Company Quick10K Filing
Quick10K
Grant Park Futures Fund Limited Partnership
10-Q 2019-06-30 Quarter: 2019-06-30
10-Q 2019-03-31 Quarter: 2019-03-31
10-K 2018-12-31 Annual: 2018-12-31
10-Q 2018-09-30 Quarter: 2018-09-30
10-Q 2018-06-30 Quarter: 2018-06-30
10-Q 2018-03-31 Quarter: 2018-03-31
10-K 2017-12-31 Annual: 2017-12-31
10-Q 2017-09-30 Quarter: 2017-09-30
10-Q 2017-06-30 Quarter: 2017-06-30
10-Q 2017-03-31 Quarter: 2017-03-31
10-K 2016-12-31 Annual: 2016-12-31
10-Q 2016-09-30 Quarter: 2016-09-30
10-Q 2016-06-30 Quarter: 2016-06-30
10-Q 2016-03-31 Quarter: 2016-03-31
10-K 2015-12-31 Annual: 2015-12-31
10-Q 2015-09-30 Quarter: 2015-09-30
10-Q 2015-06-30 Quarter: 2015-06-30
10-Q 2015-03-31 Quarter: 2015-03-31
10-K 2014-12-31 Annual: 2014-12-31
10-Q 2014-09-30 Quarter: 2014-09-30
10-Q 2014-06-30 Quarter: 2014-06-30
10-Q 2014-03-31 Quarter: 2014-03-31
10-K 2013-12-31 Annual: 2013-12-31
8-K 2019-08-31 Regulation FD, Exhibits
8-K 2019-07-31 Regulation FD, Exhibits
8-K 2019-06-30 Regulation FD, Exhibits
8-K 2019-05-31 Regulation FD, Exhibits
8-K 2019-04-30 Regulation FD, Exhibits
8-K 2019-04-01 Other Events
8-K 2019-03-31 Regulation FD, Exhibits
8-K 2019-03-21 Regulation FD, Exhibits
8-K 2019-01-31 Regulation FD, Exhibits
8-K 2018-12-31 Regulation FD, Exhibits
8-K 2018-12-31 Regulation FD, Exhibits
8-K 2018-11-30 Regulation FD, Exhibits
8-K 2018-10-31 Regulation FD, Exhibits
8-K 2018-09-30 Regulation FD, Exhibits
8-K 2018-08-31 Regulation FD, Exhibits
8-K 2018-07-31 Regulation FD, Exhibits
8-K 2018-06-30 Regulation FD, Exhibits
8-K 2018-05-31 Regulation FD, Exhibits
8-K 2018-04-30 Regulation FD, Exhibits
8-K 2018-03-31 Regulation FD, Exhibits
8-K 2018-02-28 Regulation FD, Exhibits
8-K 2018-01-31 Regulation FD, Exhibits
8-K 2017-12-31 Regulation FD, Exhibits
SHPG Shire 157,614
NINK NAMI 3,296
XPLR Xplore Technologies 66
KANP Kaanapali Land 60
SLTK Solis Tek 32
GRPV Gripevine 25
IFNY Infinity Energy Resources 0
BBII Brisset Beer 0
SQFT Presidio Property Trust 0
TDFF Ceres Tactical Systematic 0
GPFF 2019-06-30
Part I - Financial Information
Item 1. Financial Statements
Note 1. Nature of Business and Significant Accounting Policies
Note 2. Fair Value Measurements
Note 3. Deposits with Brokers and Interbank Market Makers
Note 4. Commodity Trading Advisors and Reference Traders
Note 5. General Partner and Related Party Transactions
Note 6. Redemptions and Allocation of Net Income or Loss
Note 7. Financial Highlights
Note 8. Trading Activities and Related Risks
Note 9. Indemnifications
Note 10. Derivative Instruments
Note 11. Subsequent Events
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 1A. Risk Factors
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds
Item 6. Exhibits
EX-31.1 gpff-20190630ex3117d5746.htm
EX-31.2 gpff-20190630ex312aee9a5.htm
EX-32.1 gpff-20190630ex321ce40f8.htm

