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, 1997
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:
Statement of Financial Condition at
March 31, 1997 and December 31, 1996. 3
Statement of Income and Expenses and
Partners' Capital for the Three Months
ended March 31, 1997 and 1996. 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
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PART I
Item 1. Financial Statements
F-1000 FUTURES FUND L.P., SERIES VIII
STATEMENT OF FINANCIAL CONDITION
March 31, December 31,
1997 1996
ASSETS ----------- ------------
(Unaudited)
Equity in commodity futures trading account:
Cash and cash equivalents $ 4,449,477 $ 4,303,482
Net unrealized appreciation
on open futures contracts 329,586 118,727
Zero Coupons, $12,652,000 and $13,064,000
principal amount in 1997 and 1996, respectively,
due November 15, 1998 at market value
(amortized cost $11,459,992 and $11,657,073,
respectively) 11,446,770 11,724,026
Commodity options owned, at market value 120 31,136
(cost $1,500 and $39,587, respectively )
----------- -----------
16,225,953 16,177,371
Receivable from SB on sale of Zero Coupons 372,432 407,583
Interest receivable 15,503 14,197
___________ ___________
$16,613,888 $16,599,151
=========== ===========
LIABILITIES AND PARTNERS' CAPITAL
Liabilities:
Accrued expenses:
Commissions 42,946 40,458
Management fees 10,033 9,450
Incentive fees 92,755 25,715
Other 33,154 42,022
Commodity options written at 2,241
market value (premiums received $5,410)
Redemptions payable 518,313 553,453
----------- -----------
697,201 673,339
----------- -----------
Partners' Capital:
General Partner, 175 Unit
equivalents outstanding in 1997 and
1996, respectively 220,157 213,336
Limited Partners, 12,477 and 12,889
Units of Limited Partnership
Interest outstanding in 1997 and 1996,
respectively 15,696,530 15,712,476
----------- -----------
15,916,687 15,925,812
----------- -----------
$16,613,888 $16,599,151
=========== ===========
See Notes to Financial Statements
3
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F-1000 FUTURES FUND L.P., SERIES VIII
STATEMENT OF INCOME AND EXPENSES AND PARTNERS' CAPITAL
(UNAUDITED)
THREE MONTHS ENDED
MARCH 31,
----------------------------
1997 1996
------------ ------------
Income:
Net gains (losses) on trading of commodity
futures:
Realized gains (losses) on closed positions $ 423,682 $ (22,791)
Change in unrealized gains/losses on open
positions 214,761 (340,509)
____________ ____________
638,443 (363,300)
Less, brokerage commissions and clearing fees
($2,497 and $3,649, respectively) (130,120) (131,817)
____________ ____________
Net realized and unrealized gains 508,323 (495,117)
Gain (loss) on sale of Zero Coupons (768) 5,720
Unrealized depreciation
on Zero Coupons (80,175) (261,160)
Interest income 219,109 243,859
____________ ____________
646,489 (506,698)
____________ ____________
Expenses:
Management fees 28,751 28,485
Other 15,795 16,450
Incentive fees 92,755
____________ ____________
137,301 44,935
____________ ____________
Net income (loss) 509,188 (551,633)
Redemptions (518,313) (1,292,223)
____________ ____________
Net increase (decrease) in Partners' capital (9,125) (1,843,856)
Partners' capital, beginning of period 15,925,812 18,373,110
____________ ____________
Partners' capital, end of period $ 15,916,687 $ 16,529,254
------------ ------------
Net asset value per Unit
(12,652 and 14,531 Units outstanding
at March 31, 1997 and 1996, respectively) $ 1,258.04 $ 1,137.52
------------ ------------
Net income (loss) per Unit of Limited Partnership
Interest and General Partner Unit equivalent $ 38.98 ($ 35.21)
------------ ------------
4
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F-1000 FUTURES FUND L.P., SERIES VIII
NOTES TO FINANCIAL STATEMENTS
March 31, 1997
(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 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 maintains a portion of its
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 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, 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, 1997 and the results of its operations for the three
months ended March 31, 1997 and 1996. 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, 1996.
