FUTURES PORTFOLIO FUND L.P. - FORM 10-Q - November 13, 2015

Attached files

file filename
EX-32.01 - CERTIFICATION OF CHIEF EXECUTIVE OFFICER - FUTURES PORTFOLIO FUND L.P.ex32-01.htm
EX-32.02 - CERTIFICATION OF CHIEF FINANCIAL OFFICER - FUTURES PORTFOLIO FUND L.P.ex32-02.htm
EX-31.02 - CERTIFICATION OF CHIEF FINANCIAL OFFICER - FUTURES PORTFOLIO FUND L.P.ex31-02.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 September 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

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

 

    September 30
2015		   December 31
2014
Assets        
Equity in broker trading accounts        
Cash   $ 219,383,090     $ 240,042,950  
Net unrealized gain (loss) on open futures contracts     25,373,767       33,424,425  
Net unrealized gain (loss) on open forward currency contracts     (3,329,881 )     (1,409,257 )
Net unrealized gain (loss) on swap contract     3,770,272       8,071,814  
Total equity in broker trading accounts     245,197,248       280,129,932  
Cash and cash equivalents     22,314,225       29,900,779  
Investments in securities, at fair value     400,617,643       430,462,588  
Certificates of deposit (CDs), at fair value     21,338,628       28,894,203  
General Partner 1% allocation receivable     194,789       —  
Subscriptions receivable     65,744       209,400  
Total assets   $ 689,728,277     $ 769,596,902  
                 
Liabilities and Partners’ Capital (Net Asset Value)                
Liabilities                
Trading Advisor management fees payable   $ 919,050     $ 1,212,424  
Trading Advisor incentive fees payable     —       10,977,066  
Commissions and other trading fees payable on open contracts     133,965       146,411  
Cash Manager fees payable     110,823       111,171  
General Partner management and performance fees payable     823,763       930,656  
General Partner 1% allocation payable     —       538,285  
Selling Agent fees payable – General Partner     769,398       838,049  
Administrative expenses payable – General Partner     168,779       183,163  
Investment Manager fees payable     82,283       74,621  
Distribution (12b-1) fees payable     2,226       321  
Operating services fee payable     33,186       29,848  
Redemptions payable     6,651,013       10,423,609  
Subscriptions received in advance     1,485,667       2,577,065  
Total liabilities     11,180,153       28,042,689  
Partners’ Capital (Net Asset Value)                
Class A Interests – 101,640.9859 and 106,074.0114 units outstanding
at September 30, 2015 and December 31, 2014, respectively		     434,032,029       468,243,719  
Class B Interests – 34,648.8443 and 41,522.9665 units outstanding
at September 30, 2015 and December 31, 2014, respectively		     214,793,864       262,572,733  
Class I Interests – 3,828.4541 and 3,438.9708 units outstanding
at September 30, 2015 and December 31, 2014, respectively		     3,793,280       3,455,693  
Non-controlling interest     25,928,951       7,282,068  
Total partners’ capital (net asset value)     678,548,124       741,554,213  
Total liabilities and partners’ capital (net asset value)   $ 689,728,277     $ 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

September 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      
  $740,000    11/15/15  U.S. Treasury Note   0.38%  $741,308   0.11%
   1,415,000    1/31/16  U.S. Treasury Note   2.00%   1,428,725    0.21%
   1,500,000    2/15/16  U.S. Treasury Note   0.38%   1,502,248    0.22%
   1,150,000    5/15/16  U.S. Treasury Note   0.25%   1,151,178    0.17%
   2,800,000    11/15/15  U.S. Treasury Note   0.38%   2,804,946    0.41%
   10,500,000    1/15/16  U.S. Treasury Note   0.38%   10,517,376    1.55%
   1,750,000    3/15/16  U.S. Treasury Note   0.38%   1,752,073    0.26%
   3,000,000    10/31/16  U.S. Treasury Note   1.00%   3,031,772    0.45%
  Total U.S. Treasury securities (cost: $22,934,506)          22,929,626    3.38%
                            
U.S. Commercial Paper                  
  Face Value   Maturity Date   Name  Yield1          
  Aerospace                         
  $400,000    11/20/15  United Technologies Corporation   0.25%   399,861    0.06%
  Automotive                         
   400,000    10/28/15  Nissan Motor Acceptance Corporation   0.37%   399,889    0.06%
  Banks                         
   2,100,000    12/2/15  ING (U.S.) Funding LLC   0.32%   2,098,843    0.31%
   1,300,000    10/9/15  Manhattan Asset Funding Company LLC   0.20%   1,299,942    0.19%
  Beverages                         
   2,130,000    10/7/15  Bacardi Corporation   0.45%   2,129,840    0.31%
   400,000    10/9/15  Brown-Forman Corporation   0.22%   399,980    0.06%
  Computers                         
   500,000    10/1/15  EMC Corporation   0.31%   500,000    0.08%
  Diversified financial services                  
   1,700,000    11/4/15  AXA Financial, Inc.   0.27%   1,699,567    0.25%
   1,700,000    10/7/15  DCAT, LLC   0.37%   1,699,895    0.25%
   1,700,000    10/6/15  Gotham Funding Corporation   0.19%   1,699,955    0.25%
   500,000    10/16/15  Intercontinental Exchange, Inc.   0.20%   499,958    0.07%
   1,400,000    11/10/15  Intercontinental Exchange, Inc.   0.25%   1,399,611    0.21%
  Energy                         
   2,100,000    10/6/15  Dominion Resources, Inc.   0.48%   2,099,863    0.31%
   500,000    10/6/15  Duke Energy Corporation   0.40%   499,972    0.07%
   500,000    11/6/15  Emerson Electric Co.   0.22%   499,890    0.07%
   2,300,000    10/8/15  Enterprise Products Operating LLC   0.47%   2,299,790    0.35%
   1,900,000    10/9/15  Oglethorpe Power Corporation   0.20%   1,899,916    0.28%
   2,100,000    10/16/15  Questar Corporation   0.14%   2,099,877    0.31%
   1,500,000    10/2/15  Sempra Energy Global Enterprises   0.46%   1,499,981    0.22%
   500,000    10/13/15  Sempra Energy Global Enterprises   0.47%   499,922    0.07%
   2,200,000    10/9/15  Southern Company Funding Corporation   0.44%   2,199,785    0.32%
  Food                         
   500,000    10/1/15  Sysco Corporation   0.28%   500,000    0.08%
  Investment companies                 
   1,400,000    10/1/15  Alpine Securities Corporation   0.00%   1,400,000    0.21%
  Manufacturing                         
   500,000    11/23/15  Caterpillar Financial Services Corporation   0.17%   499,875    0.07%
  Media                         
   1,700,000    10/22/15  CBS Corporation   0.40%   1,699,603    0.25%

