-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, MbJWr1ULhEfsy+zdAXAAwUEIe10a4K1nYZ1Ewb6xayCV+rOzGq8lg67a8mY+Wd3A dhmrIBvEMMVuVGU+b6fd/A== /in/edgar/work/0000898733-00-000804/0000898733-00-000804.txt : 20001114 0000898733-00-000804.hdr.sgml : 20001114 ACCESSION NUMBER: 0000898733-00-000804 CONFORMED SUBMISSION TYPE: 10-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20000929 FILED AS OF DATE: 20001113 FILER: COMPANY DATA: COMPANY CONFORMED NAME: WORLD MONITOR TRUST SERIES A CENTRAL INDEX KEY: 0001051822 STANDARD INDUSTRIAL CLASSIFICATION: [6799 ] STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 10-Q SEC ACT: SEC FILE NUMBER: 333-43033 FILM NUMBER: 759335 BUSINESS ADDRESS: STREET 1: ONE NEW YORK PLAZA 13TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10292-2013 BUSINESS PHONE: 2127787866 MAIL ADDRESS: STREET 1: ONE NEW YORK PLAZA 13TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10292-2013 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 September 29, 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)
September 29, December 31, 2000 1999 - ---------------------------------------------------------------------------------------------------- ASSETS Cash $16,099,624 $26,587,416 Net unrealized gain on open futures contracts 36,580 924,338 Accrued interest receivable 2,646 -- ------------- ------------ Total assets $16,138,850 $27,511,754 ------------- ------------ ------------- ------------ LIABILITIES AND TRUST CAPITAL Liabilities Commissions payable $ 115,743 $ 185,065 Management fees payable 16,739 48,596 Redemptions payable 86,937 83,436 Net unrealized loss on open forward contracts -- 2,211,068 ------------- ------------ Total liabilities 219,419 2,528,165 ------------- ------------ Commitments Trust capital Limited interests (246,907.829 and 320,147.380 interests outstanding) 15,757,144 24,729,908 General interests (2,543 and 3,284 interests outstanding) 162,287 253,681 ------------- ------------ Total trust capital 15,919,431 24,983,589 ------------- ------------ Total liabilities and trust capital $16,138,850 $27,511,754 ------------- ------------ ------------- ------------ Net asset value per limited and general interest ('Interests') $ 63.82 $ 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 July 1, 2000 to June 26, 1999 to September 29, 2000 September 24, 1999 September 29, 2000 September 24, 1999 - ------------------------------------------------------------------------------------------------------------------------ REVENUES Net realized loss on commodity transactions $(4,815,778) $ (491,737) $ (612,477) $(463,249) Change in net unrealized gain/loss on open commodity positions 1,323,310 (321,394) (306,270) (337,139) Interest income 958,425 530,649 305,593 203,736 --------------------- --------------------- --------------------- ----------- (2,534,043) (282,482) (613,154) (596,652) --------------------- --------------------- --------------------- ----------- EXPENSES Commissions 1,172,636 832,632 351,873 304,806 Management fees 201,623 214,558 45,415 78,544 Incentive fees -- 385 -- 50 --------------------- --------------------- --------------------- ----------- 1,374,259 1,047,575 397,288 383,400 --------------------- --------------------- --------------------- ----------- Net loss $(3,908,302) $(1,330,057) $(1,010,442) $(980,052) --------------------- --------------------- --------------------- ----------- --------------------- --------------------- --------------------- ----------- ALLOCATION OF NET LOSS Limited interests $(3,869,174) $(1,314,916) $(1,000,114) $(969,178) --------------------- --------------------- --------------------- ----------- --------------------- --------------------- --------------------- ----------- General interests $ (39,128) $ (15,141) $ (10,328) $ (10,874) --------------------- --------------------- --------------------- ----------- --------------------- --------------------- --------------------- ----------- NET LOSS PER WEIGHTED AVERAGE LIMITED AND GENERAL INTEREST Net loss per weighted average limited and general interest $ (13.42) $ (8.88) $ (3.74) $ (5.80) --------------------- --------------------- --------------------- ----------- --------------------- --------------------- --------------------- ----------- Weighted average number of limited and general interests outstanding 291,288 149,811 270,467 169,117 --------------------- --------------------- --------------------- ----------- --------------------- --------------------- --------------------- ----------- - ------------------------------------------------------------------------------------------------------------------------
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 (3,869,174) (39,128) (3,908,302) Redemptions (73,980.551) (5,103,590) (52,266) (5,155,856) ------------ ----------- --------- ----------- Trust capital--September 29, 2000 249,450.829 $15,757,144 $162,287 $15,919,431 ------------ ----------- --------- ----------- ------------ ----------- --------- ----------- - ----------------------------------------------------------------------------------------------------- The accompanying notes are an integral part of these statements.
