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Table of Contents

 

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM 10-Q

 

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

 

For the Quarterly Period Ended:  March 31, 2015

 

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.
555 West Jackson Boulevard, Suite 600
Chicago, Illinois 60661

(Address of principal executive offices, including zip code)

 

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

 

Indicate by check mark whether the Registrant: (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes 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 MARCH 31, 2015

 

INDEX

 

PART I - FINANCIAL INFORMATION

 

 

 

 

Item 1.

Financial Statements

 

 

 

 

 

Consolidated Statements of Financial Condition as of March 31, 2015 (unaudited) and December 31, 2014 (audited)

1

 

 

 

 

Consolidated Condensed Schedule of Investments as of March 31, 2015 (unaudited)

2

 

 

 

 

Consolidated Condensed Schedule of Investments as of December 31, 2014 (audited)

4

 

 

 

 

Consolidated Statements of Operations for the three months ended March 31, 2015 and 2014 (Unaudited)

6

 

 

 

 

Consolidated Statements of Changes in Partners’ Capital (Net Asset Value) for the three months ended March 31, 2015 and 2014 (unaudited)

7

 

 

 

 

Notes to Consolidated Financial Statements (unaudited)

9

 

 

 

Item 2.

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

26

 

 

 

Item 3.

Quantitative and Qualitative Disclosures About Market Risk

32

 

 

 

Item 4.

Controls and Procedures

36

 

 

 

PART II - OTHER INFORMATION

 

 

 

 

Item 1A.

Risk Factors

37

 

 

 

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds

37

 

 

 

Item 6.

Exhibits

39

 

 

 

SIGNATURES

40

CERTIFICATIONS

 

 



Table of Contents

 

PART I - FINANCIAL INFORMATION

 

Item 1.  Financial Statements

 

Grant Park Futures Fund Limited Partnership

Consolidated Statements of Financial Condition

 

 

 

March 31,

 

December 31,

 

 

 

2015

 

2014

 

 

 

(Unaudited)

 

 

 

Assets

 

 

 

 

 

Equity in brokers’ trading accounts:

 

 

 

 

 

Securities owned, at fair value (cost $12,393,731)

 

$

12,399,728

 

$

12,395,634

 

Cash

 

19,547,977

 

3,436,216

 

Net unrealized gain (loss) on open futures contracts

 

6,933,945

 

11,549,467

 

Total equity in brokers’ trading accounts

 

38,881,650

 

27,381,317

 

Cash and cash equivalents

 

161,795,310

 

173,204,949

 

Securities owned, at fair value (cost $105,186,129 and $111,958,454, respectively)

 

105,429,824

 

112,187,759

 

Net unrealized gain (loss) on open forward currency contracts

 

(438,811

)

(181,222

)

Interest receivable, net

 

38,011

 

31,132

 

Total assets

 

$

305,705,984

 

$

312,623,935

 

Liabilities and Partners’ Capital (Net Asset Value)

 

 

 

 

 

Liabilities

 

 

 

 

 

Brokerage charge payable

 

$

1,606,940

 

$

1,679,754

 

Accrued incentive fees

 

2,827,993

 

5,188,240

 

Organization and offering costs payable

 

73,143

 

74,324

 

Accrued operating expenses

 

63,177

 

64,150

 

Pending limited partner additions

 

497,000

 

115,000

 

Redemptions payable to limited partners

 

5,689,611

 

6,973,279

 

Total liabilities

 

10,757,864

 

14,094,747

 

Partners’ Capital (Net Asset Value)

 

 

 

 

 

General Partner

 

 

 

 

 

Class A (307.34 units outstanding at both March 31, 2015 and December 31, 2014)

 

394,648

 

383,435

 

Legacy 1 Class (1,025.00 units outstanding at both March 31, 2015 and December 31, 2014)

 

991,255

 

958,529

 

Legacy 2 Class (263.13 units outstanding at both March 31, 2015 and December 31, 2014)

