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EX-32.02 - CERTIFICATION OF CHIEF FINANCIAL OFFICER OF THE GENERAL PARTNER - FUTURES PORTFOLIO FUND L.P.ex32-02.htm
EX-32.01 - CERTIFICATION OF CHIEF EXECUTIVE OFFICER OF THE GENERAL PARTNER - FUTURES PORTFOLIO FUND L.P.ex32-01.htm
EX-31.02 - CERTIFICATION OF CHIEF FINANCIAL OFFICER OF THE GENERAL PARTNER - FUTURES PORTFOLIO FUND L.P.ex31-02.htm
EX-31.01 - CERTIFICATION OF CHIEF EXECUTIVE OFFICER OF THE GENERAL PARTNER - 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, 2020

 

Commission file number: 000-50728

 

FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP

 

Organized in MarylandIRS Employer Identification No.: 52-1627106

 

c/o Steben & Company LLC 

687 Excelsior Boulevard 

Excelsior, MN 55331 

(952) 767-6900

 

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 ☒

 

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

 

 

 

 

 

 

PART I: FINANCIAL INFORMATION

 

Item 1. Financial Statements

 

Futures Portfolio Fund, Limited Partnership

Statements of Financial Condition

September 30, 2020 (Unaudited) and December 31, 2019

  

  

September 30, 2020 

(Unaudited) 

   December 31, 2019 
Assets          
Equity in broker trading accounts          
Cash  $44,461,686   $64,814,573 
Net unrealized gain (loss) on open futures contracts   1,030,892    187,200 
Net unrealized gain (loss) on open forward currency contracts   (575,626)   (189,715)
Total equity in broker trading accounts   44,916,952    64,812,058 
Cash and cash equivalents   9,894,681    5,174,304 
Investment in SMFSF, at fair value (cost $0 and $25,620,952)       22,738,951 
Investments in securities, at fair value (cost $127,698,951 and $161,352,357)   128,971,690    162,552,581 
General Partner 1% allocation receivable   226,740     
Exchange membership, at fair value (cost $189,000 and $189,000)   65,500    62,500 
Total assets  $184,075,563   $255,340,394 
           
Liabilities and Partners’ Capital (Net Asset Value)          
Liabilities          
Trading Advisor management fees payable  $265,485   $586,747 
Trading Advisor incentive fees payable       602,408 
Commissions and other trading fees payable on open contracts   32,911    55,213 
Cash Manager fees payable   77,045    48,576 
General Partner management and performance fees payable   229,347    315,840 
General Partner 1% allocation payable       80,477 
Selling agent fees payable – General Partner   214,990    285,554 
Broker dealer servicing fees payable – General Partner   7,668    11,224 
Administrative fee payable – General Partner   68,281    58,569 
Redemptions payable   3,120,444    4,780,643 
Subscriptions received in advance   18,657    266,000 
Total liabilities   4,034,828    7,091,251 
           
Partners’ Capital (Net Asset Value)          
Class A Interests – 35,142.5969 and 41,522.9804 units
outstanding at September 30, 2020 and December 31, 2019, respectively
   126,428,830    166,191,101 
Class A2 Interests – 616.9178 and 526.3226 units
outstanding at September 30, 2020 and December 31, 2019, respectively
   579,406    544,240 
Class A3 Interests – 86.0607 and 86.0607 units
outstanding at September 30, 2020 and December 31, 2019, respectively
   78,489    86,512 
Class B Interests – 7,885.0174 and 10,608.5075 units
outstanding at September 30, 2020 and December 31, 2019, respectively
   45,026,868    66,498,788 
Class I Interests – 256.4767 and 1,769.1082 units
outstanding at September 30, 2020 and December 31, 2019, respectively
   245,604    1,846,574 
Class R Interests – 8,076.9773 and 12,549.5403 units
outstanding at September 30, 2020 and December 31, 2019, respectively
   7,681,538    13,081,928 
Total partners’ capital (net asset value)   180,040,735    248,249,143 
Total liabilities and partners’ capital (net asset value)  $184,075,563   $255,340,394 

 

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

 

1

 

 

