<PAGE>
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 June 30, 1996
Commission File Number 0-21584
F-1000 FUTURES FUND L.P., SERIES VIII
(Exact name of registrant as specified in its charter)
New York 13-3653624
(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
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F-1000 FUTURES FUND L.P., SERIES VIII
FORM 10-Q
INDEX
Page
Number
PART I - Financial Information:
Item 1. Financial Statements:
Statements of Financial Condition at
June 30, 1996 and December 31, 1995 3
Statements of Income and Expenses and
Partners' Capital for the Three and Six
Months ended June 30, 1996 and 1995 4
Notes to Financial Statements 5 - 8
Item 2. Management's Discussion and Analysis
of Financial Condition and Results of
Operations 9 - 10
PART II - Other Information 11
2
<PAGE>
PART I
Item 1. Financial Statements
F-1000 FUTURES FUND L.P., SERIES VIII
STATEMENTS OF FINANCIAL CONDITION
JUNE 30, DECEMBER 31,
1996 1995
ASSETS
----------- ------------
(Unaudited)
Equity in commodity futures trading account:
Cash and cash equivalents $ 4,332,133 $ 4,875,415
Net unrealized appreciation
on open futures contracts 106,670 548,938
Zero Coupons, $14,075,000 and $15,667,000
principal amount in 1996 and 1995, respectively,
due November 15, 1998 at market value
(amortized cost $12,180,012 and $13,152,838,
respectively) 12,168,682 13,498,060
----------- -----------
16,607,485 18,922,413
Receivable from SB on sale of Zero Coupons 393,966 1,235,765
Interest receivable 13,647 17,101
----------- -----------
$17,015,098 $20,175,279
=========== ===========
LIABILITIES AND PARTNERS' CAPITAL
Liabilities:
Accrued expenses:
Commissions $ 38,743 $ 47,283
Management fees 9,052 11,045
Incentive fees 6,076 24,878
Other 33,533 36,095
Redemptions payable 531,213 1,682,868
----------- -----------
618,617 1,802,169
----------- -----------
Partners' Capital
General Partner, 175 Unit
equivalents outstanding in 1996
and 1995, respectively 203,864 205,228
Limited Partners, 13,900 and 15,492
Units of Limited Partnership
Interest outstanding in 1996 and 1995,
respectively 16,192,617 18,167,882
----------- -----------
16,396,481 18,373,110
----------- -----------
$17,015,098 $20,175,279
=========== ===========
See Notes to Financial Statements
3
<PAGE>
F-1000 FUTURES FUND L.P., SERIES VIII
STATEMENTS OF INCOME AND EXPENSES IN PARTNERS' CAPITAL
(UNAUDITED)
<TABLE>
<CAPTION>
THREE-MONTHS ENDED SIX-MONTHS ENDED
JUNE 30, JUNE 30,
------------- ------------ ------------ ------------
1996 1995 1996 1995
------------- ------------ ------------ ------------
<S> <C> <C> <C> <C>
Income:
Net gains (losses) on trading of
commodity futures:
Realized gains on closed positions $ 540,963 $ 1,424,810 $ 518,172 $ 2,069,809
Change in unrealized gains / losses on
open positions (101,759) (198,830) (442,268) (674,609)
------------ ------------ ------------ ------------
439,204 1,225,980 75,904 1,395,200
Less, brokerage commissions and clearing
fees ($3,240 $5,772, $6,889
and $11,595 respectively) (127,644) (181,435) (259,461) (359,418)
------------ ------------ ------------ ------------
Net realized and unrealized gains (losses) 311,560 1,044,545 (183,557) 1,035,782
Realized gains(losses) on sale of Zero Coupons (731) 2,483 4,989 (47,654)
Unrealized appreciation (depreciation)
on Zero Coupons (95,392) 554,338 (356,552) 1,108,022
Interest income 231,976 295,665 475,835 600,941
------------ ------------ ------------ ------------
447,413 1,897,031 (59,285) 2,697,091
------------ ------------ ------------ ------------
Expenses:
Incentive fees 6,076 147,848 6,076 147,848
Management fees 27,723 39,069 56,208 75,652
Other 15,174 15,561 31,624 31,942
------------ ------------ ------------ ------------
48,973 202,478 93,908 255,442
------------ ------------ ------------ ------------
Net income (loss) 398,440 1,694,553 (153,193) 2,441,649
Redemptions (531,213) (616,783) (1,823,436) (2,482,493)
------------ ------------ ------------ ------------
Net increase (decrease) in Partners' capital (132,773) 1,077,770 (1,976,629) (40,844)
Partners' capital, beginning of period 16,529,254 20,071,550 18,373,110 21,190,164
------------ ------------ ------------ ------------
Partners' capital, end of period 16,396,481 21,149,320 16,396,481 21,149,320
------------ ------------ ------------ ------------
Net Asset Value per Unit
(14,075 and 18,105 Units
outstanding at June 30,
1996 and 1995 respectively) $ 1,164.94 $ 1,168.15 $ 1,164.94 $ 1,168.15
------------ ------------ ------------ ------------
Net Income (Loss) per Unit of Limited Partnership
Interest and General Partnership Unit equivalent $ 27.42 $ 90.95 $ (7.79) $ 127.63
------------ ------------ ------------ ------------
</TABLE>
See Notes to Financial Statements.
