SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
(Mark One)
/X/ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
ACT OF 1934
For the quarterly period ended June 30, 1997
OR
/ / TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
ACT OF 1934
For the transition period from _______________________ to ______________________
Commission file number: 33-80443
WILLOWBRIDGE STRATEGIC TRUST
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(Exact name of Registrant as specified in its charter)
Delaware 13-7075398
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(State or other jurisdiction (I.R.S. Employer Identification No.)
of incorporation or organization)
One New York Plaza, 14th Floor, New York, New York 10292
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(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code (212) 778-7866
N/A
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Former name, former address and former fiscal year, if changed since last report
Indicate by check CK 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 _CK_ No __
Part I. FINANCIAL INFORMATION
ITEM 1--FINANCIAL STATEMENTS
WILLOWBRIDGE STRATEGIC TRUST
(a Delaware Business Trust)
STATEMENTS OF FINANCIAL CONDITION
(Unaudited)
June 30, December 31,
1997 1996
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ASSETS
Equity in commodity trading accounts:
Cash $46,737,812 $27,465,535
Net unrealized gain on open commodity positions 1,044,446 354,215
Options, at market 142,872 --
----------- ------------
Net equity 47,925,130 27,819,750
Other receivable 18,789 4,224
----------- ------------
Total assets $47,943,919 $27,823,974
----------- ------------
----------- ------------
LIABILITIES AND TRUST CAPITAL
Liabilities
Redemptions payable $ 1,173,599 $ 359,352
Management fee payable 119,860 69,560
Incentive fee payable -- 414,894
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Total liabilities 1,293,459 843,806
----------- ------------
Commitments
Trust capital
Limited interests (434,429.563 and 258,057 interests outstanding) 46,126,650 26,700,158
General interests (4,933.397 and 2,706.31 interests outstanding) 523,810 280,010
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Total trust capital 46,650,460 26,980,168
----------- ------------
Total liabilities and trust capital $47,943,919 $27,823,974
----------- ------------
----------- ------------
Net asset value per limited and general interest ('Interests') $ 106.18 $ 103.47
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The accompanying notes are an integral part of these statements
2
WILLOWBRIDGE STRATEGIC TRUST
(a Delaware Business Trust)
STATEMENTS OF OPERATIONS
(Unaudited)
For the Period
from
May 1, 1996
(Commencement of
Operations)
Six months ended Three months ended through June 30,
June 30, 1997 June 30, 1997 1996
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REVENUES
Net realized gain (loss) on
commodity transactions $ 1,719,452 $ (910,687) $ (1,405,524)
Change in net unrealized gain on
commodity positions 682,950 (3,777,250) 199,963
Interest income 1,036,723 561,235 116,173
------------------ ------------------------ ------------------
3,439,125 (4,126,702) (1,089,388)
------------------ ------------------------ ------------------
EXPENSES
Commissions 1,685,693 963,217 183,456
Management fees 659,447 360,128 67,829
Incentive fees 1,214,408 -- --
------------------ ------------------------ ------------------
3,559,548 1,323,345 251,285
------------------ ------------------------ ------------------
Net loss $ (120,423) $ (5,450,047) $ (1,340,673)
------------------ ------------------------ ------------------
------------------ ------------------------ ------------------
ALLOCATION OF NET LOSS
Limited interests $ (123,223) $ (5,391,824) $ (1,324,788)
------------------ ------------------------ ------------------
------------------ ------------------------ ------------------
General interests $ 2,800 $ (58,223) $ (15,885)
------------------ ------------------------ ------------------
------------------ ------------------------ ------------------
NET LOSS PER WEIGHTED AVERAGE
LIMITED AND GENERAL INTEREST
Net loss per weighted average
limited and general interest $ (.31) $ (12.55) $ (8.95)
------------------ ------------------------ ------------------
------------------ ------------------------ ------------------
Weighted average number of limited
and general interests outstanding 389,051.831 434,095.348 149,742.020
------------------ ------------------------ ------------------
------------------ ------------------------ ------------------
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STATEMENT OF CHANGES IN TRUST CAPITAL
(Unaudited)
LIMITED GENERAL
INTERESTS INTERESTS INTERESTS TOTAL
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Trust capital--December 31, 1996 260,763.310 $26,700,158 $280,010 $26,980,168
Contributions 203,392.591 22,284,000 241,000 22,525,000
Net income (loss) -- (123,223) 2,800 (120,423)
Redemptions (24,792.941) (2,734,285) -- (2,734,285)
------------ ----------- --------- -----------
Trust capital--June 30, 1997 439,362.960 $46,126,650 $523,810 $46,650,460
------------ ----------- --------- -----------
------------ ----------- --------- -----------
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The accompanying notes are an integral part of these statements
3
WILLOWBRIDGE STRATEGIC TRUST
(a Delaware Business Trust)
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1997
(Unaudited)
A. General
These financial statements have been prepared without audit. In the opinion
of management, the financial statements contain all adjustments (consisting of
only normal recurring adjustments) necessary to present fairly the financial
position of Willowbridge Strategic Trust (the 'Trust') as of June 30, 1997 and
the results of its operations for six and the three months ended June 30, 1997
and for the period from May 1, 1996 (commencement of operations) through June
30, 1996. However, the operating results for the interim periods may not be
indicative of the results expected for the full year.
