-----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, TSTljH9JFY7G9uCsMyOR+tSiVqTTZx/R7/Mgtv8H8lIwkbafTloRUL9Ezg8l7oMX NJiLvybYlfafL8IlEzL8pg== 0000898733-02-000699.txt : 20021112 0000898733-02-000699.hdr.sgml : 20021111 20021112125702 ACCESSION NUMBER: 0000898733-02-000699 CONFORMED SUBMISSION TYPE: 10-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20020927 FILED AS OF DATE: 20021112 FILER: COMPANY DATA: COMPANY CONFORMED NAME: WORLD MONITOR TRUST SERIES B CENTRAL INDEX KEY: 0001051823 STANDARD INDUSTRIAL CLASSIFICATION: [6221] STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 10-Q SEC ACT: 1934 Act SEC FILE NUMBER: 333-43041 FILM NUMBER: 02816324 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 sf15796q.txt WMT SERIES B -- QUARTERLY PERIOD 9/27/02 UNITED STATES 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 27, 2002 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: 0-25787 WORLD MONITOR TRUST--SERIES B - -------------------------------------------------------------------------------- (Exact name of Registrant as specified in its charter) Delaware 13-3985041 - -------------------------------------------------------------------------------- (State or other jurisdiction of (I.R.S. Employer incorporation or organization) Identification No.) 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 __ Indicate by check CK whether the Registrant is an accelerated filer (as defined in Rule 12b-2 of the Securities Exchange Act of 1934). Yes __ No _CK __ PART I. FINANCIAL INFORMATION ITEM I. FINANCIAL STATEMENTS WORLD MONITOR TRUST--SERIES B (a Delaware Business Trust) STATEMENTS OF FINANCIAL CONDITION (Unaudited)
September 27, December 31, 2002 2001 - ---------------------------------------------------------------------------------------------------- ASSETS Cash $ 9,797,466 $10,752,455 Net unrealized gain (loss) on open futures contracts 412,300 (18,407 ) Accrued interest receivable 16,322 -- ------------- ------------ Total assets $10,226,088 $10,734,048 ------------- ------------ ------------- ------------ LIABILITIES AND TRUST CAPITAL Liabilities Commissions payable $ 58,937 $ 68,108 Management fees payable 15,648 17,858 Redemptions payable -- 110,284 ------------- ------------ Total liabilities 74,585 196,250 ------------- ------------ Commitments Trust capital Limited interests (78,793.819 and 95,859.349 interests outstanding) 10,038,371 10,407,513 General interests (888 and 1,200 interests outstanding) 113,132 130,285 ------------- ------------ Total trust capital 10,151,503 10,537,798 ------------- ------------ Total liabilities and trust capital $10,226,088 $10,734,048 ------------- ------------ ------------- ------------ Net asset value per limited and general interest ('Interests') $ 127.40 $ 108.57 ------------- ------------ ------------- ------------ - ---------------------------------------------------------------------------------------------------- The accompanying notes are an integral part of these statements.
2 WORLD MONITOR TRUST--SERIES B (a Delaware Business Trust) Condensed Schedules of Investments (Unaudited)
September 27, 2002 December 31, 2001 -------------------------------- -------------------------------- Net Unrealized Net Unrealized Gain (Loss) Gain (Loss) as a % of Net Unrealized as a % of Net Unrealized Futures Contracts Trust Capital Gain (Loss) Trust Capital Gain (Loss) - --------------------------------------------------------------------------------------------------------------- Futures contracts purchased: Interest rates $205,003 $ 59,973 Currencies 62,943 17,755 Commodities (101,202) (251,248) -------------- -------------- Net unrealized gain (loss) on futures contracts purchased 1.64% 166,744 (1.64)% (173,520) -------------- -------------- Futures contracts sold: Stock indices 82,943 (1,200) Currencies -- 379,750 Commodities 162,613 (223,437) -------------- -------------- Net unrealized gain (loss) on futures contracts sold 2.42 245,556 1.47 155,113 ------ -------------- ------ -------------- Net unrealized gain (loss) on futures contracts 4.06% $412,300 (0.17)% $ (18,407) ------ -------------- ------ -------------- ------ -------------- ------ -------------- Settlement Currency--Futures Contracts Euro 1.61% $163,620 0.13% $ 13,461 Japanese yen 0.01 532 0.05 5,542 Australian dollar (0.04) (4,512) -- -- U.S. dollar 2.48 252,660 (0.35) (37,410) ------ -------------- ------ -------------- Total 4.06% $412,300 (0.17)% $ (18,407) ------ -------------- ------ -------------- ------ -------------- ------ -------------- - --------------------------------------------------------------------------------------------------------------- The accompanying notes are an integral part of these statements.