Futures Portfolio Fund, Limited Partnership 

Condensed Schedule of Investments 

September 30, 2020 (Unaudited)

 

 

       Description  Fair Value   % of Partners’ Capital (Net Asset Value) 
INVESTMENTS IN SECURITIES           
 U.S. Treasury Securities              
 Face Value   Maturity Date  Name  Yield1           
$5,000,000   7/15/21  U.S. Treasury  2.63%  $5,126,257    2.85%
 6,000,000   10/31/21  U.S. Treasury  2.00%   6,171,155    3.42%
 6,000,000   1/31/22  U.S. Treasury  1.38%   6,113,274    3.40%
 Total U.S. Treasury securities (cost:  $17,506,279)      17,410,686    9.67%
                       
U.S. Commercial Paper                
 Face Value   Maturity Date  Name  Yield1           
Banks                      
 1,200,000   12/14/20  Mitsubishi UFJ Trust and Banking Corp. (New York Branch)  0.19%   1,199,531    0.66%
 1,200,000   11/24/20  Mizuho Bank - New York Branch  0.16%   1,199,703    0.67%
 1,300,000   11/9/20  United Overseas Bank Limited - New York Agency  0.18%   1,299,747    0.71%
                       
 Diversified financial services                
 1,200,000   10/6/20  Citigroup Global Markets Inc.  0.12%   1,199,977    0.67%
 1,200,000   10/8/20  DCAT, LLC  0.14%   1,199,963    0.67%
 1,200,000   12/15/20  Gotham Funding Corporation  0.15%   1,199,625    0.67%
 1,200,000   10/7/20  Manhattan Asset Funding Company LLC  0.20%   1,199,954    0.67%
 1,200,000   10/8/20  Regency Markets No 1 LLC  0.14%   1,199,963    0.67%
 1,200,000   11/13/20  Sheffield Receivables Company LLC  0.15%   1,199,785    0.67%
 Energy                      
 1,300,000   10/22/20  Exxon Mobil Corporation  0.11%   1,299,917    0.71%
 1,200,000   10/22/20  One Gas, Inc.  0.10%   1,199,923    0.66%
 Manufacturing                
 1,200,000   12/1/20  Koch Industries, Inc.  0.12%   1,199,756    0.67%
 Water              
 1,200,000   10/13/20  American Water Capital Corp.  0.11%   1,199,952    0.67%
 Total U.S. commercial paper (cost:  $15,795,663)      15,797,796    8.77%

 

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

 

2

 

 

Futures Portfolio Fund, Limited Partnership 

Condensed Schedule of Investments (continued) 

September 30, 2020 (Unaudited)

 

                   
       Description  Fair Value   % of Partners’ Capital (Net Asset Value) 
Foreign Commercial Paper              
 Face Value   Maturity Date  Name  Yield1           
 Banks                      
 1,200,000   10/30/20  DNB Bank ASA  0.13%   1,199,874    0.67%
 1,200,000   10/27/20  KfW  0.13%   1,199,887    0.67%
 1,200,000   12/9/20  Skandinaviska Enskilda Banken AB (publ.)  0.14%   1,199,678    0.66%
 1,200,000   11/24/20  The Toronto-Dominion Bank  0.15%   1,199,730    0.67%
                       
 Diversified financial services              
 1,200,000   10/1/20  Anglesea Funding Plc  0.00%   1,200,000    0.67%
 1,200,000   10/1/20  Nationwide Building Society  0.00%   1,200,000    0.67%
 1,300,000   10/23/20  Nieuw Amsterdam Receivables Corporation B.V.  0.12%   1,299,897    0.71%
 Energy                      
 1,200,000   10/29/20  Total Capital Canada Ltd.  0.17%   1,199,832    0.67%
 Total foreign commercial paper (cost:  $9,697,655)      9,698,898    5.39%
 Total commercial paper (cost:  $25,493,318)      25,496,694    14.16%
                       
