Attached files
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE
SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended September 30, 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 | ☐ |
Emerging growth company | ☐ |
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐
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, 2017 and December 31, 2016
September 30, 2017 (Unaudited) | December 31, 2016 | |||||||
Assets | ||||||||
Equity in broker trading accounts | ||||||||
Cash | $ | 63,212,307 | $ | 80,906,352 | ||||
Net unrealized gain (loss) on open futures contracts | 3,322,740 | 8,921,229 | ||||||
Net unrealized gain (loss) on open forward currency contracts | (2,523,737 | ) | 830,153 | |||||
Total equity in broker trading accounts | 64,011,310 | 90,657,734 | ||||||
Cash and cash equivalents | 14,115,897 | 37,230,210 | ||||||
Investment in SMFSF, at fair value | 35,110,771 | — | ||||||
Investments in securities, at fair value (cost $257,003,148 and $424,687,833) | 257,037,992 | 424,440,330 | ||||||
Certificates of deposit (CDs), at fair value (cost $2,885,431 and $35,406,974) | 2,906,532 | 35,576,495 | ||||||
General Partner 1% allocation receivable | 297,618 | 98,751 | ||||||
Exchange membership, at fair value (cost $189,000) | 232,500 | — | ||||||
Subscriptions receivable | — | 381,917 | ||||||
Total assets | $ | 373,712,620 | $ | 588,385,437 | ||||
Liabilities and Partners’ Capital (Net Asset Value) Liabilities | ||||||||
Trading Advisor management fees payable | $ | 867,616 | $ | 885,524 | ||||
Trading Advisor incentive fees payable | 86,975 | 1,581,179 | ||||||
Commissions and other trading fees payable on open contracts | 97,059 | 122,720 | ||||||
Cash Managers fees payable | 97,911 | 102,622 | ||||||
General Partner management and performance fees payable | 462,623 | 682,546 | ||||||
Selling agent and broker dealer servicing fees payable – General Partner | 436,078 | 630,727 | ||||||
Administrative expenses payable – General Partner | 87,272 | 127,136 | ||||||
Investment Manager fees payable | — | 128,682 | ||||||
Distribution (12b-1) fees payable | — | 2,961 | ||||||
Operating services fee payable | — | 17,648 | ||||||
Redemptions payable | 14,901,008 | 18,217,216 | ||||||
Subscriptions received in advance | 286,000 | 2,687,191 | ||||||
Total liabilities | 17,322,542 | 25,186,152 | ||||||
Partners’ Capital (Net Asset Value) | ||||||||
Class A Interests – 63,454.5898 and 84,825.0303 units outstanding at September 30, 2017 and December 31, 2016, respectively | 241,910,199 | 347,445,757 | ||||||
Class B Interests – 17,360.6955 and 29,193.8071 units outstanding at September 30, 2017 and December 31, 2016, respectively | 99,574,584 | 177,512,074 | ||||||
Class I Interests – 3,466.2779 and 3,828.4541 units outstanding at September 30, 2017 and December 31, 2016, respectively | 3,238,494 | 3,763,781 | ||||||
