FORM 10-Q
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
(X) QUARTERLY REPORT UNDER SECTION 13 or 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
OR ( ) TRANSITION REPORT UNDER SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE Act of 1934
For the Quarter ended March 31, 2003
Commission File Number 0-16627
SHEARSON SELECT ADVISORS FUTURES FUND L.P.
(Exact name of registrant as specified in its charter)
Delaware 13-3405705
(State or other jurisdiction of (I.R.S. Employer
incorporation or organization) Identification No.)
c/o Citigroup Managed Futures 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 periods 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_____
Indicate by check mark whether the registrant is an accelerated filer (as
defined in rule 12b-2 of the Exchange Act).
Yes _____ No X
SHEARSON SELECT ADVISORS FUTURES FUND L.P.
FORM 10-Q
INDEX
Page
Number
PART I - Financial Information:
Item 1. Financial Statements:
Statements of Financial Condition at
March 31, 2003 and December 31,
2002 (unaudited). 3
Condensed Schedules of Investments at
March 31, 2003 and December 31, 2002
(unaudited). 4 - 5
Statements of Income and Expenses
and Partners' Capital for the three
months ended March 31, 2003 and 2002
(unaudited). 6
Notes to Financial Statements
(unaudited). 7 - 10
Item 2. Management's Discussion and Analysis
of Financial Condition and Results of
Operations. 11 - 13
Item 3. Quantitative and Qualitative Disclosures
of Market Risk. 14 - 15
Item 4. Controls and Procedures. 16
PART II - Other Information 17
2
Part I
Item 1. Financial Statements
Shearson Select Advisors Futures Fund L.P.
Statements of Financial Condition
(Unaudited)
March 31, December 31,
2003 2002
--------------------- ---------------------
Assets:
Equity in commodity futures trading account:
Cash (restricted $262,227 and $508,469 in
2003 and 2002, respectively) $ 4,764,248 $ 3,806,735
Net unrealized (depreciation) appreciation
on open positions* (99,339) 370,426
--------------------- ---------------------
4,664,909 4,177,161
Interest receivable 3,056 2,814
--------------------- ---------------------
$ 4,667,965 $ 4,179,975
===================== =====================
Liabilities and Partners' Capital:
Liabilities:
Accrued expenses:
Commissions $ 23,340 $ 20,900
Management fees 15,348 13,756
Incentive fees 30,000 -
Other 40,130 32,228
Redemptions payable 97,965 53,678
--------------------- ---------------------
206,783 120,562
--------------------- ---------------------
Partners' capital :
General Partner, 34 Unit equivalents
outstanding in 2003 and 2002 128,108 114,066
Limited Partners, 1,150 and 1,176 Units
of Limited Partnership Interest
outstanding in 2003 and 2002, respectively 4,333,074 3,945,347
--------------------- ---------------------
4,461,182 4,059,413
--------------------- ---------------------
$ 4,667,965 $ 4,179,975
===================== =====================
* Forward contracts included in this balance are presented gross in the
accompanying Condensed Schedule of Investments
See Accompanying Notes to Unaudited Financial Statements.
3
Shearson Select Advisors Futures Fund L.P.
Condensed Schedule of Investments
March 31, 2003
(Unaudited)
Sector Contract Fair Value
- --------------------------- ------------------------------------------------- ----------------
Currencies
Unrealized appreciation on forward contracts 1.65% $ 73,791
Unrealized depreciation on forward contracts (3.56)% (159,216)
----------------
Total Currencies (1.91)% (85,425)
----------------
Interest Rates Non-U.S.
Futures contracts purchased 0.30% 13,363
Futures contracts sold (0.99)% (44,003)
----------------
Total Interest Rates Non-U.S. (0.69)% (30,640)
----------------
Metals
Futures contracts sold 0.09% 4,140
----------------
Total futures contracts 4,140
Unrealized appreciation on forward contracts 1.51% 67,421
Unrealized depreciation on forward contracts (2.03)% (90,503)
----------------
Total forward contracts (0.52)% (23,082)
----------------
Total Metals (0.43)% (18,942)
----------------
Total Indices 0.80% Futures contracts sold 0.80% 35,668
----------------
Total Fair Value (2.23)% $ (99,339)
================
Investments % of Investments
Country Composition at Fair Value at Fair Value
- --------------------- ------------------ ---------------
Australia $ (14,772) (14.87)%
Germany (27,637) (27.82)
Japan 50,186 50.52
United Kingdom (25,831) (26.00)
United States (81,285) (81.83)
---------------- -----------
$ (99,339) (100.00)%
================ ===========
Percentages are based on Partners' capital unless otherwise indicated
See Accompanying Notes to Unaudited Financial Statements.
