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, 2013
Commission file number: 000-50728
FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP
Organized in Maryland | IRS Employer Identification No.: 52-1627106 |
c/o Steben & Company, Inc.
2099 Gaither Road, Suite 200
Rockville, Maryland 20850
(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.
Yesx No¨
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).
Yesx No¨
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See definition of “large accelerated filer”, “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.
Large accelerated filer | ¨ | Accelerated filer | ¨ |
Non-accelerated filer | x | Smaller Reporting Company | ¨ |
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).
Yes¨ Nox
PART I: FINANCIAL INFORMATION
Item 1. Financial Statements
Futures Portfolio Fund, Limited Partnership
Consolidated Statements of Financial Condition
March 31, 2013 (Unaudited) and December 31, 2012 (Audited)
March 31, 2013 | December 31, 2012 | |||||||
Assets | ||||||||
Equity in broker trading accounts | ||||||||
Cash | $ | 470,662,264 | $ | 509,692,323 | ||||
Net unrealized gain on open futures contracts | 22,190,100 | 12,117,973 | ||||||
Net unrealized gain (loss) on open forward currency contracts | (5,813 | ) | 5,626,395 | |||||
Total equity in broker trading accounts | 492,846,551 | 527,436,691 | ||||||
Cash and cash equivalents | 43,999,913 | 23,524,330 | ||||||
Investments in securities, at fair value | 666,352,795 | 700,338,316 | ||||||
Certificates of deposit, at fair value | 59,167,006 | 68,111,362 | ||||||
General Partner 1% allocation receivable | — | 847,505 | ||||||
Total assets | $ | 1,262,366,265 | $ | 1,320,258,204 | ||||
Liabilities and Partners’ Capital (Net Asset Value) | ||||||||
Liabilities | ||||||||
Trading Advisor management fees payable | $ | 2,001,524 | $ | 2,067,535 | ||||
Commissions and other trading fees payable on open contracts | 257,410 | 278,431 | ||||||
Cash Manager fees payable | 270,385 | 307,443 | ||||||
General Partner management and performance fees payable | 1,565,827 | 1,635,993 | ||||||
General Partner 1% allocation payable | 260,796 | — | ||||||
Selling Agent fees payable – General Partner | 1,335,404 | 1,380,866 | ||||||
Administrative expenses payable – General Partner | 470,985 | 490,790 | ||||||
Redemptions payable | 38,437,189 | 41,157,564 | ||||||
Subscriptions received in advance | 3,820,163 | 9,060,642 | ||||||
Total liabilities | 48,419,683 | 56,379,264 | ||||||
Partners’ Capital (Net Asset Value) | ||||||||
Class A Interests – 168,184.9654 and 178,207.9880 units outstanding | ||||||||
at March 31, 2013 and December 31, 2012, respectively | 724,490,811 | 753,610,488 | ||||||
Class B Interests – 80,932.0322 and 86,910.3630 units outstanding | ||||||||
at March 31, 2013 and December 31, 2012, respectively | 484,036,930 | 508,000,871 | ||||||
Class I Interests – 5,790.0026 and 2,484.3408 units outstanding | ||||||||
At March 31, 2013 and December 31, 2012, respectively | 5,418,841 | 2,267,581 | ||||||
Total partners' capital (net asset value) | 1,213,946,582 | 1,263,878,940 | ||||||
Total liabilities and partners' capital (net asset value) | $ | 1,262,366,265 | $ | 1,320,258,204 |
The accompanying notes are an integral part of these consolidated financial statements.
1 |
Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments
March 31, 2013
(Unaudited)
Description | Fair Value | % of Partners' Capital (Net Asset Value) | ||||||||||||||||
INVESTMENTS IN SECURITIES | ||||||||||||||||||
U.S. Treasury Securities | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
$ | 4,000,000 | 4/30/13 | U.S. Treasury Notes | 3.13 | % | $ | 4,062,170 | 0.33 | % | |||||||||
7,350,000 | 5/31/13 | U.S. Treasury Notes | 3.50 | % | 7,477,271 | 0.62 | % | |||||||||||
8,850,000 | 6/15/13 | U.S. Treasury Notes | 1.13 | % | 8,897,932 | 0.73 | % | |||||||||||
9,000,000 | 7/15/13 | U.S. Treasury Notes | 1.00 | % | 9,042,448 | 0.75 | % | |||||||||||
7,500,000 | 8/15/13 | U.S. Treasury Notes | 0.75 | % | 7,524,572 | 0.62 | % | |||||||||||
3,185,000 | 8/31/13 | U.S. Treasury Notes | 3.13 | % | 3,233,216 | 0.27 | % | |||||||||||
12,020,000 | 8/31/13 | U.S. Treasury Notes | 0.13 | % | 12,021,307 | 1.00 | % | |||||||||||
8,000,000 | 9/30/13 | U.S. Treasury Notes | 0.13 | % | 8,000,027 | 0.66 | % | |||||||||||
3,200,000 | 10/31/13 | U.S. Treasury Notes | 2.75 | % | 3,285,325 | 0.27 | % | |||||||||||
5,000,000 | 11/15/13 | U.S. Treasury Notes | 0.50 | % | 5,020,791 | 0.41 | % | |||||||||||
8,250,000 | 11/30/13 | U.S. Treasury Notes | 0.25 | % | 8,262,391 | 0.68 | % | |||||||||||
8,000,000 | 12/15/13 | U.S. Treasury Notes | 0.75 | % | 8,051,389 | 0.66 | % | |||||||||||
8,000,000 | 2/28/14 | U.S. Treasury Notes | 1.88 | % | 8,137,731 | 0.67 | % | |||||||||||
8,350,000 | 3/31/14 | U.S. Treasury Notes | 1.75 | % | 8,481,194 | 0.70 | % | |||||||||||
4,000,000 | 4/30/14 | U.S. Treasury Notes | 0.25 | % | 4,007,167 | 0.33 | % | |||||||||||
7,500,000 | 5/15/14 | U.S. Treasury Notes | 1.00 | % | 7,596,649 | 0.63 | % | |||||||||||
3,000,000 | 5/31/14 | U.S. Treasury Notes | 0.25 | % | 3,004,623 | 0.25 | % | |||||||||||
4,500,000 | 6/30/14 | U.S. Treasury Notes | 2.63 | % | 4,665,396 | 0.38 | % | |||||||||||
4,000,000 | 6/30/14 | U.S. Treasury Notes | 0.25 | % | 4,005,326 | 0.33 | % | |||||||||||
2,700,000 | 12/31/14 | U.S. Treasury Notes | 0.13 | % | 2,696,207 | 0.22 | % | |||||||||||
3,700,000 | 1/31/15 | U.S. Treasury Notes | 0.25 | % | 3,702,399 | 0.30 | % | |||||||||||
Total U.S. Treasury securities (cost: $131,660,566) | 131,175,531 | 10.81 | % | |||||||||||||||
U.S. Government Sponsored Enterprise Notes | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
$ | 1,160,000 | 5/28/13 | Federal Farm Credit Bank | 0.19 | % | 1,160,211 | 0.10 | % | ||||||||||
250,000 | 8/9/13 | Federal National Mortgage Assoc. | 0.50 | % | 250,514 | 0.02 | % | |||||||||||
Total U.S. government sponsored enterprise notes (cost: $1,410,907) | 1,410,725 | 0.12 | % | |||||||||||||||
U.S. Commercial Paper | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
Agriculture | ||||||||||||||||||
$ | 2,800,000 | 4/29/13 | Archer-Daniels-Midland | 0.16 | % | 2,799,650 | 0.23 | % | ||||||||||
Banks | ||||||||||||||||||
3,300,000 | 4/4/13 | Bank of Tokyo-Mitsubishi UFJ, Ltd. | 0.17 | % | 3,299,953 | 0.27 | % | |||||||||||
3,000,000 | 4/8/13 | Deutsche Bank Financial LLC | 0.16 | % | 2,999,907 | 0.25 | % | |||||||||||
3,200,000 | 4/5/13 | HSBC USA Inc. | 0.25 | % | 3,199,911 | 0.26 | % | |||||||||||
3,000,000 | 5/20/13 | Mizuho Funding LLC | 0.23 | % | 2,999,061 | 0.25 | % | |||||||||||
3,000,000 | 7/15/13 | Standard Chartered Bank | 0.23 | % | 2,997,988 | 0.25 | % | |||||||||||
2,250,000 | 4/15/13 | UBS Finance (Delaware) LLC | 0.15 | % | 2,249,869 | 0.19 | % | |||||||||||
Beverages | ||||||||||||||||||
3,250,000 | 4/17/13 | Bacardi | 0.30 | % | 3,249,567 | 0.27 | % | |||||||||||
3,000,000 | 4/22/13 | Brown-Forman Corp. | 0.20 | % | 2,999,650 | 0.25 | % |
The accompanying notes are an integral part of these consolidated financial statements.
2 |
Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
March 31, 2013
(Unaudited)
Description | Fair Value | % of Partners' Capital (Net Asset Value) | ||||||||||||||||
U.S. Commercial Paper (continued) | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
Diversified Financial Services | ||||||||||||||||||
$ | 2,700,000 | 4/3/13 | Harley-Davidson Funding Corp. | 0.30 | % | $ | 2,699,955 | 0.22 | % | |||||||||
1,600,000 | 5/3/13 | ING (U.S.) Funding LLC | 0.21 | % | 1,599,701 | 0.13 | % | |||||||||||
2,700,000 | 4/30/13 | River Fuel Company #2, Inc. | 0.17 | % | 2,699,630 | 0.22 | % | |||||||||||
Energy | ||||||||||||||||||
3,500,000 | 4/1/13 | Devon Energy Corp. | 0.25 | % | 3,500,000 | 0.28 | % | |||||||||||
3,300,000 | 4/1/13 | Motiva Enterprises LLC | 0.16 | % | 3,300,000 | 0.27 | % | |||||||||||
3,000,000 | 4/16/13 | NextEra Energy Capital Holdings, Inc. | 0.33 | % | 2,999,588 | 0.25 | % | |||||||||||
2,000,000 | 4/19/13 | Oglethorpe Power Corp. | 0.20 | % | 1,999,800 | 0.16 | % | |||||||||||
3,000,000 | 4/24/13 | ONEOK, Inc. | 0.32 | % | 2,999,387 | 0.25 | % | |||||||||||
3,000,000 | 4/5/13 | Pacific Gas and Electric Company | 0.24 | % | 2,999,920 | 0.25 | % | |||||||||||
3,200,000 | 4/3/13 | Questar Corp. | 0.26 | % | 3,199,954 | 0.26 | % | |||||||||||
1,100,000 | 4/18/13 | Sempra Energy Global Enterprises | 0.30 | % | 1,099,844 | 0.09 | % | |||||||||||
Total U.S. commercial paper (cost: $55,884,949) | 55,893,335 | 4.60 | % | |||||||||||||||
Foreign Commercial Paper | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
Banks | ||||||||||||||||||
$ | 2,000,000 | 6/17/13 | Bank of Nova Scotia | 0.19 | % | 1,999,187 | 0.16 | % | ||||||||||
2,200,000 | 4/8/13 | Commonwealth Bank of Australia | 0.18 | % | 2,199,923 | 0.18 | % | |||||||||||
2,300,000 | 4/10/13 | DBS Bank Ltd. | 0.19 | % | 2,299,891 | 0.19 | % | |||||||||||
2,400,000 | 4/22/13 | DNB Bank ASA | 0.18 | % | 2,399,748 | 0.20 | % | |||||||||||
3,100,000 | 7/1/13 | Oversea-Chinese Banking Corp. Ltd | 0.21 | % | 3,098,354 | 0.26 | % | |||||||||||
3,250,000 | 6/19/13 | Skandinaviska Enskilda Banken AB | 0.21 | % | 3,248,502 | 0.27 | % | |||||||||||
2,500,000 | 4/24/13 | Sumitomo Mitsui Bank | 0.22 | % | 2,499,649 | 0.21 | % | |||||||||||
Energy | ||||||||||||||||||
3,000,000 | 4/22/13 | GDF Suez | 0.21 | % | 2,999,633 | 0.25 | % | |||||||||||
Household Products | ||||||||||||||||||
5,250,000 | 4/8/13 | Reckitt Benckiser Treasury Services PLC | 0.80 | % | 5,249,650 | 0.42 | % | |||||||||||
2,300,000 | 3/4/14 | Reckitt Benckiser Treasury Services PLC | 0.43 | % | 2,291,191 | 0.19 | % | |||||||||||
Multi-national | ||||||||||||||||||
2,750,000 | 6/18/13 | Corporacion Andina de Fomento | 0.22 | % | 2,748,689 | 0.23 | % | |||||||||||
Total foreign commercial paper (cost: $30,986,546) | 31,034,417 | 2.56 | % | |||||||||||||||
Total commercial paper (cost: $86,871,495) | 86,927,752 | 7.16 | % | |||||||||||||||
U.S. Corporate Notes | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
Aerospace | ||||||||||||||||||
$ | 11,500,000 | 12/2/13 | United Technologies | 0.56 | % | 11,530,235 | 0.94 | % | ||||||||||
Apparel | ||||||||||||||||||
4,325,000 | 8/23/13 | V.F. Corp. | 1.04 | % | 4,342,367 | 0.36 | % | |||||||||||
Automotive | ||||||||||||||||||
4,300,000 | 7/31/15 | Daimler Finance North America LLC | 1.30 | % | 4,319,758 | 0.36 | % | |||||||||||
1,400,000 | 1/10/14 | ERAC USA Finance LLC | 2.25 | % | 1,423,531 | 0.12 | % |
The accompanying notes are an integral part of these consolidated financial statements.
3 |
Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
March 31, 2013
(Unaudited)
Description | Fair Value | % of Partners' Capital (Net Asset Value) | ||||||||||||||||
U.S. Corporate Notes (continued) | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
Banks | ||||||||||||||||||
$ | 2,000,000 | 4/16/13 | American Express Bank | 5.50 | % | $ | 2,055,498 | 0.17 | % | |||||||||
10,450,000 | 1/30/14 | Bank of America | 1.72 | % | 10,574,094 | 0.86 | % | |||||||||||
2,200,000 | 4/1/13 | Bank of New York Mellon | 4.50 | % | 2,250,493 | 0.19 | % | |||||||||||
2,000,000 | 8/27/13 | Bank of New York Mellon | 5.13 | % | 2,047,699 | 0.17 | % | |||||||||||
5,000,000 | 7/28/14 | Bank of New York Mellon | 0.57 | % | 5,016,697 | 0.41 | % | |||||||||||
2,475,000 | 9/25/13 | BB&T | 3.38 | % | 2,512,441 | 0.21 | % | |||||||||||
189,000 | 4/1/14 | Citigroup | 1.24 | % | 190,273 | 0.02 | % | |||||||||||
8,000,000 | 4/1/16 | Citigroup | 1.30 | % | 7,983,900 | 0.66 | % | |||||||||||
3,094,000 | 5/15/13 | Credit Suisse (USA), Inc. | 5.00 | % | 3,169,767 | 0.26 | % | |||||||||||
4,750,000 | 2/7/14 | Goldman Sachs | 1.30 | % | 4,779,475 | 0.39 | % | |||||||||||
10,000,000 | 5/2/14 | JPMorgan Chase & Co. | 1.03 | % | 10,069,184 | 0.83 | % | |||||||||||
7,500,000 | 1/9/14 | Morgan Stanley | 0.61 | % | 7,487,063 | 0.62 | % | |||||||||||
1,650,000 | 5/1/14 | Northern Trust Corp. | 4.63 | % | 1,757,314 | 0.14 | % | |||||||||||
5,000,000 | 4/14/14 | SSIF Nevada, LP | 1.01 | % | 5,005,078 | 0.41 | % | |||||||||||
300,000 | 6/14/13 | U.S. Bancorp | 2.00 | % | 302,870 | 0.02 | % | |||||||||||
2,650,000 | 10/30/13 | U.S. Bancorp | 1.13 | % | 2,672,970 | 0.22 | % | |||||||||||
2,354,000 | 8/12/13 | UBS AG | 2.25 | % | 2,372,320 | 0.20 | % | |||||||||||
3,800,000 | 5/1/13 | Wachovia | 5.50 | % | 3,903,131 | 0.32 | % | |||||||||||
250,000 | 5/1/13 | Wachovia | 2.07 | % | 251,198 | 0.02 | % | |||||||||||
1,500,000 | 8/1/13 | Wachovia | 5.70 | % | 1,540,668 | 0.13 | % | |||||||||||
Beverages | ||||||||||||||||||
2,350,000 | 1/27/14 | Anheuser-Busch InBev Worldwide Inc. | 0.85 | % | 2,364,832 | 0.19 | % | |||||||||||
4,000,000 | 7/14/14 | Anheuser-Busch InBev Worldwide Inc. | 0.67 | % | 4,022,281 | 0.33 | % | |||||||||||
3,000,000 | 7/15/15 | Anheuser-Busch InBev Worldwide Inc. | 0.80 | % | 3,010,311 | 0.25 | % | |||||||||||
Biotechnology | ||||||||||||||||||
5,080,000 | 12/1/14 | Gilead Sciences, Inc. | 2.40 | % | 5,261,834 | 0.43 | % | |||||||||||
Computers | ||||||||||||||||||
2,800,000 | 5/24/13 | Hewlett-Packard | 0.57 | % | 2,801,379 | 0.23 | % | |||||||||||
4,500,000 | 5/30/14 | Hewlett-Packard | 0.69 | % | 4,495,429 | 0.37 | % | |||||||||||
3,850,000 | 9/19/14 | Hewlett-Packard | 1.83 | % | 3,878,474 | 0.32 | % | |||||||||||
Diversified Financial Services | ||||||||||||||||||
4,500,000 | 4/8/14 | American Honda Finance Corp. | 0.43 | % | 4,503,849 | 0.37 | % | |||||||||||
2,075,000 | 5/8/14 | American Honda Finance Corp. | 0.74 | % | 2,086,496 | 0.17 | % | |||||||||||
3,750,000 | 8/11/15 | American Honda Finance Corp. | 1.00 | % | 3,769,166 | 0.31 | % | |||||||||||
6,335,000 | 5/24/13 | BlackRock, Inc. | 0.59 | % | 6,340,681 | 0.52 | % | |||||||||||
2,510,000 | 4/5/13 | Caterpillar Financial Services Corp. | 2.00 | % | 2,534,783 | 0.21 | % | |||||||||||
250,000 | 2/9/15 | Caterpillar Financial Services Corp. | 0.64 | % | 251,391 | 0.02 | % | |||||||||||
1,000,000 | 4/7/14 | General Electric Capital Corp. | 0.94 | % | 1,007,091 | 0.08 | % | |||||||||||
3,600,000 | 6/9/14 | General Electric Capital Corp. | 5.65 | % | 3,878,798 | 0.32 | % | |||||||||||
5,565,000 | 1/8/16 | General Electric Capital Corp. | 0.51 | % | 5,532,892 | 0.46 | % | |||||||||||
2,200,000 | 4/25/14 | John Deere Capital Corp. | 0.45 | % | 2,205,090 | 0.18 | % | |||||||||||
800,000 | 10/8/14 | John Deere Capital Corp. | 0.41 | % | 801,485 | 0.07 | % | |||||||||||
3,714,000 | 9/27/13 | MassMutual Global Funding II | 0.78 | % | 3,724,309 | 0.31 | % | |||||||||||
6,517,000 | 4/5/13 | PACCAR Financial Corp. | 0.65 | % | 6,520,462 | 0.54 | % |
The accompanying notes are an integral part of these consolidated financial statements.
