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EX-31.1 - EX-31.1 - GRANT PARK FUTURES FUND LIMITED PARTNERSHIPgpff-20160630ex3117e8fb0.htm
EX-32.1 - EX-32.1 - GRANT PARK FUTURES FUND LIMITED PARTNERSHIPgpff-20160630ex3218932f2.htm
EX-31.2 - EX-31.2 - GRANT PARK FUTURES FUND LIMITED PARTNERSHIPgpff-20160630ex3121daa5e.htm

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM 10-Q

 

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

THE SECURITIES EXCHANGE ACT OF 1934

 

For the Quarterly Period Ended June 30, 2016

 

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

 

(I.R.S. Employer

incorporation or organization)

 

Identification Number)

 

 

 

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   No 

 

Indicate by check mark whether the Registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§ 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 

 

 

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 comp any” in Rule 12b -2 of the Exchange Act. (Check one):

 

 

 

 

Large accelerated filer 

 

Accelerated filer 

 

 

 

Non accelerated filer 

 

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 

 

 

 

 


 

 


 

GRANT PARK FUTURES FUND LIMITED PARTNERSHIP

 

QUARTER ENDED JUNE 30, 2016

 

INDEX

 

PART I – FINANCIAL INFORMATION 

 

 

 

ITEM 1. 

Financial Statements

 

 

 

 

 

Consolidated Statements of Financial Condition as of June 30, 2016 (unaudited)
and December 31, 2015 (audited)

2

 

 

 

 

Consolidated Condensed Schedule of Investments as of June 30, 2016 (unaudited)

3

 

 

 

 

Consolidated Condensed Schedule of Investments as of December 31, 2015 (audited)

5

 

 

 

 

Consolidated Statements of Operations for the three and six months ended
June 30, 2016 and 2015 (Unaudited)

7

 

 

 

 

Consolidated Statements of Changes in Partners’ Capital (Net Asset Value)
for the six months ended June 30, 2016 and 2015 (unaudited)

8

 

 

 

 

Notes to Consolidated Financial Statements (unaudited)

10

 

 

 

ITEM 2. 

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

31

 

 

 

ITEM 3. 

Quantitative and Qualitative Disclosures About Market Risk

42

 

 

 

ITEM 4. 

Controls and Procedures

47

 

PART II – OTHER INFORMATION 

 

 

 

ITEM 1A.  

Risk Factors

48

 

 

 

ITEM 2.  

Unregistered Sales of Equity Securities and Use of Proceeds

48

 

 

 

ITEM 6.  

Exhibits

50

 

 

 

SIGNATURES 

51

CERTIFICATIONS

 

 

 


 

PART I - FINANCIAL INFORMATION

 

Item 1.  Financial Statements

 

Grant Park Futures Fund Limited Partnership

Consolidated Statements of Financial Condition

 

 

 

 

 

 

 

 

 

 

    

June 30, 

    

December 31, 

 

 

 

2016

    

2015

 

 

 

 

(Unaudited)

 

 

 

 

Assets

 

 

 

 

 

 

 

Equity in brokers' trading accounts:

 

 

 

 

 

 

 

Cash

 

$

31,741,266

 

$

38,781,351

 

Net unrealized gain (loss) on open futures contracts

 

 

8,110,991

 

 

827,595

 

Net unrealized gain (loss) on open forward currency contracts

 

 

723,770

 

 

(240,659)

 

Net unrealized gain (loss) on open swap contracts

 

 

(3,386,676)

 

 

1,168,100

 

Total equity in brokers' trading accounts

 

 

37,189,351

 

 

40,536,387

 

Cash and cash equivalents

 

 

64,457,003

 

 

64,625,503

 

Securities owned, at fair value (cost $101,007,230 and $116,001,074, respectively)

 

 

101,310,345

 

 

116,297,654

 

Interest receivable, net

 

 

13,950

 

 

13,737

 

Total assets

 

$

202,970,649

 

$

221,473,281

 

Liabilities and Partners' Capital (Net Asset Value)

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

Brokerage charge payable

 

$

974,391

 

$

1,158,521

 

Accrued incentive fees

 

 

497,427

 

 

674

 

Organization and offering costs payable

 

 

48,955

 

 

53,225

 

Accrued operating expenses

 

 

42,267

 

 

46,118

 

Pending limited partner additions

 

 

36,001

 

 

 —

 

Redemptions payable to limited partners

 

 

3,983,867

 

 

6,479,904

 

Total liabilities

 

 

5,582,908

 

 

7,738,442

 

Partners' Capital (Net Asset Value)

 

 

 

 

 

 

 

General Partner

 

 

 

 

 

 

 

Class A (307.34 units outstanding at both June 30, 2016 and December 31, 2015)

 

 

352,129

 

 

335,868

 

Legacy 1 Class (574.13 and 1,025.00 units outstanding at June 30, 2016 and December 31, 2015, respectively)

 

 

509,353

 

 

858,478

 

Legacy 2 Class (263.13 units outstanding at both June 30, 2016 and December 31, 2015)

 

 

228,843

 

 

216,344

 

Global 1 Class (1,372.89 units outstanding at both June 30, 2016 and December 31, 2015)

 

 

1,199,295

 

 

1,122,622

 

Global 2 Class (231.81 and 1,329.58 units outstanding at June 30, 2016 and December 31, 2015, respectively)

 

 

198,949

 

 

1,067,693

 

 

 

 

 

 

 

 

 

Limited Partners

 

 

 

 

 

 

 

Class A (8,708.79 and 9,757.99 units outstanding at June 30, 2016 and December 31, 2015, respectively)

 

 

9,977,772

 

 

10,663,559

 

Class B (121,555.51 and 133,628.66 units outstanding at June 30, 2016 and December 31, 2015, respectively)

 

 

114,784,641

 

 

120,817,860

 

Legacy 1 Class (1,003.22 and 1,262.14 units outstanding at June 30, 2016 and December 31, 2015, respectively)

 

 

890,029

 

 

1,057,091

 

Legacy 2 Class (453.96 and 515.52 units outstanding at June 30, 2016 and December 31, 2015, respectively)

 

 

394,803

 

 

423,853

 

Global 1 Class (24,232.94 and 22,503.69 units outstanding at June 30, 2016 and December 31, 2015, respectively)

 

 

21,168,763

 

 

18,401,384

 

Global 2 Class (2,557.12 and 3,493.52 units outstanding at June 30, 2016 and December 31, 2015, respectively)

 

 

2,194,677

 

 

2,805,404

 

Global 3 Class (60,121.13 and 78,419.57 units outstanding at June 30, 2016 and December 31, 2015, respectively)

 

 

45,488,487

 

 

55,964,683

 

Total partners' capital (net asset value)

 

 

197,387,741

 

 

213,734,839

 

Total liabilities and partners' capital (net asset value)

 

$

202,970,649

 

$

221,473,281

 

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

2


 

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments

June 30, 2016

(Unaudited)

 

Futures, Forward and Swap 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

 

$

33,737

 

0.02

%  

$

185,176

 

0.09

%  

$

218,913

 

0.11

%

Currencies

 

$

434,110

 

0.22

%  

$

556,317

 

0.28

%  

$

990,427

 

0.50

%

Energy

 

$

131,537

 

0.07

%  

$

24,848

 

0.01

%  

$

156,385

 

0.08

%

Interest rates

 

$

2,410,745

 

1.22

%  

$

(159,929)

 

(0.08)

%  

$

2,250,816

 

1.14

%

Meats

 

$

(67,605)

 

(0.03)

%  

$

(30,589)

 

(0.02)

%  

$

(98,194)

 

(0.05)

%

Metals

 

$

692,394

 

0.35

%  

$

(70,723)

 

(0.04)

%  

$

621,671

 

0.31

%

Soft commodities

 

$

210,304

 

0.11

%  

$

29,570

 

0.01

%  

$

239,874

 

0.12

%

Stock indices and single stock futures

 

$

609,530

 

0.30

%  

$

(207,053)

 

(0.10)

%  

$

402,477

 

0.20

%

Total U.S. Futures Positions

 

$

4,454,752

 

 

 

$

327,617

 

 

 

$

4,782,369

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$

(3,404)

 

0.00

%  

$

4,850

 

0.00

%  

$

1,446

 

0.00

%

Energy

 

$

(26,293)

 

(0.01)

%  

$

(15,346)

 

(0.01)

%  

$

(41,639)

 

(0.02)

%

Interest rates

 

$

3,197,845

 

1.62

%  

$

(134,160)

 

(0.07)

%  

$

3,063,685

 

1.55

%

Metals

 

$

1,061,726

 

0.54

%  

$

(1,554,552)

 

(0.79)

%  

$

(492,826)

 

(0.25)

%

Soft commodities

 

$

16,366

 

0.01

%  

$

(78)

 

0.00 

%  

$

16,288

 

0.01

%

Stock indices

 

$

595,582

 

0.31

%  

$

186,086

 

0.09

%  

$

781,668

 

0.40

%

Total Foreign Futures Positions

 

$

4,841,822

 

 

 

$

(1,513,200)

 

 

 

$

3,328,622

 

 

 

Total Futures Contracts

 

$

9,296,574

 

4.71

%  

$

(1,185,583)

 

(0.60)

%  

$

8,110,991

 

4.11

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currencies

 

$

(195,686)

 

(0.10)

%  

$

919,456

 

0.47

%  

$

723,770

 

0.37

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Deutsche Bank total return swap, Termination date March 29, 2019

 

$

114,970

 

0.05

%  

$

 —

 

0.00

%  

$

114,970

 

0.05 

%

Deutsche Bank total return swap, Termination date July 1, 2020

 

$

(3,501,646)

 

(1.77)

%  

$

 —

 

0.00

%  

$

(3,501,646)

 

(1.77)

%

Total Swap Contracts

 

$

(3,386,676)

 

(1.72)

%  

$

 —

 

0.00

%

$

(3,386,676)

 

(1.72)

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Futures, Forward and

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts

 

$

5,714,212

 

2.89

%  

$

(266,127)

 

(0.13)

%  

$

5,448,085

 

2.76

%

*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.

3


 

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

June 30, 2016

(Unaudited)

 

Securities owned

U.S. Government-sponsored enterprises

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                               

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$

50,500,000

 

4/20/2018-6/27/2019

 

Federal Farm Credit Banks, 1.1-1.3%

 

$

50,626,465

 

25.65

%

$

18,235,000

 

7/27/2018-4/29/2019

 

Federal Home Loan Banks, 1.2-1.3%

 

$

18,313,404

 

9.28

%

 

 

 

Total U.S. Government-sponsored enterprises (cost of $68,738,842)

 

 

 

$

68,939,869

 

34.93

%

 

U.S. Corporate bonds

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                               

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$

2,000,000

 

2/16/2018

 

American Honda Finance Co, 1.5%

 

$

2,014,113

 

1.02

%

$

2,000,000

 

11/1/2016

 

Dominion Gas, 1.2%

 

$

2,002,773

 

1.01

%

$

2,000,000

 

2/1/2018

 

Wells Fargo & Company, 1.7%

 

$

2,173,148

 

1.10

%

$

10,034,000

 

9/21/2016-12/1/2017

 

Others, 1.2-1.8% **

 

$

10,154,916

 

5.15

%

 

 

 

Total U.S. Corporate bonds (cost of $16,272,809)

 

 

 

$

16,344,950

 

8.28

%

 

Commercial paper

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                               

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

 

Fair Value

    

(net asset value)

 

$

11,578,000

 

7/8/2016-1/3/2017

 

U.S. Commercial Paper,  0.8-1.4% **

 

$

11,554,627

 

5.85

%

$

4,480,000

 

8/9/2016-11/10/2016

 

Foreign Commercial Paper,  0.9% **

 

$

4,470,899

 

2.27

%

 

 

 

Total Commercial paper  (cost of $15,995,579)

 

 

 

$

16,025,526

 

8.12

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

Partners' Capital

 

 

    

Fair Value

    

(net asset value)

 

Total securities owned

 

$

101,310,345

 

51.33

%

 

** 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.

4


 

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments

December 31, 2015

Futures, Forward and Swap 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

 

$

(186,020)

 

(0.09)

%  

$

660,432

 

0.31

%  

$

474,412

 

0.22

%

Currencies

 

$

97,771

 

0.05

%  

$

1,000,158

 

0.46

%  

$

1,097,929

 

0.51

%

Energy

 

$

11,957

 

0.01

%  

$

(227,645)

 

(0.11)

%  

$

(215,688)

 

(0.10)

%

Interest rates

 

$

(407,958)

 

(0.19)

%  

$

78,618

 

0.04

%  

$

(329,340)

 

(0.15)

%

Meats

 

$

(860)

 

0.00

%  

$

(146,785)

 

(0.07)

%  

$

(147,645)

 

(0.07)

%

Metals

 

$

(29,400)

 

(0.01)

%  

$

156,442

 

0.07

%  

$

127,042

 

0.06

%

Soft commodities

 

$

(48,181)

 

(0.02)

%  

$

(129,485)

 

(0.06)

%  

$

(177,666)

 

(0.08)

%

Stock indices and single stock futures

 

$

(69,770)

 

(0.03)

%  

$

(42,987)

 

(0.02)

%  

$

(112,757)

 

(0.05)

%

Total U.S. Futures Positions

 

$

(632,461)

 

 

 

$

1,348,748

 

 

 

$

716,287

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$

29,425

 

0.01

%  

$

12,799

 

0.01

%  

$

42,224

 

0.02

%

Energy

 

$

 -

 

0.00

%  

$

1,041,906

 

0.49

%  

$

1,041,906

 

0.49

%

Interest rates

 

$

(827,562)

 

(0.39)

%  

$

(108,667)

 

(0.05)

%  

$

(936,229)

 

(0.44)

%

Metals

 

$

(110,937)

 

(0.05)

%  

$

277,638

 

0.13

%  

$

166,701

 

0.08

%

Soft commodities

 

$

161

 

0.00 

%  

$

5,103

 

0.00

%  

$

5,264

 

0.00

%

Stock indices

 

$

(10,771)

 

(0.01)

%  

$

(197,787)

 

(0.09)

%  

$

(208,558)

 

(0.10)

%

Total Foreign Futures Positions

 

$

(919,684)

 

 

 

$

1,030,992

 

 

 

$

111,308

 

 

 

Total Futures Contracts

 

$

(1,552,145)

 

(0.73)

%  

$

2,379,740

 

1.12

%  

$

827,595

 

0.39

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currencies

 

$

7,642

 

0.00

%  

$

(248,301)

 

(0.12)

%  

$

(240,659)

 

(0.12)

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Deutsche Bank total return swap, Termination date July 1, 2020

 

$

1,168,100

 

0.55

%  

$

 -

 

0.00

%  

$

1,168,100

 

0.55

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Futures, Forward and

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts

 

$

(376,403)

 

(0.18)

%  

$

2,131,439

 

1.00

%  

$

1,755,036

 

0.82

%

 

*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.

