-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, SvgCwtVQIIfFsCgABLzPcL32FY+DHuyjgbqN+1vYmYtmPssLA082HT90glnWmc0k GdRX8h385HMDOSLRYYEfKw== 0000898733-00-000220.txt : 20000407 0000898733-00-000220.hdr.sgml : 20000407 ACCESSION NUMBER: 0000898733-00-000220 CONFORMED SUBMISSION TYPE: 10-K/A PUBLIC DOCUMENT COUNT: 5 CONFORMED PERIOD OF REPORT: 19991231 FILED AS OF DATE: 20000406 FILER: COMPANY DATA: COMPANY CONFORMED NAME: WORLD MONITOR TRUST II SERIES D CENTRAL INDEX KEY: 0001090697 STANDARD INDUSTRIAL CLASSIFICATION: INVESTORS, NEC [6799] STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 10-K/A SEC ACT: SEC FILE NUMBER: 333-83011 FILM NUMBER: 594662 BUSINESS ADDRESS: STREET 1: ONE NEW YORK PLAZA 13TH FL CITY: NEW YORK STATE: NY ZIP: 10292-2013 BUSINESS PHONE: 2127787866 MAIL ADDRESS: STREET 1: ONE NEW YORK PLAZA 13TH FL CITY: NEW YORK STATE: NY ZIP: 10292-2013 FILER: COMPANY DATA: COMPANY CONFORMED NAME: WORLD MONITOR TRUST II SERIES E CENTRAL INDEX KEY: 0001090701 STANDARD INDUSTRIAL CLASSIFICATION: INVESTORS, NEC [6799] STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 10-K/A SEC ACT: SEC FILE NUMBER: 333-83015 FILM NUMBER: 594663 BUSINESS ADDRESS: STREET 1: ONE NEW YORK PLAZA 13TH FL CITY: NEW YORK STATE: NY ZIP: 10292-2013 BUSINESS PHONE: 2127787866 MAIL ADDRESS: STREET 1: ONE NEW YORK PLAZA 13TH FL CITY: NEW YORK STATE: NY ZIP: 10292-2013 FILER: COMPANY DATA: COMPANY CONFORMED NAME: WORLD MONITOR TRUST II SERIES F CENTRAL INDEX KEY: 0001090702 STANDARD INDUSTRIAL CLASSIFICATION: INVESTORS, NEC [6799] STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 10-K/A SEC ACT: SEC FILE NUMBER: 333-83017 FILM NUMBER: 594664 BUSINESS ADDRESS: STREET 1: ONE NEW YORK PLAZA 13TH FL CITY: NEW YORK STATE: NY ZIP: 10292-2013 BUSINESS PHONE: 2127787866 MAIL ADDRESS: STREET 1: ONE NEW YORK PLAZA 13TH FL CITY: NEW YORK STATE: NY ZIP: 10292-2013 10-K/A 1 WORLD MONITOR TRUST II--SERIES D, E, F Item 7. Management's Discussion and Analysis of Financial Condition and Results of Operations, and Note D to the Registrants' 1999 Annual Report included in Item 8. Financial Statements and Supplementary Data disclosed the incorrect discount rate awarded to all bidders of 13-week Treasury bills during the Treasury's March 16, 2000 auction. The incorrect rate disclosed was 5.893% and has been amended to reflect the correct rate of 5.730%. UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-K/A Amendment #1 (Mark One) /X/ ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the fiscal year ended December 31, 1999 OR / / TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the transition period from _______________________ to ______________________ Commission file number: 333-83011 333-83015 333-83017 WORLD MONITOR TRUST II-SERIES D WORLD MONITOR TRUST II-SERIES E WORLD MONITOR TRUST II-SERIES F - -------------------------------------------------------------------------------- (Exact name of registrant as specified in its charter) 13-4058318 13-4058319 Delaware 13-4058320 - -------------------------------------------------------------------------------- (State or other jurisdiction of (I.R.S. Employer Identification No.) incorporation or organization) One New York Plaza, 13th Floor, New York, New York 10292 - -------------------------------------------------------------------------------- (Address of principal executive offices) (Zip Code) Registrant's telephone number, including area code: (212) 778-7866 Securities registered pursuant to Section 12(b) of the Act: None - -------------------------------------------------------------------------------- Securities registered pursuant to Section 12(g) of the Act: Limited Interests - -------------------------------------------------------------------------------- (Title of class) Indicate by check mark 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 mark if disclosure of delinquent filers pursuant to Item 405 of Regulation S-K is not contained herein, and will not be contained, to the best of registrant's knowledge, in definitive proxy or information statements incorporated by reference in Part III of this Form 10-K or any amendment to this Form 10-K [CK] DOCUMENTS INCORPORATED BY REFERENCE First Amended and Restated Declaration of Trust and Trust Agreement of the Registrants dated as of May 15, 1999, included as part of the Registration Statements on Form S-1 (File No. 333-83011, File No. 333-83015 and File No. 333-83017) filed with the Securities and Exchange Commission on September 15, 1999, pursuant to Rule 424(b) of the Securities Act of 1933, is incorporated by reference into Part IV of this Annual Report on Form 10-K Registrant's Annual Report to Interest holders for the period ended December 31, 1999 is incorporated by reference into Parts II and IV of this Annual Report on Form 10-K Index to exhibits can be found on pages 8 and 9. WORLD MONITOR TRUST II (a Delaware Business Trust) TABLE OF CONTENTS
PART I PAGE Item 1 Business......................................................................... 3 Item 2 Properties....................................................................... 4 Item 3 Legal Proceedings................................................................ 4 Item 4 Submission of Matters to a Vote of Interest Holders.............................. 4 PART II Item 5 Market for the Registrant's Interests and Related Interest Holder Matters........ 4 Item 6 Selected Financial Data.......................................................... 4 Item 7 Management's Discussion and Analysis of Financial Condition and Results of Operations..................................................................... 4 Item 7A Quantitative and Qualitative Disclosures about Market Risk....................... 4 Item 8 Financial Statements and Supplementary Data...................................... 4 Item 9 Changes in and Disagreements with Accountants on Accounting and Financial Disclosure..................................................................... 