Attached files

file filename
EXCEL - IDEA: XBRL DOCUMENT - GRANT PARK FUTURES FUND LIMITED PARTNERSHIPFinancial_Report.xls
EX-31.2 - EX-31.2 - GRANT PARK FUTURES FUND LIMITED PARTNERSHIPa14-19740_1ex31d2.htm
EX-31.1 - EX-31.1 - GRANT PARK FUTURES FUND LIMITED PARTNERSHIPa14-19740_1ex31d1.htm
EX-32.1 - EX-32.1 - GRANT PARK FUTURES FUND LIMITED PARTNERSHIPa14-19740_1ex32d1.htm

Table of Contents

 

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM 10-Q

 

ý         QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

 

For the Quarterly Period Ended:  September 30, 2014

 

o         TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

 

For the Transition Period From               to              .

 

Commission File Number:  0-50316

 

Grant Park Futures Fund

Limited Partnership

(Exact name of registrant as specified in its charter)

 

Illinois

 

36-3596839

(State or other jurisdiction of
incorporation or organization)

 

(I.R.S. Employer
Identification No.)

 

c/o Dearborn Capital Management, L.L.C.
626 West Jackson Boulevard, Suite 600
Chicago, Illinois 60661

(Address of principal executive offices, including zip code)

 

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

 

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

 

Indicate by check mark whether the Registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§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  x  No  o

 

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 definitions of “large accelerated filer”, “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check one):

 

Large accelerated filer o

 

Accelerated filer o

 

Non-accelerated filer x

 

Smaller reporting company o

 

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  o  No  x

 

 

 



Table of Contents

 

GRANT PARK FUTURES FUND LIMITED PARTNERSHIP

 

QUARTER ENDED SEPTEMBER 30, 2014

 

INDEX

 

PART I - FINANCIAL INFORMATION

 

 

 

 

Item 1.

Financial Statements

 

 

 

 

 

Consolidated Statements of Financial Condition as of September 30, 2014 (unaudited) and December 31, 2013 (audited)

1

 

 

 

 

Consolidated Condensed Schedule of Investments as of September 30, 2014 (unaudited)

2

 

 

 

 

Consolidated Condensed Schedule of Investments as of December 31, 2013 (audited)

4

 

 

 

 

Consolidated Statements of Operations for the three and nine months ended September 30, 2014 and 2013 (unaudited)

6

 

 

 

 

Consolidated Statements of Changes in Partners’ Capital (Net Asset Value) for the nine months ended September 30, 2014 and 2013 (unaudited)

7

 

 

 

 

Notes to Consolidated Financial Statements (unaudited)

9

 

 

 

Item 2.

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

25

 

 

 

Item 3.

Quantitative and Qualitative Disclosures About Market Risk

35

 

 

 

Item 4.

Controls and Procedures

39

 

 

 

PART II - OTHER INFORMATION

 

 

 

 

Item 1A.

Risk Factors

39

 

 

 

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds

39

 

 

 

Item 6.

Exhibits

41

 

 

 

SIGNATURES

42

CERTIFICATIONS

 

 



Table of Contents

 

PART I - FINANCIAL INFORMATION

 

Item 1.  Financial Statements

 

Grant Park Futures Fund Limited Partnership

Consolidated Statements of Financial Condition

 

 

 

September 30,

 

December 31,

 

 

 

2014

 

2013

 

 

 

(Unaudited)

 

(Audited)

 

Assets

 

 

 

 

 

Equity in brokers’ trading accounts:

 

 

 

 

 

Cash

 

$

41,836,209

 

$

54,216,191

 

Unrealized gain (loss) on open contracts, net

 

10,181,558

 

25,510,118

 

Total equity in brokers’ trading accounts

 

52,017,767

 

79,726,309

 

Cash and cash equivalents

 

82,368,856

 

147,776,512

 

Securities owned, at fair value (cost $181,853,497 and $241,686,422, respectively)

 

182,070,254

 

242,024,612

 

Interest receivable, net

 

 

20,055

 

Total assets

 

$

316,456,877

 

$

469,547,488

 

Liabilities and Partners’ Capital (Net Asset Value)

 

 

 

 

 

Liabilities

 

 

 

 

 

Brokerage commission payable

 

$

1,669,611

 

$

2,719,686

 

Accrued incentive fees

 

2,078,919

 

1,167,218

 

Organization and offering costs payable

 

76,142

 

113,427

 

Accrued operating expenses

 

65,564

 

97,632

 

Interest payable, net

 

6,169

 

 

Pending limited partner additions

 

27,500

 

161,400

 

Redemptions payable to limited partners

 

6,592,141

 

17,916,116

 

Total liabilities

 

10,516,046

 

