Company Quick10K Filing
Futures Portfolio Fund
Closing Price ($) Shares Out (MM) Market Cap ($MM)
$0.00 -0 $-0
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FPF 2019-09-30
Part I: Financial Information
Item 1. Financial Statements
Item 2. Management’S Discussion and Analysis of Financial Condition and Results of Operations
Item 3. Quantitative and Qualitative Disclosures About Market Risk
Item 4. Controls and Procedures
Part Ii: Other Information
Item 1. Legal Proceedings.
Item 1A. Risk Factors.
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds
Item 3. Defaults Upon Senior Securities
Item 4. Mine Safety Disclosures
Item 5. Other Information
Item 6. Exhibits
EX-31.01 ex31-01.htm
EX-31.02 ex31-02.htm
EX-32.01 ex32-01.htm
EX-32.02 ex32-02.htm

Futures Portfolio Fund Earnings 2019-09-30

FPF 10Q Quarterly Report

Balance SheetIncome StatementCash Flow

Comparables ($MM TTM)
Ticker M Cap Assets Liab Rev G Profit Net Inc EBITDA EV G Margin EV/EBITDA ROA
HCXY
PBB
PLL
MMD
DFP 8,634 6,855 1,926 0 183 273 -0 0% -0.0 2%
NMS 7,359 6,982 4,689 316 -164 475 4,943 7% 10.4 -2%
GEF 5,552 4,354 4,351 906 170 448 2,808 21% 6.3 3%
GSAH 703 25 0 0 10 13 -701 -54.9 1%
FPF 271 6 0 0 -2 -2 -63 37.9 -1%
IFRX 159 8 0 0 0 0 -0 0%

10-Q 1 fpf-10q_093019.htm QUARTERLY REPORT

 

 

 

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, 2019

 

Commission file number: 000-50728

 

FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP

 

Organized in Maryland IRS Employer Identification No.: 52-1627106

 

c/o Steben & Company LLC

9711 Washingtonian Blvd., Suite 400

Gaithersburg, Maryland 20878

(240) 631-7600

 

Indicate by check mark whether the Registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the Registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.

Yes ☒ No ☐

 

Indicate by check mark whether the registrant has submitted electronically 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, 2019 (Unaudited) and December 31, 2018

 

   September 30, 2019
(Unaudited)
   December 31,
2018
 
Assets          
Equity in broker trading accounts          
Cash  $40,909,461   $27,926,584 
Net unrealized gain (loss) on open futures contracts   1,464,146    2,148,112 
Net unrealized gain (loss) on open forward currency contracts   228,167    155,058 
Total equity in broker trading accounts   42,601,774    30,229,754 
Cash and cash equivalents   19,662,377    18,259,197 
Investment in SMFSF, at fair value (cost $24,659,678 and $30,659,588)   22,982,700    27,423,206 
Investments in securities, at fair value (cost $184,022,271 and $217,418,518)   185,436,402    217,055,133 
General Partner 1% allocation receivable       165,532 
Exchange membership, at fair value (cost $189,000 and $189,000)   82,750    145,500 
Total assets  $270,766,003   $293,278,322 
           
Liabilities and Partners’ Capital (Net Asset Value)           
Liabilities          
Trading Advisor management fees payable  $326,244   $369,048 
Trading Advisor incentive fees payable   538,776    492,547 
Commissions and other trading fees payable on open contracts   60,091    50,074 
Cash Manager fees payable   45,179    55,890 
General Partner management and performance fees payable   333,994    362,658 
General Partner 1% allocation payable   175,181     
Selling agent fees payable – General Partner   302,011    326,024 
Broker dealer servicing fees payable – General Partner   11,721    13,539 
Administrative fee payable – General Partner   64,449    67,240 
Redemptions payable   2,537,859    5,057,655 
Subscriptions received in advance   1,311,600    224,523 
Total liabilities   5,707,105    7,019,198 
           
Partners’ Capital (Net Asset Value)          
Class A Interests – 42,983.1627 and 48,319.8508 units outstanding at September 30, 2019 and December 31, 2018, respectively   178,595,581    189,019,997 
Class A2 Interests – 526.3226 and 146.5000 units outstanding at September 30, 2019 and December 31, 2018, respectively   563,035    146,018 
Class A3 Interests – 38.0000 and no units outstanding at September 30, 2019 and December 31, 2018, respectively   39,533     
Class B Interests – 10,755.6323 and 13,290.4576 units outstanding at September 30, 2019 and December 31, 2018, respectively   69,680,276    79,984,663 
Class I Interests – 1,769.1082 and 3,466.2779 units outstanding at September 30, 2019 and December 31, 2018, respectively   1,903,966    3,440,608 
Class R Interests – 13,258.0232 and 13,683.8897 units outstanding at September 30, 2019 and December 31, 2018, respectively   14,276,507    13,667,838 
Total partners’ capital (net asset value)   265,058,898    286,259,124 
Total liabilities and partners’ capital (net asset value)  $270,766,003   $293,278,322 

 

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

 

1

 

 

Futures Portfolio Fund, Limited Partnership

Condensed Schedule of Investments

September 30, 2019 (Unaudited)

 

       Description  Fair Value   % of Partners’
Capital (Net
Asset Value)
 
INVESTMENTS IN SECURITIES         
   U.S. Treasury Securities 
 Face Value   Maturity Date  Name   Yield1          
$8,000,000   10/17/19  U.S. Treasury   2.09%  $7,993,294    3.02%
 6,000,000   10/31/19  U.S. Treasury   1.25%   6,028,573    2.27%
 8,000,000   11/21/19  U.S. Treasury   1.92%   7,979,174    3.01%
 3,000,000   11/30/19  U.S. Treasury   1.75%   3,016,237    1.14%
 8,000,000   12/15/19  U.S. Treasury   1.38%   8,023,709    3.03%
 8,000,000   12/26/19  U.S. Treasury   1.87%   7,965,442    3.01%
 8,500,000   1/31/20  U.S. Treasury   1.38%   8,503,753    3.20%
Total U.S. Treasury securities (cost:  $49,356,853)         49,510,182    18.68%
                        
U.S. Commercial Paper               
 Face Value   Maturity Date  Name   Yield1          
Automotive                 
$1,300,000   10/16/19  Harley-Davidson Financial Services, Inc.   2.30%   1,298,673    0.49%
Banks                
 1,300,000   11/26/19  Credit Suisse AG, New York Branch   2.06%   1,295,753    0.49%
 1,300,000   10/1/19  Mitsubishi UFJ Trust and Banking Corp. (NY Branch)   0.00%   1,300,000    0.49%
Beverages                       
 1,500,000   10/30/19  Brown-Forman Corporation   2.05%   1,497,438    0.56%
Chemicals                       
 1,400,000   10/10/19  DuPont de Nemours, Inc.   1.97%   1,399,233    0.53%
 1,400,000   10/15/19  DuPont de Nemours, Inc.   2.07%   1,398,791    0.53%
Diversified financial services                
 1,400,000   11/12/19  CRC Funding, LLC   2.05%   1,396,570    0.53%
 1,300,000   10/7/19  DCAT, LLC   1.80%   1,299,545    0.49%
 1,500,000   10/4/19  Gotham Funding Corporation   1.59%   1,499,735    0.56%
 1,500,000   12/16/19  Intercontinental Exchange, Inc.   2.09%   1,493,287    0.56%
 1,400,000   11/15/19  Manhattan Asset Funding Company LLC   2.05%   1,396,325    0.53%
 1,400,000   10/16/19  Regency Markets No 1 LLC   2.02%   1,398,746    0.53%
Energy                 
 1,300,000   10/21/19  Thunder Bay Funding, LLC   1.98%   1,298,498    0.49%
 1,300,000   10/28/19  CenterPoint Energy, Inc.   2.14%   1,297,836    0.49%
 1,300,000   10/18/19  Consolidated Edison, Inc.   2.08%   1,298,649    0.49%
 1,400,000   10/3/19  NextEra Energy Capital Holdings, Inc.   1.47%   1,399,829    0.53%
Total U.S. commercial paper (cost:  $21,939,963)         21,968,908    8.29%
                        