5


 

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

December 31, 2015

 

Securities owned

U.S. Government-sponsored enterprises

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$

38,500,000

 

4/20/2018-11/16/2018

 

Federal Farm Credit Banks, 1.1-1.4%

 

$

38,605,179

 

18.06

%

$

43,735,000

 

3/29/2018-12/28/2018

 

Federal Home Loan Banks, 1.1-1.5%

 

$

43,867,272

 

20.53

%

 

 

 

Total U.S. Government-sponsored enterprises (cost of $82,242,670)

 

 

 

$

82,472,451

 

38.59

%

 

U.S. Corporate bonds

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$

2,000,000

 

2/1/2018

 

Wachovia Corp, 1.7%

 

$

2,211,634

 

1.03

%

$

12,284,000

 

9/21/2016-2/16/2018

 

Others,  1.2-1.8%  **

 

$

12,431,794

 

5.82

%

 

 

 

Total U.S. Corporate bonds (cost of $14,599,766)

 

 

 

$

14,643,428

 

6.85

%

 

Commercial paper

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$

4,010,000

 

1/5/2016-2/1/2016

 

Foreign commercial paper,  0.5-0.8%  **

 

$

4,008,509

 

1.87

%

 

 

 

 

 

 

 

 

 

 

 

 

$

4,000,000

 

1/13/2016

 

National Grid PLC,  0.5%

 

$

3,999,320

 

1.87

%

$

11,180,000

 

1/4/2016-3/18/2016

 

Others,  0.4-0.9% **

 

$

11,173,946

 

5.23

%

 

 

 

 

 

Total U.S. Commercial paper

 

$

15,173,266

 

7.10

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Commercial paper (cost of $19,158,638)

 

 

 

$

19,181,775

 

8.97

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

Partners' Capital

 

 

    

Fair Value

    

(net asset value)

 

Total securities owned

 

$

116,297,654

 

54.41

%

 

**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.

 

6


 

Grant Park Futures Fund Limited Partnership

Consolidated Statements of Operations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

    

Three Months Ended

 

Six Months Ended

 

 

 

June 30, 

 

June 30, 

 

 

 

2016

 

2015

    

2016

    

2015

 

 

 

(Unaudited)

 

(Unaudited)

 

Net trading gains (losses)

 

 

 

 

 

 

 

 

 

 

 

 

 

Net gain (loss) from futures trading

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized

 

$

(13,313)

 

$

(17,645,279)

 

$

14,597,651

 

$

4,090,715

 

Change in unrealized

 

 

5,940,971

 

 

(6,370,198)

 

 

7,283,395

 

 

(10,985,720)

 

Commissions

 

 

(737,125)

 

 

(1,028,549)

 

 

(1,554,840)

 

 

(2,174,790)

 

Net gains (losses) from futures trading

 

 

5,190,533

 

 

(25,044,026)

 

 

20,326,206

 

 

(9,069,795)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net gain (loss) from forward trading

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized

 

$

(267,066)

 

$

(1,034,277)

 

$

(383,893)

 

$

(1,078,037)

 

Change in unrealized

 

 

643,629

 

 

755,034

 

 

964,429

 

 

497,445

 

Commissions

 

 

(682)

 

 

(1,387)

 

 

(1,835)

 

 

(3,464)

 

Net gains (losses) from forward trading

 

 

375,881

 

 

(280,630)

 

 

578,701

 

 

(584,056)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net gain (loss) from swap trading

 

 

 

 

 

 

 

 

 

 

 

 

 

Change in unrealized

 

$

(1,492,962)

 

$

 —

 

$

(4,554,775)

 

$

 —

 

Net gains (losses) from swap trading

 

 

(1,492,962)

 

 

 —

 

 

(4,554,775)

 

 

 —

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net trading gains (losses)

 

 

4,073,452

 

 

(25,324,656)

 

 

16,350,132

 

 

(9,653,851)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

Income

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest income

 

 

343,960

 

 

339,023

 

 

695,919

 

 

688,756

 

Expenses from operations

 

 

 

 

 

 

 

 

 

 

 

 

 

Brokerage charge

 

 

2,452,780

 

 

3,528,078

 

 

5,224,596

 

 

7,486,926

 

Incentive fees

 

 

336,402

 

 

(298,357)

 

 

599,140

 

 

2,556,403

 

Organizational and offering costs

 

 

146,016

 

 

198,576

 

 

306,793

 

 

420,214

 

Operating expenses

 

 

126,124

 

 

171,656

 

 

264,938

 

 

363,042

 

Total expenses

 

 

3,061,322

 

 

3,599,953

 

 

6,395,467

 

 

10,826,585

 

Net investment loss

 

$

(2,717,362)

 

$

(3,260,930)

 

$

(5,699,548)

 

$

(10,137,829)

 

Net income (loss) 

 

$

1,356,090

 

$

(28,585,586)

 

$

10,650,584

 

$

(19,791,680)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

$

7.90

 

$

(125.80)

 

$

52.91

 

$

(89.31)

 

General Partner & Limited Partner Class B Units

 

$

4.47

 

$

(106.21)

 

$

40.17

 

$

(77.41)

 

General Partner & Limited Partner Legacy 1 Class Units

 

$

10.68

 

$

(89.50)

 

$

49.63

 

$

(57.57)

 

General Partner & Limited Partner Legacy 2 Class Units

 

$

9.75

 

$

(88.59)

 

$

47.50

 

$

(57.70)

 

General Partner & Limited Partner Global 1 Class Units

 

$

14.32

 

$

(87.59)

 

$

55.84

 

$

(55.00)

 

General Partner & Limited Partner Global 2 Class Units

 

$

14.37

 

$

(86.41)

 

$

55.23

 

$

(54.86)

 

General Partner & Limited Partner Global 3 Class Units

 

$

9.46

 

$

(81.26)

 

$

42.95

 

$

(55.99)

 

 

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

 

 

7


 

Grant Park Futures Fund Limited Partnership

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

Six Months Ended June 30, 2016

(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,

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2015

 

307.34

 

$

335,868

 

9,757.99

 

$

10,663,559

 

 —

 

$

 —

 

133,628.66

 

$

120,817,860

 

1,025.00

 

$

858,478

 

1,262.14

 

$

1,057,091

 

263.13

 

$

216,344

 

515.52

 

$

423,853

 

Contributions

 

 —

 

 

 —

 

 —

 

 

 —

 

 —

 

 

 —

 

 —

 

 

 —

 

 —

 

 

 —

 

20.74

 

 

17,500

 

 —

 

 

 —

 

 —

 

 

 —

 

Redemptions

 

 —

 

 

 —

 

(1,049.20)

 

 

(1,176,651)

 

 —

 

 

 —

 

(12,073.15)

 

 

(11,319,894)

 

(450.87)

 

 

(400,000)

 

(279.66)

 

 

(244,686)

 

 —

 

 

 —

 

(61.56)

 

 

(52,938)

 

Net income (loss)

 

 —

 

 

16,261

 

 —

 

 

490,864

 

 —

 

 

 —

 

 —

 

 

5,286,675

 

 —

 

 

50,875

 

 —

 

 

60,124

 

 —

 

 

12,499

 

 —

 

 

23,888

 

Partners’ capital,

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

June 30, 2016

 

307.34

 

$

352,129

 

8,708.79

 

$

9,977,772

 

 —

 

$

 —

 

121,555.51

 

$

114,784,641

 

574.13

 

$

509,353

 

1,003.22

 

$

890,029

 

263.13

 

$

228,843

 

453.96

 

$

394,803

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at December 31, 2015

 

 

 

$

1,092.80

 

 

 

 

 

 

 

 

$

904.13

 

 

 

 

 

 

 

 

$

837.54

 

 

 

 

 

 

 

 

$

822.19

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at June 30, 2016

 

 

 

$

1,145.71

 

 

 

 

 

 

 

 

$

944.30

 

 

 

 

 

 

 

 

$

887.17

 

 

 

 

 

 

 

 

$

869.69

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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,

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2015

 

1,372.89

 

$

1,122,622

 

22,503.69

 

$

18,401,384

 

1,329.58

 

$

1,067,693

 

3,493.52

 

$

2,805,404

 

 —

 

$

 —

 

78,419.57

 

$

55,964,683

 

$

213,734,839

 

Contributions

 

 —

 

 

 —

 

6,412.74

 

 

5,423,257

 

 —

 

 

 —

 

 —

 

 

 —

 

 —

 

 

 —

 

 —

 

 

 —

 

 

5,440,757

 

Redemptions

 

 —

 

 

 —

 

(4,683.49)

 

 

(4,027,419)

 

(1,097.77)

 

 

(900,000)

 

(936.40)

 

 

(782,051)

 

 —

 

 

 —

 

(18,298.44)

 

 

(13,534,800)

 

 

(32,438,439)

 

Net income (loss)

 

 —

 

 

76,673

 

 —

 

 

1,371,541

 

 —

 

 

31,256

 

 —

 

 

171,324

 

 —

 

 

 —

 

 —

 

 

3,058,604

 

 

10,650,584

 

Partners’ capital,

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

June 30, 2016

 

1,372.89

 

$

1,199,295

 

24,232.94

 

$

21,168,763

 

231.81

 

$

198,949

 

2,557.12

 

$

2,194,677

 

 —

 

$

 —

 

60,121.13

 

$

45,488,487

 

$

197,387,741

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at December 31, 2015

 

 

 

$

817.71

 

 

 

 

 

 

 

 

$

803.03

 

 

 

 

 

 

 

 

$

713.66

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at June 30, 2016

 

 

 

$

873.55

 

 

 

 

 

 

 

 

$

858.26

 

 

 

 

 

 

 

 

$

756.61

 

 

 

 

 

 

 

 

 

 

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

8


 

Grant Park Futures Fund Limited Partnership

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

Six Months Ended June 30, 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

 

 

 

 

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,

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 —

 

 

 —

 

(340.82)

 

 

(418,590)

 

 —

 

 

 —

 

(8,094.06)

 

 

(8,369,177)

 

 —

 

 

 —

 

(128.48)

 

 

(117,384)

 

 —

 

 

 —

 

(168.67)

 

 

(153,170)

 

Net income (loss)

 

 —

 

 

(27,449)

 

 —

 

 

(1,059,096)

 

 —

 

 

 —

 

 —

 

 

(11,479,305)

 

 —

 

 

(59,013)

 

 —

 

 

(99,162)

 

 —

 

 

(15,182)

 

 —

 

 

(34,117)

 

Partners’ capital,

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

June 30, 2015

 

307.34

 

$

355,986

 

11,784.52

 

$

13,649,552

 

 —

 

$

 —

 

147,775.78

 

$

142,075,531

 

1,025.00

 

$

899,516

 

1,674.26

 

$

1,469,290

 

263.13

 

$

226,966

 

555.75

 

$

479,364

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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 June 30, 2015

 

 

 

$

1,158.26

 

 

 

 

 

 

 

 

$

961.43

 

 

 

 

 

 

 

 

$

877.58

 

 

 

 

 

 

 

 

$

862.56

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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,

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 —

 

 

 —

 

14,680.28

 

 

13,586,569

 

 —

 

 

 —

 

 —

 

 

 —

 

 —

 

 

 —

 

1,698.43

 

 

1,403,003

 

 

14,989,572

 

Redemptions

 

 —

 

 

 —

 

(2,953.19)

 

 

(2,680,801)

 

 —

 

 

 —

 

(375.17)

 

 

(335,356)

 

 —

 

 

 —

 

(30,152.99)

 

 

(24,702,230)

 

 

(36,776,708)

 

Net income (loss)

 

 —

 

 

(75,498)

 

 —

 

 

(1,347,368)

 

 —

 

 

(72,940)

 

 —

 

 

(266,324)

 

 —

 

 

 —

 

 —

 

 

(5,256,226)

 

 

(19,791,680)

 

Partners’ capital,

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

June 30, 2015

 

1,372.89

 

$

1,178,276

 

20,933.66

 

$

17,966,166

 

1,329.58

 

$

1,121,934

 

4,821.67

 

$

4,068,646

 

 -

 

$

 —

 

97,107.17

 

$

73,459,145

 

$

256,950,372

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at December 31, 2014

 

 

 

$

913.24

 

 

 

 

 

 

 

 

$

898.69

 

 

 

 

 

 

 

 

$

812.47

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at June 30, 2015

 

 

 

$

858.24

 

 

 

 

 

 

 

 

$

843.83

 

 

 

 

 

 

 

 

$

756.48

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

9


 

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, swap transactions 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 invests the assets of each class of the Partnership in the Partnership’s subsidiary limited liability trading companies (each, a “Trading Company” and collectively, the “Trading Companies”)  which (i) enter into advisory agreements with the independent commodity trading advisors retained by the general partner; (ii) enter into swap transactions or derivative instruments tied to the performance of such trading advisors; and/or (iii) allocate assets to the Partnership’s cash management trading company. The Partnership’s general partner, commodity pool operator and sponsor is Dearborn Capital Management, L.L.C. (“the General Partner”), an Illinois limited liability company. 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 6 and GP 15 as of June 30, 2016 and December 31, 2015.

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

10


 

Table of Contents

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

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 charge. The Global 1 Class and Global 2 Class units are offered only to investors in wrap accounts.

The Partnership’s significant accounting policies are as follows:

Accounting Principles: Pursuant to rules and regulations of the SEC, audited consolidated financial statements of the Partnership are prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”). The Partnership is an investment company and follows accounting and reporting guidance under the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies.

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.

11


 

Table of Contents

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

Commissions: Commissions and other trading fees are expensed when contracts are opened and closed, and 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. If a tax position does not meet the minimum statutory threshold to avoid payment of penalties, an expense for the amount of the statutory penalty and interest, if applicable, shall be recognized in the consolidated statement of operations in the period in which the position is claimed or expected to be claimed.  As of June 30, 2016, 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 2013.

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 June 30, 2016 and December 31, 2015, 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.

Swap contracts: Certain Trading Companies of the Partnership strategically allocate a portion or all of their assets to total return swaps selected at the direction of the General Partner. A swap is a bilaterally negotiated agreement between two parties to exchange cash flows based upon an asset, rate or some other reference index. In a typical swap, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on one or more particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a “notional amount” (i.e., the amount or value of the underlying asset used in computing the

12


 

Table of Contents

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

particular interest rate, return, or other amount to be exchanged) in a particular investment, or in a “basket” of commodities or other investments representing a particular index.  Changes in the value of the swap agreement are recognized as unrealized gains or losses in the consolidated statement of operations by marking to market on a daily basis to reflect the value of the swap agreement at the end of each day as reported by the swap counterparty. Realized gains and losses from a decrease in the notional value of the swap are recognized on trade date. A liquidation payment received or made at the termination of the swap agreement will first be offset against the swap balance outstanding at the time the position is liquidated, with the remainder being recorded as a realized gain or loss in the consolidated statement of operations.  Through its Trading Companies the Partnership has entered into total return swaps with Deutsche Bank AG.  The Partnership maintains cash as collateral to secure its obligations under the swaps.  As of June 30, 2016 and December 31, 2015, the notional value of the swaps was $54,638,617 and $20,000,000, respectively, and the cash margin balance was $13,000,000 and $4,000,000, respectively.  The swaps were effective July 1, 2015 and April 5, 2016 and have a term of five years and three years, respectively.

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 June 30, 2016 and 2015, substantially all investments are carried at fair value and classified as Level 1 and Level 2 measurements, the Partnership carried no debt, and the statements of changes in partners’ capital (net asset value) is presented.

Reclassification: Certain amounts in the 2015 consolidated financial statements have been reclassified to conform with the 2016 presentation.

Recent accounting pronouncements: In February 2015, the FASB issued ASU 2015-02, Consolidation (Topic 810) containing guidance for reporting entities that are required to evaluate whether they should consolidate certain legal entities.  The guidance is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2015.  The Partnership adopted ASU 2015-02 as of January 1, 2016 and the adoption did not have a material impact on its consolidated financial statements.

 

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.

 

In August 2015, the FASB issued ASU 2015-14, Revenue from Contracts with Customers (Topic 606) – Deferral of Effective Date, which defers the effective date of ASU 2014-09, Revenue from Contracts with Customers (Topic 606).  The amendments in ASU 2014-09 affect any entity that enters into contracts with customers to transfer goods or services or enters into contracts for the transfer of nonfinancial assets unless those contracts are within the scope of other standards.  In March 2016, April 2016 and May 2016, the FASB issued ASU 2016-08 Revenue from Contracts with Customers (Topic 606): Principal versus Agent Considerations (Reporting Revenue Gross versus Net), ASU 2016-10 Revenue from Contracts with Customers (Topic 606): Identifying Performance Obligations and Licensing, and ASU 2016-12 Revenue from Contracts with Customers (Topic 606): Narrow-Scope Improvements and Practical Expedients, respectively.  The amendments in these updates affect entities with transactions included within the scope of Topic 606. The scope of that Topic includes entities that enter into contracts with customers to transfer goods or services (that are an output of the entity’s ordinary activities) in exchange for consideration.   The guidance is effective for annual reporting periods beginning after December 15, 2017.  The Partnership is currently evaluating the impact these pronouncements would have on its consolidated financial statements.

 

In January 2016, the FASB issued ASU 2016-01 Financial Instruments – Overall (Subtopic 825-10) Recognition and Measurement of Financial Assets and Liabilities.  The amendments in this update affect all entities that hold financial assets or owe financial liabilities.   The guidance is effective for fiscal years beginning after December 15,

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Table of Contents

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

2017.  The Partnership is currently evaluating the impact this pronouncement would have on its consolidated financial statements.

