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, 1999
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 # 54-1640874
(State or other jurisdiction of (I.R.S. Employer
incorporation or organization) 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
<TABLE>
<CAPTION>
June 30, December 31,
1999 1998
---------------- ------------------
(Unaudited) (audited)
<S> <C>
ASSETS:
Net Receivable From Commodity Broker:
Receivable For Cash Retained $ 349,512 $ 375,836
Net Unrealized Gain on 14,354 48,168
Open Futures Contracts
Net Unexpired Option Premiums (9,450) -
Accrued Interest Receivable 784 961
Other - 71
U.S. Treasury Strip Securities (at Cost plus
Accrued Interest) 1,747,557 1,854,829
------------- -----------
TOTAL ASSETS $ 2,102,757 $ 2,279,865
============= ===========
LIABILITIES:
Accrued Brokerage Commissions $ 4,273 $ 4,724
Accrued Advisory Fees 1,739 5,566
Accrued Sponsor Fees 1,305 1,413
Other Accrued Expenses 12,054 11,617
Redemptions Payable - 35,204
------------- -----------
19,371 58,524
Minority interest in Trading Company 6,366 7,304
------------- -----------
TOTAL LIABILITIES 25,737 65,828
------------- -----------
PARTNERS' CAPITAL:
General Partner (22.7171 units - 06/30/99) 26,469 27,190
(22.7171 units - 12/31/98)
Limited Partners (1,759.9089 units - 06/30/99) 2,050,551 2,186,847
(1,827.066 units - 12/31/98)
------------- -----------
TOTAL PARTNERS' CAPITAL 2,077,020 2,214,037
------------- -----------
TOTAL LIABILITIES AND PARTNERS' CAPITAL $ 2,102,757 $ 2,279,865
============= ===========
PARTNERSHIP UNITS OUTSTANDING 1,782.626 1,849.783
============= ===========
NET ASSET VALUE PER PARTNERSHIP UNIT $ 1,165.15 $ 1,196.92
============= ===========
</TABLE>
The accompanying notes are an integral part of these combined
financial statements.
2
<PAGE>
FORM 10-Q PART 1 ITEM 1 FINANCIAL STATEMENTS
THE FOUR SEASONS FUND II L.P.
COMBINED STATEMENTS OF OPERATIONS (UNAUDITED) - FOR THE THREE MONTHS AND SIX
MONTHS ENDED JUNE 30, 1999 AND JUNE 30, 1998.
<TABLE>
<CAPTION>
Three months Three months Six months Six months
ended 06/30/99 ended 06/30/98 ended 06/30/99 ended 06/30/98
--------------- --------------- --------------- --------------
<S> <C>
REVENUES
Trading Profit (Loss)
Net realized gains $ 12,198 $ 50,899 $ 50,011 $ 150,749
Net option premiums 1,925 - (2,925) (38,564)
Net change in unrealized
gains on open futures contracts (4,168) (70,184) (33,814) (26,811)
Net change in unexpired options (9,450) - (9,450) 29,400
--------- --------------- --------------- --------------
Total Trading Results 505 (19,285) 3,822 114,774
Gain on sale of U.S. Treasury Strip Securities 3,619 2,201 5,555 2,415
Interest income 31,398 40,315 63,581 81,276
--------- --------------- --------------- --------------
Total Revenues 35,522 23,231 72,958 198,465
EXPENSES
Brokerage commissions 13,430 16,911 27,399 34,307
Management fees 5,221 6,650 10,695 13,488
Sponsor fees 3,922 4,994 8,034 10,130
Administrative expenses 6,459 6,229 12,809 14,247
--------- --------------- --------------- --------------
Total Expenses 29,032 34,784 58,937 72,172
--------- --------------- --------------- --------------
INCOME BEFORE ALLOCATION OF MINORITY INTEREST 6,490 (11,553) 14,021 126,293
ALLOCATION OF MINORITY INTEREST 493 2,561 938 (2,513)
--------- --------------- --------------- --------------
NET INCOME: $ 6,983 $ (8,992) $ 14,959 $ 123,780
========= =============== =============== ==============
Limited Partners $ 6,894 $ (8,659) $ 14,768 $ 119,293
General Partner 89 (333) 191 4,487
Net income per unit 3.92 (3.84) 4.13 25.87
</TABLE>
The accompanying notes are an integral part of these combined
financial statements.
3
<PAGE>
FORM 10-Q PART 1 ITEM 1 FINANCIAL STATEMENTS
THE FOUR SEASONS FUND II L.P.
COMBINED STATEMENTS OF PARTNERS' CAPITAL (UNAUDITED) - FOR THE SIX MONTHS ENDED
JUNE 30, 1999, AND THE THREE MONTHS ENDED MARCH 31, 1999.
