| Price | 1.00 | EPS | -17,342,917 | |
| Shares | -0 | P/E | -0 | |
| MCap | -0 | P/FCF | -0 | |
| Net Debt | -61 | EBIT | 17 | |
| TEV | -61 | TEV/EBIT | -3 | TTM 2019-09-30, in MM, except price, ratios |
| 10-Q | 2020-03-31 | Filed 2020-05-15 |
| 10-K | 2019-12-31 | Filed 2020-03-24 |
| 10-Q | 2019-09-30 | Filed 2019-11-14 |
| 10-Q | 2019-06-30 | Filed 2019-08-14 |
| 10-Q | 2019-03-31 | Filed 2019-05-13 |
| 10-K | 2018-12-31 | Filed 2019-03-15 |
| 10-Q | 2018-09-30 | Filed 2018-11-13 |
| 10-Q | 2018-06-30 | Filed 2018-08-14 |
| 10-Q | 2018-03-31 | Filed 2018-05-15 |
| 10-K | 2017-12-31 | Filed 2018-03-20 |
| 10-Q | 2017-09-30 | Filed 2017-11-13 |
| 10-Q | 2017-06-30 | Filed 2017-08-14 |
| 10-Q | 2017-03-31 | Filed 2017-05-12 |
| 10-K | 2016-12-31 | Filed 2017-03-24 |
| 10-Q | 2016-09-30 | Filed 2016-11-14 |
| 10-Q | 2016-06-30 | Filed 2016-08-15 |
| 10-Q | 2016-03-31 | Filed 2016-05-13 |
| 10-K | 2015-12-31 | Filed 2016-03-23 |
| 10-Q | 2015-09-30 | Filed 2015-11-13 |
| 10-Q | 2015-06-30 | Filed 2015-08-14 |
| 10-Q | 2015-03-31 | Filed 2015-05-15 |
| 10-K | 2014-12-31 | Filed 2015-03-27 |
| 10-Q | 2014-09-30 | Filed 2014-11-13 |
| 10-Q | 2014-06-30 | Filed 2014-08-14 |
| 10-Q | 2014-03-31 | Filed 2014-05-14 |
| 10-K | 2013-12-31 | Filed 2014-03-28 |
| 10-Q | 2013-09-30 | Filed 2013-11-14 |
| 10-Q | 2013-06-30 | Filed 2013-08-14 |
| 10-Q | 2013-03-31 | Filed 2013-05-14 |
| 10-K | 2012-12-31 | Filed 2013-03-28 |
| 10-Q | 2012-09-30 | Filed 2012-11-14 |
| 10-Q | 2012-06-30 | Filed 2012-08-14 |
| 10-Q | 2012-03-31 | Filed 2012-05-14 |
| 10-K | 2011-12-31 | Filed 2012-03-28 |
| 10-Q | 2011-09-30 | Filed 2011-11-14 |
| 10-Q | 2011-06-30 | Filed 2011-08-15 |
| 10-Q | 2011-03-31 | Filed 2011-05-13 |
| 10-K | 2010-12-31 | Filed 2011-03-25 |
| 10-Q | 2010-09-30 | Filed 2010-11-10 |
| 10-Q | 2010-06-30 | Filed 2010-08-12 |
| 10-Q | 2010-03-31 | Filed 2010-05-14 |
| 10-K | 2009-12-31 | Filed 2010-03-26 |
| 8-K | 2020-04-01 | |
| 8-K | 2020-03-01 | |
| 8-K | 2020-01-01 | |
| 8-K | 2019-11-01 | |
| 8-K | 2019-10-31 | |
| 8-K | 2019-10-01 | |
| 8-K | 2019-09-01 | |
| 8-K | 2019-08-01 | |
| 8-K | 2019-07-01 | |
| 8-K | 2019-07-01 | |
| 8-K | 2019-06-01 | |
| 8-K | 2019-04-01 | |
| 8-K | 2019-04-01 | |
| 8-K | 2019-03-01 | |
| 8-K | 2019-02-01 | |
| 8-K | 2019-01-01 | |
| 8-K | 2018-12-01 | |
| 8-K | 2018-11-01 | |
| 8-K | 2018-10-01 | |
| 8-K | 2018-08-01 | |
| 8-K | 2018-08-01 | |
| 8-K | 2018-06-01 | |
| 8-K | 2018-06-01 | |
| 8-K | 2018-04-01 | |
| 8-K | 2018-04-01 | |
| 8-K | 2018-03-01 | |
| 8-K | 2018-02-01 | |
| 8-K | 2018-01-01 |
| 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. Exhibit |
| EX-31.01 | ex31-01.htm |
| EX-31.02 | ex31-02.htm |
| EX-32.01 | ex32-01.htm |
| EX-32.02 | ex32-02.htm |
| Balance Sheet | Income Statement | Cash Flow |
|---|---|---|
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended March 31, 2020
Commission file number: 000-50728
FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP
| Organized in Maryland | IRS Employer Identification No.: 52-1627106 |
Address: c/o Steben & Company, LLC, 687 Excelsior Boulevard, Excelsior, MN 55331
Telephone: (952) 767-6900
Securities registered pursuant to Section 12(b) of the Act: N/A
Indicate by check mark whether the Registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the Registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes ☒ No ☐
Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). Yes ☒ No ☐
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See definition of “large accelerated filer”, “accelerated filer”, “smaller reporting company” and “emerging growth company” in Rule 12b-2 of the Exchange Act.