4 |
Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
March 31, 2013
(Unaudited)
Description | Fair Value | % of Partners' Capital (Net Asset Value) | ||||||||||||||||
U.S. Corporate Notes (continued) | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
Diversified Financial Services (continued) | ||||||||||||||||||
$ | 3,000,000 | 1/17/14 | Toyota Motor Credit Corp. | 0.70 | % | $ | 3,014,712 | 0.25 | % | |||||||||
3,000,000 | 1/27/14 | Toyota Motor Credit Corp. | 0.47 | % | 3,005,546 | 0.25 | % | |||||||||||
8,450,000 | 2/17/15 | Toyota Motor Credit Corp. | 1.00 | % | 8,537,079 | 0.70 | % | |||||||||||
Energy | ||||||||||||||||||
750,000 | 8/16/13 | Appalachian Power Company | 0.67 | % | 751,381 | 0.06 | % | |||||||||||
830,000 | 5/15/14 | DTE Energy Company | 7.63 | % | 916,786 | 0.08 | % | |||||||||||
1,500,000 | 1/15/14 | Exelon Generation Company, LLC | 5.35 | % | 1,571,921 | 0.13 | % | |||||||||||
1,050,000 | 9/15/13 | Georgia Power Company | 1.30 | % | 1,055,173 | 0.09 | % | |||||||||||
1,000,000 | 6/1/13 | Northeast Utilities | 5.65 | % | 1,027,093 | 0.08 | % | |||||||||||
2,300,000 | 4/15/13 | PSEG Power LLC | 2.50 | % | 2,328,679 | 0.19 | % | |||||||||||
2,000,000 | 8/15/14 | Public Service Electric and Gas Company | 0.85 | % | 2,012,348 | 0.17 | % | |||||||||||
2,328,000 | 3/15/14 | Sempra Energy | 1.04 | % | 2,341,154 | 0.19 | % | |||||||||||
Food | ||||||||||||||||||
2,267,000 | 8/15/13 | General Mills | 5.25 | % | 2,322,474 | 0.19 | % | |||||||||||
6,000,000 | 6/4/15 | Kraft Foods | 1.63 | % | 6,129,650 | 0.50 | % | |||||||||||
Household Products | ||||||||||||||||||
4,250,000 | 8/15/14 | Procter & Gamble | 0.70 | % | 4,273,275 | 0.35 | % | |||||||||||
Insurance | ||||||||||||||||||
7,467,000 | 3/20/15 | AIG | 3.00 | % | 7,753,155 | 0.64 | % | |||||||||||
1,980,000 | 1/10/14 | Berkshire Hathaway Finance Corp. | 0.64 | % | 1,987,947 | 0.16 | % | |||||||||||
3,650,000 | 5/8/13 | Jackson National Life Global Funding | 5.38 | % | 3,745,625 | 0.31 | % | |||||||||||
300,000 | 4/4/14 | MetLife Institutional Funding II | 1.21 | % | 303,317 | 0.02 | % | |||||||||||
6,000,000 | 12/12/13 | Metropolitan Life Global Funding I | 0.68 | % | 6,016,925 | 0.50 | % | |||||||||||
2,270,000 | 4/22/13 | Monumental Global Funding III | 5.50 | % | 2,331,389 | 0.19 | % | |||||||||||
3,250,000 | 5/9/13 | New York Life Global Funding | 4.65 | % | 3,323,800 | 0.27 | % | |||||||||||
4,610,000 | 4/15/13 | Pacific Life Global Funding | 5.15 | % | 4,726,712 | 0.39 | % | |||||||||||
1,700,000 | 9/27/13 | Pricoa Global Funding I | 0.48 | % | 1,700,799 | 0.14 | % | |||||||||||
1,000,000 | 9/19/14 | Principal Life Global Funding II | 0.44 | % | 999,861 | 0.08 | % | |||||||||||
2,700,000 | 4/24/13 | Principal Life Income Fundings | 5.30 | % | 2,770,111 | 0.23 | % | |||||||||||
Internet | ||||||||||||||||||
3,000,000 | 5/19/14 | Google Inc. | 1.25 | % | 3,045,349 | 0.25 | % | |||||||||||
Machinery | ||||||||||||||||||
3,420,000 | 5/21/13 | Caterpillar | 0.46 | % | 3,423,534 | 0.28 | % | |||||||||||
Manufacturing | ||||||||||||||||||
9,035,000 | 6/21/13 | Danaher Corp. | 0.53 | % | 9,041,397 | 0.74 | % | |||||||||||
8,000,000 | 6/16/14 | Eaton | 0.61 | % | 8,006,642 | 0.66 | % | |||||||||||
3,750,000 | 10/9/15 | General Electric | 0.85 | % | 3,776,430 | 0.31 | % | |||||||||||
Media | ||||||||||||||||||
2,900,000 | 4/30/15 | NBC Universal Media, LLC | 3.65 | % | 3,116,223 | 0.26 | % | |||||||||||
1,100,000 | 7/15/13 | Thomson Reuters Corp. | 5.95 | % | 1,130,983 | 0.09 | % | |||||||||||
2,200,000 | 7/1/13 | Time Warner Cable Inc. | 6.20 | % | 2,263,424 | 0.19 | % | |||||||||||
3,700,000 | 12/1/14 | Walt Disney | 0.88 | % | 3,740,251 | 0.31 | % | |||||||||||
4,600,000 | 2/11/15 | Walt Disney | 0.28 | % | 4,599,094 | 0.38 | % | |||||||||||
2,200,000 | 12/1/15 | Walt Disney | 0.45 | % | 2,199,055 | 0.18 | % |
The accompanying notes are an integral part of these consolidated financial statements.
5 |
Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
March 31, 2013
(Unaudited)
Description | Fair Value | % of Partners' Capital (Net Asset Value) | ||||||||||||||||
U.S. Corporate Notes (continued) | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
Pharmaceuticals | ||||||||||||||||||
$ | 5,150,000 | 11/6/15 | AbbVie Inc. | 1.06 | % | $ | 5,160,878 | 0.43 | % | |||||||||
975,000 | 2/12/15 | Express Scripts Holding Company | 2.10 | % | 999,050 | 0.08 | % | |||||||||||
4,275,000 | 2/10/14 | Novartis Capital Corp. | 4.13 | % | 4,432,413 | 0.37 | % | |||||||||||
REITs | ||||||||||||||||||
2,100,000 | 5/15/14 | Simon Property Group, LP | 6.75 | % | 2,262,467 | 0.19 | % | |||||||||||
1,000,000 | 8/15/14 | Simon Property Group, LP | 5.63 | % | 1,074,960 | 0.09 | % | |||||||||||
Retail | ||||||||||||||||||
3,775,000 | 7/18/14 | Target | 0.47 | % | 3,786,537 | 0.31 | % | |||||||||||
2,200,000 | 8/1/13 | Walgreen | 4.88 | % | 2,248,708 | 0.19 | % | |||||||||||
6,500,000 | 3/13/14 | Walgreen | 0.78 | % | 6,519,534 | 0.54 | % | |||||||||||
4,500,000 | 2/3/14 | Wal-Mart | 3.00 | % | 4,624,209 | 0.38 | % | |||||||||||
4,775,000 | 4/15/14 | Wal-Mart | 1.63 | % | 4,874,831 | 0.40 | % | |||||||||||
Semiconductor | ||||||||||||||||||
4,275,000 | 5/15/13 | Texas Instruments | 0.47 | % | 4,279,573 | 0.35 | % | |||||||||||
Telecommunications | ||||||||||||||||||
2,000,000 | 9/15/14 | AT&T | 5.10 | % | 2,131,379 | 0.18 | % | |||||||||||
8,050,000 | 2/13/15 | AT&T | 0.88 | % | 8,075,859 | 0.67 | % | |||||||||||
2,250,000 | 3/14/14 | Cisco Systems, Inc. | 0.53 | % | 2,256,402 | 0.19 | % | |||||||||||
4,575,000 | 3/6/15 | Verizon | 0.48 | % | 4,575,688 | 0.38 | % | |||||||||||
Total U.S. corporate notes (cost: $344,388,509) | 343,140,839 | 28.27 | % | |||||||||||||||
Foreign Corporate Notes | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
Automotive | ||||||||||||||||||
$ | 3,000,000 | 3/21/14 | Volkswagen Int'l Finance NV | 1.03 | % | 3,011,048 | 0.25 | % | ||||||||||
5,870,000 | 4/1/14 | Volkswagen Int'l Finance NV | 0.92 | % | 5,890,821 | 0.49 | % | |||||||||||
Banks | ||||||||||||||||||
5,000,000 | 4/14/14 | Danske Bank A/S | 1.36 | % | 5,017,996 | 0.41 | % | |||||||||||
4,150,000 | 5/15/13 | HSBC Bank PLC | 0.72 | % | 4,156,122 | 0.34 | % | |||||||||||
3,200,000 | 8/12/13 | HSBC Bank PLC | 1.63 | % | 3,222,143 | 0.27 | % | |||||||||||
400,000 | 1/17/14 | HSBC Bank PLC | 1.10 | % | 403,247 | 0.03 | % | |||||||||||
8,800,000 | 6/9/14 | ING Bank N.V. | 1.68 | % | 8,903,450 | 0.73 | % | |||||||||||
5,000,000 | 6/17/13 | KfW Bankengruppe | 0.21 | % | 5,000,490 | 0.41 | % | |||||||||||
2,000,000 | 5/13/14 | Rabobank Nederland | 4.20 | % | 2,113,200 | 0.17 | % | |||||||||||
7,650,000 | 3/18/16 | Rabobank Nederland | 0.76 | % | 7,665,502 | 0.63 | % | |||||||||||
6,660,000 | 7/26/13 | Toronto-Dominion Bank | 0.48 | % | 6,670,296 | 0.55 | % | |||||||||||
5,000,000 | 3/31/14 | Westpac Banking Corp. | 1.01 | % | 5,025,628 | 0.41 | % | |||||||||||
Energy | ||||||||||||||||||
9,850,000 | 11/7/13 | BP Capital Markets P.L.C. | 5.25 | % | 10,336,043 | 0.86 | % | |||||||||||
8,600,000 | 11/14/14 | Canadian Natural Resources Ltd | 1.45 | % | 8,748,884 | 0.72 | % | |||||||||||
1,076,000 | 7/15/13 | Petro-Canada | 4.00 | % | 1,095,712 | 0.09 | % | |||||||||||
Multi-national | ||||||||||||||||||
4,750,000 | 8/1/13 | International Finance Corp. | 0.33 | % | 4,755,026 | 0.39 | % | |||||||||||
4,000,000 | 2/26/15 | International Finance Corp. | 0.38 | % | 4,002,138 | 0.33 | % |
The accompanying notes are an integral part of these consolidated financial statements.
6 |
Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
March 31, 2013
(Unaudited)
Description | Fair Value | % of Partners' Capital (Net Asset Value) | ||||||||||||||||
Foreign Corporate Notes (continued) | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
Pharmaceutical | ||||||||||||||||||
$ | 5,950,000 | 3/17/15 | Takeda Pharmaceutical Co Ltd | 1.03 | % | $ | 5,991,120 | 0.49 | % | |||||||||
9,450,000 | 3/21/14 | Teva Pharmaceutical Finance III BV | 0.78 | % | 9,476,186 | 0.79 | % | |||||||||||
Telecommunications | ||||||||||||||||||
2,100,000 | 6/10/14 | Vodafone | 4.15 | % | 2,212,896 | 0.18 | % | |||||||||||
Total foreign corporate notes (cost: $103,836,397) | 103,697,948 | 8.54 | % | |||||||||||||||
Total corporate notes (cost: $448,224,906) | 446,838,787 | 36.81 | % | |||||||||||||||
Total investments in securities (cost: $668,167,874) | $ | 666,352,795 | 54.90 | % | ||||||||||||||
CERTIFICATES OF DEPOSIT | ||||||||||||||||||
U.S. Certificates of Deposit | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
Banks | ||||||||||||||||||
$ | 2,000,000 | 8/15/13 | Bank of Montreal (Chicago) | 0.49 | % | $ | 2,003,748 | 0.17 | % | |||||||||
2,250,000 | 10/3/13 | Bank of Montreal (Chicago) | 0.76 | % | 2,259,918 | 0.19 | % | |||||||||||
1,100,000 | 7/24/14 | Bank of Montreal (Chicago) | 0.48 | % | 1,102,153 | 0.09 | % | |||||||||||
4,000,000 | 2/11/14 | Bank of Tokyo-Mitsubishi UFJ, Ltd. (NY) | 0.42 | % | 4,003,280 | 0.33 | % | |||||||||||
2,500,000 | 3/7/14 | Bank of Tokyo-Mitsubishi UFJ, Ltd. (NY) | 0.40 | % | 2,500,417 | 0.21 | % | |||||||||||
1,600,000 | 11/14/13 | Barclays Bank (NY) | 0.81 | % | 1,608,596 | 0.13 | % | |||||||||||
1,000,000 | 1/30/14 | Barclays Bank (NY) | 0.78 | % | 1,002,591 | 0.08 | % | |||||||||||
3,000,000 | 2/14/14 | Barclays Bank (NY) | 0.75 | % | 3,004,963 | 0.25 | % | |||||||||||
3,750,000 | 7/26/13 | BB&T | 0.48 | % | 3,767,013 | 0.31 | % | |||||||||||
2,950,000 | 7/25/13 | Credit Suisse Group AG (NY) | 0.80 | % | 2,958,843 | 0.24 | % | |||||||||||
3,700,000 | 10/16/13 | Deutsche Bank (NY) | 0.75 | % | 3,719,382 | 0.31 | % | |||||||||||
1,500,000 | 1/17/14 | Deutsche Bank (NY) | 0.73 | % | 1,503,802 | 0.12 | % | |||||||||||
3,000,000 | 8/14/13 | Mizuho Corporate Bank, Ltd. (NY) | 0.28 | % | 3,001,072 | 0.25 | % | |||||||||||
2,000,000 | 8/28/13 | Mizuho Corporate Bank, Ltd. (NY) | 0.28 | % | 2,000,435 | 0.16 | % | |||||||||||
4,500,000 | 4/1/13 | Norinchukin Bank (NY) | 0.43 | % | 4,509,862 | 0.37 | % | |||||||||||
1,500,000 | 7/30/13 | Royal Bank of Canada (NY) | 0.35 | % | 1,501,454 | 0.12 | % | |||||||||||
4,600,000 | 9/3/13 | Royal Bank of Canada (NY) | 0.49 | % | 4,607,845 | 0.38 | % | |||||||||||
3,000,000 | 5/28/13 | Shizuoka Bank, Ltd. (NY) | 0.26 | % | 3,000,867 | 0.25 | % | |||||||||||
Total U.S. certificates of deposit (cost: $47,950,358) | 48,056,241 | 3.96 | % | |||||||||||||||
Foreign Certificates of Deposit | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
Banks | ||||||||||||||||||
$ | 2,000,000 | 2/10/14 | Bank of Nova Scotia | 0.79 | % | 2,010,676 | 0.17 | % | ||||||||||
2,050,000 | 4/9/13 | National Australia Bank Ltd | 0.39 | % | 2,051,972 | 0.17 | % | |||||||||||
5,000,000 | 5/10/13 | Sumitomo Mitsui Bank | 0.79 | % | 5,039,290 | 0.41 | % | |||||||||||
2,000,000 | 10/22/13 | Sumitomo Mitsui Bank | 0.60 | % | 2,008,827 | 0.17 | % | |||||||||||
Total foreign certificates of deposit (cost: $11,050,000) | 11,110,765 | 0.92 | % | |||||||||||||||
Total certificates of deposit (cost: $59,000,358) | $ | 59,167,006 | 4.88 | % |
The accompanying notes are an integral part of these consolidated financial statements.
