<DOCUMENT>
<TYPE>EX-13
<SEQUENCE>3
<FILENAME>sf15421a.txt
<DESCRIPTION>WORLD MONITOR TRUST -- SERIES C -- 12/31/2001 ANNUAL
<TEXT>
<Page>
LETTER TO LIMITED OWNERS FOR
WORLD MONITOR TRUST--SERIES C
1
<Page>
PricewaterhouseCoopers (LOGO)
PricewaterhouseCoopers LLP
1177 Avenue of the Americas
New York, NY 10036
Telephone (646) 471-4000
Facsimile (646) 471-4100
Report of Independent Accountants
To the Managing Owner and Limited Owners
of World Monitor Trust--Series C
In our opinion, the accompanying statements of financial condition, including
the condensed schedule of investments, and the related statements of operations
and changes in trust capital present fairly, in all material respects, the
financial position of World Monitor Trust--Series C at December 31, 2001 and
2000 and the results of its operations and changes in trust capital for each of
the three years in the period ended December 31, 2001 in conformity with
accounting principles generally accepted in the United States of America. These
financial statements are the responsibility of the Managing Owner; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these statements in accordance with
auditing standards generally accepted in the United States of America, which
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by the Managing Owner, and evaluating the
overall financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
January 25, 2002, except for Note H, as to which the date is March 19, 2002
2
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WORLD MONITOR TRUST--SERIES C
(a Delaware Business Trust)
STATEMENTS OF FINANCIAL CONDITION
<Table>
<Caption>
December 31,
---------------------------
2001 2000
--------------------------------------------------------------------------------------------
<S> <C> <C>
ASSETS
Cash $5,467,182 $8,485,803
Net unrealized gain on open futures contracts 218,663 1,364,440
------------ ----------
Total assets $5,685,845 $9,850,243
------------ ----------
------------ ----------
LIABILITIES AND TRUST CAPITAL
Liabilities
Commissions payable $ 33,998 $ 70,591
Redemptions payable 30,609 19,399
Management fees payable 9,946 24,235
------------ ----------
Total liabilities 74,553 114,225
------------ ----------
Commitments
Trust capital
Limited interests (74,266.692 and 103,274.013
interests outstanding) 5,545,728 9,633,406
General interests (878 and 1,100 interests outstanding) 65,564 102,612
------------ ----------
Total trust capital 5,611,292 9,736,018
------------ ----------
Total liabilities and trust capital $5,685,845 $9,850,243
------------ ----------
------------ ----------
Net asset value per limited and general interests
('Interests') $ 74.67 $ 93.28
------------ ----------
------------ ----------
--------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements.
</Table>
3
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WORLD MONITOR TRUST--SERIES C
(a Delaware Business Trust)
Condensed Schedule of Investments
At December 31, 2001
<Table>
<Caption>
Net Unrealized
Gain (Loss)
as a % of Net Unrealized
Futures Contracts Trust Capital Gain (Loss)
------------------------------------------------------------------------------------------------------
<S> <C> <C>
Futures contracts purchased:
Stock indices $ 5,543
Interest rates 1,047
Currencies 18,150
Commodities 11,410
--------------
Net unrealized gain on futures contracts purchased 0.64% 36,150
--------------
Futures contracts sold:
Stock indices (1,571)
Interest rates 94,839
Currencies 81,825
Commodities 7,420
--------------
Net unrealized gain on futures contracts sold 3.25 182,513
------ --------------
Net unrealized gain on futures contracts 3.89% $218,663
------ --------------
------ --------------
Settlement Currency--Futures Contracts
Euro 1.80% 101,142
Hong Kong dollar (0.12) (6,797)
Japanese yen 0.04 2,252
U.S. dollar 2.17 122,066
------ --------------
Total 3.89% $218,663
------ --------------
------ --------------
------------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements.
