<PAGE>
UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
(Mark One)
(X) QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
EXCHANGE ACT OF 1934
For the quarterly period ended September 30, 1996
------------------
OR
( ) TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
EXCHANGE ACT OF 1934
For the transition period from to
---------------- ----------------
Commission File Number 0-16746
ML FUTURES INVESTMENTS II L.P.
------------------------------
(Exact Name of Registrant as
specified in its charter)
Delaware 13-3481305
- ------------------------------- ---------------------------------
(State or other jurisdiction of (IRS Employer Identification No.)
incorporation or organization)
c/o Merrill Lynch Investment Partners Inc.
(formerly ML Futures Investment Partners Inc.)
Merrill Lynch World Headquarters months - South Tower, 6th Fl.
World Financial Center New York, New York 10080-6106
----------------------------------------------------
(Address of principal executive offices)
(Zip Code)
212-236-4161
--------------------------------------------------
(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
----- -----
This document contains 11 pages.
There are no exhibits and no exhibit index filed with this document.
<PAGE>
PART I - FINANCIAL INFORMATION
Item 1. Financial Statements
ML FUTURES INVESTMENTS II L.P.
------------------------------
(a Delaware limited partnership)
--------------------------------
STATEMENTS OF FINANCIAL CONDITION
---------------------------------
<TABLE>
<CAPTION>
September 30, December 31,
1996 1995
---- ----
<S> <C> <C>
ASSETS
- ------
Accrued interest $ 56,199 $ 65,021
Equity in commodity futures trading accounts:
Cash and option premiums 13,365,465 14,612,463
Net unrealized gain on open contracts 332,851 2,029,049
--------------- ---------------
TOTAL $13,754,515 $16,706,533
=============== ===============
LIABILITIES AND PARTNERS' CAPITAL
- ---------------------------------
LIABILITIES:
Redemptions payable $ 138,359 $ 351,715
Profit shares payable - 80,159
Brokerage commissions payable (Note 2) 111,755 139,221
Administrative expense payable (Note 2) 2,866 -
--------------- ---------------
Total liabilities 252,980 571,095
--------------- ---------------
PARTNERS' CAPITAL:
General Partner (1,229 and 1,229 units) 191,467 204,068
Limited Partners (85,426 and 95,936 units) 13,310,068 15,931,370
--------------- ---------------
Total partners' capital 13,501,535 16,135,438
--------------- ---------------
TOTAL $13,754,515 $16,706,533
=============== ===============
NET ASSET VALUE PER UNIT
(Based on 86,655 and 97,165 Units outstanding) $155.81 $166.06
======= =======
</TABLE>
See notes to financial statements.
2
<PAGE>
ML FUTURES INVESTMENTS II L.P.
------------------------------
(a Delaware limited partnership)
--------------------------------
STATEMENTS OF OPERATIONS
------------------------
<TABLE>
<CAPTION>
For the three For the three For the nine For the nine
months ended months ended months ended months ended
September 30, September 30, September 30, September 30,
1996 1995 1996 1995
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
REVENUES:
Trading (loss) profit:
Realized $(1,127,295) $707,905 1,641,400 $3,128,007
Change in unrealized 585,669 (2,147) (1,696,198) (1,234,313)
------------- ------------ ------------ ------------
Total trading results (541,626) 705,758 (54,798) 1,893,694
------------- ------------ ------------ ------------
Interest income 165,225 196,379 532,233 626,529
------------- ------------ ------------ ------------
Total revenues (376,401) 902,137 477,435 2,520,223
------------- ------------ ------------ ------------
EXPENSES:
Profit shares - 55,749 232,311 213,566
Brokerage commissions (Note 2) 325,325 396,087 1,120,212 1,221,409
Adminsitrative expense (Note 2) 8,341 - 28,723 -
------------- ------------ ------------ ------------
Total expenses 333,666 451,836 1,381,246 1,434,975
------------- ------------ ------------ ------------
NET (LOSS) INCOME $(710,067) $450,301 $(903,811) $1,085,248
============= ============ ============ ============
NET (LOSS) INCOME PER UNIT:
Weighted average number of units
outstanding 88,617 105,090 92,446 110,332
======= ======== ======= ========
Weighted average net (loss) income
per Limited Partner unit and
General Partner unit $(8.01) $4.29 $(9.78) $9.84
======= ======== ======= ========
</TABLE>
See notes to financial statements.