 

In March 2016, the FASB issued ASU 2016-05 Derivatives and Hedging (Topic 815) Effect of Derivative Contract Novations on Existing Hedge Accounting Relationships.  The amendments in this update apply to all reporting entities for which there is a change in the counterparty to a derivative instrument that has been designated as a hedging instrument under Topic 815.  The guidance is effective for fiscal years beginning after December 15, 2016, and interim periods with those fiscal years.  The adoption of ASU 2016-05 is not expected to have an impact on the Partnership’s 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.

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 of the fair value hierarchy.

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

14


 

Table of Contents

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

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 investments in total return swaps are reported at fair value based on daily price reporting from the swap counterparty. The Partnership’s swap transactions are a two-party contract entered into primarily to exchange the returns earned or realized on particular pre-determined investments or instruments. The gross returns to be exchanged or swapped between parties are calculated with respect to a notional amount. The total return swaps have inputs which are transparent and can generally be corroborated by market data and therefore are classified within 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 June 30, 2016:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets

    

Level 1

    

Level 2

    

Level 3

    

Total

 

Equity in brokers' trading accounts

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. and foreign futures contracts

 

$

8,110,991

 

$

 —

 

$

 —

 

$

8,110,991

 

Forward currency contracts

 

 

 —

 

 

723,770

 

 

 —

 

 

723,770

 

Swap contracts

 

 

 —

 

 

(3,386,676)

 

 

 —

 

 

(3,386,676)

 

Cash and cash equivalents

 

 

 

 

 

 

 

 

 

 

 

 

 

Bank deposits

 

 

4,128,596

 

 

 —

 

 

 —

 

 

4,128,596

 

Foreign commercial paper

 

 

 —

 

 

1,649,065

 

 

 —

 

 

1,649,065

 

U.S. commercial paper

 

 

 —

 

 

58,662,235

 

 

 —

 

 

58,662,235

 

Securities owned

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign commercial paper

 

 

 —

 

 

4,470,899

 

 

 —

 

 

4,470,899

 

U.S. commercial paper

 

 

 —

 

 

11,554,627

 

 

 —

 

 

11,554,627

 

U.S. Government-sponsored enterprises

 

 

 —

 

 

68,939,869

 

 

 —

 

 

68,939,869

 

U.S. corporate bonds

 

 

 —

 

 

16,344,950

 

 

 —

 

 

16,344,950

 

Total

 

$

12,239,587

 

$

158,958,739

 

$

 —

 

$

171,198,326

 

The gross presentation of the fair value of the Partnership’s derivatives by contract type is shown in Note 10. See the consolidated condensed schedule of investments for detail by sector.

15


 

Table of Contents

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

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 December 31, 2015:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets

    

Level 1

    

Level 2

    

Level 3

    

Total

 

Equity in brokers' trading accounts

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. and foreign futures contracts

 

$

827,595

 

$

 —

 

$

 —

 

$

827,595

 

Forward currency contracts

 

 

 —

 

 

(240,659)

 

 

 —

 

 

(240,659)

 

Swap contracts

 

 

 —

 

 

1,168,100

 

 

 —

 

 

1,168,100

 

Cash and cash equivalents

 

 

 

 

 

 

 

 

 

 

 

 

 

Bank deposits

 

 

1,101,389

 

 

 —

 

 

 —

 

 

1,101,389

 

Foreign commercial paper

 

 

 —

 

 

5,547,926

 

 

 —

 

 

5,547,926

 

U.S. commercial paper

 

 

 —

 

 

57,976,698

 

 

 —

 

 

57,976,698

 

Securities owned

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign commercial paper

 

 

 —

 

 

4,008,509

 

 

 —

 

 

4,008,509

 

U.S. commercial paper

 

 

 —

 

 

15,173,266

 

 

 —

 

 

15,173,266

 

U.S. Government-sponsored enterprises

 

 

 —

 

 

82,472,451

 

 

 —

 

 

82,472,451

 

U.S. corporate bonds

 

 

 —

 

 

14,643,428

 

 

 —

 

 

14,643,428

 

Total

 

$

1,928,984

 

$

180,749,719

 

$

 —

 

$

182,678,703

 

The gross presentation of the fair value of the Partnership’s derivatives by contract type is shown in Note 10. See the consolidated condensed schedule of investments for detail by sector.

The Partnership assesses the level of the investments at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Partnership’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. There were no transfers among Levels 1, 2, and 3 during the three and six months ended June 30, 2016 and year ended December 31, 2015.

 

Note 3. Deposits with Brokers and Interbank Market Makers

The Partnership, through the Trading Companies, deposits assets with UBS Securities LLC, SG Americas Securities, LLC, formerly Newedge USA, LLC, and Wells Fargo Securities, LLC subject to CFTC regulations and various exchange and broker requirements. Margin requirements may be satisfied by the deposit of U.S. Treasury bills, Government- sponsored enterprise securities and/or cash with such clearing brokers. The Partnership may earn interest income on its assets deposited with the clearing brokers.

The Partnership, through the Trading Companies, has entered into a relationship with Deutsche Bank AG, Sociètè Gènèrale Newedge UK Limited and UBS AG for the clearing of its OTC foreign currency transactions and with Deutsche Bank AG for its swap transactions.  The Partnership has entered into an International Swaps and Derivatives Association, Inc. master agreement with Deutsche Bank AG, Sociètè Gènèrale Newedge UK Limited and UBS AG.  Margin requirements may be satisfied by the deposit of U.S. Treasury bills and/or cash with such interbank market makers or swap counterparties. The Partnership may earn interest income on its assets deposited with the interbank market makers.

 

Note 4. Commodity Trading Advisors

The Partnership, through the Trading Companies, allocates assets to the commodity trading advisors or through swap transactions based on reference programs of such advisors. Each trading advisor that receives a direct allocation from the Partnership has entered into an advisory contract with the Partnership. The commodity trading advisors are Amplitude Capital International Limited (“Amplitude”), EMC Capital Advisors, LLC (“EMC”), H2O Asset Management, LLP (“H2O”), Lynx Asset Management AB (“Lynx”), Quantica Capital AG (“Quantica”), Rabar Market

16


 

Table of Contents

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

Research, Inc. (“Rabar”), Revolution Capital Management, LLC (“RCM”), Transtrend B.V.(“Transtrend”), and Winton Capital Management Limited (“Winton”) (collectively, the “Advisors”). The Advisors are paid a consulting fee, either monthly or quarterly, directly or through swap transactions, ranging from 0 percent to 2 percent per annum of the Partnership’s month-end allocated net assets and a quarterly or semi-annual incentive fee, directly or through swap transactions, ranging from 20 percent to 24.5 percent of the new trading profits on the allocated net assets of the Advisor.

Note 5. General Partner and Related Party Transactions

The General Partner shall at all times, so long as it remains a general partner of the Partnership, own Units in the Partnership: (i) in an amount sufficient, in the opinion of counsel for the Partnership, for the Partnership to be taxed as a partnership rather than as an association taxable as a corporation; and (ii) during such time as the Units are registered for sale to the public, in an amount at least equal to the greater of: (a) 1 percent of all capital contributions of all Partners to the Partnership; or (b) $25,000; or such other amount satisfying the requirements then imposed by the North American Securities Administrators Association, Inc. (NASAA) Guidelines. Further, during such time as the Units are registered for sale to the public, the General Partner shall, so long as it remains a general partner of the Partnership, maintain a net worth (as such term may be defined in the NASAA Guidelines) at least equal to the greater of: (i) 5 percent of the total capital contributions of all partners and all limited partnerships to which it is a general partner (including the Partnership) plus 5 percent of the Units being offered for sale in the Partnership; or (ii) $50,000; or such other amount satisfying the requirements then imposed by the NASAA Guidelines. In no event, however, shall the General Partner be required to maintain a net worth in excess of $1,000,000 or such other maximum amount satisfying the requirements then imposed by the NASAA Guidelines.

Ten percent of the General Partners limited partnership interest in the Partnership is characterized as a general partnership interest. Notwithstanding, the general partnership interest will continue to pay all fees associated with a limited partnership interest.

The Partnership pays the General Partner a monthly brokerage charge, organization and offering costs and operating expenses as presented in the table below:

 

 

 

 

 

 

 

 

 

 

 

 

Organization and Offering

 

 

 

 

    

Brokerage charge*

    

Reimbursement*

    

Operating Expense*

 

Class A units

 

7.00

%  

0.10

%  

0.25

%

Class B units

 

7.45

%

0.30

%

0.25

%

Legacy 1 Class units

 

4.50

%

0.30

%

0.25

%

Legacy 2 Class units

 

4.75

%

0.30

%

0.25

%

Global 1 Class units

 

3.95

%

0.30

%

0.25

%

Global 2 Class units

 

4.20

%

0.30

%

0.25

%

Global 3 Class units

 

5.95

%

0.30

%

0.25

%

*The fees are calculated and payable monthly on the basis of month-end adjusted net assets. “Adjusted net assets” is defined as the month-end net assets of the particular class before accruals for fees and expenses and redemptions.

Included in the total brokerage charge are amounts paid to the clearing brokers for execution and clearing costs, which are reflected in the commissions line of the consolidated statements of operations, and the remaining amounts are management fees paid to the Advisors, compensation to the selling agents and an amount to the General Partner for management services rendered, which are reflected in the brokerage charge line on the consolidated statements of operations. The brokerage charge in the amount of $2,452,780 and $5,224,596, respectively, for the three and six months ended June 30, 2016 and $3,528,078 and $7,486,926, respectively, for the three and six months ended June 30, 2015, are shown on the consolidated statements of operations.

Transaction costs and consulting fees are taken into account in determining the net amount the Partnership receives or pays in connection with swap transactions, but such costs or fees are not directly charged to the Partnership

17


 

Table of Contents

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

or any of its trading companies. The general partner will reduce (but not below zero) the brokerage charge by the amount of such costs and fees. Each class of units pays a fee to a counterparty in respect of any swap transaction of up to 0.50% of the notional amount of such swap transaction.

Ongoing organization and offering costs of the Partnership are paid for by the General Partner and reimbursed by the Partnership. The organization and offering costs in the amounts of $146,016 and $306,793, respectively, for the three and six months ended June 30, 2016, and $198,576 and $420,214, respectively, for the three and six months ended June 30, 2015, are shown on the consolidated statement of operations.

Operating expenses of the Partnership are paid for by the General Partner and reimbursed by the Partnership. To the extent operating expenses are less than 0.25 percent of the Partnership’s average month-end net assets during the year, the difference may be reimbursed pro rata to record-holders as of December 31 of each year. The operating expenses in the amounts of $126,124 and $264,938, respectively, for the three and six months ended June 30, 2016 and $171,656 and $363,042, respectively, for the three and six months ended June 30, 2015, are shown on the consolidated statement of operations.

An entity owned in part and controlled by Mr. Kavanagh, who indirectly controls and is president of Dearborn Capital Management, L.L.C., the general partner of the Partnership, and in part by Mr. Al Rayes, who is a principal of the general partner, and an entity owned in part and controlled by Mr. Meehan, the chief operating officer of the general partner, purchased a minority ownership interest in EMC, which is one of the commodity trading advisors of the Partnership.  The general partner, on behalf of the Partnership, pays EMC a quarterly consulting fee and a quarterly incentive fee based on new trading profits, if any, achieved on EMC’s allocated net assets at the end of each period.  For the three and six months ended June 30, 2016, EMC was paid approximately $118,600 and $258,900, respectively, in consulting fees and $0 and $40,800, respectively, in incentive fees.  For the three and six months ended June 30, 2015, EMC was paid approximately $126,400 and $252,400, respectively, in consulting fees and $12 and $55,300, respectively, in incentive fees.   

 

Note 6. Subscriptions, Redemptions and Allocation of Net Income or Loss

Subscriptions received in advance, if any, represent cash received prior to June 30 for contributions of the subsequent month and do not participate in earnings of the Partnership until the following July.

Class A, Class B, Legacy 1 Class, Legacy 2 Class, Global 1 Class, Global 2 Class and Global 3 Class Limited Partners have the right to redeem units as of any month-end upon ten (10) days’ prior written notice to the Partnership. The General Partner, however, may permit earlier redemptions in its discretion. Legacy 1 Class, Legacy 2 Class, Global 1 Class, Global 2 Class and Global 3 Class Limited Partners are prohibited from redeeming such units for the three months following the subscription for units. Global 3 Class Limited Partners who redeem their units after the three-month lock-up, but prior to the one-year anniversary of their subscriptions for the redeemed units, will pay the applicable early redemption fee. There are no redemption fees applicable to Legacy 1 Class, Legacy 2 Class, Global 1 Class and Global 2 Class Limited Partners or to Global 3 Class Limited Partners who redeem their units on or after the one-year anniversary of their subscription. Redemptions will be made as of the last day of the month for an amount equal to the net asset value per unit, as defined, represented by the units to be redeemed. The right to obtain redemption is also contingent upon the Partnership’s having property sufficient to discharge its liabilities on the redemption date and may be delayed if the General Partner determines that earlier liquidation of commodity interest positions to meet redemption payments would be detrimental to the Partnership or nonredeeming Limited Partners.

In addition, the General Partner may at any time cause the redemption of all or a portion of any Limited Partner’s units upon fifteen (15) days’ written notice. The General Partner may also immediately redeem any Limited Partner’s units without notice if the General Partner believes that (i) the redemption is necessary to avoid having the assets of the Partnership deemed Plan Assets under the Employee Retirement Income Security Act of 1974, as amended

18


 

Table of Contents

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

(“ERISA”), (ii) the Limited Partner made a misrepresentation in connection with its subscription for the units, or (iii) the redemption is necessary to avoid a violation of law by the Partnership or any Partner.

In accordance with the Third Amended and Restated Limited Partnership Agreement, net income or loss of the Partnership is allocated to partners according to their respective interests in the Partnership as of the beginning of the month.

Note 7. Financial Highlights

 

The following financial highlights reflect activity related to the Partnership. Total return is based on the change in value during the period of a theoretical investment made by a limited partner at the beginning of each calendar month during the period and is not annualized. Individual limited partners’ ratios may vary from these ratios based on various factors, including but not limited to the timing of capital transactions.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Three Months Ended

 

 

Six Months Ended

 

 

 

June 30, 

 

 

June 30, 

 

 

 

2016

 

 

2015

 

    

2016

    

2015

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return – Class A Units

 

0.69

%

 

(9.80)

%

 

4.84

%  

(7.16)

%

Total return – Class B Units

 

0.48

%

 

(9.95)

%

 

4.44

%  

(7.45)

%

Total return – Legacy 1 Class Units

 

1.22

%

 

(9.25)

%

 

5.93

%  

(6.16)

%

Total return – Legacy 2 Class Units

 

1.13

%

 

(9.31)

%

 

5.78

%  

(6.27)

%

Total return – Global 1 Class Units

 

1.67

%

 

(9.26)

%

 

6.83

%  

(6.02)

%

Total return – Global 2 Class Units

 

1.70

%

 

(9.29)

%

 

6.88

%  

(6.10)

%

Total return – Global 3 Class Units

 

1.27

%

 

(9.70)

%

 

6.02

%  

(6.89)

%

Ratios as a percentage of average net assets:

 

 

 

 

 

 

 

 

 

 

 

Expenses prior to incentive fees (1)

 

5.46

%

 

5.65

%

 

5.59

%  

5.77

%

Incentive fees (2)

 

0.17

%

 

(0.11)

%

 

0.29

%  

0.89

%

Total expenses

 

5.63

%

 

5.54

%

 

5.88

%  

6.66

%

Net investment loss (1) (3)

 

(4.77)

%

 

(5.16)

%

 

(4.92)

%  

(5.29)

%

 

(1)

Annualized.

(2)

Not annualized.

(3)

Excludes incentive fee.

 

The expense ratios above are computed based upon the weighted average net assets of the Partnership for the three and six months ended June 30, 2016 and 2015 (annualized).

