UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM 10-Q

 

QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE

SECURITIES EXCHANGE ACT OF 1934

 

For the quarterly period ended June 30, 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

June 30, 2016 and December 31, 2015

 

		June 30, 2016 (unaudited)				December 31, 2015
Assets
Equity in broker trading accounts
Cash		$	114,257,286			$	122,736,345
Net unrealized gain (loss) on open futures contracts			29,272,138				4,412,678
Net unrealized gain (loss) on open forward currency contracts			4,070,847				(1,614,491	)
Net unrealized gain (loss) on swap contract			—				3,440,896
Total equity in broker trading accounts			147,600,271				128,975,428
Cash and cash equivalents			34,605,960				56,290,425
Investments in securities, at fair value (cost $450,560,503 and $453,001,973)			450,393,961				451,049,033
Certificates of deposit (CDs), at fair value (cost $28,914,584 and $22,673,242)			28,996,631				22,710,509
General Partner 1% allocation receivable			—				271,430
Subscriptions receivable			204,829				85,414
Total assets		$	661,801,652			$	659,382,239
Liabilities and Partners’ Capital (Net Asset Value)
Liabilities
Trading Advisor management fees payable		$	1,116,273			$	1,301,752
Trading Advisor incentive fees payable			1,791,275				216,856
Commissions and other trading fees payable on open contracts			108,594				138,206
Cash Managers fees payable			114,272				109,594
General Partner management and performance fees payable			783,567				789,152
General Partner 1% allocation payable			391,629				—
Selling agent and broker dealer servicing fees payable – General Partner			724,079				735,514
Administrative expenses payable – General Partner			153,112				155,471
Investment Manager fees payable			120,725				83,884
Distribution (12b-1) fees payable			2,280				2,204
Operating services fee payable			16,557				33,554
Redemptions payable			9,596,232				11,143,201
Subscriptions received in advance			1,657,373				1,086,965
Total liabilities			16,575,968				15,796,353
Partners’ Capital (Net Asset Value)
Class A Interests – 91,239.5336 and 98,034.9581 units outstanding at June 30, 2016 and December 31, 2015, respectively			407,113,938				412,948,548
Class B Interests – 31,453.9898 and 33,265.6588 units outstanding at June 30, 2016 and December 31, 2015, respectively			206,493,177				204,329,032
Class I Interests – 3,828.4541 units outstanding at June 30, 2016 and December 31, 2015, respectively			4,043,579				3,767,830
Non-controlling interest			27,574,990				22,540,476
Total partners’ capital (net asset value)			645,225,684				643,585,886
Total liabilities and partners’ capital (net asset value)		$	661,801,652			$	659,382,239

 

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

 

 

Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments
June 30, 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		9/22/16		U.S. Treasury Bill		0.20%		$	39,977,600		6.19%
	11,500,000		7/15/16		U.S. Treasury Notes		0.63%			11,533,633		1.79%
	5,000,000		8/15/16		U.S. Treasury Notes		0.63%			5,013,312		0.78%
	4,600,000		8/31/16		U.S. Treasury Notes		1.00%			4,620,067		0.72%
	4,400,000		11/30/16		U.S. Treasury Notes		2.75%			4,453,721		0.69%
	4,000,000		3/31/17		U.S. Treasury Notes		0.50%			4,005,379		0.62%
	2,000,000		4/30/17		U.S. Treasury Notes		0.50%			2,001,589		0.31%
	2,000,000		4/30/18		U.S. Treasury Notes		0.75%			2,008,465		0.31%
Total U.S. Treasury securities (cost:  $73,614,654)										73,613,766		11.41%
U.S. Commercial Paper
	Face Value		Maturity Date		Name		Yield1
Automotive
$	2,100,000		7/7/16		Hyundai Capital America		0.70%			2,099,756		0.33%
	1,200,000		10/28/16		Hyundai Capital America		0.76%			1,196,080		0.19%
	2,000,000		7/1/16		Nissan Motor Acceptance Corporation		0.67%			2,000,000		0.31%
	400,000		7/22/16		PACCAR Financial Corp.		0.48%			399,888		0.06%
Banks
	400,000		7/6/16		Bank of Tokyo-Mitsubishi UFJ, Ltd.		0.63%			399,965		0.06%
	1,500,000		7/15/16		Bank of Tokyo-Mitsubishi UFJ, Ltd.		0.63%			1,499,633		0.23%
	1,700,000		7/22/16		Mizuho Bank, Ltd.		0.60%			1,699,405		0.26%
	400,000		8/9/16		Mizuho Bank, Ltd.		0.58%			399,749		0.06%
	1,600,000		9/9/16		Oversea-Chinese Banking Corporation Ltd		0.59%			1,598,164		0.25%
	400,000		9/1/16		Oversea-Chinese Banking Corporation Ltd		0.58%			399,600		0.06%
	2,100,000		7/18/16		Standard Chartered Bank		0.62%			2,099,385		0.33%
Beverages
	1,700,000		7/20/16		Bacardi U.S.A., Inc.		0.79%			1,699,291		0.26%
	1,400,000		7/5/16		Brown-Forman Corporation		0.56%			1,399,913		0.22%
	500,000		7/7/16		Brown-Forman Corporation		0.58%			499,952		0.08%
	1,700,000		11/17/16		Coca-Cola Company		1.02%			1,695,491		0.26%
	1,000,000		1/4/17		Coca-Cola Company		0.96%			996,042		0.15%
Commerical
	1,200,000		9/14/16		ERAC USA Finance LLC		0.25%			1,197,826		0.19%
Diversified financial services
	1,500,000		7/5/16		DCAT, LLC		0.66%			1,499,890		0.23%
	1,700,000		8/12/16		Gotham Funding Corporation		0.50%			1,699,008		0.26%
	500,000		7/1/16		ING (U.S.) Funding LLC		0.54%			500,000		0.08%
	400,000		7/11/16		Intercontinental Exchange, Inc.		0.50%			399,944		0.06%
	1,700,000		8/10/16		Intercontinental Exchange, Inc.		0.53%			1,698,999		0.26%
	400,000		9/2/16		J.P. Morgan Securities LLC		0.63%			399,559		0.06%
	1,600,000		7/8/16		Manhattan Asset Funding Company LLC		0.50%			1,599,844		0.25%
	1,450,000		8/16/16		Nieuw Amsterdam Receivables Corporation		0.55%			1,448,981		0.22%
Electronics
	1,500,000		7/13/16		Amphenol Corporation		0.75%			1,499,625		0.23%
Energy
	2,000,000		7/27/16		Dominion Resources, Inc.		0.75%			1,998,917		0.31%
	1,900,000		7/13/16		Duke Energy Corporation		0.76%			1,899,519		0.29%
	500,000		7/25/16		Oglethorpe Power Corporation		0.48%			499,840		0.08%
	2,100,000		7/18/16		Pacific Gas and Electric Company		0.70%			2,099,306		0.33%
	1,700,000		7/6/16		Questar Corporation		0.66%			1,699,844		0.26%

 

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

 

 

Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
June 30, 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		7/11/16		Catholic Health Initiatives		0.72%		$	2,099,580		0.33%
Household products
	500,000		8/2/16		Clorox Company		0.70%			499,689		0.08%
Life insurance
	1,600,000		8/4/16		AXA Financial, Inc.		0.70%			1,598,942		0.25%
	2,100,000		7/12/16		Nationwide Life Insurance Company		0.52%			2,099,666		0.33%
Pharmaceutical
	400,000		7/25/16		Pfizer Inc.		0.46%			399,877		0.06%
REITs
	500,000		7/6/16		Simon Property Group, L.P.		0.50%			499,965		0.08%
	1,600,000		8/8/16		Simon Property Group, L.P.		0.50%			1,599,156		0.25%
Total U.S. commercial paper (cost:  $48,971,034)										49,020,291		7.60%
Foreign Commercial Paper
	Face Value		Maturity Date		Name		Yield1
Banks
$	500,000		8/26/16		Bank of Nova Scotia		0.60%			499,533		0.08%
	1,700,000		7/8/16		DBS Bank Ltd.		0.59%			1,699,805		0.27%
	500,000		8/19/16		DNB Bank ASA		0.51%			499,653		0.08%
	1,000,000		8/18/16		HSBC Bank PLC		0.51%			999,393		0.15%
	700,000		10/17/16		Macquarie Bank Limited		1.02%			698,468		0.11%
	500,000		8/31/16		Nordea Bank AB		0.55%			499,534		0.08%
Chemicals
	1,500,000		1/9/17		BASF SE		1.00%			1,493,141		0.23%
Diversified financial services
	500,000		7/8/16		Ontario Teachers Finance Trust		0.55%			499,947		0.08%
Energy
	1,200,000		1/6/17		Electricite de France		1.11%			1,192,014		0.18%
	800,000		1/9/17		Electricite de France		1.11%			794,579		0.12%
	2,000,000		7/18/16		Engie		0.75%			1,999,292		0.31%
	1,000,000		11/10/16		Engie		0.49%			997,580		0.15%
	400,000		7/15/16		Total Capital Canada Ltd.		0.59%			399,908		0.06%
	1,500,000		8/1/16		Total Capital Canada Ltd.		0.60%			1,499,225		0.23%
Household products
	2,000,000		10/3/16		Reckitt Benckiser Treasury Services PLC		0.50%			1,997,055		0.31%
Pharmaceutical
	1,700,000		8/8/16		Novartis Securities Investment Ltd.		0.49%			1,699,121		0.26%
	500,000		8/24/16		Novartis Securities Investment Ltd.		0.52%			499,610		0.08%
Telecommunications
	1,350,000		1/23/17		Vodafone Group Public Limited Company		1.02%			1,340,227		0.21%
Total foreign commercial paper (cost:  $19,245,828)										19,308,085		2.99%
Total commercial paper (cost:  $68,216,862)										68,328,376		10.59%
U.S. Corporate Notes
	Face Value		Maturity Date		Name		Yield1
Advertising
$	1,800,000		12/15/16		Rockwell Collins, Inc.		1.00%			1,802,062		0.28%
Automotive
	566,000		7/13/18		American Honda Finance Corporation		1.09%			568,637		0.09%
	368,000		2/22/19		American Honda Finance Corporation		1.48%			372,664		0.06%
	2,500,000		9/15/16		Daimler Finance North America LLC		2.63%			2,527,773		0.39%

 

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

 

 

Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
June 30, 2016 (unaudited)

 

					Description					Fair Value		% of Partners’ Capital (Net Asset Value)
U.S. Corporate Notes (continued)
	Face Value		Maturity Date		Name		Yield1
Automotive (continued)
$	438,000		3/10/17		Daimler Finance North America LLC		1.13%		$	439,519		0.07%
	649,000		8/3/17		Daimler Finance North America LLC		1.35%			650,876		0.10%
	6,700,000		3/2/18		Daimler Finance North America LLC		1.11%			6,661,307		1.03%
	6,500,000		1/9/18		Ford Motor Credit Company LLC		1.57%			6,523,464		1.01%
	850,000		1/9/18		Ford Motor Credit Company LLC		1.57%			853,068		0.13%
	1,422,000		4/6/18		Nissan Motor Acceptance Corporation		1.43%			1,426,366		0.22%
	1,400,000		9/23/16		Toyota Motor Credit Corporation		0.74%			1,400,620		0.22%
	1,000,000		3/27/17		Toyota Motor Credit Corporation		0.97%			1,001,080		0.16%
	670,000		2/19/19		Toyota Motor Credit Corporation		1.45%			670,564		0.10%
	500,000		5/23/17		Volkswagen Group of America Finance, LLC		1.02%			497,025		0.08%
	200,000		11/20/17		Volkswagen Group of America Finance, LLC		1.08%			198,741		0.03%
Banks
	800,000		11/14/16		Bank of America, National Association		1.10%			801,824		0.12%
	1,473,000		11/14/16		Bank of America, National Association		1.13%			1,476,050		0.23%
	500,000		2/13/17		Capital One Bank		1.20%			502,553		0.08%
	1,800,000		5/26/17		Credit Suisse AG		1.38%			1,803,895		0.28%
	8,000,000		4/27/18		Credit Suisse AG		1.31%			8,007,458		1.23%
	880,000		8/2/16		Huntington National Bank		1.35%			884,966		0.14%
	900,000		11/20/16		Huntington National Bank		1.30%			902,346		0.14%
	1,000,000		12/21/16		Mizuho Securities USA Inc.		0.51%			1,000,194		0.16%
	1,123,000		9/19/16		PNC Funding Corp		2.70%			1,134,175		0.18%
	570,000		10/3/16		PNC Realty Investors, Inc.		1.30%			572,401		0.09%
	1,000,000		2/23/18		PNC Realty Investors, Inc.		1.50%			1,012,406		0.16%
	1,800,000		1/30/17		U.S. Bank National Association		1.10%			1,809,183		0.28%
	500,000		8/23/17		U.S. Bank National Association		1.10%			500,941		0.08%
	806,000		9/11/17		U.S. Bank National Association		0.86%			805,659		0.12%
	1,722,000		9/8/17		Wells Fargo & Company		1.40%			1,734,866		0.27%
	834,000		1/22/18		Wells Fargo Bank, National Association		1.38%			839,905		0.13%
Beverages
	3,617,000		1/15/18		Anheuser-Busch Companies, LLC		5.50%			3,951,902		0.61%
	1,000,000		1/15/17		SABMiller Holdings Inc.		2.45%			1,017,920		0.16%
Commercial services
	4,000,000		12/14/17		Visa Inc.		1.20%			4,019,587		0.62%
Computers
	800,000		5/3/18		Apple Inc.		0.89%			801,498		0.12%
	2,000,000		2/22/19		Apple Inc.		1.70%			2,046,429		0.32%
	3,000,000		2/22/19		Apple Inc.		1.47%			3,038,210		0.47%
	650,000		2/22/19		Apple Inc.		1.70%			665,089		0.10%
Diversified financial services
	1,800,000		9/19/16		American Express Credit Corporation		2.80%			1,821,926		0.28%
	1,000,000		6/5/17		American Express Credit Corporation		0.95%			996,140		0.15%
	1,615,000		7/28/16		Bank of New York Company, Inc.		2.30%			1,632,381		0.25%
	1,500,000		8/15/16		Berkshire Hathaway Finance Corporation		0.95%			1,505,908		0.23%
	1,226,000		3/7/18		Berkshire Hathaway Finance Corporation		1.23%			1,233,272		0.19%
	1,400,000		4/3/17		Branch Banking and Trust Company		1.00%			1,403,716		0.22%
	800,000		5/10/19		Branch Banking and Trust Company		1.16%			801,544		0.12%
	1,500,000		7/15/16		Capital One Financial Corporation		3.15%			1,522,643		0.24%
	400,000		12/15/17		Goldman Sachs Group, Inc.		1.45%			399,242		0.06%
	3,500,000		2/15/19		Goldman Sachs Group, Inc.		7.50%			4,103,482		0.64%
	3,000,000		4/25/19		Goldman Sachs Group, Inc.		1.68%			3,008,589		0.47%