4
<PAGE>
F-1000 FUTURES FUND L.P., SERIES VIII
NOTES TO FINANCIAL STATEMENTS
June 30, 1996
(Unaudited)
1. 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 June 30, 1996 and the results of its operations for the three and
six months ended June 30, 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
<PAGE>
F-1000 FUTURES FUND L.P., SERIES VIII
NOTES TO FINANCIAL STATEMENTS
June 30, 1996
(Continued)
2. Net Asset Value Per Unit:
Changes in net asset value per Unit for the three and six months ended June
30, 1996 and 1995 were as follows:
THREE-MONTHS ENDED SIX-MONTHS ENDED
JUNE 30, JUNE 30,
1996 1995 1996 1995
--------- --------- --------- ---------
Net realized and unrealized
gains (losses) $ 21.45 $ 56.05 $ (10.16) $ 55.62
Realized and unrealized
gains (losses) on Zero
coupons (6.62) 29.88 (22.92) 54.61
Interest income 15.96 15.87 31.53 30.85
Expenses (3.37) (10.85) (6.24) (13.45)
--------- --------- --------- ---------
Increase (decrease) for
period 27.42 90.95 (7.79) 127.63
Net Asset Value per Unit,
beginning of period 1,137.52 1,077.20 1,172.73 1,040.52
--------- --------- --------- ---------
Net Asset Value per Unit,
end of period $1,164.94 $1,168.15 $1,164.94 $1,168.15
========= ========= ========= =========
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 statements of income and expenses.
The Customer Agreement between the Partnership and SB 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 June 30, 1996 was $106,670 and the average fair value during the six
months then ended, based on monthly calculation, was $269,679.
6
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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 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 SB.
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.
7
<PAGE>
The notional or contractual amounts of these instruments, while not
recorded in the financial statements, reflect the extent of the Partnership's
involvement in these instruments. At June 30, 1996, the notional or contractual
amounts of the Partnership's commitment to purchase and sell these instruments
was $19,124,899 and $17,939,692, respectively, as detailed below. All of these
instruments mature within one year of June 30, 1996. However, due to the nature
of the Partnership's business, these instruments may not be held to maturity. At
June 30, 1996, the Partnership had net unrealized trading gains of $106,670, as
detailed below.
NOTIONAL OR CONTRACTUAL NET
AMOUNT OF COMMITMENTS UNREALIZED
TO PURCHASE TO SELL GAIN/(LOSS)
----------- ----------- -----------
Currencies:
- - Exchange Traded contracts $ 3,311,842 $ 6,134,537 $ (7,378)
- - OTC Contracts 33,500 33,500 0
Energy 1,369,726 0 71,074
Grains 1,480,955 0 (59,126)
Interest Rates US 1,331,613 1,389,116 (6,566)
interest Rates Non-US 8,030,786 6,721,953 25,851
Livestock 517,150 0 3,230
Metals 1,413,826 3,435,211 68,244
Softs 591,268 225,375 (4,088)
Indices 1,044,233 0 15,429
----------- ----------- --------
Totals $19,124,899 $17,939,692 $106,670
=========== =========== ========
5. Subsequent event:
EMC Capital Management was terminated as an Advisor effective July 1, 1996.
The General Partner has added TrendLogic Associates, Inc. as an Advisor to the
Partnership effective July 1, 1996.
8
<PAGE>
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 second
quarter of 1996.
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 six months ended June 30, 1996, Partnership capital decreased 10.8%
from $18,373,110 to $16,396,481. This decrease was attributable to the
redemption of 1,592 Units, resulting in an outflow of $1,823,436 coupled with a
net loss from operations of $153,193 during the six months ended June 30, 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 second quarter of 1996, the net asset value per
Unit increased 2.4% from $1,137.52 to $1,164.94, as compared to the second
quarter of 1995 in which the net asset value per Unit increased 8.4%. The
Partnership experienced a net trading gain before commissions and expenses in
the second quarter of 1996 of $439,204. These gains were primarily attributable
to the trading of commodity futures in agricultural products, currencies, energy
products, indices and metals contracts which were partially offset by losses
recognized in interest rates trading. The Partnership experienced a net trading
gain before commissions and expenses in the second quarter of 1995 of
$1,225,980. Gains were recognized in the trading of commodity futures in
indices, interest rates and currencies and were partially offset by losses
incurred in energy products, agricultural products and metals.
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
9
<PAGE>
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 and
six months ended June 30, 1996 decreased by $63,689 and $125,106, respectively,
as compared to the corresponding periods 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 and second quarters
of 1996 as compared to 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 and
six months ended June 30, 1996 decreased by $53,791 and $99,957, respectively,
as compared to the corresponding periods 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 and six months ended
June 30, 1996 decreased by $11,346 and $19,444, respectively, as compared to the
corresponding periods in 1995.
Incentive fees are based on the new trading profits generated by the
Advisors as defined in the advisory agreements between the Partnership, the
General Partner and each Advisor. Trading performance for the three and six
months ended June 30, 1996 resulted in a decrease in incentive fees of $141,772,
as compared to the corresponding periods in 1995.
10
<PAGE>
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
11
<PAGE>
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: 8/14/96
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: 8/14/96
By: /s/ Daniel A. Dantuono
-----------------------------
Daniel A. Dantuono
Chief Financial Officer and
Director
Date: 8/14/96
12
<PAGE>
<TABLE> <S> <C>
<ARTICLE> 5
<CIK> 0000883573
<NAME> F-1000 Futures Fund L.P. Series VIII
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> DEC-31-1996
<PERIOD-START> JAN-01-1996
<PERIOD-END> JUN-30-1996
<CASH> 4,332,133
<SECURITIES> 12,275,352
<RECEIVABLES> 407,613
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 17,015,098
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 17,015,098
<CURRENT-LIABILITIES> 618,617
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 16,396,481
<TOTAL-LIABILITY-AND-EQUITY> 17,015,098
<SALES> 0
<TOTAL-REVENUES> (59,285)
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 93,908
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> (153,193)
<INCOME-TAX> 0
<INCOME-CONTINUING> 0
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> (153,193)
<EPS-PRIMARY> (7.79)
<EPS-DILUTED> 0
</TABLE>
