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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, 2021

 

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, 2021 (unaudited) and December 31, 2020

 

   March 31,     
   2021   December 31, 
   (Unaudited)   2020 
Assets        
Equity in broker trading accounts          
Cash  $40,788,575   $44,519,197 
Net unrealized gain (loss) on open futures contracts   819,764    8,169,982 
Net open futures options contracts (net premium paid $0 and $308,675)       150,900 
Net unrealized gain (loss) on open forward currency contracts   510,294    (17,929)
Net unrealized gain (loss) on swap contracts   97     
Total equity in broker trading accounts   42,118,730    52,822,150 
Cash and cash equivalents   8,632,899    6,050,682 
Investment in private investment company, at fair value (cost$ 4,166,667 and $0)   3,986,132     
Investment in securities, at fair value (cost $114,155,430 and $119,021,021)   114,711,526    119,837,286 
General Partner 1% allocation receivable       119,874 
Exchange membership, at fair value (cost $189,000 and $189,000)   46,000    51,000 
Total assets  $169,495,287   $178,880,992 
           
Liabilities and Partners’ Capital (Net Asset Value)          
Liabilities          
Trading Advisor management fees payable  $255,835   $254,786 
Trading Advisor incentive fees payable   304,999     
Commissions and other trading fees payable on open contracts   25,288    30,761 
Cash Managers fees payable   34,881    36,558 
General Partner management and performance fees payable   210,467    223,028 
General Partner 1% allocation payable   17,380     
Selling Agent payable - General Partner   192,789    205,514 
Broker dealer servicing fees payable - General Partner   7,439    7,784 
Administrative fee payable - General Partner   62,444    66,263 
Dividend and interest payable   2,510     
Redemption payable   5,191,505    5,585,666 
Subscriptions received in advance   300,000    33,000 
Total liabilities   6,605,537    6,443,360 
           
Partners’ Capital (Net Asset Value)          
Class A Interests – 28,924.7788 and 31,093.6904 units outstanding at March 31, 2021 and December 31, 2020, respectively   111,465,264    118,745,248 
Class A2 Interests – 340.7057 and 523.0963 units outstanding at March 31, 2021 and December 31, 2020, respectively   345,152    523,333 
Class A3 Interests – 38.0000 and 86.0607 units outstanding at March 31, 2021 and December 31, 2020, respectively   37,354    83,577 
Class B Interests – 7,037.5313 and 7,397.6585 units outstanding at March 31, 2021 and December 31, 2020, respectively   43,433,557    45,043,756 
Class I Interests – 256.4767 and 256.4767 units outstanding at March 31, 2021 and December 31, 2020, respectively   266,696    262,500 
Class R Interests – 7,135.6299 and 7,667.4336 units outstanding at March 31, 2021 and December 31, 2020, respectively   7,341,727    7,779,218 
Total partners’ capital (net asset value)   162,889,750    172,437,632 
           
Total liabilities and partners’ capital (net asset value)  $169,495,287   $178,880,992 

 

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

 

 1

 

 

Futures Portfolio Fund, Limited Partnership

Condensed Schedule of Investments 

March 31, 2021 (Unaudited)

 

                        % of Partners’  
                        Capital (Net  
      Description       Fair Value     Asset Value)  
INVESTMENTS IN SECURITIES                
U.S. Treasury Securities                
  Face Value Maturity Date Name Yield 1                
$ 6,000,000 10/31/21 U.S. Treasury 2.00%     $ 6,117,887     3.76 %
  6,000,000 1/31/22 U.S. Treasury 1.38%       6,078,362     3.73 %
Total U.S. Treasury securities (cost: $12,264,375)       12,196,249     7.49 %
                         
U.S. Commercial Paper                
  Face Value Maturity Date Name Yield 1                
Diversified financial services                
$ 1,200,000 5/3/21 DCAT, LLC 0.15%     1,199,840     0.73 %
  1,200,000 4/27/21 Gotham Funding Corporation 0.12%       1,199,896     0.73 %
  1,200,000 4/5/21 Manhattan Asset Funding Company LLC 0.10%       1,199,984     0.74 %
Energy                
  1,200,000 4/13/21 ONE Gas, Inc. 0.13%       1,199,944     0.74 %
Healthcare                
  1,200,000 4/21/21 UnitedHealth Group Incorporated 0.12%       1,199,913     0.74 %
Manufacturing                
  1,200,000 4/6/21 Sheffield Receivables Company LLC 0.12%       1,199,977     0.74 %
Water                
  1,200,000 4/5/21 American Water Capital Corp. 0.10%       1,199,984     0.74 %
Total U.S. commercial paper (cost: $8,398,358)       8,399,538     5.16 %