 

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

 

 

Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
June 30, 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 (continued)
$	3,000,000		10/15/18		Intercontinental Exchange, Inc.		2.50%		$	3,091,343		0.48%
	2,600,000		7/28/16		Jackson National Life Global Funding		0.89%			2,604,528		0.40%
	798,000		4/5/17		MassMutual Global Funding II		2.00%			808,797		0.13%
	3,500,000		4/10/17		Metropolitan Life Global Funding I		1.30%			3,521,165		0.55%
	1,000,000		4/10/17		Metropolitan Life Global Funding I		1.01%			1,003,500		0.16%
	1,060,000		10/18/16		Morgan Stanley		5.75%			1,086,556		0.17%
	4,900,000		1/9/17		Morgan Stanley		5.45%			5,136,763		0.80%
	1,000,000		1/9/17		Morgan Stanley		5.45%			1,048,319		0.16%
	500,000		2/1/19		Morgan Stanley		2.45%			515,195		0.08%
	8,125,000		2/9/18		MUFG Americas Holdings Corporation		1.20%			8,120,201		1.25%
	1,000,000		3/1/17		New York Life Global Funding		1.13%			1,005,816		0.16%
	1,614,000		10/30/17		New York Life Global Funding		1.30%			1,626,415		0.25%
	1,500,000		10/5/17		NYSE Euronext		2.00%			1,519,191		0.24%
	5,000,000		11/25/16		Pricoa Global Funding I		1.15%			5,009,671		0.78%
	1,675,000		6/27/18		Pricoa Global Funding I		0.50%			1,675,242		0.26%
	1,800,000		12/1/17		Principal Life Global Funding II		1.17%			1,804,391		0.28%
	2,000,000		9/26/16		UBS AG		1.14%			2,001,603		0.31%
	1,000,000		6/1/17		UBS AG		1.38%			1,002,665		0.16%
	4,750,000		6/1/17		UBS AG		1.23%			4,756,923		0.74%
	1,757,000		12/13/16		USAA Capital Corporation		2.25%			1,778,159		0.28%
Energy
	1,000,000		8/1/16		Arizona Public Service Company		6.25%			1,029,836		0.16%
	1,461,000		11/9/17		Chevron Corporation		0.99%			1,462,971		0.23%
	500,000		9/15/16		Dayton Power and Light Company		1.88%			503,580		0.08%
	1,000,000		8/15/16		Georgia Power Company		1.03%			1,001,741		0.16%
	3,350,000		12/1/17		Kinder Morgan, Inc.		2.00%			3,335,584		0.52%
	4,778,000		7/15/16		Pioneer Natural Resources Company		5.88%			4,916,038		0.76%
Healthcare
	10,000,000		6/7/18		Aetna Inc.		1.70%			10,092,389		1.55%
	500,000		1/15/18		Anthem, Inc.		1.88%			507,778		0.08%
	1,500,000		3/15/18		Medtronic, Inc.		1.50%			1,520,560		0.24%
	7,750,000		1/17/17		UnitedHealth Group Incorporated		1.08%			7,807,318		1.20%
	4,775,000		4/1/18		Zimmer Biomet Holdings, Inc.		2.00%			4,843,283		0.75%
Insurance
	2,700,000		10/18/16		American International Group, Inc.		5.60%			2,764,086		0.43%
Machinery
	994,000		11/20/17		Caterpillar Financial Services Corporation		0.88%			994,241		0.15%
	789,000		2/23/18		Caterpillar Financial Services Corporation		1.35%			795,430		0.12%
	700,000		7/11/17		John Deere Capital Corporation		1.08%			703,986		0.11%
	1,000,000		1/8/19		John Deere Capital Corporation		1.20%			1,007,456		0.16%
Manufacturing
	1,000,000		1/9/17		General Electric Capital Corporation		0.91%			1,003,173		0.16%
	241,000		2/25/17		Illinois Tool Works Inc.		0.90%			241,882		0.04%
Pharmaceutical
	7,775,000		5/14/18		AbbVie Inc.		1.80%			7,847,619		1.21%
	1,400,000		10/7/16		Bayer US Finance LLC		0.88%			1,402,069		0.22%
	500,000		3/17/17		EMD FIN LLC		1.01%			499,746		0.08%
	750,000		12/1/16		Gilead Sciences, Inc.		3.05%			758,671		0.12%
REITs
	950,000		9/15/16		HCP, Inc.		6.30%			976,288		0.15%

 

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

 

 

Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
June 30, 2016 (unaudited)

 

					Description					Fair Value		% of Partners’ Capital (Net Asset Value)
U.S. Corporate Notes (continued)
	Face Value		Maturity Date		Name		Yield1
Retail
$	3,500,000		7/20/18		CVS Health Corporation		1.90%		$	3,585,775		0.56%
	4,750,000		9/10/18		Home Depot, Inc.		2.25%			4,928,446		0.76%
	1,500,000		10/15/16		Lowe`s Companies, Inc.		5.40%			1,536,927		0.24%
Software
	2,000,000		8/18/17		International Business Machines Corporation		1.08%			2,009,422		0.31%
	900,000		7/7/17		Oracle Corporation		0.83%			899,264		0.14%
	600,000		4/15/18		Oracle Corporation		5.75%			657,533		0.10%
Telecommunication
	1,500,000		8/15/16		AT&T Inc.		2.40%			1,516,225		0.23%
	2,000,000		2/15/19		AT&T Inc.		5.80%			2,267,622		0.35%
	2,150,000		9/15/16		Verizon Communications, Inc.		2.18%			2,159,267		0.33%
	4,800,000		6/9/17		Verizon Communications, Inc.		1.06%			4,805,979		0.74%
Transportation
	4,500,000		10/28/16		Kansas City Southern		1.33%			4,511,125		0.70%
Total U.S. corporate notes (cost:  $217,553,393)										217,361,819		33.69%
	Foreign Corporate Notes
	Face Value		Maturity Date		Name		Yield1
Banks
$	2,200,000		12/13/16		Bank of Nova Scotia		1.08%			2,202,791		0.34%
	2,365,000		9/9/16		Bank of Tokyo-Mitsubishi UFJ, Ltd.		1.55%			2,378,968		0.37%
	1,584,000		9/22/16		Barclays Bank PLC		5.00%			1,619,204		0.25%
	1,998,000		3/13/17		Commonwealth Bank of Australia		1.02%			1,999,382		0.31%
	548,000		1/19/17		Cooperatieve Rabobank U.A.		3.38%			563,407		0.09%
	5,000,000		8/17/18		ING Bank N.V.		1.41%			4,979,098		0.77%
	1,500,000		8/15/16		Macquarie Bank Limited		2.00%			1,513,163		0.23%
	500,000		2/22/17		Macquarie Bank Limited		5.00%			520,382		0.08%
	2,000,000		12/9/16		National Australia Bank Limited		0.91%			2,001,518		0.31%
	5,000,000		7/23/18		National Australia Bank Limited		1.28%			4,981,295		0.77%
	1,800,000		4/4/17		Svenska Handelsbanken AB		2.88%			1,835,355		0.28%
	882,000		9/29/17		Swedbank AB		2.13%			896,005		0.14%
	1,500,000		7/23/18		Toronto-Dominion Bank		1.18%			1,499,254		0.23%
Diversified financial services
	800,000		1/29/18		Caisse centrale Desjardins		1.30%			799,685		0.12%
Energy
	1,000,000		5/10/17		Shell International Finance B.V.		0.95%			1,002,472		0.16%
Manufactoring
	222,000		1/13/17		Hutchison Whampoa International (11) Limited		3.50%			228,401		0.04%
Pharmaceuticals
	6,790,000		3/12/18		Actavis Funding SCS		1.74%			6,829,436		1.07%
Semiconductor
	1,520,000		10/17/16		Siemens Financieringsmaatschappij N.V.		5.75%			1,559,261		0.24%
Telecommunication
	1,287,000		9/8/16		America Movil, S.A.B. De C.V.		2.38%			1,300,237		0.20%
Total foreign corporate notes (cost:  $38,749,702)										38,709,314		6.00%
Total corporate notes (cost:  $256,303,095)										256,071,133		39.69%