3
<PAGE>
ML FUTURES INVESTMENTS II L.P.
------------------------------
(a Delaware limited partnership)
------------------------------
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
------------------------------------------
For the nine months ended September 30, 1996 and 1995
-----------------------------------------------------
<TABLE>
<CAPTION>
Limited General
Units Partners Partner Total
----- -------- ------- -----
<S> <C> <C> <C> <C>
PARTNERS' CAPITAL,
DECEMBER 31, 1994 118,219 $16,537,685 $231,044 $16,768,729
Net income - 1,069,001 16,247 1,085,248
Redemptions (15,609) (2,275,935) - (2,275,935)
------------- ---------------- ------------- -----------------
PARTNERS' CAPITAL,
SEPTEMBER 30, 1995 102,610 $15,330,751 $247,291 $15,578,042
============= ================ ============= =================
PARTNERS' CAPITAL,
DECEMBER 31, 1995 97,165 $15,931,370 $204,068 $16,135,438
Net loss - (891,210) (12,601) (903,811)
Redemptions (10,510) (1,730,092) - (1,730,092)
------------- ---------------- ------------- -----------------
PARTNERS' CAPITAL,
SEPTEMBER 30, 1996 86,655 $13,310,068 $191,467 $13,501,535
============= ================ ============= =================
</TABLE>
See notes to financial statements.
4
<PAGE>
ML FUTURES INVESTMENTS II L.P.
(A Delaware Limited Partnership)
NOTES TO FINANCIAL STATEMENTS
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
These financial statements have been prepared without audit. In the opinion
of management, the financial statements contain all adjustments (consisting
of only normal recurring adjustments) necessary to present fairly the
financial position of ML Futures Investments II L.P. (the "Partnership" or
the "Fund") as of September 30, 1996 and the results of its operations for
the nine months ended September 30, 1996 and 1995. However, the operating
results for the interim periods may not be indicative of the results
expected for the full year.
Certain information and footnote disclosures normally included in annual
financial statements prepared in accordance with general accepted accounting
principles have been omitted. It is suggested that these financial
statements be read in conjunction with the financial statements and notes
thereto included in the Partnership's Annual Report on Form 10-K filed with
the Securities and Exchange Commission for the year ended December 31, 1995
(the "Annual Report").
2. RELATED PARTY TRANSACTIONS
The Partnership pays brokerage commissions to MLF at a flat monthly rate of
0.83 of 1% (a 10% annual rate) of the Partnership's month-end assets. Month-
end assets are not reduced for purposes of calculating brokerage commissions
by any accrued but unpaid brokerage commissions, Profit shares or other fees
or charges. Effective January 1, 1996, the brokerage commission the
Partnership pays to the Commodity Broker was reduced to .8125 (a 9.75%
annual rate), and the Partnership began to pay an administrative fee to the
General Partner of .020833% (a .25% annual rate). MLIP estimates that the
round-turn equivalent commission rate charged to the Partnership during the
nine months ended September 30, 1996 and 1995 was approximately $78 and $24,
respectively (not including, in calculating round-turn equivalents, forward
contracts on a futures-equivalent basis).
MLF pays the Advisors annual Consulting Fees ranging from 2% to 4% of the
Partnership's average month-end assets, after reduction for a portion of
brokerage commissions.
