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 0-24111
SMITH BARNEY WESTPORT FUTURES FUND L.P.
---------------------------------------
(Exact name of registrant as specified in its charter)
New York 13-3939393
-----------------------------------------------------------
(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 WESTPORT 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
Item 1. Financial Statements
Smith Barney Westport Futures Fund L.P.
STATEMENT OF FINANCIAL CONDITION
(Unaudited)
June 30, December 31,
2002 2001
----------- ------------
ASSETS:
Equity in commodity futures trading account:
Cash $67,495,886 $63,559,232
Net unrealized appreciation
on open futures contracts 12,976,912 3,772,859
----------- -----------
80,472,798 67,332,091
Interest receivable 69,273 77,116
----------- -----------
$80,542,071 $67,409,207
=========== ===========
LIABILITIES AND PARTNERS' CAPITAL:
Liabilities:
Accrued expenses:
Commissions $ 364,094 $ 314,884
Management fees 133,438 111,671
Incentive fees 828,574 --
Other 115,447 91,741
Redemptions payable 2,089,060 972,605
----------- -----------
3,530,613 1,490,901
----------- -----------
Partners' Capital:
General Partner, 1,212.9836 Unit equivalents
outstanding in 2002 and 2001 1,594,989 1,334,275
Limited Partners, 57,353.8583 and 58,893.2695
Units of Limited Partnership Interest outstanding
in 2002 and 2001, respectively 75,416,469 64,584,031
----------- -----------
77,011,458 65,918,306
----------- -----------
$80,542,071 $67,409,207
=========== ===========
See Notes to Financial Statements.
3
Smith Barney Westport Futures Fund L.P.
Condensed Schedule of Investments
June 30, 2002
(Unaudited)
Sector Number of Contracts Contract Fair Value
- -------------------------- -------------------- ---------------------------------- ------------
Energy
Futures contracts purchased - 0.02% $ 14,083
Futures contracts sold - (0.23)% (180,847)
-----------
Total Energy - (0.21)% (166,764)
-----------
Total Grains - 0.27% Futures contracts purchased - 0.27% 206,050
-----------
Total Interest Rates U.S. - 1.50% Futures contracts sold - 1.50% 1,152,876
----------
Total Interest Rates Non-U.S. - 2.75% Futures contracts purchased - 2.75% 2,119,884
----------
Total Livestock - (0.00)% * Futures contracts purchased - (0.00)% * (2,910)
-----------
Metals
Futures contracts purchased - (0.35)% (267,290)
Futures contracts sold - (0.32)% (246,052)
-----------
Total Metals - (0.67)% (513,342)
-----------
Currencies
Over the counter contracts purchased - 16.14%
EUR 104,600,000 EUR/USD - 6.00%, June 2002 4,624,145
GBP 46,431,850 GBP/USD - 3.32%, June 2002 2,558,021
JPY 9,946,997,370 JPY/USD - 3.67% June 2002 2,824,655
Other - 3.15% 2,427,332
Over the counter contracts sold - (3.33)% (2,566,976)
------------
Total Currencies - 12.81% 9,867,177
------------
Softs
Futures contracts purchased - 0.48% 371,123
Futures contracts sold - (0.03)% (22,232)
-----------
Total Softs - 0.45% 348,891
-----------
Total Indices - (0.05)% Futures contracts sold - (0.05)% (34,950)
-----------
Total Fair Value - 16.85% $ 12,976,912
===========
% of Investments
Country Composition Investments at Fair Value at Fair Value
- ------------------------------------- ---------------------------- ----------------
Australia $ (35,295) (0.27)%
Canada 20,321 0.16%
Germany 928,723 7.16%
Japan 728,543 5.61%
United Kingdom (105,256) (0.81)%
United States 11,439,876 88.15%
----------- --------------
$ 12,976,912 100.00%
=========== ==============
Percentages are based on Partners' capital unless otherwise indicated
* Due to rounding
See Notes to Financial Statements
4
Smith Barney Westport
Futures Fund L.P.