 

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

 

 

Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
June 30, 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%		$	1,524,706		0.24%
	388,232		9/20/17		Ally Auto Receivables Trust 2014-SN2		1.03%			388,307		0.06%
	490,821		3/15/18		Ally Auto Receivables Trust 2015-2		0.98%			491,015		0.08%
	467,667		8/15/18		Ally Auto Receivables Trust 2016-1		1.20%			468,707		0.07%
	881,196		1/8/19		AmeriCredit Automobile Receivables Trust 2006-A-F		1.07%			881,749		0.14%
	267,035		2/8/19		AmeriCredit Automobile Receivables Trust 2006-A-F		0.90%			267,120		0.04%
	2,000,000		6/10/19		AmeriCredit Automobile Receivables Trust 2014-3		1.15%			2,001,548		0.32%
	67,080		4/9/18		AmeriCredit Automobile Receivables Trust 2014-4		0.85%			67,108		0.01%
	375,000		7/15/24		ARI Fleet Lease Trust 2016-A		1.82%			376,316		0.06%
	237,953		4/16/18		Bank of the West Auto Trust 2015-1		0.87%			237,938		0.04%
	675,000		1/22/18		BMW Vehicle Lease Trust		1.17%			675,876		0.10%
	1,321,914		1/22/18		BMW Vehicle Lease Trust 2015-2		1.07%			1,323,009		0.21%
	525,000		7/20/18		Capital Auto Receivables Asset Trust 2013-4		1.47%			526,081		0.08%
	400,433		10/20/17		Capital Auto Receivables Asset Trust 2015-2		0.85%			400,405		0.06%
	131,749		2/15/18		CarMax Auto Owner Trust 2014-4		0.67%			131,774		0.02%
	573,190		6/15/18		CarMax Auto Owner Trust 2015-2		0.82%			573,214		0.09%
	537,310		2/7/27		Chesapeake Funding LLC		0.94%			536,669		0.08%
	400,000		7/15/19		Drive Auto Receivables Trust		1.67%			400,997		0.06%
	4,626		3/20/19		Enterprise Fleet Financing, LLC		1.06%			4,627		0.00%
	321,004		5/15/18		Fifth Third Auto Trust 2015-1		1.02%			321,265		0.05%
	570,923		5/15/18		Ford Credit Auto Lease 2015-B		1.04%			571,229		0.09%
	93,509		9/15/17		Ford Credit Auto Lease Trust 2014-B		0.89%			93,541		0.01%
	1,520,000		11/15/18		Ford Credit Auto Lease Trust 2016-A		1.42%			1,523,579		0.24%
	239,803		3/15/18		Ford Credit Auto Owner Trust 2012-D		0.67%			239,697		0.04%
	589,631		3/15/18		Ford Credit Auto Owner Trust 2015-B		0.72%			589,685		0.09%
	554,000		3/15/19		Ford Credit Auto Owner Trust 2016-B		1.08%			554,753		0.09%
	500,000		7/20/19		GE Dealer Floorplan Master Note		0.83%			498,982		0.08%
	600,645		1/15/19		Harley-Davidson Motorcycle Trust 2015-2		0.80%			600,736		0.09%
	921,313		4/10/28		Hertz Fleet Lease Funding LP		0.84%			921,118		0.14%
	45,543		5/15/17		Honda Auto Receivables 2013-3 Owner Trust		0.77%			45,559		0.01%
	879,985		9/18/17		Honda Auto Receivables 2013-4 Owner Trust		0.69%			879,798		0.14%
	141,548		6/15/17		Honda Auto Receivables 2015-1 Owner Trust		0.70%			141,576		0.02%
	385,605		11/20/17		Honda Auto Receivables 2015-3 Owner Trust		0.92%			385,810		0.06%
	796,933		7/23/18		Honda Auto Receivables 2015-4 Owner Trust		0.82%			796,875		0.12%
	719,000		6/18/18		Honda Auto Receivables 2016-1 Owner Trust		1.01%			719,727		0.11%
	1,460,000		9/17/18		Honda Auto Receivables Owner Trust		1.13%			1,464,166		0.23%
	1,313,625		11/15/17		Hyundai Auto Lease Securitization Tr 2014-B		0.98%			1,314,541		0.20%
	169,456		10/16/17		Hyundai Auto Receivables Trust 2015-A		0.68%			169,478		0.03%
	585,592		11/15/18		Hyundai Auto Receivables Trust 2015-C		0.99%			585,854		0.09%
	713,000		6/17/19		Hyundai Auto Receivables Trust 2016-A		1.21%			714,952		0.11%
	1,785,000		7/16/18		MBALT 2016-A A2A 1.33 16 JUL 2018		1.34%			1,790,293		0.28%
	914,445		1/16/18		Mercedes-Benz Auto Lease Trust 2015-B		1.00%			915,123		0.14%
	1,089,145		11/15/17		Nissan Auto Lease Trust 2015-A		0.79%			1,089,267		0.17%
	346,467		8/15/18		Nissan Auto Receivables 2013-C Owner Trust		0.67%			346,275		0.05%
	367,920		9/15/17		Nissan Auto Receivables 2015-A Owner Trust		0.67%			367,954		0.06%
	1,005,000		4/15/19		Nissan Auto Receivables 2016-B Owner Trust		1.05%			1,007,191		0.16%
	101,504		11/21/17		Porsche Innovative Lease Owner Tr 2015-1		0.79%			101,461		0.02%
	427,028		9/17/18		Santander Drive Auto Receivables Trust 2014-4		1.08%			427,297		0.07%
	914,597		4/8/19		Santander Drive Auto Receivables Trust 2015-4		1.26%			915,658		0.14%
	305,481		11/15/18		Santander Drive Auto Receivables Trust 2015-5		1.12%			305,810		0.05%

