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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 MARCH 31, 1997
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>
MAR 31 DEC 31
1997 1996
------------ ------------
<S> <C>
ASSETS:
Cash $ 0 $ 0
Net Receivable From Commodity Broker:
Receivable For Cash Retained 698,663 718,595
Net Unrealized Gains on (15,714) 28,290
Open Futures Contracts
Net Unexpired Option Premiums 30,650 0
Accrued Interest Receivable 2,613 3,058
U.S. Treasury Strip Securities 4,185,055 4,816,886
------------ ------------
(Cost plus Accrued)
TOTAL ASSETS $ 4,901,267 $ 5,566,829
============ ============
LIABILITIES:
Accrued Brokerage Commissions $ 10,766 $ 23,692
Accrued Advisory Fees 4,064 4,603
Accrued Sponsor Fees 3,127 7,145
Other Accrued Expenses 10,748 11,645
Redemptions Payable 2,244,069 595,229
------------ ------------
2,272,774 642,314
Minority interest in Trading Company 14,953 13,685
------------ ------------
TOTAL LIABILITIES 2,287,727 655,999
PARTNERS' CAPITAL:
General Partner (86.7171 units - 03/31/97) 88,455 89,423
(86.7171 units - 12/31/96)
Limited Partners (2475.4971 units - 03/31/97) 2,525,085 4,821,407
(4675.4971 units - 12/31/96)
------------ ------------
TOTAL PARTNER'S CAPITAL 2,613,540 4,910,830
------------ ------------
TOTAL LIABILITIES AND PARTNERS' CAPITAL $ 4,901,267 $ 5,566,829
============ ============
PARTNERSHIP UNITS OUTSTANDING 2,562.214 4,762.214
============ ============
NET ASSET VALUE PER PARTNERSHIP UNIT $ 1,020.03 $ 1,031.21
============ ============
</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 MARCH 31, 1997
AND DECEMBER 31, 1996.
<TABLE>
<CAPTION>
Three months Three months
ended 03/31/97 ended 12/31/96
-------------- --------------
<S> <C>
REVENUES
Trading Profit (Loss)
Net realized gains (losses) $ 165,745 $ 309,764
Net option premiums (40,800) (91,050)
Net change in unrealized gains on open futures contracts (44,004) (122,382)
Net change in unexpired options 30,650 44,025
-------------- -------------
Total Trading Results 111,591 140,357
Gain (loss) on sale of U.S. Treasury Strip Securities 11,063 11,858
Interest income 77,380 88,041
-------------- -------------
Total Revenues 200,034 240,256
EXPENSES
Brokerage commissions 31,802 35,544
Management fees 12,480 13,889
Sponsor fees 9,371 10,428
Administrative expenses 7,845 7,326
-------------- -------------
Total Expenses 61,498 67,187
-------------- -------------
INCOME (LOSS) BEFORE ALLOCATION OF MINORITY INTEREST 138,536 173,069
ALLOCATION OF MINORITY INTEREST (1,268) (1,605)
-------------- -------------
NET INCOME (LOSS) $137,268 $171,464
============== =============
Limited Partners 134,768 168,679
General Partner 2,500 2,785
Net income (loss) per unit $28.82 $32.11
</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 MARCH
31, 1997, AND DECEMBER 31, 1996.
<TABLE>
<CAPTION>
UNITS OF
PARTNERSHIP
INTEREST LIMITED PARTNERS GENERAL PARTNER TOTAL
<S> <C>
PARTNERS' CAPITAL, SEPTEMBER 30, 1996 5,339.430 5,247,956 86,637 5,334,593
Capital Contributions - - - -
Capital Withdrawals (577.216) (595,229) - (595,229)
Capital Distributions - - - -
Net Income - 168,679 2,785 171,464
---------- ---------- ----------- ----------
PARTNERS' CAPITAL, DECEMBER 31, 1996 4,762.214 4,821,407 89,423 4,910,830
========== ========== =========== ==========
Capital Contributions - - -
Capital Withdrawals (2,200.000) (2,244,069) - (2,244,069)
Capital Distributions - (187,020) (3,469) (190,489)
Net Income - 134,768 2,500 137,268
---------- ---------- ----------- ----------
PARTNERS' CAPITAL, MARCH 31, 1997 2,562.214 2,525,085 88,454 2,613,539
========== ========== =========== ==========
</TABLE>
NET ASSET VALUE PER PARTNERSHIP UNIT:
September 30, 1996:
Amount $999.09
Units outstanding 5,339.430
December 31, 1996:
Amount $1,031.21
Units outstanding 4,762.214
March 31, 1997:
Amount $1,020.03
Units outstanding 2,562.214
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 MARCH 31, 1997.