22,175,479

 

Partners’ Capital (Net Asset Value)

 

 

 

 

 

General Partner

 

 

 

 

 

Class A (307.34 and 763.99 units outstanding at September 30, 2014 and December 31, 2013, respectively)

 

361,096

 

893,603

 

Legacy 1 Class (1,025.00 units outstanding at both September 30, 2014 and December 31, 2013)

 

899,589

 

882,283

 

Legacy 2 Class (263.13 and 1,000.00 units outstanding at September 30, 2014 and December 31, 2013, respectively)

 

227,230

 

847,762

 

Global 1 Class (1,372.89 units outstanding at both September 30, 2014 and December 31, 2013)

 

1,171,623

 

1,146,701

 

Global 2 Class (1,329.58 and 1,974.70 units outstanding at September 30, 2014 and December 31, 2013, respectively)

 

1,116,871

 

1,626,069

 

Limited Partners

 

 

 

 

 

Class A (12,397.51 and 17,492.46 units outstanding at September 30, 2014 and December 31, 2013, respectively)

 

14,565,700

 

20,460,216

 

Class B (162,090.57 and 222,772.45 units outstanding at September 30, 2014 and December 31, 2013, respectively)

 

158,806,613

 

218,187,750

 

Legacy 1 Class (1,968.33 and 3,313.23 units outstanding at September 30, 2014 and December 31, 2013, respectively)

 

1,727,502

 

2,851,909

 

Legacy 2 Class (918.82 and 5,130.96 units outstanding at September 30, 2014 and December 31, 2013, respectively)

 

793,457

 

4,349,828

 

Global 1 Class (5,293.99 and 9,938.76 units outstanding at September 30, 2014 and December 31, 2013, respectively)

 

4,517,877

 

8,301,280

 

Global 2 Class (5,609.41 and 17,903.21 units outstanding at September 30, 2014 and December 31, 2013, respectively)

 

4,712,012

 

14,742,440

 

Global 3 Class (153,599.58 and 228,934.56 units outstanding at September 30, 2014 and December 31, 2013, respectively)

 

117,041,261

 

173,082,168

 

Total partners’ capital (net asset value)

 

305,940,831

 

447,372,009

 

Total liabilities and partners’ capital (net asset value)

 

$

316,456,877

 

$

469,547,488

 

 

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

 

1



Table of Contents

 

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments

September 30, 2014

(Unaudited)

 

Futures and Forwards Contracts

 

 

 

Unrealized
gain/(loss) on
open long
contracts

 

Percent of
Partners’
Capital (Net
Asset Value)

 

Unrealized
gain/(loss) on
open short
contracts

 

Percent of
Partners’
Capital (Net
Asset Value)

 

Net unrealized
gain/(loss) on
open contracts

 

Percent of
Partners’
Capital (Net
Asset Value)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Futures Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$

(829,989

)

(0.27

)%

$

2,331,623

 

0.76

%

$

1,501,634

 

0.49

%

Currencies

 

$

116,890

 

0.04

%

$

4,516,468

 

1.48

%

$

4,633,358

 

1.51

%

Energy

 

$

(9,676

)

(0.00

)%

$

695,539

 

0.23

%

$

685,863

 

0.23

%

Interest rates

 

$

(282,906

)

(0.09

)%

$

(41,973

)

(0.02

)%

$

(324,879

)

(0.11

)%

Meats

 

$

294,547

 

0.10

%

$

(17,050

)

(0.01

)%

$

277,497

 

0.09

%

Metals

 

$

 

(0.00

)%

$

2,678,449

 

0.88

%

$

2,678,449

 

0.88

%

Soft commodities

 

$

117,650

 

0.04

%

$

164,973

 

0.05

%

$

282,623

 

0.09

%

Stock indices and single stock futures

 

$

(674,527

)

(0.22

)%

$

101,993

 

0.03

%

$

(572,534

)

(0.19

)%

Total U.S. Futures Positions

 

$

(1,268,011

)

 

 

$

10,430,022

 

 

 

$

9,162,011

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$

 

(0.00

)%

$

16,868

 

0.01

%

$

16,868

 

0.01

%

Energy

 

$

 

(0.00

)%

$

1,129,543

 

0.37

%

$

1,129,543

 

0.37

%

Interest rates

 

$

1,510,555

 

0.49

%

$

(17,963

)

(0.01

)%

$

1,492,592

 

0.48

%

Metals

 

$

(2,343,281

)

(0.77

)%

$

2,105,110

 

0.69

%

$

(238,171

)

(0.08

)%

Soft commodities

 

$

24,274

 

0.01

%

$

16,563

 

0.01

%

$

40,837

 

0.02

%

Stock indices

 

