     2,000,000   11/16/15  Canadian Imperial Bank of Commerce   0.33%   2,000,169    0.28%
     1,000,000   1/15/15  Credit Suisse Group AG   0.63%   1,001,947    0.14%
     2,500,000   5/15/15  Credit Suisse Group AG   0.53%   2,501,389    0.35%
     3,000,000   7/23/15  Deutsche Bank AG   0.55%   3,003,706    0.41%
     1,400,000   2/25/15  Rabobank Nederland   0.28%   1,400,665    0.20%
     2,800,000   1/13/15  Sumitomo Mitsui Banking Corporation   0.36%   2,808,254    0.39%
     2,000,000   12/19/14  Svenska Handelsbanken AB (publ)   0.40%   2,001,059    0.28%
     2,000,000   11/14/14  The Norinchukin Bank   0.25%   2,002,086    0.28%
    Total foreign certificates of deposit (cost:  $20,898,010)        20,925,748     2.92 %
                            
    Total certificates of deposit (cost:  $28,848,010)       $28,886,206     4.03 %

 

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

 

7
 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

September 30, 2014

(Unaudited)

 

      Description  Fair Value   % of Partners’ Capital
(Net Asset Value)
 
OPEN FUTURES CONTRACTS           
  Long U.S. Futures Contracts           
      Agricultural commodities  $(3,771,415)   (0.51)%
      Currencies   (1,650,672)   (0.23)%
      Energy   (561,212)   (0.08)%
      Equity indices   (1,829,757)   (0.26)%
      Interest rate instruments   (2,047,280)   (0.29)%
      Metals   (5,012,208)   (0.70)%
      Single stock futures   (122,831)   (0.02)%
    Net unrealized gain (loss) on open long U.S. futures contracts    (14,995,375)   (2.09)%
                 
  Short U.S. Futures Contracts           
      Agricultural commodities2   7,685,207    1.08%
      Currencies   6,534,408    0.91%
      Energy   4,909,513    0.68%
      Equity indices   117,959    0.02%
      Interest rate instruments   246,113    0.03%
      Metals2   10,969,462    1.53%
      Single stock futures   100,142    0.01%
    Net unrealized gain (loss) on open short U.S. futures contracts    30,562,804    4.26%
                 
    Total U.S. Futures Contracts - Net unrealized gain (loss) on open U.S. futures contracts   15,567,429    2.17%
                 
  Long Foreign Futures Contracts           
      Agricultural commodities   156,856    0.02%
      Currencies   (72,684)   (0.01)%
      Energy   (4,438)   (0.00)%
      Equity indices   (611,178)   (0.09)%
      Interest rate instruments   4,987,022    0.70%
      Metals   3,712    0.00%
    Net unrealized gain (loss) on open long foreign futures contracts    4,459,290    0.62%
               
  Short Foreign Futures Contracts         
      Agricultural commodities   159,695    0.02%
      Currencies   31,169    0.00%
      Energy   37,193    0.01%
      Equity indices   199,582    0.03%
      Interest rate instruments   (560,735)   (0.08)%
    Net unrealized gain (loss) on open short foreign futures contracts    (133,096)   (0.02)%
                 
    Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts    4,326,194    0.60%
                 
    Net unrealized gain (loss) on open futures contracts   $19,893,623    2.77%

 

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

 

8
 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

September 30, 2014

(Unaudited)

 

              Description     Fair Value   % of Partners’ Capital
(Net Asset Value)
 
OPEN FORWARD CURRENCY CONTRACTS             
  U.S. Forward Currency Contracts             
              Long2     $(17,086,598)   (2.38)%
              Short2      15,619,783    2.18%
    Net unrealized gain (loss) on open U.S. forward currency contracts      (1,466,815)   (0.20)%
                            
  Foreign Forward Currency Contracts             
              Long      1,273,745    0.18%
              Short      (4,346,197)   (0.61)%
    Net unrealized gain (loss) on open foreign forward currency contracts      (3,072,452)   (0.43)%
                            
    Net unrealized gain (loss) on open forward currency contracts     $(4,539,267)   (0.63)%
                            
INVESTMENT IN SWAP CONTRACT             
        Maturity Date     Name           
      4/1/19     Deutsche Bank, AG Total Return   $15,967,905    2.23%
                            
    Total investment in swap contract (cost:  $12,500,000)     $15,967,905    2.23%

 

1 Represents the annualized yield at date of purchase for discount securities, the stated coupon rate for coupon-bearing securities, or the stated interest rate for certificates of deposit.

 

2 No individual futures or forward currency contract position constituted one percent or greater of partners’ capital (net asset value). Accordingly, the number of contracts and expiration dates are not presented.

 

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

 

9
 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments

December 31, 2013

(Audited)

 

           Description  Fair Value   % of Partners’ Capital
(Net Asset Value)
 
INVESTMENTS IN SECURITIES            
  U.S. Treasury Securities                   
    Face Value   Maturity Date  Name   Yield1          
    $8,000,000   2/28/14  U.S. Treasury Note   1.88%  $8,073,462    0.92%
     8,350,000   3/31/14  U.S. Treasury Note   1.75%   8,420,926    0.96%
     5,115,000   4/15/14  U.S. Treasury Note   1.25%   5,145,478    0.58%
     7,500,000   5/15/14  U.S. Treasury Note   1.00%   7,534,638    0.86%
     8,750,000   5/31/14  U.S. Treasury Note   2.25%   8,843,870    1.01%
     3,000,000   5/31/14  U.S. Treasury Note   0.25%   3,002,417    0.34%
     8,100,000   6/30/14  U.S. Treasury Note   2.63%   8,201,206    0.93%
     4,000,000   6/30/14  U.S. Treasury Note   0.25%   4,003,152    0.45%
     5,000,000   8/31/14  U.S. Treasury Note   2.38%   5,113,984    0.58%
     5,000,000   9/30/14  U.S. Treasury Note   0.25%   5,007,294    0.57%
     7,200,000   11/30/14  U.S. Treasury Note   2.13%   7,340,891    0.83%
     3,185,000   12/15/14  U.S. Treasury Note   0.25%   3,187,984    0.36%
     2,700,000   12/31/14  U.S. Treasury Note   0.13%   2,699,167    0.31%
     3,700,000   1/31/15  U.S. Treasury Note   0.25%   3,706,905    0.42%
     5,000,000   4/30/15  U.S. Treasury Note   0.13%   4,995,210    0.57%
     2,833,000   12/31/15  U.S. Treasury Note   0.25%   2,825,495    0.32%
    Total U.S. Treasury securities (cost:  $88,765,255)           88,102,079     10.01 %
                            
  U.S. Commercial Paper                
    Face Value   Maturity Date  Name   Yield1          
    Automotive                      
    $2,200,000   1/21/14  Nissan Motor Acceptance Corp.   0.30%   2,199,633    0.25%
    Banks                      
     2,200,000   2/24/14  Mizuho Funding LLC   0.21%   2,199,323    0.25%
    Beverages                      
     2,200,000   1/15/14  Bacardi Corporation   0.25%   2,199,786    0.25%
     1,262,000   1/16/14  Brown-Forman Corporation   0.12%   1,261,937    0.14%
    Diversified Financial Services                   
     2,700,000   1/9/14  AXA Financial, Inc.   0.24%   2,699,856    0.30%
     1,500,000   1/14/14  VNA Holding Inc.   0.30%   1,499,838    0.17%
    Energy                      
     2,000,000   1/30/14  Devon Energy Corporation   0.20%   1,999,678    0.23%
     2,000,000   1/10/14  Enterprise Products Operating LLC   0.22%   1,999,890    0.23%
     2,200,000   1/7/14  Oglethorpe Power Corporation   0.16%   2,199,941    0.25%
     2,000,000   1/23/14  Sempra Energy Global Enterprises   0.25%   1,999,694    0.23%
     2,750,000   1/7/14  Southern Company Funding Corp.   0.17%   2,749,922    0.31%
    Food                      
     2,000,000   1/10/14  Sysco Corporation   0.17%   1,999,915    0.23%
    Manufacturing                  
     1,200,000   1/3/14  Stanley Black & Decker, Inc.   0.15%   1,199,990    0.14%
    Non-profit                      
     2,800,000   1/6/14  Salvation Army   0.15%   2,799,942    0.31%

