10-Q 1 0001.txt WORLD MONITOR TRUST-SERIES A SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-Q (Mark One) /X/ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the quarterly period ended June 30, 2000 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: 0-25785 WORLD MONITOR TRUST--SERIES A -------------------------------------------------------------------------------- (Exact name of Registrant as specified in its charter) Delaware 13-3985040 -------------------------------------------------------------------------------- (State or other jurisdiction of (I.R.S. Employer Identification No.) incorporation or organization) One New York Plaza, 13th Floor, New York, New York 10292 -------------------------------------------------------------------------------- (Address of principal executive offices) (Zip Code) Registrant's telephone number, including area code (212) 778-7866 N/A -------------------------------------------------------------------------------- Former name, former address and former fiscal year, if changed since last report Indicate by check CK whether the Registrant (1) has filed all reports required to be filed by Section 13 or 15(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 _CK_ No __ PART I. FINANCIAL INFORMATION ITEM I. FINANCIAL STATEMENTS WORLD MONITOR TRUST--SERIES A (a Delaware Business Trust) STATEMENTS OF FINANCIAL CONDITION (Unaudited)
June 30, December 31, 2000 1999 --------------------------------------------------------------------------------------------------- ASSETS Cash $19,325,174 $26,587,416 Net unrealized gain on open futures contracts 342,850 924,338 Accrued interest receivable 3,233 -- ----------- ------------ Total assets $19,671,257 $27,511,754 ----------- ------------ ----------- ------------ LIABILITIES AND TRUST CAPITAL Liabilities Commissions payable $ 132,244 $ 185,065 Management fees payable 18,689 48,596 Redemptions payable 81,317 83,436 Net unrealized loss on open forward contracts -- 2,211,068 ----------- ------------ Total liabilities 232,250 2,528,165 ----------- ------------ Commitments Trust capital Limited interests (283,210.483 and 320,147.380 interests outstanding) 19,240,816 24,729,908 General interests (2,917.000 and 3,284.000 interests outstanding) 198,191 253,681 ----------- ------------ Total trust capital 19,439,007 24,983,589 ----------- ------------ Total liabilities and trust capital $19,671,257 $27,511,754 ----------- ------------ ----------- ------------ Net asset value per limited and general interest ('Interests') $ 67.94 $ 77.25 ----------- ------------ ----------- ------------ --------------------------------------------------------------------------------------------------- The accompanying notes are an integral part of these statements.
2 WORLD MONITOR TRUST--SERIES A (a Delaware Business Trust) STATEMENTS OF OPERATIONS (Unaudited)
For the period from For the period from For the period from For the period from January 1, 2000 to January 1, 1999 to April 1, 2000 to March 27, 1999 to June 30, 2000 June 25, 1999 June 30, 2000 June 25, 1999 ------------------------------------------------------------------------------------------------------------------------ REVENUES Net realized gain (loss) on commodity transactions $(4,203,301) $ (28,488) $(294,684) $ 371,410 Change in net unrealized gain/loss on open commodity positions 1,629,580 15,745 672,663 (992,386) Interest income 652,832 326,913 310,913 182,707 --------------------- ----------- ----------- ----------- (1,920,889) 314,170 688,892 (438,269) --------------------- ----------- ----------- ----------- EXPENSES Commissions 820,763 527,826 381,938 302,819 Management fees 156,208 136,014 49,303 78,032 Incentive fees -- 335 -- 335 --------------------- ----------- ----------- ----------- 976,971 664,175 431,241 381,186 --------------------- ----------- ----------- ----------- Net income (loss) $(2,897,860) $(350,005) $ 257,651 $(819,455) --------------------- ----------- ----------- ----------- --------------------- ----------- ----------- ----------- ALLOCATION OF NET INCOME (LOSS) Limited interests $(2,869,060) $(345,738) $ 254,632 $(809,769) --------------------- ----------- ----------- ----------- --------------------- ----------- ----------- ----------- General interests $ (28,800) $ (4,267) $ 3,019 $ (9,686) --------------------- ----------- ----------- ----------- --------------------- ----------- ----------- ----------- NET INCOME (LOSS) PER WEIGHTED AVERAGE LIMITED AND GENERAL INTEREST Net income (loss) per weighted average limited and general interest $ (9.58) $ (2.50) $ .88 $ (5.27) --------------------- ----------- ----------- ----------- --------------------- ----------- ----------- ----------- Weighted average number of limited and general interests outstanding 302,347 140,159 293,261 155,560 --------------------- ----------- ----------- ----------- --------------------- ----------- ----------- ----------- ------------------------------------------------------------------------------------------------------------------------
STATEMENT OF CHANGES IN TRUST CAPITAL (Unaudited)
LIMITED GENERAL INTERESTS INTERESTS INTERESTS TOTAL ----------------------------------------------------------------------------------------------------- Trust capital--December 31, 1999 323,431.380 $24,729,908 $253,681 $24,983,589 Net loss -- (2,869,060) (28,800 ) (2,897,860) Redemptions (37,303.897) (2,620,032) (26,690 ) (2,646,722) ------------ ----------- --------- ----------- Trust capital--June 30, 2000 286,127.483 $19,240,816 $198,191 $19,439,007 ------------ ----------- --------- ----------- ------------ ----------- --------- ----------- ----------------------------------------------------------------------------------------------------- The accompanying notes are an integral part of these statements.