<TABLE>
<CAPTION>
UNITS OF
PARTNERSHIP
INTEREST LIMITED PARTNERS GENERAL PARTNER TOTAL
-------------- ------------------- ------------------ ---------------
<S> <C>
PARTNERS' CAPITAL, DECEMBER 31, 1998 1,849.783 $ 2,186,847 $ 27,190 $ 2,214,037
============== =================== ================== ===============
Capital Contributions - - - -
Capital Withdrawals (67.157) (77,985) - (77,985)
Capital Distributions - (72,736) (1,255) (73,991)
Net Income - 7,531 445 7,976
-------------- ------------------- ------------------ ---------------
PARTNERS' CAPITAL, MARCH 31, 1999 1,782.626 $ 2,043,657 $ 26,380 $ 2,070,037
============== =================== ================== ===============
Capital Contributions - - - -
Capital Withdrawals - - - -
Capital Distributions - - - -
Net Income - 6,894 89 6,983
-------------- ------------------- ------------------ ---------------
PARTNERS' CAPITAL, JUNE 30, 1999 1,782.626 $ 2,050,551 $ 26,469 $ 2,077,020
============== =================== ================== ===============
NET ASSET VALUE PER PARTNERSHIP UNIT:
March 31, 1999:
Amount $1,161.23
Units outstanding 1,782.626
June 30, 1999:
Amount $1,165.15
Units outstanding 1,782.626
</TABLE>
The accompanying notes are an integral part of these combined
financial statements.
4
<PAGE>
FORM 10-Q PART 1 ITEM 1 FINANCIAL STATEMENTS
THE FOUR SEASONS FUND II L.P.
COMBINED STATEMENTS OF CASH FLOWS (UNAUDITED) - FOR THE SIX MONTHS ENDED JUNE
30, 1999 AND JUNE 30, 1998.
<TABLE>
<CAPTION>
Six months Six months
ended 6/30/99 ended 6/30/98
------------ -------------
<S> <C>
CASH FLOWS FROM OPERATING ACTIVITIES:
Net Income $ 14,959 $ 123,780
Adjustments To Reconcile Net Income To
Net Cash Provided By Operating Activities:
Net Change In Unrealized Gains
On Futures Contracts 33,814 26,811
Net Change In Unrealized
Option Premiums 9,450 (29,400)
Accrued Interest From U.S. Treasury
Strip Securities (58,730) (72,987)
Gain on Sale of U.S. Treasury
Strip Securities (5,555) (2,415)
(Increase) Decrease In Operating Assets:
Net Receivable From Commodity
Broker For Cash Retained 26,395 (46,553)
Net Receivable From Commodity
Broker For Interest Receivable 177 (178)
Increase (Decrease) In Operating Liabilities:
Accrued Brokerage Commissions (451) 5,340
Accrued Advisory Fees (3,827) (2,241)
Accrued Sponsor Fees (108) 1,571
Other Accrued Expenses 437 3,372
Redemptions Payable (35,204) 181,206
Allocation of Income to Minority Interest (938) 2,513
------------ -------------
Net cash (used in) provided by operating
activities (34,540) 67,039
------------ -------------
NET CASH FLOWS FROM FINANCING ACTIVITIES
Limited Partner Additions - -
Limited Partner Redemptions (77,985) (252,780)
Partner Distributions (73,991) (95,551)
------------ -------------
Net cash used in financing activities (151,976) (348,331)
------------ -------------
NET CASH FLOWS FROM INVESTING ACTIVITIES
Maturity of U.S. Treasury Strip 75,000 97,000
Sale of U.S. Treasury Strip Securities 96,557 60,512
------------ -------------
Net cash provided by investing activities 171,557 157,512
------------ -------------
NET INCREASE IN CASH - -
CASH AT BEGINNING OF PERIOD - -
------------ -------------
CASH AT END OF PERIOD $ - $ -
============ =============
</TABLE>
The accompanying notes are an integral part of these combined
financial statements.
- 5 -
<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 SIX MONTH AND THREE MONTH PERIODS ENDED JUNE 30, 1999 AND
JUNE 30, 1998:
<TABLE>
<CAPTION>
(A) JUNE 30, JUNE 30,
1999 1998
------------ ------------
<S> <C>
PARTNERS' CAPITAL $ 2,077,020 $ 2,441,050
For the sixth month period ending June 30, 1999, Partners' Capital
decreased $ 137,017 due primarily to capital withdrawals of
$ 77,985, capital distributions of $ 73,991, and operating
expenses of $ 58,937. The decrease in capital resulting from
capital withdrawals, capital distributions, and operating expenses
was partially offset by the increase in accrued interest of the
Treasury strip securities of $ 58,730 and the realized trading
gains of futures contracts, options on futures contracts, and
currency forwards of $ 3,822. Largest gains in futures trading
were concentrated in S&P 500 index contracts.
