|
|
|
|
|
|
|
|
|
|
|
|
|
FORM 10-Q
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
(X) QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
ACT OF 1934
For the quarterly period ended September 30, 1996
OR
( ) TRANSITION REPORT PURSUANT TO SECTION 13 OR 15 (d) OF THE SECURITIES
EXCHANGE ACT OF 1934
For the transition period from __________ to __________
Commission file number 0-21286
THE FOUR SEASONS FUND II L.P.
(Exact name of registrant as specified in its charter)
Delaware
(State or other jurisdiction of # 54-1640874
incorporation or organization) (I.R.S. Employer
Identification No.)
c/o JAMES RIVER MANAGEMENT CORP.
103 Sabot Park
Manakin-Sabot, Virginia
(Address of principal executive offices)
23103
(Zip Code)
(804) 784-4500 Attention: Mr. Paul Saunders
(Registrant's telephone number, including area code)
Formerly c/o KIDDER PEABODY FUTURES MANAGEMENT CORP.
(Former name, former address and former fiscal year,
if changed since last report)
Indicate by check mark whether the registrant (1) has filed all reports
required to be filed by section 13 or l5(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
-1-
<PAGE>
FORM 10-Q PART 1 ITEM 1 FINANCIAL STATEMENTS
THE FOUR SEASONS FUND II L.P.
COMBINED STATEMENTS OF FINANCIAL CONDITION (UNAUDITED)
<TABLE>
<CAPTION>
SEPTEMBER 30 JUNE 30
1996 1996
<S> <C>
ASSETS: --------------- ---------------
Cash $ 0 $ 0
Net Receivable From Commodity Broker:
Receivable For Cash Retained 665,637 803,953
Net Unrealized Gains on 150,672 34,537
Open Futures Contracts
Net Unexpired Option Premiums (44,025) (27,000)
Accrued Interest Receivable 2,783 3,569
U.S. Treasury Strip Securities 5,578,485 5,859,581
(Cost plus Accrued ) ------------ ------------
TOTAL ASSETS $ 6,353,552 $ 6,674,640
============ ============
LIABILITIES:
Accrued Brokerage Commissions $ 15,228 $ 14,274
Accrued Advisory Fees 5,268 11,034
Accrued Sponsor Fees 4,052 4,172
Other Accrued Expenses 13,209 10,055
Redemptions Payable 969,122 431,601
------------ ------------
1,006,879 471,136
Minority interest in Trading Company 12,080 11,747
------------ ------------
TOTAL LIABILITIES 1,018,959 482,883
PARTNERS' CAPITAL:
General Partner (86.7171 units - 09/30/96) 86,637 85,098
(86.7171 units - 06/30/96)
Limited Partners (5252.7129 units - 09/30/96) 5,247,956 6,106,659
(6,222.7129 units - 06/30/96)
------------ ------------
TOTAL PARTNER'S CAPITAL 5,334,593 6,191,757
------------ ------------
TOTAL LIABILITIES AND PARTNERS' CAPITAL $ 6,353,552 $ 6,674,640
============ ============
PARTNERSHIP UNITS OUTSTANDING 5,339.4300 6,309.4300
============ ============
NET ASSET VALUE PER PARTNERSHIP UNIT $ 999.09 $ 981.35
============ ============
</TABLE>
The Accompanying Notes Are An Integral Part Of The Financial Statements.
<PAGE>
FORM 10-Q PART 1 ITEM 1 FINANCIAL STATEMENTS
THE FOUR SEASONS FUND II L.P.