Certain information and footnote disclosures normally included in annual
financial statements prepared in accordance with generally accepted accounting
principles have been omitted. It is suggested that these financial statements be
read in conjunction with the financial statements and notes thereto included in
the Trust's Annual Report on Form 10-K filed with the Securities and Exchange
Commission for the year ended December 31, 1996 (the 'Annual Report').
B. Related Parties
Prudential Securities Futures Management Inc. (the 'Managing Owner') or its
affiliates perform services for the Trust which include but are not limited to:
brokerage services, accounting and financial management, registrar, transfer and
assignment functions, investor communications, printing and other administrative
services. The costs charged to the Trust for brokerage services for the six and
three months ended June 30, 1997 were $1,685,693 and $963,217, respectively, and
for the period from May 1, 1996 through June 30, 1996 were $183,456.
The Trust maintains its trading and cash accounts with Prudential Securities
Incorporated ('PSI'), the Trust's commodity broker and an affiliate of the
Managing Owner. PSI credits the Trust monthly with 80% of the interest it earns
on the equity in these accounts and retains the remaining 20%. As described in
the Annual Report, all commissions for brokerage services are paid to PSI.
In connection with the Trust's interbank transactions, PSI engages in foreign
currency forward transactions with the Trust and an affiliate of PSI who, as
principal, attempts to earn a profit on the bid-ask spreads (which must be
competitive) on any foreign currency forward transactions entered into between
the Trust and PSI, on the one hand, and PSI and such affiliate on the other. In
connection with its trading of foreign currencies in the interbank market, PSI
may arrange bank lines of credit at major international banks. To the extent
such lines of credit are arranged, PSI does not charge the Trust for maintaining
such lines of credit, but requires margin deposits with respect to forward
contract transactions.
C. Credit and Market Risk
Since the Trust's business is to trade futures, forward and options
contracts, its capital is at risk due to changes in the value of these contracts
(market risk) or the inability of counterparties to perform under the terms of
the contracts (credit risk).
Futures, forward and options contracts involve varying degrees of off-balance
sheet risk; and changes in the level of volatility of interest rates, foreign
currency exchange rates or the market values of the contracts (or commodities
underlying the contracts) frequently result in changes in the Trust's unrealized
gain (loss) on open commodity positions reflected in the statements of financial
condition. The Trust's exposure to market risk is influenced by a number of
factors including the relationships among the contracts held by the Trust as
well as the liquidity of the markets in which the contracts are traded.
Futures and options contracts are traded on organized exchanges and are thus
distinguished from forward contracts which are entered into privately by the
parties. The credit risks associated with futures and options contracts are
typically perceived to be less than those associated with forward contracts
because exchanges typically provide clearinghouse arrangements in which the
collective credit (subject to certain limitations) of the members of the
exchanges is pledged to support the financial integrity of the exchange.
4
On the other hand, the Trust must rely solely on the credit of its broker (PSI)
with respect to forward transactions.
