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EX-32.2 - CERTIFICATION OF CHIEF FINANCIAL OFFICER - FUTURES PORTFOLIO FUND L.P.ex32-2.htm
EX-32.1 - CERTIFICATION OF CHIEF EXECUTIVE OFFICER - FUTURES PORTFOLIO FUND L.P.ex32-1.htm
EX-31.2 - CERTIFICATION OF CHIEF FINANCIAL OFFICER - FUTURES PORTFOLIO FUND L.P.ex31-2.htm
EX-31.1 - CERTIFICATION OF CHIEF EXECUTIVE OFFICER - FUTURES PORTFOLIO FUND L.P.ex31-1.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 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.

 

1 

 

 

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.

 

2 

 

 

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.

 

3 

 

 

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.

 

4 

 

 

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.

 

5 

 

 

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.

 

6 

 

 

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.

 

7 

 

 

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.

8 

 

 

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.

 

9 

 

 

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.

 

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   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.

 

12 

 

 

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.

 

13 

 

 

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.

 

14 

 

 

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.

 

15 

 

 

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