<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: June 30, 1998
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 to Section 12(b) of the Act: None
Securities registered pursuant Limited Partnership Units
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 and non-voting common equity held by
non-affiliates: $ 1,531,642
<PAGE>
PART I. FINANCIAL INFORMATION
ITEM I. FINANCIAL STATEMENTS
THE MILLBURN CURRENCY FUND II, L.P.
Statements of Financial Condition (UNAUDITED)
<TABLE>
<CAPTION>
30-Jun-98 31-Dec-97
Assets: ------------ ------------
<S> <C> <C>
Investment in U.S. Treasury bills - at value
(amortized cost $1,798,305 at June 30, 1998) 1,798,305 1,757,480
Money market mutual funds 229,877 418,481
Options owned, at market value
(cost $28,325 at June 30, 1998) 30,188 8,000
Unrealized appreciation on open contracts (41,701) 19,299
Cash 42,208 60,578
------------ ------------
Total Assets $ 2,058,877 $ 2,263,838
============ ============
Liabilities & Partners' Capital:
Accounts payable and accrued expenses (15,268) 11,983
Redemptions payable to limited
partners, net 76,468 58,531
Accrued brokerage commissions 10,555 11,939
------------ ------------
Total Liabilities 71,755 82,453
Partners' Capital:
General Partner 455,480 458,401
Limited Partners (13,159 Limited
Partnership Units outstanding
- at June 30, 1998) 1,531,642 1,722,984
------------ ------------
Total Partners' Capital 1,987,122 2,181,385
------------ ------------
Total Liabilities and Partners' Capital $ 2,058,877 $ 2,263,838
============ ============
</TABLE>
See accompanying notes to financial statements.
<PAGE>
THE MILLBURN CURRENCY FUND II, L.P.
Statements of Operations
For the three months ended June 30, 1998 and 1997 (UNAUDITED)
<TABLE>
<CAPTION>
1998 1997
------------ ------------
<S> <C> <C>
Revenues:
Realized Gain(Loss) on Closed
Currency Contracts (23,530) (100,148)
Change in Unrealized Gain(Loss) on
Open Currency Contracts (60,561) 95,386
Interest Income 26,694 40,165
------------ ------------
$ (57,397) $ 35,403
Expenses:
Brokerage Commissions 32,529 41,206
Administrative 5,162 6,188
------------ ------------
$ 37,691 $ 47,394
============ ============
Net Income(Loss) $ (95,088) $ (11,991)
Net Income(Loss) allocated to General Partner $ (13,579) $ 5,103
Net Income(Loss) allocated to Limited Partners $ (81,509) $ (17,094)
Increase(Decrease) in Redemption Value
for each Unit outstanding throughout
each period $ (5.90) $ (1.01)
</TABLE>
See accompanying notes to financial statements.
<PAGE>
THE MILLBURN CURRENCY FUND II, L.P.
Statements of Operations
For the six months ended June 30, 1998 and 1997 (UNAUDITED)
<TABLE>
<CAPTION>
1998 1997
------------ ------------
<S> <C> <C>
Revenues:
Realized Gain(Loss) on Closed
Currency Contracts (66,795) 629,864
Change in Unrealized Gain(Loss) on
Open Currency Contracts 8,689 (175,537)
Interest Income 55,682 67,840
------------ ------------
$ (2,424) $ 522,167
Expenses:
Brokerage Commissions 66,522 86,552
Administrative 10,450 12,789
------------ ------------
$ 76,972 $ 99,341
============ ============
Net Income(Loss) $ (79,396) $ 422,826
Net Income(Loss) allocated to General Partner $ (2,921) $ 81,448
Net Income(Loss) allocated to Limited Partners $ (76,475) $ 341,378
Increase(Decrease) in Redemption Value
for each Unit outstanding throughout
each period $ (5.55) $ 18.51
</TABLE>
See accompanying notes to financial statements.
<PAGE>
THE MILLBURN CURRENCY FUND II, L.P.