Class R Interests – 12,286.3590 and 0 units outstanding at September 30, 2017 and December 31, 2016, respectively | 11,666,801 | — | ||||||
Non-controlling interest | — | 34,477,673 | ||||||
Total partners’ capital (net asset value) | 356,390,078 | 563,199,285 | ||||||
Total liabilities and partners’ capital (net asset value) | $ | 373,712,620 | $ | 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
September 30, 2017 (Unaudited)
Description | Fair Value | %
of Partners’ Capital (Net Asset Value) | ||||||||||||||||
INVESTMENTS IN SECURITIES | ||||||||||||||||||
U.S. Treasury Securities | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
$ | 15,000,000 | 10/5/17 | U.S. Treasury | 1.04 | % | $ | 14,998,499 | 4.21 | % | |||||||||
10,000,000 | 11/16/17 | U.S. Treasury | 1.01 | % | 9,987,515 | 2.80 | % | |||||||||||
15,000,000 | 12/14/17 | U.S. Treasury | 1.02 | % | 14,970,272 | 4.20 | % | |||||||||||
5,000,000 | 12/15/17 | U.S. Treasury | 1.00 | % | 5,013,304 | 1.41 | % | |||||||||||
4,200,000 | 1/31/18 | U.S. Treasury | 0.88 | % | 4,202,118 | 1.18 | % | |||||||||||
5,250,000 | 2/15/18 | U.S. Treasury | 1.00 | % | 5,253,188 | 1.47 | % | |||||||||||
500,000 | 3/31/18 | U.S. Treasury | 2.88 | % | 504,062 | 0.15 | % | |||||||||||
4,000,000 | 4/30/18 | U.S. Treasury | 2.63 | % | 4,075,340 | 1.14 | % | |||||||||||
Total U.S. Treasury securities (cost: $58,952,170) | 59,004,298 | 16.56 | % | |||||||||||||||
U.S. Commercial Paper | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
Automotive | ||||||||||||||||||
$ | 1,500,000 | 10/25/17 | Volvo Group Treasury North America | 1.42 | % | 1,498,589 | 0.42 | % | ||||||||||
Banks | ||||||||||||||||||
1,500,000 | 11/7/17 | Bank of Tokyo-Mitsubishi UFJ, Ltd. | 1.25 | % | 1,498,073 | 0.42 | % | |||||||||||
1,500,000 | 11/20/17 | Nieuw Amsterdam Receivables Corp. | 1.26 | % | 1,497,396 | 0.42 | % | |||||||||||
1,500,000 | 10/13/17 | Oversea-Chinese Banking Corp. Ltd. | 1.32 | % | 1,499,340 | 0.42 | % | |||||||||||
1,600,000 | 11/14/17 | Standard Chartered Bank | 1.28 | % | 1,597,516 | 0.45 | % | |||||||||||
1,600,000 | 10/17/17 | Sumitomo Mitsui Banking Corporation | 1.19 | % | 1,599,154 | 0.45 | % | |||||||||||
1,500,000 | 12/6/17 | United Overseas Bank Limited | 1.30 | % | 1,496,453 | 0.42 | % | |||||||||||
Beverage | ||||||||||||||||||
1,500,000 | 10/23/17 | Brown-Forman Corporation | 1.23 | % | 1,498,873 | 0.42 | % | |||||||||||
Diversified financial services | ||||||||||||||||||
1,600,000 | 10/5/17 | DCAT, LLC | 1.30 | % | 1,599,769 | 0.45 | % | |||||||||||
1,500,000 | 10/26/17 | Gotham Funding Corporation | 1.25 | % | 1,498,698 | 0.42 | % | |||||||||||
1,600,000 | 10/3/17 | Manhattan Asset Funding Company LLC | 1.31 | % | 1,599,884 | 0.45 | % | |||||||||||
1,500,000 | 10/11/17 | The Liberty Company | 1.30 | % | 1,499,458 | 0.42 | % | |||||||||||