4
Shearson Select Advisors Futures Fund L.P.
Condensed Schedule of Investments
December 31, 2002
Number of
Sector Contracts Contract Fair Value
----------
Currencies
Unrealized depreciation on forward positions (2.58)% $ (104,615)
Unrealized appreciation on forward positions 6.55%
EURO 6,075,000 EURO/USD 4.09%, March 19, 2003 166,218
Other 2.46% 99,730
----------
265,948
----------
Total Currencies 3.97% 161,333
----------
Total Interest Rates U.S. 0.68% Futures contracts purchased 0.68% 27,775
----------
Total Interest Rates Non-U.S. 3.94% Futures contracts purchased 3.94% 159,955
----------
Metals
Futures contracts purchased 0.78% $31,570
Unrealized depreciation on forward positions (0.51)% (20,758)
Unrealized appreciation on forward positions 0.16% 6,428
----------
Total Forward contracts (0.35)% (14,330)
----------
Total Metals 0.43% 17,240
----------
Indices
Futures contracts sold 0.14% 5,813
Futures contracts purchased (0.04)% (1,690)
----------
Total Indices 0.10% 4,123
----------
Total Fair Value 9.12% $370,426
==========
Investments % of Investments
Country Composition at Fair Value at Fair Value
- ---------------------------------- --------------- ----------------------
Australia $ 12,096 3.27%
Germany 73,238 19.77
Japan 41,860 11.30
United Kingdom 24,244 6.54
United States 218,988 59.12
------------- -----------------
$370,426 100.00%
============= =================
Percentages are based on Partner's capital unless otherwise indicated.
See Accompanying Notes to Financial Statements.
5
Shearson Select Advisors Futures Fund L.P.
Statements of Income and Expenses and Partners' Capital
(Unaudited)
Three Months Ended
March 31,
2003 2002
------------ ------------
Income:
Net gains (losses) on trading of commodity
interests:
Realized gains (losses) on closed positions
and foreign currencies $ 1,117,727 $ (181,936)
Change in unrealized losses on open
positions (469,765) (141,969)
----------- ----------
647,962 (323,905)
Interest income 8,439 8,696
----------- ----------
656,401 (315,209)
----------- -----------
Expenses:
Brokerage commissions including clearing fees
of $669 and $647, respectively 72,098 46,480
Management fees 46,667 29,593
Incentive fees 30,000 --
Other expenses 7,902 8,588
---------- ---------
156,667 84,661
---------- ----------
Net income (loss) 499,734 (399,870)
Redemptions (97,965) (35,804)
--------- -----------
Net increase (decrease) in Partners' capital 401,769 (435,674)
Partners' capital, beginning of period 4,059,413 3,175,711
----------- ------------
Partners' capital, end of period $ 4,461,182 $ 2,740,037
========== ==========
Net asset value per Unit
(1,184 and 1,301 Units outstanding
at March 31, 2003 and 2002, respectively) $ 3,767.89 $ 2,106.10
========== ==========
Net income (loss) per Unit of Limited Partnership
Interest and General Partner Unit equivalent $ 413.00 $ (303.39)
========== ==========
See Accompanying Notes to Unaudited Financial Statements.
6
Shearson Select Advisors Futures Fund L.P.
Notes to Financial Statements
March 31, 2003
(Unaudited)
1. General
Shearson Select Advisors Futures Fund L.P., (the "Partnership") is a
limited partnership which was organized under the laws of the State of Delaware
on February 10, 1987. The Partnership is engaged 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 commenced trading on July 1, 1987.
On April 7, 2003, Smith Barney Futures Management LLC changed its name to
Citigroup Managed Futures LLC. Citigroup Managed Futures LLC acts as the general
partner (the "General Partner") of the Partnership. The Partnership's commodity
broker is Citigroup Global Markets Inc. ("CGM"), formerly Salomon Smith Barney
Inc. CGM is an affiliate of the General Partner. The General Partner is wholly
owned by Citigroup Global Markets Holdings Inc. ("CGMHI"), formerly Salomon
Smith Barney Holdings Inc., which is the sole owner of CGM. CGMHI is a wholly
owned subsidiary of Citigroup Inc. As of March 31, 2003, all trading decisions
are made by John W. Henry & Company (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 March 31, 2003 and December 31, 2002 and the results of its
operations for the three months ended March 31, 2003 and 2002. 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, 2002.