3 WORLD MONITOR TRUST--SERIES A (a Delaware Business Trust) NOTES TO FINANCIAL STATEMENTS JUNE 30, 2000 (Unaudited) A. General These financial statements have been prepared without audit. In the opinion of Prudential Securities Futures Management Inc. (the 'Managing Owner'), the financial statements contain all adjustments (consisting of only normal recurring adjustments) necessary to present fairly the financial position of World Monitor Trust--Series A ('Series A') as of June 30, 2000 and the results of its operations for the period from January 1, 2000 through June 30, 2000 ('Year-To-Date 2000'), January 1, 1999 to June 25, 1999 ('Year-To-Date 1999'), April 1, 2000 to June 30, 2000 ('Second Quarter 2000') and March 27, 1999 to June 25, 1999 ('Second Quarter 1999'). However, the operating results for the interim periods may not be indicative of the results expected for a full year. Certain information and footnote disclosures normally included in annual financial statements prepared in accordance with generally accepted accounting principles have been omitted. It is suggested that these financial statements be read in conjunction with the financial statements and notes thereto included in Series A's annual report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 1999 (the 'Annual Report'). B. Related Parties The Managing Owner of Series A is a wholly owned subsidiary of Prudential Securities Incorporated ('PSI') which, in turn, is a wholly owned subsidiary of Prudential Securities Group Inc. The Managing Owner or its affiliates perform services for Series A which include but are not limited to: brokerage services; accounting and financial management; registrar, transfer and assignment functions; investor communications, printing and other administrative services. Except for costs related to brokerage services, PSI or its affiliates pay the costs of these services in addition to Series A's routine operational, administrative, legal and auditing costs. The costs charged to Series A for brokerage services for Year-To-Date 2000, Year-To-Date 1999, Second Quarter 2000 and Second Quarter 1999 were $820,763, $527,826, $381,938 and $302,819, respectively. Series A's assets are maintained either in trading or cash accounts with PSI or, for margin purposes, with the various exchanges on which Series A is permitted to trade. PSI credits Series A monthly with 100% of the interest it earns on the average net assets in Series A's accounts. Series A, acting through its trading advisor, may execute over-the-counter, spot, forward and/or option foreign exchange transactions with PSI. PSI then engages in back-to-back trading with an affiliate, Prudential-Bache Global Markets Inc. ('PBGM'). PBGM attempts to earn a profit on such transactions. PBGM keeps its prices on foreign currency competitive with other interbank currency trading desks. All over-the-counter currency transactions are conducted between PSI and each Series pursuant to a line of credit. PSI may require that collateral be posted against the marked-to-market position of Series A. As of June 30, 2000, a non-U.S. affiliate of the Managing Owner owns 101.112 limited interests of Series A. Additionally, a director of the Managing Owner owns 249.687 limited interests of Series A. C. Derivative Instruments and Associated Risks Series A is exposed to various types of risk associated with the derivative instruments and related markets in which it invests. These risks include, but are not limited to, risk of loss from fluctuations in the value of derivative instruments held (market risk) and the inability of counterparties to perform under the terms of Series A's investment activities (credit risk). Market risk Trading in futures and forward (including foreign exchange transactions) contracts involves entering into contractual commitments to purchase or sell a particular commodity at a specified date and price. The gross or face amount of the contracts, which is typically many times that of Series A's net assets being traded, significantly exceeds Series A's future cash requirements since Series A intends to close out its open 4 positions prior to settlement. As a result, Series A is generally subject only to the risk of loss arising from the change in the value of the contracts. As such, Series A considers the 'fair value' of its derivative instruments to be the net unrealized gain or loss on the contracts. The market risk associated with Series A's commitments to purchase commodities is limited to the gross or face amount of the contract held. However, when Series A enters into a contractual commitment to sell commodities, it must make delivery of the underlying commodity at the contract price and then repurchase the contract at prevailing market prices. Since the repurchase price to which a commodity can rise is unlimited, entering into commitments to sell commodities exposes Series A to