3. FAIR VALUE AND OFF-BALANCE SHEET RISK
The Partnership trades futures, options and forward contracts in interest
rates, stock indices, commodities, currencies, energy and metals. The
Partnership's revenues by reporting category for the nine months ended
September 30, 1996 were as follows:
<TABLE>
<CAPTION>
1996
----
<S> <C>
Interest rate and Stock indices $(170,290)
Commodities (167,210)
Currencies 422,289
Energy 828,603
Metals (968,190)
-------------
$(54,798)
=============
</TABLE>
Market Risk
-----------
Derivative instruments involve varying degrees of off-balance sheet market
risk, and changes in the level or volatility of interest rates, foreign
currency exchange rates or the market values of the financial instruments or
commodities underlying such derivative instruments frequently result in
changes in the Partnership's unrealized gain or loss on such derivative
instruments as reflected in the Statements of Financial Condition. The
Partnership's exposure to market risk is influenced by a number of factors,
including the relationships among the derivative instruments held by the
Partnership as well as the volatility and liquidity of the markets in which
the derivative instruments are traded.
The General Partner has procedures in place intended to control market risk,
although there can be no assurance that they will, in fact, succeed in doing
so. These procedures focus primarily on monitoring the trading of the
Advisors selected from time to time for the Partnership, calculating
5
<PAGE>
the Net Asset Value of the Advisors' respective Partnership accounts as of
the close of business on each day and reviewing outstanding positions for
over-concentration both on an Advisor-by-Advisor and on an overall
Partnership basis. While the General Partner will not itself intervene in
the markets to hedge or diversify the Partnership's market exposure, the
General Partner may urge Advisors to reallocate positions, or itself
reallocate Partnership assets among Advisors (although typically only as of
the end of a month) in an attempt to avoid over-concentrations. However,
such interventions are unusual. Except in cases in which it appears that an
Advisor has begun to deviate from past practice or trading policies or to be
trading erratically, the General Partner's basic risk control procedures
consist simply of the ongoing process of Advisor monitoring and selection,
with the market risk controls being applied by the Advisors themselves.
Fair Value
----------
The derivative instruments used in the Partnership's trading activities are
marked to market daily with the resulting unrealized gains or losses
recorded in the Statements of Financial Condition and the related profit or
loss reflected in trading revenues in the Statements of Operations. The
contract/notional values of the Partnership's open derivative instrument
positions as of September 30, 1996 and December 31, 1995 were as follows:
<TABLE>
<CAPTION>
1996 1995
-------------------------------------------- ---------------------------------------------
Commitment to Commitment to Commitment to Commitment to
Purchase (Futures, Sell (Futures, Purchase (Futures, Sell (Futures,
Options & Forwards) Options & Forwards) Options & Forwards) Options & Forwards)
------------------- ------------------- ------------------- -------------------
<S> <C> <C> <C> <C>
Interest rate
and Stock
indices $ 92,287,327 $ 786,315 $129,489,560 $31,263,822
Commodities 3,250,134 287,961 7,069,814 488,365
Currencies 19,392,709 23,254,646 4,837,858 7,541,184
Energy 1,540,789 - 3,753,322 1,008,952
Metals 8,536,854 6,297,116 9,115,049 1,405,316
------------------ ------------------ ------------------ ------------------
$125,007,813 $30,626,038 $154,265,603 $41,707,639
================== ================== ================== ==================
</TABLE>
Substantially all of the Partnership's derivative instruments outstanding as
of September 30, 1996 expire within one year.
