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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
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Commission File Number 0-21584
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F-1000 FUTURES FUND L.P., SERIES VIII
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(Exact name of registrant as specified in its charter)
New York 13-3653624
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(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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F-1000 FUTURES FUND L.P., SERIES VIII
FORM 10-Q
INDEX
Page
Number
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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 - 8
PART II - Other Information 9
2
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PART I
Item 1. Financial Statements
F-1000 FUTURES FUND L.P., SERIES VIII
STATEMENTS OF FINANCIAL CONDITION
<TABLE>
<CAPTION>
MARCH 31, DECEMBER 31,
1996 1995
--------- ------------
(Unaudited)
ASSETS
<S> <C> <C>
Equity in commodity futures trading account:
Cash and cash equivalents $ 4,255,364 $ 4,875,415
Net unrealized appreciation
on open futures contracts 208,429 548,938
Zero Coupons, $14,531,000 and $15,667,000
principal amount in 1996 and 1995, respectively, due November 15, 1998 at
market value (amortized cost $12,385,425 and $13,152,838,
respectively) 12,469,487 13,498,060
----------- -----------
16,933,280 18,922,413
Receivable from SB on sale of Zero Coupons 974,069 1,235,765
Interest receivable 13,774 17,101
----------- -----------
$17,921,123 $20,175,279
=========== ===========
LIABILITIES AND PARTNERS' CAPITAL
Liabilities:
Accrued expenses:
Commissions $ 40,215 $ 47,283
Management fees 9,394 11,045
Incentive fees 24,878
Other 50,037 36,095
Redemptions payable 1,292,223 1,682,868
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1,391,869 1,802,169
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Partners' Capital
General Partner, 175 Unit
equivalents outstanding in 1996 and 1995 199,066 205,228
Limited Partners, 14,356 and 15,492
Units of Limited Partnership
Interest outstanding in 1996 and 1995,
respectively 16,330,188 18,167,882
----------- -----------
16,529,254 18,373,110
----------- -----------
$17,921,123 $20,175,279
=========== ===========
</TABLE>
See Notes to Financial Statements.
3
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F-1000 FUTURES FUND L.P., SERIES VIII
STATEMENTS OF INCOME AND EXPENSES AND PARTNERS' CAPITAL
(UNAUDITED)
<TABLE>
<CAPTION>
THREE-MONTHS THREE-MONTHS
ENDED 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 $ (22,791) $ 644,999
Change in unrealized gains/losses on
open positions (340,509) (475,779)
----------- -----------
(363,300) 169,220
Less, brokerage commissions and clearing
fees ($3,649 and $5,823, respectively) (131,817) (177,983)
----------- -----------
Net realized and unrealized losses (495,117) (8,763)
Realized gains (losses) on sale of Zero Coupons 5,720 (50,137)
Unrealized appreciation (depreciation)
on Zero Coupons (261,160) 553,684
Interest income 243,859 305,276
----------- -----------
(506,698) 800,060
----------- -----------
Expenses:
Management fees 28,485 36,583
Other 16,450 16,381
----------- -----------
44,935 52,964
----------- -----------
Net income (loss) (551,633) 747,096
Redemptions (1,292,223) (1,865,710)
----------- -----------
Net decrease in Partners' capital (1,843,856) (1,118,614)
Partners' capital, beginning of period 18,373,110 21,190,164
----------- -----------
Partners' capital, end of period 16,529,254 20,071,550
=========== ===========
Net Asset Value per Unit
(14,531 and 18,633 Units outstanding at
March 31, 1996 and 1995, respectively) $ 1,137.52 $ 1,077.20
=========== ===========
Net income (loss) per Unit of Limited Partnership Interest
and General Partnership Unit equivalent $ (35.21) $ 36.68
=========== ===========
</TABLE>
4
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F-1000 FUTURES FUND L.P., SERIES VIII
NOTES TO FINANCIAL STATEMENTS
March 31, 1996
(Unaudited)
General
F-1000 Futures Fund L.P., Series VIII (the "Partnership") is a limited
partnership organized under the laws of the State of New York on January 16,
1992 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 other
financial instruments and foreign currencies. 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 whose
payments are due approximately six years from the date trading commenced ("Zero
Coupons"). The Partnership uses such Zero Coupons and its other assets to margin
its commodities account. The Partnership commenced trading on August 18, 1992.