 

250,277

 

242,148

 

Global 1 Class (1,372.89 units outstanding at both March 31, 2015 and December 31, 2014)

 

1,298,524

 

1,253,774

 

Global 2 Class (1,329.58 units outstanding at both March 31, 2015 and December 31, 2014,

 

1,236,834

 

1,194,874

 

 

 

 

 

 

 

Limited Partners

 

 

 

 

 

Class A (12,034.73 and 12,125.34 units outstanding at March 31, 2015 and December 31, 2014, respectively)

 

15,453,243

 

15,127,238

 

Class B (151,468.55 and 155,869.84 units outstanding at March 31, 2015 and December 31, 2014, respectively)

 

161,713,697

 

161,924,013

 

Legacy 1 Class (1,755.65 and 1,802.74 units outstanding at March 31, 2015 and December 31, 2014, respectively)

 

1,697,855

 

1,685,836

 

Legacy 2 Class (678.52 and 724.42 units outstanding at March 31, 2015 and December 31, 2014, respectively)

 

645,368

 

666,651

 

Global 1 Class (15,251.05 and 9,206.57 units outstanding at March 31, 2015 and December 31, 2014, respectively)

 

14,424,895

 

8,407,766

 

Global 2 Class (5,087.01 and 5,196.84 units outstanding at March 31, 2015 and December 31, 2014, respectively)

 

4,732,155

 

4,670,326

 

Global 3 Class (109,950.13 and 125,561.73 units outstanding at March 31, 2015 and December 31, 2014, respectively)

 

92,109,369

 

102,014,598

 

Total partners’ capital (net asset value)

 

294,948,120

 

298,529,188

 

Total liabilities and partners’ capital (net asset value)

 

$

305,705,984

 

$

312,623,935

 

 

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

March 31, 2015

(Unaudited)

 

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

 

$

(312,292

)

(0.11

)%

$

108,319

 

0.04

%

$

(203,973

)

(0.07

)%

Currencies

 

$

(3,115

)

(0.00

)%

$

206,864

 

0.07

%

$

203,749

 

0.07

%

Energy

 

$

(43,944

)

(0.01

)%

$

437,048

 

0.15

%

$

393,104

 

0.14

%

Interest rates

 

$

1,996,746

 

0.67

%

$

(65,438

)

(0.02

)%

$

1,931,308

 

0.65

%

Meats

 

$

47,295

 

0.02

%

$

35,173

 

0.01

%

$

82,468

 

0.03

%

Metals

 

$

(15,050

)

(0.01

)%

$

(231,355

)

(0.08

)%

$

(246,405

)

(0.09

)%

Soft commodities

 

$

(1,500

)

(0.00

)%

$

1,254,857

 

0.43

%

$

1,253,357

 

0.43

%

Stock indices and single stock futures

 

$

(156,035

)

(0.05

)%

$

(23,773

)

(0.01

)%

$

(179,808

)

(0.06

)%

Total U.S. Futures Positions

 

$

1,512,105

 

 

 

$

1,721,695

 

 

 

$

3,233,800

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$

980

 

0.00

%

$

1,979

 

0.00

%

$

2,959

 

0.00

%

Energy

 

$

 

(0.00

)%

$

137,411

 

0.05

%

$

137,411

 

0.05

%

Interest rates

 

$

2,879,648

 

0.98

%

$

(13,719

)

(0.00

)%

$

2,865,929

 

0.98

%

Metals

 

$

208,588

 

0.07

%

$

(480,813

)

(0.16

)%

$

(272,225

)

(0.09

)%

Soft commodities

 

$

(67,385

)

(0.02

)%

$

30,943

 

0.01

%

$

(36,442

)

(0.01

)%

Stock indices

 

$

990,962

 

0.35

%

$

11,551

 

0.00

%

$

1,002,513

 

0.35

%

Total Foreign Futures Positions

 