Grant Park Futures Fund Limited Partnership Earnings 2019-06-30

GPFF 10Q Quarterly Report

Balance SheetIncome StatementCash Flow

10-Q 1 gpff-20190630x10q.htm 10-Q gpff_Current folio_10Q

 

 

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 June 30, 2019

 

TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF

THE SECURITIES EXCHANGE ACT OF 1934

 

For the Transition Period From                        to                    

 

Commission File Number:  0-50316

 

GRANT PARK FUTURES FUND

LIMITED PARTNERSHIP

(Exact name of registrant as specified in its charter)

 

 

 

 

Illinois

 

36-3596839

(State or other jurisdiction of

 

(I.R.S. Employer

incorporation or organization)

 

Identification Number)

 

 

 

c/o Dearborn Capital Management, L.L.C.

555 West Jackson Boulevard, Suite 600

Chicago, Illinois 60661

(Address of Principal Executive Offices, including Zip Code)

 

Registrant’s telephone number, including area code: (312) 756-4450

 

 

 

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 definitions of “large accelerated filer”, “accelerated filer” and “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 Securities Exchange Act of 1934). Yes   No 

 

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

 

 

 

Title of each class

Trading Symbol(s)

Name of each exchange on which registered

Class A Units

Class B Units

Legacy 1 Class Units

Legacy 2 Class Units

Global Alternative Markets 1 Class Units

Global Alternative Markets 2 Class Units

Global Alternative Markets 3 Class Units

None

None

None

None

None

None

None

None

None

None

None

None

None

None

 

 

 

 

 


 

GRANT PARK FUTURES FUND LIMITED PARTNERSHIP

 

QUARTER ENDED June 30, 2019

 

INDEX

 

PART I – FINANCIAL INFORMATION 

 

 

 

ITEM 1. 

Financial Statements

 

 

 

 

 

Consolidated Statements of Financial Condition as of June 30, 2019 (unaudited)
and December 31, 2018

2

 

 

 

 

Consolidated Condensed Schedule of Investments as of June 30, 2019 (unaudited)

3

 

 

 

 

Consolidated Condensed Schedule of Investments as of December 31, 2018

5

 

 

 

 

Consolidated Statements of Operations for the three and six months ended
June 30, 2019 and 2018 (unaudited)

7

 

 

 

 

Consolidated Statements of Changes in Partners’ Capital (Net Asset Value)
for the six months ended June 30, 2019 and 2018 (unaudited)

8

 

 

 

 

Notes to Consolidated Financial Statements (unaudited)

12

 

 

 

ITEM 2. 

Management’s Discussion and Analysis of Financial Condition and Results of Operations

33

 

 

 

ITEM 3. 

Quantitative and Qualitative Disclosures About Market Risk

42

 

 

 

ITEM 4. 

Controls and Procedures

47

 

PART II – OTHER INFORMATION 

 

 

 

ITEM 1A.  

Risk Factors

48

 

 

 

ITEM 2.  

Unregistered Sales of Equity Securities and Use of Proceeds

48

 

 

 

ITEM 6.  

Exhibits

50

 

 

 

SIGNATURES 

51

CERTIFICATIONS

 

 

 

PART I - FINANCIAL INFORMATION

 

Item 1.  Financial Statements

 

Grant Park Futures Fund Limited Partnership

Consolidated Statements of Financial Condition

 

 

 

 

 

 

 

 

 

    

June 30, 

    

December 31, 

 

 

 

2019

    

2018

 

 

 

 

(Unaudited)

 

 

 

 

Assets

 

 

 

 

 

 

 

Equity in brokers' trading accounts:

 

 

 

 

 

 

 

Cash

 

$

11,330,834

 

$

12,858,812

 

Net unrealized gain (loss) on open futures contracts

 

