<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 June 30, 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: 0-25785
WORLD MONITOR TRUST--SERIES A
--------------------------------------------------------------------------------
(Exact name of Registrant as specified in its charter)
Delaware 13-3985040
--------------------------------------------------------------------------------
(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 __
<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>
June 30, December 31,
2000 1999
<S> <C> <C>
---------------------------------------------------------------------------------------------------
ASSETS
Cash $19,325,174 $26,587,416
Net unrealized gain on open futures contracts 342,850 924,338
Accrued interest receivable 3,233 --
----------- ------------
Total assets $19,671,257 $27,511,754
----------- ------------
----------- ------------
LIABILITIES AND TRUST CAPITAL
Liabilities
Commissions payable $ 132,244 $ 185,065
Management fees payable 18,689 48,596
Redemptions payable 81,317 83,436
Net unrealized loss on open forward contracts -- 2,211,068
----------- ------------
Total liabilities 232,250 2,528,165
----------- ------------
Commitments
Trust capital
Limited interests (283,210.483 and 320,147.380 interests
outstanding) 19,240,816 24,729,908
General interests (2,917.000 and 3,284.000 interests outstanding) 198,191 253,681
----------- ------------
Total trust capital 19,439,007 24,983,589
----------- ------------
Total liabilities and trust capital $19,671,257 $27,511,754
----------- ------------
----------- ------------
Net asset value per limited and general interest ('Interests') $ 67.94 $ 77.25
----------- ------------
----------- ------------
---------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements.
</TABLE>
2
<PAGE>
WORLD MONITOR TRUST--SERIES A
(a Delaware Business Trust)
STATEMENTS OF OPERATIONS
(Unaudited)
<TABLE>
<CAPTION>
For the period from For the period from For the period from For the period from
January 1, 2000 to January 1, 1999 to April 1, 2000 to March 27, 1999 to
June 30, 2000 June 25, 1999 June 30, 2000 June 25, 1999
<S> <C> <C> <C> <C>
------------------------------------------------------------------------------------------------------------------------
REVENUES
Net realized gain (loss) on
commodity transactions $(4,203,301) $ (28,488) $(294,684) $ 371,410
Change in net unrealized
gain/loss on open commodity
positions 1,629,580 15,745 672,663 (992,386)
Interest income 652,832 326,913 310,913 182,707
--------------------- ----------- ----------- -----------
(1,920,889) 314,170 688,892 (438,269)
--------------------- ----------- ----------- -----------
EXPENSES
Commissions 820,763 527,826 381,938 302,819
Management fees 156,208 136,014 49,303 78,032
Incentive fees -- 335 -- 335
--------------------- ----------- ----------- -----------
976,971 664,175 431,241 381,186
--------------------- ----------- ----------- -----------
Net income (loss) $(2,897,860) $(350,005) $ 257,651 $(819,455)
--------------------- ----------- ----------- -----------
--------------------- ----------- ----------- -----------
ALLOCATION OF NET INCOME (LOSS)
Limited interests $(2,869,060) $(345,738) $ 254,632 $(809,769)
--------------------- ----------- ----------- -----------
--------------------- ----------- ----------- -----------
General interests $ (28,800) $ (4,267) $ 3,019 $ (9,686)
--------------------- ----------- ----------- -----------
--------------------- ----------- ----------- -----------
NET INCOME (LOSS) PER WEIGHTED
AVERAGE LIMITED AND GENERAL
INTEREST
Net income (loss) per weighted
average limited and general
interest $ (9.58) $ (2.50) $ .88 $ (5.27)
--------------------- ----------- ----------- -----------
--------------------- ----------- ----------- -----------
Weighted average number of
limited and general interests
outstanding 302,347 140,159 293,261 155,560
--------------------- ----------- ----------- -----------
--------------------- ----------- ----------- -----------
------------------------------------------------------------------------------------------------------------------------
</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, 1999 323,431.380 $24,729,908 $253,681 $24,983,589
Net loss -- (2,869,060) (28,800 ) (2,897,860)
Redemptions (37,303.897) (2,620,032) (26,690 ) (2,646,722)
------------ ----------- --------- -----------
Trust capital--June 30, 2000 286,127.483 $19,240,816 $198,191 $19,439,007
------------ ----------- --------- -----------
------------ ----------- --------- -----------
-----------------------------------------------------------------------------------------------------
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
JUNE 30, 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--Series A ('Series A') as of June 30, 2000 and the results
of its operations for the period from January 1, 2000 through June 30, 2000
('Year-To-Date 2000'), January 1, 1999 to June 25, 1999 ('Year-To-Date 1999'),
April 1, 2000 to June 30, 2000 ('Second Quarter 2000') and March 27, 1999 to
June 25, 1999 ('Second Quarter 1999'). 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 A's annual report on Form 10-K filed with the Securities and Exchange
Commission for the year ended December 31, 1999 (the 'Annual Report').