1,500,000 | 10/5/17 | The Regency Group, Inc. | 1.23 | % | 1,499,795 | 0.42 | % | |||||||||||
1,500,000 | 11/15/17 | Thunder Bay Funding, LLC | 1.30 | % | 1,497,581 | 0.42 | % | |||||||||||
Energy | ||||||||||||||||||
1,500,000 | 10/23/17 | Dominion Energy Inc. | 1.42 | % | 1,498,708 | 0.42 | % | |||||||||||
1,500,000 | 10/3/17 | Duke Energy Corporation | 1.44 | % | 1,499,881 | 0.42 | % | |||||||||||
1,600,000 | 10/20/17 | Enterprise Products Operating LLC | 1.43 | % | 1,598,801 | 0.45 | % | |||||||||||
1,500,000 | 10/2/17 | NextEra Energy Capital Holdings, Inc. | 1.44 | % | 1,499,940 | 0.42 | % | |||||||||||
1,500,000 | 10/11/17 | The Southern Company | 1.46 | % | 1,499,396 | 0.42 | % | |||||||||||
Insurance | ||||||||||||||||||
1,600,000 | 10/10/17 | AXA Financial, Inc. | 1.30 | % | 1,599,480 | 0.45 | % | |||||||||||
Media | ||||||||||||||||||
1,500,000 | 10/16/17 | CBS Corporation | 1.40 | % | 1,499,131 | 0.42 | % | |||||||||||
Total U.S. commercial paper (cost: $32,034,459) | 32,075,916 | 9.00 | % | |||||||||||||||
Foreign Commercial Paper | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
Banks | ||||||||||||||||||
1,200,000 | 11/28/17 | Bank of Nova Scotia | 1.31 | % | 1,197,486 | 0.34 | % | |||||||||||
Telecommunication | ||||||||||||||||||
1,600,000 | 10/10/17 | Telstra Corporation Limited | 1.30 | % | 1,599,480 | 0.45 | % | |||||||||||
Total foreign commercial paper (cost: $2,791,319) | 2,796,966 | 0.79 | % | |||||||||||||||
Total commercial paper (cost: $34,825,778) | 34,872,882 | 9.79 | % |
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, 2017 (Unaudited)
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 | 1.76 | % | $ | 570,075 | 0.16 | % | |||||||||
368,000 | 2/22/19 | American Honda Finance Corporation | 2.14 | % | 372,393 | 0.10 | % | |||||||||||
5,700,000 | 3/2/18 | Daimler Finance North America LLC | 1.74 | % | 5,712,676 | 1.60 | % | |||||||||||
6,500,000 | 1/9/18 | Ford Motor Credit Company LLC | 2.24 | % | 6,545,590 | 1.84 | % | |||||||||||
670,000 | 2/19/19 | Toyota Motor Credit Corporation | 2.14 | % | 678,739 | 0.19 | % | |||||||||||
Banks | ||||||||||||||||||
500,000 | 3/12/18 | Commonwealth Bank of Australia | 1.63 | % | 500,484 | 0.14 | % | |||||||||||
6,950,000 | 4/27/18 | Credit Suisse AG | 2.00 | % | 6,998,862 | 1.97 | % | |||||||||||
3,000,000 | 3/1/18 | JPMorgan Chase & Co. | 1.70 | % | 3,005,120 | 0.84 | % | |||||||||||
6,625,000 | 2/9/18 | MUFG Americas Holdings Corporation | 1.88 | % | 6,651,433 | 1.87 | % | |||||||||||
463,000 | 12/7/18 | PNC Bank, National Association | 1.72 | % | 465,044 | 0.13 | % | |||||||||||
Beverage | ||||||||||||||||||
2,117,000 | 1/15/18 | Anheuser-Busch Companies, LLC | 5.50 | % | 2,164,635 | 0.61 | % | |||||||||||
Computers | ||||||||||||||||||
2,000,000 | 2/22/19 | Apple Inc. | 1.70 | % | 2,008,209 | 0.56 | % | |||||||||||
3,000,000 | 2/22/19 | Apple Inc. | 2.13 | % | 3,039,607 | 0.85 | % | |||||||||||
