UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
[X] Quarterly report pursuant to Section 13 or 15 (d) of the
Securities Exchange Act of 1934
For the Period ended March 31, 1996 or
[ ] Transition report pursuant to Section 13 or 15 (d) of the
Securities Exchange Act of 1934
For the transition period from to
Commission File No. 0-12431
COLUMBIA FUTURES FUND
(Exact name of registrant as specified in its charter)
New York 13-3103617
(State or other jurisdiction of (I.R.S. Employer
Incorporation or organization) Identification No.)
c/o Demeter Management Corp.
Two World Trade Center, New York, NY 62 Fl. 10048
(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code (212) 392-5454
(Former name, former address, and former fiscal year, if changed
since last report)
Indicate by check mark whether the registrant (1) has filed all
reports required to be filed by Section 13 or 15(d) of the
Securities Exchange Act of 1934 during the preceding 12 months (or
for such shorter period that the registrant was required to file
such reports), and (2) has been subject to such filing requirements
for the past 90 days.
Yes X No
<PAGE>
<TABLE>
COLUMBIA FUTURES FUND
INDEX TO QUARTERLY REPORT ON FORM 10-Q
March 31, 1996
<CAPTION>
PART I. FINANCIAL INFORMATION
<S> <C>
Item 1. Financial Statements
Statements of Financial Condition
March 31, 1996 (Unaudited) and December 31, 1995.........2
Statements of Operations for the Quarters Ended
March 31, 1996 and 1995 (Unaudited)......................3
Statements of Changes in Partners' Capital for
the Quarters Ended March 31, 1996 and 1995
(Unaudited)..............................................4
Statements of Cash Flows for the Quarters Ended
March 31, 1996 and 1995 (Unaudited)......................5
Notes to Financial Statements (Unaudited)............. 6-9
Item 2. Management's Discussion and Analysis
of Financial Condition and Results of
Operations........................................10-13
PART II. OTHER INFORMATION
Item 6. Exhibits and Reports on Form 8-K..................... 14
</TABLE>
<PAGE>
<TABLE>
COLUMBIA FUTURES FUND
STATEMENTS OF FINANCIAL CONDITION
<CAPTION>
March 31, December 31,
1996 1995
$ $
(Unaudited)
ASSETS
<S> <C> <C>
Equity in Commodity futures trading accounts:
Cash 6,858,748 7,028,474
Net unrealized gain on open contracts 513,174 836,228
Total Trading Equity 7,371,922 7,864,702
Interest receivable (DWR) 24,974 27,436
Due from DWR 6,154 -
Total Assets 7,403,050 7,892,138
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Administrative expenses payable 108,176 96,611
Redemptions payable 59,435 59,640
Accrued management fee 24,159 25,825
Accrued brokerage commissions (DWR) 21,125 20,693
Accrued transaction fees and costs 1,748 1,699
Total Liabilities 214,643 204,468
Partners' Capital
Limited Partners (3,767.967 and
3,864.982 Units, respectively) 7,002,563 7,493,781
General Partner (100 Units) 185,844 193,889
Total Partners' Capital 7,188,407 7,687,670
Total Liabilities and Partners' Capital 7,403,050 7,892,138
NET ASSET VALUE PER UNIT 1,858.45 1,938.89
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
COLUMBIA FUTURES FUND
STATEMENTS OF OPERATIONS
(Unaudited)
<CAPTION>
For the Quarters Ended March 31,
1996 1995
$ $
<S> <C> <C>
REVENUES
Trading profit (loss):
Realized 127,160 1,309,350
Net change in unrealized (323,054) 569,249
Total Trading Results (195,894) 1,878,599
Interest Income (DWR) 76,178 81,082
Total Revenues (119,716) 1,959,681
EXPENSES
Brokerage commissions (DWR) 99,425 108,253
Management fee 74,339 72,532
Administrative expenses 15,000 21,000
Transaction fees and costs 8,168 7,929
Incentive fees - 94,359
Total Expenses 196,932 304,073
NET INCOME (LOSS) (316,648) 1,655,608
NET INCOME (LOSS) ALLOCATION
Limited Partners (308,603) 1,617,114
General Partner (8,045) 38,494
NET INCOME (LOSS) PER UNIT
Limited Partners (80.44) 384.94
General Partner (80.44) 384.94
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
COLUMBIA FUTURES FUND
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
For the Quarters Ended March 31, 1996 and 1995
(Unaudited)
<CAPTION>
Units of
Partnership Limited General
Interest Partners Partner Total
<C> <C> <C> <C> <C>
Partner's Capital
December 31, 1994 4,351.065 $6,428,721 $151,226 $6,579,947
Net Income - 1,617,114 38,494 1,655,608
Redemptions (91.215) (153,780) - (153,780)
Partners' Capital
March 31, 1995 4,259.850 $7,892,055 $189,720 $8,081,775
