-----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, AdgirpWPQ9TyChEzpUL/bRJEXqWF0/uqBxFN+aZAN+qLBo5vjZmypPM3kwRR5qve 2mUg5mlznftG0r54Ogxa0A== /in/edgar/work/0000898733-00-000797/0000898733-00-000797.txt : 20001114 0000898733-00-000797.hdr.sgml : 20001114 ACCESSION NUMBER: 0000898733-00-000797 CONFORMED SUBMISSION TYPE: 10-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20000929 FILED AS OF DATE: 20001113 FILER: COMPANY DATA: COMPANY CONFORMED NAME: WORLD MONITOR TRUST II SERIES D CENTRAL INDEX KEY: 0001090697 STANDARD INDUSTRIAL CLASSIFICATION: [6799 ] STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 10-Q SEC ACT: SEC FILE NUMBER: 333-83011 FILM NUMBER: 759313 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-Q 1 0001.txt WORLD MONITOR TRUST II--SERIES D SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-Q (Mark One) /X/ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the quarterly period ended September 29, 2000 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 WORLD MONITOR TRUST II--SERIES D - -------------------------------------------------------------------------------- (Exact name of Registrant as specified in its charter) Delaware 13-4058318 - -------------------------------------------------------------------------------- (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 N/A - -------------------------------------------------------------------------------- Former name, former address and former fiscal year, if changed since last report Indicate by check CK whether the Registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the Registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes _CK_ No __ PART I. FINANCIAL INFORMATION ITEM I. FINANCIAL STATEMENTS WORLD MONITOR TRUST II--SERIES D (a Delaware Business Trust) STATEMENTS OF FINANCIAL CONDITION (Unaudited)
September 29, December 31, 2000 1999 - ---------------------------------------------------------------------------------------------------- ASSETS Cash $ 6,150,440 $ 1,000 Net unrealized gain on open futures contracts 1,192 -- Unrealized gain on open forward contracts 25,146 -- Accrued interest receivable 1,010 -- ------------- ------------ Total assets $ 6,177,788 $ 1,000 ------------- ------------ ------------- ------------ LIABILITIES AND TRUST CAPITAL Liabilities Accrued expenses $ 40,833 $ -- Commissions payable 39,651 -- Redemptions payable 13,375 -- Management fees payable 7,380 -- ------------- ------------ Total liabilities 101,239 -- ------------- ------------ Commitments Trust capital Limited interests (68,981.499 and 0 interests outstanding) 6,005,766 -- General interests (813 and 10 interests outstanding) 70,783 1,000 ------------- ------------ Total trust capital 6,076,549 1,000 ------------- ------------ Total liabilities and trust capital $ 6,177,788 $ 1,000 ------------- ------------ ------------- ------------ Net asset value per limited and general interest ('Interests') $ 87.06 $ 100.00 ------------- ------------ ------------- ------------ - ---------------------------------------------------------------------------------------------------- The accompanying notes are an integral part of these statements.
2 WORLD MONITOR TRUST II--SERIES D (a Delaware Business Trust) STATEMENTS OF OPERATIONS (Unaudited)
For the period from March 13, 2000 (commencement of For the period from operations) to July 1, 2000 to September 29, 2000 September 29, 2000 - ---------------------------------------------------------------------------------------------------------- REVENUES Net realized loss on commodity transactions $ (750,386) $ (1,231,573) Change in net unrealized gain/loss on open commodity positions 26,338 214,929 Interest income 192,174 90,882 ---------------------- ---------------------- (531,874) (925,762) ---------------------- ---------------------- EXPENSES Commissions and other transaction fees 209,549 85,969 Management fees 39,932 18,666 Incentive fees 27,238 -- General and administrative 48,553 22,549 ---------------------- ---------------------- 325,272 127,184 ---------------------- ---------------------- Net loss $ (857,146) $ (1,052,946) ---------------------- ---------------------- ---------------------- ---------------------- ALLOCATION OF NET LOSS Limited interests $ (846,926) $ (1,040,196) ---------------------- ---------------------- ---------------------- ---------------------- General interests $ (10,220) $ (12,750) ---------------------- ---------------------- ---------------------- ---------------------- NET LOSS PER WEIGHTED AVERAGE LIMITED AND GENERAL INTEREST Net loss per weighted average limited and general interest $ (14.46) $ (16.75) ---------------------- ---------------------- ---------------------- ---------------------- Weighted average number of limited and general interests outstanding 59,263 62,848 ---------------------- ---------------------- ---------------------- ---------------------- - ----------------------------------------------------------------------------------------------------------
STATEMENT OF CHANGES IN TRUST CAPITAL (Unaudited)
LIMITED GENERAL INTERESTS INTERESTS INTERESTS TOTAL - ----------------------------------------------------------------------------------------------------- Trust capital--December 31, 1999 10.000 $ -- $ 1,000 $ 1,000 Contributions 81,201.460 8,003,344 105,008 8,108,352 Net loss (846,926) (10,220) (857,146) Redemptions (11,416.961) (1,150,652) (25,005) (1,175,657) ----------- ---------- --------- ---------- Trust capital--September 29, 2000 69,794.499 $6,005,766 $70,783 $6,076,549 ----------- ---------- --------- ---------- ----------- ---------- --------- ---------- - ----------------------------------------------------------------------------------------------------- The accompanying notes are an integral part of these statements.