 

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, 2015

(Unaudited)

 

        Description  Fair Value  % of Partners’ Capital (Net Asset Value)
U.S. Commercial Paper (continued)      
  Face Value  Maturity Date  Name  Yield1      
  Non-profit               
  $1,730,000    10/26/15  Catholic Health Initiatives   0.33%  $1,729,604   0.25%
  Total U.S. commercial paper (cost: $33,646,911)         33,655,419    4.96%
                            
Foreign Commercial Paper                  
  Face Value  Maturity Date  Name  Yield1          
  Banks                        
  $2,200,000    11/3/15  Bank of Tokyo-Mitsubishi UFJ, Ltd.   0.25%   2,199,497    0.31%
   2,000,000    12/3/15  DBS Bank Ltd.   0.30%   1,998,950    0.29%
   3,000,000    2/23/16  DNB Bank ASA   0.54%   2,995,389    0.45%
   400,000    10/23/15  Kreditanstalt Fur Wiederaufbau ADOR   0.22%   399,946    0.06%
   450,000    1/6/16  Macquarie Bank Limited   0.60%   450,408    0.07%
   400,000    11/25/15  Mizuho Bank, Ltd.   0.32%   399,804    0.06%
   400,000    10/22/15  Nordea Bank AB   0.24%   399,944    0.06%
   1,700,000    10/8/15  Oversea-Chinese Banking Corp. Ltd   0.20%   1,699,934    0.25%
   2,000,000    10/14/15  Sumitomo Mitsui Bank   0.27%   1,999,805    0.29%
  Energy                        
   2,500,000    1/8/16  Electricite de France   0.73%   2,497,917    0.38%
   1,600,000    10/13/15  Engie   0.24%   1,599,872    0.24%
   500,000    11/30/15  Engie   0.29%   499,758    0.07%
   400,000    11/4/15  Total Capital Canada Ltd.   0.20%   399,924    0.06%
  Insurance                        
   1,700,000    10/19/15  Prudential Public Limited Company   0.23%   1,699,805    0.25%
   500,000    11/9/15  Prudential Public Limited Company   0.19%   499,897    0.07%
  Manufacturing                    
   400,000    10/20/15  John Deere Financial Limited   0.19%   399,960    0.06%
  Telecommunications                   
   500,000    10/19/15  Telstra Corporation Limited   0.25%   499,937    0.07%
   600,000    11/24/15  Telstra Corporation Limited   0.30%   599,730    0.09%
   1,000,000    3/21/16  Vodafone Group Public Limited Company   0.93%   996,213    0.15%
  Total foreign commercial paper (cost: $22,194,102)        22,236,690    3.28%
  Total commercial paper (cost: $55,841,013)        55,892,109    8.24%
                            
U.S. Corporate Notes                 
  Face Value  Maturity Date  Name  Yield1          
  Advertising                        
  $2,379,000    4/15/16  Omnicom Group Inc.   5.90%   2,501,885    0.37%
  Aerospace                        
   1,200,000    5/1/16  Lockheed Martin Corporation   7.65%   1,284,356    0.19%
   3,800,000    12/15/16  Rockwell Collins, Inc.   0.69%   3,799,261    0.56%
  Automotive                        
   1,584,000    2/28/17  American Honda Finance Corporation   2.13%   1,612,331    0.24%
   566,000    7/13/18  American Honda Finance Corporation   0.75%   565,836    0.08%
   700,000    1/11/16  Daimler Finance North America LLC   1.25%   702,742    0.10%
   2,500,000    9/15/16  Daimler Finance North America LLC   2.63%   2,533,867    0.37%
   649,000    8/3/17  Daimler Finance North America LLC   1.01%   647,135    0.10%
   6,700,000    3/2/18  Daimler Finance North America LLC   0.75%   6,639,723    0.98%
   7,350,000    1/9/18  Ford Motor Credit Company LLC   1.22%   7,336,434    1.08%
   1,388,000    3/15/16  Nissan Motor Acceptance Corporation   1.00%   1,389,755    0.20%

 

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, 2015

(Unaudited)

 

