10-Q 1 v756912_10q.htm FORM 10-Q

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM 10-Q

 

QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE

SECURITIES EXCHANGE ACT OF 1934

 

For the quarterly period ended September 30, 2012

 

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.

Yes x     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).

Yes x     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 ¨    No x

 

 
 

 

PART I: FINANCIAL INFORMATION

Item 1. Financial Statements

 

Futures Portfolio Fund, Limited Partnership

Consolidated Statements of Financial Condition

September 30, 2012 (Unaudited) and December 31, 2011 (Audited)

 

   September 30,
2012
   December 31,
2011
 
Assets          
Equity in broker trading accounts          
Cash  $500,130,749   $371,356,278 
Net unrealized gain (loss) on open futures contracts   (1,200,118)   38,413,627 
Net unrealized gain on open forward currency contracts   792,811    271,390 
Total equity in broker trading accounts   499,723,442    410,041,295 
Cash and cash equivalents   14,557,800    24,490,690 
Investments in securities, at fair value   820,178,369    996,835,815 
Certificates of deposit, at fair value   92,942,090    94,924,443 
General Partner 1% allocation receivable   138,826    1,356,695 
Total assets  $1,427,540,527   $1,527,648,938 
           
Liabilities and Partners’ Capital (Net Asset Value)          
  Liabilities          
Trading Advisor management fees payable  $1,798,116   $2,061,196 
Trading Advisor incentive fees payable   40,435     
Commissions and other trading fees payable on open contracts   273,070    202,327 
Cash Manager fees payable   235,491    364,930 
General Partner management fee payable   1,765,933    2,199,413 
General Partner performance fee payable   944     
Selling Agent fees payable – General Partner   1,494,064    1,585,090 
Administrative expenses payable – General Partner   530,203    576,321 
Redemptions payable   18,419,566    22,127,237 
Subscriptions received in advance   11,016,014    15,876,320 
Total liabilities   35,573,836    44,992,834 
Partners’ Capital (Net Asset Value)          
Class A Interests – 185,343.3788 and 192,640.4151 units outstanding at September 30, 2012 and December 31, 2011, respectively   826,386,945    872,169,401 
Class B Interests – 91,796.4607 and 99,309.8890 units outstanding at September 30, 2012 and December 31, 2011, respectively   563,204,627    610,486,703 
Class I Interests – 2,484.3408 and no units outstanding at September 30,  2012 and December 31, 2011, respectively   2,375,119     
Total partners' capital (net asset value)   1,391,966,691    1,482,656,104 
Total liabilities and partners' capital (net asset value)  $1,427,540,527   $1,527,648,938 

 

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

 

1
 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments

September 30, 2012

(Unaudited)

 

       Description      Fair Value   % of
Partners'
Capital (Net
Asset Value)
 
INVESTMENTS IN SECURITIES              
  U.S. Treasury Securities              
 Face Value   Maturity Date  Name   Yield1           
$4,325,000   10/31/12  U.S. Treasury Notes   3.88%  $4,408,351    0.32%
 5,025,000   11/15/12  U.S. Treasury Notes   1.38%   5,058,729    0.36%
 8,620,000   1/15/13  U.S. Treasury Notes   1.38%   8,676,164    0.63%
 5,700,000   2/28/13  U.S. Treasury Notes   0.63%   5,714,460    0.42%
 500,000   3/31/13  U.S. Treasury Notes   2.50%   505,855    0.04%
 4,000,000   4/30/13  U.S. Treasury Notes   3.13%   4,121,085    0.30%
 8,100,000   5/31/13  U.S. Treasury Notes   3.50%   8,373,463    0.61%
 3,600,000   6/15/13  U.S. Treasury Notes   1.13%   3,635,858    0.26%
 3,500,000   6/30/13  U.S. Treasury Notes   3.38%   3,613,250    0.26%
 4,500,000   7/31/13  U.S. Treasury Notes   3.38%   4,644,766    0.33%
 7,500,000   8/15/13  U.S. Treasury Notes   0.75%   7,544,099    0.55%
 3,020,000   8/31/13  U.S. Treasury Notes   0.13%   3,018,907    0.22%
 8,000,000   9/30/13  U.S. Treasury Notes   0.13%   7,994,715    0.58%
 700,000   10/31/13  U.S. Treasury Notes   2.75%   727,278    0.05%
 5,000,000   11/15/13  U.S. Treasury Notes   0.50%   5,025,848    0.36%
 750,000   11/30/13  U.S. Treasury Notes   0.25%   751,011    0.05%
 Total U.S. Treasury securities (cost:  $74,289,860)       73,813,839    5.34%
                        
  U.S. Government Sponsored Enterprise Notes              
 Face Value   Maturity Date  Name   Yield1           
$1,160,000   5/28/13  Federal Farm Credit Bank   0.21%   1,160,381    0.08%
 3,250,000   1/16/13  Federal Home Loan Bank   1.50%   3,272,467    0.24%
 2,300,000   1/29/13  Federal Home Loan Bank   0.38%   2,302,953    0.17%
 3,000,000   3/27/13  Federal Home Loan Bank   1.00%   3,012,483    0.22%
 5,000,000   9/4/14  Federal Home Loan Bank   0.45%   5,001,763    0.36%
 6,700,000   1/9/13  Federal Home Loan Mortgage Corp.   1.38%   6,743,128    0.48%
 5,250,000   10/30/12  Federal National Mortgage Assoc.   0.50%   5,262,024    0.38%
 7,750,000   10/30/12  Federal National Mortgage Assoc.   0.50%   7,768,377    0.56%
 250,000   8/9/13  Federal National Mortgage Assoc.   0.50%   250,800    0.02%
 Total U.S. government sponsored enterprise notes (cost:  $34,946,987)       34,774,376    2.51%
                        
  U.S. Commercial Paper               
 Face Value   Maturity Date  Name   Yield1           
  Automotive                     
$250,000   10/4/12  BMW US Capital, LLC   0.15%   249,995    0.02%
  Banks                     
 200,000   11/5/12  Credit Suisse (USA), Inc.   0.21%   199,960    0.01%
 250,000   11/20/12  HSBC USA Inc.   0.30%   249,898    0.02%
 250,000   10/24/12  Mizuho Funding LLC   0.24%   249,963    0.02%
 2,000,000   12/3/12  Mizuho Funding LLC   0.33%   1,998,845    0.14%
 4,100,000   10/26/12  The Bank of Tokyo-Mitsubishi UFJ, Ltd. (NY)   0.22%   4,099,366    0.28%
 250,000   10/12/12  UBOC Insurance Inc   0.29%   249,979    0.02%

 

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

 

2
 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

September 30, 2012

(Unaudited)

 

       Description      Fair Value   % of
Partners'
Capital (Net
Asset Value)
 
U.S. Commercial Paper (continued)               
 Face Value   Maturity Date  Name   Yield1           
Beverages                     
$3,750,000   11/7/12  Anheuser-Busch InBev Worldwide Inc.   0.25%  $3,749,059    0.27%
 4,250,000   10/17/12  Bacardi Corporation   0.42%   4,249,243    0.31%
Charity                     
 250,000   12/10/12  The Salvation Army   0.18%   249,913    0.02%
Diversified Financial Services                  
 3,850,000   12/14/12  ING (U.S.) Funding LLC   0.30%   3,847,656    0.28%
 3,800,000   10/31/12  River Fuel Company #2, Inc.   0.15%   3,799,525    0.27%
 250,000   10/31/12  River Fuel Funding Company #3, Inc.   0.19%   249,962    0.02%
 4,230,000   11/15/12  Toyota Motor Credit Corporation   0.18%   4,229,048    0.30%
 3,250,000   10/25/12  UOB Funding LLC   0.20%   3,249,623    0.23%
Energy                     
 3,500,000   10/4/12  Apache Corporation   0.38%   3,499,889    0.25%
 250,000   10/5/12  Apache Corporation   0.42%   249,990    0.02%
 3,500,000   10/9/12  Devon Energy Corporation   0.25%   3,499,806    0.25%
 4,000,000   10/23/12  Duke Energy Corporation   0.41%   3,998,998    0.29%
 3,500,000   10/9/12  Motiva Enterprises LLC   0.18%   3,499,860    0.25%
 200,000   10/10/12  Motiva Enterprises LLC   0.18%   199,991    0.01%
 4,250,000   10/17/12  Oglethorpe Power Corporation   0.40%   4,249,279    0.31%
 3,300,000   10/3/12  ONEOK, Inc.   0.38%   3,299,930    0.24%
 250,000   10/10/12  ONEOK, Inc.   0.40%   249,975    0.02%
 250,000   10/9/12  The Southern Company   0.16%   249,992    0.02%
Food                     
 3,600,000   10/3/12  General Mills, Inc.   0.25%   3,599,956    0.26%
Healthcare                     
 3,100,000   10/2/12  Roche Holdings, Inc.   0.12%   3,099,991    0.22%
Machinery                     
 3,200,000   10/4/12  Stanley Black & Decker, Inc.   0.35%   3,199,907    0.23%
 250,000   10/16/12  Stanley Black & Decker, Inc.   0.33%   249,967    0.02%
 Total U.S. commercial paper (cost: $64,059,590)       64,069,566    4.60%
                        
Foreign Commercial Paper              
 Face Value   Maturity Date  Name   Yield1           
Banks                     
$3,900,000   11/30/12  Commonwealth Bank of Australia   0.18%   3,898,846    0.27%
 5,300,000   2/1/13  DBS Bank Ltd.   0.89%   5,295,760    0.37%
 3,300,000   11/14/12  Oversea-Chinese Banking Corp. Ltd   0.19%   3,299,234    0.24%
 250,000   11/20/12  Oversea-Chinese Banking Corp. Ltd   0.22%   249,925    0.02%
 2,550,000   10/29/12  Sumitomo Mitsui Banking Corp.   0.21%   2,549,605    0.18%
 3,600,000   10/15/12  The Bank of Nova Scotia   0.16%   3,599,776    0.26%
Consumer Products                  
 2,500,000   3/5/13  Reckitt Benckiser Treasury Services PLC   0.75%   2,496,456    0.18%
 5,250,000   4/8/13  Reckitt Benckiser Treasury Services PLC   0.80%   5,240,445    0.37%

 

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

 

3
 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

September 30, 2012

(Unaudited)

 

       Description      Fair Value   % of
Partners'
Capital (Net
Asset Value)
 
Foreign Commercial Paper (continued)              
 Face Value   Maturity Date  Name   Yield1           
Diversified Financial Services              
$3,550,000   10/3/12  John Deere Bank SA   0.16%  $3,549,968    0.26%
 250,000   10/5/12  John Deere Bank SA   0.18%   249,996    0.02%
 4,000,000   3/25/13  Macquarie Bank Limited   0.63%   3,987,440    0.29%
Energy                     
 3,900,000   10/22/12  GDF Suez   0.26%   3,899,477    0.28%
Mulinational                     
 4,250,000   11/16/12  Corporacion Andina de Fomento   0.24%   4,248,722    0.31%
Pharmaceutical                     
 250,000   10/10/12  AstraZeneca PLC   0.15%   249,991    0.02%
 3,500,000   10/24/12  AstraZeneca PLC   0.15%   3,499,620    0.25%
Telecommunication                     
 4,250,000   10/15/12  Telstra Corporation Limited   0.22%   4,249,655    0.31%
Total foreign commercial paper (cost: $50,467,264)       50,564,916    3.63%
                        
