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EX-31.02 - CERTIFICATION OF CHIEF FINANCIAL OFFICER - FUTURES PORTFOLIO FUND L.P.ex31-02.htm
EX-32.01 - CERTIFICATION OF CHIEF EXECUTIVE OFFICER - FUTURES PORTFOLIO FUND L.P.ex32-01.htm
EX-31.01 - CERTIFICATION OF CHIEF EXECUTIVE OFFICER - FUTURES PORTFOLIO FUND L.P.ex31-01.htm
EX-32.02 - CERTIFICATION OF CHIEF FINANCIAL OFFICER - FUTURES PORTFOLIO FUND L.P.ex32-02.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 March 31, 2015

 

 Commission file number: 000-50728 

 

FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP

 

Organized in Maryland   IRS 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

March 31, 2015 (Unaudited) and December 31, 2014 (Audited)

 

    March 31,
2015
  December 31,
2014
Assets        
Equity in broker trading accounts        
Cash   $ 271,576,630     $ 240,042,950  
Net unrealized gain (loss) on open futures contracts     20,867,038       33,424,425  
Net unrealized gain (loss) on open forward currency contracts     (387,743 )     (1,409,257 )
Net unrealized gain (loss) on swap contract     11,485,018       8,071,814  
Total equity in broker trading accounts     303,540,943       280,129,932  
Cash and cash equivalents     29,908,999       29,900,779  
Investments in securities, at fair value     440,970,910       430,462,588  
Certificates of deposit, at fair value     32,095,630       28,894,203  
Subscriptions receivable     488,414       209,400  
Total assets   $ 807,004,896     $ 769,596,902  
                 
Liabilities and Partners’ Capital (Net Asset Value)                
Liabilities                
Trading Advisor management fees payable   $ 1,134,184     $ 1,212,424  
Trading Advisor incentive fees payable     9,346,873       10,977,066  
Commissions and other trading fees payable on open contracts     149,174       146,411  
Cash Manager fees payable     111,067       111,171  
General Partner management and performance fees payable     973,005       930,656  
General Partner 1% allocation payable     480,980       538,285  
Selling Agent fees payable – General Partner     873,416       838,049  
Administrative expenses payable – General Partner     190,360       183,163  
Investment Manager fees payable     86,488       74,621  
Distribution (12b-1) fees payable     1,265       321  
Operating services fee payable     34,595       29,848  
Redemptions payable     10,174,269       10,423,609  
Subscriptions received in advance     4,584,146       2,577,065  
Total liabilities     28,139,822       28,042,689  
Partners’ Capital (Net Asset Value)                
Class A Interests – 104,102.0664 and 106,074.0114 units outstanding at March 31, 2015 and December 31, 2014, respectively     488,591,647       468,243,719  
Class B Interests – 40,037.1267 and 41,522.9665 units outstanding at March 31, 2015 and December 31, 2014, respectively     270,388,953       262,572,733  
Class I Interests – 3,819.1423 and 3,438.9708 units outstanding at March 31, 2015 and December 31, 2014, respectively     4,101,440       3,455,693  
Non-controlling interest     15,783,034       7,282,068  
Total partners’ capital (net asset value)     778,865,074       741,554,213  
Total liabilities and partners’ capital (net asset value)   $ 807,004,896     $ 769,596,902  

 

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

 

1
 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments

March 31, 2015

(Unaudited)

 

        Description   Fair Value   % of Partners' Capital
(Net Asset Value)
INVESTMENTS IN SECURITIES            
U.S. Treasury Securities                
Face Value   Maturity Date   Name   Yield1        
$ 1,000,000     4/30/15   U.S. Treasury Note     2.50 %   $ 1,012,376       0.13 %
  5,500,000     5/31/15   U.S. Treasury Note     0.25 %     5,505,038       0.71 %
  1,520,000     5/31/15   U.S. Treasury Note     2.13 %     1,535,872       0.20 %
  10,500,000     7/15/15   U.S. Treasury Note     0.25 %     10,510,866       1.34 %
  3,400,000     8/31/15   U.S. Treasury Note     0.38 %     3,404,951       0.44 %
  3,740,000     11/15/15   U.S. Treasury Note     0.38 %     3,749,235       0.48 %
  3,000,000     11/30/15   U.S. Treasury Note     1.38 %     3,037,028       0.39 %
  3,000,000     1/15/16   U.S. Treasury Note     0.38 %     3,005,410       0.39 %
  1,100,000     1/31/16   U.S. Treasury Note     2.00 %     1,119,585       0.14 %
  2,000,000     2/29/16   U.S. Treasury Note     0.25 %     2,000,279       0.26 %
  2,000,000     7/15/16   U.S. Treasury Note     0.63 %     2,008,718       0.26 %
Total U.S. Treasury securities (cost:  $39,916,416)   36,889,358       4.74 %
                                     