7 |
Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
March 31, 2013
(Unaudited)
Description | Fair Value | % of Partners' Capital (Net Asset Value) | ||||||||||||
OPEN FUTURES CONTRACTS | ||||||||||||||
Long U.S. Futures Contracts | ||||||||||||||
Agricultural commodities | $ | (1,977,876 | ) | (0.16 | )% | |||||||||
Currencies | 1,742,403 | 0.14 | % | |||||||||||
Energy | 2,167,267 | 0.18 | % | |||||||||||
Equity indices | 4,821,007 | 0.39 | % | |||||||||||
Interest rate instruments | 3,871,404 | 0.32 | % | |||||||||||
Metals2 | (14,614,365 | ) | (1.20 | )% | ||||||||||
Single stock futures | 126,732 | 0.01 | % | |||||||||||
Net unrealized loss on open long U.S. futures contracts | (3,863,428 | ) | (0.32 | )% | ||||||||||
Short U.S. Futures Contracts | ||||||||||||||
Agricultural commodities | 4,827,006 | 0.40 | % | |||||||||||
Currencies | (3,561,996 | ) | (0.29 | )% | ||||||||||
Energy | (1,524,707 | ) | (0.13 | )% | ||||||||||
Equity indices | 526,703 | 0.04 | % | |||||||||||
Interest rate instruments | (641,572 | ) | (0.04 | )% | ||||||||||
Metals2 | 16,799,653 | 1.38 | % | |||||||||||
Single stock futures | 37,421 | 0.00 | % | |||||||||||
Net unrealized gain on open short U.S. futures contracts | 16,462,508 | 1.36 | % | |||||||||||
Total U.S. Futures Contracts - Net unrealized gain on open U.S. futures contracts | 12,599,080 | 1.04 | % | |||||||||||
Long Foreign Futures Contracts | ||||||||||||||
Agricultural commodities | (32,474 | ) | (0.00 | )% | ||||||||||
Currencies | (279,576 | ) | (0.02 | )% | ||||||||||
Energy | 1,778 | 0.00 | % | |||||||||||
Equity indices | (2,190,654 | ) | (0.18 | )% | ||||||||||
Interest rate instruments2 | 16,738,152 | 1.38 | % | |||||||||||
Metals | 41,830 | 0.00 | % | |||||||||||
Net unrealized gain on open long foreign futures contracts | 14,279,056 | 1.18 | % | |||||||||||
Short Foreign Futures Contracts | ||||||||||||||
Agricultural commodities | (67,734 | ) | (0.01 | )% | ||||||||||
Currencies | 87,123 | 0.01 | % | |||||||||||
Energy | 32,919 | 0.00 | % | |||||||||||
Equity indices | (2,684,648 | ) | (0.22 | )% | ||||||||||
Interest rate instruments | (2,055,696 | ) | (0.17 | )% | ||||||||||
Net unrealized loss on open short foreign futures contracts | (4,688,036 | ) | (0.39 | )% | ||||||||||
Total foreign futures contracts - net unrealized gain on open foreign futures contracts | 9,591,020 | 0.79 | % | |||||||||||
Net unrealized gain on open futures contracts | $ | 22,190,100 | 1.83 | % |
The accompanying notes are an integral part of these consolidated financial statements.
8 |
Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
March 31, 2013
(Unaudited)
Description | Fair Value | % of Partners' Capital (Net Asset Value) | ||||||||||||
OPEN FORWARD CURRENCY CONTRACTS | ||||||||||||||
U.S. Forward Currency Contracts | ||||||||||||||
Long | $ | 386,553 | 0.03 | % | ||||||||||
Short | 656,485 | 0.06 | % | |||||||||||
Net unrealized gain on open U.S. forward currency contracts | 1,043,038 | 0.09 | % | |||||||||||
Foreign Forward Currency Contracts | ||||||||||||||
Long | (616,734 | ) | (0.05 | )% | ||||||||||
Short | (432,117 | ) | (0.04 | )% | ||||||||||
Net unrealized loss on open foreign forward currency contracts | (1,048,851 | ) | (0.09 | )% | ||||||||||
Net unrealized loss on open forward currency contracts | $ | (5,813 | ) | (0.00 | )% |
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 consolidated financial statements.
9 |
Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments
December 31, 2012
(Audited)
Description | Fair Value | % of Partners' Capital (Net Asset Value) | ||||||||||||||||
INVESTMENTS IN SECURITIES | ||||||||||||||||||
U.S. Treasury Securities | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
$ | 4,795,000 | 1/15/13 | U.S. Treasury Notes | 1.38 | % | $ | 4,827,597 | 0.38 | % | |||||||||
500,000 | 3/31/13 | U.S. Treasury Notes | 2.50 | % | 506,123 | 0.04 | % | |||||||||||
4,000,000 | 4/30/13 | U.S. Treasury Notes | 3.13 | % | 4,060,997 | 0.32 | % | |||||||||||
7,350,000 | 5/31/13 | U.S. Treasury Notes | 3.50 | % | 7,474,923 | 0.59 | % | |||||||||||
8,850,000 | 6/15/13 | U.S. Treasury Notes | 1.13 | % | 8,894,753 | 0.70 | % | |||||||||||
3,500,000 | 6/30/13 | U.S. Treasury Notes | 3.38 | % | 3,556,382 | 0.28 | % | |||||||||||
9,000,000 | 7/15/13 | U.S. Treasury Notes | 1.00 | % | 9,083,208 | 0.72 | % | |||||||||||
4,500,000 | 7/31/13 | U.S. Treasury Notes | 3.38 | % | 4,647,405 | 0.37 | % | |||||||||||
7,500,000 | 8/15/13 | U.S. Treasury Notes | 0.75 | % | 7,549,372 | 0.60 | % | |||||||||||
12,020,000 | 8/31/13 | U.S. Treasury Notes | 0.13 | % | 12,022,292 | 0.96 | % | |||||||||||
8,000,000 | 9/30/13 | U.S. Treasury Notes | 0.13 | % | 8,000,371 | 0.63 | % | |||||||||||
3,200,000 | 10/31/13 | U.S. Treasury Notes | 2.75 | % | 3,282,947 | 0.26 | % | |||||||||||
5,000,000 | 11/15/13 | U.S. Treasury Notes | 0.50 | % | 5,017,111 | 0.40 | % | |||||||||||
8,250,000 | 11/30/13 | U.S. Treasury Notes | 0.25 | % | 8,256,648 | 0.65 | % | |||||||||||
8,000,000 | 12/15/13 | U.S. Treasury Notes | 0.75 | % | 8,045,298 | 0.64 | % | |||||||||||
4,000,000 | 2/28/14 | U.S. Treasury Notes | 1.88 | % | 4,102,723 | 0.32 | % | |||||||||||
5,850,000 | 3/31/14 | U.S. Treasury Notes | 1.75 | % | 5,987,441 | 0.47 | % | |||||||||||
Total U.S. Treasury securities (cost: $105,775,748) | 105,315,591 | 8.33 | % | |||||||||||||||
U.S. Government Sponsored Enterprise Notes | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
$ | 1,160,000 | 5/28/13 | Federal Farm Credit Bank | 0.20 | % | 1,160,162 | 0.09 | % | ||||||||||
3,250,000 | 1/16/13 | Federal Home Loan Bank | 1.50 | % | 3,274,086 | 0.26 | % | |||||||||||
2,300,000 | 1/29/13 | Federal Home Loan Bank | 0.38 | % | 2,304,081 | 0.18 | % | |||||||||||
3,000,000 | 3/27/13 | Federal Home Loan Bank | 1.00 | % | 3,014,061 | 0.24 | % | |||||||||||
6,700,000 | 1/9/13 | Federal Home Loan Mortgage Corp. | 1.38 | % | 6,745,650 | 0.54 | % | |||||||||||
250,000 | 8/9/13 | Federal National Mortgage Assoc. | 0.50 | % | 250,975 | 0.02 | % | |||||||||||
Total U.S. government sponsored enterprise notes (cost: $16,904,946) | 16,749,015 | 1.33 | % | |||||||||||||||
U.S. Commercial Paper | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
Automotive | ||||||||||||||||||
$ | 4,000,000 | 1/7/13 | BMW US Capital, LLC | 0.14 | % | 3,999,908 | 0.32 | % | ||||||||||
Banks | ||||||||||||||||||
3,800,000 | 2/4/13 | Bank of Tokyo-Mitsubishi UFJ, Ltd. | 0.20 | % | 3,799,282 | 0.30 | % | |||||||||||
3,050,000 | 1/30/13 | Mizuho Funding LLC | 0.24 | % | 3,049,410 | 0.24 | % | |||||||||||
3,800,000 | 3/4/13 | Standard Chartered Bank | 0.25 | % | 3,798,364 | 0.30 | % | |||||||||||
Beverages | ||||||||||||||||||
1,025,000 | 2/26/13 | Anheuser-Busch InBev Worldwide Inc. | 0.24 | % | 1,024,617 | 0.07 | % | |||||||||||
Diversified Financial Services | ||||||||||||||||||
3,850,000 | 2/15/13 | Caterpillar Financial Services Corporation | 0.19 | % | 3,849,086 | 0.30 | % | |||||||||||
2,250,000 | 1/4/13 | ING (U.S.) Funding LLC | 0.25 | % | 2,249,953 | 0.18 | % | |||||||||||
1,600,000 | 2/14/13 | UOB Funding LLC | 0.19 | % | 1,599,628 | 0.13 | % |
The accompanying notes are an integral part of these consolidated financial statements.
10 |
Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
December 31, 2012
(Audited)
Description | Fair Value | % of Partners' Capital (Net Asset Value) | ||||||||||||||||
U.S. Commercial Paper (continued) | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
Energy | ||||||||||||||||||
$ | 2,500,000 | 1/2/13 | Apache Corporation | 0.35 | % | $ | 2,499,976 | 0.20 | % | |||||||||
3,500,000 | 1/25/13 | Devon Energy Corporation | 0.27 | % | 3,499,370 | 0.28 | % | |||||||||||
3,500,000 | 1/10/13 | Motiva Enterprises LLC | 0.18 | % | 3,499,843 | 0.28 | % | |||||||||||
3,800,000 | 1/2/13 | NextEra Energy | 0.42 | % | 3,799,956 | 0.30 | % | |||||||||||
3,850,000 | 2/19/13 | Oglethorpe Power Corporation | 0.22 | % | 3,848,847 | 0.30 | % | |||||||||||
3,500,000 | 1/14/13 | ONEOK, Inc. | 0.40 | % | 3,499,494 | 0.28 | % | |||||||||||
3,500,000 | 1/18/13 | Sempra Energy Global Enterprises | 0.40 | % | 3,499,339 | 0.28 | % | |||||||||||
Food | ||||||||||||||||||
3,700,000 | 1/24/13 | H. J. Heinz Finance Company | 0.26 | % | 3,699,385 | 0.29 | % | |||||||||||
Manufacturing | ||||||||||||||||||
3,100,000 | 1/3/13 | Danaher Corporation | 0.15 | % | 3,099,974 | 0.25 | % | |||||||||||
2,400,000 | 1/4/13 | Dover Corporation | 0.10 | % | 2,399,980 | 0.19 | % | |||||||||||
Total U.S. commercial paper (cost: $56,708,020) | 56,716,412 | 4.49 | % | |||||||||||||||
Foreign Commercial Paper | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
Banks | ||||||||||||||||||
$ | 5,300,000 | 2/1/13 | DBS Bank Ltd. | 0.89 | % | 5,299,611 | 0.41 | % | ||||||||||
4,000,000 | 3/25/13 | Macquarie Bank Limited | 0.63 | % | 3,997,360 | 0.32 | % | |||||||||||
2,900,000 | 1/28/13 | Sumitomo Mitsui Banking Corporation | 0.23 | % | 2,899,522 | 0.23 | % | |||||||||||
Diversified Financial Services | ||||||||||||||||||
3,100,000 | 1/16/13 | John Deere Bank SA | 0.16 | % | 3,099,793 | 0.25 | % | |||||||||||
4,200,000 | 1/17/13 | Toyota Credit Canada Inc. | 0.22 | % | 4,199,589 | 0.33 | % | |||||||||||
Energy | ||||||||||||||||||
3,800,000 | 1/3/13 | BP Capital Markets P.L.C. | 0.17 | % | 3,799,968 | 0.30 | % | |||||||||||
3,900,000 | 1/2/13 | GDF Suez | 0.24 | % | 3,899,974 | 0.31 | % | |||||||||||
Household Products | ||||||||||||||||||
2,500,000 | 3/5/13 | Reckitt Benckiser | 0.75 | % | 2,498,979 | 0.20 | % | |||||||||||
5,250,000 | 4/8/13 | Reckitt Benckiser | 0.80 | % | 5,246,693 | 0.41 | % | |||||||||||
Latin America Multi-National | ||||||||||||||||||
4,000,000 | 2/15/13 | Corporacion Andina de Fomento | 0.24 | % | 3,998,800 | 0.32 | % | |||||||||||
Total foreign commercial paper (cost: $38,819,728) | 38,940,289 | 3.08 | % | |||||||||||||||
Total commercial paper (cost: $95,527,748) | 95,656,701 | 7.57 | % | |||||||||||||||
U.S. Corporate Notes | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
Aerospace | ||||||||||||||||||
$ | 13,000,000 | 12/2/13 | United Technologies | 0.58 | % | 13,041,831 | 1.02 | % | ||||||||||
Apparel | ||||||||||||||||||
2,325,000 | 8/23/13 | V.F. Corporation | 1.06 | % | 2,339,017 | 0.19 | % | |||||||||||
Automotive | ||||||||||||||||||
4,300,000 | 7/31/15 | Daimler Finance North America LLC | 1.30 | % | 4,348,231 | 0.34 | % |
The accompanying notes are an integral part of these consolidated financial statements.