3 WORLD MONITOR TRUST--SERIES B (a Delaware Business Trust) STATEMENTS OF OPERATIONS (Unaudited)
For the period For the period For the period For the period from from from from January 1, 2002 January 1, 2001 June 29, 2002 June 30, 2001 to to to to September 27, September 28, September 27, September 28, 2002 2001 2002 2001 - --------------------------------------------------------------------------------------------------------------- REVENUES Net realized gain (loss) on futures contracts $ 1,783,092 $ 798,328 $ 1,432,197 $(302,367) Change in net unrealized gain/loss on open futures contracts 430,707 (1,294,848) (247,282) 580,754 Interest income 166,510 501,251 55,765 106,664 ----------------- ----------------- ----------------- ----------------- 2,380,309 4,731 1,240,680 385,051 ----------------- ----------------- ----------------- ----------------- EXPENSES Commissions 584,812 816,708 202,319 230,600 Management fees 150,700 210,452 52,135 59,422 ----------------- ----------------- ----------------- ----------------- 735,512 1,027,160 254,454 290,022 ----------------- ----------------- ----------------- ----------------- Net income (loss) $ 1,644,797 $(1,022,429) $ 986,226 $ 95,029 ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- ALLOCATION OF NET INCOME (LOSS) Limited interests $ 1,623,524 $(1,009,371) $ 973,872 $ 93,597 ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- General interests $ 21,273 $ (13,058) $ 12,354 $ 1,432 ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- NET INCOME (LOSS) PER WEIGHTED AVERAGE LIMITED AND GENERAL INTEREST Net income (loss) per weighted average limited and general interest $ 18.05 $ (8.29) $ 11.56 $ .87 ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- Weighted average number of limited and general interests outstanding 91,135 123,344 85,302 109,360 ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- - ---------------------------------------------------------------------------------------------------------------
STATEMENT OF CHANGES IN TRUST CAPITAL (Unaudited)
LIMITED GENERAL INTERESTS INTERESTS INTERESTS TOTAL - ----------------------------------------------------------------------------------------------------- Trust capital--December 31, 2001 97,059.349 $10,407,513 $130,285 $10,537,798 Contributions 378.869 39,871 -- 39,871 Net income 1,623,524 21,273 1,644,797 Redemptions (17,756.399) (2,032,537) (38,426 ) (2,070,963) ----------- ----------- --------- ----------- Trust capital--September 27, 2002 79,681.819 $10,038,371 $113,132 $10,151,503 ----------- ----------- --------- ----------- ----------- ----------- --------- ----------- - ----------------------------------------------------------------------------------------------------- The accompanying notes are an integral part of these statements.
