10-Q

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 25, 2004

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 incorporation or organization)	(I.R.S. Employer 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) 778-1000

N/A

Former name, former address and former fiscal year, if changed since last report

Indicate by check Ö 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  Ö  No     

Indicate by check Ö whether the Registrant is an accelerated filer (as defined in Rule 12b-2 of the Securities Exchange Act of 1934).  Yes       No  Ö 

PART I. FINANCIAL INFORMATION

ITEM I. FINANCIAL STATEMENTS

WORLD MONITOR TRUST—SERIES C

(a Delaware Business Trust)

STATEMENTS OF FINANCIAL CONDITION

(Unaudited)

	June 25, 2004		December 31, 2003
ASSETS
Cash in commodity trading accounts	$	2,643,138	$	3,374,161
Net unrealized gain on open futures contracts		11,623		88,899
Accrued interest receivable		2,209		—
Total assets	$	2,656,970	$	3,463,060
LIABILITIES AND TRUST CAPITAL
Liabilities
Redemptions payable	$	15,637	$	—
Commissions payable		15,679		23,334
Management fees payable		4,190		6,252
Total liabilities		35,506		29,586
Commitments
Trust capital
Limited interests (38,086.901 and 47,240.650 interests outstanding)		2,595,231		3,399,081
General interests (385.000 and 478.000 interests outstanding)		26,233		34,393
Total trust capital		2,621,464		3,433,474
Total liabilities and trust capital	$	2,656,970	$	3,463,060
Net asset value per limited and general interests	$	68.14	$	71.95

The accompanying notes are an integral part of these statements.

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WORLD MONITOR TRUST—SERIES C

(a Delaware Business Trust)

CONDENSED SCHEDULES OF INVESTMENTS

(Unaudited)

	June 25, 2004					December 31, 2003
Futures Contracts	Net Unrealized Gain (Loss) as a % of Trust Capital		Net Unrealized Gain (Loss)			Net Unrealized Gain (Loss) as a % of Trust Capital		Net Unrealized Gain (Loss)
Futures contracts purchased:
Stock indices			$	14,737				$	19,998
Interest rates				4,144					10,240
Currencies				(2,970	)				50,265
Commodities				(920	)				21,630
Net unrealized gain on futures contracts purchased	0.57	%		14,991		2.97	%		102,133
Futures contracts sold:
Stock indices				(8,660	)				(1,920	)
Interest rates				2,462					(2,514	)
Currencies				0					(1,150	)
Commodities				2,830					(7,650	)
Net unrealized loss on futures contracts sold	(0.13	)		(3,368	)	(0.39	)		(13,234	)
Net unrealized gain on futures contracts	0.44	%	$	11,623		2.58	%	$	88,899
Settlement Currency—Futures Contracts
British pound	(0.03	)%		(888	)	0.02	%	$	714
Canadian dollar	—			(120	)	—			—
Euro	(0.23	)		(6,000	)	0.47			16,273
Japanese yen	0.19			4,938		—			121
Mexican peso	0.01			225		—			—
Swiss franc	(0.04	)		(1,125	)	—			—
U.S. dollar	0.54			14,593		2.09			71,791
Total	0.44	%	$	11,623		2.58	%	$	88,899

The accompanying notes are an integral part of these statements.

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WORLD MONITOR TRUST—SERIES C

(a Delaware Business Trust)

STATEMENTS OF OPERATIONS

(Unaudited)

