SEC Company Response from SMITH BARNEY DIVERSIFIED FUTURES FUND LP (CIK 0000911503) — Oct 20, 2005
SMITH BARNEY DIVERSIFIED FUTURES FUND LP (CIK 0000911503)
Date: Oct. 20, 2005 · CIK: 0000911503 · Accession: 0000899140-05-000936
AI Filing Summary & Sentiment
Referenced dates: August 1, 2005, August 26, 2005
Letter
Re: Smith Barney Diversified Futures Fund L.P. (the "Fund") Form 10-K for the fiscal year ended December 31, 2004 Form 10-Q for the quarterly period ended March 31, 2005 File No. 0-26132 -----------------------------------------------------------------------
Willkie Farr & Gallagher LLP 787 Seventh Avenue New York, NY 10019
October 20, 2005
Mail Stop 4561 --------------
VIA EDGAR AND FEDEX -------------------
Securities and Exchange Commission Division of Corporation Finance 100 F Street, N.E. Washington D.C. 20549
Ladies and Gentlemen:
On behalf of Citigroup Managed Futures LLC, the general partner of the Fund (the "General Partner"), we respectfully submit below the General Partner's responses to the comments of the staff (the "Staff") of the Securities and Exchange Commission (the "Commission") in a comment letter dated August 26, 2005 (the "Second Letter") to Daniel R. McAuliffe, Chief Financial Officer of the General Partner. The General Partner responded to the Staff's first comment letter dated August 1, 2005, by letter filed via EDGAR dated August 23, 2005. For your convenience, the Staff's comments in the Second Letter are indicated in italics, followed by the General Partner's response.
Form 10-K for the fiscal year ended December 31, 2004 -----------------------------------------------------
Investment in the Partnership, page F-12 ----------------------------------------
1. We note your response to prior comment 1. Please provide us with the results of your significance testing under Rule 3-09 of Regulation S-X as it relates to your allocation of capital to the CMF Winton Master Fund, L.P. ("Winton Master Fund") effective November 1, 2004. Please confirm to us that you will continue to monitor your allocations of capital to 50%-Or-Less-Owned Entities under this rule. Additionally, please include disclosure of assets and liabilities within summarized information of CMF Winton Master Fund in future filings. Reference is made to Rule 4-08(g) of Regulation S-X.
<PAGE>
Securities and Exchange Commission October 20, 2005 Page 2
Form 10-Q for the Quarter Ended March 31, 2005 ----------------------------------------------
2. With respect to your allocation of funds to the CMF Campbell Master Fund L.P. ("Campbell Master Fund") effective January 1, 2005, it appears to us that Campbell Master Fund has a significance level in excess of 20% based upon testing under Rule 3-09 of Regulation S-X. Please confirm that you will include the financial statements of Campbell Master Fund in your Form 10-K for the year ended December 31, 2005 and other future filings, as appropriate. Additionally, please disclose assets and liabilities of Campbell Master Fund within your summarized information that you include within future interim period filings.
Attached are the results of the General Partner's significance testing under Rule 3-09 of Regulation S-X, as requested. The General Partner does not believe, however, that Rule 3-09 of Regulation S-X should be applied to the underlying funds in this fund of funds structure for the reasons outlined herein.
The General Partner employs the accounting treatment prescribed for funds of funds (both registered and unregistered) in accordance with Chapter 5 of the AICPA's Audit and Accounting Guide, Audits of Investment Companies (the "Guide").
The Fund holds multiple investments in other funds and may hold more such investments in the future. Such investee funds may accept investments from many other funds in addition to the Fund. Including full financial statements of each investee fund in the Fund's reports would greatly increase the length of the reports. The General Partner has included in the Fund's reports summary information about each investee fund as required by the Guide and CFTC rules. The General Partner will expand the summary information as and when appropriate to ensure that limited partners receive all information material to their investment.