</Table>
4
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WORLD MONITOR TRUST--SERIES C
(a Delaware Business Trust)
STATEMENTS OF OPERATIONS
<Table>
<Caption>
Year Ended December 31,
--------------------------------------------------------------
2001 2000 1999
---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
REVENUES
Net realized gain (loss) on commodity
transactions $ 54,273 $(2,966,111) $ (970,845)
Change in net unrealized gain on open
commodity positions (1,145,777) 415,646 218,373
Interest income 322,427 720,545 821,254
-------------------- ----------------- -----------------
(769,077) (1,829,920) 68,782
-------------------- ----------------- -----------------
EXPENSES
Commissions 607,077 590,991 1,275,546
Management fees 157,049 152,433 329,595
Incentive fees -- -- 143,759
-------------------- ----------------- -----------------
764,126 743,424 1,748,900
-------------------- ----------------- -----------------
Net loss $ (1,533,203) $(2,573,344) $(1,680,118)
-------------------- ----------------- -----------------
-------------------- ----------------- -----------------
ALLOCATION OF NET LOSS
Limited interests $ (1,515,619) $(2,531,322) $(1,655,869)
-------------------- ----------------- -----------------
-------------------- ----------------- -----------------
General interests $ (17,584) $ (42,022) $ (24,249)
-------------------- ----------------- -----------------
-------------------- ----------------- -----------------
NET LOSS PER WEIGHTED AVERAGE LIMITED
AND GENERAL INTEREST
Net loss per weighted average limited
and general interest $ (17.34) $ (17.03) $ (10.83)
-------------------- ----------------- -----------------
-------------------- ----------------- -----------------
Weighted average number of limited and
general interests outstanding 88,445 151,116 155,131
-------------------- ----------------- -----------------
-------------------- ----------------- -----------------
---------------------------------------------------------------------------------------------------------
</Table>
STATEMENTS OF CHANGES IN TRUST CAPITAL
<Table>
<Caption>
LIMITED GENERAL
INTERESTS INTERESTS INTERESTS TOTAL
-----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Trust capital--December 31, 1998 108,363.103 $11,151,465 $141,740 $11,293,205
Contributions 110,965.263 11,497,940 122,462 11,620,402
Net loss (1,655,869) (24,249 ) (1,680,118)
Redemptions (26,916.959) (2,765,590) -- (2,765,590)
----------- ----------- --------- -----------
Trust capital--December 31, 1999 192,411.407 18,227,946 239,953 18,467,899
Contributions 9,814.185 823,864 -- 823,864
Net loss (2,531,322) (42,022 ) (2,573,344)
Redemptions (97,851.579) (6,887,082) (95,319 ) (6,982,401)
----------- ----------- --------- -----------
Trust capital--December 31, 2000 104,374.013 9,633,406 102,612 9,736,018
Contributions 3,607.238 323,014 -- 323,014
Net loss (1,515,619) (17,584 ) (1,533,203)
Redemptions (32,836.559) (2,895,073) (19,464 ) (2,914,537)
----------- ----------- --------- -----------
Trust capital--December 31, 2001 75,144.692 $ 5,545,728 $ 65,564 $ 5,611,292
----------- ----------- --------- -----------
----------- ----------- --------- -----------
-----------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements.
</Table>
5
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WORLD MONITOR TRUST--SERIES C
(a Delaware Business Trust)
NOTES TO FINANCIAL STATEMENTS
A. General
The Trust, Trustee, Managing Owner and Affiliates
World Monitor Trust (the 'Trust') is a business trust organized under the
laws of Delaware on December 17, 1997. The Trust commenced trading operations on
June 10, 1998 and will terminate on December 31, 2047 unless terminated sooner
as provided in the Second Amended and Restated Declaration of Trust and Trust
Agreement. The Trust consists of three separate and distinct series ('Series'):
Series A, B and C. The assets of each Series are segregated from those of the
other Series, separately valued and independently managed. Each Series was
formed to engage in the speculative trading of a diversified portfolio of
futures, forward and options contracts, and may, from time to time, engage in
cash and spot transactions. The trustee of the Trust is Wilmington Trust
Company. The managing owner is Prudential Securities Futures Management Inc.
(the 'Managing Owner'), a wholly-owned subsidiary of Prudential Securities
Incorporated ('PSI'), which, in turn, is an indirect wholly-owned subsidiary of
Prudential Financial, Inc. PSI is the selling agent for the Trust, as well as
its commodity broker ('Commodity Broker').
The Offering
Beneficial interests in each Series ('Interests') are being offered once each
week until each Series' subscription maximum has been issued either through sale
or exchange or until the Managing Owner suspends the offering of Interests. On
June 10, 1998, a sufficient number of subscriptions for each Series had been
received and accepted by the Managing Owner to permit each Series to commence
trading. Series C completed its initial offering with gross proceeds of
$5,706,177 from the sale of 56,301.770 limited interests and 760.000 general
interests. General interests are sold exclusively to the Managing Owner.