| Large accelerated filer ☐ | Accelerated filer ☐ |
| Non-accelerated filer ☒ | Smaller reporting company ☐ |
| Emerging growth company ☐ |
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ☐ No ☒
PART I: FINANCIAL INFORMATION
Item 1. Financial Statements
Futures Portfolio Fund, Limited Partnership
Statements of Financial Condition
March 31, 2020 (unaudited) and December 31, 2019
|
|
| March 31, |
|
| December 31, |
| ||
| Assets |
|
| (unaudited) |
|
|
|
|
|
| Equity in broker trading accounts |
|
|
|
|
|
|
|
|
| Cash |
| $ | 37,373,064 |
|
| $ | 64,814,573 |
|
| Net unrealized gain (loss) on open futures contracts |
|
| 5,209,865 |
|
|
| 187,200 |
|
| Net unrealized gain (loss) on open forward currency contracts |
|
| 879,999 |
|
|
| (189,715 | ) |
| Total equity in broker trading accounts |
|
| 43,462,928 |
|
|
| 64,812,058 |
|
| Cash |
|
| 17,957,919 |
|
|
| 5,174,304 |
|
| Investments in securities, at fair value (cost $152,399,543 and $161,352,357) |
|
| 152,597,275 |
|
|
| 162,552,581 |
|
| Investment in SMFSF, at fair value (cost $-0- and $25,620,952) |
|
| — |
|
|
| 22,738,951 |
|
| General Partner 1% allocation receivable |
|
| 242,554 |
|
|
| — |
|
| Exchange membership, at fair value (cost $189,000 and $189,000) |
|
| 80,000 |
|
|
| 62,500 |
|
| Total assets |
| $ | 214,340,676 |
|
| $ | 255,340,394 |
|
|
|
|
|
|
|
|
|
|
|
| Liabilities and Partners’ Capital (Net Asset Value) |
|
|
|
|
|
|
|
|
| Liabilities |
|
|
|
|
|
|
|
|
| Trading advisor management fees payable |
| $ | 471,742 |
|
| $ | 586,747 |
|
| Trading advisor incentive fees payable |
|
| 213,562 |
|
|
| 602,408 |
|
| Commissions and other trading fees payable on open contracts |
|
| 23,075 |
|
|
| 55,213 |
|
| Cash Manager fees payble |
|
| 99,781 |
|
|
| 48,576 |
|
| General Partner management and performance fees payable |
|
| 265,447 |
|
|
| 315,840 |
|
| Selling agent fees payable - General Partner |
|
| 239,787 |
|
|
| 285,554 |
|
| Broker dealer servicing fees payable - General Partner |
|
| 9,886 |
|
|
| 11,224 |
|
| Administration fee payable - General Partner |
|
| 74,066 |
|
|
| 58,569 |
|
| General Partner 1% allocation payable |
|
| — |
|
|
| 80,477 |
|
| Redemptions payable |
|
| 4,442,475 |
|
|
| 4,780,643 |
|
| Subscriptions received in advance |
|
| 121,911 |
|
|
| 266,000 |
|
| Total liabilities |
|
| 5,961,732 |
|
|
| 7,091,251 |
|
|
|
|
|
|
|
|
|
|
|
| Partners’ Capital (Net Asset Value) |
|
|
|
|
|
|
|
|
| Class A interests - 39,200.7154 and 41,522.9804 units outstanding at March 31, 2020 and December 31, 2019, respectively |
|
| 140,695,251 |
|
|
| 166,191,101 |
|
| Class A2 interests - 621.0963 and 526.3226 units outstanding at March 31, 2020 and December 31, 2019, respectively |
|
| 577,925 |
|
|
| 544,240 |
|
| Class A3 interests - 86.0607 units outstanding at March 31, 2020 and December 31, 2019, respectively |
|
| 77,820 |
|
|
| 86,512 |
|
| Class B interests - 9,931.2280 and 10,608.5075 units outstanding at March 31, 2020 and December 31, 2019, respectively |
|
| 56,074,695 |
|
|
| 66,498,788 |
|
| Class I interests - 1,769.1082 units outstanding at March 31, 2020 and December 31, 2019, respectively |
|
| 1,667,220 |
|
|
| 1,846,574 |
|
| Class R interests - 9,884.7705 and 12,549.5403 units outstanding at March 31, 2020 and December 31, 2019, respectively |
|
| 9,286,033 |
|
|
| 13,081,928 |
|
| Total partners’ capital (net asset value) |
|
| 208,378,944 |
|
|
| 248,249,143 |
|
| Total liabilities and partners’ capital (net asset value) |
| $ | 214,340,676 |
|
| $ | 255,340,394 |
|
The accompanying notes are an integral part of these financial statements.