$

(904,781

)

(0.30

)%

$

59,177

 

0.02

%

$

(845,604

)

(0.28

)%

Total Foreign Futures Positions

 

$

(1,713,233

)

 

 

$

3,309,298

 

 

 

$

1,596,065

 

 

 

Total Futures Contracts

 

$

(2,981,244

)

(0.97

)%

$

13,739,320

 

4.49

%

$

10,758,076

 

3.52

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

Currencies

 

$

309,700

 

0.10

%

$

(886,218

)

(0.29

)%

$

(576,518

)

(0.19

)%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Futures and Forward Contracts

 

$

(2,671,544

)

(0.87

)%

$

12,853,102

 

4.20

%

$

10,181,558

 

3.33

%

 


*  No individual futures and forward contract position constituted greater than 1 percent of partners’ capital (net asset value).  Accordingly, the number of contracts and expiration dates are not presented.

 

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

 

2



Table of Contents

 

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

September 30, 2014

(Unaudited)

 

Securities owned

 

U.S. Bank deposits

 

 

 

 

 

 

 

 

 

Percent of Partners’ Capital

 

Face Value

 

Maturity Date

 

Description

 

Fair Value

 

(net asset value)

 

$

10,000,000

 

11/28/2014

 

U.S. Certificates of deposit, 0.4% (cost of $10,000,000)

 

$

10,023,889

 

3.28

%

 

U.S. Commercial paper

 

 

 

 

 

 

 

 

 

Percent of Partners’ Capital

 

Face Value

 

Maturity Date

 

Description

 

Fair Value

 

(net asset value)

 

$

2,660,000

 

10/1/2014

 

U.S. Commercial paper, 0.2% (cost of $2,658,271)

 

$

2,660,000

 

0.87

%

 

U.S. Government-sponsored enterprises

 

 

 

 

 

 

 

 

 

Percent of Partners’ Capital

 

Face Value

 

Maturity Dates

 

Description

 

Fair Value

 

(net asset value)

 

$

85,000,000

 

2/28/2017-9/29/2017

 

Federal Home Loan Banks, 0.9-1.3%

 

$

85,125,804

 

27.82

%

$

61,950,000

 

10/24/2014-12/15/2014

 

Federal Farm Credit Banks, 0.2%

 

61,952,856

 

20.25

%

Total U.S. Government-sponsored enterprises (cost of $146,938,829)

 

$

147,078,660

 

48.07

%

 

Corporate Bonds

 

 

 

 

 

 

 

 

 

Percent of Partners’ Capital

 

Face Value

 

Maturity Dates

 

Description

 

Fair Value

 

(net asset value)

 

 

 

 

 

 

 

 

 

 

 

$

3,542,000

 

11/14/2014-2/3/2015

 

Foreign corporate bonds, 0.6-0.8% **

 

$

3,563,126

 

1.16

%

$

18,283,000

 

11/18/2014-10/1/2015

 

U.S. corporate bonds, 0.7-1.1% **

 

18,744,579

 

6.13

%

Total Corporate bonds (cost of $22,256,397)

 

$

22,307,705

 

7.29

%

 

 

 

 

 

Percent of Partners’ Capital

 

 

 

Fair Value

 

(net asset value)

 

Total securities owned

 

$

182,070,254

 

59.51

%

 


** No individual position constituted greater than 1 percent of partners’ capital (net asset value).

 

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

 

3



Table of Contents

 

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments

December 31, 2013

 

Futures, Forwards and Options on Futures and Forward Contracts

 

 

 

Unrealized
gain/(loss) on
open long
contracts

 

Percent of
Partners’ Capital
(Net Asset Value)

 

Unrealized
gain/(loss) on
open short
contracts

 

Percent of
Partners’
Capital (Net
Asset Value)

 

Net unrealized
gain/(loss) on
open contracts

 

Percent of
Partners’
Capital (Net
Asset Value)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Futures Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$

(672,421

)

(0.15

)%

$

2,790,891

 

0.62

%

$

2,118,470

 

0.47

%

Currencies

 

$

2,379,330

 

0.53

%

$

4,686,390

 

1.05

%

$

7,065,720

 

1.58

%

Energy

 

$

(117,375

)

(0.02

)%

$

(69,658

)

(0.02

)%

$

(187,033

)

(0.04

)%

Interest rates

 

$

(198,405

)

(0.04

)%

$

828,434

 

0.19

%

$

630,029

 

0.15

%

Meats

 

$

(19,547

)

(0.00

)%

$

30,940

 

0.01

%

$

11,393

 

0.01

%

Metals

 

$

53,375

 

0.01

%

$

1,645,510

 

0.37

%

$

1,698,885

 

0.38

%

Soft commodities

 

