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EX-32.1 - CERTIFICATION PURSUANT TO 18 U.S.C. SECTION 1350 - GRANT PARK FUTURES FUND LIMITED PARTNERSHIPex32-1.htm
EX-31.2 - CERTIFICATION OF PRINCIPAL FINANCIAL OFFICER - GRANT PARK FUTURES FUND LIMITED PARTNERSHIPex31-2.htm
EX-31.1 - CERTIFICATION OF PRINCIPAL EXECUTIVE OFFICER - GRANT PARK FUTURES FUND LIMITED PARTNERSHIPex31-1.htm
 


UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
 
FORM 10-K
(Mark One)
 
ý
ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the Fiscal Year Ended December 31, 2009
or
¨
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the transition period from ___________ to __________
 
Commission File Number 0-50316
 
GRANT PARK FUTURES FUND LIMITED PARTNERSHIP
(Exact name of Registrant as specified in its charter)
Illinois
(State or other jurisdiction
of incorporation or organization)
36-3596839
(I.R.S. Employer
Identification Number)
c/o Dearborn Capital Management, L.L.C.
626 West Jackson Boulevard, Suite 600
Chicago, Illinois
(Address of Principal Executive Offices)
60661
(Zip Code)
(312) 756-4450
(Registrant’s telephone number, including area code)
 
Securities registered pursuant to Section 12(b) of the Act:  None
 
Securities registered pursuant to Section 12(g) of the Act:
 
Class A Limited Partnership Units; Class B Limited Partnership Units; Legacy 1 Class Units; Legacy 2 Class Units; Global Alternative Markets 1 Class Units; Global Alternative Markets 2 Class Units;
Global Alternative Markets 3 Class Units
(Title of Class)
 
Indicate by check mark if the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act.  Yes ¨   No ý
Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or Section 15(d) of the Act.  Yes ¨   No ý
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    ý No    ¨
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Date File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§ 232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes ¨   No o
Indicate by check mark if the disclosure of delinquent filers pursuant to Item 405 of Regulation S-K is not contained herein, and will not be contained, to the best of the Registrant’s knowledge, in definitive proxy or information statements incorporated by reference in Part III of this Form 10-K or any amendment to this Form 10-K.   ý
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 the definitions of “large accelerated filer”, “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check one):  Large accelerated filer¨              Accelerated filer¨                     Non-accelerated filerý            Smaller reporting company¨
Indicate by check mark whether the Registrant is a shell company (as defined in Rule 12b-2 of the Securities Exchange Act of 1934).  Yes ¨   No ý
The Registrant has no voting stock.  As of December 31, 2009, there were 51,365.25 Class A Limited Partnership Units, 571,020.05 Class B Limited Partnership Units, 4,876.25 Legacy 1 Class Limited Partnership Units, 4,122.95 Legacy 2 Class Limited Partnership units, 4,403.26 Global Alternative Markets 1 Class Units, 8,042.80 Global Alternative Markets 2 Class Units, and 40,828.60 Global Alternative Markets 3 Class Units issued and outstanding.
 
DOCUMENTS INCORPORATED BY REFERENCE
 
Portions of the Prospectus dated March 25, 2009 filed with the SEC on March 26, 2009, and as supplemented from time-to-time, are incorporated by reference into Part I of this Form 10-K.
 

 
 

 
 
 

 
 
     
6
 
     
 
     
     
     
   
 


 
  i

 

 
BUSINESS
 
Grant Park Futures Fund Limited Partnership, which is referred to in this report as Grant Park, is a multi-advisor commodity pool organized to pool assets of investors for the purpose of investing those assets in U.S. and foreign financial markets.  Grant Park, which is not registered as a mutual fund under the Investment Company Act of 1940, has been in continuous operation since January 1989.  It is managed by its general partner, Dearborn Capital Management, L.L.C., and invests through independent professional commodity trading advisors.
 
Grant Park conducts its business in one operating segment and has been organized to pool assets of investors for the purpose of trading in the U.S. and international spot derivatives markets for currencies, interest rates, stock indices, agricultural and energy products, precious and base metals and other commodities and underliers.  In trading on these markets, Grant Park may enter into: 1) exchange-traded derivatives, such as futures contracts, options on futures contracts, security futures contracts and listed option contracts; 2) over-the-counter (“OTC”) derivatives, such as forwards, swaps, options and structured financial products; and 3) contracts on cash, or spot, commodities.  Grant Park’s general partner, commodity pool operator and sponsor is Dearborn Capital Management, L.L.C., an Illinois limited liability company.  The limited partnership agreement requires the general partner to own units in Grant Park in an amount at least equal to the greater of (1) 1% of the aggregate capital contributions of all limited partners or (2) $25,000, during any time that units in Grant Park are publicly offered for sale.  The managing member of Dearborn Capital Management, L.L.C. is Dearborn Capital Management, Ltd., an Illinois corporation whose sole shareholder is David M. Kavanagh.
 
Dearborn Capital Management, L.L.C., along with its managing member and predecessor as general partner and commodity pool operator, Dearborn Capital Management Ltd., has had management responsibility for Grant Park since its inception.  The general partner has been registered as a commodity pool operator and a commodity trading advisor under the Commodity Exchange Act and has been a member of the NFA since December 1995.  Dearborn Capital Management Ltd., which served as Grant Park’s general partner, commodity pool operator and sponsor from 1989 through 1995, was registered as a commodity pool operator between August 1988 and March 1996 and as a commodity trading advisor between September 1991 and March 1996 and was a member of the NFA between August 1988 and March 1996.
 
As a result of recent changes in the rules and regulations of the Financial Industry Regulatory Authority (“FINRA”) affecting commodity pools, the general partner has made certain changes to the organization of Grant Park, including the creation of additional classes of units, and has terminated the offering and sale of any new Class A and Class B units.  The reorganization was completed on April 1, 2009.
 
As part of the reorganization, Grant Park continues to invest through different commodity trading advisors retained by the general partner.  However, instead of each trading advisor maintaining a separate account in the name of Grant Park, as was historically the case, the assets of Grant Park are invested in various trading companies, each of which is organized as a limited liability company.  Each trading company allocates those assets to one of the commodity trading advisors retained by the general partner.  See “MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS—Reorganization of Grant Park”.
 
Through December 31, 2008 a portion of Grant Park’s net assets was previously allocated to the Dearborn Select Master Fund, SPC – Winton Segregated Portfolio – Class GP (the “GP Class”).  Dearborn Select Master Fund, SPC (“Dearborn Select”) was incorporated under the laws of the Cayman
 
 
 
Islands on April 7, 2006 and is a private investment fund organized as a segregated portfolio company with limited liability.  The GP Class allocated the assets invested by Grant Park to Winton Capital Management Limited (“Winton”) through one or more managed accounts, traded pursuant to Winton’s Diversified Program.  Grant Park owned all of the outstanding Class GP units of the GP Class.  The general partner of Grant Park was also the Investment Manager of Dearborn Select.  As of December 31, 2008, the investment in the GP Class was redeemed and is shown on the statement of financial condition as a redemption receivable.  Effective January 1, 2009, the portion of Grant Park’s net assets allocated to the GP Class was reallocated to one of Grant Park’s trading companies, GP 1, LLC (“GP 1”), a Delaware limited liability company.  GP 1 will allocate assets to Winton to be traded pursuant to Winton’s Diversified Program.  There have been no changes to the existing clearing broker arrangements/brokerage charge and no material changes to the other fees and expenses allocated to Grant Park as a result of this reallocation.
 
Effective April 1, 2009, in addition to the assets allocated by Grant Park to GP 1, Grant Park allocates assets to each of its following subsidiary limited liability trading companies (each a Trading Company and collectively, the “Trading Companies”):
 
GP 3, LLC (“GP 3”)
GP 7, LLC (“GP 7”)
GP 11, LLC (“GP 11”)
GP 4, LLC (“GP 4”)
GP 8, LLC (“GP 8”)
GP 12, LLC (“GP 12”)
GP 5, LLC (“GP 5”)
GP 9, LLC (“GP 9”)
GP 14, LLC (“GP 14”)
GP 6, LLC (“GP 6”)
GP 10, LLC (“GP 10”)
 
 
   Assets of Grant Park will not be invested in GP 12 until the first quarter of 2010 or in GP 14 until the second quarter of 2010.
 
Presently, through their respective Trading Companies, Rabar Market Research, Inc. (“Rabar”), EMC Capital Management, Inc. (“EMC”), Eckhardt Trading Company (“ETC”), Graham Capital Management, L.P. (“Graham”), Welton Investment Corporation (“Welton”), Winton Capital Management Limited (“Winton”), Global Advisors Jersey Limited (“Global Advisors”), Transtrend B.V. (“Transtrend”), Quantitative Investment Management LLC (“QIM”), and Revolution Capital Management, LLC (“RCM”), serve as Grant Park’s commodity trading advisors.  Effective January 1, 2010, Sunrise Capital Partners, LLC (“Sunrise”) through its Trading Company began trading on behalf of Grant Park and will serve as a commodity trading advisor with respect to all outstanding classes of Grant Park’s units.  Sunrise will be allocated less than 10 percent of Grant Park’s net assets to manage.  As of December 31, 2009, the general partner allocated Grant Park’s net assets through the respective Trading Companies among its core trading advisors EMC, Winton and Welton and non-core trading advisors ETC, Graham, Global Advisors, Rabar, RCM, Transtrend and QIM.  No more than twenty per cent of Grant Park’s assets are allocated to any one Trading Company and, in turn, any one trading advisor.  Each of the trading advisors employs technical and trend-following trading strategies through proprietary trading programs, in an effort to achieve capital appreciation while controlling risk and volatility.  As a result of recent changes in the rules and regulations of the Financial Industry Regulatory Authority (“FINRA”) affecting commodity pools, the general partner has made certain changes to the organization of Grant Park, including the creation of additional classes of units, and has terminated the offering and sale of any new Class A and Class B as of April 1, 2009.
 
Since its inception and through February 28, 2003, Grant Park offered its beneficial interests exclusively to qualified investors on a private placement basis.  Effective June 30, 2003, Grant Park began publicly offering both Class A and Class B units for sale and as of April 1, 2009 Grant Park has terminated the offering and sale of any new Class A and Class B units.  Effective April 1, 2009, Grant Park began publicly offering Legacy 1 Class, Legacy 2 Class, Global Alternative Markets 1 (“Global 1”) Class, Global Alternative Markets 2 (“Global 2”) Class and Global Alternative Markets 3 (“Global 3”) Class units for sale.
 
 
As of December 31, 2009, Grant Park had a net asset value of approximately $831.3 million and 23,836 limited partners.  As of the close of business on December 31, 2009, the net asset value per unit of the Class A units was $1,425.20, the net asset value of the Class B units was $1,224.35, the net asset value of the Legacy 1 Class units was $966.12, the net asset value of the Legacy 2 Class units was $964.54, the net asset value of the Global 1 Class units was $956.82, the net asset value of the Global 2 Class units was $953.60 and the net asset value of the Global 3 Class units was $939.64.
 
There have been no material administrative, civil or criminal actions within the past five years against the general partner or its principals and no such actions currently are pending.
 
Since its inception and through February 28, 2003, Grant Park offered its beneficial interests exclusively to qualified investors on a private placement basis. Effective June 30, 2003, Grant Park registered up to an aggregate of $200 million of Class A and Class B units pursuant to a Registration Statement on Form S-1 (File No. 333-104317), and began publicly offering both Class A and Class B units for sale.  Grant Park subsequently registered up to an additional $200 million in aggregate of Class A and Class B units for sale on a Registration Statement on Form S-1 (File No. 333-113297) on March 30, 2004, and an additional $700 million in aggregate of Class A and Class B units for sale on a Registration Statement of Form S-1 (File No. 333-119338) on December 1, 2004.  Effective April 1, 2009, Grant Park registered up to an aggregate of $1,150,000,000 of Legacy 1 Class, Legacy 2 Class, Global 1 Class, Global 2 Class and Global 3 Class units pursuant to Registration Statement on Form S-1 (File No. 333-153862) (the “Registration Statement”).  From July 1, 2003 through December 31, 2009, the Fund has raised approximately $1,054,196,000 of new capital and is continuing to offer up to an additional $1,088,534,000 of units pursuant to the Registration Statement, on a continuous basis at a price equal to the net asset value per unit as of the close of business on each applicable closing date, which is the last business day of each month.  The proceeds of the offering are deposited in Grant Park’s bank and brokerage accounts for the purpose of engaging in trading activities in accordance with Grant Park’s trading policies and its trading advisors’ respective trading strategies.
 
The affairs of Grant Park will be wound up and Grant Park will be liquidated upon the happening of any of the following events:  (1) expiration of Grant Park’s term on December 31, 2027, (2) a decision by the limited partners to liquidate Grant Park, (3) withdrawal or dissolution of the general partner and the failure of the limited partners to elect a substitute general partner to continue Grant Park, or (4) assignment for the benefit of creditors or adjudication of bankruptcy of the general partner or appointment of a receiver for or seizure by a judgment creditor of the general partner’s interest in Grant Park.
 