 

19


 

Table of Contents

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

The following per unit performance calculations reflect activity related to the Partnership for the three and six months ended June 30, 2016 and 2015.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Class A Units

 

Three Months Ended

 

Six Months Ended

 

 

 

June 30, 

 

June 30, 

 

 

 

2016

 

2015

    

2016

    

2015

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Per Unit Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

(for unit outstanding throughout the entire period):

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at beginning of period

 

$

1,137.81

 

$

1,284.06

 

$

1,092.80

 

$

1,247.57

 

Income (loss) from operations

 

 

 

 

 

 

 

 

 

 

 

 

 

Net realized and change in unrealized gain (loss) from trading*

 

 

23.15

 

 

(110.85)

 

 

84.18

 

 

(45.06)

 

Expenses net of interest income*

 

 

(15.25)

 

 

(14.95)

 

 

(31.27)

 

 

(44.25)

 

Total income (loss) from operations

 

 

7.90

 

 

(125.80)

 

 

52.91

 

 

(89.31)

 

Net asset value per unit at end of period

 

$

1,145.71

 

$

1,158.26

 

$

1,145.71

 

$

1,158.26

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Class B Units

 

Three Months Ended

 

Six Months Ended

 

 

 

June 30, 

 

June 30, 

 

 

 

2016

 

2015

    

2016

    

2015

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Per Unit Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

(for unit outstanding throughout the entire period):

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at beginning of period

 

$

939.83

 

$

1,067.64

 

$

904.13

 

$

1,038.84

 

Income (loss) from operations

 

 

 

 

 

 

 

 

 

 

 

 

 

Net realized and change in unrealized gain (loss) from trading*

 

 

19.07

 

 

(92.09)

 

 

69.55

 

 

(37.14)

 

Expenses net of interest income*

 

 

(14.60)

 

 

(14.12)

 

 

(29.38)

 

 

(40.27)

 

Total income (loss) from operations

 

 

4.47

 

 

(106.21)

 

 

40.17

 

 

(77.41)

 

Net asset value per unit at end of period

 

$

944.30

 

$

961.43

 

$

944.30

 

$

961.43

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Legacy 1 Class Units

 

Three Months Ended

 

Six Months Ended

 

 

 

June 30, 

 

June 30, 

 

 

 

2016

 

2015

    

2016

    

2015

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Per Unit Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

(for unit outstanding throughout the entire period):

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at beginning of period

 

$

876.49

 

$

967.08

 

$

837.54

 

$

935.15

 

Income (loss) from operations

 

 

 

 

 

 

 

 

 

 

 

 

 

Net realized and change in unrealized gain (loss) from trading*

 

 

18.32

 

 

(83.65)

 

 

65.35

 

 

(34.27)

 

Expenses net of interest income*

 

 

(7.64)

 

 

(5.85)

 

 

(15.72)

 

 

(23.30)

 

Total income (loss) from operations

 

 

10.68

 

 

(89.50)

 

 

49.63

 

 

(57.57)

 

Net asset value per unit at end of period

 

$

887.17

 

$

877.58

 

$

887.17

 

$

877.58

 

 

 

20


 

Table of Contents

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Legacy 2 Class Units

 

Three Months Ended

 

Six Months Ended

 

 

 

June 30, 

 

June 30, 

 

 

 

2016

 

2015

    

2016

    

2015

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Per Unit Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

(for unit outstanding throughout the entire period):

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at beginning of period

 

$

859.94

 

$

951.15

 

$

822.19

 

$

920.26

 

Income (loss) from operations

 

 

 

 

 

 

 

 

 

 

 

 

 

Net realized and change in unrealized gain (loss) from trading*

 

 

17.57

 

 

(82.22)

 

 

63.40

 

 

(33.01)

 

Expenses net of interest income*

 

 

(7.82)

 

 

(6.37)

 

 

(15.90)

 

 

(24.69)

 

Total income (loss) from operations

 

 

9.75

 

 

(88.59)

 

 

47.50

 

 

(57.70)

 

Net asset value per unit at end of period

 

$

869.69

 

$

862.56

 

$

869.69

 

$

862.56

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Global 1 Class Units

 

Three Months Ended

 

Six Months Ended

 

 

 

June 30, 

 

June 30, 

 

 

 

2016

 

2015

    

2016

    

2015

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Per Unit Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

(for unit outstanding throughout the entire period):

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at beginning of period

 

$

859.23

 

$

945.83

 

$

817.71

 

$

913.24

 

Income (loss) from operations

 

 

 

 

 

 

 

 

 

 

 

 

 

Net realized and change in unrealized gain (loss) from trading*

 

 

21.19

 

 

(82.50)

 

 

70.03

 

 

(34.50)

 

Expenses net of interest income*

 

 

(6.87)

 

 

(5.09)

 

 

(14.19)

 

 

(20.50)

 

Total income (loss) from operations

 

 

14.32

 

 

(87.59)

 

 

55.84

 

 

(55.00)

 

Net asset value per unit at end of period

 

$

873.55

 

$

858.24

 

$

873.55

 

$

858.24

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Global 2 Class Units

 

Three Months Ended

 

Six Months Ended

 

 

 

June 30, 

 

June 30, 

 

 

 

2016

 

2015

    

2016

    

2015

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Per Unit Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

(for unit outstanding throughout the entire period):

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at beginning of period

 

$

843.89

 

$

930.24

 

$

803.03

 

$

898.69

 

Income (loss) from operations

 

 

 

 

 

 

 

 

 

 

 

 

 

Net realized and change in unrealized gain (loss) from trading*

 

 

20.36

 

 

(81.51)

 

 

68.37

 

 

(33.64)

 

Expenses net of interest income*

 

 

(5.99)

 

 

(4.90)

 

 

(13.14)

 

 

(21.22)

 

Total income (loss) from operations

 

 

14.37

 

 

(86.41)

 

 

55.23

 

 

(54.86)

 

Net asset value per unit at end of period

 

$

858.26

 

$

843.83

 

$

858.26

 

$

843.83

 

 

 

21


 

Table of Contents

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Global 3 Class Units

 

Three Months Ended

 

Six Months Ended

 

 

 

June 30, 

 

June 30, 

 

 

 

2016

 

2015

    

2016

    

2015

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Per Unit Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

(for unit outstanding throughout the entire period):

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at beginning of period

 

$

747.15

 

$

837.74

 

$

713.66

 

$

812.47

 

Income (loss) from operations

 

 

 

 

 

 

 

 

 

 

 

 

 

Net realized and change in unrealized gain (loss) from trading*

 

 

17.95

 

 

(73.38)

 

 

60.44

 

 

(29.61)

 

Expenses net of interest income*

 

 

(8.49)

 

 

(7.88)

 

 

(17.49)

 

 

(26.38)

 

Total income (loss) from operations

 

 

9.46

 

 

(81.26)

 

 

42.95

 

 

(55.99)

 

Net asset value per unit at end of period

 

$

756.61

 

$

756.48

 

$

756.61

 

$

756.48

 

 

* Expenses net of interest income per unit are calculated by dividing the expenses net of interest income by the average number of units outstanding during the period. The net realized and change in unrealized gain (loss) from trading is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.

Note 8. Trading Activities and Related Risks

 

The Partnership, through its Advisors or swap transactions based on reference programs of such advisors, engages in the speculative trading of a variety of instruments, including U.S. and foreign futures contracts, options on U.S. and foreign futures contracts and forward contracts and other derivative instruments including swap contracts (collectively, derivatives; see Note 10). These derivatives include both financial and nonfinancial contracts held as part of a diversified trading strategy. Additionally, the Partnership’s speculative trading includes equities and exchange-traded funds. The Partnership is exposed to both market risk, the risk arising from changes in the market value of the contracts, and credit risk, the risk of failure by another party to perform according to the terms of a contract.

 

The purchase and sale of futures and options on futures contracts require margin deposits with FCMs. Additional deposits may be necessary for any loss on contract value. The Commodity Exchange Act requires an FCM to segregate all customer transactions and assets from the FCM’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury bills) deposited with an FCM are considered commingled with all other customer funds subject to the FCM’s segregation requirements. In the event of an FCM’s insolvency, recovery may be limited to a pro rata share of segregated funds available. It is possible that the recovered amount could be less than the total of cash and other property deposited. The Partnership utilizes UBS Securities LLC, SG Americas Securities, LLC and Wells Fargo Securities, LLC as its clearing brokers.

 

The amount of required margin and good faith deposits with the FCMs, interbank market makers and swap counterparties usually ranges from 5% to 35% of the Partnership’s net asset value.  The cash deposited with the FCMs, interbank market makers and swap counterparties at June 30, 2016 and December 31, 2015 was $31,741,266 and $38,781,351, respectively, which was 16.08% and 18.14% of the net asset value, respectively.

 

For derivatives, risks arise from changes in the fair value of the contracts. Theoretically, the Partnership is exposed to a market risk equal to the value of futures and forward contracts purchased and unlimited liability on such contracts sold short. As both a buyer and seller of options, the Partnership pays or receives a premium at the outset and then bears the risk of unfavorable changes in the price of the contract underlying the option. Written options expose the Partnership to potentially unlimited liability; for purchased options the risk of loss is limited to the premiums paid.

 

In addition to market risk, trading futures, forwards and swap contracts entails a credit risk that a counterparty will not be able to meet its obligations to the Partnership. The counterparty for futures and options on futures contracts traded in the United States and on most non-U.S. futures exchanges is the clearinghouse associated with such exchange. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any

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Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

financial burden resulting from the nonperformance by one of their members and, as such, should significantly reduce this credit risk. In cases in which the clearinghouse is not backed by the clearing members, like some non-U.S. exchanges, it is normally backed by a consortium of banks or other financial institutions.

 

In the case of forward contracts, over-the-counter options contracts or swap contracts, which are traded on the interbank or other institutional markets rather than on exchanges, the counterparty is generally a single bank or other financial institution, rather than a clearinghouse backed by a group of financial institutions; thus, there likely will be greater counterparty credit risk. The Partnership trades only with those counterparties that it believes to be creditworthy. All positions of the Partnership are valued each day on a mark-to-market basis. There can be no assurance that any clearing member, clearinghouse or other counterparty will be able to meet its obligations to the Partnership.

 

Unlike futures and options on futures contracts, most swap contracts currently are not traded on or cleared by an exchange or clearinghouse. The CFTC currently requires only a limited class of swap contracts (certain interest rate and credit default swaps) to be cleared and executed on an exchange or other organized trading platform. In accordance with the Dodd-Frank Act, the CFTC will determine in the future whether other classes of swap contracts will be required to be cleared and executed on an exchange or other organized trading platform. Until such time as these transactions are cleared, the Partnership will be subject to a greater risk of counterparty default on its swaps. Because swaps do not generally involve the delivery of underlying assets or principal, the amount payable upon default and early termination is usually calculated by reference to the current market value of the contract. Swap dealers and major swap participants require the Partnership to deposit initial margin and variation margin as collateral to support such obligation under the swap agreement but may not themselves provide collateral for the benefit of the Partnership. If the counterparty to such a swap agreement defaults, the Partnership would be a general unsecured creditor for any termination amounts owed by the counterparty to the Partnership as well as for any collateral deposits in excess of the amounts owed by the Partnership to the counterparty, which would result in losses to the Partnership.

 

There are no limitations on daily price movements in swap transactions. Speculative position limits are not currently applicable to swaps, but in the future may be applicable for swaps on certain commodities. In addition, participants in swap markets are not required to make continuous markets in the swaps they trade, and determining a market value for calculation of termination amounts can lead to uncertain results.

 

Securities sold short represent obligations of the Partnership to deliver specific securities and thereby create a liability to purchase these instruments in the open market at prevailing prices. These transactions may result in market risk not reflected in the consolidated statement of financial condition as the Partnership’s ultimate obligation to satisfy its obligation for trading liabilities may exceed the amount reflected in the consolidated statement of financial condition.

 

The Partnership maintains deposits with high quality financial institutions in amounts that are in excess of federally insured limits; however, the Partnership does not believe it is exposed to any significant credit risk.

 

The General Partner has established procedures to actively monitor and minimize market and credit risks. The Limited Partners bear the risk of loss only to the extent of the fair value of their respective investments and, in certain specific circumstances, distributions and redemptions received.

 

Note 9. Indemnifications

 

In the normal course of business, the Partnership enters into contracts and agreements that contain a variety of representations and warranties and which provide general indemnifications. The Partnership’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Partnership that have not yet occurred.  The Partnership expects the risk of any future obligation under these indemnifications to be remote.

 

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Notes to Consolidated Financial Statements

(Unaudited)

Note 10. Derivative Instruments

 

The Partnership follows the provisions of FASB ASC 815, Derivatives and Hedging. FASB ASC 815 is intended to improve transparency in financial reporting by requiring enhanced disclosures of an entity’s derivative instruments and hedging activities and their effects on the entity’s financial position, financial performance, and cash flows. FASB ASC 815 applies to all derivative instruments within the scope of FASB ASC 815-10-05. It also applies to non-derivative hedging instruments and all hedged items designated and qualifying as hedges under FASB ASC 815-10-05. FASB ASC 815 amends the current qualitative and quantitative disclosure requirements for derivative instruments and hedging activities set forth in FASB ASC 815-10-05 and generally increases the level of disaggregation that will be required in an entity’s financial statements. FASB ASC 815 requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements (see Trading Activities and Related Risks, Note 8).

 

The Partnership’s business is speculative trading. The Partnership intends to close out all futures, options on futures and forward contracts prior to their expiration. The Partnership trades in futures and other commodity interest contracts and is therefore a party to financial instruments with elements of off-balance sheet market risk and credit risk. In entering into these contracts, the Partnership 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. The Partnership 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%.

 

In addition to market risk, in entering into commodity interest contracts there is a credit risk that a counterparty will not be able to meet its obligations to the Partnership. 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 in which 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 will likely be greater counterparty credit risk in these transactions. The Partnership 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 the Partnership, in which case the Partnership could suffer significant losses on these contracts.

 

The Partnership does not designate any derivative instruments as hedging instruments under FASB ASC 815-10-05.

