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Grant Park Futures Fund Limited Partnership

Filed: 16 Aug 21, 11:47am

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, 2021

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 

PART I - FINANCIAL INFORMATION

Item 1.  Financial Statements

Grant Park Futures Fund Limited Partnership

Consolidated Statements of Financial Condition

    

June 30, 

    

December 31, 

 

2021

    

2020

(Unaudited)

Assets

Equity in brokers' trading accounts:

Cash

$

7,517,619

$

9,659,503

Net unrealized gain (loss) on open futures contracts

115,550

1,563,838

Net unrealized gain (loss) on open forward currency contracts

(63,929)

Net unrealized gain (loss) on open swap contracts

(576,995)

(1,420,571)

Total equity in brokers' trading accounts

7,056,174

9,738,841

Cash and cash equivalents

5,249,782

4,887,405

Securities owned, at fair value (cost $33,771,875 and $32,419,952, respectively)

33,627,751

32,199,809

Interest and dividend receivable, net

2,628

Total assets

$

45,933,707

$

46,828,683

Liabilities and Partners' Capital (Net Asset Value)

Liabilities

Brokerage charge payable

$

223,680

$

237,272

Accrued incentive fees

414,058

210,546

Organization and offering costs payable

10,684

11,070

Accrued operating expenses

9,440

9,734

Redemptions payable to limited partners

704,819

1,097,230

Interest and other liabilities

2,694

25,250

Total liabilities

1,365,375

1,591,102

Partners' Capital (Net Asset Value)

General Partner

Class A (231.29 and 307.34 units outstanding at June 30, 2021 and December 31, 2020, respectively)

226,108

276,860

Legacy 2 Class (263.13 units outstanding at both June 30, 2021 and December 31, 2020)

215,075

197,003

Global 1 Class (0.00 and 392.74 units outstanding at June 30, 2021 and December 31, 2020, respectively)

306,534

Global 2 Class (231.81 units outstanding at both June 30, 2021 and December 31, 2020)

192,765

176,124

Limited Partners

Class A (3,695.61 and 3,720.55 units outstanding at June 30, 2021 and December 31, 2020, respectively)

3,612,732

3,351,509

Class B (34,849.48 and 38,806.88 units outstanding at June 30, 2021 and December 31, 2020, respectively)

27,210,500

28,009,494

Legacy 1 Class (468.82 and 479.12 units outstanding at June 30, 2021 and December 31, 2020, respectively)

395,905

370,186

Legacy 2 Class (140.55 units outstanding at both June 30, 2021 and December 31, 2020)

114,878

105,224

Global 1 Class (14,278.42 and 15,405.71 units outstanding at June 30, 2021 and December 31, 2020, respectively)

12,211,368

12,024,149

Global 2 Class (457.52 and 543.13 units outstanding at June 30, 2021 and December 31, 2020, respectively)

380,471

412,668

Global 3 Class (12.62 units outstanding at both June 30, 2021 and December 31, 2020)

8,530

7,830

Total partners' capital (net asset value)

44,568,332

45,237,581

Total liabilities and partners' capital (net asset value)

$

45,933,707

$

46,828,683

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, 2021

(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

$

16,151

0.04

%  

$

(21,712)

(0.05)

%  

$

(5,561)

(0.01)

%

Currencies

(195,987)

(0.44)

%  

199,554

0.45

%  

3,567

0.01

%

Energy

362,385

0.81

%  

(10,620)

(0.02)

%  

351,765

0.79

%

Interest rates

31,307

0.07

%  

27,377

0.06

%  

58,684

0.13

%

Meats

(10,831)

(0.02)

%  

%  

(10,831)

(0.02)

%

Metals

(100,994)

(0.23)

%  

1,395

%  

(99,599)

(0.23)

%

Soft commodities

37,583

0.08

%  

3,068

0.01

%  

40,651

0.09

%

Stock indices

115,338

0.26

%  

(47,343)

(0.11)

%  

67,995

0.15

%

Total U.S. Futures Positions

254,952

151,719

406,671

Foreign Futures Positions:

Interest rates

42,079

0.09

%  

(210,549)

(0.47)

%  

(168,470)

(0.38)

%

Metals

9,061

0.02

%  

(70,435)

(0.16)

%  

(61,374)

(0.14)

%

Soft commodities

16,800

0.04

%  

%  

16,800

0.04

%

Stock indices

(73,492)

(0.16)

%  

(4,585)

(0.01)

%  

(78,077)

(0.17)

%

Total Foreign Futures Positions

(5,552)

(285,569)

(291,121)

Total Futures Contracts

$

249,400

0.56

%  

$

(133,850)

(0.30)

%  

$

115,550

0.26

%

Swap Contracts

Deutsche Bank total return swap, Termination date June 30, 2025

$

(576,995)

(1.29)

%  

$

%  

$

(576,995)

(1.29)

%

Total Futures and Swap Contracts

$

(327,595)

(0.73)

%  

$

(133,850)

(0.30)

%  

$

(461,445)

(1.03)

%

*

No individual futures 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, 2021

(Unaudited)

Securities owned

U.S. Government-sponsored enterprises

Percent of

                                                     

Partners' Capital

Face Value

Maturity Dates

Description

Fair Value

(net asset value)

$

5,396,000

9/22/2022-5/6/2024

Federal Farm Credit Banks, 0.2%-0.4%

$

5,397,941

12.11

%

5,500,000

4/15/2024-6/28/2024

Federal Home Loan Banks, 0.4%-0.5%

5,502,745

12.35

%

2,000,000

9/28/2023

Federal Home Loan Mortgage Corp., 0.3%

2,001,550

4.49

%

6,000,000

8/24/2023-12/15/2023

Federal National Mortgage Assoc., 0.3%-0.4%

6,005,310

13.47

%

Total U.S. Government-sponsored enterprises (cost $18,893,877) **

$

18,907,546

42.42

%

U.S. Government securities

                                   

