Company Quick10K Filing
Futures Portfolio Fund
Price1.00 EPS-17,342,917
Shares-0 P/E-0
MCap-0 P/FCF-0
Net Debt-61 EBIT17
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

FPF 10Q Quarterly Report

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

Futures Portfolio Fund Earnings 2020-03-31

Balance SheetIncome StatementCash Flow

10-Q 1 fpf-10q_033120.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 March 31, 2020

 

Commission file number:  000-50728

 

FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP

 

Organized in Maryland

IRS Employer Identification No.:  52-1627106

 

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

Telephone: (952) 767-6900

 

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

 

Indicate by check mark whether the Registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the Registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.   Yes ☒     No ☐

 

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

 

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company.  See definition of “large accelerated filer”, “accelerated filer”, “smaller reporting company” and “emerging growth company” in Rule 12b-2 of the Exchange Act.

 

Large accelerated filer 

Accelerated filer 

 

Non-accelerated filer   ☒

Smaller reporting company 

 

Emerging growth company 

 

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. 

 

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes     No ☒

 

 

 

 

 

 
 

 

PART I:  FINANCIAL INFORMATION

Item 1.  Financial Statements

 

Futures Portfolio Fund, Limited Partnership

Statements of Financial Condition

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

 

 

 

March 31,
2020

 

 

December 31,
2019

 

Assets

 

 

(unaudited)

 

 

 

 

 

Equity in broker trading accounts

 

 

 

 

 

 

 

 

Cash

 

$

37,373,064

 

 

$

64,814,573

 

Net unrealized gain (loss) on open futures contracts

 

 

5,209,865

 

 

 

187,200

 

Net unrealized gain (loss) on open forward currency contracts

 

 

879,999

 

 

 

(189,715

)

Total equity in broker trading accounts

 

 

43,462,928

 

 

 

64,812,058

 

Cash

 

 

17,957,919

 

 

 

5,174,304

 

Investments in securities, at fair value (cost $152,399,543 and $161,352,357)

 

 

152,597,275

 

 

 

162,552,581

 

Investment in SMFSF, at fair value (cost $-0- and $25,620,952)

 

 

 

 

 

22,738,951

 

General Partner 1% allocation receivable

 

 

242,554

 

 

 

 

Exchange membership, at fair value (cost $189,000 and $189,000)

 

 

80,000

 

 

 

62,500

 

Total assets

 

$

214,340,676

 

 

$

255,340,394

 

 

 

 

 

 

 

 

 

 

Liabilities and Partners’ Capital (Net Asset Value)

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

Trading advisor management fees payable

 

$

471,742

 

 

$

586,747

 

Trading advisor incentive fees payable

 

 

213,562

 

 

 

602,408

 

Commissions and other trading fees payable on open contracts

 

 

23,075

 

 

 

55,213

 

Cash Manager fees payble

 

 

99,781

 

 

 

48,576

 

General Partner management and performance fees payable

 

 

265,447

 

 

 

315,840

 

Selling agent fees payable - General Partner

 

 

239,787

 

 

 

285,554

 

Broker dealer servicing fees payable - General Partner

 

 

9,886

 

 

 

11,224

 

Administration fee payable - General Partner

 

 

74,066

 

 

 

58,569

 

General Partner 1% allocation payable

 

 

 

 

 

80,477

 

Redemptions payable

 

 

4,442,475

 

 

 

4,780,643

 

Subscriptions received in advance

 

 

121,911

 

 

 

266,000

 

Total liabilities

 

 

5,961,732

 

 

 

7,091,251

 

 

 

 

 

 

 

 

 

 

Partners’ Capital (Net Asset Value)

 

 

 

 

 

 

 

 

Class A interests - 39,200.7154 and 41,522.9804 units outstanding at March 31, 2020 and December 31, 2019, respectively

 

 

140,695,251

 

 

 

166,191,101

 

Class A2 interests - 621.0963 and 526.3226 units outstanding at March 31, 2020 and December 31, 2019, respectively

 

 

577,925

 

 

 

544,240

 

Class A3 interests - 86.0607 units outstanding at March 31, 2020 and December 31, 2019, respectively

 

 

77,820

 

 

 

86,512

 

Class B interests - 9,931.2280 and 10,608.5075 units outstanding at March 31, 2020 and December 31, 2019, respectively

 

 

56,074,695

 

 

 

66,498,788

 