        Description  Fair Value  % of Partners’ Capital (Net Asset Value)
U.S. Corporate Notes (continued)         
  Face Value  Maturity Date  Name  Yield1      
  Automotive (continued)            
  $1,762,000    9/26/16  Nissan Motor Acceptance Corporation   1.03%  $1,762,404    0.26%
   1,400,000    9/23/16  Toyota Motor Credit Corporation   0.43%   1,399,305    0.21%
   343,000    7/13/18  Toyota Motor Credit Corporation   0.75%   343,096    0.05%
   1,800,000    5/23/16  Volkswagen Group of America Finance, LLC   0.55%   1,773,374    0.26%
   500,000    5/23/17  Volkswagen Group of America Finance, LLC   0.70%   477,419    0.07%
   200,000    11/20/17  Volkswagen Group of America Finance, LLC   0.77%   187,060    0.03%
  Banks                         
   1,500,000    3/22/16  Bank of America   1.14%   1,505,077    0.22%
   1,250,000    6/15/16  Bank of America   0.62%   1,246,843    0.18%
   1,473,000    11/14/16  Bank of America   1.13%   1,478,462    0.22%
   3,750,000    3/22/16  Bank of America Corporation   1.14%   3,762,693    0.55%
   3,000,000    6/15/16  Bank of America, National Association   0.62%   2,992,423    0.44%
   1,615,000    7/28/16  Bank of New York Company, Inc.   2.30%   1,642,195    0.24%
   1,298,000    3/15/16  BB&T Corporation   3.20%   1,311,127    0.19%
   1,500,000    7/15/16  Capital One Financial Corporation   3.15%   1,534,385    0.23%
   1,000,000    2/26/16  Fifth Third Bank   0.74%   1,000,703    0.15%
   607,000    1/15/16  Goldman Sachs Group, Inc.   5.35%   621,611    0.09%
   1,350,000    2/7/16  Goldman Sachs Group, Inc.   3.63%   1,368,613    0.20%
   400,000    12/15/17  Goldman Sachs Group, Inc.   1.14%   400,282    0.06%
   880,000    8/2/16  Huntington National Bank   1.35%   882,288    0.13%
   4,500,000    2/26/16  JPMorgan Chase & Co.   0.95%   4,506,532    0.66%
   450,000    11/25/16  KeyBank National Association   0.82%   450,064    0.07%
   1,060,000    10/18/16  Morgan Stanley   5.75%   1,136,922    0.17%
   5,900,000    1/9/17  Morgan Stanley   5.45%   6,269,422    0.92%
   8,125,000    2/9/18  MUFG Americas Holdings Corporation   0.88%   8,130,873    1.20%
   1,123,000    9/19/16  PNC Funding Corp   2.70%   1,140,016    0.17%
   300,000    1/28/16  PNC Realty Investors, Inc.   0.80%   300,624    0.04%
   570,000    10/3/16  PNC Realty Investors, Inc.   1.30%   575,182    0.08%
   1,158,000    3/7/16  State Street Corporation   2.88%   1,171,524    0.17%
   1,800,000    1/30/17  U.S. Bank National Association   1.10%   1,806,154    0.27%
   806,000    9/11/17  U.S. Bank National Association   0.53%   802,852    0.12%
   2,000,000    5/16/16  Wells Fargo Bank   0.53%   2,005,926    0.30%
  Beverages                    
   1,350,000    1/15/16  Anheuser-Busch Inbev Finance Inc.   0.80%   1,353,509    0.20%
   2,000,000    11/15/15  The Coca-Cola Company   1.50%   2,013,911    0.30%
  Biotechnology                      
   750,000    12/1/16  Gilead Sciences, Inc.   3.05%   776,248    0.11%
  Computers                         
   3,000,000    2/5/16  International Business Machines Corporation   0.37%   3,001,682    0.44%
  Diversified financial services         
   1,800,000    9/19/16  American Express Credit Corporation   2.80%   1,832,959    0.27%
   1,000,000    6/5/17  American Express Credit Corporation   0.60%   991,985    0.15%
   1,500,000    2/13/17  Capital One Bank   0.81%   1,497,913    0.22%
   1,700,000    3/2/16  Credit Suisse (USA), Inc.   5.38%   1,740,477    0.26%
   1,000,000    7/12/16  General Electric Capital Corporation   0.94%   1,001,880    0.15%
   1,000,000    1/9/17  General Electric Capital Corporation   0.56%   1,001,431    0.15%

 

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, 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)      
  $779,000    9/15/17  General Electric Capital Corporation   5.63%  $850,456    0.13%
   1,240,000    5/27/16  National Rural Utilities Cooperative Finance Corp.   0.58%   1,241,285    0.18%
   1,757,000    12/13/16  USAA Capital Corporation   2.25%   1,787,320    0.26%
  Electronics                         
   1,350,000    11/17/15  Honeywell International Inc.   0.37%   1,350,492    0.20%
  Energy                         
   1,000,000    8/1/16  Arizona Public Service Company   6.25%   1,054,454    0.16%
   500,000    9/15/16  Dayton Power and Light Company   1.88%   502,477    0.07%
   5,750,000    4/3/17  Duke Energy Corporation   0.66%   5,751,489    0.85%
   1,000,000    8/15/16  Georgia Power Company   0.72%   998,901    0.15%
   3,350,000    12/1/17  Kinder Morgan, Inc.   2.00%   3,323,892    0.49%
   2,000,000    2/1/16  ONEOK Partners, L.P.   3.25%   2,012,273    0.30%
   4,778,000    7/15/16  Pioneer Natural Resources Company   5.88%   4,990,873    0.74%
   1,500,000    5/15/16  Sierra Pacific Power Company   6.00%   1,582,653    0.23%
   5,500,000    6/15/16  Spectra Energy Partners, LP   2.95%   5,606,074    0.83%
  Healthcare                         
   500,000    1/15/18  Anthem, Inc.   1.88%   502,254    0.07%
   375,000    6/15/16  Becton, Dickinson and Company   0.79%   375,019    0.06%
   7,750,000    1/17/17  UnitedHealth Group Incorporated   0.74%   7,753,463    1.14%
   450,000    4/1/18  Zimmer Biomet Holdings, Inc.   2.00%   454,143    0.07%
   2,695,000    9/26/16  Ventas Realty, Limited Partnership   1.55%   2,699,811    0.40%
  Household products            
   1,000,000    8/15/16  Procter & Gamble Company   1.45%   1,010,500    0.15%
   3,325,000    4/1/18  Zimmer Biomet Holdings, Inc.   2.00%   3,355,612    0.49%
  Insurance                         
   784,000    10/1/15  American International Group, Inc.   5.05%   803,796    0.12%
   2,700,000    10/18/16  American International Group, Inc.   5.60%   2,883,615    0.42%
   1,500,000    8/15/16  Berkshire Hathaway Finance Corporation   0.95%   1,506,550    0.22%
   2,600,000    7/28/16  Jackson National Life Global Funding   0.54%   2,601,751    0.38%
   2,000,000    7/14/16  Metropolitan Life Global Funding I   0.49%   2,002,404    0.30%
   1,809,000    4/10/17  Metropolitan Life Global Funding I   1.30%   1,824,654    0.27%
   1,000,000    4/10/17  Metropolitan Life Global Funding I   0.66%   1,003,330    0.15%
   2,500,000    10/5/15  New York Life Global Funding   0.31%   2,501,915    0.37%
   1,000,000    3/1/17  New York Life Global Funding   1.13%   1,001,512    0.15%
   8,500,000    11/25/16  Pricoa Global Funding I   1.15%   8,550,252    1.25%
   2,498,000    12/1/15  Travelers Companies, Inc.   5.50%   2,563,244    0.38%
  Machinery                         
   1,000,000    3/3/17  Caterpillar Financial Services Corporation   0.56%   1,000,039    0.15%
   700,000    7/11/17  John Deere Capital Corporation   0.78%   700,066    0.10%
  Pharacueticals                      
   7,775,000    5/14/18  AbbVie Inc.   1.80%   7,814,342    1.15%
   1,400,000    10/7/16  Bayer US Finance LLC   0.53%   1,398,995    0.21%
   500,000    3/17/17  EMD Fin LLC   0.68%   499,183    0.07%
  Retail                         
   2,000,000    3/1/16  Home Depot, Inc.   5.40%   2,048,886    0.30%
   700,000    5/18/16  Walgreens Boots Alliance, Inc.   0.77%   700,238    0.10%
  Software                         
   900,000    7/7/17  Oracle Corporation   0.48%   900,231    0.13%