 

1,882,060

 

 

1,727,541

 

Net unrealized gain (loss) on open forward currency contracts

 

 

51,654

 

 

(41,428)

 

Net unrealized gain (loss) on open swap contracts

 

 

1,564,526

 

 

1,933,109

 

Total equity in brokers' trading accounts

 

 

14,829,074

 

 

16,478,034

 

Cash and cash equivalents

 

 

7,884,353

 

 

2,519,703

 

Securities owned, at fair value (cost $48,864,086 and $60,715,159, respectively)

 

 

49,036,012

 

 

60,736,458

 

Interest and dividend receivable, net

 

 

5,452

 

 

13,919

 

Total assets

 

$

71,754,891

 

$

79,748,114

 

Liabilities and Partners' Capital (Net Asset Value)

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

Brokerage charge payable

 

$

353,100

 

$

389,272

 

Accrued incentive fees

 

 

233,172

 

 

 —

 

Organization and offering costs payable

 

 

17,152

 

 

19,125

 

Accrued operating expenses

 

 

14,938

 

 

16,593

 

Redemptions payable to limited partners

 

 

1,836,943

 

 

1,388,425

 

Other liabilities

 

 

9,362

 

 

 —

 

Total liabilities

 

 

2,464,667

 

 

1,813,415

 

Partners' Capital (Net Asset Value)

 

 

 

 

 

 

 

General Partner

 

 

 

 

 

 

 

Class A (307.34 units outstanding at both June 30, 2019 and December 31, 2018)

 

 

299,129

 

 

290,822

 

Legacy 1 Class (0.00 and 574.13 units outstanding at June 30, 2019 and December 31, 2018, respectively)

 

 

 —

 

 

445,722

 

Legacy 2 Class (263.13 units outstanding at both June 30, 2019 and December 31, 2018)

 

 

206,557

 

 

199,013

 

Global 1 Class (392.74 and 469.97 units outstanding at June 30, 2019 and December 31, 2018, respectively)

 

 

317,958

 

 

365,357

 

Global 2 Class (231.81 units outstanding at both June 30, 2019 and December 31, 2018)

 

 

183,210

 

 

176,000

 

 

 

 

 

 

 

 

 

Limited Partners

 

 

 

 

 

 

 

Class A (4,118.32 and 4,655.70 units outstanding at June 30, 2019 and December 31, 2018, respectively)

 

 

4,008,215

 

 

4,405,397

 

Class B (57,908.40 and 66,834.11 units outstanding at June 30, 2019 and December 31, 2018, respectively)

 

 

45,579,932

 

 

51,282,621

 

Legacy 1 Class (510.60 and 726.20 units outstanding at June 30, 2019 and December 31, 2018, respectively)

 

 

412,207

 

 

563,781

 

Legacy 2 Class (166.90 units outstanding at both June 30, 2019 and December 31, 2018)

 

 

131,013

 

 

126,227

 

Global 1 Class (21,106.13 and 24,310.14 units outstanding at June 30, 2019 and December 31, 2018, respectively)

 

 

17,087,292

 

 

18,898,570

 

Global 2 Class (709.12 and 736.07 units outstanding at June 30, 2019 and December 31, 2018, respectively)

 

 

560,468

 

 

558,876

 

Global 3 Class (762.09 and 971.50 units outstanding at June 30, 2019 and December 31, 2018, respectively)

 

 

504,243

 

 

622,313

 

Total partners' capital (net asset value)

 

 

69,290,224

 

 

77,934,699

 

Total liabilities and partners' capital (net asset value)

 

$

71,754,891

 

$

79,748,114

 

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

 

2

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments

June  30, 2019

(Unaudited)

 

Futures, Forward and Swap Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

    

Unrealized gain/(loss) on open long contracts

    

Percent of Partners’ Capital (Net Asset Value)

    

Unrealized gain/(loss) on open short contracts

    

Percent of Partners’ Capital (Net Asset Value)

    