 

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

 

10
 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

December 31, 2013

(Audited)

 

           Description  Fair Value   % of Partners’ Capital
(Net Asset Value)
 
  U.S. Commercial Paper (continued)         
    Face Value   Maturity Date  Name  Yield1        
    Telecommunications                   
    $2,000,000   1/24/14  Verizon Communications Inc.   0.21%  $1,999,732    0.23%
    Total U.S. commercial paper (cost:  $31,004,242)           31,009,077     3.52 %
                            
  Foreign Commercial Paper                   
    Face Value   Maturity Date  Name   Yield1          
    Banks                      
    $2,100,000   3/31/14  Bank of Nova Scotia   0.17%   2,099,115    0.24%
     2,015,000   1/14/14  Bank of Tokyo-Mitsubishi UFJ, Ltd.   0.15%   2,014,891    0.23%
     2,600,000   1/6/14  Commonwealth Bank of Australia   0.15%   2,599,946    0.30%
     2,400,000   2/27/14  DBS Bank Ltd   0.16%   2,399,392    0.27%
     1,250,000   4/7/14  DNB Bank ASA   0.18%   1,249,400    0.14%
     2,500,000   3/3/14  Nordea Bank AB   0.18%   2,499,259    0.28%
     2,500,000   1/7/14  Oversea-Chinese Banking Corporation Ltd   0.19%   2,499,921    0.28%
     1,400,000   2/10/14  Skandinaviska Enskilda Banken AB   0.15%   1,399,767    0.16%
     2,700,000   1/22/14  Sumitomo Mitsui Bank   0.15%   2,699,764    0.31%
    Consumer Products                   
     1,600,000   3/4/14  Reckitt Benckiser Treasury Services PLC   0.43%   1,599,544    0.18%
     4,000,000   4/17/14  Reckitt Benckiser Treasury Services PLC   0.40%   3,997,670    0.46%
    Energy                      
     2,500,000   1/2/15  Electricite de France   0.55%   2,486,500    0.28%
     3,000,000   1/30/14  GDF Suez   0.20%   2,999,517    0.34%
    Food                      
     2,100,000   1/17/14  Tesco Treasury Services PLC   0.25%   2,099,767    0.24%
    Insurance                      
     1,500,000   1/8/14  Prudential PLC   0.16%   1,499,953    0.17%
    Total foreign commercial paper (cost:  $34,118,201)           34,144,406     3.88 %
                            
    Total commercial paper (cost:  $65,122,443)           65,153,483     7.40 %
                            
                            
  U.S. Corporate Notes                
    Face Value   Maturity Date  Name   Yield1          
    Aerospace                      
    $1,240,000   6/1/14  BAE Systems Holdings Inc.   4.95%   1,266,529    0.14%
     2,800,000   12/15/16  Rockwell Collins, Inc.   0.59%   2,805,386    0.32%
    Automotive                      
     2,500,000   3/28/14  Daimler Finance North America LLC   1.95%   2,518,789    0.29%
     8,300,000   7/31/15  Daimler Finance North America LLC   1.30%   8,407,757    0.95%
     1,805,000   3/1/14  Johnson Controls, Inc.   1.75%   1,819,497    0.21%
     1,700,000   9/18/15  Toyota Motor Credit Corporation   0.39%   1,700,853    0.19%
    Banks                      
     2,250,000   4/1/15  Bank of America Corporation   4.50%   2,378,565    0.27%
     3,750,000   3/22/16  Bank of America Corporation   1.07%   3,781,374    0.43%
     2,000,000   2/20/15  Bank of New York Mellon   1.20%   2,024,095    0.23%
     189,000   4/1/14  Citigroup Inc.   1.18%   189,567    0.02%

 

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

 

11
 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

December 31, 2013

(Audited)

 

           Description  Fair Value  

% of Partners’ Capital

(Net Asset Value)

 
  U.S. Corporate Notes (continued)                  
    Face Value   Maturity Date  Name   Yield1          
    Banks (continued)                  
    $8,000,000   4/1/16  Citigroup Inc.   1.30%  $8,052,560    0.91%
     2,460,000   2/7/14  Goldman Sachs Group, Inc.   1.24%   2,466,374    0.28%
     9,250,000   7/22/15  Goldman Sachs Group, Inc.   0.64%   9,232,548    1.05%
     10,275,000   2/26/16  JPMorgan Chase & Co.   0.86%   10,319,661    1.18%
     7,500,000   10/15/15  Morgan Stanley   0.72%   7,506,959    0.85%
     2,641,000   5/1/14  Northern Trust Corporation   4.63%   2,699,554    0.31%
     3,500,000   1/15/15  The Bank of New York Mellon   3.10%   3,644,296    0.41%
     4,815,000   2/13/15  Wells Fargo & Company   1.25%   4,877,825    0.55%
     1,500,000   7/20/15  Wells Fargo Bank   0.52%   1,503,866    0.17%
    Beverages                      
     2,750,000   7/14/14  Anheuser-Busch InBev Worldwide Inc.   1.50%   2,784,802    0.32%
     6,650,000   7/15/15  Anheuser-Busch InBev Worldwide Inc.   0.80%   6,705,121    0.76%
    Biotechnology                  
     1,500,000   11/15/14  Amgen Inc.   1.88%   1,520,308    0.17%
     8,450,000   12/1/14  Gilead Sciences, Inc.   2.40%   8,612,409    0.98%
    Computers                      
     4,500,000   5/30/14  Hewlett-Packard Company   0.64%   4,496,825    0.51%
     3,850,000   9/19/14  Hewlett-Packard Company   1.79%   3,884,488    0.44%
    Diversified Financial Services                
     2,500,000   8/25/14  American Express Credit Corporation   5.13%   2,620,966    0.30%
     4,500,000   4/8/14  American Honda Finance Corp.   0.37%   4,505,258    0.51%
     3,750,000   8/11/15  American Honda Finance Corporation   1.00%   3,780,183    0.43%
     500,000   2/15/14  CME Group Inc.   5.75%   513,792    0.06%
     1,860,000   1/10/14  ERAC USA Finance LLC   2.25%   1,880,442    0.21%
     1,750,000   3/4/15  General Electric Capital Corporation   4.88%   1,865,951    0.21%
     3,500,000   7/2/15  General Electric Capital Corporation   1.63%   3,585,158    0.41%
     5,000,000   1/8/16  General Electric Capital Corporation   0.44%   4,989,578    0.57%
     800,000   10/8/14  John Deere Capital Corporation   0.34%   801,093    0.09%
     1,500,000   3/9/15  John Deere Capital Corporation   2.95%   1,556,997    0.18%
     2,400,000   6/15/15  John Deere Capital Corporation   0.36%   2,401,102    0.27%
     1,000,000   4/21/14  MassMutual Global Funding II   2.88%   1,013,309    0.12%
    Electronics                  
     1,350,000   11/17/15  Honeywell International Inc.   0.29%   1,350,416    0.15%
    Energy                      
     1,100,000   11/15/14  177293 Canada Ltd.   5.00%   1,147,025    0.13%
     640,000   6/30/14  Arizona Public Service Company   5.80%   655,732    0.07%
     400,000   10/15/14  Atmos Energy Corporation   4.95%   417,407    0.05%
     1,730,000   5/15/14  DTE Energy Company   7.63%   1,790,737    0.20%
     1,273,000   3/6/15  Duke Energy Ohio, Inc.   0.38%   1,273,979    0.14%
     1,855,000   1/15/14  Exelon Generation Company, LLC   5.35%   1,904,064    0.22%
     2,000,000   6/1/14  NextEra Energy Capital Holdings, Inc.   1.61%   2,011,605    0.23%
     1,370,000   10/1/14  Niagara Mohawk Power Corporation   3.55%   1,411,772    0.16%

 

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

 