 

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

 

 

Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
June 30, 2016 (unaudited)

 

					Description					Fair Value		% of Partners’ Capital (Net Asset Value)
U.S. Asset Backed Securities (continued)
	Face Value		Maturity Date		Name		Yield1
Automotive (continued)
$	225,000		9/16/19		Santander Drive Auto Receivables Trust 2015-5		1.58%		$	225,761		0.03%
	244,000		7/15/19		Santaner Drive Auto Receivables Tr 2016-1		1.41%			244,524		0.04%
	376,113		2/15/18		Toyota Auto Receivables 2015 Co-owner Tr		0.77%			376,204		0.06%
	617,000		8/15/17		Toyota Auto Receivables 2016-A Owner Trust		1.03%			618,113		0.10%
	77,792		8/21/17		Volkswagen Auto Loan Enhanced Trust 2013-1		0.56%			77,768		0.01%
	303,761		4/20/18		Volkswagen Auto Loan Enhanced Trust 2013-2		0.70%			303,221		0.05%
	288,759		10/22/18		Volkswagen Auto Loan Enhanced Trust 2014-1		0.91%			287,878		0.04%
Commerical mortgage
	1,533,077		1/15/49		Banc of America Commercial Mortgage Trust 2007-1		5.43%			1,559,366		0.24%
	772,056		10/15/49		Citigroup Commercial Mortgage Trust 2006-C5		5.43%			777,032		0.12%
	638,502		9/15/39		LB-UBS Commercial Mortgage Trust 2006-C6		5.37%			640,891		0.10%
	970,075		12/12/49		ML-CFC Commercial Mortgage Trust 2006-4		5.17%			979,793		0.15%
	467,442		2/12/44		Morgan Stanley Capital I Trust 2007-HQ11		0.58%			464,046		0.07%
Credit card
	1,000,000		1/15/20		BA Credit Card Trust		0.73%			1,000,025		0.15%
	2,000,000		9/16/19		Capital One Multi-Asset Execution Trust		0.96%			2,002,083		0.31%
	1,500,000		1/15/20		Capital One Multi-Asset Execution Trust		1.26%			1,505,606		0.23%
	850,000		10/15/18		Chase Issuance Trust		1.01%			850,832		0.13%
	2,000,000		9/7/18		Citibank Credit Card Issuance Trust		1.32%			2,010,217		0.31%
	1,760,000		11/7/18		Citibank Credit Card Issuance Trust		0.86%			1,762,646		0.27%
	1,500,000		2/22/19		Citibank Credit Card Issuance Trust		1.02%			1,507,053		0.23%
	1,000,000		3/15/21		World Financial Network Credit Card Master Note Trust		1.26%			999,490		0.15%
Other
	234,931		8/15/18		CNH Equipment Trust 2013-B		0.69%			234,813		0.04%
	474,966		2/15/18		John Deere Owner Trust 2015		0.87%			475,112		0.07%
	985,000		10/15/18		John Deere Owner Trust 2016		1.15%			986,420		0.15%
	184,816		12/15/17		Kubota Credit Owner Trust 2015-1		0.94%			184,797		0.03%
Student loans
	203,548		5/16/22		Navient Private Education Loan Tr 2014-A		0.92%			203,491		0.03%
	28,605		8/15/25		SLM Private Education Loan Trust 2012-A		1.84%			28,633		0.00%
	24,842		8/15/23		SLM Private Education Loan Trust 2012-C		1.54%			24,854		0.00%
	209,365		10/16/23		SLM Private Education Loan Trust 2012-E		1.19%			209,312		0.03%
	164,357		8/15/22		SLM Private Education Loan Trust 2013-A		1.04%			164,289		0.03%
Total U.S. asset backed securities (cost:  $52,425,892)										52,380,686		8.11%
Total investments in securities (cost:  $450,560,503)									$	450,393,961		69.80%
CERTIFICATES OF DEPOSIT
U.S. Certificates of Deposit
	Face Value		Maturity Date		Name		Yield1
Banks
$	1,000,000		6/30/17		Bank of Montreal		1.00%		$	1,000,029		0.15%
	2,000,000		11/14/16		BMO Harris Bank National Association		1.09%			2,012,753		0.31%
	1,800,000		5/23/17		Canadian Imperial Bank of Commerce		1.02%			1,803,797		0.28%
	1,000,000		5/24/17		Canadian Imperial Bank of Commerce		1.06%			1,001,313		0.15%
	2,000,000		8/25/16		Cooperatieve Rabobank U.A.		0.82%			2,006,903		0.31%
	1,000,000		5/3/17		Credit Suisse Group AG		1.40%			1,003,464		0.16%
	1,622,000		5/24/17		National Bank of Canada		1.06%			1,620,573		0.25%
	2,000,000		2/13/17		Nordea Bank Finland PLC		0.91%			2,002,540		0.31%
	1,000,000		10/14/16		Royal Bank of Canada		0.88%			1,002,602		0.16%
	2,000,000		3/22/18		Royal Bank of Canada		1.35%			2,000,673		0.31%

 

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

 

Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
June 30, 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)
$	1,200,000		8/4/16		Standard Chartered Bank		0.80%		$	1,209,168		0.19%
	1,800,000		3/30/17		State Street Bank and Trust Company		0.91%			1,800,046		0.28%
	700,000		7/5/16		Sumitomo Mitsui Banking Corporation		0.82%			700,461		0.11%
	1,000,000		12/7/17		Svenska Handelsbanken AB		1.16%			1,002,025		0.15%
	2,000,000		11/8/16		Toronto-Dominion Bank		1.00%			2,014,683		0.31%
	2,000,000		5/3/17		Toronto-Dominion Bank		1.15%			2,005,758		0.31%
	1,000,000		7/21/16		U.S. Bank National Association		0.79%			1,003,843		0.16%
	1,500,000		1/19/17		Westpac Banking Corporation		0.98%			1,503,892		0.23%
	1,000,000		3/17/17		Westpac Banking Corporation		1.13%			1,004,730		0.16%
Total U.S. certificates of deposit (cost:  $27,619,193)										27,699,253		4.29%
Foreign Certificates of Deposit
	Face Value		Maturity Date		Name		Yield1
Banks
$	591,000		12/5/16		Bank of Nova Scotia		0.56%			591,409		0.09%
	705,000		8/17/16		Svenska Handelsbanken AB		0.81%			705,969		0.11%
Total foreign certificates of deposit (cost:  $1,295,391)										1,297,378		0.20%
Total certificates of deposit (cost:  $28,914,584)									$	28,996,631		4.49%
OPEN FUTURES CONTRACTS
Long U.S. Futures Contracts
					Agricultural commodities				$	899,801		0.14%
					Currencies					1,577,787		0.24%
					Energy					189,246		0.03%
					Equity indices					1,123,387		0.17%
					Interest rate instruments2					7,878,610		1.22%
					Metals2					10,046,511		1.57%
					Single stock futures					413,224		0.06%
Net unrealized gain (loss) on open long U.S. futures contracts										22,128,566		3.43%
Short U.S. Futures Contracts
					Agricultural commodities					2,217,060		0.34%
					Currencies					3,017,816		0.47%
					Energy					(452,023)		(0.07)%
					Equity indices					38,716		0.01%
					Interest rate instruments					(980,539)		(0.15)%
					Metals2					(9,486,618)		(1.48)%
					Single stock futures					(66,985)		(0.01)%
Net unrealized gain (loss) on open short U.S. futures contracts										(5,712,573)		(0.89)%
Total U.S. Futures Contracts - Net unrealized gain (loss) on open U.S. futures contracts										16,415,993		2.54%