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
Shearson Select Advisors Futures Fund L.P.
Notes to Financial Statements
March 31, 2003
(Unaudited)
(Continued)
2. Financial Highlights:
Changes in net asset value per Unit for the three months ended March 31, 2003
and 2002 were as follows:
THREE-MONTHS ENDED
MARCH 31,
2003 2002
Net realized and unrealized gains(losses)* $ 475.92 $ (281.03)
Interest income 6.98 6.60
Expenses ** (69.90) (28.96)
------- -------
Increase (decrease) for period 413.00 (303.39)
Net Asset Value per Unit,
beginning of period 3,354.89 2,409.49
-------- --------
Net Asset Value per Unit, end of period $3,767.89 $2,106.16
======== ========
* Includes brokerage commissions
** Exclude brokerage commissions
Ratios to average net assets:***
Net investment loss before incentive fees**** (10.8)% (10.3)%
====== =====
Operating expenses 11.5% 11.5%
Incentive fees 2.7% 0.0%
----- -----
Total expenses 14.2% 11.5%
===== ====
Total return:
Total return before incentive fees 13.1% (12.6)%
Incentive fees (0.8)% 0.0%
---- ---
Total return after incentive fees 12.3% (12.6)%
==== ====
*** Annualized
**** Interest income less total expenses (exclusive of incentive fees)
The above ratios may vary for individual investors based on the timing of
capital transactions during the period.
8
Shearson Select Advisors Futures Fund L.P.
Notes to Financial Statements
March 31, 2003
(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 statement of income and expenses and partners'
capital.
The Customer Agreement between the Partnership and CGM 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 three and twelve months
ended March 31, 2003 and December 31, 2002, based on a monthly calculation, were
$634,828 and $397,306, respectively. The fair value of these commodity
interests, including options thereon, if applicable, at March 31, 2003 and
December 31, 2002, were $(99,339) and $370,426, 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:
In the normal course of its business the Partnership is party to financial
instruments with off-balance sheet risk, including derivative financial
instruments and derivative commodity instruments. 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 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.
9
Shearson Select Advisors Futures Fund L.P.
Notes to Financial Statements
March 31, 2003
(Unaudited)
(Continued)
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 CGM.
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 majority of these instruments mature within one year of March 31, 2003.
However, due to the nature of the Partnership's business, these instruments may
not be held to maturity.
10
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 decrease in liquidity, no such losses occurred during the
first quarter of 2003.
The Partnership's capital consists of the capital contributions of the
partners as increased or decreased by realized and/or unrealized gains or losses
on commodity futures trading, expenses, interest income, redemptions of Units
and distributions of profits, if any.
For the three months ended March 31, 2003, Partnership capital increased
9.9% from $4,059,413 to $4,461,182. This increase was attributable to net income
from operations of $499,734 which was partially offset by the redemption of 26
Units resulting in an outflow of $97,965. Future redemptions can impact the
amount of funds available for investment 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 of America requires
management to make estimates and assumptions that affect the reported amounts of
assets and liabilities, disclosures of contingent assets and liabilities at the
date of the financial statements and reported amounts of revenues and expenses
during the reporting period. Actual results could differ from these estimates.
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
11
(losses) and changes in unrealized gains (losses) on open positions 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.
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 date, is included in the statement of financial condition. Realized
gains (losses) and changes in unrealized gains (losses) on open positions 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 first quarter of 2003, the net asset value per
Unit increased 12.3% from $3,354.89 to $3,767.89 as compared to a decrease of
12.6% in the first quarter of 2002. The Partnership experienced a net trading
gain before brokerage commissions and related fees in the first quarter of 2003
of $647,962. Gains were primarily attributable to the trading of commodity
contracts in currencies, U.S. and non-U.S. interest rates and indices and were
partially offset by losses in metals. The Partnership experienced a net trading
loss before brokerage commissions and related fees in the first quarter of 2002
of $323,905. Losses were primarily attributable to the trading of commodity
contracts in U.S. and non-U.S. interest rates, indices, metals and currencies.