5 PART III Item 10 Directors and Executive Officers of the Registrant............................... 5 Item 11 Executive Compensation........................................................... 6 Item 12 Security Ownership of Certain Beneficial Owners and Management................... 7 Item 13 Certain Relationships and Related Transactions................................... 7 PART IV Item 14 Exhibits, Financial Statement Schedules, and Reports on Form 8-K................. 8 Financial Statements and Financial Statement Schedules........................... 8 Exhibits......................................................................... 8 Reports on Form 8-K.............................................................. 9 SIGNATURES.................................................................................. 10
2 PART I Item 1. Business General World Monitor Trust II (the 'Trust') is a business trust organized under the laws of Delaware on April 22, 1999. As of December 31, 1999, the Trust had not yet commenced trading operations. The Trust consists of three separate and distinct series ('Series'): Series D, E and F (each a 'Registrant' and collectively, the 'Registrants'). The assets of each Series are segregated from 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 Registrants is Wilmington Trust Company. The Registrants' fiscal year for book and tax purposes ends on December 31. Up to $50,000,000 of beneficial interests in each Series ('Interests') are being offered (totalling $150,000,000) unless the managing owner, in its sole discretion, exercises its over-subscription option to offer additional interests ('Subscription Maximum'). Interests are being offered to investors who meet certain established suitability standards, with a minimum initial subscription of $5,000 ($2,000 for an individual retirement account ('IRA')), although the minimum purchase for any single Series is $1,000. Initially, the Interests for each Series were being offered for a period of up to 180 days after the date of the Prospectus ('Initial Offering Period'). The price per Interest during the Initial Offering Period was $100. Each Series could commence operations at any time if the minimum amount of Interests were sold before the Initial Offering Period expired ('Subscription Minimum'). The Subscription Minimum is $5,000,000 for each Series. During March 2000, the Subscription Minimum for each Series was reached and as a result, trading began for Series D and Series F on March 13, 2000 and March 1, 2000, respectively. It is anticipated that Series E will begin trading shortly. Thereafter, or until the Subscription Maximum for each Series is reached, each Series' Interests will continue to be offered on a weekly basis at the then current net asset value per Interest ('Continuous Offering Period'). The Registrants are engaged solely in the business of commodity futures and forward trading; therefore, presentation of industry segment information is not available. Managing Owner and its Affiliates The managing owner of the Registrants is Prudential Securities Futures Management Inc. (the 'Managing Owner'), a wholly owned subsidiary of Prudential Securities Incorporated ('PSI') which, in turn, is a wholly owned subsidiary of Prudential Securities Group Inc. PSI is the selling agent for the Registrants as well as the commodity broker of the Registrants. 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 such general interests) as are necessary to effect this requirement. The Trading Advisors Each Series has its own professional commodity trading advisor that makes that Series' trading decisions. The Managing Owner, on behalf of the Trust, entered into advisory agreements with Bridgewater Associates, Inc., Graham Capital Management, L.P. and Campbell & Company, Inc. (each a 'Trading Advisor') to make the trading decisions for Series D, E and F, respectively. Each advisory agreement may be terminated at the discretion of the Managing Owner. It is currently contemplated that each Series' Trading Advisor will be allocated one hundred percent of the capital raised for that Series during the Initial and Continuous Offering Periods. Competition The Managing Owner and its affiliates have formed, and may continue to form, various entities to engage in the speculative trading of futures, forward and options contracts which have certain of the same investment policies as the Registrants. 3 The Trust is an open-end series of funds which will solicit the sale of additional Interests on a weekly basis until the Subscription Maximum for each Series is reached. As such, each Registrant may compete with other entities to attract new participants. In addition, to the extent that a Trading Advisor recommends similar or identical trades to a Registrant and other accounts which it manages, that Registrant may compete with those accounts for the execution of the same or similar trades. Employees The Registrants have no employees. Management and administrative services for each Registrant are performed by the Managing Owner and its affiliates pursuant to the First Amended and Restated Declaration of Trust and Trust Agreement ('Trust Agreement') as further discussed in Notes A, C and D to the Registrants' annual report for the period ended December 31, 1999 ('Registrants' 1999 Annual Report') which is filed as an exhibit hereto. Item 2. Properties The Registrants do not own or lease any property. Item 3. Legal Proceedings There are no material legal proceedings pending by or against the Registrants or the Managing Owner. Item 4. Submission of Matters to a Vote of Interest Holders None PART II Item 5. Market for