 

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

 

 2

 

 

Futures Portfolio Fund, Limited Partnership 

Condensed Schedule of Investments (continued)

March 31, 2021 (Unaudited)

 

                        % of Partners’  
                        Capital (Net  
      Description       Fair Value     Asset Value)  
Foreign Commercial Paper                
  Face Value Maturity Date Name Yield 1                
Banks                
$ 1,200,000 4/22/21 DBS Bank Ltd. 0.11%     $ 1,199,923     0.74 %
  1,200,000 4/23/21 KfW 0.10%       1,199,927     0.74 %
  1,200,000 5/10/21 National Bank of Canada 0.14%       1,199,818     0.73 %
  1,200,000 4/20/21 Nordea Bank Abp 0.14%       1,199,905     0.74 %
  1,200,000 6/16/21 Skandinaviska Enskilda Banken AB (publ.) 0.00%       1,199,620     0.73 %
  1,200,000 6/2/21 United Overseas Bank Limited 0.10%       1,199,793     0.73 %
  1,200,000 4/12/21 Westpac Banking Corporation 0.15%       1,199,941     0.74 %
Chemicals                
  1,200,000 5/25/21 BASF SE 0.18%       1,199,676     0.73 %
Diversified financial services              
  1,200,000 4/7/21 Nieuw Amsterdam Receivables Corporation B.V. 0.12%       1,199,972     0.74 %
Energy                
  1,200,000 4/28/21 Total Capital Canada Ltd. 0.14%       1,199,874     0.74 %
Insurance                
  1,200,000 4/7/21 Prudential plc 0.06%       1,199,986     0.74 %
Total foreign commercial paper (cost: $13,196,500)       13,198,435     8.10 %
Total commercial paper (cost: $21,594,858)       21,597,973     13.26 %
                           
U.S. Corporate Notes                
  Face Value Maturity Date Name Yield 1                
Aerospace                
$ 4,000,000 5/1/22 Boeing Company 2.70%       4,130,256     2.54 %
  1,600,000 8/16/23 Raytheon Technologies Corporation 3.65%       1,716,198     1.05 %
Agriculture                
  4,850,000 5/5/21 Altria Group, Inc. 4.75%       4,961,569     3.05 %
Banks                
  4,000,000 5/5/23 Credit Suisse AG, New York Branch 1.00%       4,035,742     2.48 %
  5,000,000 4/25/23 JPMorgan Chase & Co. 2.78%       5,178,222     3.18 %
  4,000,000 5/17/22 SunTrust Bank 2.80%       4,146,545     2.55 %
  4,250,000 1/24/24 Wells Fargo & Company 3.75%       4,625,701     2.84 %
Diversified financial services                
  4,000,000 1/8/24 Athene Global Funding 0.95%       4,009,209     2.46 %
  4,250,000 4/26/22 Goldman Sachs Group, Inc. 3.00%       4,310,200     2.65 %
  600,000 12/7/23 The Bank of New York Mellon Corporation 0.35%       599,868     0.37 %
Equipment                
  3,500,000 4/24/23 Micron Technology, Inc. 2.50%       3,669,035     2.25 %
Food                
  2,000,000 4/16/21 General Mills, Inc. 3.20%       2,031,105     1.25 %
Healthcare                
  3,000,000 6/1/21 CVS Health Corporation 2.13%       3,024,700     1.86 %
Pharmaceuticals                
  3,500,000 6/25/21 Bayer US Finance II LLC 0.83%       3,502,879     2.15 %
  4,000,000 5/16/22 Bristol-Myers Squibb Company 2.60%       4,136,084     2.54 %
  3,500,000 2/1/23 Zoetis Inc. 3.25%       3,667,323     2.25 %
Telecommunications                
  4,000,000 2/9/22 Apple Inc. 2.50%       4,083,952     2.51 %
  3,500,000 6/30/22 AT&T Inc. 3.00%       3,624,272     2.22 %
Total U.S. corporate notes (cost: $64,852,871)       65,452,860     40.20 %

 

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

 

 3

 

 