3 WORLD MONITOR TRUST II--SERIES D (a Delaware Business Trust) NOTES TO FINANCIAL STATEMENTS SEPTEMBER 29, 2000 (Unaudited) A. General These financial statements have been prepared without audit. In the opinion of Prudential Securities Futures Management Inc. (the 'Managing Owner'), the financial statements contain all adjustments (consisting of only normal recurring adjustments) necessary to present fairly the financial position of World Monitor Trust II--Series D ('Series D') as of September 29, 2000 and the results of its operations for the period from March 13, 2000 (commencement of operations) to September 29, 2000 and for the period from July 1, 2000 to September 29, 2000. 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 generally accepted accounting principles have been omitted. It is suggested that these financial statements be read in conjunction with the financial statements and notes thereto included in Series D's annual report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 1999. On March 13, 2000, a sufficient number of subscriptions for Series D had been received and accepted by the Managing Owner to permit Series D to commence trading. New Accounting Guidance In June 2000, the Financial Accounting Standards Board ('FASB') issued Statement No. 138, Accounting for Certain Derivative Instruments and Certain Hedging Activities--an amendment of FASB Statement No. 133 ('SFAS 138'), which became effective for Series D on July 1, 2000. SFAS 138 amends the accounting and reporting standards of FASB Statement No. 133 for certain derivative instruments and certain hedging activities. SFAS 138 has not had a material effect on the carrying value of assets and liabilities within the financial statements. B. Related Parties The Managing Owner of Series D is a wholly owned subsidiary of Prudential Securities Incorporated ('PSI') which, in turn, is a wholly owned subsidiary of Prudential Securities Group Inc. Series D reimburses the Managing Owner or its affiliates for services it performs for Series D 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. However, the amount of general and administrative expenses incurred by Series D is limited to 1.5% of its net asset value during the year. As a result, a portion of the expenses for the period from March 13, 2000 (commencement of operations) to September 29, 2000 and for the period from July 1, 2000 to September 29, 2000 have been borne by the Managing Owner and its affiliates. Additionally, PSI or its affiliates pay the costs of organizing Series D and offering its Interests. The costs incurred by Series D for services performed by the Managing Owner and its affiliates for Series D were:
For the period March 13, 2000 For the period from (commencement of operations) to July 1, 2000 to September 29, 2000 September 29, 2000 ------------------------------- ------------------- Commissions $ 191,621 $89,717 General and administrative 6,253 3,579 ------------ ------------------- $ 197,874 $93,296 ------------ ------------------- ------------ -------------------
Expenses payable to the Managing Owner and its affiliates (which are included in accrued expenses) as of September 29, 2000 were $843. 4 All of the proceeds of the offering are received in the name of Series D and are deposited in trading or cash accounts maintained at PSI, Series D's commodity broker. Series D's assets are maintained either with PSI or, for margin purposes, with the various exchanges on which Series D is permitted to trade. Series D receives interest income on 100% of its average daily equity maintained in cash in its 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. Series D, acting through its trading advisor, executes over-the-counter, spot, forward and/or option foreign exchange transactions with PSI. PSI then engages in back-to-back trading with an affiliate, Prudential-Bache Global Markets Inc. ('PBGM'). PBGM attempts to earn a profit on such transactions. PBGM keeps its prices on foreign currency competitive with other interbank currency trading desks. All over-the-counter currency transactions are conducted between PSI and Series D pursuant to a line of credit. PSI may require that collateral be posted against the marked-to-market positions of Series D. As of September 29, 2000, a non-U.S. affiliate of the Managing Owner owns 102.191 limited interests of Series D. C. Derivative Instruments and Associated Risks Series D is exposed to various types of risks associated with the derivative instruments and related markets in which it invests. These risks include, but are not limited to, risk of loss from fluctuations in the value of derivative instruments held (market risk) and the inability of counterparties to perform under the terms of Series D's investment activities (credit risk). Market risk Trading in futures and forward (including foreign exchange transactions) contracts 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 D's net assets being traded, significantly exceeds Series D's future cash requirements since Series D intends to close out its open positions prior to settlement. As a result, Series D is generally subject only to the risk of loss arising from the change in the value of the contracts. As such, Series D 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 D's commitments to purchase commodities is limited to the gross or face amount of the contracts held. However, when Series D enters into a contractual commitment to sell commodities, it must make delivery of the underlying commodity at the contract price and then repurchase the contract at prevailing market prices. Since the repurchase price to which a commodity can rise is unlimited, entering into commitments to sell commodities exposes Series D 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 D holds and the liquidity and inherent volatility of the markets in which Series D trades. Credit risk When entering into futures or forward contracts, Series D is exposed to credit risk that the counterparty to the contract will not meet its obligations. The counterparty for futures contracts traded in the United States and on most foreign futures exchanges is the clearinghouse associated with such exchanges. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the non-performance by one of its 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, the sole counterparty to Series D's forward transactions is PSI, Series D's commodity broker. Series D has entered into a master netting agreement with PSI and, as a result, presents unrealized gains and losses on open forward positions as a net amount in the statements of financial condition. The amount at risk associated with counterparty non-performance of all of Series D's contracts is the net unrealized gain included in the statements of financial condition. There can be no assurance that any counterparty, clearing member or clearinghouse will meet its obligations to Series D. 5 The Managing Owner attempts to minimize both credit and market risks by requiring Series D 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 (currently, PSI is the sole counterparty or broker); limiting the amount of margin or premium required for any one commodity or all commodities combined; and generally limiting transactions to contracts which are traded in sufficient volume to permit the taking and liquidating of positions. Additionally, pursuant to the Advisory Agreement among Series D, the Managing Owner and the trading advisor, Series D 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 Series D will liquidate its positions, and eventually dissolve, if Series D 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 advisor as it, in good faith, deems to be in the best interests of Series D. PSI, when acting as Series D'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 D all assets of Series D relating to domestic futures trading and is not to commingle such assets with other assets of PSI. At September 29, 2000, such segregated assets totalled $4,945,929. Part 30.7 of the CFTC regulations also requires PSI to secure assets of Series D related to foreign futures trading which totalled $1,205,703 at September 29, 2000. There are no segregation requirements for assets related to forward trading. As of September 29, 2000, Series D's open futures and forward contracts mature within one year. The following table presents the fair value of futures and forward contracts at September 29, 2000:
Assets Liabilities -------- ----------- Futures Contracts: Domestic exchanges Interest rates $ -- $ 17,220 Stock indices 30,700 -- Currencies 230,038 205,165 Commodities 11,200 -- Foreign exchanges Interest rates 10,667 62,720 Stock indices 21,902 16,810 Commodities -- 1,400 Forward Contracts: Currencies 25,146 -- -------- ----------- $329,653 $ 303,315 -------- ----------- -------- -----------
6 WORLD MONITOR TRUST II--SERIES D (a Delaware Business Trust) ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS Liquidity and Capital Resources Series D commenced operations on March 13, 2000 with gross proceeds of $5,279,158 allocated to commodities trading. Additional contributions raised through the continuous offering for the period from March 13, 2000 (commencement of operations) to September 29, 2000 resulted in additional proceeds to Series D of $2,830,194. Additional Interests of Series D will continue to be offered on a weekly basis at the net asset value per Interest until the subscription maximum is sold. Interests in Series D may be redeemed on a weekly basis, but are subject to a redemption fee if transacted within one year of the effective date of purchase. Redemptions from March 13, 2000 (commencement of operations) to September 29, 2000 were $1,150,652 for limited interests and $25,005 for general interests. Redemptions for the period from July 1, 2000 to September 29, 2000 were $104,298 for limited interests. 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. At September 29, 2000, 100% of Series D's net assets were allocated to commodities trading. A significant portion of the net assets was held in cash which is used as margin for Series D's trading in commodities. Inasmuch as the sole business of Series D is to trade in commodities, Series D continues to own such liquid assets to be used as margin. PSI credits Series D with interest income on 100% of its average daily equity maintained in cash in its 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. The commodities contracts are subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, commodity exchanges limit fluctuations in certain commodity futures contract prices during a single day by regulations referred to as 'daily limits.' During a single day, no trades may be executed at prices beyond the daily limit. Once the price of a futures contract for a particular commodity has increased or decreased by an amount equal