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 March 31, 2016
Commission file number: 000-50728
FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP
Organized in Maryland | IRS Employer Identification No.: 52-1627106 |
c/o Steben & Company, Inc.
9711 Washingtonian Blvd., Suite 400
Gaithersburg, Maryland 20878
(240) 631-7600
Indicate by check mark whether the Registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the Registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes ☒ No ☐
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes ☒ No ☐
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See definition of “large accelerated filer”, “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.
Large accelerated filer | ☐ | Accelerated filer | ☐ | |
Non-accelerated filer | ☒ | Smaller Reporting Company | ☐ |
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).
Yes ☐ No ☒
PART I: FINANCIAL INFORMATION
Item 1. Financial Statements
Futures Portfolio Fund, Limited Partnership
Consolidated Statements of Financial Condition
March 31, 2016 and December 31, 2015
March 31, 2016 (Unaudited) | December 31, 2015 | |||||||
Assets | ||||||||
Equity in broker trading accounts | ||||||||
Cash | $ | 101,411,631 | $ | 122,736,345 | ||||
Net unrealized gain (loss) on open futures contracts | 4,840,065 | 4,412,678 | ||||||
Net unrealized gain (loss) on open forward currency contracts | 1,645,409 | (1,614,491 | ) | |||||
Net unrealized gain (loss) on swap contract | — | 3,440,896 | ||||||
Total equity in broker trading accounts | 107,897,105 | 128,975,428 | ||||||
Cash and cash equivalents | 72,366,263 | 56,290,425 | ||||||
Investments in securities, at fair value (cost $471,832,305 and $453,001,973) | 470,688,185 | 451,049,033 | ||||||
Certificates of deposit (CDs), at fair value (cost $28,214,555 and $22,673,242) | 28,261,033 | 22,710,509 | ||||||
General Partner 1% allocation receivable | — | 271,430 | ||||||
Subscriptions receivable | 157,686 | 85,414 | ||||||
Total assets | $ | 679,370,272 | $ | 659,382,239 | ||||
Liabilities and Partners’ Capital (Net Asset Value) | ||||||||
Liabilities | ||||||||
Trading Advisor management fees payable | $ | 1,135,407 | $ | 1,301,752 | ||||
Trading Advisor incentive fees payable | 1,878,578 | 216,856 | ||||||
Commissions and other trading fees payable on open contracts | 114,800 | 138,206 | ||||||
Cash Managers fees payable | 113,330 | 109,594 | ||||||
General Partner management and performance fees payable | 807,097 | 789,152 | ||||||
General Partner 1% allocation payable | 433,592 | — | ||||||
Selling agent and broker dealer servicing fees payable – General Partner | 749,698 | 735,514 | ||||||
Administrative expenses payable – General Partner | 157,240 | 155,471 | ||||||
Investment Manager fees payable | 121,997 | 83,884 | ||||||
Distribution (12b-1) fees payable | 2,235 | 2,204 | ||||||
Operating services fee payable | 17,082 | 33,554 | ||||||
Redemptions payable | 6,523,499 | 11,143,201 | ||||||
Subscriptions received in advance | 2,130,402 | 1,086,965 | ||||||
Total liabilities | 14,184,957 | 15,796,353 | ||||||
Partners’ Capital (Net Asset Value) | ||||||||
Class A Interests – 94,219.0818 and 98,034.9581 units outstanding at March 31, 2016 and December 31, 2015, respectively | 423,482,939 | 412,948,548 | ||||||
Class B Interests – 32,272.3243 and 33,265.6588 units outstanding at March 31, 2016 and December 31, 2015, respectively | 212,464,096 | 204,329,032 | ||||||
Class I Interests – 3,828.4541 and 3,828.4541 units outstanding at March 31, 2016 and December 31, 2015, respectively | 4,044,973 | 3,767,830 | ||||||
Non-controlling interest | 25,193,307 | 22,540,476 | ||||||
Total partners’ capital (net asset value) | 665,185,315 | 643,585,886 | ||||||
Total liabilities and partners’ capital (net asset value) | $ | 679,370,272 | $ | 659,382,239 |
The accompanying notes are an integral part of these consolidated financial statements.
1 |
Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments
March 31, 2016 (Unaudited)
Description | Fair Value | % of Partners’ Capital (Net Asset Value) | ||||||||||||||||||||
INVESTMENTS IN SECURITIES | ||||||||||||||||||||||
U.S. Treasury Securities | ||||||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||||||
$ | 40,000,000 | 6/16/16 | U.S. Treasury Bill | 0.15 | % | $ | 39,984,600 | 6.01 | % | |||||||||||||
1,500,000 | 6/30/16 | U.S. Treasury Note | 0.50 | % | 1,502,660 | 0.23 | % | |||||||||||||||
11,500,000 | 7/15/16 | U.S. Treasury Note | 0.63 | % | 11,524,174 | 1.73 | % | |||||||||||||||
4,600,000 | 8/31/16 | U.S. Treasury Note | 1.00 | % | 4,615,132 | 0.69 | % | |||||||||||||||
1,500,000 | 10/31/16 | U.S. Treasury Note | 1.00 | % | 1,510,817 | 0.23 | % | |||||||||||||||
1,800,000 | 11/15/16 | U.S. Treasury Note | 0.63 | % | 1,805,671 | 0.27 | % | |||||||||||||||
4,400,000 | 11/30/16 | U.S. Treasury Note | 2.75 | % | 4,503,928 | 0.68 | % | |||||||||||||||
4,100,000 | 2/15/17 | U.S. Treasury Note | 0.63 | % | 4,103,878 | 0.62 | % | |||||||||||||||
2,100,000 | 3/15/17 | U.S. Treasury Note | 0.75 | % | 2,103,107 | 0.32 | % | |||||||||||||||
2,000,000 | 3/31/17 | U.S. Treasury Note | 1.00 | % | 2,007,399 | 0.30 | % | |||||||||||||||
4,000,000 | 3/31/17 | U.S. Treasury Note | 0.50 | % | 3,995,367 | 0.60 | % | |||||||||||||||
2,000,000 | 4/30/17 | U.S. Treasury Note | 0.50 | % | 2,001,235 | 0.30 | % | |||||||||||||||
Total U.S. Treasury securities (cost: $79,642,560) | 79,657,968 | 11.98 | % | |||||||||||||||||||
U.S. Commercial Paper | ||||||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||||||
Aerospace | ||||||||||||||||||||||
$ | 1,700,000 | 4/20/16 | United Technologies Corporation | 0.71 | % | 1,699,361 | 0.26 | % | ||||||||||||||
Automotive | ||||||||||||||||||||||
2,200,000 | 4/4/16 | Hyundai Capital America | 0.70 | % | 2,199,872 | 0.33 | % | |||||||||||||||
1,200,000 | 10/28/16 | Hyundai Capital America | 1.56 | % | 1,193,797 | 0.18 | % | |||||||||||||||
1,500,000 | 4/21/16 | Nissan Motor Acceptance Corporation | 0.76 | % | 1,499,367 | 0.23 | % | |||||||||||||||
Banks | ||||||||||||||||||||||
2,000,000 | 4/11/16 | Credit Suisse (USA), Inc. | 0.54 | % | 1,999,700 | 0.29 | % | |||||||||||||||
400,000 | 4/6/16 | Mitsubishi UFJ Trust & Banking Corp | 0.42 | % | 399,977 | 0.06 | % | |||||||||||||||
1,500,000 | 4/19/16 | Mitsubishi UFJ Trust & Banking Corp | 0.52 | % | 1,499,610 | 0.23 | % | |||||||||||||||
400,000 | 4/8/16 | Mizuho Bank, Ltd. | 0.58 | % | 399,955 | 0.06 | % | |||||||||||||||
2,100,000 | 6/16/16 | Sumitomo Mitsui Trust Bank (U.S.A.) Limited | 0.60 | % | 2,097,340 | 0.32 | % | |||||||||||||||
2,000,000 | 4/25/16 | United Overseas Bank Limited | 0.63 | % | 1,999,160 | 0.30 | % | |||||||||||||||
Beverages | ||||||||||||||||||||||
2,100,000 | 4/6/16 | Bacardi U.S.A., Inc. | 0.72 | % | 2,099,790 | 0.31 | % | |||||||||||||||
600,000 | 4/25/16 | Brown-Forman Corporation | 0.50 | % | 599,800 | 0.09 | % | |||||||||||||||
1,700,000 | 11/17/16 | Coca-Cola Company | 0.80 | % | 1,693,815 | 0.25 | % | |||||||||||||||
1,000,000 | 1/4/17 | Coca-Cola Company | 1.07 | % | 995,428 | 0.15 | % | |||||||||||||||
Diversified Financial Services | ||||||||||||||||||||||
1,600,000 | 5/5/16 | DCAT, LLC | 0.56 | % | 1,599,154 | 0.24 | % | |||||||||||||||
1,700,000 | 4/12/16 | Gotham Funding Corporation | 0.45 | % | 1,699,766 | 0.26 | % | |||||||||||||||
1,700,000 | 4/5/16 | ING (U.S.) Funding LLC | 0.61 | % | 1,699,885 | 0.26 | % | |||||||||||||||
400,000 | 4/18/16 | Intercontinental Exchange, Inc. | 0.46 | % | 399,913 | 0.06 | % | |||||||||||||||
1,900,000 | 5/17/16 | Intercontinental Exchange, Inc. | 0.50 | % | 1,898,786 | 0.29 | % | |||||||||||||||
1,600,000 | 5/10/16 | Manhattan Asset Funding Company LLC | 0.51 | % | 1,599,116 | 0.24 | % | |||||||||||||||
1,700,000 | 4/13/16 | Regency Group, Inc. | 0.43 | % | 1,699,756 | 0.26 | % | |||||||||||||||
Energy | ||||||||||||||||||||||
600,000 | 4/21/16 | Chevron Corporation | 0.40 | % | 599,867 | 0.09 | % | |||||||||||||||
2,100,000 | 4/21/16 | Dominion Resources, Inc. | 0.75 | % | 2,099,125 | 0.31 | % | |||||||||||||||
1,700,000 | 4/1/16 | Oglethorpe Power Corp. | 0.16 | % | 1,700,000 | 0.26 | % | |||||||||||||||
400,000 | 4/11/16 | Oglethorpe Power Corp. | 0.52 | % | 399,942 | 0.06 | % | |||||||||||||||
2,200,000 | 4/5/16 | Sempra Energy Global Enterprises | 0.90 | % | 2,199,780 | 0.33 | % | |||||||||||||||
1,600,000 | 4/11/16 | Southern Company | 0.75 | % | 1,599,667 | 0.24 | % |
The accompanying notes are an integral part of these consolidated financial statements.