The Managing Owner attempts to minimize both credit and market risks by
requiring the Trust's trading manager to abide by various trading limitations
and policies. The Managing Owner monitors compliance with these trading
limitations and policies which include, but are not limited to, executing and
clearing all trades with creditworthy counterparties (currently, PSI is the sole
counterparty or broker); limiting the amount of margin or premium required for
any one commodity or all commodities combined; and generally limiting
transactions to contracts which are traded in sufficient volume to permit the
taking and liquidating of positions. The Managing Owner may impose additional
restrictions (through modifications of such trading limitations and policies)
upon the trading activities of the trading manager as it, in good faith, deems
to be in the best interests of the Trust.
PSI, when acting as the Trust's futures commission merchant in accepting
orders for the purchase or sale of domestic futures and options contracts, is
required by Commodity Futures Trading Commission ('CFTC') regulations to
separately account for and segregate as belonging to the Trust all assets of the
Trust relating to domestic futures and options trading and not to commingle such
assets with other assets of PSI. At June 30, 1997 and December 31, 1996, such
segregated assets totalled $44,428,908 and $23,463,181, respectively. Part 30.7
of the CFTC regulations also requires PSI to secure assets of the Trust related
to foreign futures and options trading which totalled $3,496,222 and $4,356,569
at June 30, 1997 and December 31, 1996, respectively. There are no segregation
requirements for assets related to forward trading.
As of June 30, 1997 and December 31, 1996, all open futures and options
contracts mature within one year.
As of June 30, 1997 and December 31, 1996, gross contract amounts of open
futures and options contracts are:
June 30, December 31,
1997 1996
------------- -------------
Financial Futures Contracts:
Commitments to purchase $ 25,315,856 $61,090,445
Commitments to sell $ 64,797,868 $22,255,035
Currency Futures and Options
Contracts:
Commitments to purchase $ 13,861,763 $ 2,891,650
Commitments to sell $ 47,661,713 $12,957,888
Other Futures and Options
Contracts:
Commitments to purchase $ 41,385,820 $11,829,016
Commitments to sell $ 279,087 $ 3,189,296
The gross contract amounts represent the Trust's potential involvement in a
particular class of financial instrument (if it were to take or make delivery on
an underlying futures contract). The gross contract amounts significantly exceed
the future cash requirements as the Trust intends to close out open positions
prior to settlement and thus is generally subject only to the risk of loss
arising from the change in the value of the contracts. As such, the Trust
considers the 'fair value' of its futures, forward and options contracts to be
the net unrealized gain or loss on the contracts (plus premiums on options).
Thus, the amount at risk associated with counterparty nonperformance of all
contracts is the net unrealized gain included in the statements of financial
condition. The market risk associated with the Trust's commitments to purchase
commodities is limited to the gross contract amounts involved, while the market
risk associated with its commitments to sell is unlimited since the Trust's
potential involvement is to make delivery of an underlying commodity at the
contract price; therefore, it must repurchase the contract at prevailing market
prices.
5
At June 30, 1997 and December 31, 1996, the fair values of futures and
options contracts were:
June 30, 1997 December 31, 1996
--------------------------- ---------------------------
Assets Liabilities Assets Liabilities
----------- ----------- ----------- -----------
Futures Contracts:
Domestic exchanges
Financial $ 52,031 $ -- $ 27,000 $ 96,094
Currencies 312,285 173,825 151,650 56,533
Other 190,718 27,472 204,414 160,312
Foreign exchanges
Financial 30,134 162,077 73,065 84,446
Other 1,144,120 321,468 307,291 11,820
Options Contracts:
Domestic exchanges
Currencies 24,600 -- -- --
Foreign exchanges
Other 118,272 -- -- --
----------- ----------- ----------- -----------
$ 1,872,160 $ 684,842 $ 763,420 $ 409,205
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
The following table presents the average fair value of futures and options
contracts during the six and three months ended June 30, 1997 and for the period
from May 1, 1996 (commencement of operations) through June 30, 1996.