11 |
Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
December 31, 2012
(Audited)
Description | Fair Value | % of Partners' Capital (Net Asset Value) | ||||||||||||||||
U.S. Corporate Notes (continued) | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
Banks | ||||||||||||||||||
$ | 2,000,000 | 4/16/13 | American Express Bank | 5.50 | % | $ | 2,051,847 | 0.16 | % | |||||||||
10,450,000 | 1/30/14 | Bank of America Corporation | 1.73 | % | 10,569,450 | 0.84 | % | |||||||||||
2,200,000 | 4/1/13 | Bank of New York Mellon | 4.50 | % | 2,247,157 | 0.18 | % | |||||||||||
2,000,000 | 8/27/13 | Bank of New York Mellon | 5.13 | % | 2,097,186 | 0.17 | % | |||||||||||
5,000,000 | 7/28/14 | Bank of New York Mellon | 0.58 | % | 5,013,876 | 0.40 | % | |||||||||||
2,475,000 | 9/25/13 | BB&T Corporation | 3.38 | % | 2,548,743 | 0.20 | % | |||||||||||
189,000 | 4/1/14 | Citigroup Inc. | 1.29 | % | 189,833 | 0.02 | % | |||||||||||
3,094,000 | 5/15/13 | Credit Suisse (USA), Inc. | 5.00 | % | 3,164,704 | 0.25 | % | |||||||||||
10,000,000 | 5/2/14 | JPMorgan Chase & Co. | 1.06 | % | 10,073,010 | 0.80 | % | |||||||||||
7,500,000 | 1/9/14 | Morgan Stanley | 0.65 | % | 7,458,480 | 0.59 | % | |||||||||||
4,750,000 | 2/7/14 | The Goldman Sachs Group, Inc. | 1.31 | % | 4,773,300 | 0.38 | % | |||||||||||
300,000 | 6/14/13 | U.S. Bancorp | 2.00 | % | 302,448 | 0.02 | % | |||||||||||
2,650,000 | 10/30/13 | U.S. Bancorp | 1.13 | % | 2,672,210 | 0.21 | % | |||||||||||
4,050,000 | 8/12/13 | UBS AG | 2.25 | % | 4,123,927 | 0.33 | % | |||||||||||
1,500,000 | 8/1/13 | Wachovia | 5.70 | % | 1,582,385 | 0.13 | % | |||||||||||
3,800,000 | 5/1/13 | Wachovia | 5.50 | % | 3,898,008 | 0.31 | % | |||||||||||
250,000 | 5/1/13 | Wachovia | 2.08 | % | 252,321 | 0.02 | % | |||||||||||
Beverages | ||||||||||||||||||
5,000,000 | 3/26/13 | Anheuser-Busch InBev Worldwide Inc. | 1.04 | % | 5,009,929 | 0.40 | % | |||||||||||
2,350,000 | 1/27/14 | Anheuser-Busch InBev Worldwide Inc. | 0.86 | % | 2,366,222 | 0.19 | % | |||||||||||
4,000,000 | 7/14/14 | Anheuser-Busch InBev Worldwide Inc. | 0.70 | % | 4,021,288 | 0.32 | % | |||||||||||
6,101,000 | 8/15/13 | Coca-Cola Enterprises, Inc. | 5.00 | % | 6,390,536 | 0.51 | % | |||||||||||
Chemical | ||||||||||||||||||
2,725,000 | 12/1/14 | Gilead Sciences, Inc. | 2.40 | % | 2,815,734 | 0.22 | % | |||||||||||
Computers | ||||||||||||||||||
2,800,000 | 5/24/13 | Hewlett-Packard Company | 0.59 | % | 2,793,550 | 0.22 | % | |||||||||||
4,500,000 | 5/30/14 | Hewlett-Packard Company | 0.71 | % | 4,413,140 | 0.35 | % | |||||||||||
3,850,000 | 9/19/14 | Hewlett-Packard Company | 1.86 | % | 3,817,278 | 0.30 | % | |||||||||||
Diversified Financial Services | ||||||||||||||||||
4,500,000 | 4/8/14 | American Honda Finance Corp. | 0.47 | % | 4,503,921 | 0.36 | % | |||||||||||
2,075,000 | 5/8/14 | American Honda Finance Corp. | 0.76 | % | 2,086,053 | 0.17 | % | |||||||||||
3,750,000 | 8/11/15 | American Honda Finance Corp. | 1.00 | % | 3,782,557 | 0.30 | % | |||||||||||
6,335,000 | 5/24/13 | BlackRock, Inc. | 0.61 | % | 6,345,861 | 0.50 | % | |||||||||||
2,510,000 | 4/5/13 | Caterpillar Financial Services Corporation | 2.00 | % | 2,533,229 | 0.20 | % | |||||||||||
1,600,000 | 4/1/14 | Caterpillar Financial Services Corporation | 0.65 | % | 1,608,735 | 0.13 | % | |||||||||||
250,000 | 2/9/15 | Caterpillar Financial Services Corporation | 0.66 | % | 251,331 | 0.02 | % | |||||||||||
4,800,000 | 4/7/14 | General Electric Capital Corporation | 0.98 | % | 4,836,876 | 0.38 | % | |||||||||||
157,000 | 1/15/13 | John Deere Capital Corporation | 5.10 | % | 160,923 | 0.01 | % | |||||||||||
2,200,000 | 4/25/14 | John Deere Capital Corporation | 0.47 | % | 2,205,038 | 0.17 | % | |||||||||||
800,000 | 10/8/14 | John Deere Capital Corporation | 0.44 | % | 801,084 | 0.06 | % | |||||||||||
3,714,000 | 9/27/13 | MassMutual Global Funding II | 0.81 | % | 3,728,241 | 0.29 | % | |||||||||||
6,517,000 | 4/5/13 | PACCAR Financial Corp. | 0.67 | % | 6,527,764 | 0.52 | % | |||||||||||
5,000,000 | 4/14/14 | SSIF Nevada, LP | 1.04 | % | 5,039,277 | 0.40 | % |
The accompanying notes are an integral part of these consolidated financial statements.
12 |
Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
December 31, 2012
(Audited)
Description | Fair Value | % of Partners' Capital (Net Asset Value) | ||||||||||||||||
U.S. Corporate Notes (continued) | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
Diversified Financial Services (continued) | ||||||||||||||||||
$ | 300,000 | 10/11/13 | Toyota Motor Credit Corporation | 0.80 | % | $ | 301,570 | 0.02 | % | |||||||||
3,000,000 | 1/17/14 | Toyota Motor Credit Corporation | 0.73 | % | 3,015,242 | 0.24 | % | |||||||||||
3,000,000 | 1/27/14 | Toyota Motor Credit Corporation | 0.48 | % | 3,005,716 | 0.24 | % | |||||||||||
8,450,000 | 2/17/15 | Toyota Motor Credit Corporation | 1.00 | % | 8,538,549 | 0.68 | % | |||||||||||
Energy | ||||||||||||||||||
750,000 | 8/16/13 | Appalachian Power Company | 0.69 | % | 751,619 | 0.06 | % | |||||||||||
1,388,000 | 3/1/13 | Columbus Southern Power Company | 5.50 | % | 1,424,464 | 0.11 | % | |||||||||||
1,000,000 | 6/1/13 | Northeast Utilities | 5.65 | % | 1,025,498 | 0.08 | % | |||||||||||
4,275,000 | 12/13/13 | Occidental Petroleum Corporation | 1.45 | % | 4,322,898 | 0.34 | % | |||||||||||
2,300,000 | 4/15/13 | PSEG Power LLC | 2.50 | % | 2,325,412 | 0.18 | % | |||||||||||
Food | ||||||||||||||||||
2,267,000 | 8/15/13 | General Mills, Inc. | 5.25 | % | 2,378,011 | 0.19 | % | |||||||||||
1,036,000 | 3/6/13 | Kellogg Company | 4.25 | % | 1,056,936 | 0.08 | % | |||||||||||
6,000,000 | 6/4/15 | Kraft Foods Group, Inc. | 1.63 | % | 6,113,689 | 0.48 | % | |||||||||||
Healthcare | ||||||||||||||||||
7,743,000 | 3/1/14 | Roche Holdings, Inc. | 5.00 | % | 8,263,053 | 0.65 | % | |||||||||||
Household Products | ||||||||||||||||||
4,250,000 | 8/15/14 | Procter & Gamble Company | 0.70 | % | 4,288,514 | 0.34 | % | |||||||||||
Insurance | ||||||||||||||||||
9,750,000 | 2/11/13 | Berkshire Hathaway | 0.74 | % | 9,767,035 | 0.77 | % | |||||||||||
1,980,000 | 1/10/14 | Berkshire Hathaway | 0.68 | % | 1,989,617 | 0.16 | % | |||||||||||
3,650,000 | 5/8/13 | Jackson National Life | 5.38 | % | 3,741,729 | 0.30 | % | |||||||||||
6,000,000 | 12/12/13 | MetLife Global Funding I | 0.71 | % | 6,018,316 | 0.48 | % | |||||||||||
300,000 | 4/4/14 | MetLife Institutional Funding II | 1.25 | % | 303,479 | 0.02 | % | |||||||||||
4,024,000 | 1/25/13 | Monumental Global Funding III | 0.49 | % | 4,028,125 | 0.32 | % | |||||||||||
2,270,000 | 4/22/13 | Monumental Global Funding III | 5.50 | % | 2,326,391 | 0.18 | % | |||||||||||
3,250,000 | 5/9/13 | New York Life | 4.65 | % | 3,317,303 | 0.26 | % | |||||||||||
4,610,000 | 4/15/13 | Pacific Life | 5.15 | % | 4,721,379 | 0.37 | % | |||||||||||
1,700,000 | 9/27/13 | Pricoa Global Funding I | 0.51 | % | 1,701,040 | 0.13 | % | |||||||||||
2,700,000 | 4/24/13 | Principal Life | 5.30 | % | 2,765,261 | 0.22 | % | |||||||||||
725,000 | 3/15/13 | Travelers Companies, Inc. | 5.00 | % | 742,732 | 0.06 | % | |||||||||||
Internet | ||||||||||||||||||
3,000,000 | 5/19/14 | Google Inc. | 1.25 | % | 3,041,444 | 0.24 | % | |||||||||||
Machinery | ||||||||||||||||||
3,420,000 | 5/21/13 | Caterpillar Inc. | 0.48 | % | 3,425,443 | 0.27 | % | |||||||||||
Manufacturing | ||||||||||||||||||
9,035,000 | 6/21/13 | Danaher Corporation | 0.56 | % | 9,045,139 | 0.72 | % | |||||||||||
3,750,000 | 10/9/15 | General Electric Company | 0.85 | % | 3,770,437 | 0.30 | % | |||||||||||
Media | ||||||||||||||||||
2,400,000 | 3/15/13 | Comcast Corporation | 8.38 | % | 2,497,029 | 0.20 | % | |||||||||||
2,900,000 | 4/30/15 | NBCUniversal Media, LLC | 3.65 | % | 3,103,512 | 0.25 | % | |||||||||||
3,700,000 | 12/1/14 | The Walt Disney Company | 0.88 | % | 3,733,464 | 0.30 | % | |||||||||||
2,200,000 | 12/1/15 | The Walt Disney Company | 0.45 | % | 2,190,041 | 0.17 | % | |||||||||||
1,100,000 | 7/15/13 | Thomson Reuters | 5.95 | % | 1,161,117 | 0.09 | % | |||||||||||
2,200,000 | 7/1/13 | Time Warner Cable Inc. | 6.20 | % | 2,328,588 | 0.18 | % |
The accompanying notes are an integral part of these consolidated financial statements.
13 |
Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
December 31, 2012
(Audited)
Description | Fair Value | % of Partners' Capital (Net Asset Value) | ||||||||||||||||
U.S. Corporate Notes (continued) | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
Pharmaceuticals | ||||||||||||||||||
$ | 5,150,000 | 11/6/15 | AbbVie Inc. | 1.07 | % | $ | 5,218,139 | 0.41 | % | |||||||||
975,000 | 2/12/15 | Express Scripts Holding Company | 2.10 | % | 1,001,084 | 0.08 | % | |||||||||||
2,350,000 | 3/1/13 | McKesson Corporation | 5.25 | % | 2,408,630 | 0.19 | % | |||||||||||
4,275,000 | 2/10/14 | Novartis Capital Corporation | 4.13 | % | 4,515,238 | 0.36 | % | |||||||||||
Retail | ||||||||||||||||||
3,775,000 | 7/18/14 | Target Corporation | 0.49 | % | 3,790,019 | 0.30 | % | |||||||||||
2,200,000 | 8/1/13 | Walgreen Co. | 4.88 | % | 2,298,959 | 0.18 | % | |||||||||||
6,500,000 | 3/13/14 | Walgreen Co. | 0.81 | % | 6,511,837 | 0.52 | % | |||||||||||
4,500,000 | 2/3/14 | Wal-Mart Stores, Inc. | 3.00 | % | 4,687,331 | 0.37 | % | |||||||||||
4,775,000 | 4/15/14 | Wal-Mart Stores, Inc. | 1.63 | % | 4,870,366 | 0.39 | % | |||||||||||
Semiconductor | ||||||||||||||||||
4,275,000 | 5/15/13 | Texas Instruments | 0.49 | % | 4,282,125 | 0.34 | % | |||||||||||
Telecommunication | ||||||||||||||||||
6,550,000 | 2/13/15 | AT&T Inc. | 0.88 | % | 6,602,689 | 0.52 | % | |||||||||||
2,250,000 | 3/14/14 | Cisco Systems, Inc. | 0.56 | % | 2,256,759 | 0.18 | % | |||||||||||
5,700,000 | 3/28/14 | Verizon Communications Inc. | 0.92 | % | 5,734,323 | 0.45 | % | |||||||||||
Transportation | ||||||||||||||||||
1,000,000 | 3/1/13 | Ryder System, Inc. | 6.00 | % | 1,027,594 | 0.08 | % | |||||||||||
9,424,000 | 1/15/13 | United Parcel Service, Inc. | 4.50 | % | 9,633,014 | 0.76 | % | |||||||||||
Total U.S. corporate notes (cost: $347,870,863) | 346,154,430 | 27.39 | % | |||||||||||||||
Foreign Corporate Notes | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
Automotive | ||||||||||||||||||
$ | 3,000,000 | 3/21/14 | Volkswagen NV | 1.06 | % | 3,016,955 | 0.24 | % | ||||||||||
5,870,000 | 4/1/14 | Volkswagen NV | 0.97 | % | 5,903,892 | 0.47 | % | |||||||||||
Bank | ||||||||||||||||||
3,300,000 | 6/28/13 | Bank of Montreal | 2.13 | % | 3,328,572 | 0.26 | % | |||||||||||
2,000,000 | 1/23/13 | Barclays Bank PLC | 2.50 | % | 2,024,405 | 0.16 | % | |||||||||||
5,000,000 | 4/14/14 | Danske Bank A/S | 1.39 | % | 4,934,627 | 0.39 | % | |||||||||||
2,300,000 | 1/18/13 | HSBC Bank PLC | 0.72 | % | 2,303,895 | 0.18 | % | |||||||||||
4,150,000 | 5/15/13 | HSBC Bank PLC | 0.74 | % | 4,159,770 | 0.33 | % | |||||||||||
3,200,000 | 8/12/13 | HSBC Bank PLC | 1.63 | % | 3,242,478 | 0.26 | % | |||||||||||
400,000 | 1/17/14 | HSBC Bank PLC | 1.13 | % | 403,715 | 0.03 | % | |||||||||||
9,000,000 | 3/15/13 | ING Bank N.V. | 1.36 | % | 9,018,614 | 0.71 | % | |||||||||||
1,000,000 | 6/9/14 | ING Bank N.V. | 1.71 | % | 1,010,429 | 0.08 | % | |||||||||||
5,000,000 | 6/17/13 | KfW Bankengruppe | 0.22 | % | 5,000,646 | 0.40 | % | |||||||||||
1,500,000 | 1/8/13 | National Australia Bank | 2.50 | % | 1,518,397 | 0.12 | % | |||||||||||
5,000,000 | 4/11/14 | National Australia Bank | 1.07 | % | 5,043,164 | 0.40 | % | |||||||||||
5,000,000 | 2/4/13 | Rabobank Nederland | 0.46 | % | 5,003,405 | 0.40 | % | |||||||||||
6,660,000 | 7/26/13 | Toronto-Dominion Bank | 0.49 | % | 6,671,494 | 0.53 | % | |||||||||||
5,000,000 | 3/31/14 | Westpac Banking Corp. | 1.04 | % | 5,031,637 | 0.40 | % |
The accompanying notes are an integral part of these consolidated financial statements.