Regulation
 
Under the Commodity Exchange Act, as amended (the “Act”), commodity exchanges and commodity futures trading are subject to regulation by the Commodity Futures Trading Commission (the “CFTC”).  The National Futures Association (the “NFA”), a registered futures association under the Act, is the only non-exchange self-regulatory organization for commodity industry professionals.  The CFTC has delegated to the NFA responsibility for the registration of “commodity trading advisors,” “commodity pool operators,” “futures commission merchants,” “introducing brokers” and their respective associated persons and “floor brokers.”  The Act requires “commodity pool operators,” and “commodity trading advisors” such as Dearborn Capital Management, L.L.C., and commodity brokers or “futures commission merchants” such as Grant Park’s commodity brokers to be registered and to comply with various reporting and recordkeeping requirements.  Dearborn Capital Management L.L.C. and Grant Park’s
 
 
 
commodity brokers are members of the NFA.  The CFTC may suspend a commodity pool operator’s or trading advisor’s registration if it finds that its trading practices tend to disrupt orderly market conditions, or as the result of violations of the Act or rules and regulations promulgated thereunder.  In the event Dearborn Capital Management L.L.C.’s registration as a commodity pool operator or commodity trading advisor were terminated or suspended, Dearborn Capital Management L.L.C. would be unable to continue to manage the business of Grant Park.  Should Dearborn Capital Management L.L.C.’s registration be suspended, termination of Grant Park might result.
 
In addition to such registration requirements, the CFTC and certain commodity exchanges have established limits on the maximum net long and net short positions which any person, including Grant Park, may hold or control in particular commodities.  Most exchanges also limit the maximum changes in futures contract prices that may occur during a single trading day.  Grant Park also trades in dealer markets for forward and swap contracts, which are not regulated by the CFTC.  Federal and state banking authorities also do not regulate forward trading or forward dealers.  In addition, Grant Park trades on foreign commodity exchanges, which are not subject to regulation by any United States government agency.
 
Operations
 
A description of the business of Grant Park, including trading approaches, rights and obligations of the unitholders, compensation arrangements and fees and expenses is contained in Grant Park’s prospectus dated March 25, 2009 filed with the SEC on March 26, 2009, as supplemented from time-to-time, (the “Prospectus”), under the sections captioned “Summary,” “Risk Factors,” “The General Partner,” “The Trading Advisors,” “Conflicts of Interest” and “Fees and Expenses,” and such description is incorporated herein by reference from the Prospectus.
 
Commodity Interests
 
Grant Park conducts its business in one industry segment which trades in U.S. and foreign commodity interests.  The commodities underlying commodity interest contracts may include security indices, interest rates, credit, foreign currencies, events (such as weather, real estate, carbon or predictions)  or physical commodities (such as agricultural products, energy products or metals).  Grant Park does not engage in sales of goods and services.  A brief description of Grant Park’s main types of investments is set forth below.
 
 
A futures contract is a standardized, exchange-traded contract to buy or sell a commodity for a specified price in the future.
 
 
A forward contract is a bilaterally-negotiated contract to buy or sell something (i.e., the underlier) at a specified price in the future.
 
 
An option on a futures contract, forward contract, swap or a commodity gives the buyer of the option the right, but not the obligation, to buy or sell a futures contract, forward contract or a commodity, as applicable, at a specified price on or before a specified date.  Options on futures contracts are standardized contracts traded on an exchange, while options on forward contracts and commodities, referred to collectively in this prospectus as OTC options, generally are bilaterally-negotiated, principal-to-principal contracts not traded on an exchange.
 
 
A swap is a bilaterally-negotiated agreement between two parties to exchange cash flows based upon an asset, rate or something else (i.e., the underlier).
 
 
 
 
A spot contract is a cash market transaction in which the buyer and seller agree to the immediate purchase and sale of a commodity, usually with a two-day settlement.  Spot contracts are not uniform and not exchange-traded. [Note: Securities, for example, are spot contracts traded on an exchange.]
 
 
A security futures contract is a futures contract on a single equity security or a narrow-based security index.  Security futures contracts are relatively new financial instruments, having only begun trading in the United States in November 2002.  Security futures contracts are exchange-traded.  A trading advisor generally may choose to trade security futures contracts for Grant Park’s account if the trading advisor determines that the market for the particular contract is sufficiently liquid and that trading the contract is consistent with the trading advisor’s trading program.
 
ITEM 1A.       RISK FACTORS
 
Grant Park’s performance, trading activities, operating results, financial condition and net asset value could be negatively impacted by a number of risks and uncertainties, including those outlined below, which may affect the value of your investment in Grant Park.  The following list of risk factors should not be considered a comprehensive list of all potential risks and uncertainties relating to Grant Park.  You should also refer to the other information included in this Form 10-K, including our consolidated financial statements and related notes for the year ended December 31, 2009, and information incorporated by reference herein, including the risks described in the Prospectus under the section captioned “Risk Factors.”
 
Several risk factors include, but are not limited to:
 
 
An investment in Grant Park is speculative and leveraged; as a result of this leverage, small movements in the price of a commodity interest may cause you to incur significant losses.
 
 
Performance can be volatile; rapid and substantial fluctuations in commodity interest prices could cause Grant Park’s trading positions to suddenly turn unprofitable and cause you to lose all or substantially all of your investment in Grant Park.
 
 
Trading in the futures markets, from a macro perspective, results in a zero-sum economic outcome, in that every gain is an offset by an equal and opposite loss.  Grant Park therefore bears the risk that, on every trade, it will incur the loss.
 
 
Grant Park’s past performance is not necessarily indicative of future performance.
 
 
Grant Park’s use of multiple trading advisors may result in Grant Park taking offsetting trading positions, thereby incurring additional expenses with no net change in holdings.
 
 
No secondary market exists for the units; redemptions of the units are prohibited during the first three months following an initial and each subsequent investment and, in the case of the Global 3 Class units, redemptions prior to the first anniversary date of an investment will result in early redemption fees.
 
 
Grant Park may not always be able to liquidate its commodity interest positions at the desired price.  It is difficult to execute a trade at a specific price when there is a relatively small volume of buy and sell orders in a market.  Unexpected market illiquidity may cause major losses to investors at any time or from time to time.
 
 
 
 
OTC transactions are subject to little, if any, regulation and may be subject to the risk of counterparty default.  The lack of regulation in these markets could expose Grant Park in certain circumstances to significant losses in the event of trading abuses or financial failure by participants.
 
 
Based largely on the financial market turmoil of 2007 – 2009, the commodity interest markets are the subject of unprecedented regulatory scrutiny, from both a national and international perspective.  Certain such proposals could adversely impact Grant Park’s ability to trade speculatively and implement its trading strategies.
 
 
The clearing brokers could fail and have been subject to disciplinary action.
 
 
Grant Park pays substantial fees and expenses, including fees paid to its trading advisors, that must be offset by trading profits and interest income.
 
 
A substantial portion of the trades executed for Grant Park takes place outside of the U.S., much of which exposes Grant Park to substantial credit, regulatory and foreign exchange risk.
 
 
You will have no right to participate in the management of Grant Park.
 
 
The structure and operation of Grant Park involve several conflicts of interest.
 
 
Based largely on the financial market turmoil of 2007-09, the commodity interest markets are the subject of unprecedented regulatory scrutiny, from both a national and international perspective and certain proposals could adversely impact Grant Park’s ability to trade speculatively and implement its trading strategies.
 
ITEM 1B.       UNRESOLVED STAFF COMMENTS
 
None.
 
PROPERTIES
 
Grant Park does not own or use any physical properties in the conduct of its business.  Its assets currently consist of U.S. and international futures and forward contracts and other interests in commodities, including options contracts on futures, forwards and commodities, spot contracts and security futures contracts.  Grant Park’s main office is located at 626 West Jackson Boulevard, Suite 600, Chicago, Illinois 60661.
 
LEGAL PROCEEDINGS
 
Grant Park is not a party to any pending material legal proceedings.
 
SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
 
None.
 
 
 
MARKET FOR REGISTRANT’S COMMON EQUITY, RELATED STOCKHOLDER MATTERS AND ISSUER PURCHASES OF EQUITY SECURITIES
 
There is no established trading market for any of Grant Park’s units.  All units may be transferred or redeemed subject to the conditions imposed by Grant Park’s Third Amended and Restated Limited Partnership Agreement (the “Partnership Agreement”).  As of
 
 
 
January 31, 2010 there were 430 Class A unit holders, 21,260 Class B unit holders, 145 Legacy 1 Class unit holders, 124 Legacy 2 Class unit holders, 191 Global 1 Class unit holders, 308 Global 2 Class unit holders, 1,704 Global 3 Class unit holders and 50,852.96 Class A units, 567,702.06 Class B units, 5,339.78 Legacy 1 Class units, 4,574.45 Legacy 2 Class units, 4,948,13 Global 1 Class units, 10,758.19 Global 2 Class units and 53,062.08 Global 3 Class units outstanding.
 
Dearborn Capital Management L.L.C. has sole discretion in determining what distributions, if any, Grant Park will make to its unit holders.  Grant Park has not made any distributions as of the date hereof.
 
Class A and Class B units are no longer being offered.  Legacy 1 Class, Legacy 2 Class, Global 1 Class, Global 2 Class and Global 3 Class units are being offered on a continuous basis at subsequent closing dates at a price equal to the net asset value per unit as of the close of business on each applicable closing date, which is the last business day of each month. Sales of the Legacy 1 Class, Legacy 2 Class, Global 1 Class, Global 2 Class, Global 3 Class, units during the fourth quarter 2009 were as follows:
 
Units
 
October
   
November
   
December
 
Legacy 1 Class Units
                 
Units sold
    740.41       479.22       365.76  
Net asset value
  $ 982.95     $ 959.12     $ 997.91  
Legacy 2 Class Units
                       
Units sold
    493.33       627.38       579.84  
Net asset value
  $ 981.95     $ 957.95     $ 996.61  
Global 1 Class Units
                       
Units sold
    334.40       600.97       318.21  
Net asset value
  $ 994.74     $ 962.74     $ 998.85  
Global 2 Class Units
                       
Units sold
    1,189.72       1,771.11       1,434.98  
Net asset value
  $ 992.54     $ 960.41     $ 995.05  
Global 3 Class Units
                       
Units sold
    6,985.09       5,433.41       8,496.19  
Net asset value
  $ 982.22     $ 949.03     $ 982.47  

The proceeds of the offering are deposited in Grant Park’s bank and brokerage accounts for the purpose of engaging in trading activities in accordance with Grant Park’s trading policies and its trading advisors’ respective trading strategies.
 


Issuer Purchases of Equity Securities
 
The following table provides information regarding the total Class A, Class B, Legacy 1 Class, Legacy 2 Class, Global 1 Class, Global 2 Class and Global 3 Class units redeemed by Grant Park during the three months ended December 31, 2009.
 
Period
 
Total Number
of Class A
Units
Redeemed
   
Weighted
Average Price
Paid per Unit
   
Total Number
of Class B
Units
Redeemed
   
Weighted
Average Price
Paid per Unit
   
Total Number
of Legacy 1
Class Units
Redeemed
   
Weighted
Average Price
Paid per Unit
   
Total Number
of Legacy 2
Class Units
Redeemed
   
Weighted
Average Price
Paid per Unit
 
10/01/09 through 10/31/09
    249.36     $ 1,417.80       2,800.24     $ 1,219.33       10.43     $ 959.12       65.02     $ 957.95  
11/01/09 through 11/30/09
    491.92     $ 1,477.91       2,963.33     $ 1,270.43           $ 997.91       106.72     $ 996.61  
12/01/09 through 12/31/09
    557.51     $ 1,425.20       3,932.50     $ 1,224.35           $ 966.12       0.26     $ 964.54  
Total
    1,298.79     $ 1,443.74       9,696.07     $ 1,236.98       10.43     $ 959.12       172.00     $ 981.95  
 
Period
 
Total
Number of
Global 1
Class Units
Redeemed
   
Weighted
Average
Price Paid
per Unit
   
Total
Number of
Global 2
Class Units
Redeemed
   
Weighted
Average
Price Paid
per Unit
   
Total
Number of
Global 3
Class Units
Redeemed
   
Weighted
Average
Price Paid
per Unit
   
Total
Number of
Units
Redeemed as
Part of
Publicly
Announced
Plans or
Programs(1)
   
Maximum
Number of
Units that
May Yet Be
Redeemed
Under the
Plans/
Program(1)
 
10/01/09 through 10/31/09
    11.89     $ 962.74           $ 960.41           $ 949.03       3,136.93         (2)
11/01/09 through 11/30/09
    75.09     $ 998.85           $ 995.05       15.02     $ 982.47       3,652.08         (2)
12/01/09 through 12/31/09
    71.54     $ 956.82       39.15     $ 953.60       33.82     $ 939.64       4,634.78         (2)
Total
    158.52     $ 977.17       39.15     $ 953.60       48.84     $ 952.81       11,423.79         (2)
_______________
(1)
As previously disclosed, pursuant to the Partnership Agreement, investors in Grant Park may redeem their units for an amount equal to the net asset value per unit at the close of business on the last business day of any calendar month if at least 10 days prior to the redemption date, or at an earlier date if required by the investor’s selling agent, the general partner receives a written request for redemption from the investor.  Generally, redemptions are paid in the month subsequent to the month requested.  The general partner may permit earlier redemptions in its discretion.
(2)
Not determinable.
 
 

SELECTED FINANCIAL DATA
 
The selected financial information for the years ended December 31, 2009, 2008, 2007, 2006 and 2005 is taken from the financial statements of Grant Park audited by McGladrey & Pullen, LLP, Grant Park’s independent registered public accountant.  You should read this information in conjunction with “Management’s Discussion and Analysis of Financial Condition and Results of Operations” and our financial statements and the related notes included elsewhere in this report.  Results from past periods are not necessarily indicative of results that may be expected for any future period.
 