to the daily limit, positions in the commodity can neither be taken nor liquidated unless traders are willing to effect trades at or within the limit. Commodity futures prices have occasionally moved the daily limit for several consecutive days with little or no trading. Such market conditions could prevent Series D from promptly liquidating its commodity futures positions. Since Series D'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 D's exposure to market risk is influenced by a number of factors including the volatility of interest rates and foreign currency exchange rates, the liquidity of the markets in which the contracts are traded and the relationships among the contracts held. The inherent uncertainty of Series D's speculative trading as well as the development of drastic market occurrences could result in monthly losses considerably beyond Series D'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 D and its trading advisor 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 C to the financial statements for a further discussion on the credit and market risks associated with Series D's futures and forward contracts. Series D does not have, nor does it expect to have, any capital assets. Results of Operations Series D commenced trading operations on March 13, 2000, and as such no comparative information is available for 1999. 7 The net asset value per Interest as of September 29, 2000 was $87.06, a decrease of 12.94% from the March 13, 2000 initial net asset value per Interest of $100.00, and a decrease of 15.43% from the June 30, 2000 net asset value per Interest of $102.95. Series D's gross trading losses were approximately $724,000 and $1,017,000, respectively, for the period from March 13, 2000 (commencement of operations) to September 29, 2000 and for the period from July 1, 2000 to September 29, 2000. A detailed discussion of Series D's current period trading results is presented below. Quarterly Market Overview U.S. economic activity expanded at a moderate pace at the beginning of the third quarter and showed signs of slowing down near quarter-end. Growth in consumer spending slowed from the outsized gains earlier in the year, and sales of new homes dropped from earlier highs. However, business spending continued to surge and industrial production trended upward. Even though expansion in employment slowed considerably in recent months, labor markets remained tight by historical standards and some measures of labor compensation continued to accelerate. The recent decrease in consumer spending resulted from moderate growth of real disposable income in recent months coupled with dips in stock market valuation. Nevertheless, consumer sentiment continued to be buoyant. Consumer prices, as measured by the CPI, increased in June in response to a surge in energy prices, but climbed only modestly in July and August. U.S. Treasury markets were choppy throughout the quarter but ended slightly higher, while Japanese government bonds fell sharply on news of a 25 basis point rate hike. The U.S. Federal Reserve Bank maintained interest rates at 6.50% throughout the quarter due to increasing indications of a slow down in aggregate demand and rising productivity. Conversely, there was a shift by other European and Asian central banks toward tighter domestic monetary policy. At its monetary policy meeting held in August, the Bank of Japan (BOJ) decided to raise rates from 0% to 0.25%. In February 1999, the BOJ adopted a zero interest rate policy, unprecedented both in and out of Japan, to counter the possibility of mounting deflationary pressure and prevent further deterioration of Japan's economy. Over the past year and a half, Japan's economy substantially improved; consequently, the BOJ felt confident that Japan's economy had reached the stage where deflation was no longer an immediate threat. The BOJ's increase in short-term interest rates in August caused the yen to rally sharply against the British pound and U.S. dollar. The U.S. dollar was strong against most major currencies at the beginning of the quarter. The end of September brought a sharp reversal to this trend following intervention by the G-7 central banks to support the euro. This move drove the euro up 5% against the U.S. dollar and the Japanese yen. The euro surged to a high of above $0.90 after the initial wave of euro buying before settling down more than $0.02 below its intervention peaks. Global equity markets experienced choppiness in July and August before declining in September. This was due to growing concern over near record energy costs and warnings of earning shortfalls, particularly from U.S. technology companies. Energy prices continued their upward trend throughout the quarter. In August, the American Petroleum Institute reported that crude inventories were at a 24-year low and by month's end the price per barrel had moved to over $33. On September 22nd, the U.S. announced that it would release 30 million barrels of oil from the U.S. strategic petroleum reserve over the next month in an effort to cap surging energy prices; crude oil prices fell by $2 a barrel. Quarterly Performance of Series D The following is a summary of performance for the major sectors in which Series D traded: Currencies (-): Long positions in the euro yielded losses despite a brief rally after intervention by the European Central Bank and other G-7 central banks to boost the failing euro. The Reserve Bank of Australia raised interest rates by 25 basis points in August, but this failed to boost their currency. The Australian dollar lost ground and long positions incurred losses. Interest rates (-): Losses were incurred in long domestic and European bond positions. The slowing global economy resulted in negative performance. 