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EX-32.02 - CERTIFICATION OF CHIEF FINANCIAL OFFICER - FUTURES PORTFOLIO FUND L.P.ex32-02.htm
EX-32.01 - CERTIFICATION OF CHIEF EXECUTIVE OFFICER - FUTURES PORTFOLIO FUND L.P.ex32-01.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 March 31, 2017

 

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.

Yes ☒      No ☐

 

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See definition of “large accelerated filer”, “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.

Large accelerated filer  Accelerated filer 
Non-accelerated filer   Smaller Reporting Company 

 

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).

Yes ☐      No ☒

 

 

 

 

 

PART I: FINANCIAL INFORMATION

Item 1. Financial Statements

 

Futures Portfolio Fund, Limited Partnership

Consolidated Statements of Financial Condition

March 31, 2017 and December 31, 2016

 

  

March 31, 2017

(Unaudited)

   December 31, 2016 
Assets          
Equity in broker trading accounts          
Cash  $86,105,882   $80,906,352 
Net unrealized gain (loss) on open futures contracts   2,177,331    8,921,229 
Net unrealized gain (loss) on open forward currency contracts   (770,245)   830,153 
Total equity in broker trading accounts   87,512,968    90,657,734 
Cash and cash equivalents   40,920,850    37,230,210 
Investments in securities, at fair value (cost $377,837,724 and $424,687,833)   378,004,378    424,440,330 
Certificates of deposit (CDs), at fair value (cost $27,892,375 and $35,406,974)   28,049,796    35,576,495 
General Partner 1% allocation receivable   44,696    98,751 
Exchange membership, at fair value (cost $189,000)   225,000    —   
Subscriptions receivable   99,221    381,917 
Total assets  $534,856,909   $588,385,437 
           
Liabilities and Partners’ Capital (Net Asset Value)          
Liabilities          
Trading Advisor management fees payable  $648,720   $885,524 
Trading Advisor incentive fees payable   1,919,921    1,581,179 
Commissions and other trading fees payable on open contracts   127,362    122,720 
Cash Managers fees payable   143,813    102,622 
General Partner management and performance fees payable   615,514    682,546 
Selling agent and broker dealer servicing fees payable – General Partner   566,028    630,727 
Administrative expenses payable – General Partner   112,209    127,136 
Investment Manager fees payable   126,917    128,682 
Distribution (12b-1) fees payable   3,104    2,961 
Operating services fee payable   17,406    17,648 
Redemptions payable   20,831,588    18,217,216 
Subscriptions received in advance   581,083    2,687,191 
Total liabilities   25,693,665    25,186,152 
           
Partners’ Capital (Net Asset Value)          
Class A Interests – 75,951.7712 and 84,825.0303 units outstanding at March 31, 2017 and December 31, 2016, respectively   307,969,847    347,445,757 
Class B Interests – 26,644.6402 and 29,193.8071 units outstanding at March 31, 2017 and December 31, 2016, respectively   161,099,098    177,512,074 
Class I Interests – 3,327.1246 and 3,828.4541 units outstanding at March 31, 2017 and December 31, 2016, respectively   3,260,577    3,763,781 
Non-controlling interest   36,833,722    34,477,673 
Total partners’ capital (net asset value)   509,163,244    563,199,285 
Total liabilities and partners’ capital (net asset value)  $534,856,909   $588,385,437 

 

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

 

1

 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments

March 31, 2017 (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   5/18/17   U.S. Treasury   0.53%   $   19,980,934   3.92 %
     3,000,000   5/31/17   U.S. Treasury   0.63%      3,005,354   0.59 %
     20,000,000   6/15/17   U.S. Treasury   0.76%      19,970,022   3.92 %
     20,000,000   7/6/17   U.S. Treasury   0.79%      19,998,233   3.93 %
     5,000,000   8/31/17   U.S. Treasury   1.88%      5,027,902   0.99 %
     4,150,000   10/31/17   U.S. Treasury   0.75%      4,158,380   0.82 %
     6,950,000   12/15/17   U.S. Treasury   1.00%      6,970,152   1.37 %
     1,500,000   3/31/18   U.S. Treasury   2.88%      1,526,192   0.30 %
     1,500,000   4/30/18   U.S. Treasury   0.75%      1,498,982   0.29 %
     2,200,000   10/31/18   U.S. Treasury   0.75%      2,191,288   0.43 %
   Total U.S. Treasury securities (cost: $84,293,959)      84,327,439   16.56 %
                           