 

For the three and six months ended June 30, 2016, the monthly average futures contracts bought and sold was approximately 56,367 and 54,775, respectively, and the monthly average forward contracts bought and sold was approximately 1,034 and 767, respectively. For the three and six months ended June 30, 2015, the monthly average futures contracts bought and sold was approximately 74,737 and 73,571, respectively, and the monthly average forward

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Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

contracts bought and sold was approximately 17,117 and 16,106, respectively. The following tables summarize the quantitative information required by FASB ASC 815:

 

Fair Values of Derivative Instruments at June 30, 2016 and December 31, 2015

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Consolidated

 

Asset

 

Liability

 

 

 

 

 

Statements of Financial

 

Derivatives

 

Derivatives

 

 

 

 

    

Condition Location

    

6/30/2016

    

6/30/2016

    

Fair Value

 

 

 

 

 

 

 

 

 

 

 

 

Agricultural contracts

 

Net Unrealized gain (loss) on open futures contracts

 

$

461,728

 

$

(241,369)

 

$

220,359

 

 

 

 

 

 

 

 

 

 

 

 

Currencies contracts

 

Net Unrealized gain (loss) on open futures contracts

 

 

1,281,566

 

 

(291,139)

 

 

990,427

 

 

 

 

 

 

 

 

 

 

 

 

Energy contracts

 

Net Unrealized gain (loss) on open futures contracts

 

 

304,244

 

 

(189,498)

 

 

114,746

 

 

 

 

 

 

 

 

 

 

 

 

Interest rates contracts

 

Net Unrealized gain (loss) on open futures contracts

 

 

5,742,448

 

 

(427,947)

 

 

5,314,501

 

 

 

 

 

 

 

 

 

 

 

 

Meats contracts

 

Net Unrealized gain (loss) on open futures contracts

 

 

39,083

 

 

(137,277)

 

 

(98,194)

 

 

 

 

 

 

 

 

 

 

 

 

Metals contracts

 

Net Unrealized gain (loss) on open futures contracts

 

 

1,807,099

 

 

(1,678,254)

 

 

128,845

 

 

 

 

 

 

 

 

 

 

 

 

Soft commodities contracts

 

Net Unrealized gain (loss) on open futures contracts

 

 

304,602

 

 

(48,440)

 

 

256,162

 

 

 

 

 

 

 

 

 

 

 

 

Stock indices contracts

 

Net Unrealized gain (loss) on open futures contracts

 

 

1,733,120

 

 

(548,975)

 

 

1,184,145

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

11,673,890

 

$

(3,562,899)

 

$

8,110,991

 

 

 

 

 

 

 

 

 

 

 

 

Forward currency contracts

 

Net Unrealized gain (loss) on open forward currency contracts

 

$

1,614,917

 

$

(891,147)

 

$

723,770

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts*

 

Net Unrealized gain (loss) on open swap contracts

 

$

114,970

 

$

(3,501,646)

 

$

(3,386,676)

 

 

 

 

 

 

 

 

 

 

 

 

*At June 30, 2016, the sector exposure of the CTA indices underlying the swaps was:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Deutsche Bank total return swap, termination date July 1, 2020

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

50%

 

 

 

 

 

 

 

 

 

Forward currency contracts

 

37%

 

 

 

 

 

 

 

 

 

Stock indices

 

13%

 

 

 

 

 

 

 

 

 

Total

 

100%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Deutsche Bank total return swap, termination date March 29, 2019

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

82%

 

 

 

 

 

 

 

 

 

Forward currency contracts

 

10%

 

 

 

 

 

 

 

 

 

Stock indices

 

4%

 

 

 

 

 

 

 

 

 

Agricultural contracts

 

2%

 

 

 

 

 

 

 

 

 

Metals contracts

 

2%

 

 

 

 

 

 

 

 

 

Total

 

100%

 

 

 

 

 

 

 

 

 

 

 

 

25


 

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Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Consolidated

 

Asset

 

Liability

 

 

 

 

 

 

Statements of Financial

 

Derivatives

 

Derivatives

 

 

 

 

 

    

Condition Location

    

12/31/2015

    

12/31/2015

    

Fair Value

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agricultural contracts

 

Net Unrealized gain (loss) on open futures contracts

 

$

708,940

 

$

(192,304)

 

$

516,636

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currencies contracts

 

Net Unrealized gain (loss) on open futures contracts

 

 

1,586,035

 

 

(488,106)

 

 

1,097,929

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Energy contracts

 

Net Unrealized gain (loss) on open futures contracts

 

 

1,861,351

 

 

(1,035,133)

 

 

826,218

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rates contracts

 

Net Unrealized gain (loss) on open futures contracts

 

 

853,598

 

 

(2,119,167)

 

 

(1,265,569)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Meats contracts

 

Net Unrealized gain (loss) on open futures contracts

 

 

18,294

 

 

(165,939)

 

 

(147,645)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Metals contracts

 

Net Unrealized gain (loss) on open futures contracts

 

 

1,206,519

 

 

(912,776)

 

 

293,743

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Soft commodities contracts

 

Net Unrealized gain (loss) on open futures contracts

 

 

101,389

 

 

(273,791)

 

 

(172,402)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Stock indices contracts

 

Net Unrealized gain (loss) on open futures contracts

 

 

614,583

 

 

(935,898)

 

 

(321,315)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

6,950,709

 

$

(6,123,114)

 

$

827,595

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward currency contracts

 

Net Unrealized gain (loss) on open forward currency contracts

 

$

682,325

 

$

(922,984)

 

$

(240,659)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts*

 

Net Unrealized gain (loss) on open swap contracts

 

$

1,168,100

 

$

 —

 

$

1,168,100

 

 

 

 

 

 

 

 

 

 

 

 

 

 

*At December 31, 2015, the sector exposure of the CTA indices underlying the swap was:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

43%

 

 

 

 

 

 

 

 

 

 

Forward currency contracts

 

42%

 

 

 

 

 

 

 

 

 

 

Stock indices and stock index options

 

15%

 

 

 

 

 

 

 

 

 

 

Total

 

100%

 

 

 

 

 

 

 

 

 

 

 

26


 

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Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

The Effect of Derivative Instruments on the Consolidated Statement of Operations for the Three and Six Months Ended June 30, 2016 and 2015

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Three Months Ended

 

Three Months Ended

 

Six Months Ended

 

Six Months Ended

 

Type of Contract

    

 

    

June 30, 2016

    

June 30, 2015

 

June 30, 2016

    

June 30, 2015

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals contracts

 

Net gain (loss) from futures trading

 

$

2,599,202

 

$

(274,810)

 

$

2,049,864

 

$

(2,031,717)

 

Currencies contracts

 

Net gain (loss) from futures trading

 

 

(69,920)

 

 

(4,822,842)

 

 

(1,440,763)

 

 

683,243

 

Energy contracts

 

Net gain (loss) from futures trading

 

 

268,951

 

 

(3,846,784)

 

 

2,653,852

 

 

(3,976,486)

 

Interest rates contracts

 

Net gain (loss) from futures trading

 

 

8,790,630

 

 

(8,239,626)

 

 

24,228,082

 

 

337,357

 

Meats contracts

 

Net gain (loss) from futures trading

 

 

(173,044)

 

 

(786,894)

 

 

(421,118)

 

 

(209,605)

 

Metals contracts

 

Net gain (loss) from futures trading

 

 

(883,289)

 

 

(1,904,459)

 

 

(2,280,584)

 

 

(4,202,829)

 

Soft commodities contracts

 

Net gain (loss) from futures trading

 

 

(691,314)

 

 

(313,200)

 

 

(1,001,939)

 

 

(213,128)

 

Stock indices

 

Net gain (loss) from futures trading

 

 

(3,913,558)

 

 

(3,826,862)

 

 

(1,906,348)

 

 

2,718,160

 

Forward Currency Contracts

 

Net gain (loss) from forward trading

 

 

376,563

 

 

(279,243)

 

 

580,536

 

 

(580,592)

 

Swap Contracts

 

Net gain (loss) from swap trading

 

 

(1,492,962)

 

 

 —

 

 

(4,554,775)

 

 

 —

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

4,811,259

 

$

(24,294,720)

 

$

17,906,807

 

$

(7,475,597)

 

 

 

27


 

Table of Contents

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Line Item in Consolidated Statement of Operations

 

Three Months Ended

 

Six Months Ended

 

 

    

June 30, 2016

    

June 30, 2015

    

June 30, 2016

    

June 30, 2015

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net gain (loss) from futures trading

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized

 

$

(13,313)

 

$

(17,645,279)

 

$

14,597,651

 

$

4,090,715

 

Change in unrealized

 

 

5,940,971

 

 

(6,370,198)

 

 

7,283,395

 

 

(10,985,720)

 

Total realized and changed in unrealized net gain (loss) from futures trading

 

$

5,927,658

 

$

(24,015,477)

 

$

21,881,046

 

$

(6,895,005)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net gain (loss) from forward trading

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized

 

$

(267,066)

 

$

(1,034,277)

 

$

(383,893)

 

$

(1,078,037)

 

Change in unrealized

 

 

643,629

 

 

755,034

 

 

964,429

 

 

497,445

 

Total realized and changed in unrealized net gain (loss) from forward trading

 

$

376,563

 

$

(279,243)

 

$

580,536

 

$

(580,592)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net gain (loss) from swap trading

 

 

 

 

 

 

 

 

 

 

 

 

 

Change in unrealized

 

$

(1,492,962)

 

 

 —

 

$

(4,554,775)

 

 

 —

 

Total realized and changed in unrealized net gain (loss) from swap trading

 

$

(1,492,962)

 

$

 —

 

$

(4,554,775)

 

$

 —

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total realized and changed in unrealized net gain (loss) from futures, forward and swap trading

 

$

4,811,259

 

$

(24,294,720)

 

$

17,906,807

 

$

(7,475,597)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

The tables below show the gross amounts of recognized derivative assets and gross amounts offset in the accompanying Consolidated Statements of Financial Condition:

 

Offsetting of Derivative Assets

As of June 30, 2016

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Amount of

 

 

 

 

 

 

Gross Amounts

 

Unrealized Gain

 

 

 

 

 

 

Offset in the

 

Presented in

 

 

 

Gross Amount of

 

Consolidated

 

the Consolidated

 

 

 

Recognized

 

Statement of

 

Statement of

 

Type of Instrument

    

Assets

    

Financial Condition

    

Financial Condition

 

 

 

 

 

 

 

 

 

 

 

 

U.S. and foreign futures contracts

 

$

11,673,890

 

$

(3,562,899)

 

$

8,110,991

 

Forward contracts

 

 

1,614,917

 

 

(891,147)

 

 

723,770

 

Swap contracts

 

 

114,970

 

 

(3,501,646)

 

 

(3,386,676)

 

Total derivatives

 

$

13,403,777

 

$

(7,955,692)

 

$

5,448,085

 

 

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Table of Contents

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

Offsetting of Derivative Liabilities

As of June 30, 2016

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Amount of

 

 

 

 

 

 

Gross Amounts

 

Unrealized Gain

 

 

 

 

 

 

Offset in the

 

Presented in

 

 

 

Gross Amount of

 

Consolidated

 

the Consolidated

 

 

 

Recognized

 

Statement of

 

Statement of

 

Type of Instrument

    

Liabilities

    

Financial Condition

    

Financial Condition

 

 

 

 

 

 

 

 

 

 

 

 

U.S. and foreign futures contracts

 

$

3,562,899

 

$

(3,562,899)

 

$

 —

 

Forward contracts

 

 

891,147

 

 

(891,147)

 

 

 —

 

Swap contracts

 

 

3,501,646

 

 

(3,501,646)

 

 

 —

 

Total derivatives

 

$

7,955,692

 

$

(7,955,692)

 

$

 —

 

 

Derivatives Assets and Liabilities and Collateral Received by Counterparty

As of June 30, 2016

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross Amounts Not Offset in the Consolidated

 

 

 

 

 

 

 

 

 

Statement of Financial Condition

 

 

 

 

 

 

Net Amount of

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gain

 

 

 

 

 

 

 

 

 

 

 

 

Presented in

 

 

 

 

 

 

 

 

 

 

 

 

the Consolidated

 

 

 

 

 

 

 

 

 

 

 

 

Statement of

 

Financial

 

Cash Collateral

 

 

 

 

Counterparty

    

Financial Condition

    

Instruments

    

Received

    

Net Amount

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Deutsche Bank AG

 

$

(3,386,676)

 

$

 —

 

$

 —

 

$

(3,386,676)

 

SG Americas Securities, LLC

 

 

5,354,064

 

 

 —

 

 

 —

 

 

5,354,064

 

UBS Securities LLC

 

 

3,450,697

 

 

 —

 

 

 —

 

 

3,450,697

 

Wells Fargo Securities, LLC

 

 

30,000

 

 

 —

 

 

 —

 

 

30,000

 

Total

 

$

5,448,085

 

$

 —

 

$

 —

 

$

5,448,085

 

 

Offsetting of Derivative Assets

As of December 31, 2015

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Amount of

 

 

 

 

 

 

Gross Amounts

 

Unrealized Gain

 

 

 

 

 

 

Offset in the

 

Presented in

 

 

 

Gross Amount of

 

Consolidated

 

the Consolidated

 

 

 

Recognized

 

Statement of

 

Statement of

 

Type of Instrument

    

Assets

    

Financial Condition

    

Financial Condition

 

 

 

 

 

 

 

 

 

 

 

 

U.S. and foreign futures contracts

 

$

6,950,709

 

$

(6,123,114)

 

$

827,595

 

Forward contracts

 

 

682,325

 

 

(922,984)

 

 

(240,659)

 

Swap contracts

 

 

1,168,100

 

 

 —

 

 

1,168,100

 

Total derivatives

 

$

8,801,134

 

$

(7,046,098)

 

$

1,755,036

 

 

29


 

Table of Contents

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

Offsetting of Derivative Liabilities

As of December 31, 2015

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Amount of

 

 

 

 

 

 

Gross Amounts

 

Unrealized Gain

 

 

 

 

 

 

Offset in the

 

Presented in

 

 

 

Gross Amount of

 

Consolidated

 

the Consolidated

 

 

 

Recognized

 

Statement of

 

Statement of

 

Type of Instrument

    

Liabilities

    

Financial Condition

    

Financial Condition

 

 

 

 

 

 

 

 

 

 

 

 

U.S. and foreign futures contracts

 

$

6,123,114

 

$

(6,123,114)

 

$

 —

 

Forward contracts

 

 

922,984

 

 

(922,984)

 

 

 —

 

Swap contracts

 

 

 —

 

 

 —

 

 

 —

 

Total derivatives

 

$

7,046,098

 

$

(7,046,098)

 

$

 —

 

 

Derivatives Assets and Liabilities and Collateral Received by Counterparty

As of December 31, 2015

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross Amounts Not Offset in the Consolidated

 

 

 

 

 

 

 

 

 

Statement of Financial Condition

 

 

 

 

 

 

Net Amount of

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gain

 

 

 

 

 

 

 

 

 

 

 

 

Presented in

 

 

 

 

 

 

 

 

 

 

 

 

the Consolidated

 

 

 

 

 

 

 

 

 

 

 

 

Statement of

 

Financial

 

Cash Collateral

 

 

 

 

Counterparty

    

Financial Condition

    

Instruments

    

Received

    

Net Amount

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Deutsche Bank AG

 

$

1,168,100

 

$

 —

 

$

 —

 

$

1,168,100

 

ED&F Man Capital Markets Inc

 

 

525,206

 

 

 

 

 

 

 

 

525,206

 

SG Americas Securities, LLC

 

 

281,024

 

 

 —

 

 

 —

 

 

281,024

 

UBS Securities LLC

 

 

(219,294)

 

 

 —

 

 

 —

 

 

(219,294)

 

Total

 

$

1,755,036

 

$

 —

 

$

 —

 

$

1,755,036

 

 

 

 

Note 11. Subsequent Events

 

The Partnership has evaluated subsequent events for potential recognition and/or disclosure.  Subsequent to June 30, 2016, there were contributions and redemptions totaling approximately $2,993,000 and $2,957,000, respectively.

 

30


 

ITEM 2.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 the 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. The Partnership also engages in equity securities, listed options, broad-based exchange traded funds, hedge, arbitrage and cash trading of commodities, futures and swap contracts. 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 manager of Dearborn Capital Management, L.L.C. is David M. Kavanagh, its President.

Organization of Grant Park

Grant Park invests the assets of each class of Grant Park in various Trading Companies which (i) enter into advisory agreements with the independent commodity trading advisors retained by the general partner; (ii) enter into swap transactions or derivative instruments tied to the performance of such trading advisors; and/or (iii) allocate assets to Grant Park’s cash management trading company. The following is a list of the Trading Companies, for which Grant Park 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 6, and GP 15 as of June 30, 2016

Grant Park invests through the Trading Companies with independent professional commodity trading advisors or through swap transactions based on reference programs of such advisors. Amplitude Capital International Limited, EMC Capital Advisors LLC, H2O Asset Management LLP, Lynx Asset Management AB, Quantica Capital AG, Rabar Market Research, Inc., Revolution Capital Management LLC, Transtrend B.V. and Winton Capital Management Limited serve as Grant Park’s commodity trading advisors or through swap transactions based on reference programs of such advisors. Each of the trading advisors that receives a direct allocation of assets from Grant Park is registered as a commodity trading advisor under the Commodity Exchange Act and is a member of the NFA.  As of June 30, 2016, the general partner allocated between 5% to 25% of Grant Park’s net assets through the respective Trading Companies among its trading advisors or through swap transactions based on reference programs of such advisors to Amplitude, EMC, H2O, Lynx, Quantica, Rabar, RCM, Transtrend and Winton. No more than 25% 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.

The table below illustrates the trading advisors for each class of Grant Park’s outstanding limited partnership units as of June 30, 2016:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

    

Amplitude

    

EMC

    

H2O

 

Lynx

    

Quantica

    

Rabar

    

RCM

    

Transtrend

    

Winton

 

Class A

 

X

 

X

 

X

 

X

 

X

 

X

 

X

 

X

 

X

 

Class B

 

X

 

X

 

X

 

X

 

X

 

X

 

X

 

X

 

X

 

Legacy 1

 

X

 

X

 

X

 

X

 

X

 

X

 

X

 

X

 

X

 

Legacy 2

 

X

 

X

 

X

 

X

 

X

 

X

 

X

 

X

 

X

 

Global 1

 

X

 

X

 

X

 

X

 

X

 

X

 

X

 

X

 

X

 

Global 2

 

X

 

X

 

X

 

X

 

X

 

X

 

X

 

X

 

X

 

Global 3

 

X

 

X

 

X

 

X

 

X

 

X

 

X

 

X

 

X

 

The trading advisors for the Legacy 1 Class and, Legacy 2 Class, Global 1 Class, Global 2 Class and Global 3 Class units pursue a technical trend trading philosophy, which is the same trading philosophy the trading advisors have historically used for the Class A and Class B units.

