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, 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)
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 CONDENSED STATEMENTS OF FINANCIAL CONDITION
<TABLE>
<CAPTION>
September 30, December 31,
1999 1998
------------- -----------
(Unaudited) (audited)
<S> <C>
ASSETS:
Net Receivable From Commodity Broker:
Receivable For Cash Retained $ 327,292 $ 375,836
Net Unrealized Gain on
Open Futures Contracts 12,879 48,168
Accrued Interest Receivable 705 961
Other 180 71
U.S. Treasury Strip Securities (at Cost plus
Accrued Interest) 1,776,953 1,854,829
---------- ----------
TOTAL ASSETS $2,118,009 $2,279,865
========== ==========
LIABILITIES:
Accrued Brokerage Commissions $ 13,000 $ 4,724
Accrued Advisory Fees 3,462 5,566
Accrued Sponsor Fees 3,891 1,413
Other Accrued Expenses 12,979 11,617
Redemptions Payable 13,994 35,204
---------- ----------
47,326 58,524
Minority interest in Trading Company 5,833 7,304
---------- ----------
TOTAL LIABILITIES 53,159 65,828
---------- ----------
PARTNERS' CAPITAL:
General Partner (22.7171 units - 12/31/98)
(22.7171 units - 09/30/99) 26,492 27,190
Limited Partners (1,827.066 units - 12/31/98)
(1,747.9089 units - 09/30/99) 2,038,358 2,186,847
---------- ----------
TOTAL PARTNERS' CAPITAL 2,064,850 2,214,037
---------- ----------
TOTAL LIABILITIES AND PARTNERS' CAPITAL $2,118,009 $2,279,865
========== ==========
PARTNERSHIP UNITS OUTSTANDING 1,770.626 1,849.783
========== ==========
NET ASSET VALUE PER PARTNERSHIP UNIT $ 1,166.17 $ 1,196.92
========== ==========
</TABLE>
The accompanying notes are an integral part of these combined
condensed financial statements.
<PAGE>
FORM 10-Q PART 1 ITEM 1 FINANCIAL STATEMENTS
THE FOUR SEASONS FUND II L.P.
COMBINED CONDENSED STATEMENTS
OF OPERATIONS (UNAUDITED) - FOR THE THREE MONTHS AND NINE MONTHS ENDED
SEPTEMBER 30, 1999 AND 1998.
<TABLE>
<CAPTION>
Three months Three months Nine months Nine months
ended 09/30/99 ended 09/30/98 ended 09/30/99 ended 09/30/98
--------------- ---------------- --------------- ---------------
<S> <C>
REVENUES
Trading Profit (Loss)
Net realized gains (losses) $ 4,996 $ (36,358) $ 55,007 $ 114,391
Net option premiums (15,260) - (18,185) (38,564)
Net change in unrealized gains on open
futures contracts (1,474) 111,081 (35,289) 84,270
Net change in unexpired options 9,450 - - 29,400
----------- ------------ ----------- ----------
Total Trading Profit (Loss) (2,288) 74,723 1,534 189,497
Gain on sale of U.S. Treasury Strip
Securities - 7,892 5,555 10,306
Interest income 31,660 37,684 95,241 118,960
----------- ------------ ----------- ----------
Total Revenues 29,372 120,299 102,330 318,763
EXPENSES
Brokerage commissions 13,247 15,742 40,645 50,048
Management fees 5,180 6,194 15,874 19,681
Sponsor fees 3,891 4,656 11,925 14,786
Administrative expenses 5,764 11,969 18,573 26,216
----------- ------------ ----------- ----------
Total Expenses 28,082 38,561 87,017 110,731
----------- ------------ ----------- ----------
INCOME BEFORE ALLOCATION OF MINORITY INTEREST 1,290 81,738 15,312 208,031
ALLOCATION OF MINORITY INTEREST 533 (633) 1,471 (3,146)
----------- ------------ ----------- ----------
NET INCOME: $ 1,823 $ 81,105 $ 16,783 $ 204,885
=========== ============ =========== ==========
Limited Partners $ 1,800 $ 80,254 $ 16,573 $ 199,547
General Partner 23 851 210 5,338
Net income per unit $ 1 $ 37 $ 9 $ 89
</TABLE>
The accompanying notes are an integral part of these combined condensed
financial statements.