U.S. Government Sponsored Enterprise Notes              
  Face Value     Maturity Date   Name     Yield1                
$ 2,000,000     9/18/15   Federal Home Loan Banks     0.20 %     2,000,061       0.26 %
 Total U.S. government sponsored entities (cost:  $1,999,600)           2,000,061       0.26 %
                                     
U.S. Commercial Paper                            
  Face Value     Maturity Date   Name     Yield1                
Automotive                                  
$ 2,000,000     4/10/15   Daimler Finance North America LLC     0.38 %     1,999,810       0.26 %
  1,000,000     7/20/15   Hyundai Capital America     0.75 %     998,960       0.13 %
Banks                                  
  2,500,000     8/6/15   Agricultural Bank of China Limited     0.74 %     2,497,700       0.32 %
  1,800,000     5/1/15   Credit Suisse (USA), Inc.     0.30 %     1,799,550       0.23 %
  400,000     4/1/15   HSBC Bank USA     0.16 %     400,000       0.05 %
  2,100,000     6/15/15   Mitsubishi UFJ Trust & Banking Corp. (USA)     0.24 %     2,098,950       0.27 %
  500,000     4/6/15   Mizuho Funding LLC     0.25 %     499,983       0.06 %
  1,100,000     4/13/15   MUFG Union Bank     0.15 %     1,099,945       0.14 %
  500,000     5/11/15   MUFG Union Bank     0.16 %     499,911       0.06 %
  1,700,000     5/15/15   Standard Chartered Bank     0.20 %     1,699,584       0.22 %
Beverages                                  
  2,100,000     4/22/15   Bacardi U.S.A., Inc.     0.49 %     2,099,400       0.27 %
  1,000,000     4/13/15   Molson Coors Brewing Company     0.45 %     999,856       0.13 %
Diversified financial services                    
  500,000     7/28/15   ABN AMRO Funding USA LLC     0.41 %     499,605       0.06 %
  1,500,000     4/1/15   Alpine Securities Corporation     0.00 %     1,500,000       0.19 %
  1,800,000     5/4/15   AXA Financial, Inc.     0.25 %     1,799,587       0.23 %
  300,000     5/5/15   AXA Financial, Inc.     0.24 %     299,932       0.04 %
  1,450,000     4/7/15   DCAT, LLC     0.26 %     1,449,937       0.19 %
  1,800,000     4/27/15   Gotham Funding Corporation     0.18 %     1,799,766       0.23 %
  300,000     5/12/15   ING (U.S.) Funding LLC     0.23 %     299,921       0.04 %
  200,000     6/17/15   ING (U.S.) Funding LLC     0.22 %     199,906       0.03 %
  500,000     4/14/15   Intercontinental Exchange, Inc.     0.17 %     499,969       0.06 %
  1,400,000     4/20/15   Manhattan Asset Funding Company LLC     0.20 %     1,399,852       0.18 %

 

 

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

 

2
 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

March 31, 2015

(Unaudited)

 

