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, 2002
-------------
Commission File Number 0-28350
-------
SMITH BARNEY PRINCIPAL PLUS FUTURES FUND L.P.
- --------------------------------------------------------------------------------
(Exact name of registrant as specified in its charter)
New York 13-3823300
- --------------------------------------------------------------------------------
(State or other jurisdiction of (I.R.S. Employer
incorporation or organization) Identification No.)
c/o Smith Barney Futures Management LLC
388 Greenwich St. - 7th 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
----- ----
SMITH BARNEY PRINCIPAL PLUS FUTURES FUND L.P.
FORM 10-Q
INDEX
Page
Number
PART I - Financial Information:
Item 1. Financial Statements:
Statement of Financial Condition at
June 30, 2002 and December 31,
2001 (unaudited). 3
Condensed Schedules of Investments at
June 30, 2002 and December 31, 2001
(unaudited). 4 - 5
Statement of Income and Expenses
and Partners' Capital for the three
and six months ended June 30, 2002 and
2001 (unaudited). 6
Notes to Financial Statements
(unaudited). 7 - 11
Item 2. Management's Discussion and Analysis
of Financial Condition and Results of
Operations. 12 - 14
Item 3. Quantitative and Qualitative
Disclosures of Market Risk 15 - 16
PART II - Other Information 17
2
PART I
Item 1. Financial Statements
Smith Barney Principal PLUS Futures Fund L.P.
Statement of Financial Condition
(Unaudited)
June 30, December 31,
2002 2001
------------ -----------
Assets:
Equity in commodity futures trading account:
Cash $ 3,219,555 $ 2,820,810
Net unrealized appreciation on open positions 533,077 327,998
Zero coupons, $8,830,000 and $9,634,000 principal amount in
2002 and 2001, respectively, due February 15, 2003 at fair value
(amortized cost $8,549,702 and $9,061,122 in 2002 and 2001,
respectively) 8,735,872 9,380,529
----------- -----------
12,488,504 12,529,337
Receivable from SSB on sale of zero coupons 253,949 487,523
Interest receivable 3,772 3,722
----------- -----------
$12,746,225 $13,020,582
=========== ===========
Liabilities and Partners' Capital:
Liabilities:
Accrued expenses:
Commissions $ 19,547 $ 17,634
Management fees 7,698 6,959
Incentive fees 91,950 30,209
Other 53,707 38,000
Redemptions payable 355,601 639,056
----------- -----------
528,503 731,858
----------- -----------
Partners' Capital:
General Partner, 376 Units equivalents outstanding in 2002 and 2001 520,256 479,611
Limited Partners, 8,454 and 9,258 Units of Limited Partnership
Interest outstanding in 2002 and 2001, respectively 11,697,466 11,809,113
----------- -----------
12,217,722 12,288,724
----------- -----------
$12,746,225 $13,020,582
=========== ===========
See Notes to Financial Statements.
3
Smith Barney Principal PLUS Futures Fund L.P.
Condensed Schedule of Investments
June 30, 2002
(Unaudited)
Sector Contract Fair Value
-------------- ------------------------------------ -----------------
Currencies
Exchange contracts purchased - 3.05% $ 372,800
Exchange contracts sold - 0.26% 32,000
-----------------
Total Currencies - 3.31% 404,800
-----------------
Total Energy - 0.04% Futures contracts purchased - 0.04% 5,263
-----------------
Total Grains - 0.04% Futures contracts purchased - 0.04% 5,313
-----------------
Total Interest Rates U.S. - 0.59% Futures contracts purchased - 0.59% 72,010
-----------------
Total Interest Rates Non-U.S.-0.67% Futures contracts purchased - 0.67% 81,639
-----------------
Metals
Futures contracts purchased - 0.19% 23,553
Futures contracts sold - (0.43)% (53,374)
-----------------
Total Metals - (0.24)% (29,821)
-----------------
Total Indices - (0.05)% Futures contracts sold - (0.05)% (6,127)
-----------------
Total Fair Value - 4.36% 533,077
-----------------
Total Zero Coupons - 71.50% Zero Coupon Bond, 2/15/2003 8,735,872
(amortized cost $8,549,702) - 69.98% -----------------
Total Investments - 75.86% $ 9,268,949
=================
Country Composition % of Investments
Investments at Value at Value
-------------------- --------------------- -----------------
Germany $ 62,307 0.67%
Hong Kong (6,327) (0.07)%
Italy (738) (0.01)%
Japan 19,333 0.21%
Spain 938 0.01%
(29,658) (0.32)%
United States 9,223,094 99.51%
--------------------- ------------
$ 9,268,949 100.00%
====================== ============
Percentages are based on Partners' capital unless otherwise indicated
See Notes to Financial Statements
4
Smith Barney Principal PLUS
Futures Fund L.P.