3 WORLD MONITOR TRUST--SERIES A (a Delaware Business Trust) NOTES TO FINANCIAL STATEMENTS SEPTEMBER 29, 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 September 29, 2000 and the results of its operations for the period from January 1, 2000 to September 29, 2000 ('Year-To-Date 2000'), January 1, 1999 to September 24, 1999 ('Year-To-Date 1999'), July 1, 2000 to September 29, 2000 ('Third Quarter 2000') and June 26, 1999 to September 24, 1999 ('Third 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. New Accounting Guidance In June 2000, the Financial Accounting Standards Board ('FASB') issued Statement No. 138, Accounting for Certain Derivative Instruments and Certain Hedging Activities--an amendment of FASB Statement No. 133 ('SFAS 138'), which became effective for Series A on July 1, 2000. SFAS 138 amends the accounting and reporting standards of FASB Statement No. 133 for certain derivative instruments and certain hedging activities. SFAS 138 has not had a material effect on the carrying value of assets and liabilities within the financial statements. 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, Third Quarter 2000 and Third Quarter 1999 were $1,172,636, $832,632, $351,873 and $304,806, respectively. Series A's assets are maintained either in trading or cash accounts with PSI, Series A's commodity broker, 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 Series A pursuant to a line of credit. PSI may require that collateral be posted against the marked-to-market position of Series A. As of September 29, 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 4 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 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 5 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 September 29, 2000, such segregated assets totalled $10,768,928. Part 30.7 of the CFTC regulations also requires PSI to secure assets of Series A related to foreign futures trading which totalled $5,367,276 at September 29, 2000. There are no segregation requirements for assets related to forward trading. As of September 29, 2000, Series A's open futures contracts mature within three months. At September 29, 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 $ 82,837 $ 180,797 $ 255,937 $ -- Stock indices 83,525 -- 160,500 -- Currencies -- 168,770 -- -- Commodities 132,860 107,338 1,963 49,265 Foreign exchanges Interest rates 537,622 99,845 25,510 32,558 Stock indices -- 38,644 425,095 -- Commodities 275,664 480,534 137,156 -- Forward Contracts: Currencies -- -- 88,948 2,300,016 ---------- ----------- ---------- ----------- $1,112,508 $ 1,075,928 $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 $5,103,590 and $52,266, respectively; for Third Quarter 2000 were $2,483,558 and $25,576, respectively; and from June 10, 1998 (commencement of operations) to September 29, 2000 were $8,892,775 and $69,673, 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 September 29, 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 September 29, 2000 was $63.82, a decrease of 17.39% from the December 31, 1999 net asset value per Interest of $77.25 and a decrease of 6.06% from the June 30, 2000 net asset value per Interest of $67.94. Series A's gross trading losses were approximately $3,492,000 and $919,000 during Year-To-Date 2000 and Third Quarter 2000, respectively, compared to $813,000 and $800,000 for Year-to-Date 1999 and Third 7 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 Third Quarter 2000 trading results is presented below. Quarterly Market Overview U.S. economic activity expanded at a moderate pace at the beginning of the third quarter and showed signs of slowing down near quarter-end. Growth in consumer spending slowed from the outsized gains earlier in the year, and sales of new homes dropped from earlier highs. However, business spending continued to surge and industrial production trended upward. Even though expansion in employment slowed considerably in recent months, labor markets remained tight by historical standards and some measures of labor compensation continued to accelerate. The recent decrease in consumer spending resulted from moderate growth of real disposable income in recent months coupled with dips in stock market valuation. Nevertheless, consumer sentiment continued to be buoyant. Consumer prices, as measured by the CPI, increased in June in response to a surge in energy prices, but climbed only modestly in July and August. U.S. Treasury markets were choppy throughout the quarter but ended slightly higher, while Japanese government bonds fell sharply on news of a 25 basis point rate hike. The U.S. Federal Reserve Bank maintained interest rates at 6.50% throughout the quarter due to increasing indications of a slow down in aggregate demand and rising productivity. Conversely, there was a shift by other European and Asian central banks toward tighter domestic monetary policy. At its monetary policy meeting held in August, the