   
For the Year Ended December 31,
 
   
2009
   
2008
   
2007
   
2006
   
2005
 
Total assets
  $ 857,602,108     $ 684,995,026     $ 467,212,443     $ 407,930,032     $ 307,245,733  
Total partners’ capital
    831,270,498       643,595,209       455,685,796       382,252,995       289,897,819  
Net gains (losses) from trading
    (29,071,663 )     127,520,875       57,385,145       37,071,404       2,673,678  
Income allocated from Dearborn Select Master Fund, SPC – Winton Segregated Portfolio
          16,714,939       9,417,448              
Loss allocated from
   GP 1, LLC*
    (2,740,621 )                        
Interest income
    6,395,208       12,681,834       17,475,172       16,093,168       8,436,400  
Total expenses
    61,253,534       60,900,881       33,855,319       26,850,877       21,466,551  
Net income (loss)
    (86,670,610 )     96,016,767       50,422,446       26,313,695       (10,356,473 )
Net income (loss) per General Partner & Limited Partner:
                                       
Class A Unit
    (145.00 )     263.77       148.80       98.75       (36.11 )
Class B Unit
    (134.12 )     223.70       125.29       82.71       (35.34 )
Legacy 1 Class Unit**
    (33.88 )     N/A       N/A       N/A       N/A  
Legacy 2 Class Unit**
    (35.46 )     N/A       N/A       N/A       N/A  
Global 1 Class Unit**
    (43.18 )     N/A       N/A       N/A       N/A  
Global 2 Class Unit**
    (46.40 )     N/A       N/A       N/A       N/A  
Global 3 Class Unit**
    (60.36 )     N/A       N/A       N/A       N/A  
Increase (decrease) in net asset value per General Partner & Limited Partner:
                                       
Class A Unit
    (145.00 )     260.73       146.87       97.03       (37.96 )
Class B Unit
    (134.12 )     215.79       120.26       78.14       (41.89 )
Legacy 1 Class Unit
    (33.88 )     N/A       N/A       N/A       N/A  
Legacy 2 Class Unit
    (35.46 )     N/A       N/A       N/A       N/A  
Global 1 Class Unit
    (43.18 )     N/A       N/A       N/A       N/A  
Global 2 Class Unit
    (46.40 )     N/A       N/A       N/A       N/A  
Global 3 Class Unit
    (60.36 )     N/A       N/A       N/A       N/A  
_____________
*
Loss allocated from GP 1, LLC is only for first quarter of 2009.
**
Legacy 1 Class, Legacy 2 Class, Global 1 Class, Global 2 Class and Global 3 Class units began trading on April 1, 2009.  The financial results are based on weighted average number of units outstanding during the period.
 
 
Supplementary Quarterly Financial Information
 
The following summarized quarterly financial information presents Grant Park’s results of operations for the three-month periods ended March 31, June 30, September 30, and December 31, 2009 and 2008.
 
   For the quarters ended June 30, 2009 and September 30, 2009, classes of Grant Park which had a controlling or majority equity interest in a Trading Company were consolidated by two groups of classes (A, B and Legacy class units (“LAB”) and Global class units).  At that time, management believed that such presentation was the most meaningful presentation to an investor in Grant Park.  Subsequent to filing the September 30, 2009 Form 10-Q, Grant Park considered published guidance, including the recently issued final ruling released by the Commodity Futures Trading Commission effective December 9, 2009, 17 CFT Part 4 Commodity Pool Operator Periodic Account Statements and Annual Financial Reports, which distinguished between series and multi-class funds with a limitation on liability among such different series or classes of a fund compared to series and multi-class funds that are not structured with a limitation on liability among the different series or classes.  The ruling states that the periodic account statements and annual report of a fund structured without a limitation on liability among its different series or classes should include information for the fund as a whole as well as for each series or class.  Grant Park’s two groups of classes of units (LAB and Global units) were not intended to separate or segregate the assets and liabilities of one class from another.  Accordingly, pursuant to this new ruling, Grant Park has presented consolidated financial statements for the fund as a whole as of December 31, 2009 and for the year then ended.
 
 
   
1st Quarter
2009
   
2nd Quarter
2009
   
3rd Quarter
2009
   
4th Quarter
2009
 
   
(unaudited)
   
(unaudited)
   
(unaudited)
   
(unaudited)
 
Gains (losses) from trading
  $ (28,802,751 )   $ (16,390,322 )   $ 22,589,266     $ (6,467,856 )
Net income (loss)
    (42,783,464 )     (31,491,967 )     7,473,826       (19,869,005 )
Net income (loss) per General Partner & Limited Partner:
                               
Class A Unit**
    (77.13 )     (52.58 )     15.03       (30.32 )
Class B Unit**
    (69.49 )     (47.43 )     10.91       (28.11 )
Legacy 1 Class Unit**
    N/A       (30.54 )     13.49       (16.83 )
Legacy 2 Class Unit**
    N/A       (31.36 )     13.31       (17.41 )
Global 1 Class Unit**
    N/A       (15.31 )     10.05       (37.92 )
Global 2 Class Unit**
    N/A       (16.27 )     8.81       (38.94 )
Global 3 Class Unit**
    N/A       (22.25 )     4.47       (42.58 )
Increase (decrease) in net asset value per General Partner & Limited Partner:
                               
Class A Unit
    (77.13 )     (52.58 )     15.03       (30.32 )
Class B Unit
    (69.49 )     (47.43 )     10.91       (28.11 )
Legacy 1 Class Unit
    N/A       (30.54 )     13.49       (16.83 )
Legacy 2 Class Unit
    N/A       (31.36 )     13.31       (17.41 )
Global 1 Class Unit
    N/A       (15.31 )     10.05       (37.92 )
Global 2 Class Unit
    N/A       (16.27 )     8.81       (38.94 )
Global 3 Class Unit
    N/A       (22.25 )     4.47       (42.58 )
Net asset value per General Partner & Limited Partner:
                               
Class A Unit
    1,493.07       1,440.49       1,455.52       1,425.20  
Class B Unit
    1,288.98       1,241.55       1,252.46       1,224.35  
Legacy 1 Class Unit
    N/A       969.46       982.95       966.12  
Legacy 2 Class Unit
    N/A       968.64       981.95       964.54  
Global 1 Class Unit
    N/A       984.69       994.74       956.82  
Global 2 Class Unit
    N/A       983.73       992.54       953.60  
Global 3 Class Unit
    N/A       977.75       982.22       939.64  
                                 




   
1st Quarter
2008
   
2nd Quarter
2008
   
3rd Quarter
2008
   
4th Quarter
2008
 
   
(unaudited)
   
(unaudited)
   
(unaudited)
   
(unaudited)
 
Gains (losses) from trading
  $ 57,815,049     $ 33,745,709     $ (19,860,656 )   $ 55,820,773  
Net income (loss)
    53,627,759       27,202,378       (35,815,585 )     51,002,215  
Net income (loss) per General Partner & Class A Unit Limited Partner **
    153.78       75.39       (93.39 )     128.01  
Net income (loss) per Class B Unit Limited Partner **
    132.70       64.11       (82.55 )     109.43  
Increase (decrease) in net asset value per General Partner & Class A Unit Limited Partner
    153.03       74.62       (94.13 )     127.21  
Increase (decrease) in net asset value per Class B Unit Limited Partner
    130.79       62.10       (84.47 )     107.37  
Net asset value per General Partner & Class A Unit Limited Partner
    1,462.50       1,537.12       1,442.99       1,570.20  
Net asset value per Class B Unit Limited Partner
    1,273.47       1,335.57       1,251.10       1,358.47  
_____________
**
Based on weighted average number of units outstanding during the period.
 
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
 
Introduction
 
Grant Park is a multi-advisor commodity pool organized to pool assets of its investors for purpose of trading in the U.S. and international spot and derivatives markets for currencies, interest rates, stock indices, agricultural and energy products, precious and base metals and other commodities and underliers.  Grant Park has been in continuous operation since it commenced trading on January 1, 1989.  Grant Park’s general partner, commodity pool operator and sponsor is Dearborn Capital Management, L.L.C., an Illinois limited liability company.  The managing member of Dearborn Capital Management, L.L.C. is Dearborn Capital Management, Ltd., an Illinois corporation whose sole shareholder is David M. Kavanagh.
 
Reorganization of Grant Park
 
As a result of recent changes in the rules and regulations of the Financial Industry Regulatory Authority (“FINRA”) affecting commodity pools, the general partner, has made certain changes to the organization of Grant Park, including the creation of additional classes of units, and has terminated the offering and sale of any new Class A and Class B units as of April 1, 2009.
 
    As part of the reorganization, Grant Park continues to invest through different commodity trading advisors retained by the general partner.  However, effective April 1, 2009, instead of each trading advisor maintaining a separate account in the name of Grant Park, as was historically the case, the assets of Grant Park are invested in various trading companies, each of which is organized as a limited liability company.  Each trading company will then allocate its assets to one of the commodity trading advisors retained by the general partner.
 
Additionally, a separate cash management multiple member limited liability company was created to collectively manage and invest excess cash not required to be held at the clearing brokers for
 
 
 
each individual trading advisor.  Effectively, this new structure segregates and isolates one trading advisor from another, reducing cross liabilities of the trading advisors.  The reorganization was completed at no additional cost to the limited partners.
 
Through December 31, 2008 a portion of Grant Park’s net assets was allocated to the GP Class.  Dearborn Select was incorporated under the laws of the Cayman Islands on April 7, 2006 and is a private investment fund organized as a segregated portfolio company with limited liability.  The GP Class allocated the assets invested by Grant Park to Winton through one or more managed accounts, traded pursuant to Winton’s Diversified Program.  Grant Park owned all of the outstanding Class GP units of the GP Class.  The general partner of Grant Park was also the Investment Manager of Dearborn Select.  As of December 31, 2008, the investment in the GP Class was redeemed and is shown on the statement of financial condition as a redemption receivable.  Effective January 1, 2009, the portion of Grant Park’s net assets allocated to the GP Class was reallocated to one of Grant Park’s trading companies, GP 1, a Delaware limited liability company.  GP 1's assets allocated to Winton are traded pursuant to Winton’s Diversified Program.  There have been no changes to the existing clearing broker arrangements/brokerage charge and no material changes to the other fees and expenses allocated to Grant Park as a result of this reallocation.
 
Effective April 1, 2009, in addition to the assets allocated by Grant Park to GP 1, Grant Park allocates assets to each of its following subsidiary limited liability trading companies:  GP 3, GP 4, GP 5, GP 6, GP 7, GP 8, GP 9, GP 10 and GP 11.  Assets of Grant Park will not be invested in GP 12 until the first quarter of 2010 or in GP 14 until the second quarter of 2010.
 
Grant Park invests through the Trading Companies with independent professional commodity trading advisors retained by the general partner.  Rabar Market Research, Inc., EMC Capital Management, Inc., Eckhardt Trading Company, Graham Capital Management, L.P., Winton Capital Management Limited, Welton Investment Corporation, Global Advisors Jersey Limited, Transtrend B.V., Quantitative Investment Management LLC, and Revolution Capital Management, LLC, serve as Grant Park’s commodity trading advisors.  Effective January 1, 2010, Sunrise Capital Partners, LLC, through its Trading Company, began trading on behalf of Grant Park and will serve as a commodity trading advisor with respect to all outstanding classes of Grant Park’s units.  Sunrise will be allocated less than 10 percent of Grant Park’s net assets to manage.  Each of the trading advisors is registered as a commodity trading advisor under the Commodity Exchange Act and is a member of the NFA.  As of December 31, 2009, the general partner allocated Grant Park’s net assets through the respective Trading Companies among its core trading advisors EMC, Winton and Welton and non-core trading advisors Rabar, ETC, Graham, Global Advisors, Transtrend, QIM and RCM.  No more than twenty percent of Grant Park’s assets are allocated to any one Trading Company and, in turn, any one trading advisor.  The general partner may terminate or replace the trading advisors or retain additional trading advisors in its sole discretion.
 
 
 
Critical Accounting Policies
 
Grant Park’s most significant accounting policy is the valuation of its assets invested in other commodity investment pools and in U.S. and international futures and forward contracts, options contracts and other interests in commodities.  The substantial majority of these investments are exchange-traded contracts, valued based upon exchange settlement prices.  The remainder of its investments are non-exchange-traded contracts with valuation of those investments based on third-party quoted dealer values on the Interbank market.  With the valuation of the investments easily obtained, there is little or no judgment or uncertainty involved in the valuation of investments, and accordingly, it is unlikely that materially different amounts would be reported under different conditions using different but reasonably plausible assumptions.
 
The preparation of financial statements in conformity with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the reporting period.  Actual results could differ from those estimates.  Grant Park’s significant accounting policies are described in detail in Note 1 of the financial statements.
 
Effective January 1, 2009, Grant Park has changed its accounting policy with respect to organization and offering costs.  Prior to that date, Grant Park charged organization and offering costs directly to partners’ capital.  Grant Park charges organization and offering costs to expense from operations as opposed to taking a direct charge to partners’ capital.  This change was done on a prospective basis starting January 1, 2009.  The effect of the change on net income (loss) is an increase in expense from operations of $2,839,077 and no change to partners’ capital for the twelve months ended December 31, 2009.  There is no cumulative effect of the change on the net asset value of Grant Park.
 
Valuation of Financial Instruments
 
Grant Park follows the provisions of FASB ASC 820, Fair Value Measurements and Disclosures.  FASB ASC 820 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurement and also emphasizes that fair value is a market-based measurement, not an entity-specific measurement.  FASB ASC 820 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date and sets out a fair value hierarchy.  The 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).  Inputs are broadly defined under FASB ASC 820 as assumptions market participants would use in pricing an asset or liability. The three levels of the fair value hierarchy under FASB ASC 820 are described below:
 
Level 1.  Unadjusted quoted prices in active markets for identical assets or liabilities that the reporting entity has the ability to access at the measurement date.
 
Level 2.  Inputs other than quoted prices within Level 1 that are observable for the asset or liability, either directly or indirectly.  A significant adjustment to a Level 2 input could result in the Level 2 measurement becoming a Level 3 measurement.
 
