FUTURES PORTFOLIO FUND L.P. - FORM 10-Q - May 13, 2016

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

 

 

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