FORM 10-Q
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
(X) QUARTERLY REPORT UNDER SECTION 13 or 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
OR ( ) TRANSITION REPORT UNDER SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE A
For the Quarter ended September 30, 1998
Commission File Number 0-16627
SHEARSON SELECT ADVISORS FUTURES FUND
(Exact name of registrant as specified in its charter)
Delaware 13-3405705
(State or other jurisdiction of (I.R.S. Employer
incorporation or organization) Identification No.)
c/o Smith Barney Futures Management Inc.
390 Greenwich St. - 1st Fl.
New York, New York 10013
(Address and Zip Code of principal executive offices)
(212) 723-5424
(Registrant's telephone number, including area code)
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>
SHEARSON SELECT ADVISORS FUTURES FUND
FORM 10-Q
INDEX
Page
Number
PART I - Financial Information:
Item 1. Financial Statements:
Statement of Financial Condition at
September 30, 1998, and December 31,
1997. 3
Statement of Income and Expenses and
Partners' Capital for the three and
nine months ended September 30, 1998
and 1997. 4
Notes to Financial Statements 5 - 8
Item 2. Management's Discussion and Analysis
of Financial Condition and Results of
Operations 9 - 11
Item 3. Quantitative and Qualitative Disclosures
of Market Risk 12
PART II - Other Information 13 - 14
2
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Item 1. Financial Statement
SHEARSON SELECT ADVISORS FUTURES FUND
STATEMENT OF FINANCIAL CONDITION
SEPTEMBER 30, DECEMBER 31,
1998 1997
---------- -----------
(Unaudited)
ASSETS:
Equity in commodity futures trading account:
Cash and cash equivalents $4,810,016 $6,178,150
Net unrealized appreciation
on open futures contracts 1,407,794 306,078
---------- ----------
6,217,810 6,484,228
Interest receivable 14,575 19,321
---------- ----------
$6,232,385 $6,503,549
========== ==========
LIABILITIES AND PARTNERS' CAPITAL:
Liabilities:
Accrued expenses:
Commissions $ 31,162 $ 32,518
Management fees 20,591 21,498
Incentive fees 58,423 68,714
Other 23,956 21,583
Redemptions payable 223,496 129,395
---------- ----------
357,628 273,708
---------- ----------
Partners' capital :
General Partner, 34 Unit equivalents
outstanding in 1998 and 1997 98,687 91,655
Limited Partners 1,990 and 2,277 Units
of Limited Partnership Interest
outstanding in 1998 and 1997, respectively 5,776,070 6,138,186
---------- ----------
5,874,757 6,229,841
---------- ----------
$6,232,385 $6,503,549
========== ==========
See Notes to Financial Statements.
3
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SHEARSON SELECT ADVISORS FUTURES FUND
STATEMENT OF INCOME AND EXPENSES AND PARTNERS' CAPITAL
(UNAUDITED)
<TABLE>
<CAPTION>
THREE MONTHS ENDED NINE MONTHS ENDED
SEPTEMBER 30, SEPTEMBER 30,
--------------------------- --------------------------
1998 1997 1998 1997
------------ ----------- ----------- -----------
<S> <C> <C> <C> <C>
Income:
Net gains (losses) on trading of commodity
futures:
Realized gains (losses) on closed positions $ 14,107 $ 651,624 $ (390,744) $ 297,430
Change in unrealized gains/losses on open positions 1,683,252 288,306 1,101,716 352,279
----------- ----------- ----------- -----------
1,697,359 939,930 710,972 649,709
Less, brokerage commissions and clearing fees
($1,289, $1,581, $3,942 and $3,640, respectively) (82,045) (93,980) (247,466) (275,260)
----------- ----------- ----------- -----------
Net realized and unrealized gains 1,615,314 845,950 463,506 374,449
Interest income 44,010 53,468 142,379 160,334
----------- ----------- ----------- -----------
1,659,324 899,418 605,885 534,783
----------- ----------- ----------- -----------
Expenses:
Management fees 53,342 61,029 160,729 179,296
Incentive fees 58,423 32,255 58,423 32,466
Other 11,092 9,757 33,523 33,847
----------- ----------- ----------- -----------
122,857 103,041 252,675 245,609
----------- ----------- ----------- -----------
Net income 1,536,467 796,377 353,210 289,174
Redemptions (223,496) (125,579) (708,294) (504,342)
----------- ----------- ----------- -----------