      Description  Fair Value  % of Partners’ Capital
(Net Asset Value)
U.S. Commercial Paper (continued)      
Face Value  Maturity Date  Name  Yield      
Diversified financial services (continued)      
$400,000   4/17/15  J.P. Morgan Securities LLC   0.25%  $399,956    0.05%
 1,800,000   5/13/15  Liberty Street Funding LLC   0.16%   1,799,664    0.23%
 1,800,000   4/27/15  Nieuw Amsterdam Receivables Corp.   0.12%   1,799,844    0.23%
Energy                       
 1,000,000   6/10/15  Anadarko Petroleum Corporation   0.77%   999,410    0.13%
 1,800,000   4/28/15  Dominion Resources, Inc.   0.52%   1,799,298    0.23%
 1,800,000   4/6/15  Duke Energy Corporation   0.41%   1,799,897    0.23%
 1,900,000   4/28/15  Enterprise Products Operating LLC   0.60%   1,899,145    0.24%
 1,700,000   4/8/15  Motiva Enterprises LLC   0.57%   1,699,812    0.22%
 1,000,000   4/9/15  Nabors Industries, Inc.   0.63%   999,945    0.13%
 400,000   4/2/15  NextEra Energy Capital Holdings, Inc.   0.50%   399,994    0.05%
 2,400,000   5/11/15  Oglethorpe Power Corporation   0.17%   2,399,547    0.31%
 400,000   4/1/15  Southern Company Funding Corporation   0.23%   400,000    0.05%
 1,600,000   4/2/15  Southern Company Funding Corporation   0.20%   1,599,991    0.21%
Food                       
 400,000   4/7/15  General Mills, Inc.   0.32%   399,979    0.05%
 1,600,000   5/6/15  General Mills, Inc.   0.48%   1,599,253    0.21%
Manufacturing                      
 400,000   4/9/15  Eaton Corporation   0.55%   399,951    0.05%
Non-profit                       
 530,000   5/27/15  Catholic Health Initiatives   0.15%   529,876    0.07%
REITS                       
 400,000   5/13/15  Simon Property Group, L.P.   0.17%   399,921    0.05%
Retail                       
 1,000,000   4/13/15  AutoZone, Inc.   0.50%   999,921    0.13%
 400,000   4/27/15  CVS Caremark Corporation   0.47%   399,864    0.05%
Total U.S. commercial paper (cost:  $49,146,768)         49,167,392       6.31 %
                        
Foreign Commercial Paper
 Face Value   Maturity Date  Name   Yield1          

Banks

               
$2,000,000   9/8/15  Bank of China Limited   0.70%   1,994,479    0.26%
 500,000   5/18/15  DNB Bank ASA   0.14%   499,909    0.06%
 3,000,000   2/23/16  DNB Bank ASA   0.54%   2,986,500    0.38%
 500,000   4/8/15  John Deere Bank SA   0.12%   499,988    0.06%
 1,800,000   4/9/15  John Deere Bank SA   0.11%   1,799,956    0.23%
 450,000   1/6/16  Macquarie Bank Limited   0.60%   450,689    0.06%
 500,000   6/10/15  Oversea-Chinese Banking Corp. Ltd   0.17%   499,835    0.06%
 1,800,000   6/26/15  Sumitomo Mitsui Bank   0.24%   1,798,968    0.23%
Beverages                   
 1,200,000   4/15/15  Diageo Capital PLC   0.50%   1,199,839    0.15%
Consumer products                
 3,000,000   4/21/15  Reckitt Benckiser Treasury Services PLC   0.31%   2,999,773    0.41%
Energy                       
 1,500,000   6/2/15  Centrica PLC   0.68%   1,499,260    0.19%
 2,500,000   1/8/16  Electricite de France   0.72%   2,486,950    0.32%
 500,000   4/20/15  GDF Suez   0.17%   499,955    0.06%

 

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

 

3
 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

March 31, 2015

(Unaudited)

 

     Description  Fair Value  % of Partners’ Capital
(Net Asset Value)
Foreign Commercial Paper (continued)      
Face Value  Maturity Date  Name  Yield1      
Energy (continued)            
$1,600,000   5/26/15  GDF Suez   0.20%  $1,599,511    0.21%
Insurance                       
 1,800,000   4/7/15  Prudential Public Limited Company   0.19%   1,799,943    0.23%
 400,000   5/1/15  Prudential Public Limited Company   0.18%   399,940    0.05%
Total foreign commercial paper (cost:  $22,988,985)         23,015,495       2.96%
Total commercial paper (cost:  $72,135,753)         72,182,887       9.27%
                        
