<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 0-21586
F-1000 FUTURES FUND L.P., SERIES IX
(Exact name of registrant as specified in its charter)
New York 13-3678327
(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 IX
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 IX
STATEMENTS OF FINANCIAL CONDITION
JUNE 30, DECEMBER 31,
1996 1995
ASSETS
------------ ------------
(Unaudited)
Equity in commodity futures trading account:
Cash and cash equivalents $ 2,489,328 $ 2,527,638
Net unrealized appreciation
on open futures contracts
Zero Coupons, $8,704,000 and $9,473,000 178,802 440,322
principal amount in 1996 and 1995, respectively,
due May 15, 1999, at market value
(amortized cost $7,446,794 and $7,888,830,
respectively) 7,275,500 7,939,605
Commodity options owned, at market value
(cost $950 and $670, respectively) 1,125 690
----------- -----------
9,944,755 10,908,255
Receivable from SB on sale of Zero Coupons 374,367 580,941
Interest receivable 8,175 9,187
Deferred organization expense -- 7,521
----------- -----------
$ 10,327,297 $ 11,505,904
=========== ===========
LIABILITIES AND PARTNERS' CAPITAL
Liabilities:
Accrued expenses:
Commissions $ 22,779 $ 24,150
Management fees 5,322 5,642
Other 28,217 26,090
Incentive fees 20,099 --
Organization expense -- 16,708
Commodity options written, at market value
(premiums recieved $300) -- 320
Redemptions payable 501,791 780,417
----------- -----------
578,208 853,327
Partners' Capital
General Partner, 103 Unit equivalents
outstanding in 1996 and 1995 115,367 115,825
Limited Partners, 8,601 and
9,370 Units of Limited Partnership
Interest outstanding in 1996 and 1995,
respectively 9,633,722 10,536,752
----------- -----------
9,749,089 10,652,577
----------- -----------
$10,327,297 $11,505,904
=========== ===========
See Notes to Financial statements
3
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F-1000 FUTURES FUND L.P., SERIES IX
STATEMENTS OF INCOME AND EXPENSES AND 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 $ 523,878 $ 784,712 $ 404,840 $ 1,384,628
Change in unrealized losses on open positions (7,683) (299,800) (261,345) (153,088)
------------ ------------ ------------ ------------
516,195 484,912 143,495 1,231,540
Less, brokerage commissions and clearing fees
($2,150, $3,766, $4,543 and $7,087, respectively) (72,431) (105,005) (141,881) (209,799)
------------ ------------ ------------ ------------
Net realized and unrealized gains 443,764 379,907 1,614 1,021,741
Loss on Sale of Zero Coupon Bonds (8,969) (6,946) (13,053) (92,597)
Unrealized appreciation (depreciation) on Zero Coupons (53,782) 386,963 (222,069) 805,533
Interest income 129,990 160,905 259,609 332,405
------------ ------------ ------------ ------------
511,003 920,829 26,101 2,067,082
------------ ------------ ------------ ------------
Expenses:
Management fees 15,549 21,844 29,679 43,844
Incentive fees 20,099 61,254 20,099 151,220
Other 13,766 12,193 27,148 26,103
Organization expense -- 41,708 7,521 79,960
------------ ------------ ------------ ------------
49,414 136,999 84,447 301,127
------------ ------------ ------------ ------------
Net income (loss) 461,589 783,830 (58,346) 1,765,955
Redemptions (501,791) (491,531) (845,142) (2,211,469)
------------ ------------ ------------ ------------
Net increase (decrease) in Partners' capital (40,202) 292,299 (903,488) (445,514)
Partners' capital, beginning of period 9,789,291 11,781,696 10,652,577 12,519,509
------------ ------------ ------------ ------------
Partners' capital, end of period $ 9,749,089 $ 12,073,995 $ 9,749,089 $ 12,073,995
============ ============ ============ ============
Net Asset Value per Unit
(8,704 and 10,538 Units outstanding at
June 30, 1996 and 1995) $ 1,120.07 $ 1,145.76 $ 1,120.07 $ 1,145.76
============ ============ ============ ============
Net income (loss) per Unit of Limited Partnership
Interest and General Partnership Unit equivalent $ 50.44 $ 71.47 $ (4.45) $ 149.62
============ ============ ============ ============
</TABLE>
See Notes to Financial Statements
4
<PAGE>
F-1000 FUTURES FUND L.P., SERIES IX
NOTES TO FINANCIAL STATEMENTS
June 30, 1996
(Unaudited)
1. General:
F-1000 Futures Fund L.P., Series IX (the "Partnership") is a limited
partnership organized under the laws of the State of New York on August 25, 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 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 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 operations on March 9, 1993.
