<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, 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: $1,066,829.
<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-99 31-Dec-98
Assets: ------------ ------------
<S> <C> <C>
Investment in Millburn Currency Fund -
at value $1,605,916 1,867,851
Money market mutual funds 4,997 3,749
Prepaid administrative fees 6,393 419
------------ ------------
Total Assets $ 1,617,306 $ 1,872,018
============ ============
Liabilities & Partners' Capital:
Net unrealized depreciation on open
contracts - 529
Redemptions payable to limited
partners, net 61,237 48,378
Accrued brokerage commissions 7,571 9,490
----------=- ------------
Total Liabilities 68,808 58,397
Partners' Capital:
General Partner 481,669 447,892
Limited Partners (9,582 Limited
Partnership Units outstanding
- at September 30, 1999) 1,066,829 1,365,729
------------ ------------
Total Partners' Capital 1,548,498 1,813,621
------------ ------------
Total Liabilities and Partners' Capital $ 1,617,306 $ 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 September 30, 1999 and 1998 (UNAUDITED)
<TABLE>
<CAPTION>
1999 1998
------------ ------------
<S> <C> <C>
Revenues:
Realized Gain(Loss) on Closed
Currency Contracts (49,884) (241,043)
Change in Unrealized Gain(Loss) on
Open Currency Contracts 19,183 205,720
Interest Income 20,756 34,932
------------ ------------
$ (9,945) $ (391)
Expenses:
Brokerage Commissions 22,711 29,324
Administrative 4,029 4,838
------------ ------------
$ 26,740 $ 34,162
============ ============
Net Income(Loss) $ (36,685) $ (34.553)
Net Income(Loss) allocated to General Partner $ (4,077) $ (960)
Net Income(Loss) allocated to Limited Partners $ (32,608) $ (33,593)
Increase(Decrease) in Redemption Value
for each Unit outstanding throughout
each period $ (3.21) $ (2.55)
</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, 1999 and 1998 (UNAUDITED)
<TABLE>
<CAPTION>
1999 1998
------------ ------------
<S> <C> <C>
Revenues:
Realized Gain(Loss) on Closed
Currency Contracts 24,417 (307,838)
Change in Unrealized Gain(Loss) on
Open Currency Contracts 61,136 214,409
Interest Income 61,815 90,614
------------ ------------
$ 147,368 $ (2,815)
Expenses:
Brokerage Commissions 76,400 95,846
Administrative 12,953 15,288
------------ ------------
$ 89,353 $ 111,134
============ ============
Net Income(Loss) $ 58,015 $ (113,949)
Net Income(Loss) allocated to General Partner $ 33,777 $ (3,881)
Net Income(Loss) allocated to Limited Partners $ 24,238 $ (110,068)
Increase(Decrease) in Redemption Value
for each Unit outstanding throughout
each period $ 1.39 $ (8.10)
</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, 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 2,839 Units (323,138) - (323,138)
Net Gain(Loss) in Partnership
Equity 24,238 33,777 58,015
------------ ------------ ------------
Partnership Equity at
September 30, 1999 (9,582 Units) 1,066,829 481,669 1,548,498
============ ============ ============
Redemption Value per Unit
at September 30, 1999 111.34
============
</TABLE>
Statements of Cash Flows
For the nine months ended September 30, 1999 and 1998 (UNAUDITED)
<TABLE>
<CAPTION>
1999 1998
------------ ------------
<S> <C> <C>
Cash Flows from Operating Activities:
Net Income(Loss) 58,015 (113,949)
Adjustments to reconcile Net Income
(Loss) to Net Cash Flows from
Operating Activities:
Decrease (Increase) in Equity in
Futures and Forward Trading Accounts 261,268 (74,751)
(Decrease) Increase in Accrued Expenses (7,756) (13,715)
------------ ------------
Net Cash Flows from Operating Activities 311,527 (202,415)
Cash Flows from Financing Activities:
Redemption of Limited and General
Partner Units and Unit Equivalents (310,279) (173,398)
------------ ------------
Net Change in Cash 1,248 (375,813)
Cash - Beginning of Year 3,749 479,059
------------ ------------
Cash - End of Period 4,997 103,246
============ ============
</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 nine months ended September 30, 1999.
<TABLE>
<CAPTION>
30-Sep-99 31-Dec-98
------------- -------------
<S> <C> <C>
Ending Equity $ 1,548,498 $ 1,813,621
</TABLE>
The net assets decreased 14.62% in the first three quarters of 1999.
This resulted from redemptions from the fund and net profit/loss on trading.
The Fund NAV fell almost 3% in the quarter as losses on trading the US
dollar versus the euro, Swiss franc, Danish kroner and Norwegian krone
overwhelmed profits produced from trading the $/yen, non-dollar cross
rates, and the exotic currencies.
Uncertainties surrounding the directions of US and European monetary
policy, economic growth, and inflation unsettled financial markets during
the quarter. Hence, exchange rates between the US and a number of European
currencies were volatile without sustained trend. Consequently, losses
were registered on both long and short dollar positions versus these
currencies. On the other hand, long yen positions against various
currencies were highly profitable. In addition, short positions in Thai
baht, Korean won, and Singapore dollar relative to the US dollar were
profitable, as were several other exotic currency basket trades.
<PAGE>
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 General Partner administers the business of the Fund through various
systems and processes maintained by the General Partner. The General
Partner's modifications for Year 2000 compliance are substantially complete.
The expenses incurred to date by the General Partner in preparing for
Year 2000 compliance have not had a material adverse impact on the General
Partner's financial position, and any additional expenses that may be
incurred in connection with Year 2000 related matters are not
expected to have a material adverse impact on the General Partner'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 General Partner, 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 have participated 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 have participated in the Futures
Industry Association Y2K industry-wide test for Year 2000 compliance during
the first and second quarters of 1999. The General Partner believes that
those tests have been successful. The General Partner 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 General Partner
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 General Partner 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 11th day of November, 1999.
THE MILLBURN CURRENCY FUND II, L.P.
By: Millburn Ridgefield Corporation,
General Partner
By /s/ Tod A. Tanis November 11, 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> 9-MOS
<FISCAL-YEAR-END> DEC-31-1999
<PERIOD-START> JUL-01-1999
<PERIOD-END> SEP-30-1999
<CASH> 4,997
<SECURITIES> 1,605,916
<RECEIVABLES> 0
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 1,617,306
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 1,617,306
<CURRENT-LIABILITIES> 68,808
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 1,548,498
<TOTAL-LIABILITY-AND-EQUITY> 1,617,306
<SALES> 0
<TOTAL-REVENUES> 147,368
<CGS> 0
<TOTAL-COSTS> 76,400
<OTHER-EXPENSES> 12,953
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 58,015
<INCOME-TAX> 0
<INCOME-CONTINUING> 0
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> 58,015
<EPS-BASIC> 1.39
<EPS-DILUTED> 1.39
</TABLE>