U.S. Corporate Notes           
 Face Value   Maturity Date  Name   Yield1          
Aerospace                       
$1,200,000   5/1/16  Lockheed Martin Corporation   7.65%   1,326,848    0.17%
 3,800,000   12/15/16  Rockwell Collins, Inc.   0.62%   3,804,088    0.49%
Automotive                       
 700,000   1/11/16  Daimler Finance North America LLC   1.25%   704,534    0.09%
 2,500,000   9/15/16  Daimler Finance North America LLC   2.63%   2,564,892    0.33%
 6,700,000   3/2/18  Daimler Finance North America LLC   0.68%   6,717,206    0.86%
 7,350,000   1/9/18  Ford Motor Credit Company LLC   1.19%   7,392,008    0.95%
 1,388,000   3/15/16  Nissan Motor Acceptance Corporation   1.00%   1,392,323    0.18%
 1,700,000   9/18/15  Toyota Motor Credit Corporation   0.42%   1,701,187    0.22%
 1,400,000   9/23/16  Toyota Motor Credit Corporation   0.36%   1,399,383    0.18%
 2,000,000   5/23/16  Volkswagen Group of America Finance, LLC   0.48%   1,998,596    0.26%
 500,000   5/23/17  Volkswagen Group of America Finance, LLC   0.63%   499,675    0.06%
 5,000,000   11/20/17  Volkswagen Group of America Finance, LLC   0.70%   4,995,392    0.64%
Banks                       
 2,250,000   4/1/15  Bank of America Corporation   4.50%   2,300,850    0.30%
 3,750,000   3/22/16  Bank of America Corporation   1.08%   3,767,142    0.48%
 1,500,000   3/22/16  Bank of America Corporation   1.08%   1,506,857    0.19%
 1,298,000   3/15/16  BB&T Corporation   3.20%   1,327,174    0.17%
 1,000,000   2/13/17  Capital One Bank   0.76%   1,002,990    0.13%
 1,500,000   11/6/15  Capital One Financial Corporation   1.00%   1,507,849    0.19%
 9,250,000   4/1/16  Citigroup Inc.   1.30%   9,336,858    1.20%
 2,000,000   9/16/15  Comerica Incorporated   3.00%   2,023,260    0.26%
 1,000,000   2/26/16  Fifth Third Bank   0.67%   1,001,957    0.13%
 7,750,000   7/22/15  Goldman Sachs   0.66%   7,761,305    1.00%
 1,000,000   2/7/16  Goldman Sachs   3.63%   1,026,288    0.13%
 400,000   12/15/17  Goldman Sachs   1.07%   401,190    0.05%
 11,150,000   2/26/16  JPMorgan Chase & Co.   0.88%   11,188,268    1.41%
 1,000,000   10/15/15  Morgan Stanley   0.73%   1,002,448    0.13%
 9,725,000   2/9/18  MUFG Americas Holdings Corporation   0.83%   9,762,632    1.25%
 300,000   1/28/16  PNC Bank   0.80%   301,021    0.04%
 2,000,000   4/29/16  PNC Bank, National Association   0.57%   2,001,768    0.26%
 1,158,000   3/7/16  State Street Corporation   2.88%   1,185,136    0.15%
 1,000,000   7/27/15  U.S. Bancorp   2.45%   1,010,810    0.13%
 2,500,000   10/1/15  U.S. Bank National Association   0.32%   2,502,091    0.32%
 1,500,000   7/20/15  Wells Fargo Bank   0.54%   1,502,676    0.19%
 2,000,000   5/16/16  Wells Fargo Bank, National Association   0.47%   1,990,085    0.26%

 

 

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

 

4
 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

March 31, 2015

(Unaudited)

 

      Description  Fair Value  % of Partners’ Capital
(Net Asset Value)
U.S. Corporate Notes (continued)         
Face Value  Maturity Date  Name  Yield1      
Beverages           
$750,000   3/1/17  Anheuser-Busch Companies, LLC   5.60%  $820,573    0.11%
 2,000,000   1/15/16  Anheuser-Busch Inbev Finance Inc.   0.80%   2,010,700    0.26%
 2,000,000   11/15/15  Coca-Cola Company   1.50%   2,025,035    0.26%
Biomedical              
 5,000,000   12/1/16  Gilead Sciences, Inc.   3.05%   5,227,683    0.67%
Building materials                
 300,000   1/15/16  CRH America, Inc.   4.13%   309,258    0.04%