12
 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

December 31, 2013

(Audited)

 

           Description  Fair Value   % of Partners’ Capital
(Net Asset Value)
 
  U.S. Corporate Notes (continued)                  
    Face Value   Maturity Date  Name   Yield1          
    Energy (continued)                  
    $2,000,000   8/15/14  Public Service Electric and Gas Company   5.00%  $2,093,454    0.24%
     2,000,000   8/15/14  Public Service Electric and Gas Company   0.85%   2,012,144    0.23%
     2,328,000   3/15/14  Sempra Energy   1.00%   2,332,395    0.26%
    Food                      
     6,000,000   6/4/15  Kraft Foods Group, Inc.   1.63%   6,090,293    0.69%
     4,500,000   10/17/16  Kroger Co.   0.80%   4,499,780    0.51%
    Healthcare                      
     600,000   12/11/14  Baxter International Inc.   0.41%   600,903    0.07%
     3,500,000   3/15/15  Medtronic, Inc.   3.00%   3,642,140    0.41%
     675,000   11/30/14  Zimmer Holdings, Inc.   1.40%   680,182    0.08%
    Diversified Financial Services                  
     11,122,000   3/20/15  American International Group, Inc.   3.00%   11,529,028    1.32%
     1,500,000   2/11/15  Berkshire Hathaway Inc.   3.20%   1,564,714    0.18%
     4,000,000   9/30/15  Jackson National Life Global Funding   0.60%   4,011,869    0.46%
     4,450,000   6/11/14  Pricoa Global Funding I   5.45%   4,558,646    0.52%
     600,000   8/19/15  Pricoa Global Funding I   0.51%   601,286    0.07%
     1,000,000   9/19/14  Principal Life Global Funding II   0.40%   1,000,999    0.11%
     2,498,000   12/1/15  Travelers Companies, Inc.   5.50%   2,736,470    0.31%
    Manufacturing                      
     4,000,000   11/2/15  Eaton Corporation   0.95%   4,021,548    0.46%
     3,750,000   10/9/15  General Electric Company   0.85%   3,776,423    0.43%
    Media                      
     2,900,000   4/30/15  NBCUniversal Media, LLC   3.65%   3,037,184    0.34%
     1,445,000   4/15/16  NBCUniversal Media, LLC   0.78%   1,448,195    0.16%
     1,150,000   9/15/14  Viacom Inc.   4.38%   1,194,807    0.14%
     4,600,000   2/11/15  Walt Disney Company   0.23%   4,600,598    0.52%
    Mining                      
     1,140,000   5/1/14  Rio Tinto Finance (USA) Limited   8.95%   1,187,971    0.13%
    Pharmaceuticals                      
     5,150,000   11/6/15  AbbVie Inc.   1.00%   5,197,960    0.59%
     975,000   2/12/15  Express Scripts Holding Company   2.10%   997,404    0.11%
     4,275,000   2/10/14  Novartis Capital Corporation   4.13%   4,362,322    0.50%
    REITs                      
     2,400,000   5/15/14  Simon Property Group, L.P.   6.75%   2,437,512    0.28%
     1,000,000   8/15/14  Simon Property Group, L.P.   5.63%   1,044,933    0.12%
    Retail                      
     1,800,000   1/15/14  AutoZone, Inc.   6.50%   1,857,458    0.21%
    Telecommunications               
     960,000   9/15/14  AT&T Inc.   5.10%   1,005,014    0.11%
     8,050,000   2/13/15  AT&T Inc.   0.88%   8,127,393    0.92%
     1,040,000   8/15/15  AT&T Inc.   2.50%   1,077,586    0.12%
     2,250,000   3/28/14  Verizon Communications Inc.   0.86%   2,253,042    0.26%
     4,575,000   3/6/15  Verizon Communications Inc.   0.44%   4,570,512    0.52%
     4,000,000   9/15/16  Verizon Communications Inc.   1.77%   4,128,792    0.47%
    Total U.S. corporate notes (cost:  $252,246,718)        250,957,531     28.50 %

 

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

 

13
 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

December 31, 2013

(Audited)

 

           Description  Fair Value   % of Partners’ Capital
(Net Asset Value)
 
  Foreign Corporate Notes                   
    Face Value   Maturity Date  Name   Yield1          
    Automotive                      
    $3,000,000   3/21/14  Volkswagen Int’l Finance N.V.   1.00%  $3,004,676    0.34%
     10,000,000   11/18/16  Volkswagen Int’l Finance N.V.   0.68%   10,017,381    1.14%
    Banks                      
     1,000,000   1/13/15  Australia and New Zealand Banking Group   3.70%   1,049,841    0.12%
     3,950,000   5/7/15  Australia and New Zealand Banking Group   0.44%   3,955,928    0.45%
     4,100,000   9/24/15  Bank of Montreal   0.50%   4,102,607    0.47%
     1,800,000   7/10/14  Barclays Bank PLC   5.20%   1,889,402    0.21%
     2,740,000   3/19/15  Commonwealth Bank of Australia   3.50%   2,863,444    0.33%
     5,000,000   4/14/14  Danske Bank A/S   1.29%   5,020,114    0.57%
     400,000   1/17/14  HSBC Bank PLC   1.04%   401,025    0.04%
     4,000,000   6/9/14  ING Bank N.V.   1.64%   4,025,891    0.46%
     1,500,000   6/9/14  ING Bank N.V.   2.38%   1,514,839    0.17%
     5,350,000   9/25/15  ING Bank N.V.   2.00%   5,458,302    0.62%
     3,050,000   9/25/15  ING Bank N.V.   1.89%   3,111,067    0.35%
     1,175,000   4/11/14  National Australia Bank Limited   2.25%   1,187,388    0.13%
     600,000   3/20/15  Nordea Bank AB   2.25%   615,818    0.07%
     2,000,000   5/13/14  Rabobank Nederland   4.20%   2,038,986    0.23%
     3,431,000   3/11/15  Rabobank Nederland   3.20%   3,571,331    0.41%
     7,650,000   3/18/16  Rabobank Nederland   0.72%   7,679,537    0.87%
     4,190,000   11/18/14  Standard Chartered PLC   5.50%   4,386,735    0.50%
     5,000,000   5/1/15  Toronto-Dominion Bank   0.42%   5,007,986    0.57%
     2,200,000   1/15/15  UBS AG   3.88%   2,313,791    0.26%
    Energy                      
     8,600,000   11/14/14  Canadian Natural Resources Ltd   1.45%   8,673,728    0.99%
     4,800,000   5/9/16  CNOOC Finance (2013) Limited   1.13%   4,802,760    0.55%
     1,000,000   1/26/14  Electricite de France   5.50%   1,026,421    0.12%
     3,602,000   3/15/14  EOG Resources Canada Inc.   4.75%   3,685,544    0.42%
     1,500,000   3/2/15  TransCanada PipeLines Limited   0.88%   1,508,699    0.17%
    Food                      
     600,000   12/5/14  Tesco PLC   2.00%   608,424    0.07%
    Multi-national                      
     4,000,000   2/26/15  International Finance Corporation   0.38%   4,004,804    0.45%
    Pharmaceuticals                  
     10,150,000   3/17/15  Takeda Pharmaceutical Co Ltd   1.03%   10,240,862    1.16%
     8,500,000   3/21/14  Teva Pharmaceutical Finance III BV   0.75%   8,513,655    0.97%
    Telecommunications               
     1,815,000   3/1/14  America Movil, S.A.B. de C.V.   5.50%   1,862,021    0.21%
     2,270,000   7/8/14  Orange   4.38%   2,360,619    0.27%
     2,100,000   6/10/14  Vodafone Group PLC   4.15%   2,138,585    0.24%
    Transportation                      
     4,000,000   10/28/16  Kansas City Southern de Mexico   0.94%   4,066,942    0.46%
    Total foreign corporate notes (cost:  $127,072,938)           126,709,153     14.39 %
    Total corporate notes (cost:  $379,319,656)           377,666,684     42.89 %
    Total investments in securities (cost:  $533,207,354)          $530,922,246     60.30 %