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 70% of the Partnership's daily average equity was earned
at the monthly average 13-week U.S. Treasury Bill yield. CGM may continue to
12
maintain the Partnership assets in cash and/or place all of the Partnership
assets in 90-day Treasury bills and pay the Partnership 70% of the interest
earned on the Treasury bills purchased. CGM will retain 30% of any interest
earned on Treasury bills. Interest income for the three months ended March 31,
2003 decreased by $257 as compared to the corresponding period in 2002. The
decrease in interest income is primarily due to a decrease in interest rates for
the three months ended March 31, 2003 as compared to 2002.
Brokerage commissions are calculated on the Partnership's adjusted net
asset value on the last day of each month and are affected by 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 months ended March 31, 2003 increased by $25,618 as compared to the
corresponding period in 2002. The increase in brokerage commissions is due to
higher average net assets during the three months ended March 31, 2003 as
compared to 2002.
Management fees are calculated as a percentage of the Partnership's net
asset value as of the end of each month and are affected by trading performance
and redemptions. Management fees for the three months ended March 31, 2003
increased by $17,074, as compared to the corresponding period in 2002. The
increase in management fees is due to higher average net assets during the three
months ended March 31, 2003 as compared to 2002.
Incentive fees paid by the Partnership are based on the new trading profits
of the Partnership as defined in the Limited Partnership Agreement. Trading
profits for the three months ended March 31, 2003 resulted in incentive fees of
$30,000. There were no incentive fees earned for the three months ended March
31, 2002.
13
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.
14
The following table indicates the trading Value at Risk associated with the
Partnership's open positions by market category as of March 31, 2003 and the
highest and lowest value at any point during the three months ended March 31,
2003. All open position trading risk exposures of the Partnership have been
included in calculating the figures set forth below. As of March 31, 2003, the
Partnership's total capitalization was $4,461,182. 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, 2002.
March 31, 2003
(Unaudited)
Year to Date
% of Total High Low
Market Sector Value at Risk Capitalization Value at Risk Value at Risk
Currencies:
- - OTC Contracts $ 67,365 1.51% $254,880 $49,005
Interest Rates Non-U.S. 104,558 2.34% 242,514 49,457
Metals:
- Exchange Traded Contracts 9,000 0.20% 18,000 9,000
- OTC Contracts 20,625 0.46% 42,625 9,375
Indices 57,539 1.29% 113,613 24,052
----------- ----
Total $259,087 5.80%
========== ====
15
Item 4. Controls and Procedures
Based on their evaluation of the Partnership's disclosure controls and
procedures as of a date within 90 days of the filing of this report, the Chief
Executive Officer and Chief Financial Officer have concluded that such controls
and procedures are effective.
There were no significant changes in the Partnership's internal controls or
in other factors that could significantly affect such controls subsequent to the
date of their evaluation.
16
PART II OTHER INFORMATION
Item 1. Legal Proceedings -
The following information supplements and amends our discussion set
forth under Part I, Item 3 "Legal Proceedings" in the Partnership's Annual
Report on Form 10-K for the fiscal year ended December 31, 2002.
Settlement Of Certain Regulatory Matters
On April 28, 2003, Salomon Smith Barney Inc. (SSB), now named
Citigroup Global Markets Inc., announced final agreements with the
Securities and Exchange Commission, the National Association of Securities
Dealers, the New York Stock Exchange and the New York Attorney General (as
lead state among the 50 states, the District of Columbia and Puerto Rico)
to resolve on a civil basis all of their outstanding investigations into
its research and IPO allocation and distribution practices. As part of the
settlements, SSB has consented to the entry of (1) an injunction under the
federal securities laws to be entered in the United States District Court
for the Southern District of New York, barring SSB from violating
provisions of the federal securities laws and related NASD and NYSE rules
relating to research, certain IPO allocation practices, the safeguarding of
material nonpublic information and the maintenance of required books and
records, and requiring SSB to adopt and enforce new restrictions on the
operation of research; (2) an NASD Acceptance Waiver and Consent requiring
SSB to cease and desist from violations of corresponding NASD rules and
requiring SSB to adopt and enforce the same new restrictions; (3) an NYSE
Stipulation and Consent requiring SSB to cease and desist from violations
of corresponding NYSE rules and requiring SSB to adopt and enforce the same
new restrictions; and (4) an Assurance of Discontinuance with the New York
Attorney General containing substantially the same or similar restrictions.