Partners' Capital
December 31, 1995 3,964.982 $7,493,781 $193,889 $7,687,670
Net Loss - (308,603) (8,045) (316,648)
Redemptions (97.015) (182,615) - (182,615)
Partners' Capital
March 31, 1996 3,867.967 $7,002,563 $185,844 $7,188,407
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
COLUMBIA FUTURES FUND
STATEMENTS OF CASH FLOWS
(Unaudited)
<CAPTION>
For the Quarters Ended March 31,
1996 1995
$ $
<S> <C> <C>
CASH FLOWS FROM OPERATING ACTIVITIES
Net income (loss) (316,648) 1,655,608
Noncash item included in net income (loss):
Net change in unrealized 323,054 (569,249)
(Increase) decrease in operating assets:
Interest receivable (DWR) 2,462 (4,599)
Due from DWR (6,154) -
Increase (decrease) in operating liabilities:
Administrative expenses payable 11,565 (7,320)
Accrued management fees (1,666) 5,338
Accrued brokerage commissions (DWR) 432 4,318
Accrued transaction fees and costs 49 461
Accrued incentive fees - 94,359
Net cash provided by operating activities 13,094 1,178,916
CASH FLOWS FROM FINANCING ACTIVITIES
Increase (decrease) in redemptions payable (205) 5,169
Redemptions of units (182,615) (153,780)
Net cash used for financing activities (182,820) (148,611)
Net increase (decrease) in cash (169,726) 1,030,305
Balance at beginning of period 7,028,474 5,633,843
Balance at end of period 6,858,748 6,664,148
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
COLUMBIA FUTURES FUND
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
The financial statements include, in the opinion of management, all
adjustments necessary for a fair presentation of the results of
operations and financial condition. The financial statements and
condensed notes herein should be read in conjunction with the
Partnership's December 31, 1995 Annual Report on Form 10-K.
1. Organization
Columbia Futures Fund (the "Partnership") is a limited partnership
organized to engage in the speculative trading of commodity futures
and forward contracts on foreign currencies. The General Partner
for the Partnership is Demeter Management Corporation (the "General
Partner"). The commodity broker is Dean Witter Reynolds Inc.
("DWR"). The trading manager who makes all trading decisions for
the Partnership is John W. Henry & Co., Inc. Both the General
Partner and DWR are wholly owned subsidiaries of Dean Witter,
Discover & Co.
2. Related Party Transactions
The Partnership's cash is on deposit with DWR in commodity trading
accounts to meet margin requirements as needed. DWR pays interest
on these funds based on current 13-week U.S. Treasury Bill rates.
Brokerage expenses incurred by the Partnership are paid to DWR.
<PAGE>
COLUMBIA FUTURES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
3. Financial Instruments
The Partnership trades futures and forward contracts in interest
rates, stock indices, commodities, currencies, petroleum and
precious metals. Futures and forwards represent contracts for
delayed delivery of an instrument at a specified date and price.
Risk arises from changes in the value of these contracts and the
potential inability of counterparties to perform under the terms of
the contracts. There are numerous factors which may significantly
influence the market value of these contracts, including interest
rate volatility. At March 31, 1996, open contracts were:
Contract or
Notional Amount
$
Exchange Traded Contracts
Financial Futures:
Commitments to Sell 16,474,000
Commodity Futures:
Commitments to Purchase 11,743,000
Commitments to Sell 885,000
Foreign Futures:
Commitments to Purchase 472,000
Commitments to Sell 11,205,000
Off Exchange Traded Contracts
Forward Currency Contracts:
Commitments to Purchase 10,650,000
Commitments to Sell 8,011,000
A portion of the amounts indicated as off-balance-sheet risk in
forward currency contracts is due to offsetting forward commitments
to purchase and to sell the same currency on the same date in the
future. These commitments are economically offsetting, but are not
offset in the forward market until the settlement date.
<PAGE>
COLUMBIA FUTURES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
The unrealized gain on open contracts is reported as a component of
"Equity in Commodity futures trading accounts" on the Statement of
Financial Condition and totaled $513,174 at March 31, 1996. Of
this amount, $509,453 related to exchange traded futures contracts
and $3,721 related to off-exchange-traded forward currency
contracts.