2 |
Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
March 31, 2016 (Unaudited)
Description | Fair Value | % of Partners’ Capital (Net Asset Value) | |||||||||||||||||
U.S. Commercial Paper (continued) | |||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | ||||||||||||||||
Healthcare | |||||||||||||||||||
$ | 2,100,000 | 6/9/16 | Catholic Health Initiatives | 0.60 | % | $ | 2,097,585 | 0.31 | % | ||||||||||
Insurance | |||||||||||||||||||
400,000 | 5/5/16 | AXA Financial, Inc. | 0.70 | % | 399,736 | 0.06 | % | ||||||||||||
Nonprofit | |||||||||||||||||||
2,100,000 | 5/5/16 | Salvation Army | 0.50 | % | 2,099,008 | 0.31 | % | ||||||||||||
Pharmaceutical | |||||||||||||||||||
1,800,000 | 5/3/16 | Abbott Laboratories | 0.50 | % | 1,799,200 | 0.27 | % | ||||||||||||
Real estate | |||||||||||||||||||
400,000 | 4/29/16 | Simon Property Group, L.P. | 0.45 | % | 399,860 | 0.06 | % | ||||||||||||
1,400,000 | 5/9/16 | Simon Property Group, L.P. | 0.47 | % | 1,399,305 | 0.21 | % | ||||||||||||
Semiconductor | |||||||||||||||||||
500,000 | 4/4/16 | Amphenol Corporation | 0.80 | % | 499,967 | 0.08 | % | ||||||||||||
Total U.S. commercial paper (cost: $48,224,673) | 48,266,390 | 7.26 | % | ||||||||||||||||
Foreign Commercial Paper | |||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | ||||||||||||||||
Banks | |||||||||||||||||||
$ | 1,400,000 | 6/2/16 | Bank of China Limited | 0.99 | % | 1,398,933 | 0.21 | % | |||||||||||
2,100,000 | 5/13/16 | Corporacion Andina de Fomento | 0.50 | % | 2,098,775 | 0.31 | % | ||||||||||||
400,000 | 4/14/16 | DBS Bank Ltd. | 0.47 | % | 399,932 | 0.06 | % | ||||||||||||
1,000,000 | 8/18/16 | HSBC Bank PLC | 3.10 | % | 997,142 | 0.15 | % | ||||||||||||
700,000 | 10/17/16 | Macquarie Bank Limited | 0.89 | % | 697,033 | 0.10 | % | ||||||||||||
600,000 | 6/1/16 | Nordea Bank AB | 0.54 | % | 599,451 | 0.09 | % | ||||||||||||
Chemicals | |||||||||||||||||||
500,000 | 5/3/16 | BASF SE | 0.50 | % | 499,778 | 0.08 | % | ||||||||||||
1,500,000 | 1/9/17 | BASF SE | 1.14 | % | 1,489,362 | 0.22 | % | ||||||||||||
Diversified Financial Services | |||||||||||||||||||
500,000 | 4/1/16 | Ontario Teachers Finance Trust | 0.45 | % | 500,000 | 0.08 | % | ||||||||||||
Energy | |||||||||||||||||||
1,200,000 | 1/6/17 | Electricite de France | 1.53 | % | 1,188,751 | 0.18 | % | ||||||||||||
800,000 | 1/9/17 | Electricite de France | 1.52 | % | 792,345 | 0.12 | % | ||||||||||||
2,000,000 | 5/2/16 | Engie | 0.62 | % | 1,998,932 | 0.30 | % | ||||||||||||
Insurance | |||||||||||||||||||
400,000 | 4/26/16 | Prudential Public Limited Company | 0.53 | % | 399,853 | 0.06 | % | ||||||||||||
Pharmaceutical | |||||||||||||||||||
2,000,000 | 4/7/16 | AstraZeneca PLC | 0.70 | % | 1,999,767 | 0.30 | % | ||||||||||||
Telecommunications | |||||||||||||||||||
400,000 | 5/18/16 | Telstra Corporation Limited | 0.62 | % | 399,676 | 0.06 | % | ||||||||||||
1,700,000 | 6/10/16 | Telstra Corporation Limited | 0.67 | % | 1,697,785 | 0.26 | % | ||||||||||||
1,350,000 | 1/23/17 | Vodafone Group Public Limited Company | 1.46 | % | 1,338,724 | 0.20 | % | ||||||||||||
Total foreign commercial paper (cost: $18,452,320) | 18,496,239 | 2.78 | % | ||||||||||||||||
Total commercial paper (cost: $66,676,993) | 66,762,629 | 10.04 | % | ||||||||||||||||
U.S. Corporate Notes | |||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | ||||||||||||||||
Advertising | |||||||||||||||||||
$ | 2,379,000 | 4/15/16 | Omnicom Group Inc. | 5.90 | % | 2,446,922 | 0.37 | % | |||||||||||
Aerospace | |||||||||||||||||||
1,200,000 | 5/1/16 | Lockheed Martin Corporation | 7.65 | % | 1,244,251 | 0.19 | % | ||||||||||||
3,800,000 | 12/15/16 | Rockwell Collins, Inc. | 0.98 | % | 3,804,083 | 0.57 | % |
The accompanying notes are an integral part of these consolidated financial statements.