Futures Portfolio Fund, Limited Partnership 

Condensed Schedule of Investments (continued)

March 31, 2021 (Unaudited)

 

                        % of Partners’  
                        Capital (Net  
      Description       Fair Value     Asset Value)  
Foreign Corporate Notes                
  Face Value Maturity Date Name Yield 1                
Banks                
$ 3,000,000 6/9/23 Nordea Bank Abp 1.00%     $ 3,035,526     1.86 %
Insurance                
  4,000,000 9/20/21 AIA Group Limited 0.71%       4,004,273     2.46 %
Total foreign corporate notes (cost: $6,996,910)       7,039,799     4.32 %
Total corporate notes (cost: $71,849,781)       72,492,659     44.52 %
                 
U.S. Asset Backed Securities                
  Face Value Maturity Date Name Yield 1                
Automotive                
$ 190,733 1/18/23 Americredit Automobile Receivables Trust 2019-3 2.17%       191,248     0.12 %
  371,000 8/15/28 Ford Credit Auto Owner Trust 2017-Rev1 2.62%       378,828     0.23 %
  203,062 6/20/22 Honda Auto Receivables 2019-4 Owner Trust 1.86%       203,830     0.13 %
  108,504 5/15/23 Santander Drive Auto Receivables Trust 2020-2 0.62%       108,597     0.07 %
  146,319 4/20/22 Santander Retail Auto Lease Trust 2019-B 2.29%       146,731     0.09 %
  700,000 3/20/25 TESLA 2021-A A2 0.36%       699,874     0.43 %
  276,922 4/20/22 Tesla Auto Lease Trust 2019-A 2.13%       279,172     0.17 %
  111,316 8/15/23 World Omni Select Auto Trust 2019-A 2.06%       111,704     0.07 %
  427,860 12/15/23 World Omni Auto Receivables Trust 2020-C 0.35%       428,219     0.26 %
  462,811 6/17/24 World Omni Select Auto Trust 2020-A 0.47%       463,289     0.27 %
 Credit cards                        
  575,000 9/15/21 American Express Credit Account Master Trust 2018 - 8 3.18%       583,615     0.36 %
  250,000 9/15/24 Synchrony Card Issuance Trust, Series 2018-1 3.38%       253,915     0.16 %
  250,000 5/15/24 Synchrony Credit Card Master Note Trust 2016-2 2.21%       250,848     0.15 %
Equipment                
  600,000 10/22/24 Dell Equipment Finance Trust 2019-2 1.91%       607,204     0.37 %
  604,470 6/22/22 Dell Equipment Finance Trust 2020-1 2.26%       610,155     0.37 %
  546,293 6/15/22 GreatAmerica Leasing Receivables Funding, LLC 1.76%       549,543     0.34 %
  775,000 7/22/30 HPEFS Equipment Trust 2020-2 0.69%       777,083     0.48 %
  1,000,000 3/20/31 HPEFS Equipment Trust 2021-1 0.27%       1,000,060     0.61 %
  383,907 4/20/23 Verizon Owner Trust 2018-A 3.23%       388,447     0.24 %
  375,000 7/22/24 Verizon Owner Trust 2020-A 1.85%       382,573     0.23 %
Student loans                
  9,704 11/25/27 SLM Student Loan Trust 2011-2 0.71%       9,710     0.01 %
Total U.S. asset backed securities (cost: $8,446,416)       8,424,645     5.16 %
Total investments in securities (cost: $114,155,430)     $ 114,711,526     70.43 %

  

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

 

 4

 

 

Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)
March 31, 2021 (Unaudited)

 

      Description   Fair Value   % of Partners’
 Capital (Net
Asset Value)
 
OPEN FUTURES CONTRACTS
Long U.S. Futures Contracts
                   
      Agricultural commodities   $ 582,708     0.36 %
      Currencies     (80,825 )   (0.05 )%
      Energy     (578,310 )   (0.36 )%
      Equity indices     291,641     0.18 %
      Interest rate instruments     (707,270 )   (0.43 )%
      Metals2     2,123,542     1.30 %
Net unrealized gain (loss) on open long U.S. futures contracts     1,631,486     1.00 %
                     
Short U.S. Futures Contracts                    
      Agricultural commodities     (16,676 )   (0.01 )%
      Currencies     98,276     0.06 %
      Energy     41,253     0.03 %
      Equity indices     122,583     0.08 %
      Interest rate instruments     468,909     0.29 %
      Metals2     (1,846,380 )   (1.14 )%
Net unrealized gain (loss) on open short U.S. futures contracts     (1,132,035 )   (0.69 )%
                     