unlimited risk. Market risk is influenced by a wide variety of factors including government programs and policies, political and economic events, the level and volatility of interest rates, foreign currency exchange rates, the diversification effects among the derivative instruments Series A holds and the liquidity and inherent volatility of the markets in which Series A trades. Credit risk In addition to market risk, when entering into futures or forward contracts there is a credit risk that the counterparty to the contract will not be able to meet its obligations to Series A. The counterparty for futures contracts traded in the United States and on most foreign futures exchanges is the clearinghouse associated with such exchanges. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the non-performance by one of its members and, as such, should significantly reduce this credit risk. In cases where the clearinghouse is not backed by the clearing members (i.e., some foreign exchanges), it is normally backed by a consortium of banks or other financial institutions. On the other hand, the sole counterparty to Series A's forward transactions is PSI, Series A's commodity broker. Series A has entered into a master netting agreement with PSI and, as a result, presents unrealized gains and losses on open forward positions as a net amount in the statements of financial condition. The amount at risk associated with counterparty non-performance of all of Series A's contracts is the net unrealized gain included in the statements of financial condition. There can be no assurance that any counterparty, clearing member or clearinghouse will be able to meet its obligations to Series A. The Managing Owner attempts to minimize both credit and market risks by requiring Series A and its Trading Advisor to abide by various trading limitations and policies. The Managing Owner monitors compliance with these trading limitations and policies which include, but are not limited to, executing and clearing all trades with creditworthy counterparties (currently, PSI is the sole counterparty or broker); limiting the amount of margin or premium required for any one commodity or all commodities combined; and generally limiting transactions to contracts which are traded in sufficient volume to permit the taking and liquidating of positions. Additionally, pursuant to the advisory agreement among Series A, the Managing Owner and the Trading Advisor, Series A shall automatically terminate the Trading Advisor if the net asset value allocated to the Trading Advisor declines by 33 1/3% from the value at the beginning of any year or since the commencement of trading activities (i.e. March 21, 2000, which represents the effective date of the advisory agreement). Furthermore, the Second Amended and Restated Declaration of Trust and Trust Agreement provides that Series A will liquidate its positions, and eventually dissolve, if Series A experiences a decline in net asset value of 50% from the value at the beginning of any year or since the commencement of trading activities. In each case, the decline in net asset value is after giving effect for distributions, contributions and redemptions. The Managing Owner may impose additional restrictions (through modifications of such trading limitations and policies) upon the trading activities of the Trading Advisor as it, in good faith, deems to be in the best interests of Series A. PSI, when acting as Series A's futures commission merchant in accepting orders for the purchase or sale of domestic futures contracts, is required by Commodity Futures Trading Commission ('CFTC') regulations to separately account for and segregate as belonging to Series A all assets of Series A relating to domestic futures trading and is not to commingle such assets with other assets of PSI. At June 30, 2000, such segregated assets totalled $14,994,727. Part 30.7 of the CFTC regulations also requires PSI to secure assets of Series A related to foreign futures trading which totalled $4,673,297 at June 30, 2000. There are no segregation requirements for assets related to forward trading. As of June 30, 2000, Series A's open futures and forward contracts mature within six months. 5 At June 30, 2000 and December 31, 1999, the fair values of open futures and forward contracts were:
2000 1999 -------------------------- -------------------------- Assets Liabilities Assets Liabilities ---------- ----------- ---------- ----------- Futures Contracts: Domestic exchanges Interest rates $ 401,585 $ -- $ 255,937 $ -- Stock indices -- -- 160,500 -- Currencies -- 64,400 -- -- Commodities 411,953 23,677 1,963 49,265 Foreign exchanges Interest rates 202,723 120,933 25,510 32,558 Stock indices 16,191 16,455 425,095 -- Commodities -- 464,137 137,156 -- Forward Contracts: Currencies -- -- 88,948 2,300,016 ---------- ----------- ---------- ----------- $1,032,452 $ 689,602 $1,095,109 $ 2,381,839 ---------- ----------- ---------- ----------- ---------- ----------- ---------- -----------