Net increase (decrease) in Partners' capital 1,312,971 670,798 (355,084) (215,168)
Partners' capital, beginning of period 4,561,786 5,254,004 6,229,841 6,139,970
----------- ----------- ----------- -----------
Partners' capital, end of period $ 5,874,757 $ 5,924,802 $ 5,874,757 $ 5,924,802
----------- ----------- ----------- -----------
Net asset value per Unit
(2,024 and 2,359 Units outstanding
at September 30, 1998 and 1997, respectively) $ 2,902.55 $ 2,511.57 $ 2,902.55 $ 2,511.57
----------- ----------- ----------- -----------
Net income per Unit of Limited Partnership
Interest and General Partner Unit equivalent $ 731.31 $ 330.58 $ 206.82 $ 127.12
----------- ----------- ----------- -----------
</TABLE>
See Notes to Financial Statements
4
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SHEARSON SELECT ADVISORS FUTURES FUND
NOTES TO FINANCIAL STATEMENTS
September 30, 1998
(Unaudited)
1. General
Shearson Select Advisors Futures Fund, (the "Partnership") is a limited
partnership which was organized under the laws of the State of Delaware on
February 10, 1987. The Partnership is engaged in the speculative trading of a
diversified portfolio of commodity interests including futures contracts,
options and forward contracts. The commodity interests that are traded by the
Partnership are volatile and involve a high degree of market risk. The
Partnership commenced trading July 1, 1987.
Smith Barney Futures Management Inc. acts as the general partner (the
"General Partner") of the Partnership. On September 1, 1998, the Partnership's
commodity broker, Smith Barney Inc., merged with Salomon Brothers Inc and
changed its name to Salomon Smith Barney Inc. ("SSB"). SSB is an affiliate of
the General Partner. The General Partner is wholly owned by Salomon Smith Barney
Holdings Inc. ("SSBH"), which is the sole owner of SSB. SSBH is a wholly owned
subsidiary of Travelers Group Inc. All trading decisions are being made for the
Partnership by John W. Henry & Company, Inc. (the "Advisor"). (see Note 5)
The accompanying financial statements are unaudited but, in the opinion of
management, include all adjustments (consisting only of normal recurring
adjustments) necessary for a fair presentation of the Partnership's financial
condition at September 30, 1998 and the results of its operations for the three
and nine months ended September 30, 1998 and 1997. These financial statements
present the results of interim periods and do not include all disclosures
normally provided in annual financial statements. It is suggested that these
financial statements be read in conjunction with the financial statements and
notes included in the Partnership's annual report on Form 10-K filed with the
Securities and Exchange Commission for the year ended December 31, 1997.
Due to the nature of commodity trading, the results of operations for the
interim periods presented should not be considered indicative of the results
that may be expected for the entire year.
5
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SHEARSON SELECT ADVISORS FUTURES FUND
NOTES TO FINANCIAL STATEMENTS
(continued)
2. Net Asset Value Per Unit:
Changes in net asset value per Unit for the three and nine months ended
September 30, 1998 and 1997 were as follows:
THREE-MONTHS ENDED NINE-MONTHS ENDED
SEPTEMBER 30, SEPTEMBER 30,
1998 1997 1998 1997
Net realized and unrealized
gains $ 768.83 $ 351.16 $ 258.30 $ 161.71
Interest income 20.95 22.20 64.48 64.31
Expenses (58.47) (42.78) (115.96) (98.90)
--------- --------- --------- ---------
Increase for period 731.31 330.58 206.82 127.12
Net Asset Value per Unit,
beginning of period 2,171.24 2,180.99 2,695.73 2,384.45
--------- --------- --------- ---------
Net Asset Value per Unit,
end of period $2,902.55 $2,511.57 $2,902.55 $2,511.57
========= ========= ========= =========
3. Trading Activities:
The Partnership was formed for the purpose of trading contracts in a
variety of commodity interests, including derivative financial instruments and
derivative commodity instruments. The results of the Partnership's trading
activity are shown in the statement of income and expenses.