 

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

 

 

Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
June 30, 2016 (unaudited)

					Description					Fair Value		% of Partners’ Capital (Net Asset Value)
	Long Foreign Futures Contracts
					Agricultural commodities				$	57,301		0.01%
					Currencies					441,405		0.07%
					Energy					15,548		0.00%
					Equity indices					1,192,375		0.18%
					Interest rate instruments2					12,064,934		1.87%
					Metals					237		0.00%
	Net unrealized gain (loss) on open long foreign futures contracts									13,771,800		2.13%
	Short Foreign Futures Contracts
					Agricultural commodities					36,957		0.01%
					Currencies					463,474		0.07%
					Energy					18,501		0.00%
					Equity indices					(506,772)		(0.08)%
					Interest rate instruments					(913,789)		(0.14)%
					Metals					(2,903)		0.00%
					Single stock futures					(11,123)		0.00%
	Net unrealized gain (loss) on open short foreign futures contracts									(915,655)		(0.14)%
	Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts									12,856,145		1.99%
	Net unrealized gain (loss) on open futures contracts								$	29,272,138		4.53%
OPEN FORWARD CURRENCY CONTRACTS
	U.S. Forward Currency Contracts
					Long				$	(699,686)		(0.11)%
					Short					3,202,319		0.50%
	Net unrealized gain (loss) on open U.S. forward currency contracts									2,502,633		0.39%
	Foreign Forward Currency Contracts
					Long					(518,383)		(0.08)%
					Short					2,086,597		0.32%
	Net unrealized gain (loss) on open foreign forward currency contracts									1,568,214		0.24%
	Net unrealized gain (loss) on open forward currency contracts								$	4,070,847		0.63%

 

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.

 

 

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.

 

 

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		0.09%
700,000		1/11/16		Daimler Finance North America LLC		1.25%		704,161		0.11%
2,500,000		9/15/16		Daimler Finance North America LLC		2.63%		2,542,748		0.40%
649,000		8/3/17		Daimler Finance North America LLC		1.04%		649,353		0.10%

 

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

 

 

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. Corporate Notes (continued)
Face Value		Maturity Date		Name		Yield1
Automotive (continued)
$        6,700,000		3/2/18		Daimler Finance North America LLC		0.84%		$               6,623,197		1.03%
7,350,000		1/9/18		Ford Motor Credit Company LLC		1.26%		7,308,669		1.13%
1,388,000		3/15/16		Nissan Motor Acceptance Corporation		1.00%		1,392,489		0.22%
1,762,000		9/26/16		Nissan Motor Acceptance Corporation		1.30%		1,761,988		0.27%
1,400,000		9/23/16		Toyota Motor Credit Corporation		0.69%		1,397,807		0.22%
500,000		5/23/17		Volkswagen Group of America Finance, LLC		0.75%		484,025		0.08%
200,000		11/20/17		Volkswagen Group of America Finance, LLC		0.81%		192,023		0.03%
Banks
5,250,000		3/22/16		Bank of America, NA		1.41%		5,265,175		0.82%
4,250,000		6/15/16		Bank of America, NA		0.79%		4,248,615		0.66%
1,473,000		11/14/16		Bank of America, NA		1.13%		1,472,341		0.23%
800,000		11/14/16		Bank of America, NA		0.83%		800,400		0.12%
1,615,000		7/28/16		Bank of New York Company, Inc.		2.30%		1,644,459		0.26%
1,400,000		4/3/17		Branch Banking and Trust Company		1.00%		1,395,869		0.22%
1,500,000		2/13/17		Capital One Bank		0.86%		1,498,334		0.23%
1,500,000		7/15/16		Capital One Financial Corporation		3.15%		1,535,652		0.24%
1,000,000		2/26/16		Fifth Third Bank		0.82%		1,000,681		0.16%
607,000		1/15/16		Goldman Sachs Group, Inc.		5.35%		622,609		0.10%
950,000		2/7/16		Goldman Sachs Group, Inc.		3.63%		965,675		0.15%
400,000		12/15/17		Goldman Sachs Group, Inc.		1.31%		401,900		0.06%
880,000		8/2/16		Huntington National Bank		1.35%		884,972		0.14%
900,000		11/20/16		Huntington National Bank		1.30%		900,732		0.14%
4,500,000		2/26/16		JPMorgan Chase & Co.		1.03%		4,509,217		0.70%
1,060,000		10/18/16		Morgan Stanley		5.75%		1,108,690		0.17%
5,900,000		1/9/17		Morgan Stanley		5.45%		6,286,679		0.98%
8,125,000		2/9/18		MUFG Americas Holdings Corporation		0.91%		8,127,276		1.25%
1,123,000		9/19/16		PNC Funding Corp		2.70%		1,142,621		0.18%
300,000		1/28/16		PNC Realty Investors, Inc.		0.80%		301,015		0.05%
570,000		10/3/16		PNC Realty Investors, Inc.		1.30%		573,028		0.09%
1,800,000		1/30/17		U.S. Bank National Association		1.10%		1,805,706		0.28%
806,000		9/11/17		U.S. Bank National Association		0.69%		804,160		0.12%
2,000,000		9/26/16		UBS AG		1.10%		2,000,294		0.31%
4,750,000		6/1/17		UBS AG		0.97%		4,752,655		0.74%
2,500,000		12/15/16		Wells Fargo & Company		2.63%		2,536,869		0.39%
Beverages
1,350,000		1/15/16		Anheuser-Busch Inbev Finance Inc.		0.80%		1,354,981		0.21%
Biotechnology
750,000		12/1/16		Gilead Sciences, Inc.		3.05%		766,081		0.12%
Diversified financial services
1,800,000		9/19/16		American Express Credit Corporation		2.80%		1,837,207		0.29%
1,000,000		6/5/17		American Express Credit Corporation		0.72%		993,291		0.15%
2,700,000		10/18/16		American International Group, Inc.		5.60%		2,822,703		0.44%
1,500,000		8/15/16		Berkshire Hathaway Finance Corporation		0.95%		1,506,223		0.23%
1,000,000		1/9/17		General Electric Capital Corporation		0.60%		1,001,768		0.16%
2,600,000		7/28/16		Jackson National Life Global Funding		0.57%		2,602,783		0.40%
1,174,000		12/9/16		MassMutual Global Funding II		0.71%		1,172,646		0.18%
798,000		4/5/17		MassMutual Global Funding II		2.00%		807,344		0.13%
1,500,000		4/10/17		Metropolitan Life Global Funding I		1.30%		1,503,816		0.23%
1,000,000		4/10/17		Metropolitan Life Global Funding I		0.70%		1,003,167		0.16%
1,240,000		5/27/16		National Rural Utilities Coop Fin Corp		0.66%		1,240,664		0.19%
1,000,000		3/1/17		New York Life Global Funding		1.13%		1,003,318		0.16%

