Attached files
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 | & |