Total U.S. Futures Contracts - net unrealized gain (loss) on open U.S. futures contracts     499,451     0.31 %
                     
Long Foreign Futures Contracts                    
      Agricultural commodities     (31,070 )   (0.02 )%
      Currencies     33,094     0.02 %
      Energy     257,619     0.16 %
      Equity indices     550,635     0.34 %
      Interest rate instruments     (351,726 )   (0.22 )%
      Metals     343     0.00 %
Net unrealized gain (loss) on open long foreign futures contracts     458,895     0.28 %
                     
Short Foreign Futures Contracts                    
      Agricultural commodities   (1,614 )   0.00 %
      Currencies     27,410     0.02 %
      Equity indices     (242,218 )   (0.15 )%
      Interest rate instruments     80,351     0.05 %
      Metals     (2,511 )   0.00 %
Net unrealized gain (loss) on open short foreign futures contracts     (138,582 )   (0.08 )%
                     
Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts     320,313     0.20 %
                     
Net unrealized gain (loss) on open futures contracts   $ 819,764     0.51 %

 

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

 

 5

 

 

Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)
March 31, 2021 (Unaudited)

 

      Description   Fair Value   % of Partners’
 Capital (Net
Asset Value)
 
OPEN FORWARD CURRENCY CONTRACTS
U.S. Forward Currency Contracts
             
      Long2   $ (2,463,374 )   (1.51 )%
      Short2     2,779,594     1.71 %
Net unrealized gain (loss) on open U.S. forward currency contracts     316,220     0.20 %
                     
Foreign Forward Currency Contracts              
      Long     179,930     0.11 %
      Short     14,144     0.01 %
Net unrealized gain (loss) on open foreign forward currency contracts     194,074     0.12 %
                     
Net unrealized gain (loss) on open forward currency contracts   $ 510,294     0.32 %
                     
TOTAL RETURNS SWAP CONTRACTS              
      Long   $ 97     0.00 %
INVESTMENT IN PRIVATE INVESTMENT COMPANY 3              
      Investment in private investment company (cost :$4,166,667)     3,986,132     2.45 %

 

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.

 

3 Private investment company is managed by a Commodity Trading Advisor (“CTA”) that trades global commodities markets primarily through futures contracts. The CTA is paid a management fee of up to 1.00% and a 20% share of the trading profits. The Fund may redeem any portion of its investment on a daily basis. Any requested redemption will be satisfied within two days. There are no restrictions on liquidity for the Fund.

  

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

 6

 

 

Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments
December 31, 2020

 

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

INVESTMENTS IN SECURITIES

U.S. Treasury Securities

                         
  Face Value     Maturity Date     Name     Yield1              
$  6,000,000     10/31/21     U.S. Treasury     2.00 % $ 6,113,365     3.55 %
  6,000,000     1/31/22     U.S. Treasury     1.38 %   6,115,149     3.55 %
Total U.S. Treasury securities (cost:  $12,320,011)           12,228,514     7.10 %
                                   
U.S. Commercial Paper                          
  Face Value     Maturity Date     Name     Yield1              
Banks                                
$  1,200,000     1/21/21     Mitsubishi UFJ Trust & Banking Corporation (U.S.A.)     0.19 %   1,199,867     0.70 %
  1,200,000     2/8/21     Mizuho Bank Ltd. , New York Branch     0.20 %   1,199,734     0.69 %
  1,200,000     2/3/21     United Overseas Bank Limited     0.17 %   1,199,802     0.70 %
Diversified financial services                          
  1,200,000     2/1/21     DCAT, LLC     0.15 %   1,199,845     0.70 %
  1,200,000     2/5/21     Manhattan Asset Funding Company LLC     0.18 %   1,199,790     0.70 %
 Manufacturing                          
  1,200,000     3/2/21     Koch Industries, Inc.     0.18 %   1,199,640     0.69 %
  1,200,000     2/3/21     Sheffield Receivables Company LLC’     0.20 %   1,199,769     0.69 %
 Total U.S. commercial paper (cost:  $8,397,259)           8,398,447     4.87 %

 

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

 

 7

 

 

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

 

              Description   Fair Value   % of Partners’
 Capital (Net
Asset Value)
 