Level 3.  Inputs are unobservable for the asset or liability.
 
The following section describes the valuation techniques used by Grant Park to measure different financial instruments at fair value and includes the level within the fair value hierarchy in which the financial instrument is categorized.
 
 
 
13

 
Fair value of exchange-traded contracts is based upon exchange settlement prices.  Fair value of non-exchange-traded contracts is based on third party quoted dealer values on the Interbank market.  U.S. Government securities, Government-sponsored enterprises and commercial paper are stated at cost plus accrued interest, which approximates fair value based on quoted market prices in an active market.  These financial instruments are classified in Level 1 of the fair value hierarchy.
 
Grant Park values the certificates of deposit at face value plus accrued interest, which approximates fair value, and these financial instruments are classified in Level 2 of the fair value hierarchy.
 
The following table presents Grant Park’s fair value hierarchy for those assets and liabilities measured at fair value on a recurring basis as of December 31, 2009:
 
Assets
 
Level 1
   
Level 2
   
Level 3
   
Total
 
Equity in brokers’ trading accounts
                       
U.S. Government securities
  $ 89,970,252     $     $     $ 89,970,252  
Futures contracts
    13,472,467                   13,472,467  
Forward contracts
    542,054                   542,054  
Options on futures contracts
    (5,130 )                 (5,130 )
Cash and cash equivalents
                               
Certificates of deposit
           
20,042,688
           
20,042,688
 
Commercial paper
   
6,761,718
                 
6,761,718
 
Certificates of deposit
          15,755,711             15,755,711  
Government-sponsored enterprises
    596,671,609                   596,671,609  
U.S. Government securities
    74,755,744                   74,755,744  
                                 

The following table presents Grant Park’s fair value hierarchy for those assets and liabilities measured at fair value on a recurring basis as of December 31, 2008:

Assets
 
Level 1
   
Level 2
   
Level 3
   
Total
 
Equity in brokers’ trading accounts
                       
U.S. Government securities
  $ 29,215,898     $     $     $ 29,215,898  
Government-sponsored enterprises
    15,695,417                   15,695,417  
Futures contracts
    6,603,439                   6,603,439  
Forward contracts
    (1,393,208 )                 (1,393,208 )
Cash and cash equivalents
                               
Certificates of deposit
          40,655,321             40,655,321  
Commercial paper
    89,383,455                   89,383,455  
Government-sponsored enterprises
    4,993,389                   4,993,389  
Certificates of deposit
          28,525,736             28,525,736  
Commercial paper
    9,979,833                   9,979,833  
Government-sponsored enterprises
    311,078,226                   311,078,226  
 
 
 
Results of Operations
 
Grant Park’s returns, which are Grant Park’s trading gains plus interest income less brokerage fees, performance fees, operating costs and offering costs borne by Grant Park, for the years ended December 31, 2009, 2008 and 2007 are set forth in the table below:
 
 
   
2009
   
2008
   
2007
 
Total return – Class A units
    (9.2 )%     19.9 %     12.6 %
Total return – Class B units
    (9.9 )%     18.9 %     11.8 %
Total return – Legacy 1 Class units*
    (3.4 )%            
Total return – Legacy 2 Class units*
    (3.6 )%            
Total return – Global 1 Class units*
    (4.3 )%            
Total return – Global 2 Class units*
    (4.6 )%            
Total return – Global 3 Class units*
    (6.0 )%            
* Legacy 1 Class, Legacy 2 Class, Global 1 Class, Global 2 Class and Global 3 Class units began trading April 1, 2009, and accordingly, the total return represents the return from April 1, 2009 through December 31, 2009.
                       

Grant Park’s total net asset value at December 31, 2009, 2008 and 2007 was $831.3 million, $643.6 million, $455.7 million, respectively.  Results from past periods are not indicative of results that may be expected for any future period.
 
The table below sets forth Grant Park’s trading gains or losses which include the investment in the GP Class by sector for each of the years ended December 31, 2009, 2008 and 2007.
 
   
% Gain (Loss)
 
   
Year Ended December 31,
 
Sector
 
2009
   
2008
   
2007
 
Interest Rates
    (4.1 )%     8.6 %     7.2 %
Currencies
    (0.7 )     0.1       5.7  
Stock Indices
    3.6       5.6       (2.3 )
Energy
    (3.2 )     8.4       5.0  
Agriculturals
          3.0       4.1  
Meats
          0.3       (0.6 )
Metals
    2.5       3.0       0.7  
Softs
    (0.1 )     1.5       (1.8 )
Total
    (2.0 )%     30.5 %     18.0 %

Year ended December 31, 2009
 
Throughout 2009, opportunities for profitable trading in the futures markets were difficult to identify.  Investors constantly shifted their risk appetite, thereby preventing the development of sustainable price trends throughout the year.
 
During the first quarter of 2009, Grant Park’s traders incurred trading losses across various sectors.  Prices in grains markets rose following better-than-expected economic indicators for increased future demand for grains.  Additionally, conflicts between soybean farmers and the Argentine government added to the market rally.  These factors moved prices against Grant Park’s short grains positions.  The U.S. government’s attempts to use quantitative easing to prompt a recovery in the financial markets caused an oversupply of debt which moved the market against Grant Park’s long debt positions.  This governmental action coincided with a rally in the equity markets and created losses against Grant Park’s
 
 
 
short positions.   The rising equity prices, in turn, served as a bullish indicator for the metals markets and drove prices in the base metals sector up and contrary to Grant Park’s short positions.  The energy sector was profitable for Grant Park in the first quarter.  Increased natural gas inventories caused by low industrial demand in 2008 pushed prices lower which benefitted Grant Park’s short positions.

During the second quarter of 2009, the downtrend in the fixed-income markets continued again moving against Grant Park’s long positions.  The European Central Bank cut interest rates by 25 basis points.  This move sparked risk appetite amongst investors and prompted liquidations in the debt markets.  Renewed hopes of economic recovery caused share prices to rise across the equity markets and were supported by better-than-expected earnings reports from key European financial firms.  Consequently, Grant Park’s long positions were profitable.  In the currency markets, strong earnings results from Credit Suisse strengthened the Swiss franc and moved prices against Grant Park’s short Swiss franc positions.  In Japan, an unexpected trade surplus bode well for the Japanese yen, moving it against short positions.    During May, performance turned positive as Grant Park posted profits for the month.  International investors showed increased risk appetite and drove greater demand for higher-yielding currencies, benefitting short dollar positions.  Investors who had remained on the investing sidelines reentered the equity markets based on confidence the Global markets were beginning to recover.  This activity drove equity prices up, alongside Grant Park’s long positions.  Conversely, Grant Park experienced minor setbacks in the fixed-income markets as investors liquidated debt to establish positions in riskier assets.  Optimism towards the economy continued into June and Grant Park’s short debt positions met with setbacks.  In effect, the positive sentiment in the equity sector caused liquidations in the fixed-income sector and Grant Park’s fixed-income positions lost value.  This was evident in the losses incurred in the long positions Grant Park held in the short-term interest rates markets.
 
During the third quarter of 2009, the majority of losses early in the quarter came predominantly from the crude oil markets.  The intra month volatility moved against Grant Park’s long positions.  The release of an Energy Information Administration report showing large U.S. crude oil inventories was a major factor that drove prices lower.  Grant Park’s short positions in the natural gas markets were able to partially offset losses in the energy sector during the quarter.  Natural gas prices fell during this period because of news of increased U.S. energy supplies.  In August, Grant Park profited on another round of renewed investor appetite as Global equity markets rallied alongside long positions.  Firm economic data, including strong housing starts and durable goods orders, lifted share prices in North America and Europe.  Grant Park’s long positions in the sugar markets were another major contributor to performance in August.  Weak sugar supply from Brazil coupled with strong demand from Southeast Asia was a consistent theme throughout 2009.  Optimism concerning the Global economy continued throughout August and helped Grant Park finish the quarter on a positive note.  Grant Park’s short U.S. dollar positions earned profits as investors sought higher-yielding currencies, including the Australian and New Zealand dollars, in a shift away from risk-aversion.  In the energy markets, forecasts for cold weather in the U.S. and improving industrial production data caused prices to rise in the natural gas markets.  This information reversed the downward price trend and moved the markets against Grant Park’s short positions.

During the fourth quarter of 2009, falling prices in the debt markets moved against Grant Park’s long positions in the fixed-income markets.  U.S. Federal Reserve Chairman Ben Bernanke stated any interest rate changes would come after 2009 and weighed heavily on debt prices.  A sharp reversal in the equities markets occurred during the last week in October and weighed on Grant Park’s performance.  In November, the bulk of Grant Park’s profits came from long positions in the gold markets.  Speculators drove gold prices to all-time highs in reaction to a weakening U.S. dollar and in pursuit of a hedge against inflation concerns.  The gold rally was further supported when several nations announced they would increase gold holdings in order to hedge their dollar-based assets.  Grant Park also profited from its long positions in the fixed-income markets.  Concerns the U.S. government might halt stimulus initiatives
 
 
 
increased demand for more risk-averse debt instruments.  At year-end, the fixed-income markets underwent another sharp price reversal and moved against Grant Park’s long positions.  Rallies in the equity markets, coupled with optimistic unemployment reports, improved investor confidence and prompted liquidations in the U.S. and European fixed-income markets.  Concerns over potential defaults in the Dubai debt markets also had an adverse affect on Global fixed-income products.  Partially offsetting setbacks were positions in the equity and the base metals markets.  The portfolio profited from strong up-trends in major U.S. and European benchmark indices.  Strong share prices directly led to gains on Grant Park’s long base metals positions as strength in the equity markets improved industrial demand forecasts.
 
For the year ended December 31, 2009, Grant Park had a negative return of 9.2% for the Class A units, a negative return of 9.9% for the Class B units, a negative return of 3.4% for the Legacy 1 Class units, a negative return of 3.6% for the Legacy 2 Class units, a negative return of 4.3% for the Global 1 Class units, a negative return of 4.6% for the Global 2 Class units, and a negative return of 6.0% for the Global 3 Class units.  On a combined basis prior to expenses, approximately 2.0% resulted from trading losses which was offset by approximately 0.8% of interest income.  These trading losses were further increased by approximately 8.7% in combined total brokerage fees, performance fees and offering costs borne by Grant Park.  An analysis of the 2.0% trading losses by sector is as follows:

Sector
 
% Gain (Loss)
 
Interest Rates
    (4.1 )%
Currencies
    (0.7 )
Stock Indices
    3.6  
Energy
    (3.2 )
Agriculturals
     
Meats
     
Metals
    2.5  
Softs
    (0.1 )
Miscellaneous
     
Total
    (2.0 )%

Year ended December 31, 2008
 
Grant Park began 2008 on a positive note.  The ongoing effect of the 2007 credit crisis played a large role in the portfolio’s positive performance in the first quarter.  Fueled by uncertainty surrounding the future of the U.S. economy and a 150 basis point interest rate cut, the U.S. dollar weakened steadily against many of its major counterparts.  Short dollar positions directly benefited from the decline as the euro, British pound, and New Zealand dollar all rose steadily against the U.S. dollar.  A weak dollar also served Grant Park’s commodity positions well, as the devalued currency drove metals prices upwards alongside long positions.  Speculators bid up the gold markets as a hedge against expected inflation increases resulting in profits for long positions.  Long grains positions were among the top performers throughout the quarter.  U.S. Department of Agriculture (“USDA”) reports announcing lower than expected grain inventory levels, combined with news from China that weather conditions had hurt the farming regions, propelled a strong uptrend in the grains markets.  An abundance of poor economic data put steady pressure on the equity markets benefiting the portfolio’s short positions.  The effects of slumping home sales, reduced industrial production, and weak consumer confidence pushed Global share prices lower.  In attempts to shore up the faltering Global economy the U.S. Federal Reserve, as well as other major central banks, began commenting on the continued need to ease interest rates in the near future.  Speculation of interest rate cuts sent prices on fixed income products upwards, resulting in profits for long positions.
 
 
 
The portfolio started out the second quarter quietly with a slight loss in April.  Gains in the energy markets were overcome by setbacks in the fixed income and equity indices markets.  After reaping the benefits of declining stock prices early in 2008, a shift in investor sentiment resulted in losses for Grant Park’s short stock indices positions.  Capital infusions into major financial institutions like Lehman Brothers and UBS ignited a spark in the equity markets resulting in a steady rally across the sector.  A firming in the U.S. equity markets drove up the U.S. dollar which put pressure on the metals and agricultural markets adding to setbacks.  Long positions in the copper and corn markets were negatively impacted as technical selling in response to a strong dollar drove down prices.  As April ended, performance for the portfolio began to change for the better.  The bulk of gains came from long positions in the crude oil markets where supply constraints stemming from violence in Nigeria and a hawkish OPEC sent prices steadily upwards.  In the fixed income sector, strong economic data out of the Eurozone supported a bullish outlook for the economy, causing investors to liquidate more risk-averse fixed income positions.  The reduced demand for fixed income products pushed prices lower resulting in profits for the portfolio’s short positions.  Long grains positions further added to gains, as bad weather swept across the Midwestern U.S. rallied prices.  Vicious rainstorms left America’s key farming regions under as much as 6 inches of water fueling a bearish forecast for 2008’s corn and soybean crop.  Positioned on the short side of the equity indices markets, Grant Park benefited from weak share prices.  Poor earnings reports from leading financial institutions coupled with waning consumer confidence put pressure on the major indices forcing them sharply lower.

