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EX-32.1 - EX-32.1 - GRANT PARK FUTURES FUND LIMITED PARTNERSHIPgpff-20200331ex32162d2b0.htm
EX-31.2 - EX-31.2 - GRANT PARK FUTURES FUND LIMITED PARTNERSHIPgpff-20200331ex31291aded.htm
EX-31.1 - EX-31.1 - GRANT PARK FUTURES FUND LIMITED PARTNERSHIPgpff-20200331ex3111682c3.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 March 31, 2020

 

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

 

 

 

Securities registered pursuant to Section 12(b) of the Act:

 

 

 

Title of each class

Trading Symbol(s)

Name of each exchange on which registered

Not applicable.

Not applicable.

Not applicable.

 

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 every Interactive Data File required to be submitted 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 such files). Yes   No 

 

 

Indicate by check mark whether the Registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company or an emerging growth company. See definitions of “large accelerated filer”, “accelerated filer” and “smaller reporting company” and “emerging growth company” in Rule 12b -2 of the Exchange Act.

 

 

 

 

Large accelerated filer 

 

Accelerated filer 

 

 

 

Non accelerated filer 

 

Smaller reporting company                   Emerging growth company 

 

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.

 

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 March 31, 2020

 

INDEX

 

PART I – FINANCIAL INFORMATION 

 

 

 

ITEM 1. 

Financial Statements

 

 

 

 

 

Consolidated Statements of Financial Condition as of March 31, 2020 (unaudited)
and December 31, 2019

2

 

 

 

 

Consolidated Condensed Schedule of Investments as of March 31, 2020 (unaudited)

3

 

 

 

 

Consolidated Condensed Schedule of Investments as of December 31, 2019

5

 

 

 

 

Consolidated Statements of Operations for the three months ended
March 31, 2020 and 2019 (unaudited)

7

 

 

 

 

Consolidated Statements of Changes in Partners’ Capital (Net Asset Value)
for the three months ended March 31, 2020 and 2019 (unaudited)

8

 

 

 

 

Notes to Consolidated Financial Statements (unaudited)

12

 

 

 

ITEM 2. 

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

31

 

 

 

ITEM 3. 

Quantitative and Qualitative Disclosures About Market Risk

36

 

 

 

ITEM 4. 

Controls and Procedures

40

 

PART II – OTHER INFORMATION 

 

 

 

ITEM 1A.  

Risk Factors

41

 

 

 

ITEM 2.  

Unregistered Sales of Equity Securities and Use of Proceeds

41

 

 

 

ITEM 6.  

Exhibits

42

 

 

 

SIGNATURES 

43

CERTIFICATIONS

 

 

 

PART I - FINANCIAL INFORMATION

 

Item 1.  Financial Statements

 

Grant Park Futures Fund Limited Partnership

Consolidated Statements of Financial Condition

 

 

 

 

 

 

 

 

 

    

March 31, 

    

December 31, 

 

 

 

2020

    

2019

 

 

 

 

(Unaudited)

 

 

 

 

Assets

 

 

 

 

 

 

 

Equity in brokers' trading accounts:

 

 

 

 

 

 

 

Cash

 

$

11,593,313

 

$

10,866,216

 

Net unrealized gain (loss) on open futures contracts

 

 

975,375

 

 

401,807

 

Net unrealized gain (loss) on open forward currency contracts

 

 

10,353

 

 

(69,073)

 

Net unrealized gain (loss) on open swap contracts

 

 

(5,071,616)

 

 

3,037,439

 

Total equity in brokers' trading accounts

 

 

7,507,425

 

 

14,236,389

 

Cash and cash equivalents

 

 

6,276,445

 

 

577,181

 

Securities owned, at fair value (cost $39,576,248 and $50,013,633, respectively)

 

 

38,748,534

 

 

50,080,807

 

Interest and dividend receivable, net

 

 

 —

 

 

5,553

 

Total assets

 

$

52,532,404

 

$

64,899,930

 

Liabilities and Partners' Capital (Net Asset Value)

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

Brokerage charge payable

 

$

252,966

 

$

317,812

 

Accrued incentive fees

 

 

61,819

 

 

77,585

 

Organization and offering costs payable

 

 

12,529

 

 

15,480

 

Accrued operating expenses

 

 

10,912

 

 

13,494

 

Redemptions payable to limited partners

 

 

1,149,946

 

 

1,269,238

 

Interest and other liabilities

 

 

6,695

 

 

20,414

 

Total liabilities

 

 

1,494,867

 

 

1,714,023

 

Partners' Capital (Net Asset Value)

 