$

16,517

 

0.00

%

$

23,094

 

0.01

%

$

39,611

 

0.01

%

Stock indices and single stock futures

 

$

5,467,944

 

1.22

%

$

14,419

 

0.00

%

$

5,482,363

 

1.22

%

Total U.S. Futures Positions

 

$

6,909,418

 

 

 

$

9,950,020

 

 

 

$

16,859,438

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$

9,069

 

0.00

%

$

37,257

 

0.01

%

$

46,326

 

0.01

%

Energy

 

$

180,496

 

0.04

%

$

14,027

 

0.00

%

$

194,523

 

0.04

%

Interest rates

 

$

(1,550,167

)

(0.35

)%

$

1,080,501

 

0.24

%

$

(469,666

)

(0.11

)%

Metals

 

$

(685,660

)

(0.15

)%

$

(787,648

)

(0.18

)%

$

(1,473,308

)

(0.33

)%

Soft commodities

 

$

(1,921

)

(0.00

)%

$

(614

)

(0.00

)%

$

(2,535

)

(0.00

)%

Stock indices

 

$

9,588,632

 

2.14

%

$

(76,992

)

(0.02

)%

$

9,511,640

 

2.12

%

Total Foreign Futures Positions

 

$

7,540,449

 

 

 

$

266,531

 

 

 

$

7,806,980

 

 

 

Total Futures Contracts

 

$

14,449,867

 

3.23

%

$

10,216,551

 

2.28

%

$

24,666,418

 

5.51

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

Currencies

 

$

799,760

 

0.18

%

$

(64,142

)

(0.01

)%

$

735,618

 

0.17

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Options on Futures and Forward Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

Currencies

 

$

100,190

 

0.02

%

$

(7,546

)

(0.00

)%

$

92,644

 

0.02

%

Interest rates

 

$

15,438

 

0.00

%

$

 

(0.00

)%

$

15,438

 

0.00

%

Total Options on Futures and Forward Contracts

 

$

115,628

 

0.02

%

$

(7,546

)

(0.00

)%

$

108,082

 

0.02

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Futures, Forward and Options on Futures and Forward Contracts

 

$

15,365,255

 

3.43

%

$

10,144,863

 

2.27

%

$

25,510,118

 

5.70

%

 


*  No individual futures, forward, and options on futures and forward contract position constituted greater than 1 percent of partners’

    capital (net asset value). Accordingly, the number of contracts and expiration dates are not presented.

 

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

 

4



Table of Contents

 

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

December 31, 2013

 

Securities owned

 

U.S. Government-sponsored enterprises

 

 

 

 

 

 

 

 

 

Percent of Partners’ Capital

 

Face Value

 

Maturity Dates

 

Description

 

Fair Value

 

(net asset value)

 

$

132,450,000

 

8/27/2014-10/7/2016

 

Federal Farm Credit Banks, 0.2-0.9%

 

$

132,509,255

 

29.62

%

$

25,000,000

 

7/29/2016-9/27/2016

 

Federal Home Loan Banks, 1-1.2%

 

25,088,017

 

5.61

%

Total U.S. Government-sponsored enterprises (cost of $157,435,063)

 

$

157,597,272

 

35.23

%

 

Corporate Bonds

 

 

 

 

 

 

 

 

 

Percent of Partners’ Capital

 

Face Value

 

Maturity Dates

 

Description

 

Fair Value

 

(net asset value)

 

 

 

 

 

 

 

 

 

 

 

$

17,122,000

 

1/15/2014-2/3/2015

 

Foreign corporate bonds, 0.6-1.4% **

 

$

17,538,526

 

3.92

%

$

54,702,000

 

1/15/2014-1/15/2016

 

U.S. corporate bonds, 0.5-1.5% **

 

56,890,467

 

12.72

%

Total Corporate bonds (cost of $74,253,167)

 

$

74,428,993

 

16.64

%

 

U.S. Government securities

 

 

 

 

 

 

 

 

 

Percent of Partners’ Capital

 

Face Value

 

Maturity Date

 

Description

 

Fair Value

 

(net asset value)

 

 

 

 

 

 

 

 

 

 

 

$

10,000,000

 

3/27/2014

 

U.S. Treasury Bill, 0.1% (cost of $9,998,192)

 

$

9,998,347

 

2.23

%

 

 

 

 

 

 

 

 

 

Percent of Partners’ Capital

 

 

 

 

 

 

 

Fair Value

 

(net asset value)

 

Total securities owned

 

$

242,024,612

 

54.10

%

 


** No individual position constituted greater than 1 percent of partners’ capital (net asset value).

 

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

 

5



Table of Contents

 

Grant Park Futures Fund Limited Partnership

Consolidated Statements of Operations

(Unaudited)