  U.S. Commercial Paper                  
    Face Value   Maturity Date   Name   Yield1          
  Automotive                      
  $   500,000   4/5/17   BMW US Capital, LLC   0.75%      499,957   0.10 %
     500,000   4/3/17   Caterpillar Financial Services Corporation   0.90%      499,975   0.10 %
     1,400,000   4/19/17   Caterpillar Financial Services Corporation   0.95%      1,399,335   0.27 %
     450,000   4/12/17   Ford Motor Credit Company LLC   1.14%      449,843   0.09 %
     1,500,000   4/19/17   Ford Motor Credit Company LLC   1.14%      1,499,145   0.29 %
     750,000   11/6/17   Ford Motor Credit Company LLC   1.81%      741,782   0.15 %
     1,500,000   4/5/17   Hyundai Capital America   1.01%      1,499,832   0.29 %
     500,000   4/19/17   Nissan Motor Acceptance Corporation   1.06%      499,735   0.10 %
  Banks                    
     400,000   4/25/17   Bank of Tokyo-Mitsubishi UFJ, Ltd.   0.96%      399,744   0.08 %
     1,700,000   8/24/17   Danske Corporation   1.39%      1,690,444   0.33 %
     1,500,000   4/21/17   Mitsubishi UFJ Trust & Banking Corp   1.08%      1,499,100   0.29 %
     2,000,000   4/13/17   Mizuho Bank, Ltd.   1.08%      1,999,280   0.40 %
     500,000   5/2/17   Oversea-Chinese Banking Corporation Ltd   0.90%      499,613   0.10 %
     1,500,000   4/18/17   Oversea-Chinese Banking Corporation Ltd   0.90%      1,499,363   0.29 %
     500,000   5/1/17   Standard Chartered Bank   0.94%      499,608   0.10 %
     1,800,000   9/12/17   Standard Chartered Bank   1.34%      1,789,028   0.35 %
     500,000   4/21/17   Sumitomo Mitsui Banking Corporation   1.06%      499,706   0.10 %
     500,000   5/2/17   United Overseas Bank Limited   0.93%      499,600   0.10 %
  Beverages                      
     2,000,000   4/6/17   Brown-Forman Corporation   0.85%      1,999,764   0.40 %
  Diversified financial services                  
     1,700,000   5/2/17   American Express Credit Corporation   0.95%      1,698,609   0.33 %
     1,500,000   6/13/17   CRC Funding, LLC   1.10%      1,496,654   0.29 %
     1,600,000   4/6/17   DCAT, LLC   0.98%      1,599,782   0.31 %
     1,500,000   4/21/17   Gotham Funding Corporation   1.02%      1,499,150   0.29 %
     1,500,000   5/12/17   ING (U.S.) Funding LLC   1.00%      1,498,292   0.29 %
     500,000   4/17/17   Intercontinental Exchange, Inc.   0.80%      499,822   0.10 %
     450,000   4/24/17   J.P. Morgan Securities LLC   0.85%      449,756   0.09 %
     1,600,000   4/3/17   Liberty Street Funding LLC   0.87%      1,599,923   0.31 %
     500,000   4/21/17   National Rural Utilities Cooperative Finance Corp.   0.95%      499,736   0.10 %
     1,700,000   4/12/17   Regency Group, Inc.   0.88%      1,699,543   0.33 %
     1,600,000   5/10/17   Thunder Bay Funding, LLC   0.90%      1,598,440   0.31 %
  Electronics                      
     2,000,000   4/7/17   Amphenol Corporation   1.20%      1,999,600   0.40 %

 

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

 

2

 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

March 31, 2017 (Unaudited)

 

          Description     Fair Value   % of Partners’ Capital (Net Asset Value)
U.S. Commercial Paper (continued)            
  Face Value   Maturity Date   Name   Yield1            
Energy                      
$   2,000,000   4/4/17   Berkshire Hathaway Energy Company   1.01%   $ 1,999,832   0.40 %
   1,000,000   4/18/17   Dominion Resources, Inc.   1.20%      999,433   0.20 %
   1,000,000   4/20/17   Dominion Resources, Inc.   1.22%      999,356   0.20 %
   500,000   4/11/17   Enterprise Products Operating LLC   1.15%      499,840   0.10 %
   2,000,000   4/20/17   NextEra Energy Capital Holdings, Inc.   1.17%      1,998,765   0.40 %
   2,100,000   5/1/17   Oglethorpe Power Corporation   0.98%      2,098,285   0.41 %
   1,500,000   4/25/17   PPL Electric Utilities Corporation   1.23%      1,498,770   0.29 %
Heathcare                      
   1,400,000   4/20/17   Catholic Health Initiatives   1.02%      1,399,246   0.27 %
Insurance                      
   1,600,000   4/17/17   Nationwide Life Insurance Company   0.91%      1,599,353   0.31 %
Nonprofits                      
   500,000   5/3/17   Salvation Army   0.95%      499,578   0.10 %
REITs                      
   1,500,000   5/15/17   Simon Property Group, L.P.   0.98%      1,498,203   0.29 %
Total U.S. commercial paper (cost: $51,117,021)      51,194,822   10.05 %
                         
Foreign Commercial Paper                  
  Face Value   Maturity Date   Name   Yield1          
Banks                      
$  2,000,000   4/10/17   DBS Bank Ltd.   1.03%      1,999,485   0.39 %
Diversified financial services                  
   1,600,000   5/22/17   KfW   0.97%      1,597,801   0.31 %
   1,600,000   6/1/17   Ontario Teachers Finance Trust   1.04%      1,597,180   0.31 %
Energy                      
   1,250,000   7/6/17   Electricite de France   1.36%      1,245,433   0.24 %
   500,000   4/28/17   Total Capital Canada Ltd.   0.93%      499,651   0.11 %
Household products                  
   1,800,000   8/30/17   Reckitt Benckiser Treasury Services PLC   1.15%      1,791,268   0.35 %
Pharmaceuticals                      
   1,000,000   7/5/17   GlaxoSmithKline Finance PLC   1.02%      997,283   0.20 %
Telecommunications                  
   400,000   4/18/17   Telstra Corporation Limited   1.05%      399,802   0.08 %
   1,200,000   9/13/17   Vodafone Group Public Limited Company   1.54%      1,191,534   0.23 %
Total foreign commercial paper (cost: $11,276,862)      11,319,437   2.22 %
Total commercial paper (cost: $62,393,883)      62,514,259   12.27 %
                         
U.S. Corporate Notes                  
  Face Value   Maturity Date   Name   Yield1          
Agriculture                      
$   995,000   5/16/18   Philip Morris International Inc.   5.65%   $   1,060,936   0.21 %
Automotive                      
   566,000   7/13/18   American Honda Finance Corporation   1.48%      570,732   0.11 %
   368,000   2/22/19   American Honda Finance Corporation   1.88%      373,623   0.07 %
   649,000   8/3/17   Daimler Finance North America LLC   1.74%      652,246   0.13 %
   6,700,000   3/2/18   Daimler Finance North America LLC   1.48%      6,708,621   1.32 %
   7,350,000   1/9/18   Ford Motor Credit Company LLC   1.95%      7,403,802   1.45 %
   891,000   12/5/17   Toyota Motor Credit Corporation   1.35%      892,795   0.18 %
   670,000   2/19/19   Toyota Motor Credit Corporation   1.88%      679,449   0.13 %

