Attached files
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE
SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended 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 | 1.02% | 1,501,889 | 0.23% | ||||||
1,000,000 | 3/15/21 | World Financial Network Credit Card Master Note Trust | 1.26% | 997,240 | 0.15% | ||||||
Other | |||||||||||
1,072,358 | 8/15/18 | CNH Equipment Trust 2013-B | 0.69% | 1,070,863 | 0.17% | ||||||
926,407 | 2/15/18 | John Deere Owner Trust 2015 | 0.87% | 925,544 | 0.14% | ||||||
338,929 | 12/15/17 | Kubota Credit Owner Trust 2015-1 | 0.94% | 338,921 | 0.05% |
The accompanying notes are an integral part of these consolidated financial statements.
16
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 | ||||||||
Student loans | |||||||||||
$ 46,674 | 5/16/22 | Navient Private Ed Loan Tr 2014-A | 0.81% | $ 46,591 | 0.01% | ||||||
139,582 | 8/15/23 | SLM Private Ed Loan Tr 2012-C | 1.43% | 139,847 | 0.02% | ||||||
49,088 | 8/15/25 | SLM Private Education Loan Trust 2012-A | 1.73% | 49,337 | 0.01% | ||||||
247,119 | 10/16/23 | SLM Private Education Loan Trust 2012-E | 1.08% | 246,891 | 0.04% | ||||||
Total U.S. asset backed securities (cost: $52,447,431) | 52,248,612 | 8.12% | |||||||||
Total investments in securities (cost: $453,001,973) | $ 451,049,033 | 70.09% | |||||||||
CERTIFICATES OF DEPOSIT | |||||||||||
U.S. Certificates of Deposit | |||||||||||
Face Value | Maturity Date | Name | Yield1 | ||||||||
Banks | |||||||||||
$ 1,000,000 | 9/16/16 | Credit Suisse Group AG | 0.88% | $ 1,002,097 | 0.16% | ||||||
1,622,000 | 5/24/17 | National Bank of Canada | 0.78% | 1,622,403 | 0.25% | ||||||
2,000,000 | 2/13/17 | Nordea Bank Finland PLC | 0.64% | 2,000,778 | 0.31% | ||||||
2,000,000 | 3/11/16 | Norinchukin Bank (NY Branch) | 0.50% | 2,002,796 | 0.31% | ||||||
1,000,000 | 10/14/16 | Royal Bank of Canada | 0.57% | 1,000,418 | 0.16% | ||||||
1,200,000 | 8/4/16 | Standard Chartered Bank | 0.80% | 1,203,192 | 0.19% | ||||||
850,000 | 2/12/16 | Sumitomo Mitsui Bank (NY Branch) | 0.52% | 853,973 | 0.13% | ||||||
1,500,000 | 8/8/16 | Toronto-Dominion Bank | 0.75% | 1,503,773 | 0.23% | ||||||
2,000,000 | 11/8/16 | Toronto-Dominion Bank | 1.00% | 2,002,927 | 0.31% | ||||||
1,800,000 | 10/21/16 | Westpac Banking Corporation | 0.57% | 1,801,450 | 0.28% | ||||||
Total U.S. certificates of deposit (cost: $14,970,784) | 14,993,807 | 2.33% | |||||||||
Foreign Certificates of Deposit | |||||||||||
Face Value | Maturity Date | Name | Yield1 | ||||||||
Banks | |||||||||||
$ 2,200,000 | 5/9/16 | Bank of Nova Scotia | 0.50% | 2,200,684 | 0.34% | ||||||
1,800,000 | 5/23/17 | Canadian Imperial Bank of Commerce | 0.73% | 1,800,350 | 0.28% | ||||||
2,000,000 | 2/19/16 | Landesbank Hessen-Thuringen Girozentrale | 0.57% | 2,010,319 | 0.31% | ||||||
705,000 | 8/17/16 | Svenska Handelsbanken AB | 0.54% | 705,318 | 0.11% | ||||||
1,000,000 | 12/7/17 | Svenska Handelsbanken AB | 0.93% | 1,000,031 | 0.16% | ||||||
Total foreign certificates of deposit (cost: $7,702,458) | 7,716,702 | 1.20% | |||||||||
Total certificates of deposit (cost: $22,673,242) | $ 22,710,509 | 3.53% |
The accompanying notes are an integral part of these consolidated financial statements.
17
Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
December 31, 2015
Description | Fair Value | % of Partners’ Capital (Net Asset Value) |
|||||||||||
OPEN FUTURES CONTRACTS | |||||||||||||
Long U.S. Futures Contracts | |||||||||||||
Agricultural commodities | $ | (87,790) | (0.01)% | ||||||||||
Currencies | (13,903) | (0.00)% | |||||||||||
Energy | (71,925) | (0.01)% | |||||||||||
Equity indices | (267,223) | (0.04)% | |||||||||||
Interest rate instruments | (1,919,882) | (0.30)% | |||||||||||
Metals | (2,395,884) | (0.38)% | |||||||||||
Single stock futures | 80,372 | 0.01% | |||||||||||
Net unrealized gain (loss) on open long U.S. futures contracts | (4,676,235) | (0.73)% | |||||||||||
Short U.S. Futures Contracts | |||||||||||||
Agricultural commodities | 1,382,973 | 0.21% | |||||||||||
Currencies | 1,781,349 | 0.28% | |||||||||||
Energy | 3,397,258 | 0.53% | |||||||||||
Equity indices | (155,214) | (0.02)% | |||||||||||
Interest rate instruments | 432,469 | 0.07% | |||||||||||
Metals | 5,114,526 | 0.79% | |||||||||||
Single stock futures | 59,932 | 0.01% | |||||||||||
Net unrealized gain (loss) on open short U.S. futures contracts | 12,013,293 | 1.87% | |||||||||||
Total U.S. Futures Contracts - Net unrealized gain (loss) on open U.S. futures contracts | 7,337,058 | 1.14% | |||||||||||
Long Foreign Futures Contracts | |||||||||||||
Agricultural commodities | 92,172 | 0.01% | |||||||||||
Currencies | 113,487 | 0.02% | |||||||||||
Equity indices | (257,076) | (0.04)% | |||||||||||
Interest rate instruments | (2,743,226) | (0.42)% | |||||||||||
Metals | 1,805 | 0.00% | |||||||||||
Single stock futures | 929 | 0.00% | |||||||||||
Net unrealized gain (loss) on open long foreign futures contracts | (2,791,909) | (0.43)% | |||||||||||
Short Foreign Futures Contracts | |||||||||||||
Agricultural commodities | 82,706 | 0.01% | |||||||||||
Currencies | 218,328 | 0.03% | |||||||||||
Energy | 260,934 | 0.04% | |||||||||||
Equity indices | (747,330) | (0.11)% | |||||||||||
Interest rate instruments | 34,671 | 0.01% | |||||||||||
Metals | 20,191 | 0.00% | |||||||||||
Single stock futures | (1,971) | (0.00)% | |||||||||||
Net unrealized gain (loss) on open short foreign futures contracts | (132,471) | (0.02)% | |||||||||||
Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts | (2,924,380) | (0.45)% | |||||||||||
Net unrealized gain (loss) on open futures contracts | $ | 4,412,678 | 0.69% | ||||||||||
The accompanying notes are an integral part of these consolidated financial statements.
18
Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
December 31, 2015
Description | Fair Value | % of Partners’ Capital (Net Asset Value) |
|||||||||||
OPEN FORWARD CURRENCY CONTRACTS | |||||||||||||
U.S. Forward Currency Contracts | |||||||||||||
Long | $ | (153,940) | (0.02)% | ||||||||||
Short | 87,056 | 0.01% | |||||||||||
Net unrealized gain (loss) on open U.S. forward currency contracts | (66,884) | (0.01)% | |||||||||||
Foreign Forward Currency Contracts | |||||||||||||
Long | 713,075 | 0.11% | |||||||||||
Short | (2,260,682) | (0.35)% | |||||||||||
Net unrealized gain (loss) on open foreign forward currency contracts | (1,547,607) | (0.24)% | |||||||||||
Net unrealized gain (loss) on open forward currency contracts | $ | (1,614,491) | (0.25)% | ||||||||||
TOTAL RETURN SWAP CONTRACT | |||||||||||||
Termination Date | Counterparty | ||||||||||||
4/1/19 | Deutsche Bank, AG | $ | 3,440,896 | 0.53% |
Comprised of a proprietary basket of Commodity Trading Advisor’s (“CTA”) programs investing in various futures, forwards and currency derivative contracts and other similar investments. See Notes 2 and 3.
1 Represents the annualized yield at date of purchase for discount securities, the stated coupon rate for coupon-bearing securities, or the stated interest rate for certificates of deposit.
2 No individual futures or forward currency contract position constituted one percent or greater of partners’ capital (net asset value). Accordingly, the number of contracts and expiration dates are not presented.
The accompanying notes are an integral part of these consolidated financial statements.
19
Futures Portfolio Fund, Limited Partnership
Consolidated Statements of Operations
For the Three and Six Months Ended June 30, 2016 and 2015 (unaudited)
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2016 | 2015 | 2016 | 2015 | |||||||||||||
Realized and change in unrealized gain (loss) on investments | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Futures, forward currency and swap contracts | $ | (22,350,265 | ) | $ | (50,823,797 | ) | $ | 31,797,481 | $ | 24,617,746 | ||||||
Investments in securities and CDs | (420,406 | ) | 41,512 | (312,981 | ) | (566,771 | ) | |||||||||
Net change in unrealized gain (loss) on: | ||||||||||||||||
Futures, forward currency and swap contracts | 26,857,511 | (32,031,153 | ) | 27,103,902 | (40,153,822 | ) | ||||||||||
Investments in securities and CDs | 1,252,068 | (237,131 | ) | 1,298,167 | 801,986 | |||||||||||
Brokerage commissions and trading expenses | (1,381,656 | ) | (1,498,259 | ) | (2,574,262 | ) | (3,006,421 | ) | ||||||||
Net realized and change in unrealized gain (loss) on investments | 3,957,252 | (84,548,828 | ) | 57,312,307 | (18,307,282 | ) | ||||||||||
Net investment income (loss) | ||||||||||||||||
Income | ||||||||||||||||
Interest income | 1,270,605 | 803,034 | 2,419,964 | 1,564,756 | ||||||||||||
Expenses | ||||||||||||||||
Trading Advisor management fee | 2,075,184 | 2,396,807 | 4,169,066 | 4,945,200 | ||||||||||||
Trading Advisor incentive fee | 1,420,218 | 1,843 | 3,298,796 | 9,348,716 | ||||||||||||
Cash manager fees | 125,110 | 117,969 | 248,931 | 238,303 | ||||||||||||
General Partner management and performance fees | 2,295,847 | 2,653,296 | 4,773,385 | 5,542,063 | ||||||||||||
Selling agent and broker dealer servicing fees – General Partner | 2,129,383 | 2,413,631 | 4,434,242 | 5,009,958 | ||||||||||||
General Partner 1% allocation | (41,963 | ) | (906,791 | ) | 391,629 | (425,811 | ) | |||||||||
Administrative expenses – General Partner | 439,971 | 518,053 | 934,652 | 1,096,407 | ||||||||||||
Investment Manager fees | 363,321 | 260,124 | 651,739 | 499,999 | ||||||||||||
Distribution (12b-1) fees | 6,757 | 5,560 | 13,277 | 8,152 | ||||||||||||
Operating services fee | 49,827 | 104,049 | 133,126 | 199,999 | ||||||||||||
Total expenses | 8,863,655 | 7,564,541 | 19,048,843 | 26,462,986 | ||||||||||||
Net investment income (loss) | (7,593,050 | ) | (6,761,507 | ) | (16,628,879 | ) | (24,898,230 | ) | ||||||||
Net income (loss) | (3,635,798 | ) | (91,310,335 | ) | 40,683,428 | (43,205,512 | ) | |||||||||
Less: net (income) loss attributable to non-controlling interest | (518,534 | ) | 1,538,081 | (1,912,169 | ) | 1,049,751 | ||||||||||
Net income (loss) attributable to the Fund | $ | (4,154,332 | ) | $ | (89,772,254 | ) | $ | 38,771,259 | $ | (42,155,761 | ) |
Three Months Ended June 30, | ||||||||||||||||||||||||
2016 | 2015 | |||||||||||||||||||||||
Class A | Class B | Class I | Class A | Class B | Class I | |||||||||||||||||||
Increase (decrease) in net asset value per unit | $ | (32.63 | ) | $ | (18.55 | ) | $ | (0.37 | ) | $ | (561.58 | ) | $ | (781.49 | ) | $ | (121.92 | ) | ||||||
Net income (loss) per unit† | $ | (38.09 | ) | $ | (19.45 | ) | $ | (0.36 | ) | $ | (566.53 | ) | $ | (788.09 | ) | $ | (121.99 | ) | ||||||
Weighted average number of units outstanding | 92,741.3442 | 31,881.5810 | 3,828.4541 | 104,032.4976 | 38,533.1209 | 3,826.1262 | ||||||||||||||||||
Six Months Ended June 30, | ||||||||||||||||||||||||
2016 | 2015 | |||||||||||||||||||||||
Class A | Class B | Class I | Class A | Class B | Class I | |||||||||||||||||||
Increase (decrease) in net asset value per unit | $ | 249.77 | $ | 422.59 | $ | 72.02 | $ | (282.49 | ) | $ | (351.59 | ) | $ | (52.98 | ) | |||||||||
Net income (loss) per unit† | $ | 258.59 | $ | 435.87 | $ | 72.03 | $ | (280.28 | ) | $ | (317.95 | ) | $ | (60.38 | ) | |||||||||
Weighted average number of units outstanding | 94,370.1251 | 32,330.7179 | 3,828.4541 | 104,647.7096 | 39,640.4237 | 3,660.2025 |
† (based on weighted average number of units outstanding during the period)
The accompanying notes are an integral part of these consolidated financial statements.