Foreign Commercial Paper               
 Face Value   Maturity Date  Name   Yield1          
Automotive                
$1,400,000   11/1/19  Nationwide Building Society   2.12%   1,397,360    0.53%
 1,500,000   10/17/19  Skandinaviska Enskilda Banken AB   2.09%   1,498,520    0.56%
 1,300,000   12/5/19  United Overseas Bank Ltd   2.05%   1,295,118    0.48%
Diversified financial services                
 1,300,000   10/1/19  Anglesea Funding PLC   0.00%   1,300,000    0.49%
Energy                
 1,400,000   10/31/19  Engie SA   2.10%   1,397,468    0.53%
 1,400,000   12/9/19  Schlumberger Investment SA   2.03%   1,394,472    0.53%
Telecommunication                
 1,400,000   10/8/19  Rogers Communications Inc.   1.96%   1,399,390    0.53%
 1,300,000   11/20/19  Telstra Corporation Limited   2.08%   1,296,172    0.49%
Total foreign commercial paper (cost:  $10,960,496)         10,978,500    4.14%
Total commercial paper (cost:  $32,900,459)         32,947,408    12.43%

 

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

 

2

 

 

Futures Portfolio Fund, Limited Partnership

Condensed Schedule of Investments (continued)

September 30, 2019 (Unaudited)

 

       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%   4,123,828    1.56%
 5,000,000   8/16/21  United Technologies Corporation   3.35%   5,132,043    1.93%
Agricultural                
 4,850,000   5/5/21  Altria Group, Inc.   4.75%   5,134,510    1.93%
Banks                
 4,250,000   1/10/20  Citigroup Inc.   3.13%   4,286,734    1.62%
 4,000,000   10/29/20  JPMorgan Chase & Co.   2.55%   4,063,663    1.53%
 3,000,000   10/29/20  JPMorgan Chase & Co.   3.46%   3,047,305    1.15%
 4,000,000   5/17/22  SunTrust Bank   2.80%   4,114,021    1.55%
 4,750,000   1/15/21  Wells Fargo Bank, National Association   2.60%   4,811,027    1.82%
Energy                
 4,850,000   2/15/21  Enterprise Products Operating LLC   2.80%   4,913,912    1.85%
Food                
 3,000,000   4/16/21  General Mills, Inc.   3.20%   3,088,118    1.17%
Healthcare                
 5,000,000   9/17/21  Cigna Corporation   3.40%   5,109,266    1.93%
 3,000,000   6/1/21  CVS Health Corporation   2.13%   3,017,902    1.14%
Media                
 4,000,000   4/1/21  NBCUniversal Media, LLC   4.38%   4,229,044    1.60%
Pharmaceutical                
 4,200,000   5/11/20  Amgen Inc.   2.63%   4,222,244    1.59%
 3,500,000   6/25/21  Bayer US Finance II LLC   2.74%   3,502,951    1.32%
 4,000,000   5/16/22  Bristol-Myers Squibb Company   2.60%   4,104,992    1.55%
Software                
 3,500,000   10/8/19  Oracle Corporation   2.25%   3,537,973    1.33%
Telecommunications                
 4,000,000   2/9/22  Apple Inc.   2.50%   4,074,038    1.54%
Total U.S. corporate notes (cost:  $73,508,836)         74,513,571    28.11%
                        
Foreign Corporate Notes               
 Face Value   Maturity Date  Name   Yield1          
Banks                
$5,500,000   3/2/20  Danske Bank A/S   2.20%   5,507,531    2.08%
Energy                
 2,500,000   5/11/20  Shell International Finance B.V.   2.13%   2,524,030    0.95%
Insurance                
 4,000,000   9/20/21  AIA Group Limited   2.68%   4,003,143    1.51%
Manufacturing                
 3,500,000   11/15/20  GE Capital International Funding Company   2.34%   3,521,254    1.33%
Pharmaceuticals                
 2,250,000   3/12/20  Allergan Funding SCS   3.39%   2,262,495    0.85%
Total foreign corporate notes (cost:  $17,652,263)         17,818,453    6.72%
Total corporate notes (cost:  $91,161,099)         92,332,024    34.83%

 

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

 

3

 

 

Futures Portfolio Fund, Limited Partnership

Condensed Schedule of Investments (continued)

September 30, 2019 (Unaudited)

 

       Description  Fair Value   % of Partners’
Capital (Net
Asset Value)
 
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%   900,841    0.34%
 612,593   7/18/22  Americredit Automobile Receivables Trust 2017-4   2.04%   612,628    0.23%
 388,643   1/18/22  Americredit Automobile Receivables Trust 2018-3   3.11%   390,320    0.15%
 300,000   9/19/22  Americredit Automobile Receivables Trust 2019-2   2.43%   300,915    0.11%
 772,000   7/20/21  BMW Vehicle Lease Trust 2018-1   3.26%   781,763    0.29%
 425,762   2/22/21  Capital Auto Receivables Asset Trust 2018-2   3.02%   426,872    0.16%
 400,000   7/15/22  Carmax Auto Owner Trust 2016-4   2.26%   400,741    0.15%
 700,000   4/15/26  Ford Credit Auto Owner Trust 2014-REV2   2.31%   700,755    0.26%
 304,747   9/21/20  GM Financial Automobile Leasing Trust 2018-3   2.89%   305,273    0.12%
 100,000   6/21/21  GM Financial Automobile Leasing Trust 2018-3   3.18%   100,831    0.04%
 162,022   5/17/21  GM Financial Consumer Automobile Receivables Trust 2018-2   2.55%   162,296    0.06%
 84,593   2/16/21  Mercedes- Benz Auto Lease Trust 2018-A   2.41%   84,741    0.03%
 533,575   5/16/22  Santander Drive Auto Receivables Trust 2017-1   2.58%   534,318    0.20%
 500,000   4/20/22  Santander Retail Auto Lease Trust 2019-B   2.29%   501,410    0.19%
 7,201   12/20/19  Tesla Auto Lease Trust 2018-A   2.32%   7,206    0.00%
Credit card                
 400,000   7/15/20  Barclays Dryrock Issuance Trust, Series 2017-2   2.33%   400,709    0.15%
 400,000   8/17/20  Discover Card Execution Note Trust   1.88%   399,904    0.15%
Equipment                
 231,075   10/22/20  Dell Equipment Finance Trust 2018-1   2.35%   231,228    0.09%
 500,000   5/20/22  DLL 2019-2 LLC   2.27%   500,239    0.19%
 525,000   6/15/21  GreatAmerica Leasing Receivables Funding LLC, Series 2019-1   2.97%   527,716    0.20%
 830,000   1/10/22  MMAF Equipment Finance LLC Series 2019-A   2.84%   836,102    0.32%
  Other                       
 334,112   12/20/20  Verizon Owner Trust 2017-2   1.92%   334,008    0.13%
 1,175,000   4/20/22  Verizon Owner Trust 2017-3   2.06%   1,175,172    0.45%
Student loans                
 30,705   11/25/27  SLM Student Loan Trust 2011-2   2.62%   30,800    0.01%
Total U.S. asset backed securities (cost:  $10,603,860)         10,646,788    4.02%
Total investments in securities (cost:  $184,022,271)       $185,436,402    69.96%
                        
OPEN FUTURES CONTRACTS               
Long U.S. Futures Contracts               
        Agricultural commodities       $13,155    0.00%
        Currencies        (38,970)   (0.01)%
        Energy        (554,480)   (0.21)%
        Equity indices        (469,224)   (0.18)%
        Interest rate instruments        (506,409)   (0.19)%
        Metals        702,637    0.27%
        Single stock futures        3,099    0.00%
Net unrealized gain (loss) on open long U.S. futures contracts        (850,192)   (0.32)%

 

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

 

4

 

 

Futures Portfolio Fund, Limited Partnership

Condensed Schedule of Investments (continued)

September 30, 2019 (Unaudited)

 

  Description  Fair Value   % of Partners’
Capital (Net
Asset Value)
 
Short U.S. Futures Contracts          
  Agricultural commodities   (747,046)   (0.28)%
  Currencies   1,430,230    0.53%
  Energy   663,151    0.25%
  Equity indices   251,943    0.10%
  Interest rate instruments   263,423    0.10%
  Metals   (567,400)   (0.21)%
  Single stock futures   46,730    0.02%
Net unrealized gain (loss) on open short U.S. futures contracts   1,341,031    0.51%
           
Total U.S. Futures Contracts - net unrealized gain (loss) on open U.S. futures contracts   490,839    0.19%
           
Long Foreign Futures Contracts          
  Agricultural commodities   34,455    0.01%
  Currencies   200,845    0.08%
  Energy   (76,575)   (0.03)%
  Equity indices   520,671    0.20%
  Interest rate instruments   231,167    0.09%
  Metals   5,265    0.00%
  Single stock futures   1,488    0.00%
Net unrealized gain (loss) on open long foreign futures contracts   917,316    0.35%
           
Short Foreign Futures Contracts          
  Agricultural commodities   (22,528)   (0.01)%
  Currencies   56,932    0.02%
  Energy   215,630    0.09%
  Equity indices   (43,396)   (0.02)%
  Interest rate instruments   (150,698)   (0.06)%
  Metals   51    0.00%
Net unrealized gain (loss) on open short foreign futures contracts   55,991    0.02%
           
Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts   973,307    0.37%
           
Net unrealized gain (loss) on open futures contracts  $1,464,146    0.56%
           
OPEN FORWARD CURRENCY CONTRACTS          
U.S. Forward Currency Contracts          
  Long  $(978,344)   (0.37)%
  Short   782,686    0.30%
Net unrealized gain (loss) on open U.S. forward currency contracts   (195,658)   (0.07)%
           
Foreign Forward Currency Contracts          
  Long   153,129    0.06%
  Short   270,696    0.10%
Net unrealized gain (loss) on open foreign forward currency contracts   423,825    0.16%
           
Net unrealized gain (loss) on open forward currency contracts  $228,167    0.09%

 

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

 

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.

