<PAGE>
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 March 26, 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: 333-43033
WORLD MONITOR TRUST--SERIES A
- --------------------------------------------------------------------------------
(Exact name of Registrant as specified in its charter)
Delaware 13-3985040
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(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
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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 __
<PAGE>
PART I. FINANCIAL INFORMATION
ITEM I. FINANCIAL STATEMENTS
WORLD MONITOR TRUST--SERIES A
(a Delaware Business Trust)
STATEMENTS OF FINANCIAL CONDITION
(Unaudited)
<TABLE>
<CAPTION>
March 26, December 31,
1999 1998
<S> <C> <C>
- ---------------------------------------------------------------------------------------------------
ASSETS
Equity in commodity trading accounts:
Cash $13,788,189 $11,008,050
Net unrealized gain/(loss) on open commodity positions 904,888 (103,243)
----------- ------------
Net equity 14,693,077 10,904,807
Accrued interest receivable 55,102 --
----------- ------------
Total assets $14,748,179 $10,904,807
----------- ------------
----------- ------------
LIABILITIES AND TRUST CAPITAL
Liabilities
Commissions payable $ 80,802 $ 74,604
Management fee payable 21,195 19,457
----------- ------------
Total liabilities 101,997 94,061
----------- ------------
Commitments
Trust capital
Limited interests (142,184.498 and 108,568.155 interests
outstanding) 14,453,047 10,673,116
General interests (1,900 and 1,400 interests outstanding) 193,135 137,630
----------- ------------
Total trust capital 14,646,182 10,810,746
----------- ------------
Total liabilities and trust capital $14,748,179 $10,904,807
----------- ------------
----------- ------------
Net asset value per limited and general interest ('Interests') $ 101.65 $ 98.31
----------- ------------
----------- ------------
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The accompanying notes are an integral part of these statements.
</TABLE>
2
<PAGE>
WORLD MONITOR TRUST--SERIES A
(a Delaware Business Trust)
STATEMENT OF OPERATIONS
(Unaudited)
<TABLE>
<CAPTION>
For the period
from
January 1, 1999
through
March 26, 1999
<S> <C>
- --------------------------------------------------------------------------------------------------
REVENUES
Net realized loss on commodity transactions $ (399,898)
Change in net unrealized gain on open commodity positions 1,008,131
Interest income 144,206
------------------
752,439
------------------
EXPENSES
Commissions 225,007
Management fees 57,982
------------------
282,989
------------------
Net income $ 469,450
------------------
------------------
ALLOCATION OF NET INCOME
Limited interests $ 464,031
------------------
------------------
General interests $ 5,419
------------------
------------------
NET INCOME PER WEIGHTED AVERAGE LIMITED AND GENERAL INTEREST
Net income per weighted average limited and general interest $ 3.76
------------------
------------------
Weighted average number of limited and general interests outstanding 124,757
------------------
------------------
- --------------------------------------------------------------------------------------------------
</TABLE>
STATEMENT OF CHANGES IN TRUST CAPITAL
(Unaudited)
<TABLE>
<CAPTION>
LIMITED GENERAL
INTERESTS INTERESTS INTERESTS TOTAL
<S> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------
Trust capital--December 31, 1998 109,968.155 $10,673,116 $137,630 $10,810,746
Contributions 35,221.814 3,427,300 50,086 3,477,386
Net income -- 464,031 5,419 469,450
Redemptions (1,105.471) (111,400) -- (111,400)
------------ ----------- --------- -----------
Trust capital--March 26, 1999 144,084.498 $14,453,047 $193,135 $14,646,182
------------ ----------- --------- -----------
------------ ----------- --------- -----------
- -----------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements.
</TABLE>
3
<PAGE>
WORLD MONITOR TRUST--SERIES A
(a Delaware Business Trust)
NOTES TO FINANCIAL STATEMENTS
MARCH 26, 1999
(Unaudited)
A. General
These financial statements have been prepared without audit. In the opinion
of management, the financial statements contain all adjustments (consisting of
only normal recurring adjustments) necessary to present fairly the financial
position of World Monitor Trust--Series A ('Series A') as of March 26, 1999 and
the results of its operations for the period from January 1, 1999 through March
26, 1999 (the 'First Quarter'). However, the operating results for the interim
period 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 A's Annual Report on Form 10-K filed with the Securities and Exchange
Commission for the year ended December 31, 1998 (the 'Annual Report').