Exchange-traded futures contracts held by the Partnership at March
31, 1996 mature through March 1997. Off-exchange-traded- forward
currency contracts held by the Partnership at March 31, 1996 mature
through June 1996. The contract amounts in the above table
represent the Partnership's extent of involvement in the particular
class of financial instrument, but not the credit risk associated
with counterparty non-performance. The credit risk associated with
these instruments is limited to the amounts reflected in the
Partnership's Statements of Financial Condition.
The Partnership also has credit risk because the sole counterparty,
with respect to most of the Partnership's assets, is DWR. Exchange
traded futures contracts are marked to market on a daily basis,
with variations in value settled on a daily basis. DWR, as the
futures commission merchant for all of the Partnership's exchange-
traded futures contracts, is required pursuant to regulations of
the Commodity Futures Trading Commission to segregate from its own
<PAGE>
COLUMBIA FUTURES FUND
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
assets and for the sole benefit of its commodity customers, all
funds held by DWR with respect to exchange-traded futures contracts
including an amount equal to the net unrealized gains on all open
futures contracts, which funds totaled $7,368,201 at March 31,
1996. With respect to the Partnership's off-exchange-traded
forward currency contracts, there are no daily settlements of
variations in value nor is there any requirement that an amount
equal to the net unrealized gain on open forward contracts be
segregated. With respect to those off-exchange-traded forward
currency contracts, the Partnership is at risk to the ability of
DWR, the counterparty on all of such contracts, to perform.
For the quarter ended March 31, 1996 the average fair value of
financial instruments held for trading purposes was as follows:
Assets Liabilities
$ $
Exchange-Traded Contracts:
Financial Futures 4,823,000 8,629,000
Commodity Futures 10,369,000 1,861,000
Foreign Futures 5,729,000 4,610,000
Off-Exchange-Traded Foreign
Currency Contracts 9,839,000 12,676,000
<PAGE>
Item 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION
AND RESULTS OF OPERATIONS
Liquidity - The Partnership's assets are on deposit in separate
commodity interest trading accounts with DWR, and are used by the
Partnership as margin to engage in commodity futures, forward
contracts on foreign currency and other commodity interest trading.
DWR holds such assets in either designated depositories or in
securities approved by the Commodity Futures Trading Commission
for investment of customer funds. The Partnership's assets held
by DWR may be used as margin solely for the Partnership's trading.
Since the Partnership's sole purpose is to trade in commodity
futures contracts, forward contracts on foreign currency and other
commodity interest trading, it is expected that the Partnership
will continue to own such liquid assets for margin purposes.
The Partnership's investments in commodity futures, forward
contracts and other commodity interests may be illiquid. If the
price of the futures contract for a particular commodity has
increased or decreased by an amount equal to the "daily limit,"
positions in the commodity can neither be taken nor liquidated
unless traders are willing to effect trades at or within the limit.
Commodity futures prices have occasionally moved the daily limit
for several consecutive days with little or no trading. Such
market conditions could prevent the Partnership from promptly
liquidating its commodity futures positions.
<PAGE>
There is no limitation on daily price moves in trading of forward
contracts on foreign currency. The markets for some world
currencies have low trading volume and are illiquid, which may
prevent the Partnership from trading in potentially profitable
markets or prevent the Partnership from promptly liquidating
unfavorable positions in such markets and subjecting it to
substantial losses. Either of these market conditions could result
in restrictions on redemptions.
Capital Resources. The Partnership does not have, nor does it
expect to have, any capital assets. Redemptions of additional
Units in the future will impact the amount of funds available for
investments in commodity futures contracts and other commodity
interests. As redemptions are at the discretion of Limited
Partners, it is not possible to estimate the amount and therefore,
the impact of future redemptions.
Results of Operations
For the Quarter Ended March 31, 1996
For the quarter ended March 31, 1996 the Partnership's total
trading losses net of interest income were $119,716. During the
first quarter, the Partnership posted a loss in Net Asset Value per
Unit. The most significant trading losses were recorded in the
energy markets as a result of a reversal in oil prices during
January which was followed by choppy price movement during
February. These losses were partially offset by gains from long
positions in crude oil futures as crude oil prices moved higher in
March. In soft commodities, losses were recorded in January and
<PAGE>
February as cotton prices moved without consistent direction.