	For the period from January 1, 2004 to June 25, 2004			For the period from January 1, 2003 to June 27, 2003			For the period from March 27, 2004 to June 25, 2004			For the period from March 29, 2003 to June 27, 2003
REVENUES
Net realized gain on commodity transactions	$	53,071		$	280,429		$	133,005		$	315,793
Change in net unrealized gain/loss on open commodity positions		(77,276	)		(179,523	)		(41,565	)		4,128
Interest income		17,283			30,217			8,199			15,026
		(6,922	)		131,123			99,639			334,947
EXPENSES
Commissions		118,457			160,081			57,126			80,561
Management fees		30,526			41,377			14,720			20,815
		148,983			201,458			71,846			101,376
Net income (loss)	$	(155,905	)	$	(70,335	)	$	27,793		$	233,571
ALLOCATION OF NET INCOME (LOSS)
Limited interests	$	(154,296	)	$	(69,410	)	$	27,520		$	231,134
General interests	$	(1,609	)	$	(925	)	$	273		$	2,437
NET INCOME (LOSS) PER WEIGHTED AVERAGE LIMITED AND GENERAL INTEREST
Net income (loss) per weighted average limited and general interest	$	(3.50	)	$	(1.32	)	$	0.66		$	4.48
Weighted average number of limited and general interests outstanding		44,559			53,346			41,966			52,121

STATEMENT OF CHANGES IN TRUST CAPITAL

(Unaudited)

	INTERESTS		LIMITED INTERESTS			GENERAL INTERESTS			TOTAL
Trust capital—December 31, 2003	47,718.650		$	3,399,081		$	34,393		$	3,433,474
Net loss				(154,296	)		(1,609	)		(155,905	)
Redemptions	(9,246.749	)		(649,554	)		(6,551	)		(656,105	)
Trust capital—June 25, 2004	38,471.901		$	2,595,231		$	26,233		$	2,621,464

The accompanying notes are an integral part of these statements.

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WORLD MONITOR TRUST—SERIES C

(a Delaware Business Trust)

NOTES TO FINANCIAL STATEMENTS

JUNE 25, 2004

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 25, 2004 and December 31, 2003 and the results of its operations for the periods from January 1, 2004 to June 25, 2004 (“Year-To-Date 2004”) and January 1, 2003 to June 27, 2003 (“Year-To-Date 2003”), March 27, 2004 to June 25, 2004 (“Second Quarter 2004”) and March 29, 2003 to June 27, 2003 (“Second Quarter 2003”). 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, 2003.

On July 1, 2003, Prudential Financial, Inc. (“Prudential”) and Wachovia Corp. (“Wachovia”) combined their separate retail securities brokerage and clearing businesses under a new holding company named Wachovia/Prudential Financial Advisors, LLC (“WPFA”), owned 62% by Wachovia and 38% by Prudential. As a result, the retail brokerage operations of Prudential Securities Incorporated (“PSI”) were contributed to Wachovia Securities, LLC (“Wachovia Securities”). Wachovia Securities is wholly-owned by WPFA and is a registered broker-dealer and a member of the National Association of Securities Dealers, Inc. (“NASD”) and all major securities exchanges. Series C and its managing owner, Prudential Securities Futures Management Inc., entered into a service agreement with Wachovia Securities, effective July 1, 2003. Pursuant to this agreement, Wachovia Securities agrees to provide certain enumerated services to accounts of the limited interest owners carried at Wachovia. Effective July 1, 2003, PSI changed its name to Prudential Equity Group, Inc. Effective February 2, 2004, Prudential Equity Group Inc. was converted to a limited liability company named Prudential Equity Group, LLC (“PEG”). PEG remains an indirectly wholly-owned subsidiary or Prudential. PEG was a registered broker-dealer and a member of the NASD and all major securities exchanges and conducted the equity research, domestic and international equity sales and trading operations, and commodity brokerage and derivative operations it had previously conducted as PSI until December 31, 2003. As part of the process of reorganizing its business structure, Prudential Securities Group Inc. (“PSG”), the direct parent of PEG and a wholly-owned subsidiary of Prudential, transferred the commodity brokerage, commodity clearing and derivative operations previously performed by PEG to another PSG indirect wholly-owned subsidiary, Prudential Financial Derivatives, LLC (“PFD”) effective January 1, 2004. PFD is registered as a futures commission merchant under the Commodity Exchange Act and is a member of the National Futures Association. On April 1, 2004, PEG transferred the ownership of the Managing Owner and PFDS Holdings, LLC, the direct parent of PFD, to PSG.