U.S. Corporate Notes                
 Face Value   Maturity Date  Name  Yield1           
 Aerospace                      
$4,000,000   5/1/22  Boeing Company  2.70%   4,120,192    2.29%
 Agriculture                      
 4,850,000   5/5/21  Altria Group, Inc.  4.75%   5,066,450    2.81%
 Banks              
 4,000,000   5/5/23  Credit Suisse AG, New York Branch  1.00%   4,048,661    2.25%
 4,000,000   5/17/22  Truist Bank  2.80%   4,191,573    2.33%
 4,750,000   1/15/21  Wells Fargo Bank, National Association  2.60%   4,805,798    2.68%
 Diversified financial services              
 4,250,000   4/26/22  Goldman Sachs Group, Inc.  3.00%   4,363,397    2.42%
 Energy                      
 4,850,000   2/15/21  Enterprise Products Operating LLC  2.80%   4,913,122    2.73%
 Equipment                      
 3,500,000   4/24/23  Micron Technology, Inc.  2.50%   3,672,195    2.04%
 Food                      
 3,000,000   4/16/21  General Mills, Inc.  3.20%   3,087,950    1.72%
 Healthcare                      
 5,000,000   9/17/21  Cigna Corporation  3.40%   5,149,261    2.86%
 3,000,000   6/1/21  CVS Health Corporation  2.13%   3,050,419    1.69%
 4,797,000   3/15/22  Medtronic, Inc.  3.15%   5,000,345    2.78%
 Pharmaceuticals                      
 3,500,000   6/25/21  Bayer US Finance II LLC  0.86%   3,500,422    1.94%
 4,000,000   5/16/22  Bristol-Myers Squibb Company  2.60%   4,182,064    2.32%
 3,500,000   2/1/23  Zoetis Inc.  3.25%   3,712,179    2.06%
 Telecommunications                      
 4,000,000   2/9/22  Apple Inc.  2.50%   4,128,200    2.29%
 3,500,000   6/30/22  AT&T Inc.  3.00%   3,665,663    2.04%
 Total U.S. corporate notes (cost:  $69,354,017)       70,657,891    39.25%

 

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

 

 

3

 

 

Futures Portfolio Fund, Limited Partnership 

Condensed Schedule of Investments (continued) 

September 30, 2020 (Unaudited)

 

                   
       Description  Fair Value   % of Partners’ Capital (Net Asset Value) 
Foreign Corporate Notes                
 Face Value   Maturity Date  Name  Yield1           
 Banks              
$3,000,000   6/9/23  Nordea Bank Abp  1.00%  $3,044,349    1.69%
 Insurance              
 4,000,000   9/20/21  AIA Group Limited  0.75%   3,996,006    2.22%
 Total foreign corporate notes (cost:  $6,996,910)      7,040,355    3.91%
 Total corporate notes (cost:  $76,350,927)      77,698,246    43.16%
                       
U.S. Asset Backed Securities            
 Face Value   Maturity Date  Name  Yield1           
 Automotive                     
 45,621   7/18/22  Americredit Automobile Receivables Trust 2017-4  2.04%   45,697    0.03%
 91,567   9/19/22  Americredit Automobile Receivales Trust 2019-2  2.43%   91,873    0.05%
 713,958   1/18/23  Americredit Automobile Receivables Trust 2019-3  2.17%   719,358    0.40%
 378,694   7/20/21  BMW Vehicle Lease Trust 2018-1  3.26%   380,820    0.21%
 400,000   7/15/22  Carmax Auto Owner Trust 2016-4  2.26%   401,865    0.22%
 14,641   6/21/21  GM Financial Automobile Leasing Trust 2018-3  3.18%   14,680    0.01%
 510,848   6/20/22  Honda Auto Receivables 2019-4 Owner Trust  1.86%   514,896    0.29%
 150,000   10/15/20  NextGear Floorplan Master Owner Trust , Series 2017-2  2.56%   150,276    0.08%
 250,000   5/15/23  Santander Drive Auto Receivables Trust 2020-2  0.62%   250,398    0.14%
 335,080   4/20/22  Santander Retail Auto Lease Trust 2019-B  2.29%   338,440    0.19%
 429,755   4/20/22  Tesla Auto Lease Trust 2019-A  2.13%   435,365    0.24%
 300,006   8/15/23  World Omni Select Auto Trust 2019-A  2.06%   302,401    0.17%
 Credit cards                     
 575,000   9/15/21  American Express Credit Account Master Trust 2018 - 8  3.18%   591,878    0.33%
 820,000   8/15/24  World Financial Network Credit Card Master Note Trust - Series 2017-C  2.31%   821,385    0.46%
 Equipment                     
 600,000   6/22/22  Dell Equipment Finance Trust 2020-1  2.26%   610,180    0.34%
 185,018   5/20/22  DLL 2019-2 LLC  2.27%   185,911    0.10%
 100,799   6/15/21  GreatAmerica Leasing Receivables Funding LLC, Series 2019-1  2.97%   101,209    0.06%
 825,000   6/15/22  GreatAmerica Leasing Receivables Funding, LLC  1.76%   832,933    0.45%
 675,000   7/22/30  HPEFS Equipment Trust 2020-2  0.69%   677,592    0.37%
 119,935   4/20/22  Verizon Owner Trust 2017-3  2.06%   120,123    0.07%
 750,000   4/20/23  Verizon Owner Trust 2018-A  3.23%   762,481    0.42%
 Student loans                     
 16,357   11/25/27  SLM Student Loan Trust 2011-2  0.75%   16,303    0.01%
 Total U.S. asset backed securities (cost:  $8,348,427)      8,366,064    4.64%
Total investments in securities (cost:  $127,698,951)    $128,971,690    71.63%