Series A was offered until it achieved its subscription maximum of
$34,000,000 during November 1999. Interests in Series B and Series C will
continue to be offered on a weekly basis at the then current net asset value per
Interest until the Managing Owner suspends the offering of Interests (see Note
H) or the subscription maximum of $33,000,000 for each Series is sold
('Continuous Offering Period'). Series B and Series C are offered to investors
who meet certain established suitability standards, with a minimum initial
subscription of $5,000 ($2,000 for an individual retirement account) per
subscriber, although the minimum purchase for any single Series is $1,000.
Additional purchases may be made in $100 increments.
The Managing Owner is required to maintain at least a 1% interest in the
capital, profits and losses of each Series so long as it is acting as the
Managing Owner, and it will make such contributions (and in return will receive
general interests) as are necessary to meet this requirement.
The Trading Advisor
Each Series has its own independent commodity trading advisor that makes that
Series' trading decisions. As of June 7, 2000, Hyman Beck & Company, Inc.
('Hyman Beck') ceased to serve as a trading advisor to Series C. The advisory
agreement among Series C, the Managing Owner and Hyman Beck was automatically
terminated when the assets allocated to Hyman Beck declined by greater than
33 1/3% from their initial allocation on June 10, 1998.
On November 13, 2000, the Managing Owner entered into a new advisory
agreement with Northfield Trading L.P. (the 'Trading Advisor'), an independent
commodities trading advisor, to make the trading decisions for Series C. The new
advisory agreement may be terminated for various reasons, including at the
discretion of the Managing Owner. The management fee paid to the Trading Advisor
equals 0.0385% of Series C's allocated assets determined as of the close of
business each Friday (an annual rate of 2%), the same previously paid to Hyman
Beck. The quarterly incentive fee paid to the Trading Advisor equals 20% of the
'New High Net Trading Profits' as defined in the advisory agreement among Series
C, the Managing Owner and the Trading Advisor as compared to 23% paid to Hyman
Beck. Additionally, the Trading Advisor must recoup the cumulative trading
losses of Hyman Beck before it is paid an incentive fee. Furthermore, since
Series C's assets were not allocated to commodities trading from June 8, 2000
until the new Trading Advisor began trading, Series C was not subject to
management fees or commissions during that period.
6
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The Managing Owner has allocated 100% of the proceeds from the initial and
continuous offering of Series C to the Trading Advisor and it is currently
contemplated that the Trading Advisor will continue to be allocated 100% of
additional capital raised for Series C during the Continuous Offering Period.
Exchanges, Redemptions and Termination
Interests owned in one series of the Trust (Series A, B or C) 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. Once the suspension of the offering of Interests takes effect (see Note
H), Interests owned in one series of the Trust may no longer be exchanged for
Interests of one or more other Series. Exchanges are made at the applicable
Series' then current net asset value per Interest as of the close of business on
the Friday immediately preceding the week in which the exchange request is
effected. The exchange of Interests is treated as a redemption of Interests in
one Series (with the related tax consequences) and the simultaneous purchase of
Interests in the other Series.
Redemptions are permitted on a weekly basis. Interests redeemed on or before
the end of the first and second successive six-month periods after their
effective dates of purchase are subject to a redemption fee of 4% and 3%,
respectively, of the net asset value at which they are redeemed. Redemption fees
are paid to the Managing Owner.
In the event that the estimated net asset value per Interest of a Series at
the end of any business day, after adjustments for distributions, declines by
50% or more since the commencement of trading activities or the first day of a
fiscal year, the Series will terminate.
B. Summary of Significant Accounting Policies
Basis of accounting
The financial statements of Series C are prepared in accordance with
accounting principles generally accepted in the United States of America.
Commodity futures and/or forward transactions are reflected in the
accompanying statements of financial condition on trade date. The difference
between the original contract amount and market value is reflected as net
unrealized gain or loss. The market value of each contract is based upon the
closing quotation on the exchange, clearing firm or bank on, or through, which
the contract is traded.
The weighted average number of limited and general interests outstanding was
computed for purposes of disclosing net loss per weighted average limited and
general interest. The weighted average limited and general interests are equal
to the number of Interests outstanding at period end, adjusted proportionately
for Interests subscribed and redeemed based on their respective time outstanding
during such period.