6 WORLD MONITOR TRUST--SERIES A (a Delaware Business Trust) ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS Liquidity and Capital Resources Series A commenced operations on June 10, 1998 with gross proceeds of $6,039,177 allocated to commodities trading. Interests in Series A continued to be offered weekly until Series A achieved its subscription maximum of $34,000,000 during November 1999. Interests in Series A may be redeemed on a weekly basis, but are subject to a redemption fee if transacted within one year of the effective date of purchase. Redemptions of limited interests and general interests for Year To Date 2000 were $2,620,032 and $26,690, respectively; for Second Quarter 2000 were $931,415 and $6,398, respectively; and from June 10, 1998 (commencement of operations) to June 30, 2000 were $6,537,369 and $44,097, respectively. Additionally, Interests owned in one Series may be exchanged, without any charge, for Interests of one or more other Series on a weekly basis for as long as Interests in those Series are being offered to the public. Since Interests in Series A are no longer being offered, participants can no longer exchange their Interests from Series B and/or Series C into Series A; however, participants can currently continue to exchange their Interests from Series A to Series B and/or Series C. Future redemptions and exchanges will impact the amount of funds available for investment in commodity contracts in subsequent periods. At June 30, 2000, 100% of Series A's net assets were allocated to commodities trading. A significant portion of the net assets was held in cash which is used as margin for Series A's trading in commodities. Inasmuch as the sole business of Series A is to trade in commodities, Series A continues to own such liquid assets to be used as margin. PSI credits Series A monthly with 100% of the interest it earns on the average net assets in Series A's accounts. The commodities contracts are subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, commodity exchanges limit fluctuations in certain commodity futures contract prices during a single day by regulations referred to as 'daily limits.' During a single day, no trades may be executed at prices beyond the daily limit. Once the price of a futures contract for a particular commodity has increased or decreased by an amount equal to the daily limit, positions in the commodity can neither be taken nor liquidated unless traders are willing to effect trades at or within the limit. Commodity futures prices have occasionally moved the daily limit for several consecutive days with little or no trading. Such market conditions could prevent Series A from promptly liquidating its commodity futures positions. Since Series A's business is to trade futures and forward contracts, its capital is at risk due to changes in the value of these contracts (market risk) or the inability of counterparties to perform under the terms of the contract (credit risk). Series A's exposure to market risk is influenced by a number of factors including the volatility of interest rates and foreign currency exchange rates, the liquidity of the markets in which the contracts are traded and the relationship among the contracts held. The inherent uncertainty of Series A's speculative trading as well as the development of drastic market occurrences could result in monthly losses considerably beyond Series A's experience to date and could ultimately lead to a loss of all or substantially all of investors' capital. The Managing Owner attempts to minimize these risks by requiring Series A and its trading advisor to abide by various trading limitations and policies which include limiting margin amounts trading only in liquid markets and utilizing stop loss provisions. See Note C to the financial statements for a further discussion on the credit and market risks associated with Series A's futures and forward contracts. Series A does not have, nor does it expect to have, any capital assets. Results of Operations The net asset value per Interest as of June 30, 2000 was $67.94, a decrease of 12.05% from the December 31, 1999 net asset value per Interest of $77.25 and an increase of 1.31% from the March 31, 2000 net asset value per Interest of $67.06. Series A's gross trading gains/(losses) were ($2,574,000) and $378,000 during Year To Date 2000 and Second Quarter 2000, respectively, compared to ($13,000) and ($621,000) for Year To Date 1999 and 7 Second Quarter 1999, respectively. Due to the nature of Series A's trading activities, a period to period comparison of its trading results is not meaningful. However, a detailed discussion of Series A's Second Quarter 2000 trading results is presented below. Quarterly Market Overview U.S. economic growth remained rapid throughout April