Net unrealized gain/(loss) on open contracts

    

Percent of Partners’ Capital (Net Asset Value)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Futures Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$

(16,000)

 

(0.02)

%  

$

(11,387)

 

(0.02)

%  

$

(27,387)

 

(0.04)

%

Currencies

 

 

46,837

 

0.07

%  

 

(118,961)

 

(0.17)

%  

 

(72,124)

 

(0.10)

%

Energy

 

 

200,985

 

0.29

%  

 

(80,123)

 

(0.12)

%  

 

120,862

 

0.17

%

Interest rates

 

 

602,427

 

0.87

%  

 

(68,045)

 

(0.10)

%  

 

534,382

 

0.77

%

Meats

 

 

 —

 

 —

%  

 

60,211

 

0.09

%  

 

60,211

 

0.09

%

Metals

 

 

371,412

 

0.54

%  

 

(27,263)

 

(0.04)

%  

 

344,149

 

0.50

%

Soft commodities

 

 

(2,620)

 

 —

%  

 

(71,010)

 

(0.10)

%  

 

(73,630)

 

(0.10)

%

Stock indices and single stock futures

 

 

131,379

 

0.19

%  

 

(13,773)

 

(0.02)

%  

 

117,606

 

0.17

%

Total U.S. Futures Positions

 

 

1,334,420

 

 

 

 

(330,351)

 

 

 

 

1,004,069

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

 

(299)

 

 —

%  

 

4,886

 

0.01

%  

 

4,587

 

0.01

%

Currencies

 

 

3,852

 

0.01

%  

 

 —

 

 —

%  

 

3,852

 

0.01

%

Energy

 

 

 —

 

 —

%  

 

1,523

 

 —

%  

 

1,523

 

 —

%

Interest rates

 

 

735,833

 

1.06

%  

 

6,306

 

0.01

%  

 

742,139

 

1.07

%

Metals

 

 

(6,562)

 

(0.01)

%  

 

1,229

 

 —

%  

 

(5,333)

 

(0.01)

%

Soft commodities

 

 

(8,788)

 

(0.01)

%  

 

(875)

 

 —

%  

 

(9,663)

 

(0.01)

%

Stock indices

 

 

147,984

 

0.21

%  

 

(7,098)

 

(0.01)

%  

 

140,886

 

0.20

%

Total Foreign Futures Positions

 

 

872,020

 

 

 

 

5,971

 

 

 

 

877,991

 

 

 

Total Futures Contracts

 

$

2,206,440

 

3.19

%  

$

(324,380)

 

(0.47)

%  

$

1,882,060

 

2.72

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currencies

 

$

92,660

 

0.13

%  

$

(41,006)

 

(0.06)

%  

$

51,654

 

0.07

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Deutsche Bank total return swap, Termination date April 30, 2024

 

$

(764,657)

 

(1.10)

%  

$

 —

 

 —

%  

$

(764,657)

 

(1.10)

%

Deutsche Bank total return swap, Termination date July 1, 2020

 

 

2,329,183

 

3.36

%  

 

 —

 

 —

%  

 

2,329,183

 

3.36

%

Total Swap Contracts

 

$

1,564,526

 

2.26

%  

$

 —

 

 —

%

$

1,564,526

 

2.26

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Futures, Forward and

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts

 

$

3,863,626

 

5.58

%  

$

(365,386)

 

(0.53)

%  

$

3,498,240

 

5.05

%

*No individual futures and forward contract position constituted greater than 1 percent 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 consolidated financial statements.