Series C has elected not to provide a Statement of Cash Flows as permitted by
Statement of Financial Accounting Standards No. 102, 'Statement of Cash
Flows--Exemption of Certain Enterprises and Classification of Cash Flows from
Certain Securities Acquired for Resale.'
Income taxes
Series C is treated as a partnership for Federal income tax purposes. As
such, Series C is not required to provide for, or pay, any Federal or state
income taxes. Income tax attributes that arise from its operations are passed
directly to the individual Interest holders including the Managing Owner. Series
C may be subject to other state and local taxes in jurisdictions in which it
operates.
Profit and loss allocations and distributions
Series C allocates profits and losses for both financial and tax reporting
purposes to its Interest holders weekly on a pro rata basis based on each
owner's Interests outstanding during the week. Distributions (other than
redemptions of Interests) may be made at the sole discretion of the Managing
Owner on a pro rata basis in accordance with the respective capital balances of
the Interest holders; however, the Managing Owner does not presently intend to
make any distributions.
Financial Reporting by Commodity Pools
During March 2001, the Accounting Standards Executive Committee issued
Statement of Position ('SOP') 01-1, Amendment to Scope of Statement of Position
95-2, Financial Reporting by Nonpublic
7
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Investment Partnerships, to Include Commodity Pools, which is effective for
financial statements issued for periods ending after December 15, 2001. This SOP
amends SOP 95-2, Financial Reporting by Nonpublic Investment Partnerships, to
include within its scope commodity pools such as Series C. Under the new
requirements, Series C is required to present a condensed schedule of
investments and certain other information in accordance with the American
Institute of Certified Public Accountants' Audit and Accounting Guide 'Audits of
Investment Companies.' The adoption of the requirements of SOP 01-1 has not had
a material effect on Series C's financial position or results of operations.
C. Fees
Organizational, offering, general and administrative costs
PSI or its affiliates paid the costs of organizing Series C and continue to
pay the costs of offering its Interests, as well as administrative costs
incurred by the Managing Owner or its affiliates for services they perform for
Series C. These costs include, but are not limited to, those discussed in Note D
below. Routine legal, audit, postage and other routine third party
administrative costs also are paid by PSI or its affiliates.
Management and incentive fees
Series C paid Hyman Beck a management fee at an annual rate of 2% and a
quarterly incentive fee equal to 23% of the 'New High Net Trading Profits' until
June 2000 when Hyman Beck ceased to serve as trading advisor. As of November 13,
2000 a new advisory agreement was executed with the new Trading Advisor whereby
Series C pays the new Trading Advisor a management fee at an annual rate of 2%
and a quarterly incentive fee equal to 20% of the 'New High Net Trading Profits'
as more fully discussed in Note A. The management fee is determined weekly and
the sum of such weekly amounts is paid monthly. The incentive fee also accrues
weekly.
Commissions
The Managing Owner and the Trust entered into a brokerage agreement with PSI
to act as Commodity Broker for each Series whereby Series C pays a fixed fee for
brokerage services rendered at an annual rate of 7.75% of Series C's net asset
value. The fee is determined weekly and the sum of such weekly amounts is paid
monthly. From this fee, PSI pays execution costs (including floor brokerage
expenses, give-up charges and NFA, clearing and exchange fees), as well as
compensation to employees who sell Interests.
D. Related Parties
The Managing Owner or its affiliates perform services for Series C, 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. As further described
in Note C, except for costs related to brokerage services, PSI or its affiliates
pay the costs of these services in addition to costs of offering Series C's
Interests, as well as its routine operational, administrative, legal and
auditing costs.
The costs charged to Series C for brokerage services for the years ended
December 31, 2001, 2000 and 1999 were $607,077, $590,991 and $1,275,546,
respectively.
All of the proceeds of the offering of Series C are received in the name of
Series C and are deposited in trading or cash accounts at PSI. Series C's assets
are maintained either with PSI or, for margin purposes, with the various
exchanges on which Series C is permitted to trade. PSI credits Series C monthly
with 100% of the interest it earns on the average net assets in Series C's
accounts.
Series C, 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 C pursuant to a line of credit. PSI may require that collateral
be posted against the marked-to-market positions of Series C.
As of December 31, 2001, a non-U.S. affiliate of the Managing Owner owned
172.024 limited interests of Series C.
8
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E. Income Taxes
There have been no differences between the tax basis and book basis of
Interest holders' capital since inception of the Trust.