The contract/notional value of the Partnership's exchange-traded and non-
exchange-traded derivative instrument positions as of September 30, 1996 and
December 31, 1995 was as follows:
<TABLE>
<CAPTION>
1996 1995
----------------------------------------------- --------------------------------------------
Commitment to Commitment to Commitment to Commitment to
Purchase (Futures, Sell (Futures, Purchase (Futures, Sell (Futures,
Options & Forwards) Options & Forwards) Options & Forwards) Options & Forwards)
------------------- ------------------- ------------------- -------------------
<S> <C> <C> <C> <C>
Exchange
traded $101,758,003 $ 6,588,842 $149,690,079 $39,752,029
Non-Exchange
traded 23,249,810 24,037,196 4,575,524 1,955,610
-------------------- -------------------- --------------------- --------------------
$125,007,813 $30,626,038 $154,265,603 $41,707,639
==================== ==================== ===================== ====================
</TABLE>
6
<PAGE>
The average fair value of the Partnership's derivative instrument positions
which were open as of the end of each calendar month during the nine months
ended September 30, 1996 and the year ended December 31, 1995 was as follows:
<TABLE>
<CAPTION>
1996 1995
--------------------------------------------- ---------------------------------------------
Commitment to Commitment to Commitment to Commitment to
Purchase (Futures, Sell (Futures, Purchase (Futures, Sell (Futures,
Options & Forwards) Options & Forwards) Options & Forwards) Options & Forwards)
------------------- ------------------- ------------------- -------------------
<S> <C> <C> <C> <C>
Interest rate
and Stock
indices $61,819,490 $31,813,262 $ 87,503,045 $ 9,790,296
Commodities 8,535,100 632,224 6,850,876 1,132,188
Currencies 9,913,632 12,785,023 9,693,546 11,307,390
Energy 2,847,861 613,726 2,831,169 677,595
Metals 11,489,508 3,534,853 7,755,902 2,700,777
------------------ ----------------- -------------------- -------------------
$94,605,591 $49,379,088 $114,634,538 $25,608,246
================== ================= ==================== ===================
</TABLE>
A portion of the amounts indicated as off-balance sheet risk reflects
offsetting commitments to purchase and sell the same derivative instrument on
the same date in the future. These commitments are economically offsetting but
are not, as a technical matter, offset in the forward market until the
settlement date.
Credit Risk
-----------
The risks associated with exchange-traded contracts are typically perceived to
be less than those associated with over-the-counter (non-exchange-traded)
transactions, because exchanges typically (but not universally) provide
clearinghouse arrangements in which the collective credit (in some cases
limited in amount, in some cases not) of the members of the exchange is pledged
to support the financial integrity of the exchange. In over-the-counter
transactions, on the other hand, traders must rely solely on the credit of
their respective individual counterparties. Margins, which may be subject to
loss in the event of a default, are generally required in exchange trading, and
counterparties may also require margin in the over-the-counter markets.
The fair value amounts in the above tables represent the extent of the
Partnership's market exposure in the particular class of derivative instrument
listed, but not the credit risk associated with counterparty nonperformance.
The credit risk associated with these instruments from counterparty
nonperformance is the net unrealized gain, if any, included in the Statements
of Financial Condition. The Partnership also has credit risk because the sole
counterparty or broker with respect to most of the Partnership's assets is MLF.
As of September 30, 1996 and December 31, 1995, $9,385,924 and $13,723,065 of
the Partnership's assets, respectively, were held in segregated accounts at MLF
in accordance with Commodity Futures Trading Commission regulations.
The gross unrealized gain and the net unrealized gain on the Partnership's open
derivative instrument positions as of September 30, 1996 and December 31, 1995
were as follows:
<TABLE>
<CAPTION>
1996 1995
---- ----
Gross Net Gross Net
Unrealized Unrealized Unrealized Unrealized
Gain Gain (Loss) Gain Gain (Loss)
---- ----------- ---- -----------
<S> <C> <C> <C> <C>
Exchange
traded $ 705,130 $ 334,661 $1,523,390 $1,128,424
Non-Exchange
traded 392,750 (1,810) 54,965 900,625
-------------------- -------------------- --------------------- --------------------
$1,097,880 $332,851 $1,578,355 $2,029,049
==================== ==================== ===================== ====================
</TABLE>
The Partnership controls credit risk by dealing almost exclusively with Merrill
Lynch entities as brokers and counterparties.