 

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

 

3

 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

March 31, 2017 (Unaudited)

 

          Description         Fair Value   % of Partners’
Capital (Net
Asset Value)
 
U.S. Corporate Notes (continued)              
  Face Value   Maturity Date   Name   Yield1          
 Automotive (continued)                  
$   500,000   5/23/17   Volkswagen Group of America Finance, LLC   1.42%   $   499,926   0.10 %
   200,000   11/20/17   Volkswagen Group of America Finance, LLC   1.49%      199,637   0.04 %
Banks                      
   750,000   3/20/19   Citibank N.A   1.49%      750,515   0.15 %
   1,500,000   3/12/18   Commonwealth Bank of Australia   1.63%      1,502,096   0.30 %
   8,000,000   4/27/18   Credit Suisse AG   1.72%      8,028,664   1.57 %
   3,000,000   3/1/18   JPMorgan Chase & Co.   1.70%      3,003,680   0.59 %
   1,000,000   3/1/18   JPMorgan Chase & Co.   1.70%      1,001,227   0.20 %
   1,000,000   2/23/18   PNC Bank, National Association   1.50%      1,001,114   0.20 %
   463,000   12/7/18   PNC Bank, National Association   1.50%      464,854   0.09 %
   500,000   8/23/17   U.S. Bank National Association   1.50%      501,453   0.10 %
   806,000   9/11/17   U.S. Bank National Association   1.32%      806,974   0.16 %
   450,000   1/29/18   U.S. Bank National Association   1.45%      451,007   0.09 %
   1,000,000   6/1/17   UBS AG   1.38%      1,004,783   0.20 %
   4,750,000   6/1/17   UBS AG   1.61%      4,755,464   0.93 %
   358,000   3/26/18   UBS AG   1.80%      358,347   0.07 %
   500,000   4/25/18   UBS AG   5.75%      533,482   0.10 %
   1,722,000   9/8/17   Wells Fargo & Company   1.40%      1,723,351   0.34 %
Beverages                      
   3,617,000   1/15/18   Anheuser-Busch Companies, LLC   5.50%      3,770,582   0.74 %
Computers                      
   800,000   5/3/18   Apple Inc.   1.28%      804,099   0.16 %
   2,000,000   2/22/19   Apple Inc.   1.70%      2,011,029   0.39 %
   3,000,000   2/22/19   Apple Inc.   1.87%      3,045,736   0.60 %
   650,000   2/22/19   Apple Inc.   1.70%      653,584   0.13 %
Diversified financial services                
   1,000,000   6/5/17   American Express Credit Corporation   1.37%      999,229   0.20 %
   450,000   3/3/20   American Express Credit Corporation   1.52%      450,135   0.09 %
   1,226,000   3/7/18   Berkshire Hathaway Finance Corporation   1.65%      1,233,868   0.24 %
   1,250,000   1/11/19   Berkshire Hathaway Finance Corporation   1.27%      1,256,538   0.25 %
   800,000   5/10/19   Branch Banking and Trust Company   1.56%      805,171   0.16 %
   400,000   12/15/17   Goldman Sachs Group, Inc.   1.93%      400,561   0.08 %
   1,189,000   1/18/18   Goldman Sachs Group, Inc.   5.95%      1,242,202   0.24 %
   3,500,000   2/15/19   Goldman Sachs Group, Inc.   7.50%      3,871,642   0.76 %
   3,000,000   4/25/19   Goldman Sachs Group, Inc.   2.08%      3,036,838   0.60 %
   3,600,000   10/15/18   Intercontinental Exchange, Inc.   2.50%      3,569,500   0.70 %
   1,000,000   4/10/17   Metropolitan Life Global Funding I   1.39%      1,003,088   0.20 %
   500,000   2/1/19   Morgan Stanley   2.45%      508,517   0.10 %
   8,125,000   2/9/18   MUFG Americas Holdings Corporation   1.61%      8,130,186   1.59 %
   1,500,000   10/5/17   NYSE Euronext   2.00%      1,519,413   0.30 %
   1,675,000   6/27/18   Pricoa Global Funding I   1.35%      1,678,494   0.33 %
   362,000   5/21/18   Principal Life Global Funding II   1.35%      362,784   0.07 %
   336,000   2/1/19   USAA Capital Corporation   1.26%      336,638   0.07 %
   4,500,000   12/14/17   Visa Inc.   1.20%      4,511,955   0.89 %
Energy                        
   955,000   2/28/19   Chevron Corporation   1.18%      956,206   0.19 %
   3,350,000   12/1/17   Kinder Morgan, Inc.   2.00%      3,381,646   0.66 %
   118,000   11/30/17   Pacific Gas and Electric Company   1.25%      118,207   0.02 %

 

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

 

4

 

 

 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

March 31, 2017 (Unaudited) 

                           
          Description   Fair Value   % of Partners’ Capital (Net
Asset Value)
 