F. Derivative Instruments and Associated Risks
Series C is exposed to various types of risks 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 C'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 amount of the
contracts, which is typically many times that of Series C's net assets being
traded, significantly exceeds Series C's future cash requirements since Series C
intends to close out its open positions prior to settlement. As a result, Series
C is generally subject only to the risk of loss arising from the change in the
value of the contracts. As such, Series C 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 C's commitments to purchase commodities
is limited to the gross or face amount of the contracts held. However, when
Series C 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 C 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 C holds and the liquidity and inherent
volatility of the markets in which Series C trades.
Credit risk
When entering into futures or forward contracts, Series C 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 such exchanges. In
general, clearinghouses are backed by their corporate members who are required
to share any financial burden resulting from the non-performance 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 C enters into forward
transactions, the sole counterparty is PSI, Series C's commodity broker. Series
C 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 non-performance of all of Series C'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
meet its obligations to Series C.
The Managing Owner attempts to minimize both credit and market risks by
requiring Series C 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 C, the Managing
Owner and the Trading Advisor, Series C 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 effective
date of the advisory agreement. Furthermore, the Second Amended and Restated
Declaration of Trust and Trust Agreement provides that Series C will liquidate
its positions, and eventually dissolve, if Series C 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
9
<Page>
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 interest of Series C.
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 C all assets of Series C relating to domestic
futures trading (subject to the opt out provisions discussed below) and is not
allowed to commingle such assets with other assets of PSI. At December 31, 2001,
such segregated assets totalled $2,973,467. Part 30.7 of the CFTC regulations
also requires PSI to secure assets of Series C related to foreign futures
trading which totalled $2,712,378 at December 31, 2001. There are no segregation
requirements for assets related to forward trading.
The CFTC promulgated rules that allow futures commission merchants to permit
certain customers, including Series C, to opt out of segregation with regard to
trading on certain exchanges, but PSI has not done so to date. If Series C were
to opt out, its funds could be held in a broader and potentially riskier range
of investments than are allowed for segregated funds.
As of December 31, 2001, all open futures contracts mature within six months.
The following table presents the fair value of futures contracts at
December 31, 2000.
<Table>
<Caption>
2000
--------------------------
Assets Liabilities
---------- -----------
<S> <C> <C>
Futures Contracts:
Domestic exchanges
Interest rates $ 690,183 $ --
Currencies 299,500 --
Commodities 29,920 14,700
Foreign exchanges
Stock indices 38,411 13,862
Interest rates 212,658 --
Commodities 122,330 --
---------- -----------
$1,393,002 $ 28,562
---------- -----------
---------- -----------
</Table>
G. Financial Highlights
<Table>
<Caption>
Year ended
December 31, 2001
-----------------
<S> <C>
Performance per Interest
Net asset value, beginning of period $ 93.28
-----------------
Net realized gain and change in net unrealized gain on commodity
transactions (13.51)
Interest income 3.53
Expenses (8.63)
-----------------
Net decrease for the period (18.61)
-----------------
Net asset value, end of period $ 74.67
-----------------
-----------------
Total return (19.95)%
Ratio to average net assets
Interest income 4.11%
Expenses 9.74%
</Table>
These financial highlights represent the overall results of Series C
during 2001. An individual limited owner's actual results may differ depending
on the timing of contributions and redemptions.
10
<Page>
H. Subsequent Event
On February 25, 2002, the Managing Owner elected to suspend the offering of
Interests in Series B and Series C upon the expiration of current selling
registrations. The registration expired in many states on March 24, 2002 and all
registrations will expire by April 30, 2002. While the Managing Owner does not
anticipate doing so, it may, at its election, reinstate the offering of
Interests in Series B and Series C in the future.
11
<PAGE>
<Page>
-------------------------------------------------------------------------------
I hereby affirm that, to the best of my knowledge and belief, the
information contained herein relating to World Monitor Trust--Series C is
accurate and complete.
PRUDENTIAL SECURITIES
FUTURES MANAGEMENT INC.