Diversified financial services | ||||||||||||||||||
450,000 | 3/3/20 | American Express Credit Corporation | 1.75 | % | 451,596 | 0.13 | % | |||||||||||
800,000 | 5/10/19 | Branch Banking and Trust Company | 1.84 | % | 806,655 | 0.23 | % | |||||||||||
2,600,000 | 2/15/19 | Goldman Sachs Group, Inc. | 7.50 | % | 2,817,109 | 0.79 | % | |||||||||||
2,250,000 | 4/25/19 | Goldman Sachs Group, Inc. | 2.35 | % | 2,282,911 | 0.64 | % | |||||||||||
3,000,000 | 10/15/18 | Intercontinental Exchange, Inc. | 2.50 | % | 2,974,583 | 0.83 | % | |||||||||||
250,000 | 6/12/20 | Metropolitan Life Global Funding I | 1.71 | % | 251,391 | 0.07 | % | |||||||||||
3,000,000 | 2/1/19 | Morgan Stanley | 2.45 | % | 3,032,920 | 0.85 | % | |||||||||||
362,000 | 5/21/18 | Principal Life Global Funding II | 1.62 | % | 363,209 | 0.10 | % | |||||||||||
336,000 | 2/1/19 | USAA Capital Corporation | 1.54 | % | 337,257 | 0.09 | % | |||||||||||
3,000,000 | 12/14/17 | Visa Inc. | 1.20 | % | 3,011,720 | 0.85 | % | |||||||||||
Energy | ||||||||||||||||||
955,000 | 2/28/19 | Chevron Corporation | 1.41 | % | 956,576 | 0.27 | % | |||||||||||
3,000,000 | 12/1/17 | Kinder Morgan, Inc. | 2.00 | % | 3,020,990 | 0.85 | % | |||||||||||
118,000 | 11/30/17 | Pacific Gas and Electric Company | 1.52 | % | 118,150 | 0.03 | % | |||||||||||
Healthcare | ||||||||||||||||||
7,500,000 | 6/7/18 | Aetna Inc. | 1.70 | % | 7,545,250 | 2.13 | % | |||||||||||
500,000 | 1/15/18 | Anthem, Inc. | 1.88 | % | 502,289 | 0.14 | % | |||||||||||
6,325,000 | 4/1/18 | Zimmer Biomet Holdings, Inc. | 2.00 | % | 6,394,702 | 1.79 | % | |||||||||||
Insurance | ||||||||||||||||||
352,000 | 8/15/18 | Berkshire Hathaway Inc. | 1.15 | % | 351,475 | 0.10 | % | |||||||||||
466,000 | 4/13/18 | New York Life Global Funding | 1.70 | % | 468,821 | 0.13 | % | |||||||||||
Pharmaceuticals | ||||||||||||||||||
5,775,000 | 5/14/18 | AbbVie Inc. | 1.80 | % | 5,822,528 | 1.63 | % | |||||||||||
4,200,000 | 5/11/20 | Amgen Inc. | 1.76 | % | 4,231,929 | 1.19 | % | |||||||||||
Retail | ||||||||||||||||||
6,000,000 | 7/20/18 | CVS Health Corporation | 1.90 | % | 6,036,703 | 1.69 | % | |||||||||||
3,000,000 | 9/10/18 | The Home Depot, Inc. | 2.25 | % | 3,023,948 | 0.85 | % | |||||||||||
Software | ||||||||||||||||||
3,500,000 | 10/8/19 | Oracle Corporation | 2.25 | % | 3,580,789 | 1.00 | % | |||||||||||
Telecommunication | ||||||||||||||||||
6,000,000 | 2/15/19 | AT&T Inc. | 5.80 | % | 6,355,987 | 1.78 | % | |||||||||||
2,500,000 | 9/20/19 | Cisco Systems, Inc. | 1.67 | % | 2,515,997 | 0.71 | % |
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, 2017 (Unaudited)
Description | Fair Value | %
of Partners’ Capital (Net Asset Value) | ||||||||||||||||
U.S. Corporate Notes (continued) | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
Telecommunication (continued) | ||||||||||||||||||
