10-Q 1 sf16114q.txt WORLD MONITOR TRUST -- SERIES C FORM 10-Q 6/27/2003 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 June 27, 2003 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: 0-25789 WORLD MONITOR TRUST--SERIES C -------------------------------------------------------------------------------- (Exact name of Registrant as specified in its charter) Delaware 13-3985042 -------------------------------------------------------------------------------- (State or other jurisdiction of (I.R.S. Employer Identification incorporation or organization) 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 C (a Delaware Business Trust) STATEMENTS OF FINANCIAL CONDITION (Unaudited)
June 27, December 31, 2003 2002 --------------------------------------------------------------------------------------------------- ASSETS Cash in commodity trading accounts $4,232,204 $4,516,118 Net unrealized gain (loss) on open futures contracts (1,006) 178,518 Accrued interest receivable 5,185 -- ---------- ------------ Total assets $4,236,383 $4,694,636 ---------- ------------ ---------- ------------ LIABILITIES AND TRUST CAPITAL Liabilities Redemptions payable $ 27,066 $ -- Commissions payable 25,019 29,502 Management fees payable 6,638 8,074 ---------- ------------ Total liabilities 58,723 37,576 ---------- ------------ Commitments Trust capital Limited interests (50,046.009 and 55,085.801 interests outstanding) 4,134,617 4,605,806 General interests (521.000 and 613.000 interests outstanding) 43,043 51,254 ---------- ------------ Total trust capital 4,177,660 4,657,060 ---------- ------------ Total liabilities and trust capital $4,236,383 $4,694,636 ---------- ------------ ---------- ------------ Net asset value per limited and general interests $ 82.62 $ 83.61 ---------- ------------ ---------- ------------ --------------------------------------------------------------------------------------------------- The accompanying notes are an integral part of these statements.
2 WORLD MONITOR TRUST--SERIES C (a Delaware Business Trust) Condensed Schedules of Investments (Unaudited)
June 27, 2003 December 31, 2002 ------------------------------- ------------------------------- 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: Stock indices $ (8,298) $(12,076) Interest rates -- 97,137 Currencies -- 35,638 Commodities (1,598) 5,300 -------------- -------------- Net unrealized gain (loss) on futures contracts purchased (0.23)% (9,896) 2.70% 125,999 -------------- -------------- Futures contracts sold: Stock indices (26) 47,072 Interest rates -- 1,750 Currencies 8,916 3,697 -------------- -------------- Net unrealized gain on futures contracts sold 0.21 8,890 1.13 52,519 ------ -------------- ------ -------------- Net unrealized gain (loss) on futures contracts (0.02)% $ (1,006) 3.83% $178,518 ------ -------------- ------ -------------- ------ -------------- ------ -------------- Settlement Currency--Futures Contracts Euro (0.16)% $ (6,798) 0.36% $ 16,954 Hong Kong dollar -- (27) 0.54 25,146 Japanese yen -- -- 0.10 4,808 U.S. dollar 0.14 5,819 2.83 131,610 ------ -------------- ------ -------------- Total (0.02)% $ (1,006) 3.83% $178,518 ------ -------------- ------ -------------- ------ -------------- ------ -------------- ------------------------------------------------------------------------------------------------------------- The accompanying notes are an integral part of these statements.
