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EX-32.01 - CERTIFICATION OF CHIEF EXECUTIVE OFFICER - FUTURES PORTFOLIO FUND L.P.ex32-01.htm
EX-32.02 - CERTIFICATION OF CHIEF FINANCIAL OFFICER - FUTURES PORTFOLIO FUND L.P.ex32-02.htm
EX-31.02 - CERTIFICATION OF CHIEF FINANCIAL OFFICER - FUTURES PORTFOLIO FUND L.P.ex31-02.htm
EX-31.01 - CERTIFICATION OF CHIEF EXECUTIVE OFFICER - FUTURES PORTFOLIO FUND L.P.ex31-01.htm

 

 

 

UNITED STATES 

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM 10-Q

 

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

SECURITIES EXCHANGE ACT OF 1934

 

For the quarterly period ended September 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

September 30, 2016 and December 31, 2015

 

  

September 30, 2016

(unaudited)

   December 31, 2015 
Assets          
Equity in broker trading accounts          
Cash  $90,132,643   $122,736,345 
Net unrealized gain (loss) on open futures contracts   9,035,594    4,412,678 
Net unrealized gain (loss) on open forward currency contracts   886,743    (1,614,491)
Net unrealized gain (loss) on swap contract       3,440,896 
Total equity in broker trading accounts   100,054,980    128,975,428 
Cash and cash equivalents   37,789,418    56,290,425 
Investments in securities, at fair value (cost $445,911,456 and $453,001,973)   445,913,474    451,049,033 
Certificates of deposit (CDs), at fair value (cost $44,559,584 and $22,673,242)   44,678,549    22,710,509 
General Partner 1% allocation receivable       271,430 
Subscriptions receivable   246,392    85,414 
Total assets  $628,682,813   $659,382,239 
           
Liabilities and Partners’ Capital (Net Asset Value)          
Liabilities          
Trading Advisor management fees payable  $831,383   $1,301,752 
Trading Advisor incentive fees payable   991,813    216,856 
Commissions and other trading fees payable on open contracts   134,503    138,206 
Cash Managers fees payable   111,971    109,594 
General Partner management and performance fees payable   737,255    789,152 
General Partner 1% allocation payable   165,646     
Selling agent and broker dealer servicing fees payable – General Partner   683,460    735,514 
Administrative expenses payable – General Partner   138,632    155,471 
Investment Manager fees payable   128,687    83,884 
Distribution (12b-1) fees payable   2,705    2,204 
Operating services fee payable   17,648    33,554 
Redemptions payable   7,373,477    11,143,201 
Subscriptions received in advance   1,729,565    1,086,965 
Total liabilities   13,046,745    15,796,353 
           
Partners’ Capital (Net Asset Value)          
Class A Interests – 89,599.3012 and 98,034.9581 units outstanding at September 30, 2016 and
December 31, 2015, respectively
   384,625,756    412,948,548 
Class B Interests – 30,700.6502 and 33,265.6588 units outstanding at September 30, 2016 and
December 31, 2015, respectively
   194,767,711    204,329,032 
Class I Interests – 3,828.4541 units and 3,828.4541 units outstanding at September 30, 2016 and
December 31, 2015, respectively
   3,917,247    3,767,830 
Non-controlling interest   32,325,354    22,540,476 
Total partners’ capital (net asset value)   615,636,068    643,585,886 
Total liabilities and partners’ capital (net asset value)  $628,682,813   $659,382,239 

 

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

 

   
 

  

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments

September 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           
$20,000,000   10/20/16  U.S. Treasury Bill   0.06%  $19,997,834    3.25%
 20,000,000   11/17/16  U.S. Treasury Bill   0.25%   19,995,733    3.25%
 20,000,000   12/22/16  U.S. Treasury Bill   0.17%   19,989,164    3.25%
 5,500,000   11/30/16  U.S. Treasury Notes   0.88%   5,521,343    0.90%
 4,400,000   11/30/16  U.S. Treasury Notes   2.75%   4,457,516    0.72%
 7,650,000   1/31/17  U.S. Treasury Notes   0.50%   7,659,734    1.24%
 6,950,000   2/28/17  U.S. Treasury Notes   0.50%   6,955,408    1.13%
 4,900,000   8/15/17  U.S. Treasury Notes   0.88%   4,914,854    0.80%
 1,500,000   12/31/17  U.S. Treasury Notes   0.75%   1,503,371    0.24%
Total U.S. Treasury securities (cost:  $91,064,456)        90,994,957    14.78%
                        
U.S. Commercial Paper              
Face Value   Maturity Date  Name   Yield1           
 Automotive                       
$400,000   11/8/16  Caterpillar Financial Services Corporation   0.50%   399,790    0.06%
 1,900,000   11/16/16  Ford Motor Credit Company LLC   0.70%   1,898,301    0.31%
 2,100,000   10/5/16  Hyundai Capital America   0.71%   2,099,834    0.34%
 1,200,000   10/28/16  Hyundai Capital America   0.76%   1,199,238    0.19%
 2,000,000   10/3/16  Nissan Motor Acceptance Corporation   0.70%   1,999,922    0.32%
 Banks                       
 1,700,000   8/24/17  Danske Corporation   1.44%   1,678,021    0.27%
 1,500,000   10/14/16  Mitsubishi UFJ Trust & Banking Corp   0.75%   1,499,594    0.24%
 500,000   10/13/16  Mizuho Bank   0.65%   499,892    0.08%
 500,000   11/3/16  Oversea-Chinese Banking Corp.   0.70%   499,679    0.08%
 1,600,000   10/24/16  Rabobank USA Finance Corp.   0.69%   1,599,295    0.26%
 500,000   11/7/16  Rabobank USA Finance Corp.   0.75%   499,615    0.08%
 2,100,000   11/15/16  Standard Chartered Bank   0.68%   2,098,215    0.34%
 1,800,000   9/12/17  Standard Chartered Bank   1.54%   1,773,593    0.29%
 1,600,000   11/4/16  Sumitomo Mitsui Banking Corporation   0.60%   1,599,093    0.26%
 500,000   12/19/16  Sumitomo Mitsui Banking Corporation   0.88%   499,034    0.08%
 400,000   10/4/16  The Bank of Tokyo-Mitsubishi UFJ, Ltd.   0.67%   399,978    0.06%
 1,600,000   12/12/16  Toronto Dominion Holdings (U.S.A.), Inc.   0.83%   1,597,344    0.26%
 2,000,000   10/14/16  United Overseas Bank Limited   0.70%   1,999,494    0.32%
 Beverages                       
 2,000,000   10/26/16  Brown-Forman Corporation   0.55%   1,999,236    0.32%
 1,700,000   11/17/16  The Coca-Cola Company   1.02%   1,699,009    0.28%
 Diversified financial services                
 2,200,000   11/22/16  American Express Credit Corporation   0.73%   2,197,680    0.36%
 1,600,000   10/4/16  DCAT, LLC   0.65%   1,599,913    0.26%
 1,700,000   10/6/16  Fairway Financial Corporation   0.65%   1,699,847    0.28%
 1,700,000   12/14/16  Gotham Funding Corporation   0.98%   1,696,575    0.28%
 500,000   10/24/16  Intercontinental Exchange, Inc.   0.53%   499,831    0.08%
 1,700,000   11/14/16  Intercontinental Exchange, Inc.   0.54%   1,698,878    0.28%
 1,600,000   10/17/16  Liberty Street Funding LLC   0.70%   1,599,502    0.26%
 1,500,000   12/12/16  Manhattan Asset Funding Company LLC   0.96%   1,497,120    0.24%
 1,600,000   10/27/16  Thunder Bay Funding, LLC   0.50%   1,599,422    0.26%
 Energy                       
 500,000   10/4/16  Dominion Resources, Inc.   0.71%   499,970    0.08%
 1,400,000   10/18/16  Dominion Resources, Inc.   0.76%   1,399,498    0.23%
 1,400,000   10/26/16  Oglethorpe Power Corporation   0.52%   1,399,494    0.23%
 400,000   11/4/16  Oglethorpe Power Corporation   0.50%   399,811    0.06%