In comparison, for the sixth month period ending June 30, 1998,
Partner's Capital decreased $224,551 due mainly to capital
redemptions of $ 252,780, capital distributions of $ 95,551,
and operating expenses of $ 72,172. The decrease in capital was
partially offset with realized and unrealized trading gains of
$ 114,774, and the increase of accrued interest in the U.S.
Treasury strips of $ 72,987. The majority of realized and
unrealized gains in futures trading were recognized in the S&P 500
Index contracts.
<PAGE>
For the three month period ending June 30, 1999, Partners'
Capital increased $ 6,983, due primarily to the increase in
the value of the the U.S. Treasury strips, which was partially
offset by losses in options on futures trading of $ 7,525, and
operating expenses of $ 29,032. The largest increase was from the
appreciation in the value of the U.S. Treasury Strip Securities'
interest of $ 28,904, and the realized and unrealized trading gains
of futures contracts, and currency forwards of $ 8,030. Largest
gains in futures trading were concentrated in the indices and
energy markets, namely the S&P 500 Index, and the largest losses
were in Treasury notes futures contracts.
For the three month period ended June 30, 1998, Partners'
Capital decreased $ 205,199 due to net withdrawals of $ 196,207,
operating expenses of $ 34,784, and the realized and unrealized
trading losses of futures contracts, options on futures contracts,
and currency forwards of $ 19,285. The decrease in capital
generated by capital withdrawals, operating expenses, and
trading losses was offset partially by the appreciation in the
U.S. Securities' unrealized interest of $ 36,191. Largest
losses in futures trading were concentrated in the financial
markets, namely the Australian bond market (30 year bonds,
Aussie T-bills).
(B) The U.S. Treasury Strip Securities are valued at the lower of
cost plus accrued interest or market value. As of June 30,
1999, the cost plus accrued interest value (as shown on the
Combined Statements of Financial Condition) of the U.S. Treasury
<PAGE>
Strip Securities is $ 1,747,557 and the value of said securities
at market value is $ 1,811,801. As of December 31, 1998, the
value of the U.S. Treasury Strip Securities at cost plus accrued
interest was $ 1,854,829 and the market value was $ 2,007,822.
(C) With respect to the Year 2000 Computer Issue, the Partnership
and James River Management Corp. are essentially impacted by
three components with respect to being "Y2K compliant": a) a third party
accounting system, Commodity Accounting Systems ("CAS") (b)
the operating systems of the futures clearing broker, ED&F Man,
Intl., and (c) the internally developed systems at James River
Capital ("JRCC"). As of June 30, 1999, CAS believes they will be
Y2K compliant at year-end, 1999. JRCC has tested internal
applications and believes that all mission critical systems will
be compliant during the December 31, 1999 - January, 2000
transition. ED&F Man has completed testing of their mission
critical systems and non-critical internal systems, and has also
incorporated a contingency plan for their systems if, after
December 31, 1999, they should run into problems caused by Y2K
issues (ED&F Man International has filed a Form BD-Y2K with the
SEC, SEC File No: 00818104, CRD File No. 6731). James River
Management Corp. remains confident that all components
of its Year 2000 preparedness will be operational in January,
2000; however, the failure of securities and commodity exchanges,
clearing organizations, vendors, clients, and regulators to
resolve their own computer application issues in a timely manner
could result in material financial risk to the Partnership.
</TABLE>
<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
<TABLE> <S> <C>
<ARTICLE> 6
<S> <C>
<PERIOD-TYPE> 3-MOS
<FISCAL-YEAR-END> DEC-31-1999
<PERIOD-END> JUN-30-1999
<INVESTMENTS-AT-COST> 1,142,958
<INVESTMENTS-AT-VALUE> 1,811,801
<RECEIVABLES> 355,200
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 2,102,757
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 0
<TOTAL-LIABILITIES> 25,737
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 0
<SHARES-COMMON-STOCK> 1,783
<SHARES-COMMON-PRIOR> 1,783
<ACCUMULATED-NII-CURRENT> 2,079,430
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 52,641
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 0
<NET-ASSETS> 2,077,020
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 31,398
<OTHER-INCOME> 0
<EXPENSES-NET> 29,032
<NET-INVESTMENT-INCOME> 0
<REALIZED-GAINS-CURRENT> 17,742
<APPREC-INCREASE-CURRENT> 6,983
<NET-CHANGE-FROM-OPS> 6,983
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 0
<NUMBER-OF-SHARES-REDEEMED> 0
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> (84,428)
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 5,221
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 29,032
<AVERAGE-NET-ASSETS> 2,079,932
<PER-SHARE-NAV-BEGIN> 1,161.23
<PER-SHARE-NII> 3.92
<PER-SHARE-GAIN-APPREC> 0
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 1,165.15
<EXPENSE-RATIO> 1.40
</TABLE>