20
Futures Portfolio Fund, Limited Partnership
Consolidated Statements of Cash Flows
For the Six Months Ended June 30, 2016 and 2015 (unaudited)
2016 | 2015 | |||||||
Cash flows from operating activities | ||||||||
Net income (loss) | $ | 40,683,428 | $ | (43,205,512 | ) | |||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities | ||||||||
Net change in unrealized (gain) loss from futures, forwards and swap trading | (27,103,902 | ) | 40,153,822 | |||||
Net realized and change in unrealized (gain) loss on securities and certificates of deposit | (985,186 | ) | (235,215 | ) | ||||
Purchases of securities and certificates of deposit | (493,632,646 | ) | (614,104,028 | ) | ||||
Proceeds from disposition of securities and certificates of deposit | 488,986,782 | 629,107,189 | ||||||
Changes in | ||||||||
Trading Advisor management fee payable | (185,479 | ) | 94,948 | |||||
Trading Advisor incentive fee payable | 1,574,419 | (10,977,066 | ) | |||||
Commissions and other trading fees payable on open contracts | (29,612 | ) | (13,775 | ) | ||||
Cash Managers fees payable | 4,678 | 48,441 | ||||||
General Partner management and performance fees payable | (5,585 | ) | (101,791 | ) | ||||
General Partner 1% allocation receivable/payable | 663,059 | (964,096 | ) | |||||
Selling agent and broker dealer servicing fees payable – General Partner | (11,435 | ) | (74,703 | ) | ||||
Administrative expenses payable – General Partner | (2,359 | ) | (21,340 | ) | ||||
Investment Manager fee payable | 36,841 | 10,036 | ||||||
Distribution (12b-1) fees payable | 76 | 1,771 | ||||||
Operating services fee payable | (16,997 | ) | 4,015 | |||||
Net cash provided by (used in) operating activities | 9,976,082 | (277,304 | ) | |||||
Cash flows from financing activities | ||||||||
Subscriptions | 8,123,501 | 21,378,150 | ||||||
Subscriptions received in advance | 1,657,373 | 5,265,159 | ||||||
Redemptions | (52,976,439 | ) | (62,508,692 | ) | ||||
Non-controlling interest – subscriptions | 5,605,676 | 17,580,245 | ||||||
Non-controlling interest – redemptions | (2,549,717 | ) | (1,430,429 | ) | ||||
Net cash provided by (used in) financing activities | (40,139,606 | ) | (19,715,567 | ) | ||||
Net increase (decrease) in cash and cash equivalents | (30,163,524 | ) | (19,992,871 | ) | ||||
Cash and cash equivalents, beginning of period | 179,026,770 | 269,943,729 | ||||||
Cash and cash equivalents, end of period | $ | 148,863,246 | $ | 249,950,858 | ||||
End of period cash and cash equivalents consists of | ||||||||
Cash in broker trading accounts | $ | 114,257,286 | $ | 227,661,667 | ||||
Cash and cash equivalents | 34,605,960 | 22,289,191 | ||||||
Total end of period cash and cash equivalents | $ | 148,863,246 | $ | 249,950,858 | ||||
Supplemental disclosure of cash flow information | ||||||||
Prior period redemptions paid | $ | 11,143,201 | $ | 10,423,609 | ||||
Prior period subscriptions received in advance | $ | 1,086,965 | $ | 2,577,065 | ||||
Supplemental schedule of non-cash financing activities | ||||||||
Redemptions payable | $ | 9,596,232 | $ | 9,873,363 |
The accompanying notes are an integral part of these consolidated financial statements.
21
Futures Portfolio Fund, Limited Partnership
Consolidated Statements of Changes in Partners’ Capital (Net Asset Value)
For the Six Months Ended June 30, 2016 and 2015 (unaudited)
Class A | Class B | Class I | Non-Controlling Interest |
|||||||||||||||||||||||||||||
Units | Amount | Units | Amount | Units | Amount | Amount | Total | |||||||||||||||||||||||||
Six Months Ended June 30, 2016 | ||||||||||||||||||||||||||||||||
Balance at December 31, 2015 | 98,034.9581 | $ | 412,948,548 | 33,265.6588 | $ | 204,329,032 | 3,828.4541 | $ | 3,767,830 | $ | 22,540,476 | $ | 643,585,886 | |||||||||||||||||||
Net income (loss) | 24,403,386 | 14,092,124 | 275,749 | 1,912,169 | 40,683,428 | |||||||||||||||||||||||||||
Subscriptions | 1,051.8622 | 4,654,291 | 711.7583 | 4,556,175 | — | — | 5,725,091 | 14,935,557 | ||||||||||||||||||||||||
Redemptions | (7,266.2609 | ) | (32,372,868 | ) | (2,919.3809 | ) | (19,003,573 | ) | — | — | (2,602,746 | ) | (53,979,187 | ) | ||||||||||||||||||
Transfers | (581.0258 | ) | (2,519,419 | ) | 395.9536 | 2,519,419 | — | — | — | — | ||||||||||||||||||||||
Balance at June 30, 2016 | 91,239.5336 | $ | 407,113,938 | 31,453.9898 | $ | 206,493,177 | 3,828.4541 | $ | 4,043,579 | $ | 27,574,990 | $ | 645,225,684 | |||||||||||||||||||
Six Months Ended June 30, 2015 | ||||||||||||||||||||||||||||||||
Balance at December 31, 2014 | 106,074.0114 | $ | 468,243,719 | 41,522.9665 | $ | 262,572,733 | 3,438.9708 | $ | 3,455,693 | $ | 7,282,068 | $ | 741,554,213 | |||||||||||||||||||
Net income (loss) | (29,330,966 | ) | (12,603,793 | ) | (221,002 | ) | (1,049,751 | ) | (43,205,512 | ) | ||||||||||||||||||||||
Subscriptions | 3,732.8618 | 16,916,811 | 1,017.5526 | 6,628,403 | 389.4833 | 410,001 | 18,777,599 | 42,732,814 | ||||||||||||||||||||||||
Redemptions | (4,983.9123 | ) | (22,489,838 | ) | (6,128.3851 | ) | (39,367,156 | ) | — | — | (1,531,881 | ) | (63,388,875 | ) | ||||||||||||||||||
Transfers | (646.8360 | ) | (2,903,813 | ) | 449.0664 | 2,903,813 | — | — | — | — | ||||||||||||||||||||||
Balance at June 30, 2015 | 104,176.1249 | $ | 430,435,913 | 36,861.2004 | $ | 220,134,000 | 3,828.4541 | $ | 3,644,692 | $ | 23,478,035 | $ | 677,692,640 | |||||||||||||||||||
Net Asset Value per Unit | |||||||||||||
Class A | Class B | Class I | |||||||||||
June 30, 2016 | 4,462.03 | 6,564.93 | 1,056.19 | ||||||||||
December 31, 2015 | 4,212.26 | 6,142.34 | 984.17 | ||||||||||
June 30, 2015 | 4,131.81 | 5,971.97 | 952.00 | ||||||||||
December 31, 2014 | 4,414.30 | 6,323.56 | 1,004.98 |
The accompanying notes are an integral part of these consolidated financial statements.
22
Futures Portfolio Fund, Limited Partnership
Notes to Consolidated Financial Statements
1. | Organization and Summary of Significant Accounting Policies |
Description of the Fund
Futures Portfolio Fund, Limited Partnership (“Fund”) is a Maryland limited partnership, which operates as a commodity investment pool, commenced trading operations on January 2, 1990. The Fund issues units of limited partner interests (“Units”) in three classes, Class A, B and I, which represent units of fractional undivided beneficial interest in and ownership of the Fund. The Fund will automatically terminate on December 31, 2025, unless terminated earlier as provided in the Third Amended and Restated Limited Partnership Agreement (“Partnership Agreement”).
The Fund uses commodity trading advisors to engage in the speculative trading of futures contracts, forward currency contracts and other financial instruments traded in the United States (“U.S.”) and internationally.
The Fund is a registrant with the U.S. Securities and Exchange Commission (“SEC”) pursuant to the U.S. Securities Exchange Act of 1934, as amended (“1934 Act”). As a registrant, the Fund is subject to the regulations of the SEC and the disclosure requirements of the 1934 Act. As a commodity pool, the Fund is subject to the regulations of the U.S. Commodity Futures Trading Commission (“CFTC”), an agency of the U.S. Government, which regulates most aspects of the commodity futures industry; rules of the National Futures Association (“NFA”), an industry self-regulatory organization; rules of Financial Industry Regulatory Authority (“FINRA”), an industry self-regulatory organization; and the requirements of commodity exchanges where the Fund executes transactions. Additionally, the Fund is subject to the requirements of the futures brokers and interbank market makers through which the Fund trades.
Steben & Company, Inc. (“General Partner”), is the general partner of the Fund and a Maryland corporation registered with the CFTC as a commodity pool operator and a commodities introducing broker, and is also registered with the SEC as a registered investment advisor and a broker dealer. The General Partner is a member of the NFA and FINRA. The General Partner manages all aspects of the Fund’s business and serves as one of the Fund’s selling agents.
The three classes of Units in the Fund differ only in the fees applicable to each class. Class A Units are subject to a 2% per annum selling agent fee and class B Units are subject to a 0.2% per annum broker dealer servicing fee. Class I Units are subject to higher minimum investments requirements and lower General Partner Management Fees (0.75% per annum instead of 1.50% per annum) as well as a General Partner performance fee (7.5% of new profits, described more fully in Note 4).
During 2014, the Fund purchased $58.5 million of Class I shares of the Steben Managed Futures Strategy Fund (“SMFF”). SMFF is a non-diversified series of shares of beneficial interest of Steben Alternative Investment Fund (the “Trust”), a statutory trust organized under the laws of the State of Delaware, and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. SMFF issues four classes of shares: Class A, C, I and N. At June 30, 2016, the Fund owned 68% of the outstanding shares of SMFF and therefore had effective control of that entity. Accordingly, the assets, liabilities and operating results of SMFF have been consolidated with the Fund. The portion of SMFF that is not owned by the Fund is presented as the non-controlling interest. SMFF has a similar investment strategy to the Fund, using commodity trading advisors to engage in the speculative trading of futures contracts, forward currency contracts and other financial instruments. Prior to March 2016, SMFF used a total return swap to gain access to the gains and losses of a basket of trading advisors. The General Partner serves as the investment manager of SMFF. During 2015, the Fund redeemed $7 million of its investment in SMFF, which is eliminated in consolidation. The Fund has made no redemptions during 2016.