 

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

 

14
 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

December 31, 2013

(Audited)

 

           Description  Fair Value   % of Partners’ Capital
(Net Asset Value)
 
CERTIFICATES OF DEPOSIT            
  U.S. Certificates of Deposit               
    Face Value   Maturity Date  Name  Yield1        
    Banks                      
    $4,000,000   2/11/14  Bank of Tokyo-Mitsubishi UFJ, Ltd. (NY)   0.42%  $4,016,143    0.46%
     2,500,000   3/7/14  Bank of Tokyo-Mitsubishi UFJ, Ltd. (NY)   0.40%   2,509,173    0.29%
     1,000,000   1/30/14  Barclays Bank (NY)   0.78%   1,007,812    0.11%
     3,000,000   2/14/14  Barclays Bank (NY)   0.75%   3,021,996    0.34%
     2,000,000   4/1/14  China Construction Bank Corporation (NY)   0.65%   2,005,242    0.23%
     5,000,000   9/17/14  Deutsche Bank (NY)   0.51%   5,012,367    0.57%
     3,500,000   2/27/14  Mizuho Bank (NY)   0.21%   3,500,827    0.40%
     5,000,000   5/9/14  Sumitomo Mitsui Bank (NY)   0.38%   5,014,597    0.57%
     3,000,000   5/30/14  UBS AG (NY)   0.52%   3,012,777    0.34%
    Total U.S. certificates of deposit (cost:  $29,000,000)           29,100,934     3.31 %
                            
  Foreign Certificates of Deposit               
    Face Value   Maturity Date  Name   Yield1          
    Banks                      
    $2,000,000   2/10/14  Bank of Nova Scotia   0.74%   2,004,015    0.23%
     2,000,000   10/23/15  Bank of Nova Scotia   0.49%   2,001,152    0.23%
     2,000,000   1/15/15  Credit Suisse Group AG   0.64%   2,005,475    0.23%
     2,500,000   5/15/15  Credit Suisse Group AG   0.54%   2,500,464    0.28%
     3,000,000   2/14/14  Industrial and Commercial Bank of China Ltd   0.77%   3,011,154    0.34%
     2,000,000   12/19/14  Svenska Handelsbanken AB   0.41%   2,001,859    0.23%
    Total foreign certificates of deposit (cost:  $13,500,000)           13,524,119     1.54 %
                            
    Total certificates of deposit (cost:  $42,500,000)        $42,625,053     4.85 %
                            
                            
OPEN FUTURES CONTRACTS                
  Long U.S. Futures Contracts               
            Agricultural commodities       $(1,285,920)   (0.15)%
            Currencies        1,637,874    0.19%
            Energy        178,014    0.02%
            Equity indices2        9,622,471    1.09%
            Interest rate instruments        (1,613,148)   (0.18)%
            Metals        3,628,603    0.41%
            Single stock futures        553,351    0.06%
    Net unrealized gain (loss) on open long U.S. futures contracts        12,721,245     1.44 %
                            
  Short U.S. Futures Contracts                
            Agricultural commodities        5,024,333    0.58%
            Currencies        4,288,371    0.49%
            Energy        (190,577)   (0.02)%
            Equity indices        1,437,522    0.16%
            Interest rate instruments        1,571,383    0.18%
            Metals        (2,334,738)   (0.27)%
            Single stock futures        (50,972)   (0.01)%
    Net unrealized gain (loss) on open short U.S. futures contracts           9,745,322     1.11 %
                            
    Total U.S. Futures Contracts - Net unrealized gain (loss) on open U.S. futures contracts  22,466,567     2.55 %

 

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

 

15
 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

December 31, 2013

(Audited)

 

        Description  Fair Value   % of Partners’ Capital
(Net Asset Value)
 
  Long Foreign Futures Contracts           
        Agricultural commodities  $7,074    0.00%
        Currencies   1,610,945    0.18%
        Energy   16,781    0.00%
        Equity indices2   14,012,489    1.59%
        Interest rate instruments   (3,066,606)   (0.35)%
        Single stock futures   46,170    0.01%
    Net unrealized gain (loss) on open long foreign futures contracts    12,626,853    1.43%
                   
  Short Foreign Futures Contracts           
        Agricultural commodities   171,905    0.02%
        Currencies   148,660    0.02%
        Energy   16,007    0.00%
        Equity indices   (206,846)   (0.02)%
        Interest rate instruments   2,737,146    0.31%
        Metals   (2,184)   (0.00)%
    Net unrealized gain (loss) on open short foreign futures contracts   2,864,688    0.33%
                   
    Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts    15,491,541    1.76%
                   
    Net unrealized gain (loss) on open futures contracts   $37,958,108    4.31%
                   
OPEN FORWARD CURRENCY CONTRACTS           
  U.S. Forward Currency Contracts           
        Long  $(1,252,456)   (0.14)%
        Short   1,307,980    0.15%
    Net unrealized gain (loss) on open U.S. forward currency contracts    55,524    0.01%
                   
  Foreign Forward Currency Contracts           
        Long   412,242    0.04%
        Short   227,309    0.03%
    Net unrealized gain (loss) on open foreign forward currency contracts    639,551    0.07%
                   
    Net unrealized gain (loss) on open forward currency contracts   $695,075    0.08%

 

1 Represents the annualized yield at date of purchase for discount securities, the stated coupon rate for coupon-bearing securities, or the stated interest rate for certificates of deposit.

 

2 No individual futures or forward currency contract position constituted one percent or greater of partners’ capital (net asset value). Accordingly, the number of contracts and expiration dates are not presented.

 

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

 

16
 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Statements of Operations

For the Three and Nine Months Ended September 30, 2014 and 2013

(Unaudited)

 

   Three Months Ended
September 30,
   Nine Months Ended
September 30,
 
   2014   2013   2014   2013 
Gain (Loss) from Trading Activity                    
Net realized gain (loss)  $23,524,185   $(10,895,143)  $63,210,377   $(15,217,479)
Net change in unrealized gain (loss)   (59,383)   (10,596,841)   (19,826,924)   (21,905,995)
Brokerage commissions and trading expenses   (1,422,727)   (866,911)   (3,446,327)   (3,304,944)
Net gain (loss) from trading activity   22,042,075    (22,358,895)   39,937,126    (40,428,418)
                     
Income                    
Interest income    1,341,177    2,530,090    4,883,987    7,561,644 
Net realized and change in unrealized gain (loss) on securities and certificates of deposit   (906,550)   (788,266)   (2,718,643)   (4,354,767)
Total income (loss)   434,627    1,741,824    2,165,344    3,206,877 
                     
Expenses                    
Trading Advisor management fee   2,422,713    3,811,909    8,478,828    13,171,818 
Trading Advisor incentive fee   3,832,220    373,031    4,992,995    373,031 
Cash manager fees   110,321    212,840    400,606    642,657 
General Partner management and performance fees   2,747,104    3,909,159    8,814,604    13,116,695 
Selling Agent fees – General Partner   2,486,861    3,363,137    7,920,870    11,198,107 
General Partner 1% allocation    100,465    (334,633)   88,360    (796,654)
Administrative expenses – General Partner   558,783    1,176,130    2,164,493    3,941,516 
Investment Manager fees   191,403        347,832     
Distribution (12b-1) fees   91        118     
Operating services fee   76,562        139,633     
Total expenses   12,526,523    12,511,573    33,348,339    41,647,170 
Net investment income (loss)   (12,091,896)   (10,769,749)   (31,182,995)   (38,440,293)
Net Income (Loss)  $9,950,179   $(33,128,644)  $8,754,131   $(78,868,711)

 

   Three Months Ended September 30, 
   2014   2013 
   Class A   Class B   Class I   Class A   Class B   Class I 
Increase (decrease) in net asset value per unit  $51.27   $99.22   $18.03   $(131.17)  $(158.54)  $(22.73)
                               
Net income (loss) per unit†  $50.06   $97.05   $18.02   $(134.19)  $(166.86)  $(23.88)
                               
Weighted average number of units outstanding   112,927.9085    43,777.9022    2,445.6642    157,065.6268    71,435.0710    5,511.4003 