 

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, 2015

(Unaudited)

 

        Description  Fair Value  % of Partners’ Capital (Net Asset Value)
U.S. Corporate Notes (continued)         
  Face Value  Maturity Date  Name  Yield1      
  Telecommunication            
  $1,500,000    8/15/16  AT&T Inc.   2.40%  $1,520,995    0.22%
   2,150,000    9/15/16  Verizon Communications, Inc.   1.87%   2,172,639    0.32%
   1,300,000    11/1/16  Verizon Communications, Inc.   2.00%   1,324,652    0.20%
   4,800,000    6/9/17  Verizon Communications, Inc.   0.73%   4,790,150    0.71%
  Total U.S. corporate notes (cost: $198,799,852)         197,527,651    29.11%
                            
Foreign Corporate Notes                      
  Face Value  Maturity Date  Name  Yield1          
  Banks                     
  $1,810,000    1/22/16  ABN AMRO Bank N.V.   1.38%   1,817,477    0.27%
   1,000,000    9/9/16  Bank of Tokyo-Mitsubishi UFJ, Ltd.   1.55%   1,005,287    0.15%
   584,000    9/22/16  Barclays Bank PLC   5.00%   606,622    0.09%
   2,000,000    9/20/16  Commonwealth Bank of Australia   0.85%   2,004,358    0.30%
   1,800,000    5/26/17  Credit Suisse AG   1.38%   1,806,954    0.27%
   8,000,000    4/27/18  Credit Suisse AG   0.98%   7,969,501    1.16%
   756,000    1/11/16  Deutsche Bank AG   3.25%   766,480    0.11%
   3,700,000    5/24/16  HSBC Bank PLC   3.10%   3,795,035    0.56%
   1,000,000    3/15/16  ING Bank N.V.   4.00%   1,015,418    0.15%
   5,000,000    8/17/18  ING Bank N.V.   1.10%   5,009,384    0.74%
   1,500,000    8/15/16  Macquarie Bank Limited   2.00%   1,514,425    0.22%
   2,000,000    12/9/16  National Australia Bank Limited   0.58%   2,001,783    0.30%
   5,000,000    7/23/18  National Australia Bank Limited   0.93%   5,008,996    0.74%
   1,950,000    5/13/16  Nordea Bank AB   0.88%   1,956,494    0.29%
   1,158,000    9/9/16  Royal Bank of Canada   1.45%   1,167,160    0.17%
   136,000    5/12/16  Standard Chartered PLC   3.20%   139,460    0.02%
   1,200,000    1/18/16  Sumitomo Mitsui Bank   0.90%   1,202,442    0.18%
   1,000,000    9/23/16  Svenska Handelsbanken AB   0.80%   1,002,314    0.15%
   2,000,000    7/14/16  Toronto-Dominion Bank   2.50%   2,038,786    0.30%
   1,500,000    7/23/18  Toronto-Dominion Bank   0.83%   1,504,983    0.22%
   2,000,000    9/26/16  UBS AG   0.83%   2,002,804    0.30%
   4,750,000    6/1/17  UBS AG   0.88%   4,749,701    0.70%
  Beverages                     
   1,000,000    10/1/15  Heineken N.V.   0.80%   1,004,000    0.15%
  Diversified financial services                     
   800,000    1/29/18  Caisse Centrale Desjardins   0.96%   804,352    0.12%
  Energy                        
   750,000    3/11/16  BP Capital Markets P.L.C.   3.20%   759,726    0.11%
   4,800,000    5/9/16  CNOOC Finance (2013) Limited   1.13%   4,817,076    0.70%
   1,000,000    1/15/16  TransCanada PipeLines Limited   0.75%   1,001,313    0.15%
  Pharmacueticals                     
   1,000,000    9/1/16  Actavis Funding SCS   1.20%   999,900    0.15%
   6,790,000    3/12/18  Actavis Funding SCS   1.42%   6,763,306    0.99%
  Telecommunications                        
   1,287,000    9/8/16  America Movil SAB DE CV   2.38%   1,299,425    0.19%
   1,300,000    4/11/16  Deutsche Telekom International Finance B.V.   3.13%   1,334,004    0.20%
   1,000,000    2/16/16  Telefonica Emisiones, S.A.U.   3.99%   1,015,413    0.15%