Condensed Schedule of Investments
December 31, 2001
Sector Contract Fair Value
- --------------- ----------------------------- ----------
Total Currencies - 1.47% Exchange contracts sold - 1.47% $ 180,750
-------
Total Energy - 0.45% Futures contracts sold - 0.45% 55,400
------
Total Grains - 0.02% Futures contracts sold - 0.02% 1,800
-----
Interest Rates U.S. Futures contracts sold - 0.11% 13,562
Futures contracts purchased - 0.02% 2,625
-----
Total Interest Rates U.S. - 0.13% 16,187
------
Total Interest Rates Non-U.S - 0.28% Futures contracts sold - 0.28% 34,196
-------
Metals Futures contracts sold - (0.68)% (83,509)
Futures contracts purchased - 0.94% 115,614
-------
Total Metals - 0.26% 32,105
-------
Total Indices - 0.06% Futures contracts purchased - 0.06% 7,560
-------
Total Fair Value - 2.67% 327,998
-------
Total Zero Coupons - 76.33% Zero Coupon Bond, 2/15/2003 9,380,529
(amortized cost $9,061,122) - 76.33% ---------
---------
Total Investments - 79.00% $9,708,527
=========
Investments % of Investments
Country Composition at Value at Value
------------------- ----------------------------------
Canada $7,560 0.08%
Germany 34,195 0.35%
United Kingdom 32,105 0.33%
United States 9,634,667 99.24%
----------------------------------
$9,708,527 100.00%
==================================
Percentages are based on Partners' capital unless otherwise indicated
See notes to financial statements
5
SMITH BARNEY PRINCIPAL PLUS FUTURES FUND L.P.
STATEMENT OF INCOME AND EXPENSES AND PARTNERS' CAPITAL
(UNAUDITED)
THREE MONTHS ENDED SIX MONTHS ENDED
JUNE 30, JUNE 30,
----------------------------- -----------------------------
2002 2001 2002 2001
----------- ------------ ------------ -----------
Income:
Net gains (losses) on trading of commodity
interests:
Realized gains on closed positions $ 359,493 $ 63,206 $ 1,054,013 $ 252,635
Change in unrealized gains (losses) on open
positions 200,431 (196,898) 205,079 (385,705)
------------ ------------ ------------ ----------
559,924 (133,692) 1,259,092 (133,070)
Gain on sale of Zero Coupons 5,639 5,421 15,237 12,151
Unrealized appreciation (depreciation)
on Zero Coupons (30,453) (44,207) (133,237) 77,575
Interest income 138,835 163,792 281,320 337,548
------------ ------------ ------------ ----------
673,945 (8,686) 1,422,412 294,204
------------ ------------ ------------ ----------
Expenses:
Brokerage commissions including
clearing fees of $5,671, $4,721,
$12,430 and $7,518, respectively 64,906 57,030* 127,888 127,014*
Management fees 21,690 19,514 42,264 35,240
Incentive fees 91,950 (18,093) 212,360 7,969
Other expenses 13,693 13,347 27,254 26,649
------------ ------------ ------------ ----------
192,239 71,798 409,766 196,872
------------ ------------ ------------ ----------
Net income (loss) 481,706 (80,484) 1,012,646 97,332
Redemptions (385,046) (333,927) (1,083,648) (694,028)
------------ ------------ ------------ ----------
Net increase (decrease) in Partners' capital 96,660 (414,411) (71,002) (596,696)
Partners' capital, beginning of period 12,121,062 12,963,642 12,288,724 13,145,927
------------ ------------ ------------ ----------
Partners' capital, end of period $ 12,217,722 $ 12,549,231 $ 12,217,722 $ 12,549,231
============ ============ ============ ==========
Net asset value per Unit