 

 

 

 

 

 

General Partner

 

 

 

 

 

 

 

Class A (307.34 units outstanding at both March 31, 2020 and December 31, 2019)

 

 

256,796

 

 

304,918

 

Legacy 2 Class (263.13 units outstanding at both March 31, 2020 and December 31, 2019)

 

 

180,038

 

 

212,682

 

Global 1 Class (392.74 units outstanding at both March 31, 2020 and December 31, 2019)

 

 

278,788

 

 

328,671

 

Global 2 Class (231.81 units outstanding at both March 31, 2020 and December 31, 2019)

 

 

160,341

 

 

189,151

 

 

 

 

 

 

 

 

 

Limited Partners

 

 

 

 

 

 

 

Class A (3,740.34 units outstanding at both March 31, 2020 and December 31, 2019)

 

 

3,125,166

 

 

3,710,803

 

Class B (50,401.60 and 52,290.82 units outstanding at March 31, 2020 and December 31, 2019, respectively)

 

 

33,893,049

 

 

41,821,340

 

Legacy 1 Class (497.72 units outstanding at both March 31, 2020 and December 31, 2019)

 

 

350,883

 

 

414,242

 

Legacy 2 Class (140.55 units outstanding at both March 31, 2020 and December 31, 2019)

 

 

96,164

 

 

113,599

 

Global 1 Class (16,974.54 and 18,241.21 units outstanding at March 31, 2020 and December 31, 2019, respectively)

 

 

12,049,429

 

 

15,265,460

 

Global 2 Class (590.33 and 614.97 units outstanding at March 31, 2020 and December 31, 2019, respectively)

 

 

408,339

 

 

501,820

 

Global 3 Class (417.30 and 477.23 units outstanding at March 31, 2020 and December 31, 2019, respectively)

 

 

238,544

 

 

323,221

 

Total partners' capital (net asset value)

 

 

51,037,537

 

 

63,185,907

 

Total liabilities and partners' capital (net asset value)

 

$

52,532,404

 

$

64,899,930

 

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

 

2

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments

March 31, 2020

(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

 

$

10,378

 

0.02

%  

$

53,968

 

0.11

%  

$

64,346

 

0.13

%

Currencies

 

 

(3,845)

 

(0.01)

%  

 

121,017

 

0.24

%  

 

117,172

 

0.23

%

Energy

 

 

(24,124)

 

(0.05)

%  

 

182,761

 

0.36

%  

 

158,637

 

0.31

%

Interest rates

 

 

328,409

 

0.65

%  

 

(2,700)

 

(0.01)

%  

 

325,709

 

0.64

%

Meats

 

 

 —

 

 —

%  

 

25,317

 

0.05

%  

 

25,317

 

0.05

%

Metals

 

 

32,217

 

0.06

%  

 

(10,482)

 

(0.02)

%  

 

21,735

 

0.04

%

Soft commodities

 

 

(8,844)

 

(0.02)

%  

 

87,377

 

0.17

%  

 

78,533

 

0.15

%

Stock indices

 

 

(91,878)

 

(0.18)

%  

 

(8,840)

 

(0.02)

%  

 

(100,718)

 

(0.20)

%

Total U.S. Futures Positions

 

 

242,313

 

 

 

 

448,418

 

 

 

 

690,731

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rates

 

 

19,420

 

0.05

%  

 

3,241

 

0.01

%  

 

22,661

 

0.04

%

Metals

 

 

(95,660)

 

(0.19)

%  

 

272,383

 

0.53

%  

 

176,723

 

0.35

%

Stock indices

 

 

93,304

 

0.18

%  

 

(8,044)

 

(0.02)

%  

 

85,260

 

0.17

%

Total Foreign Futures Positions

 

 

17,064

 

 

 

 

267,580

 

 

 

 

284,644

 

 

 

Total Futures Contracts

 

$

259,377

 

0.51

%  

$

715,998

 

1.40

%  

$

975,375

 

1.91

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currencies

 

$

108,145

 

0.21

%  

$

(97,792)

 

(0.19)

%  

$

10,353

 

0.02

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Deutsche Bank total return swap, Termination date April 30, 2024

 

$

(1,480,432)

 

(2.90)

%  

$

 —

 

 —

%  

$

(1,480,432)

 

(2.90)

%

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

 

 

(3,591,184)

 

(7.04)

%  

 

 —

 

 —

%  

 

(3,591,184)

 

(7.04)

%

Total Swap Contracts

 

$

(5,071,616)

 

(9.94)

%  

$

 —

 

 —

%

$

(5,071,616)

 