 

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

 

 

4

 

 

Futures Portfolio Fund, Limited Partnership

Condensed Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

         Description  Fair Value   % of Partners’
Capital
(Net Asset Value)
 
OPEN FUTURES CONTRACTS         
  Long U.S. Futures Contracts            
         Agricultural commodities    $486,420    0.27%
         Currencies     (137,632)   (0.08)%
         Energy     6,892    0.00%
         Equity indices     677,702    0.38%
         Interest rate instruments     59,675    0.03%
         Metals2     1,852,682    1.03%
  Net unrealized gain (loss) on open long U.S. futures contracts     2,945,739    1.63%
                      
  Short U.S. Futures Contracts            
         Agricultural commodities     (647,039)   (0.36)%
         Currencies     12,973    0.01%
         Energy     (158,373)   (0.09)%
         Equity indices     135,324    0.08%
         Interest rate instruments     (87,655)   (0.05)%
         Metals2     (2,136,985)   (1.19)%
  Net unrealized gain (loss) on open short U.S. futures contracts     (2,881,755)   (1.60)%
                      
  Total U.S. Futures Contracts - net unrealized gain (loss) on open U.S. futures contracts     63,984    0.03%
                      
  Long Foreign Futures Contracts            
         Agricultural commodities     58,926    0.03%
         Currencies     (20,625)   (0.01)%
         Energy     8,584    0.00%
         Equity indices     (171,806)   (0.10)%
         Interest rate instruments     1,040,160    0.58%
         Metals     (11,029)   (0.01)%
         Single stock futures     (949)   0.00%
  Net unrealized gain (loss) on open long foreign futures contracts     903,261    0.49%
                      
  Short Foreign Futures Contracts            
         Agricultural commodities     (8,175)   0.00%
         Currencies     (11,410)   (0.01)%
         Energy     (14,899)   (0.01)%
         Equity indices     158,031    0.09%
         Interest rate instruments     (59,900)   (0.02)%
  Net unrealized gain (loss) on open short foreign futures contracts     63,647    0.05%
                      
  Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts     966,908    0.54%
                      
  Net unrealized gain (loss) on open futures contracts    $1,030,892   0.57%

 

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

 

5

 

 

Futures Portfolio Fund, Limited Partnership

Condensed Schedule of Investments (continued)

September 30, 2020 (Unaudited)

                   
         Description  Fair Value   % of Partners’
Capital
(Net Asset Value)
 
OPEN FORWARD CURRENCY CONTRACTS        
  U.S. Forward Currency Contracts          
         Long   $(1,250,796)   (0.69)%
         Short    919,463    0.51%
  Net unrealized gain (loss) on open U.S. forward currency contracts   (331,333)   (0.18)%
                     
  Foreign Forward Currency Contracts          
         Long    145,012    0.08%
         Short    (389,305)   (0.23)%
  Net unrealized gain (loss) on open foreign forward currency contracts   (244,293)   (0.15)%
                     
  Net unrealized gain (loss) on open forward currency contracts  $(575,626)   (0.33)%

 

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

 

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 financial statements.