The general partner may, in its sole discretion, reallocate assets among the trading advisors upon termination of a trading advisor or retention of any new trading advisors, or at the commencement of any month.

31


 

Critical Accounting Policies

Grant Park’s most significant accounting policy is the valuation of its assets invested in U.S. and international futures and forward contracts, options contracts, swap transactions, other interests in commodities, and fixed income products. The 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 quoted forward spot prices, swap transactions with the valuation based on daily price reporting from the swap counterparty, and fixed income products, including securities of U.S. Government-sponsored enterprises, corporate bonds and commercial paper, which are stated at cost plus accrued interest, which approximates fair value based on quoted market prices in an active 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 consolidated financial statements.

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

Valuation of Financial Instruments

Grant Park follows the provisions of FASB ASC 820, Fair Value Measurements and Disclosures. Grant Park utilizes valuation techniques that are consistent with the market approach per the requirement of ASC 820 for the valuation of futures (exchange traded) contracts, forward (non-exchange traded) contracts, option contracts, swap transactions, other interests in commodities and fixed income products. 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. Grant Park records all investments at fair value in the financial statements. Changes in fair value from the prior period are recorded as unrealized gain or losses and are reported in the consolidated statement of operations. Fair value of exchange-traded futures contracts and options on futures contracts are based upon exchange settlement prices. Grant Park values forward contracts and options on forward contracts based on the average bid and ask price of quoted forward spot prices obtained. U.S. Government securities, securities of U.S. Government-sponsored enterprises, corporate bonds and commercial paper are stated at cost plus accrued interest, which approximates fair value based on quoted market prices in an active market. Grant Park compares market prices quoted by dealers to the cost plus accrued interest to ensure a reasonable approximation of fair value. Grant Park values bank deposits at face value plus accrued interest, which approximates fair value. The investment in the total return swap is reported at fair value based on daily price reporting from the swap counterparty.

32


 

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 three and six months ended June 30, 2016 and 2015, are set forth in the table below:

 

 

 

 

 

 

 

 

 

 

 

    

Three Months Ended

 

Six Months Ended

 

 

June 30, 

 

June 30, 

 

 

2016

    

2015

    

2016

    

2015

 

Total return – Class A Units

 

0.69

%  

(9.80)

%  

4.84

%  

(7.16)

%

Total return – Class B Units

 

0.48

%  

(9.95)

%  

4.44

%  

(7.45)

%

Total return – Legacy 1 Class Units

 

1.22

%  

(9.25)

%  

5.93

%  

(6.16)

%

Total return – Legacy 2 Class Units

 

1.13

%  

(9.31)

%  

5.78

%  

(6.27)

%

Total return – Global 1 Class Units

 

1.67

%  

(9.26)

%  

6.83

%  

(6.02)

%

Total return – Global 2 Class Units

 

1.70

%  

(9.29)

%  

6.88

%  

(6.10)

%

Total return – Global 3 Class Units

 

1.27

%  

(9.70)

%  

6.02

%  

(6.89)

%

Grant Park’s total net asset value at June 30, 2016 was approximately $197.4 million, at December 31, 2015 was approximately $213.7 million, and at June 30, 2015 was approximately $257.0 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 by sector, excluding the swap transaction, for the three and six months ended June 30, 2016 and 2015.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

% Gain (Loss)

 

 

% Gain (Loss)

 

 

% Gain (Loss)

 

 

 

Three Months Ended

 

 

Six Months Ended

 

 

 

June 30, 

 

 

June 30, 

 

 

    

2016

    

 

2015

    

    

2016

    

2015

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

1.3

%  

 

(0.1)

%  

 

1.0

%  

(0.8)

%

Currencies

 

 —

 

 

(1.9)

 

 

(0.7)

 

0.3

 

Energy

 

0.1

 

 

(1.5)

 

 

1.3

 

(1.6)

 

Interest rates

 

4.5

 

 

(3.3)

 

 

12.3

 

0.1

 

Meats

 

(0.1)

 

 

(0.3)

 

 

(0.2)

 

(0.1)

 

Metals

 

(0.4)

 

 

(0.7)

 

 

(1.2)

 

(1.6)

 

Soft commodities

 

(0.4)

 

 

(0.1)

 

 

(0.5)

 

(0.1)

 

Stock indices

 

(2.0)

 

 

(1.5)

 

 

(1.0)

 

1.1

 

Forward Currency Contracts

 

0.2

 

 

(0.1)

 

 

0.3

 

(0.2)

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

3.2

%  

 

(9.5)

%

 

11.3

%  

(2.9)

%

 

Three months ended June 30, 2016 compared to three months ended June 30, 2015

For the three months ended June 30, 2016, Grant Park had a positive return of approximately 0.7% for the Class A units, a positive return of approximately 0.5% for the Class B units, a positive return of approximately 1.2% for the Legacy 1 Class units, a positive return of approximately 1.1% for the Legacy 2 Class units, a positive return of approximately 1.7% for the Global 1 Class units, a positive return of approximately 1.7% for the Global 2 Class units, and a positive return of approximately 1.3% for the Global 3 Class units. On a combined basis prior to expenses, Grant Park had trading profits of approximately 3.2% which were decreased by losses of approximately 0.8% from swap transactions and increased by gains of approximately 0.2% from interest income. These trading profits were decreased by approximately 1.8% in combined brokerage fees, performance fees and operating and offering costs borne by Grant Park. For the same period in 2015, Grant Park had a negative return of approximately 9.8% for the Class A units, a negative return of approximately 10.0% for the Class B units, a negative return of approximately 9.3% for the Legacy 1 Class units, a negative return of approximately 9.3% for the Legacy 2 Class units, a negative return of approximately 9.3% for the Global 1 Class units, a negative return of approximately 9.3% for the Global 2 Class units and a negative return of approximately 9.7% for the Global 3 Class units. On a combined basis prior to expenses, Grant Park had

33


 

trading losses of approximately 9.5%, which were decreased by gains of approximately 0.1% from interest income. These trading losses were increased by approximately 0.4% in combined brokerage fees, performance fees and operating and offering costs borne by Grant Park.

Six months ended June 30, 2016 compared to six months ended June 30, 2015

For the six months ended June 30, 2016, Grant Park had a positive return of approximately 4.8% for the Class A units, a positive return of approximately 4.4% for the Class B units, a positive return of approximately 5.9% for the Legacy 1 Class units, a positive return of approximately 5.8% for the Legacy 2 Class units, a positive return of approximately 6.8% for the Global 1 Class units, a positive return of approximately 6.9% for the Global 2 Class units, and a positive return of approximately 6.0% for the Global 3 Class units. On a combined basis prior to expenses, Grant Park had trading profits of approximately 11.3% which were decreased by losses of approximately 2.3% from swap transactions and increased by approximately 0.4% from interest income. These trading profits were decreased by approximately 4.3% in combined brokerage fees, performance fees and operating and offering costs borne by Grant Park. For the same period in 2015, Grant Park had a negative return of approximately 7.2% for the Class A units, a negative return of approximately 7.5% for the Class B units, a negative return of approximately 6.2% for the Legacy 1 Class units, a negative return of approximately 6.3% for the Legacy 2 Class units, a negative return of approximately 6.0% for the Global 1 Class units, a negative return of approximately 6.1% for the Global 2 Class units and a negative return of approximately 6.9% for the Global 3 Class units. On a combined basis prior to expenses, Grant Park had trading losses of approximately 2.9%, which were decreased by gains of approximately 0.3% from interest income. These trading losses were increased by approximately 4.5% in combined brokerage fees, performance fees and operating and offering costs borne by Grant Park.

Three and six months ended June 30, 2016

Grant Park's performance for the quarter was positive and was primarily driven by fixed income investments.  During the April-through-June period, there were three themes that influenced the markets in which Grant Park invests.  Domestically, uncertainty about the strength of the U.S. and global economy undermined the confidence of investors and policy makers.  Additionally, market sentiment during the majority of the quarter expected the Federal Reserve to raise interest rates, perhaps as early as April.   That possibility was removed during June when the Federal Reserve decided to delay further interest rate increases.  Yields on fixed income instruments continued to fall to historic lows and more sovereign debt instruments produced negative yields.  Finally, the unexpected decision by U.K. citizens to withdraw from the European Union produced calamitous repercussions on the global financial markets.  

 

Grant Park's performance during April was negative and was largely driven by price reversals in the financial sectors, primarily in the fixed income and equities markets.  Equity prices rose in anticipation of higher interest rates, on positive economic news about the Chinese economy and following U.S. employment data, only to reverse direction following disappointing corporate earnings reports.  Losses were concentrated in the technology sector, where Microsoft's and Google's earnings were weaker than expected and Apple reported its first revenue drop in 13 years.  The currencies sector was equally volatile as the U.S. dollar initially fell on interest-rate-related concerns; it regained strength amidst global market uncertainty.  The Japanese yen, Australian dollar and Canadian dollar also reversed direction throughout the month.  The commodities sectors were also volatile, where precious metals prices reacted to changing currency values and to investor demand for safe haven assets.  This sector partially offset the losses within the financial sectors.  In the energy sector, profits in crude oil were offset by losses in natural gas.  The grains and foods sector also provided mixed returns, where profitable soybean and soybean meal investments were partially offset by losses in cotton and corn.   

 

The uncertain market movements and frequent price reversals continued during May.  Overall Grant Park performance during May was negative as the financial sectors continued to reverse price directions in anticipation of the Federal Reserve's decision to raise interest rates.  Equity markets fell during early May as global data about economic growth was mixed and reported corporate performance remained weak.  Global equity markets rose during the last half of the month as oil prices increased and economic indicators for future global growth improved.   In the currencies sector, the dollar strengthened against emerging-market currencies; commodity-related currencies appreciated as the energy complex rallied.  The British pound strengthened on lowered expectations the U.K. would vote to leave the European Union.  The actions of the currencies and equities sectors negatively impacted precious metals positions, where

34


 

prices reversed direction several times. Positive performance by fixed income investments partially offset the currency sector's losses, as did positions in the energies and grains sectors.   Crude oil prices rose to a six-month high, driven by increased demand and falling supplies.  Soybean and soybean meal positions profited as demand increased and the amount of available supplies were much lower than expected.

 

Grant Park's performance during June was positive and offset Grant Park's losses for the quarter.  Positive performance was driven by the fixed income sector.  Yields fell on global debt instruments throughout the month, propelled by the Federal Reserve's decision to delay raising interest rates and accelerated by the U.K.'s vote to leave the European Union.  Various U.S, U.K., German, and Japanese fixed income instruments reached historic low-yields; the 10-yr. German Bund fell to negative yields for the first time ever.  The currencies sector reacted to the pressures in the fixed income sector and Grant Park benefited from a combination of cross-currency investments.  The global equities markets roiled during post-Brexit trading sessions and partially offset some of Grant Park's gains in the financial sectors.  Investments in precious metals also contributed to positive performance as investors sought safe-haven alternatives to equity and fixed income investments.  Erratic price movement in the base metals markets partially offset the overall sector gains.  The energy and grains/foods sectors also contributed positive performance to Grant Park's portfolio. 

 

Key trading developments for Grant Park during the first six months of 2016 included the following:

January. Grant Park recorded gains during the month. Class A units were up 4.27%, Class B units were up 4.20%, Legacy 1 Class units were up 4.27%, Legacy 2 Class units were up 4.25%, Global 1 Class units were up 4.32%, Global 2 Class units were up 4.37% and Global 3 Class units were up 4.24%. Commodity currencies, including the Australian, New Zealand, and Canadian dollars, weakened as prices in the commodities sectors fell.  The Canadian dollar also fell due to weakness in the energy markets.  The British pound moved lower in anticipation the Bank of England will continue to delay raising interest rates.  The Japanese yen declined after the Bank of Japan announced new stimulus initiatives. Prices in the crude oil markets fell on speculation sanctions against Iran will be lifted, which would further expand global supplies.  Oil markets also fell as downtrends in the Chinese equity markets weighed on forecasts for demand globally.  Natural gas and heating oil prices declined due to forecasts for warmer weather. Global equity markets finished a volatile month lower due to ongoing concerns surrounding the Chinese economy and due to the impact of steep price declines in the crude oil markets. U.S. Treasury markets moved sharply higher after the Bank of Japan announced further stimulus measures.  Investors also drove debt prices higher on speculation the recent volatility in the global economy, coupled with aggressive stimulus efforts abroad, could cause the Federal Reserve to delay raising interest rates.  Disappointing U.S. economic indicators also pushed debt prices higher.  U.K fixed income markets rallied on increased demand for safe-haven assets amid downturns in the European equity markets. Corn prices rose as production in India and South Africa fell and because of an improved outlook for economic growth and consumer demand.  Sugar markets fell on weak global demand and on heavy selling by large commodity funds.  Cocoa markets declined to multi-month lows due to improved forecasts for crop output from the Ivory Coast.  Coffee markets fell due to increased production from Vietnam.    Gold and silver prices rose in anticipation the downturns in the U.S. economy and equity markets may cause the Federal Reserve to delay raising interest rates.  Base metals markets fell because of continued elevated global supplies and reduced demand concerns fostered by equity market declines.

February. Grant Park recorded gains during the month. Class A units were up 2.95%, Class B units were up 2.94%, Legacy 1 Class units were up 3.05%, Legacy 2 Class units were up 3.04%, Global 1 Class units were up 3.16%, Global 2 Class units were up 3.17% and Global 3 Class units were up 3.05%.  The U.S. dollar weakened against its global counterparts as mixed U.S. economic data caused speculation the Federal Reserve could delay an additional increase in interest rates.  The Canadian dollar strengthened with a rally in the oil markets.  The euro and British pound weakened as concerns of a British exit from the European Union weighed on the currencies.  Prices in the crude oil markets rose slightly after data showed the number of oil-drilling rigs in the U.S. decreased and on reports OPEC members and Russia agreed to meet to discuss capping crude production at January levels.  Natural gas markets fell over 25% due to excess supplies and on forecasts for milder weather across the U.S.  U.S. and U.K. equity markets finished a volatile month slightly higher after revised data showed fourth-quarter growth in the U.S. economy was stronger than expected; a rally in oil prices also helped lift the equity markets.  Concerns about the strength of the Chinese economy caused Asian equity markets to decline.  Global fixed income markets moved higher on increased demand for safe-haven assets amidst rising concerns about global economic growth and the possibility England might exit the European Union.  Volatility in the equity markets added to the demand for fixed income investments. Corn and wheat prices declined as supplies exceeded demand and the USDA forecasted increased plantings.  Soybean markets finished lower as supplies increased amidst

35


 

weak sales and forecasts of low prices for another year.  Sugar prices rose over 10% on projections that weather-disrupted supplies may not keep up with overall demand.  Cocoa markets rose as inclement weather threatened to reduce supplies from Ghana, the world’s second largest cocoa producing country.  Precious metals prices rose, driven by increased demand for safe-haven assets amidst equity market volatility and a weaker U.S. dollar.  Copper and base metal prices rose slightly on expectations of increased demand as China’s government announced several tax reductions which could lead to increased property sales.  Copper also benefitted from positive U.S. economic data, declining inventories and a weaker U.S. dollar.