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 being made for the Partnership by Chesapeake Capital Corporation,
EMC Capital Management, Inc. and Willowbridge Associates (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.
5
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F-1000 FUTURES FUND L.P., SERIES VIII
NOTES TO FINANCIAL STATEMENTS
March 31, 1996
(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
losses $ (31.61) $ (0.43)
Realized and unrealized
gains (losses) on Zero
Coupons (16.30) 24.73
Interest income 15.57 14.98
Expenses (2.87) (2.60)
--------- ---------
Increase (decrease) for
period (35.21) 36.68
Net Asset Value per Unit,
beginning of period 1,172.73 1,040.52
--------- ---------
Net Asset Value per Unit,
end of period $1,137.52 $1,077.20
========= =========
</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 during 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 and Zero Coupons, expenses, interest income, redemptions of Units and
distributions of profits, if any.
For the three months ended March 31, 1996, Partnership capital
decreased 10.0% from $18,373,110 to $16,529,254. This decrease was attributable
to the redemption of 1,136 Units, resulting in an outflow of $1,292,223 coupled
with a net loss from operations of $551,633 during 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 3.0% from $1,172.73 to $1,137.52, as compared to the first
quarter of 1995 in which the net asset value
7
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per Unit increased 3.5%. The Partnership experienced a net trading loss before
commissions and expenses in the first quarter of 1996 of $363,300. These losses
were primarily attributable to the trading of commodity futures in agricultural
products, energy products, stock indices, interest rates, and precious metals
contracts and were partially offset by gains realized in foreign currency
trading. The Partnership experienced a net trading gain before commissions and
expenses in the first quarter of 1995 of $169,220. Realized gains were incurred
in the trading of commodity futures in agricultural products, precious metals,
stock indices and foreign currencies and were partially offset by losses
realized in energy products and interest rates.
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 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 75% of the Partnership's daily average 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 $61,417 as compared to the
corresponding period in 1995 primarily as a result of the effect of redemptions
on the Partnership's Zero Coupons and equity maintained in cash coupled with 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 $46,146 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 and are affected by
trading performance and redemptions. Management fees for the three months ended
March 31, 1996 decreased by $8,098 as compared to the corresponding period in
1995.
8
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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
9
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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.
F-1000 FUTURES FUND L.P., SERIES VIII
- -------------------------------------
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
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10
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EXHIBIT INDEX
-------------
Exhibit
No. Description
- ------- -----------
27 Financial Data Schedule
<TABLE> <S> <C>
<ARTICLE> 5
<CIK> 0000883573
<NAME> F-1000 FUTURES FUND LP SERIES VIII
<S> <C>
<PERIOD-TYPE> 3-MOS
<FISCAL-YEAR-END> DEC-31-1996
<PERIOD-START> JAN-01-1996
<PERIOD-END> MAR-31-1996
<CASH> 4,255,364
<SECURITIES> 12,677,916
<RECEIVABLES> 987,843
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 17,921,123
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 17,921,123
<CURRENT-LIABILITIES> 1,391,869
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 16,529,254
<TOTAL-LIABILITY-AND-EQUITY> 17,921,123
<SALES> 0
<TOTAL-REVENUES> (506,698)
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 44,935
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> (551,633)
<INCOME-TAX> 0
<INCOME-CONTINUING> 0
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> (551,633)
<EPS-PRIMARY> (35.21)
<EPS-DILUTED> 0
</TABLE>
