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EX-31.02 - CERTIFICATION OF CHIEF FINANCIAL OFFICER - FUTURES PORTFOLIO FUND L.P.ex31-02.htm
EX-32.02 - CERTIFICATION OF CHIEF FINANCIAL OFFICER - FUTURES PORTFOLIO FUND L.P.ex32-02.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

 

 

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 June 30, 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

June 30, 2015 (Unaudited) and December 31, 2014

 

   June 30, 2015  December 31, 2014
Assets      
Equity in broker trading accounts      
Cash  $227,661,667   $240,042,950 
Net unrealized gain (loss) on open futures contracts   (3,811,824)   33,424,425 
Net unrealized gain (loss) on open forward currency contracts   (1,708,873)   (1,409,257)
Net unrealized gain (loss) on swap contract   5,453,857    8,071,814 
Total equity in broker trading accounts   227,594,827    280,129,932 
Cash and cash equivalents   22,289,191    29,900,779 
Investments in securities, at fair value   414,472,609    430,462,588 
Certificates of deposit (CDs), at fair value   30,116,236    28,894,203 
General Partner 1% allocation receivable   425,811     
Subscriptions receivable   1,406,754    209,400 
Total assets  $696,305,428   $769,596,902 
           
Liabilities and Partners’ Capital (Net Asset Value)          
Liabilities          
Trading Advisor management fees payable  $1,307,372   $1,212,424 
Trading Advisor incentive fees payable       10,977,066 
Commissions and other trading fees payable on open contracts   132,636    146,411 
Cash Manager fees payable   159,612    111,171 
General Partner management and performance fees payable   828,865    930,656 
General Partner 1% allocation payable       538,285 
Selling Agent fees payable – General Partner   763,346    838,049 
Administrative expenses payable – General Partner   161,823    183,163 
Investment Manager fees payable   84,657    74,621 
Distribution (12b-1) fees payable   2,092    321 
Operating services fee payable   33,863    29,848 
Redemptions payable   9,873,363    10,423,609 
Subscriptions received in advance   5,265,159    2,577,065 
Total liabilities   18,612,788    28,042,689 
Partners’ Capital (Net Asset Value)          
Class A Interests – 104,176.1249 and 106,074.0114 units outstanding at June 30, 2015 and December 31, 2014, respectively   430,435,913    468,243,719 
Class B Interests – 36,861.2004 and 41,522.9665 units outstanding at June 30, 2015 and December 31, 2014, respectively   220,134,000    262,572,733 
Class I Interests – 3,828.4541 and 3,438.9708 units outstanding at June 30, 2015 and December 31, 2014, respectively   3,644,692    3,455,693 
Non-controlling interest   23,478,035    7,282,068 
Total partners’ capital (net asset value)   677,692,640    741,554,213 
Total liabilities and partners’ capital (net asset value)  $696,305,428   $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

June 30, 2015

(Unaudited)

 

        Description  Fair Value  % of Partners' Capital (Net Asset Value)
INVESTMENTS IN SECURITIES         
U.S. Treasury Securities            
  Face Value  Maturity Date  Name  Yield1      
  $10,500,000    7/15/15  U.S. Treasury Note   0.25%  $10,512,530    1.56%
   1,900,000    8/31/15  U.S. Treasury Note   0.38%   1,903,350    0.28%
   3,740,000    11/15/15  U.S. Treasury Note   0.38%   3,745,606    0.55%
   1,415,000    1/31/16  U.S. Treasury Note   2.00%   1,442,002    0.21%
   1,500,000    2/15/16  U.S. Treasury Note   0.38%   1,504,108    0.22%
   1,150,000    5/15/16  U.S. Treasury Note   0.25%   1,149,919    0.17%
  Total U.S. Treasury securities (cost:  $20,252,301)            20,257,515    2.99%
                            
U.S. Government Sponsored Enterprise Notes                    
  Face Value  Maturity Date  Name  Yield1          
  $2,000,000    9/18/15  Federal Home Loan Banks   0.20%   2,001,467    0.30%
  Total U.S. government sponsored entities (cost:  $1,999,600)            2,001,467    0.30%
                            