$

4,012,793

 

 

 

$

(312,648

)

 

 

$

3,700,145

 

 

 

Total Futures Contracts

 

$

5,524,898

 

1.87

%

$

1,409,047

 

0.48

%

$

6,933,945

 

2.35

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

Currencies

 

$

(31,146

)

(0.01

)%

$

(407,665

)

(0.14

)%

$

(438,811

)

(0.15

)%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Futures and Forward Contracts

 

$

5,493,752

 

1.86

%

$

1,001,382

 

0.34

%

$

6,495,134

 

2.20

%

 


*  No individual futures or 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)

March 31, 2015

(Unaudited)

 

 

U.S. Government securities in brokers’ trading accounts**

 

 

 

 

 

 

 

 

 

Percent of Partners’ Capital

 

Face Value

 

Maturity Date

 

Description

 

Fair Value

 

(net asset value)

 

$

12,400,000

 

6/18/2015

 

U.S. Treasury Bills, 0.1% (cost of $12,393,731)

 

$

12,399,728

 

4.20

%

 

Securities owned

 

U.S. Government-sponsored enterprises

 

 

 

 

 

 

 

 

 

Percent of Partners’ Capital

 

Face Value

 

Maturity Date

 

Description

 

Fair Value

 

(net asset value)

 

$

20,000,000

 

7/21/2017-10/23/2017

 

Federal Farm Credit Banks, 1.1%

 

$

20,070,417

 

6.80

%

$

70,233,333

 

3/27/2017-3/29/2018

 

Federal Home Loan Banks, 1.0-1.4%

 

70,369,113

 

23.86

%

$

5,000,000

 

12/22/2017-1/8/2018

 

Farmer Mac Callable Note, 1.3%

 

5,016,705

 

1.70

%

Total U.S. Government-sponsored enterprises (cost of $95,233,333)

 

$

95,456,235

 

32.36

%

 

Commercial paper

 

 

 

 

 

 

 

 

 

Percent of Partners’ Capital

 

Face Value

 

Maturity Date

 

Description

 

Fair Value

 

(net asset value)

 

 

 

 

 

 

 

 

 

 

 

$

5,300,000

 

5/1/2015

 

U.S. Commercial paper, 0.4%

 

$

5,298,278

 

1.80

%

$

2,584,000

 

4/10/2015

 

Foreign Commercial paper, 0.4%

 

2,583,693

 

0.88

%

Total Commercial paper (cost of $7,872,782)***

 

$

7,881,971

 

2.68

%

 

Corporate Bonds

 

 

 

 

 

 

 

 

 

Percent of Partners’ Capital

 

Face Value

 

Maturity Dates

 

Description

 

Fair Value

 

(net asset value)

 

 

 

 

 

 

 

 

 

 

 

$

2,000,000

 

10/1/2015

 

U.S. Corporate bonds, 1.1% (cost of $2,080,014)

 

$

2,091,618

 

0.71

%

 

 

 

 

 

 

 

Percent of Partners’ Capital

 

 

 

 

 

Fair Value

 

(net asset value)

 

Total securities owned

 

 

 

$

105,429,824

 

35.75

%

 


**Pledged as collateral for the trading of futures and forward contracts.

*** 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, 2014

 

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

 

$

(211,896

)

(0.07

)%

$

(18,577

)

(0.01

)%

$

(230,473

)

(0.08

)%

Currencies

 

$

52,169

 

0.02

%

$

1,925,431

 

0.64

%

$

1,977,600

 

0.66

%

Energy

 

$

(308,415

)

(0.10

)%

$

1,437,870

 

0.48

%

$

1,129,455

 

0.38

%

Interest rates

 

$

360,243

 

0.12

%

$

(58,553

)

(0.02

)%

$

301,690

 

0.10

%

Meats

 

$

(136,100

)

(0.05

)%

$

42,279

 

0.01

%

$

(93,821

)