The Partnership through its normal course of business enters into various
contracts with MLF acting as its commodity broker. Pursuant to the brokerage
arrangement with MLF, such trading which results in receivables from and
payables to MLF will be offset and reported as a net receivable or payable.
7
<PAGE>
Item 2: Management's Discussion and Analysis of Financial Condition and Results
-----------------------------------------------------------------------
of Operation
------------
Operational Overview: Advisor Selections
- ----------------------------------------
Due to the nature of the Fund's business, its results of
operations depend on MLIP's ability to select Advisors and determine the
appropriate percentage of assets to allocate to them for trading, as well as the
Advisors' ability to recognize and capitalize on trends and other profit
opportunities in different sectors of the world commodity markets. MLIP's
Advisor selection procedure and leveraging analysis, as well as the Advisors'
trading methods, are confidential, so that substantially the only information
that can be furnished regarding the Fund's results of operations is contained in
the performance record of its trading. Unlike operating businesses, general
economic or seasonal conditions do not directly affect the profit potential of
the Fund, and its past performance is not necessarily indicative of future
results. Because of the speculative nature of its trading, operational or
economic trends have little relevance to the Fund's results. MLIP believes,
however, that there are certain market conditions, for example, markets with
strong price trends, in which the Fund has a better likelihood of being
profitable than in others.
As of October 1, 1996, the Partnership's assets were allocated
as follows:
Trading Advisor Markets Traded % Allocation
- --------------- -------------- ------------
Chesapeake Capital Corporation Diversified 26.40
Sjo, Inc. Diversified 24.80
West Course Capital, Inc. Diversified 22.03
Trendstat Capital Management, Inc, Currencies 26.77
------
100.00%
MLIP expects to continue to change both allocations and Advisor
selections from time to time without advance notice to existing investors.
Results of Operations - General
- -------------------------------
MLIP believes that multi-Advisor futures funds should be
regarded as medium- to long-term investments but, unlike an operating business,
it is difficult to identify "trends" in the Fund's operations and virtually
impossible to make any predictions regarding future results based on results to
date.
Markets in which sustained price trends occur with some
frequency tend to be more favorable to managed futures investments than
"whipsaw," "choppy" markets, but (i) this is not always the case, (ii) it is
impossible to predict when trending markets will occur and (iii) different
Advisors are affected differently by trends in general as well as by particular
types of trends.
The Fund controls credit risk in its trading in the derivatives
markets by trading only through Merrill Lynch entities which MLIP believes to be
creditworthy. The Fund attempts to control the market risk inherent in its
derivatives trading by utilizing a multi-advisor, multi-strategy structure. This
structure purposefully attempts to diversify the Fund's Advisor group among
different strategy types and market sectors in an effort to reduce risk
(although the Fund's portfolio currently emphasizes technical and
trend-following approaches).
Performance Summary
- -------------------
During the first nine months of 1995, the Fund's average
month-end Net Assets equalled $15,910,159, and the Fund recognized gross trading
gains of $1,893,694 or 11.90% of such average month-end Net Assets. Brokerage
commissions of $1,221,409 or 7.68% and Profit Shares of $213,566 or 1.34% of
average month-end Net Assets were paid. Interest income of $626,529 or 3.94% of
average month-end Net Assets resulted in a net gain of $1,085,248 or 6.82% of
average month-end Net Assets, which resulted in a 7.04% increase in the Net
Asset Value per Unit since December 31, 1994.
During the first nine months of 1996, the Fund's average
month-end Net Assets equalled $15,177,851, and the Fund recognized gross trading
losses of $54,798 or 0.36% of such average month-end Net Assets. Brokerage
commissions of $1,120,212 or 7.38%, Administrative expenses of $28,723 or .19%
and Profit Shares of $232,311 or 1.53% of average month-end Net Assets were
paid. Interest income of $532,233 or 3.51% of average month-end Net Assets
resulted in net loss of $903,811 or 5.95% of average month-end Net Assets which
resulted in a 6.17% decrease in the Net Value per Unit since December 31, 1995.
