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, 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
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FORM 10-Q PART 1 ITEM 1 FINANCIAL STATEMENTS
THE FOUR SEASONS FUND II L.P.
COMBINED STATEMENTS OF FINANCIAL CONDITION (UNAUDITED)
JUNE 30 MAR 31
1996 1996
---------- ----------
ASSETS:
Cash $ 0 $ 0
Net Receivable From Commodity Broker:
Receivable For Cash Retained 803,953 1,021,542
Net Unrealized Gains on 34,537 26,749
Open Futures Contracts
Net Unexpired Option Premiums (27,000) 0
Accrued Interest Receivable 3,569 4,047
U.S. Treasury Strip Securities 5,859,581 6,183,815
(Cost plus Accrued ) ---------- ----------
TOTAL ASSETS $6,674,640 $7,236,153
========== ==========
LIABILITIES:
Accrued Brokerage Commissions $ 14,274 $ 47,162
Accrued Advisory Fees 11,034 12,088
Accrued Sponsor Fees 4,172 14,001
Other Accrued Expenses 10,055 17,436
Redemptions Payable 431,601 493,686
---------- ----------
471,136 584,374
Minority interest in Trading Company 11,747 13,607
---------- ----------
TOTAL LIABILITIES 482,883 597,981
PARTNERS' CAPITAL:
General Partner (86.7171 units - 06/30/96) 85,100 85,290
(86.7171 units - 03/31/96)
Limited Partners (6,222.7129 units - 06/30/96) 6,106,659 6,552,882
(6,662.5168 units - 03/31/96)
---------- ----------
TOTAL PARTNER'S CAPITAL 6,191,759 6,638,172
---------- ----------
TOTAL LIABILITIES AND PARTNERS' CAPITAL $ 6,674,642 $ 7,236,153
========== ==========
PARTNERSHIP UNITS OUTSTANDING 6,309.4300 6,749.2339
========== ==========
NET ASSET VALUE PER PARTNERSHIP UNIT $ 981.35 $ 983.54
========== ==========
The Accompanying Notes Are An Integral Part Of The Financial Statements.
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, 1996
AND MARCH 31, 1996.
Three months Three months
ended 6/30/96 ended 3/31/96
REVENUES
Trading Profit (Loss)
Net realized gains (losses) $ (27,416) $ (288,088)
Net option premiums (6,524) 0
Net change in unrealized gains on open futures contracts 7,787 (134,153)
Net change in unexpired options (27,000) 0
------------ --------------
Total Trading Results (53,153) (422,241)
Gain (loss) on sale of U.S. Treasury Strip Securities 11,583 44,422
Unrealized gain on U.S. Treasury Strip Securities 0 0
Interest income 105,070 116,458
------------ --------------
Total Revenues 63,500 (261,361)
EXPENSES
Brokerage commissions 42,736 48,294
Management fees 16,645 18,647
Sponsor fees 12,497 14,001
Administrative expenses 8,298 10,627
------------ --------------
Total Expenses 80,176 91,570
------------ --------------
INCOME (LOSS) BEFORE ALLOCATION OF MINORITY INTEREST (16,676) (352,931)
ALLOCATION OF MINORITY INTEREST 1,860 7,070
------------ --------------
NET INCOME (LOSS) (14,816) (345,861)
============ ==============
Limited Partners (14,626) (341,725)
General Partner (190) (4,136)
Net income (loss) per unit ($2.19) ($47.70)
The Accompanying Notes Are An Integral Part Of The Financial Statements.
-3-
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, 1996, AND MARCH 31, 1996.