B. Related Parties

The Managing Owner of Series C is a wholly-owned subsidiary of PSG. 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, PFD or its affiliates pay the costs of these services in addition to Series C’s routine operational, administrative, legal and auditing costs. Additionally, PFD 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 2004, Year-To-Date 2003, Second Quarter 2004 and Second Quarter 2003 were $118,000, $160,000, $57,000 and $81,000, respectively.

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Series C’s assets are maintained either in trading or cash accounts with PFD, Series C’s commodity broker for margin purposes. PFD 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 PFD. PFD 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 PFD and PBGM pursuant to a line of credit. PFD may require that collateral be posted against the marked-to-market positions of Series C.

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, there is concentration risk on forward transactions entered into by Series C as PFD, Series C’s commodity broker, is the sole counterparty. Series C has entered into a master netting agreement with PFD 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

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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 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.

PFD, 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 PFD. At June 25, 2004 and December 31, 2003, such segregated assets totalled $1,879,917 and $938,555, respectively. Part 30.7 of the CFTC regulations also requires PFD to secure assets of Series C related to foreign futures trading which totalled $774,844 and $2,524,505 at June 25, 2004 and December 31, 2003, respectively. There are no segregation requirements for assets related to forward trading.

As of June 25, 2004 all of Series C’s open futures contracts mature within three months with exception of one euro position which expires in eighteen months.

D. Financial Highlights

	Year-To-Date 2004			Year-To-Date 2003			Second Quarter 2004			Second Quarter 2003
Performance per Interest
Net asset value, beginning of period	$	71.95		$	83.61		$	68.02		$	78.13
Net realized gain and change in net unrealized gain/loss on commodity transactions		(0.84	)		2.23			1.65			6.15
Interest income		0.39			0.57			0.20			0.29
Expenses		(3.36	)		(3.79	)		(1.73	)		(1.95	)
Net increase (decrease) for the period		(3.81	)		(0.99	)		0.12			4.49
Net asset value, end of period	$	68.14		$	82.62		$	68.14		$	82.62
Total return (non-annualized)		(5.30	)%		(1.18	)%		0.18	%		5.75	%
Ratio to average net assets (annualized):
Net investment loss before incentive fees**		(8.39	)		(8.08	)%		(8.70	)%		(8.33	)%
Incentive fees		—			—			—			—
Net investment loss after incentive fees		(8.39	)%		(8.08	)%		(8.70	)%		(8.33	)%
Interest income		1.10	%		1.43	%		1.12	%		1.45	%
Expenses		9.49	%		9.51	%		9.82	%		9.78	%

** Represents interest income less total expenses (exclusive of incentive fees). The Managing Owner believes that the disclosure of the ratio of net investment loss to average net assets as required under the AICPA Audit Guide For Investment Companies is not a meaningful or appropriate measure for Series C as it is not a portfolio designed to return investment income. The Managing Owner believes that the total return ratio is the appropriate ratio as it also considers Series C’s commodity trading gains/losses.

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These financial highlights represent the overall results of Series C during Year-To-Date 2004, Year-To-Date 2003, Second Quarter 2004 and Second Quarter 2003. An individual limited owner’s actual results may differ depending on the timing of contributions and redemptions.

E. Subsequent Events

On June 30, 2004, PSG and Preferred Investment Solutions Corp., formerly Kenmar Advisory Corp. (“Preferred”) entered into a Stock Purchase Agreement, pursuant to which PSG will sell, and Preferred will buy, all of the capital stock of the Managing Owner and another commodity pool operator owned by PSG.