(8,830 and 10,485 Units outstanding
at June 30, 2002 and 2001, respectively) $ 1,383.66 $ 1,196.87 $ 1,383.66 $ 1,196.87
============ ============ ============ ==========
Net income (loss) per Unit of Limited Partnership
Interest and General Partner Unit equivalent $ 52.99 $ (7.48) $ 108.10 $ 8.59
============ ============ ============ ==========
* Amount reclassified for comparative purposes
See Notes to Finanacial Statements
6
Smith Barney Principal PLUS Futures Fund L.P.
Notes to Financial Statements
June 30, 2002
(Unaudited)
1. General:
Smith Barney Principal PLUS Futures Fund L.P. (the "Partnership") is a
limited partnership which was initially organized on January 25, 1993 under the
partnership laws of the State of New York and was capitalized on April 12, 1995.
No activity occurred between January 25, 1993 and April 12, 1995. The
Partnership engages 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 will maintain a portion of
its assets in principal amounts stripped from U.S. Treasury Bonds under the
Treasury's STRIPS program which payments are due approximately seven years from
the date trading commenced ("Zero Coupons").
Smith Barney Futures Management LLC acts as the general partner (the
"General Partner") of the Partnership. The Partnership's commodity broker is
Salomon Smith Barney Inc. ("SSB"). SSB is an affiliate of the General Partner.
The General Partner is wholly owned by Salomon Smith Barney Holdings Inc.
("SSBHI"), which is the sole owner of SSB. SSBHI is a wholly owned subsidiary of
Citigroup Inc. As of June 30, 2002, all trading decisions are made by Tucson
Asset Management 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 June 30, 2002 and December 31, 2001 and the results of its
operations for the three and six months ended June 30, 2002 and 2001. These
financial statements present the results of interim periods and do not include
all disclosures normally provided in annual financial statements. You should
read these financial statements together 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, 2001.
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.
7
Smith Barney Principal PLUS Futures Fund L.P.
Notes to Financial Statements
June 30, 2002
(Unaudited)
(Continued)
2. Financial Highlights:
Changes in net asset value per Unit for the three and six months ended
June 30, 2002 and 2001 were as follows:
THREE-MONTHS ENDED SIX-MONTHS ENDED
JUNE 30, JUNE 30,
------------------------ -----------------------
2002 2001 2002 2001
------------------------ ----------------------
Net realized and unrealized
gains(losses) * $ 54.47 $ (17.71) $ 120.50 $ (23.98)
Realized and unrealized gains
(losses) on zero coupons (2.73) (3.60) (12.41) 8.02
Interest income 15.27 15.21 30.06 30.91
Expenses ** (14.02) (1.38) (30.05) (6.36)
--------- --------- --------- ---------
Increase (decrease) for period 52.99 (7.48) 108.10 8.59
Net Asset Value per Unit,
beginning of period 1,330.67 1,204.35 1,275.56 1,188.28
--------- --------- --------- ---------
Net Asset Value per Unit,
end of period $ 1,383.66 $ 1,196.87 $ 1,383.66 $ 1,196.87
========= ========= ========= =========
* Net realized and unrealized gains (losses) is net of commission expense.
** Expenses exclude commission expense.
8
Smith Barney Principal PLUS Futures Fund L.P.