(0.04

)%

Metals

 

$

(20,303

)

(0.01

)%

$

428,534

 

0.14

%

$

408,231

 

0.13

%

Soft commodities

 

$

(50,394

)

(0.01

)%

$

850,654

 

0.28

%

$

800,260

 

0.27

%

Stock indices and single stock futures

 

$

873,633

 

0.29

%

$

(76,935

)

(0.02

)%

$

796,698

 

0.27

%

Total U.S. Futures Positions

 

$

558,937

 

 

 

$

4,530,703

 

 

 

$

5,089,640

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$

3,862

 

0.00

%

$

(962

)

(0.00

)%

$

2,900

 

0.00

%

Energy

 

$

1,536

 

0.00

%

$

1,641,340

 

0.55

%

$

1,642,876

 

0.55

%

Interest rates

 

$

4,365,656

 

1.46

%

$

(39,414

)

(0.01

)%

$

4,326,242

 

1.45

%

Metals

 

$

(1,449,798

)

(0.48

)%

$

1,267,292

 

0.42

%

$

(182,506

)

(0.06

)%

Soft commodities

 

$

12,861

 

0.00

%

$

7,155

 

0.00

%

$

20,016

 

0.00

%

Stock indices

 

$

728,296

 

0.24

%

$

(77,997

)

(0.02

)%

$

650,299

 

0.22

%

Total Foreign Futures Positions

 

$

3,662,413

 

 

 

$

2,797,414

 

 

 

$

6,459,827

 

 

 

Total Futures Contracts

 

$

4,221,350

 

1.41

%

$

7,328,117

 

2.46

%

$

11,549,467

 

3.87

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

Currencies

 

$

357,025

 

0.12

%

$

(538,247

)

(0.18

)%

$

(181,222

)

(0.06

)%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Futures and Forward Contracts

 

$

4,578,375

 

1.53

%

$

6,789,870

 

2.28

%

$

11,368,245

 

3.81

%

 


*  No individual futures or 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, 2014

 

U.S. Government securities in brokers’ trading accounts**

 

 

 

 

 

 

 

 

 

Percent of Partners’ Capital

 

Face Value

 

Maturity Date

 

Description

 

Fair Value

 

(net asset value)

 

$

12,400,000

 

6/18/2015

 

U.S. Treasury Bills, 0.1% (cost of $12,393,731)

 

$

12,395,634

 

4.15

%

 

Securities owned

 

U.S. Government-sponsored enterprises

 

 

 

 

 

 

 

 

 

Percent of Partners’ Capital

 

Face Value

 

Maturity Dates

 

Description

 

Fair Value

 

(net asset value)

 

$

20,000,000

 

7/21/2017-10/23/2017

 

Federal Farm Credit Banks, 1.1%

 

$

20,069,167

 

6.72

%

$

66,700,000

 

3/27/2017-12/19/2017

 

Federal Home Loan Banks, 1-1.3%

 

66,813,621

 

22.38

%

$

2,500,000

 

12/22/2017

 

Federal Agricultural Mortgage Corp., 1.3%

 

2,500,837

 

0.84

%

Total U.S. Government-sponsored enterprises (cost of $89,200,000)

 

$

89,383,625

 

29.94

%

 

Corporate Bonds

 

 

 

 

 

 

 

 

 

Percent of Partners’ Capital

 

Face Value

 

Maturity Dates

 

Description

 

Fair Value

 

(net asset value)

 

$

1,542,000

 

2/3/2015

 

Foreign corporate bonds, 0.8%

 

$

1,553,227

 

0.52

%

$

10,283,000

 

1/15/2015-10/1/2015

 

U.S. corporate bonds, 0.7-1.1%

 

10,563,619

 

3.54

%

Total Corporate bonds (cost of $12,077,022) ***

 

$

12,116,846

 

4.06

%

 

Commercial paper

 

 

 

 

 

 