 

   Nine Months Ended September 30, 
   2014   2013 
   Class A   Class B   Class I   Class A   Class B   Class I 
Increase (decrease) in net asset value per unit  $46.74   $144.75   $30.24   $(322.31)  $(372.60)  $(54.28)
                               
Net income (loss) per unit†  $29.35   $105.89   $21.18   $(310.92)  $(349.72)  $(64.39)
                               
Weighted average number of units outstanding   121,329.2014    48,329.8494    3,227.6796    165,177.3920    77,703.0946    5,236.5546 

 

† (based on weighted average number of units outstanding during the period)

 

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

 

17
 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Statements of Cash Flows

For the Nine Months Ended September 30, 2014 and 2013

(Unaudited)

 

   Nine Months Ended September 30, 
   2014   2013 
Cash flows from operating activities          
Net income (loss)  $8,754,131   $(78,868,711)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities          
Net change in unrealized (gain) loss from trading activity   19,830,922    21,905,995 
Purchase of swap contract   (12,500,000)    
Purchases of securities and certificates of deposit   (819,599,191)   (1,203,186,095)
Proceeds from disposition of securities and certificates of deposit   965,314,333    1,252,813,949 
Net realized and change in unrealized gain (loss) on securities and certificates of deposit   2,718,643    4,354,767 
Changes in          
Trading Advisor management fee payable   (1,760,469)   (463,641)
Trading Advisor incentive fee payable   3,654,322    373,031 
Commissions and other trading fees payable on open contracts   6,713    (104,263)
Cash Manager fees payable   (58,432)   (110,948)
General Partner management and performance fees payable   (234,064)   (384,520)
General Partner 1% allocation receivable/payable   371,726    50,851 
Selling Agent fees payable – General Partner   (190,651)   (296,384)
Administrative expenses payable – General Partner   (158,888)   (114,233)
Investment Manager fee payable   63,431     
Distribution (12b-1) fees payable   57     
Operating services fee payable   25,372     
Net cash provided by (used in) operating activities   166,237,955    (4,030,202)
           
Cash flows from financing activities          
Subscriptions   26,095,564    51,525,563 
Subscriptions received in advance   5,658,415    3,963,648 
Redemptions   (224,738,173)   (285,392,060)
Non-controlling interest – subscriptions   404,869     
Net cash used in financing activities   (192,579,325)   (229,902,849)
           
Net increase (decrease) in cash and cash equivalents   (26,341,370)   (233,933,051)
Cash and cash equivalents, beginning of period   311,962,117    533,216,653 
Cash and cash equivalents, end of period  $285,620,747   $299,283,602 
           
End of period cash and cash equivalents consists of          
Cash in broker trading accounts  $259,918,610   $277,513,309 
Cash and cash equivalents   25,702,137    21,770,293 
Total end of period cash and cash equivalents  $285,620,747   $299,283,602 
           
Supplemental disclosure of cash flow information          
Prior period redemptions paid  $36,130,211   $41,157,564 
Prior period subscriptions received in advance  $2,399,374   $9,060,642 
           
Supplemental schedule of non-cash financing activities          
Redemptions payable  $12,068,807   $51,467,265 

 

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

 

18
 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Statements of Changes in Partners’ Capital (Net Asset Value)

For the Nine Months Ended September 30, 2014 and 2013

(Unaudited)

 

   Class A   Class B     Class I     Non-Controlling Interest     
   Units   Amount   Units   Amount   Units   Amount   Units   Amount   Total 
Nine Months Ended
September 30, 2014
                                             
Balance at December 31, 2013   133,795.0412   $550,501,395    56,246.4420   $325,651,536    4,675.5936   $4,256,774       $   $880,409,705 
Net income (loss)        3,561,053         5,117,696         68,370         7,012    8,754,131 
Subscriptions   4,790.9570    19,388,345    1,588.6229    9,106,593                 404,869    28,899,807 
Redemptions   (27,316.9635)   (110,467,830)   (15,431.0260)   (88,184,732)   (2,229.9294)   (2,024,207)           (200,676,769)
Transfers   (523.1571)   (2,143,288)   368.7128    2,143,288                     
Balance at September 30, 2014   110,745.8776   $460,839,675    42,772.7517   $253,834,381    2,445.6642   $2,300,937       $411,881   $717,386,874 
                                              
Nine Months Ended September 30, 2013                                             
Balance at December 31, 2012   178,207.9880   $753,610,488    86,910.3630   $508,000,871    2,484.3408   $2,267,581       $   $1,263,878,940 
Net income (loss)        (51,357,397)        (27,174,120)        (337,194)            (78,868,711)
Subscriptions   8,382.8810    35,455,180    3,773.8057    22,090,880    3,305.6618    3,040,145            60,586,205 
Redemptions   (34,632.8214)   (143,816,580)   (26,320.4417)   (150,928,496)   (1,114.4090)   (956,685)           (295,701,761)
Transfers   (1,081.9340)   (4,491,021)   776.4547    4,491,021                      
Balance at September 30, 2013   150,876.1136   $589,400,670    65,140.1817   $356,480,156    4,675.5936   $4,013,847       $   $949,894,673 

 

   Net Asset Value per Unit 
   Class A   Class B   Class I 
                
September 30, 2014  $4,161.25   $5,934.48   $940.66 
December 31, 2013   4,114.51    5,789.73    910.42 
September 30, 2013   3,906.52    5,472.51    858.47 
December 31, 2012   4,228.83    5,845.11    912.75 

 

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

 

19
 

 

Futures Portfolio Fund, Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

 

1.Organization and Summary of Significant Accounting Policies

 

Description of the Fund

 

Futures Portfolio Fund, Limited Partnership (“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 partner interests (“Units”) in three classes, Class A, B and I, which represent units of fractional undivided beneficial interest in and ownership of the Fund. Class I Units were made available for purchase on June 1, 2012. The Fund will automatically terminate on December 31, 2025, unless terminated earlier as provided in the Third Amended and Restated Limited Partnership Agreement (“Partnership Agreement”).

 

The Fund uses commodity trading advisors to engage in the speculative trading of futures contracts, forward currency contracts and other financial instruments traded in the United States (“U.S.”) and internationally.

 

The Fund is a registrant with the U.S. Securities and Exchange Commission (“SEC”) pursuant to the U.S. Securities Exchange Act of 1934, as amended (“1934 Act”). As a registrant, the Fund is subject to the regulations of the SEC and the disclosure requirements of the 1934 Act. As a commodity pool, the Fund is subject to the regulations of the U.S. Commodity Futures Trading Commission (“CFTC”), an agency of the 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 the futures brokers and interbank market makers through which the Fund trades.

 

Steben & Company, Inc. (“General Partner”) is the general partner of the Fund and 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.

 

The three classes of Units in the Fund differ only in the fees applicable to each class. Class A Units are subject to a 2% per annum selling agent fee and class B Units are subject to a 0.2% per annum broker dealer servicing fee. Class I Units are subject to higher minimum investments requirements, lower General Partner Management Fees (0.75% per annum instead of 1.50% per annum), and a General Partner performance fee (7.5% of new profits, described more fully in Note 4).

 

During the second quarter of 2014, the Fund purchased $58.5 million of Class I shares of the Steben Managed Futures Strategy Fund (“SMFF”). SMFF is a non-diversified series of shares of beneficial interest of Steben Alternative Investment Fund (the “Trust”), a statutory trust organized under the laws of the State of Delaware, and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. SMFF issues four classes of shares: Class A, C, I and N. At September 30, 2014, the Fund owned a majority of the outstanding shares of SMFF and therefore had effective control of that entity. Accordingly, the assets, liabilities and operating results of SMFF have been consolidated with Futures Portfolio Fund. SMFF has a similar investment strategy to the Fund, except that it uses a total return swap with Deutsche Bank AG to obtain access to the returns of select commodity trading advisors. The General Partner serves as the investment manager of SMFF.