Foreign Commercial Paper                          
  Face Value     Maturity Date     Name     Yield1              
Automotive                                
$  1,200,000     1/2/20     Nationwide Building Society     0.14 % $ 1,199,977     0.70 %
 Banks                                
  1,200,000     2/11/21     DNB Bank ASA     0.19 %   1,199,740     0.69 %
  1,200,000     2/23/21     Commonwealth Bank of America     0.22 %   1,199,611     0.69 %
  1,200,000     1/21/21     National Australia Bank Limited     0.16 %   1,199,887     0.70 %
  1,200,000     3/1/21     Skandinaviska Enskida Banken AB(publ.)     0.20 %   1,199,597     0.69 %
  1,200,000     1/22/21     Standard Chartered Bank     0.17 %   1,199,874     0.70 %
  1,200,000     3/24/21     The Toronto- Domomion Bank     0.25 %   1,199,303     0.69 %
  1,200,000     1/12/21     Westpac Banking Corporation     0.14 %   1,199,945     0.70 %
Diversified financial services                          
  1,200,000     1/19/21     Anglesea Funding Plc     0.19 %   1,199,880     0.70 %
  1,200,000     1/8/21     Longship Funding Designated Activity Company     0.13 %   1,199,965     0.70 %
 Energy                          
  1,200,000     1/28/21     Total Capital Canada Ltd.     0.14 %   1,199,874     0.69 %
 Telecommunications                          
 Total foreign commercial paper (cost:  $13,195,645)           13,197,653     7.65 %
 Total commercial paper (cost:  $21,592,904)           21,596,100     12.52 %
                                   
U.S. Corporate Notes                    
  Face Value     Maturity Date     Name     Yield1              
Aerospace                                
$  4,000,000     5/1/22     Boeing Company     2.70 %   4,115,948     2.39 %
  600,000     8/16/23     Raytheon Technologies Corporation     3.65 %   654,625     0.38 %
Agriculture                                
  4,850,000     5/5/21     Altria Group, Inc.     4.75 %   4,955,274     2.87 %
Banks                                
  4,000,000     5/5/23     Credit Suisse AG, New York Branch     1.00 %   4,069,774     2.36 %
  3,000,000     4/25/23     JPMorgan Chase & Co.     2.78 %   5,187,922     3.01 %
  4,000,000     5/17/22     SunTrust Bank     2.80 %   4,144,297     2.40 %
  4,750,000     1/15/21     Wells Fargo Bank, National Association     2.60 %   4,806,985     2.79 %
Diversified financial services                          
  4,250,000     4/26/22     Goldman Sachs Group, Inc.     3.00 %   4,308,632     2.50 %
  600,000     12/7/23     The Bank of New York Mellon Corporation     0.35 %   600,814     0.35 %
Energy                                
  4,850,000     2/15/21     Enterprise Products Operating LLC     2.80 %   4,907,287     2.85 %
Equipment                                
  3,500,000     4/24/23     Micron Technology, Inc.     2.50 %   3,667,014     2.13 %
Food                                
  2,000,000     4/16/21     General Mills, Inc.     3.20 %   2,029,905     1.18 %
Healthcare                                
  5,000,000     9/17/21     Cigna Corporation     3.40 %   5,157,401     2.99 %
  3,000,000     6/1/21     CVS Health Corporation     2.13 %   3,024,078     1.75 %
 Pharmaceuticals                                
  3,500,000     6/25/21     Bayer US Finance II LLC     0.88 %   3,507,152     2.03 %
  4,000,000     5/16/22     Bristol-Myers Squibb Company     2.60 %   4,127,928     2.39 %
  3,500,000     2/1/23     Zoetis Inc.     3.25 %   3,731,114     2.16 %
Telecommunications                                
  4,000,000     2/9/22     Apple Inc.     2.50 %   4,132,312     2.40 %
  3,500,000     6/30/22     AT&T Inc.     3.00 %   3,621,045     2.10 %
Total U.S. corporate notes (cost:  $69,880,261)           70,749,507     41.03 %

 

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

 

 8

 

 

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

 

              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 % $ 3,038,160     1.76 %
 Insurance                                
  4,000,000     9/20/21     AIA Group Limited     0.76 %   4,000,771     2.32 %
 Total foreign corporate notes (cost:  $6,996,909)           7,038,931     4.08 %
 Total corporate notes (cost:  $76,877,170)           77,788,438     45.11 %
                                   