14 |
Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
December 31, 2012
(Audited)
Description | Fair Value | % of Partners' Capital (Net Asset Value) | ||||||||||||||||
Foreign Corporate Notes (continued) | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
Chemical | ||||||||||||||||||
$ | 1,000,000 | 3/1/13 | Potash Corp. of Saskatchewan | 4.88 | % | $ | 1,023,377 | 0.08 | % | |||||||||
Energy | ||||||||||||||||||
8,250,000 | 11/7/13 | BP Capital Markets P.L.C. | 5.25 | % | 8,649,744 | 0.68 | % | |||||||||||
8,600,000 | 11/14/14 | Canadian Natural Resources Ltd | 1.45 | % | 8,739,113 | 0.69 | % | |||||||||||
1,076,000 | 7/15/13 | Petro-Canada | 4.00 | % | 1,113,435 | 0.09 | % | |||||||||||
8,646,000 | 3/25/13 | Shell | 1.88 | % | 8,720,082 | 0.69 | % | |||||||||||
Manufacturing | ||||||||||||||||||
8,000,000 | 6/16/14 | Eaton Corporation | 0.64 | % | 7,991,462 | 0.63 | % | |||||||||||
Multi-national | ||||||||||||||||||
4,750,000 | 8/1/13 | International Finance Corp. | 0.33 | % | 4,760,818 | 0.38 | % | |||||||||||
Pharmaceutical | ||||||||||||||||||
8,065,000 | 3/28/13 | Sanofi | 0.51 | % | 8,071,074 | 0.64 | % | |||||||||||
4,280,000 | 3/28/14 | Sanofi | 0.62 | % | 4,296,280 | 0.34 | % | |||||||||||
5,950,000 | 3/17/15 | Takeda Pharmaceutical Co Ltd | 1.03 | % | 5,991,129 | 0.47 | % | |||||||||||
9,450,000 | 3/21/14 | Teva Pharmaceutical | 0.81 | % | 9,489,970 | 0.75 | % | |||||||||||
Total foreign corporate notes (cost: $136,787,164) | 136,462,579 | 10.80 | % | |||||||||||||||
Total corporate notes (cost: $484,658,027) | 482,617,009 | 38.19 | % | |||||||||||||||
Total investments in securities (cost: $702,866,469) | $ | 700,338,316 | 55.42 | % | ||||||||||||||
CERTIFICATES OF DEPOSIT | ||||||||||||||||||
U.S. Certificates of Deposit | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
Banks | ||||||||||||||||||
$ | 2,250,000 | 1/28/13 | Banco del Estado de Chile (NY) | 0.60 | % | $ | 2,256,324 | 0.18 | % | |||||||||
2,000,000 | 8/15/13 | Bank of Montreal (Chicago) | 0.51 | % | 2,004,552 | 0.16 | % | |||||||||||
2,250,000 | 10/3/13 | Bank of Montreal (Chicago) | 0.81 | % | 2,261,955 | 0.18 | % | |||||||||||
7,500,000 | 2/11/13 | Bank of Tokyo-Mitsubishi UFJ, Ltd. | 0.49 | % | 7,516,420 | 0.59 | % | |||||||||||
2,500,000 | 4/12/13 | Bank of Tokyo-Mitsubishi UFJ, Ltd. | 0.83 | % | 2,519,034 | 0.20 | % | |||||||||||
3,000,000 | 9/27/13 | Barclays Bank PLC (NY) | 0.94 | % | 3,013,682 | 0.24 | % | |||||||||||
1,600,000 | 11/14/13 | Barclays Bank PLC (NY) | 0.81 | % | 1,602,380 | 0.13 | % | |||||||||||
3,750,000 | 7/26/13 | BB&T | 0.48 | % | 3,762,925 | 0.30 | % | |||||||||||
2,950,000 | 7/25/13 | Credit Suisse (NY) | 0.82 | % | 2,954,218 | 0.23 | % | |||||||||||
2,975,000 | 3/14/13 | Deutsche Bank (NY) | 1.06 | % | 3,005,338 | 0.24 | % | |||||||||||
3,700,000 | 10/16/13 | Deutsche Bank (NY) | 0.75 | % | 3,708,485 | 0.29 | % | |||||||||||
2,000,000 | 3/1/13 | Mizuho Corporate Bank, Ltd. (NY) | 0.46 | % | 2,003,734 | 0.16 | % | |||||||||||
2,700,000 | 2/8/13 | Norinchukin Bank (NY) | 0.52 | % | 2,706,307 | 0.21 | % | |||||||||||
4,500,000 | 4/1/13 | Norinchukin Bank (NY) | 0.43 | % | 4,506,205 | 0.36 | % | |||||||||||
250,000 | 3/1/13 | PNC Bank | 0.41 | % | 250,164 | 0.02 | % | |||||||||||
250,000 | 3/15/13 | Royal Bank of Canada (NY) | 2.25 | % | 252,701 | 0.02 | % | |||||||||||
1,500,000 | 7/30/13 | Royal Bank of Canada (NY) | 0.36 | % | 1,501,102 | 0.12 | % | |||||||||||
4,600,000 | 9/3/13 | Royal Bank of Canada (NY) | 0.51 | % | 4,607,145 | 0.36 | % | |||||||||||
4,300,000 | 1/14/13 | Standard Chartered Bank | 0.57 | % | 4,311,952 | 0.34 | % | |||||||||||
Total U.S. certificates of deposit (cost: $54,582,427) | 54,744,623 | 4.33 | % |
The accompanying notes are an integral part of these consolidated financial statements.
15 |
Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
December 31, 2012
(Audited)
Description | Fair Value | % of Partners' Capital (Net Asset Value) | ||||||||||||||||
Foreign Certificates of Deposit | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
Banks | ||||||||||||||||||
$ | 2,000,000 | 2/10/14 | Bank of Nova Scotia | 0.81 | % | $ | 2,008,124 | 0.16 | % | |||||||||
2,050,000 | 4/9/13 | National Australia Bank | 0.43 | % | 2,053,020 | 0.16 | % | |||||||||||
2,250,000 | 4/11/13 | Sumitomo Mitsui Bank | 0.80 | % | 2,266,513 | 0.18 | % | |||||||||||
5,000,000 | 5/10/13 | Sumitomo Mitsui Bank | 0.79 | % | 5,034,435 | 0.40 | % | |||||||||||
2,000,000 | 10/22/13 | Sumitomo Mitsui Bank | 0.60 | % | 2,004,647 | 0.16 | % | |||||||||||
Total foreign certificates of deposit (cost: $13,300,000) | 13,366,739 | 1.06 | % | |||||||||||||||
Total certificates of deposit (cost: $67,882,427) | $ | 68,111,362 | 5.39 | % | ||||||||||||||
OPEN FUTURES CONTRACTS | ||||||||||||||||||
Long U.S. Futures Contracts | ||||||||||||||||||
Agricultural commodities | $ | (2,448,733 | ) | (0.19 | )% | |||||||||||||
Currencies | (2,154,771 | ) | (0.17 | )% | ||||||||||||||
Energy | 1,606,954 | 0.13 | % | |||||||||||||||
Equity indices | 943,102 | 0.07 | % | |||||||||||||||
Interest rate instruments | (969,809 | ) | (0.08 | )% | ||||||||||||||
Metals | 523,562 | 0.04 | % | |||||||||||||||
Single stock futures | 65,673 | 0.01 | % | |||||||||||||||
Net unrealized loss on open long U.S. futures contracts | (2,434,022 | ) | (0.19 | )% | ||||||||||||||
Short U.S. Futures Contracts | ||||||||||||||||||
Agricultural commodities | 4,589,873 | 0.37 | % | |||||||||||||||
Currencies | 4,839,647 | 0.38 | % | |||||||||||||||
Energy | (960,037 | ) | (0.08 | )% | ||||||||||||||
Equity indices | (857,247 | ) | (0.06 | )% | ||||||||||||||
Interest rate instruments | (1,540,849 | ) | (0.12 | )% | ||||||||||||||
Metals | (5,401,528 | ) | (0.43 | )% | ||||||||||||||
Single stock futures | 28,887 | 0.00 | % | |||||||||||||||
Net unrealized gain on open short U.S. futures contracts | 698,746 | 0.06 | % | |||||||||||||||
Total U.S. Futures Contracts - Net unrealized loss on open U.S. futures contracts | (1,735,276 | ) | (0.14 | )% | ||||||||||||||
Long Foreign Futures Contracts | ||||||||||||||||||
Agricultural commodities | (153,049 | ) | (0.01 | )% | ||||||||||||||
Currencies | 1,672,733 | 0.13 | % | |||||||||||||||
Energy | 157,050 | 0.01 | % | |||||||||||||||
Equity indices | 6,439,003 | 0.51 | % | |||||||||||||||
Interest rate instruments | 7,051,964 | 0.56 | % | |||||||||||||||
Metals | 131,886 | 0.01 | % | |||||||||||||||
Net unrealized gain on open long foreign futures contracts | 15,299,587 | 1.21 | % |
The accompanying notes are an integral part of these consolidated financial statements.
16 |
Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
December 31, 2012
(Audited)
Description | Fair Value | % of Partners' Capital (Net Asset Value) | ||||||||
Short Foreign Futures Contracts | ||||||||||
Agricultural commodities | $ | 135,344 | 0.01 | % | ||||||
Currencies | 621,593 | 0.05 | % | |||||||
Energy | 153,137 | 0.01 | % | |||||||
Equity indices | (2,210,671 | ) | (0.17 | )% | ||||||
Interest rate instruments | (145,741 | ) | (0.01 | )% | ||||||
Net unrealized loss on open short foreign futures contracts | (1,446,338 | ) | (0.11 | )% | ||||||
Total foreign futures contracts - net unrealized gain on open foreign futures contracts | 13,853,249 | 1.10 | % | |||||||
Net unrealized gain on open futures contracts | $ | 12,117,973 | 0.96 | % | ||||||
OPEN FORWARD CURRENCY CONTRACTS | ||||||||||
U.S. Forward Currency Contracts | ||||||||||
Long | $ | 1,681,416 | 0.14 | % | ||||||
Short | 2,815,763 | 0.22 | % | |||||||
Net unrealized gain on open U.S. forward currency contracts | 4,497,179 | 0.36 | % | |||||||
Foreign Forward Currency Contracts | ||||||||||
Long | 550,729 | 0.04 | % | |||||||
Short | 578,487 | 0.05 | % | |||||||
Net unrealized gain on open foreign forward currency contracts | 1,129,216 | 0.09 | % | |||||||
Net unrealized gain on open forward currency contracts | $ | 5,626,395 | 0.45 | % |
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.
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 consolidated financial statements.
17 |
Futures Portfolio Fund, Limited Partnership
Consolidated Statements of Operations
For the Three Months Ended March 31, 2013 and 2012
(Unaudited)
Three Months Ended March 31, | ||||||||
2013 | 2012 | |||||||
Gain (Loss) from Futures and Forwards Trading | ||||||||
Net realized gain | $ | 37,132,812 | $ | 34,155,875 | ||||
Net change in unrealized gain (loss) | 4,439,919 | (42,831,430 | ) | |||||
Brokerage commissions and trading expenses | (1,311,855 | ) | (1,221,840 | ) | ||||
Net gain (loss) from futures and forwards trading | 40,260,876 | (9,897,395 | ) | |||||
Net Investment Loss | ||||||||
Income | ||||||||
Interest income | 2,578,373 | 4,049,489 | ||||||
Net realized and change in unrealized gain (loss) on securities and certificates of deposit | (1,447,657 | ) | 4,149,257 | |||||
Total income | 1,130,716 | 8,198,746 | ||||||
Expenses | ||||||||
Trading Advisor management fee | 4,843,354 | 5,898,413 | ||||||
Cash Manager fees | 196,960 | 227,973 | ||||||
General Partner management and performance fees | 4,773,578 | 6,530,473 | ||||||
Selling Agent fees – General Partner | 4,062,550 | 4,701,346 | ||||||
General Partner 1% allocation | 260,796 | (207,690 | ) | |||||
Administrative expenses – General Partner | 1,435,582 | 1,712,128 | ||||||
Total expenses | 15,572,820 | 18,862,643 | ||||||
Net investment loss | (14,442,104 | ) | (10,663,897 | ) | ||||
Net Income (Loss) | $ | 25,818,772 | $ | (20,561,292 | ) |
Three Months Ended March 31, | ||||||||||||||||||||||||
2013 | 2012 | |||||||||||||||||||||||
Class A | Class B | Class I | Class A | Class B | Class I | |||||||||||||||||||
Increase (decrease) in net asset value per unit | $ | 78.87 | $ | 135.67 | $ | 23.15 | $ | (70.97 | ) | $ | (69.25 | ) | $ | — | ||||||||||
Net income (loss) per unit† | $ | 80.68 | $ | 139.57 | $ | 23.72 | $ | (71.51 | ) | $ | (69.51 | ) | $ | — | ||||||||||
Weighted average number of units outstanding | 173,606.9537 | 83,832.6198 | 4,684.9849 | 191,822.9249 | 98,392.8995 | — |
†(based on weighted average number of units outstanding during the period)
The accompanying notes are an integral part of these consolidated financial statements.
18 |
Futures Portfolio Fund, Limited Partnership
Consolidated Statements of Cash Flows
For the Three Months Ended March 31, 2013 and 2012
(Unaudited)
Three Months Ended March 31, | ||||||||
2013 | 2012 | |||||||
Cash flows from operating activities | ||||||||
Net income (loss) | $ | 25,818,772 | $ | (20,561,292 | ) | |||
Adjustments to reconcile net income (loss) to net cash provided by operating activities | ||||||||
Net change in unrealized (gain) loss from futures and forwards trading | (4,439,919 | ) | 42,831,430 | |||||
Purchases of securities and certificates of deposit | (407,103,995 | ) | (755,259,497 | ) | ||||
Proceeds from disposition of securities and certificates of deposit | 448,586,215 | 825,821,074 | ||||||
Net realized and change in unrealized (gain) loss on securities and certificates of deposit | 1,447,657 | (4,149,257 | ) | |||||
Changes in | ||||||||
Trading Advisor management fee payable | (66,011 | ) | (120,009 | ) | ||||
Commissions and other trading fees payable on open contracts | (21,021 | ) | 24,308 | |||||
Cash Manager fees payable | (37,058 | ) | (50,507 | ) | ||||
General Partner management and performance fees payable | (70,166 | ) | (57,579 | ) | ||||
General Partner 1% allocation receivable/payable | 1,108,301 | 1,149,005 | ||||||
Selling Agent fees payable – General Partner | (45,462 | ) | (42,676 | ) | ||||
Administrative expenses payable – General Partner | (19,805 | ) | (14,707 | ) | ||||
Net cash provided by operating activities | 65,157,508 | 89,570,293 | ||||||
Cash flows from financing activities | ||||||||
Subscriptions | 19,615,211 | 22,255,578 | ||||||
Subscriptions received in advance | 3,820,163 | 12,782,644 | ||||||
Redemptions | (107,147,358 | ) | (56,489,723 | ) | ||||
Net cash used in financing activities | (83,711,984 | ) | (21,451,501 | ) | ||||
Net increase (decrease) in cash and cash equivalents | (18,554,476 | ) | 68,118,792 | |||||
Cash and cash equivalents, beginning of period | 533,216,653 | 395,846,968 | ||||||
Cash and cash equivalents, end of period | $ | 514,662,177 | $ | 463,965,760 | ||||
End of period cash and cash equivalents consists of | ||||||||
Cash in broker trading accounts | $ | 470,662,264 | $ | 431,322,437 | ||||
Cash and cash equivalents | 43,999,913 | 32,643,323 | ||||||
Total end of period cash and cash equivalents | $ | 514,662,177 | $ | 463,965,760 | ||||
Supplemental disclosure of cash flow information | ||||||||
Prior period redemptions paid | $ | 41,157,564 | $ | 22,127,237 | ||||
Prior period subscriptions received in advance | $ | 9,060,642 | $ | 15,876,320 | ||||
Supplemental schedule of non-cash financing activities | ||||||||
Redemptions payable | $ | 38,437,189 | $ | 28,731,372 |
The accompanying notes are an integral part of these consolidated financial statements.
19 |
Futures Portfolio Fund, Limited Partnership
Consolidated Statements of Changes in Partners’ Capital (Net Asset Value)
For the Three Months Ended March 31, 2013 and 2012
(Unaudited)
Class A | Class B | Class I | ||||||||||||||||||||||||||
Units | Amount | Units | Amount | Units | Amount | Total | ||||||||||||||||||||||
Three Months Ended March 31, 2013 | ||||||||||||||||||||||||||||
Balance at December 31, 2012 | 178,207.9880 | $ | 753,610,488 | 86,910.3630 | $ | 508,000,871 | 2,484.3408 | $ | 2,267,581 | $ | 1,263,878,940 | |||||||||||||||||
Net income | 14,007,308 | 11,700,349 | 111,115 | 25,818,772 | ||||||||||||||||||||||||
Subscriptions | 3,896.1395 | 16,654,566 | 1,517.5528 | 8,981,142 | 3,305.6618 | 3,040,145 | 28,675,853 | |||||||||||||||||||||
Redemptions | (13,576.2487 | ) | (58,305,932 | ) | (7,743.1747 | ) | (46,121,051 | ) | — | — | (104,426,983 | ) | ||||||||||||||||
Transfers | (342.9134 | ) | (1,475,619 | ) | 247.2911 | 1,475,619 | — | — | — | |||||||||||||||||||
Balance at March 31, 2013 | 168,184.9654 | $ | 724,490,811 | 80,932.0322 | $ | 484,036,930 | 5,790.0026 | $ | 5,418,841 | $ | 1,213,946,582 | |||||||||||||||||
Three Months Ended March 31, 2012 | ||||||||||||||||||||||||||||
Balance at December 31, 2011 | 192,640.4151 | $ | 872,169,401 | 99,309.8890 | $ | 610,486,703 | — | $ | — | $ | 1,482,656,104 | |||||||||||||||||
Net loss | (13,722,214 | ) | (6,839,078 | ) | — | (20,561,292 | ) | |||||||||||||||||||||
Subscriptions | 4,951.8073 | 22,476,685 | 2,535.8648 | 15,655,313 | — | — | 38,131,998 | |||||||||||||||||||||
Redemptions | (7,023.6459 | ) | (31,659,288 | ) | (5,125.7623 | ) | (31,434,570 | ) | — | — | (63,093,858 | ) | ||||||||||||||||
Transfers | (189.1427 | ) | (842,770 | ) | 138.6971 | 842,770 | — | — | — | |||||||||||||||||||
Balance at March 31, 2012 | 190,379.4338 | $ | 848,421,814 | 96,858.6886 | $ | 588,711,138 | — | $ | — | $ | 1,437,132,952 |
Net Asset Value per Unit
Class A | Class B | Class I | ||||||||||
March 31, 2013 | $ | 4,307.70 | $ | 5,980.78 | $ | 935.90 | ||||||
December 31, 2012 | 4,228.83 | 5,845.11 | 912.75 | |||||||||
March 31, 2012 | 4,456.48 | 6,078.04 | — | |||||||||
December 31, 2011 | 4,527.45 | 6,147.29 | — |
The accompanying notes are an integral part of these consolidated financial statements.
20 |
Futures Portfolio Fund, Limited Partnership
Notes to Consolidated Financial Statements
(Unaudited)
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 three classes, Class A, B and I, which represent units of fractional undivided beneficial interest in and ownership of the Fund. Class I Units were made available for purchase on June 1, 2012. 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, Inc. (“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.
The three classes of Units in the Fund differ only in the fees applicable to each class. Class A Units are subject to a 2% per annum selling agent fee and 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, lower General Partner Management Fees (0.75% per annum instead of 1.50% per annum), and a General Partner performance fee (7.5% of new profits, described more fully in Note 4).