3 |
Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
March 31, 2016 (Unaudited)
Description | Fair Value | % of Partners’ Capital (Net Asset Value) | |||||||||||||||||
U.S. Corporate Notes (continued) | |||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | ||||||||||||||||
Automotive | |||||||||||||||||||
$ | 566,000 | 7/13/18 | American Honda Finance Corporation | 1.08 | % | $ | 566,142 | 0.09 | % | ||||||||||
368,000 | 2/22/19 | American Honda Finance Corporation | 1.44 | % | 369,605 | 0.06 | % | ||||||||||||
2,500,000 | 9/15/16 | Daimler Finance North America LLC | 2.63 | % | 2,519,492 | 0.38 | % | ||||||||||||
438,000 | 3/10/17 | Daimler Finance North America LLC | 1.13 | % | 437,934 | 0.07 | % | ||||||||||||
649,000 | 8/3/17 | Daimler Finance North America LLC | 1.33 | % | 650,226 | 0.10 | % | ||||||||||||
6,700,000 | 3/2/18 | Daimler Finance North America LLC | 1.05 | % | 6,633,587 | 0.99 | % | ||||||||||||
7,350,000 | 1/9/18 | Ford Motor Credit Company LLC | 1.56 | % | 7,321,797 | 1.09 | % | ||||||||||||
1,762,000 | 9/26/16 | Nissan Motor Acceptance Corporation | 1.33 | % | 1,764,015 | 0.27 | % | ||||||||||||
1,400,000 | 9/23/16 | Toyota Motor Credit Corporation | 0.72 | % | 1,400,048 | 0.21 | % | ||||||||||||
1,000,000 | 3/27/17 | Toyota Motor Credit Corporation | 0.96 | % | 999,724 | 0.15 | % | ||||||||||||
670,000 | 2/19/19 | Toyota Motor Credit Corporation | 1.44 | % | 674,123 | 0.10 | % | ||||||||||||
500,000 | 5/23/17 | Volkswagen Group of America Finance, LLC | 0.99 | % | 490,652 | 0.07 | % | ||||||||||||
200,000 | 11/20/17 | Volkswagen Group of America Finance, LLC | 1.06 | % | 195,963 | 0.03 | % | ||||||||||||
Banks | |||||||||||||||||||
4,250,000 | 6/15/16 | Bank of America, National Association | 0.91 | % | 4,252,939 | 0.64 | % | ||||||||||||
1,473,000 | 11/14/16 | Bank of America, National Association | 1.13 | % | 1,482,180 | 0.22 | % | ||||||||||||
800,000 | 11/14/16 | Bank of America, National Association | 1.09 | % | 801,159 | 0.12 | % | ||||||||||||
1,615,000 | 7/28/16 | Bank of New York Company, Inc. | 2.30 | % | 1,629,850 | 0.25 | % | ||||||||||||
943,000 | 10/3/16 | Branch Banking and Trust Company | 1.45 | % | 952,126 | 0.14 | % | ||||||||||||
1,400,000 | 4/3/17 | Branch Banking and Trust Company | 1.00 | % | 1,405,687 | 0.21 | % | ||||||||||||
1,500,000 | 7/15/16 | Capital One Financial Corporation | 3.15 | % | 1,518,521 | 0.23 | % | ||||||||||||
1,800,000 | 5/26/17 | Credit Suisse AG | 1.38 | % | 1,803,485 | 0.27 | % | ||||||||||||
8,000,000 | 4/27/18 | Credit Suisse AG | 1.30 | % | 7,972,637 | 1.19 | % | ||||||||||||
400,000 | 12/15/17 | Goldman Sachs Group, Inc. | 1.43 | % | 399,035 | 0.06 | % | ||||||||||||
880,000 | 8/2/16 | Huntington National Bank | 1.35 | % | 882,829 | 0.13 | % | ||||||||||||
900,000 | 11/20/16 | Huntington National Bank | 1.30 | % | 904,295 | 0.14 | % | ||||||||||||
1,060,000 | 10/18/16 | Morgan Stanley | 5.75 | % | 1,114,154 | 0.17 | % | ||||||||||||
5,900,000 | 1/9/17 | Morgan Stanley | 5.45 | % | 6,164,579 | 0.93 | % | ||||||||||||
8,125,000 | 2/9/18 | MUFG Americas Holdings Corporation | 1.19 | % | 8,116,619 | 1.21 | % | ||||||||||||
1,123,000 | 9/19/16 | PNC Funding Corp | 2.70 | % | 1,131,770 | 0.17 | % | ||||||||||||
570,000 | 10/3/16 | PNC Realty Investors, Inc. | 1.30 | % | 574,785 | 0.09 | % | ||||||||||||
1,000,000 | 2/23/18 | PNC Realty Investors, Inc. | 1.50 | % | 1,002,618 | 0.15 | % | ||||||||||||
1,800,000 | 1/30/17 | U.S. Bank National Association | 1.10 | % | 1,807,355 | 0.27 | % | ||||||||||||
500,000 | 8/23/17 | U.S. Bank National Association | 1.07 | % | 501,081 | 0.08 | % | ||||||||||||
806,000 | 9/11/17 | U.S. Bank National Association | 0.83 | % | 804,158 | 0.12 | % | ||||||||||||
2,000,000 | 9/26/16 | UBS AG | 1.13 | % | 2,002,030 | 0.30 | % | ||||||||||||
4,750,000 | 6/1/17 | UBS AG | 1.20 | % | 4,748,666 | 0.71 | % | ||||||||||||
1,722,000 | 9/8/17 | Wells Fargo & Company | 1.40 | % | 1,726,607 | 0.26 | % | ||||||||||||
834,000 | 1/22/18 | Wells Fargo Bank, National Association | 1.36 | % | 838,452 | 0.13 | % | ||||||||||||
Beverages | |||||||||||||||||||
2,617,000 | 1/15/18 | Anheuser-Busch Companies, LLC | 5.50 | % | 2,849,131 | 0.43 | % | ||||||||||||
1,000,000 | 1/15/17 | SABMiller Holdings Inc. | 2.45 | % | 1,014,342 | 0.15 | % | ||||||||||||
Biotechnology | |||||||||||||||||||
750,000 | 12/1/16 | Gilead Sciences, Inc. | 3.05 | % | 768,965 | 0.12 | % | ||||||||||||
Commercial services | |||||||||||||||||||
3,000,000 | 12/14/17 | Visa Inc. | 1.20 | % | 3,021,320 | 0.45 | % | ||||||||||||
Computers | |||||||||||||||||||
800,000 | 5/3/18 | Apple Inc. | 0.87 | % | 799,848 | 0.12 | % | ||||||||||||
3,000,000 | 2/22/19 | Apple Inc. | 1.44 | % | 3,019,104 | 0.45 | % |
The accompanying notes are an integral part of these consolidated financial statements.
4 |
Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
March 31, 2016 (Unaudited)
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 | 9/19/16 | American Express Credit Corporation | 2.80 | % | $ | 1,816,996 | 0.27 | % | ||||||||||
1,000,000 | 6/5/17 | American Express Credit Corporation | 0.91 | % | 994,999 | 0.15 | % | ||||||||||||
1,500,000 | 8/15/16 | Berkshire Hathaway Finance Corporation | 0.95 | % | 1,503,354 | 0.23 | % | ||||||||||||
1,226,000 | 3/7/18 | Berkshire Hathaway Finance Corporation | 1.18 | % | 1,230,948 | 0.19 | % | ||||||||||||
3,000,000 | 10/15/18 | Intercontinental Exchange, Inc. | 2.50 | % | 3,094,013 | 0.47 | % | ||||||||||||
2,600,000 | 7/28/16 | Jackson National Life Global Funding | 0.87 | % | 2,605,544 | 0.39 | % | ||||||||||||
798,000 | 4/5/17 | MassMutual Global Funding II | 2.00 | % | 813,705 | 0.12 | % | ||||||||||||
3,500,000 | 4/10/17 | Metropolitan Life Global Funding I | 1.30 | % | 3,526,989 | 0.53 | % | ||||||||||||
1,000,000 | 4/10/17 | Metropolitan Life Global Funding I | 1.00 | % | 1,003,863 | 0.15 | % | ||||||||||||
1,240,000 | 5/27/16 | National Rural Utilities Coop. Finance Corp. | 0.89 | % | 1,241,426 | 0.19 | % | ||||||||||||
1,000,000 | 3/1/17 | New York Life Global Funding | 1.13 | % | 1,003,568 | 0.15 | % | ||||||||||||
1,614,000 | 10/30/17 | New York Life Global Funding | 1.30 | % | 1,626,674 | 0.24 | % | ||||||||||||
1,500,000 | 10/5/17 | NYSE Euronext | 2.00 | % | 1,525,270 | 0.23 | % | ||||||||||||
8,500,000 | 11/25/16 | Pricoa Global Funding I | 1.15 | % | 8,541,787 | 1.27 | % | ||||||||||||
1,800,000 | 12/1/17 | Principal Life Global Funding II | 1.14 | % | 1,800,604 | 0.27 | % | ||||||||||||
1,757,000 | 12/13/16 | USAA Capital Corporation | 2.25 | % | 1,775,878 | 0.27 | % | ||||||||||||
Energy | |||||||||||||||||||
812,000 | 9/15/16 | Anadarko Petroleum Corporation | 5.95 | % | 828,245 | 0.12 | % | ||||||||||||
1,000,000 | 8/1/16 | Arizona Public Service Company | 6.25 | % | 1,028,253 | 0.15 | % | ||||||||||||
1,461,000 | 11/9/17 | Chevron Corporation | 0.98 | % | 1,460,070 | 0.22 | % | ||||||||||||
500,000 | 9/15/16 | Dayton Power and Light Company | 1.88 | % | 502,662 | 0.08 | % | ||||||||||||