 

6

 

 

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%

 

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

 

 7

 

 

Futures Portfolio Fund, Limited Partnership

Condensed Schedule of Investments (continued)

December 31, 2019

                    
       Description  Fair Value   % of Partners’
Capital (Net
Asset Value)
 
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%
                        
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%

 

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

 

 8

 

 

Futures Portfolio Fund, Limited Partnership

Condensed Schedule of Investments (continued)

December 31, 2019

                    
       Description  Fair Value   % of Partners’
Capital (Net
Asset Value)
 
Foreign Corporate Notes               
 Face Value   Maturity Date  Name   Yield1           
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                
 4,000,000   9/20/21  AIA Group Limited   2.43%   4,003,233    1.61%
Manufacturing                
 3,500,000   11/15/20  GE Capital International Funding Company   2.34%   3,514,824    1.42%
Pharmaceuticals                
 2,250,000   3/12/20  Allergan Funding SCS   3.14%   2,259,476    0.91%
Total foreign corporate notes (cost:  $17,652,262)         17,824,551    7.18%
Total corporate notes (cost:  $91,256,255)         92,279,322    37.17%
                        
U.S. Asset Backed Securities               
 Face Value   Maturity Date  Name   Yield1           
Automotive                
$900,000   2/18/22  Americredit Automobile Receivables Trust 2017-1   2.30%   901,420    0.37%
 451,554   7/18/22  Americredit Automobile Receivables Trust 2017-4   2.04%   451,795    0.18%
 253,596   1/18/22  Americredit Automobile Receivables Trust 2018-3   3.11%   254,487    0.10%
 283,888   9/19/22  Americredit Automobile Receivales Trust 2019-2   2.43%   284,678    0.11%
 772,000   7/20/21  BMW Vehicle Lease Trust 2018-1   3.26%   779,225    0.31%
 250,000   1/22/24  Capital Auto Receivables Asset Trust 2016-3   2.65%   250,578    0.10%
 220,524   2/22/21  Capital Auto Receivables Asset Trust 2018-2   3.02%   220,927    0.09%
 400,000   7/15/22  Carmax Auto Owner Trust 2016-4   2.26%   401,167    0.16%
 55,198   9/21/20  GM Financial Automobile Leasing Trust 2018-3   2.89%   55,266    0.02%
 100,000   6/21/21  GM Financial Automobile Leasing Trust 2018-3   3.18%   100,589    0.04%
 73,041   5/17/21  GM Financial Consumer Automobile Receivables Trust 2018-2   2.55%   73,153    0.03%
 52,232   2/16/21  Mercedes- Benz Auto Lease Trust 2018-A   2.41%   52,320    0.02%
 150,000   10/15/20  NextGear Floorplan Master Owner Trust , Series 2017-2   2.56%   150,672    0.06%
 333,632   5/16/22  Santander Drive Auto Receivables Trust 2017-1   2.58%   334,317    0.14%
 500,000   4/20/22  Santander Retail Auto Lease Trust 2019-B   2.29%   501,326    0.20%
 525,000   4/20/22  Tesla Auto Lease Trust 2019-A   2.13%   525,261    0.21%
Credit cards                
 400,000   7/15/20  Barclays Dryrock Issuance Trust, Series 2017-2   2.04%   400,647    0.16%
 400,000   8/17/20  Discover Card Execution Note Trust   1.88%   400,350    0.16%
 820,000   8/15/24  World Financial Network Credit Card Master Note Trust - Series 2017-C   2.31%   822,189    0.34%
Equipment                
 121,415   10/22/20  Dell Equipment Finance Trust 2018-1   2.09%   121,496    0.05%
 500,000   5/20/22  DLL 2019-2 LLC   2.27%   500,832    0.21%
 479,846   6/15/21  GreatAmerica Leasing Receivables Funding LLC, Series 2019-1   2.97%   482,010    0.19%
 806,676   1/10/22  MMAF Equipment Finance LLC Series 2019-A   2.84%   811,592    0.33%
 205,263   12/20/20  Verizon Owner Trust 2017-2   1.92%   205,342    0.08%
 922,784   4/20/22  Verizon Owner Trust 2017-3   2.06%   923,583    0.37%
Student loans                
 26,574   11/25/27  SLM Student Loan Trust 2011-2   2.39%   26,622    0.01%
 657,427   8/25/47  Sofi Professional Loan Program 2018-B Trust   2.64%   658,939    0.27%
Total U.S. asset backed securities (cost:  $10,664,803)         10,690,783    4.31%
Total investments in securities (cost:  $161,352,357)       $162,552,581    65.47%