During 2011, the Fund made investments totaling $90 million in the Steben Institutional Fund LLC (“SIF”), whose manager was the General Partner. The Fund was the only member in SIF. Similar to the Fund, SIF used professional commodity trading advisors to engage in the speculative trading of futures and forward currency contracts traded in the U.S. and internationally. SIF traded within six major market sectors: agricultural commodities, currencies, energy, equity indices, interest rate instruments and metals. SIF commenced trading on March 1, 2011. SIF incurred trading advisor management and incentive fees, as well as reimbursed its manager for operating expenses incurred on its behalf. During 2012, the General Partner liquidated SIF, and all of the assets of SIF were transferred to the Fund by October 31, 2012.
Significant Accounting Policies
Accounting Principles
The Fund’s consolidated financial statements are prepared in conformity with U.S. generally accepted accounting principles (“GAAP”).
Consolidation
The accompanying consolidated financial statements include the accounts of the Fund and SIF, for which the Fund is the sole member. All material intercompany accounts and transactions have been eliminated in consolidation.
Use of Estimates
Preparing consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the consolidated financial statements and accompanying notes. Actual results could differ from those estimates.
21 |
Revenue Recognition
Futures, forward currency contracts, investments in securities, and certificates of deposit 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 and change in unrealized gain (loss) in the consolidated statements of operations. Unrealized gains and losses on open contracts (the difference between contract trade price and fair value) are reported in the consolidated 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 consolidated 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.
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 money market 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, certificates of deposit and U.S. government sponsored enterprise notes.
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 periods ended March 31, 2013 and December 31, 2012, 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.
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 and U.S. and foreign government sponsored enterprise notes 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 and U.S. and foreign government sponsored enterprise notes are classified within Level 2.
The investment in a money market fund, included in cash and cash equivalents in the consolidated statements of financial condition, and futures contracts, all of which are exchange-traded, are valued using quoted market prices for identical assets and are classified within Level 1. 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, 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.
22 |
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 March 31, 2013. 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 2009.
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 consolidated statements of operations.
Reclassification
Certain amounts reported in the 2012 consolidated financial statements may have been reclassified to conform to the 2013 presentation without affecting previously reported partners’ capital (net asset value).
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 March 31, 2013 | ||||||||||||
Level 1 | Level 2 | Total | ||||||||||
Equity in broker trading accounts: | ||||||||||||
Net unrealized gain on open futures contracts* | $ | 22,190,100 | $ | — | $ | 22,190,100 | ||||||
Net unrealized loss on open forward currency contracts* | — | (5,813 | ) | (5,813 | ) | |||||||
Cash and cash equivalents: | ||||||||||||
Money market fund | 18,369,723 | — | 18,369,723 | |||||||||
Investments in securities: | ||||||||||||
U.S. Treasury securities* | 131,175,531 | — | 131,175,531 | |||||||||
U.S. government sponsored enterprise notes* | — | 1,410,725 | 1,410,725 | |||||||||
Commercial paper* | — | 86,927,752 | 86,927,752 | |||||||||
Corporate notes* | — | 446,838,787 | 446,838,787 | |||||||||
Certificates of deposit* | — | 59,167,006 | 59,167,006 | |||||||||
Total | $ | 171,735,354 | $ | 594,338,457 | $ | 766,073,811 |
*See the consolidated condensed schedule of investments for further description.
23 |
At December 31, 2012 | ||||||||||||
Level 1 | Level 2 | Total | ||||||||||
Equity in broker trading accounts: | ||||||||||||
Net unrealized gain on open futures contracts* | $ | 12,117,973 | $ | — | $ | 12,117,973 | ||||||
Net unrealized gain on open forward currency contracts* | — | 5,626,395 | 5,626,395 | |||||||||
Cash and cash equivalents: | ||||||||||||
Money market fund | 12,193,936 | — | 12,193,936 | |||||||||
Investments in securities: | ||||||||||||
U.S. Treasury securities* | 105,315,591 | — | 105,315,591 | |||||||||
U.S. government sponsored enterprise notes* | — | 16,749,015 | 16,749,015 | |||||||||
Commercial paper* | — | 95,656,701 | 95,656,701 | |||||||||
Corporate notes* | — | 482,617,009 | 482,617,009 | |||||||||
Certificates of deposit* | — | 68,111,362 | 68,111,362 | |||||||||
Total | $ | 129,627,500 | $ | 668,760,482 | $ | 798,387,982 |
*See the consolidated condensed schedule of investments for further description.
There were no Level 3 holdings at March 31, 2013 or December 31, 2012, 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.
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 March 31, 2013, the Fund’s derivative contracts had the following impact on the consolidated statements of financial condition:
Derivative Assets and Liabilities, at fair value | ||||||||||||
Consolidated Statements of Financial Condition Location | Assets | Liabilities | Net | |||||||||
Equity in broker trading accounts | ||||||||||||
Net unrealized gain on open futures contracts | ||||||||||||
Agricultural commodities | $ | 6,603,434 | $ | (3,854,512 | ) | $ | 2,748,922 | |||||
Currencies | 3,797,685 | (5,809,731 | ) | (2,012,046 | ) | |||||||
Energy | 4,271,776 | (3,594,519 | ) | 677,257 | ||||||||
Equity indices | 10,523,018 | (10,050,610 | ) | 472,408 | ||||||||
Interest rate instruments | 22,386,596 | (4,474,308 | ) | 17,912,288 | ||||||||
Metals | 17,095,556 | (14,868,438 | ) | 2,227,118 | ||||||||
Single stock futures | 300,194 | (136,041 | ) | 164,153 | ||||||||
Net unrealized gain on open futures contracts | $ | 64,978,259 | $ | (42,788,159 | ) | $ | 22,190,100 | |||||
Net unrealized gain (loss) on open forward currency contracts | $ | 7,426,144 | $ | (7,431,957 | ) | $ | (5,813 | ) |
At March 31, 2013, there were 114,626 open futures contracts and 3,079 open forward currency contracts. At December 31, 2012, the Fund’s derivative contracts had the following impact on the consolidated statements of financial condition:
December 31, 2012 | Derivative Assets and Liabilities, at fair value | |||||||||||
Consolidated Statements of Financial Condition Location | Assets | Liabilities | Net | |||||||||
Equity in broker trading accounts | ||||||||||||
Net unrealized gain on open futures contracts | ||||||||||||
Agricultural commodities | $ | 6,119,312 | $ | (3,995,877 | ) | $ | 2,123,435 | |||||
Currencies | 10,634,972 | (5,655,770 | ) | 4,979,202 | ||||||||
Energy | 4,377,815 | (3,420,711 | ) | 957,104 | ||||||||
Equity indices | 12,433,423 | (8,119,236 | ) | 4,314,187 | ||||||||
Interest rate instruments | 14,620,306 | (10,224,741 | ) | 4,395,565 | ||||||||
Metals | 5,720,409 | (10,466,489 | ) | (4,746,080 | ) | |||||||
Single stock futures | 197,149 | (102,589 | ) | 94,560 | ||||||||
Net unrealized gain on open futures contracts | $ | 54,103,386 | $ | (41,985,413 | ) | $ | 12,117,973 | |||||
Net unrealized gain (loss) on open forward currency contracts | $ | 13,170,988 | $ | (7,544,593 | ) | $ | 5,626,395 |
24 |
At December 31, 2012, there were 125,947 open futures contracts and 2,428 open forward currency contracts. For the three months ended March 31, 2013 and 2012, the Fund’s derivative contracts had the following impact on the consolidated statements of operations:
Three Months Ended March 31, 2013 | Three Months Ended March 31, 2012 | |||||||||||||||
Types of Exposure | Net realized gain | Net change in unrealized gain (loss) | Net realized gain | Net change in unrealized gain (loss) | ||||||||||||
Futures contracts | ||||||||||||||||
Agricultural commodities | $ | (1,387,392 | ) | $ | 625,487 | $ | (15,265,980 | ) | $ | 8,064,586 | ||||||
Currencies | 16,204,386 | (6,991,248 | ) | (1,224,791 | ) | (16,263,668 | ) | |||||||||
Energy | (5,556,731 | ) | (279,847 | ) | 58,257,662 | (8,657,227 | ) | |||||||||
Equity indices | 63,580,916 | (3,841,779 | ) | 36,378,280 | 2,012,509 | |||||||||||
Interest rate instruments | (41,057,555 | ) | 13,516,723 | (26,277,198 | ) | (23,110,320 | ) | |||||||||
Metals | (5,086,923 | ) | 6,973,198 | (15,407,412 | ) | (1,390,706 | ) | |||||||||
Single stock futures | 1,613,218 | 69,593 | 1,787,827 | (6,956 | ) | |||||||||||
Total futures contracts | 28,309,919 | 10,072,127 | 38,248,388 | (39,351,782 | ) | |||||||||||
Forward currency contracts | 9,005,771 | (5,632,208 | ) | (4,097,684 | ) | (3,479,538 | ) | |||||||||
Total futures and forward currency contracts | $ | 37,315,690 | $ | 4,439,919 | $ | 34,150,704 | $ | (42,831,320 | ) |
For the three months ended March 31, 2013 and 2012, the number of futures contracts closed was 346,335 and 347,177, respectively, and the number of forward currency contracts closed was 11,788 and 10,298, respectively.
4. | General Partner |
At March 31, 2013 and December 31, 2012, and for the periods then ended, the General Partner did not maintain a capital balance in the Fund. However, the beneficiary of the majority shareholder of the General Partner had the following investment:
March 31, 2013 | December 31, 2012 | |||||||
Class of units | I | I | ||||||
Number of units | 254.4114 | 254.4114 | ||||||
Value | $ | 238,103 | $ | 232,214 |
The General Partner earns the following compensation:
§ | General Partner Management Fee – the Fund incurs a monthly fee on Class A and Class B Units equal to 1/12th of 1.5% of the month-end net asset value of the Class A and Class B Units, payable in arrears. Prior to June 1, 2012, the general partner management fee was 1.75% per annum. The Fund incurs a monthly fee on Class I Units equal to 1/12th of 0.75% of the month-end net asset value of the Class I Units, payable in arrears. | |
§ | General Partner Performance Fee – the Fund incurs a monthly fee on Class I Units equal to 7.5% of new profits of the Class I Units calculated monthly. The general partner performance fee is payable quarterly in arrears. | |
§ | Selling Agent Fees – the Class A Units incur a monthly fee equal to 1/12th of 2% of the month-end net asset value of the Class A Units. Selling agent fees amounted to $3,808,083 and $4,394,452 for the three months ended March 31, 2013 and 2012, respectively. Such amounts are included in selling agent fees – General Partner in the consolidated statements of operations. The General Partner, in turn, pays the selling agent fees to the respective selling agents. If there is no designated selling agent or the General Partner was the selling agent, such portions of the selling agent fees are retained by the General Partner. | |
§ | Broker Dealer Servicing Fees – the Class B Units incur a monthly fee equal to 1/12th of 0.2% of the month-end net asset value of the Class B Units. Broker dealer servicing fees amounted to $254,467 and $306,895 for the three months ended March 31, 2013 and 2012, respectively. Such amounts are included in selling agent fees – General Partner in the consolidated statements of operations. The General Partner, in turn, pays the fees to the respective selling agents. If there is no designated selling agent or the General Partner was the selling agent, such portions of the broker dealer servicing fees are retained by the General Partner. |
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§ | Administrative Expenses – the Fund incurs a monthly fee equal to 1/12th of 0.45% of the month-end net asset value of the fund, payable in arrears to the General Partner. The General Partner, in turn, pays the administrative expenses of the Fund. Administrative expenses include accounting, audit, legal, salary and administrative costs incurred by the General Partner relating to marketing and administration of the Fund; such as, salaries and commissions of General Partner marketing personnel, administrative employee salaries and related costs. |
Pursuant to the terms of the Partnership Agreement, each year the General Partner receives from the Fund 1% of any net income earned by the Fund. Conversely, the General Partner pays to the Fund 1% of any net loss incurred by the Fund. Such amounts are reflected as General Partner 1% allocation receivable or payable in the consolidated statements of financial condition and as General Partner 1% allocation in the consolidated statements of operations.
5. | Trading Advisors and Cash Managers |
The Fund has advisory agreements with various commodity trading advisors, pursuant to which the Fund incurs a monthly trading advisor management fee that ranges from 0% to 2% per annum of allocated net assets (as defined in each respective advisory agreement), paid monthly or quarterly in arrears. Additionally, the Fund incurs trading advisor incentive fees, payable quarterly in arrears, ranging from 10% to 30% of net new trading profits (as defined in each respective advisory agreement).
The Fund uses J.P. Morgan Investment Management, Inc. and Principal Global Investors, LLC (collectively, the “Cash Managers”) to provide cash management services to the Fund. The Fund incurs monthly fees, payable in arrears to the Cash Managers, equal to approximately 1/12th of 0.11% of the investments in securities and certificates of deposit.
6. | Deposits with Brokers |
To meet margin requirements, the Fund deposits funds with its futures brokers, subject to CFTC regulations and various exchange and broker requirements. The Fund earns interest income on its assets deposited with brokers. At March 31, 2013 and December 31, 2012, the Fund had margin requirements of $191,490,604 and $250,611,119, respectively.
7. | Subscriptions, Distributions and Redemptions |
Investments in the Fund are made by subscription agreement and must be received within five business days of the end of the month, subject to acceptance by the General Partner. The minimum investment is $10,000 for Class A and B units and $2,000,000 for Class I units. Units are sold at the respective net asset value per unit for Class A, B or I interests as of the close of business on the last day of the month in which the subscription is accepted. Investors whose subscriptions are accepted are admitted as limited partners as of the beginning of the month following the month in which their subscriptions were accepted. At March 31, 2013 and December 31, 2012, the Fund received advance subscriptions of $3,820,163 and $9,060,642, respectively, which were recognized as subscriptions to the Fund or returned, if applicable, subsequent to period-end.
The Fund is not required to make distributions, but may do so at the sole discretion of the General Partner. A limited partner may request and receive redemption of Class A, B or I Units owned at the end of any month, subject to five business days’ prior written notice to the General Partner, and in certain circumstances, restrictions in the Partnership Agreement.
The General Partner may require a limited partner to redeem from the Fund if the General Partner deems the redemption (a) necessary to prevent or correct the occurrence of a non-exempt prohibited transaction under the Employee Retirement Income Security Act of 1974, as amended, or the Internal Revenue Code of 1986, as amended, (b) beneficial to the Fund, or (c) necessary to comply with applicable government or self-regulatory organization regulations.
8. | Trading Activities and Related Risks |
The Fund engages in the speculative trading of futures, options and over-the-counter contracts, including forward currency contracts traded in the U.S. and internationally. Trading in derivatives exposes the Fund to both market risk, the risk arising from a change in the fair value of a contract, and credit risk, the risk of failure by another party to perform according to the terms of a contract.
Purchase and sale of futures contracts requires margin deposits with the futures brokers. Additional deposits may be necessary for any loss of contract value. The Commodity Exchange Act (“CEAct”) requires a broker to segregate all customer transactions and assets from such broker’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury securities) deposited with a broker are considered commingled with all other customer funds subject to the broker’s segregation requirements. In the event of a broker’s insolvency, recovery may be limited to a pro rata share of segregated funds available. It is possible that the recovered amount could be less than (or none of) the total cash and other property deposited. The Fund uses Newedge USA, LLC and JP Morgan Securities, LLC as its futures brokers and Newedge UK Financial Limited and UBG AG as its forward currency counterparties.
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For futures contracts, risks arise from changes in the fair value of the contracts. Theoretically, the Fund is exposed to a market risk equal to the value of futures and forward currency contracts purchased, and unlimited liability on such contracts sold short.
In addition to market risk, upon entering into commodity interest contracts there is a credit risk that a counterparty will not be able to meet its obligations to the Fund. The counterparty for futures and options on futures contracts traded in the U.S. and on most non-U.S. futures exchanges is the clearinghouse associated with such exchanges. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the non-performance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearinghouse is not backed by the clearing members, like some non-U.S. exchanges, it is normally backed by a consortium of banks or other financial institutions.
In the case of forward currency contracts, which are traded on the interbank or other institutional market rather than on exchanges, the counterparty is generally a single bank or other financial institution, rather than a clearinghouse backed by a group of financial institutions; thus there likely will be greater counterparty credit risk. While the Fund trades only with those counterparties that it believes to be creditworthy, there can be no assurance that any clearing member, clearinghouse or other counterparty will be able to meet its obligations to the Fund.
The Fund trades forward currency contracts in unregulated markets between principals and assumes the risk of loss from counterparty non-performance. Accordingly, the risks associated with forward currency contracts are generally greater than those associated with exchange-traded contracts because of the greater risk of counterparty default. Additionally, the trading of forward currency contracts typically involves delayed cash settlement.
The Fund has a portion of its assets on deposit with interbank market makers and other financial institutions in connection with its trading of forward currency contracts and its cash management activities. In the event of an interbank market maker’s or financial institution’s insolvency, recovery of Fund assets on deposit may be limited to account insurance or other protection afforded such deposits.