3 WORLD MONITOR TRUST--SERIES C (a Delaware Business Trust) STATEMENTS OF OPERATIONS (Unaudited)
For the For the For the For the period from period from period from period from January 1, January 1, March 29, March 30, 2003 to 2002 to 2003 to 2002 to June 27, 2003 June 28, 2002 June 27, 2003 June 28, 2002 ---------------------------------------------------------------------------------------------------------------- REVENUES Net realized gain on commodity transactions $ 280,429 $685,944 $315,793 $191,012 Change in net unrealized gain/loss on open commodity positions (179,523) 165 4,128 48,076 Interest income 30,217 59,823 15,026 29,881 -------------- -------------- -------------- -------------- 131,123 745,932 334,947 268,969 -------------- -------------- -------------- -------------- EXPENSES Commissions 160,081 209,623 80,561 104,623 Management fees 41,377 54,218 20,815 27,058 -------------- -------------- -------------- -------------- 201,458 263,841 101,376 131,681 -------------- -------------- -------------- -------------- Net income (loss) $ (70,335) $482,091 $233,571 $137,288 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- ALLOCATION OF NET INCOME (LOSS) Limited interests $ (69,410) $476,375 $231,134 $135,710 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- General interests $ (925) $ 5,716 $ 2,437 $ 1,578 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- NET INCOME (LOSS) PER WEIGHTED AVERAGE LIMITED AND GENERAL INTEREST Net income (loss) per weighted average limited and general interest $ (1.32) $ 6.75 $ 4.48 $ 1.99 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- Weighted average number of limited and general interests outstanding 53,346 71,378 52,121 69,063 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- ----------------------------------------------------------------------------------------------------------------
STATEMENT OF CHANGES IN TRUST CAPITAL (Unaudited)
LIMITED GENERAL INTERESTS INTERESTS INTERESTS TOTAL ----------------------------------------------------------------------------------------------------- Trust capital--December 31, 2002 55,698.801 $4,605,806 $51,254 $4,657,060 Net loss (69,410) (925) (70,335) Redemptions (5,131.792) (401,779) (7,286) (409,065) ---------- ---------- --------- ---------- Trust capital--June 27, 2003 50,567.009 $4,134,617 $43,043 $4,177,660 ---------- ---------- --------- ---------- ---------- ---------- --------- ---------- ----------------------------------------------------------------------------------------------------- The accompanying notes are an integral part of these statements.
4 WORLD MONITOR TRUST--SERIES C (a Delaware Business Trust) NOTES TO FINANCIAL STATEMENTS JUNE 27, 2003 (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 C ('Series C') as of June 27, 2003 and December 31, 2002 and the results of its operations for the periods from January 1, 2003 to June 27, 2003 ('Year-To-Date 2003') and January 1, 2002 to June 28, 2002 ('Year-To-Date 2002'), March 29, 2003 to June 27, 2003 ('Second Quarter 2003') and March 30, 2002 to June 28, 2002 ('Second Quarter 2002'). 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 C's Annual Report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2002. In February 2003, Prudential Financial, Inc. ('Prudential') and Wachovia Corp. ('Wachovia') announced an agreement to combine each company's respective retail securities brokerage and clearing operations within a new firm, which will be headquartered in Richmond, Virginia. Under the agreement, Prudential will have a 38% ownership interest in the new firm and Wachovia will own 62%. The transaction, which includes the securities brokerage, securities clearing, and debt capital markets operations of Prudential Securities Incorporated ('PSI'), but does not include the equity sales, trading and research operations or commodity brokerage and derivative operations of PSI (which were renamed Prudential Equity Group, Inc. upon closing), closed July 1, 2003. The Managing Owner, as well as the commodity broker, will continue to be indirect wholly owned subsidiaries of Prudential. The Managing Owner suspended the offering of interests in World Monitor Trust--Series B ('Series B') and Series C upon the expiration of selling registrations, which expired on April 30, 2002. B. Related Parties The Managing Owner of Series C is a wholly-owned subsidiary of Prudential Equities Group, Inc. ('PEG'), which, in turn, is an indirect wholly-owned subsidiary of Prudential Financial, Inc. 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. Except for costs related to brokerage services, PEG or its affiliates pay the costs of these services in addition to Series C's routine operational, administrative, legal and auditing costs. Additionally, PEG or its affiliates paid the costs associated with offering Series C's interests. The costs charged to Series C for brokerage services for Year-To-Date 2003, Year-To-Date 2002, Second Quarter 2003 and Second Quarter 2002 were $160,000, $210,000, $81,000 and $105,000, respectively. All of the proceeds of the offering of Series C were received in the name of Series C and were deposited in trading or cash accounts at PEG, Series C's commodity broker. Series C's assets are maintained with PEG for margin purposes. PEG 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 PEG. PEG 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 PEG and Series C pursuant to a line of credit. PEG may require that collateral be posted against the marked-to-market positions of Series C. 5 C. Derivative Instruments and Associated Risks Series C 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 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 or settle in cash. 