Class I interests - 1,769.1082 units outstanding at March 31, 2020 and December 31, 2019, respectively

 

 

1,667,220

 

 

 

1,846,574

 

Class R interests - 9,884.7705 and 12,549.5403 units outstanding at March 31, 2020 and December 31, 2019, respectively

 

 

9,286,033

 

 

 

13,081,928

 

Total partners’ capital (net asset value)

 

 

208,378,944

 

 

 

248,249,143

 

Total liabilities and partners’ capital (net asset value)

 

$

214,340,676

 

 

$

255,340,394

 

 

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

 

 

1

 

 

Futures Portfolio Fund, Limited Partnership

Condensed Schedule of Investments

March 31, 2020 (Unaudited)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Description

 

Fair Value

 

 

% of Partners’
Capital
(Net Asset Value)

INVESTMENTS IN SECURITIES

 

 

 

 

 

 

 

 

U.S. Treasury Securities

 

 

 

 

 

 

 

 

 

Face Value

 

 

Maturity Date

 

Name

 

Yield

1

 

 

 

 

 

 

 

 

$

3,500,000

 

 

4/15/20

 

U.S. Treasury

 

 

1.50

%

 

$

3,523,148

 

 

 

1.69

%

 

8,500,000

 

 

5/15/20

 

U.S. Treasury

 

 

1.50

%

 

 

8,560,291

 

 

 

4.11

%

 

6,000,000

 

 

6/15/20

 

U.S. Treasury

 

 

1.50

%

 

 

6,040,620

 

 

 

2.90

%

 

6,000,000

 

 

8/31/20

 

U.S. Treasury

 

 

1.38

%

 

 

6,036,236

 

 

 

2.90

%

 

6,000,000

 

 

10/31/21

 

U.S. Treasury

 

 

2.00

%

 

 

6,208,877

 

 

 

2.98

%

Total U.S. Treasury securities (cost: $30,251,943)

 

 

 

 

 

 

30,369,172

 

 

 

14.58

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Commercial Paper

 

 

 

 

 

 

 

 

 

 

 

 

 

Face Value

 

 

Maturity Date

 

Name

 

Yield

1

 

 

 

 

 

 

 

 

Automotive

 

 

 

 

 

 

 

 

 

 

 

 

 

$

1,300,000

 

 

4/9/20

 

PACCAR Financial Corp.

 

 

0.96

%

 

$

1,299,688

 

 

 

0.62

%

Banks

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1,400,000

 

 

4/7/20

 

Nieuw Amsterdam Receivables Corporation B.V.

 

 

0.93

%

 

 

1,399,748

 

 

 

0.67

%

Beverages

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1,300,000

 

 

4/29/20

 

Brown-Forman Corporation

 

 

1.08

%

 

 

1,298,868

 

 

 

0.62

%

Diversified financial services

 

 

 

 

 

 

 

 

 

 

 

 

 

1,400,000

 

 

4/6/20

 

DCAT, LLC

 

 

1.00

%

 

 

1,399,767

 

 

 

0.67

%

 

1,300,000

 

 

4/3/20

 

Gotham Funding Corporation

 

 

0.77

%

 

 

1,299,917

 

 

 

0.62

%

 

1,400,000

 

 

4/24/20

 

Intercontinental Exchange, Inc.

 

 

2.25

%

 

 

1,397,898

 

 

 

0.67

%

 

1,300,000

 

 

4/16/20

 

Manhattan Asset Funding Company LLC

 

 

1.53

%

 

 

1,299,117

 

 

 

0.62

%

Energy

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1,400,000

 

 

4/2/20

 

Dominion Energy, Inc.

 

 

0.87

%

 

 

1,399,932

 

 

 

0.67

%

Food

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1,400,000

 

 

4/7/20

 

Mondelez International, Inc.

 

 

1.49

%

 

 

1,399,594

 

 

 

0.68

%

Insurance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1,300,000

 

 

4/3/20

 

Nationwide Life Insurance Company

 

 

1.03

%

 

 

1,299,888

 

 

 

0.63

%

Machinery

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1,400,000

 

 

6/1/20

 

Deere & Company

 

 

1.05

%

 

 

1,397,462

 

 

 

0.68

%

Media

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1,300,000

 

 

4/14/20

 

The Walt Disney Company

 

 

1.24

%

 

 

1,299,376

 

 

 

0.63

%

Pharmaceuticals

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1,300,000

 

 

5/11/20

 

Novartis Finance Corporation

 

 

1.54

%

 

 

1,297,718

 

 

 

0.62

%

 

1,400,000

 

 

4/16/20

 

Pfizer Inc.