Total commercial paper (cost: $114,526,854)       114,634,482    8.23%
                        
U.S. Corporate Notes                 
 Face Value   Maturity Date  Name   Yield1           
Aerospace                     
$4,275,000   11/20/12  Boeing   1.88%   4,313,302    0.31%
 1,750,000   2/15/13  Boeing   5.13%   1,792,209    0.13%
 13,000,000   12/2/13  United Technologies Corporation   0.69%   13,058,897    0.95%
Apparel                     
 2,325,000   8/23/13  V.F. Corporation   1.18%   2,343,390    0.17%
Automotive                     
 4,300,000   7/31/15  Daimler Finance North America LLC   1.30%   4,326,211    0.31%
Banks                     
 2,000,000   4/16/13  American Express Bank, FSB.   5.50%   2,104,911    0.15%
 10,450,000   1/30/14  Bank of America Corporation   1.87%   10,559,358    0.77%
 2,475,000   9/25/13  BB&T Corporation   3.38%   2,543,880    0.18%
 3,273,000   4/1/14  Citigroup Inc.   1.39%   3,281,127    0.24%
 2,414,000   5/15/13  Credit Suisse (USA), Inc.   5.00%   2,524,105    0.18%
 5,200,000   12/19/12  GMAC Inc.   2.20%   5,255,325    0.38%
 10,000,000   5/2/14  JPMorgan Chase & Co.   1.14%   10,075,729    0.73%
 10,000,000   1/9/14  Morgan Stanley   0.76%   9,883,953    0.72%
 2,200,000   11/1/12  The Bank of New York Mellon   4.95%   2,253,968    0.16%
 2,200,000   4/1/13  The Bank of New York Mellon   4.50%   2,294,582    0.16%
 2,000,000   8/27/13  The Bank of New York Mellon   5.13%   2,095,821    0.15%
 5,000,000   7/28/14  The Bank of New York Mellon   0.72%   5,016,760    0.36%
 4,750,000   2/7/14  The Goldman Sachs Group, Inc.   1.44%   4,758,179    0.34%
 300,000   6/14/13  U.S. Bancorp   2.00%   305,277    0.02%
 2,650,000   10/30/13  U.S. Bancorp   1.13%   2,681,662    0.19%
 8,800,000   5/1/13  Wachovia Corporation   5.50%   9,261,469    0.68%
 250,000   5/1/13  Wachovia Corporation   2.21%   253,470    0.02%
 1,500,000   8/1/13  Wachovia Corporation   5.70%   1,580,312    0.11%

 

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

 

4
 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

September 30, 2012

(Unaudited)

 

       Description      Fair Value   % of
Partners'
Capital (Net
Asset Value)
 
U.S. Corporate Notes (continued)              
 Face Value   Maturity Date  Name   Yield1           
Beverages                     
$5,000,000   3/26/13  Anheuser-Busch InBev Worldwide Inc.   1.10%  $5,019,973    0.36%
 2,350,000   1/27/14  Anheuser-Busch InBev Worldwide Inc.   1.00%   2,371,105    0.17%
 4,000,000   7/14/14  Anheuser-Busch InBev Worldwide Inc.   0.82%   4,030,252    0.29%
 6,101,000   8/15/13  Coca-Cola Enterprises, Inc.   5.00%   6,381,801    0.47%
Biotechnology                     
 2,725,000   12/1/14  Gilead Sciences, Inc.   2.40%   2,839,398    0.20%
Chemical                     
 2,645,000   11/15/12  Praxair, Inc.   1.75%   2,666,642    0.19%
Computers                     
 4,575,000   4/1/14  Dell Inc.   1.06%   4,622,403    0.33%
 2,800,000   5/24/13  Hewlett-Packard Company   0.71%   2,802,159    0.20%
 4,500,000   5/30/14  Hewlett-Packard Company   0.82%   4,466,558    0.32%
 3,850,000   9/19/14  Hewlett-Packard Company   1.93%   3,898,677    0.28%
 550,000   10/15/13  IBM   6.50%   601,496    0.04%
Consumer Products                 
 4,250,000   8/15/14  Procter & Gamble   0.70%   4,280,672    0.31%
Diversified Financial Services              
 1,950,000   11/7/12  American Honda Finance Corp.   0.81%   1,953,101    0.14%
 3,110,000   4/2/13  American Honda Finance Corp.   4.63%   3,247,510    0.23%
 2,075,000   5/8/14  American Honda Finance Corp.   0.89%   2,082,599    0.15%
 3,750,000   8/11/15  American Honda Finance Corp.   1.00%   3,759,658    0.27%
 1,500,000   12/10/12  BlackRock, Inc.   2.25%   1,515,920    0.11%
 6,335,000   5/24/13  BlackRock, Inc.   0.73%   6,355,211    0.47%
 4,110,000   4/5/13  Caterpillar Financial Services Corporation   2.00%   4,167,124    0.30%
 250,000   2/9/15  Caterpillar Financial Services Corporation   0.79%   251,497    0.02%
 4,400,000   10/22/12  Citigroup Funding Inc.   1.88%   4,440,560    0.32%
 350,000   12/10/12  Citigroup Funding Inc.   2.25%   353,832    0.03%
 3,780,000   8/1/13  CME Group Inc.   5.40%   3,970,365    0.29%
 1,300,000   10/15/12  ERAC USA Finance LLC   5.80%   1,337,320    0.10%
 5,555,000   12/28/12  General Electric Capital Corporation   2.63%   5,626,950    0.40%
 3,400,000   1/7/14  General Electric Capital Corporation   1.31%   3,421,008    0.25%
 4,800,000   4/7/14  General Electric Capital Corporation   1.09%   4,833,078    0.35%
 5,500,000   1/15/14  HSBC Finance Corporation   0.71%   5,473,817    0.39%
 4,500,000   10/1/12  John Deere Capital Corporation   5.25%   4,618,169    0.33%
 1,250,000   12/17/12  John Deere Capital Corporation   4.95%   1,279,881    0.09%
 157,000   1/15/13  John Deere Capital Corporation   5.10%   160,793    0.01%
 2,200,000   4/25/14  John Deere Capital Corporation   0.70%   2,208,461    0.16%
 3,714,000   9/27/13  Massmutual Global Funding II   0.86%   3,732,629    0.27%
 5,750,000   6/30/13  NYSE Euronext   4.80%   6,002,494    0.44%
 6,517,000   4/5/13  PACCAR Financial Corp.   0.68%   6,535,042    0.48%
 5,000,000   4/14/14  SSIF Nevada, Limited Partnership   1.16%   5,034,982    0.36%
 300,000   10/12/12  Toyota Motor Credit Corporation   0.66%   300,473    0.02%
 300,000   10/11/13  Toyota Motor Credit Corporation   0.91%   301,847    0.02%

 

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

 

5
 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

September 30, 2012

(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)              
$6,000,000   1/17/14  Toyota Motor Credit Corporation   0.86%  $6,028,339    0.44%
 3,000,000   1/27/14  Toyota Motor Credit Corporation   0.61%   3,002,739    0.22%
 8,450,000   2/17/15  Toyota Motor Credit Corporation   1.00%   8,551,823    0.62%
Energy                    
 750,000   8/16/13  Appalachian Power Company   0.81%   751,256    0.05%
 1,388,000   3/1/13  Columbus Southern Power Company   5.50%   1,422,377    0.10%
 4,500,000   10/15/12  ConocoPhillips   4.75%   4,605,258    0.33%
 1,000,000   6/1/13  Northeast Utilities   5.65%   1,052,155    0.08%
 1,305,000   10/31/12  Northern Natural Gas Company   5.38%   1,339,070    0.10%
 2,191,000   10/15/12  NSTAR Electric Company   4.88%   2,243,508    0.16%
 4,275,000   12/13/13  Occidental Petroleum Corporation   1.45%   4,342,547    0.31%
 2,300,000   4/15/13  PSEG Power LLC   2.50%   2,351,897    0.17%
Food                    
 2,267,000   8/15/13  General Mills, Inc.   5.25%   2,376,213    0.17%
 1,350,000   12/3/12  Kellogg Company   5.13%   1,383,425    0.10%
 1,036,000   3/6/13  Kellogg Company   4.25%   1,055,795    0.08%
 6,000,000   6/4/15  Kraft Foods Group, Inc.   1.63%   6,123,442    0.45%
Healthcare                    
 7,743,000   3/1/14  Roche Holdings, Inc.   5.00%   8,242,797    0.60%
Insurance                     
 1,980,000   1/10/14  Berkshire Hathaway Finance Corporation   0.79%   1,993,136    0.14%
 9,750,000   2/11/13  Berkshire Hathaway Inc.   0.87%   9,783,148    0.71%
 3,650,000   5/8/13  Jackson National Life Global Funding   5.38%   3,835,656    0.28%
 300,000   4/4/14  MetLife Institutional Funding II   1.36%   303,375    0.02%
 2,800,000   1/11/13  Metropolitan Life Global Funding I   2.50%   2,830,919    0.20%
 6,000,000   12/12/13  Metropolitan Life Global Funding I   0.80%   6,010,923    0.43%
 4,024,000   1/25/13  Monumental Global Funding III   0.62%   4,022,612    0.29%
 2,270,000   4/22/13  Monumental Global Funding III   5.50%   2,374,932    0.17%
 1,550,000   10/16/12  New York Life Global Funding   5.25%   1,590,763    0.11%
 5,140,000   12/14/12  New York Life Global Funding   2.25%   5,194,435    0.37%
 3,250,000   5/9/13  New York Life Global Funding   4.65%   3,392,830    0.24%
 4,610,000   4/15/13  Pacific Life Global Funding   5.15%   4,834,379    0.35%
 650,000   10/18/12  Pricoa Global Funding I   5.40%   667,130    0.05%
 1,700,000   9/27/13  Pricoa Global Funding I   0.56%   1,694,833    0.12%
 105,000   12/14/12  Principal Life Income Fundings   5.30%   107,682    0.01%
 2,700,000   4/24/13  Principal Life Income Fundings   5.30%   2,836,344    0.20%
 725,000   3/15/13  The Travelers Companies, Inc.   5.00%   741,835    0.05%
Internet                      
 3,000,000   5/19/14  Google Inc.   1.25%   3,058,077    0.22%
Machinery                     
 3,420,000   5/21/13  Caterpillar Inc.   0.60%   3,428,093    0.25%
Manufacturing                  
 9,035,000   6/21/13  Danaher Corporation   0.63%   9,053,894    0.66%
 8,000,000   6/16/14  Eaton Corporation   0.72%   8,026,624    0.59%

 

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

 

6
 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

September 30, 2012

(Unaudited)

 

       Description      Fair Value   % of
Partners'
Capital (Net
Asset Value)
 