Condensed Schedule of Investments
December 31, 2001
Sector Number of Contracts Contract Fair Value
- ------ ------------------- -------- ----------
Total Energy - (0.37)% Futures contracts sold - (0.37)% $(242,843)
---------
Total Grains - 0.28% Futures contracts sold - 0.29% 193,543
---------
Total Interest Rates U.S. - (0.03)% Futures contracts sold - (0.03)% (20,832)
---------
Interest Rates Non-U.S. Futures contracts sold 1.03% 681,997
Futures contracts purchased - (0.20)% (134,404)
---------
Total Interest Rates Non-U.S.-0.83% 547,593
---------
Total Livestock - (0.01)% Futures contracts sold -(0.01)% (12,550)
---------
Metals
Futures contracts sold - (0.76)% (504,426)
Futures contracts purchased -(0.37)% (246,518)
---------
Total Metals - (1.13)% (750,944)
---------
Currencies
Over the counter contracts sold - 5.9%
JPY (11,920,547,800) JPY/USD - 6.0%, March 20, 2002 3,953,503
Other - (0.10)% (61,329)
Over the counter contracts purchased -0.11% 72,598
---------
Total Currencies - 6.01% 3,964,772
---------
Total Softs - 0.02% Futures contracts purchased - 0.02% 15,674
---------
Total Indices - 0.11% Futures contracts purchased - 0.11% 78,446
---------
Total Fair Value - 5.71% $3,772,859
============
Investments % of Investments
Country Composition at Fair Value at Fair Value
------------------------- --------------- ---------------
Australia $ 106,784 2.83%
Canada 36,090 0.96%
Germany 774,461 20.53%
Japan (252,100) (6.68)%
United Kingdom (513,892) (13.62)%
United States 3,621,516 95.98%
-------------- ---------------
$3,772,859 100.00%
============== ===============
Percentages are based on Partners' capital unless otherwise indicated
See notes to financial statements.
5
SMITH BARNEY WESTPORT 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
futures:
Realized gains (losses) on closed positions $ 9,428,827 $ (3,096,655) $ 6,848,343 $ 11,492,252
Change in unrealized gains (losses) on open
positions 12,136,337 (5,257,862) 9,204,053 (11,139,820)
------------ ------------ ------------ ------------
21,565,164 (8,354,517) 16,052,396 352,432
Interest income 199,117 497,757 400,839 1,176,355
------------ ------------ ------------ ------------
21,764,281 (7,856,760) 16,453,235 1,528,787
------------ ------------ ------------ ------------
Expenses:
Brokerage commissions including clearing fees
of $22,807, $22,058, $42,653 and $41,032, respectively 981,077 1,011,278 * 1,876,417 2,060,653*
Management fees 338,197 348,911 650,443 717,550
Other expenses 32,238 43,791 64,476 86,274
Incentive fees 828,574 -- 828,574 376,932
------------ ------------ ------------ ------------
2,180,086 1,403,980 3,419,910 3,241,409
------------ ------------ ------------ ------------
Net income (loss) 19,584,195 (9,260,740) 13,033,325 (1,712,622)
Additions-Limited Partners 3,302,000 450,000 4,233,000 800,000
Redemptions-Limited Partners (4,078,350) (2,515,030) (6,173,173) (4,823,901)
------------ ------------ ------------ ------------
Net increase (decrease) in Partners' capital 18,807,845 (11,325,770) 11,093,152 (5,736,523)
Partners' capital, beginning of period 58,203,613 77,909,319 65,918,306 72,320,072
------------ ------------ ------------ ------------
Partners' capital, end of period $ 77,011,458 $ 66,583,549 $ 77,011,458 $ 66,583,549
------------ ------------ ------------ ------------
Net asset value per Unit
( 58,566.8419 and 60,936.3652 Units outstanding
at June 30, 2002 and 2001, respectively ) $ 1,314.93 $ 1,092.67 $ 1,314.93 $ 1,092.67
------------ ------------ ------------ ------------
Net income (loss) per Unit of Limited Partnership
Interest and General Partner Unit equivalent $ 327.60 $ (148.03) $ 218.23 $ (28.69)
------------ ------------ ------------ ------------
* Amounts reclassified for comparative purposes
See Notes to Financial Statements.
6
Smith Barney Westport Futures Fund L.P.
Notes to Financial Statements
June 30, 2002
(Unaudited)
1. General:
Smith Barney Westport Futures Fund L.P. (the "Partnership") is a limited
partnership which was organized on March 21, 1997 under the partnership laws of
the State of New York 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.
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 for the Partnership
are made by John W. Henry & Company, 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 Westport 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) * $ 344.25 $ (149.72)$ 237.26 $ (28.62)
Interest income 3.34 8.01 6.70 18.63
Expenses ** (19.99) (6.32) (25.73) (18.70)
------- ------ ------- -------
Increase(decrease) for period 327.60 (148.03) 218.23 (28.69)
Net Asset Value per Unit,
beginning of period 987.33 1,240.70 1,096.70 1,121.36
------- ------ ------- -------
Net Asset Value per Unit,
end of period $ 1,314.93 $ 1,092.67 $ 1,314.93 $ 1,092.67
======== ======== ========= =========
* Net realized and unrealized gains (losses) is net of commission expense.