-3-
<PAGE>
FORM 10-Q PART 1 ITEM 1 FINANCIAL STATEMENTS
THE FOUR SEASONS FUND II L.P.
COMBINED CONDENSED STATEMENTS OF PARTNERS' CAPITAL (UNAUDITED) - FOR THE NINE
MONTHS ENDED SEPTEMBER 30, 1999.
<TABLE>
<CAPTION>
UNITS OF
PARTNERSHIP LIMITED GENERAL
INTEREST PARTNERS PARTNER TOTAL
-------------- --------------- ------------ ----------
<S> <C>
PARTNERS' CAPITAL, DECEMBER 31, 1998 1,849,783 $2,186,847 $ 27,190 $2,214,037
Capital Withdrawals (79,157) (91,979) - (91,979)
Capital Distributions - (73,082) (909) (73,991)
Net Income - 16,573 210 16,783
----------- ------------- ----------- -----------
PARTNERS' CAPITAL, SEPTEMBER 30, 1999 1,770,626 $2,038,358 $ 26,492 $2,064,850
=========== ============= =========== ============
NET ASSET VALUE PER PARTNERSHIP UNIT:
December 31, 1998:
Amount $ 1,196.92
Units outstanding 1,849,783
September 30, 1999:
Amount $ 1,166,17
Units outstanding 1,770,626
</TABLE>
The accompanying notes are an integral part of these combined condensed
financial statements.
-4-
<PAGE>
FORM 10-Q PART 1 ITEM 1 FINANCIAL STATEMENTS
THE FOUR SEASONS FUND II L.P.
COMBINED CONDENSED STATEMENT OF CASH FLOWS (UNAUDITED) - FOR THE
NINE MONTHS ENDED SEPTEMBER 30, 1999 AND 1998.
<TABLE>
<CAPTION>
Nine months Nine months
ended 9/30/99 ended 9/30/98
------------------- --------------------
<S> <C>
CASH FLOWS FROM OPERATING ACTIVITIES:
Net Income $ 16,783 $ 204,885
Adjustments To Reconcile Net Income To
Net Cash Provided By Operating Activities:
Net Change In Unrealized Gains
On Futures Contracts 35,289 (84,270)
Net Change In Unrealized
Option Premiums - (29,400)
Accrued Interest From U.S. Treasury
Strip Securities (88,126) (107,496)
Gain on Sale of U.S. Treasury
Strip Securities (5,555) (10,306)
(Increase) Decrease In Operating Assets:
Net Receivable From Commodity
Broker For Cash Retained 48,435 47,708
Net Receivable From Commodity
Broker For Interest Receivable 256 161
Increase (Decrease) In Operating Liabilities:
Accrued Brokerage Commissions 8,276 19,872
Accrued Advisory Fees (2,104) (306)
Accrued Sponsor Fees 2,478 6,227
Other Accrued Expenses 1,362 9,519
Redemptions Payable (21,210) 317,724
Allocation of Income to Minority Interest (1,471) 3,146
----------- -------------
Net cash (used in) provided by operating activities (22,370) 172,580
------------ -------------
NET CASH FLOWS FROM FINANCING ACTIVITIES
Minority Interest Redemption - (17,000)
Partner Redemptions (91,979) (585,504)
Partner Distributions (73,991) (95,551)
------------- -------------
Net cash used in financing activities (165,970) (698,055)
------------- -------------
NET CASH FLOWS FROM INVESTING ACTIVITIES
Maturity of U.S. Treasury Strip 75,000 97,000
Sale of U.S. Treasury Strip Securities 96,557 223,591
------------ -------------
Net cash provided by investing activities 171,557 320,591
------------- -------------
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 condensed
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 NINE MONTH AND THREE MONTH PERIODS ENDED SEPTEMBER 30, 1999 AND
1998:
(A) SEPT 30, SEPT 30,
1999 1998
------------ ----------
PARTNERS' CAPITAL $ 2,064,850 $ 2,189,431
For the nine month period ending September 30, 1999, Partners'
Capital decreased $ 149,187 due primarily to capital withdrawals
of $ 91,979, capital distributions of $ 73,991, and operating
expenses of $ 87,107. 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 $ 88,126 and the realized trading
gains of futures contracts, options on futures contracts, and
currency forwards of $ 1,534. Largest gains in futures trading
were concentrated in S&P 500 index contracts.
