<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: March 31, 2000
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: $925,964.00.
<PAGE>
PART I. FINANCIAL INFORMATION
ITEM I. FINANCIAL STATEMENTS
THE MILLBURN CURRENCY FUND II, L.P.
Statements of Financial Condition (UNAUDITED)
<TABLE>
<CAPTION>
31-Mar-00 31-Dec-99
Assets: ------------ ------------
<S> <C> <C>
Investment in Millburn Currency Fund -
at value $1,403,669 1,503,650
Money market mutual funds 13,848 15,982
Prepaid administrative fees 3,167 11,000
------------ ------------
Total Assets $ 1,420,684 $ 1,530,632
============ ============
Liabilities & Partners' Capital:
Net unrealized depreciation on open
contracts - -
Redemptions payable to limited
partners, net 22,746 43,811
Accrued brokerage commissions 6,366 20,344
------------ ------------
Total Liabilities 29,112 64,155
Partners' Capital:
General Partner 465,608 476,303
Limited Partners' interest (8,956 and
9,176 Partnership Units outstanding
at March 31, 2000 and December 31,
1999) 925,964 990,174
------------ ------------
Total Partners' Capital 1,391,572 1,466,477
------------ ------------
Total Liabilities and Partners' Capital $ 1,420,684 $ 1,530,632
============ ============
</TABLE>
See accompanying notes to financial statements.
<PAGE>
THE MILLBURN CURRENCY FUND II, L.P.
Statements of Operations
For the three months ended March 31, 2000 and 1999 (UNAUDITED)
<TABLE>
<CAPTION>
2000 1999
------------ ------------
<S> <C> <C>
Revenues:
Realized Gain(Loss) on Closed
Currency Contracts (31,170) 55,754
Change in Unrealized Gain(Loss) on
Open Currency Contracts 0 36,561
Interest Income 329 21,921
------------ ------------
$ (30,841) $ 114,236
Expenses:
Brokerage Commissions 19,439 28,077
Administrative 1,879 4,569
------------ ------------
$ 21,318 $ 32,646
============ ============
Net Income(Loss) $ (52,159) $ 81,590
Net Income(Loss) allocated to General Partner $ (10,695) $ 27,258
Net Income(Loss) allocated to Limited Partners $ (41,464) $ 54,332
Increase(Decrease) in Redemption Value
for each Unit outstanding throughout
each period $ (4.52) $ 4.38
</TABLE>
See accompanying notes to financial statements.
<PAGE>
THE MILLBURN CURRENCY FUND II, L.P.
Statements of Partners' Capital
For the three months ended March 31, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
Limited General
Partners Partner Total
------------ ------------ ------------
<S> <C> <C> <C>
Partners' Equity at
December 31, 1999 (9,176 Units) 990,174 476,303 1,466,477
Redemption of 220 Units (22,746) - (22,746)
Net Gain(Loss) in Partnership
Equity (41,464) (10,695) (52,159)
------------ ------------ ------------
Partnership Equity at
March 31, 2000 (8,956 Units) 925,964 465,608 1,391,572
============ ============ ============
Redemption Value per Unit
at March 31, 2000 103.39
============
</TABLE>
Net Asset Value per Unit
Changes in net asset value per Unit during the quarters ended March 31, 2000,
1999 and 1998 were as follows:
<TABLE>
<CAPTION>
2000 1999 1998
------------ ------------ ------------
<S> <C> <C> <C>
Net realized and unrealized gains
(losses)on trading of futures,
forwards and option contracts $ (0.92) $ (4.45) $ (3.38)
Income from Millburn Currency
Fund, L.P. (3.44) 9.00 2.03
Interest Income 0.04 0.02 2.07
Administrative expense (0.21) (0.18) (0.37)
------------ ------------ ------------
Net income (loss) per unit (4.52) 4.38 0.35
Net asset value per Unit,
beginning of period 107.91 109.95 121.94
------------ ------------ ------------
Net asset value per Unit,
end of Period $ 103.39 $ 114.33 $ 122.29
============ ============ ============
</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, 1999.
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 three months ended March 31, 2000.
<TABLE>
<CAPTION>
31-Mar-00 31-Dec-99
------------- -------------
<S> <C> <C>
Ending Equity $ 1,391,572 $ 1,466,477
</TABLE>
The net assets decreased 5.11% in the first quarter of 2000. This resulted
from redemptions from the fund and net profit/loss on trading. Non-directional
volatility characterized dollar and cross-currency trading during the first
quarter. Consequently, losses were produced trading the US dollar vis-a-vis
the Canadian dollar, the euro, and the Danish krone, as well as the Korean,
Mexican and Thai currencies. These losses outweighed gains from a long dollar
position versus the Swiss franc and a short dollar position against the
Japanese yen. Trading of the yen against the European currencies was
unprofitable, while trading of the euro vis-a-vis other European currencies
was a breakdown proposition. On the other hand, exotic currency baskets
trading was quite profitable. Trading of Eastern European and Latin American
exotics produced profits, while Far Eastern exotics positioning was
fractionally unprofitable.
<PAGE>
PART II. OTHER INFORMATION
ITEM I. Legal Proceedings - None
ITEM 2. Changes in Securities and Use of Proceeds - 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. (a) Exhibits - None
(b) Reports on Form 8-K - None
<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 16th day of May, 2000.
THE MILLBURN CURRENCY FUND II, L.P.
By: Millburn Ridgefield Corporation,
General Partner
By /s/ Tod A. Tanis May 16, 2000
Tod A. Tanis
Vice-President
WARNING: THE EDGAR SYSTEM ENCOUNTERED ERROR(S) WHILE PROCESSING THIS SCHEDULE.
<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> 3-MOS
<FISCAL-YEAR-END> DEC-31-2000
<PERIOD-START> JAN-01-2000
<PERIOD-END> MAR-31-2000
<CASH> 13,848
<SECURITIES> 1,403,669
<RECEIVABLES> 0
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 1,420,684
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 1,420,684
<CURRENT-LIABILITIES> 64,155
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 1,466,477
<TOTAL-LIABILITY-AND-EQUITY> 1,530,632
<SALES> 0
<TOTAL-REVENUES> 114,236
<CGS> 0
<TOTAL-COSTS> 28,077
<OTHER-EXPENSES> 4,569
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 81,590
<INCOME-TAX> 0
<INCOME-CONTINUING> 0
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> 81,590
<EPS-BASIC> -4.52
<EPS-DILUTED> -4.52
</TABLE>
