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 September 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
<PAGE>
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
September 30, 1996 and December 31, 1995 3
Statements of Income and Expenses and
Partners' Capital for the Three and Nine
Months ended September 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
SEPTEMBER 30, DECEMBER 31,
1996 1995
----------- -----------
ASSETS
(Unaudited)
Equity in commodity futures trading account:
Cash and cash equivalents $ 3,638,791 $ 4,875,415
Net unrealized appreciation
on open futures contracts 388,713 548,938
Zero Coupons, $13,518,000 and $15,667,000
principal amount in 1996 and 1995, respectively,
due November 15, 1998 at market value
(amortized cost $11,878,702 and $13,152,838,
respectively) 11,884,890 13,498,060
Commodity options owned, at market value
(cost $44,076 ) 30,267 -
----------- -----------
15,942,661 18,922,413
Receivable from SB on sale of Zero Coupons 489,603 1,235,765
Interest receivable 12,070 17,101
----------- -----------
$16,444,334 $20,175,279
=========== ===========
LIABILITIES AND PARTNERS' CAPITAL
Liabilities:
Accrued expenses:
Commissions $ 36,396 $ 47,283
Management fees 8,504 11,045
Incentive fees - 24,878
Other 36,614 36,095
Redemptions payable 647,535 1,682,868
----------- -----------
729,049 1,802,169
----------- -----------
Partners' Capital
General Partner, 175 Unit
equivalents outstanding in 1996 and
1995, respectively 203,444 205,228
Limited Partners, 13,343 and 15,492
Units of Limited Partnership
Interest outstanding in 1996 and 1995,
respectively 15,511,841 18,167,882
----------- -----------
15,715,285 18,373,110
----------- -----------
$16,444,334 $20,175,279
=========== ===========
See Notes to Financial Statements
3
<PAGE>
F-1000 FUTURES FUND L.P., SERIES VIII
STATEMENTS OF INCOME AND EXPENSES AND PARTNERS' CAPITAL
(UNAUDITED)
<TABLE>
<CAPTION>
THREE-MONTHS ENDED NINE-MONTHS ENDED
SEPTEMBER 30, SEPTEMBER 30,
---------------------------- -----------------------------
1996 1995 1996 1995
------------ ------------ ------------ -------------
<S> <C> <C> <C> <C>
Income:
Net gains (losses) on trading of
commodity futures:
Realized gains (losses) on closed positions $ (387,437) $ (720,531) $ 130,735 $ 1,349,278
Change in unrealized gains / losses on
open positions 268,234 (382,006) (174,034) (1,056,615)
------------ ------------ ------------ -------------
(119,203) (1,102,537) (43,299) 292,663
Less, brokerage commissions and clearing
fees ($3,293, $4,810, $10,182
and $16,405 respectively) (116,914) (138,057) (376,375) (497,475)
------------ ------------ ------------ -------------
Net realized and unrealized losses (236,117) (1,240,594) (419,674) (204,812)
Realized gains (losses) on sale of Zero Coupons 138 3,643 5,127 (44,011)
Unrealized appreciation (depreciation)
on Zero Coupons 17,518 (29,469) (339,034) 1,078,553
Interest income 225,988 285,271 701,823 886,212
------------ ------------ ------------ -------------
7,527 (981,149) (51,758) 1,715,942
------------ ------------ ------------ -------------
Expenses:
Management fees 25,232 29,050 81,440 104,702
Other 15,956 15,731 47,580 47,673
Incentive fees - - 6,076 147,848
------------ ------------ ------------ -------------
41,188 44,781 135,096 300,223
------------ ------------ ------------ -------------
Net income (loss) (33,661) (1,025,930) (186,854) 1,415,719
Redemptions (647,535) (1,114,814) (2,470,971) (3,597,307)
------------ ------------ ------------ -------------
Net decrease in Partners' capital (681,196) (2,140,744) (2,657,825) (2,181,588)
Partners' capital, beginning of period 16,396,481 21,149,320 18,373,110 21,190,164
============ ============ ============ =============
Partners' capital, end of period $ 15,715,285 $ 19,008,576 $ 15,715,285 $ 19,008,576
============ ============ ============ =============
Net Asset Value per Unit
(13,518 and 17,102 Units
outstanding at September 30,
1996 and 1995, respectively) $ 1,162.54 $ 1,111.48 $ 1,162.54 $ 1,111.48
============ ============ ============ =============
Net Income (Loss) per Unit of Limited Partnership
Interest and General Partnership Unit equivalent $ (2.40) $ (56.67) $ (10.19) $ 70.96
============ ============ ============ =============
</TABLE>
See Notes to Financial Statements.
4
<PAGE>
F-1000 FUTURES FUND L.P., SERIES VIII
NOTES TO FINANCIAL STATEMENTS
September 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,
TrendLogic Associates, Inc. and Willowbridge Associates (collectively, the
"Advisors"). 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.