B. Related Parties
The Managing Owner of Series A is 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 Series A's routine operational,
administrative, legal and auditing costs.
The costs charged to Series A for brokerage services for Year-To-Date 2000,
Year-To-Date 1999, Second Quarter 2000 and Second Quarter 1999 were $820,763,
$527,826, $381,938 and $302,819, respectively.
Series A's assets are maintained either in trading or cash accounts 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 each Series pursuant to a line of credit. PSI may require that
collateral be posted against the marked-to-market position of Series A.
As of June 30, 2000, a non-U.S. affiliate of the Managing Owner owns 101.112
limited interests of Series A. Additionally, a director of the Managing Owner
owns 249.687 limited interests of Series A.
C. Derivative Instruments and Associated Risks
Series A is exposed to various types of risk associated with the derivative
instruments and related markets in which it invests. These risks include, but
are not limited to, risk of loss from fluctuations in the value of derivative
instruments held (market risk) and the inability of counterparties to perform
under the terms of Series A'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 A's net assets being
traded, significantly exceeds Series A's future cash requirements since Series A
intends to close out its open
4
<PAGE>
positions prior to settlement. As a result, Series A 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 derivative instruments to be
the net unrealized gain or loss on the contracts. The market risk associated
with Series A's commitments to purchase commodities is limited to the gross or
face amount of the contract held. However, when Series A 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
A 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 A holds and the liquidity and inherent
volatility of the markets in which Series A trades.
Credit risk
In addition to market risk, when entering into futures or forward contracts
there is a credit risk that the counterparty to the contract will not be able to
meet its obligations to Series A. 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 A's forward transactions is PSI,
Series A's commodity broker. Series A 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
A'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 be able to meet its obligations to Series A.
The Managing Owner attempts to minimize both credit and market risks by
requiring Series A 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 A, the Managing Owner and the Trading
Advisor, Series A shall automatically terminate the Trading Advisor if the net
asset value allocated to the Trading Advisor declines by 33 1/3% from the value
at the beginning of any year or since the commencement of trading activities
(i.e. March 21, 2000, which represents the effective date of the advisory
agreement). Furthermore, the Second Amended and Restated Declaration of Trust
and Trust Agreement provides that Series A will liquidate its positions, and
eventually dissolve, if Series A experiences a decline in 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 A.
PSI, when acting as Series A'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 A all assets of Series A relating to
domestic futures trading and is not to commingle such assets with other assets
of PSI. At June 30, 2000, such segregated assets totalled $14,994,727. Part 30.7
of the CFTC regulations also requires PSI to secure assets of Series A related
to foreign futures trading which totalled $4,673,297 at June 30, 2000. There are
no segregation requirements for assets related to forward trading.
As of June 30, 2000, Series A's open futures and forward contracts mature
within six months.
5
<PAGE>
At June 30, 2000 and December 31, 1999, the fair values of open futures and
forward contracts were:
<TABLE>
<CAPTION>
2000 1999
-------------------------- --------------------------
Assets Liabilities Assets Liabilities
---------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Interest rates $ 401,585 $ -- $ 255,937 $ --
Stock indices -- -- 160,500 --
Currencies -- 64,400 -- --
Commodities 411,953 23,677 1,963 49,265
Foreign exchanges
Interest rates 202,723 120,933 25,510 32,558
Stock indices 16,191 16,455 425,095 --
Commodities -- 464,137 137,156 --
Forward Contracts:
Currencies -- -- 88,948 2,300,016
---------- ----------- ---------- -----------
$1,032,452 $ 689,602 $1,095,109 $ 2,381,839
---------- ----------- ---------- -----------
---------- ----------- ---------- -----------
</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. Interests in Series A continued to
be offered weekly until Series A achieved its subscription maximum of
$34,000,000 during November 1999.
Interests in Series A may be redeemed on a weekly basis, but are subject to a
redemption fee if transacted within one year of the effective date of purchase.
Redemptions of limited interests and general interests for Year To Date 2000
were $2,620,032 and $26,690, respectively; for Second Quarter 2000 were $931,415
and $6,398, respectively; and from June 10, 1998 (commencement of operations) to
June 30, 2000 were $6,537,369 and $44,097, respectively. 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. Since Interests in Series A are no longer being
offered, participants can no longer exchange their Interests from Series B
and/or Series C into Series A; however, participants can currently continue to
exchange their Interests from Series A to Series B and/or Series C. Future
redemptions and exchanges will impact the amount of funds available for
investment in commodity contracts in subsequent periods.
At June 30, 2000, 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 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 contract
(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
relationship 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 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 A's
futures and forward contracts.
Series A does not have, nor does it expect to have, any capital assets.
Results of Operations
The net asset value per Interest as of June 30, 2000 was $67.94, a decrease
of 12.05% from the December 31, 1999 net asset value per Interest of $77.25 and
an increase of 1.31% from the March 31, 2000 net asset value per Interest of
$67.06.