U.S. Commercial Paper                   
  Face Value  Maturity Date  Name  Yield1          
  Automotive                         
  $1,000,000    7/20/15  Hyundai Capital America   0.25%   999,860    0.15%
   400,000    8/7/15  Nissan Motor Acceptance Corp.   0.36%   399,852    0.06%
   500,000    7/28/15  PACCAR Financial Corp.   0.11%   499,959    0.07%
  Banks                         
   2,200,000    7/2/15  Credit Suisse (USA), Inc.   0.24%   2,199,985    0.31%
   1,800,000    7/24/15  MUFG Union Bank, NA   0.15%   1,799,828    0.27%
   500,000    8/7/15  Standard Chartered Bank   0.23%   499,882    0.07%
   1,700,000    8/10/15  Standard Chartered Bank   0.23%   1,699,566    0.25%
  Beverages                         
   2,100,000    7/8/15  Bacardi U.S.A., Inc.   0.47%   2,099,808    0.31%
   500,000    7/17/15  Brown-Forman Corporation   0.18%   499,960    0.07%
  Diversified financial services                   
   500,000    7/28/15  ABN AMRO Funding USA LLC   0.16%   499,937    0.07%
   1,400,000    7/13/15  Alpine Securities Corporation   0.24%   1,399,888    0.21%
   500,000    8/3/15  American Express Credit Corporation   0.22%   499,899    0.07%
   400,000    7/6/15  AXA Financial, Inc.   0.20%   399,989    0.06%
   1,700,000    8/3/15  AXA Financial, Inc.   0.24%   1,699,626    0.25%
   1,200,000    7/10/15  DCAT, LLC   0.25%   1,199,925    0.18%
   1,700,000    8/3/15  Gotham Funding Corporation   0.18%   1,699,720    0.25%
   2,100,000    8/6/15  ING (U.S.) Funding LLC   0.30%   2,099,382    0.31%
   1,400,000    7/6/15  Intercontinental Exchange, Inc.   0.17%   1,399,967    0.21%
   500,000    7/13/15  Intercontinental Exchange, Inc.   0.17%   499,972    0.07%
   1,800,000    7/22/15  J.P. Morgan Securities LLC   0.18%   1,799,811    0.27%
   1,200,000    7/27/15  Regency Markets No. 1, LLC   0.17%   1,199,853    0.18%
  Energy                         
   400,000    7/9/15  Devon Energy Corporation   0.39%   399,965    0.06%
   2,000,000    7/23/15  Dominion Resources, Inc.   0.40%   1,999,511    0.30%
   400,000    7/9/15  Motiva Enterprises LLC   0.44%   399,961    0.06%
   2,080,000    7/1/15  NextEra Energy Capital Holdings, Inc.   0.00%   2,080,000    0.31%
   2,400,000    7/10/15  Oglethorpe Power Corporation   0.15%   2,399,910    0.36%

 

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

 

2
 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

June 30, 2015

(Unaudited)

 

        Description  Fair Value  % of Partners' Capital (Net Asset Value)
U.S. Commercial Paper (continued)      
  Face Value  Maturity Date  Name  Yield1      
  Energy (continued)               
  $1,400,000    7/10/15  PPL Electric Utilities Corporation   0.38%  $1,399,867    0.21%
   500,000    7/13/15  Sempra Energy Global Enterprises   0.46%   499,923    0.07%
   2,200,000    7/22/15  Southern Company Funding Corp.   0.25%   2,199,679    0.32%
  Healthcare                         
   400,000    7/10/15  Danaher Corporation   0.18%   399,982    0.06%
  Media                         
   500,000    7/8/15  CBS Corporation   0.44%   499,957    0.07%
   1,750,000    7/16/15  CBS Corporation   0.42%   1,749,694    0.26%
  Nonprofit                         
   1,730,000    8/26/15  Catholic Health Initiatives   0.19%   1,729,480    0.26%
  REITS                         
   500,000    7/27/15  Simon Property Group, L.P.   0.15%   499,946    0.07%
  Total U.S. commercial paper (cost:  $41,343,466)          41,354,544    6.10%
                            
Foreign Commercial Paper          
  Face Value  Maturity Date  Name  Yield1          
  Banks                         
  $2,500,000    8/6/15  Agricultural Bank of China Limited   0.17%   2,499,562    0.36%
   2,000,000    9/8/15  Bank of China Limited   0.21%   1,999,200    0.30%
   2,200,000    9/15/15  Bank of Tokyo-Mitsubishi UFJ, Ltd.   0.25%   2,198,839    0.32%
   400,000    8/21/15  DBS Bank Ltd.   0.20%   399,887    0.06%
   3,000,000    2/23/16  DNB Bank ASA   0.43%   2,991,570    0.44%
   400,000    7/24/15  KfW   0.17%   399,957    0.06%
   450,000    1/6/16  Macquarie Bank Limited   -0.26%   450,612    0.07%
   400,000    7/1/15  Nordea Bank AB   0.00%   400,000    0.06%
   1,700,000    7/30/15  Oversea-Chinese Banking Corp. Ltd   0.18%   1,699,754    0.25%
   400,000    8/17/15  Skandinaviska Enskilda Banken AB   0.21%   399,890    0.06%
  Energy                         
   2,500,000    1/8/16  Electricite de France   0.49%   2,493,450    0.37%
   1,000,000    7/13/15  Encana Corporation   0.25%   999,910    0.15%
   500,000    7/16/15  GDF Suez   0.16%   499,967    0.07%
   1,700,000    7/22/15  GDF Suez   0.17%   1,699,831    0.25%
  Insurance                         
   1,700,000    7/20/15  Prudential PLC   0.23%   1,699,794    0.25%
  Telecommunications                    
   1,000,000    3/21/16  Vodafone Group PLC   0.92%   993,280    0.15%
  Total foreign commercial paper (cost:  $21,779,343)            21,825,503    3.22%
  Total commercial paper (cost:  $63,122,809)            63,180,047    9.32%
                            
U.S. Corporate Notes           
  Face Value  Maturity Date  Name  Yield1          
  Advertising                         
  $1,379,000    4/15/16  Omnicom Group Inc.   5.90%   1,446,521    0.21%
  Aerospace                         
   1,200,000    5/1/16  Lockheed Martin Corporation   7.65%   1,282,298    0.19%
   3,800,000    12/15/16  Rockwell Collins, Inc.   0.64%   3,804,114    0.56%

 

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

 

3
 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

June 30, 2015

(Unaudited)

 