8
<PAGE>
During the first nine months of 1996 and 1995, the Fund
experienced 10 profitable months and 8 unprofitable months.
MONTH-END NET ASSET VALUE PER UNIT
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------
Jan. Feb. Mar. April May June July Aug. Sept.
----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1995 $137.22 $137.47 $145.26 $145.14 $154.53 $147.52 $145.50 $150.48 $151.82
----------------------------------------------------------------------------------------------------
1996 $171.43 $165.47 $171.43 $177.03 $168.65 $163.61 $147.36 $153.84 $155.81
----------------------------------------------------------------------------------------------------
</TABLE>
Importance of Market Factors
- ----------------------------
Comparisons between the Fund's performance in a given period in
one fiscal year to the same period in a prior year are unlikely to be
meaningful, given the uncertainty of price movements in the markets traded by
the Fund. In general, MLIP expects that the Fund is most likely to trade
successfully in markets which exhibit strong and sustained price trends. The
current Advisor group emphasizes technical and trend-following methods.
Consequently, one would expect that in trendless, "choppy" markets the Fund
would likely be unprofitable, while in markets in which major price movements
occur, the Fund would have its best profit potential (although there could be no
assurance that the Fund would, in fact, trade profitably). However,
trend-followers not infrequently will miss major price movements, and market
corrections can result in rapid and material losses (sometimes as much as 5% in
a single day). Although MLIP monitors market conditions and Advisor performance
on an ongoing basis in overseeing the Fund's trading, MLIP does not attempt to
"market forecast" or to "match" trading styles with predicted market conditions.
Rather, MLIP concentrates on quantitative and qualitative analysis of
prospective Advisors, as well as on statistical studies of the historical
performance parameters of different Advisor combinations in selecting Advisors
and allocating and reallocating Fund assets among them.
Because managed futures advisors' strategies are proprietary and
confidential and market movements unpredictable, selecting advisors to implement
speculative trading strategies involves considerable uncertainty. Furthermore,
the concentration of the Fund's current Advisor portfolio, both in terms of the
number of managers retained and the common emphasis of their strategies on
technical and trend-following methods, increases the risk that unexpectedly bad
performance, turbulent market conditions or a combination of the two will result
in significant losses.
MLIP's Advisor Selections
- -------------------------
MLIP has no timetable or schedule for making Advisor changes or
reallocations, and generally intends to make a medium- to long-term commitment
to all Advisors selected. However, there can be no assurance as to the frequency
or number of the Advisor changes which may take place in the future, or as to
how long any of the current Advisors will continue to manage assets for the
Fund.
Liquidity
- ---------
Most of the Partnership's assets are held as cash which, in
turn, is used to margin its futures positions and earn interest income and is
withdrawn, as necessary, to pay redemptions and fees.
The futures contracts in which the Partnership trades may become
illiquid under certain market conditions. Commodity exchanges limit fluctuations
in futures prices during a single day by regulations referred to as "daily
limits." During a single day no trades may be executed at prices beyond the
daily limit. Once the price of a futures contract for a particular commodity has
increased or decreased by an amount equal to the daily limit, positions in the
commodity can generally neither be taken nor liquidated unless traders are
willing to effect trades at or within the limit. Futures contracts have
occasionally moved to the daily limit for several consecutive days with little
or no trading. Such market conditions could prevent the Partnership from
promptly liquidating its futures (including its options) positions. There are no
limitations on the daily price moves in trading foreign currency forward
contracts through banks, although illiquidity may develop in the forward markets
due to large spreads between "bid" and "ask" prices quoted. (Forward contracts
are the bank version of currency futures contracts and are not traded on
exchanges.)
Capital Resources
- -----------------
The Partnership does not have, nor does it expect to have, any
capital assets and has no material commitments for capital expenditures. The
Partnership uses its assets to supply the necessary margin or premiums for, and
to pay any losses incurred in connection with, its trading activity and to pay
redemptions and fees.