 

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

 

2 
 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

September 30, 2016 (unaudited)

 

      Description  Fair Value  % of Partners’
Capital (Net
Asset Value)
U.S. Commercial Paper (continued)               
Face Value   Maturity Date  Name   Yield1           
Energy (continued)                
$1,300,000   11/22/16  Schlumberger Holdings Corporation   0.27%  $1,298,532    0.21%
2,100,000   10/25/16  Sempra Energy Global Enterprises   0.92%   2,098,712    0.34%
500,000   10/12/16  The Southern Company   0.76%   499,884    0.08%
Healthcare                       
2,100,000   10/17/16  Catholic Health Initiatives   0.85%   2,099,207    0.35%
Insurance                       
1,700,000   11/14/16  Nationwide Life Insurance Company   0.54%   1,698,878    0.28%
500,000   11/14/16  Nationwide Life Insurance Company   0.54%   499,670    0.08%
500,000   11/8/16  New York Life Capital Corporation   0.50%   499,736    0.08%
Nonprofit                       
500,000   10/12/16  The Salvation Army USA   0.65%   499,901    0.08%
Pharmaceuticals                       
2,200,000   3/20/17  Pfizer Inc.   0.83%   2,191,400    0.37%
REIT                       
1,600,000   10/25/16  Simon Property Group, L.P.   0.50%   1,599,467    0.26%
Total U.S. commercial paper (cost:  $58,248,898)         58,311,105    9.47%
                       
Foreign Commercial Paper               
Face Value   Maturity Date  Name   Yield1           
Banks                       
$500,000   10/26/16  John Deere Financial Limited   0.47%   499,836    0.08%
                        
 500,000   11/2/16  Bank of Nova Scotia   0.70%   499,689    0.08%
 400,000   10/5/16  Commonwealth Bank of Australia   0.58%   399,974    0.06%
 1,600,000   10/6/16  DBS Bank Ltd.   0.60%   1,599,867    0.27%
 400,000   12/21/16  DBS Bank Ltd.   0.96%   399,136    0.06%
 700,000   10/17/16  Macquarie Bank Limited   1.02%   699,814    0.11%
 500,000   10/26/16  Skandinaviska Enskilda Banken AB   0.60%   499,792    0.08%
                        
 400,000   11/21/16  BASF SE   0.65%   399,632    0.06%
 1,500,000   1/9/17  BASF SE   0.70%   1,497,067    0.25%
                        
 1,200,000   1/6/17  Electricite de France   1.05%   1,196,583    0.19%
 800,000   1/9/17  Electricite de France   1.06%   797,639    0.13%
 2,000,000   10/11/16  Engie   0.75%   1,999,583    0.33%
 1,000,000   11/10/16  Engie   0.49%   999,453    0.16%
                        
 400,000   10/3/16  Reckitt Benckiser Treasury Services PLC   0.60%   399,987    0.06%
 1,800,000   8/30/17  Reckitt Benckiser Treasury Services PLC   1.18%   1,780,428    0.30%
                        
 1,500,000   10/27/16  AstraZeneca PLC   0.70%   1,499,242    0.25%
                        
 1,200,000   9/13/17  Vodafone Group Public Limited Company   1.62%   1,181,544    0.19%
Total foreign commercial paper (cost:  $16,287,119)         16,349,266    2.66%
Total commercial paper (cost:  $74,536,017)         74,660,371    12.13%

 

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

 

3 
 

 

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

 

      Description  Fair Value   % of Partners’
Capital (Net
Asset Value)
 