        Description  Fair Value  % of Partners' Capital (Net Asset Value)
U.S. Corporate Notes (continued)         
  Face Value  Maturity Date  Name  Yield1      
  Automotive               
  $700,000    1/11/16  Daimler Finance North America LLC   1.25%  $706,187    0.10%
   2,500,000    9/15/16  Daimler Finance North America LLC   2.63%   2,563,423    0.38%
   6,700,000    3/2/18  Daimler Finance North America LLC   0.70%   6,714,518    0.99%
   7,350,000    1/9/18  Ford Motor Credit Company LLC   1.21%   7,370,568    1.09%
   1,200,000    9/15/15  Harley-Davidson Financial Services, Inc.   1.15%   1,204,578    0.18%
   1,388,000    3/15/16  Nissan Motor Acceptance Corporation   1.00%   1,394,530    0.21%
   1,000,000    9/26/16  Nissan Motor Acceptance Corporation   0.98%   1,004,915    0.15%
   1,700,000    9/18/15  Toyota Motor Credit Corporation   0.44%   1,700,504    0.25%
   1,400,000    9/23/16  Toyota Motor Credit Corporation   0.38%   1,400,978    0.21%
   2,000,000    5/23/16  Volkswagen Group of America, Inc.   0.50%   1,999,412    0.30%
   500,000    5/23/17  Volkswagen Group of America, Inc.   0.65%   499,926    0.07%
   5,000,000    11/20/17  Volkswagen Group of America, Inc.   0.72%   5,007,177    0.74%
  Banks                         
   5,250,000    3/22/16  Bank of America Corporation   1.10%   5,270,345    0.78%
   4,250,000    6/15/16  Bank of America, National Association   0.57%   4,235,824    0.63%
   1,298,000    3/15/16  BB&T Corporation   3.20%   1,329,630    0.20%
   1,500,000    11/6/15  Capital One Financial Corporation   1.00%   1,500,028    0.22%
   2,000,000    9/16/15  Comerica Incorporated   3.00%   2,027,434    0.30%
   1,000,000    2/26/16  Fifth Third Bank   0.69%   1,000,608    0.15%
   6,000,000    7/22/15  Goldman Sachs Group, Inc.   0.68%   6,007,887    0.89%
   400,000    12/15/17  Goldman Sachs Group, Inc.   1.09%   400,553    0.06%
   10,000,000    2/26/16  JPMorgan Chase & Co.   0.90%   9,996,049    1.46%
   450,000    11/25/16  KeyBank National Association   0.77%   451,697    0.07%
   1,000,000    10/15/15  Morgan Stanley   0.76%   1,002,216    0.15%
   5,900,000    1/9/17  Morgan Stanley   5.45%   6,406,449    0.95%
   8,125,000    2/9/18  MUFG Americas Holdings Corporation   0.85%   8,153,639    1.18%
   300,000    1/28/16  PNC Bank, National Association   0.80%   301,442    0.04%
   2,000,000    6/1/18  PNC Bank, National Association   0.70%   1,997,403    0.29%
   1,158,000    3/7/16  State Street Corporation   2.88%   1,187,075    0.18%
   1,350,000    2/7/16  The Goldman Sachs Group, Inc.   3.63%   1,388,759    0.20%
   880,000    8/2/16  The Huntington National Bank   1.35%   885,523    0.13%
   1,000,000    7/27/15  U.S. Bancorp   2.45%   1,011,769    0.15%
   2,500,000    10/1/15  U.S. Bank National Association   0.33%   2,502,029    0.37%
   1,500,000    7/20/15  Wells Fargo Bank, National Association   0.56%   1,501,865    0.22%
   2,000,000    5/16/16  Wells Fargo Bank, National Association   0.49%   2,000,988    0.30%
  Beverages                         
   2,000,000    1/15/16  Anheuser-Busch Inbev Finance Inc.   0.80%   2,010,292    0.30%
   2,000,000    11/15/15  Coca-Cola Company   1.50%   2,009,843    0.30%
  Biotechnology                         
   750,000    12/1/16  Gilead Sciences, Inc.   3.05%   772,981    0.11%
  Computers                         
   3,000,000    2/5/16  International Business Machines Corporation   0.35%   3,002,014    0.44%
  Diversified financial services           
   1,800,000    9/15/15  American Express Credit Corporation   2.75%   1,821,541    0.27%
   1,000,000    6/5/17  American Express Credit Corporation   0.55%   995,997    0.15%
   1,500,000    2/13/17  Capital One Bank   0.78%   1,504,136    0.22%

 

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

 

4
 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

June 30, 2015

(Unaudited)

 