In a letter dated July 20, 2004, the Managing Owner announced that it has determined that it is in the best interest of the Interestholders that Series C be dissolved. Series C has not raised any additional capital since April 30, 2002. Since that time the aggregate net assets of Series C have declined from $5,597,438 to $2,593,274 as of June 29, 2004. The Managing Owner believes that the remaining net assets in relation to the operating expenses of Series C make it unreasonable or imprudent to continue the business of Series C. As a result, Series C will be dissolved on or about September 20, 2004 in accordance with §13.1(j) of the Second Amended and Restated Declaration of Trust and Trust Agreement of World Monitor Trust, dated as of March 17, 1988 (the “Trust Agreement”), and will liquidate and distribute the Fund’s assets in accordance with Article XIII of the Trust Agreement.

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WORLD MONITOR TRUST—SERIES C

(a Delaware Business Trust)

ITEM 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL

CONDITION AND RESULTS OF OPERATIONS

Critical Accounting Policies

Preparation of the financial statements and related disclosures in compliance with accounting principles generally accepted in the United States of America requires the application of appropriate accounting rules and guidance, as well as the use of estimates. Series C’s application of these policies involves judgments and actual results may differ from the estimates used.

The Managing Owner has evaluated the nature and types of estimates that it makes in preparing Series C’s financial statements and related disclosures and has determined that the valuation of its investments which are not traded on a United States or Internationally recognized futures exchange involves a critical accounting policy. The values used by the Series C for its open forward positions are provided by its commodity broker, PFD, who uses market prices when available, while over-the-counter derivative financial instruments, principally forwards, options and swaps are valued based on the present value of estimated future cash flows that would be received from or paid to a third party in settlement of these derivative contracts prior to their delivery date.

As such, if actual results vary from estimates used, they are anticipated to not have a material impact on the financial statements related disclosures.

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. Redemptions of limited interests for Year-To-Date 2004, Second Quarter 2004 and for the period from June 10, 1998 (commencement of operations) to June 25, 2004 were $649,554, $496,020 and $15,536,766, respectively. Redemptions of general interests for Year-To-Date 2004, Second Quarter 2004 and for the period from June 10, 1998 (commencement of operations) to June 25, 2004 totaled $6,551, $4,988 and $152,960, respectively. Future redemptions will impact the amount of funds available for investment in commodity contracts in subsequent periods.

At June 25, 2004, 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. PFD 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, some 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

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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.

Off-Balance Sheet Arrangements and Contractual Obligations

As of June 25, 2004, Series C had not utilized special purpose entities to facilitate off-balance sheet financing arrangements and has no loan guarantee arrangements or off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions related to certain risks service providers, such as our accountants, undertake in performing services which are in the best interests of Series C. While Series C’s exposure under such indemnification provisions can not be estimated, these general business indemnifications are not expected to have material impact on the Series C’s financial position.

Series C’s contractual obligations are with the trading advisor and its commodity broker. Payments made under Series C’s agreement with the trading advisor are at a fixed rate, calculated as a percentage of Series C’s “New High Net Trading Profits”. Management fee payments made to the trading advisor and commission payments to the commodity broker are calculated as a fixed percentage of Series C’s net asset values (“NAV’s”). As such, the Managing Owner cannot anticipate the amount of payments that will be required under these agreements for future periods as NAV’s are not known until a future date. These agreements are effective for one-year terms, renewable automatically for additional one-year terms unless terminated. Additionally, these agreements may be terminated by either party for various reasons. For a further discussion on these payments, see Notes A & C of the Series C’s 2003 Annual Report.

Results of Operations

The net asset value per interest as of June 25, 2004 was $68.14, a decrease of 5.30% from the December 31, 2003 net asset value per interest of $71.95 and an increase of 0.18% from the March 26, 2004 net asset value per interest of $68.02. Past performance is not necessarily indicative of future results.

Series C’s gross trading gains (losses) were $(24,000) and $91,000 during Year-To-Date 2004 and Second Quarter 2004 compared to trading gains of $101,000 and $320,000 during Year-To-Date 2003 and Second Quarter 2003, 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 2004 trading results is presented below.