$ | 247,000 | 5/20/19 | QUALCOMM Incorporated | 1.68 | % | $ | 248,420 | 0.07 | % | |||||||||
Total U.S. corporate notes (cost: $106,537,281) | 106,216,772 | 29.80 | % | |||||||||||||||
Foreign Corporate Notes | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
Banks | ||||||||||||||||||
$ | 350,000 | 6/4/18 | ABN AMRO Bank N.V. | 1.80 | % | 351,814 | 0.10 | % | ||||||||||
539,000 | 10/30/18 | ABN AMRO Bank N.V. | 2.50 | % | 548,489 | 0.15 | % | |||||||||||
6,000,000 | 1/18/19 | ABN AMRO Bank N.V. | 1.94 | % | 6,050,995 | 1.71 | % | |||||||||||
511,000 | 6/12/20 | National Bank of Canada | 1.87 | % | 513,630 | 0.14 | % | |||||||||||
4,000,000 | 8/17/18 | ING Bank N.V. | 2.09 | % | 4,032,551 | 1.13 | % | |||||||||||
3,500,000 | 7/23/18 | National Australia Bank Limited | 1.95 | % | 3,526,958 | 0.99 | % | |||||||||||
262,000 | 3/2/18 | Swedbank AB | 1.60 | % | 262,398 | 0.07 | % | |||||||||||
300,000 | 3/12/18 | Swedbank AB | 1.75 | % | 300,391 | 0.08 | % | |||||||||||
500,000 | 1/22/19 | Toronto-Dominion Bank | 1.95 | % | 502,999 | 0.14 | % | |||||||||||
Diversified financial services | ||||||||||||||||||
800,000 | 1/29/18 | La Caisse Centrale Desjardins du Quebec | 1.98 | % | 804,302 | 0.23 | % | |||||||||||
400,000 | 12/7/18 | UBS AG | 1.64 | % | 401,027 | 0.11 | % | |||||||||||
Energy | ||||||||||||||||||
5,500,000 | 5/3/19 | BP Capital Markets P.L.C. | 1.68 | % | 5,535,971 | 1.56 | % | |||||||||||
5,500,000 | 9/12/19 | Shell International Finance B.V. | 1.38 | % | 5,468,241 | 1.53 | % | |||||||||||
2,500,000 | 5/11/20 | Shell International Finance B.V. | 2.13 | % | 2,539,510 | 0.71 | % | |||||||||||
608,000 | 1/15/18 | Total Capital Canada Ltd. | 1.45 | % | 609,807 | 0.17 | % | |||||||||||
Pharmaceuticals | ||||||||||||||||||
5,915,000 | 3/12/18 | Actavis Funding SCS | 2.39 | % | 5,942,041 | 1.68 | % | |||||||||||
2,250,000 | 3/12/20 | Actavis Funding SCS | 2.57 | % | 2,294,919 | 0.64 | % | |||||||||||
Total foreign corporate notes (cost: $39,431,956) | 39,686,043 | 11.14 | % | |||||||||||||||
Total corporate notes (cost: $145,969,237) | 145,902,815 | 40.94 | % | |||||||||||||||
U.S. Asset Backed Securities | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
Automotive | ||||||||||||||||||
$ | 1,200,859 | 10/15/19 | Ally Auto Receivables Trust 2017-1 | 1.38 | % | 1,200,826 | 0.33 | % | ||||||||||
131,529 | 5/18/20 | Americredit Automobile Receivables Trust 2017-1 | 1.51 | % | 131,525 | 0.04 | % | |||||||||||
195,028 | 7/15/24 | ARI Fleet Lease Trust 2016-A | 1.82 | % | 195,286 | 0.05 | % | |||||||||||
386,695 | 5/28/19 | BMW Vehicle Owner Trust 2016-A | 0.99 | % | 386,294 | 0.11 | % | |||||||||||
543,408 | 9/20/19 | Capital Auto Receivables Asset Trust 2015-2 | 1.73 | % | 544,255 | 0.15 | % | |||||||||||
121,190 | 4/22/19 | Capital Auto Receivables Asset Trust 2016-3 | 1.66 | % | 121,315 | 0.03 | % | |||||||||||