1,000,000 | 8/15/16 | Georgia Power Company | 1.02 | % | 1,001,233 | 0.15 | % | ||||||||||||
3,350,000 | 12/1/17 | Kinder Morgan, Inc. | 2.00 | % | 3,222,957 | 0.48 | % | ||||||||||||
4,778,000 | 7/15/16 | Pioneer Natural Resources Company | 5.88 | % | 4,869,273 | 0.73 | % | ||||||||||||
1,500,000 | 5/15/16 | Sierra Pacific Power Company | 6.00 | % | 1,542,967 | 0.23 | % | ||||||||||||
5,500,000 | 6/15/16 | Spectra Energy Partners, LP | 2.95 | % | 5,556,519 | 0.84 | % | ||||||||||||
Engineering and construction | |||||||||||||||||||
1,375,000 | 6/15/16 | ABB Treasury Center (USA), Inc. | 2.50 | % | 1,388,464 | 0.21 | % | ||||||||||||
Healthcare | |||||||||||||||||||
500,000 | 1/15/18 | Anthem, Inc. | 1.88 | % | 504,569 | 0.08 | % | ||||||||||||
1,500,000 | 3/15/18 | Medtronic, Inc. | 1.50 | % | 1,514,920 | 0.23 | % | ||||||||||||
7,750,000 | 1/17/17 | UnitedHealth Group Incorporated | 1.07 | % | 7,766,267 | 1.16 | % | ||||||||||||
2,695,000 | 9/26/16 | Ventas Realty, Limited Partnership | 1.55 | % | 2,700,808 | 0.41 | % | ||||||||||||
4,775,000 | 4/1/18 | Zimmer Biomet Holdings, Inc. | 2.00 | % | 4,836,789 | 0.73 | % | ||||||||||||
Insurance | |||||||||||||||||||
2,700,000 | 10/18/16 | American International Group, Inc. | 5.60 | % | 2,836,689 | 0.43 | % | ||||||||||||
Machinery | |||||||||||||||||||
789,000 | 2/23/18 | Caterpillar Financial Services Corporation | 1.33 | % | 794,223 | 0.12 | % | ||||||||||||
700,000 | 7/11/17 | John Deere Capital Corporation | 1.07 | % | 703,712 | 0.11 | % | ||||||||||||
1,000,000 | 1/8/19 | John Deere Capital Corporation | 1.19 | % | 1,005,224 | 0.15 | % | ||||||||||||
Manufacturing | |||||||||||||||||||
1,000,000 | 1/9/17 | General Electric Capital Corporation | 0.90 | % | 1,003,763 | 0.15 | % | ||||||||||||
241,000 | 2/25/17 | Illinois Tool Works Inc. | 0.90 | % | 241,512 | 0.04 | % | ||||||||||||
Pharmaceutical | |||||||||||||||||||
7,775,000 | 5/14/18 | AbbVie Inc. | 1.80 | % | 7,884,861 | 1.18 | % | ||||||||||||
1,400,000 | 10/7/16 | Bayer US Finance LLC | 0.87 | % | 1,403,054 | 0.21 | % | ||||||||||||
500,000 | 3/17/17 | EMD FIN LLC | 0.99 | % | 499,627 | 0.08 | % | ||||||||||||
Real estate | |||||||||||||||||||
950,000 | 9/15/16 | HCP, Inc. | 6.30 | % | 971,987 | 0.15 | % | ||||||||||||
Retail | |||||||||||||||||||
4,000,000 | 9/10/18 | Home Depot, Inc. | 2.25 | % | 4,131,690 | 0.62 | % | ||||||||||||
1,500,000 | 10/15/16 | Lowe’s Companies, Inc. | 5.40 | % | 1,573,962 | 0.24 | % |
The accompanying notes are an integral part of these consolidated financial statements.
5 |
Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
March 31, 2016 (Unaudited)
Description | Fair Value | % of Partners’ Capital (Net Asset Value) | |||||||||||||||||
U.S. Corporate Notes (continued) | |||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | ||||||||||||||||
Semiconductor | |||||||||||||||||||
$ | 2,500,000 | 2/21/18 | Cisco Systems, Inc. | 1.24 | % | $ | 2,509,296 | 0.38 | % | ||||||||||
Software | |||||||||||||||||||
2,000,000 | 8/18/17 | International Business Machines Corporation | 1.07 | % | 2,006,795 | 0.30 | % | ||||||||||||
900,000 | 7/7/17 | Oracle Corporation | 0.82 | % | 901,745 | 0.14 | % | ||||||||||||
Telecommunications | |||||||||||||||||||
1,500,000 | 8/15/16 | AT&T Inc. | 2.40 | % | 1,512,535 | 0.23 | % | ||||||||||||
1,400,000 | 9/15/16 | Verizon Communications, Inc. | 2.16 | % | 1,409,285 | 0.21 | % | ||||||||||||
750,000 | 9/15/16 | Verizon Communications, Inc. | 2.16 | % | 754,974 | 0.11 | % | ||||||||||||
1,300,000 | 11/1/16 | Verizon Communications, Inc. | 2.00 | % | 1,319,933 | 0.20 | % | ||||||||||||
4,800,000 | 6/9/17 | Verizon Communications, Inc. | 1.04 | % | 4,798,281 | 0.72 | % | ||||||||||||
Transportation | |||||||||||||||||||
4,500,000 | 10/28/16 | Kansas City Southern | 1.32 | % | 4,511,154 | 0.68 | % | ||||||||||||
Total U.S. corporate notes (cost: $214,082,204) | 213,132,807 | 32.04 | % | ||||||||||||||||
Foreign Corporate Notes | |||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | ||||||||||||||||
Banks | |||||||||||||||||||
$ | 2,200,000 | 12/13/16 | Bank of Nova Scotia | 1.05 | % | 2,203,940 | 0.33 | % | |||||||||||
2,365,000 | 9/9/16 | Bank of Tokyo-Mitsubishi UFJ, Ltd. | 1.55 | % | 2,372,091 | 0.36 | % | ||||||||||||
2,584,000 | 9/22/16 | Barclays Bank PLC | 5.00 | % | 2,635,626 | 0.40 | % | ||||||||||||
800,000 | 1/29/18 | Caisse centrale Desjardins | 1.28 | % | 799,318 | 0.12 | % | ||||||||||||
1,998,000 | 3/13/17 | Commonwealth Bank of Australia | 0.99 | % | 1,997,677 | 0.30 | % | ||||||||||||
548,000 | 1/19/17 | Cooperatieve Rabobank U.A | 3.38 | % | 561,508 | 0.08 | % | ||||||||||||
3,700,000 | 5/24/16 | HSBC Bank PLC | 3.10 | % | 3,752,452 | 0.56 | % | ||||||||||||
5,000,000 | 8/17/18 | ING Bank N.V. | 1.40 | % | 4,989,195 | 0.76 | % | ||||||||||||
667,000 | 3/28/17 | Lloyds Bank PLC | 4.20 | % | 685,669 | 0.10 | % | ||||||||||||
1,500,000 | 8/15/16 | Macquarie Bank Limited | 2.00 | % | 1,509,116 | 0.23 | % | ||||||||||||
500,000 | 2/22/17 | Macquarie Bank Limited | 5.00 | % | 518,520 | 0.08 | % | ||||||||||||
2,000,000 | 12/9/16 | National Australia Bank Limited | 0.89 | % | 1,999,784 | 0.30 | % | ||||||||||||
5,000,000 | 7/23/18 | National Australia Bank Limited | 1.26 | % | 4,996,658 | 0.76 | % | ||||||||||||
1,950,000 | 5/13/16 | Nordea Bank AB (publ) | 0.88 | % | 1,957,274 | 0.29 | % | ||||||||||||
1,158,000 | 9/9/16 | Royal Bank of Canada | 1.45 | % | 1,162,203 | 0.17 | % | ||||||||||||
1,800,000 | 7/12/16 | Svenska Handelsbanken AB | 3.13 | % | 1,823,576 | 0.27 | % | ||||||||||||
303,000 | 9/29/17 | Swedbank AB | 2.13 | % | 305,599 | 0.05 | % | ||||||||||||
1,500,000 | 7/23/18 | Toronto-Dominion Bank | 1.16 | % | 1,498,794 | 0.23 | % | ||||||||||||
Energy | |||||||||||||||||||
4,800,000 | 5/9/16 | CNOOC Finance (2013) Limited | 1.13 | % | 4,820,244 | 0.72 | % | ||||||||||||
1,000,000 | 5/10/17 | Shell International Finance B.V. | 0.94 | % | 999,465 | 0.15 | % | ||||||||||||
Manufacturing | |||||||||||||||||||
222,000 | 1/13/17 | Hutchison Whampoa International (11) Limited | 3.50 | % | 227,063 | 0.03 | % | ||||||||||||
1,012,000 | 4/15/16 | GE Capital International Funding Company | 0.96 | % | 1,016,210 | 0.15 | % | ||||||||||||
Pharmaceutical | |||||||||||||||||||
6,790,000 | 3/12/18 | Actavis Funding SCS | 1.71 | % | 6,822,430 | 1.03 | % | ||||||||||||
Semiconductor | |||||||||||||||||||
1,520,000 | 10/17/16 | Siemens Financieringsmaatschappij N.V. | 5.75 | % | 1,600,248 | 0.24 | % | ||||||||||||
Telecommunications | |||||||||||||||||||
1,287,000 | 9/8/16 | America Movil, S.A. De C.V. | 2.38 | % | 1,294,314 | 0.19 | % | ||||||||||||
1,300,000 | 4/11/16 | Deutsche Telekom International Finance B.V. | 3.13 | % | 1,319,657 | 0.20 | % | ||||||||||||
Total foreign corporate notes (cost: $54,039,949) | 53,868,631 | 8.10 | % | ||||||||||||||||
Total corporate notes (cost: $268,122,153) | 267,001,438 | 40.14 | % |
The accompanying notes are an integral part of these consolidated financial statements.