Inflation is not a significant factor in the Fund's
profitability, although inflationary cycles can give rise to the type of major
price movements which can have a materially favorable or adverse impact on the
Fund's performance.
9
<PAGE>
PART II - OTHER INFORMATION
Item 1. Legal Proceedings
None.
Item 2. Changes in Securities.
None.
Item 3. Defaults Upon Senior Securities
None.
Item 4. Submission of Matters to a Vote of Security Holders
None.
Item 5. Other Information.
None.
Item 6. Exhibits and Reports on Form 8-K.
(a) Exhibits
--------
There are no exhibits required to be filed as part of this
document.
(b) Reports on Form 8-K
-------------------
There were no reports on Form 8-K filed during the first nine
months of fiscal 1996.
10
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.
ML FUTURES INVESTMENTS II L.P.
By: MERRILL LYNCH INVESTMENT PARTNERS INC.
(General Partner)
Date: November 11, 1996 By /s/JOHN R. FRAWLEY, JR.
-----------------------
John R. Frawley, Jr.
President, Chief Executive Officer
and Director
Date: November 11, 1996 By /s/JAMES M. BERNARD
-------------------
James M. Bernard
Chief Financial Officer,
Treasurer and Senior Vice President
11
<TABLE> <S> <C>
<PAGE>
<ARTICLE> BD
<LEGEND>
THIS SCHEDULE CONTAINS SUMMARY FINANCIAL INFORMATION EXTRACTED FROM CONSOLIDATED
STATEMENTS OF FINANCIAL CONDITION CONSOLIDATED STATEMENTS OF OPERATIONS,
CONSOLIDATED STATEMENTS OF CHANGES IN PARTNERS' CAPITAL AND IS QUALIFIED IN ITS
ENTIRETY BY REFERENCE TO SUCH FINANCIAL STATEMENTS.
</LEGEND>
<CIK> 0000811533
<NAME> ML FUTURES INVESTMENTS II L.P.
<S> <C> <C>
<PERIOD-TYPE> 9-MOS 9-MOS
<FISCAL-YEAR-END> DEC-31-1995 DEC-31-1994
<PERIOD-START> JAN-01-1996 JAN-01-1995
<PERIOD-END> SEP-30-1996 SEP-30-1995
<CASH> 0 0
<RECEIVABLES> 13,754,515 15,970,465
<SECURITIES-RESALE> 0 0
<SECURITIES-BORROWED> 0 0
<INSTRUMENTS-OWNED> 0 0
<PP&E> 0 0
<TOTAL-ASSETS> 13,754,515 15,970,465
<SHORT-TERM> 252,980 392,423
<PAYABLES> 0 0
<REPOS-SOLD> 0 0
<SECURITIES-LOANED> 0 0
<INSTRUMENTS-SOLD> 0 0
<LONG-TERM> 0 0
0 0
0 0
<COMMON> 0 0
<OTHER-SE> 13,501,535 15,578,042
<TOTAL-LIABILITY-AND-EQUITY> 13,754,515 15,970,465
<TRADING-REVENUE> (54,798) 1,893,694
<INTEREST-DIVIDENDS> 532,233 626,529
<COMMISSIONS> 1,381,246 1,434,975
<INVESTMENT-BANKING-REVENUES> 0 0
<FEE-REVENUE> 0 0
<INTEREST-EXPENSE> 0 0
<COMPENSATION> 0 0
<INCOME-PRETAX> (903,811) 1,085,248
<INCOME-PRE-EXTRAORDINARY> (903,811) 1,085,248
<EXTRAORDINARY> 0 0
<CHANGES> 0 0
<NET-INCOME> (903,811) 1,085,248
<EPS-PRIMARY> (9.78) 9.84
<EPS-DILUTED> (9.78) 9.84
</TABLE>
