FUTURES PORTFOLIO FUND L.P. - FORM 10-Q

Attached files

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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, 2020

Commission file number: 000-50728

FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP

Organized in Maryland

IRS Employer Identification No.: 52-1627106

Address: c/o Steben & Company, LLC, 687 Excelsior Boulevard, Excelsior, MN 55331

Telephone: (952) 767-6900

Securities registered pursuant to Section 12(b) of the Act: N/A

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 every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). Yes ☒ No ☐

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See definition of “large accelerated filer”, “accelerated filer”, “smaller reporting company” and “emerging growth 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

Statements of Financial Condition

March 31, 2020 (unaudited) and December 31, 2019

	March 31, 2020		December 31, 2019
Assets		(unaudited)
Equity in broker trading accounts
Cash	$	37,373,064	$	64,814,573
Net unrealized gain (loss) on open futures contracts		5,209,865		187,200
Net unrealized gain (loss) on open forward currency contracts		879,999		(189,715	)
Total equity in broker trading accounts		43,462,928		64,812,058
Cash		17,957,919		5,174,304
Investments in securities, at fair value (cost $152,399,543 and $161,352,357)		152,597,275		162,552,581
Investment in SMFSF, at fair value (cost $-0- and $25,620,952)		—		22,738,951
General Partner 1% allocation receivable		242,554		—
Exchange membership, at fair value (cost $189,000 and $189,000)		80,000		62,500
Total assets	$	214,340,676	$	255,340,394

Liabilities and Partners’ Capital (Net Asset Value)
Liabilities
Trading advisor management fees payable	$	471,742	$	586,747
Trading advisor incentive fees payable		213,562		602,408
Commissions and other trading fees payable on open contracts		23,075		55,213
Cash Manager fees payble		99,781		48,576
General Partner management and performance fees payable		265,447		315,840
Selling agent fees payable - General Partner		239,787		285,554
Broker dealer servicing fees payable - General Partner		9,886		11,224
Administration fee payable - General Partner		74,066		58,569
General Partner 1% allocation payable		—		80,477
Redemptions payable		4,442,475		4,780,643
Subscriptions received in advance		121,911		266,000
Total liabilities		5,961,732		7,091,251

Partners’ Capital (Net Asset Value)
Class A interests - 39,200.7154 and 41,522.9804 units outstanding at March 31, 2020 and December 31, 2019, respectively		140,695,251		166,191,101
Class A2 interests - 621.0963 and 526.3226 units outstanding at March 31, 2020 and December 31, 2019, respectively		577,925		544,240
Class A3 interests - 86.0607 units outstanding at March 31, 2020 and December 31, 2019, respectively		77,820		86,512
Class B interests - 9,931.2280 and 10,608.5075 units outstanding at March 31, 2020 and December 31, 2019, respectively		56,074,695		66,498,788
Class I interests - 1,769.1082 units outstanding at March 31, 2020 and December 31, 2019, respectively		1,667,220		1,846,574
Class R interests - 9,884.7705 and 12,549.5403 units outstanding at March 31, 2020 and December 31, 2019, respectively		9,286,033		13,081,928
Total partners’ capital (net asset value)		208,378,944		248,249,143
Total liabilities and partners’ capital (net asset value)	$	214,340,676	$	255,340,394

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

Futures Portfolio Fund, Limited Partnership

Condensed Schedule of Investments

March 31, 2020 (Unaudited)


			Description				Fair Value		% of Partners’ Capital (Net Asset Value)
INVESTMENTS IN SECURITIES
U.S. Treasury Securities
	Face Value	Maturity Date	Name	Yield		¹
$	3,500,000	4/15/20	U.S. Treasury		1.50	%	$	3,523,148		1.69	%
	8,500,000	5/15/20	U.S. Treasury		1.50	%		8,560,291		4.11	%
	6,000,000	6/15/20	U.S. Treasury		1.50	%		6,040,620		2.90	%
	6,000,000	8/31/20	U.S. Treasury		1.38	%		6,036,236		2.90	%
	6,000,000	10/31/21	U.S. Treasury		2.00	%		6,208,877		2.98	%
Total U.S. Treasury securities (cost: $30,251,943)								30,369,172		14.58	%