        Description  Fair Value  % of Partners' Capital (Net Asset Value)
U.S. Corporate Notes (continued)         
  Face Value  Maturity Date  Name  Yield1      
  Diversified financial services (continued)      
  $2,000,000    5/9/16  General Electric Capital Corporation   2.95%  $2,047,548    0.30%
   1,000,000    7/12/16  General Electric Capital Corporation   0.93%   1,006,532    0.15%
   1,000,000    1/9/17  General Electric Capital Corporation   0.55%   1,002,782    0.15%
   1,240,000    5/27/16  National Rural Utilities Cooperative Finance Corporation   0.53%   1,241,247    0.18%
  Electronics                         
   1,350,000    11/17/15  Honeywell International Inc.   0.33%   1,350,605    0.20%
  Energy                         
   1,000,000    8/1/16  Arizona Public Service Company   6.25%   1,082,408    0.16%
   500,000    9/15/16  Dayton Power and Light Company   1.88%   506,795    0.07%
   5,750,000    4/3/17  Duke Energy Corporation   0.65%   5,772,466    0.85%
   1,350,000    8/10/15  Georgia Power Company   0.75%   1,354,236    0.20%
   1,000,000    8/15/16  Georgia Power Company   0.67%   1,000,380    0.15%
   3,350,000    12/1/17  Kinder Morgan, Inc.   2.00%   3,343,758    0.49%
   1,000,000    9/1/15  NextEra Energy Capital Holdings, Inc.   2.60%   1,011,490    0.15%
   2,000,000    2/1/16  ONEOK Partners, L.P.   3.25%   2,043,043    0.30%
   800,000    8/15/15  Orange and Rockland Utilities, Inc.   2.50%   809,196    0.12%
   4,778,000    7/15/16  Pioneer Natural Resources Company   5.88%   5,141,082    0.76%
   1,500,000    5/15/16  Sierra Pacific Power Company   6.00%   1,580,124    0.23%
   5,500,000    6/15/16  Spectra Energy Partners, LP   2.95%   5,597,961    0.83%
  Healthcare                         
   375,000    6/15/16  Becton, Dickinson and Company   0.74%   375,235    0.06%
   3,295,000    9/26/16  Ventas Realty, Limited Partnership   1.55%   3,322,613    0.49%
   3,775,000    4/1/18  Zimmer Holdings, Inc.   2.00%   3,797,335    0.56%
  Insurance                         
   784,000    10/1/15  American International Group, Inc.   5.05%   801,818    0.12%
   2,700,000    10/18/16  American International Group, Inc.   5.60%   2,890,635    0.43%
   1,254,000    9/30/15  Aon Corporation   3.50%   1,272,521    0.19%
   2,600,000    7/28/16  Jackson National Life Global Funding   0.53%   2,604,289    0.38%
   2,000,000    7/14/16  Metropolitan Life Global Funding I   0.48%   2,003,871    0.30%
   1,000,000    4/10/17  Metropolitan Life Global Funding I   0.65%   1,003,783    0.15%
   309,000    4/10/17  Metropolitan Life Global Funding I   1.30%   310,445    0.05%
   2,500,000    10/5/15  New York Life Global Funding   0.30%   2,501,708    0.37%
   1,000,000    3/1/17  New York Life Global Funding   1.13%   1,002,935    0.15%
   600,000    8/19/15  Pricoa Global Funding I   0.55%   600,473    0.09%
   7,500,000    11/25/16  Pricoa Global Funding I   1.15%   7,508,625    1.10%
   2,498,000    12/1/15  Travelers Companies, Inc.   5.50%   2,559,936    0.38%
  Manufacturing                         
   1,000,000    3/3/17  Caterpillar Financial Services Corporation   0.51%   1,001,299    0.15%
   1,140,000    11/2/15  Eaton Corporation   0.95%   1,142,653    0.17%
  Media                         
   2,945,000    4/15/16  NBCUniversal Media, LLC   0.81%   2,948,055    0.44%
  Pharmaceutical                         
   7,775,000    5/14/18  AbbVie Inc.   1.80%   7,778,032    1.15%
   500,000    3/17/17  EMD Finance LLC   0.63%   499,673    0.07%
  Retail                         
   2,000,000    3/1/16  Home Depot, Inc.   5.40%   2,099,152    0.31%
   700,000    5/18/16  Walgreens Boots Alliance, Inc.   0.73%   700,513    0.10%

 

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

 

5
 

 
Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

June 30, 2015 

(Unaudited)

 

        Description  Fair Value  % of Partners' Capital (Net Asset Value)
U.S. Corporate Notes (continued)         
  Face Value  Maturity Date  Name  Yield1      
  Semiconductor               
  $750,000    5/18/18  QUALCOMM Incorporated   0.55%  $751,528    0.11%
  Software                         
   1,400,000    7/7/17  Oracle Corporation   0.47%   1,400,156    0.21%
  Telecommunication                    
   2,094,000    8/15/15  AT&T Inc.   2.50%   2,117,713    0.31%
   1,500,000    8/15/16  AT&T Inc.   2.40%   1,536,175    0.23%
   3,000,000    9/3/15  Cisco Systems, Inc.   0.33%   3,000,461    0.44%
   2,150,000    9/15/16  Verizon Communications, Inc.   1.82%   2,183,125    0.32%
   1,700,000    11/1/16  Verizon Communications, Inc.   2.00%   1,722,854    0.25%
   4,800,000    6/9/17  Verizon Communications, Inc.   0.68%   4,797,198    0.71%
  Total U.S. corporate notes (cost: $213,531,271)            212,902,127    31.42%
                            