Percent of

                                                     

Partners' Capital

Face Value

    

Maturity Dates

    

Description

    

Fair Value

(net asset value)

$

3,000,000

8/12/2021

U.S. Treasury bill, 0.1%

$

2,999,614

6.73

%

2,000,000

12/30/2021

Other U.S. Treasury bills, 0.0% **

1,999,565

4.49

%

2,000,000

5/31/2023

U.S. Treasury note, 0.2%

1,996,991

4.48

%

Total U.S. Government securities (cost $6,993,011)

$

6,996,170

15.70

%

U.S. Exchange-traded funds

                                               

Percent of

                                                     

Partners' Capital

Shares

    

Description

    

Fair Value

(net asset value)

305,000

U.S. Exchange-traded funds (cost $7,884,987) **

$

7,724,035

17.33

%

Percent of

Partners' Capital

    

Fair Value

    

(net asset value)

 

Total securities owned (cost of $33,771,875)

$

33,627,751

75.45

%

** No individual position constituted greater than 5 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, 2020

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

$

497,749

1.10

%  

$

(1,937)

%  

$

495,812

1.10

%

Currencies

160,805

0.36

%  

14,100

0.03

%  

174,905

0.39

%

Energy

246,968

0.55

%  

(115,816)

(0.26)

%  

131,152

0.29

%

Interest rates

34,956

0.07

%  

(6,310)

(0.01)

%  

28,646

0.06

%

Meats

13,025

0.03

%  

%  

13,025

0.03

%

Metals

162,472

0.36

%  

(32,855)

(0.08)

%  

129,617

0.28

%

Soft commodities

235,885

0.52

%  

(4,387)

(0.01)

%  

231,498

0.51

%

Stock indices and single stock futures

146,331

0.32

%  

(33,715)

(0.07)

%  

112,616

0.25

%

Total U.S. Futures Positions

1,498,191

(180,920)

1,317,271

Foreign Futures Positions:

Interest rates

59,748

0.13

%  

(122,828)

(0.27)

%  

(63,080)

(0.14)

%

Metals

146,552

0.32

%  

47,376

0.11

%  

193,928

0.43

%

Soft commodities

2,290

0.01

%  

%  

2,290

0.01

%

Stock indices

115,491

0.26

%  

(2,062)

(0.01)

%  

113,429

0.25

%

Total Foreign Futures Positions

324,081

(77,514)

246,567

Total Futures Contracts

$

1,822,272

4.03

%  

$

(258,434)

(0.57)

%  

$

1,563,838

3.46

%

Forward Currency Contracts *

Currencies

$

35,488

0.08

%  

$

(99,417)

(0.22)

%  

$

(63,929)

(0.14)

%

Swap Contracts

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

(1,420,571)

(3.14)

%  

%  

(1,420,571)

(3.14)

%

Total Futures, Forward Currency and

Swap Contracts

$

437,189

0.97

%  

$

(357,851)

(0.79)

%  

$

79,338

0.18

%

*

No individual futures and forward currency 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, 2020

Securities owned

U.S. Government-sponsored enterprises

Percent of

Partners' Capital

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$

2,500,000

2/10/2023

Federal Agricultural Mortgage Corp., 1.7%

$

2,516,450

5.56

%

2,000,000

9/22/2022

Federal Farm Credit Banks, 0.2%

2,000,350

4.42

%

4,500,000

6/30/2023-9/28/2023

Federal Home Loan Mortgage Corp., 0.3%-0.5%

4,501,581

9.95

%

6,000,000

8/24/2023-12/15/2023

Federal National Mortgage Assoc., 0.3%-0.4%

6,005,310

13.28

%

Total U.S. Government-sponsored enterprises (cost $14,999,285)

$

15,023,691

33.21

%

U.S. Government securities

                                   

Percent of

                                                     

Partners' Capital

Face Value

    

Maturity Dates

    

Description

    

Fair Value

(net asset value)

$

10,000,000

3/25/2021-8/12/2021

U.S. Treasury bills, 1.0% (cost $9,994,752)

$

9,996,048

22.10

%

U.S. Exchange-traded funds

                                               

Percent of

                                                     

Partners' Capital

Shares

    

Description

    

Fair Value

(net asset value)

38,000

Amplify High Income ETF

$

605,340

1.34

%

85,000

Highland/iBoxx Senior Loan ETF

1,361,700

3.01

%

50,000

Invesco Preferred ETF

��

763,000

1.69

%

10,000

iShares Floating Rate Bond ETF

507,200

1.12

%

10,000

BlackRock Short Maturity Bond ETF

501,700

1.11

%

12,000

PIMCO Enhanced Short Maturity Active ETF

1,224,480

2.71

%

55,000

SPDR Bloomberg Barclays Short Term High Yield Bond ETF

1,482,250

3.27

%

15,000

VanEck Vectors Fallen Angel High Yield Bond ETF

481,500

1.06

%

10,000

Other Exchange-traded funds**

252,900

0.56

%

Total U.S. Exchange-traded funds (cost $7,425,915)

$

7,180,070

15.87

%

Percent of

Partners' Capital

    

Fair Value

    

(net asset value)

 

Total securities owned (cost of $32,419,952)

$

32,199,809

71.18

%

** 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, 

2021

2020

    

2021

    

2020

 

(Unaudited)

(Unaudited)

Net trading gains (losses)

Net gain (loss) from futures trading

Realized

$

3,027,117

$

1,160,943

$

6,523,246

$

290,839

Change in unrealized

(591,508)

(552,536)

(1,448,288)

21,032

Commissions

(171,534)

(188,675)

