<PAGE> 1
FORM 10Q
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
Commission File Number 0-24280
SLB MID-WEST FUTURES FUND L.P.
(Exact name of registrant as specified in its charter)
New York 13-3634370
(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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SLB MID-WEST FUTURES FUND L.P.
FORM 10-Q
INDEX
<TABLE>
<CAPTION>
Page
Number
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<S> <C>
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 - 9
PART II - Other Information 10
</TABLE>
2
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PART I
Item 1. Financial Statements
SLB MID - WEST FUTURES FUND L. P.
STATEMENTS OF FINANCIAL CONDITION
<TABLE>
<CAPTION>
MARCH 31, DECEMBER 31,
1996 1995
ASSETS ----------- -----------
(Unaudited)
<S> <C> <C>
Equity in commodity futures trading account:
Cash and cash equivalents $53,870,629 $56,437,296
Net unrealized appreciation
on open futures contracts 3,082,362 2,128,034
----------- -----------
56,952,991 58,565,330
Interest receivable 186,367 208,113
----------- -----------
$57,139,358 $58,773,443
----------- -----------
LIABILITIES AND PARTNERS' CAPITAL
Liabilities:
Accrued expenses:
Commissions $285,697 $293,867
Management fees 189,512 194,932
Administrative fees 47,378 48,733
Other fees 53,197 40,415
Redemptions payable 462,526 799,012
----------- -----------
1,038,310 1,376,959
----------- -----------
Partners' Capital:
General Partner, 322.1307 Unit equivalents 584,937 587,086
outstanding in 1996 and 1995
Limited Partners, 30,573.2817 and 31,170.9645
Units of Limited Partnership Interest
outstanding in 1996 and 1995, respectively 55,516,111 56,809,398
----------- -----------
56,101,048 57,396,484
----------- -----------
$57,139,358 $58,773,443
----------- -----------
</TABLE>
See Notes to Financial Statements.
3
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SLB MID - WEST FUTURES FUND L. P.
STATEMENTS OF INCOME AND EXPENSES AND PARTNERS' CAPITAL
(UNAUDITED)
<TABLE>
<CAPTION>
THREE MONTHS ENDED
MARCH 31,
----------------------------------
1996 1995
-------------- --------------
<S> <C> <C>
Income:
Net gains (losses) on trading of commodity
futures:
Realized gains (losses) on closed positions ($31,845) $7,370,428
Change in unrealized gains/losses on open
positions 954,328 9,809,811
-------------- --------------
922,483 17,180,239
Less, brokerage commissions and clearing fees
($14,478 and $21,331, respectively) (919,659) (960,622)
-------------- --------------
Net realized and unrealized gains 2,824 16,219,617
Interest income 562,928 643,061
-------------- --------------
565,752 16,862,678
-------------- --------------
Expenses:
Management fees 585,414 598,372
Administrative fees 146,353 149,592
Other 16,612 15,343
Incentive fees 603,552
-------------- --------------
748,379 1,366,859
-------------- --------------
Net income (loss) (182,627) 15,495,819
Redemptions (1,112,809) (2,441,848)
-------------- --------------
Net increase (decrease) in Partners' capital (1,295,436) 13,053,971
Partners' capital, beginning of period 57,396,484 53,642,444
-------------- --------------
Partners' capital, end of period $56,101,048 $66,696,415
-------------- --------------
Net asset value per Unit
(30,895.4124 and 38,491.4191 Units outstanding
at March 31, 1996 and 1995, respectively) $1,815.84 $1,732.76
-------------- --------------
Net income (loss) per Unit of Limited Partnership
Interest and General Partnership Unit equivalent $ (6.67) $ 395.12
============== =============
</TABLE>
4
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SLB Mid-West Futures Fund L.P.
Notes to Financial Statements
March 31, 1996
(Unaudited)
General
SLB Mid-West Futures Fund L.P. (the "Partnership") is a limited
partnership which was organized on August 21, 1991 under the partnership laws
of the State of New York 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.
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 for the Partnership are being made by John W. Henry & Co.,
Inc. (the "Advisor").