the Registrant's Interests and Related Interest Holder Matters Information with respect to the offering of Interests is incorporated by reference to Note A to the Registrants' 1999 Annual Report, which is filed as an exhibit hereto. A significant secondary market for the Interests is not expected to develop in the future. There are also certain restrictions set forth in the Trust Agreement limiting the ability of an Interest holder to transfer Interests. However, Interests may be redeemed on a weekly basis, but are subject to a redemption fee if effected within one year of the effective date of purchase. Additionally, Interests owned in one Series 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. Exchanges and redemptions are calculated based on 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 or redemption request is effected. Item 6. Selected Financial Data As of December 31, 1999, the Registrants had not yet commenced operations. The Managing Owner had contributed $1,000 to each Series and in return the Managing Owner received 10 general interests in each Series. Item 7. Management's Discussion and Analysis of Financial Condition and Results of Operations This information is incorporated by reference to page 8 of the Registrants' 1999 Annual Report which is filed as an exhibit hereto. Item 7A. 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 8. Financial Statements and Supplementary Data The financial statements are incorporated by reference to pages 2 through 6 of the Registrants' 1999 Annual Report which is filed as an exhibit hereto. 4 Supplementary data specified by Item 302 of Regulation S-K (selected quarterly financial data) is not applicable. Item 9. Changes in and Disagreements with Accountants on Accounting and Financial Disclosure None PART III Item 10. Directors and Executive Officers of the Registrant There are no directors or executive officers of the Registrants. The Registrants are managed by the Managing Owner. The Managing Owner's directors and executive officers and any person holding more than ten percent of each Registrant's Interests ('Ten Percent Owners') are required to report their initial ownership of such Interests and any subsequent changes in that ownership to the Securities and Exchange Commission on Forms 3, 4 or 5. Such executive officers, directors and Ten Percent Owners are required by Securities and Exchange Commission regulations to furnish the Registrant with copies of all Forms 3, 4 or 5 they file. All of these filing requirements were satisfied on a timely basis. In making these disclosures, the Registrants have relied solely on written representations of the Managing Owner's directors and executive officers and Ten Percent Owners or copies of the reports that they have filed with the Securities and Exchange Commission during and with respect to its most recent fiscal year. The directors and executive officers of Prudential Securities Futures Management Inc. and their positions with respect to the Registrants are as follows: Name Position Joseph A. Filicetti President and Director Eleanor L. Thomas Executive Vice President and Director Barbara J. Brooks Chief Financial Officer Steven Carlino Vice President and Treasurer Alan J. Brody Director A. Laurence Norton, Jr. Director Guy S. Scarpaci Director Tamara B. Wright Senior Vice President and Director JOSEPH A. FILICETTI, age 37, is the President and a Director of Prudential Securities Futures Management Inc. He had been a Vice President of Prudential Securities Futures Management Inc. and Seaport Futures Management, Inc. from October 1998 to March 1999. In April 1999, Mr. Filicetti was named to his current positions at Prudential Securities Futures Management Inc. and became an Executive Vice President and a Director of Seaport Futures Management, Inc. Mr. Filicetti is also a Vice President of PSI and the Director of Sales and Marketing for its managed futures department. Prior to joining PSI, Mr. Filicetti was with Rotella Capital Management as Director of Sales and Marketing from September 1996 through September 1998, and was with Merrill Lynch as a market maker trading bonds from July 1992 to August 1996. ELEANOR L. THOMAS, age 45, is the Executive Vice President and a Director of Prudential Securities Futures Management Inc. and is the President and a Director of Seaport Futures Management, Inc. She is primarily responsible for origination, asset allocation, and due diligence for the managed futures department within PSI. She is also a First Vice President of PSI. Prior to joining PSI in March 1993, she was with MC Baldwin Financial Company from June 1990 through February 1993 and Arthur Andersen & Co. from 1986 through May 1990. Ms. Thomas is a certified public accountant. BARBARA J. BROOKS, age 51, is the Chief Financial Officer of Prudential Securities Futures Management Inc. She is a Senior Vice President of PSI. She is also the Chief Financial Officer of Seaport Futures 5 Management, Inc. and serves in various capacities for other affiliated companies. She has held several positions within PSI since April 1983. Ms. Brooks is a certified public accountant. STEVEN CARLINO, age 36, is a Vice President and Treasurer of Prudential Securities Futures Management Inc. He is a First Vice President of PSI. He is also a Vice President and Treasurer of Seaport Futures Management, Inc. and serves in various capacities for other affiliated companies. Prior to joining PSI in October 1992, he was with Ernst & Young for six years. Mr. Carlino is a certified public accountant. ALAN J. BRODY, age 48 is a Director of Prudential Securities Futures Management Inc. and Seaport Futures Management, Inc. Mr. Brody has been a Senior Vice President and Director of International Sales and Marketing for PSI since 1996. Based in London, Mr. Brody is currently