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 0-21586
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
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 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
PART I
Item 1. Financial Statements
F-1000 FUTURES FUND L.P., SERIES IX
STATEMENTS OF FINANCIAL CONDITION
SEPTEMBER 30, DECEMBER 31,
1996 1995
------------- ------------
(Unaudited)
ASSETS
Equity in commodity futures trading account:
Cash and cash equivalents $ 2,080,613 $ 2,527,638
Net unrealized appreciation
on open futures contracts
Zero Coupons, $6,850,000 and $9,473,000 194,498 440,322
principal amount in 1996 and 1995, respectively,
due May 15, 1999, at market value
(amortized cost $5,941,142 and $7,888,830,
respectively) 5,827,638 7,939,605
Commodity options owned, at market value
(cost $670 ) - 690
----------- -----------
8,102,749 10,908,255
Receivable from SB on sale of Zero Coupons 1,576,679 580,941
Interest receivable 6,733 9,187
Deferred organization expense - 7,521
----------- -----------
$ 9,686,161 $11,505,904
=========== ===========
LIABILITIES AND PARTNERS' CAPITAL
Liabilities:
Accrued expenses:
Commissions $ 19,977 $ 24,150
Management fees 4,667 5,642
Other 32,221 26,090
Organization expense - 16,708
Commodity options written, at market value
(premiums recieved $300) - 320
Redemptions payable 2,051,099 780,417
----------- -----------
2,107,964 853,327
----------- -----------
Partners' Capital
General Partner, 103 Unit equivalents
outstanding in 1996 and 1995 113,950 115,825
Limited Partners, 6,747 and
9,370 Units of Limited Partnership
Interest outstanding in 1996 and 1995,
respectively 7,464,247 10,536,752
----------- -----------
7,578,197 10,652,577
----------- -----------
$ 9,686,161 $11,505,904
=========== ===========
See Notes to Financial statements
3
F-1000 FUTURES FUND L.P., SERIES IX
STATEMENTS OF INCOME AND EXPENSES AND PARTNERS' CAPITAL
(UNAUDITED)
THREE-MONTHS ENDED NINE-MONTHS ENDED
SEPTEMBER 30, SEPTEMBER 30,
1996 1995 1996 1995
-------------- ------------- ------------ -----------
Income:
Net gains (losses) on trading of commodity futures:
Realized gains on closed positions $ (190,844) $ (583,192) $ 213,996 $ 801,436
Change in unrealized gains/(losses) on open positions 15,521 (269,837) (245,824) (422,925)
----------- ------------ ------------ ------------
(175,323) (853,029) (31,828) 378,511
Less, brokerage commissions and clearing fees
($2,571, $4,036, $7,114 and $11,123, respectively)
(66,307) (86,517) (208,188) (296,316)
----------- ------------ ------------ ------------
Net realized and unrealized losses (241,630) (939,546) (240,016) 82,195
Loss on Sale of Zero Coupon Bonds (31,304) (5,973) (44,357) (98,570)
Unrealized appreciation (depreciation) on Zero Coupons 57,790 (6,661) (164,279) 798,872
Interest income 123,882 150,533 383,491 482,938
----------- ------------ ------------ ------------
(91,262) (801,647) (65,161) 1,265,435
----------- ------------ ------------ ------------
Expenses:
Management fees 13,820 17,190 43,499 61,034
Other 14,711 14,261 41,859 40,364
Organization expense - 33,190 7,521 113,150
Incentive fees - - 20,099 151,220
----------- ------------ ------------ ------------
28,531 64,641 112,978 365,768
----------- ------------ ------------ ------------
Net income (loss) (119,793) (866,288) (178,139) 899,667
Redemptions (2,051,099) (394,577) (2,896,241) (2,606,046)
----------- ------------ ------------ ------------
Net decrease in Partners' capital (2,170,892) (1,260,865) (3,074,380) (1,706,379)
Partners' capital, beginning of period 9,749,089 12,073,995 10,652,577 12,519,509
----------- ------------ ------------ ------------
Partners' capital, end of period $ 7,578,197 $ 10,813,130 $ 7,578,197 $ 10,813,130
=========== ============ ============ ============
Net Asset Value per Unit
(6,850 and 10,167 Units outstanding at
September 30, 1996 and 1995) $ 1,106.31 $ 1,063.55 $ 1,106.31 $ 1,063.55
=========== ============ ============ ============
Net income (loss) per Unit of Limited Partnership
Interest and General Partnership Unit equivalent $ (13.76) $ (82.21) $ (18.21) $ 67.41
=========== ============ ============ ============
See Notes to Financial Statements.
4
F-1000 FUTURES FUND L.P., SERIES IX
NOTES TO FINANCIAL STATEMENTS
September 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 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
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 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 $ (27.76) $ (89.16) $ (25.95) (3.45)
Realized and unrealized
gains (losses) on Zero
Coupons 3.04 (1.20) (22.01) 59.94
Interest income 14.23 14.28 42.12 42.60
Expenses (3.27) (6.13) (12.37) (31.68)
--------- --------- --------- ---------
Decrease for period (13.76) (82.21) (18.21) 67.41
Net Asset Value per Unit,
beginning of period 1,120.07 1,145.76 1,124.52 996.14
--------- --------- --------- ---------
Net Asset Value per
Unit,end of period $1,106.31 $1,063.55 $1,106.31 $1,063.55
========= ========= ========= =========
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 $194,498 and the average fair value during
the nine months then ended, based on monthly calculation was $176,672.
6
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.
The notional or contractual amounts of these instruments, while not
recorded in the financial statements, reflect the extent of the
7
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 $22,326,735 and $8,976,296, respectively, as detailed
below. All of these instruments mature within one year of September 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 September 30, 1996,
the Partnership had net unrealized trading gains of $194,498 as detailed below.
NOTIONAL OR CONTRACTUAL NET
AMOUNT OF COMMITMENTS UNREALIZED
TO PURCHASE TO SELL GAIN/(LOSS)
Currencies $ 798,197 $2,817,562 $ 25,914
Energy 1,152,256 - 4,863
Interest Rates US 18,559,305 1,840,700 86,284
Grain 25,870 928,182 24,312
Sugar - 72,990 (112)
Livestock 344,100 - (300)
Indices 1,221,928 - 3,048
Metals 225,079 3,316,862 50,489
----------- ---------- ---------
Totals $22,326,735 $8,976,296 $ 194,498
=========== ========== =========
8
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, 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
third 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 nine months ended September 30, 1996, Partnership capital decreased
28.9% from $10,652,577 to $7,578,197. This decrease was attributable to the
redemption of 2,623 Units resulting in an outflow of $2,896,241 and a net loss
from operations of $178,139 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 1.2% from $1,120.07 to $1,106.31 as compared to the third quarter
of 1995 in which the net asset value per Unit decreased 7.2%. The Partnership
experienced a net trading loss before commissions and expenses in the third
quarter of 1996 of $175,323. Losses were recognized in the trading of commodity
futures in agricultural products, indices and currencies and were partially
offset by gains in interest rates, energy products and metals. The Partnership
experienced a net trading loss before commissions and expenses in the third
quarter of 1995 of $853,029. Losses were recognized in the trading of interest
rates, energy products, 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. Price trends are influenced by, among
other things, changing supply and demand relationships,
9
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 at 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 $26,651 and $99,447,
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 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 $20,210 and $88,128,
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 $3,370 and $17,535, 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 nine months ended
September 30, 1996 and September 30, 1995 resulted in incentive fees of $20,099
and $151,220, respectively.
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
11
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: 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