The Customer Agreement between the Partnership and SSB gives the
Partnership the legal right to net unrealized gains and losses.
All of the commodity interests owned by the Partnership are held for
trading purposes. The fair value of these commodity interests, including options
thereon, at September 30, 1998 and December 31, 1997 was $1,407,794 and
$306,078, respectively, and the average fair value during the nine and twelve
months then ended, based on monthly calculation, was $228,849 and $331,109,
respectively.
4. Financial Instrument Risk:
The Partnership is party to financial instruments with off- balance sheet
risk, including derivative financial instruments and derivative commodity
instruments, in the normal course of its
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business. These financial instruments include forwards, futures and options,
whose value is based upon an underlying asset, index, or reference rate, and
generally represent future commitments to exchange currencies or cash flows, to
purchase or sell other financial instruments at specific terms at specified
future dates, or, in the case of derivative commodity instruments, to have a
reasonable possibility to be settled in cash or with another financial
instrument. These instruments may be traded on an exchange or over-the-counter
("OTC"). Exchange traded instruments are standardized and include futures and
certain option contracts. OTC contracts are negotiated between contracting
parties and include forwards and certain options. Each of these instruments is
subject to various risks similar to those related to the underlying financial
instruments including market and credit risk. In general, the risks associated
with OTC contracts are greater than those associated with exchange traded
instruments because of the greater risk of default by the counterparty to an OTC
contract.
Market risk is the potential for changes in the value of the financial
instruments traded by the Partnership due to market changes, including interest
and foreign exchange rate movements and fluctuations in commodity or security
prices. Market risk is directly impacted by the volatility and liquidity in the
markets in which the related underlying assets are traded.
Credit risk is the possibility that a loss may occur due to the failure of
a counterparty to perform according to the terms of a contract. Credit risk with
respect to exchange traded instruments is reduced to the extent that an exchange
or clearing organization acts as a counterparty to the transactions. The
Partnership's risk of loss in the event of counterparty default is typically
limited to the amounts recognized in the statement of financial condition and
not represented by the contract or notional amounts of the instruments. The
Partnership has concentration risk because the sole counterparty or broker with
respect to the Partnership's assets is SSB.
The General Partner monitors and controls the Partnership's risk exposure
on a daily basis through financial, credit and risk management monitoring
systems and, accordingly believes that it has effective procedures for
evaluating and limiting the credit and market risks to which the Partnership is
subject. These monitoring systems allow the General Partner to statistically
analyze actual trading results with risk adjusted performance indicators and
correlation statistics. In addition, on-line monitoring systems provide account
analysis of futures, forwards and options positions by sector, margin
requirements, gain and loss transactions and collateral positions.
The notional or contractual amounts of these instruments, while not
recorded in the financial statements, reflect the extent
7
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of the Partnership's involvement in these instruments. At September 30, 1998,
the notional or contractual amounts of the Partnership's commitment to purchase
and sell these instruments was $99,040,609 and $5,263,914, respectively, as
detailed below. All of these instruments mature within one year of September 30,
1998. However, due to the nature of the Partnership's business, these
instruments may not be held to maturity. At September 30, 1998, the fair value
of the Partnership's derivatives, including options thereon was $1,407,794 as
detailed below.
SEPTEMBER 30, 1998
NOTIONAL OR CONTRACTUAL
AMOUNT OF COMMITMENTS FAIR
TO PURCHASE TO SELL VALUE
Currencies* $12,663,067 $ 3,260,253 $ 284,541
Interest Rates U.S. 24,076,394 - 332,450
Interest Rates Non-U.S. 62,301,148 816,446 713,794
Indices - 1,187,215 77,009
----------- ----------- -----------
Totals $99,040,609 $ 5,263,914 $ 1,407,794
=========== =========== ===========
At December 31, 1997, the notional or contractual amounts of the
Partnership's commitment to purchase and sell these instruments was $27,377,209
and $42,685,981, respectively, and the fair value of the Partnership's
derivatives, including options thereon was $306,078 as detailed below.