U.S. Corporate Notes (continued)                
  Face Value   Maturity Date   Name   Yield1            
Healthcare                        
$  10,000,000   6/7/18   Aetna Inc.   1.70%   $  10,103,733   1.97 %
   500,000   1/15/18   Anthem, Inc.   1.88%      502,779   0.10 %
   1,500,000   3/15/18   Medtronic, Inc.   1.50%      1,501,705   0.29 %
   7,775,000   4/1/18   Zimmer Biomet Holdings, Inc.   2.00%      7,868,145   1.55 %
Insurance                      
   828,000   12/15/17   AIG Global Funding   1.65%      832,575   0.16 %
   352,000   8/15/18   Berkshire Hathaway Inc.   1.15%      350,726   0.07 %
   1,614,000   10/30/17   New York Life Global Funding   1.30%      1,621,816   0.32 %
Manufacturing                      
   700,000   7/11/17   John Deere Capital Corporation   1.46%      703,210   0.14 %
Pharmaceuticals                      
   7,775,000   5/14/18   AbbVie Inc.   1.80%      7,837,667   1.54 %
Retail                      
   7,500,000   7/20/18   CVS Health Corporation   1.90%      7,545,354   1.48 %
   783,000   7/15/17   Dollar General Corporation   4.13%     796,147   0.16 %
   3,250,000   9/10/18   Home Depot, Inc.   2.25%      3,290,828   0.65 %
   310,000   4/15/17   Lowe`s Companies, Inc.   1.63%      312,328   0.06 %
Software                      
   1,400,000   8/8/19   Microsoft Corporation   1.10%      1,386,111   0.27 %
   900,000   7/7/17   Oracle Corporation   1.21%      902,764   0.18 %
   600,000   4/15/18   Oracle Corporation   5.75%      642,542   0.13 %
Telecommunications                  
   7,450,000   2/15/19   AT&T Inc.   5.80%      8,010,621   1.57 %
   4,000,000   9/20/19   Cisco Systems, Inc.   1.49%      4,012,429   0.79 %
   4,800,000   6/9/17   Verizon Communications Inc.   1.51%      4,800,683   0.94 %
   4,500,000   9/14/18   Verizon Communications Inc.   2.87%      4,590,385   0.90 %
Total U.S. corporate notes (cost: $162,429,254)      162,199,174   31.86 %
                         
Foreign Corporate Notes                  
  Face Value   Maturity Date   Name   Yield1          
Banks                      
$   350,000   6/4/18   ABN AMRO Bank N.V.   1.80%      350,923   0.07 %
   539,000   10/30/18   ABN AMRO Bank N.V.   2.50%      548,726   0.11 %
   5,000,000   8/17/18   ING Bank N.V.   1.82%      5,038,630   0.99 %
   5,000,000   7/23/18   National Australia Bank Limited   1.68%      5,027,128   0.99 %
   1,000,000   7/27/18   Royal Bank of Canada   2.20%      1,010,819   0.20 %
   882,000   9/29/17   Swedbank AB   2.13%      884,880   0.17 %
   300,000   3/12/18   Swedbank AB   1.75%      300,206   0.06 %
   262,000   3/14/18   Swedbank AB   1.60%      262,176   0.05 %
   1,500,000   7/23/18   Toronto-Dominion Bank   1.58%      1,504,240   0.30 %
   500,000   1/22/19   Toronto-Dominion Bank   1.95%      504,104   0.10 %
Diversified financial services                  
   800,000   1/29/18   La Caisse Centrale Desjardins du Quebec   1.70%      804,677   0.16 %
Energy                      
   7,500,000   5/3/19   BP Capital Markets P.L.C.   1.68%      7,506,677   1.46 %
   1,000,000   5/10/17   Shell International Finance B.V.   1.35%      1,002,220   0.20 %
   7,500,000   9/12/19   Shell International Finance B.V.   1.38%      7,431,118   1.46 %
   608,000   1/15/18   Total Capital Canada Ltd.   1.45%      609,725   0.12 %

 

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

 

 5

 

 

Futures Portfolio Fund, Limited Partnership 

Consolidated Condensed Schedule of Investments (continued) 

March 31, 2017 (Unaudited)

 

          Description   Fair Value   % of Partners’ Capital (Net Asset Value)
Foreign Corporate Notes (continued)          
  Face Value   Maturity Date   Name   Yield1            
Pharmaceuticals                      
$   6,790,000   3/12/18   Actavis Funding SCS   2.20%   $  6,842,153   1.34 %
Total foreign corporate notes (cost: $39,387,912)      39,628,402   7.78 %
Total corporate notes (cost: $201,817,166)      201,827,576   39.64 %
                         