U.S. Corporate Notes               
Face Value   Maturity Date  Name   Yield1           
Aerospace                   
$1,800,000   12/15/16  Rockwell Collins, Inc.   1.20%  $1,802,369    0.29%
Automotive                   
 566,000   7/13/18  American Honda Finance Corporation   1.13%   570,072    0.09%
 368,000   2/22/19  American Honda Finance Corporation   1.64%   373,110    0.06%
 438,000   3/10/17  Daimler Finance North America LLC   1.13%   438,317    0.07%
 649,000   8/3/17  Daimler Finance North America LLC   1.47%   652,656    0.11%
 6,700,000   3/2/18  Daimler Finance North America LLC   1.26%   6,691,119    1.09%
 7,350,000   1/9/18  Ford Motor Credit Company LLC   1.60%   7,405,896    1.20%
 1,422,000   4/6/18  Nissan Motor Acceptance Corporation   1.46%   1,426,584    0.23%
 1,000,000   3/27/17  Toyota Motor Credit Corporation   1.18%   1,001,150    0.16%
 670,000   2/19/19  Toyota Motor Credit Corporation   1.63%   679,139    0.11%
 500,000   5/23/17  Volkswagen Group of America Finance, LLC   1.19%   498,113    0.08%
 200,000   11/20/17  Volkswagen Group of America Finance, LLC   1.25%   199,044    0.03%
Banks                   
 1,473,000   11/14/16  Bank of America   1.13%   1,479,315    0.24%
 800,000   11/14/16  Bank of America   1.29%   801,916    0.13%
 500,000   2/13/17  Capital One Bank   1.20%   500,451    0.08%
 8,000,000   4/27/18  Credit Suisse AG   1.41%   8,030,011    1.31%
 1,000,000   2/23/18  PNC Realty Investors, Inc.   1.50%   1,004,637    0.16%
 900,000   11/20/16  The Huntington National Bank   1.30%   904,556    0.15%
 1,800,000   1/30/17  U.S. Bank National Association   1.10%   1,803,639    0.29%
 500,000   8/23/17  U.S. Bank National Association   1.27%   501,555    0.08%
 806,000   9/11/17  U.S. Bank National Association   1.05%   806,492    0.13%
 450,000   1/29/18  U.S. Bank National Association   1.45%   452,362    0.07%
 1,722,000   9/8/17  Wells Fargo & Company   1.40%   1,723,024    0.28%
 834,000   1/22/18  Wells Fargo Bank, National Association   1.44%   840,243    0.14%
Beverages                   
 3,617,000   1/15/18  Anheuser-Busch Companies, LLC   5.50%   3,864,913    0.63%
 1,000,000   1/15/17  SABMiller Holdings Inc.   2.45%   1,008,165    0.16%
Computers                   
 800,000   5/3/18  Apple Inc.   1.01%   801,619    0.13%
 3,000,000   2/22/19  Apple Inc.   1.64%   3,050,411    0.50%
 2,650,000   2/22/19  Apple Inc.   1.70%   2,686,555    0.44%
Diversified financial services                
 1,000,000   6/5/17  American Express Credit Corporation   1.11%   997,767    0.16%
 1,226,000   3/7/18  Berkshire Hathaway Finance Corporation   1.38%   1,235,112    0.20%
 1,400,000   4/3/17  Branch Banking and Trust Company   1.00%   1,406,495    0.23%
 800,000   5/10/19  Branch Banking and Trust Company   1.29%   803,431    0.13%
 3,600,000   10/15/18  Intercontinental Exchange, Inc.   2.50%   3,728,260    0.61%
 798,000   4/5/17  MassMutual Global Funding II   2.00%   809,068    0.13%
 1,000,000   4/10/17  Metropolitan Life Global Funding I   1.04%   1,003,499    0.16%
 3,500,000   4/10/17  Metropolitan Life Global Funding I   1.30%   3,525,288    0.57%
 1,000,000   12/21/16  Mizuho Securities USA Inc.   1.25%   1,000,303    0.16%
 1,060,000   10/18/16  Morgan Stanley   5.75%   1,089,441    0.18%
 5,900,000   1/9/17  Morgan Stanley   5.45%   6,039,440    0.98%
 500,000   2/1/19  Morgan Stanley   2.45%   512,672    0.08%
 8,125,000   2/9/18  MUFG Americas Holdings Corporation   1.36%   8,125,534    1.33%
 1,500,000   10/5/17  NYSE Euronext   2.00%   1,526,067    0.25%
 5,000,000   11/25/16  Pricoa Global Funding I   1.15%   5,022,858    0.82%
 1,675,000   6/27/18  Pricoa Global Funding I   1.14%   1,675,354    0.27%
 1,800,000   12/1/17  Principal Life Global Funding II   1.34%   1,809,670    0.29%

 

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

 

4 

 

 

Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
September 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)                
$400,000   12/15/17  The Goldman Sachs Group, Inc.   1.65%  $400,229    0.07%
 3,500,000   2/15/19  The Goldman Sachs Group, Inc.   7.50%   3,998,727    0.65%
 3,000,000   4/25/19  The Goldman Sachs Group, Inc.   1.75%   3,020,892    0.49%
 1,000,000   6/1/17  UBS AG   1.38%   1,004,280    0.16%
 4,750,000   6/1/17  UBS AG   1.40%   4,757,640    0.77%
 4,500,000   12/14/17  Visa Inc.   1.20%   4,537,065    0.74%
Energy                       
 1,461,000   11/9/17  Chevron Corporation   1.15%   1,467,993    0.24%
 3,350,000   12/1/17  Kinder Morgan, Inc.   2.00%   3,387,375    0.55%
Healthcare                       
 10,000,000   6/7/18  Aetna Inc.   1.70%   10,081,441    1.65%
 500,000   1/15/18  Anthem, Inc.   1.88%   504,619    0.08%
 1,500,000   3/15/18  Medtronic, Inc.   1.50%   1,508,140    0.24%
 7,750,000   1/17/17  UnitedHealth Group Incorporated   1.13%   7,790,473    1.27%
 4,775,000   4/1/18  Zimmer Biomet Holdings, Inc.   2.00%   4,853,119    0.79%
Insurance                       
 2,700,000   10/18/16  American International Group, Inc.   5.60%   2,773,806    0.45%
 352,000   8/15/18  Berkshire Hathaway Inc.   1.15%   352,449    0.06%
 1,000,000   3/1/17  New York Life Global Funding   1.13%   1,001,359    0.16%
 1,614,000   10/30/17  New York Life Global Funding   1.30%   1,625,540    0.26%
Manufacturing                   
 994,000   11/20/17  Caterpillar Financial Services Corporation   1.06%   996,074    0.16%
 789,000   2/23/18  Caterpillar Financial Services Corporation   1.52%   795,945    0.13%
 1,000,000   1/9/17  General Electric Capital Corporation   0.94%   1,002,952    0.16%
 241,000   2/25/17  Illinois Tool Works Inc.   0.90%   241,122    0.04%
 700,000   7/11/17  John Deere Capital Corporation   1.11%   703,403    0.11%
 1,000,000   1/8/19  John Deere Capital Corporation   1.23%   1,007,108    0.16%
Pharmaceuticals                   
 7,775,000   5/14/18  AbbVie Inc.   1.80%   7,860,447    1.28%
 1,400,000   10/7/16  Bayer US Finance LLC   0.91%   1,403,059    0.23%
 500,000   3/17/17  EMD FIN LLC   1.21%   499,901    0.08%
 750,000   12/1/16  Gilead Sciences, Inc.   3.05%   760,198    0.12%
Retail                       
 5,500,000   7/20/18  CVS Health Corporation   1.90%   5,579,295    0.91%
 783,000   7/15/17  Dollar General Corporation   4.13%   807,483    0.13%
 4,750,000   9/10/18  Home Depot, Inc.   2.25%   4,861,969    0.79%
 1,500,000   10/15/16  Lowe’s Companies, Inc.   5.40%   1,538,709    0.25%
 310,000   4/15/17  Lowe’s Companies, Inc.   1.63%   313,168    0.05%
Software                       
 2,000,000   8/18/17  IBM   1.25%   2,009,871    0.33%
 1,400,000   8/8/19  Microsoft Corporation   1.10%   1,397,521    0.23%
 900,000   7/7/17  Oracle Corporation   0.86%   899,971    0.15%
 600,000   4/15/18  Oracle Corporation   5.75%   657,962    0.11%
Telecommunications                   
 6,750,000   2/15/19  AT&T Inc.   5.80%   7,476,307    1.21%
 4,000,000   9/20/19  Cisco Systems, Inc.   1.20%   4,011,343    0.65%
 4,800,000   6/9/17  Verizon Communications, Inc.   1.23%   4,805,778    0.78%
 4,500,000   9/14/18  Verizon Communications, Inc.   2.61%   4,627,622    0.75%
Transportation                       
 4,500,000   10/28/16  Kansas City Southern   1.44%   4,514,784    0.73%
Total U.S. corporate notes (cost:  $204,251,800)         204,144,831    33.16%