(341,351)

(388,822)

Net gains (losses) from futures trading

2,264,075

419,732

4,733,607

(76,951)

Net gain (loss) from forward currency trading

Realized

(55,454)

(14,955)

22,721

150,483

Change in unrealized

(167,234)

(3,507)

63,929

75,919

Commissions

(1,292)

(1,578)

(2,576)

(5,348)

Net gains (losses) from forward currency trading

(223,980)

(20,040)

84,074

221,054

Net gain (loss) from swap trading

Change in unrealized

112,775

383,266

843,576

(7,725,789)

Net gains (losses) from swap trading

112,775

383,266

843,576

(7,725,789)

Net gain (loss) from securities

Realized

(645)

27,807

(645)

Change in unrealized

73,383

390,085

57,684

(447,556)

Net gains (losses) from securities

73,383

389,440

85,491

(448,201)

Net trading gains (losses)

2,226,253

1,172,398

5,746,748

(8,029,887)

Net investment income (loss)

Income

Interest income

(17,677)

72,954

(5,522)

214,719

Dividend income

52,083

85,490

102,034

171,557

Total income

34,406

158,444

96,512

386,276

Expenses from operations

Brokerage charge

557,002

586,807

1,109,560

1,245,636

Incentive fees

308,823

842

732,146

62,661

Organizational and offering costs

33,481

35,954

66,726

77,925

Operating expenses

29,553

31,398

58,838

67,935

Total expenses

928,859

655,001

1,967,270

1,454,157

Net investment loss

$

(894,453)

$

(496,557)

$

(1,870,758)

$

(1,067,881)

Net income (loss)

$

1,331,800

$

675,841

$

3,875,990

$

(9,097,768)

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

$

25.80

$

9.82

$

76.77

$

(146.75)

General Partner & Limited Partner Class B Units

$

19.39

$

6.83

$

59.03

$

(120.49)

General Partner & Limited Partner Legacy 1 Class Units

$

26.17

$

12.42

$

71.83

$

(114.88)

General Partner & Limited Partner Legacy 2 Class Units

$

24.87

$

11.61

$

68.68

$

(112.44)

General Partner & Limited Partner Global 1 Class Units

$

27.55

$

13.52

$

74.73

$

(113.50)

General Partner & Limited Partner Global 2 Class Units

$

26.33

$

12.71

$

71.78

$

(111.57)

General Partner & Limited Partner Global 3 Class Units

$

19.03

$

7.97

$

55.46

$

(97.68)

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, 2021

(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, 2020

307.34

$

276,860

3,720.55

$

3,351,509

$

38,806.88

$

28,009,494

$

479.12

$

370,186

263.13

$

197,003

140.55

$

105,224

Redemptions

(1,083.09)

(815,848)

Transfers in (out)

Net income (loss)

15,663

189,612

1,529,653

21,875

11,528

6,158

Partners’ capital,

March 31, 2021

307.34

$

292,523

3,720.55

$

3,541,121

$

37,723.79

$

28,723,299

$

479.12

$

392,061

263.13

$

208,531

140.55

$

111,382

Redemptions

(76.05)

(75,000)

(24.94)

(24,380)

(2,874.31)

(2,276,744)

(10.30)

(8,739)

Transfers in (out)

Net income (loss)

8,585

95,991

763,945

12,583

6,544

3,496

Partners’ capital,

June 30, 2021

231.29

$

226,108

3,695.61

$

3,612,732

$

34,849.48

$

27,210,500

$

468.82

$

395,905

263.13

$

215,075

140.55

$

114,878

Net asset value per General Partner and Limited Partner unit at December 31, 2020

$

900.81

$

721.77

$

772.63

$

748.69

Net asset value per General Partner and Limited Partner unit at March 31, 2021

$

951.78

$

761.41

$

818.29

$

792.50

Net asset value per General Partner and Limited Partner unit at June 30, 2021

$

977.58

$

780.80

$

844.46

$

817.37

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, 2021

(Unaudited)

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, 2020

392.74

$

306,534

15,405.71

$

12,024,149

231.81

$

176,124

543.13

$

412,668

$

12.62

$

7,830

$

45,237,581

Redemptions

(705.66)

(573,890)

(25.76)

(19,633)

(1,409,371)

Transfers in (out)

Net income (loss)

18,527

716,597

10,538

23,579

460

2,544,190

Partners’ capital,

March 31, 2021

392.74

$

325,061

14,700.05

$

12,166,856

231.81

$

186,662

517.37

$

416,614

$

12.62

$

8,290

$

46,372,400

Redemptions

(392.74)

(337,306)

(421.63)

(362,761)

(59.85)

(50,938)

(3,135,868)

Transfers in (out)

Net income (loss)

12,245

407,273

6,103

14,795

240

1,331,800

Partners’ capital,

June 30, 2021

$

14,278.42

$

12,211,368

231.81

$

192,765

457.52

$

380,471

$

12.62

$

8,530

$

44,568,332

Net asset value per General Partner and Limited Partner unit at December 31, 2020

$

780.50

$

759.80

$

620.27

Net asset value per General Partner and Limited Partner unit at March 31, 2021

$

827.68

$

805.25

$

656.70

Net asset value per General Partner and Limited Partner unit at June 30, 2021

$

855.23

$

831.58

$

675.73

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

9

Grant Park Futures Fund Limited Partnership

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

Six Months Ended June 30, 2020

(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, 2019

307.34

$

304,918

3,740.34

$

3,710,803

$

52,290.82

$

41,821,340

$

497.72

$

414,242

263.13

$

212,682

140.55

$

113,599

Redemptions

(1,889.22)

(1,368,811)

Net income (loss)

(48,122)

(585,637)

(6,559,480)

(63,359)

(32,644)

(17,435)