As required by the settlements, SSB expects to enter into related
settlements with each of the other states, the District of Columbia and
Puerto Rico. Consistent with the settlement-in-principle announced in
December 2002, these settlements require SSB to pay $300 million for
retrospective relief, plus $25 million for investor education, and commit
to spend $75 million to provide independent third-party research to its
clients at no charge. SSB reached these final settlement agreements without
admitting or denying any wrongdoing or liability. The settlements do not
establish wrongdoing or liability for purposes of any other proceeding. The
$300 million was accrued during the fourth quarter of 2002.
Enron:
New Power Holdings Actions
On April 17, 2003, the motion to dismiss the complaints in the
putative class actions relating to the New Power Holdings common stock was
denied.
Additional Actions
On March 5, 2003, an action was brought on behalf of the purchasers of
the Yosemite Notes and Enron Credit Linked Notes, alleging violations of
federal securities laws.
On April 9, 2003, an action was brought by a group of related mutual
funds that purchased certain Yosemite Notes, alleging violations of state
securities law and common law claims.
Research:
In Re At&T Corporation Securities Litigation
By order dated March 27, 2003, the court denied plaintiffs' leave to
amend their complaint to add as defendants Citigroup, SSB, and certain of
their executive officers and current and former employees.
17
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. The exhibits required to be filed by Item 601 of
Regulation S-K are incorporated herein by reference
to the exhibit index of the Partnership's Report on
Form 10-K for the period ended December 31, 2002.
(a) Exhibit - 99.1 Certificate of Chief Executive Officer.
Exhibit - 99.2 Certificate of Chief Financial Officer.
(b) Reports on Form 8-K - None
18
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.
SHEARSON SELECT ADVISORS FUTURES FUND L.P.
By: Citigroup Managed Futures LLC
(General Partner)
By: /s/ David J. Vogel
David J. Vogel
President and Director
Date: 5/13/03
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: Citigroup Managed Futures LLC
(General Partner)
By: /s/ David J. Vogel
David J. Vogel
President and Director
Date: 5/13/03
By: /s/ Daniel R. McAuliffe, Jr.
Daniel R. McAuliffe, Jr.
Chief Financial Officer and Director
Date: 5/13/03
19
CERTIFICATION
I, David J. Vogel, certify that:
1. I have reviewed this quarterly report on Form 10-Q of Shearson Select
Advisors Futures Fund L.P.;
2. Based on my knowledge, this quarterly report does not contain any untrue
statement of a material fact or omit to state a material fact necessary to
make the statements made, in light of the circumstances under which such
statements were made, not misleading with respect to the period covered by
this quarterly report;
3. Based on my knowledge, the financial statements, and other financial
information included in this quarterly report, fairly present in all
material respects the financial condition, results of operations of the
registrant as of, and for, the periods presented in this quarterly report;
4. The registrant's other certifying officer and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined
in Exchange Act Rules 13a-14 and 15d-14) for the registrant and we have:
a. designed such disclosure controls and procedures to ensure that
material information relating to the registrant, including its
consolidated subsidiaries, is made known to us by others within those
entities, particularly during the period in which this quarterly
report is being prepared;
b. evaluated the effectiveness of the registrant's disclosure controls
and procedures as of a date within 90 days prior to the filing date of
this quarterly report (the "Evaluation Date"); and
c. presented in this quarterly report our conclusions about the
effectiveness of the disclosure controls and procedures based on our
evaluation as of the Evaluation Date;
5. The registrant's other certifying officer and I have disclosed, based on
our most recent evaluation, to the registrant's auditors and the audit
committee of registrant's board of directors (or persons performing the
equivalent function):
20
a. all significant deficiencies in the design or operation of internal
controls which could adversely affect the registrant's ability to
record, process, summarize and report financial data and have
identified for the registrant's auditors any material weaknesses in
internal controls; and
b. any fraud, whether or not material, that involves management or other
employees who have a significant role in the registrant's internal
controls; and
6. The registrant's other certifying officer and I have indicated in this
quarterly report whether or not there were significant changes in internal
controls or in other factors that could significantly affect internal
controls subsequent to the date of our most recent evaluation, including
any corrective actions with regard to significant deficiencies and material
weaknesses.