Significant Accounting Policies
Accounting Principles
The Fund’s consolidated financial statements are prepared in conformity with U.S. generally accepted accounting principles (“GAAP”).
Consolidation
The accompanying consolidated financial statements include the accounts of the Fund and SMFF, for which the Fund was the majority shareholder. Intercompany accounts and transactions have been eliminated in consolidation.
23
Use of Estimates
Preparing consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the consolidated financial statements and accompanying notes. Actual results could differ from those estimates.
Revenue Recognition
Futures, forward currency contracts, investments in securities, and certificates of deposit are recorded on a trade date basis, and gains or losses are realized when contracts/positions are liquidated. Realized gains and losses on investments in securities and certificates of deposit are determined on a specific identification basis and are included in net realized and change in unrealized gain (loss) in the consolidated statements of operations. Unrealized gains and losses on open contracts (the difference between contract trade price and fair value) are reported in the consolidated statements of financial condition as net unrealized gain or loss, as there exists a right of offset of any unrealized gains or losses. The difference between cost and the fair value of open investments in securities and certificates of deposit is reflected as unrealized gain or loss on investments in securities and certificates of deposit. Any change in net unrealized gain or loss from the preceding period is reported in the consolidated statements of operations. Interest income earned on investments in securities, certificates of deposit and other cash and cash equivalent balances is recorded on an accrual basis.
Fair Value of Financial Instruments
Financial instruments are recorded at fair value, the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants. Assets and liabilities recorded at fair value are classified within a fair value hierarchy based upon the level of judgment associated with the inputs used to measure their value. This fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The three levels of the fair value hierarchy are described below:
Level 1 – | Fair value is based on unadjusted quoted prices for identical instruments in active markets. Financial instruments utilizing Level 1 inputs include futures contracts, U.S. Treasury securities and money market funds. |
Level 2 – | Fair value is based on quoted prices for similar instruments in active markets and inputs other than quoted prices that are observable for the financial instrument, such as interest rates and yield curves that are observable at commonly quoted intervals using a market approach. Financial instruments utilizing Level 2 inputs include forward currency contracts, swaps, commercial paper, corporate notes, certificates of deposit, asset backed securities and U.S. government sponsored enterprise notes. |
Level 3 – | Fair value is based on valuation techniques in which one or more significant inputs are unobservable. The Fund has no financial instruments utilizing Level 3 inputs. |
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an instrument’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The Fund’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment.
The Fund assesses the classification of the instruments at each measurement date, and any transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Fund’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. For the period ended June 30, 2016 and year ended December 31, 2015, there were no such transfers between levels.
A description of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis follows.
U.S. Treasury securities are recorded at fair value based on bid and ask quotes for identical instruments. Commercial paper, certificates of deposit, corporate notes, asset backed securities and U.S. government sponsored enterprise notes are recorded at fair value based on bid and ask quotes for similar, but not identical, instruments. Accordingly, U.S. Treasury securities are classified within Level 1, and commercial paper, certificates of deposit, corporate notes, asset backed securities and U.S. government sponsored enterprise notes are classified within Level 2.
The investment in a money market fund, included in cash and cash equivalents in the consolidated statements of financial condition, and futures contracts, all of which are exchange-traded, are valued using quoted market prices for identical assets and are classified within Level 1. The fair values of forward currency contracts are based upon third-party quoted dealer values on the interbank market and are classified within Level 2. The fair value of the swap investment is based on quoted market prices for the underlying contracts of the trading advisor programs within the swap and is classified within Level 2.
24
Cash and Cash Equivalents
Cash and cash equivalents may include cash, funds held in money market accounts and short-term investments with maturities of three months or less at the date of acquisition and that are not held for sale in the normal course of business. The Fund maintains deposits with financial institutions in amounts that are in excess of federally insured limits; however, the Fund does not believe it is exposed to any significant credit risk.
Brokerage Commissions and Trading Expenses
Brokerage commissions and trading expenses include brokerage and other trading fees, and are charged to expense when contracts are opened and closed.
Redemptions Payable
Redemptions payable represent redemptions that meet the requirements of the Fund and have been approved by the General Partner prior to period-end. These redemptions have been recorded using the period-end net asset value per Unit.
Income Taxes
The Fund prepares calendar year U.S. and applicable state and local tax returns. The Fund is not subject to federal income taxes as each partner is individually liable for his or her allocable share of the Fund’s income, expenses and trading gains or losses. The Fund evaluates the tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are more-likely-than-not to be sustained when examined by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense and asset or liability in the current year. Management has determined there are no material uncertain income tax positions through June 30, 2016. With few exceptions, the Fund is no longer subject to U.S. federal, or state and local income tax examinations by tax authorities for years before 2012.
Foreign Currency Transactions
The Fund has certain investments denominated in foreign currencies. The purchase and sale of investments, and income and expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of investments held. Such fluctuations are included with the net realized and change in unrealized gain or loss on such investments in the consolidated statements of operations.
Swap Agreement
Through its investment in SMFF, the Fund had a total return swap agreement with Deutsche Bank AG. This two-party contract was entered to exchange, or swap, the returns realized on a basket of CTA programs. At December 31, 2015, the notional value of the swap was $98,065,907 and SMFF had provided $12,796,500 as collateral. The collateral was included in cash in broker trading accounts in the consolidated statements of financial condition. Effective March 1, 2016, SMFF terminated the swap agreement. All proceeds from the swap, as well as the collateral, were received by SMFF prior to March 31, 2016.
Reclassification
Certain amounts reported in the 2015 consolidated financial statements may have been reclassified to conform to the 2016 presentation without affecting previously reported partners’ capital (net asset value) or net income (loss).
New Accounting Pronouncements
Revenue from Contracts with Customers
In May 2014, the Financial Accounting Standards Board issued guidance that replaces the existing accounting standards for revenue recognition. The guidance provides a new model to determine when and over what period revenue is recognized. Under this new model, revenue is recognized as goods or services are delivered in an amount that reflects the consideration to be received. In March 2016, the FASB issued an Accounting Standards Update (“ASU”), Revenue from Contracts with Customers: Principal versus Agent Considerations (Reporting Revenue Gross versus Net), which clarifies the principal versus agent guidance in the new revenue recognition standard. In April 2016, the FASB issued an ASU, Revenue from Contracts with Customers: Identifying Performance Obligations and Licensing, which clarifies the guidance on accounting for licenses of intellectual property and identifying performance obligations in the new revenue recognition standard. In May 2016, the FASB issued an ASU, Revenue from Contracts with Customers: Narrow-Scope Improvements and Practical Expedient, which clarifies the transition, collectability, noncash consideration and the presentation of sales and other similar taxes in the new revenue recognition standard. The guidance is effective for fiscal years beginning after December 15, 2017; early adoption is permitted for periods beginning after December 15, 2016. The new standard is required to be applied retrospectively to each prior reporting period presented or retrospectively with the cumulative effect of initially applying it recognized at the date of initial application. The Fund does not expect any material change as a result of adopting this guidance.
25
Business Combinations
In December 2014, the FASB issued guidance that supplements existing accounting standards for business combinations. The guidance provides clarification concerning accounting for identifiable intangible assets in a business combination. This standard is effective beginning the first quarter of the Fund’s 2016 fiscal year.
2. | Fair Value Disclosures |
The Fund’s assets and liabilities, measured at fair value on a recurring basis, are summarized in the following tables by the type of inputs applicable to the fair value measurements:
At June 30, 2016 | ||||||||||||
Level 1 | Level 2 | Total | ||||||||||
Equity in broker trading accounts: | ||||||||||||
Net unrealized gain (loss) on open futures contracts* | $ | 29,272,138 | $ | — | $ | 29,272,138 | ||||||
Net unrealized gain (loss) on open forward currency contracts* | — | 4,070,847 | 4,070,847 | |||||||||
Cash and cash equivalents: | ||||||||||||
Money market fund | 24,120,459 | — | 24,120,459 | |||||||||
Investments in securities: | ||||||||||||
U.S. Treasury securities* | 73,613,766 | — | 73,613,766 | |||||||||
Asset backed securities* | — | 52,380,686 | 52,380,686 | |||||||||
Commercial paper* | — | 68,328,376 | 68,328,376 | |||||||||
Corporate notes* | — | 256,071,133 | 256,071,133 | |||||||||
Certificates of deposit* | — | 28,996,631 | 28,996,631 | |||||||||
Total | $ | 127,006,363 | $ | 409,847,673 | $ | 536,854,036 |
*See the consolidated condensed schedule of investments for further description.
At December 31, 2015 | ||||||||||||
Level 1 | Level 2 | Total | ||||||||||
Equity in broker trading accounts: | ||||||||||||
Net unrealized gain (loss) on open futures contracts* | $ | 4,412,678 | $ | — | $ | 4,412,678 | ||||||
Net unrealized gain (loss) on open forward currency contracts* | — | (1,614,491 | ) | (1,614,491 | ) | |||||||
Net unrealized gain (loss) on swap contract* | — | 3,440,896 | 3,440,896 | |||||||||
Cash and cash equivalents: | ||||||||||||
Money market fund | 7,814,672 | — | 7,814,672 | |||||||||
Investments in securities: | ||||||||||||
U.S. Treasury securities* | 76,996,959 | — | 76,996,959 | |||||||||
Asset backed securities* | — | 52,248,612 | 52,248,612 | |||||||||
Commercial paper* | — | 57,258,212 | 57,258,212 | |||||||||
Corporate notes* | — | 264,545,250 | 264,545,250 | |||||||||
Certificates of deposit* | — | 22,710,509 | 22,710,509 | |||||||||
Total | $ | 89,224,309 | $ | 398,588,988 | $ | 487,813,297 |
*See the consolidated condensed schedule of investments for further description.
There were no Level 3 holdings at June 30, 2016 and December 31, 2015, or during the periods then ended.
In addition to the financial instruments listed above, substantially all of the Fund’s other assets and liabilities are considered financial instruments and are reflected at fair value, or at carrying amounts that approximate fair value because of the short maturity of the instruments.
3. | Derivative Instruments Disclosures |
The Fund’s derivative contracts are comprised of futures and forward currency contracts, none of which are designated as hedging instruments. At June 30, 2016, the Fund’s derivative contracts had the following impact on the consolidated statements of financial condition:
26
June 30, 2016 | Derivative Assets and Liabilities, at fair value | |||||||||||
Consolidated Statements of Financial Condition Location | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statements of Financial Condition | Net Amount of Assets Presented in the Statements of Financial Condition | |||||||||
Equity in broker trading accounts: Net unrealized gain (loss) on open futures contracts | ||||||||||||
Agricultural commodities | $ | 4,195,426 | $ | (984,307 | ) | $ | 3,211,119 | |||||
Currencies | 6,163,841 | (663,359 | ) | 5,500,482 | ||||||||
Energy | 934,820 | (1,163,548 | ) | (228,728 | ) | |||||||
Equity indices | 3,693,854 | (1,846,148 | ) | 1,847,706 | ||||||||
Interest rate instruments | 20,297,165 | (2,247,949 | ) | 18,049,216 | ||||||||
Metals | 10,844,422 | (10,287,195 | ) | 557,227 | ||||||||
Single stock futures | 576,544 | (241,428 | ) | 335,116 | ||||||||
Net unrealized gain (loss) on open futures contracts | $ | 46,706,072 | $ | (17,433,934 | ) | $ | 29,272,138 | |||||
Net unrealized gain (loss) on open forward currency contracts | $ | 13,809,612 | $ | (9,738,765 | ) | $ | 4,070,847 |
At June 30, 2016, there were 52,047 open futures contracts and 2,703 open forward currency contracts.