Partners’ capital,

March 31, 2020

307.34

$

256,796

3,740.34

$

3,125,166

$

50,401.60

$

33,893,049

$

497.72

$

350,883

263.13

$

180,038

140.55

$

96,164

Redemptions

(5.03)

(4,260)

(7,555.74)

(5,163,878)

(13.38)

(9,569)

Transfers in (out)

Net income (loss)

3,019

36,746

375,618

6,150

3,058

1,632

Partners’ capital,

June 30, 2020

307.34

$

259,815

3,735.31

$

3,157,652

$

42,845.86

$

29,104,789

$

484.34

$

347,464

263.13

$

183,096

140.55

$

97,796

Net asset value per General Partner and Limited Partner unit at December 31, 2019

$

992.10

$

799.78

$

832.28

$

808.27

Net asset value per General Partner and Limited Partner unit at March 31, 2020

$

835.53

$

672.46

$

704.98

$

684.22

Net asset value per General Partner and Limited Partner unit at June 30, 2020

$

845.35

$

679.29

$

717.40

$

695.83

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

10

Grant Park Futures Fund Limited Partnership

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

Six Months Ended June 30, 2020

(Unaudited)

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, 2019

392.74

$

328,671

18,241.21

$

15,265,460

231.81

$

189,151

614.97

$

501,820

$

477.23

$

323,221

$

63,185,907

Redemptions

(1,266.67)

(953,528)

(24.64)

(18,162)

(59.93)

(34,260)

(2,374,761)

Net income (loss)

(49,883)

(2,262,503)

(28,810)

(75,319)

(50,417)

(9,773,609)

Partners’ capital,

March 31, 2020

392.74

$

278,788

16,974.54

$

12,049,429

231.81

$

160,341

590.33

$

408,339

$

417.30

$

238,544

$

51,037,537

Redemptions

(619.71)

(449,393)

(5,627,100)

Transfer in (out)

9.61

6,983

(11.97)

(6,983)

Net income (loss)

5,307

230,486

2,948

7,507

3,370

675,841

Partners’ capital,

June 30, 2020

392.74

$

284,095

16,364.44

$

11,837,505

231.81

$

163,289

590.33

$

415,846

$

405.33

$

234,931

$

46,086,278

Net asset value per General Partner and Limited Partner unit at December 31, 2019

$

836.87

$

815.99

$

677.29

Net asset value per General Partner and Limited Partner unit at March 31, 2020

$

709.85

$

691.71

$

571.64

Net asset value per General Partner and Limited Partner unit at June 30, 2020

$

723.37

$

704.42

$

579.61

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

11

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 Exchange Act of 1934, as amended. Prior to April 1, 2019, the Partnership was also subject to the regulatory requirements under the Securities Act of 1933, as amended.

Effective April 1, 2019, limited partnership units of the Partnership are no longer offered for sale. For existing investors in the Partnership, business continues to be conducted as usual. There was no change in the trading, operations, or monthly statements, etc. as a result of the termination of the offering, and redemption requests continue to be offered on a monthly basis.

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 certain reference traders; 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 or reference trader. Effectively, this structure isolates one trading advisor or reference trader 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 11, LLC (“GP 11”)          

GP 3, LLC (“GP 3”)          GP 8, LLC (“GP 8”)          GP 18, LLC (“GP 18”)

GP 4, LLC (“GP 4”)          GP 9, LLC (“GP 9”)             

There were 0 assets allocated to GP 1, GP 9 and GP 11 as of June 30, 2021 and December 31, 2020.

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 excess cash is held in a separate account in the name of GP Cash Management, LLC and custodied at State Street Bank and Trust Company or may be invested in mutual funds. The members of GP Cash Management are the Trading Companies.

Classes of interests: The Partnership has 7 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.

12

Table of Contents

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

Both Class A and Class B units are traded pursuant to identical trading programs and differ only in respect to the brokerage charge and organization and offering costs payable to the General Partner.

Both 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 only in respect to the brokerage charge payable to the General Partner. The Legacy 1 Class and Legacy 2 Class units were offered only to investors who are represented by approved selling agents who are directly compensated by the investor for services rendered in connection with an investment in the Partnership (such arrangements commonly referred to as “wrap-accounts”).

The Global 1 Class, Global 2 Class and Global 3 Class units are traded pursuant to trading programs pursuing technical trend trading philosophies. The Global 1 Class, Global 2 Class and Global 3 Class units differ in respect to the General Partner’s brokerage charge. The Global 1 Class and Global 2 Class units were 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, 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 (“ASC”) 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 consolidated 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, money market funds 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 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 and securities 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. Dividend income is recognized on the ex-dividend date.

13

Table of Contents

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

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

Commissions: Commissions and other trading fees are 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: NaN 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, 2021, 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 2017.

Organization and offering costs: The General Partner has incurred all expenses in connection with the organization and the continuous public offering of partnership interests and is reimbursed by the Partnership. In addition, the General Partner continues to compensate wholesalers for services rendered to certain Limited Partners. This reimbursement is made monthly and the reimbursement amounts are listed by class in Note 5. In no event, however, will the monthly reimbursement from the Partnership to the General Partner exceed 0.083%, or 1.0% annually, of the net asset value of the Partnership. In its discretion, the General Partner may require the Partnership to reimburse the General Partner in any subsequent calendar year for amounts that exceed these limits in any prior year, provided that the maximum amount reimbursed by the Partnership will not exceed the overall limit set forth above. Amounts reimbursed by the Partnership with respect to the organization and the continuous public offering expenses are charged to expense from operations at the time of reimbursement or accrual. 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. As of June 30, 2021, unreimbursed organization and offering costs incurred by the General Partner were approximately $74,000 and may be reimbursed by the Partnership in the future.