 

5

 

 

Futures Portfolio Fund, Limited Partnership

Condensed Schedule of Investments (continued)

December 31, 2018

 

       Description  Fair Value   % of Partners’
Capital (Net
Asset Value)
 
INVESTMENTS IN SECURITIES         
U.S. Treasury Securities               
 Face Value   Maturity Date  Name   Yield1          
$10,000,000   1/17/19  U.S. Treasury   2.29%  $9,989,327    3.49%
 10,000,000   2/28/19  U.S. Treasury   1.50%   10,036,567    3.50%
 10,000,000   2/14/19  U.S. Treasury   2.34%   9,970,594    3.48%
 6,000,000   3/15/19  U.S. Treasury   1.00%   6,001,041    2.10%
 10,000,000   3/21/19  U.S. Treasury   2.35%   9,948,667    3.48%
 9,000,000   4/30/19  U.S. Treasury   1.25%   8,982,278    3.14%
 3,975,000   5/15/19  U.S. Treasury   0.88%   3,956,063    1.38%
 8,500,000   7/31/19  U.S. Treasury   1.38%   8,490,770    2.97%
Total U.S. Treasury securities (cost:  $67,200,708)         67,375,307    23.54%
                        
U.S. Commercial Paper               
 Face Value   Maturity Date  Name   Yield1          
Aerospace                
$1,500,000   1/9/19  General Dynamics Corporation   2.54%   1,499,158    0.52%
 500,000   1/16/19  Northrop Grumman Corporation   2.71%   499,440    0.17%
Automotive                
 1,300,000   1/8/19  Hyundai Capital America   2.69%   1,299,325    0.45%
 300,000   1/7/19  Nissan Motor Acceptance Corporation   2.44%   299,879    0.11%
 800,000   1/14/19  Nissan Motor Acceptance Corporation   2.45%   799,298    0.28%
 1,200,000   3/20/19  VW Credit, Inc.   3.19%   1,191,810    0.42%
Banks                       
 1,200,000   1/11/19  Cafco, LLC   2.47%   1,199,183    0.42%
 1,500,000   1/30/19  Mitsubishi UFJ Trust & Banking Corporation (U.S.A.)   2.62%   1,496,858    0.52%
 300,000   1/7/19  Nieuw Amsterdam Receivables Corporation   2.52%   299,875    0.11%
Beverages                
 1,700,000   1/11/19  Brown-Forman Corporation   2.67%   1,698,749    0.59%
Diversified financial services                
 1,400,000   2/7/19  American Express Credit Corporation   2.69%   1,396,158    0.49%
 1,500,000   1/3/19  CME Group Inc.   2.50%   1,499,793    0.52%
 1,500,000   2/4/19  DCAT, LLC   2.67%   1,496,246    0.52%
 1,000,000   1/16/19  Fairway Financial Corporation   2.54%   998,950    0.35%
 1,400,000   1/10/19  Gotham Funding Corporation   2.52%   1,399,125    0.49%
 1,500,000   3/1/19  Liberty Street Funding LLC   2.78%   1,493,240    0.52%
 1,400,000   2/15/19  Manhattan Asset Funding Company LLC   2.65%   1,395,398    0.49%
 1,300,000   2/6/19  National Rural Utilities Cooperative Finance Corp.   2.60%   1,296,646    0.45%
 1,400,000   2/19/19  Thunder Bay Funding, LLC   2.72%   1,394,855    0.49%
Energy                
 1,200,000   1/10/19  NextEra Energy Capital Holdings, Inc.   2.72%   1,199,190    0.42%
 1,500,000   1/15/19  One Gas, Inc.   2.52%   1,498,542    0.52%
 1,500,000   1/18/19  WEC Energy Group Inc.   3.02%   1,497,875    0.52%
Machinery                
 1,600,000   1/25/19  Caterpillar Financial Services Corporation   2.67%   1,597,173    0.56%
 400,000   1/2/19  Parker-Hannifin Corporation   2.67%   399,971    0.15%
REIT                
 1,500,000   1/7/19  Simon Property Group, L.P.   2.47%   1,499,388    0.52%
Total U.S. commercial paper (cost:  $30,285,187)         30,346,125    10.60%

 

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

 

6

 

 

Futures Portfolio Fund, Limited Partnership

Condensed Schedule of Investments (continued)

December 31, 2018

 

       Description  Fair Value   % of Partners’
Capital (Net
Asset Value)
 
Foreign Commercial Paper               
 Face Value   Maturity Date  Name   Yield1          
Automotive                
$1,300,000   1/8/19  Magna International Inc.   3.02%  $1,299,242    0.45%
Banks                       
 1,200,000   2/5/19  Sumitomo Mitsui Banking Corporation   2.67%   1,196,908    0.42%
Chemicals                       
 1,100,000   1/7/19  Nutrien Ltd.   2.69%   1,099,511    0.38%
Diversified financial services                
 1,200,000   1/2/19  Anglesea Funding Plc   2.56%   1,199,915    0.42%
 800,000   1/14/19  Ontario Teachers’ Finance Trust   2.53%   799,275    0.28%
Engineering                
 1,500,000   1/22/19  La Compagnie De Telephone Bell Du Canada Ou Bell Ca.   2.77%   1,497,594    0.53%
Total foreign commercial paper (cost:  $7,073,489)         7,092,445    2.48%
Total commercial paper (cost:  $37,358,676)         37,438,570    13.08%
                        
U.S. Corporate Notes               
 Face Value   Maturity Date  Name   Yield1          
Aerospace                
$5,000,000   8/16/21  United Technologies Corporation   3.35%   5,049,063    1.77%
Agriculture                
 4,850,000   5/5/21  Altria Group, Inc.   4.75%   4,992,536    1.74%
Banks                
 4,250,000   1/10/20  Citigroup Inc.   3.20%   4,287,007    1.50%
 5,000,000   10/29/20  JPMorgan Chase & Co.   2.55%   4,965,408    1.73%
 3,000,000   10/29/20  JPMorgan Chase & Co.   3.71%   3,047,949    1.06%
 4,750,000   1/15/21  Wells Fargo Bank, National Association   2.60%   4,747,762    1.66%
Beverages                
 1,954,000   2/1/21  Anheuser-Busch InBev Finance Inc.   2.65%   1,942,162    0.68%
Diversified financial services                
 2,600,000   2/15/19  Goldman Sachs Group, Inc.   7.50%   2,686,173    0.94%
 2,250,000   4/25/19  Goldman Sachs Group, Inc.   3.53%   2,268,737    0.79%
 3,000,000   2/1/19  Morgan Stanley   2.45%   3,029,155    1.06%
Energy                
 4,850,000   2/15/21  Enterprise Products Operating LLC   2.80%   4,847,904    1.69%
Food                       
 3,000,000   4/16/21  General Mills, Inc.   3.20%   3,004,190    1.05%
Healthcare                
 3,000,000   6/1/21  CVS Health Corporation   2.13%   2,907,453    1.02%
 5,000,000   9/17/21  Halfmoon Parent, Inc.   3.40%   5,037,511    1.77%
Media                       
 3,000,000   9/20/19  Discovery Communications, LLC   3.50%   3,000,982    1.05%
Pharmaceuticals                
 4,200,000   5/11/20  Amgen Inc.   3.06%   4,212,691    1.47%
 3,500,000   6/25/21  Bayer US Finance II LLC   3.45%   3,455,729    1.21%
Software                
 3,500,000   10/8/19  Oracle Corporation   2.25%   3,501,671    1.22%
Telecommunications                
 3,000,000   2/22/19  Apple Inc.   3.50%   3,014,395    1.05%
 2,500,000   9/20/19  Cisco Systems, Inc.   3.13%   2,503,085    0.87%
Total U.S. corporate notes (cost:  $72,986,920)         72,501,563    25.33%