The Fund’s financial assets, derivative assets, and cash collateral held by counterparties at June 30, 2016 were:
Gross Amounts Not Offset in the Statements of Financial Condition | ||||||||||||||||
Counterparty | Net Amount of Assets in the Statements of Financial Condition | Financial Instruments | Cash Collateral Received | Net Amount | ||||||||||||
Deutsche Bank AG | $ | 143,931 | $ | — | $ | — | $ | 143,931 | ||||||||
Deutsche Bank Securities, Inc. | 218,913 | — | — | 218,913 | ||||||||||||
JP Morgan Securities, LLC | 4,782,930 | — | — | 4,782,930 | ||||||||||||
SG Americas Securities, LLC | 24,270,295 | — | — | 24,270,295 | ||||||||||||
Société Générale Newedge UK Limited | 1,691,036 | — | — | 1,691,036 | ||||||||||||
UBS AG | 2,235,880 | — | — | 2,235,880 | ||||||||||||
Total | $ | 33,342,985 | $ | — | $ | — | $ | 33,342,985 | ||||||||
For the three and six months ended June 30, 2016, the Fund’s derivative contracts had the following impact on the consolidated statements of operations:
Three Months Ended June 30, 2016 | Six Months Ended June 30, 2016 | |||||||||||||||
Types of Exposure | Net realized gain (loss) | Net change in unrealized gain (loss) | Net realized gain (loss) | Net change in unrealized gain (loss) | ||||||||||||
Futures contracts | ||||||||||||||||
Agricultural commodities | $ | (190,529 | ) | $ | 2,408,534 | $ | (2,910,407 | ) | $ | 1,741,058 | ||||||
Currencies | (1,027,026 | ) | 4,914,015 | (1,605,859 | ) | 3,401,221 | ||||||||||
Energy | (8,811,210 | ) | (40,256 | ) | 8,399,839 | (3,814,995 | ) | |||||||||
Equity indices | (17,611,068 | ) | 591,488 | (18,256,874 | ) | 3,274,549 | ||||||||||
Interest rate instruments | 10,481,524 | 14,446,300 | 45,527,021 | 22,245,184 | ||||||||||||
Metals | (2,762,445 | ) | 2,062,809 | (5,300,003 | ) | (2,183,411 | ) | |||||||||
Single stock futures | 111,974 | 49,183 | (53,896 | ) | 195,854 | |||||||||||
Total futures contracts | (19,808,780 | ) | 24,432,073 | 25,799,821 | 24,859,460 | |||||||||||
Forward currency contracts | (2,497,769 | ) | 2,425,438 | (2,854,376 | ) | 5,685,338 | ||||||||||
Swap contract | — | — | 8,706,658 | (3,440,896 | ) | |||||||||||
Total futures, forward currency and swap contracts | $ | (22,306,549 | ) | $ | 26,857,511 | $ | 31,652,103 | $ | 27,103,902 |
27
For the three months ended June 30, 2016, the number of futures contracts closed was 507,922 and the number of forward currency contracts closed was 42,773. For the six months ended June 30, 2016, the number of futures contracts closed was 944,150 and the number of forward currency contracts closed was 81,938.
At December 31, 2015, the Fund’s derivative contracts had the following impact on the consolidated statements of financial condition:
December 31, 2015 | Derivative Assets and Liabilities, at fair value | |||||||||||
Consolidated Statements of Financial Condition Location | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statements of Financial Condition | Net Amount of Assets Presented in the Statements of Financial Condition | |||||||||
Equity in broker trading accounts: | ||||||||||||
Agricultural commodities | $ | 2,931,852 | $ | (1,461,791 | ) | $ | 1,470,061 | |||||
Currencies | 3,316,471 | (1,217,210 | ) | 2,099,261 | ||||||||
Energy | 7,683,689 | (4,097,422 | ) | 3,586,267 | ||||||||
Equity indices | 1,783,774 | (3,210,617 | ) | (1,426,843 | ) | |||||||
Interest rate instruments | 3,071,712 | (7,267,680 | ) | (4,195,968 | ) | |||||||
Metals | 10,856,826 | (8,116,188 | ) | 2,740,638 | ||||||||
Single stock futures | 349,078 | (209,816 | ) | 139,262 | ||||||||
Net unrealized gain (loss) on open futures contracts | $ | 29,993,402 | $ | (25,580,724 | ) | $ | 4,412,678 | |||||
Net unrealized gain (loss) on open forward currency contracts | $ | 5,908,603 | $ | (7,523,094 | ) | $ | (1,614,491 | ) | ||||
Net unrealized gain (loss) on swap contract* | $ | 3,440,896 | $ | — | $ | 3,440,896 |
*At December 31, 2015, the sector exposure of the CTA indices underlying the swap was:
Agricultural commodities | 6 | % | ||
Currencies | 22 | % | ||
Energy | 5 | % | ||
Equity indices | 12 | % | ||
Interest rate instruments | 47 | % | ||
Metals | 8 | % | ||
Total | 100 | % |
At December 31, 2015, there were 62,863 open futures contracts and 2,065 open forward currency contracts.
The Fund’s financial assets, derivative assets, and cash collateral held by counterparties at December 31, 2015 were:
28
Gross Amounts Not Offset in the Statements of Financial Condition | ||||||||||||||||
Counterparty | Net Amount of Assets in the Statements of Financial Condition | Financial Instruments | Cash Collateral Received | Net Amount | ||||||||||||
Deutsche Bank AG | $ | 3,453,274 | $ | — | $ | — | $ | 3,453,274 | ||||||||
Deutsche Bank Securities, Inc. | (54,937 | ) | — | — | (54,937 | ) | ||||||||||
JP Morgan Securities, LLC | (1,431,600 | ) | — | — | (1,431,600 | ) | ||||||||||
SG Americas Securities, LLC | 5,899,215 | — | — | 5,899,215 | ||||||||||||
Société Générale Newedge UK Limited | (1,576,239 | ) | — | — | (1,576,239 | ) | ||||||||||
UBS AG | (50,630 | ) | — | — | (50,630 | ) | ||||||||||
Total | $ | 6,239,083 | $ | — | $ | — | $ | 6,239,083 | ||||||||
For the three and six months ended June 30, 2015, the Fund’s derivative contracts had the following impact on the consolidated statements of operations:
Three Months Ended June 30, 2015 | Six Months Ended June 30, 2015 | |||||||||||||||
Types of Exposure | Net realized gain (loss) | Net change in unrealized gain (loss) | Net realized gain (loss) | Net change in unrealized gain (loss) | ||||||||||||
Futures contracts | ||||||||||||||||
Agricultural commodities | $ | (2,233,902 | ) | $ | (5,826,320 | ) | $ | (4,440,817 | ) | $ | (3,882,276 | ) | ||||
Currencies | (10,749,805 | ) | 3,418 | 5,357,540 | (3,894,078 | ) | ||||||||||
Energy | (12,596,660 | ) | (2,481,495 | ) | (2,940,199 | ) | (10,088,284 | ) | ||||||||
Equity indices | (272,627 | ) | (7,139,340 | ) | 24,755,912 | (8,628,383 | ) | |||||||||
Interest rate instruments | (13,351,590 | ) | (12,003,708 | ) | 16,805,171 | (12,096,380 | ) | |||||||||
Metals | (5,012,695 | ) | 2,508,333 | (8,887,110 | ) | 1,647,527 | ||||||||||
Single stock futures | (744,668 | ) | 260,250 | (770,914 | ) | (294,375 | ) | |||||||||
Total futures contracts | (44,961,947 | ) | (24,678,862 | ) | 29,879,583 | (37,236,249 | ) | |||||||||
Forward currency contracts | (6,278,438 | ) | (1,321,130 | ) | (4,847,408 | ) | (299,616 | ) | ||||||||
Swap contract | — | (6,031,161 | ) | — | (2,617,957 | ) | ||||||||||
Total futures, forward currency and swap contracts | $ | (51,240,385 | ) | $ | (32,031,153 | ) | $ | 25,032,175 | $ | (40,153,822 | ) |
For the three months ended June 30, 2015, the number of futures contracts closed was 544,009 and the number of forward currency contracts closed was 45,348. For the six months ended June 30, 2015, the number of futures contracts closed was 1,001,392 and the number of forward currency contracts closed was 72,818.
4. | General Partner |
At June 30, 2016 and December 31, 2015, and for the periods then ended, the General Partner did not maintain a capital balance in the Fund; however, the beneficiary of the majority shareholder of the General Partner had the following investment in Class I Units:
June 30, 2016 | December 31, 2015 | |||||||
Units Owned | 254.4114 | 254.4114 | ||||||
Value of Units | $ | 268,707 | $ | 250,383 |
The General Partner earns the following compensation:
29
§ | General Partner Management Fee – the Fund incurs a monthly fee on Class A and Class B Units equal to 1/12th of 1.5% of the month-end net asset value of the Class A and Class B Units, payable in arrears. The Fund incurs a monthly fee on Class I Units equal to 1/12th of 0.75% of the month-end net asset value of the Class I Units, payable in arrears. |
§ | General Partner Performance Fee – the Fund incurs a monthly fee on Class I Units equal to 7.5% of new profits of the Class I Units calculated monthly. The general partner performance fee is payable quarterly in arrears. |
§ | Management fee – SMFF incurs a monthly fee equal to 1/12th of 1.25% of the month-end net asset value of the trust, payable in arrears to the General Partner. |
§ | Distribution (12b-1) fee – SMFF incurs a monthly 12b-1 fee of 1/12th of 0.25% of the month-end net asset value of the Class A and N shares, and 1/12th of 1% of the month-end value of the Class C shares. |
§ | Selling Agent Fees – the Class A Units incur a monthly fee equal to 1/12th of 2% of the month-end net asset value of the Class A Units. Selling agent fees amounted to $2,026,871 and $2,289,727 for the three months ended June 30, 2016 and 2015, respectively. Selling agent fees amounted to $4,222,372 and $4,748,701 for the six months ended June 30, 2016 and 2015, respectively. Such amounts are included in selling agent and broker dealer servicing fees – General Partner in the consolidated statements of operations. The General Partner, in turn, pays the selling agent fees to the respective selling agents. If there is no designated selling agent or the General Partner was the selling agent, such portions of the selling agent fees are retained by the General Partner. |
§ | Broker Dealer Servicing Fees – the Class B Units incur a monthly fee equal to 1/12th of 0.2% of the month-end net asset value of the Class B Units. Broker dealer servicing fees amounted to $102,512 and $123,904 for the three months ended June 30, 2016 and 2015, respectively. Broker dealer servicing fees amounted to $211,870 and $261,257 for the six months ended June 30, 2016 and 2015, respectively. Such amounts are included in selling agent and broker dealer servicing fees – General Partner in the consolidated statements of operations. The General Partner, in turn, pays the fees to the respective selling agents. If there is no designated selling agent or the General Partner was the selling agent, such portions of the broker dealer servicing fees are retained by the General Partner. |
§ | Operating Services Fee – SMFF incurs a monthly fee equal to 1/12th of 0.5% of the month-end net asset value of the trust, payable to the General Partner. The General Partner, in turn, pays the operating expenses of the trust, pursuant to an operating services agreement between the parties. |
§ | Administrative Expenses – the Fund incurs a monthly fee equal to 1/12th of 0.45% of the month-end net asset value of the fund, payable in arrears to the General Partner. The General Partner, in turn, pays the administrative expenses of the Fund. Administrative expenses include accounting, audit, legal, salary and administrative costs incurred by the General Partner relating to marketing and administration of the Fund; such as, salaries and commissions of General Partner marketing personnel, administrative employee salaries and related costs. |
Pursuant to the terms of the Partnership Agreement, each year the General Partner receives from the Fund 1% of any net income earned by the Fund. Conversely, the General Partner pays to the Fund 1% of any net loss incurred by the Fund. Such amounts are reflected as General Partner 1% allocation receivable or payable in the consolidated statements of financial condition and as General Partner 1% allocation in the consolidated statements of operations.
5. | Trading Advisors and Cash Managers |
The Fund has advisory agreements with various commodity trading advisors, pursuant to which the Fund incurs a monthly advisor management fee that ranges from 0% to 1.5% per annum of allocated net assets (as defined in each respective advisory agreement), paid monthly or quarterly in arrears. Additionally, the Fund incurs advisor incentive fees, payable quarterly in arrears, ranging from 0% to 30% of net new trading profits (as defined in each respective advisory agreement).
J.P. Morgan Investment Management, Inc. and Principal Global Investors, LLC (collectively, the “Cash Managers”) provide cash management services to the Fund. The Fund incurs monthly fees, payable in arrears to the Cash Managers, equal to approximately 1/12th of 0.10% of the investments in securities and certificates of deposit.