1
Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments
March 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
| Fair Value |
|
| % of Partners’ | |||||||
| INVESTMENTS IN SECURITIES |
|
|
|
|
|
|
|
| ||||||||||
| U.S. Treasury Securities |
|
|
|
|
|
|
|
| ||||||||||
|
| Face Value |
|
| Maturity Date |
| Name |
| Yield | 1 |
|
|
|
|
|
|
|
| |
| $ | 3,500,000 |
|
| 4/15/20 |
| U.S. Treasury |
|
| 1.50 | % |
| $ | 3,523,148 |
|
|
| 1.69 | % |
|
| 8,500,000 |
|
| 5/15/20 |
| U.S. Treasury |
|
| 1.50 | % |
|
| 8,560,291 |
|
|
| 4.11 | % |
|
| 6,000,000 |
|
| 6/15/20 |
| U.S. Treasury |
|
| 1.50 | % |
|
| 6,040,620 |
|
|
| 2.90 | % |
|
| 6,000,000 |
|
| 8/31/20 |
| U.S. Treasury |
|
| 1.38 | % |
|
| 6,036,236 |
|
|
| 2.90 | % |
|
| 6,000,000 |
|
| 10/31/21 |
| U.S. Treasury |
|
| 2.00 | % |
|
| 6,208,877 |
|
|
| 2.98 | % |
Total U.S. Treasury securities (cost: $30,251,943) |
|
|
|
|
|
| 30,369,172 |
|
|
| 14.58 | % | ||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
| U.S. Commercial Paper |
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
| Face Value |
|
| Maturity Date |
| Name |
| Yield | 1 |
|
|
|
|
|
|
|
| |
| Automotive |
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
| $ | 1,300,000 |
|
| 4/9/20 |
| PACCAR Financial Corp. |
|
| 0.96 | % |
| $ | 1,299,688 |
|
|
| 0.62 | % |
| Banks |
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
| 1,400,000 |
|
| 4/7/20 |
| Nieuw Amsterdam Receivables Corporation B.V. |
|
| 0.93 | % |
|
| 1,399,748 |
|
|
| 0.67 | % |
| Beverages |
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
| 1,300,000 |
|
| 4/29/20 |
| Brown-Forman Corporation |
|
| 1.08 | % |
|
| 1,298,868 |
|
|
| 0.62 | % |
| Diversified financial services |
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
| 1,400,000 |
|
| 4/6/20 |
| DCAT, LLC |
|
| 1.00 | % |
|
| 1,399,767 |
|
|
| 0.67 | % |
|
| 1,300,000 |
|
| 4/3/20 |
| Gotham Funding Corporation |
|
| 0.77 | % |
|
| 1,299,917 |
|
|
| 0.62 | % |
|
| 1,400,000 |
|
| 4/24/20 |
| Intercontinental Exchange, Inc. |
|
| 2.25 | % |
|
| 1,397,898 |
|
|
| 0.67 | % |
|
| 1,300,000 |
|
| 4/16/20 |
| Manhattan Asset Funding Company LLC |
|
| 1.53 | % |
|
| 1,299,117 |
|
|
| 0.62 | % |
| Energy |
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
| 1,400,000 |
|
| 4/2/20 |
| Dominion Energy, Inc. |
|
| 0.87 | % |
|
| 1,399,932 |
|
|
| 0.67 | % |
| Food |
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
| 1,400,000 |
|
| 4/7/20 |
| Mondelez International, Inc. |
|
| 1.49 | % |
|
| 1,399,594 |
|
|
| 0.68 | % |
| Insurance |
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
| 1,300,000 |
|
| 4/3/20 |
| Nationwide Life Insurance Company |
|
| 1.03 | % |
|
| 1,299,888 |
|
|
| 0.63 | % |
| Machinery |
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
| 1,400,000 |
|
| 6/1/20 |
| Deere & Company |
|
| 1.05 | % |
|
| 1,397,462 |
|
|
| 0.68 | % |
| Media |
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
| 1,300,000 |
|
| 4/14/20 |
| The Walt Disney Company |
|
| 1.24 | % |
|
| 1,299,376 |
|
|
| 0.63 | % |
| Pharmaceuticals |
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
| 1,300,000 |
|
| 5/11/20 |
| Novartis Finance Corporation |
|
| 1.54 | % |
|
| 1,297,718 |
|
|
| 0.62 | % |
|
| 1,400,000 |
|
| 4/16/20 |
| Pfizer Inc. |
|
| 1.52 | % |
|
| 1,399,055 |
|
|
| 0.67 | % |
| Water |
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
| 1,400,000 |
|
| 4/1/20 |
| American Water Capital Corp. |
|
| 0.00 | % |
|
| 1,400,000 |
|
|
| 0.67 | % |
| Total U.S. commercial paper (cost: $20,261,482) |
|
|
|
|
|
| 20,288,028 |
|
|
| 9.74 | % | ||||||
The accompanying notes are an integral part of these financial statements.