 

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

 

 9

 

 

Futures Portfolio Fund, Limited Partnership

Condensed Schedule of Investments (continued)

December 31, 2019

                            
           Description    Fair Value   % of Partners’
Capital (Net
Asset Value)
 
OPEN FUTURES CONTRACTS                
  Long U.S. Futures Contracts                
           Agricultural commodities          $275,964    0.11%
           Currencies           993,230    0.40%
           Energy           179,104    0.07%
           Equity indices           1,049,270    0.42%
           Interest rate instruments           (650,711)   (0.26)%
           Metals           (163,448)   (0.07)%
           Single stock futures           158,891    0.06%
  Net unrealized gain (loss) on open long U.S. futures contracts           1,842,300    0.73%
                              
  Short U.S. Futures Contracts                  
           Agricultural commodities           (611,155)   (0.25)%
           Currencies           (1,107,362)   (0.45)%
           Energy           354,367    0.14%
           Equity indices           (10,129)   0.00%
           Interest rate instruments           7,668    0.00%
           Metals           485,172    0.20%
           Single stock futures           (6,634)   0.00%
  Net unrealized gain (loss) on open short U.S. futures contracts           (888,073)   (0.36)%
                              
  Total U.S. Futures Contracts - net unrealized gain (loss) on open U.S. futures contracts           954,227    0.37%
                              
  Long Foreign Futures Contracts                  
           Agricultural commodities           67,579    0.03%
           Currencies           (17,669)   (0.01)%
           Energy           (11,669)   0.00%
           Equity indices           (76,733)   (0.03)%
           Interest rate instruments           (1,754,938)   (0.71)%
           Metals           35,076    0.01%
           Single stock futures           185    0.00%
  Net unrealized gain (loss) on open long foreign futures contracts           (1,758,169)   (0.71)%

 

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

 

 10

 

 

Futures Portfolio Fund, Limited Partnership

Condensed Schedule of Investments (continued)

December 31, 2019 

                            
           Description    Fair Value   % of Partners’
Capital (Net
Asset Value)
 
OPEN FUTURES CONTRACTS (continued)                
  Short Foreign Futures Contracts                  
           Agricultural commodities          $(914)   0.00%
           Currencies           80,885    0.03%
           Energy           623,914    0.25%
           Equity indices           143,496    0.06%
           Interest rate instruments           143,761    0.06%
  Net unrealized gain (loss) on open short foreign futures contracts           991,142    0.40%
                              
  Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts           (767,027)   (0.31)%
                              
  Net unrealized gain (loss) on open futures contracts          $187,200    0.06%
                              
OPEN FORWARD CURRENCY CONTRACTS                  
  U.S. Forward Currency Contracts                  
           Long          $1,142,214    0.46%
           Short           (1,328,398)   (0.54)%
  Net unrealized gain (loss) on open U.S. forward currency contracts           (186,184)   (0.08)%
                              
  Foreign Forward Currency Contracts                  
           Long           (145,721)   (0.06)%
           Short           142,190    0.06%
  Net unrealized gain (loss) on open foreign forward currency contracts           (3,531)   0.00%
                              
  Net unrealized gain (loss) on open forward currency contracts          $(189,715)   (0.08)%

 

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.