STATEMENT OF OPERATIONS (UNAUDITED) - FOR THE THREE MONTHS ENDED SEPTEMBER 30,
1996 AND JUNE 30, 1996.
<TABLE>
<CAPTION>
Three months Three months
ended 9/30/96 ended 6/30/96
<S> <C>
REVENUES
Trading Profit (Loss)
Net realized gains (losses) $ (16,141) $ (27,416)
Net option premiums 1,826 (6,524)
Net change in unrealized gains on open futures contracts 116,135 7,787
Net change in unexpired options (17,025) (27,000)
------------ ------------
Total Trading Results 84,795 (53,153)
Gain (loss) on sale of U.S. Treasury Strip Securities 1,556 11,583
Interest income 98,953 105,070
------------ ------------
Total Revenues 185,304 63,500
EXPENSES
Brokerage commissions 39,363 42,736
Management fees 15,665 16,645
Sponsor fees 11,760 12,497
Administrative expenses 6,223 8,298
------------ ------------
Total Expenses 73,011 80,176
------------ ------------
INCOME (LOSS) BEFORE ALLOCATION OF MINORITY INTEREST 112,293 (16,676)
ALLOCATION OF MINORITY INTEREST (333) 1,860
------------ ------------
NET INCOME (LOSS) $111,960 ($14,816)
============ ============
Limited Partners 110,421 (14,626)
General Partner 1,539 (190)
Net income (loss) per unit $17.74 ($2.19)
</TABLE>
The Accompanying Notes Are An Integral Part Of The Financial Statements.
<PAGE>
FORM 10-Q PART 1 ITEM 1 FINANCIAL STATEMENTS
THE FOUR SEASONS FUND II L.P.
STATEMENTS OF PARTNERS' CAPITAL (UNAUDITED) - FOR THE THREE MONTHS ENDED
SEPTEMBER 30, 1996, AND JUNE 30, 1996.
<TABLE>
<CAPTION>
UNITS OF
PARTNERSHIP
INTEREST LIMITED PARTNERS GENERAL PARTNER TOTAL
<S> <C>
PARTNERS' CAPITAL, MARCH 31, 1996 6,749.2339 6,552,883 85,291 6,638,171
Capital Contributions - - - -
Capital Withdrawals (439.8039) (431,601) - (431,601)
Capital Distributions - - - -
Net Income - (14,626) (190) (14,816)
---------- --------- ------ ---------
PARTNERS' CAPITAL, JUNE 30, 1996 6309.4300 6,106,659 85,098 6,191,759
========== ========= ====== =========
Capital Contributions - - - -
Capital Withdrawals (970.0000) (969,122) - (969,122)
Capital Distributions - - - -
Net Income - 110,421 1,539 111,960
---------- --------- ------ ---------
PARTNERS' CAPITAL, SEPTEMBER 30, 1996 5339.4300 5,247,956 86,637 5,334,593
========== ========= ====== =========
NET ASSET VALUE PER PARTNERSHIP UNIT:
March 31, 1996:
Amount $ 983.54
Units outstanding 6,749.2339
June 30, 1996:
Amount $981.35
Units outstanding 6309.4300
September 30, 1996:
Amount $999.09
Units outstanding 5339.4300
</TABLE>
The Accompanying Notes Are An Integral Part Of The Financial Statements.
<PAGE>
FORM 10-Q PART 1 ITEM 1 FINANCIAL STATEMENTS
THE FOUR SEASONS FUND II L.P.
STATEMENT OF CASH FLOWS (UNAUDITED) - FOR THE THREE MONTHS ENDED SEPTEMBER 30,
1996 AND JUNE 30, 1996.
<TABLE>
<CAPTION>
Three months Three months
<S> <C> ended 9/30/96 ended 6/30/96
CASH FLOWS FROM OPERATING ACTIVITIES: ------------- -------------
Net Income $ 111,960 $ (14,816)
Adjustments To Reconcile Net Income To
Net Cash Used In Operating Activities:
Net Change In Unrealized Gains
On Futures Contracts (116,135) (7,787)
Net Change In Unrealized
Option Premiums 17,025 27,000
Accrued Interest From U.S. Treasury
Strip Securities (90,433) (94,523)
Gain on Sale of U.S. Treasury
Strip Securities (1,556) (11,583)
(Increase) Decrease In Operating Assets:
Net Receivable From Commodity
Broker For Cash Retained 138,316 217,589
Net Receivable From Commodity
Broker For Interest Receivable 786 478
Increase (Decrease) In Operating Liabilities:
Accrued Brokerage Commissions 954 (32,887)
Accrued Advisory Fees (5,766) (1,054)
Accrued Sponsor Fees (120) (9,829)
Other Accrued Expenses 3,154 (7,381)
Redemptions Payable 537,521 (62,085)
Allocation of Income to Minority Interest 333 (1,860)
-------- ---------
Net cash (used in) provided by operating activities 484,079 16,078
NET CASH FLOWS FROM FINANCING ACTIVITIES
Limited Partner Additions - -
Limited Partner Redemptions (969,123) (431,601)
Partner Distributions - -
Net cash (used in) provided by financing activities (969,123) (431,601)
NET CASH FLOWS FROM INVESTING ACTIVITIES
Maturity of U.S. Treasury Strip - -
Sale of U.S. Treasury Strip Securities 373,085 430,341
-------- ---------
Net cash (used in) provided by investing activities 373,085 430,341
NET INCREASE IN CASH - -
CASH AT BEGINNING OF PERIOD - -
-------- ---------
CASH AT END OF PERIOD - -
========= =========
</TABLE>
The Accompanying Notes Are An Integral Part Of The Financial Statements.