March. Grant Park recorded losses during the month. Class A units were down 3.01%, Class B units were down 3.09%, Legacy 1 Class units were down 2.61%, Legacy 2 Class units were down 2.63%, Global 1 Class units were down 2.36%, Global 2 Class units were down 2.40% and Global 3 Class units were down 2.54%. The U.S. dollar fell against its global counterparts following the Federal Reserve's announcement it increase interest rates more slowly than previously discussed.  The Canadian dollar strengthened on the continued rally in crude oil markets.   The British pound strengthened as concerns eased over a British exit from the European Union.  The Australian dollar rose to its highest levels since August as GDP exceeded expectations.  Prices in the crude oil markets rose over 13% as U.S. production continued to fall and discussions continued among major oil producers about a potential output freeze.  Natural gas markets rose over 14% as U.S. storage levels fell and on forecasts for cooler weather in the U.S. which would boost heating-related demand. Global equity markets rose, fueled by rising oil and commodity prices and by a weaker U.S. dollar.  Equity markets were also helped by easing concerns over global growth, by the Federal Reserve's clarification about interest rate increases and by the European Central Bank's decision to cut interest rates and to increase its quantitative easing initiatives.  Global fixed income markets moved lower as positive economic data and gains in the equity and commodity markets reduced demand for the safe haven assets.  A weaker dollar also put pressure on the fixed income markets.  Wheat prices increased on expectations of smaller crop yields and on speculation a weaker U.S. dollar will enhance U.S. exports.  Soybean markets finished higher, bolstered by a weaker U.S. dollar and positive export sales data.  Sugar prices rose on increased demand and news that Brazil's sugar production for 2017 would be lower than the market anticipated.  Coffee markets rose as erratic weather patterns lowered expectations of future supplies. Gold prices declined after positive U.S. jobs and manufacturing data and gains in the equity markets reduced demand for the safe haven asset.  Copper prices rose on a weaker U.S. dollar, production cuts from copper producers and expectations China would unveil additional stimulus measures.

April. Grant Park recorded losses during the month. Class A units were down 2.03%, Class B units were down 2.08%, Legacy 1 Class units were down 1.85%, Legacy 2 Class units were down 1.87%, Global 1 Class units were down 1.79%, Global 2 Class units were down 1.85% and Global 3 Class units were down 2.01%. The U.S. dollar weakened against its global counterparts on expectations the Federal Reserve would proceed cautiously in adjusting interest rates, thereby lowering expectations of a rate hike in April or June. The Japanese yen strengthened after the Bank of Japan left its monetary policy unchanged.  The Canadian dollar strengthened in anticipation the next OPEC meeting would announce production caps.  Positive housing data also added strength to the currency.  The British pound moved higher following better-than-expected economic news out of the Eurozone. Prices in the crude oil markets rose almost 20% after U.S. inventory levels unexpectedly declined and signs showed U.S. production is likely to continue to decrease.  Natural gas and heating oil prices rose on forecasts for cooler weather and on reports the number of natural gas rigs are at the lowest levels since November 2009. Global equity markets finished slightly higher despite disappointing earnings reports, particularly in the technology sector.  Global equity markets rose on better-than-expected Chinese trade data, lower expectations of an immediate U.S. interest rate hike and positive U.S. employment data.    Global fixed income markets moved lower due to positive Chinese trade data, encouraging U.S. employment data and shifting expectations about rate hikes. Corn and soybean markets rose to year-to-date highs caused by three factors:  reports from the USDA of strong export sales; indications of economic stabilization in China; and concerns about potentially adverse weather conditions during the upcoming growing season.  Sugar prices rose on increased demand and forecasts of a supply deficit, as well as on reports India could begin importing sugar this year.  Coffee prices moved lower, pressured by a weaker Brazilian real and expectations of high yields from Brazil’s upcoming harvest.  Cocoa prices increased on weaker production data from Europe. Precious metals moved higher as concerns over the strength of the global economy increased demand for the safe haven asset.  Copper and base metals prices moved higher as positive economic data from China led to expectations of increased demand.

 

May. Grant Park recorded losses during the month. Class A units were down 2.12%, Class B units were down 2.17%, Legacy 1 Class units were down 1.93%, Legacy 2 Class units were down 1.95%, Global 1 Class units were down

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2.24%, Global 2 Class units were down 2.27% and Global 3 Class units were down 2.41%. The U.S. dollar strengthened against its global counterparts due to speculation about an interest rate increase and on disappointing international economic data which is suggestive of sluggish global growth.  The Japanese yen declined ahead of the G7 meeting which discussed potential Japanese plans to weaken their currency.  The Canadian dollar fell on disappointing economic data. Crude oil prices rose as demand increased and risks to future supplies were reinforced by a pipeline disruption in Nigeria and wildfires in Alberta, Canada.  A decline in the number of active U.S. oil rigs and in U.S. crude stockpiles also moved crude oil markets higher.  Natural gas prices rose as forecasts for warm weather raised expectations of increased demand.    Global equity markets finished higher on increasing oil prices, better than expected earnings and positive global cues. U.S. fixed income markets were mixed, with shorter-term treasuries down slightly on growing expectations of a possible interest rate hike.  U.K fixed income markets rose on increased demand and as investors await a vote over a possible British exit from the European Union. Corn and soybean markets rose on improving demand, on USDA reports of slower planting progress in the U.S. and on smaller crop yields from South America.  The USDA also reported soybean supplies were much lower than expected, which bolstered the markets.  Cocoa prices fell in anticipation the  current ideal crop-growing conditions could cause a potential surplus.  Sugar markets rose on increased demand and continued weak supplies. Precious metals markets declined due to three factors:  strength in the U.S. dollar, strength in the equity markets and indications the Federal Reserve may increase interest rates in the near term.  Copper and base metals prices moved lower amidst concerns over mounting debt and slowing growth in China.

June. Grant Park recorded gains during the month. Class A units were up 5.00%, Class B units were up 4.89%, Legacy 1 Class units were up 5.15%, Legacy 2 Class units were up 5.12%, Global 1 Class units were up 5.89%, Global 2 Class units were up 6.02% and Global 3 Class units were up 5.90%.The currencies sector reacted to the pressures the Brexit referendum caused in the fixed-income sector and the Fund benefited from a combination of cross-currency investments.  The British pound fell over 11% immediately after the voting results were announced and only partially recovered against the U.S. dollar by month's end.  Crude oil prices moved within a narrow range throughout the month, rose, and ended the month essentially unchanged.  Natural gas prices continued a three-month rise as weather-related demand continued to increase.  The global equities markets roiled during post-Brexit trading sessions.  Equities in Europe and Asia experienced sharp declines after the British vote but were able to partially recover value before the end of the month.  Yields fell on global debt instruments throughout the month, propelled by the Federal Reserve's decision to delay raising interest rates, and were accelerated by the U.K.'s vote to leave the European Union.  Various U.S., U.K., German, and Japanese fixed-income instruments reached historic-low yields. Soybean prices traded over a wide price range during the month and ended the month slightly below the intra-month high.  Corn and wheat prices fell sharply during the last two weeks of June as continued moderate weather is creating ideal growing conditions and estimates for this season's crop yield continue to increase.  Precious metals markets rose sharply as investors sought safe-haven assets in the uncertainty about the implications and timing of the U.K.'s withdrawal from the European Union.  General uncertainty about the overall strength of the regional economics caused prices to move erratically.

 

Three and six months ended June 30, 2015

 

Grant Park returned -9.8% for the quarter as a result of strong declines in the financial markets.  Grant Park’s long exposure to the equity and fixed-income sectors lost value as prices sharply reversed direction against recent long-term trends.  The acceleration of the Greek economic crisis and ongoing uncertainty regarding timing of the U.S. Federal Reserve's interest rate increase were the dominant themes throughout the quarter.

 

In April, European fixed-income markets moved lower and against Grant Park’s positions as economic data from the Eurozone suggested the ECB's quantitative easing initiatives by the ECB were working; this reduced demand for safe-haven assets.  U.S. Treasury markets also fell, pressured by liquidations caused by uncertainty surrounding the U.S. interest rate hikes.  Finally, global debt markets weakened after China announced new regulations designed to fuel economic growth.  The news from China, however, benefitted Grant Park’s equity positions.  Prospects for a stronger Chinese economy strengthened investor confidence and fueled a rally in equities and benefitted long positions.  Better-than expected 1st quarter corporate earnings also played a role in moving share prices higher.   Short positions in the in the euro weighed on Grant Park’s value, driven by bullish economic data from the Eurozone and optimism in Greece’s ability to restructure its debt obligations. 

 

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Setbacks in the fixed-income markets continued during May.  Although Grant Park’s risk exposure in the debt markets declined nearly 20% in response to April losses, Grant Park's remaining net long exposure experienced setbacks as prices declined further.  Bullish housing data and hawkish comments from the Federal Reserve bolstered prospects for an interest rate hike in June and put pressure on U.S. debt markets.  The same drivers, however, drove the U.S. dollar higher versus global counterparts and resulted in strong gains for the portfolio’s long positons.  Grant Park partially offset losses as elevated global supplies in the grains and foods markets drove prices sharply lower, to the benefit of Grant Park's short positions.  Short exposure to the sugar and coffee markets were among the most profitable positions for the portfolio in May.  

 

The Greek debt crisis drove Grant Park's performance during June.  Long exposure in the energy market experienced setbacks due to weakness prompted by the perceived impact of a Greek Exit or “Grexit” on global industrial demand.  Short exposure to the natural gas markets also resulted in losses after forecasts for warmer weather in the U.S. buoyed demand and drove prices higher.  As the quarter ended, the news Greek officials had called for a referendum about defaulting on their debt sent a wave of uncertainty through the financial sector and resulted in massive liquidations in equity markets across the globe.  Equity markets in Europe and North America experienced sharp declines and produced losses for Grant Park’s long positions.  Grant Park’s risk exposure to the sector declined by nearly half as adverse moves stopped out positions.

Key trading developments for Grant Park during the first six months of 2015 included the following:

January. Grant Park recorded gains during the month. Class A units were up 2.82%, Class B units were up 2.77%, Legacy 1 Class units were up 2.91%, Legacy 2 Class units were up 2.89%, Global 1 Class units were up 2.98%, Global 2 Class units were up 2.96% and Global 3 Class units were up 2.83%. Crude oil prices continued to decline as global supplies remained strong amidst weak overall demand.  Natural gas markets also fell as inventories declined less than forecast. Grains prices declined after the U.S. Department of Agriculture reported stronger-than expected supplies and weak export sales.  Soybean markets moved to a new low as export sales slipped because of large cancellations by China. Gold prices rose with an increase in demand for safe-haven assets as investors attempted to hedge against declines in the euro.  Copper markets finished lower as global inventories increased and concerns grew over slowing Chinese growth. The Swiss franc rose sharply after the Swiss National Bank unexpectedly announced it would no longer hold the Swiss franc at a fixed exchange rate with the euro.  The euro further weakened after the ECB announced its plans to expand quantitative easing.  The Canadian dollar declined as weakness in the energy markets drove the currency sharply lower. European equity markets moved higher after the ECB expanded its quantitative easing initiatives.  U.S. equity markets weakened following weak economic data, weaker-than-expected corporate earnings and continued declines in the energy sector. U.S. Treasury markets rose due to increased demand for safe-haven assets which was prompted by the uncertainty surrounding economic stability in Europe and steep price declines in the energy markets.  Speculation the U.S. Federal Reserve may delay raising interest rates also supported fixed-income markets.  The German Bund strengthened after the ECB announced its plans to purchase over €1 trillion of European sovereign debt over the next 2 years.

February. Grant Park recorded gains and losses during the month. Class A units were down 0.26%, Class B units were down 0.31%, Legacy 1 Class units were down 0.04%, Legacy 2 Class units were down 0.06%, Global 1 Class units were up 0.01%, Global 2 Class units were down 0.01% and Global 3 Class units were down 0.14%.  Crude oil prices increased as production fell and demand rose.  Natural gas and heating oil markets moved higher as demand for heating fuels rose because of cold temperatures in the U.S. Corn and wheat markets rose as weakness in the U.S. dollar made U.S. grains more attractive to international buyers.  Concerns about crop damage caused by recent cold weather also supported higher grains prices.  Soybean and cocoa markets moved higher because of weak supply forecasts.  Coffee prices fell after rains in Brazil eased previous supply concerns. Gold markets fell after the Greek government reached a new debt agreement with its European creditors.  Strength in the U.S. dollar and lower demand for safe-haven assets also put pressure on gold.  Copper markets moved higher due to stronger-than-expected Chinese manufacturing activity. The U.S dollar strengthened against global counterparts on renewed beliefs the U.S. Federal Reserve will raise interests rates in June.  Strong economic indicators, including better-than-expected U.S. jobless claims data and durable goods orders, also strengthened the dollar.  The euro declined as investors prepared for the start of the ECB’s new quantitative easing initiatives. Global equity markets rose to all-time highs on upbeat corporate earnings reports in the U.S. and on renewed beliefs the Greek government would not default on its debt obligations.  The rallies were strengthened after Federal Reserve Chair Yellen reaffirmed the Federal Reserve would wait to raise U.S. interest rates until at least mid-year

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The Japanese Nikkei 225 index finished near a 15-year high due to bullish economic data from the region. U.S. fixed income markets fell as global investors liquidated debt positions and shifted their focus towards riskier assets.  Debt prices moved lower after Greek debt negotiations spurred optimism for the Eurozone.  U.K. fixed-income markets lost value following reports of significant improvement in the U.K. labor market.

March. Grant Park recorded gains during the month. Class A units were up 0.36%, Class B units were up 0.31%, Legacy 1 Class units were up 0.52%, Legacy 2 Class units were up 0.50%, Global 1 Class units were up 0.56%, Global 2 Class units were up 0.55% and Global 3 Class units were up 0.42%. Crude oil prices fell as beliefs a deal over Iran’s nuclear program could lead to the removal of sanctions and increase global supplies.  Natural gas prices moved lower on expectations of reduced demand because of warmer weather in the U.S.  Prices were also pressured after the U.S. Energy Information Administration reported a large increase in supplies. Corn and wheat markets fell after the U.S. Department of Agriculture forecasted larger-than-expected plantings and increased supply forecasts for this spring. Coffee and sugar prices moved lower because of improved weather conditions in Brazil and weakness in the Brazilian real.  Gold markets rallied as strength in the U.S. dollar reduced demand for assets used to hedge the dollar.  Copper markets moved higher mid-month as protests halted production at one of the world’s largest copper mines and spurred supply concerns.  Strength in the copper markets was slightly offset by declines caused by worse-than expected U.S. and Chinese manufacturing data. 

The U.S dollar strengthened against global counterparts due to a rally prompted by bullish economic data and after comments from Federal Reserve Chair Yellen supported speculation the U.S. would see an interest rate increase far sooner than its international counterparts.  The euro fell after the first round of quantitative easing initiatives by the ECB.  In the U.K., the British pound fell in reaction to disappointing economic indicators, political uncertainty ahead of the U.K. elections in May, and the Bank of England’s decision to keep interest rates unchanged.  U.S. equity markets fell amidst concerns over potential interest rate hikes and forecasts of a weak first quarter earnings season.  European equity markets moved higher, led by Germany’s Dax Index, driven by hopes the ECB’s new quantitative easing measures would fuel growth in the Eurozone.  In Japan, the Nikkei 225 Index finished higher because of strong corporate earnings. U.S. Treasury markets moved higher after weak U.S. economic data and comments from the Federal Reserve fueled speculation a U.S. interest rate hike was not imminent.  Increased demand for safe-haven assets amidst geopolitical turmoil in the Middle East and equity market declines also played a role in driving fixed-income prices higher.

April. Grant Park recorded losses during the month. Class A units were down 4.01%, Class B units were down 4.07%, Legacy 1 Class units were down 3.81%, Legacy 2 Class units were down 3.83%, Global 1 Class units were down 3.84%, Global 2 Class units were down 3.83% and Global 3 Class units were down 3.99%. Crude oil markets rallied over 25% and reached a new high for 2015 as both U.S. inventories and active U.S. drilling rigs declined.  Continued violence between Saudi Arabia and Yemen contributed to the price increases.  Natural gas markets rose following forecasts for abnormally warm temperatures in May.  Wheat markets fell to a 5-year low due to a combination of favorable weather in the Midwest and weaker-than-expected export data.  Soybean prices rose as protests involving Brazilian truckers spurred supply concerns.  Precious metals markets finished lower due to weak demand and on speculation the U.S. Federal Reserve may raise interest rates in the 3rd quarter.  Prices for industrial metals generally increased after the Chinese government decided to lower capital reserve requirements and, in turn, supported industrial demand forecasts.   The U.S. dollar fell as weaker-than-expected U.S. growth data fueled speculation the Federal Reserve may further delay raising interest rates.  The euro strengthened sharply on a favorable economic outlook for the Eurozone and on renewed optimism Greece would be able to renegotiate their debt obligations.  Asian equity markets moved sharply higher in anticipation China’s new quantitative easing efforts would bolster growth in the region.  U.S. equity markets rallied on strong corporate earnings and hopes for a continuation of the Federal Reserve's ongoing, accommodative economic policy.  Global fixed-income markets declined as better-than-expected data from the Eurozone and an expansion of China's quantitative easing initiatives reduced demand for safe-haven assets.  U.S. Treasury prices declined as investors liquidated holdings due to uncertainty about potential shifts in monetary policy by the Federal Reserve.  