U.S. Corporate Notes (continued)              
 Face Value   Maturity Date  Name   Yield1           
Media                     
$2,400,000   3/15/13  Comcast Corporation   8.38%  $2,494,217    0.18%
 4,600,000   4/30/15  NBCUniversal Media, LLC   3.65%   4,991,107    0.36%
 3,700,000   12/1/14  The Walt Disney Company   0.88%   3,749,457    0.27%
 1,100,000   7/15/13  Thomson Reuters Corporation   5.95%   1,160,209    0.08%
 2,200,000   7/1/13  Time Warner Cable Inc.   6.20%   2,327,142    0.17%
Pharmaceutical                  
 975,000   2/12/15  Express Scripts Holding Company   2.10%   1,002,992    0.07%
 2,350,000   3/1/13  McKesson Corporation   5.25%   2,405,660    0.17%
 4,275,000   2/10/14  Novartis Capital Corporation   4.13%   4,512,602    0.32%
 250,000   3/15/13  Pfizer Inc.   5.50%   256,539    0.02%
Retail                     
 9,075,000   7/18/14  Target Corporation   0.63%   9,121,233    0.67%
 2,200,000   8/1/13  Walgreen Co.   4.88%   2,295,467    0.16%
 11,000,000   3/13/14  Walgreen Co.   0.90%   11,018,084    0.80%
 4,500,000   2/3/14  Wal-Mart Stores, Inc.   3.00%   4,675,267    0.34%
 4,775,000   4/15/14  Wal-Mart Stores, Inc.   1.63%   4,898,818    0.35%
Semiconductor                     
 4,275,000   5/15/13  Texas Instruments Incorporated   0.61%   4,287,493    0.31%
Steel                     
 1,579,000   12/1/12  Nucor Corporation   5.00%   1,616,161    0.12%
Telecommunication                  
 6,550,000   2/13/15  AT&T Inc.   0.88%   6,613,143    0.49%
 2,250,000   3/14/14  Cisco Systems, Inc.   0.64%   2,260,401    0.16%
 5,700,000   3/28/14  Verizon Communications Inc.   0.97%   5,744,486    0.41%
 1,530,000   3/15/13  Verizon Virginia Inc.   4.63%   1,561,291    0.11%
 Transportation                  
 1,000,000   3/1/13  Ryder System, Inc.   6.00%   1,024,443    0.07%
 9,424,000   1/15/13  United Parcel Service, Inc.   4.50%   9,628,319    0.70%
Total U.S. corporate notes (cost: $450,173,619)       447,808,146    32.34%
                        
Foreign Corporate Notes                  
 Face Value   Maturity Date  Name   Yield1           
Automotive                    
$3,000,000   3/21/14  Volkswagen International Finance N.V.   1.13%   3,016,983    0.22%
 10,370,000   4/1/14  Volkswagen International Finance N.V.   1.07%   10,439,332    0.75%
Banks                    
 3,300,000   6/28/13  Bank of Montreal   2.13%   3,362,214    0.24%
 2,000,000   1/23/13  Barclays Bank PLC   2.50%   2,021,850    0.15%
 5,000,000   1/10/14  BNP Paribas   1.36%   5,017,661    0.36%
 5,000,000   4/14/14  Danske Bank A/S   1.51%   4,963,396    0.36%
 600,000   10/12/12  Deutsche Bank Aktiengesellschaft (NY)   5.38%   615,902    0.04%
 2,300,000   1/18/13  HSBC Bank PLC   0.86%   2,306,876    0.17%
 4,150,000   5/15/13  HSBC Bank PLC   0.86%   4,166,109    0.30%
 3,200,000   8/12/13  HSBC Bank PLC   1.63%   3,227,379    0.23%

 

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

 

7
 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

September 30, 2012

(Unaudited)

 

       Description      Fair Value   % of
Partners'
Capital (Net
Asset Value)
 
Foreign Corporate Notes (continued)              
 Face Value   Maturity Date  Name   Yield1           
Banks (continued)                 
$400,000   1/17/14  HSBC Bank PLC   1.26%  $403,127    0.03%
 9,000,000   3/15/13  ING Bank N.V.   1.44%   9,034,488    0.65%
 1,000,000   6/9/14  ING Bank N.V.   1.81%   1,004,566    0.07%
 5,000,000   6/17/13  KfW Bankengruppe   0.23%   5,000,754    0.36%
 1,000,000   11/16/12  National Australia Bank Limited   2.35%   1,011,214    0.07%
 1,500,000   1/8/13  National Australia Bank Limited   2.50%   1,516,821    0.11%
 5,000,000   4/11/14  National Australia Bank Limited   1.18%   5,045,112    0.36%
 5,000,000   2/4/13  Rabobank Nederland   0.59%   5,004,128    0.36%
 5,250,000   7/29/13  Royal Bank of Canada   2.10%   5,345,039    0.38%
 6,660,000   7/26/13  The Toronto-Dominion Bank   0.63%   6,680,286    0.48%
 4,050,000   8/12/13  UBS AG   2.25%   4,114,960    0.30%
 1,100,000   12/14/12  Westpac Banking Corporation   1.90%   1,109,380    0.08%
 9,750,000   3/31/14  Westpac Banking Corporation   1.09%   9,805,758    0.71%
Chemical                     
 1,000,000   3/1/13  Potash Corporation of Saskatchewan Inc.   4.88%   1,021,882    0.07%
Energy                     
 5,250,000   11/7/13  BP Capital Markets P.L.C.   5.25%   5,632,250    0.40%
 8,600,000   11/14/14  Canadian Natural Resources Limited   1.45%   8,784,426    0.63%
 1,076,000   7/15/13  Petro-Canada   4.00%   1,112,930    0.08%
 5,146,000   3/25/13  Shell International Finance B.V.   1.88%   5,188,085    0.37%
Multinational                  
 4,750,000   8/1/13  International Finance Corporation   0.33%   4,761,431    0.34%
Pharmaceutical                  
 8,065,000   3/28/13  Sanofi   0.56%   8,079,221    0.58%
 4,280,000   3/28/14  Sanofi   0.67%   4,300,029    0.31%
 5,950,000   3/17/15  Takeda Pharmaceutical Co Ltd   1.03%   5,998,796    0.43%
 10,000,000   3/21/14  Teva Pharmaceutical Finance III BV   0.88%   10,055,141    0.73%
Total foreign corporate notes (cost: $149,243,237)       149,147,526    10.72%
               
Total corporate notes (cost: $599,416,856)       596,955,672    43.06%
               
Total investments in securities (cost: $823,180,557)      $820,178,369    59.14%
                        
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%  $2,253,810    0.16%
 2,000,000   8/15/13  Bank of Montreal (Chicago)   0.63%   2,005,037    0.14%
 2,250,000   10/3/13  Bank of Montreal (Chicago)   0.91%   2,261,850    0.16%
 3,000,000   9/27/13  Barclays Bank PLC (NY)   0.94%   3,000,235    0.22%
 3,750,000   7/26/13  Branch Banking and Trust Company   0.48%   3,754,088    0.27%
 900,000   11/5/12  Canadian Imperial Bank of Commerce (NY)   0.64%   901,100    0.06%

 

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

 

8
 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

September 30, 2012

(Unaudited)

 

       Description      Fair Value   % of
Partners'
Capital (Net
Asset Value)
 
U.S. Certificates of Deposit (continued)              
 Face Value   Maturity Date  Name   Yield1           
Banks (continued)                 
$2,000,000   4/4/13  Canadian Imperial Bank of Commerce (NY)   0.52%  $2,008,010    0.14%
 2,950,000   7/25/13  Credit Suisse Group AG (NY)   0.94%   2,954,191    0.21%
 3,555,000   1/18/13  Deutsche Bank Aktiengesellschaft (NY)   1.11%   3,569,537    0.26%
 2,975,000   3/14/13  Deutsche Bank Aktiengesellschaft (NY)   1.06%   3,000,463    0.22%
 4,100,000   10/12/12  DZ Bank AG (NY)   0.76%   4,115,545    0.30%
 4,700,000   12/7/12  Mizuho Corporate Bank, Ltd. (NY)   0.51%   4,709,912    0.34%
 2,000,000   3/1/13  Mizuho Corporate Bank, Ltd. (NY)   0.46%   2,001,498    0.14%
 5,300,000   1/9/13  National Bank of Canada (NY)   0.66%   5,333,371    0.38%
 1,800,000   6/13/13  National Bank of Canada (NY)   0.58%   1,806,271    0.13%
 3,750,000   11/13/12  Nordea Bank Finland PLC (NY)   0.64%   3,754,491    0.27%
 2,700,000   2/8/13  Norinchukin Bank (NY)   0.52%   2,703,060    0.19%
 4,500,000   4/1/13  Norinchukin Bank (NY)   0.43%   4,500,000    0.32%
 250,000   3/1/13  PNC Bank   0.52%   250,271    0.02%
 250,000   3/15/13  Royal Bank of Canada (NY)   2.25%   252,593    0.02%
 1,500,000   7/30/13  Royal Bank of Canada (NY)   0.50%   1,501,395    0.11%
 4,600,000   9/3/13  Royal Bank of Canada (NY)   0.62%   4,608,481    0.33%
 4,300,000   1/14/13  Standard Chartered Bank   0.57%   4,306,525    0.31%
 7,500,000   2/11/13  The Bank of Tokyo-Mitsubishi UFJ, Ltd. (NY)   0.49%   7,507,794    0.54%
 2,500,000   4/12/13  The Bank of Tokyo-Mitsubishi UFJ, Ltd. (NY)   0.83%   2,514,731    0.18%
Total U.S. certificates of deposit (cost: $75,399,829)       75,574,259    5.42%
                        
Foreign Certificates of Deposit              
 Face Value   Maturity Date  Name   Yield1           
Banks                      
$2,050,000   4/9/13  National Australia Bank Limited   0.54%   2,054,447    0.15%
 2,250,000   12/3/12  Sumitomo Mitsui Banking Corp.   0.49%   2,254,467    0.16%
 2,250,000   4/11/13  Sumitomo Mitsui Banking Corp.   0.80%   2,262,880    0.16%
 5,000,000   5/10/13  Sumitomo Mitsui Banking Corp.   0.79%   5,024,940    0.36%
 500,000   11/20/12  The Bank of Nova Scotia   0.74%   503,680    0.04%
 3,250,000   9/16/13  The Bank of Nova Scotia   0.57%   3,257,651    0.23%
 2,000,000   2/10/14  The Bank of Nova Scotia   0.94%   2,009,766    0.14%
Total foreign certificates of deposit (cost: $17,303,958)       17,367,831    1.24%
                        
Total certificates of deposit (cost: $92,703,787)      $92,942,090    6.66%

 

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

 

9
 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

September 30, 2012

(Unaudited)

 

   Description      Fair Value   % of
Partners'
Capital (Net
Asset Value)
 
OPEN FUTURES CONTRACTS              
Long U.S. Futures Contracts              
   Agricultural commodities      $(2,500,266)   (0.18)%
   Currencies       (1,100,228)   (0.08)%
   Energy       948,019    0.07%
   Equity indices       (6,677,208)   (0.48)%
   Interest rate instruments       10,746,800    0.77%
   Metals2       22,935,668    1.65%
   Single stock futures       (367,147)   (0.03)%
Net unrealized gain on open long U.S. futures contracts       23,985,638    1.72%
                  
Short U.S. Futures Contracts              
   Agricultural commodities       (485,545)   (0.03)%
   Currencies       320,261    0.02%
   Energy       (763,700)   (0.05)%
   Equity indices       1,211,429    0.09%
   Interest rate instruments       (725,928)   (0.05)%
   Metals2       (25,301,011)   (1.82)%
   Single stock futures       (2,339)   (0.00)%
Net unrealized loss on open short U.S. futures contracts       (25,746,833)   (1.84)%
                  
Total U.S. Futures Contracts - Net unrealized loss on open U.S. futures contracts       (1,761,195)   (0.12)%
                  
Long Foreign Futures Contracts              
   Agricultural commodities       (76,314)   (0.01)%
   Currencies       (136,699)   (0.01)%
   Energy       (17,295)   (0.00)%
   Equity indices       (12,969,482)   (0.93)%
   Interest rate instruments2       13,989,050    1.00%
   Metals       372,128    0.03%
Net unrealized gain on open long foreign futures contracts       1,161,388    0.08%
                  
Short Foreign Futures Contracts              
   Agricultural commodities       (4,592)   (0.00)%
   Currencies       199,075    0.01%
   Energy       54,199    0.00%
   Equity indices       279,858    0.02%
   Interest rate instruments       (1,052,256)   (0.08)%
   Metals       (76,595)   (0.01)%
Net unrealized loss on open short foreign futures contracts       (600,311)   (0.06)%
                  
Total foreign futures contracts - net unrealized gain on open foreign futures contracts       561,077    0.02%
                  
Net unrealized loss on open futures contracts      $(1,200,118)   (0.10)%

 

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

 

10
 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

September 30, 2012

(Unaudited)

 

   Description       Fair Value   % of
Partners'
Capital (Net
Asset Value)
 
OPEN FORWARD CURRENCY CONTRACTS          
U.S. Forward Currency Contracts               
   Long       $768,098    0.06%
   Short        (128,041)   (0.01)%
Net unrealized gain on open U.S. forward currency contracts        640,057    0.05%
                   
Foreign Forward Currency Contracts               
   Long        (594,884)   (0.04)%
   Short        747,638    0.05%
Net unrealized gain on open foreign forward currency contracts        152,754    0.01%
                   
Net unrealized gain on open forward currency contracts       $792,811    0.06%

 

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.