 

 

 

Percent of Partners’ Capital

 

Face Value

 

Maturity Dates

 

Description

 

Fair Value

 

(net asset value)

 

 

 

 

 

 

 

 

 

 

 

$

2,584,000

 

4/10/2015

 

Foreign commercial paper, 0.5%

 

$

2,580,625

 

0.86

%

$

8,110,000

 

2/6/2015-2/23/2015

 

U.S. commercial paper, 0.3-0.4%

 

8,106,663

 

2.72

%

Total Commercial paper (cost of $10,681,432) ***

 

$

10,687,288

 

3.58

%

 

 

 

 

 

Percent of Partners’ Capital

 

 

 

Fair Value

 

(net asset value)

 

Total securities owned

 

$

112,187,759

 

37.58

%

 


**Pledged as collateral for the trading of futures and forward contracts.

*** 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

 

 

 

Three Months Ended

 

 

 

March 31,

 

 

 

2015

 

2014

 

 

 

(Unaudited)

 

Net trading gains (losses)

 

 

 

 

 

Net gain (loss) from futures trading

 

 

 

 

 

Realized

 

$

21,735,994

 

$

(845,120

)

Change in unrealized

 

(4,615,522

)

(18,652,704

)

Commissions

 

(1,148,318

)

(1,572,292

)

Net gains (losses) from futures trading

 

15,972,154

 

(21,070,116

)

 

 

 

 

 

 

Net gain (loss) from forward trading

 

 

 

 

 

Realized

 

(43,760

)

(1,640,249

)

Change in unrealized

 

(257,589

)

170,845

 

Net gains (losses) from forward trading

 

(301,349

)

(1,469,404

)

 

 

 

 

 

 

Net trading gains (losses)

 

$

15,670,805

 

$

(22,539,520

)

 

 

 

 

 

 

Net investment income (loss)

 

 

 

 

 

Income

 

 

 

 

 

Interest income

 

349,733

 

305,404

 

Expenses from operations

 

 

 

 

 

Brokerage charge

 

3,958,848

 

5,346,548

 

Incentive fees

 

2,854,760

 

783

 

Organizational and offering costs

 

221,638

 

304,286

 

Operating expenses

 

191,386

 

262,049

 

Total expenses

 

7,226,632

 

5,913,666

 

Net investment loss

 

$

(6,876,899

)

$

(5,608,262

)

Net income (loss)

 

$

8,793,906

 

$

(28,147,782

)

 

 

 

 

 

 

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

 

$

36.49

 

$

(74.71

)

General Partner & Limited Partner Class B Units

 

$

28.80

 

$

(64.05

)

General Partner & Limited Partner Legacy 1 Class Units

 

$

31.93

 

$

(50.30

)

General Partner & Limited Partner Legacy 2 Class Units

 

$

30.89

 

$

(50.04

)

General Partner & Limited Partner Global 1 Class Units

 

$

32.59

 

$

(48.60

)

General Partner & Limited Partner Global 2 Class Units

 

$

31.55

 

$

(48.40

)

General Partner & Limited Partner Global 3 Class Units

 

$

25.27

 

$

(47.56

)

 

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)

Three Months Ended March 31, 2015

(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 of

 

 

 

Number of

 

 

 

Number of

 

 

 

Number of

 

 

 

Number of

 

 

 

Number of

 

 

 

Number of

 

 

 

Number of

 

 

 

 

 

Units

 

Amount

 

Units

 

Amount

 

Units

 

Amount

 

Units

 

Amount

 

Units

 

Amount

 

Units

 

Amount

 

Units

 

Amount

 

Units

 

Amount

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Partners’ capital, (net asset value) December 31, 2014

 

307.34

 

$

383,435

 

12,125.34

 

$

15,127,238

 

 

$

 

155,869.84

 

$

161,924,013

 

1,025.00

 

$

958,529

 

1,802.74

 

$

1,685,836

 