May 1, 1996
(commencement of
Six months ended Three months ended operations) through
June 30, 1997 June 30, 1997 June 30, 1996
------------------------- ------------------------- -----------------------
Average Fair Value Average Fair Value Average Fair Value
------------------------- ------------------------- -----------------------
Assets Liabilities Assets Liabilities Assets Liabilities
---------- ----------- ---------- ----------- -------- -----------
Futures Contracts:
Domestic exchanges
Financial $ 322,595 $ 36,767 $ 522,848 $ 36,352 $ 80,688 $ 14,328
Currencies 464,986 89,317 264,658 99,248 144,921 118,440
Other 1,066,586 320,331 1,266,241 366,970 334,102 453,315
Foreign exchanges
Financial 223,717 183,524 249,300 221,904 11,111 11,196
Other 892,816 119,805 1,121,717 164,374 -- 20,314
Options Contracts:
Domestic exchanges
Currencies 3,514 -- 6,150 -- -- --
Other 23,946 -- 41,906 -- -- --
Foreign exchanges
Other 17,598 -- 29,598 -- -- --
---------- ----------- ---------- ----------- -------- -----------
$3,015,758 $ 749,744 $3,502,418 $ 888,848 $570,822 $ 617,593
---------- ----------- ---------- ----------- -------- -----------
---------- ----------- ---------- ----------- -------- -----------
6
The following tables present the net realized gains (losses) and the change
in net unrealized gains/losses of futures and options contracts during the six
and three months ended June 30, 1997 and for the period from May 1, 1996
(commencement of operations) through June 30, 1996.
Six months ended June 30, 1997 Three months ended June 30, 1997
------------------------------------------- --------------------------------------------
Net Realized Change in Net Realized Change in
Gains Net Unrealized Gains Net Unrealized
(Losses) Gains/Losses Total (Losses) Gains/Losses Total
------------ -------------- ----------- ------------- -------------- -----------
Futures Contracts:
Domestic exchanges
Financial $(1,140,095) $ 121,125 $(1,018,970) $ 258,837 $ (1,759,844) $(1,501,007)
Currencies 2,707,705 43,343 2,751,048 1,432,998 304,760 1,737,758
Other 1,423,051 119,144 1,542,195 (1,013,624) (1,328,408) (2,342,032)
Foreign exchanges
Financial (2,502,033) (120,562) (2,622,595) (2,180,112) (777,194) (2,957,306)
Other 1,109,865 527,181 1,637,046 808,424 (219,269) 589,155
Options Contracts:
Domestic exchanges
Financial 352,859 -- 352,859 (251) -- (251)
Currencies (26,500) 2,026 (24,474) (26,500) 2,026 (24,474)
Other (144,381) -- (144,381) (144,381) 9,986 (151,181)
Foreign exchanges
Financial (14,941) -- (14,941) -- -- --
Other (46,078) (9,307) (55,385) (46,078) (9,307) (38,599)
------------ -------------- ----------- ------------- -------------- -----------
$ 1,719,452 $ 682,950 $ 2,402,402 $ (910,687) $ (3,777,250) $(4,687,937)
------------ -------------- ----------- ------------- -------------- -----------
------------ -------------- ----------- ------------- -------------- -----------
For the period from May 1, 1996
through June 30, 1996
-------------------------------------------------
Change in
Net Realized Net Unrealized
Gains (Losses) Gains/Losses Total
-------------- -------------- -----------
Futures Contracts:
Domestic exchanges
Financial $ (313,625) $ 60,281 $ (253,344)
Currencies 49,662 (30,768) 18,894
Other (1,028,451) 168,531 (859,920)
Foreign exchanges
Financial (53,985) 22,222 (31,763)
Other -- (20,303) (20,303)
Options Contracts:
Domestic exchanges
Currencies (47,250) -- (47,250)
Other (11,875) -- (11,875)
-------------- -------------- -----------
$ (1,405,524) $199,963 $(1,205,561)
-------------- -------------- -----------
-------------- -------------- -----------
7
WILLOWBRIDGE STRATEGIC TRUST
(a Delaware Business Trust)
ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION
AND RESULTS OF OPERATIONS
Liquidity and Capital Resources
The Trust commenced operations on May 1, 1996 with gross proceeds of
$12,686,200 allocated to commodities trading. Additional Interests are offered
monthly at the then current net asset value per Interest until no later than
January 31, 1998 but in no event after $100,000,000 in limited interests are
sold.