U.S. Commercial Paper
	Face Value	Maturity Date	Name	Yield		¹
Automotive
$	1,300,000	4/9/20	PACCAR Financial Corp.		0.96	%	$	1,299,688		0.62	%
Banks
	1,400,000	4/7/20	Nieuw Amsterdam Receivables Corporation B.V.		0.93	%		1,399,748		0.67	%
Beverages
	1,300,000	4/29/20	Brown-Forman Corporation		1.08	%		1,298,868		0.62	%
Diversified financial services
	1,400,000	4/6/20	DCAT, LLC		1.00	%		1,399,767		0.67	%
	1,300,000	4/3/20	Gotham Funding Corporation		0.77	%		1,299,917		0.62	%
	1,400,000	4/24/20	Intercontinental Exchange, Inc.		2.25	%		1,397,898		0.67	%
	1,300,000	4/16/20	Manhattan Asset Funding Company LLC		1.53	%		1,299,117		0.62	%
Energy
	1,400,000	4/2/20	Dominion Energy, Inc.		0.87	%		1,399,932		0.67	%
Food
	1,400,000	4/7/20	Mondelez International, Inc.		1.49	%		1,399,594		0.68	%
Insurance
	1,300,000	4/3/20	Nationwide Life Insurance Company		1.03	%		1,299,888		0.63	%
Machinery
	1,400,000	6/1/20	Deere & Company		1.05	%		1,397,462		0.68	%
Media
	1,300,000	4/14/20	The Walt Disney Company		1.24	%		1,299,376		0.63	%
Pharmaceuticals
	1,300,000	5/11/20	Novartis Finance Corporation		1.54	%		1,297,718		0.62	%
	1,400,000	4/16/20	Pfizer Inc.		1.52	%		1,399,055		0.67	%
Water
	1,400,000	4/1/20	American Water Capital Corp.		0.00	%		1,400,000		0.67	%
Total U.S. commercial paper (cost: $20,261,482)								20,288,028		9.74	%

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

Futures Portfolio Fund, Limited Partnership

Condensed Schedule of Investments (continued)

March 31, 2020 (Unaudited)


			Description				Fair Value		% of Partners’ Capital (Net Asset Value)
Foreign Commercial Paper
	Face Value	Maturity Date	Name	Yield		¹
Banks
$	1,400,000	4/6/20	Skandinaviska Enskilda Banken AB (publ.)		1.47	%	$	1,399,656		0.67	%
	1,300,000	4/22/20	Sumitomo Mitsui Banking Corporation		1.61	%		1,298,718		0.62	%
Chemicals
	1,300,000	4/2/20	Nutrien Ltd.		0.87	%		1,299,937		0.62	%
Diversified financial services
	1,300,000	5/6/20	Longship Funding Designated Activity Company		1.56	%		1,297,978		0.62	%
Energy
	1,400,000	4/9/20	Engie SA		1.48	%		1,399,480		0.67	%
Insurance
	1,400,000	4/28/20	Prudential plc		1.59	%		1,398,268		0.67	%
Total foreign commercial paper (cost: $8,073,452)								8,094,037		3.87	%
Total commercial paper (cost: $28,334,934)								28,382,065		13.61	%