(9.94)

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Futures, Forward and

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts

 

$

(4,704,094)

 

(9.22)

%  

$

618,206

 

1.21

%  

$

(4,085,888)

 

(8.01)

%

*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)

March 31, 2020

(Unaudited)

 

Securities owned

U.S. Government-sponsored enterprises

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                               

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

 

(net asset value)

 

$

4,500,000

 

2/10/2023-3/17/2023

 

Federal Agricultural Mortgage Corp., 1.0%-1.7%

 

$

4,506,727

 

8.83

%

 

7,500,000

 

12/2/2021-1/17/2023

 

Federal Farm Credit Banks, 1.6%-1.8%

 

 

7,534,374

 

14.76

%

 

12,000,000

 

12/5/2022-2/28/2023

 

Federal Home Loan Banks, 1.7%-1.8%

 

 

12,044,288

 

23.60

%

 

2,000,000

 

8/10/2022

 

Federal Home Loan Mortgage Corp., 1.7%

 

 

2,004,675

 

3.93

%

 

 

 

Total U.S. Government-sponsored enterprises (cost $26,000,465)

 

 

 

$

26,090,064

 

51.12

%

 

U.S. Government securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                   

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

 

(net asset value)

 

$

5,000,000

 

6/25/2020

 

U.S. Treasury bills, 1.6% (cost $4,962,051)

 

$

4,981,878

 

9.76

%

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Exchange-traded funds

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                               

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Shares

    

Description

    

Fair Value

 

(net asset value)

 

 

85,000

 

Highland/iBoxx Senior Loan ETF

 

 

 

$

1,315,103

 

2.57

%

 

50,000

 

Invesco Preferred ETF

 

 

 

 

658,000

 

1.29

%

 

20,000

 

PIMCO Enhanced Short Maturity Active ETF

 

 

 

 

1,979,600

 

3.88

%

 

55,000

 

SPDR Bloomberg Barclays Short Term High Yield Bond ETF

 

 

 

 

1,295,800

 

2.54

%

 

95,403

 

Other Exchange-traded funds**

 

 

 

 

2,428,089

 

4.76

%

 

 

 

Total Exchange-traded funds (cost $8,613,732)

 

 

 

$

7,676,592

 

15.04

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

Partners' Capital

 

 

  

Fair Value

   

(net asset value)

 

Total securities owned (cost of $39,576,248)

 

$

38,748,534

 

75.92

%

 

**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, 2019

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

 

$

177,229

 

0.28

%  

$

(21,745)

 

(0.03)

%  

$

155,484

 

0.25

%

Currencies

 

 

69,782

 

0.11

%  

 

(63,469)

 

(0.10)

%  

 

6,313

 

0.01

%

Energy

 

 

321,136

 

0.50

%  

 

(236,395)

 

(0.37)

%  

 

84,741

 

0.13

%

Interest rates

 

 

(62,078)

 

(0.10)

%  

 

1,500

 

 —

%  

 

(60,578)

 

(0.10)

%

Meats

 

 

(240)

 

 —

%  

 

(3,075)

 

 —

%  

 

(3,315)

 

(0.01)

%

Metals

 

 

196,600

 

0.31

%  

 

970

 

 —

%  

 

197,570

 

0.31

%

Soft commodities

 

 

45,310

 

0.07

%  

 

7,051

 

0.01

%  

 

52,361

 

0.08

%

Stock indices and single stock futures

 

 

230,145

 

0.36

%  

 

(29,668)

 

(0.04)

%  

 

200,477

 

0.32

%

Total U.S. Futures Positions

 

 

977,884

 

 

 

 

(344,831)

 

 

 

 

633,053

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rates

 

 

(251,752)

 

(0.39)

%  

 

34,460

 

0.05

%  

 

(217,292)

 

(0.34)

%

Metals

 

 

(71,872)

 

(0.11)

%  

 

(1,114)

 

 —

%  

 

(72,986)

 

(0.11)

%

Stock indices

 

 

57,771

 

0.09

%  

 

1,261

 

 —

%  

 

59,032

 

0.09

%

Total Foreign Futures Positions

 

 

(265,853)

 

 

 

 

34,607

 

 

 

 

(231,246)

 

 

 

Total Futures Contracts

 

$

712,031

 

1.12

%  

$

(310,224)

 

(0.49)

%  

$

401,807

 

0.63

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currencies

 

$

(4,609)

 

(0.01)

%  

$

(64,464)

 

(0.10)

%  

$

(69,073)

 

(0.11)

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Deutsche Bank total return swap, Termination date April 30, 2024

 

