-----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, KbAw83ek1ESEuZtOU0Qll186cu/5tHasV9i04imizhiIq/y2K//x1AjUS1f6YlJS BVwF7LS7yf4GI0Pwpj50zw== 0000898733-99-000318.txt : 19990511 0000898733-99-000318.hdr.sgml : 19990511 ACCESSION NUMBER: 0000898733-99-000318 CONFORMED SUBMISSION TYPE: 10-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 19990326 FILED AS OF DATE: 19990510 FILER: COMPANY DATA: COMPANY CONFORMED NAME: WORLD MONITOR TRUST SERIES A CENTRAL INDEX KEY: 0001051822 STANDARD INDUSTRIAL CLASSIFICATION: INVESTORS, NEC [6799] STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 10-Q SEC ACT: SEC FILE NUMBER: 000-25785 FILM NUMBER: 99615715 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 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 March 26, 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: 333-43033 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)
March 26, December 31, 1999 1998 - --------------------------------------------------------------------------------------------------- ASSETS Equity in commodity trading accounts: Cash $13,788,189 $11,008,050 Net unrealized gain/(loss) on open commodity positions 904,888 (103,243) ----------- ------------ Net equity 14,693,077 10,904,807 Accrued interest receivable 55,102 -- ----------- ------------ Total assets $14,748,179 $10,904,807 ----------- ------------ ----------- ------------ LIABILITIES AND TRUST CAPITAL Liabilities Commissions payable $ 80,802 $ 74,604 Management fee payable 21,195 19,457 ----------- ------------ Total liabilities 101,997 94,061 ----------- ------------ Commitments Trust capital Limited interests (142,184.498 and 108,568.155 interests outstanding) 14,453,047 10,673,116 General interests (1,900 and 1,400 interests outstanding) 193,135 137,630 ----------- ------------ Total trust capital 14,646,182 10,810,746 ----------- ------------ Total liabilities and trust capital $14,748,179 $10,904,807 ----------- ------------ ----------- ------------ Net asset value per limited and general interest ('Interests') $ 101.65 $ 98.31 ----------- ------------ ----------- ------------ - --------------------------------------------------------------------------------------------------- The accompanying notes are an integral part of these statements.
2 WORLD MONITOR TRUST--SERIES A (a Delaware Business Trust) STATEMENT OF OPERATIONS (Unaudited)
For the period from January 1, 1999 through March 26, 1999 - -------------------------------------------------------------------------------------------------- REVENUES Net realized loss on commodity transactions $ (399,898) Change in net unrealized gain on open commodity positions 1,008,131 Interest income 144,206 ------------------ 752,439 ------------------ EXPENSES Commissions 225,007 Management fees 57,982 ------------------ 282,989 ------------------ Net income $ 469,450 ------------------ ------------------ ALLOCATION OF NET INCOME Limited interests $ 464,031 ------------------ ------------------ General interests $ 5,419 ------------------ ------------------ NET INCOME PER WEIGHTED AVERAGE LIMITED AND GENERAL INTEREST Net income per weighted average limited and general interest $ 3.76 ------------------ ------------------ Weighted average number of limited and general interests outstanding 124,757 ------------------ ------------------ - --------------------------------------------------------------------------------------------------
STATEMENT OF CHANGES IN TRUST CAPITAL (Unaudited)
LIMITED GENERAL INTERESTS INTERESTS INTERESTS TOTAL - ----------------------------------------------------------------------------------------------------- Trust capital--December 31, 1998 109,968.155 $10,673,116 $137,630 $10,810,746 Contributions 35,221.814 3,427,300 50,086 3,477,386 Net income -- 464,031 5,419 469,450 Redemptions (1,105.471) (111,400) -- (111,400) ------------ ----------- --------- ----------- Trust capital--March 26, 1999 144,084.498 $14,453,047 $193,135 $14,646,182 ------------ ----------- --------- ----------- ------------ ----------- --------- ----------- - ----------------------------------------------------------------------------------------------------- The accompanying notes are an integral part of these statements.