Foreign Corporate Notes                      
  Face Value  Maturity Date  Name  Yield1          
  Automotive                         
  $1,810,000    1/22/16  ABN AMRO Bank N.V.   1.38%   1,826,221    0.27%
   4,100,000    9/24/15  Bank of Montreal   0.53%   4,102,241    0.61%
   2,000,000    9/11/15  Bank of Tokyo-Mitsubishi UFJ, Ltd.   2.45%   2,021,034    0.30%
   8,000,000    4/27/18  Credit Suisse AG   0.96%   8,002,226    1.16%
   3,700,000    5/24/16  HSBC Bank PLC   3.10%   3,786,928    0.56%
   1,000,000    3/15/16  ING Bank N.V.   4.00%   1,033,158    0.15%
   1,500,000    9/1/15  ING Groep N.V.   3.00%   1,520,070    0.22%
   1,500,000    7/27/15  Macquarie Bank Limited   3.45%   1,525,138    0.23%
   2,000,000    12/9/16  National Australia Bank Limited   0.53%   2,002,167    0.30%
   1,950,000    5/13/16  Nordea Bank AB   0.88%   1,956,637    0.29%
   500,000    5/12/16  Standard Chartered PLC   3.20%   511,241    0.08%
   1,250,000    7/18/15  Sumitomo Mitsui Bank   1.35%   1,257,844    0.19%
   1,200,000    1/18/16  Sumitomo Mitsui Bank   0.90%   1,205,762    0.18%
   1,000,000    9/23/16  Svenska Handelsbanken AB   0.75%   1,003,493    0.15%
   2,000,000    9/26/16  UBS AG   0.78%   2,001,625    0.30%
   4,750,000    6/1/17  UBS AG   0.84%   4,745,736    0.70%
   2,000,000    9/25/15  Westpac Banking Corporation   1.04%   2,003,739    0.30%
  Beverages                         
   1,000,000    10/1/15  Heineken N.V.   0.80%   1,002,291    0.15%
  Diversified financial services                     
   800,000    1/29/18  Caisse centrale Desjardins   0.94%   804,663    0.12%
  Energy                         
   750,000    3/11/16  BP Capital Markets P.L.C.   3.20%   770,083    0.11%
   4,800,000    5/9/16  CNOOC Finance (2013) Limited   1.13%   4,798,200    0.71%
   1,000,000    1/15/16  TransCanada PipeLines Limited   0.75%   1,002,918    0.15%
  Insurance                         
   1,200,000    9/17/15  Manulife Financial Corporation   3.40%   1,217,931    0.18%
  Pharmaceuticals                         
   1,000,000    9/1/16  Actavis Funding SCS   1.16%   1,002,665    0.15%
   6,790,000    3/12/18  Actavis Funding SCS   1.37%   6,820,704    0.99%

 

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

 

6
 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

June 30, 2015

(Unaudited)

 

        Description  Fair Value  % of Partners' Capital (Net Asset Value)
Foreign Corporate Notes (continued)      
  Face Value  Maturity Date  Name  Yield1      
  Telecommunication            
  $1,300,000    4/11/16  Deutsche Telekom International Finance B.V.   3.13%  $1,331,138    0.20%
   1,000,000    9/16/15  Orange   2.13%   1,008,561    0.15%
   1,000,000    2/16/16  Telefonica Emisiones, S.A.U.   3.99%   1,032,161    0.15%
  Transportation                         
   4,500,000    10/28/16  Kansas City Southern de Mexico, SA de CV   0.98%   4,499,282    0.66%
  Total foreign corporate notes (cost: $65,947,213)            65,795,857    9.71%
  Total corporate notes (cost: $279,478,484)            278,697,984    41.13%
                            
U.S. Asset Backed Securities                   
  Automotive                         
  $374,799    10/20/16  Ally Auto Receivables Trust 2014-SN1   0.52%   374,731    0.06%
   482,991    4/9/18  Americredit Automobile Receivables Trust 2014-4   0.58%   482,780    0.07%
   471,625    1/15/21  ARI Fleet Lease Trust 2012-B   0.49%   471,208    0.07%
   500,000    4/16/18  Bank of the West Auto Trust 2015-1   0.87%   500,013    0.07%
   1,000,000    9/15/17  BMW Manufacturing Co., LLC   0.59%   1,000,655    0.15%
   722,997    6/20/17  Capital Auto Receivables Asset Trust 2013-1   0.79%   723,583    0.11%
   475,000    10/20/17  Capital Auto Receivables Asset Trust 2015-2   0.59%   474,205    0.07%
   1,668,566    2/15/18  CarMax Auto Owner Trust 2014-4   0.67%   1,667,903    0.25%
   1,200,000    6/15/18  CarMax Auto Owner Trust 2015-2   0.82%   1,201,214    0.18%
   250,000    11/15/17  Drive Auto Receivables Trust 2015-A   1.01%   250,235    0.04%
   400,000    12/15/17  Drive Auto Receivables Trust 2015-B   0.93%   399,985    0.06%
   99,960    3/20/19  Enterprise Fleet Financing, LLC   1.06%   100,155    0.01%
   645,000    3/15/18  Ford Credit Auto Owner Trust 2012-D   0.67%   644,741    0.10%
   1,758,439    8/15/17  Ford Credit Auto Owner Trust 2014-C   0.61%   1,758,988    0.26%
   1,500,000    3/15/18  Ford Credit Auto Owner Trust 2015-B   0.72%   1,499,822    0.22%
   500,000    7/20/19  GE Dealer Floorplan Master Not   0.57%   498,051    0.07%
   1,300,000    1/15/19  Harley-Davidson Motorcycle Trust 2015-2   0.80%   1,300,543    0.19%
   704,871    5/15/17  Honda Auto Receivables 2013-3 Owner Trust   0.77%   705,648    0.10%
   3,966,140    9/18/17  Honda Auto Receivables 2013-4 Owner Trust   0.69%   3,964,264    0.58%
   700,000    6/15/17  Honda Auto Receivables 2015-1 Owner Trust   0.70%   700,029    0.10%
   1,900,000    11/15/17  Hyundai Auto Lease Securitization Trust 2014-B   0.98%   1,901,601    0.28%
   1,400,000    10/16/17  Hyundai Auto Receivables Trust 2015-A   0.68%   1,401,297    0.21%
   1,800,000    11/15/17  Nissan Auto Lease Trust 2015-A   0.54%   1,800,188    0.27%
   948,042    8/15/18  Nissan Auto Receivables 2013-C Owner Trust   0.67%   947,680    0.14%
   1,100,000    6/15/17  Nissan Auto Receivables 2014-B Owner Trust   0.60%   1,099,826    0.16%
   1,129,000    9/15/17  Nissan Auto Receivables 2015-A Owner Trust   0.67%   1,128,419    0.17%
   611,925    8/15/17  Santander Drive Auto Receivables Trust 2014-3   0.54%   611,590    0.09%
   231,510    4/16/18  Santander Drive Auto Receivables Trust 2014-5   0.59%   231,390    0.03%
   1,066,165    8/21/17  Volkswagen Auto Loan Enhanced Trust 2013-1   0.56%   1,065,063    0.16%
  Commercial mortgage                      
   484,476    5/10/45  Banc of America Commercial Mortgage Trust 2006-2   5.92%   501,409    0.07%
   1,100,000    10/15/49  Citigroup Commercial Mortgage Trust 2006-C5   5.43%   1,144,984    0.17%
   723,372    4/15/43  J.P. Morgan Chase Commercial Mortgage Securities Corp.   5.48%   737,136    0.11%
   2,000,000    9/15/39  LB-UBS Commercial Mortgage Trust 2006-C6   5.37%   2,080,809    0.31%
   467,442    2/12/44  Morgan Stanley Capital I Trust 2007-HQ11   0.32%   463,244    0.07%