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
<PAGE> 6
SLB Mid-West Futures Fund L.P.
Notes to Financial Statements
(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
gains (losses) $ (.84) $ 413.63
Interest Income 17.98 16.26
Expenses (23.81) (34.77)
--------- ----------
Increase (decrease) for period (6.67) 395.12
Net Asset Value per Unit,
beginning of period 1,822.51 1,337.64
---------- ----------
Net Asset Value per Unit,
end of period $1,815.84 $1,732.76
========= ==========
</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, net
unrealized appreciation (depreciation) on open futures contracts 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 decrease
in liquidity, no such losses occurred in 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, expenses, interest income, redemptions of Units and distributions of
profits, if any.
For the three months ended March 31, 1996, Partnership capital
decreased 2.3% from $57,396,484 to $56,101,048. This decrease was attributable
to a net loss from operations of $182,627 which was decreased further by the
redemption of 597.6828 limited partnership Units resulting in an outflow of
$1,112,809 for 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.
7
<PAGE> 8
Results of Operations
During the Partnership's first quarter of 1996, the net asset value
per Unit decreased 0.4% from $1,822.51 to $1,815.84 as compared to the first
quarter of 1995 in which the net asset value per Unit increased by 29.6%. The
Partnership experienced a net trading gain before commissions and expenses in
the first quarter of 1996 of $922,483. Gains were recognized in the trading of
commodity futures in interest rates, currencies and precious metals which were
partially offset by losses recognized in the trading of stock indices. The
Partnership experienced a net trading gain before commissions and expenses in
the first quarter of 1995 of $17,180,239. These gains were primarily realized
in the trading of commodity futures in precious metals, stock indices and
financials.
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 Advisor 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 Advisor is
able to identify them, the Partnership expects to increase capital through
operations.
Interest income on 80% of the Partnership's average daily equity was
earned on the monthly average 13-week U.S. Treasury Bill yield. Interest
income for the three months ended March 31, 1996 decreased by $80,133 as
compared to the corresponding period in 1995. The decrease in interest income
is primarily due to a decrease in interest rates in the first quarter of 1996
as compared to the first quarter of 1995 in addition to the effect of
redemptions to the Partnership's 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, 1996 decreased by $40,963 as compared
to the corresponding period in 1995.
All trading decisions for the Partnership are currently being made by
the Advisor. 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 $12,958 as compared to the corresponding
period in 1995.
8
<PAGE> 9
Administrative fees are paid to the General Partner for administering
the business and affairs of the Partnership. These 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. Administrative fees for
the three months ended March 31, 1996 decreased by $3,239 as compared to the
corresponding period in 1995.
Incentive fees are based on the new trading profits generated by the
Advisor as defined in the advisory agreement between the Partnership, the
General Partner and the Advisor. No incentive fees were earned for the three
months ended March 31, 1996. Trading performance for the three months ended
March 31, 1995 resulted in incentive fees of $603,552.
9
<PAGE> 10
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
10
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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.
SLB MID-WEST FUTURES FUND L.P.
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
11
<PAGE> 12
EXHIBIT INDEX
-------------
Exhibit
No. Description
- ------- -----------
27 Financial Data Schedule
<TABLE> <S> <C>
<ARTICLE> 5
<CIK>0000924875
<NAME>SLB MIDWEST FUTURES FUND L.P.
<S> <C>
<PERIOD-TYPE> 3-MOS
<FISCAL-YEAR-END> DEC-31-1996
<PERIOD-START> JAN-01-1996
<PERIOD-END> MAR-31-1996
<CASH> 53,870,629
<SECURITIES> 3,082,362
<RECEIVABLES> 186,367
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 57,139,358
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 57,139,358
<CURRENT-LIABILITIES> 1,038,310
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 56,101,048
<TOTAL-LIABILITY-AND-EQUITY> 57,139,358
<SALES> 0
<TOTAL-REVENUES> 565,752
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 748,379
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> (182,627)
<INCOME-TAX> 0
<INCOME-CONTINUING> 0
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> (182,627)
<EPS-PRIMARY> (6.67)
<EPS-DILUTED> 0
</TABLE>