6 |
Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
March 31, 2016 (Unaudited)
Description | Fair Value | % of Partners’ Capital (Net Asset Value) | |||||||||||||||||
U.S. Asset Backed Securities | |||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | ||||||||||||||||
Automotive | |||||||||||||||||||
$ | 1,521,000 | 10/15/18 | Ally Auto Receivables Trust | 1.17 | % | $ | 1,522,874 | 0.23 | % | ||||||||||
400,000 | 9/20/17 | Ally Auto Receivables Trust 2014-SN2 | 1.03 | % | 399,958 | 0.06 | % | ||||||||||||
700,000 | 3/15/18 | Ally Auto Receivables Trust 2015-2 | 0.98 | % | 700,106 | 0.11 | % | ||||||||||||
486,000 | 8/15/18 | Ally Auto Receivables Trust 2016-1 | 1.20 | % | 486,485 | 0.07 | % | ||||||||||||
1,224,245 | 1/8/19 | AmeriCredit Automobile Receivables Trust 2006-A-F | 1.07 | % | 1,223,613 | 0.18 | % | ||||||||||||
387,247 | 2/8/19 | AmeriCredit Automobile Receivables Trust 2006-A-F | 0.90 | % | 386,731 | 0.06 | % | ||||||||||||
2,000,000 | 6/10/19 | AmeriCredit Automobile Receivables Trust 2014-3 | 1.15 | % | 1,999,463 | 0.30 | % | ||||||||||||
162,846 | 4/9/18 | AmeriCredit Automobile Receivables Trust 2014-4 | 0.84 | % | 162,847 | 0.02 | % | ||||||||||||
224,715 | 1/15/21 | ARI Fleet Lease Trust 2012-B | 0.74 | % | 224,413 | 0.03 | % | ||||||||||||
375,000 | 7/15/24 | ARI Fleet Lease Trust 2016-A | 1.82 | % | 375,520 | 0.06 | % | ||||||||||||
358,798 | 4/16/18 | Bank of the West Auto Trust 2015-1 | 0.87 | % | 358,282 | 0.05 | % | ||||||||||||
675,000 | 1/22/18 | BMW Vehicle Lease Trust | 1.17 | % | 674,924 | 0.10 | % | ||||||||||||
1,400,000 | 1/22/18 | BMW Vehicle Lease Trust 2015-2 | 1.07 | % | 1,399,542 | 0.21 | % | ||||||||||||
525,000 | 7/20/18 | Capital Auto Receivables Asset Trust 2013-4 | 1.47 | % | 526,086 | 0.08 | % | ||||||||||||
475,000 | 10/20/17 | Capital Auto Receivables Asset Trust 2015-2 | 0.83 | % | 474,565 | 0.07 | % | ||||||||||||
494,949 | 2/15/18 | CarMax Auto Owner Trust 2014-4 | 0.67 | % | 494,850 | 0.07 | % | ||||||||||||
842,785 | 6/15/18 | CarMax Auto Owner Trust 2015-2 | 0.82 | % | 842,618 | 0.13 | % | ||||||||||||
584,215 | 2/7/27 | Chesapeake Funding LLC | 0.92 | % | 583,139 | 0.09 | % | ||||||||||||
78,232 | 12/15/17 | Drive Auto Receivables Trust 2015-B | 0.93 | % | 78,232 | 0.01 | % | ||||||||||||
30,167 | 3/20/19 | Enterprise Fleet Financing, LLC | 1.06 | % | 30,170 | 0.00 | % | ||||||||||||
345,000 | 5/15/18 | Fifth Third Auto Trust 2015-1 | 1.02 | % | 345,092 | 0.05 | % | ||||||||||||
600,000 | 5/15/18 | Ford Credit Auto Lease Trust 2015-B | 1.04 | % | 599,715 | 0.09 | % | ||||||||||||
1,520,000 | 11/15/18 | Ford Credit Auto Lease Trust | 1.42 | % | 1,522,828 | 0.23 | % | ||||||||||||
200,996 | 9/15/17 | Ford Credit Auto Lease Trust 2014-B | 0.89 | % | 201,027 | 0.03 | % | ||||||||||||
436,135 | 3/15/18 | Ford Credit Auto Owner Trust 2012-D | 0.67 | % | 435,789 | 0.07 | % | ||||||||||||
336,567 | 8/15/17 | Ford Credit Auto Owner Trust 2014-C | 0.61 | % | 336,566 | 0.05 | % | ||||||||||||
939,569 | 3/15/18 | Ford Credit Auto Owner Trust 2015-B | 0.72 | % | 939,267 | 0.14 | % | ||||||||||||
500,000 | 7/20/19 | GE Dealer Floorplan Master Note | 0.81 | % | 498,524 | 0.07 | % | ||||||||||||
839,761 | 1/15/19 | Harley-Davidson Motorcycle Trust 2015-2 | 0.80 | % | 838,899 | 0.13 | % | ||||||||||||
185,946 | 5/15/17 | Honda Auto Receivables 2013-3 Owner Trust | 0.77 | % | 186,002 | 0.03 | % | ||||||||||||
1,538,313 | 9/18/17 | Honda Auto Receivables 2013-4 Owner Trust | 0.69 | % | 1,537,654 | 0.23 | % | ||||||||||||
333,206 | 6/15/17 | Honda Auto Receivables 2015-1 Owner Trust | 0.70 | % | 333,215 | 0.05 | % | ||||||||||||
500,000 | 11/20/17 | Honda Auto Receivables 2015-3 Owner Trust | 0.92 | % | 500,341 | 0.08 | % | ||||||||||||
800,000 | 7/23/18 | Honda Auto Receivables 2015-4 Owner Trust | 0.82 | % | 799,044 | 0.12 | % | ||||||||||||
719,000 | 6/18/18 | Honda Auto Receivables 2016-1 Owner Trust | 1.01 | % | 718,762 | 0.11 | % | ||||||||||||
1,900,000 | 11/15/17 | Hyundai Auto Lease Securitization Trust 2014-B | 0.98 | % | 1,900,449 | 0.29 | % | ||||||||||||
713,000 | 6/17/19 | Hyundai Auto Receivables Trust | 1.21 | % | 712,893 | 0.11 | % | ||||||||||||
497,420 | 10/16/17 | Hyundai Auto Receivables Trust 2015-A | 0.68 | % | 497,494 | 0.07 | % | ||||||||||||
700,000 | 11/15/18 | Hyundai Auto Receivables Trust 2015-C | 0.99 | % | 699,973 | 0.11 | % | ||||||||||||
1,785,000 | 7/16/18 | MBALT 2016-A A2A 1.33 16 JUL 2018 | 1.34 | % | 1,788,776 | 0.27 | % | ||||||||||||
1,020,000 | 1/16/18 | Mercedes-Benz Auto Lease Trust 2015-B | 1.00 | % | 1,019,114 | 0.15 | % | ||||||||||||
1,472,858 | 11/15/17 | Nissan Auto Lease Trust 2015-A | 0.79 | % | 1,472,688 | 0.22 | % | ||||||||||||
479,274 | 8/15/18 | Nissan Auto Receivables 2013-C Owner Trust | 0.67 | % | 478,836 | 0.07 | % | ||||||||||||
283,712 | 6/15/17 | Nissan Auto Receivables 2014-B Owner Trust | 0.60 | % | 283,650 | 0.04 | % | ||||||||||||
712,741 | 9/15/17 | Nissan Auto Receivables 2015-A Owner Trust | 0.67 | % | 712,711 | 0.11 | % | ||||||||||||
160,068 | 11/21/17 | Porsche Innovative Lease Owner Trust 2015-1 | 0.79 | % | 159,921 | 0.02 | % | ||||||||||||
940,445 | 9/17/18 | Santander Drive Auto Receivables Trust 2014-4 | 1.08 | % | 940,567 | 0.14 | % | ||||||||||||
32,660 | 4/16/18 | Santander Drive Auto Receivables Trust 2014-5 | 0.84 | % | 32,656 | 0.00 | % | ||||||||||||
1,008,000 | 4/8/19 | Santander Drive Auto Receivables Trust 2015-4 | 1.26 | % | 1,008,299 | 0.15 | % | ||||||||||||
450,000 | 11/15/18 | Santander Drive Auto Receivables Trust 2015-5 | 1.12 | % | 450,067 | 0.07 | % | ||||||||||||
244,000 | 7/15/19 | Santander Drive Auto Receivables Trust 2016-1 | 1.41 | % | 244,056 | 0.04 | % |
The accompanying notes are an integral part of these consolidated financial statements.