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 the particular exchange. 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 PEG, Series C's commodity broker. Series C has entered into a master netting agreement with PEG 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 on all of Series C's contracts is the net unrealized gain included in the statements of financial condition; however, counterparty non-performance on only certain of Series C's contracts may result in greater loss than non-performance on all of Series C's contracts. 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 6 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 interest of Series C. PEG, when acting as Series C's futures commission merchant in accepting orders for the purchase or sale of domestic futures contracts, is required by Commodity Futures Trading Commission ('CFTC') regulations to separately account for and segregate as belonging to Series C all assets of Series C relating to domestic futures trading and is not permitted to commingle such assets with other assets of PEG. At June 27, 2003, such segregated assets totalled $1,384,993. Part 30.7 of the CFTC regulations also requires PEG to secure assets of Series C related to foreign futures trading which totalled $2,846,205 at June 27, 2003. There are no segregation requirements for assets related to forward trading. As of June 27, 2003, Series C's open futures contracts mature within three months. D. Financial Highlights
Year-To-Date Year-To-Date Second Quarter Second Quarter 2003 2002 2003 2002 ------------- ------------- --------------- --------------- Performance per Interest Net asset value, beginning of period $ 83.61 $ 74.67 $ 78.13 $ 79.50 ------------- ------------- --------------- --------------- Net realized gain and change in net unrealized gain on commodity transactions 2.23 9.83 6.15 3.61 Interest income 0.57 0.84 0.29 0.43 Expenses (3.79) (3.71) (1.95) (1.91) ------------- ------------- --------------- --------------- Increase (decrease) for the period (0.99) 6.96 4.49 2.13 ------------- ------------- --------------- --------------- Net asset value, end of period $ 82.62 $ 81.63 $ 82.62 $ 81.63 ------------- ------------- --------------- --------------- ------------- ------------- --------------- --------------- Total return (1.18)% 9.32% 5.75% 2.68% Ratio to average net assets (annualized) Interest income 1.43% 2.17% 1.45% 2.20% Expenses 9.51% 9.57% 9.78% 9.71%
These financial highlights represent the overall results of Series C during Year-To-Date 2003, Year-To-Date 2002, Second Quarter 2003 and Second Quarter 2002. An individual limited owner's actual results may differ depending on the timing of contributions and redemptions. 7 WORLD MONITOR TRUST--SERIES C (a Delaware Business Trust) ITEM 2. 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 from the sales of interests for the period from June 10, 1998 (commencement of operations) to April 30, 2002 resulted in additional gross proceeds to Series C of $18,027,985. 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. As such, interests owned 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 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 for Year-To-Date 2003, Second Quarter 2003 and for the period from June 10, 1998 (commencement of operations) to June 27, 2003 were $401,779, $202,196 and $14,668,844, respectively. Redemptions of general interests for Year-To-Date 2003, Second Quarter 2003 and for the period from June 10, 1998 (commencement of operations) to June 27, 2003 totaled $7,286, $7,286 and $143,308, respectively. Future redemptions will impact the amount of funds available for investment in commodity contracts in subsequent periods. At June 27, 2003, 100% of Series C'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 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. PEG 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 C to the financial statements for a further discussion of the credit and market risks associated with Series C's futures and forward contracts. 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 June 27, 2003 was $82.62, a decrease of 1.18% from the December 31, 2002 net asset value per interest of $83.61 and an increase of 5.75% from the March 28, 2003 net asset value per interest of $78.13. Past performance is not necessarily indicative of future results. 