 

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, 2015

(Unaudited)

 

        Description  Fair Value  % of Partners’ Capital (Net Asset Value)
Foreign Corporate Notes (continued)      
  Face Value  Maturity Date  Name  Yield1      
  Transportation           
  $4,500,000    10/28/16  Kansas City Southern de Mexico, SA de CV   0.99%  $4,487,823   0.66%
  Total foreign corporate notes (cost: $74,604,111)            74,372,202    10.96%
  Total corporate notes (cost: $273,403,963)            271,899,853    40.07%
                            
U.S. Asset Backed Securities                  
  Face Value  Maturity Date  Name  Yield1          
  Automotive                      
  $160,054    10/20/16  Ally Auto Receivables Trust 2014-SN1   0.52%   160,021    0.02%
   700,000    3/15/18  Ally Auto Receivables Trust 2015-2   0.98%   700,799    0.10%
   1,300,000    1/8/19  AmeriCredit Automobile Receivables Tr 2006-A-F   1.07%   1,299,703    0.19%
   359,134    4/9/18  Americredit Automobile Receivables Tr 2014-4   0.60%   359,010    0.05%
   384,701    1/15/21  ARI Fleet Lease Tr 2012-B   0.51%   383,875    0.06%
   500,000    4/16/18  Bank of the West Auto Trust 2015-1   0.87%   500,068    0.07%
   368,663    6/20/17  Capital Auto Receivables Asset Trust 2013-1   0.79%   368,759    0.05%
   475,000    10/20/17  Capital Auto Receivables Asset Trust 2015-2   0.62%   474,331    0.07%
   1,242,862    2/15/18  CarMax Auto Owner Trust 2014-4   0.67%   1,243,068    0.18%
   1,200,000    6/15/18  Carmax Auto Owner Trust 2015-2   0.82%   1,199,506    0.18%
   160,306    11/15/17  Drive Auto Receivables Tr 2015-A   1.01%   160,382    0.02%
   400,000    12/15/17  Drive Auto Receivables Tr 2015-B   0.93%   399,989    0.06%
   77,880    3/20/19  Enterprise Fleet Financing, LLC   1.06%   77,967    0.01%
   217,000    9/15/17  Ford Credit Auto Lease Trust 2014-B   0.89%   217,008    0.03%
   645,000    3/15/18  Ford Credit Auto Owner Trust 2012-D   0.67%   644,875    0.10%
   1,213,789    8/15/17  Ford Credit Auto Owner Trust 2014-C   0.61%   1,214,051    0.18%
   1,500,000    3/15/18  Ford Credit Auto Owner Trust 2015-B   0.72%   1,499,999    0.22%
   500,000    7/20/19  GE Dealer Floorplan Master Note   0.60%   497,833    0.07%
   1,300,000    1/15/19  Harley-Davidson Motorcycle Trust 2015-2   0.80%   1,300,452    0.19%
   507,118    5/15/17  Honda Auto Receivables 2013-3 Owner Trust   0.77%   507,514    0.07%
   3,056,986    9/18/17  Honda Auto Receivables 2013-4 Owner Trust   0.69%   3,056,017    0.46%
   700,000    6/15/17  Honda Auto Receivables 2015-1 Owner Trust   0.70%   700,134    0.10%
   500,000    11/20/17  Honda Auto Receivables 2015-3 Owner Tr   0.92%   500,310    0.07%
   1,900,000    11/15/17  Hyundai Auto Lease Securitization Tr 2014-B   0.98%   1,901,059    0.28%
   1,162,801    10/16/17  Hyundai Auto Receivables Trust 2015-A   0.68%   1,163,042    0.17%
   700,000    11/15/18  Hyundai Auto Receivables Trust 2015-C   0.99%   700,763    0.10%
   1,800,000    11/15/17  Nissan Auto Lease Trust 2015-A   0.56%   1,800,874    0.27%
   774,435    8/15/18  Nissan Auto Receivables 2013-C Owner Trust   0.67%   773,814    0.11%
   883,679    6/15/17  Nissan Auto Receivables 2014-B Owner Trust   0.60%   883,371    0.13%
   1,129,000    9/15/17  Nissan Auto Receivables 2015-A Owner Trust   0.67%   1,128,987    0.17%
   250,000    11/21/17  Porsche Innovative Lease Owner Tr 2015-1   0.79%   250,022    0.04%
   247,491    8/15/17  Santander Drive Auto Receivables Trust 2014-3   0.54%   247,464    0.04%
   1,000,000    9/17/18  Santander Drive Auto Receivables Trust 2014-4   1.08%   1,000,096    0.15%
   163,027    4/16/18  Santander Drive Auto Receivables Trust 2014-5   0.61%   162,994    0.02%
   500,000    2/15/18  Toyota Auto Receivables 2015-C Owner Tr   0.54%   500,119    0.07%
   770,396    8/21/17  Volkswagen Auto Loan Enhanced Trust 2013-1   0.56%   769,227    0.11%
   693,967    4/20/18  Volkswagen Auto Loan Enhanced Trust 2013-2   0.70%   692,908    0.10%
   400,000    10/22/18  Volkswagen Auto Loan Enhanced Trust 2014-1   0.91%   398,047    0.06%
  Commercial MBS                   
   464,088    5/10/45  Banc of America Commercial Mortgage Tr 2006-2   5.95%   475,999    0.07%
   1,099,025    10/15/49  Citigroup Commercial Mortgage Trust 2006-C5   5.43%   1,133,377    0.17%
   703,598    4/15/43  JPMorgan Chase & Co.   5.48%   711,542    0.10%

 

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, 2015

(Unaudited)

 