 

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

 

7

 

 

Futures Portfolio Fund, Limited Partnership

Condensed Schedule of Investments (continued)

December 31, 2018

 

       Description  Fair Value   % of Partners’
Capital (Net
Asset Value)
 
Foreign Corporate Notes               
 Face Value   Maturity Date  Name   Yield1          
Banks                
$4,000,000   1/18/19  ABN AMRO Bank N.V.   3.08%  $4,026,145    1.41%
 5,500,000   3/2/20  Danske Bank A/S   2.20%   5,421,142    1.89%
Energy                
 5,500,000   5/3/19  BP Capital Markets P.L.C.   1.68%   5,488,176    1.92%
 1,000,000   9/12/19  Shell International Finance B.V.   1.38%   993,303    0.35%
 2,500,000   5/11/20  Shell International Finance B.V.   2.13%   2,481,653    0.87%
Insurance                
 4,000,000   9/20/21  AIA Group Limited   3.31%   3,985,136    1.39%
Manufacturing                
 3,500,000   11/15/20  GE Capital International Funding Company   2.34%   3,388,044    1.18%
Pharmaceuticals                
 2,250,000   3/12/20  Allergan Funding SCS   4.03%   2,261,856    0.79%
Total foreign corporate notes (cost:  $28,176,810)         28,045,455    9.80%
Total corporate notes (cost:  $101,163,730)         100,547,018    35.13%
                        
U.S. Asset Backed Securities               
 Face Value   Maturity Date  Name   Yield1          
Automotive                
$535,461   1/8/21  AmeriCredit Automobile Receivables Trust 2015-2   2.40%   535,220    0.19%
 675,000   1/18/22  AmeriCredit Automobile Receivables Trust 2018-3   3.11%   676,258    0.24%
 745,000   2/22/21  Capital Auto Receivables Asset Trust 2018-2   3.02%   745,278    0.26%
 141,983   9/15/20  CarMax Auto Owner Trust 2017-3   1.64%   141,716    0.05%
 575,000   6/15/21  Drive Auto Receivables Trust 2018-2   2.88%   575,081    0.20%
 500,000   11/15/21  Drive Auto Receivables Trust 2018-3   3.01%   500,019    0.17%
 700,000   4/15/26  Ford Credit Auto Owner Trust 2014-REV2   2.31%   695,819    0.24%
 89,815   1/21/20  GM Financial Automobile Leasing Trust 2017-2   1.72%   89,650    0.03%
 406,675   4/20/20  GM Financial Automobile Leasing Trust 2018-1   2.39%   405,845    0.14%
 800,000   9/21/20  GM Financial Automobile Leasing Trust 2018-3   2.89%   799,834    0.28%
 450,153   5/17/21  GM Financial Consumer Auto Receivables Trust 2018-2   2.55%   449,389    0.16%
 36,011   2/18/20  Hyundai Auto Receivables Trust 2017-A   1.48%   36,010    0.01%
 470,747   4/15/20  Mercedes- Benz Auto Lease Trust 2018-A   2.20%   470,176    0.16%
 43,358   8/15/19  Mercedes-Benz Auto Lease Trust 2017-A   2.66%   43,407    0.02%
 163,259   9/16/19  Nissan Auto Lease Trust 2017-A   1.64%   163,162    0.06%
 96,418   2/16/21  Santander Drive Auto Receivables Trust 2016-2   2.08%   96,438    0.03%
 208,158   3/20/20  Santander Retail Auto Lease Trust 2017-A   2.02%   207,518    0.07%
 128,432   12/20/19  Tesla Auto Lease Trust 2018-A   2.32%   128,170    0.04%
Credit cards                
 325,000   4/15/19  Capital One Multi-Asset Execution Trust   2.91%   325,686    0.11%
 175,000   5/15/19  Chase Issuance Trust   2.87%   175,352    0.06%
 600,000   8/15/19  Chase Issuance Trust   1.58%   595,537    0.21%
 600,000   1/15/19  Discover Card Execution Note Trust   1.64%   599,987    0.21%
Equipment                
 171,137   4/15/21  CNH Equipment Trust 2015-A   1.85%   170,566    0.06%
 135,325   11/16/20  CNH Equipment Trust 2017-B   1.59%   135,008    0.05%
 263,997   2/24/20  Dell Equipment Finance Trust 2017-2   1.97%   263,234    0.09%
 500,000   10/22/20  Dell Equipment Finance Trust 2018-1   2.80%   500,952    0.17%
 475,000   12/20/20  Verizon Owner Trust 2017-2   1.92%   470,419    0.16%
 1,175,000   4/20/22  Verizon Owner Trust 2017-3   2.06%   1,161,674    0.41%

 

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

 

8

 

 

Futures Portfolio Fund, Limited Partnership

Condensed Schedule of Investments (continued)

December 31, 2018

 

      Description  Fair Value   % of Partners’
Capital (Net
Asset Value)
 
U.S. Asset Backed Securities (continued)            
Face Value  Maturity Date  Name   Yield1          
Student loans            
$ 213,293  3/25/67  Navient Student Loan Trust 2018-1   2.70%  $213,387    0.07%
              278,555  3/25/67  Navient Student Loan Trust 2018-2   2.75%   278,705    0.10%
                44,538  11/25/27  SLM Student Loan Trust 2011-2   3.11%   44,741    0.02%
Total U.S. asset backed securities (cost:  $11,695,404)     11,694,238    4.07%
Total investments in securities (cost:  $217,418,518)    $217,055,133   75.82%
                      
OPEN FUTURES CONTRACTS            
Long U.S. Futures Contracts            
      Agricultural commodities       $66,814    0.02%
      Currencies        182,729    0.06%
      Energy        (1,434,763)   (0.50)%
      Equity indices        (188,683)   (0.07)%
      Interest rate instruments        698,695    0.24%
      Metals2        (6,940,650)   (2.42)%
      Single stock futures        (36,683)   (0.01)%
Net unrealized gain (loss) on open long U.S. futures contracts     (7,652,541)   (2.68)%
                      
Short U.S. Futures Contracts            
      Agricultural commodities        865,115    0.30%
      Currencies        (413,137)   (0.14)%
      Energy        1,978,283    0.69%
      Equity indices        1,261,593    0.44%
      Interest rate instruments        (1,223,198)   (0.43)%
      Metals2        6,492,571    2.27%
      Single stock futures        51,931    0.02%
Net unrealized gain (loss) on open short U.S. futures contracts     9,013,158    3.15%
                      
Total U.S. Futures Contracts - net unrealized gain (loss) on open U.S. futures contracts     1,360,617    0.47%
                      
Long Foreign Futures Contracts            
      Agricultural commodities        10,178    0.00%
      Currencies        (78,283)   (0.03)%
      Energy        19,962    0.01%
      Equity indices        (1,520,967)   (0.53)%
      Interest rate instruments2        2,938,406    1.03%
      Metals        2,710    0.00%
Net unrealized gain (loss) on open long foreign futures contracts     1,372,006    0.48%

 

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

 

9

 

 

Futures Portfolio Fund, Limited Partnership

Condensed Schedule of Investments (continued)

December 31, 2018

 

  Description  Fair Value   % of Partners’
Capital (Net
Asset Value)
 
OPEN FUTURES CONTRACTS (continued)        
Short Foreign Futures Contracts          
  Agricultural commodities  $(66,257)   (0.02)%
  Currencies   95,922    0.03%
  Equity indices   79,455    0.03%
  Interest rate instruments   (698,453)   (0.24)%
  Metals   4,822    0.00%
Net unrealized gain (loss) on open short foreign futures contracts   (584,511)   (0.20)%
           
Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts   787,495    0.28%
           
Net unrealized gain (loss) on open futures contracts  $2,148,112    0.75%
           
OPEN FORWARD CURRENCY CONTRACTS          
U.S. Forward Currency Contracts          
  Long  $519,445    0.18%
  Short   (549,732)   (0.19)%
Net unrealized gain (loss) on open U.S. forward currency contracts   (30,287)   (0.01)%
           
Foreign Forward Currency Contracts          
  Long   (197,500)   (0.07)%
  Short   382,845    0.13%
Net unrealized gain (loss) on open foreign forward currency contracts   185,345    0.06%
           
Net unrealized gain (loss) on open forward currency contracts  $155,058    0.05%

 

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.