DECEMBER 31, 1997
NOTIONAL OR CONTRACTUAL
AMOUNT OF COMMITMENTS FAIR
TO PURCHASE TO SELL VALUE
Currencies* $ 6,940,963 $13,511,341 $ (27,629)
Interest Rates U.S. 5,864,656 - 46,500
Interest Rates Non-U.S. 13,830,230 26,125,122 16,152
Metals 741,360 2,480,550 224,630
Indices - 568,968 46,425
----------- ----------- -----------
Totals $27,377,209 $42,685,981 $ 306,078
=========== =========== ===========
* The notional or contractual commitment amounts and the fair value amounts
listed for the currency sector represent OTC contracts. All other sectors
listed represent exchange traded contracts.
5. Subsequent Event:
On October 8, 1998, Travelers Group Inc. merged with Citicorp
Inc. and changed its name to Citigroup Inc.
8
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Item 2. Management's Discussion and Analysis of Financial
Condition and Results of Operations.
Liquidity and Capital Resources
The Partnership does not engage in the sale of goods or services. Its only
assets are its equity in its commodity futures trading account, consisting of
cash and cash equivalents, net unrealized appreciation (depreciation) on open
futures and forward contracts, commodity options and interest receivable.
Because of the low margin deposits normally required in commodity futures
trading, relatively small price movements may result in substantial losses to
the Partnership. While substantial losses could lead to a decrease in liquidity,
no such losses occurred during the third quarter of 1998.
The Partnership's capital consists of the capital contributions of the
partners as increased or decreased by gains or losses on commodity futures
trading, expenses, interest income, redemptions of Units and distributions of
profits, if any.
For the nine months ended September 30, 1998, Partnership capital
decreased 5.7% from $6,229,841 to $5,874,757. This decrease was attributable to
the redemption of 287 Units resulting in an outflow of $708,294 which was
partially offset by net income from operations of $353,210 for the nine months
ended September 30, 1998. Future redemptions can impact the amount of funds
available for investments in commodity contract positions in subsequent periods.
Operational Risk
The General Partner administers the business of the Partnership through
various systems and processes maintained by SSBH. SSBH has analyzed the impact
of the year 2000 on its systems and processes and modifications for compliance
are proceeding according to plan. All modifications necessary for year 2000
compliance are expected to be completed by the first quarter of 1999. In July
1998, SSB participated in successful industry-wide testing coordinated by the
Securities Industry Association and plans to participate in such tests in the
future. The purpose of industry-wide testing is to confirm that exchanges,
clearing organizations, and other securities industry participants are prepared
for the year 2000.
The most likely and most significant risk to the Partnership associated
with the lack of year 2000 readiness is the failure of outside organizations,
including the commodities exchanges, clearing organizations or regulators with
which the Partnership interacts to resolve their year 2000 issues in a timely
manner. This risk could involve the inability to determine the value of the
Partnership at some point in time and would make effecting
9
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purchases or redemptions of Units in the Partnership infeasible
until such valuation was determinable.
In addition, the General Partner is addressing the technological
implications that will result from regulatory and market changes due to Europe's
Economic and Monetary Union ("EMU").
Risks to the Partnership exist in the lack of experience with this new
currency and the potential impact it can have on the Advisors' trading program.
Risks also exist in the failure of external information technology and
accounting systems to adequately prepare for the conversion. This issue is
particularly acute in the area of the exchanges, clearing houses and
over-the-counter foreign exchange markets where the futures interests are
traded. If the necessary changes are not properly implemented, the Partnership
could suffer failed trade settlements, inability to reconcile trading positions
and funding disruptions. Such events could result in erroneous entries in the
Partnership's accounts, mispriced transactions, and a delay or inability to
provide timely pricing of Units for the purpose of effecting purchases and
redemptions.
SSB has evaluated its internal systems and made the necessary changes to
accommodate EMU transactions on behalf of the Partnership. The General Partner
will continue to monitor and communicate with the Advisor and related
third-party entities to assure preparation for the EMU conversion and advanced
notification of impending issues or problems.
Results of Operations
During the Partnership's third quarter of 1998, the net asset value per
Unit increased 33.7% from $2,171.24 to $2,902.55, as compared to the third
quarter of 1997 when the net asset value per Unit increased 15.2%. The
Partnership experienced a net trading gain before brokerage commissions and
related fees in the third quarter of 1998 of $1,697,359. Gains were recognized
in the trading of currencies, U.S. and non-U.S. interest rates and indices and
were partially offset by losses in metals. The Partnership experienced a net
trading gain before brokerage commissions and related fees in the third quarter
of 1997 of $939,930. Gains were recognized in the trading of currencies, U.S.
and non-U.S. interest rates, metals and indices.