 

 

1.52

%

 

 

1,399,055

 

 

 

0.67

%

Water

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1,400,000

 

 

4/1/20

 

American Water Capital Corp.

 

 

0.00

%

 

 

1,400,000

 

 

 

0.67

%

Total U.S. commercial paper (cost: $20,261,482)

 

 

 

 

 

 

 20,288,028

 

 

 

9.74

%

 

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

 

2

 

 

Futures Portfolio Fund, Limited Partnership

Condensed Schedule of Investments (continued)

March 31, 2020 (Unaudited)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Description

 

 

Fair Value

 

 

% of Partners’
Capital (Net
Asset Value)

 

Foreign Commercial Paper

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Face Value

 

 

Maturity Date

 

Name

 

Yield

1

 

 

 

 

 

 

 

 

Banks

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

1,400,000

 

 

4/6/20

 

Skandinaviska Enskilda Banken AB (publ.)

 

 

1.47

%

 

$

1,399,656

 

 

 

0.67

%

 

1,300,000

 

 

4/22/20

 

Sumitomo Mitsui Banking Corporation

 

 

1.61

%

 

 

1,298,718

 

 

 

0.62

%

Chemicals

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1,300,000

 

 

4/2/20

 

Nutrien Ltd.

 

 

0.87

%

 

 

1,299,937

 

 

 

0.62

%

Diversified financial services

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1,300,000

 

 

5/6/20

 

Longship Funding Designated Activity Company

 

 

1.56

%

 

 

1,297,978

 

 

 

0.62

%

Energy

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1,400,000

 

 

4/9/20

 

Engie SA

 

 

1.48

%

 

 

1,399,480

 

 

 

0.67

%

Insurance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1,400,000

 

 

4/28/20

 

Prudential plc

 

 

1.59

%

 

 

1,398,268

 

 

 

0.67

%

Total foreign commercial paper (cost: $8,073,452)

 

 

 

 

8,094,037

 

 

 

3.87

Total commercial paper (cost: $28,334,934)

 

 

 

 

28,382,065

 

 

 

13.61

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Corporate Notes

 

 

 

 

 

 

 

 

 

 

 

 

Face Value

 

 

Maturity Date

 

Name

 

Yield

1

 

 

 

 

 

 

 

 

Aerospace

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

4,000,000

 

 

5/1/22

 

Boeing Company

 

 

2.70

%

 

 

3,843,196

 

 

 

1.84

%

Agriculture

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

4,850,000

 

 

5/5/21

 

Altria Group, Inc.

 

 

4.75

%

 

 

5,002,760

 

 

 

2.40

%

Banks

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

4,000,000

 

 

10/29/20

 

JPMorgan Chase & Co.

 

 

2.55

%

 

 

4,048,067

 

 

 

1.94

%

 

3,000,000

 

 

10/29/20

 

JPMorgan Chase & Co.

 

 

2.98

%

 

 

3,013,323

 

 

 

1.45

%

 

4,750,000

 

 

1/15/21

 

Wells Fargo Bank, National Association

 

 

2.60

%

 

 

4,800,638

 

 

 

2.30

%

Diversified financial services

 

 

 

 

 

 

 

 

 

 

 

 

 

 

4,250,000

 

 

4/26/22

 

Goldman Sachs Group, Inc.

 

 

3.00

%

 

 

4,316,668

 

 

 

2.07

%

 

4,000,000

 

 

5/17/22

 

SunTrust Bank

 

 

2.80

%

 

 

4,092,513

 

 

 

1.96

%

Energy

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

4,850,000

 

 

2/15/21

 

Enterprise Products Operating LLC

 

 

2.80

%

 

 

4,842,661

 

 

 

2.32

%

Food

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

3,000,000

 

 

4/16/21

 

General Mills, Inc.

 

 

3.20

%

 

 

3,077,303

 

 

 

1.48

%

Healthcare

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

5,000,000

 

 

9/17/21

 

Cigna Corporation

 

 

3.40

%

 

 

5,056,511

 

 

 

2.43

%

 

3,000,000

 

 

6/1/21

 

CVS Health Corporation

 

 

2.13

%

 

 

3,002,401

 

 

 

1.44

%

 

4,797,000

 

 

3/15/22

 

Medtronic, Inc.