 

10

 

 

Futures Portfolio Fund, Limited Partnership

Statements of Operations

For the Three and Nine Months Ended September 30, 2019 and 2018

(Unaudited)

 

 

 

Three Months Ended
September 30,

 

 

Nine Months Ended
September 30,

 

 

 

2019

 

 

2018

 

 

2019

 

 

2018

 

Realized and change in unrealized gain (loss) on investments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net realized gain (loss) on:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Futures and forward contracts

 

$

  18,591,663

 

 

$

   1,993,988

 

 

$

   26,051,728

 

 

$

   7,433,694

 

Investments in SMFSF

 

 

(118,449

)

 

 

(108,152

)

 

 

(600,755

)

 

 

50,355

 

Investments in securities

 

 

75,948

 

 

 

(197,105

)

 

 

(225,739

)

 

 

12,229

 

Net change in unrealized gain (loss) on:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Futures and forward contracts

 

 

(5,966,945

)

 

 

2,665,912

 

 

 

(727,294

)

 

 

(642,185

)

Investments in SMFSF

 

 

1,085,884

 

 

 

678,607

 

 

 

2,160,249

 

 

 

(1,276,876

)

Investments in securities

 

 

52,659

 

 

 

154,429

 

 

 

1,662,079

 

 

 

(369,520

)

Exchange membership

 

 

(29,250

)

 

 

(44,500

)

 

 

(62,750

)

 

 

(81,500

)

Brokerage commissions and trading expenses

 

 

(758,792

)

 

 

(1,044,027

)

 

 

(2,350,535

)

 

 

(3,268,371

)

Net realized and changed in unrealized gain (loss) on investments

 

 

12,932,718

 

 

 

4,099,152

 

 

 

 25,906,983

 

 

 

1,857,828

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Income

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest income (loss) 

 

 

1,436,021

 

 

 

1,546,031

 

 

 

4,536,471

 

 

 

4,232,665

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trading Advisor management fee

 

 

1,094,171

 

 

 

1,211,614

 

 

 

3,239,184

 

 

 

3,806,949

 

Trading Advisor incentive fee

 

 

538,775

 

 

 

325,613

 

 

 

2,995,000

 

 

 

458,847

 

Cash manager fees

 

 

49,438

 

 

 

61,891

 

 

 

153,110

 

 

 

182,527

 

General Partner management and performance fees

 

 

1,027,479

 

 

 

1,187,700

 

 

 

3,076,111

 

 

 

3,737,716

 

Selling agent fees – General Partner

 

 

923,908

 

 

 

1,063,991

 

 

 

2,746,080

 

 

 

3,360,170

 

Broker dealer servicing fees – General Partner

 

 

36,682

 

 

 

44,330

 

 

 

112,302

 

 

 

139,856

 

General Partner 1% allocation 

 

 

104,951

 

 

 

15,187

 

 

 

175,181

 

 

 

(63,230

)

Administrative expenses – General Partner

 

 

203,210

 

 

 

231,314

 

 

 

603,569

 

 

 

727,416

 

Total expenses

 

 

3,978,614

 

 

 

4,141,639

 

 

 

13,100,537

 

 

 

12,350,251

 

Net investment income (loss)

 

 

(2,542,593

)

 

 

(2,595,608

)

 

 

(8,564,066

)

 

 

(8,117,586

)

Net income (loss)

 

$

  10,390,125

 

 

$

    1,503,544

 

 

$

   17,342,917

 

 

$

   (6,259,760

)

 

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

 

11

 

 

Futures Portfolio Fund, Limited Partnership

Statements of Operations (continued)

For the Three and Nine Months Ended September 30, 2019 and 2018 (unaudited)

 

 

 

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

 

 

 

 

Three Months Ended September 30, 2018

 

 

 

Class A

 

 

Class A2

 

 

Class A3

 

 

Class B

 

 

Class I

 

 

Class R

 

Increase (decrease) in net asset value per unit

 

$

  13.17

 

 

 

 

 

 

 

 

$

   47.72

 

 

$

   10.37

 

 

$

   8.42

 

Net income (loss) per unit†

 

$

  13.00

 

 

 

 

 

 

 

 

$

   47.74

 

 

$

   10.37

 

 

$

   8.46

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average number of units outstanding

 

 

52,086.2201

 

 

 

 

 

 

 

 

 

14,217.0063

 

 

 

3,466.2779

 

 

 

13,223.7049

 

 

 

 

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

 

 

 

 

Nine Months Ended September 30, 2018

 

 

 

Class A

 

 

Class A2

 

 

Class A3

 

 

Class B

 

 

Class I

 

 

Class R

 

Increase (decrease) in net asset value per unit

 

$

   (96.11

)

 

 

 

 

 

 

 

$

   (62.72

)

 

$

   (2.64

)

 

$

   (8.86

)

Net income (loss) per unit†

 

$

   (98.94

)

 

 

 

 

 

 

 

$

   (52.51

)

 

$

   (2.65

)

 

$

   (6.03

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average number of units outstanding

 

 

54,483.8423

 

 

 

 

 

 

 

 

 

14,898.0888

 

 

 

3,466.2779

 

 

 

12,857.6758

 

 

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

 

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

 

12

 

 

Futures Portfolio Fund, Limited Partnership

Statements of Cash Flows

For the Nine Months Ended September 30, 2019 and 2018

(Unaudited)

 

 

 

2019

 

 

2018

 

Cash flows from operating activities

 

 

 

 

 

 

 

 

Net income (loss)

 

$

    17,342,917

 

 

$

   (6,259,760

)

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

 

 

610,857

 

 

 

1,134,685

 

Net realized and change in unrealized (gain) loss on SMFSF and securities

 

 

(2,995,834

)

 

 

1,583,812

 

Purchases of securities

 

 

(422,890,452

)

 

 

(433,829,676

)

Proceeds from disposition of SMFSF and securities

 

 

461,945,527

 

 

 

449,354,416

 

Changes in

 

 

 

 

 

 

 

 

Exchange membership

 

 

62,750

 

 

 

81,500

 

Trading Advisor management fee payable

 

 

(42,807

)

 

 

(77,172

)

Trading Advisor incentive fee payable

 

 

46,229

 

 

 

(973,162

)

Commissions and other trading fees payable on open contracts

 

 

10,017

 

 

 

(7,818

)

Cash Manager fees payable

 

 

(10,711

)

 

 

(18,756

)

General Partner management and performance fees payable

 

 

(28,664

)

 

 

(70,272

)

General Partner 1% allocation receivable/payable

 

 

340,713

 

 

 

(91,986

)

Selling agent fees payable – General Partner

 

 

(24,013

)

 

 

(68,250

)

Broker dealer servicing fees payable – General Partner

 

 

(1,818

)

 

 

(2,732

)

Administrative fee payable – General Partner

 

 

(2,791

)

 

 

(10,803

)

Net cash provided by (used in) operating activities

 

 

54,361,920

 

 

 

10,744,026

 

 

 

 

 

 

 

 

 

 

Cash flows from financing activities

 

 

 

 

 

 

 

 

Subscriptions

 

 

9,639,833

 

 

 

4,978,674

 

Subscriptions received in advance

 

 

1,311,600

 

 

 

537,959

 

Redemptions

 

 

(50,927,296

)

 

 

(54,959,547

)

Net cash provided by (used in) financing activities

 

 

(39,975,863

)

 

 

(49,442,914

)

 

 

 

 

 

 

 

 

 

Net increase (decrease) in cash and cash equivalents

 

 

14,386,057

 

 

 

(38,698,888

)

Cash and cash equivalents, beginning of period

 

 

46,185,781

 

 

 

90,141,061

 

Cash and cash equivalents, end of period

 

$

60,571,838

 

 

$

     51,442,173

 

 

 

 

 

 

 

 

 

 

End of period cash and cash equivalents consists of

 

 

 

 

 

 

 

 

Cash in broker trading accounts

 

$

    40,909,461

 

 

$

    38,191,061

 

Cash and cash equivalents not in broker trading accounts

 

 

19,662,377

 

 

 

13,251,112

 

Total end of period cash and cash equivalents

 

$

    60,571,838

 

 

$

    51,442,173

 

 

 

 

 

 

 

 