Statements of Partners' Capital
For the three months ended June 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
Limited General
Partners Partner Total
------------ ------------ ------------
<S> <C> <C> <C>
Partners' Equity at
December 31, 1997 (14,130 Units) 1,722,984 458,401 2,181,385
Redemption of 971 Units (114,867) - (114,867)
Net Gain(Loss) in Partnership
Equity (76,475) (2,921) (79,396)
------------ ------------ ------------
Partnership Equity at
June 30, 1998 (13,159 Units) 1,531,642 455,480 1,987,122
============ ============ ============
Redemption Value per Unit
at June 30, 1998 116.39
============
</TABLE>
Statements of Cash Flows
For the three months ended June 30, 1998 and 1997 (UNAUDITED)
<TABLE>
<CAPTION>
1998 1997
------------ ------------
<S> <C> <C>
Cash Flows from Operating Activities:
Net Income(Loss) (79,396) 422,826
Adjustments to reconcile Net Income
(Loss) to Net Cash Flows from
Operating Activities:
Decrease (Increase) in Equity in
Futures and Forward Trading Accounts (2,012) (1,043,844)
(Decrease) Increase in Accrued Expenses (28,636) (65,964)
------------ ------------
Net Cash Flows from Operating Activities (110,044) (686,982)
Cash Flows from Financing Activities:
Redemption of Limited and General
Partner Units and Unit Equivalents (96,930) (284,317)
------------ ------------
Net Change in Cash (206,974) (971,299)
Cash - Beginning of Year 479,059 1,074,094
------------ ------------
Cash - End of Period 272,085 102,795
============ ============
</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, 1997.
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 six months ended June 30, 1998.
<TABLE>
<CAPTION>
30-Jun-98 31-Dec-97
------------- -------------
<S> <C> <C>
Ending Equity $ 1,987,122 $ 2,181,385
</TABLE>
The net assets decreased 8.91% in the first half of 1998. This was a result
of redemptions from the fund and net losses on trading.
Currency markets were quite changeable at the start of 1998. In January, the
swift reversal of a dollar uptrend produced losses on long dollar positions
versus Europe and Japan. In February, increased volatility led to widespread
losses in both dollar based and cross rate trading. Finally, in March,
currency markets were profitable primarily due to yen weakness versus U.S.
dollars, German marks and Canadian dollars. U.S. dollar strength relative to
a number of continental currencies also resulted in significant profits from
other long dollar positions in March.
Currency markets were erratic during the second quarter. A dollar up-trend
versus the European currencies at the end of March was reversed abruptly at
the beginning of April and losses were sustained on long dollar positions
against the German, Swiss, Danish, Spanish, French, Italian, and Norwegian
currencies. Meanwhile, small profits were made trading far eastern currencies
and emerging markets currencies in Eastern Europe. In May, short positions
in the yen versus the U.S. dollar, Deutschemark, Swiss franc, and Canadian
dollar were profitable, but only slightly outweighed losses produced in other
currency trading. In June, yen developments dominated the currency landscape.
The yen weakened rapidly at first and then surged strongly on central bank
intervention. On balance, our yen trading versus the dollar was profitable,
but there were losses compiled on yen crosses against Canadian dollars, Swiss
francs, and German marks.
<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 12th day of August, 1998.
THE MILLBURN CURRENCY FUND II, L.P.
By: Millburn Ridgefield Corporation,
General Partner
By /s/ Tod A. Tanis August 12, 1998
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> 6-MOS
<FISCAL-YEAR-END> DEC-31-1998
<PERIOD-START> APR-01-1998
<PERIOD-END> JUN-30-1998
<CASH> 272,085
<SECURITIES> 1,813,573
<RECEIVABLES> 0
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 2,058,877
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 2,058,877
<CURRENT-LIABILITIES> 71,755
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 1,987,122
<TOTAL-LIABILITY-AND-EQUITY> 2,058,877
<SALES> 0
<TOTAL-REVENUES> (2,424)
<CGS> 0
<TOTAL-COSTS> 66,522
<OTHER-EXPENSES> 10,450
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> (79,396)
<INCOME-TAX> 0
<INCOME-CONTINUING> 0
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> (79,396)
<EPS-PRIMARY> (5.55)
<EPS-DILUTED> (5.55)
</TABLE>