3

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

June 30, 2019

(Unaudited)

 

Securities owned

U.S. Government-sponsored enterprises

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                               

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

 

(net asset value)

 

$

2,500,000

 

7/19/2019

 

Federal Agricultural Mortgage Corp., 1.1%

 

$

2,512,825

 

3.63

%

 

9,686,000

 

8/1/2019-4/18/2022

 

Federal Farm Credit Banks, 1.2-2.6%

 

 

9,737,106

 

14.05

%

 

15,340,000

 

7/11/2019-12/21/2021

 

Federal Home Loan Banks, 1.1-2.3%

 

 

15,385,141

 

22.20

%

 

 

 

Total U.S. Government-sponsored enterprises (cost $27,544,700)

 

 

 

$

27,635,072

 

39.88

%

 

U.S. Government securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                   

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

 

(net asset value)

 

$

16,500,000

 

9/12/2019-12/26/2019

 

U.S. Treasury bills, 2.1%-2.7% (cost $16,215,487)

 

$

16,377,390

 

23.64

%

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Exchange-traded funds

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                               

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Shares

    

Description

    

 

Fair Value

 

(net asset value)

 

 

85,000

 

Highland / iBoxx Senior Loan ETF

 

 

 

$

1,490,900

 

2.15

%

 

20,000

 

PIMCO Enhanced Short Maturity Active ETF

 

 

 

 

2,035,000

 

2.94

%

 

55,000

 

SPDR Bloomberg Barclays Short Term High Yield Bond ETF

 

 

 

 

1,497,650

 

2.16

%

 

 

 

Total Exchange-traded funds (cost $5,103,899)

 

 

 

$

5,023,550

 

7.25

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

Partners' Capital

 

 

  

Fair Value

   

(net asset value)

 

Total securities owned (cost of $48,864,086)

 

$

49,036,012

 

70.77

%

 

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

4

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments

December 31, 2018

Futures, Forward and Swap Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

    

Unrealized gain/(loss) on open long contracts

    

Percent of Partners’ Capital (Net Asset Value)

    

Unrealized gain/(loss) on open short contracts

    

Percent of Partners’ Capital (Net Asset Value)

    

Net unrealized gain/(loss) on open contracts

    

Percent of Partners’ Capital (Net Asset Value)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Futures Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$

(5,122)

 

(0.01)

%  

$

115,643

 

0.15

%  

$

110,521

 

0.14

%

Currencies

 

 

(15,142)

 

(0.02)

%  

 

47,136

 

0.06

%  

 

31,994

 

0.04

%

Energy

 

 

(28,466)

 

(0.04)

%  

 

212,013

 

0.27

%  

 

183,547

 

0.23

%

Interest rates

 

 

687,228

 

0.88

%  

 

(193,906)

 

(0.25)

%  

 

493,322

 

0.63

%

Meats

 

 

27,198

 

0.03

%  

 

(13,968)

 

(0.01)

%  

 

13,230

 

0.02

%

Metals

 

 

90,510

 

0.11

%  

 

6,144

 

0.01

%  

 

96,654

 

0.12

%

Soft commodities

 

 

(3,636)

 

 —

%  

 

132,494

 

0.17

%  

 

128,858

 

0.17

%

Stock indices and single stock futures

 

 

(182,098)

 

(0.23)

%  

 

10,867

 

0.01

%  

 

(171,231)

 

(0.22)

%

Total U.S. Futures Positions

 

 

570,472

 

 

 

 

316,423

 

 

 

 

886,895

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

 

4,956

 

0.01

%  

 

560

 

 —

%  

 

5,516

 

0.01

%

Currencies

 

 

5,618

 

0.01

%  

 

3,108

 

 —

%  

 

8,726

 

0.01

%

Interest rates

 

 

769,472

 

0.99

%  

 

(20,778)

 

(0.03)

%  

 

748,694

 

0.96

%

Metals

 

 

(123,260)

 

(0.16)

%  

 

292,388

 

0.38

%  

 

169,128

 

0.22

%

Soft commodities

 

 

 —

 

 —

%  

 

(4,958)

 

(0.01)

%  

 

(4,958)

 

(0.01)

%

Stock indices

 

 

(164,812)

 

(0.21)

%  

 

78,352

 

0.10

%  

 

(86,460)

 

(0.11)

%

Total Foreign Futures Positions

 

 