4 WORLD MONITOR TRUST--SERIES B (a Delaware Business Trust) NOTES TO FINANCIAL STATEMENTS September 27, 2002 (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 state fairly the financial position of World Monitor Trust--Series B ('Series B') as of September 27, 2002 and December 31, 2001 and the results of its operations for the periods from January 1, 2002 to September 27, 2002 ('Year-To-Date 2002'), January 1, 2001 to September 28, 2001 ('Year-To-Date 2001'), June 29, 2002 to September 27, 2002 ('Third Quarter 2002') and June 30, 2001 to September 28, 2001 ('Third Quarter 2001'). 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 accounting principles generally accepted in the United States of America have been omitted. It is suggested that these financial statements be read in conjunction with the financial statements and notes thereto included in Series B's Annual Report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2001. The Managing Owner suspended the offering of Interests in Series B and World Monitor Trust--Series C ('Series C') upon the expiration of selling registrations, which expired by April 30, 2002. B. Related Parties The Managing Owner of Series B is a wholly-owned subsidiary of Prudential Securities Incorporated ('PSI'), which, in turn, is an indirect wholly-owned subsidiary of Prudential Financial, Inc. The Managing Owner or its affiliates perform services for Series B, 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 B's routine operational, administrative, legal and auditing costs. Additionally, PSI or its affiliates paid the costs associated with offering Series B's Interests. The costs charged to Series B for brokerage services for Year-To-Date 2002, Year-To-Date 2001, Third Quarter 2002 and Third Quarter 2001 were $584,812, $816,708, $202,319 and $230,600, respectively. All of the proceeds of the offering of Series B were received in the name of Series B and were deposited in trading or cash accounts at PSI, Series B's commodity broker. Series B's assets are maintained with PSI or, for margin purposes, with the various exchanges on which Series B is permitted to trade. PSI credits Series B monthly with 100% of the interest it earns on the average net assets in Series B's accounts. Series B, 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 B pursuant to a line of credit. PSI may require that collateral be posted against the marked-to-market positions of Series B. C. Derivative Instruments and Associated Risks Series B 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 B's investment activities (credit risk). Market risk Trading in futures and forward contracts (including foreign exchange) involves entering into contractual commitments to purchase or sell a particular commodity at a specified date and price. The gross or face 5 amount of the contracts, which is typically many times that of Series B's net assets being traded, significantly exceeds Series B's future cash requirements since Series B intends to close out its open positions prior to settlement. As a result, Series B is generally subject only to the risk of loss arising from the change in the value of the contracts. As such, Series B 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 B's commitments to purchase commodities is limited to the gross or face amount of the contracts held. However, when Series B 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 B 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 B holds and the liquidity and inherent volatility of the markets in which Series B trades. Credit risk When entering into futures or forward contracts, Series B is exposed to credit risk that the counterparty to the contract will not meet its obligations. The counterparty for futures contracts traded on United States and most foreign futures exchanges is the clearinghouse associated with the particular exchange. In general, clearinghouses are backed by their corporate members who are required to share any financial burden resulting from the nonperformance by one of their 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, if Series B enters into forward transactions, the sole counterparty is PSI, Series B's commodity broker. Series B has entered into a master netting agreement with PSI and, as a result, when applicable, 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 nonperformance on all of Series B's contracts is the net unrealized gain included in the statements of financial condition; however, counterparty nonperformance on only certain of Series B's contracts may result in greater loss than nonperformance on all of Series B's contracts. There can be no assurance that any counterparty, clearing member or clearinghouse will meet its obligations to Series B. The Managing Owner attempts to minimize both credit and market risks by requiring Series B 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; 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 B, the Managing Owner and the trading advisor, Series B 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. Furthermore, the Second Amended and Restated Declaration of