508,973 | 11/15/19 | CarMax Auto Owner Trust 2016-4 | 1.21 | % | 508,682 | 0.14 | % | |||||||||||
450,000 | 9/15/20 | CarMax Auto Owner Trust 2017-3 | 1.64 | % | 450,256 | 0.13 | % | |||||||||||
323,762 | 11/15/19 | Drive Auto Receivables Trust 2016-C | 1.67 | % | 324,051 | 0.09 | % | |||||||||||
350,000 | 8/15/19 | Drive Auto Receivables Trust 2017-2 | 1.51 | % | 350,232 | 0.10 | % | |||||||||||
500,000 | 1/15/20 | Drive Auto Receivables Trust 2017-A | 1.77 | % | 500,558 | 0.14 | % | |||||||||||
237,502 | 2/22/21 | Enterprise Fleet Financing, LLC | 1.59 | % | 237,544 | 0.07 | % | |||||||||||
120,042 | 11/15/18 | Ford Credit Auto Lease Trust 2016-A | 1.42 | % | 120,117 | 0.03 | % | |||||||||||
151,021 | 3/15/19 | Ford Credit Auto Owner Trust 2016-B | 1.08 | % | 150,999 | 0.04 | % | |||||||||||
300,000 | 1/21/20 | GM Financial Automobile Leasing Trust 2017-2 | 1.72 | % | 300,173 | 0.08 | % | |||||||||||
22,781 | 4/10/28 | Hertz Fleet Lease Funding LP | 1.63 | % | 22,801 | 0.01 | % | |||||||||||
356,284 | 9/17/18 | Honda Auto Receivables 2016-2 Owner Trust | 1.13 | % | 356,357 | 0.10 | % | |||||||||||
405,862 | 10/18/18 | Honda Auto Receivables 2016-3 Owner Trust | 1.01 | % | 405,787 | 0.11 | % |
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, 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) | ||||||||||||||||||
$ | 706,657 | 5/15/19 | Huntington Auto Trust 2016-1 | 1.29 | % | $ | 706,833 | 0.20 | % | |||||||||
74,421 | 7/16/18 | Hyundai Auto Lease Securitization Trust 2016-A | 1.78 | % | 74,499 | 0.02 | % | |||||||||||
240,665 | 6/17/19 | Hyundai Auto Receivables Trust 2016-A | 1.21 | % | 240,671 | 0.07 | % | |||||||||||
800,000 | 2/18/20 | Hyundai Auto Receivables Trust 2017-A | 1.48 | % | 800,174 | 0.22 | % | |||||||||||
224,978 | 7/16/18 | Mercedes-Benz Auto Lease Trust 2016-A | 1.34 | % | 225,101 | 0.06 | % | |||||||||||
1,000,000 | 8/15/19 | Mercedes-Benz Auto Lease Trust 2017-A | 1.43 | % | 1,001,308 | 0.28 | % | |||||||||||
323,769 | 3/15/19 | Mercedes-Benz Auto Receivables Trust 2016-1 | 1.11 | % | 323,711 | 0.09 | % | |||||||||||
700,000 | 9/16/19 | Nissan Auto Lease Trust 2017-A | 1.64 | % | 700,314 | 0.20 | % | |||||||||||
284,882 | 5/15/19 | Nissan Auto Receivables | 1.07 | % | 284,768 | 0.08 | % | |||||||||||
388,782 | 4/15/19 | Nissan Auto Receivables 2016-B Owner Trust | 1.05 | % | 388,704 | 0.11 | % | |||||||||||
173,704 | 11/15/19 | Santander Drive Auto Receivables Trust 2016-3 | 1.34 | % | 173,750 | 0.05 | % | |||||||||||
625,000 | 5/15/19 | Santander Drive Auto Receivables Trust 2017-1 | 1.57 | % | 625,519 | 0.18 | % | |||||||||||
235,612 | 2/18/20 | Santander Drive Auto Receivables Trust 2017-1 | 1.49 | % | 235,647 | 0.07 | % | |||||||||||
300,000 | 6/15/20 | Santander Drive Auto Receivables Trust 2017-3 | 1.67 | % | 300,045 | 0.08 | % | |||||||||||
29,808 | 7/16/18 | Toyota Auto Receivables 2016-A Owner Trust | 1.03 | % | 29,816 | 0.01 | % | |||||||||||