 

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

 

5 

 

 

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

 

      Description  Fair Value   % of Partners’
Capital (Net
Asset Value)
 
Foreign Corporate Notes               
Face Value   Maturity Date  Name   Yield1           
Banks                       
$1,000,000   2/2/17  ABN AMRO Bank N.V.   4.25%  $1,016,246    0.17%
 2,200,000   12/13/16  Bank of Nova Scotia, The   1.27%   2,203,569    0.36%
 1,998,000   3/13/17  Commonwealth Bank of Australia   1.21%   2,001,051    0.33%
 548,000   1/19/17  Cooperatieve Rabobank U.A.   3.38%   555,406    0.09%
 5,000,000   8/17/18  ING Bank N.V.   1.58%   5,020,501    0.82%
 500,000   2/22/17  Macquarie Bank Limited   5.00%   509,534    0.08%
 2,000,000   12/9/16  National Australia Bank Limited   1.08%   2,002,374    0.33%
 5,000,000   7/23/18  National Australia Bank Limited   1.35%   5,003,343    0.81%
 1,800,000   4/4/17  Svenska Handelsbanken AB   2.88%   1,841,637    0.30%
 882,000   9/29/17  Swedbank AB   2.13%   888,546    0.14%
 1,500,000   7/23/18  Toronto-Dominion Bank   1.25%   1,501,334    0.24%
Diversified financial services                
 800,000   1/29/18  Caisse centrale Desjardins   1.42%   801,028    0.13%
 222,000   1/13/17  Hutchison Whampoa International Ltd   3.50%   225,071    0.04%
Energy                       
 1,000,000   5/10/17  Shell International Finance B.V.   1.13%   1,002,848    0.16%
Pharmaceuticals                   
 6,790,000   3/12/18  Actavis Funding SCS   1.93%   6,878,855    1.11%
Semiconductors                   
 1,520,000   10/17/16  Siemens Financieringsmaatschappij N.V.   5.75%   1,562,398    0.25%
Total foreign corporate notes (cost:  $32,963,498)         33,013,741    5.36%
Total corporate notes (cost:  $237,215,298)        237,158,572    38.52%
                        
U.S. Asset Backed Securities              
Face Value   Maturity Date  Name   Yield1           
Automotive                       
$1,440,857   10/15/18  Ally Auto Receivables Trust   1.17%   1,443,643    0.23%
 174,417   9/20/17  Ally Auto Receivables Trust 2014-SN2   1.03%   174,488    0.03%
 293,636   3/15/18  Ally Auto Receivables Trust 2015-2   0.98%   293,843    0.05%
 343,842   8/15/18  Ally Auto Receivables Trust 2016-1   1.20%   344,436    0.06%
 603,769   1/8/19  AmeriCredit Automobile Receivables Tr 2006-A-F   1.07%   604,225    0.10%
 159,570   2/8/19  AmeriCredit Automobile Receivables Tr 2006-A-F   0.90%   159,402    0.03%
 1,526,164   6/10/19  AmeriCredit Automobile Receivables Trust 2014-3   1.15%   1,527,700    0.25%
 375,000   7/15/24  ARI Fleet Lease Trust   1.82%   376,668    0.06%
 125,807   4/16/18  Bank of the West Auto Trust 2015-1   0.87%   125,848    0.02%
 675,000   1/22/18  BMW Vehicle Lease Trust   1.17%   675,502    0.11%
 1,084,924   1/22/18  BMW Vehicle Lease Trust 2015-2   1.07%   1,085,975    0.18%
 812,000   5/28/19  BMW Vehicle Owner Trust 2016-A   0.99%   811,695    0.13%
 196,686   10/20/17  Capital Auto Receivables Asset Tr 2015-2   0.93%   196,757    0.03%
 525,000   7/20/18  Capital Auto Receivables Asset Trust 2013-4   1.47%   526,002    0.09%
 324,513   6/15/18  CarMax Auto Owner Trust 2015-2   0.82%   324,574    0.05%
 491,328   2/7/27  Chesapeake Funding LLC   1.01%   490,451    0.08%
 400,000   7/15/19  Drive Auto Receivables Trust   1.67%   401,489    0.07%
 211,540   5/15/18  Fifth Third Auto Trust 2015-1   1.02%   211,672    0.03%
 449,600   5/15/18  Ford Credit Auto Lease Trust 2015-B   1.04%   450,080    0.07%
 1,520,000   11/15/18  Ford Credit Auto Lease Trust 2016-A   1.42%   1,525,370    0.25%
 70,842   3/15/18  Ford Credit Auto Owner Trust 2012-D   0.67%   70,851    0.01%
 266,494   3/15/18  Ford Credit Auto Owner Trust 2015-B   0.72%   266,546    0.04%
 554,000   3/15/19  Ford Credit Auto Owner Trust 2016-B   1.08%   554,181    0.09%
 342,000   1/15/19  Ford Credit Floorplan Master Owner Trust A   1.92%   343,294    0.06%

 

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

 

6 

 

 

Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
September 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)                
$500,000   7/20/19  GE Dealer Floorplan Master Note   0.91%  $499,929    0.08%
 374,285   1/15/19  Harley-Davidson Motorcycle Trust 2015-2   0.80%   374,283    0.06%
 751,860   4/10/28  Hertz Fleet Lease Funding LP   0.93%   752,274    0.12%
 320,974   9/18/17  Honda Auto Receivables 2013-4 Owner Tr   0.69%   320,984    0.05%
 609,346   7/23/18  Honda Auto Receivables 2015-4 Owner Trust   0.82%   608,991    0.10%
 719,000   6/18/18  Honda Auto Receivables 2016-1 Owner Trust   1.01%   719,464    0.12%
 1,460,000   9/17/18  Honda Auto Receivables 2016-2 Owner Trust   1.13%   1,462,860    0.24%
 229,709   11/20/17  Honda Auto Receivables Owner Trust   0.92%   229,880    0.04%
 700,000   7/16/18  Hyundai Auto Lease Securitization Tr 2016-A   1.07%   701,510    0.11%
 586,997   11/15/17  Hyundai Auto Lease Securitization Trust   0.98%   587,212    0.10%
 451,498   11/15/18  Hyundai Auto Receivables Trust 2015-C   0.99%   451,511    0.07%
 713,000   6/17/19  Hyundai Auto Receivables Trust 2016-A   1.21%   714,381    0.12%
 1,785,000   7/16/18  Mercedes-Benz Auto Lease Trust   1.34%   1,788,280    0.28%
 649,738   1/16/18  Mercedes-Benz Auto Lease Trust 2015-B   1.00%   650,200    0.11%
 761,000   9/14/17  Mercedes-Benz Auto Receivables Trust   1.11%   761,491    0.12%
 622,736   11/15/17  Nissan Auto Lease Trust 2015-A   0.87%   623,144    0.10%
 234,105   8/15/18  Nissan Auto Receivables 2013-C Owner Trust   0.67%   234,123    0.04%
 52,884   9/15/17  Nissan Auto Receivables 2015-A Owner Tr   0.67%   52,893    0.01%
 1,005,000   4/15/19  Nissan Auto Receivables 2016-B Owner Trust   1.05%   1,005,772    0.16%
 509,000   5/15/19  Nissan Auto Receivables 2016-C Owner Trust   1.07%   508,896    0.08%
 45,522   11/21/17  Porsche Innovation Lease Owner Trust   0.79%   45,528    0.01%
 665,470   4/8/19  Santander Drive Auto Receivables Trust 2015-4   1.26%   666,452    0.11%
 180,168   11/15/18  Santander Drive Auto Receivables Trust 2015-5   1.12%   180,394    0.03%
 225,000   9/16/19  Santander Drive Auto Receivables Trust 2015-5   1.58%   225,822    0.04%
 246,028   2/15/18  Toyota Auto Receivables Owner Trust   0.85%   246,183    0.04%
 617,000   8/15/17  Toyota Auto Receivables Owner Trust   1.03%   617,542    0.10%
 551,000   1/15/19  Toyota Auto Receivables Owner Trust   1.00%   551,088    0.09%
 224,601   10/22/18  Volkswagen Auto Loan Enhanced Tr 2014-1   0.91%   224,226    0.04%
 197,352   4/20/18  Volkswagen Auto Loan Enhanced Trust 2013-2   0.70%   197,242    0.03%
Credit card                       
 1,000,000   1/15/20  BA Credit Card Trust   0.81%   1,001,132    0.16%
 300,000   6/15/20  Cabela’s Credit Card Master Note Trust   1.45%   301,279    0.05%
 2,000,000   9/16/19  Capital One Multi-Asset Execution Trust   0.96%   2,001,025    0.32%
 1,500,000   1/15/20  Capital One Multi-Asset Execution Trust   1.26%   1,503,004    0.24%
 850,000   10/15/18  Chase Issuance Trust   1.01%   850,492    0.14%
 1,760,000   11/7/18  Citibank Credit Card Issuance Trust   1.02%   1,763,021    0.29%
 1,500,000   2/22/19  Citibank Credit Card Issuance Trust   1.02%   1,502,144    0.24%
 1,000,000   3/15/21  World Financial Network Credit Card Master Note Tr   1.26%   1,000,410    0.16%
Other                       
 138,502   8/15/18  CNH Equipment Trust 2013-B   0.69%   138,487    0.02%
 500,000   3/23/20  Dell Equipment Finance Trust 2015-1   1.30%   499,903    0.08%
 985,000   10/15/18  John Deere Owner Trust   1.15%   986,545    0.16%
 298,107   2/15/18  John Deere Owner Trust 2015   0.87%   298,124    0.05%
 108,535   12/15/17  Kubota Credit Owner Trust 2015-1   0.94%   108,552    0.02%
Student loans                       
 52,504   5/16/22  Navient Private Education Loan Trust   1.00%   52,528    0.01%
 18,388   8/15/25  SLM Private Education Loan Trust 2012-A   1.92%   18,410    0.00%
 117,812   10/16/23  SLM Private Education Loan Trust 2012-E   1.27%   117,877    0.02%
 124,188   8/15/22  SLM Private Education Loan Trust 2013-A   1.12%   124,344    0.02%

 

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

 

7 

 

 

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

 

      Description  Fair Value   % of Partners’
Capital (Net
Asset Value)
 
U.S. Asset Backed Securities (continued)      
Face Value  Maturity Date  Name  Yield1      
Commercial mortgages                   
$1,490,007   1/15/49  Banc of America Commercial Mortgage Tr 2007-1   5.43%  $1,504,947    0.24%
 341,345   2/12/44  Morgan Stanley Capital I Trust 2007-HQ11   0.66%   340,103    0.06%
Total U.S. asset backed securities (cost:  $43,095,685)         43,099,574    7.00%
Total investments in securities (cost:  $445,911,456)       $445,913,474    72.43%
                        