Trust and Trust Agreement provides that Series B will liquidate its positions, and eventually dissolve, if Series B experiences a decline in the 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 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 B. PSI, when acting as the 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 B all assets of Series B relating to domestic futures trading and is not permitted to commingle such assets with other assets of PSI. At September 27, 2002, such segregated assets totalled $6,369,671. Part 30.7 of the CFTC regulations also requires PSI to secure assets of Series B related to foreign futures trading which totalled $3,840,095 at September 27, 2002. As of September 27, 2002, Series B's open futures contracts mature within six months. 6 D. Financial Highlights
Year-To-Date Year-To-Date Third Quarter Third Quarter 2002 2001 2002 2001 ------------ ------------ -------------- -------------- Performance per Interest Net asset value, beginning of period $ 108.57 $ 121.87 $ 116.00 $ 112.32 ------------ ------------ -------------- -------------- Net realized gain (loss) and change in net unrealized gain/loss on commodity transactions 25.11 (4.00) 13.74 2.88 Interest income 1.84 3.96 0.66 .97 Expenses (8.12) (8.32) (3.00) (2.66) ------------ ------------ -------------- -------------- Increase (decrease) for the period 18.83 (8.36) 11.40 1.19 ------------ ------------ -------------- -------------- Net asset value, end of period $ 127.40 $ 113.51 $ 127.40 $ 113.51 ------------ ------------ -------------- -------------- ------------ ------------ -------------- -------------- Total return 17.34% (6.86)% 9.83% 1.06% Ratio to average net assets (annualized) Interest income 2.19% 4.72% 2.15% 3.59% Expenses 9.67% 9.67% 9.82% 9.75%
These financial highlights represent the overall results of Series B during Year-To-Date 2002, Year-To-Date 2001, Third Quarter 2002 and Third Quarter 2001. An individual limited owner's actual results may differ depending on the timing of contributions and redemptions. 7 WORLD MONITOR TRUST--SERIES B (a Delaware Business Trust) ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS Liquidity and Capital Resources Series B commenced operations on June 10, 1998 with gross proceeds of $5,709,093 allocated to commodities trading. Interests in Series B continued to be offered weekly and resulted in additional gross proceeds to Series B of $24,385,015. The Managing Owner suspended the offering of Interests in Series B and Series C and allowed all selling registrations to expire by April 30, 2002. Additionally, Series A achieved its subscription maximum of $34,000,000 during November 1999. As such, Interests in one series of World Monitor Trust may no longer be exchanged for Interests of one or more other series of World Monitor Trust. Interests in Series B 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 for Year-To-Date 2002, Third Quarter 2002 and for the period from June 10, 1998 (commencement of operations) to September 27, 2002 were $2,032,537, $1,280,874 and $21,089,337, respectively. Redemptions of general interests for Year-To-Date 2002 and for the period from June 10, 1998 (commencement of operations) to September 27, 2002 were $38,426 and $188,201, respectively. Future redemptions will impact the amount of funds available for investment in commodity contracts in subsequent periods. At September 27, 2002, 100% of Series B's net assets were allocated to commodities trading. A significant portion of the net assets was held in cash which was used as margin for Series B's trading in commodities. Inasmuch as the sole business of Series B is to trade in commodities, Series B continues to own such liquid assets to be used as margin. PSI credits Series B monthly with 100% of the interest it earns on the average net assets in Series B'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 B from promptly liquidating its commodity futures positions. Since Series B'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 contracts (credit risk). Series B'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 B's speculative trading, as well as the development of drastic market occurrences, could result in monthly losses considerably beyond Series B'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 B and its trading advisor to abide by various trading limitations and policies, which include limiting margin amounts, trading only in liquid markets and permitting the use of stop loss provisions. See Note C to the financial statements for a further discussion on the credit and market risks associated with Series B's futures and forward contracts. Series B does not have, nor does it expect to have, any capital assets. Results of Operations The net asset value per Interest as of September 27, 2002 was $127.40, an increase of 17.34% from the December 31, 2001 net asset value per Interest of $108.57 and an increase of 9.83% from the June 28, 2002 net asset value per Interest of $116.00. Past performance is not necessarily indicative of future results. Series B's trading gains (losses) before commissions were approximately $2,214,000 and $1,185,000 during Year-To-Date 2002 and Third Quarter 2002, respectively, compared to $(497,000) and $278,000 for 8 Year-To-Date 2001 and Third Quarter 2001, respectively. Due to the nature of Series B's trading activities, a period to period comparison of its trading results is not meaningful. However, a detailed discussion of Series B's Third Quarter 2002 trading results is presented below. Quarterly Market Overview Throughout the third quarter of 2002, household wealth continued to decrease as the result of pervasive declines in global equity markets and uncertainty regarding worldwide economies. As a result, U.S. consumer spending, which helped boost U.S. economic growth in the past, was adversely impacted. Additionally, the higher cost of equity capital, heightened degree of risk aversion and uncertainty regarding debt and equity markets further inhibited consumer and business investment worldwide. In the U.S., decreasing wealth stemming from losses on equities were offset, in part, by continuing increases in home equity values. Low mortgage interest rates remained a key factor in sustaining the housing market at a relatively elevated level. Fears of slowing global economies resulted in major declines in long-term interest rates and bond markets surged. Foreign economies followed the lead of the U.S. with persistent weakness evident in European, Asian and Latin American economies, particularly in Japan and Brazil. In the interest rate sector, negative economic news throughout the quarter coupled with significant downturns in world equity markets and disappointing corporate profits caused a flight to quality into bond markets around the world. The U.S. Federal Reserve Bank left interest rates unchanged at 1.75% in its two meetings this quarter, switching its economic outlook for the near future from 'uncertain' to a bias toward 'economic weakness'. The European Central Bank left short-term interest rates unchanged as well. The Japanese bond market was particularly strong as the Japanese economy continued to struggle with recession and investors fled to bonds for safety. The S&P 500 fell 17.63%, the Dow Jones Industrial Average decreased 17.87% and the London FTSE dropped 20.07% for the quarter as investor confidence collapsed in response to continued concerns about accounting transparency, government investigations, heightened tension in the Middle East, and decreased corporate sales and profits. In Japan, the Nikkei Index hit new lows as the economy continued to struggle with structural problems and the Japanese government prepared new fiscal policy initiatives. In foreign exchange markets, the U.S. dollar began the quarter down against many foreign currencies, but reversed its trend towards quarter-end. The euro surpassed parity with the U.S. dollar early in the quarter as investors' desire for U.S. assets decreased, but ended the quarter lower. The British pound rose against the U.S. dollar early in the quarter amid perceived strength in the British economy, while the Japanese yen weakened as worries regarding the Japanese economy persisted. Energy markets continued their upward climb as fears of impending war with Iraq pushed crude oil prices up significantly. Crude oil rose from the low $20's per barrel earlier in the year to approximately $30 a barrel at quarter-end. Gold and other precious metals soared throughout most of the quarter in response to weaknesses in the U.S. dollar and global equity markets and instability in the Middle East. In commodities markets, drought in the Mid-Western United States drove price increases in corn, wheat and soybean markets. Cocoa prices soared as supply deficits and violence in the Ivory Coast pushed the markets to sixteen-year highs. Quarterly Performance of Series B The following is a summary of performance for the major sectors in which Series B traded: Interest rates (+): Interest rate instruments rose throughout the quarter in response to weak economies and poor equity market performance worldwide. Long positions in U.S., European and Japanese bonds resulted in gains. Indices (+): Short positions in the S&P 500, Euro DAX and NASDAQ resulted in gains as weak economic data and disappointing earning reports pressed global equity markets downward throughout the quarter. Energies (+): Energy prices rallied amid speculation of imminent war with Iraq and seasonal demand pressure. Long natural gas positions resulted in gains. Currencies (-): The U.S. dollar reversed its downward trend against many foreign currencies toward quarter-end resulting in losses for long euro, Japanese yen, Swiss franc and Australian dollar positions. 