 

 

Supplemental disclosure of cash flow information

 

 

 

 

 

 

 

 

Prior period redemptions paid

 

$

     5,057,655

 

 

$

    18,217,216

 

Prior period subscriptions received in advance

 

$

        224,523

 

 

$

       2,687,191

 

 

 

 

 

 

 

 

 

 

Supplemental schedule of non-cash financing activities

 

 

 

 

 

 

 

 

Redemptions payable

 

$

     2,537,859

 

 

$

     14,901,008

 

 

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

 

13

 

 

Futures Portfolio Fund, Limited Partnership

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

For the Nine Months Ended September 30, 2019 and 2018

(Unaudited)

 

 

 

Class A

 

 

Class A2

 

 

Class A3

 

 

Class B

 

 

Class I

 

 

Class R

 

 

Total

 

2019

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance at December 31, 2018

 

$

  189,019,997

 

 

$

     146,018

 

 

$

 

 

$

79,984,663

 

 

$

   3,440,608

 

 

$

13,667,838

 

 

$

   286,259,124

 

Net income (loss)

 

 

2,043,816

 

 

 

6,575

 

 

 

 

 

 

1,155,708

 

 

 

65,428

 

 

 

237,065

 

 

 

3,508,592

 

Subscriptions

 

 

2,091,523

 

 

 

87,300

 

 

 

 

 

 

70,000

 

 

 

 

 

 

210,000

 

 

 

2,458,823

 

Redemptions

 

 

(12,881,564

)

 

 

 

 

 

 

 

 

(5,539,868

)

 

 

(257,330

)

 

 

(692,418

)

 

 

(19,371,180

)

Transfers

 

 

(169,415

)

 

 

 

 

 

 

 

 

169,415

 

 

 

 

 

 

 

 

 

 

Balance at March 31, 2019

 

 

180,104,357

 

 

 

239,893

 

 

 

 

 

 

75,839,918

 

 

 

3,248,706

 

 

 

13,422,485

 

 

 

272,855,359

 

Net income (loss)

 

 

2,036,793

 

 

 

10,669

 

 

 

 

 

 

1,166,729

 

 

 

4,936

 

 

 

225,073

 

 

 

3,444,200

 

Subscriptions

 

 

5,709,533

 

 

 

196,000

 

 

 

 

 

 

 

 

 

250,000

 

 

 

360,000

 

 

 

6,515,533

 

Redemptions

 

 

(10,724,938

)

 

 

 

 

 

 

 

 

(5,762,795

)

 

 

(1,680,312

)

 

 

(201,037

)

 

 

(18,369,082

)

Transfers

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance at June 30, 2019

 

 

177,125,745

 

 

 

446,562

 

 

 

 

 

 

71,243,852

 

 

 

1,823,330

 

 

 

13,806,521

 

 

 

264,446,010

 

Net income (loss)

 

 

6,637,776

 

 

 

18,473

 

 

 

1,533

 

 

 

3,064,683

 

 

 

80,636

 

 

 

587,025

 

 

 

10,390,125

 

Subscriptions

 

 

400,000

 

 

 

98,000

 

 

 

38,000

 

 

 

304,000

 

 

 

 

 

 

50,000

 

 

 

890,000

 

Redemptions

 

 

(5,363,506

)

 

 

 

 

 

 

 

 

(5,136,693

)

 

 

 

 

 

(167,039

)

 

 

(10,667,237

)

Transfers

 

 

(204,434

)

 

 

 

 

 

 

 

 

204,434

 

 

 

 

 

 

 

 

 

 

Balance at September 30, 2019

 

$

  178,595,581

 

 

$

     563,035

 

 

$

39,533

 

 

$

69,680,276

 

 

$

1,903,966

 

 

$

14,276,507

 

 

$

265,058,898

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2018

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance at December 31, 2017

 

$

240,860,323

 

 

$

 

 

$

 

 

$

100,657,081

 

 

$

  3,547,299

 

 

$

    12,470,722

 

 

$

357,535,425

 

Net income (loss)

 

 

(7,946,101

)

 

 

 

 

 

 

 

 

(2,661,301

)

 

 

(98,643

)

 

 

(368,589

)

 

 

(11,074,634

)

Subscriptions

 

 

631,000

 

 

 

 

 

 

 

 

 

803,000

 

 

 

 

 

 

1,060,000

 

 

 

2,494,000

 

Redemptions

 

 

(10,348,464

)

 

 

 

 

 

 

 

 

(6,445,115

)

 

 

 

 

 

(135,479

)

 

 

(16,929,058

)

Transfers

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance at March 31, 2018

 

 

223,196,758

 

 

 

 

 

 

 

 

 

92,353,665

 

 

 

3,448,656

 

 

 

13,026,654

 

 

 

32,025,733

 

Net income (loss)

 

 

1,878,481

 

 

 

 

 

 

 

 

 

1,200,166

 

 

 

53,530

 

 

 

179,155

 

 

 

3,311,332

 

Subscriptions

 

 

563,808

 

 

 

 

 

 

 

 

 

724,300

 

 

 

 

 

 

550,000

 

 

 

1,838,108

 

Redemptions

 

 

(8,509,809

)

 

 

 

 

 

 

 

 

(6,350,110

)

 

 

 

 

 

(155,561

)

 

 

(15,015,479

)

Transfers

 

 

(1,560,796

)

 

 

 

 

 

 

 

 

1,560,796

 

 

 

 

 

 

 

 

 

 

Balance at June 30, 2018

 

 

215,568,443

 

 

 

 

 

 

 

 

 

89,488,818

 

 

 

3,502,186

 

 

 

13,600,247

 

 

 

322,159,694

 

Net income (loss)

 

 

676,964

 

 

 

 

 

 

 

 

 

678,782

 

 

 

35,942

 

 

 

111,854

 

 

 

1,503,542

 

Subscriptions

 

 

721,566

 

 

 

 

 

 

 

 

 

50,000

 

 

 

 

 

 

162,000

 

 

 

933,566

 

Redemptions

 

 

(9,711,437

)

 

 

 

 

 

 

 

 

(4,691,744

)

 

 

 

 

 

(271,042

)

 

 

(14,674,223

)

Transfers

 

 

(690,183

)

 

 

 

 

 

 

 

 

690,183

 

 

 

 

 

 

 

 

 

 

Balance at September 30, 2018

 

$

206,565,353

 

 

$

 

 

$

 

 

$

86,216,039

 

 

$

3,538,128

 

 

$

13,603,059

 

 

$

309,922,579

 

 

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, 2019 and 2018

(Unaudited)

 

Units

 

 

 

Class A

 

 

Class A2

 

 

Class A3

 

 

Class B

 

 

Class I

 

 

Class R

 

2019

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance at December 31, 2018

 

 

48,319.8508

 

 

 

146.5000

 

 

 

 

 

 

13,290.4576

 

 

 

3,466.2779

 

 

 

13,683.8897

 

Subscriptions

 

 

551.5426

 

 

 

90.5174

 

 

 

 

 

 

12.0124

 

 

 

 

 

 

217.0747

 

Redemptions

 

 

(3,329.8411

)

 

 

 

 

 

 

 

 

(934.0369

)

 

 

(254.4114

)

 

 

(687.1682

)

Transfers

 

 

(44.7181

)

 

 

 

 

 

 

 

 

28.9854

 

 

 

 

 

 

 

Balance at March 31, 2019

 

 

45,496.8342

 

 

 

237.0174

 

 

 

 

 

 

12,397.4185

 

 

 

3,211.8665

 

 

 

13,213.7962

 

Subscriptions

 

 

1,426.5866

 

 

 

197.4320

 

 

 

 

 

 

 

 

 

247.1650

 

 

 

350.1878

 

Redemptions

 

 

(2,711.2592

)

 

 

 

 

 

 

 

 

(941.1029

)

 

 

(1,689.9233

)

 

 

(200.2495

)

Transfers

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance at June 30, 2019

 

 

44,212.1616

 

 

 

434.4494

 

 

 

 

 

 

11,456.3155

 

 

 

1,769.1082

 

 

 

13,363.7345

 

Subscriptions

 

 

99.8436

 

 

 

91.8732

 

 

 

38.0000

 

 

 

46.5450

 

 

 

 

 

 

45.1612

 

Redemptions

 

 

(1,279.6242

)

 

 

 

 

 

 

 

 

(778.8515

)

 

 

 

 

 

(150.8724

)

Transfers

 

 

(49.2183

)

 

 

 

 

 

 