7 |
Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
March 31, 2016 (Unaudited)
Description | Fair Value | % of Partners’ Capital (Net Asset Value) | |||||||||||||||||
U.S. Asset Backed Securitiess (continued) | |||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | ||||||||||||||||
Automotive (continued) | |||||||||||||||||||
$ | 500,000 | 2/15/18 | Toyota Auto Receivables 2015-C Owner Trust | 0.77 | % | $ | 500,031 | 0.08 | % | ||||||||||
617,000 | 7/16/18 | Toyota Auto Receivables 2016-A Owner Trust | 1.03 | % | 617,612 | 0.09 | % | ||||||||||||
284,813 | 8/21/17 | Volkswagen Auto Loan Enhanced Trust 2013-1 | 0.56 | % | 284,383 | 0.04 | % | ||||||||||||
420,385 | 4/20/18 | Volkswagen Auto Loan Enhanced Trust 2013-2 | 0.70 | % | 419,369 | 0.06 | % | ||||||||||||
357,842 | 10/22/18 | Volkswagen Auto Loan Enhanced Trust 2014-1 | 0.91 | % | 356,671 | 0.05 | % | ||||||||||||
Credit cards | |||||||||||||||||||
1,000,000 | 1/15/20 | BA Credit Card Trust | 0.73 | % | 999,173 | 0.15 | % | ||||||||||||
2,000,000 | 9/16/19 | Capital One Multi-Asset Execution Trust | 0.96 | % | 2,001,983 | 0.30 | % | ||||||||||||
850,000 | 10/15/18 | Chase Issuance Trust | 1.01 | % | 851,325 | 0.13 | % | ||||||||||||
2,000,000 | 9/7/18 | Citibank Credit Card Issuance Trust | 1.32 | % | 2,005,450 | 0.31 | % | ||||||||||||
1,760,000 | 11/7/18 | Citibank Credit Card Issuance Trust | 0.85 | % | 1,762,359 | 0.26 | % | ||||||||||||
1,500,000 | 2/22/19 | Citibank Credit Card Issuance Trust | 1.02 | % | 1,502,058 | 0.23 | % | ||||||||||||
1,000,000 | 3/15/21 | World Financial Network Credit Card Master Note Tr | 1.26 | % | 1,000,280 | 0.15 | % | ||||||||||||
Equipment backed loans | |||||||||||||||||||
681,806 | 8/15/18 | CNH Equipment Trust 2013-B | 0.69 | % | 681,219 | 0.10 | % | ||||||||||||
703,475 | 2/15/18 | John Deere Owner Trust 2015 | 0.87 | % | 703,466 | 0.11 | % | ||||||||||||
985,000 | 10/15/18 | John Deere Owner Trust 2016 | 1.15 | % | 985,904 | 0.15 | % | ||||||||||||
263,529 | 12/15/17 | Kubota Credit Owner Trust 2015-1 | 0.94 | % | 263,144 | 0.04 | % | ||||||||||||
Other | |||||||||||||||||||
1,537,090 | 1/15/49 | Banc of America Commercial Mortgage Trust 2007-1 | 5.43 | % | 1,580,590 | 0.24 | % | ||||||||||||
1,045,208 | 10/15/49 | Citigroup Commercial Mortgage Trust 2006-C5 | 5.43 | % | 1,056,802 | 0.16 | % | ||||||||||||
1,937,990 | 9/15/39 | LB-UBS Commercial Mortgage Trust 2006-C6 | 5.37 | % | 1,957,747 | 0.29 | % | ||||||||||||
1,048,002 | 12/12/49 | ML-CFC Commercial Mortgage Trust 2006-4 | 5.17 | % | 1,067,671 | 0.16 | % | ||||||||||||
467,442 | 2/12/44 | Morgan Stanley Capital I Trust 2007-HQ11 | 0.57 | % | 462,731 | 0.07 | % | ||||||||||||
Student loans | |||||||||||||||||||
432,254 | 5/16/22 | Navient Private Education Loan Trust 2014-A | 0.92 | % | 431,590 | 0.06 | % | ||||||||||||
39,037 | 8/15/25 | SLM Private Education Loan Trust 2012-A | 1.84 | % | 39,075 | 0.01 | % | ||||||||||||
82,231 | 8/15/23 | SLM Private Education Loan Trust 2012-C | 1.54 | % | 82,240 | 0.01 | % | ||||||||||||
308,418 | 10/16/23 | SLM Private Education Loan Trust 2012-E | 1.19 | % | 308,224 | 0.05 | % | ||||||||||||
206,954 | 8/15/22 | SLM Private Education Loan Trust 2013-A | 1.04 | % | 205,760 | 0.03 | % | ||||||||||||
Total U.S. asset backed securities (cost: $57,390,599) | 57,266,150 | 8.60 | % | ||||||||||||||||
Total investments in securities (cost: $471,832,305) | $ | 470,688,185 | 70.76 | % | |||||||||||||||
CERTIFICATES OF DEPOSIT | |||||||||||||||||||
U.S. Certificates of Deposit | |||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | ||||||||||||||||
Banks | |||||||||||||||||||
$ | 2,000,000 | 11/14/16 | BMO Harris Bank National Association | 1.09 | % | $ | 2,007,299 | 0.30 | % | ||||||||||
1,800,000 | 6/2/16 | Citibank, N.A. | 0.64 | % | 1,802,384 | 0.27 | % | ||||||||||||
2,000,000 | 8/25/16 | Cooperatieve Rabobank U.A | 0.82 | % | 2,002,601 | 0.30 | % | ||||||||||||
1,000,000 | 9/16/16 | Credit Suisse Group AG | 0.88 | % | 1,004,454 | 0.15 | % | ||||||||||||
1,622,000 | 5/24/17 | National Bank of Canada | 1.02 | % | 1,613,976 | 0.24 | % | ||||||||||||
2,000,000 | 2/13/17 | Nordea Bank Finland PLC | 0.90 | % | 2,001,222 | 0.30 | % | ||||||||||||
1,000,000 | 10/14/16 | Royal Bank of Canada | 0.87 | % | 1,002,063 | 0.15 | % | ||||||||||||
2,000,000 | 3/22/18 | Royal Bank of Canada | 1.32 | % | 1,998,292 | 0.30 | % | ||||||||||||
1,200,000 | 8/4/16 | Standard Chartered Bank | 0.80 | % | 1,206,532 | 0.18 | % | ||||||||||||
700,000 | 7/5/16 | Sumitomo Mitsui Trust Bank (U.S.A.) Limited | 0.82 | % | 700,936 | 0.11 | % | ||||||||||||
1,000,000 | 12/7/17 | Svenska Handelsbanken AB | 1.12 | % | 999,525 | 0.15 | % | ||||||||||||
1,500,000 | 8/8/16 | Toronto-Dominion Bank | 0.75 | % | 1,507,944 | 0.23 | % | ||||||||||||
2,000,000 | 11/8/16 | Toronto-Dominion Bank | 1.00 | % | 2,009,498 | 0.30 | % | ||||||||||||
1,000,000 | 7/21/16 | U.S. Bank National Association | 0.79 | % | 1,002,491 | 0.15 | % | ||||||||||||
1,800,000 | 10/21/16 | Westpac Banking Corporation | 0.87 | % | 1,803,532 | 0.27 | % |
The accompanying notes are an integral part of these consolidated financial statements.