2
Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)
March 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
| Fair Value |
|
| % of Partners’ |
| |||||
| Foreign Commercial Paper |
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
| Face Value |
|
| Maturity Date |
| Name |
| Yield | 1 |
|
|
|
|
|
|
|
| |
| Banks |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
| $ | 1,400,000 |
|
| 4/6/20 |
| Skandinaviska Enskilda Banken AB (publ.) |
|
| 1.47 | % |
| $ | 1,399,656 |
|
|
| 0.67 | % |
|
| 1,300,000 |
|
| 4/22/20 |
| Sumitomo Mitsui Banking Corporation |
|
| 1.61 | % |
|
| 1,298,718 |
|
|
| 0.62 | % |
| Chemicals |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
|
| 1,300,000 |
|
| 4/2/20 |
| Nutrien Ltd. |
|
| 0.87 | % |
|
| 1,299,937 |
|
|
| 0.62 | % |
| Diversified financial services |
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
| 1,300,000 |
|
| 5/6/20 |
| Longship Funding Designated Activity Company |
|
| 1.56 | % |
|
| 1,297,978 |
|
|
| 0.62 | % |
| Energy |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
|
| 1,400,000 |
|
| 4/9/20 |
| Engie SA |
|
| 1.48 | % |
|
| 1,399,480 |
|
|
| 0.67 | % |
| Insurance |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
|
| 1,400,000 |
|
| 4/28/20 |
| Prudential plc |
|
| 1.59 | % |
|
| 1,398,268 |
|
|
| 0.67 | % |
| Total foreign commercial paper (cost: $8,073,452) |
|
|
|
| 8,094,037 |
|
|
| 3.87 | % | ||||||||
| Total commercial paper (cost: $28,334,934) |
|
|
|
| 28,382,065 |
|
|
| 13.61 | % | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
| U.S. Corporate Notes |
|
|
|
|
|
|
|
|
|
|
| |||||||
|
| Face Value |
|
| Maturity Date |
| Name |
| Yield | 1 |
|
|
|
|
|
|
|
| |
| Aerospace |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
| $ | 4,000,000 |
|
| 5/1/22 |
| Boeing Company |
|
| 2.70 | % |
|
| 3,843,196 |
|
|
| 1.84 | % |
| Agriculture |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
|
| 4,850,000 |
|
| 5/5/21 |
| Altria Group, Inc. |
|
| 4.75 | % |
|
| 5,002,760 |
|
|
| 2.40 | % |
| Banks |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
|
| 4,000,000 |
|
| 10/29/20 |
| JPMorgan Chase & Co. |
|
| 2.55 | % |
|
| 4,048,067 |
|
|
| 1.94 | % |
|
| 3,000,000 |
|
| 10/29/20 |
| JPMorgan Chase & Co. |
|
| 2.98 | % |
|
| 3,013,323 |
|
|
| 1.45 | % |
|
| 4,750,000 |
|
| 1/15/21 |
| Wells Fargo Bank, National Association |
|
| 2.60 | % |
|
| 4,800,638 |
|
|
| 2.30 | % |
| Diversified financial services |
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
| 4,250,000 |
|
| 4/26/22 |
| Goldman Sachs Group, Inc. |
|
| 3.00 | % |
|
| 4,316,668 |
|
|
| 2.07 | % |
|
| 4,000,000 |
|
| 5/17/22 |
| SunTrust Bank |
|
| 2.80 | % |
|
| 4,092,513 |
|
|
| 1.96 | % |
| Energy |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
|
| 4,850,000 |
|
| 2/15/21 |
| Enterprise Products Operating LLC |
|
| 2.80 | % |
|
| 4,842,661 |
|
|
| 2.32 | % |
| Food |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
|
| 3,000,000 |
|
| 4/16/21 |
| General Mills, Inc. |
|
| 3.20 | % |
|
| 3,077,303 |
|
|
| 1.48 | % |
| Healthcare |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
|
| 5,000,000 |
|
| 9/17/21 |
| Cigna Corporation |
|
| 3.40 | % |
|
| 5,056,511 |
|
|
| 2.43 | % |
|
| 3,000,000 |
|
| 6/1/21 |
| CVS Health Corporation |
|
| 2.13 | % |
|
| 3,002,401 |
|
|
| 1.44 | % |
|
| 4,797,000 |
|
| 3/15/22 |
| Medtronic, Inc. |
|
| 3.15 | % |
|
| 4,977,027 |
|
|
| 2.39 | % |
| Pharmaceuticals |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
|
| 4,200,000 |
|
| 5/11/20 |
| Amgen Inc. |
|
| 2.18 | % |
|
| 4,213,117 |
|
|
| 2.02 | % |
|
| 3,500,000 |
|
| 6/25/21 |
| Bayer US Finance II LLC |
|
| 1.85 | % |
|
| 3,387,650 |
|
|
| 1.63 | % |
|
| 4,000,000 |
|
| 5/16/22 |
| Bristol-Myers Squibb Company |
|
| 2.60 | % |
|
| 4,121,512 |
|
|
| 1.98 | % |
|
| 3,500,000 |
|
| 2/1/23 |
| Zoetis Inc. |
|
| 3.25 | % |
|
| 3,582,546 |
|
|
| 1.72 | % |
| Telecommunications |
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
| 4,000,000 |
|
| 2/9/22 |
| Apple Inc. |
|
| 2.50 | % |
|
| 4,125,148 |
|
|
| 1.98 | % |
|
| 3,500,000 |
|
| 6/30/22 |
| AT&T Inc. |
|
| 3.00 | % |
|
| 3,555,889 |
|
|
| 1.71 | % |
| Total U.S. corporate notes (cost: $73,001,482) |
|
|
|
| 73,058,930 |
|
|
| 35.06 | % | ||||||||
The accompanying notes are an integral part of these financial statements.