U.S. Asset Backed Securities                  
  Face Value   Maturity Date   Name   Yield1          
Automotive                      
$  131,682   8/15/18   Ally Auto Receivables Trust 2016-1   1.20%   $ 131,737.00   0.03 %
   638,916   10/15/18   Ally Auto Receivables Trust 2016-2   1.17%      639,183   0.13 %
   1,309,000   10/15/19   Ally Auto Receivables Trust 2017-1   1.38%      1,308,643   0.25 %
   128,779   1/8/19   AmeriCredit Automobile Receivables Trust 2006-A-F   1.07%      128,875   0.03 %
   618,293   6/10/19   AmeriCredit Automobile Receivables Trust 2014-3   1.15%      618,542   0.12 %
   273,104   4/8/19   AmeriCredit Automobile Receivables Trust 2015-4   1.26%      273,277   0.05 %
   150,000   5/18/20   AmeriCredit Automobile Receivables Trust 2017-1   1.51%      150,161   0.03 %
   313,652   7/15/24   Ari Fleet Lease Trust 2016-A   1.82%      314,241   0.06 %
   373,258   1/22/18   BMW Vehicle Lease Trust 2015-2   1.07%      373,317   0.07 %
   348,154   1/22/18   BMW Vehicle Lease Trust 2016-1   1.17%      348,259   0.07 %
   770,025   5/28/19   BMW Vehicle Owner Trust 2016-A   0.99%      769,139   0.15 %
   650,000   9/20/19   Capital Auto Receivables Asset Trust 2015-2   1.73%      651,098   0.13 %
   323,138   4/22/19   Capital Auto Receivables Asset Trust 2016-3   1.40%      323,373   0.06 %
   750,000   11/15/19   CarMax Auto Owner Trust 2016-4   1.21%      749,443   0.15 %
   394,519   2/7/27   Chesapeake Funding LLC   1.33%      393,481   0.08 %
   371,569   7/15/19   Drive Auto Receivables Trust 2016-B   1.67%      371,956   0.07 %
   350,000   11/15/19   Drive Auto Receivables Trust 2016-C   1.67%      350,221   0.07 %
   500,000   1/15/20   Drive Auto Receivables Trust 2017-A   1.77%      500,833   0.10 %
   394,387   2/22/21   Enterprise Fleet Financing, LLC   1.59%      394,610   0.08 %
   28,636   5/15/18   Fifth Third Auto Trust 2015-1   1.02%      28,647   0.01 %
   148,461   5/15/18   Ford Credit Auto Lease Trust 2015-B   1.04%      148,500   0.03 %
   929,580   11/15/18   Ford Credit Auto Lease Trust 2016-A   1.42%      930,622   0.18 %
   375,263   3/15/19   Ford Credit Auto Owner Trust 2016-B   1.08%      375,138   0.07 %
   500,000   7/20/19   GE Dealer Floorplan Master Note   1.36%      500,381   0.10 %
   14,925   1/15/19   Harley-Davidson Motorcycle Trust 2015-2   0.80%      14,927   0.00 %
   419,101   4/10/28   Hertz Fleet Lease Funding LP   1.26%      419,394   0.08 %
   278,513   7/23/18   Honda Auto Receivables 2015-4 Owner Trust   0.82%      278,311   0.05 %
   365,050   6/18/18   Honda Auto Receivables 2016-1 Owner Trust   1.01%      365,110   0.07 %
   1,269,549   9/17/18   Honda Auto Receivables 2016-2 Owner Trust   1.13%      1,269,699   0.24 %
   1,124,605   10/18/18   Honda Auto Receivables 2016-3 Owner Trust   1.01%      1,124,039   0.22 %
   1,100,000   5/15/19   Huntington Auto Trust 2016-1   1.29%      1,099,907   0.22 %
   464,079   7/16/18   Hyundai Auto Lease Securitization Trust 2016-A   1.46%      464,799   0.09 %
   210,236   11/15/18   Hyundai Auto Receivables Trust 2015-C   0.99%      210,160   0.04 %
   493,432   6/17/19   Hyundai Auto Receivables Trust 2016-A   1.21%      493,171   0.10 %
   800,000   2/18/20   Hyundai Auto Receivables Trust 2017-A   1.48%      800,066   0.16 %
   110,170   1/16/18   Mercedes-Benz Auto Lease Trust 2015-B   1.00%      110,191   0.02 %
   1,001,405   7/16/18   Mercedes-Benz Auto Lease Trust 2016-A   1.34%      1,002,003   0.20 %
   737,392   9/14/17   Mercedes-Benz Auto Receivables Trust 2016-1   1.11%      737,340   0.14 %
   509,000   5/15/19   Nissan Auto Receivables   1.07%      508,626   0.10 %
   49,376   8/15/18   Nissan Auto Receivables 2013-C Owner Trust   0.67%      49,367   0.01 %
   806,156   4/15/19   Nissan Auto Receivables 2016-B Owner Trust   1.05%      805,748   0.16 %
   185,771   9/16/19   Santander Drive Auto Receivables Trust 2015-5   1.58%      185,976   0.04 %
   400,000   11/15/19   Santander Drive Auto Receivables Trust 2016-3   1.34%      400,078   0.08 %

 

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

 

 6

 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued) 

March 31, 2017 (Unaudited)

 

          Description     Fair Value   % of Partners’ Capital (Net Asset Value)  
U.S. Asset Backed Securities (continued)            
  Face Value   Maturity Date   Name   Yield1            
Automotive (continued)                    
$  281,000   2/18/20   Santander Drive Auto Receivables Trust 2017-1   1.49%    $   281,033   0.06 %
   17,455   2/15/18   Toyota Auto Receivables 2010-C Owner Trust   1.24%      17,466   0.00 %
   358,604   7/16/18   Toyota Auto Receivables 2016-A Owner Trust   1.03%      358,634   0.07 %
   551,000   1/15/19   Toyota Auto Receivables 2016-C Owner Trust   1.00%      550,658   0.11 %
   88,290   10/22/18   Volkswagen Auto Loan Enhanced Trust 2014-1   0.91%      88,171   0.02 %
Credit card                        
   1,500,000   4/15/20   American Express Credit Account Master Trust   1.49%      1,502,568   0.29 %
   1,000,000   1/15/20   BA Credit Card Trust   1.20%      1,001,108   0.20 %
   300,000   6/15/20   Cabela’s Credit Card Master Note Trust   1.45%      300,292   0.06 %
   786,000   1/15/21   Capital One Multi-Asset Execution Trust   1.39%      786,139   0.15 %
   1,000,000   10/15/19   Discover Card Execution Note Trust   1.22%      1,000,540   0.20 %
   350,000   11/16/20   Synchrony Credit Card Master Note Trust   1.61%      350,593   0.07 %
   1,000,000   3/15/21   World Financial Network Credit Card Master Note Trust   1.26%      1,000,570   0.20 %
Other                        
   242,766   3/23/20   Dell Equipment Finance Trust 2015-1   1.30%      242,777   0.05 %
   700,000   9/22/20   Dell Equipment Finance Trust 2015-2   1.72%      699,881   0.14 %
Student loans                        
   42,018   8/15/22   SLM Private Education Loan Trust 2013-A   1.51%      42,085   0.01 %
Total U.S. asset backed securities (cost: $29,332,716)      29,335,104   5.77 %
Total investments in securities (cost: $377,837,724)   $ 378,004,378   74.24 %
                           