 

 

 

Three Months Ended

 

Nine Months Ended

 

 

 

September 30,

 

September 30,

 

 

 

2014

 

2013

 

2014

 

2013

 

 

 

 

 

 

 

 

 

 

 

Net trading gains (losses)

 

 

 

 

 

 

 

 

 

Net gain (loss) from futures and forward trading

 

 

 

 

 

 

 

 

 

Realized

 

$

24,998,209

 

$

(282,527

)

$

31,681,438

 

$

(7,587,747

)

Change in unrealized

 

(685,205

)

(7,289,668

)

(15,249,193

)

(6,517,269

)

Commissions

 

(1,200,795

)

(1,965,466

)

(4,150,577

)

(6,550,233

)

Net gains (losses) from futures and forward trading

 

23,112,209

 

(9,537,661

)

12,281,668

 

(20,655,249

)

Net investment income (loss)

 

 

 

 

 

 

 

 

 

Income

 

 

 

 

 

 

 

 

 

Interest income

 

246,032

 

333,173

 

820,819

 

966,240

 

Expenses from operations

 

 

 

 

 

 

 

 

 

Brokerage commission

 

4,147,505

 

7,348,924

 

14,220,918

 

24,549,669

 

Incentive fees

 

2,078,920

 

 

2,914,359

 

339,819

 

Organizational and offering costs

 

232,297

 

380,255

 

803,252

 

1,264,968

 

Operating expenses

 

200,132

 

327,578

 

691,763

 

1,091,706

 

Total expenses

 

6,658,854

 

8,056,757

 

18,630,292

 

27,246,162

 

Net investment loss

 

$

(6,412,822

)

$

(7,723,584

)

$

(17,809,473

)

$

(26,279,922

)

Net income (loss)

 

$

16,699,387

 

$

(17,261,245

)

$

(5,527,805

)

$

(46,935,171

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net income (loss) per unit (based on weighted average number of units outstanding during the period) and increase (decrease) in net asset value per unit for the period:

 

 

 

 

 

 

 

 

 

General Partner & Limited Partner Class A Units

 

$

62.18

 

$

(38.24

)

$

5.23

 

$

(100.62

)

General Partner & Limited Partner Class B Units

 

$

50.78

 

$

(33.65

)

$

0.32

 

$

(89.30

)

General Partner & Limited Partner Legacy 1 Class Units

 

$

49.96

 

$

(23.15

)

$

16.89

 

$

(58.62

)

General Partner & Limited Partner Legacy 2 Class Units

 

$

49.30

 

$

(23.32

)

$

15.80

 

$

(59.27

)

General Partner & Limited Partner Global 1 Class Units

 

$

48.78

 

$

(21.30

)

$

18.16

 

$

(52.97

)

General Partner & Limited Partner Global 2 Class Units

 

$

47.73

 

$

(21.52

)

$

16.57

 

$

(53.80

)

General Partner & Limited Partner Global 3 Class Units

 

$

40.76

 

$

(23.08

)

$

5.96

 

$

(59.71

)

 

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

 

6



Table of Contents

 

Grant Park Futures Fund Limited Partnership

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

Nine Months Ended September 30, 2014

(Unaudited)

 

 

 

Class A

 

Class B

 

Legacy 1 Class

 

Legacy 2 Class

 

 

 

General Partner

 

Limited Partners

 

General Partner

 

Limited Partners

 

General Partner

 

Limited Partners

 

General Partner

 

Limited Partners

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

 

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Partners’ capital, (net asset value) December 31, 2013

 

763.99

 

$

893,603

 

17,492.46

 

$

20,460,216

 

 

$

 

222,772.45

 

$

218,187,750

 

1,025.00

 

$

882,283

 

3,313.23

 

$

2,851,909

 

1,000.00

 

$

847,762

 

5,130.96

 

$

4,349,828

 

Contributions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8.26

 

7,000

 

Redemptions

 

(456.65

)

(500,000

)

(5,094.95

)

(5,683,395

)

 

 

(60,681.88

)

(56,461,396

)

 

 

(1,344.90

)

(1,120,711

)

(736.87

)

(600,000

)

(4,220.40

)

(3,434,539

)

Net income (loss)

 

 

(32,507

)

 

(211,121

)

 

 

 

(2,919,741

)

 

17,306

 

 

(3,696

)

 

(20,532

)

 

(128,832

)

Partners’ capital, (net asset value) September 30, 2014

 

307.34

 

$

361,096

 

12,397.51

 

$

14,565,700

 

 

$

 

162,090.57

 

$

158,806,613

 

1,025.00

 

$

899,589

 

1,968.33

 

$

1,727,502

 

