<PAGE>
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
[X] Quarterly Report Pursuant to Section 13 or 15(d)
of the Securities Exchange Act of 1934
For the Quarterly Period Ended: September 30, 1997
or
[ ] Transition Report Pursuant to Section 13 or 15(d)
of the Securities Exchange Act of 1934
Commission File Number: 0-19436
THE MILLBURN CURRENCY FUND II, L.P.
(Exact name of registrant as specified in its charter)
Delaware 22-3117668
(State or other jurisdiction (I.R.S. Employer
of incorporation or organization) Identification No.)
c/o MILLBURN RIDGEFIELD CORPORATION
411 West Putnam Avenue
Greenwich, Connecticut 06830
(Address of principal executive offices)
Registrant's telephone number, including area code: (203) 625-7554
Securities registered pursuant None
to Section 12(b) of the Act:
Securities registered pursuant Units of Beneficial Interest
to Section 12(g) of the Act: (Title of Class)
Indicate by check mark whether the registrant (1) 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 [ ]
Aggregate market value of the voting stock held by non-
affiliates: the registrant is a limited partnership and, accordingly
has no voting stock held by non-affiliates or otherwise.
<PAGE>
PART I. FINANCIAL INFORMATION
ITEM I. FINANCIAL STATEMENTS
THE MILLBURN CURRENCY FUND II, L.P.
Statements of Financial Condition (UNAUDITED)
<TABLE>
<CAPTION>
30-Sep-97 31-Dec-96
Assets: ------------ ------------
<S> <C> <C>
Investment in U.S. Treasury bills - at value
(amortized cost $2,381,984 at Sept. 30, 1997) 2,190,629 1,260,941
Money market mutual funds 222,082 977,953
Options owned, at market value (cost $0 at
September 30, 1997) 0 67,938
Unrealized appreciation on open contracts 3,327 121,334
Cash 44,419 96,141
------------ ------------
Total Assets $ 2,460,457 $ 2,524,307
============ ============
Liabilities & Partners' Capital:
Accounts payable and accrued expenses 8,975 72,493
Redemptions payable to limited
partners, net 163,272 194,830
Accrued brokerage commissions 13,289 13,831
------------ ------------
Total Liabilities 185,536 281,154
Partners' Capital:
General Partner 458,179 356,538
Limited Partners (14,610 Limited
Partnership Units outstanding
- at September 30, 1997) 1,816,742 1,886,615
------------ ------------
Total Partners' Capital 2,274,921 2,243,153
------------ ------------
Total Liabilities and Partners' Capital $ 2,460,457 $ 2,524,307
============ ============
</TABLE>
See accompanying notes to financial statements.
<PAGE>
THE MILLBURN CURRENCY FUND II, L.P.
Statements of Operations
For the three months ended September 30, 1997 and 1996 (UNAUDITED)
<TABLE>
<CAPTION>
1997 1996
------------ ------------
<S> <C> <C>
Revenues:
Realized Gain(Loss) on Closed Contracts 92,503 (252,681)
Change in Unrealized Gain(Loss) (10,408) (39,659)
Realized Gain(Loss) on U.S. Government
Treasury Stripped Notes - 1,520
Change in Unrealized Gain(Loss) on U.S.
Government Treasury Stripped Notes - (6,847)
Interest Income 33,507 25,708
------------ ------------
$ 115,602 $ (271,959)
Reserve Assets:
Gain(Loss) on market value of U.S.
Government Treasury Stripped Notes - (21,632)
Accrued Interest from U.S. Government
Treasury Stripped Notes - 73,238
------------ ------------
$ - $ 51,606
Expenses:
Brokerage Commissions 40,308 126,059
Administrative 6,203 19,499
------------ ------------
$ 46,511 $ 145,558
============ ============
Net Income(Loss) $ 69,091 $ (365,911)
Net Income(Loss) allocated to General Partner $ 20,193 $ (14,405)
Net Income(Loss) allocated to Limited Partners $ 48,898 $ (351,506)
Increase(Decrease) in Redemption Value
for each Unit outstanding throughout
each period $ 3.07 $ (6.79)
</TABLE>
See accompanying notes to financial statements.
<PAGE>
THE MILLBURN CURRENCY FUND II, L.P.
Statements of Operations
For the nine months ended September 30, 1997 and 1996 (UNAUDITED)
<TABLE>
<CAPTION>
1997 1996
------------ ------------
<S> <C> <C>
Revenues:
Realized Gain(Loss) on Closed Contracts 722,367 (133,656)
Change in Unrealized Gain(Loss) (185,945) 447,411
Realized Gain(Loss) on U.S. Government
Treasury Stripped Notes - 19,209
Change in Unrealized Gain(Loss) on U.S.
Government Treasury Stripped Notes - (31,821)
Interest Income 101,347 98,163
------------ ------------
$ 637,769 $ 399,306
Reserve Assets:
Gain(Loss) on market value of U.S.