and May, evidenced by economic indicators across the board. Consumer spending trended upward strongly and housing demand was high. Industrial production and wages expanded briskly in response to burgeoning domestic demand. Labor markets continued to be very tight as employment surged. Signs of an economic slowdown appeared towards the end of the quarter as markets reacted to higher than expected unemployment numbers at the end of May. However, economic expansion remained robust in most world markets throughout the quarter. The Japanese economy showed indications of increased demand in the first five months of 2000. Economic activity in developing countries also continued. Key South American economies recovered from recent recessions, while several Asian emerging market countries settled into growth at a more sustained rate. During the quarter, financial markets were dominated by continued volatility in the equity sector. U.S. equity markets, especially more speculative technology stocks, experienced a sell-off in April as investors' confidence declined. Stock indices rallied toward the end of June, but the S&P, Dow, and NASDAQ all ended the first half of the year down. Global bond markets mirrored the volatility of the equity markets. Early in the quarter, both U.S. and European prices on interest rate instruments fell due to a rate hike by the European Central Bank at the end of April and a strong U.S. economy. Global bond prices plummeted again in May in anticipation of a U.S. interest rate hike. The U.S. Federal Reserve raised rates by 50 basis points to 6.5%. This forceful policy (more than the 25 basis point increases implemented since mid 1999) was due to the persistent strength of overall demand and growing pressure in a tight labor market. As the quarter continued and new economic data was released, it became apparent that the U.S. economy was decelerating and bond prices rallied slightly. The value of the U.S. dollar appreciated considerably against most major currencies at the beginning of the quarter, reflecting, in part, the larger increases in U.S. long-term yields relative to rates in most foreign countries. The dollar's rise against the euro was sizable, but it also made moderate gains against the British pound, Japanese yen, and Canadian dollar. In June, as the U.S. economy showed signs of slowing down, the U.S. dollar weakened against most major currencies. The euro reached all time lows in May before rallying in June as a result of solid European economic data and sentiment that the currency was undervalued. In May, the Japanese yen rose against the U.S. dollar supported by expectations of a possible change in the Bank of Japan's zero-interest rate policy. As the Japanese economy failed to sustain its recovery momentum, the yen lost some ground. The Canadian dollar rallied towards the end of the quarter due to steady Canadian economic data combined with signs of softening in the U.S. economy. Increased demand caused oil prices to surge at the beginning of the quarter. In June, OPEC countries agreed to increase oil production as higher gas prices put inflationary pressure on global economies and oil prices reversed downward. In the metals markets, the trend of falling prices in April and May reversed itself later in the quarter as gold soared driven, in part, by weakening in the U.S. dollar and U.S. economy. Quarterly Performance of Series A The following is a summary of performance for the major sectors in which Series A traded: Energy (+): Long heating oil, crude oil and natural gas positions resulted in gains for Series A as energy prices soared due to increased demand. Soft (+): Sugar prices were consistently strong throughout the quarter as producing countries placed new orders to cover shortfalls. Long sugar positions resulted in gains. Currency (-): The Swiss franc fell to a new eleven-year low against the U.S. dollar, resulting in losses for Swiss franc positions. The Swiss franc continues to be plagued by the euro's poor price action as the market remains disappointed over the lack of central bank support for the euro. A decision by the Bank of Canada to leave interest rates unchanged led to losses in short Canadian dollar positions. Short euro positions incurred losses as the euro rallied in June on news of strong European economic data. 8 Index (-): The second quarter brought a reversal to some global equity markets. A strong U.S. economy began showing signs of a slowdown and U.S. equity markets experienced an April sell-off. Overall, continued volatility in world markets resulted in losses in London FTSE and euro DAX positions. Metal (-): Short copper positions incurred losses as metal prices rose driven by a weakening U.S. economy. Financial (-): Bond prices rallied following a higher than expected May unemployment number and lack of action by the U.S. Federal Reserve at its meeting in June resulting in