 

11
 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments

December 31, 2011

(Audited)

 

       Description      Fair Value   % of
Partners'
Capital
(Net Asset
Value)
 
INVESTMENTS IN SECURITIES            
U.S. Treasury Securities            
 Face Value   Maturity Date  Name   Yield1           
$9,000,000   3/8/12  US Treasury Bills   0.20%  $8,999,688    0.61%
 2,000,000   3/8/12  US Treasury Bills   0.12%   1,999,930    0.13%
 1,250,000   2/29/12  US Treasury Note   0.88%   1,255,377    0.08%
 500,000   3/31/12  US Treasury Note   4.50%   511,073    0.03%
 9,700,000   4/30/12  US Treasury Note   4.50%   9,914,187    0.67%
 3,000,000   5/31/12  US Treasury Note   4.75%   3,069,885    0.21%
 11,750,000   6/15/12  US Treasury Note   1.88%   11,856,216    0.80%
 500,000   7/15/12  US Treasury Note   1.50%   507,236    0.03%
 500,000   7/31/12  US Treasury Note   0.63%   502,856    0.03%
 925,000   8/31/12  US Treasury Note   0.38%   927,811    0.06%
 7,500,000   9/30/12  US Treasury Note   0.38%   7,521,537    0.51%
 9,825,000   10/31/12  US Treasury Note   3.88%   10,192,371    0.69%
 800,000   11/15/12  US Treasury Note   1.38%   809,958    0.05%
 4,600,000   11/30/12  US Treasury Note   0.50%   4,616,745    0.31%
 5,670,000   1/15/13  US Treasury Note   1.38%   5,776,455    0.39%
 7,000,000   2/15/13  US Treasury Note   1.38%   7,129,595    0.48%
 2,500,000   4/15/13  US Treasury Note   1.75%   2,558,934    0.17%
Total U.S. Treasury securities (cost: $78,729,280)       78,149,854    5.25%
                        
U.S. Government Sponsored Enterprise Notes                    
 Face Value   Maturity Date  Name   Yield1           
$1,160,000   5/28/13  Federal Farm Credit Bank   0.28%   1,160,902    0.08%
 500,000   4/2/12  Federal Home Loan Bank   0.17%   500,071    0.03%
 3,500,000   5/18/12  Federal Home Loan Bank   1.13%   3,517,884    0.24%
 4,500,000   6/20/12  Federal Home Loan Bank   1.88%   4,538,326    0.31%
 250,000   6/27/12  Federal Home Loan Bank   0.25%   250,098    0.02%
 400,000   7/25/12  Federal Home Loan Bank   0.25%   400,609    0.03%
 6,800,000   8/10/12  Federal Home Loan Bank   0.35%   6,804,988    0.46%
 6,400,000   8/22/12  Federal Home Loan Bank   1.75%   6,501,618    0.44%
 5,250,000   8/28/12  Federal Home Loan Bank   0.44%   5,254,569    0.35%
 3,800,000   10/5/12  Federal Home Loan Bank   0.31%   3,802,799    0.26%
 3,250,000   1/16/13  Federal Home Loan Bank   1.50%   3,312,699    0.22%
 3,000,000   3/27/13  Federal Home Loan Bank   1.00%   3,033,171    0.20%
 300,000   8/23/13  Federal Home Loan Bank   0.70%   300,856    0.02%
 6,700,000   1/9/13  Federal Home Loan Mortgage Corp.   1.38%   6,821,306    0.46%
 3,250,000   8/22/13  Federal Home Loan Mortgage Corp.   0.60%   3,258,171    0.22%
 7,300,000   9/23/13  Federal Home Loan Mortgage Corp.   0.55%   7,301,980    0.49%
 5,300,000   9/30/13  Federal Home Loan Mortgage Corp.   0.55%   5,303,028    0.36%
 5,000,000   10/25/13  Federal Home Loan Mortgage Corp.   0.60%   5,006,190    0.34%
 4,250,000   7/30/12  Federal National Mortgage Assoc.   1.13%   4,292,881    0.29%
 14,500,000   10/30/12  Federal National Mortgage Assoc.   0.50%   14,542,565    0.98%
 Total U.S. government sponsored enterprise notes (cost: $86,007,781)       85,904,711    5.80%

 

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, 2011

(Audited)

 

       Description      Fair Value   % of
Partners'
Capital
(Net Asset
Value)
 
Foreign Government Sponsored Enterprise Notes                    
 Face Value   Maturity Date  Name   Yield1           
$2,800,000   1/23/12  African Development Bank   1.88%  $2,825,080    0.19%
 3,200,000   3/21/12  European Investment Bank   4.63%   3,267,754    0.22%
 1,000,000   6/11/12  Soc. de Financement de l'Economie Francaise   2.25%   1,005,116    0.07%
Total foreign government sponsored enterprise notes (cost: $7,208,542)       7,097,950    0.48%
                        
Total government sponsored enterprise notes (cost: $93,216,323)         93,002,661       6.28 %
                        
U.S. Commercial Paper             
 Face Value   Maturity Date  Name   Yield1           
Automotive                     
$3,500,000   1/9/12  BMW US Capital, LLC   0.38%   3,499,704    0.24%
 260,000   1/19/12  BMW US Capital, LLC   0.40%   259,948    0.02%
Banks                     
 3,400,000   2/15/12  Credit Suisse (USA), Inc.   0.45%   3,398,088    0.23%
 200,000   3/19/12  Goldman Sachs Group, Inc.   0.55%   199,762    0.01%
 4,250,000   1/27/12  HSBC USA Inc.   0.20%   4,249,031    0.29%
 3,300,000   1/27/12  National Australia Funding (Delaware) Inc.   0.28%   3,299,357    0.22%
 250,000   1/4/12  Standard Chartered Bank   0.20%   249,995    0.02%
 4,000,000   2/8/12  Standard Chartered Bank   0.36%   3,998,480    0.27%
 250,000   2/6/12  Union Bank, National Association   0.18%   249,955    0.02%
Beverages                     
 2,550,000   2/2/12  Anheuser-Busch InBev Worldwide Inc.   0.25%   2,549,433    0.17%
 250,000   3/5/12  The Coca-Cola Company   0.20%   249,933    0.02%
Charity                     
 4,000,000   1/19/12  The Salvation Army   0.12%   3,999,760    0.27%
 200,000   1/25/12  The Salvation Army   0.10%   199,987    0.01%
Computers                     
 3,550,000   1/9/12  Hewlett-Packard Company   0.45%   3,549,645    0.24%
Diversified Financial Services                
 3,200,000   1/6/12  American Honda Finance Corporation   0.20%   3,199,911    0.22%
 250,000   2/8/12  American Honda Finance Corporation   0.27%   249,894    0.02%
 200,000   2/27/12  Caterpillar Financial Services Corporation   0.07%   199,978    0.01%
 3,300,000   3/5/12  Caterpillar Financial Services Corporation   0.20%   3,298,827    0.22%
 4,000,000   1/11/12  General Electric Capital Corporation   0.14%   3,999,978    0.27%
 260,000   1/6/12  ING (U.S.) Funding LLC   0.25%   259,995    0.02%
 4,000,000   2/27/12  ING (U.S.) Funding LLC   0.35%   3,997,783    0.27%
 2,000,000   1/6/12  National Rural Utilities Coop.   0.09%   1,999,975    0.13%
 3,000,000   1/6/12  Nordea Investment Mgmt North America, Inc.   0.32%   2,999,867    0.20%
 4,000,000   1/24/12  PACCAR Financial Corp.   0.07%   3,999,821    0.27%
 250,000   2/15/12  Private Export Funding Corporation   0.11%   249,966    0.02%
 3,232,000   1/13/12  River Fuel Company #2, Inc.   0.28%   3,231,698    0.22%
 250,000   1/13/12  River Fuel Trust 1   0.35%   249,967    0.02%
 3,400,000   1/20/12  Toyota Motor Credit Corporation   0.20%   3,399,641    0.23%
Energy                      
 4,000,000   1/4/12  NextEra Energy Capital Holdings, Inc.   0.46%   3,999,847    0.27%
 280,000   1/11/12  NextEra Energy Capital Holdings, Inc.   0.50%   279,965    0.02%

 

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, 2011

(Audited)

 

       Description      Fair Value   % of
Partners'
Capital
(Net Asset
Value)
 
U.S. Commercial Paper (continued)                    
 Face Value   Maturity Date  Name   Yield1           
Energy (continued)                  
$4,300,000   1/12/12  Oglethorpe Power Corporation   0.17%  $4,299,777    0.29%
 3,500,000   1/4/12  The Southern Company   0.15%   3,499,956    0.24%
 260,000   1/11/12  The Southern Company   0.17%   259,988    0.02%
 250,000   1/4/12  Questar Corporation   0.18%   249,996    0.02%
 3,300,000   1/20/12  Questar Corporation   0.25%   3,299,565    0.22%
Food                     
 4,250,000   1/5/12  Kellogg Company   0.19%   4,249,910    0.29%
Insurance                     
 3,240,000   1/10/12  Metlife Funding, Inc.   0.07%   3,239,927    0.22%
 3,500,000   2/13/12  New York Life Capital Corporation   0.13%   3,499,457    0.24%
Manufacturing                     
 3,350,000   1/23/12  Emerson Electric Co.   0.07%   3,349,857    0.23%
Mining                     
 3,000,000   1/17/12  BHP Billiton Finance (USA) Limited   0.16%   2,999,787    0.20%
 250,000   1/24/12  BHP Billiton Finance (USA) Limited   0.13%   249,979    0.02%
Telecommunication                 
 4,000,000   1/3/12  Verizon Communications Inc.   0.37%   3,999,918    0.27%
 Total U.S. commercial paper (cost: $98,744,654)       98,768,308    6.70%
                        