Government Treasury Stripped Notes - (70,949)
Accrued Interest from U.S. Government
Treasury Stripped Notes - 197,373
------------ ------------
$ - $ 126,424
Expenses:
Brokerage Commissions 126,860 417,247
Administrative 18,992 57,151
------------ ------------
$ 145,852 $ 474,398
============ ============
Net Income(Loss) $ 491,917 $ 51,332
Net Income(Loss) allocated to General Partner $ 101,641 $ 23,717
Net Income(Loss) allocated to Limited Partners $ 390,276 $ 27,615
Increase(Decrease) in Redemption Value
for each Unit outstanding throughout
each period $ 21.58 $ 0.14
</TABLE>
See accompanying notes to financial statements.
<PAGE>
THE MILLBURN CURRENCY FUND II, L.P.
Statements of Partners' Capital
For the nine months ended September 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
Limited General
Partners Partner Total
------------ ------------ ------------
<S> <C> <C> <C>
Partners' Equity at December 31,
1996 (18,358 Units) 1,886,615 356,538 2,243,153
Redemption of 3,748 Units (460,149) - (460,149)
Net Gain(Loss) in Partnership
Equity 390,276 101,641 491,917
------------ ------------ ------------
Partnership Equity at
September 30, 1997 1,816,742 458,179 2,274,921
(14,610 Units)
============ ============ ============
Redemption Value per Unit
at September 30, 1997 124.35
============
</TABLE>
Statements of Cash Flows
For the nine months ended September 30, 1997 and 1996 (UNAUDITED)
<TABLE>
<CAPTION>
1997 1996
------------ ------------
<S> <C> <C>
Cash Flows from Operating Activities:
Net Income(Loss) 491,917 51,332
Adjustments to reconcile Net Income
(Loss) to Net Cash Flows from
Operating Activities:
Decrease (Increase) in Equity in
Futures and Forward Trading Accounts (729,534) 1,012,623
(Decrease) Increase in Accrued Expenses (122,387) 42,369
------------ ------------
Net Cash Flows from Operating Activities (360,004) 1,106,324
Cash Flows from Financing Activities:
Redemption of Limited and General
Partner Units and Unit Equivalents (447,589) (1,045,263)
------------ ------------
Net Change in Cash (807,593) 61,061
Cash - Beginning of Year 1,074,094 101,131
------------ ------------
Cash - End of Period 266,501 162,192
============ ============
</TABLE>
See accompanying notes to financial statements.
<PAGE>
THE MILLBURN CURRENCY FUND II, L.P. NOTES TO FORM 10-Q
These interim consolidated financial statements do not include all the
disclosures contained in the annual financial statements. These interim
statements have been prepared by management without audit by Independent
Public Accountants. The consolidated statements of financial condition has
been derived from the audited financial statements as of December 31, 1996.
The consolidated results of operation as displayed, should not be considered
indicative of results to be expected for the entire year.
Management discussion and analysis of the consolidated financial statements
for the nine months ended September 30, 1997.
<TABLE>
<CAPTION>
30-Sep-97 31-Dec-96
------------- -------------
<S> <C> <C>
Ending Equity $ 2,274,921 $ 2,243,153
</TABLE>
Note A:
Ending equity at September 30, 1997 is greater than ending equity at
December 31, 1996 due to profits during the period.
<PAGE>
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, in the
City of New York and State of New York on the 2nd day of December, 1997.
THE MILLBURN CURRENCY FUND II, L.P.
By: Millburn Ridgefield Corporation,
General Partner
By /s/ Tod A. Tanis December 2, 1997
Tod A. Tanis
Vice-President
<TABLE> <S> <C>
<ARTICLE> 5
<LEGEND>
THIS SCHEDULE CONTAINS SUMMARY FINANCIAL INFORMATION EXTRACTED FROM
STATEMENTS OF FINANCIAL CONDITION AND IS QUALIFIED IN ITS ENTIRETY BY
REFERENCE TO SUCH FINANCIAL STATEMENTS.
</LEGEND>
<S> <C>
<PERIOD-TYPE> 9-MOS
<FISCAL-YEAR-END> DEC-31-1997
<PERIOD-START> JAN-01-1997
<PERIOD-END> SEP-30-1997
<CASH> 266,501
<SECURITIES> 2,190,629
<RECEIVABLES> 0
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 2,460,457
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 2,460,457
<CURRENT-LIABILITIES> 185,536
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 2,274,921
<TOTAL-LIABILITY-AND-EQUITY> 2,460,457
<SALES> 0
<TOTAL-REVENUES> 0
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 145,852
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 491,917
<INCOME-TAX> 0
<INCOME-CONTINUING> 0
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> 491,917
<EPS-PRIMARY> 21.58
<EPS-DILUTED> 21.58
</TABLE>