 

 

3.15

%

 

 

4,977,027

 

 

 

2.39

%

Pharmaceuticals

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

4,200,000

 

 

5/11/20

 

Amgen Inc.

 

 

2.18

%

 

 

4,213,117

 

 

 

2.02

%

 

3,500,000

 

 

6/25/21

 

Bayer US Finance II LLC

 

 

1.85

%

 

 

3,387,650

 

 

 

1.63

%

 

4,000,000

 

 

5/16/22

 

Bristol-Myers Squibb Company

 

 

2.60

%

 

 

4,121,512

 

 

 

1.98

%

 

3,500,000

 

 

2/1/23

 

Zoetis Inc.

 

 

3.25

%

 

 

3,582,546

 

 

 

1.72

%

Telecommunications

 

 

 

 

 

 

 

 

 

 

 

 

 

 

4,000,000

 

 

2/9/22

 

Apple Inc.

 

 

2.50

%

 

 

4,125,148

 

 

 

1.98

%

 

3,500,000

 

 

6/30/22

 

AT&T Inc.

 

 

3.00

%

 

 

3,555,889

 

 

 

1.71

%

Total U.S. corporate notes (cost: $73,001,482)

 

 

 

 

73,058,930

 

 

 

35.06

%

 

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

 

3

 

 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Description

 

 

 

 

 

Fair Value

 

 

% of Partners’
Capital (Net
Asset Value)

 

Foreign Corporate Notes

 

 

 

 

 

 

 

 

 

 

 

 

Face Value

 

 

Maturity Date

 

 

Name

 

 

Yield 1

 

 

 

 

 

 

 

 

Energy

 

 

 

 

 

 

 

 

 

 

 

$

2,500,000

 

 

5/11/20

 

 

Shell International Finance B.V.

 

 

2.13

%

 

$

2,517,968

 

 

 

1.21

%

Insurance

 

 

 

 

 

 

 

 

 

 

 

 

 

4,000,000

 

 

9/20/21

 

 

AIA Group Limited

 

 

1.64

%

 

 

3,947,181

 

 

 

1.89

%

Manufacturing

 

 

 

 

 

 

 

 

 

 

 

 

 

3,500,000

 

 

11/15/20

 

 

GE Capital International Funding Company

 

 

2.34

%

 

 

3,515,748

 

 

 

1.69

%

Total foreign corporate notes (cost: $9,933,690)

 

 

 

 

 

 

9,980,897

 

 

 

4.79

%

Total corporate notes (cost: $82,935,172)

 

 

 

 

 

 

83,039,827

 

 

 

39.85

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Asset Backed Securities

 

 

 

 

 

 

 

 

 

 

 

 

 

Face Value

 

 

Maturity Date

 

 

Name

 

 

Yield 1

 

 

 

 

 

 

 

 

Automotive

 

 

 

 

 

 

 

 

 

 

 

 

$

572,529

 

 

2/18/22

 

 

Americredit Automobile Receivables Trust 2017-1

 

 

2.30

%

 

 

562,494

 

 

 

0.27

%

 

301,460

 

 

7/18/22

 

 

Americredit Automobile Receivables Trust 2017-4

 

 

2.04

%

 

 

300,927

 

 

 

0.14

%

 

122,334

 

 

1/18/22

 

 

Americredit Automobile Receivables Trust 2018-3

 

 

3.11

%

 

 

122,396

 

 

 

0.06

%

 

208,102

 

 

9/19/22

 

 

Americredit Automobile Receivales Trust 2019-2

 

 

2.43

%

 

 

207,250

 

 

 

0.10

%

 

1,296,764

 

 

1/18/23

 

 

Americredit Automobile Receivables Trust 2019-3

 

 

2.17

%

 

 

1,294,024

 

 

 

0.62

%

 

772,000

 

 

7/20/21

 

 

BMW Vehicle Lease Trust 2018-1

 

 

3.26

%

 

 

768,668

 

 

 

0.37

%

 

250,000

 

 

1/22/24

 

 

Capital Auto Receivables Asset Trust 2016-3

 

 

2.65

%

 

 

250,326

 

 

 

0.12

%

 

47,592

 

 

2/22/21

 

 

Capital Auto Receivables Asset Trust 2018-2

 

 

3.02

%

 

 

47,668

 

 

 

0.02

%

 

400,000

 

 

7/15/22

 

 

Carmax Auto Owner Trust 2016-4

 