<TABLE>
<CAPTION>
Three months
ended 3/31/97
-------------
<S> <C>
CASH FLOWS FROM OPERATING ACTIVITIES:
Net Income $ 137,268
Adjustments To Reconcile Net Income To
Net Cash Used In Operating Activities:
Net Change In Unrealized Gains
On Futures Contracts 44,004
Net Change In Unrealized
Option Premiums (30,650)
Accrued Interest From U.S. Treasury
Strip Securities (69,433)
Gain on Sale of U.S. Treasury
Strip Securities (11,063)
(Increase) Decrease In Operating Assets:
Net Receivable From Commodity
Broker For Cash Retained 19,932
Net Receivable From Commodity
Broker For Interest Receivable 445
Increase (Decrease) In Operating Liabilities:
Accrued Brokerage Commissions (12,926)
Accrued Advisory Fees (539)
Accrued Sponsor Fees (4,018)
Other Accrued Expenses (897)
Redemptions Payable 1,648,840
Allocation of Income to Minority Interest 1,268
----------
Net cash (used in) provided by operating activities 1,584,963
NET CASH FLOWS FROM FINANCING ACTIVITIES
Limited Partner Additions -
Limited Partner Redemptions (2,244,069)
Partner Distributions (190,489)
Net cash (used in) provided by financing activities (2,434,558)
NET CASH FLOWS FROM INVESTING ACTIVITIES
Maturity of U.S. Treasury Strip 192,000
Sale of U.S. Treasury Strip Securities 520,327
----------
Net cash (used in) provided by investing activities 712,327
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>
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 MARCH 31, 1997:
(A) MAR 31 DEC 31
1997 1996
---------- ----------
PARTNERS' CAPITAL $2,613,540 $4,910,830
Partners' Capital decreased $2,297,290 due primarily to net
capital withdrawals of $ 2,244,069 and operating expenses of $
61,498. The decrease in capital generated by capital
withdrawals and operating expenses were offset partially by
the appreciation in the value of the U.S. Treasury Strip
Securities' interest income of $ 69,433 , realized market
gains of $ 11,063 from the sale of Treasury Strip Securities,
and from the realized and unrealized trading gains of futures
contracts, options on futures contracts, and currency forwards
of $ 111,591. Largest gains from futures trading were
concentrated in the financial and currency markets, namely the
S&P 500, US Dollar Index, and the Swiss franc, Deutsche mark,
and Japanese yen futures contracts. Significant trading gains
were also attributed to currency forwards.
(B) The U.S. Treasury Strip Securities are valued at the lower of
cost plus accrued interest or market value. As of March 31,
1997, the market value of the U.S. Treasury Strip Securities
is $ 4,195,668 and the value of said securities at cost plus
accrued interest is $ 4,185,055 (as shown on the Combined
Statement of Financial
<PAGE>
Condition). As of December 31, 1996, the market value of the
U.S. Treasury Strip Securities was $ 4,951,659 and the value
of said securities at cost plus accrued interest was $
4,816,886.
<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 /s/ Edward M. Jasinski
----------------------
Edward M. Jasinski
Director of Fund Administration
-9-
<TABLE> <S> <C>
<ARTICLE> 6
<S> <C>
<PERIOD-TYPE> 9-MOS
<FISCAL-YEAR-END> DEC-31-1997
<PERIOD-END> MAR-31-1997
<INVESTMENTS-AT-COST> 3,190,524
<INVESTMENTS-AT-VALUE> 4,195,668
<RECEIVABLES> 701,276
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 4,901,267
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 0
<TOTAL-LIABILITIES> 2,287,727
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 0
<SHARES-COMMON-STOCK> 2,562
<SHARES-COMMON-PRIOR> 4,762
<ACCUMULATED-NII-CURRENT> 1,555,355
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 135,489
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (13,354)
<NET-ASSETS> 2,613,540
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 77,380
<OTHER-INCOME> 0
<EXPENSES-NET> 61,498
<NET-INVESTMENT-INCOME> 138,536
<REALIZED-GAINS-CURRENT> 136,008
<APPREC-INCREASE-CURRENT> 138,536
<NET-CHANGE-FROM-OPS> (2,297,290)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 0
<NUMBER-OF-SHARES-REDEEMED> (2,200)
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> (40,222)
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 12,480
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 61,498
<AVERAGE-NET-ASSETS> 4,932,059
<PER-SHARE-NAV-BEGIN> 1031.21
<PER-SHARE-NII> 28.62
<PER-SHARE-GAIN-APPREC> 25.76
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 1020.03
<EXPENSE-RATIO> 1.25
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
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