263.13

 

$

242,148

 

724.42

 

$

666,651

 

Contributions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Redemptions

 

 

 

(90.61

)

(116,046

)

 

 

(4,401.29

)

(4,694,684

)

 

 

(47.09

)

(45,362

)

 

 

(45.90

)

(43,442

)

Net income (loss)

 

 

11,213

 

 

442,051

 

 

 

 

4,484,368

 

 

32,726

 

 

57,381

 

 

8,129

 

 

22,159

 

Partners’ capital, (net asset value) March 31, 2015

 

307.34

 

$

394,648

 

12,034.73

 

$

15,453,243

 

 

$

 

151,468.55

 

$

161,713,697

 

1,025.00

 

$

991,255

 

1,755.65

 

$

1,697,855

 

263.13

 

$

250,277

 

678.52

 

$

645,368

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at December 31, 2014

 

 

 

$

1,247.57

 

 

 

 

 

 

 

$

1,038.84

 

 

 

 

 

 

 

$

935.15

 

 

 

 

 

 

 

$

920.26

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at March 31, 2015

 

 

 

$

1,284.06

 

 

 

 

 

 

 

$

1,067.64

 

 

 

 

 

 

 

$

967.08

 

 

 

 

 

 

 

$

951.15

 

 

 

 

 

 

 

 

Global 1 Class

 

Global 2 Class

 

Global 3 Class

 

 

 

 

 

General Partner

 

Limited Partners

 

General Partner

 

Limited Partners

 

General Partner

 

Limited Partners

 

 

 

 

Number of

 

 

 

Number of

 

 

 

Number of

 

 

 

Number of

 

 

 

Number of

 

 

 

Number of

 

 

 

Total

 

 

 

Units

 

Amount

 

Units

 

Amount

 

Units

 

Amount

 

Units

 

Amount

 

Units

 

Amount

 

Units

 

Amount

 

Amount

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Partners’ capital, (net asset value) December 31, 2014

 

1,372.89

 

$

1,253,774

 

9,206.57

 

$

8,407,766

 

1,329.58

 

$

1,194,874

 

5,196.84

 

$

4,670,326

 

 

$

 

125,561.73

 

$

102,014,598

 

$

298,529,188

 

Contributions

 

 

 

7,243.58

 

6,686,019

 

 

 

 

 

 

 

735.49

 

610,653

 

7,296,672

 

Redemptions

 

 

 

(1,199.10

)

(1,129,413

)

 

 

(109.83

)

(101,684

)

 

 

(16,347.09

)

(13,541,015

)

(19,671,646

)

Net income (loss)

 

 

44,750

 

 

460,523

 

 

41,960

 

 

163,513

 

 

 

 

3,025,133

 

8,793,906

 

Partners’ capital, (net asset value) March 31, 2015

 

1,372.89

 

$

1,298,524

 

15,251.05

 

$

14,424,895

 

1,329.58

 

$

1,236,834

 

5,087.01

 

$

4,732,155

 

 

$

 

109,950.13

 

$

92,109,369

 

$

294,948,120

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at December 31, 2014

 

 

 

$

913.24

 

 

 

 

 

 

 

$

898.69

 

 

 

 

 

 

 

$

812.47

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at March 31, 2015

 

 

 

$

945.83

 

 

 

 

 

 

 

$

930.24

 

 

 

 

 

 

 

$

837.74

 

 

 

 

 

 

 

 

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)

Three Months Ended March 31, 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 of

 

 

 

Number of

 

 

 

Number of

 

 

 

Number of

 

 

 

Number of

 

 

 

Number of

 

 

 

Number of

 

 

 

Number of

 

 

 

 

 

Units

 

Amount

 

Units

 

Amount

 

Units

 

Amount

 

Units

 

Amount

 

Units

 

Amount

 

Units

 

Amount

 

Units

 

Amount

 

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

)

(1,090.04

)