Notes to Financial Statements
June 30, 2002
(Unaudited)
(Continued)
Financial Highlights continued:
THREE-MONTHS ENDED SIX-MONTHS ENDED
JUNE 30, JUNE 30,
--------------------------- --------------------------
2002 2001 2002 2001
----------- ---------- --------- ------------
Ratio to average net assets: ***
Net income(loss) before
incentive fee 18.95% (3.08)% 20.20% 1.63%
Incentive fee (3.04)% 0.57% (3.50)% (0.12)%
---------- --------- ---------- -----------
Net income(loss) after
Incentive fee 15.91% (2.51)% 16.70% 1.51%
========== ======== ========== ===========
Operating expenses 3.31% 2.81% 3.26% 2.94%
Incentive fee 3.04% (0.57)% 3.50% 0.12%
---------- --------- ---------- -----------
Total expenses and incentive fees 6.35% 2.24% 6.76% 3.06%
========== ========= ========== ===========
Total return:
Total return before incentive fee 4.76% (0.76)% 10.36% 0.79%
Incentive fee (0.78)% 0.14% (1.89)% (0.07)%
---------- --------- ---------- -----------
Total return after incentive fee 3.98% (0.62)% 8.47% 0.72%
========== ========== ========== ===========
*** Annualized
9
Smith Barney Principal PLUS Futures Fund L.P.
Notes to Financial Statements
June 30, 2002
(Unaudited)
(Continued)
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 and partners'
capital.
The Customer Agreement between the Partnership and SSB 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 average fair values during the six and twelve months ended
June 30, 2002 and December 31, 2001, based on a monthly calculation, were
$370,487 and $255,048, respectively. The fair value of these commodity
interests, including options thereon, if applicable, at June 30, 2002 and
December 31, 2001, was $533,077 and $327,998, respectively. Fair values for
exchange traded commodity futures and options are based on quoted market prices
for those futures and options. Fair values for all other financial instruments
for which market quotations are not readily available are based on calculations
approved by the General Partner.
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
may include forwards, futures and options, whose values are 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, through physical delivery 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
10
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 as unrealized appreciation 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 SSB.
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 Partnership's
involvement in these instruments. The majority of these instruments mature
within one year of June 30, 2002. However, due to the nature of the
Partnership's business, these instruments may not be held to maturity.
11
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
second quarter of 2002.
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, 2002, Partnership capital decreased 0.6%
from $12,288,724 to $12,217,722. This decrease was attributable to the
redemption of 804 Units resulting in an outflow of $1,083,648, which was largely
offset by the net income from operations of $1,012,646. Future redemptions can
impact the amount of funds available for investments in commodity contract
positions in subsequent periods.
Critical Accounting Policies
The preparation of financial statements in conformity with accounting
principles generally accepted in the United States requires estimates and
assumptions that affect the reported amounts of assets and liabilities, revenues
and expenses, and related disclosures of contingent assets and liabilities in
the financial statements and accompanying notes.
All commodity interests (including derivative financial instruments and
derivative commodity instruments) are used for trading purposes. The commodity
interests are recorded on trade date and open contracts are recorded in the
statement of financial condition at fair value on the last business day of the
period, which represents market value for those commodity interests for which
market quotations are readily available. Investments in commodity interests
denominated in foreign currencies are translated into U.S. dollars at the
exchange rates prevailing on the last business day of the year. Realized gains
(losses) and changes in unrealized values on commodity interests and foreign
currencies are recognized in the period in which the contract is closed or the
changes occur and are included in net gains (losses) on trading of commodity
interests.
12
Foreign currency contracts are those contracts where the Partnership agrees
to receive or deliver a fixed quantity of foreign currency for an agreed-upon
price on an agreed future date. Foreign currency contracts are valued daily, and
the Partnership's net equity therein, representing unrealized gain or loss on
the contracts as measured by the difference between the forward foreign exchange
rates at the date of entry into the contracts and the forward rates at the
reporting dates, is included in the statement of financial condition. Realized
gains(losses) and changes in unrealized values on foreign currency contracts are
recognized in the period in which the contract is closed or the changes occur
and are included in the statement of income and expenses and partners' capital.