responsible for the marketing and sales of all PSI products and services to international clientele throughout the firm's global branch system. Additionally, Mr. Brody has overall responsibility for the managed futures department within PSI. Prior to joining PSI, Mr. Brody was an Executive Director and Senior Vice President with Lehman Brothers' Financial Services Division in London and President of Lehman Brothers Futures Asset Management Corp. from 1990 to 1996. Prior to joining Lehman Brothers, Mr. Brody served as President and Chief Executive Officer of Commodity Exchange, Inc. from 1980 to 1989. Mr. Brody was associated with the law firm of Baer, Marks and Upham from 1977 to 1980. A. LAURENCE NORTON, JR., age 61, is a Director of Prudential Securities Futures Management Inc. He is an Executive Vice President of PSI and, since March 1994, has been the director of the International and Futures Divisions of PSI. He is also a Director of Seaport Futures Management, Inc. and is a member of PSI's Operating Committee. From October 1991 to March 1994, he held the position of Executive Director of Retail Development and Retail Strategies at PSI. Prior to joining PSI in 1991, Mr. Norton was a Senior Vice President and Branch Manager of Shearson Lehman Brothers. GUY S. SCARPACI, age 53, is a Director of Prudential Securities Futures Management Inc. He is a First Vice President of the Futures Division of PSI. He is also a Director of Seaport Futures Management, Inc. Mr. Scarpaci has been employed by PSI in positions of increasing responsibility since August 1974. TAMARA B. WRIGHT, age 41, is a Director and Senior Vice President of Prudential Securities Futures Management Inc. She is a Senior Vice President and Chief Administrative Officer for the International and Futures Divisions of PSI. She is also a Director and Senior Vice President of Seaport Futures Management, Inc. and serves in various capacities for other affiliated companies. Prior to joining PSI in July 1988, she was a manager with Price Waterhouse. Effective April 1999, Eleanor L. Thomas and Joseph A. Filicetti were elected as Directors for both Prudential Securities Futures Management Inc. and Seaport Futures Management, Inc. In addition, Mr. Filicetti was elected as President of Prudential Securities Futures Management Inc. replacing Thomas M. Lane, Jr. and Ms. Thomas was elected as the Executive Vice President of Prudential Securities Futures Management Inc. Additionally, Alan J. Brody was elected as a Director of Prudential Securities Futures Management Inc. and Seaport Futures Management, Inc. during May 1999. There are no family relationships among any of the foregoing directors or executive officers. All of the foregoing directors and/or executive officers have indefinite terms. Item 11. Executive Compensation The Registrants do not pay or accrue any fees, salaries or any other form of compensation to directors and officers of the Managing Owner for their services. Certain directors and officers of the Managing Owner receive compensation from affiliates of the Managing Owner, not from the Registrants, for services performed for various affiliated entities, which may include services performed for the Registrants; however, the Managing Owner believes that any compensation attributable to services performed for the Registrants is immaterial. (See also Item 13, Certain Relationships and Related Transactions, for information regarding compensation to the Managing Owner.) 6 Item 12. Security Ownership of Certain Beneficial Owners and Management As of March 21, 2000, no director or executive officer of the Managing Owner owns directly or beneficially any interest in the voting securities of the Managing Owner. As of March 21, 2000, no director or executive officer of the Managing Owner owns directly or beneficially any of the Interests issued by the Registrants. As of March 21, 2000, the following owners of limited interests beneficially owned more than five percent (5%) of the limited interests issued by one of the Registrants:
Title Name and Address of Amount and Nature of Percent of of Class Beneficial Owner Beneficial Ownership Class - ---------------------------- ----------------------------- ---------------------------- ---------- Limited interests - Series D Mr. Donald Ellis 5,500.686 limited interests 10.53% 64 Walnut Circle Basking Ridge, NJ 07920 Limited interests - Series D Drs. Antonio Salud Pres 3,964.343 limited interests 7.59% and Kuang-Min Yang Co-TTEES 315 W. Wisconsin Ave. Appleton, WI 54911-4355
Item 13. Certain Relationships and Related Transactions The Registrants have and will continue to have certain relationships with the Managing Owner and its affiliates. However, there have been no direct financial transactions between the Registrants and the directors or officers of the Managing Owner. Reference is made to Notes A, C and D to the financial statements in the Registrants' 1999 Annual Report which is filed as an exhibit hereto, which identify the related parties and discuss the services provided by these parties. 7 PART IV