Our understanding is that the Commission's Division of Investment Management does not apply Rule 3-09 to registered investment companies and therefore does not require registered funds of funds or registered funds of hedge funds to include the underlying funds' financial statements within the registered fund's financial statements on Form N-CSR. The General Partner and the Fund's accountants prepared the Fund's financial statements on the assumption that the Division of Corporation Finance would apply requirements consistent with the Division of Investment Management's requirements for similar types of products (i.e., funds of funds). At least until the two Divisions resolve the difference in the treatment funds of funds, the General Partner believes that Rule 3-09 should not be applied to the Fund.
<PAGE>
Securities and Exchange Commission October 20, 2005 Page 3
With respect to the disclosure of assets and liabilities within the summarized information of the Winton Master Fund and the Campbell Master Fund, pursuant to Rule 4-08(g) of Regulation S-X, the General Partner will include such disclosure in all future filings.
Conclusion ----------
For the reasons stated above, the General Partner does not believe that the Fund's Form 10-K for the year ended December 31, 2004, or its Form 10-Q for the quarter ended March 31, 2005, require amendment.
* * * *
Pursuant to your comment letter, on behalf of the General Partner and the Fund, we acknowledge that:
o the adequacy and accuracy of the disclosure in its 2004 Form 10-K and its Form 10-Q for the quarter ended March 31, 2005 is the responsibility of the Fund;
o Staff comments or changes to disclosure in response to Staff comments do not foreclose the Commission from taking any action with respect to the Fund's 2004 Form 10-K and its Form 10-Q for the quarter ended March 31, 2005; and
o the Fund represents that it will not assert Staff comments as a defense in any proceeding initiated by the Commission or any person under the federal securities laws of the United States.
* * * *
Should you have any questions, please do not hesitate to contact the undersigned at (212) 728-8727.
Very truly yours,
/s/ Rita M. Molesworth
----------------------
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Willkie Farr & Gallagher LLP
787 Seventh Avenue
New York, NY 10019
October 20, 2005
Mail Stop 4561
--------------
VIA EDGAR AND FEDEX
-------------------
Securities and Exchange Commission
Division of Corporation Finance
100 F Street, N.E.
Washington D.C. 20549
Re: Smith Barney Diversified Futures Fund L.P. (the "Fund")
Form 10-K for the fiscal year ended December 31, 2004
Form 10-Q for the quarterly period ended March 31, 2005
File No. 0-26132
-----------------------------------------------------------------------
Ladies and Gentlemen:
On behalf of Citigroup Managed Futures LLC, the general partner of the Fund (the
"General Partner"), we respectfully submit below the General Partner's responses
to the comments of the staff (the "Staff") of the Securities and Exchange
Commission (the "Commission") in a comment letter dated August 26, 2005 (the
"Second Letter") to Daniel R. McAuliffe, Chief Financial Officer of the General
Partner. The General Partner responded to the Staff's first comment letter dated
August 1, 2005, by letter filed via EDGAR dated August 23, 2005. For your
convenience, the Staff's comments in the Second Letter are indicated in italics,
followed by the General Partner's response.
Form 10-K for the fiscal year ended December 31, 2004
-----------------------------------------------------
Investment in the Partnership, page F-12
----------------------------------------
1. We note your response to prior comment 1. Please provide us with the
results of your significance testing under Rule 3-09 of Regulation S-X
as it relates to your allocation of capital to the CMF Winton Master
Fund, L.P. ("Winton Master Fund") effective November 1, 2004. Please
confirm to us that you will continue to monitor your allocations of
capital to 50%-Or-Less-Owned Entities under this rule. Additionally,
please include disclosure of assets and liabilities within summarized
information of CMF Winton Master Fund in future filings. Reference is
made to Rule 4-08(g) of Regulation S-X.
<PAGE>
Securities and Exchange Commission
October 20, 2005
Page 2
Form 10-Q for the Quarter Ended March 31, 2005
----------------------------------------------
2. With respect to your allocation of funds to the CMF Campbell Master Fund
L.P. ("Campbell Master Fund") effective January 1, 2005, it appears to us
that Campbell Master Fund has a significance level in excess of 20% based
upon testing under Rule 3-09 of Regulation S-X. Please confirm that you
will include the financial statements of Campbell Master Fund in your Form
10-K for the year ended December 31, 2005 and other future filings, as
appropriate. Additionally, please disclose assets and liabilities of
Campbell Master Fund within your summarized information that you include
within future interim period filings.