Foreign Commercial Paper                
 Face Value   Maturity Date  Name   Yield1           
Banks                     
$3,750,000   2/7/12  Australia and New Zealand Banking Group   0.25%   3,749,036    0.25%
 4,250,000   1/25/12  Bank of Tokyo-Mitsubishi UFJ, Ltd.   0.29%   4,249,178    0.29%
 3,200,000   1/17/12  Commonwealth Bank of Australia   0.30%   3,199,473    0.22%
 3,000,000   1/23/12  DNB Bank ASA   0.37%   2,999,413    0.20%
 4,000,000   1/12/12  John Deere Credit Inc. (Canada)   0.10%   3,999,878    0.27%
 4,250,000   1/17/12  Mizuho Funding LLC   0.20%   4,249,622    0.29%
 4,300,000   3/8/12  Oversea-Chinese Banking Corp.   0.53%   4,295,759    0.29%
 4,000,000   1/27/12  Sumitomo Mitsui Banking Corp.   0.24%   3,999,307    0.27%
Energy                     
 270,000   1/4/12  BP Capital Markets P.L.C.   0.23%   269,995    0.02%
 1,100,000   1/17/12  BP Capital Markets P.L.C.   0.28%   1,099,853    0.07%
 3,000,000   2/21/12  BP Capital Markets P.L.C.   0.26%   2,998,895    0.20%
 4,000,000   1/11/12  GDF Suez   0.21%   3,999,767    0.27%
 4,350,000   1/3/12  Pacific Gas and Electric Company   0.40%   4,349,903    0.29%
Government Sponsored Enterprise               
 3,750,000   2/14/12  Corporacion Andina de Fomento   0.33%   3,748,485    0.25%
Healthcare              
 250,000   1/10/12  Covidien International Finance S.A.   0.21%   249,987    0.02%
 3,000,000   2/10/12  Covidien International Finance S.A.   0.25%   2,999,167    0.20%
Telecommunication               
 4,000,000   2/16/12  Telstra Corporation Limited   0.23%   3,998,824    0.27%
Total foreign commercial paper (cost: $54,439,767)         54,456,542       3.67 %

 

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, 2011

(Audited)

 

       Description      Fair Value   % of
Partners'
Capital
(Net Asset
Value)
 
 Total commercial paper (cost: $153,184,421)      $153,224,850    10.37%
                        
U.S. Corporate Notes              
 Face Value   Maturity Date  Name   Yield1           
Aerospace                     
$4,275,000   11/20/12  Boeing   1.88%   4,328,732    0.29%
 1,750,000   2/15/13  Boeing   5.13%   1,868,615    0.13%
 2,937,000   4/1/12  McDonnell Douglas Corporation   9.75%   3,073,320    0.21%
Agriculture                      
 5,850,000   8/13/12  Archer-Daniels-Midland Company   0.61%   5,864,274    0.40%
Apparel                      
 2,325,000   8/23/13  V.F. Corporation   1.25%   2,332,109    0.16%
Automotive                      
 1,000,000   9/14/12  PACCAR Inc   1.72%   1,009,200    0.07%
Banks                      
 15,000,000   1/30/14  Bank of America   1.85%   13,590,732    0.92%
 190,000   3/23/12  Bank of New York Mellon   0.67%   189,954    0.01%
 5,000,000   7/28/14  Bank of New York Mellon   0.69%   4,922,138    0.33%
 7,602,000   7/27/12  BB&T Corporation   3.85%   7,851,227    0.53%
 4,000,000   12/28/12  Citibank, N.A.   1.75%   4,061,719    0.27%
 10,000,000   4/1/14  Citigroup Inc.   1.30%   9,456,391    0.64%
 6,525,000   7/2/12  Credit Suisse AG (NY)   3.45%   6,709,392    0.45%
 10,000,000   1/14/14  Credit Suisse AG (NY)   1.36%   9,708,314    0.65%
 7,000,000   10/30/12  GMAC Inc.   1.75%   7,111,043    0.48%
 5,200,000   12/19/12  GMAC Inc.   2.20%   5,302,977    0.36%
 10,074,000   1/15/12  Goldman Sachs   6.60%   10,399,589    0.70%
 1,200,000   2/14/12  Goldman Sachs   5.30%   1,228,911    0.08%
 13,855,000   2/7/14  Goldman Sachs   1.44%   12,981,083    0.88%
 10,000,000   5/2/14  JPMorgan Chase & Co.   1.30%   9,710,982    0.65%
 3,600,000   6/15/12  KeyBank National Association   3.20%   3,654,879    0.25%
 2,800,000   6/20/12  Morgan Stanley   1.95%   2,824,234    0.19%
 4,500,000   4/29/13  Morgan Stanley   1.41%   4,251,895    0.29%
 10,000,000   1/9/14  Morgan Stanley   0.69%   9,063,376    0.61%
 4,200,000   10/26/12  U.S. Bank National Association   0.64%   4,212,590    0.28%
 3,000,000   2/23/12  UBS AG (USA)   1.60%   3,008,944    0.20%
 1,230,000   3/1/12  Wachovia Corporation   0.68%   1,231,092    0.08%
 250,000   5/1/13  Wachovia Corporation   2.20%   255,174    0.02%
 5,250,000   10/23/12  Wells Fargo & Company   5.25%   5,486,217    0.37%
 5,800,000   1/31/13  Wells Fargo & Company   4.38%   6,100,740    0.41%
Beverages                      
 5,000,000   3/26/13  Anheuser-Busch InBev Worldwide Inc.   1.30%   5,025,140    0.34%
 2,350,000   1/27/14  Anheuser-Busch InBev Worldwide Inc.   0.97%   2,358,879    0.16%
 4,000,000   7/14/14  Anheuser-Busch InBev Worldwide Inc.   0.76%   3,987,398    0.27%
 1,275,000   3/1/12  Coca-Cola Enterprises, Inc.   3.75%   1,296,595    0.09%
 6,101,000   8/15/13  Coca-Cola Enterprises, Inc.   5.00%   6,603,898    0.45%
 1,000,000   7/31/12  PepsiAmericas, Inc.   5.75%   1,054,245    0.07%

 

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, 2011

(Audited)

 

       Description      Fair Value   % of
Partners'
Capital
(Net Asset
Value)
 
U.S. Corporate Notes (continued)                 
 Face Value   Maturity Date  Name   Yield1           
Chemicals                      
$250,000   8/15/12  Monsanto Company   7.38%  $266,699    0.02%
 2,645,000   11/15/12  Praxair, Inc.   1.75%   2,673,474    0.18%
Computers                      
 9,000,000   4/1/14  Dell Inc.   0.97%   9,075,707    0.61%
 3,663,000   3/1/12  Hewlett-Packard Company   5.25%   3,751,128    0.25%
 100,000   7/1/12  Hewlett-Packard Company   6.50%   105,970    0.01%
 2,800,000   5/24/13  Hewlett-Packard Company   0.79%   2,774,702    0.19%
 4,500,000   5/30/14  Hewlett-Packard Company   0.92%   4,354,514    0.29%
 3,850,000   9/19/14  Hewlett-Packard Company   2.11%   3,834,096    0.26%
 750,000   6/15/12  IBM   0.58%   750,291    0.05%
 550,000   10/15/13  IBM   6.50%   614,082    0.04%
Construction               
 3,420,000   5/21/13  Caterpillar Inc.   0.65%   3,426,993    0.23%
Consumer Products                
 4,250,000   8/15/14  Procter & Gamble   0.70%   4,281,968    0.29%
 335,000   2/15/12  Kimberly-Clark Corporation   5.63%   343,930    0.02%
Diversified Financial Services               
 4,300,000   6/29/12  American Honda Finance Corporation   0.68%   4,298,974    0.29%
 1,950,000   11/7/12  American Honda Finance Corporation   0.81%   1,955,395    0.13%
 2,110,000   4/2/13  American Honda Finance Corporation   4.63%   2,208,666    0.15%
 1,500,000   12/10/12  BlackRock, Inc.   2.25%   1,522,241    0.10%
 6,335,000   5/24/13  BlackRock, Inc.   0.81%   6,336,536    0.43%
 250,000   3/15/12  Caterpillar Financial Services Corporation   4.70%   255,581    0.02%
 2,510,000   4/5/13  Caterpillar Financial Services Corporation   2.00%   2,565,847    0.17%
 1,600,000   4/1/14  Caterpillar Financial Services Corporation   0.66%   1,600,652    0.11%
 7,400,000   10/22/12  Citigroup Funding Inc.   1.88%   7,528,418    0.51%
 1,350,000   12/10/12  Citigroup Funding Inc.   2.25%   1,376,843    0.09%
 100,000   1/15/12  Credit Suisse (USA), Inc.   6.50%   103,179    0.01%
 5,555,000   12/28/12  General Electric Capital Corporation   2.63%   5,689,174    0.38%
 3,800,000   1/8/13  General Electric Capital Corporation   2.80%   3,923,331    0.26%
 3,400,000   6/19/13  General Electric Capital Corporation   1.16%   3,404,289    0.23%
 1,000,000   4/7/14  General Electric Capital Corporation   1.01%   979,780    0.07%
 10,000,000   1/15/14  HSBC Finance Corporation   0.65%   9,225,830    0.62%
 5,509,000   3/15/12  John Deere Capital Corporation   7.00%   5,697,541    0.38%
 4,500,000   10/1/12  John Deere Capital Corporation   5.25%   4,715,832    0.32%
 1,250,000   12/17/12  John Deere Capital Corporation   4.95%   1,304,601    0.09%
 157,000   1/15/13  John Deere Capital Corporation   5.10%   167,771    0.01%
 6,960,000   7/16/12  Massmutual Global Funding II   3.63%   7,180,759    0.48%
 3,714,000   9/27/13  Massmutual Global Funding II   1.07%   3,699,264    0.25%
 1,750,000   12/17/12  PACCAR Financial Corp.   1.95%   1,773,748    0.12%
 6,517,000   4/5/13  PACCAR Financial Corp.   0.72%   6,514,016    0.44%
 3,828,000   2/15/12  Principal Life Global Funding I   6.25%   3,941,005    0.27%
 3,800,000   1/15/13  Principal Life Global Funding I   5.25%   4,045,006    0.27%
 5,000,000   4/14/14  SSIF Nevada, Limited Partnership   1.10%   4,932,841    0.33%
 3,300,000   10/12/12  Toyota Motor Credit Corporation   0.59%   3,305,595    0.22%

 

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, 2011

(Audited)

 

       Description      Fair Value   % of
Partners'
Capital
(Net Asset
Value)
 