In comparison, for the nine month period ending September 30,
1998, Partner's Capital decreased $ 476,170 due mainly to capital
redemptions of $ 585,504, capital distributions of $ 95,551,
and operating expenses of $ 110,731. The decrease in capital was
partially offset with realized and unrealized trading gains of
$ 189,497, and the increase of accrued interest in the U.S.
Treasury strips of $ 107,496. The majority of realized and
unrealized gains in futures trading were recognized in S&P 500
Index contracts, Deutsche Mark contracts, and French Matif bonds.
<PAGE>
For the three month period ending September 30, 1999, Partners'
Capital decreased $ 12,170 , due primarily to net options premiums
of $ (15,260) and operating expenses of $ 28,082. The decrease in
capital was partially offset by the increase in accrued interest
of the Treasury strip securities of $ 29,395. Largest losses in
futures trading and options on futures trading were recognized in
the S&P 500 index contracts and 10-year Treasury note contracts.
For the three month period ended September 30, 1998, Partners'
Capital decreased $ 251,618, due mainly to net withdrawals of
$ 332,724 and operating expenses of $ 38,561. The decrease in
capital resulting from capital withdrawals and operating expenses
was partially offset by the appreciation in the value of the U.S.
Treasury Strip securities' accreted interest of $ 34,509, as well
as the unrealized and realized trading profits of futures
contracts, options on futures contracts, and currency forwards of
$ 74,723. Largest gains were attributed to trading in the
financials sector, where gains in Eurodollars, French Matif Bonds,
DTB 5-year Bonds, Simex Government Bonds, Italian Government
Bonds, and CBOT 5-year Bonds were recognized.
(B) The U.S. Treasury Strip Securities are valued at the lower of
cost plus accrued interest or market value. As of September 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 $ 1,776,953 and the value of said securities
at market value is $ 1,828,519. 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 Four Seasons
Fund II LP and James River Capital 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 International, and (c) the internally developed systems
at James River Capital Corp. ("JRCC"). As of September 30, 1999,
CAS, ED&F Man International, and JRCC are 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.
<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> SEP-30-1999
<INVESTMENTS-AT-COST> 1,142,958
<INVESTMENTS-AT-VALUE> 1,828,519
<RECEIVABLES> 341,058
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 2,118,009
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 0
<TOTAL-LIABILITIES> 53,159
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 0
<SHARES-COMMON-STOCK> 1,771
<SHARES-COMMON-PRIOR> 1,783
<ACCUMULATED-NII-CURRENT> 2,081,253
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 50,353
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 0
<NET-ASSETS> 2,064,850
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 31,550
<OTHER-INCOME> 0
<EXPENSES-NET> 28,082
<NET-INVESTMENT-INCOME> 0
<REALIZED-GAINS-CURRENT> (10,265)
<APPREC-INCREASE-CURRENT> (12,172)
<NET-CHANGE-FROM-OPS> (12,172)
<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> 15,252
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 5,180
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 28,082
<AVERAGE-NET-ASSETS> 2,064,449
<PER-SHARE-NAV-BEGIN> 1165.15
<PER-SHARE-NII> 1.02
<PER-SHARE-GAIN-APPREC> 0
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 1166.17
<EXPENSE-RATIO> 1.36
</TABLE>