U.S. Corporate Notes
	Face Value	Maturity Date	Name	Yield		¹
Aerospace
$	4,000,000	5/1/22	Boeing Company		2.70	%		3,843,196		1.84	%
Agriculture
	4,850,000	5/5/21	Altria Group, Inc.		4.75	%		5,002,760		2.40	%
Banks
	4,000,000	10/29/20	JPMorgan Chase & Co.		2.55	%		4,048,067		1.94	%
	3,000,000	10/29/20	JPMorgan Chase & Co.		2.98	%		3,013,323		1.45	%
	4,750,000	1/15/21	Wells Fargo Bank, National Association		2.60	%		4,800,638		2.30	%
Diversified financial services
	4,250,000	4/26/22	Goldman Sachs Group, Inc.		3.00	%		4,316,668		2.07	%
	4,000,000	5/17/22	SunTrust Bank		2.80	%		4,092,513		1.96	%
Energy
	4,850,000	2/15/21	Enterprise Products Operating LLC		2.80	%		4,842,661		2.32	%
Food
	3,000,000	4/16/21	General Mills, Inc.		3.20	%		3,077,303		1.48	%
Healthcare
	5,000,000	9/17/21	Cigna Corporation		3.40	%		5,056,511		2.43	%
	3,000,000	6/1/21	CVS Health Corporation		2.13	%		3,002,401		1.44	%
	4,797,000	3/15/22	Medtronic, Inc.		3.15	%		4,977,027		2.39	%
Pharmaceuticals
	4,200,000	5/11/20	Amgen Inc.		2.18	%		4,213,117		2.02	%
	3,500,000	6/25/21	Bayer US Finance II LLC		1.85	%		3,387,650		1.63	%
	4,000,000	5/16/22	Bristol-Myers Squibb Company		2.60	%		4,121,512		1.98	%
	3,500,000	2/1/23	Zoetis Inc.		3.25	%		3,582,546		1.72	%
Telecommunications
	4,000,000	2/9/22	Apple Inc.		2.50	%		4,125,148		1.98	%
	3,500,000	6/30/22	AT&T Inc.		3.00	%		3,555,889		1.71	%
Total U.S. corporate notes (cost: $73,001,482)								73,058,930		35.06	%

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

Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)
March 31, 2020 (Unaudited)


			Description			Fair Value		% of Partners’ Capital (Net Asset Value)
Foreign Corporate Notes
	Face Value	Maturity Date	Name	Yield ¹
Energy
$	2,500,000	5/11/20	Shell International Finance B.V.	2.13	%	$	2,517,968		1.21	%
Insurance
	4,000,000	9/20/21	AIA Group Limited	1.64	%		3,947,181		1.89	%
Manufacturing
	3,500,000	11/15/20	GE Capital International Funding Company	2.34	%		3,515,748		1.69	%
Total foreign corporate notes (cost: $9,933,690)							9,980,897		4.79	%
Total corporate notes (cost: $82,935,172)							83,039,827		39.85	%