Page Number ------------ Item 14. Exhibits, Financial Statement Schedules, and Reports on Form 8-K (a) 1. Financial Statements and Report of Independent Accountants--incorporated by reference to the Registrants' 1999 Annual Report which is filed as an exhibit hereto Report of Independent Accountants 1 Financial Statements: Statement of Financial Condition--December 31, 1999 2 Notes to Statement of Financial Condition 3 2. Financial Statement Schedules All schedules have been omitted because they are not applicable or the required information is included in the financial statements or notes thereto. 3. Exhibits (a) Description: 3.1 and 4.1-- First Amended and Restated Declaration of Trust and Trust Agreement of World Monitor Trust II dated as of May 15, 1999 (incorporated by reference to Exhibit 3.1 and 4.1 to each of Series D, E and F's Registration Statements on Form S-1, File Nos. 333-83011, 333-83015 and 333-83017, respectively, filed on September 17, 1999) 4.2-- Form of Request for Redemption (incorporated by reference to Exhibit 4.2 to each of Series D, E and F's Registration Statements on Form S-1, File Nos. 333-83011, 333-83015 and 333-83017, respectively, filed on September 17, 1999) 4.3-- Form of Exchange Request (incorporated by reference to Exhibit 4.3 to each of Series D, E and F's Registration Statements on Form S-1, File Nos. 333-83011, 333-83015 and 333-83017, respectively, filed on September 17, 1999) 4.4-- Form of Subscription Agreement (incorporated by reference to Exhibit 4.4 to each of Series D, E and F's Registration Statements on Form S-1, File Nos. 333-83011, 333-83015 and 333-83017, respectively, filed on September 17, 1999) 10.1-- Form of Escrow Agreement among the Trust, Managing Owner, PSI and the Chase Manhattan Bank (incorporated by reference to Exhibit 10.1 to each of Series D, E and F's Registration Statements on Form S-1, File Nos. 333-83011, 333-83015 and 333-83017, respectively, filed on September 17, 1999) 10.2-- Form of Brokerage Agreement among the Trust and PSI (incorporated by reference to Exhibit 10.2 to each of Series D, E and F's Registration Statements on Form S-1, File Nos. 333-83011, 333-83015 and 333-83017, respectively, filed as of July 16, 1999) 10.3-- Form of Advisory Agreement among the Trust, Managing Owner, and each Trading Advisor (incorporated by reference to Exhibit 10.3 to each of Series D, E and F's Registration Statements on Form S-1, File Nos. 333-83011, 333-83015 and 333-83017, respectively, filed on July 16, 1999 for Series D and E and September 17, 1999 for Series F) 10.4-- Form of Representation Agreement Concerning the Representation Statement and the Prospectus among the Trust, Managing Owner, PSI, Wilmington Trust Company and each 8 Trading Advisor (incorporated by reference to Exhibit 10.4 to each of Series D, E and F's Registration Statements on Form S-1, File Nos. 333-83011, 333-83015 and 333-83017, respectively, filed on July 16, 1999 for Series D and E and September 17, 1999 for Series F) 10.5-- Form of Net Worth Agreement between the Managing Owner and Prudential Securities Group Inc. (incorporated by reference to Exhibit 10.5 to each of Series D, E and F's Registration Statements on Form S-1, File Nos. 333-83011, 333-83015 and 333-83017, respectively, filed on July 16, 1999) 27.1--Financial Data Schedule (filed herewith) (b) Reports on Form 8-K--None
9 SIGNATURES Pursuant to the requirements of Section 13 or 15(d) 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 II-Series D World Monitor Trust II-Series E World Monitor Trust II-Series F By: Prudential Securities Futures Management Inc. A Delaware corporation, Managing Owner By: /s/ Steven Carlino Date: March 30, 2000 ---------------------------------------- Steven Carlino Vice President and Treasurer Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the Registrant and in the capacities (with respect to the Managing Owner) and on the dates indicated. By: Prudential Securities Futures Management Inc. A Delaware corporation, Managing Owner By: /s/ Joseph A. Filicetti Date: March 30, 2000 ----------------------------------------- Joseph A. Filicetti President and Director By: /s/ Eleanor L. Thomas Date: March 30, 2000 ----------------------------------------- Eleanor L. Thomas Executive Vice President and Director By: /s/ Barbara J. Brooks Date: March 30, 2000 ----------------------------------------- Barbara J. Brooks Chief Financial Officer By: /s/ Steven Carlino Date: March 30, 2000 ----------------------------------------- Steven Carlino Vice President and Treasurer By: /s/ Alan J. Brody Date: March 30, 2000 ----------------------------------------- Alan J. Brody Director By: Date: ----------------------------------------- A. Laurence Norton, Jr. Director By: /s/ Guy S. Scarpaci Date: March 30, 2000 ----------------------------------------- Guy S. Scarpaci Director By: Date: ----------------------------------------- Tamara B. Wright Senior Vice President and Director 10 EX-13 2 ANNUAL REPORT 1999 - -------------------------------------------------------------------------------- World Monitor Trust II Annual Report PricewaterhouseCoopers (LOGO) PricewaterhouseCoopers LLP 1177 Avenue of the Americas New York, NY 10036 Telephone (212) 596 8000 Facsimile (212) 596 8910 Report of Independent Accountants To the Interest Holders of Series D, Series E and Series F of World Monitor Trust II In our opinion, the accompanying statement of financial condition presents fairly, in all material respects, the financial position of Series D, Series E and Series F of World Monitor Trust II at December 31, 1999 in conformity with accounting principles generally accepted in the United States. This financial statement is the responsibility of the Managing Owner; our responsibility is to express an opinion on this financial statement based on our audit. We conducted our audit of this statement in accordance with auditing standards generally accepted in the United States which require that we plan and perform the audit to obtain reasonable assurance about whether the statement of financial condition is free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the statement of financial condition, assessing the accounting principles used and significant estimates made by the Managing Owner, and evaluating the overall statement of financial condition presentation. We believe that our audit provides a reasonable basis for the opinion expressed above. /s/ PricewaterhouseCoopers LLP January 28, 2000 1 WORLD MONITOR TRUST II (a Delaware Business Trust) STATEMENT OF FINANCIAL CONDITION December 31, 1999 ASSETS
