<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, 1999
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: $ 1,160,674
<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-99 31-Dec-98
Assets: ------------ ------------
<S> <C> <C>
Investment in Millburn Currency Fund -
at value $ 1,740,089 $ 1,867,851
Money market mutual funds 16,177 3,749
Prepaid administration fees 13,741 418
------------ ------------
Total Assets $ 1,770,007 $ 1,872,018
============ ============
Liabilities & Partners' Capital:
Net unrealized depreciation on
open contracts - 529
Redemptions payable to limited
partners, net 115,101 48,378
Accrued brokerage commissions 8,486 9,490
------------ ------------
Total Liabilities 123,587 58,397
Partners' Capital:
General Partner 485,746 447,892
Limited Partners (10,132 Limited
Partnership Units outstanding
- at June 30, 1999) 1,160,674 1,365,729
------------ ------------
Total Partners' Capital 1,646,420 1,813,621
------------ ------------
Total Liabilities and Partners' Capital $ 1,770,007 $ 1,872,018
============ ============
</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, 1999 and 1998 (UNAUDITED)
<TABLE>
<CAPTION>
1999 1998
------------ ------------
<S> <C> <C>
Revenues:
Realized Gain(Loss) on Closed
Currency Contracts $ 18,547 $ (23,530)
Change in Unrealized Gain(Loss) on
Open Currency Contracts 5,392 (60,561)
Interest Income 19,138 26,694
------------ ------------
$ 43,077 $ (57,397)
Expenses:
Brokerage Commissions 25,612 32,529
Administrative 4,355 5,162
------------ ------------
$ 29,967 37,691
============ ============
Net Income(Loss) $ 13,110 $ (95,088)
Net Income(Loss) allocated to General Partner $ 10,596 $ (13,579)
Net Income(Loss) allocated to Limited Partners $ 2,514 (81,509)
Increase(Decrease) in Redemption Value
for each Unit outstanding throughout
each period $ .22 $ (5.90)
</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, 1999 and 1998 (UNAUDITED)
<TABLE>
<CAPTION>
1999 1998
------------ ------------
<S> <C> <C>
Revenues:
Realized Gain(Loss) on Closed
Currency Contracts $ 74,301 $ (66,795)
Change in Unrealized Gain(Loss) on
Open Currency Contracts 41,953 8,689
Interest Income 41,059 55,682
------------ ------------
$ 157,313 $ (2,424)
Expenses:
Brokerage Commissions 53,689 66,522
Administrative 8,924 10,450
------------ ------------
$ 62,613 76,972
============ ============
Net Income(Loss) $ 94,700 $ (79,396)
Net Income(Loss) allocated to General Partner $ 37,854 $ (2,921)
Net Income(Loss) allocated to Limited Partners $ 56,846 $ (76,475)
Increase(Decrease) in Redemption Value
for each Unit outstanding throughout
each period $ 4.60 $ (5.55)
</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, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
Limited General
Partners Partner Total
------------ ------------ ------------
<S> <C> <C> <C>
Partners' Equity at
December 31, 1998 (12,421 Units) 1,365,729 447,892 1,813,621
Redemption of 2289 Units (261,901) - (261,901)
Net Gain(Loss) in Partnership
Equity 56,846 37,854 94,700
------------ ------------ ------------
Partnership Equity at
June 30, 1999 (10,132 Units) 1,160,674 485,746 1,646,420
============ ============ ============
Redemption Value per Unit
at June 30, 1999 114.55
============
</TABLE>
Statements of Cash Flows
For the three months ended June 30, 1999 and 1998 (UNAUDITED)
<TABLE>
<CAPTION>
1999 1998
------------ ------------
<S> <C> <C>
Cash Flows from Operating Activities:
Net Income(Loss) 94,700 (79,396)
Adjustments to reconcile Net Income
(Loss) to Net Cash Flows from
Operating Activities:
Decrease (Increase) in Equity in
Futures and Forward Trading Accounts 127,095 (2,012)
(Decrease) Increase in Accrued Expenses (2,756) (28,636)
------------ ------------
Net Cash Flows from Operating Activities 219,039 (110,044)
Cash Flows from Financing Activities:
Redemption of Limited and General
Partner Units and Unit Equivalents 206,611 (96,930)
------------ ------------
Net Change in Cash 12,428 (206,974)
Cash - Beginning of Year 3,749 479,059
------------ ------------
Cash - End of Period 16,177 272,085
============ ============
</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, 1998.
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, 1999.
<TABLE>
<CAPTION>
30-Jun-99 31-Dec-98
------------- -------------
<S> <C> <C>
Ending Equity $ 1,646,420 $ 1,813,621
</TABLE>
The net assets decreased 2,41% in the first half of 1999. This was a result
of redemptions from the fund and net losses on trading.
The fund was profitable during January-March 1999. Long US dollar positions
vis-a-vis the Euro, Swiss franc and Danish krone were extremely profitable.