 

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

 

 

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. Corporate Notes (continued)
Face Value		Maturity Date		Name		Yield1
Diversified financial services (continued)
$        8,500,000		11/25/16		Pricoa Global Funding I		1.15%		$               8,469,554		1.31%
1,800,000		12/1/17		Principal Life Global Funding II		0.98%		1,800,152		0.28%
1,158,000		3/7/16		State Street Corporation		2.88%		1,172,622		0.18%
1,757,000		12/13/16		USAA Capital Corporation		2.25%		1,787,773		0.28%
Energy
812,000		9/15/16		Anadarko Petroleum Corporation		5.95%		848,602		0.13%
1,000,000		8/1/16		Arizona Public Service Company		6.25%		1,052,152		0.16%
1,461,000		11/9/17		Chevron Corporation		0.72%		1,460,560		0.23%
500,000		9/15/16		Dayton Power and Light Company		1.88%		501,620		0.08%
5,750,000		4/3/17		Duke Energy Corporation		0.70%		5,751,540		0.89%
1,000,000		8/15/16		Georgia Power Company		0.76%		1,000,453		0.16%
3,350,000		12/1/17		Kinder Morgan, Inc.		2.00%		3,235,921		0.50%
2,000,000		2/1/16		ONEOK Partners, L.P.		3.25%		2,028,323		0.32%
4,778,000		7/15/16		Pioneer Natural Resources Company		5.88%		5,002,042		0.78%
1,500,000		5/15/16		Sierra Pacific Power Company		6.00%		1,537,909		0.24%
5,500,000		6/15/16		Spectra Energy Partners, LP		2.95%		5,511,061		0.86%
Engineering and construction
1,375,000		6/15/16		ABB Treasury Center (USA), Inc.		2.50%		1,383,400		0.21%
Healthcare
500,000		1/15/18		Anthem, Inc.		1.88%		502,578		0.08%
7,750,000		1/17/17		UnitedHealth Group Incorporated		0.77%		7,761,182		1.20%
2,695,000		9/26/16		Ventas Realty, Limited Partnership		1.55%		2,712,922		0.42%
3,775,000		4/1/18		Zimmer Biomet Holdings, Inc.		2.00%		3,774,019		0.59%
Manufacturing
700,000		7/11/17		John Deere Capital Corporation		0.77%		701,864		0.11%
Pharmaceutical
7,775,000		5/14/18		AbbVie Inc.		1.80%		7,755,563		1.20%
1,400,000		10/7/16		Bayer US Finance LLC		0.57%		1,401,153		0.22%
500,000		3/17/17		EMD FIN LLC		0.88%		499,452		0.08%
Retail
1,500,000		10/15/16		Lowe’s Companies, Inc.		5.40%		1,568,330		0.24%
2,000,000		3/1/16		The Home Depot, Inc.		5.40%		2,050,064		0.32%
Software
1,500,000		2/5/16		IBM		0.40%		1,500,557		0.23%
900,000		7/7/17		Oracle Corporation		0.52%		900,450		0.14%
Telecommunication
1,500,000		8/15/16		AT&T Inc.		2.40%		1,523,455		0.24%
2,150,000		9/15/16		Verizon Communications, Inc.		2.04%		2,170,327		0.34%
1,300,000		11/1/16		Verizon Communications, Inc.		2.00%		1,312,430		0.20%
4,800,000		6/9/17		Verizon Communications, Inc.		0.88%		4,793,185		0.74%
Transportation
4,500,000		10/28/16		Kansas City Southern		1.16%		4,496,674		0.70%
Total U.S. corporate notes (cost:  $198,467,053)								196,888,445		30.59%
Foreign Corporate Notes
Face Value		Maturity Date		Name		Yield1
Banks
$        1,810,000		1/22/16		ABN AMRO Bank N.V.		1.38%		1,821,127		0.28%
2,365,000		9/9/16		Bank of Tokyo-Mitsubishi UFJ, Ltd.		1.55%		2,380,844		0.37%
2,584,000		9/22/16		Barclays Bank PLC		5.00%		2,685,835		0.42%
800,000		1/29/18		Caisse Centrale Desjardins		0.99%		799,842		0.12%
2,000,000		9/20/16		Commonwealth Bank of Australia		1.07%		2,003,104		0.31%
1,800,000		5/26/17		Credit Suisse AG		1.38%		1,793,903		0.28%

 

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

 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

December 31, 2015

 

				Description				Fair Value		% of Partners’ Capital (Net Asset Value)
Foreign Corporate Notes (continued)
Face Value		Maturity Date		Name		Yield1
Banks (continued)
$        8,000,000		4/27/18		Credit Suisse AG		1.00%		$               7,959,269		1.23%
756,000		1/11/16		Deutsche Bank AG		3.25%		767,886		0.12%
3,700,000		5/24/16		HSBC Bank PLC		3.10%		3,743,250		0.58%
1,000,000		3/15/16		ING Bank N.V.		4.00%		1,018,058		0.16%
5,000,000		8/17/18		ING Bank N.V.		1.14%		5,024,448		0.78%
1,500,000		8/15/16		Macquarie Bank Limited		2.00%		1,517,041		0.24%
2,000,000		12/9/16		National Australia Bank Limited		0.73%		1,998,123		0.31%
5,000,000		7/23/18		National Australia Bank Limited		0.96%		5,006,135		0.78%
1,950,000		5/13/16		Nordea Bank AB		0.88%		1,952,066		0.30%
548,000		1/19/17		Rabobank Nederland		3.38%		568,507		0.09%
1,158,000		9/9/16		Royal Bank of Canada		1.45%		1,165,655		0.18%
1,200,000		1/18/16		Sumitomo Mitsui Bank		0.90%		1,204,890		0.19%
1,800,000		7/12/16		Svenska Handelsbanken AB		3.13%		1,846,627		0.29%
1,500,000		7/23/18		Toronto-Dominion Bank		0.86%		1,497,653		0.23%
Diversified financial services
1,012,000		4/15/16		GE Capital International Funding Co.		0.96%		1,012,921		0.16%
Energy
750,000		3/11/16		BP Capital Markets P.L.C.		3.20%		760,566		0.12%
4,800,000		5/9/16		CNOOC Finance (2013) Limited		1.13%		4,798,968		0.75%
1,000,000		5/10/17		Shell International Finance B.V.		0.66%		999,488		0.16%
1,000,000		1/15/16		TransCanada PipeLines Limited		0.75%		1,003,288		0.16%
Holding company
222,000		1/13/17		Hutchison Whampoa International (11) Ltd		3.50%		229,384		0.04%
Pharmaceutical
6,790,000		3/12/18		Actavis Funding SCS		1.58%		6,870,944		1.06%
Semiconductors
1,520,000		10/17/16		Siemens Financieringsmaatschappij N.V.		5.75%		1,592,129		0.25%
Telecommunication
1,287,000		9/8/16		America Movil SAB DE CV		2.38%		1,300,842		0.20%
1,300,000		4/11/16		Deutsche Telekom International Finance B.V.		3.13%		1,316,291		0.20%
1,000,000		2/16/16		Telefonica Emisiones, S.A.U.		3.99%		1,017,721		0.16%
Total foreign corporate notes (cost:  $67,851,993)								67,656,805		10.52%
Total corporate notes (cost:  $266,319,046)								264,545,250		41.11%
U.S. Asset Backed Securities
Face Value		Maturity Date		Name		Yield1
Automotive
$           700,000		3/15/18		Ally Auto Receivables Trust 2015-2		0.98%		699,431		0.11%
258,662		4/9/18		Americredit Automobile Receivables Tr 2014-4		0.68%		258,621		0.04%
1,300,000		1/8/19		AmeriCredit Automobile Receivables Trust 2006-A-F		1.07%		1,297,418		0.20%
513,173		2/8/19		AmeriCredit Automobile Receivables Trust 2006-A-F		0.90%		512,195		0.08%
317,374		1/15/21		Ari Fleet Lease Tr 2012-B		0.63%		316,798		0.05%
486,782		4/16/18		Bank of the West Auto Trust 2015-1		0.87%		486,202		0.08%
1,400,000		1/22/18		BMW Vehicle Lease Trust 2015-2		1.07%		1,396,601		0.22%
67,783		6/20/17		Capital Auto Receivables Asset Trust 2013-1		0.79%		67,786		0.01%
475,000		10/20/17		Capital Auto Receivables Asset Trust 2015-2		0.81%		474,265		0.07%
856,429		2/15/18		CarMax Auto Owner Trust 2014-4		0.67%		855,631		0.13%
1,117,496		6/15/18		CarMax Auto Owner Trust 2015-2		0.82%		1,115,167		0.17%
70,609		11/15/17		Drive Auto Receivables Tr 2015-A		1.01%		70,592		0.01%
220,808		12/15/17		Drive Auto Receivables Tr 2015-B		0.93%		220,621		0.03%