 

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

 

 11

 

 

Futures Portfolio Fund, Limited Partnership

Statements of Operations

For the Three and Nine Months Ended September 30, 2020 and 2019

(Unaudited)

 

  

Three Months Ended

September 30,

  

Nine Months Ended

September 30,

 
   2020   2019   2020   2019 
Realized and change in unrealized gain (loss) on investments                    
Net realized gain (loss) on:                    
Futures and forward contracts  $3,492,125   $18,591,663   $(16,940,382)  $26,051,728 
Investments in SMFSF       (118,449)   (2,753,150)   (600,755)
Investments in securities   130,632    75,948    642,814    (225,739)
Net change in unrealized gain (loss) on:                    
Futures and forward contracts   (2,067,382)   (5,966,945)   457,781    (727,294)
Investments in SMFSF       1,085,884    2,882,001    2,160,249 
Investments in securities   (241,735)   52,659    80,889    1,662,079 
Exchange membership   (3,750)   (29,250)   3,000    (62,750)
Brokerage commissions and trading expenses   (350,451)   (758,792)   (1,196,755)   (2,350,535)
Net realized and changed in unrealized gain (loss) on investments   959,439    12,932,718    (16,823,802)   25,906,983 
                     
Net investment income (loss)                    
Income                    
Interest income (loss)    437,427    1,436,021    2,109,841    4,536,471 
                     
Expenses                    
Trading Advisor management fee   688,066    1,094,171    2,318,959    3,239,184 
Trading Advisor incentive fee       538,775    213,562    2,995,000 
Cash manager fees   39,995    49,438    140,311    153,110 
General Partner management and performance fees   717,433    1,027,479    2,366,584    3,076,111 
Selling agent fees – General Partner   668,372    923,908    2,154,202    2,746,080 
Broker dealer servicing fees – General Partner   24,393    36,682    84,359    112,302 
General Partner 1% allocation    (9,568)   104,951    (226,740)   175,181 
Administrative expenses – General Partner   215,451    203,210    682,075    603,569 
Total expenses   2,344,142    3,978,614    7,733,312    13,100,537 
Net investment income (loss)   (1,906,715)   (2,542,593)   (5,623,471)   (8,564,066)
Net income (loss)  $(947,276)  $10,390,125   $(22,447,273)  $17,342,917 

 

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

 

12

 

 

Futures Portfolio Fund, Limited Partnership

Statements of Operations (continued)

For the Three and Nine Months Ended September 30, 2020 and 2019 (unaudited)

 

   Three Months Ended September 30, 2020 
   Class A   Class A2   Class A3   Class B   Class I   Class R 
Increase (decrease) in net asset value per unit  $(27.22)  $(3.82)  $(4.06)  $(17.57)  $(0.69)  $(2.45)
Net income (loss) per unit†  $(24.43)  $0.74   $(4.05)  $(5.66)  $(0.69)  $(1.41)
                               
Weighted average number of units outstanding   36,341.2288    649.5844    86.0607    8.392.2071    256.4767    8.519.9500 

 

   Three Months Ended September 30, 2019 
   Class A   Class A2   Class A3   Class B   Class I   Class R 
Increase (decrease) in net asset value per unit  $148.74   $41.87   $40.35   $259.75   $45.58   $43.69 
Net income (loss) per unit†  $152.16   $38.45   $40.35   $276.40   $45.58   $44.14 
                               
Weighted average number of units outstanding   43,622.9499    480.3860    38.0000    11,087.6943    1,769.1082    13,299.5886 

 

   Nine Months Ended September 30, 2020 
   Class A   Class A2   Class A3   Class B   Class I   Class R 
Increase (decrease) in net asset value per unit  $(404.80)  $(94.84)  $(93.23)  $(558.01)  $(86.18)  $(91.38)
Net income (loss) per unit†  $(403.66)  $(84.65)  $(93.22)  $(596.47)  $(140.69)  $88.56)
                               
Weighted average number of units outstanding   38,653.3929    648.3118    86.0607    9,647.1662    1,012.7925    9,993.0700 

 

   Nine Months Ended September 30, 2019 
   Class A   Class A2   Class A3††   Class B   Class I   Class R 
Increase (decrease) in net asset value per unit  $243.16   $73.04   $40.35   $460.29   $83.64   $77.99 
Net income (loss) per unit†  $237.14   $116.26   $40.35   $450.77   $58.27   $78.22 
                               
Weighted average number of units outstanding   45,199.0588    307.2096    38.0000    11,950.9502    2,591.5273    13,413.4574 

 

† (based on weighted average number of units outstanding during the period)

†† Class A3 units introduced in July 2019.