U.S. Asset Backed Securities                          
  Face Value     Maturity Date     Name     Yield1              
 Automotive                                
$ 33,644     9/19/22     Americredit Automobile Receivales Trust 2019-2     2.43 %   33,725     0.02 %
  440,163     1/18/23     Americredit Automobile Receivables Trust 2019-3     2.17 %   442,057     0.26 %
  86,991     7/20/21     BMW Vehicle Lease Trust 2018-1     3.26 %   87,186     0.05 %
  400,000     7/15/22     Carmax Auto Owner Trust 2016-4     2.26 %   400,607     0.23 %
  353,042     6/20/22     Honda Auto Receivables 2019-4 Owner Trust     1.86 %   355,128     0.21 %
  248,998     4/20/22     Santander Drive Auto Receivables Trust 2019-B     2.29 %   250,474     0.15 %
  186,940     5/15/23     Santander Drive Auto Receivables Trust 2020-2     0.62 %   186,689     0.11 %
  354,181     4/20/22     Tesla Auto Lease Trust 2019-A     2.13 %   358,011     0.21 %
  199,302     8/15/23     World Omni Selecgt Auto Trust 2019-A     2.06 %   200,366     0.12 %
  450,000     12/15/23     World Omni Auto Receivables Trust 2020-C     0.35 %   450,177     0.26 %
  562,000     6/17/24     World Omni Auto Receivables Trust 2020-A     0.47 %   563,057     0.33 %
 Credit cards                                
  575,000     4/15/24     American Express Credit Account Master Trust 2018-8     3.18 %   587,735     0.34 %
  250,000     5/15/24     Synchrony Credit Card Master Note Trust 2016-2     2.21 %   251,619     0.15 %
 Equipment                                
  600,000     10/22/24     Dell Equipment Finance Trust 2019-2     1.91 %   610,611     0.35 %
  826,000     6/22/22     Dell Equipment Finance Trust 2020-1     2.26 %   836,041     0.48 %
  84,761     5/20/22     DLL 2019-2 LLC     2.27 %   85,024     0.04 %
  752,245     6/15/22     GreatAmerica Leasing Receivables Funding LLC     1.76 %   757,972     0.44 %
  775,000     7/22/30     HPEFS EquipmentTrust 2020-2     0.69 %   777,815     0.45 %
  585,609     4/20/23     Verizon Owner Trust 2018-A     3.23 %   593,710     0.34 %
  375,000     7/22/24     Verizon Owner Trust 2020-A     1.85 %   383,342     0.22 %
 Student loans                                
  12,900     11/25/27     SLM Student Loan Trust 2011-2     0.75 %   12,888     0.01 %
 Total U.S. asset backed securities (cost:  $8,230,936)           8,224,834     4.77 %
Total investments in securities (cost:  $119,021,021)         $ 119,837,286     69.50 %

 

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

 

 9

 

 

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

  

  Description   Fair Value   % of Partners’
Capital (Net
Asset Value)
   
OPEN FUTURES CONTRACTS                
Long U.S. Futures Contracts                  
  Agricultural commodities   $ 2,135,596     1.24 %  
  Currencies     185,459     0.11 %  
  Energy     247,270     0.14 %  
  Equity indices     1,377,249     0.80 %  
  Interest rate instruments     176,792     0.10 %  
  Metals     7,267,230     4.21 %  
Net unrealized gain (loss) on open long U.S. futures contracts     11,389,596     6.60 %  
                   
Short U.S. Futures Contracts                  
  Agricultural commodities     (341,526)     (0.20) %  
  Currencies     (16,365)     (0.01) %  
  Energy     35,440     0.02 %  
  Equity indices     (230,173)     (0.13) %  
  Interest rate instruments     (128,860)     (0.07) %  
  Metals     (5,147,830)     (2.99) %  
Net unrealized gain (loss) on open short U.S. futures contracts     (5,829,315)     (3.38) %  
                   
Total U.S. Futures Contracts - net unrealized gain (loss) on open U.S. futures contracts     5,560,281     3.22 %  
                   
Long Foreign Futures Contracts                  
  Agricultural commodities     270,069     0.16 %  
  Currencies     (7,733)     0.00 %  
  Energy     251,686     0.15 %  
  Equity indices     14,770,692     0.86 %  
  Interest rate instruments     466,173     0.27 %  
  Metals     2,942     0.00 %  
  Single stock futures     403     0.00 %  
Net unrealized gain (loss) on open long foreign futures contracts     2,460,632     1.44 %  