Series D Series E Series F -------- -------- -------- Cash................................................................ $ 1,000 $ 1,000 $ 1,000 -------- -------- -------- -------- -------- -------- TRUST CAPITAL General Interests (10 Interests issued and outstanding for each Series D, E and F, respectively).................................. $ 1,000 $ 1,000 $ 1,000 -------- -------- -------- -------- -------- --------
- -------------------------------------------------------------------------------- The accompanying notes are an integral part of this statement. 2 WORLD MONITOR TRUST II (a Delaware Business Trust) NOTES TO STATEMENT OF FINANCIAL CONDITION December 31, 1999 A. General The Trust, Trustee, Managing Owner and Affiliates World Monitor Trust II (the 'Trust') is a business trust organized under the laws of Delaware on April 22, 1999. As of December 31, 1999 the Trust had not yet commenced operations. The Trust consists of three separate and distinct series ('Series'): Series D, E and F. The assets of each Series are segregated from the other Series, separately valued and independently managed. The Trust 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 a wholly owned subsidiary of Prudential Securities Group Inc. PSI is the selling agent for the Trust as well as the commodity broker ('Commodity Broker') of the Trust. The Offering Up to $50,000,000 of beneficial interests in each Series ('Interests') are being offered (totalling $150,000,000) unless the Managing Owner, in its sole discretion, exercises its over-subscription option to offer additional Interests ('Subscription Maximum'). Interests are being offered to investors who meet certain established suitability standards, with a minimum initial subscription of $5,000 ($2,000 for an individual retirement account ('IRA')) per subscriber, although the minimum purchase for any single Series is $1,000. Initially, the Interests for each Series were being offered for a period of up to 180 days after the date of the Prospectus ('Initial Offering Period'). The price per Interest during the Initial Offering Period was $100. Each Series could commence operations at any time if the minimum amount of Interests were sold before the Initial Offering Period expired ('Subscription Minimum'). The Subscription Minimum is $5,000,000 for each Series. During March 2000, the Subscription Minimum for each Series was reached and, as a result, trading began for Series D and Series F on March 13, 2000 and March 1, 2000, respectively. It is anticipated that Series E will begin trading shortly (See Note F for further details). Thereafter, or until the Subscription Maximum for each Series is reached, each Series' Interests will continue to be offered on a weekly basis at the then current net asset value per Interest ('Continuous Offering Period'). The Managing Owner is required to maintain at least a one percent 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 such general interests) as are necessary to effect this requirement. The Trading Advisors Each Series has its own professional commodity trading advisor that makes that Series' trading decisions. The Managing Owner, on behalf of the Trust, entered into advisory agreements with Bridgewater Associates, Inc., Graham Capital Management, L.P. and Campbell & Company, Inc. (each a 'Trading Advisor') to make the trading decisions for Series D, E and F, respectively. Each advisory agreement may be terminated at the discretion of the Managing Owner. It is currently contemplated that each Series' Trading Advisor will be allocated one hundred percent of the capital raised for that Series during the Initial and Continuous Offering Periods. Exchanges, Redemptions and Termination Interests owned in one Series 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. 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. An exchange of Interests will be treated as a redemption of Interests in one Series (with the related tax consequences) and the simultaneous purchase of Interests in the Series exchanged into. 3 Redemptions will be 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 are subject to a redemption fee of four percent and three percent, 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 automatically terminate. B. Summary of Significant Accounting Policies Basis of accounting The financial statements of each Series are prepared on the accrual basis of accounting in accordance with generally accepted accounting principles. Income taxes Each Series is not required to provide for, or pay, any Federal or state income taxes. Income tax attributes that arise from their operations will be passed directly to the individual limited owners including the Managing Owner. Each Series may be subject to other state and local taxes in jurisdictions in which they operate. Profit and loss allocations and distributions Each Series allocates profits and losses for both financial and tax reporting purposes to the owners weekly on a pro rata basis based on each owner's Interests outstanding during the week. Distributions 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 owners; however, the Managing Owner does not presently intend to make any distributions. C. Fees Organizational and offering costs PSI or its affiliates paid the costs of organizing each Series and will continue to pay the costs of offering their Interests. General and administrative costs Routine legal, audit, postage, and other routine third party administrative costs are paid by each Series. Additionally, each Series pays the administrative costs incurred by the Managing Owner or its affiliates for services it performs for each Series which include, but are not limited to, those costs discussed in Note D below. However, all of these general and administrative costs incurred by each Series are limited to 1.5% annually of the net asset value of the Series. Management and incentive fees Each Series will pay its Trading Advisor a management fee at an annual rate of 1.25% for Series D, 2% for Series E and 2% for Series F of such Series' net asset value allocated to its management. The management fee is determined weekly and the sum of such weekly amounts is paid monthly. Each Series will also pay its Trading Advisor a quarterly incentive fee equal to 22% of such Trading Advisor's 'New High Net Trading Profits' (as defined in each Advisory Agreement). 