Market shifts in the third quarter of 2008 proved to be trying for performance.  A reversal in the commodities markets, headlined by a sharp decline in the price of crude oil, moved against Grant Park’s long positions.  Contrary to forecasts, Hurricane Bertha narrowly missed key energy producing facilities in the Gulf of Mexico resulting in a massive unwinding of speculative long positions pushing prices lower resulting in losses for the portfolio.  After reaching all-time highs early in the year, prices across the agricultural sector slid sharply due to improved weather patterns in the Midwest.  Speculation of possible government intervention in the futures markets also weighed on commodity prices.  Fearing that intervention would adversely affect commodities holdings, major institutions began massive liquidations, especially in the gold markets, driving prices lower against positions.  September marked a positive shift in performance for the portfolio.  Short positions in the equity markets posted gains as the failure and government takeover of mortgage giants Fannie Mae and Freddie Mac put substantial pressure on the share markets.  The announcement of the creation of the $700 billion Troubled Asset Relief Program (TARP) and the failure of Washington Mutual and Lehman Brothers drove the equity markets sharply downwards.  By the end of the third quarter the majority of Grant Park’s commodity positions reversed to the short side to take advantage of the downward trending markets.  Positions in the metals markets were among the strongest source of profits due to price declines stemming from reduced demand from emerging nations such as Brazil, Russia, India, and China.  Improved harvesting conditions across U.S. farmlands negated prior supply constraints driving prices in the grains markets lower.  Forecasted supply concerns in Nigeria resulted in losses for Grant Park’s short energy positions.  Renewed threats of violence on major Nigerian crude oil refineries by rebel group MEND (Movement for the Emancipation of the Niger Delta) called into question the region’s production capabilities driving prices higher.
 
Turmoil in the financial markets continued into the start of the fourth quarter boding well for performance.  Tight credit markets and rapidly decreasing consumer confidence caused investors to flee equity positions driving prices lower.  Major indices falling in excess of 20% caused an increase in demand for safer fixed income markets driving up prices across the sector in line with long positions.  Falling share prices spurred mass liquidations in the commodities markets driving prices downwards.  Positioned on the short side of the metals and agriculturals markets, the portfolio was able to capitalize on the downtrend through most of October.  Reduced production due to lack of capital in the credit markets furthered declines in the commodities markets.  With Global manufacturing nearing all-time lows, demand for energy and base metals declined resulting in profits for Grant Park’s short positions.  The
 
 
 
bulk of the portfolio’s gains throughout November came from long fixed income positions.  Speculators responding to monetary policy shifts from a number of central banks and turbulence in the equity markets fueled strong uptrends in the debt markets resulting in profits for long positions.  Positions in the equity indices sector also proved to be a strong source of profits.  In the equity markets, a revision to the TARP, which moved the focus of the program away from buying toxic financial assets, weighed heavily on the share prices of financial firms driving most major North American equity indices lower.  Commodities markets continued their steady decline into year-end.  Slowing production and reduced demand for industrial commodities weighed heavily on prices.  One of the rare exceptions was prices on gold which experienced a near 15% increase for the month of November.  Short positions in gold markets endured losses as speculators bid up the gold markets in attempts to hedge positions in the financial markets.  Grant Park finished 2008 with a strong December.  As occurred during the month before, the bulk of gains came from long fixed income positions.  Yields on U.S. Treasuries breached all-time lows as the U.S. Federal Reserve brought interest rates to near 0% driving prices upwards.  Although gains were made in the fixed income sector, the Federal Reserve’s decision to slash rates weighed heavily on the U.S. dollar.  Long dollar positions against a number of emerging currencies posted losses as the dollar weakened.
 
For the year ended December 31, 2008, Grant Park had a positive return of 19.9% for the Class A units and a positive return of 18.9% for the Class B units.  On a combined basis prior to expenses, approximately 30.5% resulted from trading gains and approximately 2.9% was due to interest income.  These gains are offset by approximately 14.3% in combined total brokerage fees, performance fees and offering costs borne by Grant Park.  An analysis of the 30.5% trading gains by sector is as follows:

Sector
 
% Gain (Loss)
 
Interest Rates
    8.6 %
Currencies
    0.1  
Stock Indices
    5.6  
Energy
    8.4  
Agriculturals
    3.0  
Meats
    0.3  
Metals
    3.0  
Softs
    1.5  
Miscellaneous
     
Total
    30.5 %

Year ended December 31, 2007
 
Grant Park began 2007 on a positive note after interest rate hikes in the Euro-zone and concerns over inflation in the U.S. forced fixed income prices lower, benefiting short positions in government debt markets.  Speculation that OPEC would not push for production cuts resulted in gains for shorts in crude oil while an upswing in U.S. fuel inventories did the same for similar positions in unleaded gasoline.  The drop in energy prices sparked buying on Global share markets that produced gains for Grant Park’s long equity index positions.  Metals positions, which were somewhat disparate at the beginning of January, were also a source of income after a downturn in the U.S. housing market weakened copper prices and the threat of a strike at a Canadian mine put a bid into the nickel market.  Gains recorded by Grant Park over the first month were erased quickly over the next two months as a dramatic drop in share prices led to losses for Grant Park’s equity, interest rate and currency positions.  In February, a massive single-session plunge in the Chinese equity market (the apparent result of worries over whether the government there would impose stricter regulations on investments) spilled over into European and North American share markets.  The sell-off continued into March, further influenced by
 
 
 
rising energy prices that were partly the result of growing tension between the United States and Iran over the latter’s nuclear ambitions.  The volatile downturn in equities markets sparked losses in the interest rate sector after investors fled stocks for the relative safety of government debt instruments; weak reports on U.S. GDP, new home sales and manufacturing drove bond prices higher still, adding to losses. The Japanese yen rallied violently as investors strapped for the cash needed to cover massive stock market losses liquidated profitable carry trades in which they had initially borrowed the yen in order to purchase currencies from economies offering higher rates of return.  Short positions in the dollar were also unprofitable after the greenback rallied on a drop in the February U.S. unemployment rate.  Longs in the soft/agricultural commodities, which had produced somewhat neutral results during the first two months of the year, ended the first quarter with net losses after USDA reports pointing to an increase in acreage dedicated to corn production sent grain prices lower.  Grant Park’s losses over the opening quarter were rounded out after the weakness in equities led to lower gold prices.
 
April 2007 began a streak of three straight profitable months for Grant Park after investors, encouraged by optimistic forecasts on Global economic growth, began to wade back into equities markets.  Gains continued into May as positive earnings reports, an increase in merger and acquisition activity and lower reports on U.S. inflation had investors convinced that stocks had turned the corner.  Positions in the currency sector gained over the second quarter, particularly the short bias in the U.S. dollar, which depreciated against the euro and British pound in response to weak domestic economic data.  Speculation that U.S. interest rates might be headed lower while European rates moved higher pushed the dollar lower still.  Short positions in the Japanese yen also gained as the stability of equities markets allowed currency traders, already emboldened by anemic data on Japanese consumer prices and industrial production, to resume the carry trade in an effort to take advantage of the low cost of borrowing in yen.  Short positions in the interest rate sector got out of the box slowly in April after the drop in U.S. consumer prices resulted in a bond rally but rebounded and posted gains over the next two months as Global bond prices fell in response to forecasts for greater European economic growth and a confirmed rise in Canadian inflation.  Gains came for the soft/agricultural commodities sector after short positions in the cotton market benefited from a jump in inventories during April; long positions in the grain markets provided the bulk of gains during May and June when prices in the soybean complex surged on a lack of rain and the prospect of increased demand for bio-fuel.  Metals positions experienced a period of directionless trade during the second quarter.  A jump in Chinese demand for copper and concerns over nickel supplies resulted in April gains that were somewhat mitigated in May when base metals prices fell on news that the Chinese government, which was worried about an overheating economy, increased the stamp tax in an effort to dampen stock market speculation.  Advancing nickel inventories during June added to losses.  Energy positions also entered a period of sideways trade during the second quarter.  Rising prices as the result of Iran’s stand-off with the West signaled a change in Grant Park’s energy bias from short to long that resulted in gains after unleaded gasoline rallied on reports of contracted inventories.  Long positions in natural gas that were unprofitable during May were reversed by Grant Park’s traders during June and were able to recoup some of the previous month’s losses after prices continued lower by quarter’s end on reports of rising fuel stocks.
 
The third quarter of 2007 represented a period of high volatility across Global financial markets that led to losses for Grant Park in July and August. Standard and Poor’s decision to downgrade European collateralized debt obligations that were tied to defaulting U.S. sub-prime mortgages resulted in setbacks for short positions in the fixed income sector as investors’ uncertainty about the corporate sector’s exposure to sub-prime debt sparked heavy buying in more secure government bond markets.  Equities markets, which had held their ground for the better part of July, plunged near month’s end on worries that the rapidly developing mortgage crisis could result in a Global credit crunch.  The sell-off in stocks hurt Grant Park’s equity long positions and further exacerbated losses in the fixed income sector as investors sought safe haven in government securities.  As was the case in February, investors once again were forced to liquidate positions in the profitable Japanese yen carry trade in order to compensate for equities
 
 
 
losses.  Grant Park’s positions in the cross-rates sustained losses as the New Zealand dollar fell violently against the yen.  Long positions in the euro sustained losses after the European Central Bank injected billions of euros into the banking system in an effort to head off a shortage of cash.  Worries over the availability of credit translated into losses for Grant Park’s long positions in the metals sector after investors’ aversion to risk and a rising U.S. dollar sent gold prices tumbling.  Base metals prices fell on concerns that an economic slowdown would accompany the dilemma facing credit markets.  Long energy positions gained ground in July after reports of falling inventories and sectarian strife in Nigeria rallied crude prices; those same positions were dealt losses in August after prices fell when Hurricane Dean failed to disrupt refinery operations in the Gulf of Mexico.  Heavy rains over the Midwest in July and August caused losses to Grant Park’s long positions in the soybean complex.
 
September marked a change in direction for Grant Park’s performance and market exposure.  Positions in the interest rate sector, which had been net-short for the majority of the 2007 calendar year, were reversed by Grant Park’s trading advisors as a result of the material change in price direction brought about by the flight to government debt as an alternative to corporate bonds.  Long positions in domestic markets were immediately rewarded after an unexpected drop in August U.S. payrolls, along with downward revisions to July and June payrolls, prompted the U.S. Federal Reserve Bank (the “Federal Reserve”) to cut short-term interest rates by 50 basis points.  Long positions in the euro and Canadian dollar (which reached parity with the U.S. dollar for the first time in thirty years) reported gains as the greenback plunged on the Federal Reserve’s intervention.  Wheat prices, which had begun to rise at the end of August, provided the bulk of gains for soft/agricultural positions on a spike in demand from India and the Middle East.  The Federal Reserve’s decision to cut rates sparked a rally that saw gold prices trade above $700 for the first time in sixteen months, adding to Grant Park’s gains.  Speculation that lower interest rates and a lower dollar would translate into greater demand for energy benefited long crude positions as oil traded above the $80 mark for the first time. Long stock index positions, which had been pared considerably by the end of September, were profitable after Asian stocks rallied on news that the Chinese government had relaxed investment restrictions on its citizens.  By the end of September, Grant Park reported gains in every sector and had all but erased the losses sustained during July and August.
 
Grant Park’s trading advisors recorded gains during the fourth quarter after the bulk of Grant Park’s positions continued to post advances throughout October.  Tremors from the effects of failing sub-prime mortgages continued to reverberate across Global financial markets while a number of highly rated lending institutions were forced to disclose the depth of their exposure to the risky loans.  In an effort to stabilize financial markets the Federal Reserve cut short term rates by another 25 basis points in October, a move that resulted  in another down move for the beleaguered U.S. dollar and gains for euro, pound and Canadian dollar longs.  Uncertainty as to how far the mortgage crisis reached continued to benefit long positions in the interest rate sector as investors shunned corporate issues for the safety of government bonds.  Long positions in the energy sector gained ground over the final quarter as a lower dollar combined with geopolitical concerns and growing seasonal fuel demand pushed crude oil prices to all-time highs above $95 per barrel.  Soft/agricultural commodities sector reported losses during October after wheat prices, which had established new all-time highs above $9 per bushel in September, fell on speculation that record prices would result in a dramatic increase in acreage dedicated to the crop.  Grant Park’s long positions in the sector were rewarded during November and December as dry growing conditions and increased foreign demand for grain sustained the upward trend in soybean and corn prices.  Metals markets reported gains during this period after gold rallied to its highest levels in 27 years as investors sought protection from the weak dollar and rising energy costs.  Reports of bloated copper inventories resulted in losses during November but these were quickly recovered after gold rallied throughout December in response to higher energy costs.  The Federal Reserve’s rate cut, along with additional cash infusions on behalf of the European Central Bank’s effort to stave off a liquidity meltdown resulted in gains for the equity index sector during October but these were erased over the final
 
 
 
two months of the year as the expanding credit calamity and recessionary fears continued to send stock investors to the exits.
 
For the year ended December 31, 2007, Grant Park had a positive return of 12.6% for the Class A units and a positive return of 11.8% for the Class B units.  On a combined basis prior to expenses, approximately 18.0% resulted from trading gains and approximately 4.8% was due to interest income.  These gains are offset by approximately 10.9% in combined total brokerage fees, performance fees and offering costs borne by Grant Park.  An analysis of the 18.0% trading gains by sector is as follows:

Sector
 
% Gain (Loss)
 
Interest Rates
    7.2 %
Currencies
    5.7  
Stock Indices
    (2.3 )
Energy
    5.0  
Agriculturals
    4.1  
Meats
    (0.6 )
Metals
    0.7  
Softs
    (1.8 )
Miscellaneous
     
Total
    18.0 %

The general partner has agreed to rebate back to Grant Park a portion of Grant Park’s operating, organization and offering expenses to the extent actual expenses were less than the actual amount Grant Park paid the general partner.  For 2007, the general partner reimbursed Grant Park a total of $750,000, of which $250,000 related to operating expenses and $500,000 related to organization and offering expenses.
 