CERTIFICATES OF DEPOSIT

       
U.S. Certificates of Deposit                    
  Face Value   Maturity Date   Name   Yield1            
Banks                        
 $  750,000   6/30/17   Bank of Montreal   1.10%   $  756,198   0.14 %
   800,000   5/16/17   Bank of Nova Scotia   1.29%      806,908   0.15 %
   1,000,000   1/24/18   Bank of Tokyo-Mitsubishi UFJ, Ltd.   1.70%      1,004,044   0.20 %
   1,000,000   12/6/17   Barclays Bank PLC   1.68%      1,003,173   0.20 %
   1,000,000   5/24/17   Canadian Imperial Bank of Commerce   1.45%      1,002,114   0.20 %
   500,000   7/7/17   Citibank, N.A.   1.16%      500,569   0.10 %
   1,650,000   9/12/17   Credit Suisse Group AG   1.75%      1,655,554   0.33 %
   1,300,000   12/12/17   Lloyds Bank PLC   1.57%      1,304,002   0.26 %
   400,000   12/20/17   Lloyds Bank PLC   1.60%      401,137   0.08 %
   2,000,000   7/13/17   Mizuho Bank, Ltd.   1.30%      2,019,780   0.40 %
   1,408,000   5/24/17   National Bank of Canada   1.45%      1,410,977   0.28 %
   1,900,000   1/31/18   Norinchukin Bank   1.63%      1,906,903   0.37 %
   1,500,000   4/3/17   Shizuoka Bank, Ltd.   1.10%      1,504,005   0.30 %
   1,000,000   7/19/17   Sumitomo Mitsui Banking Corporation   1.45%      1,011,065   0.20 %
   1,000,000   10/12/17   Sumitomo Mitsui Banking Corporation   1.50%      1,007,698   0.20 %
   1,500,000   7/20/17   Sumitomo Mitsui Trust Bank Ltd   1.50%      1,517,292   0.30 %
   1,000,000   8/8/17   Sumitomo Mitsui Trust Bank Ltd   1.53%      1,011,033   0.20 %
   1,500,000   7/30/18   Svenska Handelsbanken AB   1.39%      1,503,137   0.30 %
   1,700,000   7/13/17   Toronto-Dominion Bank   1.20%      1,714,991   0.34 %
   750,000   7/14/17   Westpac Banking Corporation   1.23%      756,815   0.14 %
Diversified financial services                    
   750,000   1/4/18   Private Export Funding Corporation   1.31%      753,146   0.14 %

 

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

 

 7

 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

March 31, 2017 (Unaudited)

 

          Description   Fair Value   % of Partners’ Capital (Net Asset Value)  
U.S. Certificates of Deposit (continued)            
  Face Value   Maturity Date   Name   Yield1            
Diversified financial services (continued)            
$   600,000   1/19/18   Private Export Funding Corporation   1.34%   $   602,194   0.11 %
   1,000,000   2/1/18   Private Export Funding Corporation   1.33%      1,003,115   0.20 %
   900,000   7/14/17   State Street Bank And Trust Company   1.48%      903,959   0.17 %
Total U.S. certificates of deposit (cost: $26,906,944)      27,059,809   5.31 %
                           
Foreign Certificates of Deposit                    
  Face Value   Maturity Date   Name   Yield1            
Banks                        
$ 500,000   11/13/17   BP Capital Markets P.L.C.   3.10%      495,324   0.10 %
   500,000   12/8/17   BP Capital Markets P.L.C.   3.23%      494,663   0.10 %
Total Foreign certificates of deposit (cost: $985,431)      989,987   0.20 %
Total certificates of deposit (cost: $27,892,375)   $   28,049,796   5.51 %
                           

OPEN FUTURES CONTRACTS

           
Long U.S. Futures Contracts                    
          Agricultural commodities       $ 104,815   0.02 %
          Currencies          1,184,112   0.23 %
          Energy          184,210   0.05 %
          Equity indices          1,115,683   0.22 %
          Interest rate instruments          1,321,140   0.26 %
          Metals          1,179,600   0.23 %
        Single stock futures          220,935   0.04 %
Net unrealized gain (loss) on open long U.S. futures contracts      5,310,495   1.05 %
                           
Short U.S. Futures Contracts                    
          Agricultural commodities          3,066,537   0.60 %
          Currencies          (2,018,572 ) (0.40 )%
          Energy          (2,823,711 ) (0.55 )%
          Equity indices          244,792   0.05 %
          Interest rate instruments          (778,923 ) (0.15 )%
          Metals          (1,260,770 ) (0.25 )%
          Single stock futures          (77,661 ) (0.02 )%
Net unrealized gain (loss) on open short U.S. futures contracts      (3,648,308 ) (0.72 )%
                           
Total U.S. Futures Contracts - Net unrealized gain (loss) on open U.S. futures contracts      1,662,187   0.33 %
                           
Long Foreign Futures Contracts                    
          Agricultural commodities          (8,485 ) 0.00 %
          Currencies          103,257   0.02 %
          Energy          17,876   0.00 %
          Equity indices          2,552,440   0.50 %
          Interest rate instruments          1,644,893   0.33 %
          Metals          7,388   0.00 %
          Single stock futures          14,417   0.00 %
Net unrealized gain (loss) on open long foreign futures contracts      4,331,786   0.85 %

 

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

 

 8

 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued) 

March 31, 2017 (Unaudited)

 

          Description   Fair Value   % of Partners’ Capital (Net Asset Value)  
Short Foreign Futures Contracts              
          Agricultural commodities          10,704   0.00 %
          Currencies          (321,850 ) (0.06 )%
          Energy          (84,263 ) (0.02 )%
          Equity indices          (86,808 ) (0.02 )%
          Interest rate instruments          (3,334,447 ) (0.65 )%
          Metals          22   0.00 %
Net unrealized gain (loss) on open short foreign futures contracts      (3,816,642 ) (0.75 )%
                           
Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts      515,144   0.10 %
                           
Net unrealized gain (loss) on open futures contracts    2,177,331   0.43 %
                           

OPEN FORWARD CURRENCY CONTRACTS

     
U.S. Forward Currency Contracts              
          Long       $  1,048,626   0.21 %
          Short          (2,335,996 ) (0.46 )%
Net unrealized gain (loss) on open U.S. forward currency contracts      (1,287,370 ) (0.25 )%
                           
Foreign Forward Currency Contracts            
          Long          (577,254 ) (0.11 )%
          Short          1,094,379   0.21 %
Net unrealized gain (loss) on open foreign forward currency contracts      517,125   0.10 %
                           
Net unrealized gain (loss) on open forward currency contracts   $   (770,245 ) (0.15 )%

 

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.

 

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.

  

 9

 

 

Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments
December 31, 2016

 

            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   1/12/17   U.S. Treasury   0.29%   $ 19,997,500   3.55 %
     7,650,000   1/31/17   U.S. Treasury   0.50%     7,665,089   1.36 %
     20,000,000   2/16/17   U.S. Treasury   0.43%      19,988,642   3.55 %
     6,950,000   2/28/17   U.S. Treasury   0.50%      6,960,695   1.24 %
     20,000,000   3/16/17   U.S. Treasury   0.49%      19,979,583   3.55 %
     3,000,000   5/31/17   U.S. Treasury   0.63%      3,001,528   0.53 %
     4,900,000   8/15/17   U.S. Treasury   0.88%      4,920,747   0.87 %
     5,000,000   8/31/17   U.S. Treasury   1.88%      5,067,204   0.90 %
     1,500,000   3/31/18   U.S. Treasury   2.88%      1,546,105   0.27 %
     2,200,000   10/31/18   U.S. Treasury   0.75%      2,186,601   0.39 %
  Total U.S. Treasury securities (cost: $91,318,791)      91,313,694   16.21 %
                             
  U.S. Commercial Paper                  
    Face Value   Maturity Date   Name   Yield1          
  Automotive                      
  $   500,000   1/11/17   American Honda Finance Corporation   0.63%      499,912   0.09 %
     1,500,000   1/27/17   American Honda Finance Corporation   0.66%      1,499,285   0.27 %
     1,200,000   2/16/17   Caterpillar Financial Services Corporation   1.00%      1,198,467   0.21 %
     1,900,000   1/24/17   Ford Motor Credit Company LLC   0.92%      1,898,883   0.34 %
     750,000   11/6/17   Ford Motor Credit Company LLC   1.93%      737,696   0.13 %
     2,000,000   1/20/17   Hyundai Capital America   1.02%      1,998,923   0.35 %
     500,000   1/5/17   Nissan Motor Acceptance Corporation   0.80%      499,956   0.09 %
  Banks                      
     500,000   2/21/17   Credit Suisse (USA), Inc.   0.90%      499,363   0.09 %
     1,700,000   8/24/17   Danske Corporation   1.51%      1,683,257   0.30 %
     1,500,000   1/23/17   Mitsubishi UFJ Trust & Banking Corp   0.93%      1,499,148   0.27 %
     500,000   2/3/17   Mitsubishi UFJ Trust & Banking Corp   0.87%      499,601   0.09 %
     2,100,000   1/17/17   Mizuho Bank, Ltd.   0.88%      2,099,179   0.37 %
     400,000   2/16/17   Oversea-Chinese Banking Corporation Ltd   0.89%      399,545   0.07 %
     1,800,000   9/12/17   Standard Chartered Bank   1.52%      1,780,787   0.32 %
     500,000   1/18/17   Sumitomo Mitsui Banking Corporation   0.80%      499,811   0.09 %
     1,600,000   2/1/17   Sumitomo Mitsui Banking Corporation   0.86%      1,598,815   0.28 %
     500,000   3/14/17   Toronto Dominion Holdings (U.S.A.), Inc.   1.03%      498,970   0.09 %
     1,500,000   3/24/17   Toronto Dominion Holdings (U.S.A.), Inc.   1.03%      1,496,481   0.27 %
     2,000,000   2/21/17   United Overseas Bank Limited   0.90%      1,997,450   0.35 %
  Beverages                      
     1,600,000   1/6/17   Brown-Forman Corporation   0.60%      1,599,867   0.28 %
     500,000   1/9/17   Brown-Forman Corporation   0.73%      499,919   0.09 %
  Diversified financial services                  
     2,200,000   2/2/17   American Express Credit Corporation   0.97%      2,198,103   0.39 %
     1,600,000   1/10/17   DCAT, LLC   0.83%      1,599,668   0.28 %
     1,500,000   3/7/17   Gotham Funding Corporation   1.03%      1,497,210   0.27 %
     500,000   1/27/17   Intercontinental Exchange, Inc.   0.59%      499,787   0.09 %
     1,600,000   2/13/17   Intercontinental Exchange, Inc.   0.82%      1,598,433   0.28 %
     1,600,000   2/1/17   J.P. Morgan Securities LLC   0.80%      1,598,898   0.28 %
     1,600,000   1/26/17   Liberty Street Funding LLC   0.70%      1,599,222   0.28 %
     1,500,000   1/10/17   Manhattan Asset Funding Company LLC   0.80%      1,499,700   0.27 %
  Electronics                      
     1,300,000   1/19/17   Amphenol Corporation   0.95%      1,299,382   0.23 %

 

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

 

10

 

 

Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
December 31, 2016

 