(Managing Owner)
By: Barbara J. Brooks
Chief Financial Officer
-------------------------------------------------------------------------------
12
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WORLD MONITOR TRUST--SERIES C
(a Delaware Business Trust)
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL
CONDITION AND RESULTS OF OPERATIONS
Liquidity and Capital Resources
Series C commenced operations on June 10, 1998 with gross proceeds of
$5,706,177 allocated to commodities trading. Additional contributions raised
through the continuous offering for the years ended December 31, 2001 and 2000
and for the period from June 10, 1998 (commencement of operations) to December
31, 2001 resulted in additional gross proceeds to Series C of $323,014, $823,864
and $18,023,985, respectively. Additional Interests of Series C will continue to
be offered on a weekly basis at the then current net asset value per Interest
until the Managing Owner of Series C suspends the offering of Interests or the
subscription maximum of $33,000,000 is sold.
Interests in Series C 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 the year ended
December 31, 2001 were $2,895,073 and $19,464, respectively; for the year ended
December 31, 2000 were $6,887,082 and $95,319, respectively; and for the period
from June 10, 1998 (commencement of operations) to December 31, 2001 were
$12,683,279 and $114,783, respectively. Additionally, Interests owned in one
series of the Trust (Series A, B or C) 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 into Series B and/or Series
C. As further discussed in Note H to the financial statements, the Managing
Owner elected to suspend the offering of Interests in Series B and Series C upon
the expiration of current selling registrations. Once the suspension of the
offering of Interests takes effect, Interests owned in one series of the Trust
may no longer be exchanged for Interests of one or more other Series. Future
contributions, redemptions and exchanges will impact the amount of funds
available for investment in commodity contracts in subsequent periods.
At December 31, 2001, 100% of Series C'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 C's trading in commodities. Inasmuch as the
sole business of Series C is to trade in commodities, Series C continues to own
such liquid assets to be used as margin. PSI credits Series C monthly with 100%
of the interest it earns on the average net assets in Series C'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 C from promptly liquidating its commodity
futures positions.
Since Series C'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 C'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 C's speculative trading, as well as the development of drastic market
occurrences, could result in monthly losses considerably beyond Series C'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 C 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 F to the
financial statements for a further discussion on the credit and market risks
associated with Series C's futures and forward contracts.
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Series C does not have, nor does it expect to have, any capital assets.
Results of Operations
The net asset value per Interest as of December 31, 2001 was $74.67, a
decrease of 19.95% from the December 31, 2000 net asset value per Interest of
$93.28, which was a decrease of 2.81% from the December 31, 1999 net asset value
per Interest of $95.98. The Zurich Fund/Pool Qualified Universe Index (formerly
the MAR Fund/Pool Index), which tracked the performance of 272 futures funds at
December 31, 2001, returned 7.52% and 9.41% for the years ended December 31,
2001 and 2000, respectively. Past performance is not necessarily indicative of
future results.
Series C's gross trading losses were $1,092,000, $2,550,000 and $752,000
during the years ended December 31, 2001, 2000 and 1999, respectively. Due to
the nature of Series C's trading activities, a period to period comparison of
its trading results is not meaningful. Additionally, Series C did not
participate in commodities trading during the period from the termination of
Hyman Beck as a trading advisor to Series C to the commencement of trading
activities by Northfield Trading L.P. as further discussed below. However, a
detailed discussion of Series C's 2001 trading results is presented below.
Net losses for Series C were experienced in the currency, energy and index
sectors. Profits were the result of net gains in the interest rate sector.
In foreign exchange markets, the U.S. dollar rose slightly against many
foreign currencies during the first half of the year, reflecting expectations
that some of those economies might be adversely affected by slower economic
growth in the United States. Additionally, the U.S. dollar strengthened as
investors around the globe felt that it was the safest currency in this time of
economic uncertainty. Losses were incurred in long Mexican peso, euro and Swiss
franc positions. The U.S. dollar fell against most major currencies during the
third quarter, particularly the Japanese yen, the euro and the Swiss franc. The
U.S. dollar's downward trend against many currencies accelerated after September
11th. As a result of the attacks, many investors switched exposure from the U.S.
dollar to other currencies which rose against the U.S. dollar resulting in
losses for short euro, Japanese yen and Swiss franc positions. The U.S. dollar
strengthened slightly towards year-end amid hopes of an economic recovery in the
U.S.