8 Series C's trading gains before commissions and related fees were $101,000 and $320,000 during Year-To-Date 2003 and Second Quarter 2003 compared to trading gains of $686,000, and $239,000 during Year-To-Date 2002 and Second Quarter 2002, respectively. Due to the nature of Series C's trading activities, a period to period comparison of its trading results is not meaningful. However, a detailed discussion of Series C's Second Quarter 2003 trading results is presented below. Quarterly Market Overview In the U.S., the beginning of the second quarter of 2003 saw few signs of relief from a sluggish economy with a growth rate of 2.4 percent. Nominal GDP continued to trend downward in hand with falling consumer and producer prices and interest rates. Concerns about the slump in American telecom and internet industries, accounting fraud and the largest budget deficit the U.S. has ever faced have hampered investments in the U.S. Despite resolution to the war in Iraq, consumer and business confidence remained tepid. Companies desiring to improve profits remained unwilling to make big capital spending commitments or increase their workforces and inventories. Orders to U.S. factories for big-ticket items and production figures fell in April. In June, the unemployment rate jumped to a nine-year high of 6.4 percent. Payroll slashes in manufacturing and information industries generated the greatest job losses. As companies attempted to do more with leaner workforces, overall productivity rose and provided support for household income. The rise in income, combined with low interest rates, reduced taxes, and availability of substantial home equity spurred gains in consumer spending and increased sales of new homes. Toward the end of the quarter, manufacturing rose slightly, but still indicated that the sector shrank for the fourth straight month. Meanwhile, new orders for durable goods, machinery, automobiles, electrical equipment, home supplies and computers increased, reversing previous downward trends. Global economies remained weak in the second quarter of 2003 and were further hampered by the decline of the U.S. dollar which made overseas goods more expensive, thus curtailing demand. In May, Germany, Italy and the Netherlands reported an unexpected contraction in their economies during the first three months of the year with Germany and Netherlands experiencing a second quarter of negative growth. The European Union stated that overall economic growth had stalled and consequently, applied pressure on the central banks to ease interest rates. Business investment dropped sharply while domestic demand remained bleak. The Japanese economy continued to stumble as other Asian economies began to recover from the effects of the SARS outbreak. Furthermore, fears of deflation loomed over already troubled global economies. Indices: Despite economic data indicating the worst is not yet over, global equity markets surged in the second quarter of 2003. Spurred by the easing of geopolitical tensions, massive short covering, excess liquidity, some positive first quarter earnings reports, and optimism that economic recovery is near, investors flocked toward equities. A rally in Japanese stocks was fueled primarily by foreign mutual funds, hedge funds and other non-Japanese institutional investors who invested more than ten times as much as local investors in June. The Japanese Nikkei, London FTSE, Dow Jones Industrial Average, NASDAQ and S&P 500 all ended the quarter higher. Interest rates: Fixed income markets in May witnessed a drop in interest rates of developed countries due to the U.S. Federal Reserve (the 'Fed') deflation talk as well as institutions and hedge funds borrowing to purchase longer maturities, possible Fed purchases of longer maturities, hedging by mortgage investors as rates fell, and central banks buying dollars and investing in Treasuries. The decline in interest rates led to gains in German, Japanese, U.S. Treasury and Eurodollar bond prices. In June, the market reacted with disappointment to the Fed's quarter point cut in short-term interest rates and as a result, intermediate and long-term rates rose. Investors in Japan moved capital into the equity markets at the expense of U.S. Treasury and Japanese bonds. Concern about deteriorating public finances in most large economies and a renewed interest in equities in hopes of an economic recovery resulted in falling bond prices through the quarter and the subsequent rising of long-term rates. Currencies: In the foreign exchange markets, the U.S. dollar moved sharply lower against most major currencies during the quarter. Investors shifted their focus from the war in Iraq to concerns about U.S. economic health with its widening current account deficit and lower relative interest rate resulting in the dollar's three-year low against the Canadian and Australian dollar and four-year low against the Euro. The reversal of the U.S.'s strong dollar policy by Treasury Secretary Snow led to a further sell off of the greenback leading to a 4.5-year low against the Swiss franc. 