3
Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)
March 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
| Fair Value |
|
| % of Partners’ |
| ||
Foreign Corporate Notes |
|
|
|
|
|
|
|
|
|
|
| ||||||||
| Face Value |
|
| Maturity Date |
|
| Name |
|
| Yield 1 |
|
|
|
|
|
|
|
| |
Energy |
|
|
|
|
|
|
|
|
|
|
| ||||||||
$ | 2,500,000 |
|
| 5/11/20 |
|
| Shell International Finance B.V. |
|
| 2.13 | % |
| $ | 2,517,968 |
|
|
| 1.21 | % |
Insurance |
|
|
|
|
|
|
|
|
|
|
|
| |||||||
| 4,000,000 |
|
| 9/20/21 |
|
| AIA Group Limited |
|
| 1.64 | % |
|
| 3,947,181 |
|
|
| 1.89 | % |
Manufacturing |
|
|
|
|
|
|
|
|
|
|
|
| |||||||
| 3,500,000 |
|
| 11/15/20 |
|
| GE Capital International Funding Company |
|
| 2.34 | % |
|
| 3,515,748 |
|
|
| 1.69 | % |
Total foreign corporate notes (cost: $9,933,690) |
|
|
|
|
|
| 9,980,897 |
|
|
| 4.79 | % | |||||||
Total corporate notes (cost: $82,935,172) |
|
|
|
|
|
| 83,039,827 |
|
|
| 39.85 | % | |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Asset Backed Securities |
|
|
|
|
|
|
|
|
|
|
|
| |||||||
| Face Value |
|
| Maturity Date |
|
| Name |
|
| Yield 1 |
|
|
|
|
|
|
|
| |
Automotive |
|
|
|
|
|
|
|
|
|
|
|
| |||||||
$ | 572,529 |
|
| 2/18/22 |
|
| Americredit Automobile Receivables Trust 2017-1 |
|
| 2.30 | % |
|
| 562,494 |
|
|
| 0.27 | % |
| 301,460 |
|
| 7/18/22 |
|
| Americredit Automobile Receivables Trust 2017-4 |
|
| 2.04 | % |
|
| 300,927 |
|
|
| 0.14 | % |
| 122,334 |
|
| 1/18/22 |
|
| Americredit Automobile Receivables Trust 2018-3 |
|
| 3.11 | % |
|
| 122,396 |
|
|
| 0.06 | % |
| 208,102 |
|
| 9/19/22 |
|
| Americredit Automobile Receivales Trust 2019-2 |
|
| 2.43 | % |
|
| 207,250 |
|
|
| 0.10 | % |
| 1,296,764 |
|
| 1/18/23 |
|
| Americredit Automobile Receivables Trust 2019-3 |
|
| 2.17 | % |
|
| 1,294,024 |
|
|
| 0.62 | % |
| 772,000 |
|
| 7/20/21 |
|
| BMW Vehicle Lease Trust 2018-1 |
|
| 3.26 | % |
|
| 768,668 |
|
|
| 0.37 | % |
| 250,000 |
|
| 1/22/24 |
|
| Capital Auto Receivables Asset Trust 2016-3 |
|
| 2.65 | % |
|
| 250,326 |
|
|
| 0.12 | % |
| 47,592 |
|
| 2/22/21 |
|
| Capital Auto Receivables Asset Trust 2018-2 |
|
| 3.02 | % |
|
| 47,668 |
|
|
| 0.02 | % |
| 400,000 |
|
| 7/15/22 |
|
| Carmax Auto Owner Trust 2016-4 |
|
| 2.26 | % |
|
| 400,581 |
|
|
| 0.19 | % |
| 76,924 |
|
| 6/21/21 |
|
| GM Financial Automobile Leasing Trust 2018-3 |
|
| 3.18 | % |
|
| 77,033 |
|
|
| 0.04 | % |
| 600,000 |
|
| 6/20/22 |
|
| Honda Auto Receivables 2019-4 Owner Trust |
|
| 1.86 | % |
|
| 594,978 |
|
|
| 0.29 | % |
| 13,813 |
|
| 2/16/21 |
|
| Mercedes- Benz Auto Lease Trust 2018-A |
|
| 2.41 | % |
|
| 13,812 |
|
|
| 0.01 | % |
| 150,000 |
|
| 10/15/20 |
|
| NextGear Floorplan Master Owner Trust , Series 2017-2 |
|
| 2.56 | % |
|
| 148,371 |
|
|
| 0.07 | % |
| 157,668 |
|
| 5/16/22 |
|
| Santander Drive Auto Receivables Trust 2017-1 |
|
| 2.58 | % |
|
| 157,743 |
|
|
| 0.08 | % |
| 457,711 |
|
| 4/20/22 |
|
| Santander Retail Auto Lease Trust 2019-B |
|
| 2.29 | % |
|
| 455,448 |
|
|
| 0.22 | % |
| 525,000 |
|
| 4/20/22 |
|
| Tesla Auto Lease Trust 2019-A |
|
| 2.13 | % |
|
| 522,466 |
|
|
| 0.25 | % |
| 526,937 |
|
| 8/15/23 |
|
| World Omni Select Auto Trust 2019-A |
|
| 2.06 | % |
|
| 525,334 |
|
|
| 0.25 | % |
Banks |
|
|
|
|
|
|
|
|
|
|
|
| |||||||
| 22,597 |
|
| 11/25/27 |
|
| SLM Student Loan Trust 2011-2 |
|
| 1.55 | % |
|
| 22,443 |
|
|
| 0.01 | % |
Credit cards |
|
|
|
|
|
|
|
|
|
|
|
| |||||||
| 400,000 |
|
| 7/15/20 |
|
| Barclays Dryrock Issuance Trust, Series 2017-2 |
|
| 1.00 | % |
|
| 398,213 |
|
|
| 0.19 | % |
| 400,000 |
|
| 8/17/20 |
|
| Discover Card Execution Note Trust |
|
| 1.88 | % |
|
| 399,352 |
|
|
| 0.19 | % |
| 820,000 |
|
| 8/15/24 |
|
| World Financial Network Credit Card Master Note Trust - |
|
| 2.31 | % |
|