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

14

Table of Contents

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

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 may 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 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. A Trading Company’s investment in swap agreements will likely vary over time due to cash flows, asset allocations and market movements. The swap agreements serve to diversify the investment holdings of the Partnership and to provide access to programs and commodity trading advisors that would not otherwise be available to the Partnership, and are not used for hedging purposes.

Changes in the value of the swap agreements 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. The final exchange amount based on the swap value at the termination of the swap agreement will be recorded as a realized gain or loss in the consolidated statement of operations. Through its Trading Companies, the Partnership has entered into a total return swap with Deutsche Bank AG. The Partnership maintains cash as collateral to secure its obligations under the swap. As of June 30, 2021 and December 31, 2020, the notional value of the swap was $8,688,769 and $9,589,399, respectively, and the cash margin balance was $2,250,000 and $4,650,000, respectively, which is included in equity in brokers’ trading accounts on the consolidated statements of financial condition. The swap effective July 1, 2015 has a termination date of June 30, 2025. The swap effective April 5, 2016 had a termination date of April 30, 2024 and was terminated effective July 1, 2020.

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 periods ended June 30, 2021 and 2020, substantially all investments were highly liquid, all investments are carried at fair value, the Partnership carried 0 debt, and the statements of changes in partners’ capital (net asset value) is presented.

Recent accounting pronouncements: In March 2020, the FASB issued ASU 2020-04, Reference Rate Reform, and in January 2021 issued ASU 2021-01, Reference Rate Reform, which is an update to ASU 2020-04 . The amendments in ASU 2020-04 and ASU 2021-01 provide optional expedients and exceptions for applying GAAP to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. The standard is effective as of March 12, 2020 through December 31, 2022. The Partnership is currently evaluating the impact of the guidance on the Partnership's consolidated financial statements and disclosures. The Partnership did not utilize the optional expedients and exceptions provided by ASU 2020-04 during the six months ended June 30, 2021.

Interim financial statements: The consolidated financial statements included herein were prepared by us without audit according to the rules and regulations of the SEC. Certain information and footnote disclosures normally included in financial statements prepared in accordance with U.S. GAAP may be omitted pursuant to such rules and regulations. The financial statements reflect, in the opinion of management, all adjustments necessary that were of a normal and recurring nature and adequate disclosures to present fairly the financial position and results of operations as of and for the periods indicated. The results of operations for the three and six months ended June 30, 2021 and 2020 are not necessarily indicative of the results to be expected for the full year or for any other period.

15

Table of Contents

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

These financial statements should be read in conjunction with the audited financial statements and the notes thereto included in the Form 10-K previously filed with the SEC.

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.

The fair value of exchange-traded futures contracts, options on futures contracts and exchange-traded funds 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 fair value of money market funds 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.

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

The investments in total return swaps are reported at fair value based on daily price reporting from the swap counterparty, which uses exchange prices to value most futures positions and the remaining positions are valued using proprietary pricing models of the 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.

16

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 June 30, 2021:

Assets and Liabilities

    

Level 1

    

Level 2

    

Level 3

    

Total

 

Equity in brokers' trading accounts

U.S. and foreign futures contracts

$

115,550

$

$

$

115,550

Swap contracts

(576,995)

(576,995)

Cash and cash equivalents

U.S. money market fund

5,246,209

5,246,209

Securities owned

U.S. Government-sponsored enterprises

18,907,546

18,907,546

U.S. Government securities

6,996,170

6,996,170

U.S. Exchange-traded funds

7,724,035

7,724,035

Total

$

13,085,794

$

25,326,721

$

$

38,412,515

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 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, 2020:

Assets and Liabilities

    

Level 1

    

Level 2

    

Level 3

    

Total

 

Equity in brokers' trading accounts

U.S. and foreign futures contracts

$

1,563,838

$

$

$

1,563,838

Forward currency contracts

(63,929)

(63,929)

Swap contracts

(1,420,571)

(1,420,571)

Cash and cash equivalents

U.S. money market fund

4,876,725

4,876,725

Securities owned

U.S. Government-sponsored enterprises

15,023,691

15,023,691

U.S. Government securities

9,996,048

9,996,048

U.S. Exchange-traded funds

7,180,070

7,180,070

Total

$

13,620,633

$

23,535,239

$

$

37,155,872

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 0 transfers among Levels 1, 2, and 3 during the six months ended June 30, 2021 and year ended December 31, 2020.

Note 3. Deposits with Brokers and Interbank Market Makers

The Partnership, through the Trading Companies, deposits assets with ADM Investor Services, Inc., Rosenthal Collins Group Division of Marex Spectron and SG Americas 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.

17

Table of Contents

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

The Partnership, through the Trading Companies, has entered into a relationship with Sociètè Gènèrale International Limited 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 and Sociètè Gènèrale International Limited. 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 and Reference Traders

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. As of June 30, 2021, the commodity trading advisors are EMC Capital Advisors, LLC (“EMC”), Episteme Capital Partners (UK) LLP (“Episteme”), Quantica Capital AG (“Quantica”) and Sterling Partners Quantitative Investments LLC (“Sterling”) (collectively, the “Advisors”). The Partnership will obtain the equivalent of net profits or net losses generated by H2O AM LLP (“H2O”) and as a reference trader (“Reference Trader”) through an off-exchange swap transaction and will not allocate assets to H2O directly. The Advisors and Reference Trader are paid a quarterly consulting fee, directly or through swap transactions, ranging from 0.2 percent to 1 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 0 percent to 20 percent of the new trading profits on the allocated net assets of the Advisor or Reference Trader.

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.

NaN 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.

