<PAGE> 1
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 ACT OF 1934
For the Quarter ended March 31, 1996
Commission File Number 0-21590
SHEARSON LEHMAN FUTURES 1000 PLUS, L.P.
--------------------------------------------------------------
(Exact name of registrant as specified in its charter)
Delaware 13-3586639
-------------------------------- --------------------
(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
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(Address and Zip Code of principal executive offices)
(212) 723-5424
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(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 ____
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SHEARSON LEHMAN FUTURES 1000 PLUS, L.P.
FORM 10-Q
INDEX
<TABLE>
<CAPTION>
Page
Number
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<S> <C>
PART I - Financial Information:
Item 1. Financial Statements:
Statements of Financial Condition at
March 31, 1996 and December 31,
1995 3
Statements of Income and Expenses
and Partners' Capital for the Three
Months ended March 31,1996 and 1995 4
Notes to Financial Statements 5 - 6
Item 2. Management's Discussion and Analysis
of Financial Condition and Results of
Operations 7 - 9
PART II - Other Information 10
</TABLE>
2
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PART I
Item 1. Financial Statements
SHEARSON LEHMAN FUTURES 1000 PLUS, L.P.
STATEMENTS OF FINANCIAL CONDITION
<TABLE>
<CAPTION>
MARCH 31, DECEMBER 31,
1996 1995
ASSETS ------------- --------------
<S> <C>
Equity in commodity futures trading account:
Cash and cash equivalents $10,796,988 $11,776,467
Net unrealized appreciation
on open futures contracts 823,775 834,915
Zero Coupons, $29,006,000 and $29,679,000 principal
amount in 1996 and 1995, respectively, due May 15, 1996
at market value (amortized cost $28,738,564 and
$28,851,550 respectively) 28,824,713 29,131,719
-------------- --------------
40,445,476 41,743,101
Receivable from SB on sale of
Zero Coupons 668,632 1,428,904
Interest receivable 37,649 44,657
-------------- --------------
$41,151,757 $43,216,662
============= ==============
LIABILITIES AND PARTNERS' CAPITAL
Liabilities:
Accrued expenses:
Commissions $88,661 $97,073
Management fees 39,525 41,831
Incentive fees 0 54,272
Other 57,608 44,460
Redemptions payable 928,942 2,009,877
-------------- --------------
1,114,736 2,247,513
-------------- --------------
Partners' capital
General Partner, 345 Unit equivalents
outstanding in 1996 and 1995 476,204 476,241
Limited Partners, 28,661 and 29,334
Units of Limited Partnership Interest
outstanding in 1996 and 1995, respectively 39,560,817 40,492,908
-------------- --------------
40,037,021 40,969,149
-------------- --------------
$41,151,757 $43,216,662
============= ==============
</TABLE>
See Notes to Financial Statements.
3
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SHEARSON LEHMAN FUTURES 1000 PLUS, L.P.
STATEMENTS OF INCOME AND EXPENSES AND PARTNERS' CAPITAL
(UNAUDITED)
<TABLE>
<CAPTION>
THREE MONTHS ENDED
MARCH 31, MARCH 31,
1996 1995
-------------- ---------------
<S> <C> <C>
Income:
Net gains (losses) on trading of commodity futures:
Realized gains (losses) on closed positions ($41,844) $1,062,701
Change in unrealized gains / losses on open
positions (11,140) 1,574,261
-------------- ---------------
(52,984) 2,636,962
Less, brokerage commissions and clearing fees
($4,540 and $6,315, respectively) (285,962) (295,818)
-------------- ---------------
Net realized and unrealized gains (losses) (338,946) 2,341,144
Realized gains on sale of Zero Coupons 1,875 20,204
Unrealized appreciation (depreciation) on Zero Coupons (194,020) 337,813
Interest income 668,667 746,136
-------------- ---------------
137,576 3,445,297
-------------- ---------------
Expenses:
Management fees 122,128 120,798
Incentive fees 0 151,933
Other 18,634 16,029
-------------- ---------------
140,762 288,760
-------------- ---------------
Net income (loss) (3,186) 3,156,537
Redemptions (928,942) (2,431,377)
-------------- ---------------
Net increase (decrease) in Partners' capital (932,128) 725,160
Partners' capital, beginning of period 40,969,149 43,853,144
-------------- ---------------
Partners' capital, end of period $40,037,021 $44,578,304
============== ===============
Net asset value per Unit
(29,006 and 33,974 Units outstanding at
March 31, 1996 and 1995, respectively) $1,380.30 $1,312.13
============== ===============
Net income (loss) per Unit of Limited Partnership
Interest and General Partnership Unit equivalent $(.11) $88.11
============== ==============
</TABLE>
See Notes to Financial Statements.