 

2.26

%

 

 

400,581

 

 

 

0.19

%

 

76,924

 

 

6/21/21

 

 

GM Financial Automobile Leasing Trust 2018-3

 

 

3.18

%

 

 

77,033

 

 

 

0.04

%

 

600,000

 

 

6/20/22

 

 

Honda Auto Receivables 2019-4 Owner Trust

 

 

1.86

%

 

 

594,978

 

 

 

0.29

%

 

13,813

 

 

2/16/21

 

 

Mercedes- Benz Auto Lease Trust 2018-A

 

 

2.41

%

 

 

13,812

 

 

 

0.01

%

 

150,000

 

 

10/15/20

 

 

NextGear Floorplan Master Owner Trust , Series 2017-2

 

 

2.56

%

 

 

148,371

 

 

 

0.07

%

 

157,668

 

 

5/16/22

 

 

Santander Drive Auto Receivables Trust 2017-1

 

 

2.58

%

 

 

157,743

 

 

 

0.08

%

 

457,711

 

 

4/20/22

 

 

Santander Retail Auto Lease Trust 2019-B

 

 

2.29

%

 

 

455,448

 

 

 

0.22

%

 

525,000

 

 

4/20/22

 

 

Tesla Auto Lease Trust 2019-A

 

 

2.13

%

 

 

522,466

 

 

 

0.25

%

 

526,937

 

 

8/15/23

 

 

World Omni Select Auto Trust 2019-A

 

 

2.06

%

 

 

525,334

 

 

 

0.25

%

Banks

 

 

 

 

 

 

 

 

 

 

 

 

 

22,597

 

 

11/25/27

 

 

SLM Student Loan Trust 2011-2

 

 

1.55

%

 

 

22,443

 

 

 

0.01

%

Credit cards

 

 

 

 

 

 

 

 

 

 

 

 

 

400,000

 

 

7/15/20

 

 

Barclays Dryrock Issuance Trust, Series 2017-2

 

 

1.00

%

 

 

398,213

 

 

 

0.19

%

 

400,000

 

 

8/17/20

 

 

Discover Card Execution Note Trust

 

 

1.88

%

 

 

399,352

 

 

 

0.19

%

 

820,000

 

 

8/15/24

 

 

World Financial Network Credit Card Master Note Trust -
Series 2017-C

 

 

2.31

%

 

 

811,862

 

 

 

0.39

%

Equipment

 

 

 

 

 

 

 

 

 

 

 

 

 

11,804

 

 

10/22/20

 

 

Dell Equipment Finance Trust 2018-1

 

 

1.22

%

 

 

11,808

 

 

 

0.01

%

 

423,093

 

 

5/20/22

 

 

DLL 2019-2 LLC

 

 

2.27

%

 

 

419,945

 

 

 

0.20

%

 

349,484

 

 

6/15/21

 

 

GreatAmerica Leasing Receivables Funding LLC, Series 2019-1

 

 

2.97

%

 

 

351,689

 

 

 

0.17

%

 

825,000

 

 

6/15/22

 

 

GreatAmerica Leasing Receivables Funding, LLC

 

 

1.76

%

 

 

817,643

 

 

 

0.39

%

 

103,132

 

 

12/20/21

 

 

Verizon Owner Trust 2017-2

 

 

1.92

%

 

 

102,553

 

 

 

0.05

%

 

598,983

 

 

4/20/22

 

 

Verizon Owner Trust 2017-3

 

 

2.06

%

 

 

600,243

 

 

 

0.29

%

Student loans

 

 

 

 

 

 

 

 

 

 

 

 

 

435,036

 

 

8/25/47

 

 

Sofi Professional Loan Program 2018-B Trust

 

 

2.64

%

 

 

420,941

 

 

 

0.20

%

Total U.S. asset backed securities (cost: $10,877,494)

 

 

 

 

 

 

10,806,211

 

 

 

5.19

%

Total investments in securities (cost: $152,399,543)

 

 

 

 

 

$

152,597,275

 

 

 

73.23

%

 

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

 

4

 

 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Description

 

 

 

 

 

Fair Value

 

 

% of Partners’

Capital
(Net Asset Value)

 

OPEN FUTURES CONTRACTS

 

 

 

 

 

 

 

 

 

 

 

Long U.S. Futures Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agricultural commodities

 

 

 

 

 

$

44,058

 

 

 

0.02

%

 

 

 

 

 

