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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 JUNE 30, 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>
JUNE 30 MAR 31
1997 1997
------------- -----------
<S> <C>
ASSETS:
Cash $ 0 $ 0
Net Receivable From Commodity Broker:
Receivable For Cash Retained 326,991 698,663
Net Unrealized Gains on 77,387 (15,714)
Open Futures Contracts
Net Unexpired Option Premiums 0 30,650
Accrued Interest Receivable 943 2,613
U.S. Treasury Strip Securities 2,345,784 4,185,055
------------- -----------
(Cost plus Accrued )
TOTAL ASSETS $ 2,751,105 $ 4,901,267
============= ===========
LIABILITIES:
Accrued Brokerage Commissions $ 16,698 $ 10,766
Accrued Advisory Fees 2,263 4,064
Accrued Sponsor Fees 5,002 3,127
Other Accrued Expenses 13,358 10,748
Redemptions Payable 115,769 2,244,069
------------- -----------
153,090 2,272,774
Minority interest in Trading Company 17,193 14,953
------------- -----------
TOTAL LIABILITIES 170,283 2,287,727
PARTNERS' CAPITAL:
General Partner (86.7171 units - 06/30/97) 91,265 88,455
(86.7171 units - 03/31/97)
Limited Partners (2365.4971 units - 06/30/97) 2,489,557 2,525,085
(2475.4971 units - 03/31/97)
------------- -----------
TOTAL PARTNER'S CAPITAL 2,580,822 2,613,540
------------- -----------
TOTAL LIABILITIES AND PARTNERS' CAPITAL $ 2,751,105 $ 4,901,267
============= ===========
PARTNERSHIP UNITS OUTSTANDING 2,452.214 2,562.214
============= ===========
NET ASSET VALUE PER PARTNERSHIP UNIT $ 1,052.45 $ 1,020.03
============= ===========
</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 JUNE 30, 1997
AND MARCH 31, 1997.
<TABLE>
<CAPTION>
Three months Three months
ended 06/30/97 ended 03/31/97
-------------- --------------
<S> <C>
REVENUES
Trading Profit (Loss)
Net realized gains (losses) $ 16,671 $ 165,745
Net option premiums 3,194 (40,800)
Net change in unrealized gains on open futures contracts 93,100 (44,004)
Net change in unexpired options (30,650) 30,650
---------- ------------
Total Trading Results 82,315 111,591
Gain (loss) on sale of U.S. Treasury Strip Securities (1,962) 11,063
Interest income 42,502 77,380
---------- ------------
Total Revenues 122,855 200,034
EXPENSES
Brokerage commissions 17,030 31,802
Management fees 6,658 12,480
Sponsor fees 5,002 9,371
Administrative expenses 8,873 7,845
---------- ------------
Total Expenses 37,563 61,498
---------- ------------
INCOME (LOSS) BEFORE ALLOCATION OF MINORITY INTEREST 85,292 138,536
ALLOCATION OF MINORITY INTEREST (2,240) (1,268)
---------- ------------
NET INCOME (LOSS) $83,052 $137,268
========== ============
Limited Partners 80,241 134,768
General Partner 2,811 2,500
Net income (loss) per unit $32.41 $28.82
</TABLE>
The Accompanying Notes Are An Integral Part Of The Financial Statements.
-3-
<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 JUNE
30, 1997, AND MARCH 31, 1997.
<TABLE>
<CAPTION>
UNITS OF
PARTNERSHIP
INTEREST LIMITED PARTNERS GENERAL PARTNER TOTAL
<S> <C>
PARTNERS' CAPITAL, DECEMBER 31, 1996 4,762.2140 4,821,407 89,423 4,910,830
Capital Contributions - - - -
Capital Withdrawals (2,200.0000) (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
========== ============ ========== ============
Capital Contributions - - -
Capital Withdrawals (110.0000) (115,769) - (115,769)
Capital Distributions - - - -
Net Income - 80,241 2,811 83,052
---------- ------------ ---------- ------------
PARTNERS' CAPITAL, JUNE 30, 1997 2,452.214 2,489,557 91,265 2,580,822
========== ============ ========== ============
NET ASSET VALUE PER PARTNERSHIP UNIT:
December 31, 1996:
Amount $1,031.21
Units outstanding 4,762.214
March 31, 1997:
Amount $1,020.03
Units outstanding 2,562.214
June 30, 1997:
Amount $1,052.45
Units outstanding 2,452.214
</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 JUNE 30, 1997
AND MARCH 31, 1997.