30
6. | Deposits with Brokers |
To meet margin requirements, the Fund deposits funds with brokers, subject to CFTC regulations and various exchange and broker requirements. The Fund earns interest income on its assets deposited with brokers. At June 30, 2016 and December 31, 2015, the Fund had margin deposit requirements of $78,927,934 and $98,809,677, respectively.
7. | Subscriptions, Distributions and Redemptions |
Investments in the Fund are made by subscription agreement and must be received within five business days of the end of the month, subject to acceptance by the General Partner. The minimum investment is $10,000 for Class A and B units and $2,000,000 for Class I units. Units are sold at the respective net asset value per unit for Class A, B or I interests as of the close of business on the last day of the month in which the subscription is accepted. Investors whose subscriptions are accepted are admitted as limited partners as of the beginning of the month following the month in which their subscriptions were accepted. At June 30, 2016 and December 31, 2015, the Fund received advance subscriptions of $1,657,373 and $1,086,965, respectively, which were recognized as subscriptions to the Fund or returned, if applicable, subsequent to period-end.
The Fund is not required to make distributions, but may do so at the sole discretion of the General Partner. A limited partner may request and receive redemption of Class A, Class B or Class I Units owned at the end of any month, subject to five business days’ prior written notice to the General Partner, and in certain circumstances, restrictions in the Partnership Agreement.
The General Partner may require a limited partner to redeem from the Fund if the General Partner deems the redemption (a) necessary to prevent or correct the occurrence of a non-exempt prohibited transaction under the Employee Retirement Income Security Act of 1974, as amended, or the Internal Revenue Code of 1986, as amended, (b) beneficial to the Fund, or (c) necessary to comply with applicable government or other self-regulatory organization regulations.
8. | Trading Activities and Related Risks |
The Fund engages in the speculative trading of futures, options and over-the-counter contracts, including forward currency contracts traded in the U.S. and internationally. Trading in derivatives exposes the Fund to both market risk, the risk arising from a change in the fair value of a contract, and credit risk, the risk of failure by another party to perform according to the terms of a contract.
Purchase and sale of futures contracts requires margin deposits with the futures brokers. Additional deposits may be necessary for any loss of contract value. The Commodity Exchange Act (“CEAct”) requires a broker to segregate all customer transactions and assets from such broker’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury securities) deposited with a broker are considered commingled with all other customer funds subject to the broker’s segregation requirements. In the event of a broker’s insolvency, recovery may be limited to a pro rata share of segregated funds available. It is possible that the recovered amount could be less than (or none of) the total cash and other property deposited. The Fund uses SG Americas Securities, LLC, JP Morgan Securities, LLC and Deutsche Bank Securities, Inc. as its futures brokers and Société Générale Newedge UK Limited, UBS AG and Deutsche Bank AG as its forward currency counterparties.
For futures contracts, risks arise from changes in the fair value of the contracts. Theoretically, the Fund is exposed to a market risk equal to the value of futures and forward currency contracts purchased, and unlimited liability on such contracts sold short.
In addition to market risk, upon entering into commodity interest contracts there is a credit risk that a counterparty will not be able to meet its obligations to the Fund. The counterparty for futures and options on futures contracts traded in the U.S. and on most non-U.S. futures exchanges is the clearinghouse associated with such exchanges. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the non-performance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearinghouse is not backed by the clearing members, like some non-U.S. exchanges, it is normally backed by a consortium of banks or other financial institutions.
In the case of forward currency contracts, which are traded on the interbank or other institutional market rather than on exchanges, the counterparty is generally a single bank or other financial institution, rather than a clearinghouse backed by a group of financial institutions; thus there likely will be greater counterparty credit risk. While the Fund trades only with those counterparties that it believes to be creditworthy, there can be no assurance that any clearing member, clearinghouse or other counterparty will be able to meet its obligations to the Fund.
The Fund trades forward currency contracts in unregulated markets between principals and assumes the risk of loss from counterparty non-performance. Accordingly, the risks associated with forward currency contracts are generally greater than those associated with exchange-traded contracts because of the greater risk of counterparty default. Additionally, the trading of forward currency contracts typically involves delayed cash settlement.
31
The Fund has a portion of its assets on deposit with interbank market makers and other financial institutions in connection with its trading of forward currency contracts and its cash management activities. In the event of an interbank market maker’s or financial institution’s insolvency, recovery of Fund assets on deposit may be limited to account insurance or other protection afforded such deposits.
The Cash Managers manage the Fund’s cash and excess margin through investments in fixed income instruments, pursuant to investment parameters established by the General Partner. Fluctuations in prevailing interest rates could cause mark-to-market losses on the Fund’s fixed income instruments.
Through its investments in debt securities and certificates of deposit, the Fund has exposure to U.S. and foreign enterprises. The following table presents the exposure at June 30, 2016.
Country or Region | U.S. Treasury Securities | Commercial Paper | Corporate Notes | Asset Backed Securities | Certificates of Deposit | Total | % of Partners’ Capital (Net Asset Value) | |||||||||||||||||||||
United States | $ | 73,613,766 | $ | 49,020,291 | $ | 217,361,819 | $ | 52,380,686 | $ | 27,699,253 | $ | 420,075,815 | 65.11 | % | ||||||||||||||
Australia | — | 698,468 | 11,015,740 | — | — | 11,714,208 | 1.82 | % | ||||||||||||||||||||
Netherlands | — | — | 8,104,238 | — | — | 8,104,238 | 1.26 | % | ||||||||||||||||||||
Canada | — | 2,898,613 | 4,501,730 | — | 591,409 | 7,991,752 | 1.24 | % | ||||||||||||||||||||
Luxembourg | — | — | 6,829,436 | — | — | 6,829,436 | 1.06 | % | ||||||||||||||||||||
Great Britain | — | 4,336,675 | 1,619,204 | — | — | 5,955,879 | 0.92 | % | ||||||||||||||||||||
France | — | 4,983,465 | — | — | — | 4,983,465 | 0.77 | % | ||||||||||||||||||||
Sweden | — | 499,534 | 2,731,360 | — | 705,969 | 3,936,863 | 0.61 | % | ||||||||||||||||||||
Japan | — | — | 2,378,968 | — | — | 2,378,968 | 0.37 | % | ||||||||||||||||||||
Bermuda | — | 2,198,731 | — | — | — | 2,198,731 | 0.34 | % | ||||||||||||||||||||
Singapore | — | 1,699,805 | — | — | — | 1,699,805 | 0.26 | % | ||||||||||||||||||||
Germany | — | 1,493,141 | — | — | — | 1,493,141 | 0.23 | % | ||||||||||||||||||||
Mexico | — | — | 1,300,237 | — | — | 1,300,237 | 0.20 | % | ||||||||||||||||||||
Norway | — | 499,653 | — | — | 499,653 | 0.08 | % | |||||||||||||||||||||
Cayman Islands | — | — | 228,401 | — | — | 228,401 | 0.04 | % | ||||||||||||||||||||
Total | $ | 73,613,766 | $ | 68,328,376 | $ | 256,071,133 | $ | 52,380,686 | $ | 28,996,631 | $ | 479,390,592 | 74.31 | % |
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The following table presents the exposure at December 31, 2015.
Country or Region | U.S. Treasury Securities | Commercial Paper | Corporate Notes | Asset Backed Securities | Certificates of Deposit | Total | % of Partners’ Capital (Net Asset Value) | |||||||||||||||||||||
United States | $ | 76,996,959 | $ | 35,057,379 | $ | 196,888,445 | $ | 52,248,612 | $ | 14,993,807 | $ | 376,185,202 | 58.41 | % | ||||||||||||||
Australia | — | 3,094,764 | 10,524,403 | — | — | 13,619,167 | 2.12 | % | ||||||||||||||||||||
Switzerland | — | — | 9,753,172 | — | — | 9,753,172 | 1.52 | % | ||||||||||||||||||||
Netherlands | — | — | 12,340,048 | — | — | 12,340,048 | 1.92 | % | ||||||||||||||||||||
Great Britain | — | 2,698,571 | 7,189,651 | — | — | 9,888,222 | 1.54 | % | ||||||||||||||||||||
Japan | — | 5,797,609 | 3,585,734 | — | — | 9,383,343 | 1.46 | % | ||||||||||||||||||||
Canada | — | 899,078 | 4,466,438 | — | 4,001,034 | 9,366,550 | 1.46 | % | ||||||||||||||||||||
Luxumbourg | — | — | 6,870,944 | — | — | 6,870,944 | 1.07 | % | ||||||||||||||||||||
Sweden | — | 449,810 | 3,798,693 | — | 1,705,349 | 5,953,852 | 0.93 | % | ||||||||||||||||||||
British Virgin Islands | — | — | 4,798,968 | — | — | 4,798,968 | 0.75 | % | ||||||||||||||||||||
France | — | 4,067,748 | — | — | — | 4,067,748 | 0.63 | % | ||||||||||||||||||||
Norway | — | 2,998,889 | — | — | — | 2,998,889 | 0.47 | % | ||||||||||||||||||||
Germany | — | — | 767,886 | — | 2,010,319 | 2,778,205 | 0.43 | % | ||||||||||||||||||||
Hong Kong | — | 1,394,628 | — | — | — | 1,394,628 | 0.22 | % | ||||||||||||||||||||
Mexico | — | — | 1,300,842 | — | — | 1,300,842 | 0.20 | % | ||||||||||||||||||||
Spain | — | — | 1,017,721 | — | — | 1,017,721 | 0.16 | % | ||||||||||||||||||||
Ireland | — | — | 1,012,921 | — | — | 1,012,921 | 0.16 | % | ||||||||||||||||||||
Singapore | — | 799,736 | — | — | — | 799,736 | 0.12 | % | ||||||||||||||||||||
Cayman Islands | — | — | 229,384 | — | — | 229,384 | 0.04 | % | ||||||||||||||||||||
Total | $ | 76,996,959 | $ | 57,258,212 | $ | 264,545,250 | $ | 52,248,612 | $ | 22,710,509 | $ | 473,759,542 | 73.61 | % |
9. | Indemnifications |
In the normal course of business, the Fund may enter into contracts and agreements that contain a variety of representations and warranties, and which provide general indemnifications. The Fund’s maximum exposure under these arrangements cannot be estimated. However, the Fund believes that it is unlikely it will have to make material payments under these arrangements and has not recorded any contingent liability in the consolidated financial statements for such indemnifications.
10. | Interim Financial Statements |
The consolidated statements of financial condition, including the consolidated condensed schedule of investments, at June 30, 2016, the consolidated statements of operations for the three and six months ended June 30, 2016 and 2015, the consolidated statements of cash flows and consolidated statement of changes in partners’ capital (net asset value) for the six months ended June 30, 2016 and 2015, and the accompanying notes to the consolidated financial statements are unaudited. Certain information and footnote disclosures normally included in consolidated financial statements prepared in accordance with GAAP may be omitted pursuant to such rules and regulations. In the opinion of management, such consolidated financial statements and accompanying disclosures reflect all adjustments, which were of a normal and recurring nature, necessary to present fairly the financial position at June 30, 2016, results of operations, cash flows and changes in partners’ capital (net asset value) for the three months ended June 30, 2016 and 2015. The results of operations for the three and six months ended June 30, 2016 and 2015 are not necessarily indicative of the results to be expected for the full year or any other period. These consolidated financial statements should be read in conjunction with the audited financial statements and the notes thereto included in the Fund’s Form 10-K as filed with the SEC.