 

 

Currencies

 

 

 

 

 

 

8,426

 

 

 

0.00

%

 

 

 

 

 

 

 

Energy

 

 

 

 

 

 

(107,618

)

 

 

(0.05

)%

 

 

 

 

 

 

 

Equity indices

 

 

 

 

 

 

165,339

 

 

 

0.08

%

 

 

 

 

 

 

 

Interest rate instruments

 

 

 

 

 

 

1,658,417

 

 

 

0.80

%

 

 

 

 

 

 

 

Metals(2)

 

 

 

 

 

 

(17,169,204

)

 

 

(8.24

)%

 

 

 

 

 

 

 

Single stock futures

 

 

 

 

 

 

49,655

 

 

 

0.02

%

Net unrealized gain (loss) on open long U.S. futures contracts

 

 

 

 

 

(15,350,927

)

 

 

(7.37

)%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short U.S. Futures Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agricultural commodities

 

 

 

 

 

 

248,377

 

 

 

0.12

%

 

 

 

 

 

 

 

Currencies

 

 

 

 

 

 

119,184

 

 

 

0.06

%

 

 

 

 

 

 

 

Energy

 

 

 

 

 

 

1,900,792

 

 

 

0.91

%

 

 

 

 

 

 

 

Equity indices

 

 

 

 

 

 

45,837

 

 

 

0.02

%

 

 

 

 

 

 

 

Interest rate instruments

 

 

 

 

 

 

(85,449

)

 

 

(0.04

)%

 

 

 

 

 

 

 

Metals(2)

 

 

 

 

 

 

17,597,791

 

 

 

8.45

%

 

 

 

 

 

 

 

Single stock futures

 

 

 

 

 

 

(10,859

)

 

 

(0.01

)%

Net unrealized gain (loss) on open short U.S. futures contracts

 

 

 

 

 

19,815,673

 

 

 

9.51

%

 

 

 

 

 

 

 

 

 

 

 

 

Total U.S. Futures Contracts - net unrealized gain (loss) on open U.S. futures contracts

 

 

 

 

 

4,464,746

 

 

 

2.14

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Long Foreign Futures Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agricultural commodities

 

 

 

 

 

 

(13,907

)

 

 

(0.01

)%

 

 

 

 

 

 

 

Currencies

 

 

 

 

 

 

111,884

 

 

 

0.05

%

 

 

 

 

 

 

 

Energy

 

 

 

 

 

 

(487

)

 

 

0.00

%

 

 

 

 

 

 

 

Equity indices

 

 

 

 

 

 

435,721

 

 

 

0.21

%

 

 

 

 

 

 

 

Interest rate instruments

 

 

 

 

 

 

290,776

 

 

 

0.14

%

 

 

 

 

 

 

 

Metals

 

 

 

 

 

 

15,650

 

 

 

0.01

%

Net unrealized gain (loss) on open long foreign futures contracts

 

 

 

 

 

839,637

 

 

 

0.40

%

 

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

 

5

 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Description

 

 

 

 

 

Fair Value

 

 

% of Partners’

Capital
(Net Asset Value)

 

OPEN FUTURES CONTRACTS (continued)

 

 

 

 

 

 

 

 

 

 

 

Short Foreign Futures Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agricultural commodities

 

 

 

 

 

$

(16,197

)

 

 

(0.01

)%

 

 

 

 

 

 

 

Currencies

 

 

 

 

 

 

(36,687

)

 

 

(0.02

)%

 

 

 

 

 

 

 

Energy

 

 

 

 

 

 

285,471

 

 

 

0.14

%

 

 

 

 

 

 

 

Equity indices

 

 

 

 

 

 

(183,504

)

 

 

(0.09

)%

 

 

 

 

 

 

 

Interest rate instruments

 

 

 

 

 

 

(143,601

)

 

 

(0.07

)%

Net unrealized gain (loss) on open short foreign futures contracts

 

 

 

 

 

 

(94,518

)

 

 

(0.05

)%

 

 

 

 

 

 

 

 

 

 

 

 

 

Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts

 

 

 

 

 

 

745,119

 

 

 

0.35

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net unrealized gain (loss) on open futures contracts

 

 

 

 

 

$

5,209,865

 

 

 

2.49

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

OPEN FORWARD CURRENCY CONTRACTS

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Forward Currency Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Long(2)

 

 

 

 

 

$

(3,453,234

)

 

 

(1.66

)%

 

 