Computer services

               
 3,000,000   2/5/16  IBM   0.33%   3,002,852    0.39%
Diversified financial services            
 1,800,000   9/15/15  American Express Credit Corporation   2.75%   1,819,671    0.23%
 2,000,000   5/9/16  General Electric Capital Corporation   2.95%   2,073,714    0.27%
 1,000,000   7/12/16  General Electric Capital Corporation   0.90%   1,007,880    0.13%
 1,000,000   1/9/17  General Electric Capital Corporation   0.53%   1,002,435    0.13%
Electronics                       
 1,350,000   11/17/15  Honeywell International Inc.   0.31%   1,350,669    0.17%
Energy                       
 1,000,000   8/1/16  Arizona Public Service Company   6.25%   1,082,651    0.14%
 500,000   9/15/16  Dayton Power and Light Company   1.88%   505,932    0.06%
 5,750,000   4/3/17  Duke Energy Corporation   0.64%   5,775,601    0.74%
 1,000,000   8/15/16  Georgia Power Company   0.66%   999,985    0.13%
 3,350,000   12/1/17  Kinder Morgan, Inc.   2.00%   3,368,038    0.43%
 1,000,000   9/1/15  NextEra Energy Capital Holdings, Inc.   2.60%   1,009,075    0.13%
 4,850,000   2/1/16  ONEOK Partners, L.P.   3.25%   4,937,284    0.63%
 800,000   8/15/15  Orange and Rockland Utilities, Inc.   2.50%   806,591    0.10%
 4,778,000   7/15/16  Pioneer Natural Resources Company   5.88%   5,100,050    0.65%
 5,500,000   6/15/16  Spectra Energy Partners, LP   2.95%   5,648,149    0.73%
Healthcare              
 375,000   6/15/16  Becton, Dickinson and Company   0.72%   375,240    0.05%
 3,295,000   9/26/16  Ventas Realty, Limited Partnership   1.55%   3,312,184    0.43%
 4,775,000   4/1/18  Zimmer Holdings, Inc.   2.00%   4,812,945    0.62%
Insurance                
 784,000   10/1/15  American International Group, Inc.   5.05%   820,461    0.11%
 2,700,000   10/18/16  American International Group, Inc.   5.60%   2,947,740    0.38%
 1,254,000   9/30/15  Aon Corporation   3.50%   1,271,127    0.16%
 1,800,000   7/28/16  Jackson National Life Global Funding   0.50%   1,802,237    0.23%
 2,000,000   7/14/16  Metropolitan Life Global Funding I   0.45%   2,003,449    0.26%
 1,000,000   4/10/17  Metropolitan Life Global Funding I   0.63%   1,004,187    0.13%
 309,000   4/10/17  Metropolitan Life Global Funding I   1.30%   312,703    0.04%
 2,500,000   10/5/15  New York Life Global Funding   0.29%   2,501,581    0.32%
 1,000,000   3/1/17  New York Life Global Funding   1.13%   1,004,828    0.13%
 600,000   8/19/15  Pricoa Global Funding I   0.53%   600,637    0.08%
 7,500,000   11/25/16  Pricoa Global Funding I   1.15%   7,553,513    0.97%
 2,498,000   12/1/15  Travelers Companies, Inc.   5.50%   2,624,500    0.34%
Manufacturing                   
 1,000,000   3/3/17  Caterpillar Financial Services Corporation   0.49%   999,296    0.13%
 5,390,000   11/2/15  Eaton Corporation   0.95%   5,420,033    0.70%

 

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

 

5
 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

March 31, 2015

(Unaudited)

 

      Description  Fair Value  % of Partners' Capital
(Net Asset Value)
U.S. Corporate Notes (continued)         
Face Value  Maturity Date  Name  Yield      
Manufacturing (continued)           
$2,400,000   6/15/15  John Deere Capital Corporation   0.39%  $2,400,945    0.31%
Media                       
 2,945,000   4/15/16  NBCUniversal Media, LLC   0.79%   2,947,263    0.38%
Pharmaceuticals                   
 500,000   3/17/17  EMD FIN LLC   0.62%   500,912    0.06%
Retail                       
 2,000,000   3/1/16  Home Depot, Inc.   5.40%   2,096,900    0.27%
 700,000   5/18/16  Walgreens Boots Alliance, Inc.   0.71%   701,631    0.09%
Software                       
 1,400,000   7/7/17  Oracle Corporation   0.45%   1,401,202    0.18%
Telecommunication                    
 2,094,000   8/15/15  AT&T Inc.   2.50%   2,114,792    0.27%
 1,500,000   8/15/16  AT&T Inc.   2.40%   1,530,925    0.20%
 3,000,000   9/3/15  Cisco Systems, Inc.   0.31%   3,001,156    0.39%
 2,150,000   9/15/16  Verizon Communications Inc.   1.80%   2,190,741    0.28%
 1,700,000   11/1/16  Verizon Communications Inc.   2.00%   1,738,993    0.22%
Total U.S. corporate notes (cost: $210,070,089)           209,782,734       26.9%
                        