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Notes to Consolidated Financial Statements

(Unaudited)

The Partnership pays the General Partner a monthly brokerage charge, organization and offering reimbursement and operating expenses. The annualized brokerage charge, organization and offering reimbursement and operating expenses are 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 amounts of $557,002 and $1,109,560, respectively, for the three and six months ended June 30, 2021 and $586,807 and $1,245,636, respectively, for the three and six months ended June 30, 2020, 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 or any of its trading companies. The general partner will reduce (but not below 0) 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 $33,481 and $66,726, respectively, for the three and six months ended June 30, 2021 and $35,954 and $77,925, respectively, for the three and six months ended June 30, 2020, are shown on the consolidated statements 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, at the General Partner’s discretion, pro rata to record-holders as of December 31 of each year. The operating expenses in the amounts of $29,553 and $58,838, respectively, for the three and six months ended June 30, 2021 and $31,398 and $67,935, respectively, for the three and six months ended June 30, 2020, 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, 2021, EMC was paid approximately $23,200 and $45,400, respectively, in

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Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

consulting fees and $12,300 and $57,700, respectively, in incentive fees. For the three and six months ended June 30, 2020, EMC was paid approximately $19,400 and $39,300, respectively, in consulting fees and 0 incentive fees.

Note 6. Redemptions and Allocation of Net Income or Loss

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 were prohibited from redeeming such units for the three months following the subscription for units. Global 3 Class Limited Partners who redeemed their units after the three-month lock-up, but prior to the one-year anniversary of their subscriptions for the redeemed units, paid the applicable early redemption fee. There were 0 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 redeemed 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 (“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.

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Notes to Consolidated Financial Statements

(Unaudited)

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, 

2021

2020

    

2021

    

2020

 

Total return – Class A Units

2.71

%

1.18

%

8.52

%  

(14.79)

%

Total return – Class B Units

2.55

%

1.02

%

8.18

%  

(15.07)

%

Total return – Legacy 1 Class Units

3.20

%

1.76

%

9.30

%  

(13.80)

%

Total return – Legacy 2 Class Units

3.14

%

1.70

%

9.17

%  

(13.91)

%

Total return – Global 1 Class Units

3.33

%

1.90

%

9.58

%  

(13.56)

%

Total return – Global 2 Class Units

3.27

%

1.84

%

9.45

%  

(13.67)

%

Total return – Global 3 Class Units

2.90

%

1.39

%

8.94

%  

(14.42)

%

Ratios as a percentage of average net assets:

Expenses prior to incentive fees (1)

5.39

%

5.36

%

5.39

%  

5.13

%

Incentive fees (2)

0.67

%

0.00

%

1.60

%  

0.12

%

Total expenses

6.06

%

5.36

%

6.99

%  

5.25

%

Net investment loss (1) (3)

(5.09)

%

(4.06)

%

(4.97)

%  

(3.71)

%

(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, 2021 and 2020 (annualized).

The following per unit performance calculations reflect activity related to the Partnership for the three and six months ended June 30, 2021 and 2020.

Class A Units

Three Months Ended

Six Months Ended

June 30, 

June 30, 

2021

2020

    

2021

    

2020

 

Per Unit Performance

(for unit outstanding throughout the entire period):

Net asset value per unit at beginning of period

$

951.78

$

835.53

$

900.81

$

992.10

Income (loss) from operations

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

45.33

18.97

116.00

(127.83)

Net investment loss*

(19.53)

(9.15)

(39.23)

(18.92)

Total income (loss) from operations

25.80

9.82

76.77

(146.75)

Net asset value per unit at end of period

$

977.58

$

845.35

$

977.58

$

845.35

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Notes to Consolidated Financial Statements

(Unaudited)

Class B Units

Three Months Ended

Six Months Ended

June 30, 

June 30, 

2021

2020

    

2021

    

2020

 

Per Unit Performance

(for unit outstanding throughout the entire period):

Net asset value per unit at beginning of period

$

761.41

$

672.46

$

721.77

$

799.78

Income (loss) from operations

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

36.58

15.55

93.29

(102.50)

Net investment loss*

(17.19)

(8.72)

(34.26)

(17.99)

Total income (loss) from operations

19.39

6.83

59.03

(120.49)

Net asset value per unit at end of period

$

780.80

$

679.29

$

780.80

$

679.29

Legacy 1 Class Units

Three Months Ended

Six Months Ended

June 30, 

June 30, 

2021

2020

    

2021

    

2020

 

Per Unit Performance

(for unit outstanding throughout the entire period):

Net asset value per unit at beginning of period

$

818.29

$

704.98

$

772.63

$

832.28

Income (loss) from operations

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

38.92

16.02

99.62

(107.53)

Net investment loss*

(12.75)

(3.60)

(27.79)

(7.35)

Total income (loss) from operations

26.17

12.42

71.83

(114.88)

Net asset value per unit at end of period

$

844.46

$

717.40

$

844.46

$

717.40

Legacy 2 Class Units

Three Months Ended

Six Months Ended

June 30, 

June 30, 

2021

2020

    

2021

    

2020

 

Per Unit Performance

(for unit outstanding throughout the entire period):

Net asset value per unit at beginning of period

$

792.50

$

684.22

$

748.69

$

808.27

Income (loss) from operations

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

37.56

15.53

96.32

(104.41)

Net investment loss*

(12.69)

(3.92)

(27.64)

(8.03)

Total income (loss) from operations

24.87

11.61

68.68

(112.44)

Net asset value per unit at end of period

$

817.37

$

695.83

$

817.37

$

695.83

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Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

Global 1 Class Units

Three Months Ended

Six Months Ended

June 30, 

June 30, 

2021

2020

    

2021

    

2020

 

Per Unit Performance

(for unit outstanding throughout the entire period):

Net asset value per unit at beginning of period

$

827.68

$

709.85

$

780.50

$

836.87

Income (loss) from operations

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

39.54

16.15

101.14

(108.10)