| 811,862 |
|
|
| 0.39 | % |
Equipment |
|
|
|
|
|
|
|
|
|
|
|
| |||||||
| 11,804 |
|
| 10/22/20 |
|
| Dell Equipment Finance Trust 2018-1 |
|
| 1.22 | % |
|
| 11,808 |
|
|
| 0.01 | % |
| 423,093 |
|
| 5/20/22 |
|
| DLL 2019-2 LLC |
|
| 2.27 | % |
|
| 419,945 |
|
|
| 0.20 | % |
| 349,484 |
|
| 6/15/21 |
|
| GreatAmerica Leasing Receivables Funding LLC, Series 2019-1 |
|
| 2.97 | % |
|
| 351,689 |
|
|
| 0.17 | % |
| 825,000 |
|
| 6/15/22 |
|
| GreatAmerica Leasing Receivables Funding, LLC |
|
| 1.76 | % |
|
| 817,643 |
|
|
| 0.39 | % |
| 103,132 |
|
| 12/20/21 |
|
| Verizon Owner Trust 2017-2 |
|
| 1.92 | % |
|
| 102,553 |
|
|
| 0.05 | % |
| 598,983 |
|
| 4/20/22 |
|
| Verizon Owner Trust 2017-3 |
|
| 2.06 | % |
|
| 600,243 |
|
|
| 0.29 | % |
Student loans |
|
|
|
|
|
|
|
|
|
|
|
| |||||||
| 435,036 |
|
| 8/25/47 |
|
| Sofi Professional Loan Program 2018-B Trust |
|
| 2.64 | % |
|
| 420,941 |
|
|
| 0.20 | % |
Total U.S. asset backed securities (cost: $10,877,494) |
|
|
|
|
|
| 10,806,211 |
|
|
| 5.19 | % | |||||||
Total investments in securities (cost: $152,399,543) |
|
|
|
|
| $ | 152,597,275 |
|
|
| 73.23 | % | |||||||
The accompanying notes are an integral part of these financial statements.
4
Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)
March 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
| Fair Value |
|
| % of Partners’ |
| ||
OPEN FUTURES CONTRACTS |
|
|
|
|
|
|
|
|
|
|
| ||||||||
Long U.S. Futures Contracts |
|
|
|
|
|
|
|
|
|
|
| ||||||||
|
|
|
|
|
|
| Agricultural commodities |
|
|
|
|
| $ | 44,058 |
|
|
| 0.02 | % |
|
|
|
|
|
|
| Currencies |
|
|
|
|
|
| 8,426 |
|
|
| 0.00 | % |
|
|
|
|
|
|
| Energy |
|
|
|
|
|
| (107,618 | ) |
|
| (0.05 | )% |
|
|
|
|
|
|
| Equity indices |
|
|
|
|
|
| 165,339 |
|
|
| 0.08 | % |
|
|
|
|
|
|
| Interest rate instruments |
|
|
|
|
|
| 1,658,417 |
|
|
| 0.80 | % |
|
|
|
|
|
|
| Metals(2) |
|
|
|
|
|
| (17,169,204 | ) |
|
| (8.24 | )% |
|
|
|
|
|
|
| Single stock futures |
|
|
|
|
|
| 49,655 |
|
|
| 0.02 | % |
Net unrealized gain (loss) on open long U.S. futures contracts |
|
|
|
|
| (15,350,927 | ) |
|
| (7.37 | )% | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short U.S. Futures Contracts |
|
|
|
|
|
|
|
|
|
|
| ||||||||
|
|
|
|
|
|
| Agricultural commodities |
|
|
|
|
|
| 248,377 |
|
|
| 0.12 | % |
|
|
|
|
|
|
| Currencies |
|
|
|
|
|
| 119,184 |
|
|
| 0.06 | % |
|
|
|
|
|
|
| Energy |
|
|
|
|
|
| 1,900,792 |
|
|
| 0.91 | % |
|
|
|
|
|
|
| Equity indices |
|
|
|
|
|
| 45,837 |
|
|
| 0.02 | % |
|
|
|
|
|
|
| Interest rate instruments |
|
|
|
|
|
| (85,449 | ) |
|
| (0.04 | )% |
|
|
|
|
|
|
| Metals(2) |
|
|
|
|
|
| 17,597,791 |
|
|
| 8.45 | % |
|
|
|
|
|
|
| Single stock futures |
|
|
|
|
|
| (10,859 | ) |
|
| (0.01 | )% |
Net unrealized gain (loss) on open short U.S. futures contracts |
|
|
|
|
| 19,815,673 |
|
|
| 9.51 | % | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| ||||||||
Total U.S. Futures Contracts - net unrealized gain (loss) on open U.S. futures contracts |
|
|
|
|
| 4,464,746 |
|
|
| 2.14 | % | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Long Foreign Futures Contracts |
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
|
|
|
|
|
| Agricultural commodities |
|
|
|
|
|
| (13,907 | ) |
|
| (0.01 | )% |
|
|
|
|
|
|
| Currencies |
|
|
|
|
|
| 111,884 |
|
|
| 0.05 | % |
|
|
|
|
|
|
| Energy |
|
|
|
|
|
| (487 | ) |
|
| 0.00 | % |
|
|
|
|
|
|
| Equity indices |
|
|
|
|
|
| 435,721 |
|
|
| 0.21 | % |
|
|
|
|
|
|
| Interest rate instruments |
|
|
|
|
|
| 290,776 |
|
|
| 0.14 | % |
|
|
|
|
|
|
| Metals |
|
|
|
|
|
| 15,650 |
|
|
| 0.01 | % |
Net unrealized gain (loss) on open long foreign futures contracts |
|
|
|
|
| 839,637 |
|
|
| 0.40 | % | ||||||||
The accompanying notes are an integral part of these financial statements.