11. | Financial Highlights |
The following information presents per unit operating performance data and other ratios for the three and six months ended June 30, 2016 and 2015, assuming the unit was outstanding throughout the entire period:
Three Months Ended June 30, | ||||||||||||||||||||||||
2016 | 2015 | |||||||||||||||||||||||
Class A | Class B | Class I | Class A | Class B | Class I | |||||||||||||||||||
Per Unit Operating Performance | ||||||||||||||||||||||||
Net asset value per unit, beginning of period | $ | 4,494.66 | $ | 6,583.48 | $ | 1,056.56 | $ | 4,693.39 | $ | 6,753.46 | $ | 1,073.92 | ||||||||||||
Net realized and change in unrealized gain (loss) on investments (1) | 28.03 | 42.29 | 6.78 | (512.66 | ) | (738.50 | ) | (117.72 | ) | |||||||||||||||
Net investment income (loss) (1) | (60.66 | ) | (60.84 | ) | (7.15 | ) | (48.92 | ) | (42.99 | ) | (4.20 | ) | ||||||||||||
Total income (loss) from operations | (32.63 | ) | (18.55 | ) | (0.37 | ) | (561.58 | ) | (781.49 | ) | (121.92 | ) | ||||||||||||
Net asset value per unit, end of period | $ | 4,462.03 | $ | 6,564.93 | $ | 1,056.19 | $ | 4,131.81 | $ | 5,971.97 | $ | 952.00 | ||||||||||||
Total return (4) | (0.73 | )% | (0.28 | )% | (0.03 | )% | (11.97 | )% | (11.57 | )% | (11.35 | )% | ||||||||||||
Other Financial Ratios | ||||||||||||||||||||||||
Ratios to average net asset value | ||||||||||||||||||||||||
Expenses prior to General Partner 1% allocation (2) (3) | 6.42 | % | 4.64 | % | 3.60 | % | 5.37 | % | 3.63 | % | 2.57 | % | ||||||||||||
General Partner 1% allocation (4) | (0.01 | )% | 0.00 | % | 0.00 | % | (0.13 | )% | (0.12 | )% | (0.12 | )% | ||||||||||||
Net total expenses | 6.41 | % | 4.64 | % | 3.60 | % | 5.24 | % | 3.51 | % | 2.45 | % | ||||||||||||
Net investment income (loss) (2) (3) (5) | (5.59 | )% | (3.81 | )% | (2.78 | )% | (4.92 | )% | (3.18 | )% | (2.13 | )% |
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Six Months Ended June 30, | ||||||||||||||||||||||||
2016 | 2015 | |||||||||||||||||||||||
Class A | Class B | Class I | Class A | Class B | Class I | |||||||||||||||||||
Per Unit Operating Performance | ||||||||||||||||||||||||
Net asset value per unit, beginning of period | $ | 4,212.26 | $ | 6,142.34 | $ | 984.17 | $ | 4,414.30 | $ | 6,323.56 | $ | 1,004.98 | ||||||||||||
Net realized and change in unrealized gain (loss) on investments (1) | 380.01 | 554.80 | 88.79 | (115.61 | ) | (166.37 | ) | (27.63 | ) | |||||||||||||||
Net investment income (loss) (1) | (130.24 | ) | (132.21 | ) | (16.77 | ) | (166.88 | ) | (185.22 | ) | (25.35 | ) | ||||||||||||
Total income (loss) from operations | 249.77 | 422.59 | 72.02 | (282.49 | ) | (351.59 | ) | (52.98 | ) | |||||||||||||||
Net asset value per unit, end of period | $ | 4,462.03 | $ | 6,564.93 | $ | 1,056.19 | $ | 4,131.81 | $ | 5,971.97 | $ | 952.00 | ||||||||||||
Total return (4) | 5.93 | % | 6.88 | % | 7.32 | % | (6.40 | )% | (5.56 | )% | (5.27 | )% | ||||||||||||
Other Financial Ratios | ||||||||||||||||||||||||
Ratios to average net asset value | ||||||||||||||||||||||||
Expenses prior to General Partner 1% allocation (2) (3) | 6.58 | % | 4.74 | % | 3.87 | % | 8.00 | % | 6.27 | % | 5.49 | % | ||||||||||||
General Partner 1% allocation (4) | 0.06 | % | 0.07 | % | 0.07 | % | (0.06 | )% | (0.05 | )% | (0.06 | )% | ||||||||||||
Net total expenses | 6.64 | % | 4.81 | % | 3.94 | % | 7.94 | % | 6.22 | % | 5.43 | % | ||||||||||||
Net investment income (loss) (2) (3) (5) | (5.81 | )% | (3.97 | )% | (3.10 | )% | (7.57 | )% | (5.84 | )% | (5.06 | )% |
Total returns are calculated based on the change in value of a Class A, Class B or Class I Unit during the period. An individual partner’s total returns and ratios may vary from the above total returns and ratios based on the timing of subscriptions and redemptions.
(1) The net investment income (loss) per unit is calculated by dividing the net investment income (loss) by the average number of Class A, B or I Units outstanding during the period. Net realized and change in unrealized gain (loss) on investments is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information. Such balancing amount may differ from the calculation of net realized and change in unrealized gain (loss) on investment per unit due to the timing of investment gains and losses during the period relative to the number of units outstanding.
(2) The net investment income (loss) includes interest income and excludes net realized and net change in unrealized gain (loss) from investment activities as shown in the consolidated statements of operations. The total amount is then reduced by all expenses, excluding brokerage commissions, which are included in net investment gain (loss) in the consolidated statements of operations. The resulting amount is divided by the average net asset value for the period.
(3) Ratios have been annualized.
(4) Ratios have not been annualized.
(5) Ratio excludes General Partner 1% allocation.
34
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations
Current Positioning
Sector risk allocations and net positioning as of June 30, 2016 and second quarter 2016 gross performance contribution by sector was as follows:
Risk Allocation |
Net Position |
Sector | Gross Performance Contribution | |||
10% | Short | Agriculture | 0.38% | |||
5% | Short | Energy products | (1.43)% | |||
8% | Long | Metals | (0.20)% | |||
26% | Long non-USD | Currencies | 0.53% | |||
21% | Long | Equity indices | (2.67)% | |||
30% | Long | Interest rates | 3.47% |
The Fund’s risk exposures are typically aligned with dominant market trends. At the end of the quarter, interest rates were the largest exposure and the Fund held long positions globally. The second biggest risk exposure came from currencies, where the Fund was long the Australian dollar, Japanese yen and emerging market currencies, while being short the Euro. Other risk exposures were more modest including long positions in precious metals and in U.S. equities.
There were no changes to the manager lineup in the second quarter. However, on July 1, the Fund added a new diversified long term trend following program, the Crabel Advanced Trend program, which we expect to help broaden the Fund’s time horizon diversification.
Results of Operations
The returns for each class of Units for the six months ended June 30, 2016 and 2015 were:
Class of Units | 2016 | 2015 | ||||||
Class A | 5.93 | % | (6.40 | )% | ||||
Class B | 6.88 | % | (5.56 | )% | ||||
Class I | 7.32 | % | (5.27 | )% |
Further analysis of the trading gains and losses is provided below.
2016
January
The Fund made a strong start to 2016, highlighting the non-correlation and diversification potential of managed futures amid prevailing risk-averse sentiment and a sell-off in stocks. Poor economic data from China fueled fear among equity investors of a global growth slowdown. The S&P 500 Index lost 4.96%, while the Euro Stoxx 50 fell 6.62% and the Nikkei dropped 7.95%. In energy markets, crude oil prices continued their descent, dipping below $30 per barrel due to weak demand and the prospect of higher production after the lifting of sanctions against Iran. The European Central Bank responded with talk of more aggressive monetary easing, while the Bank of Japan made a surprise move to negative interest rates, causing a rally in bond markets.
The Fund was profitable in January, posting its best monthly performance since 2008 by capitalizing on bearish market trends. The fixed income sector was the strongest contributor, as the Fund made gains from long positions in European and Japanese bond futures. In energy markets, short crude oil exposure also generated positive returns. Performance was more muted in other sectors, with modest gains and losses. Overall, the Fund finished the month with a gain of 5.77%, 5.93% and 6.02% for Class A, B and I Units, respectively.
February
The Fund extended its strong start to the year in February, further underscoring the non-correlation and diversification potential of managed futures amid rising and falling markets. Key risk factors that weighed on global markets included China’s economic slowdown, U.S. political theater, as well as the risk of a “Brexit”, a British exit from the European Union. Many major indices breached bear market levels by mid-February. However, equity markets recovered over the second half of the month as the U.S. economy exhibited signs of improvement. Commodity markets were broadly mixed and the S&P GSCI finished with its first monthly gain since last October. Natural gas prices fell dramatically due to warmer weather and oversupply, while precious metals rose on safe haven buying.
35
Fixed income was the top performing sector for the month, as the Fund benefitted from long positions in European, Japanese and U.S. bond futures. The energy sector was the second best performer due to a short position in natural gas and short exposure to crude oil. Other sectors had mixed performance, with modest overall return contribution. The Fund is positioned defensively as of month end, with long fixed income exposure complemented by short positions in commodities and mixed exposures in equities. Overall, the Fund finished the month with a gain of 3.88%, 4.03% and 4.03% for Class A, B and I Units, respectively.
March
The year started with a severe decline in risk assets. By mid-February, however, global financial markets began to reverse course. The rebound continued during March, buoyed by central bank meetings and accommodative monetary policy across Europe, Japan and the U.S. Dovish comments from the U.S. Federal Reserve further reduced the likelihood of rate hikes this year and placed selling pressure on the U.S. dollar. Improved market sentiment also impacted commodity markets, where the S&P GSCI Index jumped more than 6%. There were broad based gains across agricultural, energy, and metal futures.
In the month of March, losses for the Fund were primarily from the fixed income and energy sectors. Stronger risk appetite pushed interest rates higher in the U.S. and Europe, impacting the Fund’s long fixed income positions. In the energy sector, indications of supply reductions from major oil producers lifted crude prices back above $40 per barrel, before drifting lower over the second half of the month. Currencies were flat as losses in short euro contracts were offset by gains in long positions in the Australian dollar, Brazilian real and Turkish lira. At month end the Fund’s largest risk exposures were to fixed income and currencies. Overall, the Fund finished the month with a loss of 2.88%, 2.74% and 2.66% for Class A, B and I Units, respectively.
April
Many of the macroeconomic trends that dominated the first quarter reversed course in April, as fixed income markets sold off and energy markets drifted higher. German 10-year Bund yields rose from a low of 9 basis points (bps) to a high of 30 bps during the month, as the European Central Bank held off on adding to its existing stimulus plan. Meanwhile, in the U.S., improving economic data also caused 10-year Treasury yields to climb, hurting bond prices. Oil prices registered their biggest monthly gain in a year, despite major exporting countries being unable to agree on output cuts.
The Fund generated gains in the currency sector during the month, profiting from a Japanese yen rally after the Bank of Japan failed to deliver anticipated easing policies. The Fund was also able to capitalize on the rise in the price of gold and other precious metals. However, long exposures in fixed income led to losses, particularly in Europe, as bond prices declined. Short energy positions detracted from profits after an oil price rebound, while the equity sector was also a negative contributor given volatility in stock indices. Overall, the Fund finished the month with a loss of 3.84%, 3.70% and 3.62% for Class A, B and I Units, respectively.
May
May was a choppy month, as global stock indices declined in the first half of the month before recovering on improved U.S. economic data, with the MSCI World Index finishing the month up 0.2%. In fixed income markets, an early rally was reversed when minutes from the April Federal Open Market Committee Meeting suggested that the next U.S. interest rate hike could come as soon as June. The Fed’s more hawkish guidance also caused the U.S. dollar to appreciate against most currencies, and led to a sell-off in gold.
May market reversals proved challenging for trend-following programs. In particular, the currency sector saw losses as the Fund’s long positions in the Australian dollar and Japanese yen were hurt by the rebounding U.S. dollar. The prospect of tighter U.S. monetary policy also negatively impacted long positions in gold and silver, as demand waned for precious metals as a store of value. Trading was profitable in the agricultural sector, however, with gains from rising soybean prices. Overall, the Fund finished the month with a loss of 2.83%, 2.69% and 2.61% for Class A, B and I Units, respectively.
June
June was an exceptionally volatile month as global markets were unprepared for Britain’s referendum decision to leave the European Union. Investors reacted to Brexit by seeking the protection of safe haven assets such as bonds, while selling equities and the British Pound. The Pound fell 8.5% the day after the referendum, its largest one-day loss on record, which pushed the currency to its lowest level against the U.S. dollar since the mid-1980s. Bonds performed well in the flight to safety as yields on U.S. 10-year Treasuries declined from 1.85% at the end of May to 1.47% by the end of June.