<PAGE>
EXHIBITS
None
PART II
None
SIGNATURES
Pursuant to the requirements 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.
THE FOUR SEASONS FUND II L.P.
(Registrant)
By JAMES RIVER MANAGEMENT CORP.
(General Partner)
By Edward M. Jasinski
Director of Fund Administration
<PAGE>
Form 10-Q Part 1 Item 2 Management's Discussion
THE FOUR SEASONS FUND II L.P.
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND OPERATING
RESULTS FOR THE THREE MONTHS ENDED SEPTEMBER 30, 1996:
(A) SEP 30 JUN 30
1996 1996
--------- --------
PARTNERS' CAPITAL $5,334,593 $6,191,757
Partners' Capital decreased $ 857,164 due primarily to net
capital withdrawals of $ 969,122 and operating expenses of $
73,011. The decrease in capital generated by capital withdrawals
and operating expenses were offset by the appreciation in the value
of the U.S. Treasury Strip Securities' interest income of $ 90,433
, realized market gains of $ 1,156 from the sale of Treasury Strip
Securities, and from the realized and unrealized trading of futures
contracts and options on futures contracts. Largest gains from
futures trading were concentrated in the foreign bond and currency
markets, specifically the Australian T-bill, Australian 3-yr bond,
and SIMEX government bond markets.
(B) The U.S. Treasury Strip Securities are valued at the lower of cost
plus accrued interest or market value. As of September 30, 1996,
the market value of the U.S. Treasury Strip Securities is $
5,645,025 and the value of said securities at cost plus accrued
interest is $ 5,578,485 (as shown on the Combined Statement of
Financial Condition). As of June 30, 1996, the market value of the
U.S. Treasury Strip Securities was $ 5,922,015 and the value of
said securities at cost plus accrued interest was $ 5,859,581.
<PAGE>
<TABLE> <S> <C>
<ARTICLE> 6
<S> <C>
<PERIOD-TYPE> 9-MOS
<FISCAL-YEAR-END> DEC-31-1996
<PERIOD-END> SEP-30-1996
<INVESTMENTS-AT-COST> 4,405,408
<INVESTMENTS-AT-VALUE> 5,645,025
<RECEIVABLES> 668,420
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 6,353,552
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 0
<TOTAL-LIABILITIES> 1,018,959
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 0
<SHARES-COMMON-STOCK> 5,339
<SHARES-COMMON-PRIOR> 6,309
<ACCUMULATED-NII-CURRENT> 1,017,544
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (279,391)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (54,255)
<NET-ASSETS> 5,334,593
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 98,953
<OTHER-INCOME> 0
<EXPENSES-NET> 73,011
<NET-INVESTMENT-INCOME> 112,293
<REALIZED-GAINS-CURRENT> (12,759)
<APPREC-INCREASE-CURRENT> 112,293
<NET-CHANGE-FROM-OPS> (857,164)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 0
<NUMBER-OF-SHARES-REDEEMED> (970)
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> (321,088)
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 853,314
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 15,665
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 73,011
<AVERAGE-NET-ASSETS> 6,248,636
<PER-SHARE-NAV-BEGIN> 981.35
<PER-SHARE-NII> 17.74
<PER-SHARE-GAIN-APPREC> 13.69
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 999.09
<EXPENSE-RATIO> 1.17
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
|
|