 

Significant Accounting Policies

 

Accounting Principles

The Fund’s consolidated financial statements are prepared in conformity with U.S. generally accepted accounting principles (“GAAP”).

 

Consolidation

The accompanying consolidated financial statements include the accounts of the Fund and SMFF, for which the Fund is the majority shareholder. All non-controlling interests in SMFF, as well as any material intercompany accounts and transactions have been eliminated in consolidation.

 

20
 

 

Use of Estimates

Preparing consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the consolidated financial statements and accompanying notes. Actual results could differ from those estimates.

 

Revenue Recognition

Futures, forward currency contracts, investments in securities, and certificates of deposit are recorded on a trade date basis, and gains or losses are realized when contracts/positions are liquidated. Realized gains and losses on investments in securities and certificates of deposit are determined on a specific identification basis and are included in net realized and change in unrealized gain (loss) in the consolidated statements of operations. Unrealized gains and losses on open contracts (the difference between contract trade price and fair value) are reported in the consolidated statements of financial condition as net unrealized gain or loss, as there exists a right of offset of any unrealized gains or losses. The difference between cost and the fair value of open investments in securities and certificates of deposit is reflected as unrealized gain or loss on investments in securities and certificates of deposit. Any change in net unrealized gain or loss from the preceding period is reported in the consolidated statements of operations. Interest income earned on investments in securities, certificates of deposit and other cash and cash equivalent balances is recorded on an accrual basis.

 

Fair Value of Financial Instruments

Financial instruments are recorded at fair value, the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants. Assets and liabilities recorded at fair value are classified within a fair value hierarchy based upon the level of judgment associated with the inputs used to measure their value. This 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). The three levels of the fair value hierarchy are described below:

 

  Level 1 –Fair value is based on unadjusted quoted prices for identical instruments in active markets. Financial instruments utilizing Level 1 inputs include futures contracts, U.S. Treasury securities and money market funds.
    
  Level 2 –Fair value is based on quoted prices for similar instruments in active markets and inputs other than quoted prices that are observable for the financial instrument, such as interest rates and yield curves that are observable at commonly quoted intervals using a market approach. Financial instruments utilizing Level 2 inputs include forward currency contracts, swap, commercial paper, corporate notes, certificates of deposit, asset backed securities and U.S. government sponsored enterprise notes.
    
  Level 3 –Fair value is based on valuation techniques in which one or more significant inputs are unobservable. The Fund has no financial instruments utilizing Level 3 inputs.

 

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an instrument’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The Fund’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment.

 

The Fund assesses the classification of the instruments at each measurement date, and any transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Fund’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. For the periods ended September 30, 2014 and December 31, 2013, there were no such transfers between levels.

 

A description of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis follows.

 

U.S. Treasury securities are recorded at fair value based on bid and ask quotes for identical instruments. Commercial paper, certificates of deposit, corporate notes, asset backed securities and U.S. and foreign government sponsored enterprise notes are recorded at fair value based on bid and ask quotes for similar, but not identical, instruments. Accordingly, U.S. Treasury securities are classified within Level 1, and commercial paper, certificates of deposit, corporate notes, asset backed securities and U.S. and foreign government sponsored enterprise notes are classified within Level 2.

 

The investment in a money market fund, included in cash and cash equivalents in the consolidated statements of financial condition, and futures contracts, all of which are exchange-traded, are valued using quoted market prices for identical assets and are classified within Level 1. The fair values of forward currency contracts are based upon third-party quoted dealer values on the interbank market and are classified within Level 2. The fair value of the swap investment is based on quoted market prices for the underlying contracts of the CTA programs within the swap and is classified within Level 2.

 

21
 

 

Cash and Cash Equivalents

Cash and cash equivalents may include cash, money market accounts and short-term investments with maturities of three months or less at the date of acquisition and that are not held for sale in the normal course of business. The Fund maintains deposits with financial institutions in amounts that are in excess of federally insured limits; however, the Fund does not believe it is exposed to any significant credit risk.

 

Brokerage Commissions and Trading Expenses

Brokerage commissions and trading expenses include brokerage and other trading fees, and are charged to expense when contracts are opened and closed.

 

Redemptions Payable

Redemptions payable represent redemptions that meet the requirements of the Fund and have been approved by the General Partner prior to period-end. 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 and local 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 evaluates the tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are more-likely-than-not to be sustained when examined by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense and asset or liability in the current year. Management has determined there are no material uncertain income tax positions through September 30, 2014. With few exceptions, the Fund is no longer subject to U.S. federal, or state and local income tax examinations by tax authorities for years before 2011.

 

Foreign Currency Transactions

The Fund has certain investments denominated in foreign currencies. The purchase and sale of investments, and income and expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of investments held. Such fluctuations are included with the net realized and change in unrealized gain or loss on such investments in the consolidated statements of operations.

 

Swap Agreement

Through its investment in SMFF, the Fund has entered into a total return swap with Deutsche Bank AG. This two-party contract was entered in to exchange, or swap, the returns realized on a basket of CTA programs. Under the terms of the swap agreement, the investment manager of SMFF has the ability to periodically adjust the notional level of the swap, the notional allocation to each CTA program and the mix of CTA programs. The swap was effective April 2, 2014 and has a term of five years, with certain early termination provisions. The swap includes a 0.50% fee to Deutsche Bank.

 

At September 30, 2014, the notional value of the swap was $73,705,901 and SMFF had provided $12,496,500 as collateral. During the nine months ended September 30, 2014, the swap had an appreciation in fair value of $3,467,905.

 

Reclassification

Certain amounts reported in the 2013 consolidated financial statements may have been reclassified to conform to the 2014 presentation without affecting previously reported partners’ capital (net asset value).

 

2.Fair Value Disclosures

 

The Fund’s assets and liabilities, measured at fair value on a recurring basis, are summarized in the following tables by the type of inputs applicable to the fair value measurements:

 

At September 30, 2014    
   Level 1   Level 2   Total 
Equity in broker trading accounts:               
Net unrealized gain (loss) on open futures contracts*  $19,893,623   $   $19,893,623 
Net unrealized gain (loss) on open forward currency contracts*       (4,539,267)   (4,539,267)
Investment in swap*       15,967,905    15,967,905 
Cash and cash equivalents:               
Money market fund   8,711,019        8,711,019 
Investments in securities:               
U.S. Treasury securities*   44,715,046        44,715,046 
U.S. government sponsored enterprise notes       2,000,753    2,000,753 
Asset backed securities*       9,643,553    9,643,553 
Commercial paper*       53,689,605    53,689,605 
Corporate notes*       286,178,351    286,178,351 
Certificates of deposit*       28,886,206    28,886,206 
Total  $73,319,688   $391,827,106   $465,146,794 

 

*See the consolidated condensed schedule of investments for further description.

 

22
 

 

At December 31, 2013    
   Level 1   Level 2   Total 
Equity in broker trading accounts:               
Net unrealized gain (loss) on open futures contracts*  $37,958,108   $   $37,958,108 
Net unrealized gain (loss) on open forward currency contracts*       695,075    695,075 
Investment in swap*            
Cash and cash equivalents:               
Money market fund   6,338,530        6,338,530 
Investments in securities:               
U.S. Treasury securities*   88,102,079        88,102,079 
Commercial paper*       65,153,483    65,153,483 
Corporate notes*       377,666,684    377,666,684 
Certificates of deposit*       42,625,053    42,625,053 
Total  $132,398,717   $486,140,295   $618,539,012 

 

*See the consolidated condensed schedule of investments for further description.

 

There were no Level 3 holdings at September 30, 2014 or December 31, 2013, or during the periods then ended.

 

In addition to the financial instruments listed above, substantially all of the Fund’s other assets and liabilities are considered financial instruments and are reflected at fair value, or at carrying amounts that approximate fair value because of the short maturity of the instruments.