U.S. Corporate Notes (continued)  
Face Value   Maturity Date  Name   Yield1           
Energy                      
$4,500,000   10/15/12  ConocoPhillips   4.75%  $4,679,495    0.32%
 4,171,000   1/15/12  Duke Energy Carolinas, LLC   6.25%   4,297,840    0.29%
 1,305,000   10/31/12  Northern Natural Gas Company   5.38%   1,365,910    0.09%
 2,191,000   10/15/12  NSTAR Electric Company   4.88%   2,284,590    0.15%
 4,275,000   12/13/13  Occidental Petroleum Corporation   1.45%   4,352,225    0.29%
Food                      
 410,000   6/1/12  Cargill, Incorporated   6.38%   421,678    0.03%
 4,725,000   9/15/12  Cargill, Incorporated   5.60%   4,945,756    0.33%
Healthcare                      
 7,743,000   3/1/14  Roche Holdings, Inc.   5.00%   8,505,438    0.57%
Insurance                      
 100,000   1/13/12  Berkshire Hathaway Finance Corporation   0.52%   100,123    0.01%
 1,280,000   4/15/12  Berkshire Hathaway Finance Corporation   4.00%   1,303,645    0.09%
 1,980,000   1/10/14  Berkshire Hathaway Finance Corporation   0.72%   1,972,533    0.13%
 250,000   2/10/12  Berkshire Hathaway Inc.   1.40%   251,602    0.02%
 9,750,000   2/11/13  Berkshire Hathaway Inc.   0.88%   9,794,548    0.66%
 650,000   5/30/12  Jackson National Life Global Funding   6.13%   665,616    0.04%
 350,000   5/8/13  Jackson National Life Global Funding   5.38%   369,064    0.02%
 250,000   7/12/12  MetLife Institutional Funding II   0.79%   250,691    0.02%
 5,750,000   4/4/14  MetLife Institutional Funding II   1.27%   5,755,701    0.39%
 1,000,000   3/15/12  Metropolitan Life Global Funding I   0.80%   999,812    0.07%
 7,360,000   9/17/12  Metropolitan Life Global Funding I   2.88%   7,517,339    0.51%
 2,800,000   1/11/13  Metropolitan Life Global Funding I   2.50%   2,866,978    0.19%
 3,374,000   1/25/13  Monumental Global Funding III   0.59%   3,328,634    0.22%
 7,050,000   8/22/12  New York Life Global Funding   0.54%   7,052,852    0.48%
 1,550,000   10/16/12  New York Life Global Funding   5.25%   1,624,441    0.11%
 5,140,000   12/14/12  New York Life Global Funding   2.25%   5,213,628    0.35%
 1,250,000   5/9/13  New York Life Global Funding   4.65%   1,318,922    0.09%
 4,610,000   4/15/13  Pacific Life Global Funding   5.15%   4,865,363    0.33%
 250,000   1/30/12  Pricoa Global Funding I   0.53%   250,111    0.02%
 4,500,000   6/25/12  Pricoa Global Funding I   4.63%   4,575,136    0.31%
 2,450,000   6/26/12  Pricoa Global Funding I   0.70%   2,441,886    0.16%
 650,000   10/18/12  Pricoa Global Funding I   5.40%   676,870    0.05%
 105,000   12/14/12  Principal Life Income Fundings   5.30%   109,546    0.01%
Internet                      
 3,000,000   5/19/14  Google Inc.   1.25%   3,049,524    0.21%
Manufacturing                      
 9,035,000   6/21/13  Danaher Corporation   0.82%   9,050,435    0.61%
 8,000,000   6/16/14  Eaton Corporation   0.89%   8,000,738    0.54%
Media                      
 422,000   3/1/12  Walt Disney Company   6.38%   434,768    0.03%
 3,700,000   12/1/14  Walt Disney Company   0.88%   3,719,927    0.25%
Mining                      
 250,000   3/29/12  BHP Billiton Finance (USA) Limited   5.13%   256,031    0.02%

 

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

 

17
 

  

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

December 31, 2011

(Audited)

 

       Description      Fair Value   % of
Partners'
Capital
(Net Asset
Value)
 
U.S. Corporate Notes (continued)       
Face Value   Maturity Date  Name   Yield1           
Pharmaceutical                      
$4,275,000   2/10/14  Novartis Capital Corporation   4.13%  $4,643,002    0.31%
 250,000   3/15/13  Pfizer Inc.   5.50%   268,324    0.02%
Retail                      
 9,075,000   7/18/14  Target Corporation   0.57%   9,085,393    0.61%
 4,500,000   2/3/14  Wal-Mart Stores, Inc.   3.00%   4,795,144    0.32%
 4,775,000   4/15/14  Wal-Mart Stores, Inc.   1.63%   4,896,448    0.33%
Semiconductor                      
 950,000   6/15/12  National Semiconductor Corporation   6.15%   975,883    0.07%
 4,275,000   5/15/13  Texas Instruments Incorporated   0.64%   4,287,137    0.29%
Steel                      
 1,579,000   12/1/12  Nucor Corporation   5.00%   1,642,453    0.11%
Telecommunication      
 2,250,000   3/14/14  Cisco Systems, Inc.   0.79%   2,249,238    0.15%
 5,700,000   3/28/14  Verizon Communications Inc.   1.18%   5,693,477    0.38%
Transportation                      
 5,850,000   1/15/13  United Parcel Service, Inc.   4.50%   6,212,402    0.42%
Total U.S. corporate notes (cost:  $490,393,091)    482,040,564    32.50%
                        
Foreign Corporate Notes
Face Value   Maturity Date  Name   Yield1           
Automotive                      
$10,370,000   4/1/14  Volkswagen International Finance N.V.   0.98%   10,188,377    0.69%
Banks                      
 2,900,000   12/21/12  ANZ National (Int'l) Limited   2.38%   2,951,973    0.20%
 10,000,000   1/10/14  BNP Paribas   1.29%   9,252,056    0.62%
 5,250,000   1/12/12  Commonwealth Bank of Australia   2.40%   5,311,297    0.36%
 3,000,000   6/29/12  Commonwealth Bank of Australia   0.78%   2,997,638    0.20%
 10,000,000   3/17/14  Commonwealth Bank of Australia   1.29%   9,844,450    0.66%
 5,000,000   4/14/14  Danske Bank A/S   1.45%   4,835,163    0.33%
 1,150,000   8/3/12  HSBC Bank PLC   0.88%   1,152,390    0.08%
 4,300,000   1/18/13  HSBC Bank PLC   0.80%   4,291,209    0.29%
 4,150,000   5/15/13  HSBC Bank PLC   0.89%   4,121,105    0.28%
 7,225,000   1/13/12  ING Bank N.V.   1.03%   7,240,784    0.49%
 9,000,000   3/15/13  ING Bank N.V.   1.60%   8,797,179    0.59%
 1,000,000   6/9/14  ING Bank N.V.   1.94%   959,030    0.06%
 5,000,000   6/17/13  KfW Bankengruppe   0.29%   4,998,167    0.34%
 3,080,000   2/1/12  National Australia Bank Limited   0.68%   3,082,733    0.21%
 4,930,000   6/15/12  National Australia Bank Limited   0.75%   4,932,531    0.33%
 1,000,000   11/16/12  National Australia Bank Limited   2.35%   1,013,797    0.07%
 5,000,000   4/11/14  National Australia Bank Limited   1.11%   4,962,409    0.33%
 5,000,000   2/4/13  Rabobank Nederland   0.58%   5,003,317    0.34%
 6,850,000   12/12/12  Royal Bank of Canada   0.69%   6,859,674    0.46%
 5,250,000   3/8/13  Royal Bank of Canada   0.69%   5,253,531    0.35%
 5,250,000   9/14/12  Svenska Handelsbanken AB (publ)   2.88%   5,344,511    0.36%
 250,000   3/30/12  Royal Bank of Scotland   1.50%   250,768    0.02%

 

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

 

18
 

  

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

December 31, 2011

(Audited)

 

       Description      Fair Value   % of
Partners'
Capital
(Net Asset
Value)
 
Foreign Corporate Notes (continued)       
Face Value   Maturity Date  Name   Yield1           
Banks (continued)               
$4,600,000   5/11/12  Royal Bank of Scotland   2.63%  $4,646,211    0.31%
 6,660,000   7/26/13  Toronto-Dominion Bank   0.60%   6,657,777    0.45%
 1,940,000   11/1/13  Toronto-Dominion Bank   0.89%   1,946,884    0.13%
 1,100,000   12/14/12  Westpac Banking Corporation   1.90%   1,111,112    0.07%
 9,750,000   3/31/14  Westpac Banking Corporation   1.31%   9,778,684    0.66%
Energy               
 10,200,000   3/10/12  BP Capital Markets P.L.C.   3.13%   10,345,153    0.70%
 5,250,000   11/7/13  BP Capital Markets P.L.C.   5.25%   5,672,336    0.38%
 5,146,000   3/25/13  Shell International Finance B.V.   1.88%   5,267,570    0.36%
Pharmaceutical               
 6,000,000   9/15/12  AstraZeneca PLC   5.40%   6,302,758    0.43%
 8,065,000   3/28/13  Sanofi   0.77%   8,073,367    0.54%
 4,280,000   3/28/14  Sanofi   0.88%   4,274,412    0.29%
 10,000,000   3/21/14  Teva Pharmaceutical Finance III BV   1.07%   9,945,168    0.67%
Telecommunication            
 2,750,000   2/27/12  Vodafone Group Public Limited Company   0.79%   2,752,365    0.19%
Total foreign corporate notes (cost:  $192,839,624)    190,417,886    12.84%
                        
Total corporate notes (cost:  $683,232,715)    672,458,450    45.34%
                        
Total investments in securities (cost:  $1,008,362,739)   $996,835,815    67.24%
                        
CERTIFICATES OF DEPOSIT  
U.S. Certificates of Deposit  
Face Value   Maturity Date  Name   Yield1           
$300,000   2/17/12  Barclays Bank PLC (NY)   0.47%  $300,581    0.02%
 250,000   4/26/12  Canadian Imperial Bank of Commerce (NY)   0.37%   249,983    0.02%
 4,750,000   11/5/12  Canadian Imperial Bank of Commerce (NY)   0.64%   4,754,513    0.32%
 5,950,000   4/4/12  Deutsche Bank Aktiengesellschaft (NY)   0.45%   5,964,488    0.40%
 5,000,000   3/5/12  Mizuho Corporate Bank, Ltd. (NY)   0.48%   5,001,707    0.34%
 2,000,000   2/6/12  Nordea Bank Finland PLC (NY)   0.38%   2,003,377    0.14%
 1,000,000   5/8/12  Nordea Bank Finland PLC (NY)   0.40%   1,001,824    0.07%
 7,600,000   11/13/12  Nordea Bank Finland PLC (NY)   0.65%   7,568,387    0.51%
 4,650,000   4/5/12  Norinchukin Bank (NY)   0.55%   4,655,368    0.31%
 6,250,000   3/1/13  PNC Bank, National Association   0.63%   6,204,312    0.42%
 5,250,000   2/3/12  Shizuoka Bank, Ltd. (NY)   0.49%   5,254,920    0.35%
 6,900,000   5/3/12  Westpac Banking Corporation (NY)   0.40%   6,918,477    0.47%
 2,650,000   6/21/12  Westpac Banking Corporation (NY)   0.41%   2,654,894    0.18%
Total U.S. certificates of deposit (cost:  $52,535,773)    52,532,831    3.55%
                        
Foreign Certficates of Deposit       
Face Value   Maturity Date  Name   Yield1           
Banks                      
$2,250,000   10/3/13  Bank of Montreal   0.82%   2,254,624    0.15%
 4,500,000   1/17/12  Bank of Nova Scotia   0.32%   4,510,802    0.30%
 4,600,000   6/11/12  Bank of Nova Scotia   0.74%   4,602,636    0.31%

 

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

 

19
 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

December 31, 2011

(Audited)

 

       Description      Fair Value   % of
Partners'
Capital
(Net Asset
Value)
 
