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 0-21586
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:
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
PART I
Item 1. Financial Statements
F-1000 FUTURES FUND L.P., SERIES IX
STATEMENT OF FINANCIAL CONDITION
March 31, December 31,
1997 1996
----------- ---------
(Unaudited)
ASSETS:
Equity in commodity futures trading account:
Cash and cash equivalents $2,250,181 $1,956,801
Net unrealized appreciation
on open futures contracts 254,044 107,664
Zero Coupons, $6,418,000 and $6,663,000
principal amount in 1997 and 1996, respectively,
due May 15, 1999, at market value
(amortized cost $5,718,759 and $5,858,376,
in 1997 and 1996, respectively) 5,612,733 5,795,477
Commodity options owned, at market value
(cost $960 ) - 660
---------- ----------
8,116,958 7,860,602
Receivable from SB on sale of Zero Coupons 214,020 162,690
Interest receivable 8,032 6,862
---------- ----------
$8,339,010 $8,030,154
========== ==========
LIABILITIES AND PARTNERS' CAPITAL:
Liabilities:
Accrued expenses:
Commissions $ 21,609 $ 18,484
Management fees 5,049 4,318
Other 30,729 31,916
Incentive fees 50,954
Commodity options written, at market value
(premiums received $800 ) - 972
Redemption payable 302,644 217,698
---------- ----------
410,985 273,388
---------- ----------
Partners' Capital:
General Partner, 128 and 103 Unit equivalents
outstanding in 1997 and 1996 158,116 119,908
Limited Partners, 6,290 and 6,560 Units
of Limited Partnership Interest outstanding
in 1997 and 1996, respectively 7,769,909 7,636,858
---------- ----------
7,928,025 7,756,766
---------- ----------
$8,339,010 $8,030,154
========== ==========
See Notes to Financial statements.
3
F-1000 FUTURES FUND L.P., SERIES IX
STATEMENT OF INCOME AND EXPENSES AND PARTNERS' CAPITAL
(UNAUDITED)
MARCH 31, MARCH 31,
1997 1996
------------ ------------
Income:
Net gains (losses) on trading of
commodity interests:
Realized gains (losses) on
closed positions $ 423,526 $ (119,038)
Change in unrealized gains/losses on
open positions 146,852 (253,662)
------------ ------------
570,378 (372,700)
Less, brokerage commissions and clearing fees
($2,113 and $2,393, respectively) (69,418) (69,450)
------------ ------------
Net realized and unrealized gains (losses) 500,960 (442,150)
Loss on sale of Zero Coupons (4,330) (4,084)
Unrealized depreciation on Zero Coupons (43,127) (168,287)
Interest income 99,146 129,619
------------ ------------
552,649 (484,902)
------------ ------------
Expenses:
Management fees 14,738 14,130
Other 13,054 13,382
Incentive fees 50,954 -
Organization expense - 7,521
------------ ------------
78,746 35,033
------------ ------------
Net income (loss) 473,903 (519,935)
Redemptions (302,644) (343,351)
------------ ------------
Net increase (decrease) in Partners' capital 171,259 (863,286)
Partners' capital, beginning of period 7,756,766 10,652,577
____________ ____________
Partners' capital, end of period $ 7,928,025 $ 9,789,291
============ ============
Net asset value per Unit
(6,418 and 9,152 Units outstanding $ 1,235.28 $ 1,069.63
at March 31, 1997 and 1996, respectively)
============ ============
Net income (loss) per Unit of Limited Partnership
Interest and General Partner Unit equivalent $ 71.12 $ (54.89)
============ ============
See Notes to Financial Statements
4
F-1000 FUTURES FUND L.P., SERIES IX
NOTES TO FINANCIAL STATEMENTS
March 31, 1997
(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 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 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.
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 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
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 months ended March 31,
1997 and 1996 were as follows:
THREE MONTHS ENDED
MARCH 31,
1997 1996
Net realized and unrealized
gains (losses) $ 75.19 $ (46.67)
Realized and unrealized losses
on Zero Coupons (7.12) (18.20)
Interest income 14.88 13.68
Expenses (11.83) (3.70)
---------- ----------
Increase (decrease) for period 71.12 (54.89)
Net Asset Value per Unit,
beginning of period 1,164.16 1,124.52
---------- ----------
Net Asset Value per Unit,
end of period $1,235.28 $1,069.63
========== ==========
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 statement 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 $254,044 and the average fair value during the
three months then ended, based on monthly calculation was $286,887.
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 instruments. 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
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 March 31, 1997, the notional or contractual
amounts of the Partnership's commitment to purchase and sell these instruments
was $5,493,446 and $32,778,492, 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 $254,044 as detailed below.
NOTIONAL OR CONTRACTUAL
AMOUNT OF COMMITMENTS
TO PURCHASE TO SELL FAIR VALUE
Currencies:
- Exchange Traded Contracts $ 610,350 $ 3,330,491 $ 7,104
- OTC Contracts 75,075 75,075 0
Energy 0 152,825 3,388
Grains 2,028,330 0 119,770
Interest Rate Non-U.S. 169,420 20,866,232 28,815
Interest Rates U.S. 0 6,243,783 23,650
Livestock 261,120 0 880
Metals 1,712,995 1,016,443 37,936
Softs 254,556 519,318 21,624
Indices 381,600 574,325 10,877
---------- ------------ --------
Totals $5,493,446 $32,778,492 $254,044
========== ============ ========
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
first quarter of 1997.
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 three months ended March 31, 1997, Partnership capital increased
2.2% from $7,756,766 to $7,928,025. This increase was attributable to net income
from operations of $473,903 which was partially offset by the redemption of 245
Units resulting in an outflow of $302,644 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 6.1% from $1,164.16 to $1,235.28 as compared to the first quarter
of 1996 in which the net asset value per Unit decreased 4.9%. The Partnership
experienced a net trading gain before commissions and expenses in the first
quarter of 1997 of $570,378. Gains were recognized in the trading of softs,
metals, grains, currencies and indices and were partially offset by losses in
livestock, energy products and interest rates. The Partnership experienced a net
trading loss before commissions and expenses in the first quarter of 1996 of
$372,700. 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,
9
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, 1996 decreased by $30,473, as compared to the
corresponding period in 1996. The decrease in interest income is primarily due
to 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 $32, 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 $608, as compared to the corresponding period in 1996.
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 months ended
March 31, 1997 and 1996 resulted in incentive fees of $50,954, and $0,
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: 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