Quarterly Market Overview

U.S. economic activity in the second quarter of 2004 was marked by steady improvement in the first two months followed by a slowdown towards the end of June. The second quarter began with a reported March non-farm payroll increase of over 308,000 when the market consensus expected a change of 120,000. Despite concerns over instability in the Middle East and increased energy prices, manufacturing activity increased throughout the quarter to result in a third straight quarter of growth. In contrast, industrial production fell 0.3% in June, the greatest decline since April 2003, after rising steadily in April and May. Orders for durable goods also diminished throughout the quarter as inventories grew. Businesses added a quarter of a million jobs in May topping off a nine-month hiring spree that abated in June. Unemployment remained stable throughout the quarter at around 5.6%. Despite a stabilization in the number of layoffs, employment growth, pay increases and the number of hours worked shrank in June and resulted in increased pressure on consumers. Consumer spending accelerated throughout April and May resulting in the highest consumer confidence ratings in two years on the back of income growth and an improved job market. The possibility of the U.S. Federal Reserve (the “Fed”) increasing interest rates, led to a jump in home sales as buyers looked to lock in lower interest rates. Retail sales rose a mild 0.6% in April and a record 1.2% in May as buyers loaded up on foreign-made cars, televisions, furniture and clothes. In June,

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auto sales cooled as May incentives expired and major retailers blamed high fuel prices and unseasonably cool weather for the biggest drop in 16 months.

Global economies around the world continued to benefit from the strengthening U.S. economy. European investors remained concerned about rising U.S. interest rates, issues in Iraq, and high oil prices while benefiting from better corporate earnings. France, the largest euro economy, reported increased spending in May. In April, consumer confidence and manufacturing activity declined in Germany, the second largest euro economy, and its economy remained weak throughout the quarter. The European Union blamed rising oil prices for an increase in inflation in May and consumer confidence dropped slightly as business optimism remained unstable. In order to cool its overheating economy, the Chinese government reduced available domestic credit and money supply creating uncertainty in the markets. Industrial growth and profits in China slowed even as foreign investment continued to surge. The Japanese government cited steady consumption, employment, and core consumer prices as the reasons behind the best economy it has had in over 20 years. As a major commodity exporter to China, Brazil’s economy dampened on the heels of China’s deceleration while Mexico’s economy stayed positive due to its alliance with the U.S. economy.

Indices: All three major U.S. equity indices ended the second quarter with positive returns. The NASDAQ Composite had the highest rate of return of 2.69%, followed by the S&P 500 Index with 1.72%, and the Dow Jones Industrial Average with 0.75%. Investor fears of the sustainability of continued higher growth rates and strong earnings as seen in 2003 resulted in constant price reverses as indices traded within specific ranges bound. Globally, Asian stocks performed particularly poorly with the benchmark indices in South Korea, Taiwan, and China all falling more than 10%. Japan’s Tokyo Nikkei Stock Index fared better returning 1.2% for the quarter because of Japan’s continued economic recovery. Although the European economies continue to lag behind Asia and the U.S., their stock markets held up better. The Paris CAC 40 Index was up 3%, while the London FTSE 100 Index rose 2%, and the German DAX advanced 5%.

Interest rates: Bonds showed losses for the second quarter of 2004. The main factors that drove these losses were the U.S. economy, job market, and inflation. The second quarter began with a reported March non-farm payroll increase of over 308,000 when the market consensus expected a change of 120,000. This surprise large employment number quickly dispelled any notion that traders may have had that the Fed would keep interest rates unchanged. Inflation fears also drove down bond prices late in the quarter as the price of oil and other commodities surpassed previous highs. The quarter ended with the Fed raising interest rates by 25 basis points. In the European Union, the bund market traded within specific ranges and did not have the volatility of the U.S. bond markets because of the steadier monetary policy being employed by the European Central Bank (ECB). On the other hand, the Japanese Government Bond (JGB) market saw significant increase in yields. Being in the middle of a strong and prolonged economic recovery, capital started to move out of the Japanese bond market and into equities.