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, 1996 and the results of its operations for the three
and nine months ended September 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
September 30, 1996
(Continued)
2. Net Asset Value Per Unit:
Changes in net asset value per Unit for the three and nine months ended
September 30, 1996 and 1995 were as follows:
THREE-MONTHS ENDED NINE-MONTHS ENDED
SEPTEMBER 30, SEPTEMBER 30,
1996 1995 1996 1995
---- ---- ---- ----
Net realized and unrealized
losses $ (16.77) $ (68.52) $ (26.95) $ (12.90)
Realized and unrealized
gains (losses) on Zero
coupons 1.25 (1.43) (21.66) 53.18
Interest income 16.06 15.76 47.59 46.60
Expenses (2.94) (2.48) (9.17) (15.92)
--------- --------- --------- ---------
Increase (decrease) for
period (2.40) (56.67) (10.19) 70.96
Net Asset Value per Unit,
beginning of period 1,164.94 1,168.15 1,172.73 1,040.52
--------- --------- --------- ---------
Net Asset Value per Unit,
end of period $1,162.54 $1,111.48 $1,162.54 $1,111.48
========= ========= ========= =========
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
activities 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 September 30, 1996 was $418,980 and the average fair value during
the nine months then ended, based on monthly calculation, was $251,011.
6
<PAGE>
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
7
<PAGE>
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 of the Partnership's
involvement in these instruments. At September 30, 1996, the notional or
contractual amounts of the Partnership's commitment to purchase and sell these
instruments was $40,053,223 and $11,931,350, respectively, as detailed below.
All of these instruments mature within one year of September 30, 1996. However,
due to the nature of the Partnership's business, these instruments may not be
held to maturity. At September 30, 1996, the Partnership had net unrealized
trading gains of $374,904, as detailed below.
NOTIONAL OR CONTRACTUAL NET
AMOUNT OF COMMITMENT UNREALIZED
TO PURCHASE TO SELL GAIN/(LOSS)
----------- ------- -----------
Currencies:
- - Exchange Traded contracts $ 3,012,761 $ 5,428,271 $ 47,044
- - OTC Contracts 1,773,978 2,226,316 (1,392)
Energy 1,349,443 44,300 107,719
Grains 772,923 259,299 (16,736)
Interest Rates-US 717,188 661,025 10,200
interest Rates-Non US 28,705,388 551,016 261,824
Livestock 860,990 0 (6,390)
Metals 655,211 2,298,309 31,126
Softs 787,347 155,189 (69,336)
Indices 1,417,994 307,625 10,845
----------- ----------- -----------
Totals $40,053,223 $11,931,350 $ 374,904
=========== =========== ===========
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 and forward 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
third 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 nine months ended September 30, 1996, Partnership capital decreased
14.5% from $18,373,110 to $15,715,285. This decrease was attributable to the
redemption of 2,149 Units, resulting in an outflow of $2,470,971 coupled with a
net loss from operations of $186,854 during the nine months ended September 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 third quarter of 1996, the net asset value per
Unit decreased 0.2% from $1,164.94 to $1,162.54, as compared to the third
quarter of 1995 in which the net asset value per Unit decreased 4.9%. The
Partnership experienced a net trading loss before commissions and expenses in
the third quarter of 1996 of $119,203. These losses were recognized in the
trading of commodity futures in agricultural products, currencies, indices and
metals and were partially offset by gains recognized in energy products and
interest rates. The Partnership experienced a net trading loss before
commissions and expenses in the third quarter of 1995 of $1,102,537. Losses were
recognized in the trading of commodity futures in indices, interest rates,
currencies, 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
9
<PAGE>
major price trends and the ability of the Advisors to identify correctly those
price trends. 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 and
nine months ended September 30, 1996 decreased by $59,283 and $184,389,
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 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
nine months ended September 30, 1996 decreased by $21,143 and $121,100,
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 nine months ended
September 30, 1996 decreased by $3,818 and $23,262, 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. There were no incentive fees earned for the
three months ended September 30, 1996 or 1995. Trading performance for the nine
months ended September 30, 1996 resulted in a decrease in incentive fees of
$141,772, as compared to the nine months ended September 30, 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: 11/11/96
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: 11/11/96
By /s/ Daniel A. Dantuono
Daniel A. Dantuono
Chief Financial Officer and
Director
Date: 11/11/96
12
<PAGE>
<TABLE> <S> <C>
<ARTICLE> 5
<CIK> 0000883573
<NAME> F-1000 Futures Fund L.P. Series VIII
<S> <C>
<PERIOD-TYPE> 9-MOS
<FISCAL-YEAR-END> DEC-31-1996
<PERIOD-START> JAN-01-1996
<PERIOD-END> SEP-30-1996
<CASH> 3,638,791
<SECURITIES> 12,303,870
<RECEIVABLES> 501,673
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 16,444,334
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 16,444,334
<CURRENT-LIABILITIES> 729,049
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 15,715,285
<TOTAL-LIABILITY-AND-EQUITY> 16,444,334
<SALES> 0
<TOTAL-REVENUES> (51,758)
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 135,096
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> (186,854)
<INCOME-TAX> 0
<INCOME-CONTINUING> 0
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> (186,854)
<EPS-PRIMARY> (10.19)
<EPS-DILUTED> 0
</TABLE>