Energy prices generally remained high throughout most of the first quarter of
2001. Crude oil prices increased in January as OPEC announced a likely 5% cut in
production. During the second quarter, energy prices fell in response to growing
inventory levels of crude oil and related products. Energy prices peaked sharply
immediately after the September 11th attacks amid worries of a potential
interruption in supplies. Prices soon reversed course as concerns of decreased
demand caused by a global economic recession outweighed fears of scarcity. Two
weeks after the attacks, oil prices plunged more than 12% to a 22-month low of
$23 a barrel. OPEC leaders announced that with prices within their $22 to $28 a
barrel target, they saw no need to alter output and assured that there will be
no disruption in supplies. Fear of continued terrorist attacks, sluggish
economies and mild winter weather continued to limit growth in global demand for
oil during the fourth quarter. A coordinated cut in oil output by OPEC and
non-OPEC producers was agreed upon as OPEC tried to regain control of crude oil
prices. Natural gas and crude oil positions incurred losses during the first,
third and fourth quarters of the year resulting in net losses for Series C in
this sector.
Equity markets performed poorly across the board during the first half of the
year as foreign stock markets generally followed the downtrend of the U.S.
markets. Technology stocks led this market downturn and the NASDAQ fell to its
lowest level in nearly two years. Losses in the Dow Jones and NASDAQ brought
these indices under the key 10,000 and 2,000 levels, respectively, with the DAX,
FTSE, CAC-40 and Nikkei experiencing similar losses. Long Nikkei Dow and DAX
positions resulted in losses during the second quarter. The terrorist attacks of
September 11th further weakened the sluggish U.S. and global economies plunging
equity markets downward throughout the world in the week following the attacks.
In the week following the attacks, the Dow Jones industrial average suffered its
worst weekly percentage loss since the Great Depression due to uncertainty about
how the economy would perform as a result of these attacks and other threats of
terrorism. U.S. equity indices recovered somewhat at the end of September as
interest rate cuts by the U.S. Federal Reserve (the 'Fed') and fiscal stimuli by
Congress combined to stimulate an economic rebound. Global equity markets
followed suit rebounding from earlier lows as well. U.S. and global equity
markets rallied in November amid positive developments in the war in Afghanistan
and sentiment that the U.S. economy might be emerging from its recession. Equity
markets reversed in December providing a negative return for the second
consecutive year. Losses incurred in equity index positions
14
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during the second quarter were sufficient to offset gains during the rest of the
year, producing net losses for the index sector.
In light of the rapid weakening in economic expansion and deterioration in
business and consumer confidence, the Fed followed a relatively aggressive
policy, lowering interest rates three times during the first quarter of 2001.
Other central banks followed the Fed's lead lowering interest rates as well.
Interest rate instruments trended upward throughout most of the second and third
quarters as major central banks cut short-term interest rates in an attempt to
bolster slowing economies. The bond market rally continued in the wake of
September 11th as the Fed moved to inject liquidity into the economy, cutting
interest rates 50 basis points on September 17th to 3%. This move was soon
followed by the Central Bank of Canada, the European Central Bank and Swiss
National Central Bank who also lowered their rates by 50 basis points. U.S. and
European interest rate instruments began the fourth quarter up as data indicated
persistent weakness in the U.S. economy. In an effort to stimulate the economy,
the Fed lowered interest rates by 50 basis points in October and again in early
November. The European Central Bank and the Bank of England each cut rates by 50
basis points in November. In mid-November, some positive economic news, the fall
of Kabul, Afghanistan and an announcement by the U.S. Treasury regarding the
cessation of sales of 30-year bonds, resulted in one of the greatest reversals
the U.S. bond market has seen in recent times. Interest rates climbed sharply in
the U.S. and Europe causing bond prices to fall. In December, the Fed lowered
rates by another 25 basis points and bond prices climbed slightly. Gains
resulted from long euro bond positions during the first, third and fourth
quarters of the year.
As of June 7, 2000, Hyman Beck ceased to serve as trading advisor to Series
C. The advisory agreement among Series C, the Managing Owner and Hyman Beck was
automatically terminated when the assets allocated to Hyman Beck declined by
greater than 33 1/3% from their initial allocation on June 10, 1998.
On November 13, 2000, the Managing Owner entered into a new advisory
agreement with Northfield Trading L.P. (the 'Trading Advisor') to make the
trading decisions for Series C. The management fee paid to the Trading Advisor
equals 0.0385% of Series C's allocated assets determined as of the close of
business each Friday (an annual rate of 2%), the same fee as was previously paid
to Hyman Beck. The quarterly incentive fee paid to the Trading Advisor equals
20% of the 'New High Net Trading Profits' as defined in the advisory agreement
among Series C, the Managing Owner and the Trading Advisor as compared to 23%
paid to Hyman Beck. Additionally, the Trading Advisor must recoup the cumulative
trading losses of Hyman Beck before it is paid an incentive fee. Furthermore,
since Series C's assets were not allocated to commodities trading from June 8,
2000 until the new Trading Advisor began trading, Series C was not subject to
management fees or commissions during that period.