** Expenses exclude commission expense.
8
Smith Barney Westport 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 128.0% (52.2)% 43.6% (3.8)%
Incentive fee (5.2)% 0.0% (2.6)% (1.1)%
------- ------ ------ ------
Net income(loss) after
incentive fee 122.8% (52.2)% 41.0% (4.9)%
======== ======= ====== ======
Operating expenses 8.5% 7.9% 8.2% 8.1%
Incentive fee 5.2% 0.0% 2.6% 1.1%
------- ------ ------ ------
Total expenses and incentive fees 13.7% 7.9% 10.8% 9.2%
======== ======= ====== ======
Total return:
Total return before incentive fee 34.6% (11.9)% 21.2% (2.0)%
Incentive fee (1.4)% 0.0% (1.3)% (0.6)%
------- ------ ------ ------
Total return after incentive fee 33.2% (11.9)% 19.9% (2.6)%
======== ======= ====== ======
*** Annualized
9
Smith Barney Westport 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 value during the six and twelve months ended
June 30, 2002 and December 31, 2001, based on a monthly calculation, was
$6,082,527 and $4,144,787, respectively. The fair value of these commodity
interests, including options thereon, if applicable, at June 30, 2002 and
December 31, 2001, was $12,976,912 and $3,772,859, 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 (but not currently), 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 various risks similar to
10
Smith Barney Westport Futures Fund L.P.
Notes to Financial Statements
June 30, 2002
(Unaudited)
(Continued)
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, forward and option 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, 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 expenses,
interest income, redemptions of Units and distributions of profits, if any.
For the six months ended June 30, 2002, Partnership capital increased 16.8%
from $65,918,306 to $77,011,458. This increase was attributable to net income
from operations of $13,033,325, coupled with the additional sales of 4,003.3440
Units totaling $4,233,000, which was partially offset by the redemptions of
5,542.7552 Units totaling $6,173,173. 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 period. 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
12
changes occur and are included in net gains (losses) on trading of commodity
interests.
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 dates of entry into the contracts and the forward rates at the
reporting date, 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 33.2% from $987.33 to $1,314.93 as compared to a decrease of
11.9% 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 $21,565,164. Gains were primarily attributable to the trading of commodity
futures in currencies, grains, U.S. and non-U.S interest rates, livestock and
indices and were partially offset by losses in energy, softs and metals. The
Partnership experienced a net trading loss before brokerage commissions and
related fees in the second quarter of 2001 of $8,354,517. Losses were primarily
attributable to the trading of commodity futures in currencies, U.S. and
non-U.S. interest rates, livestock, metals, energy, softs and indices and were
partially offset by gains in grains.
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 determined weekly by SSB
13
based on the average non-competitive yield on 3-month U.S. Treasury bills
maturing in 30 days. Salomon Smith Barney may continue to maintain the
Partnership assets in cash and/or to place all of the Partnership assets in
90-day Treasury bills and pay the Partnership 80% of the interest earned on 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 $298,640 and $775,516, respectively, as compared to
the corresponding periods in 2001. The decrease in interest income is primarily
due to a decrease in interest rates during the three and six months ended June
30, 2002 as compared to 2001.
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 analyzed in relation to the fluctuations
in the monthly net asset values. Commissions and fees for the three and six
months ended June 30, 2002 decreased by $30,201 and $184,236, respectively, as
compared to the corresponding periods in 2001. The decrease in brokerage
commissions and fees is due to lower average net assets during the three and six
months ended June 30, 2002 as compared to 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. Management fees for the three and six months ended June 30,
2002 decreased by $10,714 and $67,107, respectively, as compared to the
corresponding periods in 2001. The decrease in management fees is due to lower
average net assets during the three and six months ended June 30, 2002 as
compared to 2001.
Incentive fees are based on the new trading profits generated by the
Advisor at the end of the quarter, as defined in the advisory agreements between
the Partnership, the General Partner and the Advisor. Trading performance for
the six months ended June 30, 2002 and 2001 resulted in incentive fees of
$828,574 and $376,932, respectively.
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 market 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 market 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 $77,011,458. 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:
- - OTC Contracts $ 4,691,558 6.09% $ 5,257,018 $ 1,120,894
Energy 726,520 0.95% 1,563,000 399,400
Grains 280,000 0.36% 292,600 63,800
Interest Rates U.S. 906,700 1.18% 944,500 128,200
Interest Rates Non-U.S 2,541,080 3.30% 2,607,291 732,069
Livestock 15,000 0.02% 18,750 10,200
Metals:
- Exchange Traded Contracts 332,000 0.43% 342,000 193,000
- OTC Contracts 348,000 0.45% 377,500 34,000
Softs 352,464 0.46% 502,602 83,911
Indices 1,463,393 1.90% 1,494,990 599,996
--------- -----
Total $11,656,715 15.14%
========= ======
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 - For the six months
ended June 30, 2002, there were additional sales of 4,003.3440
Units totaling $4,233,000. For the six months ended June 30,2001,
there were additional sales of 704.9054 Units totaling $800,000.
Proceeds from the sale of additional units are used in the
trading of commodity interests including futures contracts,
options and forwards contracts.
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 WESTPORTFUTURES 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
Chief Financial Officer and
Director
Date: 8/14/02
18