Bank of Japan (BOJ) decided to raise rates from 0% to 0.25%. In February 1999, the BOJ adopted a zero interest rate policy, unprecedented both in and out of Japan, to counter the possibility of mounting deflationary pressure and prevent further deterioration of Japan's economy. Over the past year and a half, Japan's economy substantially improved; consequently, the BOJ felt confident that Japan's economy had reached the stage where deflation was no longer an immediate threat. The BOJ's increase in short-term interest rates in August caused the yen to rally sharply against the British pound and U.S. dollar. The U.S. dollar was strong against most major currencies at the beginning of the quarter. The end of September brought a sharp reversal to this trend following intervention by the G-7 central banks to support the euro. This move drove the euro up 5% against the U.S. dollar and the Japanese yen. The euro surged to a high of above $0.90 after the initial wave of euro buying before settling down more than $0.02 below its intervention peaks. Global equity markets experienced choppiness in July and August before declining in September. This was due to growing concern over near record energy costs and warnings of earning shortfalls, particularly from U.S. technology companies. Energy prices continued their upward trend throughout the quarter. In August, the American Petroleum Institute reported that crude inventories were at a 24-year low and by month's end the price per barrel had moved to over $33. On September 22, the U.S. announced that it would release 30 million barrels of oil from the U.S. strategic petroleum reserve over the next month in an effort to cap surging energy prices; crude oil prices fell by $2 a barrel. Quarterly Performance of Series A The following is a summary of performance for the major sectors in which Series A traded: Indices (-): The global economic slowdown negatively affected the major stock indices. Long positions in the European DAX, Nikkei Dow, London FTSE and S&P 500 resulted in losses. Grains (-): Increased volatility in soybean and soybean meal markets resulted in losses for short positions. Interest rates (+): Long domestic and european bond positions resulted in gains as the market rallied in response to the Federal Reserve's decision to leave interest rates unchanged for the quarter. Energies (+): Long light crude oil and heating oil resulted in gains as the energy sector continued to push prices higher driven by demand and uncertainty regarding future production and supply levels. Currencies (+): Short positions in the euro and British pound yielded gains despite a brief rally after intervention of the European Central Bank and other G-7 central banks to boost the failing euro. Increasing European productivity and growth coupled with rising energy prices have been the contributing factors to weakening foreign currencies. 8 Series A's average net asset levels during Year-To-Date 2000 and Third Quarter 2000 have increased from Year-To-Date 1999 and Third Quarter 1999, primarily due to additional contributions received during the latter part of 1999, partially offset by unfavorable trading performance and redemptions during 1999 and 2000. The rising average net asset levels have led to proportionate increases in the amount of interest earned by Series A as well as commissions 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 $428,000 and $102,000 during Year-To-Date 2000 and Third Quarter 2000, respectively, as compared to Year-To-Date 1999 and Third Quarter 1999, respectively, primarily due to the increase in average 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 $340,000 and $47,000 during Year-To-Date 2000 and Third Quarter 2000, respectively, as compared to Year-To-Date 1999 and Third Quarter 1999, respectively, primarily due to the increase in average 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 their 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 decreased $13,000 and $33,000 during Year-To-Date 2000 and Third Quarter 2000, respectively, as compared to Year-To-Date 1999 and Third Quarter 1999 primarily due to the decreased weekly management fee rate pursuant to the new Advisory Agreement discussed above offset, in part, by the increase in net assets 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. New Accounting Guidance In June 2000, FASB issued SFAS 138, which became effective for Series A on July 1, 2000. SFAS 138 amends the accounting and reporting standards of FASB Statement No. 133 for certain derivative instruments and certain hedging activities. SFAS 138 has not had a material effect on the carrying value of assets and liabilities within the financial statements. 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 September 29, 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 September 29, 2000 and December 31, 1999, Series A had total capitalizations of approximately $15.9 million and $25.0 million, respectively.