Foreign Certificates of Deposit (continued)      
Face Value   Maturity Date  Name   Yield1           
Banks (continued)           
$2,600,000   10/18/12  Bank of Nova Scotia   0.70%  $2,608,055    0.18%
 2,000,000   11/20/12  Bank of Nova Scotia   0.74%   2,003,035    0.14%
 5,050,000   1/17/12  Bank of Tokyo-Mitsubishi UFJ, Ltd.   0.36%   5,058,937    0.34%
 2,500,000   3/5/12  Norinchukin Bank   0.54%   2,500,737    0.17%
 1,750,000   4/2/12  Rabobank Nederland   0.37%   1,750,115    0.12%
 250,000   3/15/13  Royal Bank of Canada   2.25%   255,138    0.02%
 5,000,000   6/1/12  Sumitomo Mitsui Banking Corporation   0.65%   5,001,388    0.34%
 5,250,000   1/24/12  Svenska Handelsbanken AB   0.38%   5,253,930    0.35%
Government Sponsored Enterprise    
 6,600,000   5/25/12  Caisse Amortissement de la Dette Socia   0.43%   6,592,215    0.44%
Total foreign certificates of deposit (cost:  $42,374,750)    42,391,612    2.86%
                        
Total certificates of deposit (cost:  $94,910,523)   $94,924,443    6.41%
                        
OPEN FUTURES CONTRACTS      
Long U.S. Futures Contracts      
        Agricultural commodities       $427,903    0.03%
        Currencies        2,763,257    0.19%
        Energy        123,077    0.01%
        Equity indices        422,180    0.03%
        Interest rate instruments        5,715,227    0.39%
        Metals        (8,991,504)   (0.61)%
        Single stock futures        36,323    0.00%
Net unrealized gain on open long U.S. futures contracts    496,463    0.04%
            
Short U.S. Futures Contracts           
        Agricultural commodities        (3,414,866)   (0.23)%
        Currencies        3,441,210    0.23%
        Energy        7,238,690    0.49%
        Equity indices        175,914    0.01%
        Interest rate instruments        (1,544,262)   (0.10)%
        Metals        6,509,575    0.44%
        Single stock futures        (16,613)   (0.00)%
Net unrealized gain on open short U.S. futures contracts    12,389,648    0.84%
                        
Total U.S. futures contracts - Net unrealized gain on open U.S. futures contracts   12,886,111    0.88%
           
Long Foreign Futures Contracts          
        Agricultural commodities        196,300    0.01%
        Currencies        (18,010)   (0.00)%
        Energy        31,956    0.00%
        Equity indices        1,196,625    0.08%
        Interest rate instruments2        18,859,653    1.27%
        Metals        (164,515)   (0.01)%
Net unrealized gain on open long foreign futures contracts    20,102,009    1.35%

 

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

 

20
 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

December 31, 2011

(Audited)

 

          Description         Fair Value     % of
Partners'
Capital
(Net Asset
Value)
 
Short Foreign Futures Contracts            
            Agricultural commodities             824,214       0.06 %
            Currencies             3,635,127       0.25 %
            Energy             13,933       0.00 %
            Equity indices             508,790       0.03 %
            Interest rate instruments             (234,143 )     (0.02 )%
            Metals             677,586       0.05 %
Net unrealized gain on open short foreign futures contracts       5,425,507       0.37 %
                                     
Total foreign futures contracts - net unrealized gain on open foreign futures contracts     25,527,516       1.72 %
                                     
Net unrealized gain on open futures contracts   $ 38,413,627       2.60 %
                                     
FORWARD CURRENCY CONTRACTS          
U.S. Forward Currency Contracts          
            Long           $ 1,455,228       0.10 %
            Short             (973,780 )     (0.07 )%
Net unrealized gain on open U.S. forward currency contracts       481,448       0.03 %
                                     
Foreign Forward Currency Contracts                      
            Long             (1,593,950 )     (0.11 )%
            Short             1,383,892       0.09 %
Net unrealized loss on open foreign forward currency contracts       (210,058 )     (0.02 )%
                                     
Net unrealized gain on open forward currency contracts     $ 271,390       0.01 %

 

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.

 

21
 

  

Futures Portfolio Fund, Limited Partnership

Consolidated Statements of Operations

For the Three and Nine Months Ended September 30, 2012 and 2011

(Unaudited)

 

   Three Months Ended
September 30,
   Nine Months Ended
September 30,
 
   2012   2011   2012   2011 
Gain (Loss) from Futures and Forwards Trading                    
Net realized gain  $23,054,026   $34,034,978   $78,930,082   $20,897,536 
Net change in unrealized gain (loss)   (190,437)   40,509,413    (39,092,863)   (24,252,910)
Brokerage commissions and trading expenses   (1,328,705)   (1,020,170)   (3,905,515)   (3,381,823)
Net gain (loss) from futures and forwards trading   21,534,884    73,524,221    35,931,704    (6,737,197)
                     
Income                    
Interest income   3,992,009    3,807,717    11,835,882    7,125,606 
Net realized and change in unrealized gain (loss) on securities and certificates of deposit   (87,777)   (8,728,255)   2,458,544    (10,009,373)
Total income   3,904,232    (4,920,538)   14,294,426    (2,883,767)
                     
Expenses                    
Trading Advisor management fee   5,494,476    6,329,014    16,949,458    17,342,274 
Trading Advisor incentive fee   153,581    6,397,570    9,265,699    9,895,806 
Cash manager fees   246,813    176,733    737,132    601,356 
General Partner management fee   5,427,214    6,782,633    18,124,614    19,600,876 
General Partner performance fee   944        944     
General Partner 1% allocation   78,713    421,689    (138,826)   (766,288)
Selling Agent fees – General Partner   4,595,538    4,971,998    13,973,800    14,452,571 
Administrative expenses – General Partner   1,649,197    1,776,764    5,057,072    5,114,909 
Total expenses   17,646,476    26,856,401    63,969,893    66,241,504 
Net investment loss   (13,742,244)   (31,776,939)   (49,675,467)   (69,125,271)
Net Income (Loss)  $7,792,640   $41,747,282   $(13,743,763)  $(75,862,468)

 

   Three Months Ended September 30, 
   2012   2011 
   Class A   Class B   Class I   Class A   Class B   Class I 
Increase in net asset value per Unit  $16.34   $49.69   $8.24   $122.01   $192.39   $ 
                               
Net income per Unit†  $17.12   $49.76   $2.58   $121.69   $191.41   $ 
                               
Weighted average number of Units outstanding   186,092.1468    92,537.0337    811.8937    193,538.6140    95,063.3770     

 

   Nine Months Ended September 30, 
   2012   2011 
   Class A   Class B   Class I   Class A   Class B   Class I 
Decrease in net asset value per Unit  $(68.77)  $(11.93)  $(43.96)  $(273.08)  $(280.26)  $ 
                               
Net loss per Unit†  $(66.83)  $(11.55)  $(17.22)  $(274.46)  $(282.39)  $ 
                               
Weighted average number of Units outstanding   188,992.2833    95,374.1163    649.5150    184,365.9406    89,455.4184     

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

 

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

 

22
 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Statements of Cash Flows

For the Nine Months Ended September 30, 2012 and 2011

(Unaudited)

 

   Nine Months Ended September 30, 
   2012   2011 
Cash flows from operating activities          
Net loss  $(13,743,763)  $(75,862,468)
Adjustments to reconcile net loss to net cash provided by (used in) operating activities          
Net change in unrealized loss from futures and forwards trading   39,092,324    24,252,910 
Purchases of securities and certificates of deposit   (1,878,808,585)   (1,948,527,217)
Proceeds from disposition of securities and certificates of deposit   2,059,906,928    1,521,565,901 
Net realized and change in unrealized (gain) loss on securities and certificates of deposit   (2,458,544)   10,009,373 
Changes in          
Due from affiliate       (15,228)
General Partner 1% allocation receivable/payable   1,217,869    (1,783,825)
Trading Advisor management fee payable   (263,080)   1,378,942 
Trading Advisor incentive fee payable   40,435    (6,653,049)
Commissions and other trading fees payable on open contracts   70,743    10,442 
Cash Manager fees payable   (129,439)   453,083 
General Partner management fee payable   (433,480)   209,953 
General Partner performance fee payable   944     
Selling Agent fees payable – General Partner   (91,026)   130,830 
Administrative expenses payable – General Partner   (46,118)   65,087 
Net cash provided by (used in) operating activities   204,355,208    (474,765,266)
           
Cash flows from financing activities          
Subscriptions   94,588,784    279,849,995 
Subscriptions received in advance   11,016,014    12,232,044 
Redemptions   (191,118,425)   (82,780,472)
Net cash provided by (used in) financing activities   (85,513,627)   209,301,567 
           
Net increase (decrease) in cash and cash equivalents   118,841,581    (265,463,699)
Cash and cash equivalents, beginning of period   395,846,968    718,738,675 
Cash and cash equivalents, end of period  $514,688,549   $453,274,976 
           
End of period cash and cash equivalents consists of          
Cash in broker trading accounts  $500,130,749   $426,753,174 
Cash and cash equivalents   14,557,800    26,521,802 
Total end of period cash and cash equivalents  $514,688,549   $453,274,976 
           
Supplemental disclosure of cash flow information          
Prior period redemptions paid  $22,127,237   $11,807,236 
Prior period subscriptions received in advance  $15,876,320   $23,610,336 
           
Supplemental schedule of non-cash financing activities          
Redemptions payable  $18,419,566   $10,248,563 

 

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

 

23
 

 

Futures Portfolio Fund, Limited Partnership

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

For the Nine Months Ended September 30, 2012 and 2011

(Unaudited)

 

   Class A   Class B   Class I     
   Units   Amount   Units   Amount   Units   Amount   Total 
Nine Months Ended September 30, 2012                                   
Balance at December 31, 2011   192,640.4151   $872,169,401    99,309.8890   $610,486,703       $   $1,482,656,104 
Net loss        (12,630,733)        (1,101,845)        (11,185)   (13,743,763)
Subscriptions   14,681.7260    66,954,876    6,921.5021    43,255,817    254.4114    254,411    110,465,104 
Redemptions   (21,120.6248)   (96,190,782)   (14,713.4302)   (91,219,972)           (187,410,754)
Transfers   (858.1375)   (3,915,817)   278.4998    1,783,924    2,229.9294    2,131,893     
Balance at September 30, 2012   185,343.3788   $826,386,945    91,796.4607   $563,204,627    2,484.3408   $2,375,119   $1,391,966,691 
                                    
Nine Months Ended September 30, 2011                                   
Balance at December 31, 2010   172,138.6872   $858,255,331    81,701.8729   $543,372,363       $   $1,401,627,694 
Net loss        (50,602,156)        (25,260,312)            (75,862,468)
Subscriptions   35,518.5407    172,067,918    20,189.4883    131,392,413            303,460,331 
Redemptions   (9,841.2706)   (47,335,150)   (5,239.9664)   (33,886,649)           (81,221,799)
Transfers   (1,187.2726)   (5,722,527)   883.9986    5,722,527             
Balance at September 30, 2011   196,628.6847   $926,663,416    97,535.3934   $621,340,342       $   $1,548,003,758 

 

Net Asset Value per Unit

   Class A   Class B   Class I 
             
September 30, 2012  $4,458.68   $6,135.36   $956.04 
December 31, 2011   4,527.45    6,147.29     
September 30, 2011   4,712.76    6,370.41     
December 31, 2010   4,985.84    6,650.67     

 

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

 

24
 

 

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 and lower General Partner Management Fees (0.75% per annum instead of 1.50% per annum) as well as a General Partner performance fee (7.5% of new profits, described more fully in Footnote 4).