The Fund began the month with mixed performance from choppy markets. However, the Brexit aftermath created strong trends that the Fund was able to successfully exploit. Long positions in UK, European and U.S. bonds, short positions in the British Pound, long positions in the Japanese Yen and long precious metals positions all contributed to the Fund’s largest monthly gain since October 2008. Overall, the Fund finished the month with a gain of 6.25%, 6.41% and 6.49% for Class A, B and I Units, respectively.
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2015
January
In January, Europe’s economic woes continued to have a major impact on financial markets. In order to combat deflationary pressures, the European Central Bank implemented quantitative easing, committing to purchase €60 billion of government bonds per month for 19 months. This led to further depreciation of the euro and a rally in European stocks. In order to untether itself from the falling euro, the Swiss National Bank made a surprise move to de-peg the Swiss franc, which led to a dramatic 30% intraday spike in its exchange rate. In the U.S., bond yields plummeted, with the 30-year yield hitting a historic low of 2.2%, as foreign buyers plowed into safe haven assets supported by a strong U.S. dollar.
2015 began with a continuation of many of the strong trends seen in the second half of 2014. The Fund made the bulk of its gains in January from long bond positions, particularly in the U.S. In currencies, the Fund profited from a short position in the euro, which more than offset Swiss franc losses. Short energy positions were also positive contributors. Choppiness in S&P 500 led to a modest loss in the equities sector. Overall, the Fund finished the month with a gain of 4.17%, 4.33% and 4.41% for Class A, B and I Units, respectively.
February
February began with a sell-off in bonds after a strong labor market report in the U.S. led to speculation of interest rate hikes in the second half of the year. Improved growth prospects also stoked a rally in equities, as the S&P 500 made its biggest monthly gain since October 2011. Driven by cold U.S. weather and a falling North American oilrig count, energy prices saw a rebound for the first time since the precipitous decline that began in June 2014. The U.S. dollar continued to appreciate against most major currencies, with the exception of the British pound, which strengthened after the UK saw its eighth straight quarter of positive growth.
The Fund’s largest gains for the month came from its long stock index positions. However, trend reversals in bonds hurt the Fund’s long fixed income positions. In currencies, profits made on declines in the euro and Japanese yen were offset by losses from the rising British pound. Short exposure in energy markets also detracted from performance as oil prices staged a minor recovery. Overall, the Fund finished the month with a gain of 0.07%, 0.21% and 0.28% for Class A, B and I Units, respectively.
March
Monetary easing in Europe remained the dominant theme in financial markets in March. The European Central Bank began its bond purchases under its new quantitative easing program, designed to lower borrowing costs and stimulate growth in the region. This pushed down German 10-year bond yields to below 0.2%, and caused the euro to depreciate to its lowest level against the U.S. dollar since 2003. Meanwhile, the U.S. Federal Open Market Committee struck a more dovish tone than the market expected on the timing of interest rate hikes, despite positive labor market trends. In energy markets, a continued supply glut pushed oil prices down to $44 per barrel during the month.
The Fund’s largest gains for the month came from its long fixed income positions, particularly in U.S. short term interest rates and UK gilts. In currencies, short euro positions against the U.S. dollar proved profitable. Short oil positions also contributed positively, taking advantage of the slide in energy prices. Performance in equity indices was flat with gains in Europe and Japan being offset by losses in the U.S. Overall, the Fund finished the month with a gain of 2.00%, 2.15% and 2.07% for Class A, B and I Units, respectively.
April
In April, markets were quiet through the first three weeks of the month, but a shift in sentiment towards European monetary easing during the final days of the month caused reversals in many of the most profitable trends from the first quarter. Signs of economic improvement in Europe raised fears that quantitative easing programs would be removed sooner than anticipated. The result was a sudden rise in interest rates, and a rebound in the euro along with a retreat in European equity markets.
The Fund experienced its largest losses in currencies, interest rates and energy. Losses were partially offset by gains in non-European stock indices. In currencies, the Fund’s net short position against the euro accounted for the majority of losses. In the interest rate instruments, losses occurred during the last week of the month, primarily from Gilts, Canadian Bonds, U.S. Treasury Bonds and German Bunds. Stock indices experienced broad based gains, with long positions in the Hang Sang and Chinese equity index contributing to performance. The Fund finished the month with a loss of 4.04%, 3.89% and 3.81% for Class A, B and I units, respectively.
May
The sudden deterioration in investor sentiment over Europe’s quantitative easing (QE) program carried over from April into the first half of May. Yields on the German Bund, which had previously been on a steady decline, rose sharply from a low of 7 basis points (bps) in late April to a high of 72bps by mid-May. The euro also rebounded against the U.S. dollar, reversing its depreciating trend. However, in the second half of the month worries over Greek debt repayments and an announcement by the European Central Bank (ECB) that it could bring forward its scheduled bond purchases from July and August into June, caused the euro and European bond yields to fall once again. Meanwhile, in Japan, expectations of further monetary stimulus on the back of disappointing economic data drove the Japanese yen to a 12-year low against the U.S. dollar, which boosted export-oriented Japanese stocks.
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The Fund saw losses in the first half of May as a result of a sharp sell-off in bonds, particularly in the German Bund. Other early losses came as a result of a rebound in precious metal prices, which hurt the Fund’s short positions. The Fund made some gains later in the month through short positions in the euro and Japanese yen, which benefited from a depreciation of those currencies against the U.S. dollar. Nevertheless, the Fund finished the month with a net loss of 1.42%, 1.27% and 1.19% on Class A, B and I units, respectively.
June
June saw large reversals across a broad range of markets as a result of shifting sentiment in Europe and Asia. The Greek debt crisis once again became a focal point for investors. After early optimism on a possible bailout deal, the Greek government shocked markets with a weekend announcement that the European creditors’ proposed bailout plan and austerity demands would be put to a national referendum, increasing the risk of a full default and a Greek exit from the Eurozone. This caused the largest ever gap decline in Eurostoxx equity index futures when markets re-opened on the last Monday of the month. Elsewhere, the frothy Chinese equity market extended its huge run up before falling more than 20%. Chinese authorities sought to quell concerns by cutting interest rates for the fourth time since last November, causing stocks to rebound. Apart from the macroeconomic issues that dominated headlines, unexpectedly heavy rainfall in the U.S. Midwest delayed crop plantings and caused a sharp reversal in the downtrend recently seen in agricultural commodities.
Equity indices, particularly in Europe, were the biggest detractors during the month, as long positions were hurt when the crisis in Greece sparked a broad stock sell-off. Short positions in agricultural commodities also struggled during the month. Wheat and corn prices jumped suddenly, reversing their entire year-to-date trend decline in just seven trading days, as wet weather delayed plantings and reduced supply forecasts. A choppy environment in currencies also proved challenging, as the euro and the Japanese yen rebounded against the U.S. dollar. The Fund finished the month with a net loss of 6.94%, 6.80% and 6.73% for Class A, B and I units, respectively.
Liquidity
There are no known material trends, demands, commitments, events, or uncertainties at the present time that are reasonably likely to result in the Fund’s liquidity increasing or decreasing in any material way.
Capital Resources
The Fund intends to raise additional capital only through the sale of Units, and does not intend to raise any capital through borrowing. Due to the nature of the Fund’s business, the Fund does not contemplate making capital expenditures. The Fund does not have, nor does it expect to have, any capital assets. Redemptions, exchanges and sales of Units in the future will affect the amount of funds available for investments in futures contracts, forward currency contracts and other financial instruments in subsequent periods. It is not possible to estimate the amount, and therefore the impact, of future capital inflows and outflows related to the sale and redemption of Units. There are no known or expected material trends, favorable or unfavorable, that would affect the Fund’s capital resource arrangements at the present time.
Off-Balance Sheet Risk
The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in future obligation or loss. The Fund trades in futures and forward currency contracts, and is therefore a party to financial instruments with elements of off-balance sheet market and credit risk. In entering into these contracts there exists a risk to the Fund that such contracts may be significantly influenced by market conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures interests positions of the Fund at the same time, and if the commodity trading advisors were unable to offset futures interest positions of the Fund, the Fund could lose all of its assets and the limited partners would realize a 100% loss. The General Partner minimizes market risk through diversification of the portfolio allocations to multiple trading advisors, and maintenance of a margin-to-equity ratio that rarely exceeds 30%.
In addition to subjecting the Fund to market risk, upon entering into futures, swaps, and forward currency contracts there is a risk that the counterparty will not be able to meet its obligations to the Fund. The counterparty for futures contracts traded in the U.S. and on most foreign exchanges is the clearinghouse associated with such exchange. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the non-performance by one of their members and, as such, should significantly reduce this risk. In cases where the clearinghouse is not backed by the clearing members, as is the case with some foreign exchanges, it is normally backed by a consortium of banks or other financial institutions.
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In the case of forward currency contracts, which are traded on the interbank market rather than on exchanges, the counterparty is generally a single bank or other financial institution, rather than a group of financial institutions, thus there may be a greater counterparty risk. The General Partner uses only those counterparties that it believes to be creditworthy for the Fund. All positions of the Fund are valued each day on a mark-to-market basis. There can be no assurance, however, that any clearing member, clearinghouse or other counterparty will be able to meet its obligations to the Fund.
The Fund invests in U.S. Treasury securities, U.S. and foreign government sponsored enterprise notes, certificates of deposit, commercial paper, asset backed securities and corporate notes. Should an issuing entity default on its obligation to the Fund, the Fund bears the risk of loss of the amount expected to be received. The Fund minimizes this risk by only investing in securities and certificates of deposit of firms with high quality debt ratings.
Significant Accounting Estimates
A summary of the Fund’s significant accounting policies are included in Note 1 to the consolidated financial statements.
The Fund’s most significant accounting policy is the valuation of its assets invested in U.S. and foreign futures and forward currency contracts, and fixed income instruments. The Fund’s futures contracts are exchange-traded, with the fair value of these contracts based on exchange settlement prices. The fair values of non-exchange-traded contracts, such as forward currency contracts, are based on third-party quoted dealer values on the interbank market. The fair value of money market funds is based on quoted market prices for identical shares. U.S. Treasury securities are stated at fair value based on quoted market prices for identical assets in an active market. Notes of U.S. and foreign government sponsored enterprises, as well as certificates of deposit, commercial paper, asset backed securities and corporate notes, are stated at fair value based on quoted market prices for similar assets in an active market. Given the valuation sources, there is little judgment or uncertainty involved in the valuation of these assets, and it is unlikely that materially different amounts would be reported under different valuation methodologies or assumptions.
Item 3. Quantitative and Qualitative Disclosures about Market Risk
Introduction
The Fund is a speculative commodity pool. The market-sensitive instruments held by the Fund are acquired for speculative trading purposes, and all or substantially all of the Fund’s assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Fund’s main line of business.
Market movements result in frequent changes in the fair market value of the Fund’s open positions and, consequently, in its earnings and cash flow. The Fund’s market risk is influenced by a wide variety of factors, including the level and volatility of exchange rates, interest rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Fund’s open positions and the liquidity of the markets in which it trades.
The Fund rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Fund’s past performance cannot be relied on as indicative of its future results.
Standard of Materiality
Materiality as used in this section, Quantitative and Qualitative Disclosures about Market Risk, is based on an assessment of reasonably possible market movements and the potential losses caused by such movements, taking into account the leverage, and multiplier features of the Fund’s market sensitive instruments.
Quantifying the Fund’s Trading Value at Risk
The following quantitative disclosures regarding the Fund’s market risk exposures contain forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995 and other federal securities laws. All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact.
Value at Risk is a measure of the maximum amount which the Fund could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Fund’s speculative trading and the recurrence in the markets traded by the Fund to market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the Fund’s experience to date (i.e., “risk of ruin”). Risk of ruin is defined to be no more than a 5% chance of losing 20% or more on a monthly basis. In light of the foregoing as well as the risks and uncertainties intrinsic to all future projections, the inclusion of the quantification included in this section should not be considered to constitute any assurance or representation that the Fund’s losses in any market sector will be limited to Value at Risk or by the Fund’s attempts to manage its market risk.