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 Trendview Management, Inc. and Rabar
Market Research, 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 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
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F-1000 FUTURES FUND L.P., SERIES IX
NOTES TO FINANCIAL STATEMENTS
(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 $ 48.49 $ 34.64 $ 1.81 $ 85.70
Realized and unrealized
gains (losses)on Zero
Coupons (6.86) 34.65 (25.05) 61.14
Interest income 14.21 14.67 27.89 28.32
Expenses (5.40) (12.49) (9.10) (25.54)
--------- --------- --------- ---------
Increase (decrease) for
period 50.44 71.47 (4.45) 149.62
Net Asset Value per Unit,
beginning of period 1,069.63 1,074.29 1,124.52 996.14
--------- --------- --------- ---------
Net Asset Value per
Unit,end of period $1,120.07 $1,145.76 $1,120.07 $1,145.76
========= ========= ========= =========
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 $179,927 and the average fair value during the six
months then ended, based on monthly calculation was $181,119.
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 $12,170,167 and $13,297,046, respectively, as detailed below. All of these
instruments mature within one year of June 30, 1996 and are exchange traded
contracts. 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 $179,927 as detailed below.
NOTIONAL OR CONTRACTUAL NET
AMOUNT OF COMMITMENTS UNREALIZED
TO PURCHASE TO SELL GAIN/(LOSS)
------------- ----------- -----------
Currencies $ 1,802,503 $ 3,431,606 $ 6,990
Energy 845,400 - 82,289
Grains 50,175 84,010 3,110
Interest Rates US - 1,987,731 (1,200)
Interest Rates Non US 7,304,039 3,282,882 18,342
Softs 436,923 641,105 37,912
Metals 546,539 3,824,761 31,047
Indices 1,184,588 44,951 1,437
----------- ----------- --------
Totals $12,170,167 $13,297,046 $179,927
=========== =========== ========
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, commodity options and interest
receivable. 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 substantial
decrease in liquidity no such losses occurred in the Partnership's second
quarter of 1996.
The Partnership's capital consists of capital contributions, 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 8.5%
from $10,652,577 to $9,749,089. This decrease was attributable to the redemption
of 769 limited partnership Units resulting in an outflow of $845,142 and a net
loss from operations of $58,346 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 4.7% from $1,069.63 to $1,120.07 as compared to the second
quarter of 1995 in which the net asset value per Unit increased 6.7%. The
Partnership experienced a net trading gain before commissions and expenses in
the second quarter of 1996 of $516,195. Gains were recognized in the trading of
commodity futures in metals, energy products, agricultural products and
currencies and were partially offset by losses in interest rates and indices.
The Partnership experienced a net trading gain before commissions and expenses
in the second quarter of 1995 of $484,912. Gains were recognized in the trading
of interest rates and energy products and were partially offset by losses in
currencies, indices, 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 by,
among other things, changing supply and demand relationships,
9
<PAGE>
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 $30,915 and $72,796, respectively,
as compared to the corresponding periods 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 and second quarters of 1996 as compared to the corresponding
periods 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 and
six months ended June 30, 1996 decreased by $32,574 and $67,918, 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 $6,295 and $14,165, respectively as compared to the
corresponding periods 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. Trading performance for the three and six
months ended June 30, 1996 resulted in a decrease in incentive fees of $41,155
and $131,121, respectively, 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 IX
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> 0000892381
<NAME> F-1000 FUTURES FUND L.P. SERIES IX
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> DEC-31-1996
<PERIOD-START> JAN-01-1996
<PERIOD-END> JUN-30-1996
<CASH> 2,489,328
<SECURITIES> 7,455,427
<RECEIVABLES> 382,542
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 10,327,297
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 10,327,297
<CURRENT-LIABILITIES> 578,208
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 9,749,089
<TOTAL-LIABILITY-AND-EQUITY> 10,327,297
<SALES> 0
<TOTAL-REVENUES> 26,101
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 84,447
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> (58,346)
<INCOME-TAX> 0
<INCOME-CONTINUING> 0
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> (58,346)
<EPS-PRIMARY> (4.45)
<EPS-DILUTED> 0
</TABLE>