CERTIFICATES OF DEPOSIT 

               
U.S. Certificates of Deposit               
Face Value   Maturity Date  Name   Yield1           
Banks                       
$1,000,000   6/30/17  Bank of Montreal   1.10%  $1,001,675    0.16%
 1,500,000   8/16/17  Bank of Montreal   1.28%   1,505,603    0.24%
 800,000   5/16/17  Bank of Nova Scotia   1.29%   801,716    0.13%
 2,000,000   11/14/16  BMO Harris Bank National Association   1.09%   2,017,176    0.33%
 1,800,000   5/23/17  Canadian Imperial Bank of Commerce   1.19%   1,802,549    0.29%
 1,000,000   5/24/17  Canadian Imperial Bank of Commerce   1.23%   1,001,626    0.16%
 250,000   5/3/17  Credit Suisse Group AG   1.40%   251,665    0.04%
 1,800,000   9/12/17  Credit Suisse Group AG   1.65%   1,803,707    0.29%
 1,800,000   5/26/17  DNB Bank ASA   1.24%   1,803,070    0.29%
 2,000,000   8/4/17  HSBC BANK USA   1.32%   2,006,294    0.33%
 1,000,000   3/15/17  Mitsubishi UFJ Trust & Banking Corp   1.25%   1,000,795    0.16%
 2,000,000   7/13/17  Mizuho Bank, Ltd.   1.30%   2,004,781    0.33%
 1,622,000   5/24/17  National Bank of Canada   1.23%   1,624,570    0.26%
 2,000,000   2/13/17  Nordea Bank Finland PLC   1.10%   2,004,048    0.33%
 1,500,000   3/1/17  Nordea Bank Finland PLC   1.19%   1,502,908    0.24%
 2,000,000   3/6/17  Rabobank USA Finance Corp.   1.18%   2,002,595    0.33%
 1,000,000   10/14/16  Royal Bank of Canada   0.92%   1,002,217    0.16%
 2,000,000   3/22/18  Royal Bank of Canada   1.57%   2,005,709    0.33%
 1,000,000   7/19/17  Sumitomo Mitsui Banking Corporation   1.45%   1,003,196    0.16%
 1,500,000   7/20/17  Sumitomo Mitsui Trust Bank Ltd   1.50%   1,505,463    0.24%
 1,000,000   8/8/17  Sumitomo Mitsui Trust Bank Ltd   1.53%   1,002,944    0.16%
 1,000,000   12/7/17  Svenska Handelsbanken AB   1.31%   1,000,168    0.16%
 850,000   7/26/17  The Norinchukin Bank   1.43%   852,693    0.14%
 1,150,000   7/27/17  The Norinchukin Bank   1.43%   1,153,590    0.19%
 2,000,000   5/3/17  The Toronto-Dominion Bank   1.15%   2,008,466    0.33%
 1,700,000   7/13/17  The Toronto-Dominion Bank   1.20%   1,702,961    0.28%
 750,000   9/22/17  Wells Fargo Bank, National Association   1.34%   750,156    0.13%
 1,500,000   1/19/17  Westpac Banking Corporation   1.04%   1,504,624    0.24%
 1,000,000   3/17/17  Westpac Banking Corporation   1.13%   1,006,081    0.16%
 750,000   7/14/17  Westpac Banking Corporation   1.23%   751,316    0.13%
 1,800,000   3/30/17  State Street Corporation   1.12%   1,799,917    0.29%
 900,000   7/14/17  State Street Corporation   1.13%   902,602    0.15%
Total U.S. certificates of deposit (cost:  $43,969,193)         44,086,881    7.16%
                        
Foreign Certificates of Deposit               
Face Value   Maturity Date  Name   Yield1           
Banks                      
$591,000   12/5/16  Bank of Nova Scotia   0.56%   591,668    0.10%
Total foreign certificates of deposit (cost:  $590,391)         591,668    0.10%
                        
Total certificates of deposit (cost:  $44,559,584)       $44,678,549    7.26%

 

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

 

8 

 

 

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

 

    Description  Fair Value   % of Partners’
Capital (Net
Asset Value)
 
OPEN FUTURES CONTRACTS              
Long U.S. Futures Contracts              
    Agricultural commodities  $746,322    0.12%
    Currencies   1,265,721    0.21%
    Energy   70,056    0.01%
    Equity indices   2,257,909    0.37%
    Interest rate instruments   (156,098)   (0.03)%
    Metals   5,900,515    0.95%
    Single stock futures   770,249    0.13%
Net unrealized gain (loss) on open long U.S. futures contracts   10,854,674    1.76%
               
Short U.S. Futures Contracts              
    Agricultural commodities   1,843,263    0.30%
    Currencies   591,725    0.10%
    Energy   (2,079,194)   (0.34)%
    Equity indices   407,696    0.07%
    Interest rate instruments   (212,069)   (0.03)%
    Metals2   (7,300,422)   (1.19)%
    Single stock futures   16,954    0.00%
Net unrealized gain (loss) on open short U.S. futures contracts   (6,732,047)   (1.09)%
               
Total U.S. Futures Contracts - Net unrealized gain (loss) on open U.S. futures contracts   4,122,627    0.67%
               
Long Foreign Futures Contracts          
    Agricultural commodities   19,866    0.00%
    Currencies   216,531    0.04%
    Energy   55,533    0.01%
    Equity indices   1,447,089    0.24%
    Interest rate instruments   3,372,117    0.54%
    Metals       0.00%
    Single stock futures   404    0.00%
Net unrealized gain (loss) on open long foreign futures contracts   5,111,540    0.83%
               
Short Foreign Futures Contracts          
    Agricultural commodities   69,275    0.01%
    Currencies   413,382    0.07%
    Energy   (67,020)   (0.01)%
    Equity indices   (9,643)   0.00%
    Interest rate instruments   (611,139)   (0.10)%
    Metals   6,572    0.00%
    Single stock futures       0.00%
Net unrealized gain (loss) on open short foreign futures contracts   (198,573)   (0.03)%
               
Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts   4,912,967    0.80%
               
Net unrealized gain (loss) on open futures contracts  $9,035,594    1.47%

 

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

 

9 

 

 

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

 

   Description  Fair Value % of Partners’
Capital (Net
Asset Value)
 
OPEN FORWARD CURRENCY CONTRACTS         
U.S. Forward Currency Contracts         
   Long  $1,148,978   0.19 %
   Short   (901,517)  (0.15 )%
Net unrealized gain (loss) on open U.S. forward currency contracts   247,461   0.04 %
             
Foreign Forward Currency Contracts         
   Long   492,907   0.08 %
   Short   146,375   0.02 %
Net unrealized gain (loss) on open foreign forward currency contracts   639,282   0.10 %
             
Net unrealized gain (loss) on open forward currency contracts  $886,743   0.14 %

 

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 Securities (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%

 

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 Securities (continued)               
Face Value   Maturity Date  Name   Yield1           
 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%
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 Nine Months Ended September 30, 2016 and 2015 (unaudited)

 

  

Three Months Ended

September 30,

 

Nine Months Ended

September 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  $10,357,243   $5,683,655   $42,154,724   $30,301,401 
Investments in securities and CDs   (470,142)   89,055    (783,123)   (477,716)
Net change in unrealized gain (loss) on:                    
Futures, forward currency and swap contracts   (23,420,648)   25,880,998    3,683,254    (14,272,824)
Investments in securities and CDs   (968,179)   (509,317)   329,988    292,669 
Brokerage commissions and trading expenses   (1,348,979)   (1,341,769)   (3,923,241)   (4,348,190)
Net realized and changed in unrealized gain (loss) on investments   (15,850,705)   29,802,622    41,461,602    11,495,340 
                     
Net investment income (loss)                    
Income                    
Interest income   1,303,861    825,614    3,723,825    2,390,370 
                     