Date: May 13, 2003
/s/David J. Vogel
David J. Vogel
President and Director
21
Exhibit 99.1
CERTIFICATION PURSUANT TO
18 U.S.C. SECTION 1350,
AS ADOPTED PURSUANT TO
SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002
In connection with the Quarterly Report of Shearson Select Advisors Futures Fund
L.P. (the "Partnership") on Form 10-Q for the period ending March 31, 2003 as
filed with the Securities and Exchange Commission on the date hereof (the
"Report"), I, David J. Vogel, President and Director of Citigroup Managed
Futures LLC, certify, pursuant to 18 U.S.C. ss. 1350, as adopted pursuant to ss.
906 of the Sarbanes-Oxley Act of 2002, that:
(1) The Report fully complies with the requirements of section 13(a) or
15(d) of the Securities Exchange Act of 1934; and
(2) The information contained in the Report fairly presents, in all
material respects, the financial condition and results of operations
of the Partnership.
/s/ David J.Vogel
David J. Vogel
Citigroup Managed Futures LLC
President and Director
May 13, 2003
22
CERTIFICATION
I, Daniel R. McAuliffe, Jr., certify that:
1. I have reviewed this quarterly report on Form 10-Q of Shearson Select
Advisors Futures Fund L.P.;
2 Based on my knowledge, this quarterly report does not contain any untrue
statement of a material fact or omit to state a material fact necessary to
make the statements made, in light of the circumstances under which such
statements were made, not misleading with respect to the period covered by
this quarterly report;
3. Based on my knowledge, the financial statements, and other financial
information included in this quarterly report, fairly present in all
material respects the financial condition, results of operations of the
registrant as of, and for, the periods presented in this quarterly report;
4. The registrant's other certifying officer and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined
in Exchange Act Rules 13a-14 and 15d-14) for the registrant and we have:
a. designed such disclosure controls and procedures to ensure that
material information relating to the registrant, including its
consolidated subsidiaries, is made known to us by others within
those entities, particularly during the period in which this
quarterly report is being prepared;
b. evaluated the effectiveness of the registrant's disclosure
controls and procedures as of a date within 90 days prior to the
filing date of this quarterly report (the "Evaluation Date"); and
c. presented in this quarterly report our conclusions about the
effectiveness of the disclosure controls and procedures based on
our evaluation as of the Evaluation Date;
5. The registrant's other certifying officer and I have disclosed, based on
our most recent evaluation, to the registrant's auditors and the audit
committee of registrant's board of directors (or persons performing the
equivalent function):
23
a. all significant deficiencies in the design or operation of
internal controls which could adversely affect the registrant's
ability to record, process, summarize and report financial data
and have identified for the registrant's auditors any material
weaknesses in internal controls; and
b. any fraud, whether or not material, that involves management or
other employees who have a significant role in the registrant's
internal controls; and
6. The registrant's other certifying officer and I have indicated in this
quarterly report whether or not there were significant changes in internal
controls or in other factors that could significantly affect internal
controls subsequent to the date of our most recent evaluation, including
any corrective actions with regard to significant deficiencies and material
weaknesses.
Date: May 13, 2003
/s/ Daniel R. McAuliffe, Jr.
Daniel R. McAuliffe, Jr.
Chief Financial Officer and Director
24
Exhibit 99.2
CERTIFICATION PURSUANT TO
18 U.S.C. SECTION 1350,
AS ADOPTED PURSUANT TO
SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002
In connection with the Quarterly Report of Shearson Select Advisors Futures Fund
L.P. (the "Partnership") on Form 10-Q for the period ending March 31, 2003 as
filed with the Securities and Exchange Commission on the date hereof (the
"Report"), I, Daniel R. McAuliffe, Jr., Chief Financial Officer and Director of
Citigroup Managed Futures LLC, certify, pursuant to 18 U.S.C. ss. 1350, as
adopted pursuant to ss. 906 of the Sarbanes-Oxley Act of 2002, that:
(1) The Report fully complies with the requirements of section 13(a) or 15(d)
of the Securities Exchange Act of 1934; and
(2) The information contained in the Report fairly presents, in all material
respects, the financial condition and results of operations of the
Partnership.
/s/ Daniel R. McAuliffe , Jr.
Daniel R. McAuliffe, Jr.
Citigroup Managed Futures LLC
Chief Financial Officer and Director
May 13, 2003
25