          Description     Fair Value   % of Partners’ Capital (Net Asset Value)  
U.S. Commercial Paper (continued)            
  Face Value   Maturity Date   Name   Yield1            
Energy                        
$   1,400,000   1/17/17   Dominion Resources, Inc.   0.97%   $   1,399,396   0.25 %
   500,000   1/17/17   Dominion Resources, Inc.   1.03%      499,771   0.09 %
   2,000,000   1/6/17   Enterprise Products Operating LLC   0.97%      1,999,731   0.36 %
   500,000   1/25/17   Sempra Energy Global Enterprises   1.15%      499,617   0.09 %
Healthcare                        
   2,100,000   1/5/17   Catholic Health Initiatives   0.83%      2,099,806   0.37 %
Household products                    
   400,000   1/9/17   Unilever Capital Corporation   0.54%      399,952   0.07 %
Insurance                        
   2,200,000   1/13/17   Nationwide Life Insurance Company   0.58%      2,199,575   0.39 %
Manufacturing                        
   500,000   1/12/17   Parker-Hannifin Corporation   0.90%      499,863   0.09 %
Media                        
   1,500,000   1/25/17   CBS Corporation   1.00%      1,499,000   0.27 %
Pharmaceuticals                        
   2,200,000   3/20/17   Pfizer Inc.   0.71%      2,196,514   0.39 %
REIT                        
   400,000   1/4/17   Simon Property Group, L.P.   0.62%      399,979   0.07 %
Total U.S. commercial paper (cost: $52,010,283)      52,068,922   9.25 %
                           
Foreign Commercial Paper                    
  Face Value   Maturity Date   Name   Yield1            
Automotive                        
$  400,000   1/10/17   John Deere Financial Limited   0.66%      399,933   0.07 %
   2,100,000   1/4/17   Magna International Inc.   0.92%      2,099,839   0.37 %
Banks                        
   900,000   3/6/17   Bank of China Limited   1.23%      897,982   0.16 %
   1,500,000   1/4/17   DBS Bank Ltd.   0.87%      1,499,891   0.27 %
   400,000   3/9/17   Nordea Bank AB   1.00%      399,256   0.07 %
Chemical                        
   500,000   1/6/17   BASF SE   0.60%      499,958   0.09 %
   1,500,000   1/9/17   BASF SE   1.16%      1,499,788   0.27 %
Diversified financial services                    
   316,581   1/25/17   ICBCIL Finance Co. Limited   1.32%      316,295   0.06 %
   500,000   1/4/17   KfW   0.76%      499,969   0.09 %
Energy                        
   1,200,000   1/6/17   Electricite de France   1.56%      1,199,838   0.21 %
   800,000   1/9/17   Electricite de France   1.56%      799,844   0.14 %
Household products                    
   500,000   2/7/17   Reckitt Benckiser Treasury Services PLC   0.80%      499,589   0.09 %
   1,800,000   8/30/17   Reckitt Benckiser Treasury Services PLC   1.26%      1,784,813   0.31 %
Telecommunication                    
   400,000   1/23/17   Telstra Corporation Limited   0.80%      399,804   0.07 %
   1,700,000   2/28/17   Telstra Corporation Limited   0.90%      1,697,535   0.30 %
   1,200,000   9/13/17   Vodafone Group PLC   1.63%      1,186,191   0.21 %
Total foreign commercial paper (cost: $15,607,946)      15,680,525   2.78 %
Total commercial paper (cost: $67,618,229)      67,749,447   12.03 %

 

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, 2016

 

          Description   Fair Value   % of Partners’ Capital (Net Asset Value)  
U.S. Corporate Notes                    
  Face Value   Maturity Date   Name   Yield1            
Automotive                        
$   566,000   7/13/18   American Honda Finance Corporation   1.34%   $   569,573   0.10 %
   368,000   2/22/19   American Honda Finance Corporation   1.74%      372,243   0.07 %
   438,000   3/10/17   Daimler Finance North America LLC   1.13%      439,422   0.08 %
   649,000   8/3/17   Daimler Finance North America LLC   1.59%      652,390   0.12 %
   6,700,000   3/2/18   Daimler Finance North America LLC   1.35%      6,706,690   1.19 %
   7,350,000   1/9/18   Ford Motor Credit Company LLC   1.81%      7,400,100   1.31 %
   1,422,000   4/6/18   Nissan Motor Acceptance Corporation   1.66%      1,435,476   0.25 %
   1,000,000   3/27/17   Toyota Motor Credit Corporation   1.33%      1,000,899   0.18 %
   891,000   12/5/17   Toyota Motor Credit Corporation   1.19%      892,468   0.16 %
   670,000   2/19/19   Toyota Motor Credit Corporation   1.73%      679,133   0.12 %
   500,000   5/23/17   Volkswagen Group of America Finance, LLC   1.29%      499,164   0.09 %
   200,000   11/20/17   Volkswagen Group of America Finance, LLC   1.35%      199,352   0.04 %
Banks                        
   500,000   2/13/17   Capital One Bank   1.20%      502,199   0.09 %
   8,000,000   4/27/18   Credit Suisse AG   1.57%      8,069,458   1.43 %
   4,000,000   3/1/18   JPMorgan Chase & Co.   1.70%      4,023,507   0.71 %
   1,000,000   2/23/18   PNC Realty Investors, Inc.   1.50%      1,003,956   0.18 %
   463,000   12/7/18   PNC Realty Investors, Inc.   1.35%      463,643   0.08 %
   500,000   8/23/17   U.S. Bank National Association   1.37%      501,735   0.09 %
   806,000   9/11/17   U.S. Bank National Association   1.15%      806,963   0.14 %
   450,000   1/29/18   U.S. Bank National Association   1.45%      452,407   0.08 %
   1,722,000   9/8/17   Wells Fargo & Company