8 |
Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
March 31, 2016 (Unaudited)
Description | Fair Value | % of Partners’ Capital (Net Asset Value) | ||||||||||||||||
U.S. Certificates of Deposit (continued) | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
Banks (continued) | ||||||||||||||||||
$ | 1,500,000 | 1/19/17 | Westpac Banking Corporation | 0.97 | % | $ | 1,503,346 | 0.23 | % | |||||||||
1,000,000 | 3/17/17 | Westpac Banking Corporation | 0.97 | % | 1,000,879 | 0.15 | % | |||||||||||
Total U.S. certificates of deposit (cost: $25,120,784) | 25,166,974 | 3.78 | % | |||||||||||||||
Foreign Certificates of Deposit | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
Banks | ||||||||||||||||||
$ | 591,000 | 12/5/16 | Bank of Nova Scotia | 0.56 | % | 590,617 | 0.09 | % | ||||||||||
1,800,000 | 5/23/17 | Canadian Imperial Bank of Commerce | 0.99 | % | 1,797,378 | 0.27 | % | |||||||||||
705,000 | 8/17/16 | Svenska Handelsbanken AB | 0.80 | % | 706,064 | 0.11 | % | |||||||||||
Total foreign certificates of deposit (cost: $3,093,771) | 3,094,059 | 0.47 | % | |||||||||||||||
Total certificates of deposit (cost: $28,214,555) | $ | 28,261,033 | 4.25 | % | ||||||||||||||
OPEN FUTURES CONTRACTS | ||||||||||||||||||
Long U.S. Futures Contracts | ||||||||||||||||||
Agricultural commodities | $ | 368,069 | 0.06 | % | ||||||||||||||
Currencies | 3,025,221 | 0.45 | % | |||||||||||||||
Energy | (261,361 | ) | (0.04 | )% | ||||||||||||||
Equity indices | 2,118,188 | 0.32 | % | |||||||||||||||
Interest rate instruments | 2,226,885 | 0.33 | % | |||||||||||||||
Metals | 2,596,036 | 0.39 | % | |||||||||||||||
Single stock futures | 308,424 | 0.05 | % | |||||||||||||||
Net unrealized gain (loss) on open long U.S. futures contracts | 10,381,462 | 1.56 | % | |||||||||||||||
Short U.S. Futures Contracts | ||||||||||||||||||
Agricultural commodities | 365,209 | 0.05 | % | |||||||||||||||
Currencies | (2,550,844 | ) | (0.37 | )% | ||||||||||||||
Energy | 82,161 | 0.01 | % | |||||||||||||||
Equity indices | (904,221 | ) | (0.14 | )% | ||||||||||||||
Interest rate instruments | (1,324,685 | ) | (0.20 | )% | ||||||||||||||
Metals | (4,096,812 | ) | (0.62 | )% | ||||||||||||||
Single stock futures | (20,386 | ) | (0.00 | )% | ||||||||||||||
Net unrealized gain (loss) on open short U.S. futures contracts | (8,449,578 | ) | (1.27 | )% | ||||||||||||||
Total U.S. Futures Contracts - Net unrealized gain (loss) on open U.S. futures contracts | 1,931,884 | 0.29 | % | |||||||||||||||
Long Foreign Futures Contracts | ||||||||||||||||||
Agricultural commodities | (20,065 | ) | (0.00 | )% | ||||||||||||||
Currencies | 116,012 | 0.02 | % | |||||||||||||||
Energy | 5,818 | 0.00 | % | |||||||||||||||
Equity indices | (79,097 | ) | (0.01 | )% | ||||||||||||||
Interest rate instruments | 3,130,324 | 0.46 | % | |||||||||||||||
Metals | (6,138 | ) | (0.00 | )% | ||||||||||||||
Single stock futures | (2,105 | ) | (0.00 | )% | ||||||||||||||
Net unrealized gain (loss) on open long foreign futures contracts | 3,144,749 | 0.47 | % |
The accompanying notes are an integral part of these consolidated financial statements.
9 |
Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
March 31, 2016 (Unaudited)
Description | Fair Value | % of Partners’ Capital (Net Asset Value) | ||||||||
Short Foreign Futures Contracts | ||||||||||
Agricultural commodities | $ | 89,372 | 0.01 | % | ||||||
Currencies | (3,922 | ) | (0.00 | )% | ||||||
Energy | (15,090 | ) | (0.00 | )% | ||||||
Equity indices | 121,348 | 0.02 | % | |||||||
Interest rate instruments | (429,608 | ) | (0.07 | )% | ||||||
Metals | 1,332 | 0.00 | % | |||||||
Net unrealized gain (loss) on open short foreign futures contracts | (236,568 | ) | (0.04 | )% | ||||||
Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts | 2,908,181 | 0.43 | % | |||||||
Net unrealized gain (loss) on open futures contracts | $ | 4,840,065 | 0.72 | % | ||||||
OPEN FORWARD CURRENCY CONTRACTS | ||||||||||
U.S. Forward Currency Contracts | ||||||||||
Long2 | $ | 7,540,898 | 1.14 | % | ||||||
Short2 | (6,835,556 | ) | (1.03 | )% | ||||||
Net unrealized gain (loss) on open U.S. forward currency contracts | 705,342 | 0.11 | % | |||||||
Foreign Forward Currency Contracts | ||||||||||
Long | (720,396 | ) | (0.11 | )% | ||||||
Short | 1,660,463 | 0.25 | % | |||||||
Net unrealized gain (loss) on open foreign forward currency contracts | 940,067 | 0.14 | % | |||||||
Net unrealized gain (loss) on open forward currency contracts | $ | 1,645,409 | 0.25 | % |
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, 2015
Description | Fair Value | % of Partners’ Capital (Net Asset Value) | |||||||||||||||||
INVESTMENTS IN SECURITIES | |||||||||||||||||||
U.S. Treasury Securities | |||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | ||||||||||||||||
$ | 50,000,000 | 2/18/16 | U.S. Treasury Bill | 0.09 | % | $ | 49,993,194 | 7.77 | % | ||||||||||
2,000,000 | 12/8/16 | U.S. Treasury Bill | 0.72 | % | 1,988,643 | 0.31 | % | ||||||||||||
10,500,000 | 1/15/16 | U.S. Treasury Notes | 0.38 | % | 10,517,770 | 1.63 | % | ||||||||||||
1,750,000 | 3/15/16 | U.S. Treasury Notes | 0.38 | % | 1,752,420 | 0.27 | % | ||||||||||||
1,500,000 | 6/30/16 | U.S. Treasury Notes | 0.50 | % | 1,499,781 | 0.23 | % | ||||||||||||
4,600,000 | 8/31/16 | U.S. Treasury Notes | 1.00 | % | 4,624,882 | 0.72 | % | ||||||||||||
1,500,000 | 10/31/16 | U.S. Treasury Notes | 1.00 | % | 1,505,484 | 0.23 | % | ||||||||||||
1,800,000 | 11/15/16 | U.S. Treasury Notes | 0.63 | % | 1,799,062 | 0.28 | % | ||||||||||||
1,500,000 | 11/30/16 | U.S. Treasury Notes | 2.75 | % | 1,529,797 | 0.24 | % | ||||||||||||
1,788,200 | 12/15/16 | U.S. Treasury Notes | 0.63 | % | 1,785,926 | 0.28 | % | ||||||||||||
Total U.S. Treasury securities (cost: $77,027,397) | 76,996,959 | 11.96 | % | ||||||||||||||||
U.S. Commercial Paper | |||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | ||||||||||||||||
Automotive | |||||||||||||||||||
$ | 500,000 | 1/11/16 | Nissan Motor Acceptance Corporation | 0.50 | % | 499,928 | 0.08 | % | |||||||||||