Capital Resources
 
Grant Park plans to raise additional capital only through the sale of units pursuant to the continuous offering and does not intend to raise any capital through borrowing.  Due to the nature of Grant Park’s business, it does not make any capital expenditures and does not have any capital assets that are not operating capital or assets.
 
Liquidity
 
Most U.S. futures exchanges limit fluctuations in some futures and options contract prices during a single day by regulations referred to as daily price fluctuation limits or daily limits.  During a single trading day, no trades may be executed at prices beyond the daily limit.  Once the price of a contract has reached the daily limit for that day, positions in that contract can neither be taken nor liquidated.  Futures prices have occasionally moved to the daily limit for several consecutive days with little or no trading.  Similar occurrences could prevent Grant Park from promptly liquidating unfavorable positions and subject Grant Park to substantial losses that could exceed the margin initially committed to those trades.  In addition, even if futures or options prices do not move to the daily limit, Grant Park may not be able to execute trades at favorable prices, if little trading in the contracts is taking place.  Other than these limitations on liquidity, which are inherent in Grant Park’s futures and options trading operations, Grant Park’s assets are expected to be highly liquid.
 
 
 
Off-Balance Sheet Risk
 
Off-balance sheet risk refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in future obligation or loss.  Grant Park trades in futures and other commodity interest contracts and is therefore a party to financial instruments with elements of off-balance sheet market and credit risk.  In entering into these contracts, Grant Park faces the market risk that these contracts may be significantly influenced by market conditions, such as interest rate volatility, resulting in such contracts being less valuable.  If the markets should move against all of the commodity interest positions of Grant Park at the same time, and if Grant Park were unable to offset positions, Grant Park could lose all of its assets and the limited partners would realize a 100% loss.  Grant Park minimizes market risk through real-time monitoring of open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio that rarely exceeds 25%.  All positions of Grant Park are valued each day on a mark-to-market basis.
 
In addition to market risk, when entering into commodity interest contracts there is a credit risk that a counterparty will not be able to meet its obligations to Grant Park.  The counterparty for futures and options on futures contracts traded in the United States and on most non-U.S. futures exchanges is the clearing organization associated with such exchange.  In general, clearing organizations are backed by the corporate members of the clearing organization 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 clearing organization 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 contracts, over-the-counter options contracts or swap 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 central clearing organization backed by a group of financial institutions.  As a result, there likely will be greater counterparty credit risk in these transactions.  Grant Park trades only with those counterparties that it believes to be creditworthy.  Nonetheless, the clearing member, clearing organization or other counterparty to these transactions may not be able to meet its obligations to Grant Park, in which case Grant Park could suffer significant losses on these contracts.
 
In the normal course of business, Grant Park enters into contracts and agreements that contain a variety of representations and warranties and which provide general indemnifications.  Grant Park’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against Grant Park that have not yet occurred.  Grant Park expects the risk of any future obligation under these indemnifications to be remote.
 
 
 
Contractual Obligations
 
None.
 
QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
 
Introduction
 
Grant Park is a speculative commodity pool.  The market sensitive instruments held by it are acquired for speculative trading purposes, and all or a substantial amount of Grant Park’s assets are subject to the risk of trading loss.  Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to Grant Park’s business.
 
Market movements result in frequent changes in the fair market value of Grant Park’s open positions and, consequently, in its earnings and cash flow.  Grant Park’s market risk is influenced by a wide variety of factors, including the level and volatility of exchange rates, interest rates, equity price levels, the market value of financial instruments and contracts, market prices for base and precious metals, energy complexes and other commodities, the diversification effects among Grant Park’s open positions and the liquidity of the markets in which it trades.
 
Grant Park rapidly acquires and liquidates both long and short positions in a wide range of different markets.  Consequently, it is not possible to predict how a particular future market scenario will affect performance.  Grant Park’s current trading advisors all employ trend-following strategies that rely on sustained movements in price.  Erratic, choppy, sideways trading markets and sharp reversals in movements can materially and adversely affect Grant Park’s results.  Grant Park’s past performance is not necessarily indicative of its future results.
 
Value at risk is a measure of the maximum amount that Grant Park could reasonably be expected to lose in a given market sector in a given day.  However, the inherent uncertainty of Grant Park’s speculative trading and the recurrence in the markets traded by Grant Park of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated value at risk or Grant Park’s experience to date.  This risk is often referred to as the risk of ruin.  In light of the foregoing as well as the risks and uncertainties intrinsic to all future projections, the inclusion of the quantification included in this section should not be considered to constitute any assurance or representation that Grant Park’s losses in any market sector will be limited to value at risk or by Grant Park’s attempts to manage its market risk.  Moreover, value at risk may be defined differently as used by other commodity pools or in other contexts.
 
Materiality, as used in this section, is based on an assessment of reasonably possible market movements and the potential losses caused by such movements, taking into account the leverage, and multiplier features of Grant Park’s market sensitive instruments.
 
The following quantitative and qualitative disclosures regarding Grant Park’s market risk exposures contain forward-looking statements.  All quantitative and qualitative disclosures in this section are deemed to be forward-looking statements, except for statements of historical fact and descriptions of how Grant Park manages its risk exposure.  Grant Park’s primary market risk exposures, as well as the strategies used and to be used by its trading advisors for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of Grant Park’s risk controls to differ materially from the objectives of such strategies.  Government interventions,
 
 
 
defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of Grant Park.  Grant Park’s current market exposure and/or risk management strategies may not be effective in either the short-or long-term and may change materially.
 
Quantitative Market Risk
 
Trading Risk
 
Grant Park’s approximate risk exposure in the various market sectors traded by its trading advisors is quantified below in terms of value at risk.  Due to Grant Park’s mark-to-market accounting, any loss in the fair value of Grant Park’s open positions is directly reflected in Grant Park’s earnings, realized or unrealized.
 
Exchange maintenance margin requirements have been used by Grant Park as the measure of its value at risk.  Maintenance margin requirements are set by exchanges to equal or exceed the maximum losses reasonably expected to be incurred in the fair value of any given contract in 95% to 99% of any one-day interval.  The maintenance margin levels are established by brokers, dealers and exchanges using historical price studies as well as an assessment of current market volatility and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation.  Maintenance margin has been used rather than the more generally available initial margin, because initial margin includes a credit risk component that is not relevant to value at risk.
 
In the case of market sensitive instruments that are not exchange-traded, including currencies and some energy products and metals in the case of Grant Park, the margin requirements for the equivalent futures positions have been used as value at risk.  In those cases in which a futures-equivalent margin is not available, dealers’ margins have been used.
 
In the case of contracts denominated in foreign currencies, the value at risk figures include foreign currency margin amounts converted into U.S. dollars with an incremental adjustment to reflect the exchange rate risk inherent to Grant Park, which is valued in U.S. dollars, in expressing value at risk in a functional currency other than U.S. dollars.
 
In quantifying Grant Park’s value at risk, 100% positive correlation in the different positions held in each market risk category has been assumed.  Consequently, the margin requirements applicable to the open contracts have simply been aggregated to determine each trading category’s aggregate value at risk.  The diversification effects resulting from the fact that Grant Park’s positions are rarely, if ever, 100% positively correlated have not been reflected.
 
Value at Risk by Market Sectors
 
The following tables indicate the trading value at risk associated with the GP Class and Grant Park’s open positions by market category as of December 31, 2009 and December 31, 2008 and the trading gains/losses by market category for the years ended December 31, 2009 and 2008.  All open position trading risk exposures of the GP Class and Grant Park have been included in calculating the figures set forth below.  As of December 31, 2009, Grant Park’s net asset value was approximately $831.3 million.  As of December 31, 2008, Grant Park’s net asset value was approximately $643.6 million.
 
 
 
 
   
December 31, 2009
 
Market Sector
 
Value at Risk
   
% of Total Capitalization
   
Trading Gain/(Loss)
 
Stock Indices
  $ 25,520,439       3.1 %     3.6 %
Interest Rates
    17,130,191       2.0       (4.1 )
Currencies
    16,432,426       2.0       (0.7 )
Metals
    12,236,815       1.5       2.5  
Energy
    7,154,450       0.9       (3.2 )
Softs
    5,200,402       0.6       (0.1 )
Agriculturals
    4,119,283       0.5        
Meats
    742,017       0.1        
Total
  $ 88,536,023       10.7 %     (2.0 )%

   
December 31, 2008
 
Market Sector
 
Value at Risk
   
% of Total Capitalization
   
Trading Gain/(Loss)
 
Interest Rates
  $ 14,965,191       2.3 %     8.6 %
Currencies
    5,596,368       0.9       0.1  
Metals
    3,323,166       0.5       3.0  
Stock Indices
    2,393,475       0.4       5.6  
Energy
    1,509,880       0.2       8.4  
Agriculturals
    642,068       0.1       3.0  
Softs
    603,856       0.1       1.5  
Meats
    240,495             0.3  
Total
  $ 29,274,499       4.5 %     30.5 %

Material Limitations on Value at Risk as an Assessment of Market Risk
 
The face value of the market sector instruments held by Grant Park is typically many times the applicable maintenance margin requirement, which generally ranges between approximately 1% and 10% of contract face value, as well as many times the capitalization of Grant Park.  The magnitude of Grant Park’s open positions creates a risk of ruin not typically found in most other investment vehicles.  Because of the size of its positions, certain market conditions—unusual, but historically recurring from time to time—could cause Grant Park to incur severe losses over a short period of time.  The value at risk table above, as well as the past performance of Grant Park, gives no indication of this risk of ruin.
 
Non-Trading Risk
 
Grant Park has non-trading market risk on its foreign cash balances not needed for margin.  However, these balances, as well as the market risk they represent, are immaterial.  Grant Park also has non-trading market risk as a result of investing a substantial portion of its available assets in U.S. Treasury bills and Treasury repurchase agreements.  The market risk represented by these investments is also immaterial.
 
Qualitative Market Risk
 
Trading Risk
 
The following were the primary trading risk exposures of Grant Park as of December 31, 2009, by market sector.
 
Stock Indices
 
Grant Park’s primary equity exposure is due to equity price risk in the G-7 countries as well as other jurisdictions including Hong Kong, Taiwan, Africa, India, Singapore, South Korea, and Australia.  The stock index futures contracts currently traded by Grant Park are generally futures on broadly based indices, although Grant Park also trades narrow-based stock index or single-stock futures contracts.  As of December 31, 2009, Grant Park was predominantly long indices in Australia, South Africa, Europe, the U.S., U.K., South Korea, Mexico, India, Taiwan, Japan, and Singapore.  The portfolio does maintain a few short positions in several select U.S. and Japanese equity markets.  Grant Park is primarily exposed to the risk of adverse price trends or static markets in the major North American, European, and Asian indices.  Static markets would not cause major market changes but would make it difficult for Grant Park to avoid being “whipsawed” into numerous small losses.
 
Interest Rates
 
Interest rate risk is a principal market exposure of Grant Park.  Interest rate movements directly affect the price of the futures positions held by Grant Park and indirectly the value of its stock index and currency positions.  Interest rate movements in one country as well as relative interest rate movements between countries materially impact Grant Park’s profitability.  Grant Park’s primary interest rate exposure is due to interest rate fluctuations in the United States and the other G-7 countries.  Grant Park also takes futures positions on the government debt of smaller nations, such as Australia, New Zealand, and Mexico.  The general partner anticipates that G-7 interest rates will remain the primary market exposure of Grant Park for the foreseeable future.  As of December 31, 2009, Grant Park was predominantly long interest rate instruments in the Mexico, New Zealand, the Eurozone, and Japan.  The portfolio had short positions in U.S., Australian, Canadian, and U.K. interest rate products.
 
Currencies
 
Exchange rate risk is a significant market exposure of Grant Park.  Grant Park’s currency exposure is due to exchange rate fluctuations, primarily fluctuations that disrupt the historical pricing relationships between different currencies and currency pairs. These fluctuations are influenced by interest rate changes as well as political and general economic conditions.  Grant Park trades in a large number of currencies, including cross-rates, which are positions between two currencies other than the U.S. dollar.  The general partner anticipates that the currency sector will remain one of the primary market exposures for Grant Park for the foreseeable future.  As of December 31, 2009, Grant Park was short the U.S. dollar against various major currencies including the Australian dollar, Canadian dollar, Mexican peso, and New Zealand dollar, but was long the U.S. dollar against the British pound, Euro, Swiss franc, and Japanese yen.  In general, with the exception of the British pound, Euro, Swiss franc, and Japanese yen, a weaker U.S. dollar against most major currencies would benefit Grant Park.
 
Metals
 
Grant Park’s metals market exposure is due to fluctuations in the price of both precious metals, including gold and silver, as well as base metals including aluminum, copper, nickel and zinc. As of December 31, 2009, in the precious metals sector Grant Park had long positions in gold, silver, palladium, and platinum.  In the base metals markets, Grant Park was long aluminum, copper, lead, nickel, and zinc, but had short positions in tin.
 
 
 
Energy
 
Grant Park’s primary energy market exposure is due to gas and oil price movements, often resulting from political developments in the Middle East, Nigeria, Russia, and South America.  As of December 31, 2009, the energy market exposure of Grant Park was predominantly long in the natural gas, crude oil, Brent crude oil, gasoline, heating oil, kerosene, gas oil, and unleaded gasoline markets.  Oil and gas prices can be volatile and substantial profits and losses have been and are expected to continue to be experienced in this market.
 