B. Related Parties
The managing owner of Series A 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. The Managing Owner or its affiliates perform services for
Series A 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, PSI or its affiliates pay the costs of these
services in addition to costs of organizing Series A and offering its Interests
as well as the routine operational, administrative, legal and auditing fees. As
described in the Annual Report, all commissions for brokerage services are paid
to PSI.
All of the proceeds of the offering of Series A are received in the name of
Series A and deposited in trading or cash accounts at PSI. Series A's assets are
maintained either with PSI or, for margin purposes, with the various exchanges
on which Series A is permitted to trade. PSI credits Series A monthly with 100%
of the interest it earns on the average net assets in Series A's accounts.
Series A, acting through its trading advisor, may execute over-the-counter,
spot, forward and/or option foreign exchange transactions with PSI. PSI then
engages in back-to-back trading with an affiliate, Prudential-Bache Global
Markets Inc. ('PBGM'). PBGM attempts to earn a profit on such transactions. PBGM
keeps its prices on foreign currency competitive with other interbank currency
trading desks. All over-the-counter currency transactions are conducted between
PSI and Series A pursuant to a line of credit. PSI may require that collateral
be posted against the marked-to-market positions of Series A.
As of March 26, 1999, a non-U.S. affiliate of the Managing Owner owns 101.112
limited interests of Series A.
C. Credit and Market Risk
Since Series A's 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).
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 unrealized gain (loss)
on open commodity positions reflected in the statements of financial condition.
Series A's exposure to market risk is influenced by a number of factors
including the relationships among the contracts held by Series A 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
4
<PAGE>
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,
Series A must rely solely on the credit of its broker (PSI) with respect to
forward transactions. Series A presents unrealized gains and losses on open
forward positions, if any, as a net amount in the statements of financial
condition because it has a master netting agreement with PSI.
The Managing Owner attempts to minimize both credit and market risks by
requiring the 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. 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 A.
PSI, when acting as the futures commission merchant in accepting orders for
the purchase or sale of domestic futures and options contracts, is required by
Commodity Futures Trading Commission ('CFTC') regulations to separately account
for and segregate as belonging to Series A all assets of Series A relating to
domestic futures and options trading and is not to commingle such assets with
other assets of PSI. At March 26, 1999, such segregated assets totalled
$12,273,592. Part 30.7 of the CFTC regulations also requires PSI to secure
assets of Series A related to foreign futures and options trading which totalled
$1,697,108 at March 26, 1999. There are no segregation requirements for assets
related to forward trading.
As of March 26, 1999, all open futures and forward contracts mature within
three months.
As of March 26, 1999 and December 31, 1998, gross contract amounts of open
futures and forward contracts for Series A are:
<TABLE>
<CAPTION>
1999 1998
----------- -----------
<S> <C> <C>
Financial Futures Contracts:
Commitments to purchase $32,871,454 $18,683,310
Commitments to sell 2,169,687 16,579,358
Currency Futures Contracts:
Commitments to sell 8,638,525 --
Currency Forward Contracts:
Commitments to purchase 182,621 362,056
Commitments to sell 33,517,151 --
Other Futures Contracts:
Commitments to purchase 41,141 --
Commitments to sell 2,112,236 3,076,903
</TABLE>
The gross contract amounts represent Series A's potential involvement in a
particular class of financial instrument (if it were to take or make delivery on
an underlying futures or forward contract). The gross contract amounts
significantly exceed the future cash requirements as Series A intends to close
out open positions prior to settlement and thus is generally subject only to the
risk of loss arising from the change in the value of the contracts. As such,
Series A considers the 'fair value' of its futures and forward contracts to be
the net unrealized gain or loss on the contracts. Thus, the amount at risk
associated with counterparty nonperformance of all contracts is the net
unrealized gain included in the statements of financial condition. The market
risk associated with Series A's commitments to purchase commodities is limited
to the gross contract amounts involved, while the market risk associated with
its commitments to sell is unlimited since its potential involvement is to make
delivery of an underlying commodity at the contract price; therefore, it must
repurchase the contract at prevailing market prices.