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
March 31, 1997
(Continued)
2. Net Asset Value Per Unit:
Changes in net asset value per Unit for the three months ended March 31,
1997 and 1996 were as follows:
THREE-MONTHS ENDED
MARCH 31,
1997 1996
Net realized and unrealized
gains (losses) $ 38.91 $ (31.61)
Realized and unrealized
gains (losses) on Zero Coupons (6.19) (16.30)
Interest income 16.77 15.57
Expenses (10.51) (2.87)
---------- ----------
Increase (decrease) for
period 38.98 (35.21)
Net Asset Value per Unit,
beginning of period 1,219.06 1,172.73
---------- ---------
Net Asset Value per Unit,
end of period $1,258.04 $1,137.52
========== =========
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 March 31, 1997 was $329,706 and the average fair value during the
three months then ended, based on monthly calculation, was $449,279.
4. Financial Instrument Risk:
The Partnership is party to financial instruments with off- balance sheet
risk, including derivative financial instruments and
6
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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.
The notional or contractual amounts of these instruments, while not
recorded in the financial statements, reflect the extent
7
<PAGE>
of the Partnership's involvement in these instruments. At March 31, 1997, the
notional or contractual amounts of the Partnership's commitment to purchase and
sell these instruments was $11,765,573 and $39,177,488, respectively as detailed
below. All of these instruments mature within one year of March 31, 1997.
However, due to the nature of the Partnership's business, these instruments may
not be held to maturity. At March 31, 1997, the fair value of the Partnership's
derivatives, including options thereon, was $329,706, as detailed below.
NOTIONAL OR CONTRACTUAL
AMOUNT OF COMMITMENTS
TO PURCHASE TO SELL FAIR VALUE
Currencies:
- - Exchange Traded contracts $ 1,645,273 $ 4,437,273 $ (15,115)
- - OTC Contracts 1,591,614 1,886,297 (8,577)
Energy 84,210 349,569 1,998
Grains 1,891,085 0 176,675
Interest Rates Non-U.S. 1,734,721 20,346,782 45,052
Interest Rates U.S. 707,774 10,091,052 79,634
Livestock 439,130 0 2,700
Metals 2,021,923 1,202,732 26,727
Softs 687,265 175,405 12,891
Indices 962,578 688,378 7,721
------------ ------------ --------
Totals $11,765,573 $39,177,488 $329,706
============ ============ ========
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 first
quarter of 1997.
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, 1997, Partnership capital decreased
0.1% from $15,925,812 to $15,916,687. This decrease was attributable to the
redemption of 412 Units, resulting in an outflow of $518,313 which was offset
with net income from operations of $509,188 during the three months ended March
31, 1997. 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 1997, the net asset value per
Unit increased 3.2% from $1,219.06 to $1,258.04, as compared to the first
quarter of 1996 in which the net asset value per Unit decreased 3.0%. The
Partnership experienced a net trading gain before commissions and expenses in
the first quarter of 1997 of $638,443. These gains were recognized in the
trading of commodity futures in currencies, grains, metals, softs, indices and
domestic interest rate products which were partially offset by losses recognized
in energies, livestock and foreign interest rate products. 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.
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.
9
<PAGE>
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, 1997 decreased by $24,750 as compared to the
corresponding periods in 1996, primarily as a result of the effect of
redemptions on the Partnership's Zero Coupons and 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 clearing fees for
the three months ended March 31, 1997 decreased by $1,697 as compared to the
corresponding period in 1996.
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, 1997 increased by $266 as compared to the corresponding period in 1996.
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. Incentives fees of $92,755 were earned for the
three months ended March 31, 1997. There were no incentives earned for the three
months ended March 31, 1996.
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: 5/12/97
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: 5/12/97
By /s/ Daniel A. Dantuono
Daniel A. Dantuono
Chief Financial Officer and
Director
Date: 5/12/97
12
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<CIK> 0000883573
<NAME> F-1000 Futures Fund L.P., Series VIII
<S> <C>
<PERIOD-TYPE> 3-MOS
<FISCAL-YEAR-END> DEC-31-1997
<PERIOD-START> JAN-01-1997
<PERIOD-END> MAR-31-1997
<CASH> 4,449,477
<SECURITIES> 11,776,476
<RECEIVABLES> 387,935
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 16,613,888
<PP&E> 0
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<TOTAL-ASSETS> 16,613,888
<CURRENT-LIABILITIES> 697,201
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0
0
<COMMON> 0
<OTHER-SE> 15,916,687
<TOTAL-LIABILITY-AND-EQUITY> 16,613,888
<SALES> 0
<TOTAL-REVENUES> 646,489
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<OTHER-EXPENSES> 137,301
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