Attached are the results of the General Partner's significance testing under
Rule 3-09 of Regulation S-X, as requested. The General Partner does not believe,
however, that Rule 3-09 of Regulation S-X should be applied to the underlying
funds in this fund of funds structure for the reasons outlined herein.
The General Partner employs the accounting treatment prescribed for funds of
funds (both registered and unregistered) in accordance with Chapter 5 of the
AICPA's Audit and Accounting Guide, Audits of Investment Companies (the
"Guide").
The Fund holds multiple investments in other funds and may hold more such
investments in the future. Such investee funds may accept investments from many
other funds in addition to the Fund. Including full financial statements of each
investee fund in the Fund's reports would greatly increase the length of the
reports. The General Partner has included in the Fund's reports summary
information about each investee fund as required by the Guide and CFTC rules.
The General Partner will expand the summary information as and when appropriate
to ensure that limited partners receive all information material to their
investment.
Our understanding is that the Commission's Division of Investment Management
does not apply Rule 3-09 to registered investment companies and therefore does
not require registered funds of funds or registered funds of hedge funds to
include the underlying funds' financial statements within the registered fund's
financial statements on Form N-CSR. The General Partner and the Fund's
accountants prepared the Fund's financial statements on the assumption that the
Division of Corporation Finance would apply requirements consistent with the
Division of Investment Management's requirements for similar types of products
(i.e., funds of funds). At least until the two Divisions resolve the difference
in the treatment funds of funds, the General Partner believes that Rule 3-09
should not be applied to the Fund.
<PAGE>
Securities and Exchange Commission
October 20, 2005
Page 3
With respect to the disclosure of assets and liabilities within the summarized
information of the Winton Master Fund and the Campbell Master Fund, pursuant to
Rule 4-08(g) of Regulation S-X, the General Partner will include such disclosure
in all future filings.
Conclusion
----------
For the reasons stated above, the General Partner does not believe that the
Fund's Form 10-K for the year ended December 31, 2004, or its Form 10-Q for the
quarter ended March 31, 2005, require amendment.
* * * *
Pursuant to your comment letter, on behalf of the General Partner and the Fund,
we acknowledge that:
o the adequacy and accuracy of the disclosure in its 2004 Form 10-K and its
Form 10-Q for the quarter ended March 31, 2005 is the responsibility of the
Fund;
o Staff comments or changes to disclosure in response to Staff comments do
not foreclose the Commission from taking any action with respect to the
Fund's 2004 Form 10-K and its Form 10-Q for the quarter ended March 31,
2005; and
o the Fund represents that it will not assert Staff comments as a defense in
any proceeding initiated by the Commission or any person under the federal
securities laws of the United States.
* * * *
Should you have any questions, please do not hesitate to contact the undersigned
at (212) 728-8727.
Very truly yours,
/s/ Rita M. Molesworth
----------------------
Rita M. Molesworth
Enclosure
cc: Steven Jacobs, Branch Chief
Daniel R. McAuliffe
Jennifer Magro
Sean McKee
Gabriel Acri
<PAGE>
Securities and Exchange Commission
October 20, 2005
Page 4
General Partner's Significance Testing
--------------------------------------
<TABLE>
Smith Barney Diversified Futures Fund L.P.
<CAPTION>
<S> <C> <C>
Year ended
December 31, 2004 Investment in Winton Master Fund:
Fair value of investment in Winton Master Fund 16,141,889
Total Fund net assets 69,230,858
Percentage of Fund invested in Winton Master
Fund 23.32%
Income from Winton Master Fund 1,182,232
Fund net income 4,444,283
Percentage 26.60%
Quarter ended
March 31, 2005 Investment in Winton Master Fund:
Fair value of investment in Winton Master Fund 16,850,606
Total Fund net assets 63,967,867
Percentage of Fund invested in Winton Master
Fund 26.34%
Income from Winton Master Fund 1,117,481
Fund net income (loss) (3,986,265) 5,103,746*
Percentage 21.90%
* absolute value income
</TABLE>
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