UNITS OF
PARTNERSHIP
INTEREST LIMITED PARTNERS GENERAL PARTNER TOTAL
PARTNERS' CAPITAL, DECEMBER 31, 1995 7251.1800 7,674,871 92,896 7,767,765
Capital Contributions - - - -
Capital Withdrawals (501.9461) (493,686) - (493,686)
Capital Distributions - (286,578) (3,469) (290,047)
Net Income - (341,725) (4,136) (345,861)
---------- ---------- ----------- ----------
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 - 0 0 0
Net Income - (14,626) (190) (14,816)
---------- ---------- ----------- ----------
PARTNERS' CAPITAL, JUNE 30, 1996 6309.4300 6,106,659 85,100 6,191,759
========== ========== =========== ==========
NET ASSET VALUE PER PARTNERSHIP UNIT:
December 31, 1995:
Amount $ 1,071.24
Units outstanding 7,251.180
March 31, 1996:
Amount $ 983.54
Units outstanding 6,749.2339
June 30, 1996:
Amount $ 981.35
Units outstanding 6309.4300
The Accompanying Notes Are An Integral Part Of The Financial Statements.
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,
1996 AND MARCH 31, 1996.
Three months Three months
ended 6/30/96 ended 3/31/96
CASH FLOWS FROM OPERATING ACTIVITIES:
Net Income $ (14,816) $ (345,861)
Adjustments To Reconcile Net Income To
Net Cash Used In Operating Activities:
Net Change In Unrealized Gains
On Futures Contracts 19,213 134,153
Net Change In Unrealized
Option Premiums - -
Accrued Interest From U.S. Treasury
Strip Securities (94,523) (101,908)
Gain on Sale of U.S. Treasury
Strip Securities (11,583) (44,422)
(Increase) Decrease In Operating Assets:
Net Receivable From Commodity
Broker For Cash Retained 217,042 462,580
Net Receivable From Commodity
Broker For Interest Receivable 1,025 3,115
Increase (Decrease) In Operating Liabilities:
Accrued Brokerage Commissions (32,887) 11,749
Accrued Advisory Fees (1,054) (2,036)
Accrued Sponsor Fees (9,829) 3,398
Other Accrued Expenses (7,381) (4,552)
Redemptions Payable (62,085) (287,762)
Allocation of Income to Minority Interest (1,860) (7,070)
---------- ----------
Net cash (used in) provided by operating
activities 16,078 167,245
NET CASH FLOWS FROM FINANCING ACTIVITIES
Limited Partner Additions - -
Limited Partner Redemptions (431,601) (493,686)
Partner Distributions 0 (290,047)
---------- ----------
Net cash (used in) provided by
financing activities (431,601) (783,733)
NET CASH FLOWS FROM INVESTING ACTIVITIES
Maturity of U.S. Treasury Strip - 291,000
Sale of U.S. Treasury Strip Securities 430,341 671,349
---------- ----------
Net cash (used in) provided by investing
activities 430,341 962,349
NET INCREASE IN CASH 0 0
CASH AT BEGINNING OF PERIOD 0 0
---------- ----------
CASH AT END OF PERIOD 0 0
========== ===========
The Accompanying Notes Are An Integral Part Of The Financial Statements.
- 5 -
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 Robert T. Eads
Controller
-8-
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, 1996:
(A) JUN 30 MAR 31
1996 1996
--------- --------
PARTNERS' CAPITAL $6,191,759 $ 6,638,172
Partners' Capital decreased $ 446,413 due primarily to net losses
on trading of futures contracts and options on futures contracts
(realized and unrealized) of $ 53,153, capital withdrawals of
$ 431,601 and operating expenses of $ 80,176. The largest losses
in futures trading were concentrated in the S&P 500 index, with
losses also in the U.S. and foreign bond markets. The losses in
trading and operating expenses were partially offset by the
appreciation in the value of the U.S. Treasury Strip Securities'
interest income of $ 94,523, as well as realized market gains
of $ 11,583 from the sale of Treasury Strip Securities.
(B) The U.S.Treasury Strip Securities are valued at the lower of cost
plus accrued interest or market value. As of June 30, 1996, the
market value of the U.S. Treasury Strip Securities is $ 5,922,015
and the value of said securities at cost plus accrued interest is
$ 5,859,581 (as shown on the Combined Statement of Financial
Condition). As of March 31, 1996, the market value of the U.S.
Treasury Strip Securities was $ 7,838,190 and the value of said
securities at cost plus accrued interest was $ 6,183,815.