$

(612,793)

 

(0.97)

%  

$

 —

 

 —

%  

$

(612,793)

 

(0.97)

%

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

 

 

3,650,232

 

5.78

%  

 

 —

 

 —

%  

 

3,650,232

 

5.78

%

Total Swap Contracts

 

$

3,037,439

 

4.81

%  

$

 —

 

 —

%

$

3,037,439

 

4.81

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Futures, Forward and

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts

 

$

3,744,861

 

5.92

%  

$

(374,688)

 

(0.59)

%  

$

3,370,173

 

5.33

%

 

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

 

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

5

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

December 31, 2019

 

Securities owned

U.S. Government-sponsored enterprises

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$

17,500,000

 

1/15/2021-12/27/2022

 

Federal Farm Credit Banks, 1.6%-2.2%

 

 

17,594,846

 

27.85

%

 

14,000,000

 

9/13/2021-12/23/2022

 

Federal Home Loan Banks, 1.8%-2.3%

 

 

14,049,584

 

22.23

%

 

 

 

Total U.S. Government-sponsored enterprises (cost $31,501,260)

 

 

 

$

31,644,430

 

50.08

%

U.S. Government securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                   

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

 

(net asset value)

 

$

13,500,000

 

1/16/2020-6/25/2020

 

U.S. Treasury bills, 1.5%-2.0% (cost $13,408,474)

 

$

13,431,977

 

21.26

%

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Exchange-traded funds

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                               

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Shares

    

Description

    

Fair Value

 

(net asset value)

 

 

85,000

 

Highland/iBoxx Senior Loan ETF

 

 

 

$

1,490,900

 

2.36

%

 

20,000

 

PIMCO Enhanced Short Maturity Active ETF

 

 

 

 

2,031,800

 

3.22

%

 

55,000

 

SPDR Bloomberg Barclays Short Term High Yield Bond ETF

 

 

 

 

1,481,700

 

2.34

%

 

 

 

Total Exchange-traded funds (cost $5,103,899)

 

 

 

$

5,004,400

 

7.92

%

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

Partners' Capital

 

 

    

Fair Value

    

(net asset value)

 

Total securities owned (cost of $50,013,633)

 

$

50,080,807

 

79.26

%

 

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

 

 

 

 

March 31, 

 

 

 

 

2020

 

2019

    

 

 

 

(Unaudited)

 

 

Net trading gains (losses)

 

 

 

 

 

 

 

 

Net gain (loss) from futures trading

 

 

 

 

 

 

 

 

Realized

 

$

(870,104)

 

$

1,887,583

 

 

Change in unrealized

 

 

573,568

 

 

360,482

 

 

Commissions

 

 

(200,147)

 

 

(276,498)

 

 

Net gains (losses) from futures trading

 

 

(496,683)

 

 

1,971,567

 

 

 

 

 

 

 

 

 

 

 

Net gain (loss) from forward trading

 

 

 

 

 

 

 

 

Realized

 

 

165,438

 

 

17,913

 

 

Change in unrealized

 

 

79,426

 

 

18,442

 

 

Commissions

 

 

(3,770)

 

 

(206)

 

 

Net gains (losses) from forward trading

 

 

241,094

 

 

36,149

 

 

 

 

 

 

 

 

 

 

 

Net gain (loss) from swap trading

 

 

 

 

 

 

 

 

Change in unrealized

 

 

(8,109,055)

 

 

(230,918)

 

 

Net gains (losses) from swap trading

 

 

(8,109,055)

 

 

(230,918)

 

 

 

 

 

 

 

 

 

 

 

Net gain (loss) from securities

 

 

 

 

 

 

 

 

Realized

 

 

 —

 

 

2,215

 

 

Change in unrealized

 

 

(837,641)

 

 

93,250

 

 

Net gains (losses) from securities

 

 

(837,641)

 

 

95,465

 

 

 

 

 

 

 

 

 

 

 

Net trading gains (losses)

 

 

(9,202,285)

 

 

1,872,263

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss)

 

 

 

 

 

 

 

 

Income

 

 

 

 

 

 

 

 

Interest income

 

 

141,765

 

 

207,203

 

 

Dividend income

 

 

86,067

 

 

56,974

 

 

Total income

 

 

227,832

 

 

264,177

 

 

Expenses from operations

 

 

 

 

 

 

 

 

Brokerage charge

 

 

658,829

 

 

881,419

 

 

Incentive fees

 

 

61,819

 

 

31,371

 

 

Organizational and offering costs

 

 

41,971

 

 

55,639

 

 

Operating expenses

 

 

36,537