 

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

 

 10

 

 

 

 

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

 

  Description   Fair Value   % of Partners’
Capital (Net
Asset Value)
   
OPEN FUTURES CONTRACTS (continued)                
Short Foreign Futures Contracts                
  Agricultural commodities   $ (1,367)     0.00 %  
  Currencies     57,417     0.03 %  
  Energy     (71,502)     (0.04) %  
  Equity indices     104,496     0.06 %  
  Interest rate instruments     60,025     0.03 %  
Net unrealized gain (loss) on open short foreign futures contracts     149,069     0.08 %  
                   
Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts     2,609,701     1.52 %  
                   
Net unrealized gain (loss) on open futures contracts   $ 8,169,982     4.74 %  
                   
OPEN FUTURE OPTIONS CONTRACTS                
Long U.S. Future Options Contracts                
  Equity Indices (premium paid $588,413)   $ 264,100     0.15 %  
                   
Short U.S. Future Options Contracts                
  Equity Indices (premium paid $279,738)                
      (113,200)     (0.07) %  
Net unrealized gain (loss) on open futures options contracts   $ 150,900     0.08 %  
                   
OPEN FORWARD CURRENCY CONTRACTS                
U.S. Forward Currency Contracts                
  Long2   $ 2,003,451     1.16 %  
  Short2     (2,376,232)     (1.38) %  
Net unrealized gain (loss) on open U.S. forward currency contracts     (372,781)     (0.22) %  
                   
Foreign Forward Currency Contracts                
  Long     189,777     0.11 %  
  Short     165,075     0.10 %  
Net unrealized gain (loss) on open foreign forward currency contracts     354,852     0.21 %  
                   
Net unrealized gain (loss) on open forward currency contracts   $ (17,929)     (0.01) %  

 

 

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.

 

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.

 

 11

 

 

Futures Portfolio Fund, Limited Partnership

Statements of Operations

For the Three Months Ended March 31, 2021 and 2020

(Unaudited)

 

   Three Months Ended March 31, 
   2021   2020 
Realized and Change in Unrealized Gain (Loss) on Investments          
Net realized gain (loss) on:          
Futures, swaps and forward contracts  $11,273,818   $(27,101,585)
Investments in SMFSF       (2,753,150)
Investments in securities   263,047    278,233 
Net change in unrealized gain (loss) on:          
Futures, swaps and forward contracts   (6,664,122)   6,092,379 
Investments in SMFSF       2,882,001 
Investment in private investment company   (180,535)    
Investments in securities   (603,832)   (1,146,766)
Exchange membership   (5,000)   17,500 
Brokerage commissions and trading expenses   (269,129)   (529,032)
Net realized and change in unrealized gain (loss) on investments   3,814,247    (22,260,420)
           
Net Investment Income (Loss)          
Income          
Interest income (loss)   328,865    1,083,448 
           
Expenses          
Trading Advisor management fee   626,580    889,708 
Trading Advisor incentive fee   304,999    213,562 
Cash Manager fees   39,491    51,205 
General Partner management and performance fees   636,442    875,437 
Selling agent fees – General Partner   584,079    782,424 
Broker dealer servicing fees – General Partner   22,340    32,098 
General Partner 1% allocation   17,380    (242,554)
Administrative expenses – General Partner   191,153    234,010 
Total expenses   2,422,464    2,835,890 
Net investment income (loss)   (2,093,599)   (1,752,442)
Net Income (Loss)  $1,720,648   $(24,012,862)

 

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

 

 12

 

 

Futures Portfolio Fund, Limited Partnership

Statements of Operations (continued)

For the Three Months Ended March 31, 2021 and 2020

(unaudited)

 

    Three Months Ended March 31, 2021  
      Class A     Class A2     Class A3     Class B     Class I     Class R  
Increase (decrease) in net asset value per unit   $ 34.68   $ 12.60   $ 11.86   $ 82.78   $ 16.36   $ 14.30  
Net income (loss) per unit†   $ 32.59   $ 12.25   $ 12.67   $ 80.28   $ 16.36   $ 14.26  
                                       
Weighted average number of units outstanding     30,085.4184     454.8693     62.0304     7,242.2796     256.4767     7,456.7224  

 

