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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 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