Net investment loss*

(11.99)

(2.63)

(26.41)

(5.40)

Total income (loss) from operations

27.55

13.52

74.73

(113.50)

Net asset value per unit at end of period

$

855.23

$

723.37

$

855.23

$

723.37

Global 2 Class Units

Three Months Ended

Six Months Ended

June 30, 

June 30, 

2021

2020

    

2021

    

2020

 

Per Unit Performance

(for unit outstanding throughout the entire period):

Net asset value per unit at beginning of period

$

805.25

$

691.71

$

759.80

$

815.99

Income (loss) from operations

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

38.86

15.70

98.61

(105.44)

Net investment loss*

(12.53)

(2.99)

(26.83)

(6.13)

Total income (loss) from operations

26.33

12.71

71.78

(111.57)

Net asset value per unit at end of period

$

831.58

$

704.42

$

831.58

$

704.42

Global 3 Class Units

Three Months Ended

Six Months Ended

June 30, 

June 30, 

2021

2020

    

2021

    

2020

 

Per Unit Performance

(for unit outstanding throughout the entire period):

Net asset value per unit at beginning of period

$

656.70

$

571.64

$

620.27

$

677.29

Income (loss) from operations

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

31.15

12.98

79.78

(87.24)

Net investment loss*

(12.12)

(5.01)

(24.32)

(10.44)

Total income (loss) from operations

19.03

7.97

55.46

(97.68)

Net asset value per unit at end of period

$

675.73

$

579.61

$

675.73

$

579.61

* Net investment loss per unit is 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, which may include 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 may include equities and

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Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

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 ADM Investor Services, Inc., Rosenthal Collins Group Division of Marex Spectron and SG Americas 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, 2021 and December 31, 2020 was $7,517,619 and $9,659,503, respectively, which was 16.87% and 21.35% of the net asset value, respectively, and is included in equity in brokers’ trading accounts on the consolidated statements of financial condition.

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 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

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Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

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 statements 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.

Trading on international markets may increase the risk that events or circumstances that disrupt such markets may have a materially adverse effect on Grant Park’s business or operations or the value of positions held by Grant Park. Such events or circumstances may include, but are not limited to, inflation or deflation, currency devaluation, interest rate changes, exchange rate fluctuations, changes in government policies, natural disasters, pandemics or other extraordinary events such as coronavirus, armed conflicts, political or social instability or other unforeseen developments that cannot be quantified.

On March 11, 2020, the World Health Organization declared the novel coronavirus disease 2019, known as COVID-19 (“COVID-19”), a pandemic. The COVID-19 global pandemic and the aggressive responses taken by many governments, including closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines or similar restrictions, as well as the forced or voluntary closure of, or operational changes to, many retail and other businesses, has had negative impacts, and in many cases severe negative impacts, on markets worldwide. It is not known how long such impacts, or any future impacts of other significant events described above, will or would last, but there could be a prolonged period of global economic slowdown, which may impact your investment. Therefore, Grant Park could lose money over short periods due to short-term market movements and over longer periods during more prolonged market downturns. During a general market downturn, multiple asset classes may be negatively affected. Changes in market conditions and interest rates can have the same impact on all types of securities and instruments.

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.

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

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Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

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, 2021, the monthly average number of futures contracts bought and sold was 5,978 and 5,112, respectively, and the monthly average number of forward contracts bought and sold was 160 and 117, respectively. For the three and six months ended June 30, 2020, the monthly average number of futures contracts bought and sold was 3,329 and 4,038, respectively, and the monthly average number of forward contracts bought and sold was 217 and 307, respectively. There were 0 swap contracts bought or sold during the three and six months ended June 30, 2021 and 2020, respectively. The following tables summarize the quantitative information required by FASB ASC 815:

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Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

Fair Values of Derivative Instruments at June 30, 2021 and December 31, 2020

Consolidated

Asset

Liability

Statements of Financial

Derivatives

Derivatives

    

Condition Location

June 30, 2021

June 30, 2021

Fair Value

Agriculturals contracts

Net Unrealized gain (loss) on open futures contracts

$

22,175

$

(27,736)

$

(5,561)

Currencies contracts

Net Unrealized gain (loss) on open futures contracts

201,324

(197,757)

3,567

Energy contracts

Net Unrealized gain (loss) on open futures contracts

408,919

(57,154)

351,765

Interest rates contracts

Net Unrealized gain (loss) on open futures contracts

190,709

(300,495)

(109,786)

Meats contracts

Net Unrealized gain (loss) on open futures contracts

4,430

(15,261)

(10,831)

Metals contracts

Net Unrealized gain (loss) on open futures contracts

116,364

(277,337)

(160,973)

Soft commodities contracts

Net Unrealized gain (loss) on open futures contracts

69,319

(11,868)

57,451

Stock indices contracts

Net Unrealized gain (loss) on open futures contracts

134,921

(145,003)

(10,082)

$

1,148,161

$

(1,032,611)

$

115,550

Forward currency contracts

Net Unrealized gain (loss) on open forward currency contracts

$

$

$

Swap contracts*

Net Unrealized gain (loss) on open swap contracts

$

$

(576,995)

$

(576,995)

*At June 30, 2021, the sector exposure of the CTA index underlying the swap was:

Deutsche Bank total return swap, termination date June 30, 2025

Interest rate contracts

38%

Stock indices contracts

20%

Forward currency contracts

42%

Total

100%

27

Table of Contents

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

Consolidated

Asset

Liability

Statements of Financial

Derivatives

Derivatives

    

Condition Location

    

December 31, 2020

    

December 31, 2020

    

Fair Value

 

Agriculturals contracts

Net Unrealized gain (loss) on open futures contracts

$

497,774

$

(1,962)