9 Energies: Energy price declines began in March and continued as the war in Iraq became inevitable. Because supplies were secured and unthreatened by the war, the prices of crude oil, unleaded gasoline and London gas oil were down in April of 2003. Natural gas prices were largely unaffected by events in the Middle East, Nigeria and Venezuela. In order to stave off the declining prices and correct an oversupply as crude demand reached a seasonal low, OPEC members agreed to cut current output by seven percent in April. Toward the end of the quarter, energy prices, in general, were higher due to Nigeria's general worker's strike, low U.S. oil inventory levels and expectations of U.S. economic growth. Quarterly Performance of Series C The following is a summary of performance for the major sectors in which Series C traded: Interest rates (+): Weak global economies, fears of deflation and renewed interest in equities resulted in falling global bond prices. Short U.S. Treasury and European bond positions led to net gains for Series C. Indices (+): Overall long positions in the NASDAQ and S&P 500 indices led to net gains as global equity markets rose throughout the quarter. Energies (+): Nigeria's general worker's strike, low U.S. oil inventory levels and expectation of economic growth led to rising energy prices toward the end of the quarter. Long positions in crude oil and natural gas resulted in net gains. Currencies (-): The U.S. dollar fell against many foreign currencies amid concerns of a weak U.S. economy. Short euro and yen positions resulted in net losses. Series C's average net asset levels during Year-To-Date 2003 and Second Quarter 2003 have decreased from Year-To-Date 2002 and Second Quarter 2002, primarily from redemptions during 2002 and Year-To-Date 2003. The declining asset levels have led to proportionate decreases in the amount of interest earned by Series C, as well as commissions and management fees incurred. Interest income is earned on the average net assets held at PEG and, therefore, varies weekly according to interest rates, trading performance, contributions and redemptions. Interest income decreased $30,000 and $15,000 during Year-To-Date 2003 and Second Quarter 2003 as compared to Year-To-Date 2002 and Second Quarter 2002, respectively, due to lower interest rates during Year-To-Date 2003 as compared to Year-To-Date 2002, as well as the decrease in average net asset levels as discussed above. 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 decreased $50,000 and $24,000 during Year-To-Date 2003 and Second Quarter 2003 as compared to Year-To-Date 2002 and Second Quarter 2002, respectively, due to the decrease in average net asset levels as discussed above. All trading decisions for Series C are made by Northfield Trading L.P. (the 'Trading Advisor'). 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 decreased $13,000 and $6,000 during Year-To-Date 2003 and Second Quarter 2003 as compared to Year-To-Date 2002 and Second Quarter 2002, 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 C, the Managing Owner and the Trading Advisor. No incentive fees were paid during Year-To-Date 2003 or Year-To-Date 2002. 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 As of the end of the period covered by this report, the General Partner carried out an evaluation, under the supervision and with the participation of the officers of the General Partner, including the Managing Owner's Chief Executive Officer and Chief Financial Officer, of the effectiveness of the design and operation of Series C's disclosure controls and procedures. Based upon that evaluation, the General Partner's Chief Executive Officer and Chief Financial Officer concluded that Series C's disclosure controls and procedures are effective. 10 PART II. OTHER INFORMATION Item 1. Legal Proceedings--There are no material legal proceedings pending by or against Series C 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 May 2003, Ronald J. Ivans was elected by the Board of Directors of Prudential Securities Futures Management Inc. as Chief Financial Officer and Treasurer replacing Steven Weinreb. 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 Agreements of World Monitor Trust dated as of March 17, 1998 (incorporated by reference to Exhibits 3.1 and 4.1 to Series C's Registration Statement on Form S-1, File No. 333-43043) 4.2--Form of Request for Redemption (incorporated by reference to Exhibit 4.2 to Series C's Registration Statement on Form S-1, File No. 333-43043) 4.3--Form of Exchange Request (incorporated by reference to Exhibit 4.3 to Series C's Registration Statement on Form S-1, File No. 333-43043) 4.4--Form of Subscription Agreement (incorporated by reference to Exhibit 4.4 to Series C's Registration Statement on Form S-1, File No. 333-43043) 31.1--Certification pursuant to Exchange Act Rules 13a-14 and 15d-14 (filed herewith) 31.2--Certification pursuant to Exchange Act Rules 13a-14 and 15d-14 (filed herewith) 32.1--Certification pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the SARBANES-OXLEY Act of 2002 (furnished herewith) 32.2--Certification pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the SARBANES-OXLEY Act of 2002 (furnished 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 C By: Prudential Securities Futures Management Inc. A Delaware corporation, Managing Owner By: /s/ Ronald J. Ivans Date: August 11, 2003 ---------------------------------------- Ronald J. Ivans Chief Financial Officer 12