 

May. Grant Park recorded losses during the month. Class A units were down 1.46%, Class B units were down 1.51%, Legacy 1 Class units were down 1.27%, Legacy 2 Class units were down 1.29%, Global 1 Class units were down 1.27%, Global 2 Class units were down 1.29% and Global 3 Class units were down 1.43%.  Natural gas markets fell as supplies increased and temperate weather in the U.S. drove prices lower. Investors attempted to lock-in natural gas profits from recent up-trends, which resulted in increased selling activities that drove prices lower. Crude oil markets

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rose as U.S. drilling activity declined. Wheat markets finished higher after heavy rains across the Plains states spurred supply concerns. Soybean markets moved lower, driven by robust supply data from South America and by forecasts for a strong U.S. growing season. Sugar and coffee markets each fell nearly 8% on forecasts for elevated global supplies. Lean hogs markets increased nearly 9% because of strong demand and decreased supplies.    Gold and silver prices increased after the U.S. unemployment rate rose to a 5-week high and dampened optimism on the health of the labor market. In the base metals markets, copper prices declined because of concerns surrounding Chinese economic growth and on weaker international demand for copper caused by U.S. dollar strength. The U.S. dollar strengthened following the release of strong consumer price data and an increase in new home construction in the U.S., information which reinforced speculation the Federal Reserve will raise interest rates in late 2015. The euro weakened over concerns about Greece’s ability to restructure its debt obligations. Separately, the European Central Bank suggested it may move up asset purchases to support its quantitative easing initiatives, putting further pressure on the euro. U.S. equity markets rose in response to bullish economic data. The Nikkei 225 climbed to a 15-year high after strong corporate earnings were reported. European equity markets rose as weakness in the euro supported export industries. U.S. Treasuries declined as better than expected housing data supported views the Federal Reserve will raise interest rates before year end. German Bund prices declined as speculation for higher inflation and concerns about liquidity caused investors to liquidate holdings. 

 

June. Grant Park recorded losses during the month. Class A units were down 4.64%, Class B units were down 4.69%, Legacy 1 Class units were down 4.45%, Legacy 2 Class units were down 4.47%, Global 1 Class units were down 4.43%, Global 2 Class units were down 4.45% and Global 3 Class units were down 4.59%. Natural gas prices rose due to a smaller-than-expected build up in U.S. supplies and in reaction to forecasts for warmer weather which would result in increased demand.  Crude oil markets moved lower due to increased U.S. inventories and the impact of reduced global demand. Corn and wheat markets rose almost 18% and 29%, respectively, due to global supply concerns prompted by forecasts for unfavorable weather in Europe and North America.  Soybean markets also moved higher after the U.S. Department of Agriculture reported slower-than-expected plantings and weak crop condition ratings for soybeans. Gold and silver prices declined as positive economic indicators fueled speculation for a September 2015 U.S. interest rate hike.  Base metal markets fell due to concerns regarding global demand fueled by the ongoing Greek debt situation and concerns the Chinese government would not be able to bolster the nation’s economy.  The U.S. dollar finished lower as the Federal Reserve signaled a less aggressive stance on hiking U.S. interest rates.  The euro finished slightly higher amidst the on-going Greek debt crisis and as large investors unwound short positions used to hedge their Eurozone equity exposure.  The New Zealand dollar fell over 5% when disappointing GDP data fueled speculation the Reserve Bank of New Zealand would reduce interest rates again.  The Japanese yen strengthened on increased demand for safe-haven assets amidst turmoil in Europe and on concerns over the strength of the Chinese economy.  Global equity prices declined as investor sentiment fell in reaction to the possibility Greece could default on its debt obligations.  U.S. Treasury and German Bund markets fell sharply in reaction to reduced demand for safe-haven assets as investors hoped the Greek situation would soon be resolved.  U.S. Treasury markets were also pressured by speculation about a near-term U.S. interest rate hike.  The U.K. fixed-income markets finished lower after the Bank of England indicated it would raise interest rates sooner than expected.

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.

Grant Park maintains 65% to 95% of its net asset value in cash, cash equivalents or other liquid positions over and above that needed to post as collateral for trading. These funds are available to meet redemptions each month.

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

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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.

A portion of each Trading Company’s assets is used as margin to support its trading. Margin requirements are satisfied by the deposit of U.S. Treasury bills, obligations of Government-sponsored enterprises and/or cash with brokers subject to CFTC regulations and various exchange and broker requirements.

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 35% of Grant Park’s value, are held in cash, U.S. Treasury securities, commercial paper and/or securities of Government-sponsored enterprises. The balance of Grant Park’s assets, which range from 65% to 95%, are invested in investment grade money market instruments purchased and managed by Middleton Dickinson Capital Management, LLC which are held in a separate account in the name of GP Cash Management, LLC and custodied 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.

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, swap transactions 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 nonperformance 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.

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ITEM 3.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. Erratic, choppy, sideways trading markets and sharp reversals in movements can materially and adversely affect Grant Park’s results. Likewise, markets in which a potential price trend may start to develop but reverses before an actual trend is realized may result in unprofitable transactions. Grant Park’s past performance is not necessarily indicative of its future results.

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 within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934). 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 (VaR). 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.

Grant Park uses an Aggregate Returns Volatility method to calculate VaR for the portfolio. The method consists of creating a historical price time series for each instrument or its proxy instrument for the past 200 days, and then measuring the standard deviation of that return history. Then, using a normal distribution (a normal distribution curve has a mean of zero and a standard deviation of one), the standard deviation measurement is scaled up in order to achieve a result in line with the 95% degree of confidence, which corresponds to a scaling factor of approximately 1.645 times of standard deviations.

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The VaR for each market sector represents the one day risk of loss for the aggregate exposures associated with that sector. The current methodology used to calculate VaR represents the VaR of Grant Park’s open positions across all market sectors and is less than the sum of the VaR of the individual market sectors due to the diversification benefit across all market sectors combined.

Grant Park’s VaR methodology and computation is based on the underlying risk of each contract or instrument in the portfolio and does not distinguish between exchange and non-exchange traded contracts. It is also not based on exchange maintenance margin requirements. VaR does not typically represent the worst case outcome.

VaR 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, VaR does not typically represent the worst case outcome. 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 preceding information, as well as the risks and uncertainties intrinsic to all future projections, the inclusion of the quantification 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 VaR or by Grant Park’s attempts to manage its market risk. VaR models, including Grant Park’s, are continually evolving as trading portfolios become more diverse and modeling systems and techniques continue to evolve. Moreover, value at risk may be defined differently as used by other commodity pools or in other contexts.

The composition of Grant Park’s trading portfolio, based on the nature of its business of speculative trading of futures, forwards and options, can change significantly, over any period of time, including a single day of trading. These changes can have a positive or negative material impact on the market risk as measured by VaR.

Value at Risk by Market Sectors

The following tables indicate the trading value at risk associated with Grant Park’s open positions by market category as of June 30, 2016 and December 31, 2015 and the trading gains/losses by market category for the six months ended June 30, 2016 and the year ended December 31, 2015. All open position trading risk exposures of Grant Park, except for the swap transaction, have been included in calculating the figures set forth below. As of June 30, 2016, Grant

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Park’s net asset value was approximately $197.4 million. As of December 31, 2015, Grant Park’s net asset value was approximately $213.7 million.

 

 

 

 

 

 

 

 

 

June 30, 2016

 

Market Sector

    

Value at Risk*

    

Trading Gain/(Loss)

 

 

 

 

 

 

 

Interest rates

 

0.8

%  

12.3

%

Stock indices

 

0.4

 

(1.0)

 

Currencies & Forward Currency Contracts

 

0.3

 

(0.4)

 

Metals

 

0.2

 

(1.2)

 

Energy

 

0.1

 

1.3

 

Agriculturals/softs/meats

 

0.1

 

0.3

 

 

 

 

 

 

 

Aggregate/Total

 

0.9

%  

11.3

%

 

 

 

 

 

 

 

 

 

 

December 31, 2015

 

Market Sector

    

Value at Risk*

    

Trading Gain/(Loss)

 

 

 

 

 

 

 

Currencies & Forward Currency Contracts

 

0.5

%  

(1.5)

%

Energy

 

0.5

 

3.5

 

Interest rates

 

0.4

 

(0.3)

 

Stock indices

 

0.3

 

(4.7)

 

Metals

 

0.3

 

(0.2)

 

Agriculturals/softs/meats

 

0.2

 

(3.4)

 

 

 

 

 

 

 

Aggregate/Total

 

1.2

%  

(6.6)

%

* The VaR for a market sector represents the one day risk of loss for the aggregate exposure for that particular sector. The aggregate VaR represents the VaR of Grant Park’s open positions across all market sectors, excluding the swap transaction, and is less than the sum of the VaR of the individual market sectors due to the diversification benefit across all market sectors combined.

Material Limitations of Value at Risk as an Assessment of Market Risk

Past market risk factors will not always result in an accurate prediction of future distributions and correlations of future market movements. Changes in the portfolio value caused by market movements may differ from those measured by the VaR model. The VaR model reflects past trading positions, while future risk depends on future trading positions. VaR using a one-day time horizon does not fully capture the market risk of positions that cannot be liquidated within one day. The historical market risk data for the VaR model may provide only limited insight into the losses that could be incurred under unusual market movements. 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 portion of its available assets in U.S. Treasury bills. The market risk represented by these investments is also immaterial.

44


 

Qualitative Market Risk

Trading Risk

The following were the primary trading risk exposures of Grant Park as of June 30, 2016, by market sector. 

 

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 affect 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, Singapore, 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 June 30, 2016, Grant Park was long interest rate instruments in Australia, the Eurozone, Japan, Singapore, the U.K., and the U.S. and short interest rate instruments in Canada.

 

Stock Indices

 

Grant Park’s primary equity exposure is due to equity price risk in G-7 countries as well as other jurisdictions including Australia, the Eurozone, Hong Kong, Malaysia, Mexico, Poland, Singapore, South Africa, South Korea, Sweden, Taiwan, Thailand and Turkey.  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 June 30, 2016, Grant Park was predominantly long equities in Australia, the Eurozone, Hong Kong, Malaysia, Mexico, Poland, Singapore, South Africa, Taiwan, Thailand, Turkey and the U.S. and short equities in  Japan, Sweden, and the U.K. 

 

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 June 30, 2016, Grant Park was long the U.S. dollar against the Brazilian real, euro and British pound and was short the U.S. dollar against the Australian dollar, Canadian dollar, Japanese yen and New Zealand dollar.

 

Metals

 

Grant Park’s metals market risk exposure is due to fluctuations in the price of both precious metals, including gold and silver, as well as base metals including aluminum, lead, copper, tin, nickel, and zinc. As of June 30, 2016, in the precious metals sector Grant Park had long positions in gold and silver and short positions in platinum.  In the base metals, Grant Park had long positions in aluminum, lead, nickel, tin and zinc and short positions in copper and palladium.  

 

 

 

 

 

 

45


 

Energy

 

Grant Park’s primary energy market risk 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 June 30, 2016, in the energy market Grant Park had long exposure to Brent crude, crude oil, heating oil, natural gas, gas oil, phelix baseload quarterly and U.K. natural gas and had short exposure to carbon emissions and NY Harbor RBOB gas. 

 

Agriculturals/Softs/Meats

 

Grant Park’s primary commodities risk exposure is driven by agricultural price movements, which are often directly affected by severe or unexpected weather conditions as well as other factors.  As of June 30, 2016, in the grains markets, Grant Park had long exposure to coffee, corn, cotton, red wheat, lean hogs, live cattle, lumber, orange juice, soybeans, sugar and sunflower seeds, and Grant Park had short exposure to canola, cocoa, crude palm, feeder cattle, oats, rough rice, rubber, soybean oil and wheat.   

 

Non-Trading Risk Exposure

 

The following were the only non-trading risk exposures of Grant Park as of June 30, 2016.

 

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.

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. Approximately 2% to up to 10% of Grant Park’s assets are deposited with over-the-counter counterparties in order to initiate and maintain forward and swap contracts.  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.

46


 

ITEM 4. CONTROLS AND PROCEDURES

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.

There were no changes in Grant Park’s internal control over financial reporting during the quarter ended June 30, 2016 that have materially affected, or are reasonably likely to materially affect, Grant Park’s internal control over financial reporting.

 

47


 

PART II- OTHER INFORMATION 

Item 1A. Risk Factors

There have been no material changes to the risk factors relating to Grant Park from those previously disclosed in Grant Park’s Annual Report on Form 10-K for its fiscal year ended December 31, 2015, in response to Item 1A to Part 1 of Form 10-K.

 

Item 2.  Unregistered Sales of Equity Securities and Use of Proceeds

(a)

None.

(b)

None

 

 

48


 

 

Issuer Purchases of Equity Securities

(c)

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 June 30, 2016.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

  

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)

 

 

 

Unit

 

 

 

 

Unit

 

 

 

 

Unit

 

 

 

 

Unit

 

 

 

 

Unit

 

 

 

 

Unit

 

 

 

 

Unit

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

04/01/2016 through 04/30/2016

 

171.06

 

$

1,114.75

 

2,428.36

 

$

920.27

 

103.62

 

$

860.31

 

0.00

 

$

843.84

 

611.45

 

$

843.86

 

661.63

 

$

828.29

 

1,609.87

 

$

732.10

 

5,585.99

 

(2)

 

05/01/2016 through 05/31/2016

 

384.61

 

$

1,091.11

 

1,563.86

 

$

900.26

 

51.35

 

$

843.68

 

0.00

 

$

827.36

 

535.37

 

$

824.98

 

769.79

 

$

809.52

 

4,189.04

 

$

714.46

 

7,494.02

 

(2)

 

06/01/2016 through 06/30/2016

 

164.21

 

$

1,145.71

 

1,903.88

 

$

944.30

 

450.87

 

$

887.17

 

0.00

 

$

869.69

 

501.91

 

$

873.55

 

213.38

 

$

858.26

 

2,399.45

 

$

756.61

 

5,633.70

 

(2)

 

Total

 

719.88

 

$

1,109.18

 

5,896.10

 

$

922.72

 

605.84

 

$

878.89

 

0.00

 

$

0.00

 

1,648.73

 

$

846.77

 

1,644.80

 

$

823.39

 

8,198.36

 

$

730.26

 

18,713.71

 

(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.

 

 

 

 

49


 

 

Item 6.  Exhibits

 

(a)Exhibits

 

 

 

 

 

 

 

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

 

 

101.1

The following financial statements from the Partnership’s Quarterly Report on Form 10-Q for the quarter ended June 30, 2016 formatted in XBRL (eXtensible Business Reporting Language): (i) Consolidated Statements of Financial Condition; (ii) Consolidated Condensed Schedule of Investments; (iii) Consolidated Statements of Operations; (iv) Consolidated Statements of Changes in Partners’ Capital (Net Asset Value); and (v) Notes to Consolidated Financial Statements.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

50


 

 

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

 

 

 

 

 

GRANT PARK FUTURES FUND

 

LIMITED PARTNERSHIP

 

 

 

 

 

 

Date: August 15, 2016

by:

Dearborn Capital Management, L.L.C.

 

its general partner

 

 

 

 

 

 

 

By:

/s/ David M. Kavanagh

 

 

David M. Kavanagh

 

 

President

 

 

(principal executive officer)

 

 

 

 

 

 

 

 

 

 

By:

/s/ Maureen O’Rourke

 

 

Maureen O’Rourke

 

 

Chief Financial Officer

 

 

(principal financial and accounting officer)

 

 

 

 

51