5
Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)
March 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
| Fair Value |
|
| % of Partners’ |
| ||
OPEN FUTURES CONTRACTS (continued) |
|
|
|
|
|
|
|
|
|
|
| ||||||||
Short Foreign Futures Contracts |
|
|
|
|
|
|
|
|
|
|
| ||||||||
|
|
|
|
|
|
| Agricultural commodities |
|
|
|
|
| $ | (16,197 | ) |
|
| (0.01 | )% |
|
|
|
|
|
|
| Currencies |
|
|
|
|
|
| (36,687 | ) |
|
| (0.02 | )% |
|
|
|
|
|
|
| Energy |
|
|
|
|
|
| 285,471 |
|
|
| 0.14 | % |
|
|
|
|
|
|
| Equity indices |
|
|
|
|
|
| (183,504 | ) |
|
| (0.09 | )% |
|
|
|
|
|
|
| Interest rate instruments |
|
|
|
|
|
| (143,601 | ) |
|
| (0.07 | )% |
Net unrealized gain (loss) on open short foreign futures contracts |
|
|
|
|
|
| (94,518 | ) |
|
| (0.05 | )% | |||||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts |
|
|
|
|
|
| 745,119 |
|
|
| 0.35 | % | |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net unrealized gain (loss) on open futures contracts |
|
|
|
|
| $ | 5,209,865 |
|
|
| 2.49 | % | |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OPEN FORWARD CURRENCY CONTRACTS |
|
|
|
|
|
|
|
|
|
|
|
| |||||||
U.S. Forward Currency Contracts |
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
|
|
|
|
|
| Long(2) |
|
|
|
|
| $ | (3,453,234 | ) |
|
| (1.66 | )% |
|
|
|
|
|
|
| Short(2) |
|
|
|
|
|
| 4,073,635 |
|
|
| 1.95 | % |
Net unrealized gain (loss) on open U.S. forward currency contracts |
|
|
|
|
|
| 620,401 |
|
|
| 0.29 | % | |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
Foreign Forward Currency Contracts |
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
|
|
|
|
|
| Long |
|
|
|
|
|
| 1,148,479 |
|
|
| 0.55 | % |
|
|
|
|
|
|
| Short |
|
|
|
|
|
| (888,881 | ) |
|
| (0.43 | )% |
Net unrealized gain (loss) on open foreign forward currency contracts |
|
|
|
|
|
| 259,598 |
|
|
| 0.12 | % | |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net unrealized gain (loss) on open forward currency contracts |
|
|
|
|
| $ | 879,999 |
|
|
| 0.41 | % | |||||||
1 Represents the annualized yield at date of purchase for discount securities or the stated coupon rate for coupon-bearing securities.
2 No individual futures or forward currency contract position constituted one percent or greater of partners’ capital (net asset value). Accordingly, the number of contracts and expiration dates are not presented.
The accompanying notes are an integral part of these financial statements.