Expenses                    
Trading Advisor management fee   2,133,783    2,343,197    6,302,849    7,288,397 
Trading Advisor incentive fee   991,813        4,290,609    9,348,716 
Cash manager fees   128,822    119,152    377,753    357,455 
General Partner management and performance fees   2,285,856    2,501,949    7,059,241    8,044,012 
Selling agent and broker dealer servicing fees – General Partner   2,121,656    2,329,539    6,555,898    7,339,497 
General Partner 1% allocation   (225,983)   231,022    165,646    (194,789)
Administrative expenses – General Partner   428,692    500,306    1,363,344    1,596,713 
Investment Manager fees   392,201    258,587    1,043,940    758,586 
Distribution (12b-1) fees   7,847    7,075    21,124    15,227 
Operating services fee   53,788    103,435    186,914    303,434 
Total expenses   8,318,475    8,394,262    27,367,318    34,857,248 
Net investment income (loss)   (7,014,614)   (7,568,648)   (23,643,493)   (32,466,878)
Net income (loss)   (22,865,319)   22,233,974    17,818,109    (20,971,538)
Less:  net (income) loss attributable to non-controlling interest   493,024    637,167    (1,419,145)   1,686,918 
Net income (loss) attributable to the Fund  $(22,372,295)  $22,871,141   $16,398,964   $(19,284,620)

  

  

Three Months Ended September 30,

   2016   2015 
   Class A   Class B   Class I   Class A   Class B   Class I 
Increase (decrease) in net asset value per unit  $(169.30)  $(220.84)  $(33.00)  $138.44   $227.19   $38.81 
Net income (loss) per unit†  $(170.75)  $(219.80)  $(33.00)  $138.30   $239.04   $38.81 
                               
Weighted average number of units outstanding   90,388.1104    30,992.2443    3,828.4541    102,997.6252    35,467.9956    3,828.4541 
                               

  

   Nine Months Ended September 30,
   2016   2015 
   Class A   Class B   Class I   Class A   Class B   Class I 
Increase (decrease) in net asset value per unit  $80.47   $201.75   $39.02   $(144.05)  $(124.40)  $(14.17)
Net income (loss) per unit†  $96.35   $228.34   $39.03   $(145.02)  $(107.86)  $(19.51)
                               
Weighted average number of units outstanding   93,090.3784    31,883.0013    3,828.4541    104,034.8343    38,249.3748    3,710.6779 

 

(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 Nine Months Ended September 30, 2016 and 2015 (unaudited)

 

   2016   2015 
Cash flows from operating activities          
Net income (loss)  $17,818,109   $(20,971,538)
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   (3,683,254)   14,272,824 
Net realized and change in unrealized (gain) loss on securities and certificates of deposit   453,135    185,047 
Purchases of securities and certificates of deposit   (811,168,364)   (655,536,657)
Proceeds from disposition of securities and certificates of deposit   793,882,748    692,752,130 
Changes in          
Trading Advisor management fee payable   (470,369)   (293,374)
Trading Advisor incentive fee payable   774,957    (10,977,066)
Commissions and other trading fees payable on open contracts   (3,703)   (12,446)
Cash Managers fees payable   2,377    (348)
General Partner management and performance fees payable   (51,897)   (106,893)
General Partner 1% allocation receivable/payable   437,076    (733,074)
Selling agent and broker dealer servicing fees payable – General Partner   (52,054)   (68,651)
Administrative expenses payable – General Partner   (16,839)   (14,384)
Investment Manager fee payable   44,803    7,662 
Distribution (12b-1) fees payable   501    1,905 
Operating services fee payable   (15,906)   3,338 
Net cash provided by (used in) operating activities   (2,048,680)   18,508,475 
           
Cash flows from financing activities          
Subscriptions   19,675,928    33,204,793 
Subscriptions received in advance   1,729,565    1,485,667 
Redemptions   (78,684,472)   (101,965,590)
Non-controlling interest – subscriptions   11,555,082    23,494,229 
Non-controlling interest – redemptions   (3,332,132)   (2,973,988)
Net cash provided by (used in) financing activities   (49,056,029)   (46,754,889)
           
Net increase (decrease) in cash and cash equivalents   (51,104,709)   (28,246,414)
Cash and cash equivalents, beginning of period   179,026,770    269,943,729 
Cash and cash equivalents, end of period  $127,922,061   $241,697,315 
           
End of period cash and cash equivalents consists of          
Cash in broker trading accounts  $90,132,643   $219,383,090 
Cash and cash equivalents   37,789,418    22,314,225 
Total end of period cash and cash equivalents  $127,922,061   $241,697,315 
           
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  $7,373,477   $6,651,013 

 

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 Nine Months Ended September 30, 2016 and 2015 (unaudited)

 

   Class A   Class B   Class I   Non-Controlling Interest     
   Units   Amount   Units   Amount   Units   Amount   Amount   Total 

Nine Months Ended
September 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)        8,969,533         7,280,014         149,417    1,419,145    17,818,109 
Subscriptions   2,947.1337    13,195,318    1,171.9596    7,567,575            11,716,060    32,478,953 
Redemptions   (10,767.9310)   (47,814,908)   (4,155.8782)   (27,081,645)           (3,350,327)   (78,246,880)
Transfers   (614.8596)   (2,672,735)   418.9100    2,672,735                 
Balance at September 30, 2016   89,599.3012   $384,625,756    30,700.6502   $194,767,711    3,828.4541   $3,917,247   $32,325,354   $615,636,068 
                                         

Nine Months Ended
September 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)        (15,086,747)        (4,125,460)        (72,413)   (1,686,918)   (20,971,538)
Subscriptions   5,743.5295    25,376,355    1,574.4869    9,995,503    389.4833    410,000    23,350,573    59,132,431 
Redemptions   (9,093.6066)   (39,751,760)   (9,198.4444)   (58,398,450)           (3,016,772)   (101,166,982)
Transfers   (1,082.9484)   (4,749,538)   749.8353    4,749,538                 
Balance at September 30, 2015  101,640.9859   $434,032,029    34,648.8443   $214,793,864    3,828.4541   $3,793,280   $25,928,951   $678,548,124 

  

   Net Asset Value per Unit 
   Class A   Class B   Class I 
                 
September 30, 2016    4,292.73    6,344.09    1,023.19 
December 31, 2015    4,212.26    6,142.34    984.17 
September 30, 2015    4,270.25    6,199.16    990.81 
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 Fifth 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 September 30, 2016, the Fund owned 64% 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 2016 and 2015, the Fund redeemed $1 million and $7 million of its investment in SMFF, respectively. The redemptions are eliminated in consolidation.