At June 30, 1997, 100% of the Trust's net assets were allocated to
commodities trading. A significant portion of the net assets are held in cash
which is used as margin for the Trust's trading in commodities. Inasmuch as the
sole business of the Trust is to trade in commodities, the Trust continues to
own such liquid assets to be used as margin. PSI credits the Trust monthly with
80% of the interest it earns on the equity in these accounts and retains the
remaining 20%.
The commodities contracts are subject to periods of illiquidity because of
market conditions, regulatory considerations and other reasons. For example,
commodity exchanges limit fluctuations in commodity futures contract prices
during a single day by regulations referred to as 'daily limits.' During a
single day, no trades may be executed at prices beyond the daily limit. Once the
price of a futures contract for a particular commodity has increased or
decreased by an amount equal to the daily limit, positions in the commodity can
neither be taken nor liquidated unless traders are willing to effect trades at
or within the limit. Commodity futures prices have occasionally moved the daily
limit for several consecutive days with little or no trading. Such market
conditions could prevent the Trust from promptly liquidating its commodity
futures positions.
Since the Trust's business is to trade futures, forward and options
contracts, its capital is at risk due to changes in the value of these contracts
(market risk) or the inability of counterparties to perform under the terms of
the contracts (credit risk). The Managing Owner attempts to minimize these risks
by requiring the Trust's trading manager to abide by various trading limitations
and policies. See Note C to the financial statements for a further discussion of
the credit and market risks associated with the Trust's futures, forward and
options contracts.
Redemptions of limited interests for the six and three months ended June 30,
1997 were $2,734,285 and $2,200,562, respectively. Additional contributions
raised through the continuous offering for the period from May 1, 1996 to June
30, 1997 resulted in additional gross proceeds to the Trust of $36,820,800.
Future redemptions and contributions will impact the amount of funds available
for investment in commodity contracts in subsequent periods.
The Trust does not have, nor does it expect to have, any capital assets.
Results of Operations
The net asset value per Interest as of June 30, 1997 was $106.18, an increase
of 2.62% from the December 31, 1996 net asset value per Interest of $103.47.
The Trust's negative performance in April was the result of the losses
incurred in the financial, stock index, and soft sectors. Profits were earned in
the grain, currency and meat sectors. In the financial sector, losses were
incurred in U.S., British, German, Italian, French, Japanese and Australian bond
positions. In the U.S. financial markets, long-term interest rates, which had
risen above the 7% level at the end of March, dropped sharply during April.
Lower long-term interest rates resulted from renewed expectations that the U.S.
would be able to enjoy good economic growth combined with well-controlled
inflation. This more encouraging attitude toward bond yields was accentuated by
the signing of a balanced budget accord between the Clinton Administration and
key Republican lawmakers. In the international interest rate markets, changing
expectations about the rates of economic growth and the timing and degree of
certainty of the European Union caused prices to move abruptly. In the currency
sector, German mark, Japanese yen and Swiss franc positions were profitable. In
the grain sector, positions in soybean meal, soybean oil, soybeans and wheat
posted gains. Grain markets were volatile following advances in February and
March. Driving this volatility were changing expectations about total world
grain production and the intentions of the key grain importing nations.
8
The Trust's decline in net asset value per interest in May was the result of
losses incurred in the grain, index, energy, meat, financial and soft sectors.
Profits were earned in the metal and currency sectors. In the metal sector,
gains were realized from significant copper positions. Copper prices rose in May
due to signs of higher demand and indications of declining inventories. In
addition, a brief strike at Chile's state-owned copper smelter drove prices
upward. Zinc positions also posted gains. In the currency sector, large gains
were experienced in the Japanese yen as the Trust benefited from rising prices
of the U.S. dollar. The yen rose against the dollar on the possibility of
central bank intervention in the currency markets and signs of accelerating
Japanese growth. In May, prices fell across the grain sector providing losses
for the Trust. Wheat and soybeans were affected the most by the U.S. Agriculture
Department's report projecting an increase in worldwide wheat and soybean
production. Index positions were also unprofitable, specifically the S&P 500 and
Hong Kong HangSeng. In the energy sector, losses were experienced in all
contracts. Oil prices reversed during the month as the election of a moderate
candidate in Iran lessened market concerns about Middle East political stability
driving prices lower.