241,550 | 1/15/19 | Toyota Auto Receivables 2016-C Owner Trust | 1.00 | % | 241,497 | 0.07 | % | |||||||||||
Credit card | ||||||||||||||||||
786,000 | 3/15/18 | Capital One Multi-Asset Execution Trust | 1.39 | % | 786,334 | 0.22 | % | |||||||||||
600,000 | 1/15/19 | Discover Card Execution Note Trust | 1.64 | % | 600,257 | 0.17 | % | |||||||||||
350,000 | 11/15/17 | Synchrony Credit Card Master Note Trust | 1.61 | % | 350,338 | 0.10 | % | |||||||||||
600,000 | 8/15/18 | World Financial Network Credit Card Master Note Trust | 1.44 | % | 599,184 | 0.17 | % | |||||||||||
Other | ||||||||||||||||||
400,000 | 11/16/20 | CNH Equipment Trust 2017-B | 1.59 | % | 400,999 | 0.11 | % | |||||||||||
347,929 | 9/22/20 | Dell Equipment Finance Trust 2015-2 | 1.72 | % | 348,190 | 0.10 | % | |||||||||||
Student loans | ||||||||||||||||||
979,655 | 11/15/23 | SMB Private Education Loan Trust 2016-B | 1.88 | % | 982,033 | 0.28 | % | |||||||||||
531,147 | 3/25/31 | SoFi Professional Loan Program 2016-B Llc | 1.68 | % | 531,247 | 0.15 | % | |||||||||||
Total U.S. asset backed securities (cost: $17,255,963) | 17,257,997 | 4.84 | % | |||||||||||||||
Total investments in securities (cost: $257,003,148) | $ | 257,037,992 | 72.13 | % | ||||||||||||||
CERTIFICATES OF DEPOSIT | ||||||||||||||||||
U.S. Certificates of Deposit | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
Banks | ||||||||||||||||||
$ | 1,000,000 | 6/6/18 | BNP Paribas | 1.59 | % | $ | 1,005,408 | 0.28 | % | |||||||||
400,000 | 12/20/17 | Lloyds Bank PLC | 1.78 | % | 400,653 | 0.11 | % | |||||||||||
500,000 | 12/1/17 | The Chiba Bank, Ltd. | 1.45 | % | 502,532 | 0.14 | % | |||||||||||
Total U.S. certificates of deposit (cost: $1,900,000) | 1,908,593 | 0.53 | % | |||||||||||||||
Foreign Certificates of Deposit | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
Diversified financial services | ||||||||||||||||||
$ | 500,000 | 11/13/17 | BP Capital Markets P.L.C. | 2.88 | % | 499,203 | 0.14 | % | ||||||||||
500,000 | 12/8/17 | BP Capital Markets P.L.C. | 2.95 | % | 498,736 | 0.14 | % | |||||||||||
Total Foreign certificates of deposit (cost: $985,431) | 997,939 | 0.28 | % | |||||||||||||||
Total certificates of deposit (cost: $2,885,431) | $ | 2,906,532 | 0.81 | % |
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, 2017 (Unaudited)
Description | Fair Value | % of Partners’ Capital (Net Asset Value) | ||||||||
OPEN FUTURES CONTRACTS | ||||||||||
Long U.S. Futures Contracts | ||||||||||
Agricultural commodities | $ | (92,279 | ) | (0.03 | )% | |||||
Currencies | (1,347,106 | ) | (0.38 | )% | ||||||
Energy | 962,186 | 0.27 | % | |||||||
Equity indices | 3,421,500 | 0.96 | % | |||||||
Interest rate instruments | (2,796,092 | ) | (0.78 | )% | ||||||
Metals2 | 4,539,848 | 1.27 | % | |||||||
Single stock futures | (78,306 | ) | (0.02 | )% | ||||||