263.13

 

$

227,230

 

918.82

 

$

793,457

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at December 31, 2013

 

 

 

$

1,169.66

 

 

 

 

 

 

 

$

979.42

 

 

 

 

 

 

 

$

860.76

 

 

 

 

 

 

 

$

847.76

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at September 30, 2014

 

 

 

$

1,174.89

 

 

 

 

 

 

 

$

979.74

 

 

 

 

 

 

 

$

877.65

 

 

 

 

 

 

 

$

863.56

 

 

 

 

 

 

 

 

Global 1 Class

 

Global 2 Class

 

Global 3 Class

 

 

 

 

 

General Partner

 

Limited Partners

 

General Partner

 

Limited Partners

 

General Partner

 

Limited Partners

 

 

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Total

 

 

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

Amount

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Partners’ capital, (net asset value) December 31, 2013

 

1,372.89

 

$

1,146,701

 

9,938.76

 

$

8,301,280

 

1,974.70

 

$

1,626,069

 

17,903.21

 

$

14,742,440

 

 

$

 

228,934.56

 

$

173,082,168

 

$

447,372,009

 

Contributions

 

 

 

297.39

 

243,016

 

 

 

57.38

 

45,500

 

 

 

3,490.12

 

2,517,200

 

2,812,716

 

Redemptions

 

 

 

(4,942.16

)

(3,918,583

)

(645.12

)

(500,000

)

(12,351.18

)

(9,762,801

)

 

 

(78,825.10

)

(56,734,664

)

(138,716,089

)

Net income (loss)

 

 

24,922

 

 

(107,836

)

 

(9,198

)

 

(313,127

)

 

 

 

(1,823,443

)

(5,527,805

)

Partners’ capital, (net asset value) September 30, 2014

 

1,372.89

 

$

1,171,623

 

5,293.99

 

$

4,517,877

 

1,329.58

 

$

1,116,871

 

5,609.41

 

$

4,712,012

 

 

$

 

153,599.58

 

$

117,041,261

 

$

305,940,831

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at December 31, 2013

 

 

 

$

835.24

 

 

 

 

 

 

 

$

823.45

 

 

 

 

 

 

 

$

756.03

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at September 30, 2014

 

 

 

$

853.40

 

 

 

 

 

 

 

$

840.02

 

 

 

 

 

 

 

$

761.99

 

 

 

 

 

 

 

 

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

 

7



Table of Contents

 

Grant Park Futures Fund Limited Partnership

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

Nine Months Ended September 30, 2013

(Unaudited)

 

 

 

Class A

 

Class B

 

Legacy 1 Class

 

Legacy 2 Class

 

 

 

General Partner

 

Limited Partners

 

General Partner

 

Limited Partners

 

General Partner

 

Limited Partners

 

General Partner

 

Limited Partners

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

 

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Partners’ capital, (net asset value) December 31, 2012

 

2,499.78

 

$

3,040,653

 

25,707.33

 

$

31,269,640

 

 

$

 

322,257.31

 

$

330,303,791

 

1,025.00

 

$

897,998

 

4,395.66

 

$

3,851,016

 

1,000.00

 

$

864,602

 

12,793.52

 

$

11,061,307

 

Contributions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

493.95

 

426,064

 

Redemptions

 

(1,735.79

)

(2,000,000

)

(6,075.50

)

(7,167,774

)

 

 

(69,628.16

)

(68,573,933

)

 

 

(756.72

)

(653,564

)

 

 

(4,299.47

)

(3,637,135

)

Net income (loss)

 

 

(188,234

)

 

(2,197,610

)

 

 

 

(25,352,720

)

 

(60,077

)

 

(222,677

)

 

(59,269

)

 

(611,911

)

Partners’ capital, (net asset value) September 30, 2013

 

763.99

 

$

852,419

 

19,631.83

 

$

21,904,256

 

 

$

 

252,629.15

 

$

236,377,138

 

1,025.00

 

$

837,921

 

3,638.94

 

$

2,974,775

 

1,000.00

 

$

805,333

 

8,988.00

 

$

7,238,325

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at December 31, 2012

 

 

 

$

1,216.37

 

 

 

 

 

 

 

$

1,024.97

 

 

 

 

 

 

 

$

876.10

 

 

 

 

 

 

 

$

864.60

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at September 30, 2013

 

 

 

$

1,115.75

 

 

 

 

 

 

 

$

935.67

 

 

 

 

 

 

 

$

817.48

 

 

 

 

 

 

 

$

805.33

 

 

 

 

 

 

 

 

Global 1 Class

 

Global 2 Class

 

Global 3 Class

 

 

 

 

 

General Partner

 

Limited Partners

 

General Partner

 

Limited Partners

 