September 29, 2000 December 31, 1999 ----------------------------- ----------------------------- Value at % of Total Value at % of Total Market Sector Risk Capitalization Risk Capitalization - --------------- ----------- -------------- ----------- -------------- Interest rates $ 1,641,162 10.31% $ 658,154 2.63% Commodities 768,750 4.83 238,700 .96 Stock indices 503,182 3.16 490,048 1.96 Currencies 301,971 1.90 8,943 .04 ----------- ------- ----------- ----- Total $ 3,215,065 20.20% $ 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 Third Quarter 2000.
Year-To-Date 2000 Third Quarter 2000 --------------------------------- --------------------------------- Value at % of Average Total Value at % of Average Total Market Sector Risk Capitalization Risk Capitalization - ---------------- ----------- ------------------ ----------- ------------------ Interest rates $ 1,187,023 5.87% $ 1,694,827 9.42% Commodities 650,475 3.21 847,425 4.71 Stock indices 365,409 1.81 603,498 3.35 Currencies 435,177 2.15 472,978 2.63 ----------- ------- ----------- ------- Total $ 2,638,084 13.04% $ 3,618,728 20.11% ----------- ------- ----------- ------- ----------- ------- ----------- -------
Throughout Year-To-Date 2000 and Third 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 Year-To-Date 2000 and Third Quarter 2000 was in the Interest Rates sector. These increases included positions in TSE (Tokyo) Treasury bonds, LIFFE 3 month interest rate, LIFFE Long Gilt, CBOT Treasury bonds and notes and CME Eurodollar. These increases were partially offset by decreases in TIFFE yen positions as of September 29, 2000. Commodities: The Commodities sector Value at Risk increased during 2000 versus 1999 year end. These increases were mainly due to LME Copper and Gold and Comex Gold positions. Stock indices: The Stock Indices sector, although having a higher Value at Risk as of September 29, 2000 and a higher average Value at Risk during Third Quarter 2000 as compared to December 31, 1999, had a slightly lower average Value at Risk during Year-To-Date 2000. Positions in the LIFFE FTSE 100 Index and the CME S&P 500 Index led to an increase in Value at Risk. Partially offsetting these increases was a decrease in Eur Dax Index positions as of September 29, 2000. Currencies: The Currencies sector showed an increase in its Value at Risk during 2000. Greater positions in CME Swiss francs and CME Canadian dollars was the main reason for the increase. 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 September 2000, Eleanor L. Thomas was elected by the Board of Directors of Prudential Securities Futures Management Inc. as President replacing Joseph A. Filicetti. 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: November 13, 2000 ---------------------------------------- Steven Carlino Vice President and Treasurer 12 EX-27 2 0002.txt ART. 5 FDS FOR 3RD QUARTER 10-Q
5 The Schedule contains summary financial information extracted from the financial statements for World Monitor Trust-Series A and is qualified in its entirety by reference to such financial statements 1051822 World Monitor Trust-Series A 1 Dec-31-2000 Jan-1-2000 Sep-29-2000 9-Mos 16,099,624 36,580 2,646 0 0 16,138,850 0 0 16,138,850 219,419 0 0 0 0 15,919,431 16,138,850 0 (2,534,043) 0 1,374,259 0 0 0 0 0 0 0 0 0 (3,908,302) (13.42) 0
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