Results of Operations
During the Partnership's second quarter of 2002, the net asset value per
unit increased 4.0% from $1,330.67 to $1,383.66 as compared to a decrease of
0.6% in the second quarter of 2001. The Partnership experienced a net trading
gain before brokerage commissions and related fees in the second quarter of 2002
of $559,924. Gains were primarily attributable to the trading of commodity
contracts in grains, currencies, U.S. interest rates and indices and were
partially offset by losses in metals, energy, non-U.S. interest rates and softs.
The Partnership experienced a net trading loss before brokerage commissions and
related fees in the second quarter of 2001 of $133,692. Losses were primarily
attributable to the trading of commodity futures in currencies, energy, grains,
softs, indices and metals and were partially offset by gains in U.S. and
non-U.S. interest rates.
Commodity futures markets are highly volatile. The potential for broad and
rapid price fluctuations increases the risks involved in commodity trading, but
also increases the possibility of profit. The profitability of the Partnership
depends on the existence of major price trends and the ability of the Advisor to
correctly identify those price trends. 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 daily average equity maintained
in cash was earned at a 30-day U.S. Treasury bill rate. Also included in
interest income is the amortization of original issue discount on the Zero
Coupons based on the interest method. Salomon Smith Barney may continue to
maintain the Partnership assets in cash and/or to place all of the Fund assets
in 30-day Treasury bills and pay the Partnership 80% of the interest earned on
13
the Treasury bills purchased. Salomon Smith Barney will retain 20% of any
interest earned on Treasury bills. Interest income for the three and six months
ended June 30, 2002 decreased by $24,957 and $56,228, respectively, as compared
to the corresponding periods in 2001. The decrease in interest income is
primarily due to a decrease in interest rates and the effect of redemptions on
the Partnership's equity maintained in cash during the three and six months
ended June 30, 2002.
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 fees for the three and six
months ended June 30, 2002 increased by $7,876 and $874, respectively, as
compared to the corresponding periods in 2001.
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. As of March 1, 2001, management fees are calculated on the
Partnership's net asset value and the notional funds traded by the Advisor.
Management fees for the three and six months ended June 30, 2002 increased by
$2,176 and $7,024, respectively, as compared to the corresponding periods in
2001. The increase in management fees is due to the inclusion of notional funds
in the calculation.
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. Trading performance for the three and six
months ended June 30, 2002 resulted in incentive fees of $91,950 and $212,360,
respectively. Trading performance for the three months ended June 30, 2001
resulted in a credit to incentive fees of $(18,093) and for the six months ended
June 30, 2001 resulted in incentive fees of $7,969.
14
Item. 3 Quantitative and Qualitative Disclosures of Market Risk
The Partnership is a speculative commodity pool. The market sensitive
instruments held by it are acquired for speculative trading purposes, and all or
substantially all of the Partnership's assets are subject to the risk of trading
loss. Unlike an operating company, the risk of market sensitive instruments is
integral, not incidental, to the Partnership's main line of business.
Market movements result in frequent changes in the fair value of the
Partnership's open positions and, consequently, in its earnings and cash flow.
The Partnership's market risk is influenced by a wide variety of factors,
including the level and volatility of interest rates, exchange rates, equity
price levels, the value of financial instruments and contracts, the
diversification effects among the Partnership's open positions and the liquidity
of the markets in which it trades.
The Partnership rapidly acquires and liquidates both long and short
positions in a wide range of different markets. Consequently, it is not possible
to predict how a particular future market scenario will affect performance, and
the Partnership's past performance is not necessarily indicative of its future
results.