6
Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments
December 31, 2019
| Description | Fair Value | % of Partners’
(Net Asset Value) | |||||||||||||||||
| INVESTMENTS IN SECURITIES | |||||||||||||||||||
| U.S. Treasury Securities | |||||||||||||||||||
| Face Value | Maturity Date | Name | Yield1 | ||||||||||||||||
| $ | 8,500,000 | 1/31/20 | U.S. Treasury | 1.38 | % | $ | 8,547,582 | 3.44 | % | ||||||||||
| 6,000,000 | 2/15/20 | U.S. Treasury | 1.38 | % | 6,028,349 | 2.43 | % | ||||||||||||
| 4,000,000 | 3/15/20 | U.S. Treasury | 1.63 | % | 4,018,661 | 1.62 | % | ||||||||||||
| 8,000,000 | 4/15/20 | U.S. Treasury | 1.50 | % | 8,023,074 | 3.23 | % | ||||||||||||
| Total U.S. Treasury securities (cost: $26,521,176) | 26,617,666 | 10.72 | % | ||||||||||||||||
| U.S. Commercial Paper | |||||||||||||||||||
| Face Value | Maturity Date | Name | Yield1 | ||||||||||||||||
| Automotive | |||||||||||||||||||
| $ | 1,300,000 | 1/13/20 | Hyundai Capital America | 1.71 | % | $ | 1,299,198 | 0.52 | % | ||||||||||
| 1,300,000 | 1/7/20 | VW Credit, Inc. | 1.67 | % | 1,299,578 | 0.52 | % | ||||||||||||
| Banks | |||||||||||||||||||
| 1,400,000 | 2/14/20 | Mitsubishi UFJ Trust & Banking Corporation (U.S.A.) | 1.82 | % | 1,396,817 | 0.56 | % | ||||||||||||
| Beverages | |||||||||||||||||||
| 1,400,000 | 1/2/20 | Brown-Forman Corporation | 0.85 | % | 1,399,934 | 0.57 | % | ||||||||||||
| Diversified financial services | |||||||||||||||||||
| 1,300,000 | 2/19/20 | American Express Credit Corporation | 1.84 | % | 1,296,674 | 0.52 | % | ||||||||||||
| 1,400,000 | 1/15/20 | CRC Funding, LLC | 1.66 | % | 1,399,031 | 0.57 | % | ||||||||||||
| 1,300,000 | 1/8/20 | DCAT, LLC | 1.55 | % | 1,299,553 | 0.52 | % | ||||||||||||
| 1,300,000 | 3/3/20 | Gotham Funding Corporation | 1.84 | % | 1,295,813 | 0.52 | % | ||||||||||||
| 1,400,000 | 2/10/20 | Manhattan Asset Funding Company LLC | 1.80 | % | 1,397,122 | 0.56 | % | ||||||||||||
| 1,400,000 | 1/16/20 | Regency Markets No 1 LLC | 1.87 | % | 1,398,833 | 0.56 | % | ||||||||||||
| Energy | |||||||||||||||||||
| 1,400,000 | 1/9/20 | Centerpoint Energy Resources Corp. | 1.72 | % | 1,399,396 | 0.57 | % | ||||||||||||
| 1,500,000 | 2/4/20 | Exxon Mobil Corporation | 1.59 | % | 1,497,677 | 0.61 | % | ||||||||||||
| Manufacturing | |||||||||||||||||||
| 1,300,000 | 1/17/20 | Koch Industries, Inc. | 1.65 | % | 1,298,989 | 0.52 | % | ||||||||||||
| REIT | |||||||||||||||||||
| 1,300,000 | 1/29/20 | Simon Property Group, L.P. | 1.74 | % | 1,298,180 | 0.52 | % | ||||||||||||
| Total U.S. commercial paper (cost: $18,946,261) | 18,976,795 | 7.64 | % | ||||||||||||||||
| Foreign Commercial Paper | |||||||||||||||||||
| Face Value | Maturity Date | Name | Yield1 | ||||||||||||||||
| Automotive | |||||||||||||||||||
| $ | 1,500,000 | 1/2/20 | Nationwide Building Society | 0.91 | % | $ | 1,499,924 | 0.61 | % | ||||||||||
| Banks | |||||||||||||||||||
| 1,500,000 | 2/13/20 | DNB Bank ASA | 1.86 | % | 1,496,596 | 0.60 | % | ||||||||||||
| 1,300,000 | 1/27/20 | Sumitomo Mitsui Banking Corporation | 1.78 | % | 1,298,263 | 0.52 | % | ||||||||||||
| Beverages | |||||||||||||||||||
| 1,400,000 | 1/21/20 | Diageo Capital plc | 1.81 | % | 1,398,522 | 0.56 | % | ||||||||||||
| Chemicals | |||||||||||||||||||
| 1,400,000 | 1/10/20 | Nutrien Ltd. | 1.76 | % | 1,399,314 | 0.56 | % | ||||||||||||
| Diversified financial services | |||||||||||||||||||
| 1,500,000 | 1/8/20 | Longship Funding Designated Activity Company | 1.71 | % | 1,499,431 | 0.60 | % | ||||||||||||
| 1,400,000 | 2/3/20 | Ontario Teachers Finance Trust | 1.75 | % | 1,397,690 | 0.57 | % | ||||||||||||
| Insurance | |||||||||||||||||||
| 1,300,000 | 1/6/20 | Prudential plc | 1.58 | % | 1,299,657 | 0.52 | % | ||||||||||||
| Telecommunications | |||||||||||||||||||
| 1,300,000 | 1/7/20 | Bell Canada, Inc. | 1.63 | % | 1,299,588 | 0.52 | % | ||||||||||||
| 1,400,000 | 1/14/20 | Rogers Communications Inc. | 1.78 | % | 1,399,030 | 0.57 | % | ||||||||||||
| Total foreign commercial paper (cost: $13,963,862) | 13,988,015 | 5.63 | % | ||||||||||||||||
| Total commercial paper (cost: $32,910,123) | 32,964,810 | 13.27 | % | ||||||||||||||||
The accompanying notes are an integral part of these financial statements.
7
Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)
December 31, 2019
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Aerospace |
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$ | 4,000,000 |
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| Boeing Company |
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| 2.70 | % |
| $ | 4,074,640 |
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| 5,000,000 |
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Agriculture |
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| 4,850,000 |
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