4
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SHEARSON LEHMAN FUTURES 1000 PLUS, L.P.
NOTES TO FINANCIAL STATEMENTS
March 31, 1996
(Unaudited)
General
Shearson Lehman Futures 1000 Plus, L.P. (the "Partnership") is a
limited partnership organized under the laws of the State of Delaware, on
February 21, 1990 to engage in the speculative trading of commodity interests
including forward contracts on foreign currencies, commodity options and
commodity futures contracts, including futures contracts on U.S. Treasuries and
certain other financial instruments, foreign currencies and stock indices. The
commodity interests that are traded by the Partnership are volatile and involve
a high degree of market risk. The Partnership maintains a portion of its
initial assets in interest payments stripped from U.S. Treasury Bonds under the
Treasury's STRIPS program for which payments are due approximately five years
from the date trading commenced ("Zero Coupons"). The Partnership uses such
Zero Coupons and its other assets to margin its commodities account.
Smith Barney Futures Management Inc. acts as the general partner (the
"General Partner") of the Partnership. Smith Barney Inc. ("SB"), an affiliate
of the General Partner, acts as commodity broker for the Partnership. All
trading decisions are made for the Partnership by John W. Henry & Co., Inc. and
Willowbridge Associates Inc. (collectively, the "Advisors").
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 March 31, 1996 and the results of its operations for the
three months ended March 31, 1996 and 1995. 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, 1995.
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.
The Partnership will be liquidated on May 30, 1996, the end of the
month in which the Zero Coupons purchased by the Partnership come due.
5
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SHEARSON LEHMAN FUTURES 1000 PLUS, L.P.
NOTES TO FINANCIAL STATEMENTS
(Continued)
Net Asset Value Per Unit
Changes in net asset value per Unit for the three months ended March 31,
1996 and 1995 were as follows:
<TABLE>
<CAPTION>
THREE MONTHS ENDED
MARCH 31,
---------------------------------------
1996 1995
------------- -------------
<S> <C> <C>
Net realized and unrealized
gains (losses) $ (11.42) $ 65.35
Realized and unrealized gains
(losses) on Zero Coupons (6.47) 9.99
Interest income 22.53 20.83
Expenses (4.75) (8.06)
---------- -----------
Increase (decrease)
for period (.11) 88.11
Net Asset Value per Unit,
beginning of period 1,380.41 1,224.02
---------- ----------
Net Asset Value per Unit,
end of period $1,380.30 $1,312.13
========== ==========
</TABLE>
6
<PAGE> 7
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, Zero Coupons, net unrealized
appreciation (depreciation) on open futures contracts, interest receivable and
receivable from SB on the sale of Zero Coupons. 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 in the first quarter of 1996.
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 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, or to purchase or sell other financial
instruments at specified terms at specified future dates. Each of these
instruments is subject to various risks similar to those relating to the
underlying financial instruments including market and credit risk. 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.
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 three months ended March 31, 1996 Partnership capital
decreased 2.3% from $40,969,149 to $40,037,021. This decrease was attributable
to the redemption of 673 limited partnership Units resulting in an outflow of
$928,942 and net loss from operations of $3,186 for the three months ended
March 31, 1996. Future redemptions can impact the amount of funds available
for investments in commodity contract positions in subsequent periods.