Foreign Corporate Notes                
 Face Value   Maturity Date  Name   Yield1          
Automotive                       
$4,500,000   11/18/16  Volkswagen International Finance N.V.   0.70%   4,505,006    0.58%
Banks                       
 1,810,000   1/22/16  ABN AMRO Bank NV   1.38%   1,823,060    0.23%
 3,950,000   5/7/15  Australia and New Zealand Banking Group Ltd   0.46%   3,953,149    0.51%
 4,100,000   9/24/15  Bank of Montreal   0.52%   4,104,448    0.53%
 2,000,000   9/11/15  Bank of Tokyo-Mitsubishi UFJ, Ltd.   2.45%   2,018,046    0.26%
 1,000,000   6/28/15  HSBC Bank PLC   3.50%   1,016,302    0.13%
 3,700,000   5/24/16  HSBC Bank PLC   3.10%   3,838,684    0.49%
 5,650,000   9/25/15  ING Bank N.V.   2.00%   5,670,698    0.73%
 1,000,000   3/15/16  ING Bank NV   4.00%   1,029,168    0.13%
 1,500,000   9/1/15  ING Group NV   3.00%   1,517,190    0.19%
 1,500,000   7/27/15  Macquarie Bank Limited   3.45%   1,522,175    0.20%
 2,000,000   12/9/16  National Australia Bank Limited   0.51%   2,001,168    0.26%
 1,200,000   5/13/16  Nordea Bank AB   0.88%   1,206,401    0.15%
 500,000   5/12/16  Standard Chartered PLC   3.20%   517,350    0.07%
 1,250,000   7/18/15  Sumitomo Mitsui Bank   1.35%   1,256,347    0.16%
 1,200,000   1/18/16  Sumitomo Mitsui Bank   0.90%   1,203,718    0.15%
 1,000,000   9/23/16  Svenska Handelsbanken AB   0.73%   1,004,498    0.13%
 5,000,000   5/1/15  Toronto-Dominion Bank   0.44%   5,004,023    0.63%
 2,000,000   9/26/16  UBS AG   0.77%   1,999,652    0.26%
 2,000,000   9/25/15  Westpac Banking Corporation   1.03%   2,007,131    0.26%
Beverages                       
 1,000,000   10/1/15  Heineken N.V.   0.80%   1,004,781    0.13%
Diversified financial services                  
 800,000   1/29/18  Caisse centrale Desjardins   0.92%   801,143    0.10%

 

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

 

6
 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

March 31, 2015

(Unaudited)

 

      Description  Fair Value  % of Partners' Capital
(Net Asset Value)
Foreign Corporate Notes (continued)      
Face Value  Maturity Date  Name  Yield1      
Energy               
$750,000   3/11/16  BP Capital Markets P.L.C.   3.20%  $768,928    0.10%
 4,800,000   5/9/16  CNOOC Finance (2013) Limited   1.13%   4,811,556    0.62%
 8,000,000   6/2/17  Enbridge Inc.   0.71%   7,907,144    1.02%
 1,000,000   1/15/16  TransCanada PipeLines Limited   0.75%   999,933    0.13%
Healthcare                    
 2,550,000   5/29/15  Covidien International Finance S.A.   1.35%   2,565,211    0.33%
Insurance                    
 1,200,000   9/17/15  Manulife Financial Corporation   3.40%   1,216,367    0.16%
Pharmaceuticals                   
 6,790,000   3/12/18  Actavis Funding SCS   1.35%   6,875,206    0.88%
Telcommunication            
 1,275,000   6/22/15  British Telecommunications PLC   2.00%   1,286,038    0.17%
 1,300,000   4/11/16  Deutsche Telekom International Finance B.V.   3.13%   1,347,278    0.17%
 1,000,000   9/16/15  Orange   2.13%   1,006,376    0.13%
 1,000,000   2/16/16  Telefonica Emisiones, S.A.U.   3.99%   1,030,444    0.13%
Transportation                   
 4,500,000   10/28/16  Kansas City Southern de Mexico, SA de CV   0.96%   4,519,229    0.58%
Total foreign corporate notes (cost:  $83,518,559)           83,337,848       10.70%
Total corporate notes (cost:  $293,588,648)         293,120,582       37.63 %
                        