General Partner

 

Limited Partners

 

 

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Total

 

 

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

Amount

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Partners’ capital, (net asset value) December 31, 2012

 

1,372.89

 

$

1,160,812

 

12,449.60

 

$

10,526,414

 

1,974.70

 

$

1,649,835

 

27,930.65

 

$

23,335,702

 

 

$

 

280,522.12

 

$

218,778,280

 

$

636,740,050

 

Contributions

 

 

 

1,049.77

 

889,871

 

 

 

2,344.85

 

1,955,847

 

 

 

30,415.54

 

23,210,114

 

26,481,896

 

Redemptions

 

 

 

(2,688.97

)

(2,208,058

)

 

 

(8,533.31

)

(6,934,624

)

 

 

(58,265.88

)

(43,953,874

)

(135,128,962

)

Net income (loss)

 

 

(72,724

)

 

(640,435

)

 

(106,229

)

 

(1,361,229

)

 

 

 

(16,062,056

)

(46,935,171

)

Partners’ capital, (net asset value) September 30, 2013

 

1,372.89

 

$

1,088,088

 

10,810.40

 

$

8,567,792

 

1,974.70

 

$

1,543,606

 

21,742.19

 

$

16,995,696

 

 

$

 

252,671.78

 

$

181,972,464

 

$

481,157,813

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at December 31, 2012

 

 

 

$

845.52

 

 

 

 

 

 

 

$

835.49

 

 

 

 

 

 

 

$

779.90

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at September 30, 2013

 

 

 

$

792.55

 

 

 

 

 

 

 

$

781.69

 

 

 

 

 

 

 

$

720.19

 

 

 

 

 

 

 

 

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

 

8



Table of Contents

 

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

 

Note 1.  Nature of Business and Significant Accounting Policies

 

Nature of business: Grant Park Futures Fund Limited Partnership (the “Partnership”) was organized as a limited partnership under Illinois law in August 1988 and will continue until December 31, 2027, unless terminated sooner as provided for in its Limited Partnership Agreement. As a commodity investment pool, the Partnership is subject to the regulations of the Commodity Futures Trading Commission (“CFTC”), an agency of the United States (U.S.) government which regulates most aspects of the commodity futures industry; rules of the National Futures Association, an industry self-regulatory organization; and the requirements of the various commodity exchanges where the Partnership executes transactions. Additionally, the Partnership is subject to the requirements of futures commission merchants (“FCMs”) and interbank and other market makers through which the Partnership trades. The Partnership is a registrant with the Securities and Exchange Commission (“SEC”), and, accordingly is subject to the regulatory requirements under the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended.

 

The Partnership engages in the speculative trading of futures and forward contracts for commodities, financial instruments or currencies, any rights pertaining thereto and any options thereon, or on physical commodities, equities, listed options, and broad based exchange-traded funds. The Partnership may also engage in hedge, arbitrage and cash trading of commodities and futures.

 

The Partnership is a multi-advisor commodity pool that carries out its purpose through trading by independent professional commodity trading advisors retained by Dearborn Capital Management, L.L.C. (the “General Partner”), the Partnership and, the Partnership’s subsidiary limited liability trading companies (each, a “Trading Company” and collectively, the “Trading Companies”). The Trading Companies were set up to, among other things, segregate risk by commodity trading advisor. Effectively, this structure isolates one trading advisor from another and any losses from one Trading Company will not carry over to the other Trading Companies. The following is a list of the Trading Companies, for which the Partnership is the sole member and all of which were organized as Delaware limited liability companies:

 

GP 1, LLC (“GP 1”)                                      GP 5, LLC (“GP 5”)                                      GP 9, LLC (“GP 9”)                                      GP 15, LLC (“GP 15”)

GP 3, LLC (“GP 3”)                                      GP 6, LLC (“GP 6”)                                      GP 11, LLC (“GP 11”)                        GP 17, LLC (“GP 17”)

GP 4, LLC (“GP 4”)                                      GP 8, LLC (“GP 8”)                                      GP 14, LLC (“GP 14”)                        GP 18, LLC (“GP 18”)

 

There were no assets allocated to GP 3, GP 5 and GP 15 as of September 30, 2014. There were no assets allocated to GP 5, GP 7, LLC, GP 10, LLC, GP 11 and GP 12, LLC, as of December 31, 2013.  GP 7, LLC, GP 10, LLC and GP 12, LLC were closed in July 2014.

 

Additionally, GP Cash Management, LLC (“GP Cash Management”) was created as a Delaware limited liability company to collectively manage and invest excess cash not required to be held at clearing brokers. The members of GP Cash Management are the Trading Companies.