        Description  Fair Value  % of Partners’ Capital (Net Asset Value)
U.S. Asset Backed Securities (continued)      
  Face Value  Maturity Date  Name  Yield1      
  Commercial MBS (continued)
  $1,994,744    9/15/39  LB-UBS Commercial Mortgage Trust 2006-C6   5.37%  $2,053,001    0.31%
   467,442    2/12/44  Morgan Stanley Capital I Trust 2007-HQ11   0.34%   463,624    0.07%
  Credit cards                    
   1,000,000    1/15/20  BA Credit Card Trust   0.50%   998,351    0.15%
   1,830,000    8/15/18  Barclays Dryrock Issuance Trust   0.64%   1,830,504    0.27%
   1,500,000    11/15/18  Capital One Multi-Asset Execution Trust   0.63%   1,500,588    0.22%
   2,000,000    9/16/19  Capital One Multi-Asset Execution Trust   0.96%   2,003,047    0.30%
   280,000    10/16/17  Chase Issuance Trust   0.36%   280,028    0.04%
   2,000,000    9/7/18  Citibank Credit Card Issuance Trust   1.32%   2,011,528    0.30%
   1,760,000    11/7/18  Citibank Credit Card Issuance Trust   0.54%   1,760,759    0.26%
   1,500,000    2/22/19  Citibank Credit Card Issuance Trust   1.02%   1,503,195    0.22%
  Other                         
   1,191,937    8/15/18  CNH Equipment Trust 2013-B   0.69%   1,190,690    0.18%
   1,000,000    2/15/18  John Deere Owner Trust 2015   0.87%   1,000,406    0.15%
   400,000    12/15/17  Kubota Credit Owner Trust 2015-1   0.94%   400,699    0.06%
  Student loans                    
   62,155    5/16/22  Navient Private Ed Ln Tr 2014-A   0.69%   62,008    0.01%
   193,502    8/15/23  SLM Private Ed Ln Tr 2012-C   1.31%   194,005    0.03%
   58,825    8/15/25  SLM Private Education Loan Trust 2012-A   1.61%   59,204    0.01%
   120,041    12/15/21  SLM Private Education Loan Trust 2012-B   1.31%   120,153    0.02%
   305,113    10/16/23  SLM Private Education Loan Trust 2012-E   0.96%   304,889    0.04%
  Total U.S. asset backed securities (cost: $49,993,806)    49,896,055    7.35%
Total investments in securities (cost: $402,173,288)         $400,617,643    59.04%
                            
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%  $2,013,771    0.30%
   1,000,000    9/16/16  Credit Suisse Group AG   0.88%   1,000,398    0.15%
   2,000,000    3/11/16  Norinchukin Bank (NY)   0.50%   2,000,715    0.29%
   1,200,000    8/4/16  Standard Chartered Bank   0.80%   1,202,652    0.18%
   1,500,000    8/8/16  Toronto-Dominion Bank (NY)   0.75%   1,503,851    0.22%
  Total U.S. certificates of deposit (cost: $7,700,000)            7,721,387    1.14%
                            
Foreign Certificates of Deposit                 
  Face Value   Maturity Date   Name   Yield1           
  Banks                        
  $2,000,000    10/23/15  Bank of Nova Scotia   0.54%   2,002,221    0.30%
   2,200,000    5/9/16  Bank of Nova Scotia   0.50%   2,201,114    0.32%
   2,000,000    11/16/15  Canadian Imperial Bank of Commerce   0.42%   2,000,607    0.29%
   2,000,000    2/19/16  Landesbank Hessen-Thuringen Girozentrale   0.57%   2,009,046    0.30%
   2,000,000    2/13/17  Nordea Bank Finland PLC   0.59%   2,001,190    0.29%
   850,000    2/12/16  Sumitomo Mitsui Bank   0.52%   853,105    0.13%
   1,800,000    7/12/16  Svenska Handelsbanken AB   3.13%   1,844,396    0.27%
   705,000    8/17/16  Svenska Handelsbanken AB   0.50%   705,562    0.10%
  Total foreign certificates of deposit (cost: $13,595,758)            13,617,241    2.00%
                            
Total certificates of deposit (cost: $21,295,758)         $21,338,628    3.14%

 

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, 2015

(Unaudited)

 

  Description  Fair Value  % of
Partners’ Capital
(Net Asset Value)
OPEN FUTURES CONTRACTS        
Long U.S. Futures Contracts        
  Agricultural commodities  $(221,517)   (0.03)%
  Currencies   (927,852)   (0.14)%
  Energy   (17,969)   (0.00)%
  Equity indices   (287,800)   (0.04)%
  Interest rate instruments2   8,895,858    1.31%
  Metals   (3,688,433)   (0.55)%
  Single stock futures   2,497    0.00%
Net unrealized gain (loss) on open long U.S. futures contracts    3,754,784    0.55%
            
Short U.S. Futures Contracts           
  Agricultural commodities   1,464,433    0.22%
  Currencies   467,858    0.07%
  Energy   4,356,492    0.64%
  Equity indices   249,476    0.04%
  Interest rate instruments   70,800    0.01%
  Metals2   7,026,548    1.03%
  Single stock futures   447,284    0.07%
Net unrealized gain (loss) on open short U.S. futures contracts    14,082,891    2.08%
            
Total U.S. Futures Contracts - Net unrealized gain (loss) on open U.S. futures contracts    17,837,675    2.63%
            
Long Foreign Futures Contracts           
  Agricultural commodities   (17,736)   (0.00)%
  Currencies   59,766    0.01%
  Energy   14,552    0.00%
  Equity indices   (415,050)   (0.06)%
  Interest rate instruments2   7,691,106    1.13%
Net unrealized gain (loss) on open long foreign futures contracts    7,332,638    1.08%
            
Short Foreign Futures Contracts           
  Agricultural commodities   9,162    0.00%
  Currencies   99,108    0.01%
  Energy   155,636    0.02%
  Equity indices   437,225    0.06%
  Interest rate instruments   (512,405)   (0.06)%
  Metals   12,146    0.00%
  Single stock futures   2,582    0.00%
Net unrealized gain (loss) on open short foreign futures contracts    203,454    0.03%
            
Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts    7,536,092    1.11%
            
Net unrealized gain (loss) on open futures contracts   $25,373,767    3.74%

 

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

 

9
 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

September 30, 2015

(Unaudited)

 

  Description   Fair Value   % of
Partners’ Capital
(Net Asset Value)
OPEN FORWARD CURRENCY CONTRACTS              
U.S. Forward Currency Contracts              
            Long   $ (1,874,768 )   (0.28 )%
            Short     945,598     0.14 %
Net unrealized gain (loss) on open U.S. forward currency contracts     (929,170 )   (0.14 )%
                           
Foreign Forward Currency Contracts              
            Long     (139,335 )   (0.02 )%
            Short     (2,261,376 )   (0.33 )%
Net unrealized gain (loss) on open foreign forward currency contracts     (2,400,711 )   (0.35 )%
                           
Net unrealized gain (loss) on open forward currency contracts   $ (3,329,881 )   (0.49 )%
                           
TOTAL RETURN SWAP CONTRACT              
      Termination Date     Counterparty              
      4 /1/19   Deutsche Bank, AG   $ 3,770,272     0.56 %

 

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    0.40%
  Energy                         
   2,500,000    1/8/16  Electricite de France   0.44%   2,488,600    0.34%
   400,000    1/5/15  GDF Suez   0.14%   399,994    0.05%
   1,600,000    2/26/15  GDF Suez   0.17%   1,599,577    0.21%
  Insurance                         
   2,200,000    1/7/15  Prudential Public Limited Company   0.17%   2,199,938    0.30%
  Total foreign commercial paper (cost: $16,258,508)            16,273,975    2.19%
  Total commercial paper (cost: $56,222,052)            56,246,377    7.58%

 

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, 2014

 

        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.   0.59%  $3,806,001    0.51%
  Automotive                         
   1,700,000    12/11/17  American Honda Finance Corporation   0.55%   1,699,452    0.23%
   700,000    1/11/16  Daimler Finance North America LLC   1.25%   706,036    0.10%
   4,500,000    9/15/16  Daimler Finance North America LLC   2.63%   4,642,061    0.63%
   1,400,000    1/30/15  Nissan Motor Acceptance Corporation   4.50%   1,430,509    0.19%
   1,700,000    9/18/15  Toyota Motor Credit Corporation   0.39%   1,701,793    0.23%
   1,400,000    9/23/16  Toyota Motor Credit Corporation   0.35%   1,398,611    0.19%
   2,000,000    5/23/16  Volkswagen Group of America Finance, LLC   0.45%   1,998,934    0.27%
   500,000    5/23/17  Volkswagen Group of America Finance, LLC   0.60%   499,668    0.07%
   5,000,000    11/20/17  Volkswagen Group of America Finance, LLC   0.67%   4,995,919    0.67%
  Banks                         
   2,250,000    4/1/15  Bank of America Corporation   4.50%   2,296,733    0.31%
   5,250,000    3/22/16  Bank of America Corporation   1.07%   5,280,431    0.71%
   3,500,000    1/15/15  Bank of New York Company, Inc.   3.10%   3,552,460    0.48%
   2,000,000    2/20/15  Bank of New York Company, Inc.   1.20%   2,009,385    0.27%
   1,000,000    2/13/17  Capital One Bank   0.73%   1,002,978    0.14%
   1,500,000    11/6/15  Capital One Bank   1.00%   1,500,864    0.20%
   9,250,000    4/1/16  Citigroup Inc.   1.30%   9,300,690    1.25%
   2,000,000    9/16/15  Comerica Incorporated   3.00%   2,047,364    0.28%
   1,000,000    2/26/16  Fifth Third Bank   0.64%   1,001,575    0.14%
   7,750,000    7/22/15  Goldman Sachs Group, Inc.   0.63%   7,760,436    1.05%
   1,000,000    2/7/16  Goldman Sachs Group, Inc.   3.63%   1,040,200    0.14%
   400,000    12/15/17  Goldman Sachs Group, Inc.   1.04%   399,585    0.05%
   11,150,000    2/26/16  JPMorgan Chase & Co.   0.85%   11,207,471    1.51%
   5,000,000    10/15/15  Morgan Stanley   0.71%   5,011,698    0.68%
   1,158,000    3/7/16  State Street Corporation   2.88%   1,196,872    0.16%
   1,000,000    7/27/15  U.S. Bancorp   2.45%   1,021,994    0.14%
   2,500,000    10/1/15  U.S. Bancorp   0.30%   2,502,280    0.34%
   2,515,000    2/13/15  Wells Fargo & Company   1.25%   2,529,470    0.34%
   1,500,000    7/20/15  Wells Fargo Bank   0.51%   1,503,156    0.20%
   2,000,000    5/16/16  Wells Fargo Bank   0.44%   1,995,105    0.27%
  Beverages                         
   750,000    3/1/17  Anheuser-Busch Inbev   5.60%   832,415    0.11%
   5,720,000    1/27/17  Anheuser-Busch Inbev   1.13%   5,759,826    0.78%
   2,000,000    11/15/15  Coca-Cola Company   1.50%   2,023,435    0.27%
  Biomedical                         
   5,000,000    12/1/16  Gilead Sciences, Inc.   3.05%   5,199,308    0.70%
  Building materials                
   600,000    1/15/16  CRH America, Inc.   4.13%   628,855    0.08%
  Computers                         
   3,000,000    2/5/16  IBM   0.30%   3,001,034    0.40%

 

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, 2014

 