Continued strong economic growth in the United States compared to sluggish
performance in Europe, high interest rates on dollar investments while
short-term European rates were declining, and concern about the impact of
the NATO action in Kosovo on fiscal policy and economic growth throughout
Europe, all combined to depress the European currencies against the dollar.
The dollar/yen exchange rate traded erratically in a 110-122 range during
the quarter, producing significant losses on both long and short positions.
Trading of the weak Euro versus the Japanese yen and Norwegian krone,
boosted by rising o8il prices, was profitable, while trading of the yen
versus the Swiss franc and Canadian dollar was slightly unprofitable. In
the exotic sector, a loss on a long Brazilian real position was registered
in January as the short-lived economic crisis ensued in Brazil.
The Fund registered a moderate gain during the second quarter. Profits
from trading the dollar against the European currencies, and from exotic
currency basket trading outweighed losses from trading the Japanese yen
against the dollar, and from cross rate trading of major currencies. A
long dollar position versus the persistently weak euro was profitable,
as was a long dollar position vis-`-vis the Swiss franc. Long positions
in exotic currencies were also profitable during the quarter. On the
other hand, trading of dollar/yen was unprofitable as Japan's currency
continued to whipsaw in the broad 115-125 (Yen) range. These erratic yen
fluctuations also resulted in losses versus the euro and Swiss franc.
The Year 2000 Computer Issue
Many existing computer systems use only two digits to refer to a year.
This technique can cause the systems to treat the year 2000 as 1900, an
effect commonly known as the "Year 2000 Problem." The Fund, like other
financial and business organizations, depends on the smooth functioning of
computer systems and could be adversely affected if the computer systems
on which it relies do not properly process and calculate date-related
information concerning dates on or after January 1, 2000.
The Managing Owner administers the business of the Fund through various
systems and processes maintained by the Managing Owner. The Managing
Owner's modifications for Year 2000 compliance are proceeding and are
expected to be completed, with respect to mission-critical and all other
systems, by the 3rd quarter of 1999. The expenses incurred to date
by the Managing Owner in preparing for Year 2000 compliance have not
had a material adverse impact on the Managing Owner's financial position,
and the expenses to be incurred in becoming fully Year 2000 compliant are
not expected to have a material adverse impact on the Managing Owner's
financial position. The Fund itself has no systems or information
technology applications relevant to its operations and, thus, has no
expenses related to addressing the Year 2000 Problem.
In addition to the Managing Owner, the Fund is dependent on the capability
of the various exchanges, Clearing Brokers and other third parties with
which the Fund has material relationships to prepare adequately for the
Year 2000 Problem and its impact on their systems and processes. The
major U.S. futures exchanges participated in the Futures Industry Association
Y2K Beta Test during September 1998 and will participate in the Futures
Industry Association Y2K industry-wide test for Year 2000 compliance during
the first and second quarters of 1999. The Futures Industry Association
Y2K Tests are to test links with outside entities. The Clearing Brokers
are addressing their Year 2000 issues and will participate in the Futures
Industry Association Y2K industry-wide test for Year 2000 compliance during
the first and second quarters of 1999. The Managing Owner has implemented
procedures to monitor the progress of the Clearing Brokers, and other third
parties with which the Fund has a material relationship in addressing their
Year 2000 issues.
The most likely and most significant risk to the Fund associated with the
lack of Year 2000 readiness is the failure of third parties, including the
Clearing Brokers, exchanges, foreign exchange counterparties and various
regulators to resolve their Year 2000 issues in a timely manner. This
risk could involve the temporary inability to transfer funds electronically
or to determine the Net Asset Value of the Fund, in which case sales could
be suspended and/or redemption payments delayed until the Fund's assets
could be valued and/or funds could be transferred. If the Managing Owner
believes, prior to December 31, 1999, that any third party has failed to
resolve a Year 2000 issue likely to have a material adverse impact on the
Fund, the Managing Owner will attempt to close any Fund positions carried
by such third party or exposed to such third party's failure to resolve its
Year 2000 issue and to cease trading with or through such third party until
such issue is resolved.
<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 second day of August, 1999.
THE MILLBURN CURRENCY FUND II, L.P.
By: Millburn Ridgefield Corporation,
General Partner
By /s/ Tod A. Tanis August 2, 1999
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-31-1999
<PERIOD-START> APR-01-1999
<PERIOD-END> JUN-30-1999
<CASH> 16,177
<SECURITIES> 1,740,089
<RECEIVABLES> 0
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 1,770,007
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 1,770,007
<CURRENT-LIABILITIES> 123,587
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 1,646,420
<TOTAL-LIABILITY-AND-EQUITY> 1,770,007
<SALES> 0
<TOTAL-REVENUES> 43,077
<CGS> 0
<TOTAL-COSTS> 25,612
<OTHER-EXPENSES> 4,355
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 13,110
<INCOME-TAX> 0
<INCOME-CONTINUING> 0
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> 13,110
<EPS-BASIC> .22
<EPS-DILUTED> .22
</TABLE>