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 each Series pays a fixed fee for brokerage services rendered at an annual rate of 6% of each Series' net asset value. The fee is determined weekly and the sum of such weekly amounts is paid monthly. Each Series is also obligated to pay all floor brokerage expenses, give-up charges and NFA, clearing and exchange fees incurred in connection with each Series' commodity trading activities. 4 D. Related Parties Each Series reimburses the Managing Owner or its affiliates for services it performs for each Series which include but are not limited to: brokerage services; accounting and financial management; investor communications, printing and other administrative services. All of the proceeds of the continuous offering are received in the name of each Series and deposited in trading or cash accounts maintained for each Series at PSI. Each Series' assets are maintained either on deposit with PSI or, for margin purposes, with the various exchanges on which the Series are permitted to trade. Each Series receives interest income on 100% of its average daily equity maintained in cash in the Series' accounts with PSI during each month at the 13-week Treasury bill discount rate. This rate is determined weekly by PSI and represents the rate awarded to all bidders during each week's auction of 13-week Treasury bills (e.g., 5.730% for the 13-week Treasury bill auction on March 16, 2000). Each Series, acting through its Trading Advisor, may execute over-the-counter, spot, forward and 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 each Series pursuant to a line of credit. PSI may require that collateral be posted against the marked-to-market position of each Series. E. Credit and Market Risk Since each Series' business is to trade futures, forward (including foreign exchange transactions) and options contracts, their capital is at risk due to changes in the value of these contracts (market risk) or the inability of counterparties to perform under the terms of the contracts (credit risk). Futures, forward and options contracts involve varying degrees of off-balance sheet risk; and changes in the level or volatility of interest rates, foreign currency exchange rates or the market values of the contracts (or commodities underlying the contracts) frequently result in changes in the unrealized gain (loss) on open commodity positions. Each Series' exposure to market risk is influenced by a number of factors including the relationships among the contracts held by each Series as well as the liquidity of the markets in which the contracts are traded. Futures and options contracts are traded on organized exchanges and are thus distinguished from forward contracts which are entered into privately by the parties. The credit risks associated with futures and options contracts are typically perceived to be less than those associated with forward contracts because exchanges typically provide clearinghouse arrangements in which the collective credit (subject to certain limitations) of the members of the exchanges is pledged to support the financial integrity of the exchange. On the other hand, each Series must rely solely on the credit of their broker (PSI) with respect to forward transactions. The Managing Owner attempts to minimize both credit and market risks by requiring each Series and its Trading Advisors to abide by various trading limitations and policies. The Managing Owner monitors compliance with these trading limitations and policies which include, but are not limited to, executing and clearing all trades with creditworthy counterparties (currently, PSI is the sole counterparty or broker); limiting the amount of margin or premium required for any one commodity or all commodities; 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 each Series, the Managing Owner and each Trading Advisor, each Series shall automatically terminate the Trading Advisor if the net asset value allocated to the Trading Advisor declines by 40% from the value at the beginning of any year or since the commencement of trading activities. Furthermore, the First Amended and Restated Declaration of Trust and Trust Agreement provides that each Series will liquidate its positions, and eventually dissolve, if each Series 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 such trading limitations and policies) upon the trading activities of the Trading Advisors as it, in good faith, deems to be in the best interests of each Series. PSI, when acting as each Series' futures commission merchant in accepting orders for the purchase or sale of domestic futures and options contracts, will be required by Commodity Futures Trading Commission 5 ('CFTC') regulations to separately account for and segregate as belonging to each Series all assets of each Series relating to domestic futures and options trading and is not to commingle such assets with other assets of PSI. Part 30.7 of the CFTC regulations also will require PSI to secure assets of each Series related to foreign futures and options trading. There are no segregation requirements for assets related to forward trading. F. Subsequent Event During March 2000, each Series reached its Subscription Minimum and began or anticipates beginning trading as follows:
Proceeds from Proceeds from Commencement Series Limited Owners Managing Owner of Operations --------------- -------------- --------------- ---------------- D $5.2 million $75,000 March 13, 2000 E 5.1 million 75,000 April 2000 F 5.1 million 75,000 March 1, 2000
6 - -------------------------------------------------------------------------------- I hereby affirm that, to the best of my knowledge and belief, the information contained herein relating to World Monitor Trust II is accurate and complete. PRUDENTIAL SECURITIES FUTURES MANAGEMENT INC. (Managing Owner) By: Barbara J. Brooks Chief Financial Officer - -------------------------------------------------------------------------------- 7 WORLD MONITOR TRUST II (a Delaware Business Trust) MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS Liquidity and Capital Resources As of December 31, 1999 the minimum required capital of $5,000,000 for each Series through their public offering of Interests had not yet become available. This caused the Trust to have limited funds on December 31, 1999. During March 2000, Series D and Series F completed their initial offering and started trading their assets. Series E also completed its initial offering and anticipates trading will commence shortly. See Notes A and F to the financial statements for further details. Additional Interests of each Series will continue to be offered on a weekly basis at the net asset value per Interest until the Subscription Maximum for each Series is sold. Interests in each Series may also be redeemed on a weekly basis but are subject to a redemption fee if transacted within one year of the effective date of purchase. Additionally, Interests owned in one Series 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. Future contributions, redemptions and exchanges will impact the amount of funds available for investment in commodity contracts in subsequent periods. During March 2000, 100% of Series D's and Series F's net assets were allocated to commodities trading. Once Series E starts trading its assets, they also will be allocated 100% to commodities trading. A significant portion of the net assets is held in cash which is used as margin for trading in commodities. Inasmuch as the sole business of each Series is to trade in commodities, each Series will continue to own such liquid assets to be used as margin. PSI will credit each Series with interest income on 100% of its average daily equity maintained in cash in the Series' accounts with PSI during each month at the 13-week Treasury bill discount rate. This rate is determined weekly by PSI and represents the rate awarded to all bidders during each week's auction of 13-week Treasury bills (e.g., 5.730% for the 13-week Treasury bill auction on March 16, 2000). 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 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 a Series from promptly liquidating its commodity futures positions. Since each Series' business is to trade futures, forward (including foreign exchange transactions) and options contracts, its capital is at risk due to changes in the value of these contracts (market risk) or the inability of counterparties to perform under the terms of the contracts (credit risk). Each Series' 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 relationship among the contracts held. The inherent uncertainty of each Series' speculative trading as well as the development of drastic market occurrences could result in monthly losses that could ultimately lead to a loss of all or subsequently all of investors' capital. The Managing Owner attempts to minimize these risks by requiring the Series' Trading Advisors to abide by various trading limitations and policies which include limiting margin amounts, trading only in liquid markets and utilizing stop loss provisions. See Note E to the financial statements for a further discussion of the credit and market risks associated with each Series' futures, forward and options contracts. No Series has, nor do they expect to have, any capital assets. Results of Operations Through December 31, 1999, the Trust had not yet commenced operations. 8 OTHER INFORMATION The World Monitor Trust II'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 II P.O. Box 2016 Peck Slip Station New York, New York 10272-2016 9 Peck Slip Station BULK RATE P.O. Box 2016 U.S. POSTAGE New York, NY 10272 PAID Automatic Mail PFT1/17152 EX-27 3 ART. 5 FDS FOR 10-K
5 The Schedule contains summary financial information extracted from the financial statements for World Monitor Trust II--Series D and is qualified in its entirety by reference to such financial statements 0001090697 World Monitor Trust II--Series D 1 Dec-31-1999 Jan-1-1999 Dec-31-1999 12-Mos 1,000 0 0 0 0 1,000 0 0 1,000 0 0 0 0 0 1,000 1,000 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
EX-27.1 4 ART. 5 FDS FOR 10-K
5 The Schedule contains summary financial information extracted from the financial statements for World Monitor Trust II--Series E and is qualified in its entirety by reference to such financial statements 0001090701 World Monitor Trust II--Series E 1 Dec-31-1999 Jan-1-1999 Dec-31-1999 12-Mos 1,000 0 0 0 0 1,000 0 0 1,000 0 0 0 0 0 1,000 1,000 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
EX-27.2 5 ART. 5 FDS FOR 10-K
5 The Schedule contains summary financial information extracted from the financial statements for World Monitor Trust II--Series F and is qualified in its entirety by reference to such financial statements 0001090702 World Monitor Trust II--Series F 1 Dec-31-1999 Jan-1-1999 Dec-31-1999 12-Mos 1,000 0 0 0 0 1,000 0 0 1,000 0 0 0 0 0 1,000 1,000 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
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