5
<PAGE>
At March 26, 1999 and December 31, 1998, the fair value of open futures and
forward contracts was:
<TABLE>
<CAPTION>
1999 1998
---------------------------- --------------------------
Assets Liabilities Assets Liabilities
---------- ----------- -------- -----------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ -- $ 1,564 $ -- $ --
Currencies 181,200 -- -- --
Other 38,590 -- 31,724 11,760
Foreign exchanges
Financial 30,749 -- 204,523 --
Other -- 66,464 34,326 --
Forward Contracts:
Currencies 904,998 182,621 -- 362,056
---------- ----------- -------- -----------
$1,155,537 $ 250,649 $270,573 $ 373,816
---------- ----------- -------- -----------
---------- ----------- -------- -----------
</TABLE>
The following table presents the average fair value and trading revenues of
futures and forward contracts during the First Quarter:
<TABLE>
<CAPTION>
Average Fair Value
-------------------------- Trading
Assets Liabilities Revenues
-------- ----------- ---------
<S> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ -- $ 2,329 $(67,658)
Currencies 74,108 -- 247,784
Other 53,237 8,884 (30,940)
Foreign exchanges
Financial 142,196 21,267 (255,120)
Other 44,838 16,616 (8,210)
Forward Contracts:
Currencies 390,911 277,015 722,377
-------- ----------- ---------
$705,290 $ 326,111 $608,233
-------- ----------- ---------
-------- ----------- ---------
</TABLE>
6
<PAGE>
WORLD MONITOR TRUST--SERIES A
(a Delaware Business Trust)
ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL
CONDITION AND RESULTS OF OPERATIONS
Liquidity and Capital Resources
Series A commenced operations on June 10, 1998 with gross proceeds of
$6,039,177 allocated to commodities trading. Additional contributions raised
through the continuous offering for the period from June 10, 1998 (commencement
of operations) through March 26, 1999 resulted in additional gross proceeds to
Series A of $8,548,965. Additional Interests of Series A will continue to be
offered on a weekly basis at the net asset value per Interest until the
subscription maximum of $34,000,000 is sold.
At March 26, 1999, 100% of Series A'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 A's trading in commodities. Inasmuch as the
sole business of Series A is to trade in commodities, Series A continues to own
such liquid assets to be used as margin. PSI credits Series A monthly with 100%
of the interest it earns on the average net assets in Series A's accounts.
The commodities contracts are subject to periods of illiquidity because of
market conditions, regulatory considerations and other reasons. For example,
commodity exchanges limit fluctuations in certain commodity futures contract
prices during a single day by regulations referred to as 'daily limits.' During
a single day, no trades may be executed at prices beyond the daily limit. Once
the price of a futures contract for a particular commodity has increased or
decreased by an amount equal to the daily limit, positions in the commodity can
neither be taken nor liquidated unless traders are willing to effect trades at
or within the limit. Commodity futures prices have occasionally moved the daily
limit for several consecutive days with little or no trading. Such market
conditions could prevent Series A from promptly liquidating its commodity
futures positions.
Since Series A's business is to trade futures, forward 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). Series A'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 A's speculative trading as well as the development of drastic market
occurrences could result in monthly losses considerably beyond Series A'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 A's trading advisor to abide by various trading limitations
and policies. See Note A to the financial statements for a further discussion on
the credit and market risks associated with Series A's futures and forward
contracts.
Series A does not have, nor does it expect to have, any capital assets.
Redemptions of limited interests for the First Quarter were $111,400.
Redemptions of limited interests for the period from June 10, 1998 (commencement
of operations) through March 26, 1999 were $239,552. Future redemptions and
contributions will impact the amount of funds available for investment in
commodity contracts in subsequent periods.
Results of Operations
Series A commenced trading operations on June 10, 1998, and as such, no
comparative information is available.
The net asset value per Interest as of March 26, 1999 was $101.65, an
increase of 3.40% from the December 31, 1998 net asset value per Interest of
$98.31.