Currencies: Increased volatility and choppy market conditions dominated this sector in the second quarter. The surprise in the non-farm payroll employment number carried over to the currency market. The expectations of a stronger economy helped to strengthen the US dollar against European currencies. This resulted in reversals of established trends and losses in established currency positions. The trading environment during the second quarter was characterized by limited longer-term changes in price coupled with strong reversals that made it very difficult to trade effectively. Although there have been no government interventions since the first quarter, the relatively high level of volatility has continued throughout the second quarter with no long-term trends developing.

Energies: Demand for energy remained strong throughout the second quarter leading to higher prices. Energy markets were characterized by strong trends and not the result of short-term speculation. Strong world demand due to economic growth, especially in China where crude oil imports hit a record 2.8 million barrels per day in June, pushed crude oil to all time highs on the NYMEX. Persistent higher prices were also a product of a significant geopolitical risk premium that existed because of supply shocks from events in the Middle East. Higher demand and higher risk had pushed oil above $40/barrel earlier in the year and this price level continued to the end of the quarter.

Metals: The first quarter saw a significant upswing in base metal prices from strong world demand, especially from China. However, the second quarter began with concerns of an overheating economy in China that resulted in Chinese monetary policy changes aimed at controlling the growth in credit. China’s

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central bank raised the percentage of capital that banks are required to have in reserve by 50 basis points. Expectation of lower demand from China caused swift reversals in base metals. Nevertheless as the quarter proceeded demand for base metals continued to be strong. In the precious metals markets, silver gave back gains from the first quarter with the change in growth expectations in the U.S. Gold moved higher accompanied by higher volatility that saw short-term swings in prices.

Grains: The grain sector experienced key reversals in the second quarter. Corn and soybean prices rose early in the quarter on higher demand expectations and growing problems in key growing areas. However, strong rainfall during the spring season and a relatively cool and dry early summer season have caused harvest expectations to improve. Thus, expectations of a higher yield for the late summer growing season have pushed prices down.

Softs: After a run up in prices throughout February and March, prices began to decline in the second quarter. Initial worries of flooding gave way to milder weather that helped this year’s crop. The price of cotton declined throughout the second quarter. Additionally, cocoa declined throughout the second quarter. Coffee prices climbed higher after an initial decrease in May. However, there was a sharp reversal in June that erased any gains due to improved weather conditions in Brazil.

Quarterly Performance of Series C

The following is a summary of performance for the major sectors in which the Series C traded:

Indices (-): World stock indices had mixed performance in the second quarter. U.S. and European indices were up while Far East markets were down with the exception of Japan. Short positions in the Mini NASDAQ, the Mini S&P, and the German DAX index resulted in net losses.

Currencies (-): Increased volatility and sharp reversals over short time periods created choppy market conditions that were difficult to trade. Losses accumulated in the Swiss Franc/US dollar and Japanese Yen/US dollar positions.

Interest Rates (+): U.S. bond prices fell due to the threat of inflation, an upside surprise in the job market, a recovering economy, and the Fed raising interest rates by 25 basis points. Net short U.S. and European bond positions resulted in net gains.

Energies (+): Continued world demand for energy supported higher prices throughout the second quarter. Crude oil prices hit an all time high on the NYMEX as a result of strong demand and geopolitical risk premiums. Long positions in unleaded gas, crude oil, and light crude oil resulted in gains.

Series C’s average net asset levels during Year-To-Date 2004 and Second Quarter 2004 have decreased from Year-To-Date 2003 and Second Quarter 2003, primarily from redemptions during 2003 and Year-To-Date 2004. 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 PFD and, therefore, varies weekly according to interest rates, trading performance, contributions and redemptions. Interest income decreased $13,000 and $7,000 during Year-To-Date 2004 and Second Quarter 2004 as compared to Year-To-Date 2003 and Second Quarter 2003, respectively, due to lower interest rates during Year-To-Date 2004 as compared to Year-To-Date 2003, 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 $42,000 and $23,000 during Year-To-Date 2004 and Second Quarter 2004 as compared to Year-To-Date 2003 and Second Quarter 2003, respectively, due to the decrease in average net asset levels as discussed above.