<TABLE>
<CAPTION>
Three months Three months
ended 6/30/97 ended 3/31/97
--------------- -------------
<S> <C>
CASH FLOWS FROM OPERATING ACTIVITIES:
Net Income $ 83,052 137,268
Adjustments To Reconcile Net Income To
Net Cash Used In Operating Activities:
Net Change In Unrealized Gains
On Futures Contracts (93,100) 44,004
Net Change In Unrealized
Option Premiums 30,650 (30,650)
Accrued Interest From U.S. Treasury
Strip Securities (39,314) (69,433)
Gain on Sale of U.S. Treasury
Strip Securities 1,962 (11,063)
(Increase) Decrease In Operating Assets:
Net Receivable From Commodity
Broker For Cash Retained 371,672 19,932
Net Receivable From Commodity
Broker For Interest Receivable 1,670 445
Increase (Decrease) In Operating Liabilities:
Accrued Brokerage Commissions 5,932 (12,926)
Accrued Advisory Fees (1,800) (539)
Accrued Sponsor Fees 1,875 (4,018)
Other Accrued Expenses 2,610 (897)
Redemptions Payable (2,128,300) 1,648,840
Allocation of Income to Minority Interest 2,240 1,268
--------------- -------------
Net cash (used in) provided by operating activities (1,843,903) 1,584,963
NET CASH FLOWS FROM FINANCING ACTIVITIES
Limited Partner Additions - -
Limited Partner Redemptions (115,769) (2,244,069)
Partner Distributions - (190,489)
--------------- -------------
Net cash (used in) provided by financing activities (115,769) (2,434,558)
NET CASH FLOWS FROM INVESTING ACTIVITIES
Maturity of U.S. Treasury Strip - 192,000
Sale of U.S. Treasury Strip Securities 1,876,620 520,327
--------------- -------------
Net cash (used in) provided by investing activities 1,876,620 712,327
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.
- 5 -
<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
-9-
<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 JUNE 30, 1997:
(A) JUN 30 MAR 31
1997 1997
--------- --------
PARTNERS' CAPITAL $2,580,822 $2,613,540
Partners' Capital decreased $ 32,718 due primarily to net
capital withdrawals of $ 115,769 and operating expenses of $
37,563. 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 $ 39,314, and realized and
unrealized trading gains of futures contracts, options on
futures contracts, and currency forwards of $ 82,315. Largest
gains from futures trading were concentrated in the stock
index and financial markets, namely the S&P 500, Nikkei Avg,
and Aussie bond instruments.
(B) The U.S. Treasury Strip Securities are valued at the lower of
cost plus accrued interest or market value. As of June 30,
1997, the market value of the U.S. Treasury Strip Securities
is $ 2,401,367 and the value of said securities at cost plus
accrued interest is $ 2,345,784 (as shown on the Combined
Statement of Financial Condition). As of March 31, 1997, the
market value of the U.S. Treasury Strip Securities was $
4,195,668 and the value of said securities at cost plus
accrued interest was $ 4,185,055.
<TABLE> <S> <C>
<ARTICLE> 6
<S> <C>
<PERIOD-TYPE> 9-MOS
<FISCAL-YEAR-END> DEC-31-1997
<PERIOD-END> JUN-30-1997
<INVESTMENTS-AT-COST> 1,759,008
<INVESTMENTS-AT-VALUE> 2,401,367
<RECEIVABLES> 405,321
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 2,751,105
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 0
<TOTAL-LIABILITIES> 170,283
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 0
<SHARES-COMMON-STOCK> 2,452
<SHARES-COMMON-PRIOR> 2,562
<ACCUMULATED-NII-CURRENT> 1,640,646
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 153,053
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 62,450
<NET-ASSETS> 2,580,822
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 42,502
<OTHER-INCOME> 0
<EXPENSES-NET> 37,563
<NET-INVESTMENT-INCOME> 85,292
<REALIZED-GAINS-CURRENT> 17,903
<APPREC-INCREASE-CURRENT> 85,292
<NET-CHANGE-FROM-OPS> (32,718)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 0
<NUMBER-OF-SHARES-REDEEMED> (110)
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> (2,150,162)
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 6,658
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 37,563
<AVERAGE-NET-ASSETS> 2,607,207
<PER-SHARE-NAV-BEGIN> 1,020.03
<PER-SHARE-NII> 32.41
<PER-SHARE-GAIN-APPREC> 32.13
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 1,052.45
<EXPENSE-RATIO> 1.44
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
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