491,974

 

 

 

 

348,672

 

 

 

 

840,646

 

 

 

Total Futures Contracts

 

$

1,062,446

 

1.36

%  

$

665,095

 

0.85

%  

$

1,727,541

 

2.21

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currencies

 

$

19,404

 

0.03

%  

$

(60,832)

 

(0.08)

%  

$

(41,428)

 

(0.05)

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Deutsche Bank total return swap, Termination date March 29, 2019

 

$

(595,870)

 

(0.76)

%  

$

 —

 

 —

%  

$

(595,870)

 

(0.76)

%

Deutsche Bank total return swap, Termination date July 1, 2020

 

 

2,528,979

 

3.24

%  

 

 —

 

 —

%  

 

2,528,979

 

3.24

%

Total Swap Contracts

 

$

1,933,109

 

2.48

%  

$

 —

 

 —

%

$

1,933,109

 

2.48

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Futures, Forward and

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts

 

$

3,014,959

 

3.87

%  

$

604,263

 

0.77

%  

$

3,619,222

 

4.64

%

 

*No individual futures and forward contract position constituted greater than 1 percent 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 consolidated financial statements.

5

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

December 31, 2018

 

Securities owned

U.S. Government-sponsored enterprises

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$

2,500,000

 

7/19/2019

 

Federal Agricultural Mortgage Corp., 1.1%

 

$

2,512,825

 

3.22

%

 

23,000,000

 

2/22/2019-8/1/2019

 

Federal Farm Credit Banks, 1.2-1.3%

 

 

23,067,965

 

29.60

%

 

16,000,000

 

4/29/2019-12/2/2019

 

Federal Home Loan Banks, 1.1-1.5%

 

 

16,054,389

 

20.60

%

 

 

 

Total U.S. Government-sponsored enterprises (cost $41,497,750)

 

 

 

$

41,635,179

 

53.42

%

U.S. Government securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                   

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

 

(net asset value)

 

$

15,000,000

 

3/28/2019-12/5/2019

 

U.S. Treasury bills, 2.1%-2.7% (cost $14,699,357)

 

$

14,752,579

 

18.93

%

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Exchange-traded funds

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                               

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Shares

    

Description

    

 

Fair Value

 

(net asset value)

 

 

75,000

 

Highland / iBoxx Senior Loan ETF

 

 

 

$

1,288,500

 

1.65

%

 

20,000

 

PIMCO Enhanced Short Maturity Active ETF

 

 

 

 

2,019,000

 

2.59

%

 

40,000

 

SPDR Bloomberg Barclays Short Term High Yield Bond ETF

 

 

 

 

1,041,200

 

1.34

%

 

 

 

Total Exchange-traded funds (cost $4,518,052)

 

 

 

$

4,348,700

 

5.58

%

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

Partners' Capital

 

 

    

Fair Value

    

(net asset value)

 

Total securities owned (cost of $60,715,159)

 

$

60,736,458

 

77.93

%

 

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

 

6

Grant Park Futures Fund Limited Partnership

Consolidated Statements of Operations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

    

Three Months Ended

 

Six Months Ended

 

 

 

June 30, 

 

June 30, 

 

 

 

2019

 

2018

    

2019

    

2018

 

 

 

(Unaudited)

 

(Unaudited)

 

Net trading gains (losses)

 

 

 

 

 

 

 

 

 

 

 

 

 

Net gain (loss) from futures trading

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized

 

$

2,427,565

 

$

(131,730)

 

$

4,315,148

 

$

(2,049,776)

 

Change in unrealized

 

 

(205,963)

 

 

864,892

 

 

154,519

 

 

(1,139,241)

 

Commissions

 

 

(261,281)

 

 

(348,907)

 

 

(537,779)

 

 

(742,646)

 

Net gains (losses) from futures trading

 

 

1,960,321

 

 

384,255

 

 

3,931,888

 

 

(3,931,663)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net gain (loss) from forward trading