3 WORLD MONITOR TRUST--SERIES A (a Delaware Business Trust) NOTES TO FINANCIAL STATEMENTS MARCH 26, 1999 (Unaudited) A. General These financial statements have been prepared without audit. In the opinion of management, 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 March 26, 1999 and the results of its operations for the period from January 1, 1999 through March 26, 1999 (the 'First Quarter'). However, the operating results for the interim period 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, 1998 (the 'Annual Report'). B. Related Parties The managing owner of Series A is Prudential Securities Futures Management Inc. (the 'Managing Owner'), 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 costs of organizing Series A and offering its Interests as well as the routine operational, administrative, legal and auditing fees. As described in the Annual Report, all commissions for brokerage services are paid to PSI. All of the proceeds of the offering of Series A are received in the name of Series A and deposited in trading or cash accounts at PSI. Series A's assets are maintained either 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 Series A pursuant to a line of credit. PSI may require that collateral be posted against the marked-to-market positions of Series A. As of March 26, 1999, a non-U.S. affiliate of the Managing Owner owns 101.112 limited interests of Series A. C. Credit and Market Risk Since Series A's business is to trade futures, forward (including foreign exchange transactions) and options 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 contracts (credit risk). Futures, forward and options contracts involve varying degrees of off-balance sheet risk; and changes in the level or volatility of interest rates, foreign currency exchange rates or the market values of the contracts (or commodities underlying the contracts) frequently result in changes in unrealized gain (loss) on open commodity positions reflected in the statements of financial condition. Series A's exposure to market risk is influenced by a number of factors including the relationships among the contracts held by Series A as well as the liquidity of the markets in which the contracts are traded. Futures and options contracts are traded on organized exchanges and are thus distinguished from forward contracts which are entered into privately by the parties. The credit risks associated with futures and options contracts are typically perceived to be less than those associated with forward contracts because 4 exchanges typically provide clearinghouse arrangements in which the collective credit (subject to certain limitations) of the members of the exchanges is pledged to support the financial integrity of the exchange. On the other hand, Series A must rely solely on the credit of its broker (PSI) with respect to forward transactions. Series A presents unrealized gains and losses on open forward positions, if any, as a net amount in the statements of financial condition because it has a master netting agreement with PSI. The Managing Owner attempts to minimize both credit and market risks by requiring the 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. 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 the futures commission merchant in accepting orders for the purchase or sale of domestic futures and options 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 and options trading and is not to commingle such assets with other assets of PSI. At March 26, 1999, such segregated assets totalled $12,273,592. Part 30.7 of the CFTC regulations also requires PSI to secure assets of Series A related to foreign futures and options trading which totalled $1,697,108 at March 26, 1999. There are no segregation requirements for assets related to forward trading. As of March 26, 1999, all open futures and forward contracts mature within three months. As of March 26, 1999 and December 31, 1998, gross contract amounts of open futures and forward contracts for Series A are:
1999 1998 ----------- ----------- Financial Futures Contracts: Commitments to purchase $32,871,454 $18,683,310 Commitments to sell 2,169,687 16,579,358 Currency Futures Contracts: Commitments to sell 8,638,525 -- Currency Forward Contracts: Commitments to purchase 182,621 362,056 Commitments to sell 33,517,151 -- Other Futures Contracts: Commitments to purchase 41,141 -- Commitments to sell 2,112,236 3,076,903
The gross contract amounts represent Series A's potential involvement in a particular class of financial instrument (if it were to take or make delivery on an underlying futures or forward contract). The gross contract amounts significantly exceed the future cash requirements as Series A intends to close out open positions prior to settlement and thus 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 futures and forward contracts to be the net unrealized gain or loss on the contracts. Thus, the amount at risk associated with counterparty nonperformance of all contracts is the net unrealized gain included in the statements of financial condition. The market risk associated with Series A's commitments to purchase commodities is limited to the gross contract amounts involved, while the market risk associated with its commitments to sell is unlimited since its potential involvement is to make delivery of an underlying commodity at the contract price; therefore, it must repurchase the contract at prevailing market prices. 5 At March 26, 1999 and December 31, 1998, the fair value of open futures and forward contracts was:
1999 1998 ---------------------------- -------------------------- Assets Liabilities Assets Liabilities ---------- ----------- -------- ----------- Futures Contracts: Domestic exchanges Financial $ -- $ 1,564 $ -- $ -- Currencies 181,200 -- -- -- Other 38,590 -- 31,724 11,760 Foreign exchanges Financial 30,749 -- 204,523 -- Other -- 66,464 34,326 -- Forward Contracts: Currencies 904,998 182,621 -- 362,056 ---------- ----------- -------- ----------- $1,155,537 $ 250,649 $270,573 $ 373,816 ---------- ----------- -------- ----------- ---------- ----------- -------- -----------
The following table presents the average fair value and trading revenues of futures and forward contracts during the First Quarter:
Average Fair Value -------------------------- Trading Assets Liabilities Revenues -------- ----------- --------- Futures Contracts: Domestic exchanges Financial $ -- $ 2,329 $(67,658) Currencies 74,108 -- 247,784 Other 53,237 8,884 (30,940) Foreign exchanges Financial 142,196 21,267 (255,120) Other 44,838 16,616 (8,210) Forward Contracts: Currencies 390,911 277,015 722,377 -------- ----------- --------- $705,290 $ 326,111 $608,233 -------- ----------- --------- -------- ----------- ---------
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. Additional contributions raised through the continuous offering for the period from June 10, 1998 (commencement of operations) through March 26, 1999 resulted in additional gross proceeds to Series A of $8,548,965. Additional Interests of Series A will continue to be offered on a weekly basis at the net asset value per Interest until the subscription maximum of $34,000,000 is sold. At March 26, 1999, 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, forward and options 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 contracts (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 relationships 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's trading advisor to abide by various trading limitations and policies. See Note A 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. Redemptions of limited interests for the First Quarter were $111,400. Redemptions of limited interests for the period from June 10, 1998 (commencement of operations) through March 26, 1999 were $239,552. Future redemptions and contributions will impact the amount of funds available for investment in commodity contracts in subsequent periods. Results of Operations Series A commenced trading operations on June 10, 1998, and as such, no comparative information is available. The net asset value per Interest as of March 26, 1999 was $101.65, an increase of 3.40% from the December 31, 1998 net asset value per Interest of $98.31. First quarter trading resulted in a flat performance. The currency and grain sectors accumulated profits, while losses were incurred in the financial, index, energy, and metals sectors. During the quarter Series A recognized gains from a strong U.S. dollar. Profits were derived from crossrate positions which were long the U.S. dollar and short Deutsche mark, Swiss franc and Scandinavian currencies. The U.S. dollar benefited from the considerable slow down in European growth and the market sentiment that the European Central Bank will have to smooth the transition to the Euro by cutting rates. U.S. dollar positions against the 7 Swedish and Norwegian krone benefited further from economic slowdown and confusing government policies in both countries. Series A also benefited from a long U.S. dollar/short Singapore dollar position. Some U.S. dollar crossrate profits were offset by long U.S. dollar/short British pound positions, which were liquidated at losses. Profits recognized in the currency sector were, however, partially offset by losses in the financial sector as global fixed income markets experienced high volatility causing the liquidation of some positions at a loss. 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 was $144,000 during the First Quarter. 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 were $225,000 during the First Quarter. All trading decisions for Series A are made by Eagle Trading Systems, Inc. (the 'Trading Advisor'). 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 were $58,000 during the First Quarter. 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 fee was earned during the First Quarter. Year 2000 Risk A discussion of Year 2000 risk and its effect on the operations of Series A is included in the Annual Report. Item 3. Quantitative and Qualitative Disclosures About Market Risk Information regarding quantitative and qualitative disclosures about market risk is not required pursuant to Item 305(e) of Regulation S-K. 8 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 April 1999, Eleanor L. Thomas and Joseph A. Filicetti have been elected by the Board of Directors of the Managing Owner as directors. In addition, Mr. Filicetti has also been elected by the Board of Directors as President of the Managing Owner replacing Thomas M. Lane. Mr. Filicetti joined Prudential Securities Incorporated in September 1998 and is the Director of Sales and Marketing for Managed Futures. Ms. Thomas was elected by the Board of Directors of the Managing Owner as Executive Vice President. Ms. Thomas joined Prudential Securities Incorporated in February 1993 and is primarily responsible for origination, asset allocation, and due diligence for Managed Futures. 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 9 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: May 10, 1999 ---------------------------------------- Steven Carlino Vice President and Treasurer 10 EX-27 2 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-31-1999 Jan-1-1999 Mar-26-1999 3-Mos 13,788,189 904,888 55,102 0 0 14,748,179 0 0 14,748,179 101,997 0 0 0 0 14,646,182 14,748,179 0 752,439 0 282,989 0 0 0 0 0 0 0 0 0 469,450 3.76 0
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