U.S. Asset Backed Securities            
Automotive                
$602,351   10/20/16  Ally Auto Receivables Trust 2014-SN1   0.52%   602,128    0.08%
 525,000   6/15/17  Ally Master Owner Trust   1.21%   525,991    0.07%
 500,000   4/9/18  Americredit Automobile Receivables Trust 2014-4   0.58%   499,699    0.06%
 621,206   1/15/21  ARI Fleet Lease Trust 2012-B   0.47%   620,598    0.08%
 1,000,000   9/15/17  BMW Manufacturing Co., LLC   0.57%   1,002,373    0.13%
 990,000   6/20/17  Capital Auto Receivables Asset Trust 2013-1   0.79%   990,962    0.13%
 1,800,000   2/15/18  CarMax Auto Owner Trust 2014-4   0.67%   1,801,011    0.23%
 250,000   11/15/17  Drive Auto Receivables Trust 2015-A   1.01%   250,066    0.03%
 125,281   3/20/19  Enterprise Fleet Financing, LLC   1.06%   125,561    0.02%
 645,000   3/15/18  Ford Credit Auto Owner Trust 2012-D   0.67%   644,935    0.08%
 2,000,000   8/15/17  Ford Credit Auto Owner Trust 2014-C   0.61%   2,000,392    0.26%
 919,534   5/15/17  Honda Auto Receivables 2013-3 Owner Trust   0.77%   920,612    0.12%
 2,000,000   9/18/17  Honda Auto Receivables 2013-4 Owner Trust   0.69%   2,001,328    0.26%
 700,000   6/15/17  Honda Auto Receivables 2015-1 Owner Trust   0.70%   700,256    0.09%
 1,900,000   11/15/17  Hyundai Auto Lease Securitization Trust 2014-B   0.98%   1,902,570    0.24%
 1,400,000   10/16/17  Hyundai Auto Receivables Trust 2015-A   0.68%   1,399,662    0.18%
 1,100,000   6/15/17  Nissan Auto Receivables 2014-B Owner Trust   0.60%   1,100,033    0.14%
 1,020,792   8/15/17  Santander Drive Auto Receivables Trust 2014-3   0.54%   1,020,453    0.13%
 285,000   4/16/18  Santander Drive Auto Receivables Trust 2014-5   0.57%   284,813    0.04%
 1,390,219   8/21/17  Volkswagen Auto Loan Enhanced Trust 2013-1   0.56%   1,389,697    0.18%
Credit cards                
 1,000,000   1/15/20  BA Credit Card Trust   0.46%   999,435    0.13%
 1,830,000   8/15/18  Barclays Dryrock Issuance Trust   0.64%   1,830,425    0.24%
 1,500,000   11/15/18  Capital One Multi-Asset Execution Trust   0.63%   1,499,979    0.19%

  

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

 

7
 

  

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

March 31, 2015

(Unaudited)

 

      Description  Fair Value  % of Partners' Capital
(Net Asset Value)
U.S. Asset Backed Securities (continued)      
Face Value  Maturity Date  Name  Yield1       
Credit cards (continued)            
$2,000,000   9/16/19  Capital One Multi-Asset Execution Trust   0.96%  $2,004,269    0.26%
 1,030,000   10/16/17  Chase Issuance Trust   0.32%   1,029,428    0.13%
 1,185,000   6/15/18  GE Capital Credit Card Master Note Trust   0.95%   1,186,482    0.15%
Commercial mortgages         
 507,580   5/10/45  Banc of America Commercial Mortgage Trust 2006-2   5.73%   532,461    0.07%
 959,688   4/15/43  J.P. Morgan Chase Commercial Mortgage Securities Corp.   5.48%   985,219    0.13%
 2,000,000   9/15/39  LB-UBS Commercial Mortgage Trust 2006-C6   5.37%   2,105,909    0.26%
Other                    
 1,393,281   8/15/18  CNH Equipment Trust 2013-B   0.69%   1,393,835    0.18%
 500,000   7/20/19  GE Dealer Floorplan Master Note   0.56%   498,663    0.06%
 1,000,000   2/15/18  John Deere Owner Trust 2015   0.87%   1,001,479    0.13%
 400,000   12/15/17  Kubota Credit Owner Trust 2015-1   0.94%   400,423    0.05%
 55,000   8/15/17  Volvo Fin'l Equip LLC Series 2012-1   1.51%   55,170    0.01%
Student loans                
 93,444   5/16/22  Navient Private Ed Loan Trust 2014-A   0.65%   93,388    0.01%
 313,733   8/15/23  SLM Private Ed Loan Trust 2012-C   1.27%   314,752    0.04%
 80,037   8/15/25  SLM Private Education Loan Trust 2012-A   1.57%   80,698    0.01%
 553,509   12/15/21  SLM Private Education Loan Trust 2012-B   1.27%   554,497    0.07%
 427,882   10/16/23  SLM Private Education Loan Trust 2012-E   0.92%   428,370    0.05%
Total U.S. asset backed securities (cost:  $36,786,943)           36,778,022       4.72%
Total investments in securities (cost:  $441,427,360)         $ 440,970,910       56.62%
                        