 

3.Derivative Instruments Disclosures

 

The Fund’s derivative contracts are comprised of futures and forward currency contracts, none of which are designated as hedging instruments. At September 30, 2014, the Fund’s derivative contracts had the following impact on the consolidated statements of financial condition:

 

   Derivative Assets and Liabilities, at fair value 
Statements of Financial Condition Location  Gross Amounts of Recognized Assets   Gross Amounts Offset in the Statements of Financial Condition   Net Amount of Assets Presented in the Statements of Financial Condition 
Equity in broker trading accounts               
Net unrealized gain (loss) on open futures contracts               
Agricultural commodities  $9,381,577   $(5,151,234)  $4,230,343 
Currencies   7,162,127    (2,319,906)   4,842,221 
Energy   5,536,277    (1,155,221)   4,381,056 
Equity indices   3,571,180    (5,694,574)   (2,123,394)
Interest rate instruments   6,249,443    (3,624,323)   2,625,120 
Metals   11,370,331    (5,409,365)   5,960,966 
Single stock futures   248,739    (271,428)   (22,689)
Net unrealized gain (loss) on open futures contracts  $43,519,674   $(23,626,051)  $19,893,623 
                
Net unrealized gain (loss) on open forward currency contracts  $17,646,941   $(22,186,208)  $(4,539,267)
                
Investment in swap contract  $15,967,905   $   $15,967,905 

 

23
 

 

At September 30, 2014, there were 64,380 open futures contracts and 2,667 open forward currency contracts. For the three and nine months ended September 30, 2014, the Fund’s derivative contracts had the following impact on the consolidated statements of operations:

 

   Three Months Ended
September 30, 2014
   Nine Months Ended
September 30, 2014
 
Types of Exposure  Net realized gain (loss)   Net change
in unrealized
gain (loss)
   Net realized gain (loss)   Net change
in unrealized
gain (loss)
 
Futures contracts                    
Agricultural commodities  $3,427,306   $4,199,308   $13,023,155   $312,951 
Currencies   6,176,382    3,001,894    4,393,805    (2,843,629)
Energy   (8,584,729)   1,921,259    (14,802,785)   4,360,831 
Equity indices   4,015,489    (5,616,395)   15,082,650    (26,989,030)
Interest rate instruments   17,577,743    (8,237,599)   49,409,974    2,996,345 
Metals   (1,060,094)   7,205,303    (12,493,028)   4,669,285 
Single stock futures   (364,008)   (389,059)   1,634,179    (571,238)
Total futures contracts   21,188,089    2,084,711    56,247,950    (18,064,485)
                     
Forward currency contracts   3,371,455    (4,020,523)   7,699,833    (5,234,342)
                     
Investment in swap contract       1,876,429    (3,500)  3,471,903 
                     
Total futures, forward currency and swap contracts  $24,559,544   $(59,383)  $63,944,283   $(19,826,924)

 

For the three and nine months ended September 30, 2014, the number of futures contracts closed was 415,069 and 969,822, respectively, and the number of forward currency contracts closed was 8,460 and 28,476, respectively.

 

The Fund’s financial assets, derivative assets, and cash collateral held by counterparties at September 30, 2014 were:

 

       Gross Amounts Not Offset in the Statements of Financial Condition     
Counterparty  Net Amount of Assets in the Statements of Financial Condition   Financial Instruments Pledged   Cash Collateral Received   Net Amount 
                 
JP Morgan Securities, LLC  $3,831,294   $   $   $3,831,294 
Newedge UK Financial Ltd   (3,072,452)           (3,072,452)
Newedge USA, LLC   16,062,329            16,062,329 
UBS AG   (1,466,815)           (1,466,815)
Deutsche Bank AG   15,967,905            15,967,905 
Total  $31,322,261   $   $   $31,322,261 

 

24
 

 

At December 31, 2013, the Fund’s derivative contracts had the following impact on the consolidated statements of financial condition:

 

December 31, 2013  Derivative Assets and Liabilities, at fair value 
Statements of Financial Condition Location  Gross Amounts of Recognized Assets   Gross Amounts Offset in the Statements of Financial Condition   Net Amount of Assets Presented in the Statements of Financial Condition 
Equity in broker trading accounts               
Net unrealized gain (loss) on open futures contracts               
Agricultural commodities  $5,823,273   $(1,905,881)  $3,917,392 
Currencies   8,479,775    (793,925)   7,685,850 
Energy   1,961,940    (1,941,715)   20,225 
Equity indices   25,256,880    (391,244)   24,865,636 
Interest rate instruments   5,523,958    (5,895,183)   (371,225)
Metals   10,448,475    (9,156,794)   1,291,681 
Single stock futures   617,785    (69,236)   548,549 
Net unrealized gain (loss) on open futures contracts  $58,112,086   $(20,153,978)  $37,958,108 
                
Net unrealized gain (loss) on open forward currency contracts  $5,818,188   $(5,123,113)  $695,075 

 

At December 31, 2013, there were 64,196 open futures contracts and 2,271 open forward currency contracts. For the three and nine months ended September 30, 2013, the Fund’s derivative contracts had the following impact on the consolidated statements of operations:

 

   Three Months Ended
September 30, 2013
   Nine Months Ended
September 30, 2013
 
Types of Exposure  Net realized gain (loss)   Net change
in unrealized
gain (loss)
   Net realized gain (loss)   Net change
in unrealized
gain (loss)
 
Futures contracts                    
Agricultural commodities  $(805,028)  $689,645   $(1,264,562)  $435,544 
Currencies   (12,385,354)   2,355,722    (11,560,915)   (2,029,027)
Energy   (920,497)   (2,528,921)   (35,802,162)   (4,077,227)
Equity indices   17,352,796    (1,092,270)   88,977,260    (9,949,046)
Interest rate instruments   (4,474,747)   7,562,309    (65,103,755)   783,780 
Metals   (2,462,257)   (20,978,857)   17,411,009    638,789 
Single stock futures   (117,345)   53,020    1,441,010    (34,225)
Total futures contracts   (3,812,432)   (13,939,352)   (5,902,115)   (14,231,412)
                     
Forward currency contracts   (8,147,754)   3,342,511    (9,460,025)   (7,674,583)
                     
Total futures and forward currency contracts  $(11,960,186)  $(10,596,841)  $(15,362,140)  $(21,905,995)

 

For the three and nine months ended September 30, 2013, the number of futures contracts closed was 344,416 and 1,072,438, respectively, and the number of forward currency contracts closed was 10,344 and 35,722, respectively.

 

The Fund’s financial assets, derivative assets, and cash collateral held by counterparties at December 31, 2013 were:

 

       Gross Amounts Not Offset in the Statements of Financial Condition     
Counterparty  Net Amount of Assets in the Statements of Financial Condition   Financial Instruments   Cash Collateral Received   Net Amount 
                     
JP Morgan Securities, LLC  $11,027,627   $   $   $11,027,627 
Newedge UK Financial Ltd   639,551            639,551 
Newedge USA, LLC   26,930,481            26,930,481 
UBS AG   55,524            55,524 
Deutsche Bank AG                
Total  $38,653,183   $   $   $38,653,183 

 

25
 

 

4.General Partner

 

At September 30, 2014 and December 31, 2013, and for the periods then ended, the General Partner did not maintain a capital balance in the Fund. However, the beneficiary of the majority shareholder of the General Partner had the following investment:

 

   September 30,
2014
   December 31,
2013
 
Class of units  I   I 
Number of units   254.4114    254.4114 
Value  $239,313   $231,622 

 

The General Partner earns the following compensation:

 

§General Partner Management Fee – the Fund incurs a monthly fee on Class A and Class B Units equal to 1/12th of 1.5% of the month-end net asset value of the Class A and Class B Units, payable in arrears. The Fund incurs a monthly fee on Class I Units equal to 1/12th of 0.75% of the month-end net asset value of the Class I Units, payable in arrears.
   
§General Partner Performance Fee – the Fund incurs a monthly fee on Class I Units equal to 7.5% of new profits of the Class I Units calculated monthly. The general partner performance fee is payable quarterly in arrears.
   
§Management fee – SMFF incurs a monthly fee equal to 1/12th of 1.25% of the month-end net asset value of the trust, payable in arrears to the investment manager.
   