The Trust's decline in net asset value per interest in June resulted from
losses incurred in the financial, metal, grain, energy and meat sectors. Profits
were earned in the currency, index and soft sectors. There were a number of
cross currents in the European financial and currency markets in June. These
included conflicting market expectations concerning levels of economic activity
in a number of countries, as well as the degree of stringency that would be
required for entrance into the European Monetary Union. As a result, profits
were achieved in the British pound. In the financial sector, positions in
British, German, Swiss and French bonds were unprofitable. Additionally,
Japanese interest rates declined during the month causing moderate losses in
Japanese bonds. These losses were partially offset by profits in the yen as it
strengthened due to Japan's growing trade surplus. In the metal sector, copper,
which was profitable this year for the Trust, reversed direction mid-month,
falling on market concerns which included a possible seasonal decline in demand
in the northern hemisphere. There was also news that output at Chile's El
Teniente mine would return to normal and that production at Inco's strike-bound
Sudbury facility in Canada might resume production. In the grain sector, profits
achieved earlier in the year in the soybean complex were reduced due to a drop
in prices early in June. The earlier strength in soybean prices had resulted
from very tight supplies in the United States. However, imports of soybeans from
Brazil have at least temporarily alleviated the supply concerns.
Interest income is earned on the equity balances held at PSI and, therefore,
varies monthly according to interest rates, trading performance, contributions
and redemptions. Interest income was approximately $1,037,000 and $561,000 for
the six and three months ended June 30, 1997 and $116,000 for the period from
May 1, 1996 to June 30, 1996.
Commissions are calculated on the Trust's net asset value at the beginning of
each month and, therefore, vary according to trading performance, contributions
and redemptions. Commissions for the six and three months ended June 30, 1997
were approximately $1,686,000 and $963,000 and for the period from May 1, 1996
to June 30, 1996 were $183,000.
All trading decisions for the Trust are made by Willowbridge Associates Inc.,
the trading manager. Management fees are based on the Trust's net asset value at
the end of each month and, therefore, are affected by trading performance,
contributions and redemptions. Management fees for the six and three months
ended June 30, 1997 were approximately $659,000 and $360,000 and for the period
from May 1, 1996 to June 30, 1996 were $68,000.
Incentive fees are based on the New High Net Trading Profits generated by the
trading manager, as defined in the Advisory Agreement between the Trust, the
Managing Owner and the trading manager. Incentive fees for the six months ended
June 30, 1997 were approximately $1,214,000 as a result of strong trading
performance during the first quarter.
9
PART II. OTHER INFORMATION
Item 1. Legal Proceedings--There are no material legal proceedings pending by or
against the Registrant or the Managing Owner
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--
3.1
and
4.1-- Second Amended and Restated Declaration of Trust and Trust
Agreement of the Registrant dated as of December 14, 1995
(incorporated by reference to Exhibit 3.1 to 4.1 to the
Registrant's Registration Statement on Form S-1, File No.
33-80443, dated as of December 14, 1995)
4.2-- Subscription Agreement (incorporated by reference to
Exhibit 4.2 to the Registrant's Registration Statement on
Form S-1, File No. 33-80443, dated as of December 14, 1995)
4.3-- Request for Redemption (incorporated by reference to
Exhibit 4.3 to the Registrant's Registration
Statement on Form S-1, File No. 33-80443, dated as of
December 14, 1995)
27.1--Financial Data Schedule (filed herewith)
(b) Reports on Form 8-K--None
10
SIGNATURES
Pursuant to the requirements 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.
WILLOWBRIDGE STRATEGIC TRUST
By: Prudential Securities Futures Management
Inc.A Delaware corporation, Managing Owner
By: /s/ Steven Carlino Date: August 14, 1997
----------------------------------------
Steven Carlino
Vice President
Chief Accounting Officer for the Registrant
11