 

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

 

7
 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

June 30, 2015

(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   0.47%  $999,551    0.15%
   1,830,000    8/15/18  Barclays Dryrock Issuance Trust   0.64%   1,830,802    0.27%
   1,500,000    11/15/18  Capital One Multi-Asset Execution Trust   0.63%   1,500,668    0.22%
   2,000,000    9/16/19  Capital One Multi-Asset Execution Trust   0.96%   2,000,551    0.30%
   280,000    10/16/17  Chase Issuance Trust   0.34%   279,955    0.04%
   2,000,000    9/7/18  Citibank Credit Card Issuance Trust   1.32%   2,018,430    0.30%
   1,500,000    2/22/19  Citibank Credit Card Issuance Trust   1.02%   1,504,788    0.22%
   2,500,000    9/15/17  Golden Credit Card Trust   0.79%   2,501,985    0.36%
  Other                         
   1,340,681    8/15/18  CNH Equipment Trust 2013-B   0.69%   1,339,097    0.20%
   1,000,000    2/15/18  John Deere Owner Trust 2015   0.87%   1,002,067    0.15%
   400,000    12/15/17  Kubota Credit Owner Trust 2015-1   0.94%   400,599    0.06%
   31,195    8/15/17  Volvo Finl Equip LLC Series 2012-1   1.51%   31,238    0.00%
  Student loans                    
   77,759    5/16/22  Navient Private Education Loan Trust 2014-A   0.67%   77,746    0.01%
   68,952    8/15/25  SLM Private Education Loan Trust 2012-A   1.59%   69,544    0.01%
   328,616    12/15/21  SLM Private Education Loan Trust 2012-B   1.29%   329,201    0.05%
   251,179    8/15/23  SLM Private Education Loan Trust 2012-C   1.29%   252,176    0.04%
   362,860    10/16/23  SLM Private Education Loan Trust 2012-E   0.94%   363,809    0.05%
  Total U.S. asset backed securities (cost:  $50,382,416)            50,335,596    7.43%
Total investments in securities (cost:  $415,235,610)           $414,472,609    61.17%
                            
CERTIFICATES OF DEPOSIT                  
U.S. Certificates of Deposit                 
  Face Value  Maturity Date  Name   Yield1           
  Banks                         
  $2,000,000    3/4/16  Barclays Bank PLC (NY Branch)   0.88%  $2,009,133    0.30%
   2,500,000    1/28/16  Credit Suisse Group AG (NY Branch)   0.68%   2,509,900    0.37%
   3,000,000    9/4/15  Lloyds Bank plc (NY Branch)   0.48%   3,013,423    0.43%
   2,000,000    2/26/16  Standard Chartered Bank   0.65%   2,006,118    0.30%
   850,000    2/12/16  Sumitomo Mitsui Bank (NY Branch)   0.52%   851,865    0.13%
  Total U.S. certificates of deposit (cost:  $10,350,000)            10,390,439    1.53%
                            
Foreign Certificates of Deposit                  
  Face Value  Maturity Date  Name   Yield1           
  Banks                        
  $2,000,000    10/23/15  Bank of Nova Scotia   0.53%  $2,003,131    0.30%
   2,200,000    5/9/16  Bank of Nova Scotia   0.47%   2,200,949    0.32%
   2,000,000    11/16/15  Canadian Imperial Bank of Commerce   0.38%   2,000,453    0.30%
   2,500,000    9/1/15  Chiba Bank, Ltd.   0.34%   2,503,062    0.36%
   2,000,000    8/3/15  China Construction Bank Corporation   0.69%   2,006,495    0.30%
   3,000,000    7/23/15  Deutsche Bank AG   0.60%   3,003,404    0.43%
   2,000,000    2/19/16  Landesbank Hessen-Thuringen Girozentrale   0.57%   2,005,473    0.30%