§Distribution (12b-1) fee – SMFF incurs a monthly 12b-1 fee of 1/12th of 0.25% of the month-end net asset value of the Class A and N shares, and 1/12th of 1% of the month-end value of the Class C shares.
   
§Selling Agent Fees – the Class A Units incur a monthly fee equal to 1/12th of 2% of the month-end net asset value of the Class A Units. Selling agent fees amounted to $2,356,765 and $3,159,014 for the three months ended September 30, 2014 and 2013, respectively. For the nine months ended September 30, 2014 and 2013, selling agent fees were $7,497,404 and $10,505,197, respectively. Such amounts are included in selling agent fees – General Partner in the consolidated statements of operations. The General Partner, in turn, pays the selling agent fees to the respective selling agents. If there is no designated selling agent or the General Partner was the selling agent, such portions of the selling agent fees are retained by the General Partner.
   
§Broker Dealer Servicing Fees – the Class B Units incur a monthly fee equal to 1/12th of 0.2% of the month-end net asset value of the Class B Units. Broker dealer servicing fees amounted to $130,096 and $204,123 for the three months ended September 30, 2014 and 2013, respectively. For the nine months ended September 30, 2014 and 2013, broker dealer servicing fees were $423,465 and $692,910, respectively. Such amounts are included in selling agent fees – General Partner in the consolidated statements of operations. The General Partner, in turn, pays the fees to the respective selling agents. If there is no designated selling agent or the General Partner was the selling agent, such portions of the broker dealer servicing fees are retained by the General Partner.
   
§Operating Services Fee – SMFF incurs a monthly fee equal to 1/12th of 0.5% of the month-end net asset value of the trust, payable to the investment manager. The investment manager, in turn, pays the operating expenses of the trust, pursuant to an operating services agreement between the parties.
   
§Administrative Expenses – the Fund incurs a monthly fee equal to 1/12th of 0.45% of the month-end net asset value of the fund, payable in arrears to the General Partner. The General Partner, in turn, pays the administrative expenses of the Fund. Administrative expenses include accounting, audit, legal, 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, administrative employee salaries and related costs.

 

Pursuant to the terms of the Partnership Agreement, each year the General Partner receives from the Fund 1% of any net income earned by the Fund. Conversely, the General Partner pays to the Fund 1% of any net loss incurred by the Fund. Such amounts are reflected as General Partner 1% allocation receivable or payable in the consolidated statements of financial condition and as General Partner 1% allocation in the consolidated statements of operations.

 

5.Trading Advisors and Cash Managers

 

The Fund has advisory agreements with various commodity trading advisors, pursuant to which the Fund incurs a monthly trading advisor management fee that ranges from 0% to 2% per annum of allocated net assets (as defined in each respective advisory agreement), paid monthly or quarterly in arrears. Additionally, the Fund incurs trading advisor incentive fees, payable quarterly in arrears, ranging from 10% to 30% of net new trading profits (as defined in each respective advisory agreement).

 

26
 

 

The Fund has engaged J.P. Morgan Investment Management, Inc. and Principal Global Investors, LLC (collectively, the “Cash Managers”) to provide cash management services to the Fund. The Fund incurs monthly fees, payable in arrears to the Cash Managers, equal to approximately 1/12th of 0.11% of the investments in securities and certificates of deposit.

 

6.Deposits with Brokers

 

To meet margin requirements, the Fund deposits funds with its futures brokers, subject to CFTC regulations and various exchange and broker requirements. The Fund earns interest income on its assets deposited with brokers. At September 30, 2014 and December 31, 2013, the Fund had margin requirements of $113,480,263 and $130,308,150, respectively.

 

7.Subscriptions, Distributions and Redemptions

 

Investments in the Fund are made by subscription agreement and must be received within five business days of the end of the month, subject to acceptance by the General Partner. The minimum investment is $10,000 for Class A and B units and $2,000,000 for Class I units. Units are sold at the respective net asset value per unit for Class A, B or I interests 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, 2014 and December 31, 2013, the Fund received advance subscriptions of $5,658,415 and $2,399,374, respectively, which were recognized as subscriptions to the Fund or returned, if applicable, subsequent to period-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, B or I Units owned at the end of any month, subject to five business days’ prior written notice to the General Partner, and in certain circumstances, restrictions in the 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 non-exempt prohibited transaction under the Employee Retirement Income Security Act of 1974, as amended, or the Internal Revenue Code of 1986, as amended, (b) beneficial to the Fund, or (c) necessary to comply with applicable government or self-regulatory organization regulations.

 

8.Trading Activities and Related Risks

 

The Fund engages in the speculative trading of futures, swaps, options and over-the-counter contracts, including forward currency contracts traded in the U.S. and internationally. Trading in derivatives exposes the Fund to both market risk, the risk arising from a change in the fair value of a contract, 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 futures brokers. Additional deposits may be necessary for any loss of contract value. The Commodity Exchange Act (“CEAct”) 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. Treasury 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 uses Newedge USA, LLC and J.P. Morgan Securities, LLC as its futures brokers and Newedge UK Financial Limited and UBG AG as its forward currency counterparties.

 

For futures contracts, 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 currency contracts purchased, and unlimited liability on such contracts sold short.

 

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 U.S. 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 non-performance 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.

 

27
 

 

In the case of forward currency 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. While the Fund trades only with those counterparties that it believes to be creditworthy, there can be no assurance that any clearing member, clearinghouse or other counterparty will be able to meet its obligations to the Fund.

 

The Fund trades forward currency contracts in unregulated markets between principals and assumes the risk of loss from counterparty non-performance. Accordingly, the risks associated with forward currency contracts 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 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.

 

Entering into swap agreements involves, to varying degrees, credit, market, and counterparty risk in excess of the amounts recognized on the consolidated statement of financial condition.

 

The Cash Managers manage the Fund’s cash and excess margin through investments in fixed income instruments, pursuant to investment parameters established by the General Partner. Fluctuations in prevailing interest rates could cause mark-to-market losses on the Fund’s fixed income instruments.

 

Through its investments in debt securities and certificates of deposit, the Fund has exposure to U.S. and foreign enterprises. The following table presents the exposure at September 30, 2014.

 

Country or Region  U.S. Treasury Securities   U.S. Government Sponsored Enterprise Notes   Commercial Paper   Corporate Notes   Asset Backed Securities   Certificates of Deposit   Total   % of Partners’ Capital
(Net Asset Value)
 
United States  $44,715,046   $2,000,753   $35,245,654   $194,135,947   $9,643,553   $7,960,458   $293,701,411    40.94%
Canada           1,799,583    19,643,008        6,206,642    27,649,233    3.85%
Netherlands               23,337,258        1,400,665    24,737,923    3.45%
Great Britain           3,496,762    11,557,635            15,054,397    2.10%
Australia               13,349,639            13,349,639    1.86%
Japan           2,299,932    4,214,397        4,810,340    11,324,669    1.58%
Spain               5,775,402            5,775,402    0.81%
Switzerland               2,240,959        3,503,336    5,744,295    0.80%
British Virgin Islands               4,814,820            4,814,820    0.67%
Mexico               4,535,948            4,535,948    0.63%
France           4,048,370                4,048,370    0.56%
Singapore           3,599,484                3,599,484    0.50%
Germany                       3,003,706    3,003,706    0.42%
Sweden           999,957            2,001,059    3,001,016    0.42%
Luxumberg               2,573,338            2,573,338    0.36%
Multi-national           2,199,863                2,199,863    0.31%
Total  $44,715,046   $2,000,753   $53,689,605   $286,178,351   $9,643,553   $28,886,206   $425,113,514    59.26%

 

28
 

 

The following table presents the exposure at December 31, 2013.

 

Country or Region  U.S. Treasury Securities   Commercial Paper   Corporate Notes   Certificates of Deposit   Total   % of Partners’ Capital
(Net Asset Value)
 
United States  $88,102,079   $31,009,077   $250,957,531   $29,100,934   $399,169,621    45.35%
Netherlands           40,422,010        40,422,010    4.59%
Canada       2,099,115    22,978,564    4,005,167    29,082,846    3.30%
Great Britain       9,196,934