U.S. Asset Backed Securities
	Face Value	Maturity Date	Name	Yield ¹
Automotive
$	572,529	2/18/22	Americredit Automobile Receivables Trust 2017-1	2.30	%		562,494		0.27	%
	301,460	7/18/22	Americredit Automobile Receivables Trust 2017-4	2.04	%		300,927		0.14	%
	122,334	1/18/22	Americredit Automobile Receivables Trust 2018-3	3.11	%		122,396		0.06	%
	208,102	9/19/22	Americredit Automobile Receivales Trust 2019-2	2.43	%		207,250		0.10	%
	1,296,764	1/18/23	Americredit Automobile Receivables Trust 2019-3	2.17	%		1,294,024		0.62	%
	772,000	7/20/21	BMW Vehicle Lease Trust 2018-1	3.26	%		768,668		0.37	%
	250,000	1/22/24	Capital Auto Receivables Asset Trust 2016-3	2.65	%		250,326		0.12	%
	47,592	2/22/21	Capital Auto Receivables Asset Trust 2018-2	3.02	%		47,668		0.02	%
	400,000	7/15/22	Carmax Auto Owner Trust 2016-4	2.26	%		400,581		0.19	%
	76,924	6/21/21	GM Financial Automobile Leasing Trust 2018-3	3.18	%		77,033		0.04	%
	600,000	6/20/22	Honda Auto Receivables 2019-4 Owner Trust	1.86	%		594,978		0.29	%
	13,813	2/16/21	Mercedes- Benz Auto Lease Trust 2018-A	2.41	%		13,812		0.01	%
	150,000	10/15/20	NextGear Floorplan Master Owner Trust , Series 2017-2	2.56	%		148,371		0.07	%
	157,668	5/16/22	Santander Drive Auto Receivables Trust 2017-1	2.58	%		157,743		0.08	%
	457,711	4/20/22	Santander Retail Auto Lease Trust 2019-B	2.29	%		455,448		0.22	%
	525,000	4/20/22	Tesla Auto Lease Trust 2019-A	2.13	%		522,466		0.25	%
	526,937	8/15/23	World Omni Select Auto Trust 2019-A	2.06	%		525,334		0.25	%
Banks
	22,597	11/25/27	SLM Student Loan Trust 2011-2	1.55	%		22,443		0.01	%
Credit cards
	400,000	7/15/20	Barclays Dryrock Issuance Trust, Series 2017-2	1.00	%		398,213		0.19	%
	400,000	8/17/20	Discover Card Execution Note Trust	1.88	%		399,352		0.19	%
	820,000	8/15/24	World Financial Network Credit Card Master Note Trust - Series 2017-C	2.31	%		811,862		0.39	%
Equipment
	11,804	10/22/20	Dell Equipment Finance Trust 2018-1	1.22	%		11,808		0.01	%
	423,093	5/20/22	DLL 2019-2 LLC	2.27	%		419,945		0.20	%
	349,484	6/15/21	GreatAmerica Leasing Receivables Funding LLC, Series 2019-1	2.97	%		351,689		0.17	%
	825,000	6/15/22	GreatAmerica Leasing Receivables Funding, LLC	1.76	%		817,643		0.39	%
	103,132	12/20/21	Verizon Owner Trust 2017-2	1.92	%		102,553		0.05	%
	598,983	4/20/22	Verizon Owner Trust 2017-3	2.06	%		600,243		0.29	%
Student loans
	435,036	8/25/47	Sofi Professional Loan Program 2018-B Trust	2.64	%		420,941		0.20	%
Total U.S. asset backed securities (cost: $10,877,494)							10,806,211		5.19	%
Total investments in securities (cost: $152,399,543)						$	152,597,275		73.23	%

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

Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)
March 31, 2020 (Unaudited)


	Description	Fair Value			% of Partners’ Capital (Net Asset Value)
OPEN FUTURES CONTRACTS
Long U.S. Futures Contracts
	Agricultural commodities	$	44,058			0.02	%
	Currencies		8,426			0.00	%
	Energy		(107,618	)		(0.05	)%
	Equity indices		165,339			0.08	%
	Interest rate instruments		1,658,417			0.80	%
	Metals⁽²⁾		(17,169,204	)		(8.24	)%
	Single stock futures		49,655			0.02	%
Net unrealized gain (loss) on open long U.S. futures contracts			(15,350,927	)		(7.37	)%

Short U.S. Futures Contracts
	Agricultural commodities		248,377			0.12	%
	Currencies		119,184			0.06	%
	Energy		1,900,792			0.91	%
	Equity indices		45,837			0.02	%
	Interest rate instruments		(85,449	)		(0.04	)%
	Metals⁽²⁾		17,597,791			8.45	%
	Single stock futures		(10,859	)		(0.01	)%
Net unrealized gain (loss) on open short U.S. futures contracts			19,815,673			9.51	%

Total U.S. Futures Contracts - net unrealized gain (loss) on open U.S. futures contracts			4,464,746			2.14	%

Long Foreign Futures Contracts
	Agricultural commodities		(13,907	)		(0.01	)%
	Currencies		111,884			0.05	%
	Energy		(487	)		0.00	%
	Equity indices		435,721			0.21	%
	Interest rate instruments		290,776			0.14	%
	Metals		15,650			0.01	%
Net unrealized gain (loss) on open long foreign futures contracts			839,637			0.40	%

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

Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)
March 31, 2020 (Unaudited)