All trading decisions for Series C are made by Northfield Trading LP. (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 $11,000 and $6,000 during Year-To-Date 2004 and Second Quarter 2004 as compared to Year-To-Date 2003 and Second Quarter 2003, respectively, due to the decrease in average net asset levels as discussed above.

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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 incurred during Year-To-Date 2004 or Year-To-Date 2003.

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 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 C’s disclosure controls and procedures. Based upon that evaluation, the Managing Owner’s chief executive officer and chief financial officer concluded that Series C’s disclosure controls and procedures are effective.

There have not been any changes in our internal controls over financial reporting (as defined in Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended) during the fiscal quarter to which this report relates that have materially affected, or are reasonably likely to materially affect, our internal controls over financial reporting.

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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—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 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

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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 9, 2004
	Ronald J. Ivans Chief Financial Officer

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EX-31.1

Exhibit 31.1

CERTIFICATION

I, Brian J. Martin, certify that:

1. I have reviewed this quarterly report on Form 10-Q of World Monitor Trust—Series C (‘Series C’);

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 C as of, and for, the periods presented in this quarterly report;

4. Series C’s other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) for Series C and we have:

a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to Series C, 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 C’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

c) disclosed in this report any change in Series C’s internal control over financial reporting that occurred during Series C’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, Series C’s internal control over financial reporting; and

5. Series C’s other certifying officers and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to Series C’s auditors and the board of directors of the managing owner of Series C:

a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect Series C’s ability to record, process, summarize and report financial information; and

b) any fraud, whether or not material, that involves management or other employees who have a significant role in Series C’s internal control over financial reporting.

Date:    August 9, 2004	/s/ Brian J. Martin
	Brian J. Martin President (chief executive officer) of the managing owner of Series C

EX-31.2

Exhibit 31.2

CERTIFICATION

I, Ronald J. Ivans, certify that:

1. I have reviewed this quarterly report on Form 10-Q of World Monitor Trust—Series C (‘Series C’);

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 C as of, and for, the periods presented in this quarterly report;

4. Series C’s other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) for Series C and we have:

a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to Series C, 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 C’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

c) disclosed in this report any change in Series C’s internal control over financial reporting that occurred during the Partnership Series C’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, Series C’s internal control over financial reporting; and

5. Series C’s other certifying officers and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to Series C’s auditors and the board of directors of the managing owner of Series C:

a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect Series C’s ability to record, process, summarize and report financial information; and

b) any fraud, whether or not material, that involves management or other employees who have a significant role in Series C’s internal control over financial reporting.

Date:    August 9, 2004	/s/ Ronald J. Ivans
	Ronald J. Ivans Chief Financial Officer of the managing owner of Series C

EX-32.1

Exhibit 32.1

CERTIFICATE PURSUANT TO

18 U.S.C. SECTION 1350

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

The undersigned, Brian J. Martin, President (chief executive officer) of the managing owner, Prudential Securities Futures Management Inc. (the “Managing Owner”), of World Monitor Trust—Series C (“Series C”), 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 C’s Quarterly Report on Form 10-Q for the period ending June 25, 2004, 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 C.

/s/ Brian J. Martin

Brian J. Martin

President (chief executive officer) of the Managing Owner

August 9, 2004

EX-32.2

Exhibit 32.2

CERTIFICATE PURSUANT TO

18 U.S.C. SECTION 1350

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

The undersigned, Ronald J. Ivans, Chief Financial Officer of the managing owner, Prudential Securities Futures Management Inc. (the “Managing Owner”), of World Monitor Trust—Series C (“Series C”), 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 C’s Quarterly Report on Form 10-Q for the period ending June 25, 2004, 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 C.

/s/ Ronald J. Ivans

Ronald J. Ivans

Chief Financial Officer of the Managing Owner

August 9, 2004