 

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 September 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 September 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 September 30, 2016

 

    
   Level 1   Level 2   Total 
Equity in broker trading accounts:               
Net unrealized gain (loss) on open futures contracts*  $9,035,594   $   $9,035,594 
Net unrealized gain (loss) on open forward currency contracts*       886,743    886,743 
Cash and cash equivalents:               
    Money market fund   30,687,247        30,687,247 
Investments in securities:               
    U.S. Treasury securities*   90,994,957        90,994,957 
    Asset backed securities*       43,099,574    43,099,574 
    Commercial paper*       74,660,371    74,660,371 
    Corporate notes*       237,158,572    237,158,572 
Certificates of deposit*       44,678,549    44,678,549 
Total  $130,717,798   $400,483,809   $531,201,607 

*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 September 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 September 30, 2016, the Fund’s derivative contracts had the following impact on the consolidated statements of financial condition:

 

26 

 

 

September 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  $3,829,346   $(1,150,620)  $2,678,726 
Currencies   3,341,230    (853,871)   2,487,359 
Energy   814,174    (2,834,799)   (2,020,625)
Equity indices   5,561,434    (1,458,383)   4,103,051 
Interest rate instruments   5,660,167    (3,267,356)   2,392,811 
Metals   7,903,257    (9,296,592)   (1,393,335)
Single stock futures   969,914    (182,307)   787,607 
Net unrealized gain (loss) on open futures contracts  $28,079,522   $(19,043,928)  $9,035,594 
                
Net unrealized gain (loss) on open forward currency contracts  $5,780,434   $(4,893,691)  $886,743 

 

At September 30, 2016, there were 64,083 open futures contracts and 4,720 open forward currency contracts.

 

The Fund’s financial assets, derivative assets, and cash collateral held by counterparties at September 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   $(102,899)  $   $   $(102,899)
Deutsche Bank Securities, Inc.   852,838            852,838 
JP Morgan Securities, LLC   2,940,563            2,940,563 
SG Americas Securities, LLC   5,242,193            5,242,193 
Société Générale Newedge UK Limited   490,556            490,556 
UBS AG   499, 086            499,086 
Total  $9,922, 337   $   $   $9,922,337 

 

For the three and nine months ended September 30, 2016, the Fund’s derivative contracts had the following impact on the consolidated statements of operations:

 

   Three Months Ended
September 30, 2016
   Nine Months Ended
September 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  $169,208   $(532,393)  $(2,741,199)  $1,208,665 
Currencies   3,171,248    (3,013,123)   1,565,389    388,098 
Energy   (10,033,720)   (1,791,897)   (1,633,881)   (5,606,892)
Equity indices   11,022,588    2,255,345    (7,234,286)   5,529,894 
Interest rate instruments   6,945,251    (15,656,405)   52,472,272    6,588,779 
Metals   (1,113,329)   (1,950,562)   (6,413,332)   (4,133,973)
Single stock futures   259,325    452,491    205,429    648,345 
Total futures contracts  $10,420,571   $(20,236,544)  $36,220,392   $4,622,916 
                     
Forward currency contracts   (139,804)   (3,184,104)   (2,994,180)   2,501,234 
                     
Swap contract           8,706,658    (3,440,896)
                     
Total futures, forward currency and swap contracts  $10,280,767   $(23,420,648)  $41,932,870   $3,683,254 

 

 

27 

 

 

For the three months ended September 30, 2016, the number of futures contracts closed was 476,429 and the number of forward currency contracts closed was 45,615. For the nine months ended September 30, 2016, the number of futures contracts closed was 1,420,579 and the number of forward currency contracts closed was 127,553.

 

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:               
Net unrealized gain (loss) on open futures contracts               
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.

 

 

28 

 

 

The Fund’s financial assets, derivative assets, and cash collateral held by counterparties at December 31, 2015 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  $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 nine months ended September 30, 2015, the Fund’s derivative contracts had the following impact on the consolidated statements of operations:

 

   Three Months Ended
September 30, 2015
   Nine Months Ended
September 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  $(2,584,451)  $3,166,404   $(7,025,268)  $(715,872)
Currencies   (2,086,220)   (416,538)   3,271,320    (4,310,616)
Energy   15,139,264    4,980,522    12,199,065    (5,107,762)
Equity indices   (23,657,564)   4,432,483    1,098,348    (4,195,900)
Interest rate instruments   10,279,460    14,743,788    27,084,631    2,647,408 
Metals   11,245,041    1,937,555    2,357,931    3,585,082 
Single stock futures   732,472    341,377    (38,442)   47,002 
Total futures contracts   9,068,002    29,185,591    38,947,585    (8,050,658)
                     
Forward currency contracts   (2,958,835)   (1,621,008)   (7,806,243)   (1,920,624)
                     
Swap contract       (1,683,585)       (4,301,542)
                     
Total futures, forward currency and swap contracts  $6,109,167   $25,880,998   $31,141,342   $(14,272,824)

 

For the three months ended September 30, 2015, the number of futures contracts closed was 466,460 and the number of forward currency contracts closed was 43,040. For the nine months ended September 30, 2015, the number of futures contracts closed was 1,467,852 and the number of forward currency contracts closed was 115,858.

 

4.General Partner

 

At September 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:

 

   September 30, 2016   December 31, 2015 
Units Owned   254.4114    254.4114 
Value of Units  $260,312   $250,383 

 

 

29 

 

 

The General Partner earns the following compensation:

 

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 $2,019,793 and $2,218,694 for the three months ended September 30, 2016 and 2015, respectively. Selling agent fees amounted to $6,242,165 and $6,967,395 for the nine months ended September 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 $101,863 and $110,845 for the three months ended September 30, 2016 and 2015, respectively. Broker dealer servicing fees amounted to $313,733 and $372,102 for the nine months ended September 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 September 30, 2016 and December 31, 2015, the Fund had margin deposit requirements of $117,700,810 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 September 30, 2016 and December 31, 2015, the Fund received advance subscriptions of $1,729,565 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 September 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  $90,994,957   $58,311,105   $204,144,831   $43,099,574   $44,086,881   $440,637,348    71.57%
Australia       1,599,624    9,516,302            11,115,926    1.81%
Netherlands           9,157,399            9,157,399    1.49%
Luxumbourg           6,878,855            6,878,855    1.12%
Canada       499,689    4,505,931        591,668    5,597,288    0.91%
France       4,993,258                4,993,258    0.81%
Great Britain       4,861,201                4,861,201    0.79%
Sweden       499,792    2,730,183            3,229,975    0.52%
Singapore       1,999,003                1,999,003    0.32%
Germany       1,896,699                1,896,699    0.31%
Cayman Islands           225,071            225,071    0.04%
Total  $90,994,957   $74,660,371   $237,158,572   $43,099,574   $44,678,549   $490,592,023    79.69%

 

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