$

495,812

Currencies contracts

Net Unrealized gain (loss) on open futures contracts

184,052

(9,147)

174,905

Energy contracts

Net Unrealized gain (loss) on open futures contracts

273,682

(142,530)

131,152

Interest rates contracts

Net Unrealized gain (loss) on open futures contracts

120,357

(154,791)

(34,434)

Meats contracts

Net Unrealized gain (loss) on open futures contracts

17,160

(4,135)

13,025

Metals contracts

Net Unrealized gain (loss) on open futures contracts

408,111

(84,566)

323,545

Soft commodities contracts

Net Unrealized gain (loss) on open futures contracts

283,819

(50,031)

233,788

Stock indices contracts

Net Unrealized gain (loss) on open futures contracts

283,402

(57,357)

226,045

$

2,068,357

$

(504,519)

$

1,563,838

Forward currency contracts

Net Unrealized gain (loss) on open forward currency contracts

$

62,001

$

(125,930)

$

(63,929)

Swap contracts*

Net Unrealized gain (loss) on open swap contracts

$

$

(1,420,571)

$

(1,420,571)

*At December 31, 2020, the sector exposure of the CTA index underlying the swap was:

Deutsche Bank total return swap, termination date June 30, 2025

Interest rate contracts

59%

Stock indices contracts

13%

Forward currency contracts

28%

Total

100%

28

Table of Contents

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

The Effect of Derivative Instruments on the Consolidated Statements of Operations for the Three and Six Months Ended June 30, 2021 and 2020

Three Months Ended

Three Months Ended

Six Months Ended

Six Months Ended

Type of Contract

    

    

June 30, 2021

    

June 30, 2020

June 30, 2021

    

June 30, 2020

 

Agriculturals contracts

Net gain (loss) from futures trading

$

827,829

$

(344,256)

$

1,188,967

$

(173,223)

Currencies contracts

Net gain (loss) from futures trading

166,269

(147,901)

(109,582)

279,608

Energy contracts

Net gain (loss) from futures trading

636,861

(84,987)

1,853,585

483,710

Interest rates contracts

Net gain (loss) from futures trading

328,245

276,356

417,860

2,133,625

Meats contracts

Net gain (loss) from futures trading

(70,061)

12,789

28,703

156,460

Metals contracts

Net gain (loss) from futures trading

233,042

94,563

214,067

445,599

Soft commodities contracts

Net gain (loss) from futures trading

326,508

(55,254)

708,244

(52,967)

Stock indices contracts

Net gain (loss) from futures trading

(13,084)

857,097

773,114

(2,960,941)

Net gain (loss) from futures trading

2,435,609

608,407

5,074,958

311,871

Forward currency contracts

Net gain (loss) from forward currency trading

(222,688)

(18,462)

86,650

226,402

Swap contracts

Net gain (loss) from swap trading

112,775

383,266

843,576

(7,725,789)

Total

$

2,325,696

$

973,211

$

6,005,184

$

(7,187,516)

29

Table of Contents

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

Line Item in Consolidated Statements of Operations

Three Months Ended

Six Months Ended

    

June 30, 2021

    

June 30, 2020

    

June 30, 2021

    

June 30, 2020

 

Net gain (loss) from futures trading

Realized

$

3,027,117

$

1,160,943

$

6,523,246

$

290,839

Change in unrealized

(591,508)

(552,536)

(1,448,288)

21,032

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

$

2,435,609

$

608,407

$

5,074,958

$

311,871

Net gain (loss) from forward currency trading

Realized

$

(55,454)

$

(14,955)

$

22,721

$

150,483

Change in unrealized

(167,234)

(3,507)

63,929

75,919

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

$

(222,688)

$

(18,462)

$

86,650

$

226,402

Net gain (loss) from swap trading

Change in unrealized

$

112,775

$

383,266

$

843,576

$

(7,725,789)

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

$

112,775

$

383,266

$

843,576

$

(7,725,789)

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

$

2,325,696

$

973,211

$

6,005,184

$

(7,187,516)

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, 2021

Net Amount of

Gross Amounts

Unrealized Gain/(Loss)

Offset in the

Presented in

Gross Amount of

Consolidated

the Consolidated

Recognized

Statements of

Statements of

Type of Instrument

    

Assets

    

Financial Condition

    

Financial Condition

 

U.S. and foreign futures contracts

$

1,148,161

$

(1,032,611)

$

115,550

Swap contracts

(576,995)

(576,995)

Total derivatives

$

1,148,161

$

(1,609,606)

$

(461,445)

30

Table of Contents

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

Offsetting of Derivative Liabilities

As of June 30, 2021

Net Amount of

Gross Amounts

Unrealized Gain

Offset in the

Presented in

Gross Amount of

Consolidated

the Consolidated

Recognized

Statements of

Statements of

Type of Instrument

    

Liabilities

    

Financial Condition

    

Financial Condition

 

U.S. and foreign futures contracts

$

1,032,611

$

(1,032,611)

$

Swap contracts

576,995

(576,995)

Total derivatives

$

1,609,606

$

(1,609,606)

$

Derivative Assets and Liabilities and Collateral Received by Counterparty

As of June 30, 2021

Gross Amounts Not Offset in the Consolidated

Statements of Financial Condition

Net Amount of

Unrealized Gain/(Loss)

Presented in

the Consolidated

Statements of

Financial

Cash Collateral

Counterparty

    

Financial Condition

    

Instruments

    

Pledged

    

Net Amount

 

ADM Investor Services, Inc.

$

(84,738)

$

$

84,738

$

Deutsche Bank AG

(576,995)

576,995

Rosenthal Collins Group Division of Marex Spectron

260,845

260,845

SG Americas Securities, LLC

(60,557)

60,557

Total

$

(461,445)

$

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