However, a portion of these losses was offset by gains recorded
from sugar and cotton futures trading during March. Smaller losses
were recorded in the metals and agricultural markets as base metals
and soybean futures prices moved in a trendless pattern throughout
the quarter. Trading gains were experienced in the currency
markets as short Japanese yen, Swiss franc and German mark
positions profited in January as the value of the U.S. dollar moved
higher relative to most world currencies. Additional gains were
experienced in March from long Australian dollar positions, as well
as from transactions involving the Japanese yen. Losses recorded
in February due to a sharp reversal upward in the value of the
Japanese yen and most European currencies resulted in losses which
offset a portion of the Fund's overall currency gains for the
quarter. In the financial futures markets, gains were recorded in
January from long global interest rate and stock index futures
positions as prices in these markets trended higher. Smaller gains
were recorded during March from short U.S. interest rate futures
positions as U.S. bond futures prices moved lower. These gains
more than offset losses recorded in February as a result of a sharp
reversal experienced in the previous upward trend in global
interest rate futures prices and in March from global stock index
and non-U.S. interest rate futures trading. Total expenses for the
quarter were $196,932, resulting in a net loss of $316,648. The
value of an individual Unit in the Partnership decreased from
$1,938.89 at December 1995 to $1,858.45 at March 31, 1996.
<PAGE>
For the Quarter Ended March 31, 1995
For the quarter ended March 31, 1995, the Partnership's total
trading revenues including interest income were $1,959,681. During
the first quarter, the Partnership posted a gain in Net Asset Value
per Unit. The most significant trading gains were recorded in the
currency markets as a result of the decrease in value of the U.S.
dollar versus the Japanese yen and major European currencies during
February and March. Gains were also recorded in the financial
futures markets as a result of trading U.S. interest rate futures
as well as Japanese bond and Nikkei stock index futures during the
quarter. Additional trading gains were recorded from transactions
involving cotton in January and February and crude oil in March.
Smaller trading losses in sugar, soybean products, silver and
coffee offset a portion of overall gains for the Partnership during
the quarter. Total expenses for the quarter were $304,073,
generating net income of $1,655,608. The value of an individual
Unit in the Partnership increased from $1,512.26 at December 31
1994 to $1,897.20 at March 31, 1995.
<PAGE>
PART II. OTHER INFORMATION
Item 6. Exhibits and Reports on Form 8-K
A) Exhibits.
None.
B) Reports on Form 8-K. - None.
<PAGE>
SIGNATURE
Pursuant to the requirements of the Securities Exchange Act of 1934,
the Registrant has duly caused this report to be signed on its behalf
by the undersigned, thereunto duly authorized.
Columbia Futures Fund L.P.
(Registrant)
By: Demeter Management Corporation
(General Partner)
May 15, 1996 By:/s/ Patti L. Behnke
Patti L. Behnke
Chief Financial Officer
The General Partner which signed the above is the only party
authorized to act for the Registrant. The Registrant has no principal
executive officer, principal financial officer, controller, or
principal accounting officer and has no Board of Directors.
<PAGE>
<TABLE> <S> <C>
<ARTICLE> 5
<LEGEND>
The schedule contains financial information extracted from Columbia
Futures Fund and is qualified in its entirety by references to such
financial instruments.
</LEGEND>
<S> <C>
<PERIOD-TYPE> 3-MOS
<FISCAL-YEAR-END> MAR-31-1996
<PERIOD-END> MAR-31-1996
<CASH> 6,858,748
<SECURITIES> 0
<RECEIVABLES> 31,128<F1>
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 0
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 7,403,050<F2>
<CURRENT-LIABILITIES> 0
<BONDS> 0
<COMMON> 0
0
0
<OTHER-SE> 0
<TOTAL-LIABILITY-AND-EQUITY> 7,403,050<F3>
<SALES> 0
<TOTAL-REVENUES> (119,716)<F4>
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 196,932
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> (316,648)
<INCOME-TAX> 0
<INCOME-CONTINUING> (316,648)
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> (316,648)
<EPS-PRIMARY> 0
<EPS-DILUTED> 0
<FN>
<F1>Receivables include interest receivable of $24,974 and due from DWR of
$6,154.
<F2>In addition to cash and receivables, total assets include net unrealized
gain on open contracts of $513,174.
<F3>Liabilities include redemptions payable of $59,435, accrued brokerage
commissions of $21,125, accrued management fees of $24,159, administrative
expenses payable of $108,176 and accrued transaction fees and costs of
$1,748.
<F4>Total revenues includes realized trading revenue of $127,160, net change
in unrealized of $(323,054) and interest income of $76,178.
</FN>
</TABLE>