losses for short 10- and 30-year U.S. bond positions. Losses in long 10-year euro bond positions were due to actions taken by the European Central Bank to raise short-term rates in April and June. Series A's average net asset levels during Second Quarter 2000 have increased from Second Quarter 1999, primarily due to additional contributions received during 1999, partially offset by the effect of poor trading performance during 1999 and 2000 on Series A's weekly net asset value. The rising asset levels have led to proportionate increases in the amount of interest earned by Series A as well as commissions and management fees incurred. Also contributing to these increases were six additional days during Year To Date 2000 versus Year To Date 1999. Interest income is earned on the average net assets held at PSI and, therefore, varies monthly according to interest rates, trading performance, contributions and redemptions. Interest income increased $326,000 and $128,000 during Year To Date 2000 and Second Quarter 2000, respectively, as compared to Year To Date 1999 and Second Quarter 1999, respectively, primarily due to the increase in net assets as discussed above as well as higher interest rates during Year To Date 2000 versus Year To Date 1999. Commissions are calculated on Series A's net asset value at the end of each week and therefore, vary according to weekly trading performance, contributions and redemptions. Commissions increased $293,000 and $79,000 during Year To Date 2000 and Second Quarter 2000, respectively, as compared to Year To Date 1999 and Second Quarter 1999, respectively, primarily due to the increase in net assets as discussed above. Effective December 6, 1999, the Eagle-Global System became the exclusive trading program used by Eagle Trading Systems, Inc. (the 'Trading Advisor') to trade Series A's assets. In conjunction with this change, the Managing Owner and the Trading Advisor voluntarily agreed to terminate its initial advisory agreement and enter into a new advisory agreement effective March 21, 2000, whereby the Trading Advisor is paid a weekly management fee at an annual rate of 1% of Series A's net asset value until the net asset value per Interest is at least $80 for ten consecutive business days, at which time the weekly management fee will be increased to an annual rate of 2% (i.e. the rate pursuant to the initial advisory agreement). Management fees are calculated on Series A's net asset value at the end of each week and therefore, are affected by weekly trading performance, contributions and redemptions. Management fees increased $20,000 during Year To Date 2000 as compared to Year To Date 1999 primarily due to the increase in net assets as discussed above, partially offset by a decreased weekly management fee rate pursuant to the new advisory agreement discussed above. Management fees decreased $29,000 during Second Quarter 2000 as compared to Second Quarter 1999 due to the decreased weekly management fee rate as discussed above. Incentive fees are based on the New High Net Trading Profits generated by the Trading Advisor, as defined in the Advisory Agreement among the Trust, the Managing Owner and the Trading Advisor. No incentive fees were generated during Year To Date 2000 while a negligible amount were generated during Year To Date 1999. ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK Item 305(c) of Regulation S-K requires disclosure during each interim reporting period of material changes in the quantitative and qualitative market risk information provided as of the end of the immediately preceding year. The following information should be read in conjunction with Series A's Form 10-K as filed with the Securities and Exchange Commission for the year ended December 31, 1999. 9 The following table presents the trading Value at Risk associated with Series A's open positions by market sector at June 30, 2000 and December 31, 1999. All open position trading risk exposures of Series A have been included in calculating the figures set forth below. At June 30, 2000 and December 31, 1999, Series A had total capitalizations of approximately $19.4 million and $25.0 million, respectively.
June 30, 2000 December 31, 1999 ----------------------------- ----------------------------- Value at % of Total Value at % of Total Market Sector Risk Capitalization Risk Capitalization --------------- ----------- -------------- ----------- -------------- Interest rates $ 1,978,924 10.18% $ 658,154 2.63% Stock indices 662,337 3.40 490,048 1.96 Commodities 440,500 2.27 238,700 .96 Currencies 294,957 1.52 8,943 .04 ----------- ------- ----------- ----- Total $ 3,376,718 17.37% $ 1,395,845 5.59% ----------- ------- ----------- ----- ----------- ------- ----------- -----
The following table presents the average trading Value at Risk of Series A's open positions by market sector for Year To Date 2000 and Second Quarter 2000.