    Three Months Ended March 31, 2020  
      Class A     Class A2     Class A3     Class B     Class I     Class R  
Increase (decrease) in net asset value per unit   $ (413.29 ) $ (103.55 ) $ (101.01 ) $ (622.14 ) $ (101.38 ) $ (102.99 )
Net income (loss) per unit†   $ (398.49 ) $ (107.66 ) $ (101.00 ) $ (618.84 ) $ (101.38 ) $ (88.13 )
                                       
Weighted average number of units outstanding     40,634.2480     597.4029     86.0607     10,583,8129     1,769.1082     11,556.0472  

 

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

 

 13

 

 

Futures Portfolio Fund, Limited Partnership

Statements of Cash Flows

For the Three Months Ended March 31, 2021 and 2020

(Unaudited)

 

   Three Months Ended March 31, 
   2021   2020 
Cash flows from operating activities          
Net income (loss)  $1,720,648   $(24,012,862)
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    6,972,798    (6,092,379)
Net realized and change in unrealized (gain) loss on SMFSF, securities and certificates of deposit   521,320    739,682 
Purchases of securities, private investment company and certificates of deposit   (83,697,426)   (156,019,995)
Proceeds from disposition of SMFSF, securities and certificates of deposit   84,315,734    187,974,570 
Changes in          
Exchange membership   5,000    (17,500)
Trading Advisor management fee payable   1,049    (115,005)
Trading Advisor incentive fee payable   304,999    (388,846)
Commissions and other trading fees payable on open contracts   (5,473)   (32,138)
Cash Manager fees payable   (1,677)   51,205 
General Partner management and performance fees payable   (12,561)   (50,393)
General Partner 1% allocation receivable/payable   137,254    (323,031)
Selling agent fees payable – General Partner   (12,725)   (45,767)
Broker dealer servicing fees payable – General Partner   (345)   (1,338)
Administrative fee payable – General Partner   (3,819)   15,497 
Dividend and interest payable   2,510     
Net cash provided by operating activities   10,247,286    1,681,700 
           
Cash flows from financing activities          
Subscriptions   136,000    248,803 
Subscriptions received in advance   300,000    121,911 
Redemptions   (11,831,691)   (16,710,308)
Net cash used in financing activities   (11,395,691)   (16,339,594)
           
Net increase (decrease) in cash and cash equivalents   (1,148,405)   (14,657,894)
Cash and cash equivalents, beginning of period   50,569,879    69,988,877 
Cash and cash equivalents, end of period  $49,421,474   $55,330,983 
           
End of period cash and cash equivalents consists of          
Cash in broker trading accounts  $40,788,575   $37,373,064 
Cash and cash equivalents not in broker trading accounts   8,632,899    17,957,919 
Total end of period cash and cash equivalents  $49,421,474   $55,330,983 
           
Supplemental disclosure of cash flow information          
Prior period redemptions paid  $5,585,666   $4,780,643 
Prior period subscriptions received in advance  $33,000   $266,000 
           
Supplemental schedule of non-cash financing activities          
Redemptions payable  $5,191,505   $4,442,475 

 

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 Three Months Ended March 31, 2021 and 2020

(Unaudited)

 

   Class A   Class A2   Class A3   Class B   Class I   Class R   Total 
Three Months Ended                                   
March 31, 2021                                   
Balance at December 31, 2020  $118,745,248   $523,333   $83,577   $45,043,756   $262,500   $7,779,218   $172,437,632 
Net income (loss)   1,006,946    6,418    939    593,906    4,196    108,243    1,720,648 
Subscriptions   136,000            33,000            169,000 
Redemptions   (8,297,140)   (184,599)   (47,162)   (2,362,895)       (545,734)   (11,437,530)
Transfers   (125,790)           125,790             
Balance at March 31, 2021  $111,465,264   $345,152   $37,354   $43,433,557   $266,696   $7,341,727   $162,889,750 
                                    
Three Months Ended                                   
March 31, 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 

 

   Units 
                         
   Class A   Class A2   Class A3   Class B   Class I   Class R 
Three Months Ended                              
March 31, 2021                              
Balance at December 31, 2020   31,093.6903    523.0963    86.0607    7,397.6586    256.4767    7,667.4336 
Subscriptions   36.3455            5.4197         
Redemptions   (2,171.6400)   (182.39)   (48.06)   (386.6001)       (531.8037)
Transfers   (33.6170)           21.0531