Agricultural/Meats/Softs
 
Grant Park’s primary commodities exposure is due to agricultural price movements, which are often directly affected by severe or unexpected weather conditions as well as other factors.  As of December 31, 2009, in the grains markets, Grant Park had long positions in the corn, soybean, soybean oil, and soybean meal markets, and short positions in the wheat and canola markets.  In the livestock markets, Grant Park was short feeder cattle and long live cattle and lean hogs.  In the softs/industrials sectors, Grant Park was long sugar, cocoa, cotton, coffee, and rubber.
 
Non-Trading Risk Exposure
 
The following were the only non-trading risk exposures of Grant Park as of December 31, 2009.
 
Foreign Currency Balances
 
Grant Park’s primary foreign currency balances are in Japanese yen, British pounds, Euros and Australian dollars.  The trading advisors regularly convert foreign currency balances to U.S. dollars in an attempt to control Grant Park’s non-trading risk.
 
Cash Management
 
Grant Park maintains a portion of its assets at its clearing brokers, as well as at Lake Forest Bank & Trust Company.  These assets, which may range from 5% to 25% of Grant Park’s value, are held in U.S. Treasury securities and/or Government-sponsored enterprises.  The balance of Grant Park’s assets, which range from 75% to 95%, are invested in investment grade money market investments purchased by Middleton Dickinson Capital Management, LLC which are held in a separate, segregated account at State Street Bank and Trust Company.  Violent fluctuations in prevailing interest rates or changes in other economic conditions could cause mark-to-market losses on Grant Park’s cash management income.
 
Managing Risk Exposure
 
The general partner monitors and controls Grant Park’s risk exposure on a daily basis through financial, credit and risk management monitoring systems and, accordingly, believes that it has effective procedures for evaluating and limiting the credit and market risks to which Grant Park is subject.
 
The general partner monitors Grant Park’s performance and the concentration of its open positions, and consults with the trading advisors concerning Grant Park’s overall risk profile.  If the general partner felt it necessary to do so, the general partner could require the trading advisors to close out individual positions as well as enter positions traded on behalf of Grant Park.  However, any intervention would be a highly unusual event.  The general partner primarily relies on the trading advisors’ own risk control policies while maintaining a general supervisory overview of Grant Park’s market risk exposures.  The trading advisors apply their own risk management policies to their trading.  The trading advisors
 
 
 
often follow diversification guidelines, margin limits and stop loss points to exit a position.  The trading advisors’ research of risk management often suggests ongoing modifications to their trading programs.
 
As part of the general partner’s risk management, the general partner periodically meets with the trading advisors to discuss their risk management and to look for any material changes to the trading advisors’ portfolio balance and trading techniques.  The trading advisors are required to notify the general partner of any material changes to their programs.
 
General
 
From time to time, certain regulatory or self-regulatory organizations have proposed increased margin requirements on futures contracts.  Because Grant Park generally will use a small percentage of assets as margin, Grant Park does not believe that any increase in margin requirements, as proposed, will have a material effect on Grant Park’s operations.
 
FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA
 
Financial statements meeting the requirements of Regulation S-X appear beginning on page F-1 of this report.  The supplementary financial information specified by Item 302 of Regulation S-K is included in this report under the heading “Selected Financial Data” above.
 
CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND FINANCIAL DISCLOSURE
 
None.
 
CONTROLS AND PROCEDURES      
 
See Item 9A(T) below.
 
ITEM 9A(T).  CONTROLS AND PROCEDURES
 
Evaluation of Disclosure Controls and Procedures
 
As of the end of the period covered by this report, the general partner carried out an evaluation, under the supervision and with the participation of the general partner’s management including its principal executive officer and principal financial officer, of the effectiveness of the design and operation of Grant Park’s disclosure controls and procedures as contemplated by Rule 13a-15 of the Securities Exchange Act of 1934, as amended.  Based on, and as of the date of that evaluation, the general partner’s principal executive officer and principal financial officer concluded that Grant Park’s disclosure controls and procedures are effective, in all material respects, in timely alerting them to material information relating to Grant Park required to be included in the reports required to be filed or submitted by Grant Park with the SEC under the Exchange Act.
 
Changes in Internal Control over Financial Reporting

There were no changes in Grant Park’s internal control over financial reporting during the quarter ended December 31, 2009 that have materially affected, or are reasonably likely to materially affect, Grant Park’s internal control over financial reporting.
 
 

Report on Management’s Assessment of Internal Control Over Financial Reporting
 
The general partner, on behalf of Grant Park, is responsible for establishing and maintaining adequate internal control over financial reporting, as such term is defined in Exchange Act Rules 13a-15(f) and 15d-15(f).  Under the supervision and with the participation of the general partner’s management, including its principal executive officer and principal financial officer, we conducted an evaluation of the effectiveness of Grant Park’s internal control over financial reporting as of December 31, 2009 based on the framework in Internal Control—Integrated Framework issued by the Committee of Sponsoring Organizations of the Treadway Commission (COSO). Based on that evaluation, the general partner concluded that Grant Park’s internal control over financial reporting was effective as of December 31, 2009.
 
This Annual Report on Form 10-K does not include an attestation report of Grant Park’s registered public accounting firm regarding internal control over financial reporting.  The general partner’s report was not subject to attestation by Grant Park’s registered public accounting firm pursuant to temporary rules of the SEC that permit Grant Park to provide only the general partner’s report in this Annual Report on Form 10-K.
 
ITEM 9B.                      OTHER INFORMATION
 
None.
 
 
 
DIRECTORS,  EXECUTIVE OFFICERS AND CORPORATE GOVERNANCE
 
Grant Park has no directors or executive officers and also does not have any employees.  Grant Park is managed solely by Dearborn Capital Management, L.L.C. in its capacity as general partner.  Dearborn Capital Management, L.L.C. has been registered as a commodity pool operator and a commodity trading advisor under the Act and has been a member of the NFA since December 1995.
 
The principals of the general partner are Dearborn Capital Management Ltd., Centum Prata Holdings, Inc, David M. Kavanagh, Patrick J. Meehan, Maureen O’Rourke and Abdullah Mohammed Al Rayes.  Only the officers of Dearborn Capital Management, L.L.C., Mr. Kavanagh, Mr. Meehan and Ms. O’Rourke, have management responsibility and control over the general partner.
 
Mr. Kavanagh, president of Dearborn Capital Management, L.L.C., has been responsible for overseeing all operations and activities of the general partner since its formation.  Commencing in October 1998, Mr. Kavanagh also became president, a principal and an associated person of Dearborn Capital Brokers Ltd., an independent introducing broker.  From 1983 to 2003, Mr. Kavanagh was a member in good standing of the Chicago Board of Trade.  Between 1983 and October 1998, Mr. Kavanagh served as an institutional salesman in the financial futures area on behalf of Refco and Conti Commodity Services, Inc., which was acquired by Refco in 1984.  His clients included large hedge funds and financial institutions.  Since October 1998, Mr. Kavanagh has from time to time continued to perform introducing brokerage services for Man Financial Inc., formerly Refco, Inc., through Dearborn Capital Brokers.  Neither Dearborn Capital Brokers nor Mr. Kavanagh provides brokerage services to Grant Park’s trading account.  In the past, from time to time Mr. Kavanagh has provided brokerage services to Financial Consortium International LLC, a registered introducing broker, commodity pool operator and broker-dealer, since October 1999.  In 1980, Mr. Kavanagh received an MBA from the University of Notre Dame, and in 1978, graduated with a B.S. in business administration from John Carroll University.
 
 
 
Mr. Meehan, chief operating officer of the general partner, is primarily responsible for the day to day operations of Dearborn.  Mr. Meehan became listed as a principal of Dearborn effective January 2009.  Prior to joining the general partner in April 2008, Mr. Meehan was a member of the senior executive team at Houghton Mifflin Company in Boston, MA, beginning in March 1999.  His assignments focused on leading technology and operational organizations and included a three year assignment as the President of the business unit that was the largest provider of professional testing and licensure services to State Regulatory Agencies in the United States.  He also served as the Chief Information/Technology Officer of the company for three years, responsible for directing an annual technology portfolio in excess of $100 million.  Mr. Meehan began his career as a commissioned officer in the United States Marine Corps, retiring after 20 years in the grade of Lieutenant Colonel.  He received an AB degree from John Carroll University, an MBA from Webster University and holds Series 22, 31, and 63 licenses.
 
Ms. O’Rourke, chief financial officer of the general partner, is responsible for financial reporting and compliance issues.  Prior to joining the general partner in May 2003, Ms. O’Rourke was employed as assistant vice president at MetLife Investors Life Insurance Company from 1992 to September 2001.  Before that, Ms. O’Rourke was employed as a tax senior at KPMG LLP (formerly KPMG Peat Marwick LLP) from 1987 to 1991.  Ms. O’Rourke is a certified public accountant.  She received a B.B.A. in accounting from the University of Notre Dame in 1987 and received a M.S. in Taxation from DePaul University in 1996.
 
Code of Ethics
 
Grant Park has not adopted a code of ethics because it does not have any officers or employees.  The general partner of Grant Park has adopted a Code of Ethics for all employees.
 
Section 16(a) Beneficial Ownership Reporting Compliance
 
Section 16 of the Securities Exchange Act of 1934, as amended, requires an issuer’s directors and certain executive officers and certain other beneficial owners of the issuer’s equity securities to periodically file notices of changes in their beneficial ownership with the SEC.  Grant Park does not have any directors or officers.  However, the officers of Grant Park’s general partner, as well as the general partner itself, file such notices regarding their beneficial ownership in Grant Park, if any.  Grant Park believes that for 2009, all required filings were timely filed by each of these persons.
 
EXECUTIVE COMPENSATION
 
Grant Park has no directors or officers.  Its affairs are managed by Dearborn Capital Management, L.L.C., its general partner, which receives compensation for its services from Grant Park, as follows:
 
Each of the Class A, Class B, Legacy 1, Legacy 2, Global 1, Global 2 and Global 3 units pay the general partner a monthly brokerage charge. Class A units pay the general partner a monthly brokerage charge equal to a rate of 0.6292%, a rate of 7.55% annually, of Class A’s month-end adjusted net assets.   Class B units pay the general partner a monthly charge equal to 0.6667%, a rate of 8.0% annually, of Class B’s month-end adjusted net assets.  Effective April 1, 2009, Class A units pay the general partner a monthly brokerage commission equal to a rate of 0.625%, a rate of 7.50% annually, of Class A’s month-end net assets.  Class B units pay the general partner a monthly brokerage commission equal to a rate of 0.6625%, a rate of 7.95% annually, of Class B’s month-end net assets.  Legacy 1 Class units pay the general partner a monthly brokerage commission equal to a rate of 0.4167%, a rate of 5.00% annually, of Legacy 1’s month-end net assets.   Legacy 2 Class units pay the general partner a monthly brokerage commission equal to a rate of 0.4375%, a rate of 5.25% annually, of Legacy 2’s month-end net assets.   
 
 
 
Global 1 Class units pay the general partner a monthly brokerage commission equal to a rate of 0.3708%, a rate of 4.45% annually, of Global 2’s month-end net assets.   Global 2 units pay the general partner a monthly brokerage commission equal to a rate of 0.3917%, a rate of 4.70% annually, of Global 2’s month-end net assets.   Global 3 Class units pay the general partner a monthly brokerage commission equal to a rate of 0.5375%, a rate of 6.45% annually, of Global 3’s month-end net assets.
 
All expenses incurred in connection with the organization and the initial and ongoing public offering of Grant Park interests are paid by the general partner and are reimbursed to the general partner by Grant Park.  Effective April 1, 2009, Class A units bear organization and offering expenses at a monthly rate of 0.0083%, a rate of .10% annually, of the adjusted net assets of the Class A units, calculated and payable monthly on the basis of month-end adjusted net assets.  Legacy 1 Class, Legacy 2 Class, Global 1 Class, Global 2 Class, Global 3 Class and, effective April 1, 2009, Class B units bear these expenses at a monthly rate of 0.025%, a rate of 0.30% annually, of the adjusted net assets of the Legacy 1 Class, Legacy 2 Class, Global 1 Class, Global 2 Class, Global 3 Class and Class B units, respectively, calculated and payable monthly on the basis of month-end adjusted net assets.  Prior to April 1, 2009, Class A units and Class B units bore these expenses at an annual rate of 0.20% and 0.60%, respectively, of the adjusted net assets of the Class A and Class B units, respectively, calculated and payable monthly on the basis of month-end adjusted net assets.
 
Operating expenses of Grant Park are paid for by the general partner and reimbursed by Grant Park.  Each of the Class A, Class B, Legacy 1, Legacy 2, Global 1, Global 2 and Global 3 units bear monthly operating expenses at a rate of 0.02083%, a rate of 0.25% annually, of the average month-end net assets of the each respective Class.  This reimbursement is made monthly.
 
The brokerage charge, organization and offering expense reimbursement and operating expense reimbursement paid to the general partner amounted to $64,822,792 for the year ended December 31, 2009, $44,833,225 for the year ended December 31, 2008, and $33,467,384 for the year ended December 31, 2007.
 
The general partner pays from the brokerage charge all clearing, execution and give-up, floor brokerage, exchange and NFA fees, any other transaction costs, selling agent compensation and consulting fees to the trading advisors.  The payments to the clearing brokers are based upon a specified amount per round-turn for each commodity interest transaction executed on behalf of Grant Park.  The amounts paid to selling agents, trading advisors or others may be based upon a specified percentage of Grant Park’s net asset value or round-turn transactions.  A round-turn is both the purchase, or sale, of a commodity interest contract and the subsequent offsetting sale, or purchase, of the contract.  The balance of the brokerage charge not paid out to other parties is retained by the general partner as payment for its services to Grant Park.
 