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The Fund’s risk exposure in the various market sectors traded by the Fund’s Trading Advisors is quantified below in terms of Value at Risk. Due to mark-to-market accounting, any loss in the fair value of the Fund’s open positions is directly reflected in the Fund’s earnings.
Exchange margin requirements have been used by the Fund as the measure of its Value at Risk. Margin requirements are set by exchanges to equal or exceed the maximum losses reasonably expected to be incurred in the fair value of any given contract in 95% - 99% of any one-day interval. The margin levels are established by dealers and exchanges using historical price studies as well as an assessment of current market volatility and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation.
In the case of market sensitive instruments that are not exchange-traded (includes currencies, certain energy products and metals), the margin requirements required by the forward counterparty is used as Value at Risk.
In quantifying the Fund’s Value at Risk, 100% positive correlation in the different positions held in each market risk category has been assumed. Consequently, the margin requirements applicable to the open contracts have simply been aggregated to determine each trading category’s aggregate Value at Risk. The diversification effects resulting from the fact that the Fund’s positions are rarely, if ever, 100% positively correlated, have not been reflected.
Value at Risk as calculated herein may not be comparable to similarly titled measures used by others.
The Fund’s Trading Value at Risk in Different Market Sectors
The following table indicates the trading Value at Risk associated with the Fund’s open positions by market sector at June 30, 2016 and December 31, 2015. All open position trading risk exposures of the Fund have been included in calculating the figures set forth below.
June 30, 2016 | December 31, 2015 | |||||||||||||||
Market Sector | Value at Risk | % of Total Capitalization | Value at Risk | % of Total Capitalization | ||||||||||||
Agricultural commodities | $ | 5,553,182 | 0.86 | % | $ | 10,544,852 | 1.64 | % | ||||||||
Currencies | 19,192,749 | 2.97 | 22,945,769 | 3.57 | ||||||||||||
Energy | 4,126,329 | 0.64 | 14,721,478 | 2.29 | ||||||||||||
Equity indices | 24,163,189 | 3.74 | 25,559,869 | 3.97 | ||||||||||||
Interest rate instruments | 13,974,251 | 2.17 | 16,494,300 | 2.56 | ||||||||||||
Metals | 5,874,570 | 0.91 | 9,735,517 | 1.51 | ||||||||||||
Single stock futures | 6,227,213 | 0.97 | 5,787,197 | 0.90 | ||||||||||||
Total | $ | 79,111,483 | 12.26 | % | $ | 105,788,982 | 16.44 | % |
Material Limitations on Value at Risk as an Assessment of Market Risk.
The face value of the market sector instruments held by the Fund is typically many times the applicable margin requirement (margin requirements generally range between 1% and 10% of contract face value) as well as many times the capitalization of the Fund. The magnitude of the Fund’s open positions creates a “risk of ruin” not typically found in most other investment vehicles. Because of the size of its positions, certain market conditions - unusual, but historically recurring from time to time - could cause the Fund to incur severe losses over a short period of time. The foregoing Value at Risk table – as well as the past performance of the Fund – gives no indication of this “risk of ruin.”
Non-Trading Risk
The Fund has non-trading market risk on its foreign cash balances not needed for margin. However, these balances (as well as the market risk they represent) are immaterial. The Fund also has non-trading market risk as a result of investing a substantial portion of its available assets in U.S. Treasury securities, U.S. government sponsored enterprise notes, commercial paper, asset backed securities, corporate notes and certificates of deposit. Although these investments are considered to be high quality, some of the securities purchased are neither guaranteed by the U.S. government nor supported by the full faith and credit of the U.S. government. There is some risk that a security issuer may fail to pay the interest and principal in a timely manner, or that negative perceptions about the issuer’s ability to make such payments will cause the price of these instruments to decline in value.
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Qualitative Disclosures Regarding Primary Trading Risk Exposures.
The following qualitative disclosures regarding the Fund’s market risk exposures - except for those disclosures that are statements of historical fact and the descriptions of how the Fund manages its primary market risk exposures - constitute forward-looking statements within the meaning of Section 27A of the Securities Act of 1933, (“1933 Act”) and Section 21E of the Securities Exchange Act of 1934, (“1934 Act”).
The Fund’s primary market risk exposures as well as the strategies used and to be used by the Fund’s Trading Advisors for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Fund’s risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Fund. There can be no assurance that the Fund’s current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short- or long-term. Investors must be prepared to lose all or substantially all of their investment in the Fund.
The following were the primary trading risk exposures of the Fund as of June 30, 2016, by market sector.
Agricultural Commodities
The Fund’s primary agricultural exposure is due to price movements in agricultural commodities, which are often directly affected by severe or unexpected weather conditions as well as other factors that affect inventory levels or supply and demand characteristics. The Fund’s agricultural exposure is primarily to cotton, coffee, cocoa, cattle, corn, soybeans, sugar and wheat.
Currencies
The Fund’s currency risk exposure is due to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. These fluctuations are influenced by interest rate changes as well as political and general economic conditions. The Fund trades various currencies, including cross-rates (i.e., positions between two currencies other than the U.S. dollar).
Energy
The Fund’s primary energy market exposure is due to gas and oil price movements, often resulting from political developments, ongoing conflicts or production disruptions in the Middle East and other oil producing nations as well as other factors that can influence supply and demand. Crude oil, heating oil, unleaded gas and natural gas are the dominant energy market exposures of the Fund. Oil and gas prices can be volatile and substantial profits and losses have been and are expected to continue to be experienced in this market.
Equity Indices
The Fund’s primary equity exposure is due to equity price risk in many countries other than the U.S. The stock index futures traded by the Fund are limited to futures on broadly based indices. The Fund is primarily exposed to the risk of adverse price trends or static markets in the major Australian, Canadian, European, Hong Kong, Japanese and U.S. indices.
Interest Rate Instruments
The Fund’s primary interest rate exposure is to interest rate fluctuations in the U.S., Japan, Great Britain, the European Economic Union, Sweden, Canada, Australia and New Zealand. Interest rate movements directly affect the price of the sovereign bond futures positions held by the Fund and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries could materially impact the Fund’s profitability.
Metals
The Fund’s metals market exposure is primarily due to fluctuations in the price of aluminum, copper, gold, silver, nickel, platinum, lead and zinc.
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Single Stock Futures
The Fund has a very small exposure to single stock futures. The Fund’s single stock futures exposure is primarily due to adverse price movements in the underlying stock.
Qualitative Disclosures Regarding Non-Trading Risk Exposure
The following were the only material non-trading risk exposures of the Fund as of June 30, 2016.
Foreign Currency Balances
The Fund’s primary foreign currency balances are in euros, Japanese yen, British pounds, Australian dollars, Hong Kong dollars and Canadian dollars. The Fund controls the non-trading risk of these balances by regularly converting these balances back into dollars.
U.S. Treasury Securities, U.S. and Foreign Government Sponsored Enterprise Notes, Commercial Paper, Corporate Notes, Asset Backed Securities and Certificates of Deposit
Monies in excess of margin requirements are invested in fixed income instruments, including U.S. Treasury securities, U.S. and foreign government sponsored enterprise notes, commercial paper, corporate notes, asset backed securities and certificates of deposit. Fluctuations in prevailing interest rates could cause mark-to-market gains or losses on the Fund’s investments; although substantially all of these investments are held to maturity.
Qualitative Disclosures Regarding Means of Managing Risk Exposure
The means by which the Fund and the Fund’s trading advisors, severally, attempt to manage the risk of the Fund’s open positions is essentially the same in all market sectors traded. The Fund’s trading advisors apply risk management policies to their respective trading which generally limit the total exposure that may be taken. In addition, the trading advisors generally follow proprietary diversification guidelines (often formulated in terms of the balanced volatility between markets and correlated groups).
The Fund is not aware of any (i) anticipated known demands, commitments or capital expenditures, (ii) material trends, favorable or unfavorable, in its capital resources, or (iii) trends or uncertainties that will have a material effect on operations. From time to time, certain regulatory agencies have proposed increased margin requirements on futures contracts. Because the Fund generally uses a small percentage of assets as margin, the Fund does not believe that any proposed increase in margin requirements will have a material effect on the Fund’s operations.
Item 4. Controls and Procedures
The General Partner, with the participation of the Chief Executive Officer and Chief Financial Officer, evaluated the effectiveness of the design and operation of the Fund’s disclosure controls and procedures at June 30, 2016 (the “Evaluation Date”). Based on their evaluation, the Chief Executive Officer and Chief Financial Officer of the General Partner concluded that, as of the Evaluation Date, the Fund’s disclosure controls and procedures were effective.
There has been no change in internal control over financial reporting that occurred during the period ended June 30, 2016 that has materially affected, or is reasonably likely to materially affect, the Fund’s internal control over financial reporting.
PART II: OTHER INFORMATION
Item 1. Legal Proceedings.
None.
Item 1A. Risk Factors.
There have been no material changes from risk factors disclosed in the Fund’s Form 10-K for year ended December 31, 2015.
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds
There were no sales of unregistered securities of the Fund during the three months ended June 30, 2016. Under the Fund’s Partnership Agreement, limited partners may redeem their Units at the end of each calendar month at the then current month-end net asset value per Unit. Redemptions of Units during the three months ended June 30, 2016 were as follows:
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April | May | June | Total | |||||||||||||
A Units | ||||||||||||||||
Units redeemed | 1,226.9931 | 854.2511 | 984.5096 | 3,065.7539 | ||||||||||||
Average net asset value per unit | $ | 4,322.00 | $ | 4,199.66 | $ | 4,462.03 | $ | 4,332.88 | ||||||||
B Units | ||||||||||||||||
Units redeemed | 619.9553 | 239.6737 | 780.9388 | 1,640.5678 | ||||||||||||
Average net asset value per unit | $ | 6,340.00 | $ | 6,169.71 | $ | 6,564.93 | $ | 6,422.19 | ||||||||
I Units | ||||||||||||||||
Units redeemed | — | — | — | — | ||||||||||||
Average net asset value per unit | $ | — | $ | — | $ | — | $ | — |
Item 3. Defaults Upon Senior Securities
Not applicable.
Item 4. Mine Safety Disclosures
Not applicable.
Item 5. Other Information
None.
Item 6. Exhibits
The following exhibits are filed herewith of incorporated by reference.
Exhibit No. |
Description of Exhibit |
1.1(a) | Form of Selling Agreement |
3.1(a) | Maryland Certificate of Limited Partnership. |
4.1(a) | Limited Partnership Agreement. |
10.1(a) | Form of Subscription Agreement |
16.1(a) | Letter regarding change in certifying accountant. |
31.01 | Certification of Chief Executive Officer of the General Partner in accordance with Section 302 of the Sarbanes-Oxley Act of 2002 |
31.02 | Certification of Chief Financial Officer of the General Partner in accordance with Section 302 of the Sarbanes-Oxley Act of 2002 |
32.01 | Certification of Chief Executive Officer of the General Partner in accordance with Section 906 of the Sarbanes-Oxley Act of 2002 |
32.02 | |
101.INS | XBRL Instance Document |
101.SCH | XBRL Taxonomy Extension Schema Document |
101.CAL | XBRL Taxonomy Extension Calculation Linkbase Document |
101.DEF | XBRL Taxonomy Extension Definition Linkbase Document |
101.LAB | XBRL Taxonomy Extension Label Linkbase Document |
101.PRE | XBRL Taxonomy Extension Presentation Linkbase Document |
(a) | Incorporated by reference to the corresponding exhibit to the Registrant’s registration statement (File no. 000-50728) filed on April 29, 2004 on Form 10 under the 1934 Act, as amended. |
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, this report has been signed below by the following persons on behalf of the General Partner of the Registrant in the capacities and on the date indicated.
Dated: August 15, 2016 | Futures Portfolio Fund, Limited Partnership | ||
By: | Steben & Company, Inc. | ||
General Partner | |||
By: | /s/ Kenneth E. Steben | ||
Name: | Kenneth E. Steben | ||
Title: | President, Chief Executive Officer and Director of the General Partner | ||
(Principal Executive Officer) | |||
By: | /s/ Carl A. Serger | ||
Name: | Carl A. Serger | ||
Title: | Chief Financial Officer and Director of the General Partner | ||
(Principal Financial and Accounting Officer) |
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