9 Metals (-): Weak economic conditions caused price declines in industrial metals resulting in losses in long copper positions. Short gold positions incurred losses as precious metal prices rose in response to uncertainty in the Middle East and the weak global economy. Decreases in interest income, commissions and management fees during Year-To-Date 2002 as compared to Year-To-Date 2001 and Third Quarter 2002 as compared to Third Quarter 2001 are primarily due to the effect of redemptions as well as unfavorable trading performance during 2001 on Series B's weekly net asset values offset, in part, by contributions received and favorable trading performance during Year-To-Date 2002, as further discussed below. Interest income is earned on the average net assets held at PSI and, therefore, varies weekly according to interest rates, trading performance, contributions and redemptions. Interest income decreased by approximately $335,000 and $51,000 during Year-To-Date 2002 as compared to Year-To-Date 2001 and Third Quarter 2002 as compared to Third Quarter 2001, respectively, due to the decrease in average net asset levels discussed above as well as lower overall interest rates during 2002 versus 2001. Commissions are calculated on Series B's net asset value at the end of each week and, therefore, vary according to weekly trading performance, contributions and redemptions. Commissions decreased by approximately $232,000 and $28,000 during Year-To-Date 2002 as compared to Year-To-Date 2001 and Third Quarter 2002 as compared to Third Quarter 2001, respectively, due to the decrease in average net asset levels as discussed above. All trading decisions for Series B are made by Eclipse Capital Management, Inc. (the 'Trading Advisor'). Management fees are calculated on Series B's net asset value at the end of each week and, therefore, are affected by weekly trading performance, contributions and redemptions. Management fees decreased by approximately $60,000 and $7,000 during Year-To-Date 2002 as compared to Year-To-Date 2001 and Third Quarter 2002 as compared to Third Quarter 2001, respectively, due to the decrease in average net asset levels 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 Series B, the Managing Owner and the Trading Advisor. Series B did not incur an incentive fee during Year-To-Date 2002 or Year-To-Date 2001. 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. ITEM 4. CONTROLS AND PROCEDURES Within 90 days prior to the date of this report, the Managing Owner carried out an evaluation, under the supervision and with the participation of the officers of the Managing Owner, including the Managing Owner's Chief Executive Officer and Chief Financial Officer, of the effectiveness of the design and operation of Series B's disclosure controls and procedures. Based upon that evaluation, the Managing Owner's Chief Executive Officer and Chief Financial Officer concluded that Series B's disclosure controls and procedures are effective. There were no significant changes in Series B's internal controls or in other factors that could significantly affect these controls subsequent to the date of their evaluation. 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-- None Item 6. Exhibits and Reports on Form 8-K: (a) Exhibits-- 3.1 and 4.1-- Second Amended and Restated Declaration of Trust and Trust Agreement of World Monitor Trust dated as of March 17, 1998 (incorporated by reference to Exhibits 3.1 and 4.1 to Series B's Registration Statement on Form S-1, File No. 333-43041) 4.2-- Form of Request for Redemption (incorporated by reference to Exhibit 4.2 to Series B's Registration Statement on Form S-1, File No. 333-43041) 4.3-- Form of Exchange Request (incorporated by reference to Exhibit 4.3 to Series B's Registration Statement on Form S-1, File No. 333-43041) 4.4-- Form of Subscription Agreement (incorporated by reference to Exhibit 4.4 to Series B's Registration Statement on Form S-1, File No. 333-43041) 99.1-- Certificate pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the SARBANES-OXLEY Act of 2002 (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 B By: Prudential Securities Futures Management Inc. A Delaware corporation, Managing Owner By: /s/ Steven Weinreb Date: November 12, 2002 ---------------------------------------- Steven Weinreb Chief Financial Officer CERTIFICATIONS I, Eleanor L. Thomas, certify that: 1. I have reviewed this quarterly report on Form 10-Q of World Monitor Trust--Series B ('Series B'); 2. Based on my knowledge, this quarterly report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this quarterly report; 3. Based on my knowledge, the financial statements, and other financial information included in this quarterly report, fairly present in all material respects the financial condition, results of operations and cash flows of Series B as of, and for, the periods presented in this quarterly report; 4. Series B's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-14 and 15d-14) for Series B and we have: a) designed such disclosure controls and procedures to ensure that material information relating to Series B, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this quarterly report is being prepared; b) evaluated the effectiveness of Series B's disclosure controls and procedures as of a date within 90 days prior to the filing date of this quarterly report (the 'Evaluation Date'); and c) presented in this quarterly report our conclusions about the effectiveness of the disclosure controls and procedures based on our evaluation as of the Evaluation Date; 5. Series B's other certifying