CERTIFICATES OF DEPOSIT                  
U.S. Certificates of Deposit                
 Face Value   Maturity Date  Name   Yield1          
Banks              
$2,000,000   3/4/16  Barclays Bank PLC   0.88%  $2,003,463    0.26%
 2,500,000   1/28/16  Credit Suisse Group AG   0.68%   2,503,978    0.32%
 2,000,000   5/12/15  Industrial and Commercial Bank of China Ltd   0.72%   2,006,842    0.26%
 3,000,000   9/4/15  Lloyds Bank plc   0.48%   3,010,137    0.38%
 2,000,000   2/26/16  Standard Chartered Bank   0.65%   2,001,872    0.26%
Total U.S. certificates of deposit (cost:  $11,500,000)           11,526,292       1.48%
                        
Foreign Certificates of Deposit                
 Face Value   Maturity Date  Name   Yield1          
Banks                      
$2,000,000   10/23/15  Bank of Nova Scotia   0.51%   2,003,958    0.26%
 2,200,000   5/9/16  Bank of Nova Scotia   0.45%   2,200,803    0.28%
 2,000,000   11/16/15  Canadian Imperial Bank of Commerce   0.36%   2,000,333    0.26%
 2,500,000   9/1/15  Chiba Bank, Ltd.   0.34%   2,501,206    0.32%
 2,000,000   8/3/15  China Construction Bank Corporation   0.69%   2,003,527    0.26%
 3,000,000   7/23/15  Deutsche Bank AG   0.58%   3,003,390    0.38%
 2,000,000   2/19/16  Landesbank Hessen-Thuringen Girozentrale   0.57%   2,002,732    0.26%
 2,000,000   2/13/17  Nordea Bank Finland PLC   0.54%   2,000,985    0.26%
 850,000   2/12/16  Sumitomo Mitsui Bank   0.52%   850,600    0.10%

 

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

8
 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

March 31, 2015

(Unaudited)

 

      Description  Fair Value  % of Partners’ Capital
(Net Asset Value)
Foreign Certificates of Deposit (continued)         
Face Value  Maturity Date  Name  Yield1      
Banks (continued)            
$ 2,000,000   8/17/16   Svenska Handelsbanken AB    0.44%  $2,001,804    0.26%
Total foreign certificates of deposit (cost:  $20,548,010)     20,569,338       1.84%
                            
Total certificates of deposit (cost:  $32,048,010)       $ 32,095,630       3.32%
                            
OPEN FUTURES CONTRACTS               
Long U.S. Futures Contracts               
           Agricultural commodities        $(343,721)   (0.04)%
           Currencies         (77,481)   (0.02)%
           Energy         (400,134)   (0.05)%
           Equity indices         (113,002)   (0.01)%
           Interest rate instruments         7,545,767    0.97%
           Metals         (347,361)   (0.04)%
           Single stock futures         (53,773)   (0.01)%
Net unrealized gain (loss) on open long U.S. futures contracts         6,210,295       0.80%
                            
Short U.S. Futures Contracts               
           Agricultural commodities         4,280,110    0.55%
           Currencies         239,056    0.03%
           Energy         2,485,858    0.32%
           Equity indices         (30,241)   (0.00)%
           Interest rate instruments         (209,808)   (0.03)%
           Metals         (762,034)   (0.10)%
           Single stock futures         (101,967)   (0.01)%
Net unrealized gain (loss) on open short U.S. futures contracts         5,900,974       0.76%
                            
Total U.S. Futures Contracts - Net unrealized gain (loss) on open U.S. futures contracts   12,111,269       1.56%
                            
Long Foreign Futures Contracts               
           Agricultural commodities         (99,715)   (0.01)%
           Currencies         (94,019)   (0.01)%
           Energy         (150)   (0.00)%
           Equity indices         2,581,215    0.33%
           Interest rate instruments         6,528,835    0.84%
           Single stock futures         6,476    0.00%
Net unrealized gain (loss) on open long foreign futures contracts         8,922,642       1.15%
                            
Short Foreign Futures Contracts                  
           Agricultural commodities         57,584    0.01%
           Currencies         44,444    0.01%
           Energy         (75,890)   (0.01)%
           Equity indices         252,735    0.03%
           Interest rate instruments         (459,514)   (0.06)%
           Metals