 

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

 

13

 

 

Futures Portfolio Fund, Limited Partnership

Statements of Cash Flows

For the Nine Months Ended September 30, 2020 and 2019

(Unaudited)

 

   2020   2019 
Cash flows from operating activities          
Net income (loss)  $(22,447,273)  $17,342,917 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities          
Net change in unrealized (gain) loss from futures and forwards trading   (457,781)   610,857 
Net realized and change in unrealized (gain) loss on SMFSF and securities   (852,554)   (2,995,834)
Purchases of securities   (420,488,074)   (422,890,452)
Proceeds from disposition of SMFSF and securities   477,660,470    461,945,527 
Changes in          
Exchange membership   (3,000)   62,750 
Trading Advisor management fee payable   (321,262)   (42,807)
Trading Advisor incentive fee payable   (602,408)   46,229 
Commissions and other trading fees payable on open contracts   (22,302)   10,017 
Cash Manager fees payable   28,469    (10,711)
General Partner management and performance fees payable   (86,493)   (28,664)
General Partner 1% allocation receivable/payable   (307,217)   340,713 
Selling agent fees payable – General Partner   (70,564)   (24,013)
Broker dealer servicing fees payable – General Partner   (3,556)   (1,818)
Administrative fee payable – General Partner   9,712    (2,791)
Net cash provided by (used in) operating activities   32,036,167    54,361,920 
           
Cash flows from financing activities          
Subscriptions   633,656    9,639,833 
Subscriptions received in advance   18,657    1,311,600 
Redemptions   (48,320,990)   (50,927,296)
Net cash provided by (used in) financing activities   (47,668,677)   (39,975,863)
           
Net increase (decrease) in cash and cash equivalents   (15,632,510)   14,386,057 
Cash and cash equivalents, beginning of period   69,988,877    46,185,781 
Cash and cash equivalents, end of period  $54,356,367    60,571,838 
           
End of period cash and cash equivalents consists of          
Cash in broker trading accounts  $44,461,686   $40,909,461 
Cash and cash equivalents not in broker trading accounts   9,894,681    19,662,377 
Total end of period cash and cash equivalents  $54,356,367   $60,571,838 
           
Supplemental disclosure of cash flow information        
Prior period redemptions paid  $4,780,643   $5,057,655 
Prior period subscriptions received in advance  $266,000   $224,523 
           
Supplemental schedule of non-cash financing activities          
Redemptions payable  $3,120,444   $2,537,859 

 

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

 

14

 

 

Futures Portfolio Fund, Limited Partnership

Statements of Changes in Partners’ Capital (Net Asset Value)

For the Nine Months Ended September 30, 2020 and 2019

(Unaudited)

 

   Class A   Class A2   Class A3†   Class B   Class I   Class R   Total 
2020                                   
Balance at December 31, 2019  $166,191,101   $544,240   $86,512   $66,498,788   $1,846,574   $13,081,928   $248,249,143 
Net income (loss)   (16,192,422)   (64,315)   (8,692)   (6,549,700)   (179,354)   (1,018,379)   (24,012,862)
Subscriptions   303,803    98,000        113,000            514,803 
Redemptions   (9,387,547)           (4,207,077)       (2,777,516)   (16,372,140)
Transfers   (219,684)           219,684             
Balance at March 31, 2020   140,695,251    577,925    77,820    56,074,695    1,667,220    9,286,033    208,378,944 
Net income (loss)   1,477,399    8,956    1,018    842,989    37,036    145,467    2,512,865 
Subscriptions   34,611    87,300                    121,911 
Redemptions   (7,922,275)           (6,946,258)   (1,458,476)   (1,108,126)