1,600,000 | 1/22/16 | Nissan Motor Acceptance Corporation | 0.78 | % | 1,599,272 | 0.25 | % | ||||||||||||
Banks | |||||||||||||||||||
400,000 | 1/21/16 | Standard Chartered Bank | 0.27 | % | 399,940 | 0.06 | % | ||||||||||||
Beverages | |||||||||||||||||||
2,100,000 | 1/6/16 | Bacardi U.S.A., Inc. | 0.51 | % | 2,099,851 | 0.33 | % | ||||||||||||
1,500,000 | 1/7/16 | Brown-Forman Corporation | 0.45 | % | 1,499,888 | 0.23 | % | ||||||||||||
500,000 | 1/7/16 | Brown-Forman Corporation | 0.45 | % | 499,963 | 0.08 | % | ||||||||||||
1,700,000 | 11/17/16 | Coca-Cola Company | 0.80 | % | 1,689,858 | 0.26 | % | ||||||||||||
Chemicals | |||||||||||||||||||
500,000 | 1/14/16 | Clorox Company | 0.46 | % | 499,917 | 0.08 | % | ||||||||||||
1,500,000 | 1/27/16 | Clorox Company | 0.51 | % | 1,499,448 | 0.23 | % | ||||||||||||
Diversified financial services | |||||||||||||||||||
375,000 | 1/19/16 | American Express Credit Corporation | 0.55 | % | 374,897 | 0.06 | % | ||||||||||||
1,700,000 | 1/15/16 | DCAT, LLC | 0.42 | % | 1,699,722 | 0.26 | % | ||||||||||||
1,700,000 | 1/5/16 | Gotham Funding Corporation | 0.28 | % | 1,699,947 | 0.26 | % | ||||||||||||
1,700,000 | 1/20/16 | Hewlett Packard Enterprise Company | 0.92 | % | 1,699,175 | 0.26 | % | ||||||||||||
400,000 | 3/2/16 | ING (U.S.) Funding LLC | 0.65 | % | 399,559 | 0.06 | % | ||||||||||||
1,700,000 | 1/4/16 | Intercontinental Exchange, Inc. | 0.42 | % | 1,699,940 | 0.26 | % | ||||||||||||
450,000 | 1/15/16 | J.P. Morgan Securities LLC | 0.25 | % | 449,956 | 0.07 | % | ||||||||||||
1,400,000 | 1/12/16 | Manhattan Asset Funding Company LLC | 0.27 | % | 1,399,885 | 0.22 | % | ||||||||||||
1,700,000 | 1/13/16 | Regency Group, Inc. | 0.40 | % | 1,699,773 | 0.26 | % | ||||||||||||
1,300,000 | 1/4/16 | The Southern Company | 0.53 | % | 1,299,943 | 0.20 | % | ||||||||||||
Energy | |||||||||||||||||||
500,000 | 1/27/16 | Dominion Resources, Inc. | 0.67 | % | 499,758 | 0.08 | % | ||||||||||||
2,100,000 | 1/21/16 | Enterprise Products Operating LLC | 0.78 | % | 2,099,090 | 0.34 | % | ||||||||||||
2,100,000 | 1/7/16 | Motiva Enterprises LLC | 0.60 | % | 2,099,790 | 0.34 | % | ||||||||||||
400,000 | 1/5/16 | Oglethorpe Power Corp. | 0.32 | % | 399,986 | 0.06 | % | ||||||||||||
1,700,000 | 2/1/16 | Oglethorpe Power Corp. | 0.48 | % | 1,699,297 | 0.26 | % |
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, 2015
Description | Fair Value | % of Partners’ Capital (Net Asset Value) | |||||||||||||||||
U.S. Commercial Paper (continued) | |||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | ||||||||||||||||
Healthcare | |||||||||||||||||||
$ | 1,850,000 | 1/20/16 | Catholic Health Initiatives | 0.45 | % | $ | 1,849,561 | 0.29 | % | ||||||||||
Insurance | |||||||||||||||||||
2,200,000 | 1/12/16 | AXA Financial, Inc. | 0.35 | % | 2,199,766 | 0.34 | % | ||||||||||||
REIT | |||||||||||||||||||
1,500,000 | 2/9/16 | Simon Property Group, L.P. | 0.45 | % | 1,499,269 | 0.23 | % | ||||||||||||
Total U.S. commercial paper (cost: $35,039,075) | 35,057,379 | 5.45 | % | ||||||||||||||||
Foreign Commercial Paper | |||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | ||||||||||||||||
Banks | |||||||||||||||||||
$ | 1,400,000 | 6/2/16 | Bank of China Hong Kong Ltd | 0.99 | % | 1,394,628 | 0.22 | % | |||||||||||
2,200,000 | 1/11/16 | Bank of Tokyo-Mitsubishi UFJ, Ltd. | 0.23 | % | 2,199,859 | 0.34 | % | ||||||||||||
400,000 | 2/11/16 | DBS Bank Ltd. | 0.54 | % | 399,754 | 0.06 | % | ||||||||||||
3,000,000 | 2/23/16 | DNB Bank ASA | 0.55 | % | 2,998,889 | 0.47 | % | ||||||||||||
700,000 | 10/17/16 | Macquarie Bank Limited | 0.89 | % | 695,151 | 0.11 | % | ||||||||||||
1,700,000 | 1/6/16 | Mizuho Bank, Ltd. | 0.29 | % | 1,699,932 | 0.26 | % | ||||||||||||
300,000 | 1/7/16 | Mizuho Bank, Ltd. | 0.30 | % | 299,985 | 0.05 | % | ||||||||||||
400,000 | 1/5/16 | Oversea-Chinese Banking Corp. Ltd | 0.40 | % | 399,982 | 0.06 | % | ||||||||||||
450,000 | 2/16/16 | Skandinaviska Enskilda Banken AB | 0.33 | % | 449,810 | 0.07 | % | ||||||||||||
1,600,000 | 3/16/16 | Sumitomo Mitsui Bank | 0.65 | % | 1,597,833 | 0.25 | % | ||||||||||||
Diversified financial services | |||||||||||||||||||
500,000 | 4/1/16 | Ontario Teachers Finance Trust | 0.65 | % | 499,178 | 0.08 | % | ||||||||||||
Energy | |||||||||||||||||||
1,200,000 | 1/6/17 | Electricite de France SA | 1.67 | % | 1,180,966 | 0.18 | % | ||||||||||||
800,000 | 1/9/17 | Electricite de France SA | 1.67 | % | 787,192 | 0.12 | % | ||||||||||||
1,600,000 | 1/25/16 | Engie | 0.30 | % | 1,599,680 | 0.25 | % | ||||||||||||
500,000 | 1/25/16 | Engie | 0.27 | % | 499,910 | 0.08 | % | ||||||||||||
400,000 | 1/21/16 | Total Capital Canada Ltd. | 0.45 | % | 399,900 | 0.06 | % | ||||||||||||
Insurance | |||||||||||||||||||
1,700,000 | 1/19/16 | Prudential PLC | 0.25 | % | 1,699,788 | 0.26 | % | ||||||||||||
Manufacturing | |||||||||||||||||||
2,000,000 | 1/13/16 | John Deere Financial Limited | 0.25 | % | 1,999,833 | 0.31 | % | ||||||||||||
Telecommunications | |||||||||||||||||||
400,000 | 2/22/16 | Telstra Corporation Limited | 0.38 | % | 399,780 | 0.06 | % | ||||||||||||
1,000,000 | 3/21/16 | Vodafone Group Public Limited Company | 0.90 | % | 998,783 | 0.16 | % | ||||||||||||
Total foreign commercial paper (cost: $22,169,024) | 22,200,833 | 3.45 | % | ||||||||||||||||
Total commercial paper (cost: $57,208,099) | 57,258,212 | 8.90 | % | ||||||||||||||||
U.S. Corporate Notes | |||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | ||||||||||||||||
Advertising | |||||||||||||||||||
$ | 2,379,000 | 4/15/16 | Omnicom Group Inc. | 5.90 | % | 2,439,009 | 0.38 | % | |||||||||||
Aerospace | |||||||||||||||||||
1,200,000 | 5/1/16 | Lockheed Martin Corporation | 7.65 | % | 1,241,939 | 0.19 | % | ||||||||||||
3,800,000 | 12/15/16 | Rockwell Collins, Inc. | 0.86 | % | 3,803,447 | 0.59 | % | ||||||||||||
Automotive | |||||||||||||||||||
1,584,000 | 2/28/17 | American Honda Finance Corporation | 2.13 | % | 1,612,408 | 0.25 | % | ||||||||||||
566,000 | 7/13/18 | American Honda Finance Corporation | 0.78 | % | 565,677 |