Commodity futures markets are highly volatile. Broad price fluctuations
and rapid inflation increase the risks involved in commodity trading, but also
increase the possibility of profit. The profitability of the Partnership depends
on the existence of major price trends and the ability of the Advisor to
identify correctly those price trends. Price trends are influenced by,
10
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among other things, changing supply and demand relationships, weather,
governmental, agricultural, commercial and trade programs and policies, national
and international political and economic events and changes in interest rates.
To the extent that market trends exist and the Advisors are able to identify
them, the Partnership expects to increase capital through operations.
Interest income on 70% of the Partnership's daily average equity was
earned on the monthly average 13-week U.S. Treasury Bill yield. Interest income
for the three and nine months ended September 30, 1998 decreased by $9,458 and
$17,955, respectively, as compared to the corresponding periods in 1997. The
decrease in interest income is primarily due to the effect of redemptions on the
Partnership's equity maintained in cash.
Brokerage commissions are calculated on the adjusted net asset value on
the last day of each month and, therefore, vary according to trading performance
and redemptions. Accordingly, they must be compared in relation to the
fluctuations in the monthly net asset values. Commissions and fees for the three
and nine months ended September 30, 1998 decreased by $11,935 and $27,794,
respectively, as compared to the corresponding periods in 1997.
All trading decisions for the Partnership are currently being made by the
Advisor. Management fees are calculated as a percentage of the Partnership's net
asset value as of the end of each month and are affected by trading performance
and redemptions. Management fees for the three and nine months ended September
30, 1998 decreased by $7,687 and $18,567, respectively, as compared to the
corresponding periods in 1997.
Incentive fees paid by the Partnership are based on the net trading
profits of the Partnership as defined in the Limited Partnership Agreement.
Trading performance for the three and nine months ended September 30, 1998
resulted in incentive fees of $58,423. Trading performance for the three and
nine months ended September 30, 1997 resulted in incentive fees of $32,255 and
$32,466, respectively.
11
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Item 3. Quantitative and Qualitative Disclosures of Market Risk
The Partnership is subject to SEC Financial Reporting Release No. 48,
regarding quantitative and qualitative disclosures of market risk and will
comply with the disclosure and reporting requirements in its Form 10-K as of
December 31, 1998.
12
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PART II OTHER INFORMATION
Item 1. Legal Proceedings
Between May 1994 and the present, Salomon Brothers Inc. ("SBI"), Smith
Barney Inc. ("SB") and The Robinson Humphrey Company, Inc. ("R-H"), all
currently subsidiaries of Salomon Smith Barney Holdings Inc. ("SSBH"),
along with a number of other broker-dealers, were named as defendants in
approximately 25 federal court lawsuits and two state court lawsuits,
principally alleging that companies that make markets in securities
traded on NASDAQ violated the federal antitrust laws by conspiring to
maintain a minimum spread of $.25 between the bid and asked price for
certain securities. The federal lawsuits and one state court case were
consolidated for pre-trial purposes in the Southern District of New York
in the fall of 1994 under the caption In re NASDAQ Market-Makers
Antitrust Litigation, United States District Court, Southern District of
New York No. 94-CIV-3996 (RWS); M.D.L. No. 1023. The other state court
suit, Lawrence A. Abel v. Merrill Lynch & Co., Inc. et al.; Superior
Court of San Diego, Case No. 677313, has been dismissed without
prejudice in conjunction with a tolling agreement.
In consolidated action, the plaintiffs purport to represent a class of
persons who bought one or more of what they currently estimate to be
approximately 1,650 securities on NASDAQ between May 1, 1989 and May 27,
1994. They seek unspecified monetary damages, which would be trebled
under the antitrust laws. The plaintiffs also seek injunctive relief, as
well as attorney's fees and the costs of the action. (The state cases
seek similar relief.) Plaintiffs in the consolidated action filed an
amended consolidated complaint that defendants answered in December
1995. On November 26, 1996, the Court certified a class composed of
retail purchasers. A motion to include institutional investors in the
class and to add class representatives was granted. In December 1997,
SBI, SB and R- H, along with several other broker-dealer defendants,
executed a settlement agreement with the plaintiffs. This agreement has
been preliminarily approved by the U.S. District Court for the Southern
District of New York but is subject to final approval.