The Cash Managers manage the Fund’s cash and excess margin through investments in fixed income instruments, pursuant to investment parameters established by the General Partner. Fluctuations in prevailing interest rates could cause mark-to-market losses on the Fund’s fixed income instruments. Prior to April 2011, the Fund used UBS Financial Services, Inc. and Bank of America Merrill Lynch as its cash management securities brokers for the investment of some excess margin amounts into short-term fixed income instruments.
Through its investments in debt securities and certificates of deposit, the Fund has exposure to U.S. and foreign enterprises. The following table presents the exposure at March 31, 2013.
Country or Region | U.S. Treasury Securities | Gov't Sponsored Enterprise Notes | Commercial Paper | Corporate Notes | Certificates of Deposit | Total | % of Partners' Capital (Net Asset Value) | |||||||||||||||||||||
United States | $ | 131,175,531 | $ | 1,410,725 | $ | 55,893,335 | $ | 343,140,839 | $ | 48,056,241 | $ | 579,676,671 | 47.76 | % | ||||||||||||||
Great Britain | - | - | 7,540,841 | 20,330,451 | - | 27,871,292 | 2.30 | % | ||||||||||||||||||||
Netherlands | - | - | - | 27,584,021 | - | 27,584,021 | 2.27 | % | ||||||||||||||||||||
Canada | - | - | 1,999,187 | 16,514,892 | 2,010,676 | 20,524,755 | 1.69 | % | ||||||||||||||||||||
Japan | - | - | 2,499,649 | 5,991,120 | 7,048,117 | 15,538,886 | 1.28 | % | ||||||||||||||||||||
Multinational | - | - | 2,748,689 | 8,757,164 | - | 11,505,853 | 0.95 | % | ||||||||||||||||||||
Netherland Antilles | - | - | - | 9,476,186 | - | 9,476,186 | 0.78 | % | ||||||||||||||||||||
Australia | - | - | 2,199,923 | 5,025,628 | 2,051,972 | 9,277,523 | 0.76 | % | ||||||||||||||||||||
Singapore | - | - | 5,398,245 | - | - | 5,398,245 | 0.44 | % | ||||||||||||||||||||
Denmark | - | - | - | 5,017,996 | - | 5,017,996 | 0.41 | % | ||||||||||||||||||||
Germany | - | - | - | 5,000,490 | - | 5,000,490 | 0.41 | % | ||||||||||||||||||||
Sweden | - | - | 3,248,502 | - | - | 3,248,502 | 0.27 | % | ||||||||||||||||||||
France | - | - | 2,999,633 | - | - | 2,999,633 | 0.25 | % | ||||||||||||||||||||
Norway | - | - | 2,399,748 | - | - | 2,399,748 | 0.20 | % | ||||||||||||||||||||
Total | $ | 131,175,531 | $ | 1,410,725 | $ | 86,927,752 | $ | 446,838,787 | $ | 59,167,006 | $ | 725,519,801 | 59.77 | % |
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The following table presents the exposure at December 31, 2012.
Country or Region | U.S. Treasury Securities | Gov't Sponsored Enterprise Notes | Commercial Paper | Corporate Notes | Certificates of Deposit | Total | % of Partners' Capital (Net Asset Value) | |||||||||||||||||||||
United States | $ | 105,315,591 | $ | 16,749,015 | $ | 56,716,412 | $ | 346,154,430 | $ | 54,744,623 | $ | 579,680,071 | 45.85 | % | ||||||||||||||
Netherlands | - | - | - | 32,673,377 | - | 32,673,377 | 2.59 | % | ||||||||||||||||||||
Great Britain | - | - | 11,545,640 | 20,784,007 | - | 32,329,647 | 2.56 | % | ||||||||||||||||||||
Canada | - | - | 4,199,589 | 20,875,991 | 2,008,124 | 27,083,704 | 2.14 | % | ||||||||||||||||||||
Japan | - | - | 2,899,522 | 5,991,129 | 9,305,595 | 18,196,246 | 1.44 | % | ||||||||||||||||||||
Australia | - | - | 3,997,360 | 11,593,198 | 2,053,020 | 17,643,578 | 1.40 | % | ||||||||||||||||||||
France | - | - | 3,899,974 | 12,367,354 | - | 16,267,328 | 1.29 | % | ||||||||||||||||||||
Netherland Antilles | - | - | - | 9,489,970 | - | 9,489,970 | 0.75 | % | ||||||||||||||||||||
Multinational | - | - | 3,998,800 | 4,760,818 | - | 8,759,618 | 0.69 | % | ||||||||||||||||||||
Ireland | - | - | - | 7,991,462 | - | 7,991,462 | 0.63 | % | ||||||||||||||||||||
Singapore | - | - | 5,299,611 | - | - | 5,299,611 | 0.42 | % | ||||||||||||||||||||
Germany | - | - | - | 5,000,646 | - | 5,000,646 | 0.40 | % | ||||||||||||||||||||
Denmark | - | - | - | 4,934,627 | - | 4,934,627 | 0.39 | % | ||||||||||||||||||||
Luxumberg | - | - | 3,099,793 | - | - | 3,099,793 | 0.25 | % | ||||||||||||||||||||
Total | $ | 105,315,591 | $ | 16,749,015 | $ | 95,656,701 | $ | 482,617,009 | $ | 68,111,362 | $ | 768,449,678 | 60.80 | % |
9. | Indemnifications |
In the normal course of business, the Fund may enter into contracts and agreements that contain a variety of representations and warranties, and which provide general indemnifications. The Fund’s maximum exposure under these arrangements cannot be estimated. However, the Fund believes that it is unlikely it will have to make material payments under these arrangements and has not recorded any contingent liability in the consolidated financial statements for such indemnifications.
10. | Interim Financial Statements |
The consolidated statements of financial condition, including the consolidated condensed schedule of investments, at March 31, 2013, the consolidated statements of operations for the three months ended March 31, 2013 and 2012, the consolidated statements of cash flows and changes in partners’ capital (net asset value) for the three months ended March 31, 2013 and 2012, and the accompanying notes to the consolidated financial statements are unaudited. Certain information and footnote disclosures normally included in consolidated financial statements prepared in accordance with GAAP may be omitted pursuant to such rules and regulations. In the opinion of management, such consolidated financial statements and accompanying disclosures reflect all adjustments, which were of a normal and recurring nature, necessary to present fairly the financial position at March 31, 2013, results of operations for the three months ended March 31, 2013 and 2012, cash flows and changes in partners’ capital (net asset value) for the three months ended March 31, 2013 and 2012. The results of operations for the three months ended March 31, 2013 and 2012 are not necessarily indicative of the results to be expected for the full year or any other period. These consolidated financial statements should be read in conjunction with the audited financial statements and the notes thereto included in the Fund’s Form 10-K as filed with the SEC.
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11. Financial Highlights
The following information presents per unit operating performance data and other financial ratios for the three months ended March 31, 2013 and 2012, assuming the unit was outstanding throughout the entire period:
Three Months Ended March 31, | ||||||||||||||||||||||||
2013 | 2012 | |||||||||||||||||||||||
Class A | Class B | Class I† | Class A | Class B | Class I† | |||||||||||||||||||
Per Unit Operating Performance | ||||||||||||||||||||||||
Net asset value per Unit at beginning of period | $ | 4,228.83 | $ | 5,845.11 | $ | 912.75 | $ | 4,527.45 | $ | 6,147.29 | $ | — | ||||||||||||
Gain (loss) from operations | ||||||||||||||||||||||||
Gain (loss) from trading(1) | 136.46 | 188.31 | 29.86 | (29.85 | ) | (41.05 | ) | — | ||||||||||||||||
Net investment loss(1) | (57.59 | ) | (52.64 | ) | (6.71 | ) | (41.12 | ) | (28.20 | ) | — | |||||||||||||
Total gain (loss) from operations | 78.87 | 135.67 | 23.15 | (70.97 | ) | (69.25 | ) | — | ||||||||||||||||
Net asset value per Unit at end of period | $ | 4,307.70 | $ | 5,980.78 | $ | 935.90 | $ | 4,456.48 | $ | 6,078.04 | $ | — | ||||||||||||
Total return(4) | 1.87 | % | 2.32 | % | 2.54 | % | (1.57 | )% | (1.13 | )% | — | |||||||||||||
Other Financial Ratios | ||||||||||||||||||||||||
Ratios to average net asset value | ||||||||||||||||||||||||
Expenses prior to Trading Advisor incentive fees and General Partner 1% allocation(2) (3) | 5.67 | % | 3.82 | % | 3.19 | % | 5.93 | % | 4.11 | % | — | |||||||||||||
General Partner 1% allocation(4) | 0.02 | % | 0.02 | % | 0.03 | % | (0.02 | )% | (0.01 | )% | — | |||||||||||||
Total expenses | 5.69 | % | 3.84 | % | 3.22 | % | 5.91 | % | 4.10 | % | — | |||||||||||||
Net investment loss(2) (3) (5) | (5.31 | )% | (3.46 | )% | (2.79 | )% | (3.70 | )% | (1.88 | )% | — |
† Class I units commenced trading on June 1, 2012
Total returns are calculated based on the change in value of a Unit during the period. An individual partner’s total returns and ratios may vary from the above total returns and ratios based on the timing of subscriptions and redemptions.
(1) The net investment loss per unit is calculated by dividing the net investment loss by the average number of Class A, B or I Units outstanding during the period. Gain (loss) from trading is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information. Such balancing amount may differ from the calculation of gain (loss) from trading per unit due to the timing of trading gains and losses during the period relative to the number of units outstanding.
(2) The net investment loss includes interest income and excludes net realized and net change in unrealized gain (loss) from trading activities as shown in the consolidated statements of operations. The total amount is then reduced by all expenses, excluding brokerage commissions, which are included in net trading gain (loss) in the consolidated statements of operations. The resulting amount is divided by the average net asset value for the period.
(3)Ratios have been annualized.
(4) Ratios have not been annualized.
(5) Ratio excludes Trading Advisor incentive fees and General Partner 1% allocation.
Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations
Results of Operations
The returns for each Class of Units for the three months ended March 31, 2013 and 2012 were:
Class of Units | 2013 | 2012 | ||||||
Class A | 1.87 | % | (1.57 | )% | ||||
Class B | 2.32 | % | (1.13 | )% | ||||
Class I | 2.54 | % | — |
Past performance is not necessarily indicative of future results. Class I Units were introduced on June 1, 2012. Further analysis of the trading gains and losses is provided below.
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2013
January
Spurred on by the resolution of the U.S. “fiscal 4.0% cliff” negotiations, markets began 2013 with a strong risk appetite. This led to a rally in global equities and industrial commodities and caused a sell-off in safe haven bonds. In Europe, investors gained confidence that the region’s sovereign debt crisis had been contained, helping the euro strengthen against other currencies. Meanwhile, Japan’s new government implemented a stimulus program consisting of major fiscal spending, coupled with measures to weaken the yen to help the country’s exporters.
The Fund started the year on a positive note, as it profited from long positions in stock indices and energy, as well as short positions in the Japanese yen. These gains were partially offset by losses from long fixed income positions, as bond yields and interest rates climbed during the month. Overall, the Fund returned a profit for the month, with Class A Units up 2.20%, Class B Units up 2.35%, and Class I Units up 2.25%.
February
Although February began with a continuation of January’s risk-seeking market trends, the second half of the month saw “risk-off” price reversals across many sectors. Weak European data signaled a region-wide economic contraction. The UK suffered a credit rating downgrade as it is on the verge of a triple-dip recession. Meanwhile, Italian voters toppled the country’s incumbent government with an election result that repudiated austerity as a means of managing Europe’s sovereign debt crisis. In the U.S., minutes from the most recent Fed meeting hinted at a sooner than expected slowdown of monetary stimulus, frightening investors who anticipated longer term quantitative easing.
The Fund entered February with “risk-on” exposures in many of the markets it trades, including long positions in equities, industrial commodities, the euro and high-yielding currencies. February’s market reversals caused losses in a number of these positions. The largest losses came from energy, as oil prices fell late in the month on concerns over global demand as well as U.S. supply hitting a 20-year high due to shale fracking. In currencies, the decline of the euro detracted from performance. The Fund did however make gains in fixed income with long positions in U.S. bonds. In the agricultural sector, easing drought conditions in the Midwest lowered wheat prices, helping the Fund’s short position. In stock indices, the Fund made a small net gain as profits in the U.S. and Asia were offset by losses in Europe. Overall, the Fund finished with a loss for the month, with Class A Units down 1.41%, Class B Units down 1.26%, and Class I Units down 1.18%.
March
Overall, the Fund returned a profit for the month, with Class A Units up 1.10%, Class B Units up 1.25%, and Class I Units up 1.48%. In March, financial headlines were dominated by the banking crisis in Cyprus. Eurozone members led by Germany made the release of bailout funds contingent on a Cypriot financial contribution through a one-time “tax” on bank deposits. This action sparked protests over the plan’s fairness. A last minute compromise deal exempted smaller insured deposits from capital seizure. Investors feared that the Cyprus bailout might create a precedent for haircutting depositors at troubled banks in Spain and Italy. This prompted a sell-off in the euro, a slide in southern European stock markets and a rally in safe haven German bunds. Meanwhile, in the U.S., equities climbed with largely positive economic data and a statement from Fed Chairman Bernanke that he saw no evidence of a stock bubble. In Japan, monetary easing by the Abe government continued, boosting bond and equity markets and depreciating the yen.
The Fund profited in March from long positions in stocks, especially in the U.S. Gains were also made in the currency sector from short positions in the Japanese yen. The Fund was flat in fixed income as gains from being long the German bund were offset by losses due to trend reversals in the U.S. bond market. The contribution of physical commodity markets to the Fund’s performance during the month was minimal.
2012
January
In January, markets responded positively to supportive monetary policy from central banks around the world. In the U.S., the Fed announced that it expected to keep interest rates low through 2014. Meanwhile, in Europe, the European Central Bank was expected to extend its Long-Term Refinancing Operations program by providing additional loans to the region’s banks later this year, beyond the nearly half trillion euros (approximately $650 billion) already distributed to banks in December. This improved the European credit environment, helping France, Italy and Spain to hold successful bond auctions at reduced yields and allowing them to shrug off Standard & Poor’s sovereign credit downgrades earlier in the month. Positive sentiment fueled by easy monetary policy led to a rally in global equities, industrial commodities, as well as short and medium term interest rate instruments. Among currencies, it also led to a decline in the U.S. dollar, a rebound in the euro, and a surge in commodity currencies.
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The Fund profited from long positions in interest rate instruments, particularly Eurodollar and Euribor contracts, as well as from long exposure to U.S. equities and the Australian dollar. In addition, a continued decline in natural gas prices benefited the Fund’s short positions. Short positions in metals, including aluminum and silver, resulted in losses, and a short currency exposure to the euro also caused a loss for the fund. Overall, the Fund returned a net profit for the month, with Class A Units up 0.11% and Class B Units up 0.26%.
February
In February, markets were driven by continued monetary stimulus from central banks around the world. The European Central Bank extended an additional €529 billion (approximately $700 billion) in low interest 3-year loans to 800 of the region’s banks in the second round of its Long Term Refinancing Operation to shore up the balance sheets of the financial sector in Europe. Since December, the ECB has made over €1 trillion (approximately $1.3 trillion) in loans to Europe’s banking sector. Elsewhere, the Bank of Japan and the Bank of England implemented new rounds of quantitative easing in their respective markets. These actions encouraged a greater risk appetite among investors, driving up global equity indices. Meanwhile, the U.S. saw an improvement in labor market data, prompting a rise in U.S. bond yields. In the Middle East, the threat of oil supply disruptions from rising tensions over Iran’s nuclear program led to a rally in energy prices, with Brent crude prices exceeding $125 per barrel.
The Fund’s largest gains came from the energy sector, where it benefited from long positions in both in crude oil and oil-related products. The Fund also profited from its long exposure to equity indices, particularly in the U.S. However, long positions in the fixed income sector caused losses as bonds in the U.S. sold off. There was also a modest decline in currencies, as depreciation of the Japanese yen hurt the Fund’s long positions. Overall, the Fund enjoyed a moderate gain for the month, with Class A Units up 0.54% and Class B Units up 0.69%.
March
In March, markets continued to price in a stronger economic growth outlook for the U.S. Following improved labor and consumption data, the Fed raised its forecast from “modest” to “moderate” growth. Investors interpreted this positive language as a signal that further Fed stimulus in the form of bond purchases was not necessary. As a result U.S. long-term bonds sold off sharply. Meanwhile U.S. equities continued to rally, with the S&P 500 enjoying its best quarter since Q3 of 2009. Elsewhere, the attempt by Chinese authorities to limit domestic inflation through a gradual deceleration of economic growth had a negative impact on commodity currencies such as the Australian dollar. In energy markets, crude oil halted its six month rise due to softer prospective Chinese demand as well as an expected release of strategic oil reserves by the U.S., UK and France.