Fluctuations in overall average net asset levels have led to corresponding
fluctuations in interest earned and commissions and management fees incurred by
Series C, which are largely based on the level of net assets. Series C's average
net asset levels were lower during the year ended December 31, 2001 versus 2000,
primarily due to redemptions and unfavorable trading performance in 2001 offset,
in part, by additional contributions in 2000 and 2001. Series C's average net
asset levels were lower during the year ended December 31, 2000 versus 1999,
primarily from redemptions.
Interest income is earned on the average net assets held at PSI and,
therefore, varies weekly according to weekly trading performance, contributions
and redemptions. Interest income decreased by $398,000 during 2001 as compared
to 2000, primarily due to fluctuations in net asset levels as discussed above,
compounded by lower overall interest rates in 2001 versus 2000. Interest income
decreased $101,000 during 2000 as compared to 1999 due to the fluctuations in
net asset levels as discussed above, offset, in part, by higher overall interest
rates in 2000 versus 1999.
Commissions are calculated on Series C's net asset value at the end of each
week and, therefore, vary according to weekly trading performance, contributions
and redemptions. Commissions increased $16,000 during 2001 as compared to 2000,
but decreased $685,000 during 2000 as compared to 1999 due to the fluctuations
in average net asset levels, as well as the postponement of commissions charged
to Series C by PSI on the net assets unallocated to commodities trading as
discussed above.
Management fees are calculated on Series C's net asset value at the end of
each week and, therefore, are affected by weekly trading performance,
contributions and redemptions. Management fees increased $5,000 during 2001 as
compared to 2000, but decreased $177,000 during 2000 as compared to 1999 due to
15
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<Page>
the fluctuations in average net asset levels, as well as the termination of
Hyman Beck as the trading advisor of Series C 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 C, the
Managing Owner and the trading advisor. Incentive fees paid to Hyman Beck were
approximately $144,000 for the year ended December 31, 1999. Series C did not
incur an incentive fee during 2000 and 2001. Although Series C ended 1999 with
an overall loss, incentive fees were generated by strong trading performance
during the first six months of the year. The payment of these fees is not
contingent upon future trading performance and, therefore, is unaffected by
Series C's poor trading performance during the remainder of 1999, 2000 and 2001.
Since their commencement of trading activities during November 2000, Northfield
Trading L.P. has not earned an incentive fee.
Financial Reporting by Commodity Pools
During March 2001, the Accounting Standards Executive Committee issued
Statement of Position ('SOP') 01-1, Amendment to Scope of Statement of Position
95-2, Financial Reporting by Nonpublic Investment Partnerships, to Include
Commodity Pools, which is effective for financial statements issued for periods
ending after December 15, 2001. This SOP amends SOP 95-2, Financial Reporting by
Nonpublic Investment Partnerships, to include within its scope commodity pools
such as Series C. Under the new requirements, Series C is required to present a
condensed schedule of investments and certain other information in accordance
with the American Institute of Certified Public Accountants' Audit and
Accounting Guide 'Audits of Investment Companies.' The adoption of the
requirements of SOP 01-1 has not had a material effect on Series C's financial
position or results of operations.
Inflation
Inflation has had no material impact on operations or on the financial
condition of Series C from inception through December 31, 2001.
16
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OTHER INFORMATION
The actual round-turn equivalent of brokerage commissions paid per contract
for the year ended December 31, 2001 was $28.
Series C's Annual Report on Form 10-K as filed with the Securities and
Exchange Commission is available to limited owners without charge upon written
request to:
World Monitor Trust--Series C/0TH
Peck Slip Station
P.O. Box 2303
New York, New York 10273-0005
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2001
-------------------------------------------------------------------------------
World Monitor Trust--Series C
Annual
Report
<Page>
0TH
Peck Slip Station BULK RATE
P.O. Box 2303 U.S. POSTAGE
New York, NY 10273-0005 PAID
Automatic Mail
</TEXT>
</DOCUMENT>