 

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

 

 

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. Asset Backed Securitiess (continued)
Face Value		Maturity Date		Name		Yield1
Automotive (continued)
$             55,476		3/20/19		Enterprise Fleet Financing, LLC		1.06%		$                    55,459		0.01%
345,000		5/15/18		Fifth Third Auto Trust 2015-1		1.02%		344,327		0.05%
600,000		5/15/18		Ford Credit Auto Lease 2015-B		1.04%		598,447		0.09%
217,000		9/15/17		Ford Credit Auto Lease Trust 2014-B		0.89%		216,793		0.03%
645,000		3/15/18		Ford Credit Auto Owner Trust 2012-D		0.67%		644,154		0.10%
754,588		8/15/17		Ford Credit Auto Owner Trust 2014-C		0.61%		754,540		0.12%
1,332,350		3/15/18		Ford Credit Auto Owner Trust 2015-B		0.72%		1,331,478		0.21%
500,000		7/20/19		GE Dealer Floorplan Master Note		0.78%		498,239		0.08%
1,073,001		1/15/19		Harley-Davidson Motorcycle Trust 2015-2		0.80%		1,069,918		0.17%
337,447		5/15/17		Honda Auto Receivables 2013-3 Owner Trust		0.77%		337,380		0.05%
2,262,218		9/18/17		Honda Auto Receivables 2013-4 Owner Trust		0.69%		2,260,433		0.36%
528,585		6/15/17		Honda Auto Receivables 2015-1 Owner Trust		0.70%		528,234		0.08%
500,000		11/20/17		Honda Auto Receivables 2015-3 Owner Tr		0.92%		499,511		0.08%
800,000		7/23/18		Honda Auto Receivables 2015-4 Owner Trust		0.82%		798,033		0.12%
1,900,000		11/15/17		Hyundai Auto Lease Securitization Tr 2014-B		0.98%		1,898,765		0.30%
821,121		10/16/17		Hyundai Auto Receivables Trust 2015-A		0.68%		820,891		0.13%
700,000		11/15/18		Hyundai Auto Receivables Trust 2015-C		0.99%		698,990		0.11%
1,020,000		1/16/18		Mercedes-Benz Auto Lease Trust 2015-B		1.00%		1,017,989		0.16%
1,767,624		11/15/17		Nissan Auto Lease Trust 2015-A		0.68%		1,766,793		0.27%
620,981		8/15/18		Nissan Auto Receivables 2013-C Owner Trust		0.67%		619,775		0.10%
581,520		6/15/17		Nissan Auto Receivables 2014-B Owner Trust		0.60%		581,275		0.09%
1,056,510		9/15/17		Nissan Auto Receivables 2015-A Owner Trust		0.67%		1,055,702		0.16%
215,904		11/21/17		Porsche Innovative Lease Owner Tr 2015-1		0.79%		215,439		0.03%
450,000		11/15/18		Santander Drive Auto Receivables Trust 2015-5		1.12%		449,482		0.07%
1,000,000		9/17/18		Santander Drive Auto Receivables Trust 2014-4		1.08%		999,912		0.16%
93,553		4/16/18		Santander Drive Auto Receivables Trust 2014-5		0.73%		93,469		0.01%
1,008,000		4/8/19		Santander Drive Auto Receivables Trust 2015-4		1.26%		1,006,995		0.16%
500,000		2/15/18		Toyota Auto Receivables 2015-C Owner Tr		0.66%		499,531		0.08%
512,648		8/21/17		Volkswagen Auto Loan Enhanced Trust 2013-1		0.56%		511,991		0.08%
549,589		4/20/18		Volkswagen Auto Loan Enhanced Trust 2013-2		0.70%		546,997		0.08%
400,000		10/22/18		Volkswagen Auto Loan Enhanced Trust 2014-1		0.91%		397,899		0.06%
Commercial mortgages
1,540,572		1/15/49		Banc of America Commercial Mortgage Trust 2007-1		5.43%		1,594,549		0.25%
419,268		5/10/45		Banc of America Commercial Mortgage Trust 2006-2		5.84%		422,547		0.07%
1,089,084		10/15/49		Citigroup Commercial Mortgage Trust 2006-C5		5.43%		1,108,596		0.17%
196,707		4/15/43		JPMorgan Chase & Co.		5.48%		197,562		0.03%
1,977,927		9/15/39		LB-UBS Commercial Mortgage Trust 2006-C6		5.37%		2,012,480		0.32%
1,098,139		12/12/49		ML-CFC Commercial Mortgage Trust 2006-4		5.17%		1,125,130		0.17%
467,442		2/12/44		Morgan Stanley Capital I Trust 2007-HQ11		0.45%		461,295		0.07%
Credit cards
1,000,000		1/15/20		BA Credit Card Trust		0.62%		997,953		0.16%
1,500,000		11/15/18		Capital One Multi-Asset Execution Trust		0.63%		1,500,323		0.23%
2,000,000		9/16/19		Capital One Multi-Asset Execution Trust		0.96%		1,997,970		0.31%
850,000		10/15/18		Chase Issuance Trust		1.01%		849,923		0.13%
2,000,000		9/7/18		Citibank Credit Card Issuance Trust		1.32%		2,012,261		0.32%
1,760,000		11/7/18		Citibank Credit Card Issuance Trust		0.57%		1,760,731		0.27%
1,500,000		2/22/19		Citibank Credit Card Issuance Trust