 

During 2011, the Fund made investments totaling $90 million in the Steben Institutional Fund LLC (“SIF”), whose manager is the General Partner. Presently, the Fund is the only member in SIF. Similar to the Fund, SIF uses professional commodity trading advisors to engage in the speculative trading of futures and forward currency contracts traded in the U.S. and internationally. SIF trades within six major market sectors: agricultural commodities, currencies, energy, equity indices, interest rate instruments and metals. SIF commenced trading on March 1, 2011. SIF incurs trading advisor management and incentive fees, as well as reimburses its manager for operating expenses incurred on its behalf. During 2012, the General Partner began liquidating SIF. 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.

 

25
 

 

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 September 30, 2012 and December 31, 2011, 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.

 

26
 

 

Brokerage Commissions and Trading Expenses

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

 

Redemptions Payable

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

 

Income Taxes

The Fund prepares calendar year U.S. and applicable state and local tax returns. The Fund is not subject to federal income taxes as each partner is individually liable for his or her allocable share of the Fund’s income, expenses and trading gains or losses. The Fund evaluates the tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are more-likely-than-not to be sustained when examined by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense and asset or liability in the current year. Management has determined there are no material uncertain income tax positions through September 30, 2012. 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 2011 consolidated financial statements have been reclassified to conform to the 2012 presentation without affecting previously reported partners’ capital (net asset value).

 

Recently Issued Accounting Pronouncement

In May 2011, the Financial Accounting Standards Board (“FASB”) issued new guidance to converge the fair value measurement guidance in GAAP and International Financial Reporting Standards.  This new guidance clarifies the application of existing fair value measurement requirements, changes a particular principle of fair value measurement, and requires additional fair value disclosures.  The amendments are to be applied prospectively and are effective for annual periods beginning after December 15, 2011. The Fund is currently evaluating the effect that the provisions of this guidance will have on the Fund’s financial statements.

 

In November 2011, the FASB issued new guidance that requires an entity to disclose information about offsetting and related arrangements to enable users of its financial statements to understand the effect of those arrangements on its financial position.  This guidance is effective for the Fund’s annual and interim periods beginning January 1, 2013.  When effective, the Fund will provide the disclosures required by those amendments retrospectively for all comparative periods presented.  The adoption of this guidance is not expected to have a material impact on the financial position or results of operations.

 

2.          Fair Value Disclosures

 

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

 

At September 30, 2012

    
   Level 1   Level 2   Total 
Equity in broker trading accounts:               
Net unrealized loss on open futures contracts*  $(1,200,118)  $   $(1,200,118)
Net unrealized gain on open forward currency contracts*       792,811    792,811 
Cash and cash equivalents:               
Money market fund   3,201,458        3,201,458 
Investments in securities:               
U.S. Treasury securities*   73,813,839        73,813,839 
U.S. government sponsored enterprise notes*       34,774,376    34,774,376 
Commercial paper*       114,634,482    114,634,482 
Corporate notes*       596,955,672    596,955,672 
Certificates of deposit*       92,942,090    92,942,090 
Total  $75,815,179   $840,099,431   $915,914,610 

 

*See the consolidated condensed schedule of investments for further description.

 

27
 

 

At December 31, 2011    
   Level 1   Level 2   Total 
Equity in broker trading accounts:               
Net unrealized gain on open futures contracts*  $38,413,627   $   $38,413,627 
Net unrealized gain on open forward currency contracts*       271,390    271,390 
Cash and cash equivalents:               
Money market fund   5,760,099        5,760,099 
Investments in securities:               
U.S. Treasury securities*   78,149,854        78,149,854 
U.S. government sponsored enterprise notes*       85,904,711    85,904,711 
Foreign government sponsored enterprise notes*       7,097,950    7,097,950 
Commercial paper*       153,224,850    153,224,850 
Corporate notes*       672,458,450    672,458,450 
Certificates of deposit*       94,924,443    94,924,443 
Total  $122,323,580   $1,013,881,794   $1,136,205,374 

*See the consolidated condensed schedule of investments for further description.

 

There were no Level 3 holdings at September 30, 2012 or December 31, 2011, 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 September 30, 2012, the Fund’s derivative contracts had the following impact on the consolidated statements of financial condition:

 

September 30, 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 (loss) on open futures contracts               
Agricultural commodities  $3,298,855   $(6,365,572)  $(3,066,717)
Currencies   3,071,507    (3,789,098)   (717,591)
Energy   5,644,698    (5,423,475)   221,223 
Equity indices   2,460,179    (20,615,582)   (18,155,403)
Interest rate instruments   26,603,508    (3,645,842)   22,957,666 
Metals   24,470,289    (26,540,099)   (2,069,810)
Single stock futures   28,985    (398,471)   (369,486)
Net unrealized gain (loss) on open futures contracts  $65,578,021   $(66,778,139)  $(1,200,118)
                
Net unrealized gain on open forward currency contracts
  $4,888,508   $(4,095,697)  $792,811 

 

At September 30, 2012, there were 125,472 open futures contracts and 2,179 open forward currency contracts.

 

28
 

 

For the three and nine months ended September 30, 2012, the Fund’s derivative contracts had the following impact on the consolidated statements of operations:

 

   Three Months Ended
September 30, 2012
   Nine Months Ended
September 30, 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  $5,391,845   $(2,120,838)  $(4,219,410)  $(1,100,268)
Currencies   (4,576,353)   1,192,416    (9,843,927)   (10,539,175)
Energy   (19,599,464)   7,040,125    (6,384,457)   (7,186,433)
Equity indices   44,379,354    (22,760,195)   44,790,826    (20,458,912)
Interest rate instruments   1,682,102    14,476,681    85,661,046    161,191 
Metals   (6,401,025)   (1,374,941)   (19,215,555)   (100,952)
Single stock futures   2,115,953    (562,826)   3,098,911    (389,196)
Total futures contracts   22,992,412    (4,109,578)   93,887,434    (39,613,745)
                     
Forward currency contracts   278,355    3,919,661    (15,000,764)   521,421 
                     
Total futures and forward currency contracts  $23,270,767   $(189,917)  $78,886,670   $(39,092,324)

 

For the three and nine months ended September 30, 2012, the number of futures contracts closed was 357,885 and 1,064,967, respectively, and the number of forward currency contracts closed was 10,445 and 31,196, respectively. At December 31, 2011, the Fund’s derivative contracts had the following impact on the consolidated statements of financial condition:

 

December 31, 2011  Derivative Assets and Liabilities, at fair value 
Consolidated Statements of Financial Condition Location  Assets   Liabilities   Net 
Equity in broker trading accounts               
Net unrealized gain (loss) on open futures contracts               
Agricultural commodities  $4,907,935   $(6,874,384)  $(1,966,449)
Currencies   11,500,940    (1,679,356)   9,821,584 
Energy   9,356,447    (1,948,791)   7,407,656 
Equity indices   4,557,650    (2,254,141)   2,303,509 
Interest rate instruments   27,554,583    (4,758,108)   22,796,475 
Metals   12,182,871    (14,151,729)   (1,968,858)
Single stock futures   55,232    (35,522)   19,710 
Net unrealized gain (loss) on open futures contracts  $70,115,658   $(31,702,031)  $38,413,627 
                
Net unrealized gain on open forward currency contracts  $5,681,721   $(5,410,331)  $271,390 

 

At December 31, 2011, there were 92,423 open futures contracts and 1,716 open forward currency contracts.

 

For the three and nine months ended September 30, 2011, the Fund’s derivative contracts had the following impact on the consolidated statements of operations:

 

   Three Months Ended
September 30, 2011
   Nine Months Ended
September 30, 2011
 
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  $(22,824,221)  $5,355,174   $(35,445,341)  $(5,451,675)
Currencies   (20,848,643)   1,717,880    (23,147,219)   (15,117,635)
Energy   (30,431,271)   8,967,122    (28,172,942)   257,567 
Equity indices   (26,823,772)   (3,429,061)   (70,395,016)   (2,131,000)
Interest rate instruments   143,785,277    6,617,039    165,722,951    8,094,015 
Metals   122,357    20,820,607    5,753,319    (591,228)
Single stock futures   (41,191)   (185,622)   71,449    (193,438)
Total futures contracts   42,938,536    39,863,139    14,387,201    (15,133,394)
                     
Forward currency contracts   (8,718,410)   646,274    6,977,577    (9,119,516)
                     
Total futures and forward currency contracts  $34,220,126   $40,509,413   $21,364,778   $(24,252,910)

 

For the three and nine months ended September 30, 2011, the number of futures contracts closed was 266,962 and 854,994, respectively, and the number of forward currency contracts closed was 14,011 and 36,792, respectively.

 

29
 

 

4.          General Partner

 

At September 30, 2012 and December 31, 2011, and for the periods then ended, the General Partner did not maintain a capital balance in the Fund. However, the beneficiary of the sole shareholder of the General Partner had the following investment:

 

   September 30,
2012
   December 31,
2011
 
Class I Units          
Number of units   254.4114     
Value  $243,226      
Class B Units          
Number of units        39.6245 
Value       $243,583 

 

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 $4,302,121 and $4,663,155 for the three months ended September 30, 2012 and 2011, respectively. For the nine months ended September 30, 2012 and 2011, selling agent fees were $13,072,353 and $13,569,412, 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 $293,417 and $308,843 for the three months ended September 30, 2012 and 2011, respectively. For the nine months ended September 30, 2012 and 2011, broker dealer servicing fees were $901,447 and $883,159, 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.

 

§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.

 

30
 

 

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).

 

Effective April 1, 2011, the Fund engaged 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 September 30, 2012 and December 31, 2011, the Fund had margin requirements of $243,955,040 and $175,593,513, respectively.

 

7.Subscriptions, Distributions and Redemptions

 

Generally, 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. Units are sold at the net asset value per unit 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 September 30, 2012 and December 31, 2011, the Fund received advance subscriptions of $11,016,014 and $15,876,320, respectively, which were recognized as subscriptions to the Fund or returned, if applicable, subsequent to month-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 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.

 

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.

 

31
 

 

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 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.

 

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 September 30, 2012.

 

       Gov't                   % of 
   U.S .   Sponsored                   Partners' 
   Treasury   Enterprise   Commercial       Certificates of       Capital (Net 
Country or Region  Securities   Notes   Paper   Corporate Notes   Deposit   Total   Asset Value) 
United States  $73,813,839   $34,774,376   $64,069,566   $447,808,146   $75,574,259   $696,040,186    50.02%
Canada   -    -    3,599,776    26,306,777    5,771,097    35,677,650    2.56%
Netherlands   -    -    -    33,687,582    -    33,687,582    2.42%
Australia   -    -    12,135,941    18,488,285    2,054,447    32,678,673    2.35%
Great Britain   -    -    11,486,512    18,373,493    -    29,860,005    2.15%
France   -    -    3,899,477    17,396,911    -    21,296,388    1.53%
Japan   -    -    2,549,605    5,998,796    9,542,287    18,090,688    1.30%
Netherland Antilles   -    -    -    10,055,141    -    10,055,141    0.72%
Singapore   -    -    8,844,919    -    -    8,844,919    0.64%
Germany   -    -    -    5,000,754    -    5,000,754    0.36%
Denmark   -    -    -    4,963,396    -    4,963,396    0.36%
Multinational   -    -    -    4,761,431    -    4,761,431    0.34%
South America multinational   -    -    4,248,722    -    -    4,248,722    0.31%
Switzerland   -    -    -    4,114,960    -