The Fund made gains in its long equity index positions, particularly in the U.S. The energy sector was also profitable, primarily due to short positions in natural gas where a supply glut and unusually warm weather led to continued price declines. However, the Fund suffered losses in fixed income, as bond prices declined mid-month in the U.S., Europe and Japan, hurting long positions. In currencies, long exposure to the weakening Australian dollar also detracted from performance. Overall, the Fund finished with a loss for the month, with Class A Units down 2.20% and Class B Units down 2.06%.
Liquidity
There are no known material trends, demands, commitments, events, or uncertainties at the present time that are reasonably likely to result in the Fund’s liquidity increasing or decreasing in any material way.
Capital Resources
The Fund intends to raise additional capital only through the sale of Units, and does not intend to raise any capital through borrowing. Due to the nature of the Fund’s business, the Fund does not contemplate making capital expenditures. The Fund does not have, nor does it expect to have, any capital assets. Redemptions, exchanges and sales of Units in the future will affect the amount of funds available for investments in futures contracts, forward currency contracts and other financial instruments in subsequent periods. It is not possible to estimate the amount, and therefore the impact, of future capital inflows and outflows related to the sale and redemption of Units. There are no known or expected material trends, favorable or unfavorable, that would affect the Fund’s capital resource arrangements at the present time.
Off-Balance Sheet Risk
The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in future obligation or loss. The Fund trades in futures and forward currency contracts, and is therefore a party to financial instruments with elements of off-balance sheet market and credit risk. In entering into these contracts there exists a risk to the Fund that such contracts may be significantly influenced by market conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures interests positions of the Fund at the same time, and if the commodity trading advisors were unable to offset futures interest positions of the Fund, the Fund could lose all of its assets and the limited partners would realize a 100% loss. The General Partner minimizes market risk through diversification of the portfolio allocations to multiple trading advisors, and maintenance of a margin-to-equity ratio that rarely exceeds 30%.
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In addition to subjecting the Fund to market risk, upon entering into futures and forward currency contracts there is a risk that the counterparty will not be able to meet its obligations to the Fund. The counterparty for futures contracts traded in the U.S. and on most foreign exchanges is the clearinghouse associated with such exchange. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the non-performance by one of their members and, as such, should significantly reduce this risk. In cases where the clearinghouse is not backed by the clearing members, as is the case with some foreign exchanges, it is normally backed by a consortium of banks or other financial institutions.
In the case of forward currency contracts, which are traded on the interbank market rather than on exchanges, the counterparty is generally a single bank or other financial institution, rather than a group of financial institutions, thus there may be a greater counterparty risk. The General Partner utilized only those counterparties that it believes to be creditworthy for the Fund. All positions of the Fund are valued each day on a mark-to-market basis. There can be no assurance, however, that any clearing member, clearinghouse or other counterparty will be able to meet its obligations to the Fund.
The Fund invests in U.S. Treasury securities, U.S. and foreign government sponsored enterprise notes, certificates of deposit, commercial paper and corporate notes. Should an issuing entity default on its obligation to the Fund and such entity is not backed by the full faith and credit of the U.S. government, the Fund bears the risk of loss of the amount expected to be received. The Fund minimizes this risk by only investing in securities and certificates of deposit of firms with high quality debt ratings.
Significant Accounting Estimates
A summary of the Fund’s significant accounting policies are included in Note 1 to the consolidated financial statements.
The Fund’s most significant accounting policy is the valuation of its assets invested in U.S. and foreign futures and forward currency contracts, and fixed income instruments. The Fund’s futures contracts are exchange-traded, with the fair value of these contracts based on exchange settlement prices. The fair values of non-exchange-traded contracts, such as forward currency contracts, are based on third-party quoted dealer values on the interbank market. The fair value of money market funds is based quoted market prices for identical shares. U.S. Treasury securities are stated at fair value based on quoted market prices for identical assets in an active market. Notes of U.S. and foreign government sponsored enterprises, as well as certificates of deposit, commercial paper and corporate notes, are stated at fair value based on quoted market prices for similar assets in an active market. Given the valuation sources, there is little judgment or uncertainty involved in the valuation of these assets, and it is unlikely that materially different amounts would be reported under different valuation methodologies or assumptions.
Item 3. Quantitative and Qualitative Disclosures about Market Risk
Introduction
The market-sensitive instruments held by the Fund are acquired for speculative trading purposes, and all or substantially all of the Fund's assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Fund's main line of business.
Market movements result in frequent changes in the fair market value of the Fund's open positions and, consequently, in its earnings and cash flow. The Fund's market risk is influenced by a wide variety of factors, including the level and volatility of exchange rates, interest rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Fund's open positions and the liquidity of the markets in which it trades. The Fund rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Fund's past performance cannot be relied on as indicative of its future results.
Standard of Materiality
Materiality as used in this section,Quantitative and Qualitative Disclosures about Market Risk, is based on an assessment of reasonably possible market movements and the potential losses caused by such movements, taking into account the leverage, and multiplier features of the Fund's market sensitive instruments.
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Quantifying the Fund’s Trading Value at Risk
The following quantitative disclosures regarding the Fund's market risk exposures contain forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995 and other federal securities laws. All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact.
Value at Risk is a measure of the maximum amount which the Fund could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Fund's speculative trading and the recurrence in the markets traded by the Fund to market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the Fund's experience to date (i.e., "risk of ruin"). Risk of ruin is defined to be no more than a 5% chance of losing 20% or more on a monthly basis. In light of the foregoing as well as the risks and uncertainties intrinsic to all future projections, the inclusion of the quantification included in this section should not be considered to constitute any assurance or representation that the Fund's losses in any market sector will be limited to Value at Risk or by the Fund's attempts to manage its market risk.
The Fund's risk exposure in the various market sectors traded by the Fund’s Trading Advisors is quantified below in terms of Value at Risk. Due to mark-to-market accounting, any loss in the fair value of the Fund's open positions is directly reflected in the Fund's earnings.
Exchange margin requirements have been used by the Fund as the measure of its Value at Risk. Margin requirements are set by exchanges to equal or exceed the maximum losses reasonably expected to be incurred in the fair value of any given contract in 95% - 99% of any one-day interval. The margin levels are established by dealers and exchanges using historical price studies as well as an assessment of current market volatility and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation.
In the case of market sensitive instruments that are not exchange-traded (includes currencies, certain energy products and metals), the margin requirements required by the forward counterparty is used as Value at Risk.
In quantifying the Fund's Value at Risk, 100% positive correlation in the different positions held in each market risk category has been assumed. Consequently, the margin requirements applicable to the open contracts have simply been aggregated to determine each trading category's aggregate Value at Risk. The diversification effects resulting from the fact that the Fund's positions are rarely, if ever, 100% positively correlated, have not been reflected.
Value at Risk as calculated herein may not be comparable to similarly titled measures used by others.
The Fund’s Trading Value at Risk in Different Market Sectors
The following table indicates the trading Value at Risk associated with the Fund's open positions by market sector at March 31, 2013 and December 31, 2012. All open position trading risk exposures of the Fund have been included in calculating the figures set forth below.
March 31, 2013 | December 31, 2012 | |||||||||||||||
Market Sector | Value at Risk | % of Total Capitalization | Value at Risk | % of Total Capitalization | ||||||||||||
Agricultural commodities | $ | 15,002,061 | 1.24 | % | $ | 15,121,060 | 1.19 | % | ||||||||
Currencies | 44,154,989 | 3.64 | % | 80,209,588 | 6.35 | |||||||||||
Energy | 9,869,407 | 0.81 | % | 11,375,877 | 0.90 | |||||||||||
Equity indices | 60,724,468 | 5.00 | % | 81,635,067 | 6.46 | |||||||||||
Interest rate instruments | 54,208,183 | 4.47 | % | 58,004,027 | 4.59 | |||||||||||
Metals | 14,377,234 | 1.18 | % | 14,346,855 | 1.14 | |||||||||||
Single stock futures | 5,581,253 | 0.46 | % | 4,786,136 | 0.38 | |||||||||||
Total | $ | 203,917,595 | 16.80 | % | $ | 265,478,610 | 21.01 | % |
Material Limitations on Value at Risk as an Assessment of Market Risk.
The face value of the market sector instruments held by the Fund is typically many times the applicable margin requirement (margin requirements generally range between 1% and 10% of contract face value) as well as many times the capitalization of the Fund. The magnitude of the Fund's open positions creates a "risk of ruin" not typically found in most other investment vehicles. Because of the size of its positions, certain market conditions - unusual, but historically recurring from time to time - could cause the Fund to incur severe losses over a short period of time. The foregoing Value at Risk table – as well as the past performance of the Fund – gives no indication of this "risk of ruin."
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Non-Trading Risk
The Fund has non-trading market risk on its foreign cash balances not needed for margin. However, these balances (as well as the market risk they represent) are immaterial. The Fund also has non-trading market risk as a result of investing a substantial portion of its available assets in U.S. Treasury securities, U.S. government sponsored enterprise notes, commercial paper, corporate notes and certificates of deposit. Although these investments are considered to be high quality, some of the securities purchased are neither guaranteed by the U.S. government nor supported by the full faith and credit of the U.S. government. There is some risk that a security issuer may fail to pay the interest and principal in a timely manner, or that negative perceptions about the issuer’s ability to make such payments will cause the price of these instruments to decline in value.
Qualitative Disclosures Regarding Primary Trading Risk Exposures.
The following qualitative disclosures regarding the Fund's market risk exposures - except for those disclosures that are statements of historical fact and the descriptions of how the Fund manages its primary market risk exposures - constitute forward-looking statements within the meaning of Section 27A of the Securities Act of 1933, (“1933 Act”) and Section 21E of the Securities Exchange Act of 1934, (“1934 Act”).
The Fund's primary market risk exposures as well as the strategies used and to be used by the Fund’s Trading Advisors for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Fund's risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Fund. There can be no assurance that the Fund's current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short- or long-term. Investors must be prepared to lose all or substantially all of their investment in the Fund.
The following were the primary trading risk exposures of the Fund as of March 31, 2013, by market sector.
Agricultural Commodities
The Fund’s primary agricultural exposure is due to price movements in agricultural commodities, which are often directly affected by severe or unexpected weather conditions as well as other factors that affect inventory levels or supply and demand characteristics. The Fund's agricultural exposure is primarily to cotton, coffee, cocoa, rubber, corn, soybeans, sugar and wheat.
Currencies
The Fund's currency risk exposure is due to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. These fluctuations are influenced by interest rate changes as well as political and general economic conditions. The Fund trades various currencies, including cross-rates (i.e., positions between two currencies other than the U.S. dollar).
Energy
The Fund's primary energy market exposure is due to gas and oil price movements, often resulting from political developments, ongoing conflicts or production disruptions in the Middle East and other oil producing nations as well as other factors that can influence supply and demand. Crude oil, heating oil, unleaded gas and natural gas are the dominant energy market exposures of the Fund. Oil and gas prices can be volatile and substantial profits and losses have been and are expected to continue to be experienced in this market.
Equity Indices
The Fund's primary equity exposure is due to equity price risk in many countries other than the U.S. The stock index futures traded by the Fund are limited to futures on broadly based indices. The Fund is primarily exposed to the risk of adverse price trends or static markets in the major Australian, Canadian, European, Hong Kong, Japanese and U.S. indices.
Interest Rate Instruments
Interest rate risk is a significant market exposure of the Fund. Interest rate movements directly affect the price of the sovereign bond futures positions held by the Fund and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries materially impact the Fund's profitability. The Fund's primary interest rate exposure is to interest rate fluctuations in the U.S., Japan, Great Britain, the European Economic Union, Sweden, Canada, Australia and New Zealand.
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Metals
The Fund's metals market exposure is primarily due to fluctuations in the price of aluminum, copper, gold, silver, nickel, platinum, lead and zinc.
Single Stock Futures
The Fund has a very small exposure to Single Stock Futures (“SSF”). The Fund’s SSF exposure is primarily due to adverse price movements in the underlying stock.
Qualitative Disclosures Regarding Non-Trading Risk Exposure
The following were the only non-trading risk exposures of the Fund as of March 31, 2013.
Foreign Currency Balances
The Fund's primary foreign currency balances are in euros, Japanese yen, British pounds, Australian dollars, Hong Kong dollars and Canadian dollars. The Fund controls the non-trading risk of these balances by regularly converting these balances back into dollars.
U.S. Treasury Securities, U.S. and Foreign Government Sponsored Enterprise Notes, Commercial Paper, Corporate Notes and Certificates of Deposit
Monies in excess of margin requirements are invested in fixed income instruments, including U.S. Treasury securities, U.S. and foreign government sponsored enterprise notes, commercial paper, corporate notes and certificates of deposit. Fluctuations in prevailing interest rates could cause mark-to-market gains or losses on the Fund's investments; although substantially all of these investments are held to maturity.
Qualitative Disclosures Regarding Means of Managing Risk Exposure
The means by which the Fund and the Fund’s trading advisors, severally, attempt to manage the risk of the Fund's open positions is essentially the same in all market sectors traded. The Fund’s trading advisors apply risk management policies to their respective trading which generally limit the total exposure that may be taken. In addition, the trading advisors generally follow proprietary diversification guidelines (often formulated in terms of the balanced volatility between markets and correlated groups).
The Fund is not aware of any (i) anticipated known demands, commitments or capital expenditures, (ii) material trends, favorable or unfavorable, in its capital resources, or (iii) trends or uncertainties that will have a material effect on operations. From time to time, certain regulatory agencies have proposed increased margin requirements on futures contracts. Because the Fund generally uses a small percentage of assets as margin, the Fund does not believe that any proposed increase in margin requirements will have a material effect on the Fund's operations.
Item 4. Controls and Procedures
The General Partner, with the participation of the Chief Executive Officer and Chief Financial Officer, evaluated the effectiveness of the design and operation of the Fund’s disclosure controls and procedures at March 31, 2013 (the “Evaluation Date”). Based on their evaluation, the Chief Executive Officer and Chief Financial Officer of the General Partner concluded that, as of the Evaluation Date, the Fund’s disclosure controls and procedures were effective.
There has been no change in internal control over financial reporting that occurred during the period ended March 31, 2013 that has materially affected, or is reasonably likely to materially affect, the Fund’s internal control over financial reporting.
PART II: OTHER INFORMATION
Item 1. Legal Proceedings.
None.
Item 1A. Risk Factors.
There have been no material changes from risk factors disclosed in the Fund’s Form 10-K for year ended December 31, 2012.
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds
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There were no sales of unregistered securities of the Fund during the three months ended March 31, 2013. Under the Fund’s Partnership Agreement, limited partners may redeem their Units at the end of each calendar month at the then current month-end net asset value per Unit. Redemptions of Units during the three months ended March 31, 2013 were as follows:
January | February | March | Total | |||||||||||||
A Units | ||||||||||||||||
Units redeemed | 3,276.2312 | 4,764.3355 | 5,535.6820 | 13,576.2487 | ||||||||||||
Average net asset value per unit | $ | 4,321.78 | $ | 4,260.97 | $ | 4,307.70 | $ | 4,294.70 | ||||||||
B Units | ||||||||||||||||
Units redeemed | 2,673.4560 | 2,630.0522 | 2,439.6665 | 7,743.1747 | ||||||||||||
Average net asset value per unit | $ | 5,982.50 | $ | 5,907.10 | $ | 5,980.78 | $ | 5,956.35 |
There were no redemptions of Class I Units during the three months ended March 31, 2013.
Item 3. Defaults Upon Senior Securities
Not applicable.
Item 4. Mine Safety Disclosures
Not applicable.
Item 5. Other Information
None.
Item 6. Exhibits
The following exhibits are filed herewith of incorporated by reference.
Exhibit No. | Description of Exhibit | |
1.1 * | Form of Selling Agreement | |
3.1 * | Maryland Certificate of Limited Partnership | |
4.1 * | Limited Partnership Agreement | |
10.1 * | Form of Subscription Agreement | |
31.01 | Certification of Chief Executive Officer of the General Partner in accordance with Section 302 of the Sarbanes-Oxley Act of 2002 | |
31.02 | Certification of Chief Financial Officer of the General Partner in accordance with Section 302 of the Sarbanes-Oxley Act of 2002 | |
32.01 | Certification of Chief Executive Officer of the General Partner in accordance with Section 906 of the Sarbanes-Oxley Act of 2002 | |
32.02 | Certification of Chief Financial Officer of the General Partner in accordance with Section 906 of the Sarbanes-Oxley Act of 2002 |
* Filed with the Registrant’s Form 10, filed on April 29, 2004, and incorporated herein by reference.
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, this report has been signed below by the following persons on behalf of the General Partner of the Registrant in the capacities and on the date indicated.
Dated: May 14, 2013 | Futures Portfolio Fund, Limited Partnership |
By: | Steben & Company, Inc. | |
General Partner | ||
By: | /s/ Kenneth E. Steben | |
Name: | Kenneth E. Steben | |
Title: | President, Chief Executive Officer and Director of the General Partner | |
(Principal Executive Officer) | ||
By: | /s/ Carl A. Serger | |
Name: | Carl A. Serger | |
Title: | Chief Financial Officer and Director of the General Partner | |
(Principal Financial and Accounting Officer) |
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