(1,196,880

)

 

 

(19,000.29

)

(17,616,417

)

 

 

(410.06

)

(335,299

)

 

 

(1,297.21

)

(1,044,766

)

Net income (loss)

 

 

(57,075

)

 

(1,303,476

)

 

 

 

(14,044,107

)

 

(51,563

)

 

(163,705

)

 

(50,040

)

 

(247,211

)

Partners’ capital, (net asset value) March 31, 2014

 

307.34

 

$

336,528

 

16,402.42

 

$

17,959,860

 

 

$

 

203,772.16

 

$

186,527,226

 

1,025.00

 

$

830,720

 

2,903.17

 

$

2,352,905

 

1,000.00

 

$

797,722

 

3,842.01

 

$

3,064,851

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at December 31, 2013

 

 

 

$

1,169.66

 

 

 

 

 

 

 

$

979.42

 

 

 

 

 

 

 

$

860.76

 

 

 

 

 

 

 

$

847.76

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at March 31, 2014

 

 

 

$

1,094.95

 

 

 

 

 

 

 

$

915.37

 

 

 

 

 

 

 

$

810.46

 

 

 

 

 

 

 

$

797.72

 

 

 

 

 

 

 

 

Global 1 Class

 

Global 2 Class

 

Global 3 Class

 

 

 

 

 

General Partner

 

Limited Partners

 

General Partner

 

Limited Partners

 

General Partner

 

Limited Partners

 

 

 

 

 

Number of

 

 

 

Number of

 

 

 

Number of

 

 

 

Number of

 

 

 

Number of

 

 

 

Number of

 

 

 

Total

 

 

 

Units

 

Amount

 

Units

 

Amount

 

Units

 

Amount

 

Units

 

Amount

 

Units

 

Amount

 

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

 

 

 

3.10

 

2,500

 

 

 

25.61

 

20,500

 

 

 

1,469.75

 

1,069,400

 

1,099,400

 

Redemptions

 

 

 

(3,014.23

)

(2,375,755

)

(645.12

)

(500,000

)

(5,147.60

)

(4,015,130

)

 

 

(21,894.02

)

(15,679,312

)

(43,263,559

)

Net income (loss)

 

 

(66,732

)

 

(478,499

)

 

(95,575

)

 

(841,692

)

 

 

 

(10,748,107

)

(28,147,782

)

Partners’ capital, (net asset value) March 31, 2014

 

1,372.89

 

$

1,079,969

 

6,927.63

 

$

5,449,526

 

1,329.58

 

$

1,030,494

 

12,781.22

 

$

9,906,118

 

 

$

 

208,510.29

 

$

147,724,149

 

$

377,060,068

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at December 31, 2013

 

 

 

$

835.24

 

 

 

 

 

 

 

$

823.45

 

 

 

 

 

 

 

$

756.03

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at  March 31, 2014

 

 

 

$

786.64

 

 

 

 

 

 

 

$

775.05

 

 

 

 

 

 

 

$

708.47

 

 

 

 

 

 

 

 

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, GP 6 and GP 15 as of March 31, 2015 and December 31, 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 charge 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 charge 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, as well as pattern recognition philosophies. The Global 1 Class, Global 2 Class and Global 3 Class units differ in respect to the General Partner’s brokerage charge. 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.

 

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 March 31, 2015, 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.

 

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Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

 

Organization and offering costs: All expenses incurred in connection with the organization and the ongoing public offering of partnership interests are paid by the General Partner and are reimbursed to the General Partner by the Partnership. This reimbursement is made monthly. In its discretion, the General Partner may require the Partnership to reimburse the General Partner in any subsequent calendar year for amounts that exceed the limits in Note 5 in any calendar year, provided that the maximum amount reimbursed by the Partnership will not exceed the overall limit. Amounts reimbursed by the Partnership with respect to ongoing public offering expenses are charged to expense from operations at the time of reimbursement or accrual. Any amounts reimbursed by the Partnership with respect to organizational expenses are expensed at the time the reimbursement is incurred or accrued. If the Partnership terminates prior to completion of payment of the calculated amounts to the General Partner, the General Partner will not be entitled to any additional payments, and the Partnership will have no further obligation to the General Partner. At March 31, 2015 and December 31, 2014, all organization and offering costs incurred by the General Partner have been reimbursed.