	Description	Fair Value			% of Partners’ Capital (Net Asset Value)
OPEN FUTURES CONTRACTS (continued)
Short Foreign Futures Contracts
	Agricultural commodities	$	(16,197	)		(0.01	)%
	Currencies		(36,687	)		(0.02	)%
	Energy		285,471			0.14	%
	Equity indices		(183,504	)		(0.09	)%
	Interest rate instruments		(143,601	)		(0.07	)%
Net unrealized gain (loss) on open short foreign futures contracts			(94,518	)		(0.05	)%

Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts			745,119			0.35	%

Net unrealized gain (loss) on open futures contracts		$	5,209,865			2.49	%

OPEN FORWARD CURRENCY CONTRACTS
U.S. Forward Currency Contracts
	Long⁽²⁾	$	(3,453,234	)		(1.66	)%
	Short⁽²⁾		4,073,635			1.95	%
Net unrealized gain (loss) on open U.S. forward currency contracts			620,401			0.29	%

Foreign Forward Currency Contracts
	Long		1,148,479			0.55	%
	Short		(888,881	)		(0.43	)%
Net unrealized gain (loss) on open foreign forward currency contracts			259,598			0.12	%

Net unrealized gain (loss) on open forward currency contracts		$	879,999			0.41	%

¹Represents the annualized yield at date of purchase for discount securities or the stated coupon rate for coupon-bearing securities.

²No 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 financial statements.

Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments
December 31, 2019


			Description			Fair Value		% of Partners’ Capital (Net Asset Value)
INVESTMENTS IN SECURITIES
U.S. Treasury Securities
	Face Value	Maturity Date	Name	Yield¹
$	8,500,000	1/31/20	U.S. Treasury	1.38	%	$	8,547,582		3.44	%
	6,000,000	2/15/20	U.S. Treasury	1.38	%		6,028,349		2.43	%
	4,000,000	3/15/20	U.S. Treasury	1.63	%		4,018,661		1.62	%
	8,000,000	4/15/20	U.S. Treasury	1.50	%		8,023,074		3.23	%
Total U.S. Treasury securities (cost: $26,521,176)							26,617,666		10.72	%

U.S. Commercial Paper
	Face Value	Maturity Date	Name	Yield¹
Automotive
$	1,300,000	1/13/20	Hyundai Capital America	1.71	%	$	1,299,198		0.52	%
	1,300,000	1/7/20	VW Credit, Inc.	1.67	%		1,299,578		0.52	%
Banks
	1,400,000	2/14/20	Mitsubishi UFJ Trust & Banking Corporation (U.S.A.)	1.82	%		1,396,817		0.56	%
Beverages
	1,400,000	1/2/20	Brown-Forman Corporation	0.85	%		1,399,934		0.57	%
Diversified financial services
	1,300,000	2/19/20	American Express Credit Corporation	1.84	%		1,296,674		0.52	%
	1,400,000	1/15/20	CRC Funding, LLC	1.66	%		1,399,031		0.57	%
	1,300,000	1/8/20	DCAT, LLC	1.55	%		1,299,553		0.52	%
	1,300,000	3/3/20	Gotham Funding Corporation	1.84	%		1,295,813		0.52	%
	1,400,000	2/10/20	Manhattan Asset Funding Company LLC	1.80	%		1,397,122		0.56	%
	1,400,000	1/16/20	Regency Markets No 1 LLC	1.87	%		1,398,833		0.56	%
Energy
	1,400,000	1/9/20	Centerpoint Energy Resources Corp.	1.72	%		1,399,396		0.57	%
	1,500,000	2/4/20	Exxon Mobil Corporation	1.59	%		1,497,677		0.61	%
Manufacturing
	1,300,000	1/17/20	Koch Industries, Inc.	1.65	%		1,298,989		0.52	%
REIT
	1,300,000	1/29/20	Simon Property Group, L.P.	1.74	%		1,298,180		0.52	%
Total U.S. commercial paper (cost: $18,946,261)							18,976,795		7.64	%