 

 

 

 

 

Short(2)

 

 

 

 

 

 

4,073,635

 

 

 

1.95

%

Net unrealized gain (loss) on open U.S. forward currency contracts

 

 

 

 

 

 

620,401

 

 

 

0.29

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Forward Currency Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Long

 

 

 

 

 

 

1,148,479

 

 

 

0.55

%

 

 

 

 

 

 

 

Short

 

 

 

 

 

 

(888,881

)

 

 

(0.43

)%

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

 

 

 

 

 

 

259,598

 

 

 

0.12

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net unrealized gain (loss) on open forward currency contracts

 

 

 

 

 

$

879,999

 

 

 

0.41

%

 

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

 

2 No individual futures or forward currency contract position constituted one percent or greater of partners’ capital (net asset value). Accordingly, the number of contracts and expiration dates are not presented.

 

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

 

6

 

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

                                       
              Description     Fair Value    

% of Partners’


Capital

(Net Asset Value)

 
INVESTMENTS IN SECURITIES                        
U.S. Treasury Securities                        
  Face Value     Maturity Date     Name     Yield1                
$ 8,500,000     1/31/20     U.S. Treasury     1.38 %   $ 8,547,582       3.44 %
  6,000,000     2/15/20     U.S. Treasury     1.38 %     6,028,349       2.43 %
  4,000,000     3/15/20     U.S. Treasury     1.63 %     4,018,661       1.62 %
  8,000,000     4/15/20     U.S. Treasury     1.50 %     8,023,074       3.23 %
Total U.S. Treasury securities (cost: $26,521,176)           26,617,666       10.72 %
                                       
U.S. Commercial Paper                        
  Face Value     Maturity Date     Name     Yield1                
Automotive                        
$ 1,300,000     1/13/20     Hyundai Capital America     1.71 %   $ 1,299,198       0.52 %
  1,300,000     1/7/20     VW Credit, Inc.     1.67 %     1,299,578       0.52 %
Banks                        
  1,400,000     2/14/20     Mitsubishi UFJ Trust & Banking Corporation (U.S.A.)     1.82 %     1,396,817       0.56 %
Beverages                                    
  1,400,000     1/2/20     Brown-Forman Corporation     0.85 %     1,399,934       0.57 %
Diversified financial services                        
  1,300,000     2/19/20     American Express Credit Corporation     1.84 %     1,296,674       0.52 %
  1,400,000     1/15/20     CRC Funding, LLC     1.66 %     1,399,031       0.57 %
  1,300,000     1/8/20     DCAT, LLC     1.55 %     1,299,553       0.52 %
  1,300,000     3/3/20     Gotham Funding Corporation     1.84 %     1,295,813       0.52 %
  1,400,000     2/10/20     Manhattan Asset Funding Company LLC     1.80 %     1,397,122       0.56 %
  1,400,000     1/16/20     Regency Markets No 1 LLC     1.87 %     1,398,833       0.56 %
Energy                        
  1,400,000     1/9/20     Centerpoint Energy Resources Corp.     1.72 %     1,399,396       0.57 %
  1,500,000     2/4/20     Exxon Mobil Corporation     1.59 %     1,497,677       0.61 %
Manufacturing                        
  1,300,000     1/17/20     Koch Industries, Inc.     1.65 %     1,298,989       0.52 %
REIT                        
  1,300,000     1/29/20     Simon Property Group, L.P.     1.74 %     1,298,180       0.52 %
Total U.S. commercial paper (cost: $18,946,261)             18,976,795       7.64 %
                         
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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Description

 

Fair Value

 

 

% of Partners’
Capital

(Net Asset Value)

 

U.S. Corporate Notes

 

 

 

 

 

 

 

 

 

 

 

 

 

Face Value

 

 

Maturity Date

 

 

Name

 

 

Yield1

 

 

 

 

 

 

 

 

Aerospace

 

 

 

 

 

 

 

 

 

 

 

 

$

4,000,000

 

 

5/1/22

 

 

Boeing Company

 

 

2.70

%

 

$

4,074,640

 

 

 

1.64

%

 

5,000,000

 

 

8/16/21

 

 

United Technologies Corporation

 

 

3.35

%

 

 

5,178,972

 

 

 

2.09

%

Agriculture

 

 

 

 

 

 

 

 

 

 

 

 

 

4,850,000

 

 

5/5/21

 

 

Altria Group, Inc.

 

 

4.75

%