Grant Park pays the general partner the brokerage charge, which is based on a fixed percentage of net assets, regardless of whether actual transaction costs were less than or exceeded this fixed percentage or whether the number of trades significantly increases.   For the Legacy 1 Class units, assuming Grant Park’s brokerage charge was expressed on a per-transaction basis, the brokerage charge equates to round-turn commissions of approximately $25.20 based on the average trading activity of the Legacy 1 Class units’ trading advisors for the last three calendar years and assuming current allocations to the trading advisors.
 
For the Legacy 2 Class units, assuming Grant Park’s brokerage charge was expressed on a per-transaction basis, the brokerage charge equates to round-turn commissions of approximately $26.70 based on the average trading activity of the Legacy 2 Class units’ trading advisors for the last three calendar years and assuming current allocations to the trading advisors.
 
 
 
For the Global 1 Class units, assuming Grant Park’s brokerage charge was expressed on a per-transaction basis, the brokerage charge equates to round-turn commissions of approximately $19.90 based on the average trading activity of the Global 1 Class units’ trading advisors for the last three calendar years and assuming current allocations.
 
For the Global 2 Class units, assuming Grant Park’s brokerage charge was expressed on a per-transaction basis, the brokerage charge equates to round-turn commissions of approximately $21.31 based on the average trading activity of the Global 2 Class units’ trading advisors for the last three calendar years and assuming current allocations.
 
For the Global 3 Class units, assuming Grant Park’s brokerage charge was expressed on a per-transaction basis, the brokerage charge equates to round-turn commissions of approximately $29.18 based on the average trading activity of the Global 3 Class units’ trading advisors for the last three calendar years and assuming current allocations of net assets to the trading advisors.
 
The clearing brokers are also paid by the general partner, out of its brokerage charge, an average of between approximately $5.00 and $10.00 per round turn transaction entered into by Grant Park.  This round turn commission includes all clearing, exchange and NFA fees.
 
The Guidelines for the Registration of Commodity Pool Programs developed by the North American Securities Administrators Association, Inc., or NASAA Guidelines, require that the brokerage charge payable by Grant Park will not be greater than (1) 80% of the published retail commission rate plus pit brokerage fees, or (2) 14% annually of Grant Park’s average net assets, including pit brokerage fees.  Net assets for purposes of this limitation exclude assets not directly related to trading activity, if any.  The general partner intends to operate Grant Park so as to comply with these limitations.
 
Additionally, all expenses incurred in connection with the organization and the ongoing offering of the units are paid by the general partner and then reimbursed to the general partner by Grant Park.  The limited partnership agreement provides that Grant Park shall be entitled to reimbursement for organization and offering expenses at a rate of up to 1.0% per annum, computed monthly, of which up to 10% of such amount is reimbursable by Class A and 90% is reimbursable by Class B.  Effective April 1, 2004, Class A units bear organization and offering expenses at an annual rate of 20 basis points (0.20%) of the adjusted net assets of the Class A units calculated and payable monthly on the basis of month-end adjusted net assets.  Effective September 1, 2005, Class B units bear these expenses at an annual rate of 60 basis points (0.60%) of the adjusted net assets of the Class B units, calculated and payable monthly on the basis of month-end adjusted net assets.  Effective April 1, 2009, Class A units bear organization and offering expenses at an annual rate of 10 basis points (0.10%) of the adjusted net assets of the Class A units, calculated and payable monthly on the basis of month-end adjusted net assets, and Class B, Legacy 1 class, Legacy 2 Class, Global 1 Class, Global 2 Class and Global 3 Class units bear organization and offering expenses at an annual rate of 30 basis points (0.30%) of the adjusted net assets of each respective Class of units, calculated and payable monthly on the basis of month-end adjusted net assets.    In no event, however, will the reimbursement from Grant Park to the general partner exceed 1.0% per annum of the average month-end net assets of Grant Park.  The general partner has the discretion to change the amounts assessed to each class for organization and offering expenses, provided the amounts do not exceed the limits set forth in the limited partnership agreement.  In its discretion, the general partner may require Grant Park to reimburse the general partner in any subsequent calendar year for amounts that exceed these limits in any calendar year, provided that the maximum amount reimbursed by Grant Park in any calendar year will not exceed the overall limits set forth above.
 
The NASAA Guidelines require that the organization and offering expenses of Grant Park will not exceed 15% of the total subscriptions accepted.  The general partner, and not Grant Park, will be responsible for any expenses in excess of that limitation.  Since the general partner has agreed to limit
 
 
 
Grant Park’s responsibility for these expenses to a total of 1% per annum of Grant Park’s average month-end net assets, the general partner does not expect the NASAA Guidelines limit of 15% of total subscriptions to be reached.
 
 

SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT AND RELATED STOCKHOLDER MATTERS
 
Grant Park has no officers or directors.  Its affairs are managed by its general partner, Dearborn Capital Management, L.L.C.  Set forth in the table below is information regarding the beneficial ownership of the officers of Grant Park’s general partner in Grant Park as of December 31, 2009.
 
 
Name
 
Number of Class A Limited Partnership Units
   
Number of Class B Limited Partnership Units
   
Number of Legacy 1 Class Limited Partnership Units
   
Number of Legacy 2 Class Limited Partnership Units
   
Number of Global 1 Class Limited Partnership Units
   
Number of Global 2 Class Limited Partnership Units
   
Number of Global 3 Class Limited Partnership Units
   
Number of General Partnership Units
 
Dearborn Capital Management, LLC
    2,707.791       384.311       922.500       900.000       940.193       638.077       450.000       771.430  
David M. Kavanagh
    2,707.791 (1)     384.311 (1)     922.500 (1)     900.000 (1)     940.193 (1)     638.077 (1)     450.800 (1)     771.430 (1)
Patrick J. Meehan
    135.123                         150.000                    
Maureen O’Rourke
                24.734             25.000                    


Name
 
Percentage of Outstanding Class A Limited Partnership Units
   
Percentage of Outstanding Class B Limited Partnership Units
   
Percentage of Outstanding Legacy 1 Class Limited Partnership Units
   
Percentage of Outstanding Legacy 2 Class Limited Partnership Units
   
Percentage of Outstanding Global 1 Class Limited Partnership Units
   
Percentage of Outstanding Global 2 Class Limited Partnership Units
   
Percentage of Outstanding Global 3 Class Limited Partnership Units
   
Percentage of General Partnership Units
 
Dearborn Capital Management, LLC
    5.30 %     0.07 %     19.32 %     22.37 %     21.87 %     8.00 %     1.10 %     100.00 %
David M. Kavanagh
    5.30 %     0.07 %     19.32 %     22.37 %     21.87 %     8.00 %     1.10 %     100.00 %
Patrick J. Meehan
    0.26 %                       3.49 %                  
Maureen O’Rourke
                0.52 %           0.58 %                  
_______________
(1)
Represents units directly held by Dearborn Capital Management, L.L.C., the general partner of Grant Park.  The managing member of Dearborn Capital Management, L.L.C. is Dearborn Capital Management Ltd.  Mr. Kavanagh is the sole shareholder of Dearborn Capital Management Ltd.
 
Grant Park has no securities authorized for issuance under equity compensation plans.
 


CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS, AND DIRECTOR INDEPENDENCE
 
See Item 10, “Directors, Executive Officers and Corporate Governance”, Item 11, “Executive Compensation” and Item 12, “Security Ownership of Certain Beneficial Owners and Management.”
 
PRINCIPAL ACCOUNTING FEES AND SERVICES
 
The following table sets forth the fees billed to Grant Park for professional audit services provided by McGladrey & Pullen, LLP, Grant Park’s independent registered public accountant, for the audit of Grant Park’s annual financial statements for the years ended December 31, 2009 and 2008, and fees billed for other professional services rendered by McGladrey & Pullen, LLP and RSM McGladrey, Inc. (an associated entity of McGladrey & Pullen, LLP) during those years.
 
Fee Category
 
2009
   
2008
 
Audit Fees(1) 
  $ 201,100     $ 162,120  
Audit-Related Fees
    43,360       28,286  
Tax Fees(2) 
    6,500       6,800  
All Other Fees
           
Total Fees
  $ 250,960     $ 197,206  
_____________
(1)
Audit fees consist of fees for professional services rendered for the audit of Grant Park’s financial statements and review of financial statements included in Grant Park’s quarterly reports, as well as services normally provided by the independent accountant in connection with statutory and regulatory filings or engagements.
(2)
Tax fees consist of compliance fees for the preparation of original tax returns.
 
The Audit Committee of Grant Park’s general partner, Dearborn Capital Management, L.L.C., pre-approves all audit and permitted non-audit services of Grant Park’s independent accountants, including all engagement fees and terms.  The Audit Committee of Dearborn approved all the services provided by McGladrey & Pullen, LLP and RSM McGladrey, Inc. (collectively “McGladrey”) during 2009 and 2008 to Grant Park described above.  The Audit Committee has determined that the payments made to McGladrey for these services during 2009 and 2008 are compatible with maintaining that firm’s independence.
 
 
EXHIBITS AND FINANCIAL STATEMENT SCHEDULES
 
(a)           The following documents are filed as part of this report:
 
 
(1)
See Financial Statements beginning on page F-1 hereof.
 
 
(2)
Schedules:
 
Financial statement schedules have been omitted because they are not included in the financial statements or notes hereto applicable or because equivalent information has been included in the financial statements or notes thereto.
 
 
 
 
 
(3)
Exhibits
 
Exhibit
Number
Description of Document
3.1(1)
Third Amended and Restated Limited Partnership Agreement of the Registrant.
 
3.2(2)
Certificate of Limited Partnership of the Registrant.
 
10.1(3)
Form of Advisory Contract among the Registrant, Dearborn Capital Management, L.L.C., the trading advisor and the trading company
 
10.2(4)
Subscription Agreement and Power of Attorney.
 
10.3(5)
 
Request for Redemption Form.
 
10.4(3)
 
Operating Agreement of GP Cash Management, LLC.
 
10.5(3)
 
Form of LLC operating agreement governing each Trading Company.
 
24.1
Power of Attorney (included on signature page).
 
31.1
Certification of Principal Executive Officer pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934.
 
31.2
Certification of Principal Financial Officer pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934.
 
32.1
Certification pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
_____________
(1)
Included as Appendix A to the prospectus which is part of the Registrant’s Registration Statement on Form S-1 (File No. 333-153862) and incorporated herein by reference.
(2)
Filed as an Exhibit to the Registrant’s Registration Statement on Form S-1 (File No. 333-104317) and incorporated herein by reference.
(3)
Filed as an Exhibit to the Registrant’s Registration Statement on Form S-1 (File No. 333-153862) and incorporated herein by reference.
(4)
Included as Appendix B to the prospectus which is part of the Registrant’s Registration Statement on Form S-1 (File No. 333-153862).
(5)
Included as Appendix D to the prospectus which is part of the Registrant’s Registration Statement on Form S-1 (File No. 333-153862).
 

 
36

 

INDEX TO FINANCIAL STATEMENTS
 
Grant Park Futures Fund Limited Partnership
 
   
   
   
   
   
   
   
   
Dearborn Select Master Fund, SPC – Winton Segregated Portfolio
 
   
   
   
   
   
   
   
   


F-1



REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
 
To the Partners
Grant Park Futures Fund Limited Partnership
 
We have audited the accompanying consolidated statements of financial condition, including the consolidated condensed schedules of investments, of Grant Park Futures Fund Limited Partnership (the Partnership) as of December 31, 2009 and 2008, and the related consolidated statements of operations and changes in partners’ capital for each of the three years in the period ended December 31, 2009.  These financial statements are the responsibility of the Partnership’s management.  Our responsibility is to express an opinion on these financial statements based on our audits.
 
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement.  An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements.  An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation.  We believe that our audits provide a reasonable basis for our opinion.
 
In our opinion, the consolidated financial statements referred to above present fairly, in all material respects, the financial position of Grant Park Futures Fund Limited Partnership as of December 31, 2009 and 2008, and the results of their operations for each of the three years in the period ended December 31, 2009, in conformity with U.S. generally accepted accounting principles.
 
   As discussed in Note 1 to the consolidated financial statements, the Partnership has elected to change its method of accounting for organization and offering costs as of and for the year ended December 31, 2009.
 
We were not engaged to examine management’s assessment of the effectiveness of Grant Park Futures Fund Limited Partnership’s internal control over financial reporting as of December 31, 2009 included in the accompanying Report on Management’s Assessment of Internal Control Over Financial Reporting and, accordingly, we do not express an opinion thereon.
 
   /s/ McGladrey & Pullen, LLP
 
Chicago, Illinois
February 22, 2010
 
 
 
F-2


Grant Park Futures Fund Limited Partnership
Consolidated Statements of Financial Condition
December 31, 2009 and 2008
 
   
2009
   
2008
 
Assets
           
Equity in brokers’ trading accounts:
           
U.S. Government securities, at fair value
  $ 89,970,252     $ 29,215,898  
Government-sponsored enterprises, at fair value
          15,695,417  
Cash
    24,103,516       11,972,086  
Unrealized gain on open contracts, net
    14,009,391       5,210,231  
Deposits with brokers
    128,083,159       62,093,632  
Cash and cash equivalents
    42,335,885       157,740,416  
Certificates of deposit, at fair value
    15,755,711       28,525,736  
Commercial paper, at fair value
          9,979,833  
Government-sponsored enterprises, at fair value
    596,671,609       311,078,226  
U.S. Government securities, at fair value
    74,755,744          
Redemption receivable
          115,343,975  
Interest receivable
          233,208  
Total assets
  $ 857,602,108     $ 684,995,026  
                 
Liabilities and Partners’ Capital
               
Liabilities
               
Brokerage commission payable
  $ 5,153,201     $ 3,928,422  
Accrued incentive fees
    203,427       8,324,848  
Organization and offering costs payable
    197,909       297,332