Year-To-Date 2000 Second Quarter 2000 --------------------------------- --------------------------------- Value at % of Average Total Value at % of Average Total Market Sector Risk Capitalization Risk Capitalization ---------------- ----------- ------------------ ----------- ------------------ Interest rates $ 1,009,977 4.72% $ 1,409,469 7.14% Stock indices 271,777 1.27 219,091 1.11 Commodities 507,936 2.37 546,975 2.77 Currencies 393,545 1.84 472,867 2.40 ----------- ------- ----------- ------- Total $ 2,183,235 10.20% $ 2,648,402 13.42% ----------- ------- ----------- ------- ----------- ------- ----------- -------
Throughout both Year To Date 2000 and Second Quarter 2000, Series A experienced an overall increase in its Value at Risk as compared to December 31, 1999, relative to capitalization levels, reflecting increases in a variety of positions. Interest rates: The largest increase in Series A's Value at Risk during both Year To Date 2000 and Second Quarter 2000 was in the Interest Rate sector. These increases included positions in TSE (Tokyo) Treasury bonds, Eurex Bund, LIFFE 3 month Euribor, CBOT Treasury bonds and notes and CME Eurodollar. These increases were partially offset by decreases in LIFFE Gilt and TIFFE yen positions during Second Quarter 2000. Stock indices: The Stock Indices sector, although having a higher Value at Risk as of June 30, 2000 as compared to December 31, 1999, had a lower average Value at Risk during both the Year To Date 2000 and Second Quarter 2000. Positions in the LIFFE FTSE 100 Index and the CME S&P 500 Index reflected a lower Value at Risk during these periods. Partially offsetting these decreases was an increase in the OSI Nikkei 225 Index during both the Year To Date 2000 and Second Quarter 2000. Additionally, Series A held significant positions in LIFFE FTSE 100 Index, DAX (Germany) Index and OSI Nikkei 225 Index at June 30, 2000. Commodities: The Commodities sector Value at Risk increased during both the Year To Date 2000 and the Second Quarter 2000. These increases were mainly due to positions in Light Crude Oil, Heating Oil and Natural Gas. These increases were partially offset by decreases in Value at Risk of Comex Silver, CBOT Corn and CBOT Wheat positions. Currencies: The Currency sector showed an increase in its Value at Risk during both the Year To Date 2000 and Second Quarter 2000. Positions in CME Japanese yen, CME British pound, CME Swiss francs, CME Euro currencies and CME Canadian dollars were the reason for the variances. 10 PART II. OTHER INFORMATION Item 1. Legal Proceedings--There are no material legal proceedings pending by or against the Registrant or the Managing Owner. Item 2. Changes in Securities--None Item 3. Defaults Upon Senior Securities--None Item 4. Submission of Matters to a Vote of Security Holders--None Item 5. Other Information--Effective July 2000, Joseph A. Filicetti resigned as President and as a Director of Prudential Securities Futures Management Inc. Item 6. (a) Exhibits-- 3.1 and 4.1-- Second Amended and Restated Declaration of Trust and Trust Agreements of World Monitor Trust dated as of March 17, 1998 (incorporated by reference to Exhibits 3.1 and 4.1 to Series A's Registration Statement on Form S-1, File No. 333-43033) 4.2-- Form of Request for Redemption (incorporated by reference to Exhibit 4.2 to Series A's Registration Statement on Form S-1, File No. 333-43033) 4.3-- Form of Exchange Request (incorporated by reference to Exhibit 4.3 to Series A's Registration Statement on Form S-1, File No. 333-43033) 4.4-- Form of Subscription Agreement (incorporated by reference to Exhibit 4.4 to Series A's Registration Statement on Form S-1, File No. 333-43033) 27.1--Financial Data Schedule (filed herewith) (b) Reports on Form 8-K--None 11 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. WORLD MONITOR TRUST--SERIES A By: Prudential Securities Futures Management Inc. A Delaware corporation, Managing Owner By: /s/ Steven Carlino Date: August 14, 2000 ---------------------------------------- Steven Carlino Vice President and Treasurer 12