Value at Risk is a measure of the maximum amount which the Partnership
could reasonably be expected to lose in a given market sector. However, the
inherent uncertainty of the Partnership's speculative trading and the recurrence
in the markets traded by the Partnership of market movements far exceeding
expectations could result in actual trading or non-trading losses far beyond the
indicated Value at Risk or the Partnership's experience to date (i.e., "risk of
ruin"). In light of the foregoing as well as the risks and uncertainties
intrinsic to all future projections, the inclusion of the quantification in this
section should not be considered to constitute any assurance or representation
that the Partnership's losses in any market sector will be limited to Value at
Risk or by the Partnership's attempts to manage its market risk.
Exchange maintenance margin requirements have been used by the Partnership
as the measure of its Value at Risk. Maintenance margin requirements are set by
exchanges to equal or exceed the maximum losses reasonably expected to be
incurred in the fair value of any given contract in 95%-99% of any one-day
intervals. Maintenance margin has been used rather than the more generally
available initial margin, because initial margin includes a credit risk
component, which is not relevant to Value at Risk.
15
The following table indicates the trading Value at Risk associated with the
Partnership's open positions by market category as of June 30, 2002. All open
position trading risk exposures of the Partnership have been included in
calculating the figures set forth below. As of June 30, 2002, the Partnership's
total capitalization was $12,217,722. There has been no material change in the
trading Value at Risk information previously disclosed in the Form 10-K for the
year ended December 31, 2001.
June 30, 2002
(Unaudited)
Year to Date
% of Total High Low
Market Sector Value at Risk Capitalization Value at Risk Value at Risk
- ----------------------------------------------------------------------------------------------
Currencies:
- Exchange Traded Contracts $243,525 1.99% $259,450 $ 32,000
Energy 17,500 0.14% 217,100 2,500
Grains 12,500 0.10% 12,500 4,400
Interest Rates U.S. 106,200 0.87% 214,000 51,800
Interest Rates Non-U.S 96,714 0.79% 96,714 12,180
Metals:
- Exchange Traded Contracts 13,000 0.11% 14,400 13,000
- OTC Contracts 43,125 0.35% 44,875 16,875
Indices 157,535 1.29% 303,279 43,211
-------- --------
Total $690,099 5.64%
======== ========
16
PART II OTHER INFORMATION
Item 1. Legal Proceedings -
In April 2002, consolidated amended complaints were filed against
Salomon Smith Barney Inc and other investment banks named in numerous
putative class actions filed in the United States District Court for
the Southern District of New York alleging violations of certain
federal securities laws (including Section 11 of the Securities Act of
1933, as amended, and Section 10(b) of the Securities Exchange Act of
1934, as amended) with respect to the allocation of shares for certain
initial public offerings and related aftermarket transactions and
damage to investors caused by allegedly biased research analyst
reports. Also pending in the Southern District of New York against
Salomon Smith Barney Inc and other investment banks are several
putative class actions which have been consolidated into a single
class action alleging violations of certain federal and state
antitrust laws in connection with the allocation of shares in initial
public offerings when acting as underwriters.
Item 2. Changes in Securities and Use of Proceeds - 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) Exhibit - 99.1 Certificate of Chief Executive Officer.
Exhibit - 99.2 Certificate of Chief Financial Officer.
(b) Reports on Form 8-K - None with respect to the second quarter of
2002. On July 17, 2002 the Partnership filed a notice on Form 8-K
to report a change in accountants from PricewaterhouseCoopers LLP
to KPMG LLP.
17
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.
SMITH BARNEY PRINCIPAL PLUS FUTURES FUND L.P.
By: Smith Barney Futures Management LLC
(General Partner)
By: /s/ David J. Vogel, President
David J. Vogel, President
Date: 8/14/02
-------------
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 LLC
(General Partner)
By: /s/ David J. Vogel, President
David J. Vogel, President
Date 8/14/02
------------
By: /s/ Daniel R. McAuliffe, Jr.
----------------------------------
Daniel R. McAuliffe, Jr.
Chief Financial Officer and
Director
Date 8/14/02
------------
18