Net unrealized gain (loss) on open long U.S. futures contracts | 4,609,751 | 1.29 | % | |||||||
Short U.S. Futures Contracts | ||||||||||
Agricultural commodities | 424,347 | 0.12 | % | |||||||
Currencies | 776,559 | 0.22 | % | |||||||
Energy | (163,390 | ) | (0.05 | )% | ||||||
Equity indices | (675,600 | ) | (0.19 | )% | ||||||
Interest rate instruments | 680,701 | 0.19 | % | |||||||
Metals2 | (4,680,251 | ) | (1.31 | )% | ||||||
Single stock futures | (60,526 | ) | (0.02 | )% | ||||||
Net unrealized gain (loss) on open short U.S. futures contracts | (3,698,160 | ) | (1.04 | )% | ||||||
Total U.S. Futures Contracts - net unrealized gain (loss) on open U.S. futures contracts | 911,591 | 0.25 | % | |||||||
Long Foreign Futures Contracts | ||||||||||
Agricultural commodities | $ | (59,918 | ) | (0.02 | )% | |||||
Currencies | (61,036 | ) | (0.02 | )% | ||||||
Energy | (154,707 | ) | (0.04 | )% | ||||||
Equity indices2 | 5,169,375 | 1.45 | % | |||||||
Interest rate instruments2 | (3,678,661 | ) | (1.03 | )% | ||||||
Metals | 24,648 | 0.01 | % | |||||||
Single stock futures | 5,133 | 0.00 | % | |||||||
Net unrealized gain (loss) on open long foreign futures contracts | 1,244,834 | 0.35 | % | |||||||
Short Foreign Futures Contracts | ||||||||||
Agricultural commodities | (24,397 | ) | (0.01 | )% | ||||||
Currencies | (93,567 | ) | (0.03 | )% | ||||||
Energy | 27,057 | 0.01 | % | |||||||
Equity indices | (310,623 | ) | (0.09 | )% | ||||||
Interest rate instruments | 1,567,370 | 0.45 | % | |||||||
Metals | 475 | 0.00 | % | |||||||
Net unrealized gain (loss) on open short foreign futures contracts | 1,166,315 | 0.33 | % | |||||||
Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts | 2,411,149 | 0.68 | % | |||||||
Net unrealized gain (loss) on open futures contracts | $ | 3,322,740 | 0.93 | % |
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, 2017 (Unaudited)
Description | Fair Value | % of Partners’ Capital (Net Asset Value) | ||||||||
OPEN FORWARD CURRENCY CONTRACTS | ||||||||||
U.S. Forward Currency Contracts | ||||||||||
Long | $ | (3,389,684 | ) | (0.95 | )% | |||||
Short | 1,093,092 | 0.31 | % | |||||||
Net unrealized gain (loss) on open U.S. forward currency contracts | (2,296,592 | ) | (0.64 | )% | ||||||
Foreign Forward Currency Contracts | ||||||||||
Long | (265,066 | ) | (0.07 | )% | ||||||
Short | 37,921 | 0.01 | % | |||||||
Net unrealized gain (loss) on open foreign forward currency contracts | (227,145 | ) | (0.06 | )% | ||||||
Net unrealized gain (loss) on open forward currency contracts | $ | (2,523,737 | ) | (0.70 | )% |
1 Represents the annualized yield at date of purchase for zero-coupon 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.
7
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.
8
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.
9
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 | < |