 

 

31.6233

 

 

 

 

 

 

 

Balance at September 30, 2019

 

 

42,983.1627

 

 

 

526.3226

 

 

 

38.0000

 

 

 

10,755.6323

 

 

 

1,769.1082

 

 

 

13,258.0233

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2018

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance at December 31, 2017

 

 

58,081.8421

 

 

 

 

 

 

 

 

 

16,061.6377

 

 

 

3,466.2779

 

 

 

12,013.6394

 

Subscriptions

 

 

152.6465

 

 

 

 

 

 

 

 

 

130.1735

 

 

 

 

 

 

1,055.0794

 

Redemptions

 

 

(2,486.2985

)

 

 

 

 

 

 

 

 

(995.8273

)

 

 

 

 

 

(134.8093

)

Transfers

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance at March 31, 2018

 

 

55,748.1901

 

 

 

 

 

 

 

 

 

15,195.9839

 

 

 

3,466.2779

 

 

 

12,933.9095

 

Subscriptions

 

 

140.3344

 

 

 

 

 

 

 

 

 

118.6279

 

 

 

 

 

 

542.0899

 

Redemptions

 

 

(2,110.1680

)

 

 

 

 

 

 

 

 

(1,033.9500

)

 

 

 

 

 

(152.4348

)

Transfers

 

 

(388.4804

)

 

 

 

 

 

 

 

 

255.0193

 

 

 

 

 

 

 

Balance at June 30, 2018

 

 

53,389.8761

 

 

 

 

 

 

 

 

 

14,535.6811

 

 

 

3,466.2779

 

 

 

13,323.5646

 

Subscriptions

 

 

178.4499

 

 

 

 

 

 

 

 

 

8.1215

 

 

 

 

 

 

160.5552

 

Redemptions

 

 

(2,402.6194

)

 

 

 

 

 

 

 

 

(759.9275

)

 

 

 

 

 

(266.8424

)

Transfers

 

 

(171.9332

)

 

 

 

 

 

 

 

 

112.5066

 

 

 

 

 

 

 

Balance at September 30, 2018

 

 

50,993.7734

 

 

 

 

 

 

 

 

 

13,896.3817

 

 

 

3,466.2779

 

 

 

13,217.2774

 

 

Net Asset Value per Unit

 

 

 

Class A

 

 

Class A2

 

 

Class A3

 

 

Class B

 

 

Class I

 

 

Class R

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

September 30, 2019

 

$

  4,155.01

 

 

$

  1,069.75

 

 

$

  1,040.35

 

 

$

  6,478.49

 

 

$

  1,076.23

 

 

$

  1,076.82

 

December 31, 2018

 

 

3,911.85

 

 

 

996.71

 

 

 

 

 

 

6,018.20

 

 

 

992.59

 

 

 

998.83

 

September 30, 2018

 

 

4,050.80

 

 

 

 

 

 

 

 

 

6,204.21

 

 

 

1,020.73

 

 

 

1,029.19

 

December 31, 2017

 

 

4,146.91

 

 

 

 

 

 

 

 

 

6,266.93

 

 

 

1,023.37

 

 

 

1,038.05

 

 

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

 

15

 

 

Futures Portfolio Fund, Limited Partnership

 

Notes to Financial Statements

 

1.

Organization and Summary of Significant Accounting Policies

 

Description of the Fund

 

Futures Portfolio Fund, Limited Partnership (“Fund”) is a Maryland limited partnership, which operates as a commodity investment pool that commenced trading operations on January 2, 1990.  The Fund issues units of limited partner interests (“Units”) in six classes, Class A, A2, A3, B, I and R, which represent units of fractional undivided beneficial interest in and ownership of the Fund.  The Fund will automatically terminate on December 31, 2025, unless terminated earlier as provided in the Third Amended and Restated Limited Partnership Agreement (“Partnership Agreement”).

 

The Fund uses commodity trading advisors to engage in the speculative trading of futures contracts, forward currency contracts and other financial instruments traded in the United States (“U.S.”) and internationally.

 

The Fund is a registrant with the U.S. Securities and Exchange Commission (“SEC”) pursuant to the U.S. Securities Exchange Act of 1934, as amended (“1934 Act”).  As a registrant, the Fund is subject to the regulations of the SEC and the disclosure requirements of the 1934 Act.  As a commodity pool, the Fund is subject to the regulations of the U.S. Commodity Futures Trading Commission (“CFTC”), an agency of the U.S. Government, which regulates most aspects of the commodity futures industry; rules of the National Futures Association (“NFA”), an industry self-regulatory organization; rules of Financial Industry Regulatory Authority (“FINRA”), an industry self-regulatory organization; and the requirements of commodity exchanges where the Fund executes transactions.  Additionally, the Fund is subject to the requirements of the futures brokers and interbank market makers through which the Fund trades.

 

Steben & Company LLC (“General Partner”), is the general partner of the Fund and a Maryland corporation registered with the CFTC as a commodity pool operator and a commodities introducing broker, and is also registered with the SEC as a registered investment advisor and a broker dealer.  The General Partner is a member of the NFA and FINRA. The General Partner manages all aspects of the Fund’s business and serves as one of the Fund’s selling agents.  On October 31, 2019, Octavus Group, LLC acquired all of the stock of the General Partner.  Octavus Group is the parent company of LoCorr Fund Management LLC, which serves as the investment advisor to multiple alternative investment mutual funds.  LoCorr Fund Management LLC operates alternative investment funds with a low correlation to traditional asset classes.

 

The six classes of Units in the Fund differ only in the fees applicable to each class, as described below: 

 

Class A Units are subject to a 2% per annum selling agent fee. 

 

Class A2 Units may pay an up-front sales commission of up to 3% of the offering price and a 0.6% per annum selling agent fee. 

 

Class A3 Units may pay an up-front sales commission of up to 2% of the offering price and a 0.75% per annum selling agent fee. 

 

Class B Units are subject to a 0.2% per annum broker dealer servicing fee. 

 

Class I Units are subject to higher minimum investments requirements and lower General Partner management fees (0.75% per annum instead of 1.50% per annum) as well as a General Partner performance fee (7.5% of new profits, described more fully in Footnote 4). 

 

Class R Units do not pay selling compensation or servicing fees to selling agents, and are generally intended for clients of registered investment advisors.

 

At September 30, 2019, the Fund owned approximately $23 million of Class I shares of the Steben Managed Futures Strategy Fund (“SMFSF”), which represents approximately 33% of that fund.  SMFSF is a non-diversified series of shares of beneficial interest of Steben Alternative Investment Funds (the “Trust”), a statutory trust organized under the laws of the State of Delaware, and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end investment company.  SMFSF issues four classes of shares:  Class A, C, I and N.  The General Partner serves as the investment manager of SMFSF.  SMFSF has a similar investment strategy to the Fund, using commodity trading advisors to engage in the speculative trading of futures contracts, forward currency contracts and other financial instruments.  

 

16

 

 

Significant Accounting Policies

 

Accounting Principles

The Fund’s financial statements are prepared in conformity with U.S. generally accepted accounting principles (“GAAP”).  Under GAAP, the Fund is an investment company and follows accounting and reporting guidance under the Financial Accounting Standards Board (FASB) Accounting Standard Codification (ASC) Topic 946, Financial Services – Investment Companies.

 

Use of Estimates 

Preparing financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes.  Actual results could differ from those estimates.

 

Revenue Recognition 

Futures, forward currency contracts, investments in securities, certificates of deposit, and the exchange membership are recorded on a trade date basis, and gains or losses are realized when contracts/positions are liquidated.  Realized gains and losses on investments in securities and certificates of deposit are determined on a specific identification basis and are included in net realized gain (loss) in the statements of operations.  Unrealized gains and losses on open contracts (the difference between contract trade price and fair value) are reported in the statements of financial condition as net unrealized gain or loss, as there exists a right of offset of any unrealized gains or losses.  The difference between cost and the fair value of open investments in securities and certificates of deposit is reflected as unrealized gain or loss on investments in securities and certificates of deposit.  Any change in net unrealized gain or loss from the preceding period is reported in the statements of operations.  Interest income earned on investments in securities, certificates of deposit and other cash and cash equivalent balances is recorded on an accrual basis. Market discounts and premiums on fixed-income securities are amortized daily over the expected life of the security using the effective yield method.