 

Foreign currency transactions: The Partnership’s functional currency is the U.S. dollar; however, it transacts business in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the consolidated statement of financial condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S. dollars are reported in income currently.

 

The Partnership does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized or unrealized gain or loss from investments.

 

Reclassification: Certain amounts in the 2014 consolidated financial statements have been reclassified to conform with the 2015 presentation.

 

Statement of cash flows: The Partnership has elected not to provide statements of cash flows as permitted by FASB ASC 230, Statement of Cash Flows. The Partnership noted that as of and for the period ended March 31, 2015 and 2014, substantially all investments were highly liquid, all investments are carried at fair value, the Partnership carried no debt, and the statements of changes in partners’ capital (net asset value) is presented.

 

Recently adopted accounting pronouncements: In August 2014, the FASB issued ASU 2014-15 — Presentation of Financial Statement — Going Concern (Subtopic 205-40) containing guidance on management’s responsibility in evaluating whether there is substantial doubt about a company’s ability to continue as a going concern and about related footnote disclosures.  The guidance is effective for annual periods ending after December 15, 2016, and interim periods within annual periods beginning after December 15, 2016.  The Partnership is currently evaluating the impact this pronouncement would have on its consolidated financial statements.

 

Note 2. Fair Value Measurements

 

As described in Note 1, the Partnership follows the provisions of FASB ASC 820, Fair Value Measurements and Disclosures. 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 Partnership utilizes valuation techniques to maximize the use of observable inputs and minimize the use of unobservable inputs. Assets and liabilities recorded at fair value are categorized within the fair value hierarchy based upon the level of judgment associated with the inputs used to measure their value. 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 as assumptions market participants would use in pricing an asset or liability. The three levels of the fair value hierarchy 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 that are unobservable for the asset or liability. The Partnership does not have any assets classified as Level 3.

 

The following section describes the valuation techniques used by the Partnership to measure different financial instruments at fair value and includes the level within the fair value hierarchy in which the financial instrument is categorized.

 

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Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

 

Fair value of exchange-traded futures contracts and options on futures contracts are based upon exchange settlement prices as of the last business day of the reporting period. These financial instruments are classified in Level 1 of the fair value hierarchy. The Partnership values forward contracts and options on forward contracts based on the average bid and ask price of quoted forward spot prices obtained as of the last business day of the reporting period, and forward contracts and options on forward contracts are classified in Level 2.

 

The Partnership values bank deposits, which consist of interest bearing demand deposits and are included in cash and cash equivalents in the statements of financial condition, at face value plus accrued interest, which approximates fair value based on prevailing interest rates, and these financial instruments are classified in Level 1 of the fair value hierarchy.

 

U.S. Government securities, U.S. Government-sponsored enterprise securities and commercial paper are stated at cost plus accrued interest, which approximates fair value based on quoted market prices in an active market. The Partnership compares market prices quoted by dealers to the cost plus accrued interest to ensure a reasonable approximation of fair value. These securities are classified in Level 2 of the fair value hierarchy.

 

The Partnership values corporate bonds at cost plus accrued interest, which approximates fair value. Corporate bonds purchased are of a high credit quality and have observable market price quotations. The fair value of corporate bonds is evaluated considering market prices of the issuer quoted by dealers. Corporate bonds are classified in Level 2 of the fair value hierarchy.

 

The following table presents the Partnership’s fair value hierarchy for those assets and liabilities measured at fair value on a recurring basis as of March 31, 2015:

 

Assets