First quarter trading resulted in a flat performance. The currency and grain
sectors accumulated profits, while losses were incurred in the financial, index,
energy, and metals sectors. During the quarter Series A recognized gains from a
strong U.S. dollar. Profits were derived from crossrate positions which were
long the U.S. dollar and short Deutsche mark, Swiss franc and Scandinavian
currencies. The U.S. dollar benefited from the considerable slow down in
European growth and the market sentiment that the European Central Bank will
have to smooth the transition to the Euro by cutting rates. U.S. dollar
positions against the
7
<PAGE>
Swedish and Norwegian krone benefited further from economic slowdown and
confusing government policies in both countries. Series A also benefited from a
long U.S. dollar/short Singapore dollar position. Some U.S. dollar crossrate
profits were offset by long U.S. dollar/short British pound positions, which
were liquidated at losses. Profits recognized in the currency sector were,
however, partially offset by losses in the financial sector as global fixed
income markets experienced high volatility causing the liquidation of some
positions at a loss.
Interest income is earned on the average net assets held at PSI and,
therefore, varies monthly according to interest rates, trading performance,
contributions and redemptions. Interest income was $144,000 during the First
Quarter.
Commissions are calculated on Series A's net asset value at the end of each
week and therefore, vary according to weekly trading performance, contributions
and redemptions. Commissions were $225,000 during the First Quarter.
All trading decisions for Series A are made by Eagle Trading Systems, Inc.
(the 'Trading Advisor'). Management fees are calculated on Series A's net asset
value at the end of each week and therefore, are affected by weekly trading
performance, contributions and redemptions. Management fees were $58,000 during
the First Quarter.
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. No incentive fee was earned during the
First Quarter.
Year 2000 Risk
A discussion of Year 2000 risk and its effect on the operations of Series A
is included in the Annual Report.
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.
8
<PAGE>
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 April 1999, Eleanor L. Thomas and Joseph A.
Filicetti have been elected by the Board of Directors of the Managing
Owner as directors. In addition, Mr. Filicetti has also been elected by
the Board of Directors as President of the Managing Owner replacing
Thomas M. Lane. Mr. Filicetti joined Prudential Securities Incorporated
in September 1998 and is the Director of Sales and Marketing for Managed
Futures. Ms. Thomas was elected by the Board of Directors of the
Managing Owner as Executive Vice President. Ms. Thomas joined Prudential
Securities Incorporated in February 1993 and is primarily responsible
for origination, asset allocation, and due diligence for Managed
Futures.
Item 6. (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 A's Registration Statement on Form S-1,
File No. 333-43033)
4.2-- Form of Request for Redemption (incorporated by reference to Exhibit 4.2
to Series A's Registration Statement on Form S-1, File No. 333-43033)
4.3-- Form of Exchange Request (incorporated by reference to Exhibit 4.3 to
Series A's Registration Statement on Form S-1, File No. 333-43033)
4.4-- Form of Subscription Agreement (incorporated by reference to Exhibit 4.4
to Series A's Registration Statement on Form S-1, File No. 333-43033)
27.1--Financial Data Schedule (filed herewith)
(b) Reports on Form 8-K--None
9
<PAGE>
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 A
By: Prudential Securities Futures Management Inc.
A Delaware corporation, Managing Owner
By: /s/ Steven Carlino Date: May 10, 1999
----------------------------------------
Steven Carlino
Vice President and Treasurer
10
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 5
<LEGEND>
The Schedule contains summary financial
information extracted from the financial
statements for World Monitor Trust-Series A
and is qualified in its entirety by reference
to such financial statements
</LEGEND>
<RESTATED>
<CIK> 1051822
<NAME> World Monitor Trust-Series A
<MULTIPLIER> 1
<FISCAL-YEAR-END> Dec-31-1999
<PERIOD-START> Jan-1-1999
<PERIOD-END> Mar-26-1999
<PERIOD-TYPE> 3-Mos
<CASH> 13,788,189
<SECURITIES> 904,888
<RECEIVABLES> 55,102
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 14,748,179
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 14,748,179
<CURRENT-LIABILITIES> 101,997
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 14,646,182
<TOTAL-LIABILITY-AND-EQUITY> 14,748,179
<SALES> 0
<TOTAL-REVENUES> 752,439
<CGS> 0
<TOTAL-COSTS> 282,989
<OTHER-EXPENSES> 0
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 0
<INCOME-TAX> 0
<INCOME-CONTINUING> 0
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> 469,450
<EPS-PRIMARY> 3.76
<EPS-DILUTED> 0
</TABLE>