8 Indices (-): The global economic slowdown negatively affected the major stock indices. Long positions in the S&P 500, European DAX, and London FTSE resulted in losses. Metals (+): Long copper positions provided positive performance for the quarter as strong demand and weakening foreign currencies drove prices higher. Interest income is earned on the average daily equity maintained in cash with PSI at the 13-week Treasury bill discount rate and, therefore, varies monthly according to interest rates, trading performance, contributions and redemptions. Interest income was approximately $192,000 and $91,000 for the periods from March 13, 2000 (commencement of operations) to September 29, 2000 and July 1, 2000 to September 29, 2000, respectively. Commissions are calculated on Series D's net asset value at the end of each week and, therefore, vary according to weekly trading performance, contributions and redemptions. Other transaction fees consist of National Futures Association, exchange, clearing fees as well as floor brokerage costs and give-up charges, which are based on the number of trades the trading advisor executes, as well as which exchange, clearing firm or bank on, or through, which the contract is traded. Commissions and other transaction fees were approximately $210,000 and $86,000 for the periods from March 13, 2000 (commencement of operations) to September 29, 2000 and July 1, 2000 to September 29, 2000, respectively. All trading decisions for Series D are made by Bridgewater Associates, Inc. (the 'Trading Advisor'). Management fees are calculated on Series D's net asset value at the end of each week and, therefore, are affected by weekly trading performance, contributions and redemptions. Management fees were approximately $40,000 and $19,000 for the periods from March 13, 2000 (commencement of operations) to September 29, 2000 and July 1, 2000 to September 29, 2000, respectively. Incentive fees are based on the New High Net Trading Profits generated by the Trading Advisor, as defined in the Advisory Agreement among the Trust, the Managing Owner and the Trading Advisor. Incentive fees of approximately $27,000 for the period from March 13, 2000 (commencement of operations) to September 29, 2000 was generated as a result of positive trading performance in March 2000. General and administrative expenses were approximately $49,000 and $23,000 for the periods from March 13, 2000 (commencement of operations) to September 29, 2000 and July 1, 2000 to September 29, 2000, respectively. These expenses include reimbursement of costs incurred by the Managing Owner on behalf of Series D, in addition to accounting, audit, tax and legal fees as well as printing and postage costs related to reports sent to limited owners. The amount of expenses charged to Series D is limited to 1.5% of its net asset value during any one year. New Accounting Guidance In June 2000, FASB issued SFAS 138, which became effective for Series D on July 1, 2000. SFAS 138 amends the accounting and reporting standards of FASB Statement No. 133 for certain derivative instruments and certain hedging activities. SFAS 138 has not had a material effect on the carrying value of assets and liabilities within the financial statements. 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. 9 PART II. OTHER INFORMATION Item 1. Legal Proceedings--There are no material legal proceedings pending by or against the Registrant or the Managing Owner. Item 2. Changes in Securities--None Item 3. Defaults Upon Senior Securities--None Item 4. Submission of Matters to a Vote of Security Holders--None Item 5. Other Information--Effective September 2000, Eleanor L. Thomas was elected by the Board of Directors of Prudential Securities Futures Management Inc. as President replacing Joseph A. Filicetti. Item 6. (a) Exhibits-- 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 Exhibits 3.1 and 4.1 to Series D's Registration Statement on Form S-1, File No. 333-83011) 4.2--Form of Request for Redemption (incorporated by reference to Exhibit 4.2 to Series D's Registration Statement on Form S-1, File No. 333-83011) 4.3--Form of Exchange Request (incorporated by reference to Exhibit 4.3 to Series D's Registration Statement on Form S-1, File No. 333-83011) 4.4--Form of Subscription Agreement (incorporated by reference to Exhibit 4.4 to Series D's Registration Statement on Form S-1, File No. 333-83011) 27.1--Financial Data Schedule (filed herewith) (b) Reports on Form 8-K--None 10 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 II--SERIES D By: Prudential Securities Futures Management Inc. A Delaware corporation, Managing Owner By: /s/ Steven Carlino Date: November 13, 2000 ---------------------------------------- Steven Carlino Vice President and Treasurer 11 EX-27 2 0002.txt ART. 5 FDS FOR 3RD QUARTER 10-Q
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-31-2000 Jan-1-2000 Sep-29-2000 9-Mos 6,150,440 26,338 1,010 0 0 6,177,788 0 0 6,177,788 101,239 0 0 0 0 6,076,549 6,177,788 0 (531,874) 0 0 325,272 0 0 0 0 0 0 0 0 (857,146) (14.46) 0
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