 

Classes of interests: The Partnership has seven classes of limited partner interests (each, a “Class” and collectively, the “Interests”), Class A, Class B, 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.

 

The Class A and Class B units are outstanding but are no longer offered by the Partnership. Both Class A and Class B units are traded pursuant to identical trading programs and differ only in respect to the brokerage commission payable to the General Partner.

 

The Legacy 1 Class and Legacy 2 Class units are traded pursuant to trading programs pursuing a technical trend trading philosophy, which is the same trading philosophy used for the Class A and Class B units. The Legacy 1 Class and Legacy 2 Class units differ in respect to the General Partner’s brokerage commission and organization and offering costs. The Legacy 1 Class and Legacy 2 Class units are offered only to investors who are represented by approved selling agents who are directly compensated by the investor for services rendered in connection with an investment in the Partnership (such arrangements commonly referred to as “wrap-accounts”).

 

The Global 1 Class, Global 2 Class and Global 3 Class units are traded pursuant to trading programs pursuing technical trend trading philosophies. The Global 1 Class, Global 2 Class and Global 3 Class units differ in respect to the General Partner’s brokerage commission. The Global 1 Class and Global 2 Class units are offered only to investors in wrap accounts.

 

9



Table of Contents

 

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

 

The Partnership’s significant accounting policies are as follows:

 

Pursuant to rules and regulations of the SEC, audited consolidated financial statements are prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) as established by the Financial Accounting Standards Board (“FASB”) to ensure consistent reporting of financial condition and results of operations.

 

Consolidation: The Partnership is the sole member of each of the Trading Companies. The Trading Companies, in turn, are the only members of GP Cash Management. The Partnership presents consolidated financial statements, which include the accounts of the Trading Companies and GP Cash Management. All material inter-company accounts and transactions are eliminated in consolidation.

 

Use of estimates: The preparation of financial statements in conformity with U.S. GAAP 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.

 

Cash and cash equivalents: Cash and cash equivalents may include cash, overnight investments, commercial paper, U.S. treasury bills and short-term investments in interest-bearing demand deposits with banks and cash managers with original maturities of three months or less at the date of acquisition.

 

Valuation of investments: All investments are used for trading purposes and recorded at their estimated fair value, as described in Note 2.  Substantially all of the Partnership’s assets and liabilities are considered financial instruments and are recorded at fair value or at carrying amounts that approximate fair value because of the short maturity of the instruments.

 

Investment transactions, investment income and expenses: Futures contracts, forward contracts and options on futures and forward contracts are recorded on a trade date basis and realized gains or losses are recognized when contracts/positions are liquidated. Unrealized gains or losses on open contracts/positions (the difference between contract trade price and market price) or securities are reported in the consolidated statement of financial condition as a net unrealized gain or loss, as there exists a right of offset of unrealized gains or losses in accordance with FASB ASC 210-20, Balance Sheet, Offsetting. Any change in net unrealized gain or loss from the preceding period is reported in the consolidated statement of operations. Interest income and expense is recognized under the accrual basis.

 

Set forth in Note 10 are instruments and transactions eligible for offset in the consolidated statement of financial condition and which are subject to derivative clearing agreements with the Partnership’s clearing brokers.  Each clearing broker nets margin held on behalf of the Partnership or payment obligations of the clearing broker to the Partnership against any payment obligations of the Partnership to the clearing broker.  The Partnership is required to deposit margin at each clearing broker to meet the original and maintenance requirements established by that clearing broker, and/or the exchange or clearinghouse associated with the exchange on which the instrument is traded.  The derivative clearing agreements give each clearing broker a security interest in this margin to secure any liabilities owed to the clearing broker arising from a default by the Partnership.

 

Commissions: Commissions and other trading fees are reflected separately in the consolidated statement of operations.

 

Redemptions payable: Pursuant to the provisions of FASB ASC 480, Distinguishing Liabilities from Equity, redemptions approved by the General Partner prior to month end with a fixed effective date and fixed amount are recorded as redemptions payable as of month end.

 

Income taxes: No provision for income taxes has been made in these consolidated financial statements as each partner is individually responsible for reporting income or loss based on its respective share of the Partnership’s income and expenses as reported for income tax purposes.

 

The Partnership follows the provisions of ASC 740, Income Taxes. FASB guidance requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Partnership’s tax returns to determine whether the tax positions are more-likely-than-not” of being sustained “when challenged” or “when examined” by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense and liability in the current year. As of September 30, 2014 and December 31, 2013, management has determined that there are no material uncertain income tax positions and, accordingly, has not recorded a liability. The Partnership is generally not subject to examination by U.S. federal or state taxing authorities for tax years before 2011.

 

10



Table of Contents

 

Grant Park Futures Fund Limited Partnership