Results of Operations
During the Partnership's first quarter of 1996, the net asset
value per Unit decreased 0.1% from $1,380.41 to $1,380.30 as compared to the
first quarter of 1995 in which the Net Asset Value per Unit increased 7.2%.
The Partnership experienced a net trading
7
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loss before commissions and expenses in the first quarter of 1996 of $52,984.
Losses were recognized in the trading of commodity futures in agricultural
products, precious metals and stock indices which were partially offset by
gains in currencies, energy products and interest rates. The Partnership
experienced a net trading gain before commissions and expenses in the first
quarter of 1995 of $2,636,962. Gains were realized in the trading of commodity
futures in interest rates, stock indices, currencies, agricultural products and
precious metals which were partially offset by losses realized in energy
products.
Commodity futures markets are highly volatile. Broad price
fluctuations and rapid inflations 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 Advisors to identify correctly those price trends. These price trends are
influenced by, 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 80% of the Partnership's average daily equity
maintained in cash was earned on the monthly average 13-week U.S. Treasury
bill yield. Also included in interest income is the amortization of original
issue discount on the Zero Coupons based on the interest method. Interest
income for the three months ended March 31, 1996 decreased by $77,469 as
compared to the corresponding period in 1995. The decrease in interest income
is primarily due to the effect of redemptions on the Partnership's Zero Coupons
and equity maintained in cash in addition to a decrease in interest rates in
the first quarter of 1996 as compared to the first quarter of 1995.
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 clearing
fees for the three months ended March 31, 1996 decreased by $9,856 as compared
to the corresponding period in 1995.
All trading decisions for the Partnership are currently being made by
the Advisors. Management fees are calculated as a percentage of the
Partnership's net asset value as of the end of each month (ranging from 2% to
4% of net assets per year) and are affected by trading performance and
redemptions. Management fees for the three months ended March 31, 1996
increased by $1,330 as compared to the corresponding period in 1995. This
increase is primarily the result of more assets under management by Advisors
8
<PAGE> 9
earning a 4% management fee for the three months ended March 31, 1996 as
compared to the corresponding period in 1995.
Incentive fees are based on the new trading profits generated by each
Advisor as defined in the advisory agreements between the Partnership, the
General Partner and each Advisor. No incentive fees were earned for the
quarter ended March 31, 1996. Trading performance for the three months ended
March 31, 1995 resulted in incentive fees of $151,933.
9
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PART II OTHER INFORMATION
Item 1. Legal Proceedings - None
Item 2. Changes in Securities - 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
10
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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 LEHMAN FUTURES 1000 PLUS, L.P.
By: Smith Barney Futures Management Inc.
(General Partner)
By: /s/ David J. Vogel, President
------------------------------------
David J. Vogel, President
Date: 5/10/96
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: 5/10/96
By /s/ Daniel A. Dantuono
------------------------------------
Daniel A. Dantuono
Chief Financial Officer and
Director
Date: 5/10/96
11
<PAGE> 12
EXHIBIT INDEX
-------------
Exhibit
No. Description
- ------- -----------
27 Financial Data Schedule
<TABLE> <S> <C>
<ARTICLE> 5
<CIK> 0000869263
<NAME> SHEARSON LEHMAN FUTURES 1000 PLUS, L.P.
<S> <C>
<PERIOD-TYPE> 3-MOS
<FISCAL-YEAR-END> DEC-31-1996
<PERIOD-START> JAN-01-1996
<PERIOD-END> MAR-31-1996
<CASH> 10,796,988
<SECURITIES> 29,648,488
<RECEIVABLES> 706,281
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 41,151,757
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 41,151,757
<CURRENT-LIABILITIES> 1,114,736
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 40,037,021
<TOTAL-LIABILITY-AND-EQUITY> 41,151,757
<SALES> 0
<TOTAL-REVENUES> 137,576
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 140,762
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> (3,186)
<INCOME-TAX> 0
<INCOME-CONTINUING> 0
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> (3,186)
<EPS-PRIMARY> (0.11)
<EPS-DILUTED> 0
</TABLE>