On July 17, 1996, the Antitrust Division of the Department of Justice
filed a complaint against a number of firms that act as market makers in
NASDAQ stocks. The complaint basically alleged that a common
understanding arose among NASDAQ market makers which worked to keep
quote spreads in NASDAQ stocks artificially wide. Contemporaneous with
the filing of the complaint, SBI, SB and other defendants entered into a
stipulated settlement agreement, pursuant to which the
13
<PAGE>
defendants would agree not to engage in certain practices relating to
the quoting of NASDAQ securities and would further agree to implement a
program to ensure compliance with federal antitrust laws and with the
terms of the settlement. In entering into the stipulated settlement, SBI
and SB did not admit any liability. There are no fines, penalties, or
other payments of monies in connection with the settlement. In April
1997, the U.S. District Court for the Southern District of New York
approved the settlement. In May 1997, plaintiffs in the related civil
action (who were permitted to intervene for limited purposes) appealed
the district court's approval of the settlement. The appeal was argued
in March 1998 and was affirmed in August 1998.
The Securities and Exchange Commission ("SEC") is also conducting a
review of the NASDAQ marketplace, during which it has subpoenaed
documents and taken the testimony of various individuals including SBI
and SB personnel. In July 1996, the SEC reached a settlement with the
National Association of Securities Dealers and issued a report detailing
certain conclusions with respect to the NASD and the NASDAQ market.
In December 1996, a complaint seeking unspecified monetary damages was
filed by Orange County, California against numerous brokerage firms,
including SB, in the U.S. Bankruptcy Court for the Central District of
California. Plaintiff alleged, among other things, that the defendants
recommended and sold to plaintiff unsuitable securities. The case
(County of Orange et al. v. Bear Stearns & Co. Inc. et al.) has been
stayed by agreement of the parties.
Item 2. Changes in Securities and Use of Proceeds - None
Item 3. Defaults Upon Senior Securities - None
Item 4. Submission of Matters to a Vote of Security Holders - None
Item 5. Other Information - None
Item 6. (a) Exhibits - None
(b) Reports on Form 8-K - None
14
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SIGNATURES
Pursuant to the requirements of Section 13 or 15 (d) 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.
SHEARSON SELECT ADVISORS FUTURES FUND
By: Smith Barney Futures Management Inc.
(General Partner)
By: /s/ David J. Vogel, President
David J. Vogel, President
Date: 11/12/98
Pursuant to the requirements of the Securities Exchange Act of 1934, this
report has been signed below by the following persons on behalf of the
registrant and in the capacities and on the dates indicated.
By: Smith Barney Futures Management Inc.
(General Partner)
By: /s/ David J. Vogel, President
David J. Vogel, President
Date: 11/12/98
By: /s/ Daniel A. Dantuono
Daniel A. Dantuono
Chief Financial Officer and Director
Date: 11/12/98
15
<PAGE>
<TABLE> <S> <C>
<ARTICLE> 5
<CIK> 0000811078
<NAME> SHEARSON SELECT ADVISORS FUTURES FUND
<S> <C>
<PERIOD-TYPE> 9-MOS
<FISCAL-YEAR-END> DEC-31-1998
<PERIOD-START> JAN-01-1998
<PERIOD-END> SEP-30-1998
<CASH> 4,810,016
<SECURITIES> 1,407,794
<RECEIVABLES> 14,575
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 6,232,385
<PP&E> 0
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<TOTAL-ASSETS> 6,232,385
<CURRENT-LIABILITIES> 357,628
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 5,874,757
<TOTAL-LIABILITY-AND-EQUITY> 6,232,385
<SALES> 0
<TOTAL-REVENUES> 605,885
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 252,675
<LOSS-PROVISION> 0
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<INCOME-PRETAX> 353,210
<INCOME-TAX> 0
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<EPS-PRIMARY> 206.82
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