 

Fair Value of Financial Instruments 

Financial instruments are recorded at fair value, the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants.  Assets and liabilities recorded at fair value are classified within a fair value hierarchy based upon the level of judgment associated with the inputs used to measure their value.  This fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3).  The three levels of the fair value hierarchy are described below:

 

Level 1 –   

Fair value is based on unadjusted quoted prices for identical instruments in active markets. Financial instruments utilizing Level 1 inputs include futures contracts, U.S. Treasury securities and mutual funds.

 

Level 2 –   

Fair value is based on quoted prices for similar instruments in active markets and inputs other than quoted prices that are observable for the financial instrument, such as interest rates and yield curves that are observable at commonly quoted intervals using a market approach. Financial instruments utilizing Level 2 inputs include forward currency contracts, commercial paper, corporate notes, asset backed securities and the exchange membership.

 

Level 3 –   

Fair value is based on valuation techniques in which one or more significant inputs are unobservable. The Fund has no financial instruments utilizing Level 3 inputs.

 

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy.  In such cases, an instrument’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement.  The Fund’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. 

 

The Fund assesses the classification of the instruments at each measurement date, and any transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Fund’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy.  For the period ended September 30, 2019 and year ended December 31, 2018, there were no such transfers between levels.

 

A description of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis follows.

 

17

 

 

U.S. Treasury securities are recorded at fair value based on bid and ask quotes for identical instruments. Commercial paper, certificates of deposit, corporate notes, asset backed securities and the exchange membership are recorded at fair value based on bid and ask quotes for similar, but not identical, instruments.  Accordingly, U.S. Treasury securities are classified within Level 1, and commercial paper, certificates of deposit, corporate notes, asset backed securities and exchange memberships are classified within Level 2.

 

The investment in SMFSF (a mutual fund), a money market fund and futures contracts are valued using quoted market prices for identical assets in active markets, and are classified within Level 1.  The money market fund is included in cash and cash equivalents in the statements of financial condition.  The fair values of forward currency contracts are based upon third-party quoted dealer values on the interbank market and are classified within Level 2.

 

Cash and Cash Equivalents              

Cash and cash equivalents may include cash, funds held in money market accounts and short-term investments with maturities of three months or less at the date of acquisition and that are not held for sale in the normal course of business. The Fund maintains deposits with financial institutions in amounts that are in excess of federally insured limits; however, the Fund does not believe it is exposed to any significant credit risk.

 

Exchange Membership 

The Fund incurs reduced fees for transactions on the Chicago Mercantile Exchange (CME) due to a membership interest in the CME.  The membership is accounted at its fair value and changes in fair value are reported in net change in unrealized gain (loss) in exchange membership on the statement of operations.

 

Brokerage Commissions and Trading Expenses 

Brokerage commissions and trading expenses include brokerage and other trading fees, and are charged to expense when contracts are opened and closed.

 

Redemptions Payable 

Redemptions payable represent redemptions that meet the requirements of the Fund and have been approved by the General Partner prior to period-end.  These redemptions have been recorded using the period-end net asset value per Unit.

 

Income Taxes 

The Fund prepares calendar year U.S. and applicable state and local tax returns.  The Fund is not subject to federal income taxes as each partner is individually liable for his or her allocable share of the Fund’s income, expenses and trading gains or losses.  The Fund evaluates the tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are more-likely-than-not to be sustained when examined by the applicable tax authority.  Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense and asset or liability in the current year.  Management has determined there are no material uncertain income tax positions through September 30, 2019.  With few exceptions, the Fund is no longer subject to U.S. federal, or state and local income tax examinations by tax authorities for years before 2016.

 

Foreign Currency Transactions 

The Fund has certain investments denominated in foreign currencies.  The purchase and sale of investments, and income and expenses are translated at the rates of exchange prevailing on the respective dates of such transactions.  The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of investments held.  Such fluctuations are included with the net realized and change in unrealized gain or loss on such investments in the statements of operations.

 

Reclassification 

Certain amounts reported in the 2018 financial statements may have been reclassified to conform to the 2019 presentation without affecting previously reported partners’ capital (net asset value) or net income (loss).

 

New Accounting Pronouncements 

Fair Value Disclosures 

In August 2018, the FASB issued guidance updating the disclosure requirements for fair value measurement and the fair value hierarchy.  Primarily, the guidance added or modified certain disclosures regarding Level 3 fair value measurements and removed certain disclosures involving transfers between Level 1 and Level 2 of the fair value hierarchy.  Historically, the Fund has not had any Level 3 fair value measurements and has not had any transfers between Level 1 and Level 2 on the fair value hierarchy.  The update is effective beginning after December 15, 2019, although early adoption is permitted.  The Fund does not believe that adoption of this guidance will have a material effect on the financial statements.

 

18

 

2.

Fair Value Disclosures

 

The Fund’s assets and liabilities, measured at fair value on a recurring basis, are summarized in the following tables by the type of inputs applicable to the fair value measurements:

 

At September 30, 2019

 

 

 

Level 1

 

 

Level 2

 

 

Total

 

Equity in broker trading accounts:

 

 

 

 

 

 

 

 

 

 

 

 

Net unrealized gain (loss) on open futures contracts*

 

$

      1,464,146

 

 

$

                   --

 

 

$

      1,464,146

 

Net unrealized gain (loss) on open forward currency contracts*

 

 

 

 

 

228,167

 

 

 

228,167

 

Cash and cash equivalents:

 

 

 

 

 

 

 

 

 

 

 

 

Money market fund

 

 

32,438,019

 

 

 

 

 

 

32,438,019

 

Investment in SMFSF

 

 

22,982,700

 

 

 

 

 

 

22,982,700

 

Investments in securities:

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury securities*

 

 

49,510,182

 

 

 

 

 

 

49,510,182

 

Asset backed securities*

 

 

 

 

 

10,646,788

 

 

 

10,646,788

 

Commercial paper*

 

 

 

 

 

32,947,408

 

 

 

32,947,408

 

Corporate notes*

 

 

 

 

 

92,332,024

 

 

 

92,332,024

 

Exchange membership

 

 

 

 

 

82,750

 

 

 

82,750

 

Total

 

$

   106,395,047

 

 

$

   136,237,137

 

 

$

   242,632,184

 

 

*See the condensed schedule of investments for further description.

 

At December 31, 2018

 

 

 

Level 1

 

 

Level 2

 

 

Total

 

Equity in broker trading accounts:

 

 

 

 

 

 

 

 

 

 

 

 

Net unrealized gain (loss) on open futures contracts*

 

$

      2,148,112

 

 

$

                     --

 

 

$

       2,148,112

 

Net unrealized gain (loss) on open forward currency contracts*

 

 

 

 

 

155,058

 

 

 

155,058

 

Cash and cash equivalents:

 

 

 

 

 

 

 

 

 

 

 

 

Money market fund

 

 

14,836,223

 

 

 

 

 

 

14,836,223

 

Investment in SMFSF

 

 

27,423,206

 

 

 

 

 

 

27,423,206

 

Investments in securities:

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury securities*

 

 

67,375,307

 

 

 

 

 

 

67,375,307

 

Asset backed securities*

 

 

 

 

 

11,694,238

 

 

 

11,694,238

 

Commercial paper*

 

 

 

 

 

37,438,570

 

 

 

37,438,570

 

Corporate notes*

 

 

 

 

 

100,547,018

 

 

 

100,547,018

 

Exchange membership

 

 

 

 

 

145,500

 

 

 

145,500

 

Total

 

$

   111,782,848

 

 

$

   149,980,384

 

 

$

   261,763,232

 

 

*See the condensed schedule of investments for further description.

 

There were no Level 3 holdings at September 30, 2019 and December 31, 2018, or during the periods then ended.

 

In addition to the financial instruments listed above, substantially all of the Fund’s other assets and liabilities are considered financial instruments and are reflected at fair value, or at carrying amounts that approximate fair value because of the short maturity of the instruments.

 

19

 

3.

Derivative Instruments Disclosures

 

The Fund’s derivative contracts are comprised of futures and forward currency contracts, none of which are designated as hedging instruments.  At September 30, 2019, the Fund’s derivative contracts had the following impact on the statements of financial condition:

 

At September 30, 2019

 

Derivative Assets and Liabilities, at fair value

 

Statements of Financial Condition Location

 

Gross
Amounts of
Recognized
Assets

 

 

Gross Amounts
Offset in the
Statements of
Financial Condition

 

 

Net Amount of
Assets Presented in
the Statements of
Financial Condition

 

Equity in broker trading accounts:

 

 

 

 

 

 

 

 

 

 

 

 

Net unrealized gain (loss) on open futures contracts