 

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

 

8
 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

June 30, 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     2/13/17   Nordea Bank Finland PLC     0.56 %   $ 2,001,115       0.30 %
    2,000,000     8/17/16   Svenska Handelsbanken AB     0.46 %     2,001,715       0.30 %
Total foreign certificates of deposit (cost:  $19,698,010)             19,725,797       2.91 %
                                         
Total certificates of deposit (cost:  $30,048,010)           $ 30,116,236       4.44 %
                                         
OPEN FUTURES CONTRACTS                        
Long U.S. Futures Contracts                        
                Agricultural commodities           $ 2,964,889       0.44 %
                Currencies             131,437       0.02 %
                Energy             (6,184 )     (0.00 )%
                Equity indices             (1,763,814 )     (0.26 )%
                Interest rate instruments             1,790,184       0.26 %
                Metals2             (13,902,741 )     (2.06 )%
                Single stock futures             (297,548 )     (0.04 )%
Net unrealized gain (loss) on open long U.S. futures contracts             (11,083,777 )     (1.64 )%
                                         
Short U.S. Futures Contracts                        
                Agricultural commodities             (5,350,644 )     (0.79 )%
                Currencies             (209,074 )     (0.03 )%
                Energy             (444,693 )     (0.07 )%
                Equity indices             (115,316 )     (0.02 )%
                Interest rate instruments             (219,830 )     (0.03 )%
                Metals2             15,321,141       2.27 %
                Single stock futures             408,478       0.06 %
Net unrealized gain (loss) on open short U.S. futures contracts             9,390,062       1.39 %
                                         
Total U.S. Futures Contracts - Net unrealized gain (loss) on open U.S. futures contracts           (1,693,715 )     (0.25 )%
                                         
Long Foreign Futures Contracts                        
                Agricultural commodities             460,742       0.07 %
                Currencies             (81,311 )     (0.01 )%
                Energy             (5,527 )     (0.00 )%
                Equity indices             (3,427,635 )     (0.51 )%
                Interest rate instruments             274,903       0.04 %
                Metals             (12,049 )     (0.00 )%
                Single stock futures             56       0.00 %
Net unrealized gain (loss) on open long foreign futures contracts             (2,790,821 )     (0.41 )%

 

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

 

9
 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

June 30, 2015

(Unaudited)

 

        Description   Fair Value   % of Partners' Capital (Net Asset Value)
Short Foreign Futures Contracts        
            Agricultural commodities   $ (7,049 )   (0.00 )%
            Currencies     274,366     0.04 %
            Energy     (15,407 )   (0.00 )%
            Equity indices     858,133     0.13 %
            Interest rate instruments     (443,686 )   (0.07 )%
            Metals     6,355     0.00 %
Net unrealized gain (loss) on open short foreign futures contracts   672,712     0.10 %
                           
Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts   (2,118,109 )   (0.31 )%
                         
Net unrealized gain (loss) on open futures contracts   $ (3,811,824 )   (0.56 )%
                           
OPEN FORWARD CURRENCY CONTRACTS              
U.S. Forward Currency Contracts              
            Long   $ (2,454,673 )   (0.37 )%
            Short     170,994     0.03 %
Net unrealized gain (loss) on open U.S. forward currency contracts     (2,283,679 )   (0.34 )%
                           
Foreign Forward Currency Contracts              
            Long     (230,013 )   (0.03 )%
            Short     804,819     0.11 %
Net unrealized gain (loss) on open foreign forward currency contracts     574,806     0.08 %
                           
Net unrealized gain (loss) on open forward currency contracts   $ (1,708,873 )   (0.26 )%
                           
TOTAL RETURN SWAP CONTRACT              
      Termination Date     Counterparty              
      4 /1/19   Deutsche Bank, AG   $ 5,453,857     0.80 %

 

Comprised of a proprietary basket of Commodity Trading Advisor’s (“CTA”) programs investing in various futures, forwards and currency derivative contracts and other similar investments. See Notes 2 and 3.

 

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.

 

10
 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments

December 31, 2014

 

        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    2/28/15  U.S. Treasury Note   2.38%  $1,021,339    0.14%
   5,000,000    4/30/15  U.S. Treasury Note   0.13%   5,002,240    0.67%
   1,000,000    4/30/15  U.S. Treasury Note   2.50%   1,012,092    0.14%
   5,500,000    5/31/15  U.S. Treasury Note   0.25%   5,504,646    0.74%
   1,520,000    5/31/15  U.S. Treasury Note   2.13%   1,535,364    0.21%
   10,500,000    7/15/15  U.S. Treasury Note   0.25%   10,519,056    1.41%
   3,400,000    8/31/15  U.S. Treasury Note   0.38%   3,408,446    0.46%
   3,320,000    11/15/15  U.S. Treasury Note   0.38%   3,324,737    0.45%
   3,000,000    11/30/15  U.S. Treasury Note   1.38%   3,033,626    0.41%
   3,000,000    1/15/16  U.S. Treasury Note   0.38%   3,007,072    0.41%
   2,000,000    7/15/16  U.S. Treasury Note   0.63%   2,009,680    0.27%
  Total U.S. Treasury securities (cost:  $39,423,113)            39,378,298    5.31%
                            