        Description  Fair Value  % of Partners’ Capital
(Net Asset
Value)
U.S. Corporate Notes (continued)         
  Face Value  Maturity Date  Name  Yield1      
  Diversified financial services         
  $1,800,000    9/15/15  American Express Credit Corporation   2.75%  $1,842,345    0.25%
   1,000,000    7/12/16  General Electric Capital Corporation   0.88%   1,009,031    0.14%
  Electronics                         
   1,350,000    11/17/15  Honeywell International Inc.   0.28%   1,350,784    0.18%
   4,196,000    2/1/17  Thermo Fisher Scientific Inc.   1.30%   4,198,126    0.57%
  Energy                         
   1,000,000    8/1/16  Arizona Public Service Company   6.25%   1,109,058    0.15%
   500,000    9/15/16  Dayton Power and Light Company   1.88%   508,275    0.07%
   5,750,000    4/3/17  Duke Energy Corporation   0.61%   5,769,731    0.78%
   1,273,000    3/6/15  Duke Energy Ohio, Inc.   0.38%   1,273,193    0.17%
   1,000,000    8/15/16  Georgia Power Company   0.63%   999,990    0.13%
   3,850,000    12/1/17  Kinder Morgan, Inc.   2.00%   3,839,045    0.52%
   1,000,000    9/1/15  NextEra Energy Capital Holdings, Inc.   2.60%   1,019,075    0.14%
   4,850,000    2/1/16  ONEOK Partners, L.P.   3.25%   5,018,400    0.68%
   1,000,000    3/5/15  Phillips 66   1.95%   1,008,813    0.14%
   4,778,000    7/15/16  Pioneer Natural Resources Company   5.88%   5,170,227    0.70%
   5,500,000    6/15/16  Spectra Energy Partners, LP   2.95%   5,632,721    0.76%
  Healthcare                         
   4,400,000    6/15/16  Becton, Dickinson and Company   0.69%   4,401,875    0.59%
   500,000    6/15/16  Becton, Dickinson and Company   0.69%   500,213    0.07%
   1,500,000    3/15/15  Medtronic, Inc.   3.00%   1,519,894    0.20%
   4,360,000    9/26/16  Ventas Realty, Limited Partnership   1.55%   4,394,968    0.59%
  Insurance                         
   784,000    10/1/15  American International Group, Inc.   5.05%   817,688    0.11%
   2,150,000    10/18/16  American International Group, Inc.   5.60%   2,331,536    0.31%
   1,254,000    9/30/15  Aon Corporation   3.50%   1,289,929    0.17%
   1,500,000    2/11/15  Berkshire Hathaway Inc.   3.20%   1,522,958    0.21%
   4,000,000    9/30/15  Jackson National Life Global Funding   0.61%   4,005,871    0.54%
   1,000,000    4/10/17  Metropolitan Life Global Funding I   0.61%   1,002,004    0.14%
   309,000    4/10/17  Metropolitan Life Global Funding I   1.30%   309,073    0.04%
   2,500,000    10/5/15  New York Life Global Funding   0.26%   2,501,391    0.34%
   600,000    8/19/15  Pricoa Global Funding I   0.50%   600,848    0.08%
   7,500,000    11/25/16  Pricoa Global Funding I   1.15%   7,484,700    1.01%
   2,498,000    12/1/15  Travelers Companies, Inc.   5.50%   2,612,614    0.35%
  Manufacturing                     
   600,000    2/19/15  Caterpillar Financial Services Corporation   0.30%   600,286    0.08%
   1,000,000    3/3/17  Caterpillar Financial Services Corporation   0.46%   998,874    0.13%
   5,390,000    11/2/15  Eaton Corporation   0.95%   5,403,782    0.73%
   1,500,000    3/9/15  John Deere Capital Corporation   2.95%   1,520,722    0.21%
   2,400,000    6/15/15  John Deere Capital Corporation   0.36%   2,401,016    0.32%
   500,000    10/11/16  John Deere Capital Corporation   0.52%   500,920    0.07%
  Media                         
   2,945,000    4/15/16  NBCUniversal Media, LLC   0.77%   2,946,069    0.40%

 

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, 2014

 

        Description  Fair Value  % of Partners’ Capital
(Net Asset
Value)
U.S. Corporate Notes (continued)         
  Face Value  Maturity
Date		  Name  Yield1      
  Retail               
  $700,000    5/18/16  Walgreens Boots Alliance, Inc.   0.68%  $700,563    0.09%
  Software                         
   1,400,000    7/7/17  Oracle Corporation   0.43%   1,397,943    0.19%
  Telecommunication              
   694,000    8/15/15  AT&T Inc.   2.50%   708,047    0.10%
   1,500,000    8/15/16  AT&T Inc.   2.40%   1,543,195    0.21%
   3,000,000    9/3/15  Cisco Systems, Inc.   0.28%   3,000,766    0.40%
   5,750,000    9/15/16  Verizon Communications Inc.   1.77%   5,880,733    0.79%
   1,700,000    11/1/16  Verizon Communications Inc.   2.00%   1,730,594    0.23%
  Total U.S. corporate notes (cost: $209,714,377)         208,862,490    28.17%
                  
Foreign Corporate Notes            
  Face Value  Maturity
Date		  Name  Yield1      
  Automotive               
  $4,500,000    11/18/16  Volkswagen International Finance N.V.   0.67%   4,505,496    0.61%
  Banks                         
   800,000    1/22/16  ABN AMRO Bank N.V.   1.38%   808,094    0.11%
   1,000,000    1/13/15  Australia and New Zealand Banking Group Ltd   3.70%   1,018,133    0.14%
   3,950,000    5/7/15  Australia and New Zealand Banking Group Ltd   0.43%   3,955,079    0.53%
   4,100,000    9/24/15  Bank of Montreal   0.51%   4,104,827    0.55%
   2,000,000    9/11/15  Bank of Tokyo-Mitsubishi UFJ, Ltd.   2.45%   2,035,808    0.27%
   4,740,000    3/19/15  Commonwealth Bank of Australia   3.50%   4,817,109    0.64%
   3,700,000    5/24/16  HSBC Bank PLC   3.10%   3,831,991    0.52%
   5,650,000    9/25/15  ING Bank N.V.   2.00%   5,729,740    0.77%
   3,050,000    9/25/15  ING Bank N.V.   1.89%   3,077,627    0.42%
   1,500,000 &