Foreign Commercial Paper
	Face Value	Maturity Date	Name	Yield¹
Automotive
$	1,500,000	1/2/20	Nationwide Building Society	0.91	%	$	1,499,924		0.61	%
Banks
	1,500,000	2/13/20	DNB Bank ASA	1.86	%		1,496,596		0.60	%
	1,300,000	1/27/20	Sumitomo Mitsui Banking Corporation	1.78	%		1,298,263		0.52	%
Beverages
	1,400,000	1/21/20	Diageo Capital plc	1.81	%		1,398,522		0.56	%
Chemicals
	1,400,000	1/10/20	Nutrien Ltd.	1.76	%		1,399,314		0.56	%
Diversified financial services
	1,500,000	1/8/20	Longship Funding Designated Activity Company	1.71	%		1,499,431		0.60	%
	1,400,000	2/3/20	Ontario Teachers Finance Trust	1.75	%		1,397,690		0.57	%
Insurance
	1,300,000	1/6/20	Prudential plc	1.58	%		1,299,657		0.52	%
Telecommunications
	1,300,000	1/7/20	Bell Canada, Inc.	1.63	%		1,299,588		0.52	%
	1,400,000	1/14/20	Rogers Communications Inc.	1.78	%		1,399,030		0.57	%
Total foreign commercial paper (cost: $13,963,862)							13,988,015		5.63	%
Total commercial paper (cost: $32,910,123)							32,964,810		13.27	%

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

Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)

December 31, 2019


			Description			Fair Value		% of Partners’ Capital (Net Asset Value)
U.S. Corporate Notes
	Face Value	Maturity Date	Name	Yield¹
Aerospace
$	4,000,000	5/1/22	Boeing Company	2.70	%	$	4,074,640		1.64	%
	5,000,000	8/16/21	United Technologies Corporation	3.35	%		5,178,972		2.09	%
Agriculture
	4,850,000	5/5/21	Altria Group, Inc.	4.75	%		5,053,651		2.04	%
Banks
	4,000,000	10/29/20	JPMorgan Chase & Co.	2.55	%		4,030,675		1.62	%
	3,000,000	10/29/20	JPMorgan Chase & Co.	3.13	%		3,040,470		1.22	%
	4,000,000	5/17/22	SunTrust Bank	2.80	%		4,085,233		1.65	%
	4,750,000	1/15/21	Wells Fargo Bank, National Association	2.60	%		4,833,343		1.95	%
Diversified financial services
	4,250,000	4/26/22	Goldman Sachs Group, Inc.	3.00	%		4,329,852		1.75	%
Energy
	4,850,000	2/15/21	Enterprise Products Operating LLC	2.80	%		4,945,364		1.99	%
Food
	3,000,000	4/16/21	General Mills, Inc.	3.20	%		3,065,870		1.23	%
Healthcare
	5,000,000	9/17/21	Cigna Corporation	3.40	%		5,161,766		2.08	%
	3,000,000	6/1/21	CVS Health Corporation	2.13	%		3,006,261		1.21	%
Media
	4,000,000	4/1/21	NBCUniversal Media, LLC	4.38	%		4,167,918		1.68	%
Pharmaceuticals
	4,200,000	5/11/20	Amgen Inc.	2.35	%		4,217,523		1.70	%
	3,500,000	6/25/21	Bayer US Finance II LLC	2.58	%		3,507,703		1.41	%
	4,000,000	5/16/22	Bristol-Myers Squibb Company	2.60	%		4,077,500		1.64	%
Telecommunications
	4,000,000	2/9/22	Apple Inc.	2.50	%		4,099,716		1.65	%
	3,500,000	6/30/22	AT&T Inc.	3.00	%		3,578,314		1.44	%
Total U.S. corporate notes (cost: $73,603,993)							74,454,771		29.99	%

Foreign Corporate Notes
Banks
$	5,500,000	3/2/20	Danske Bank A/S	2.20	%	$	5,539,634		2.23	%
Energy
	2,500,000	5/11/20	Shell International Finance B.V.	2.13	%		2,507,384		1.01	%
Insurance

FUTURES PORTFOLIO FUND L.P. - FORM 10-Q - May 14, 2020

Attached files