U.S. Government Sponsored Enterprise Notes                 
  Face Value  Maturity Date  Name   Yield1           
  $2,000,000    9/18/15  Federal Home Loan Banks   0.20%   2,000,951    0.27%
  Total U.S. government sponsored entities (cost:  $1,999,600)            2,000,951    0.27%
                            
U.S. Commercial Paper                      
  Face Value  Maturity Date  Name   Yield1           
  Automotive                         
  $400,000    1/15/15  Nissan Motor Acceptance Corporation   0.33%   399,948    0.05%
  Banks                         
   1,800,000    5/1/15  Credit Suisse (USA), Inc.   0.30%   1,798,200    0.24%
   400,000    1/22/15  HSBC Bank USA, National Association   0.15%   399,965    0.05%
   1,200,000    2/27/15  Manhattan Asset Funding Company LLC   0.21%   1,199,601    0.16%
   1,300,000    1/23/15  Mizuho Funding LLC   0.17%   1,299,865    0.18%
   500,000    2/6/15  MUFG Union Bank, National Association   0.18%   499,910    0.07%
   1,800,000    2/9/15  Standard Chartered Bank   0.20%   1,799,610    0.24%
   500,000    2/17/15  Standard Chartered Bank   0.19%   499,876    0.07%
   1,800,000    1/26/15  Sumitomo Mitsui Banking Corporation   0.17%   1,799,787    0.24%
   530,000    3/31/15  Sumitomo Mitsui Banking Corporation   0.23%   529,699    0.07%
  Beverages                         
   2,000,000    1/7/15  Bacardi Corporation   0.33%   1,999,890    0.28%
   400,000    1/6/15  Brown-Forman Corporation   0.18%   399,990    0.05%
  Diversified financial services                   
   500,000    7/28/15  ABN AMRO Funding USA LLC   0.35%   498,987    0.07%
   300,000    1/29/15  AXA Financial, Inc.   0.23%   299,946    0.04%
   1,800,000    2/17/15  AXA Financial, Inc.   0.21%   1,799,507    0.24%
   1,450,000    2/2/15  DCAT, LLC   0.26%   1,449,665    0.20%
   1,800,000    1/20/15  Gotham Funding Corporation   0.17%   1,799,839    0.24%
   300,000    2/17/15  ING (U.S.) Funding LLC   0.18%   299,930    0.04%
   200,000    3/16/15  ING (U.S.) Funding LLC   0.22%   199,910    0.03%

 

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, 2014

 

        Description  Fair Value  % of Partners' Capital (Net Asset Value)
U.S. Commercial Paper (continued)      
  Face Value  Maturity Date  Name  Yield1      
  Diversified financial services (continued)      
  $1,700,000    1/13/15  Liberty Street Funding LLC   0.17%  $1,699,904    0.23%
   1,800,000    1/28/15  National Rural Utilities Cooperative Finance Corp.   0.15%   1,799,798    0.24%
   500,000    2/4/15  National Rural Utilities Cooperative Finance Corp.   0.14%   499,934    0.07%
  Energy                         
   400,000    1/8/15  Apache Corporation   0.40%   399,969    0.05%
   1,800,000    1/9/15  Apache Corporation   0.41%   1,799,836    0.24%
   1,200,000    1/21/15  Dominion Resources, Inc.   0.37%   1,199,753    0.16%
   1,500,000    1/6/15  Duke Energy Corporation   0.32%   1,499,933    0.20%
   400,000    1/12/15  Duke Energy Corporation   0.34%   399,958    0.05%
   400,000    1/5/15  Enterprise Products Operating LLC   0.67%   399,970    0.05%
   1,700,000    1/6/15  Enterprise Products Operating LLC   0.52%   1,699,877    0.23%
   1,600,000    1/5/15  ONEOK Partners, L.P.   0.38%   1,599,932    0.22%
   500,000    1/9/15  ONEOK Partners, L.P.   0.43%   499,952    0.07%
   2,000,000    1/5/15  Questar Corporation   0.15%   1,999,967    0.28%
   500,000    1/6/15  Southern Company Funding Corporation   0.25%   499,983    0.07%
   1,500,000    1/7/15  Southern Company Funding Corporation   0.20%   1,499,950    0.20%
  Food                         
   1,500,000    1/21/15  General Mills, Inc.   0.42%   1,499,650    0.20%
  Media                         
   2,000,000    1/5/15  CBS Corporation   0.40%   1,999,911    0.27%
  Total U.S. commercial paper (cost:  $39,963,544)            39,972,402    5.39%
                            
Foreign Commercial Paper                   
  Face Value  Maturity Date  Name   Yield1           
  Banks                         
  $2,100,000    1/30/15  Bank of Tokyo-Mitsubishi UFJ, Ltd.   0.17%   2,099,711    0.28%
   1,500,000    1/6/16  Macquarie Bank Limited   0.77%   1,488,120    0.20%
   2,500,000    1/13/15  Nordea Bank AB   0.13%   2,499,892    0.34%
   500,000    2/6/15  Skandinaviska Enskilda Banken AB   0.20%   499,900    0.07%
  Consumer products                      
   3,000,000    4/21/15  Reckitt Benckiser Treasury Services PLC   0.19%   2,998,243