officers and I have disclosed, based on our most recent evaluation, to Series B's auditors and the board of directors of the managing owner of Series B: a) all significant deficiencies in the design or operation of internal controls which could adversely affect Series B's ability to record, process, summarize and report financial data and have identified for Series B's auditors any material weaknesses in internal controls; and b) any fraud, whether or not material, that involves management or other employees who have a significant role in Series B's internal controls; and 6. Series B's other certifying officers and I have indicated in this quarterly report whether or not there were significant changes in internal controls or in other factors that could significantly affect internal controls subsequent to the date of our most recent evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses. Date: November 12, 2002 /s/ Eleanor L. Thomas -------------------------------------- Eleanor L. Thomas President (chief executive officer) of the managing owner of Series B 12 I, Steven Weinreb, certify that: 1. I have reviewed this quarterly report on Form 10-Q of World Monitor Trust--Series B ('Series B'); 2. Based on my knowledge, this quarterly report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this quarterly report; 3. Based on my knowledge, the financial statements, and other financial information included in this quarterly report, fairly present in all material respects the financial condition, results of operations and cash flows of Series B as of, and for, the periods presented in this quarterly report; 4. Series B's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-14 and 15d-14) for Series B and we have: a) designed such disclosure controls and procedures to ensure that material information relating to Series B, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this quarterly report is being prepared; b) evaluated the effectiveness of Series B's disclosure controls and procedures as of a date within 90 days prior to the filing date of this quarterly report (the 'Evaluation Date'); and c) presented in this quarterly report our conclusions about the effectiveness of the disclosure controls and procedures based on our evaluation as of the Evaluation Date; 5. Series B's other certifying officers and I have disclosed, based on our most recent evaluation, to Series B's auditors and the board of directors of the managing owner of Series B: a) all significant deficiencies in the design or operation of internal controls which could adversely affect Series B's ability to record, process, summarize and report financial data and have identified for Series B's auditors any material weaknesses in internal controls; and b) any fraud, whether or not material, that involves management or other employees who have a significant role in Series B's internal controls; and 6. Series B's other certifying officers and I have indicated in this quarterly report whether or not there were significant changes in internal controls or in other factors that could significantly affect internal controls subsequent to the date of our most recent evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses. Date: November 12, 2002 /s/ Steven Weinreb -------------------------------------- Steven Weinreb Chief Financial Officer of the managing owner of Series B 13 EX-99 3 sf15796cer.txt EXHIBIT 99.1 -- CERTIFICATE PURSUANT TO THE SARBANES-OXLEY ACT OF 2002 Exhibit 99.1 CERTIFICATE PURSUANT TO 18 U.S.C. SECTION 1350 AS ADOPTED PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002 The undersigned, Eleanor L. Thomas, President (chief executive officer) of the managing owner, Prudential Securities Futures Management Inc. (the 'Managing Owner'), of World Monitor Trust--Series B ('Series B'), hereby certifies, pursuant to 18 U.S.C. 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that: (1) Series B's Quarterly Report on Form 10-Q for the period ending September 27, 2002, as filed with the Securities and Exchange Commission on the date hereof (the 'Quarterly Report'), fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and (2) The information contained in the Quarterly Report fairly presents, in all material respects, the financial condition and results of operations of Series B. /s/ Eleanor L. Thomas - ------------------------------------------------------ Eleanor L. Thomas President (chief executive officer) of the Managing Owner November 12, 2002 The undersigned, Steven Weinreb, Chief Financial Officer of the managing owner, the Managing Owner, of Series B, hereby certifies, pursuant to 18 U.S.C. 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that: (1) Series B's Quarterly Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and (2) The information contained in the Quarterly Report fairly presents, in all material respects, the financial condition and results of operations of Series B. /s/ Steven Weinreb - ------------------------------------------------------ Steven Weinreb Chief Financial Officer of the Managing Owner November 12, 2002 -----END PRIVACY-ENHANCED MESSAGE-----