Series A's gross trading gains/(losses) were ($2,574,000) and $378,000 during
Year To Date 2000 and Second Quarter 2000, respectively, compared to ($13,000)
and ($621,000) for Year To Date 1999 and
7
<PAGE>
Second Quarter 1999, respectively. Due to the nature of Series A's trading
activities, a period to period comparison of its trading results is not
meaningful. However, a detailed discussion of Series A's Second Quarter 2000
trading results is presented below.
Quarterly Market Overview
U.S. economic growth remained rapid throughout April and May, evidenced by
economic indicators across the board. Consumer spending trended upward strongly
and housing demand was high. Industrial production and wages expanded briskly in
response to burgeoning domestic demand. Labor markets continued to be very tight
as employment surged. Signs of an economic slowdown appeared towards the end of
the quarter as markets reacted to higher than expected unemployment numbers at
the end of May. However, economic expansion remained robust in most world
markets throughout the quarter. The Japanese economy showed indications of
increased demand in the first five months of 2000. Economic activity in
developing countries also continued. Key South American economies recovered from
recent recessions, while several Asian emerging market countries settled into
growth at a more sustained rate.
During the quarter, financial markets were dominated by continued volatility
in the equity sector. U.S. equity markets, especially more speculative
technology stocks, experienced a sell-off in April as investors' confidence
declined. Stock indices rallied toward the end of June, but the S&P, Dow, and
NASDAQ all ended the first half of the year down.
Global bond markets mirrored the volatility of the equity markets. Early in
the quarter, both U.S. and European prices on interest rate instruments fell due
to a rate hike by the European Central Bank at the end of April and a strong
U.S. economy. Global bond prices plummeted again in May in anticipation of a
U.S. interest rate hike. The U.S. Federal Reserve raised rates by 50 basis
points to 6.5%. This forceful policy (more than the 25 basis point increases
implemented since mid 1999) was due to the persistent strength of overall demand
and growing pressure in a tight labor market. As the quarter continued and new
economic data was released, it became apparent that the U.S. economy was
decelerating and bond prices rallied slightly.
The value of the U.S. dollar appreciated considerably against most major
currencies at the beginning of the quarter, reflecting, in part, the larger
increases in U.S. long-term yields relative to rates in most foreign countries.
The dollar's rise against the euro was sizable, but it also made moderate gains
against the British pound, Japanese yen, and Canadian dollar. In June, as the
U.S. economy showed signs of slowing down, the U.S. dollar weakened against most
major currencies. The euro reached all time lows in May before rallying in June
as a result of solid European economic data and sentiment that the currency was
undervalued. In May, the Japanese yen rose against the U.S. dollar supported by
expectations of a possible change in the Bank of Japan's zero-interest rate
policy. As the Japanese economy failed to sustain its recovery momentum, the yen
lost some ground. The Canadian dollar rallied towards the end of the quarter due
to steady Canadian economic data combined with signs of softening in the U.S.
economy.
Increased demand caused oil prices to surge at the beginning of the quarter.
In June, OPEC countries agreed to increase oil production as higher gas prices
put inflationary pressure on global economies and oil prices reversed downward.
In the metals markets, the trend of falling prices in April and May reversed
itself later in the quarter as gold soared driven, in part, by weakening in the
U.S. dollar and U.S. economy.
Quarterly Performance of Series A
The following is a summary of performance for the major sectors in which
Series A traded:
Energy (+): Long heating oil, crude oil and natural gas positions resulted in
gains for Series A as energy prices soared due to increased demand.
Soft (+): Sugar prices were consistently strong throughout the quarter as
producing countries placed new orders to cover shortfalls. Long sugar positions
resulted in gains.
Currency (-): The Swiss franc fell to a new eleven-year low against the U.S.
dollar, resulting in losses for Swiss franc positions. The Swiss franc continues
to be plagued by the euro's poor price action as the market remains disappointed
over the lack of central bank support for the euro. A decision by the Bank of
Canada to leave interest rates unchanged led to losses in short Canadian dollar
positions. Short euro positions incurred losses as the euro rallied in June on
news of strong European economic data.
8
<PAGE>
Index (-): The second quarter brought a reversal to some global equity
markets. A strong U.S. economy began showing signs of a slowdown and U.S. equity
markets experienced an April sell-off. Overall, continued volatility in world
markets resulted in losses in London FTSE and euro DAX positions.
Metal (-): Short copper positions incurred losses as metal prices rose driven
by a weakening U.S. economy.
Financial (-): Bond prices rallied following a higher than expected May
unemployment number and lack of action by the U.S. Federal Reserve at its
meeting in June resulting in losses for short 10- and 30-year U.S. bond
positions. Losses in long 10-year euro bond positions were due to actions taken
by the European Central Bank to raise short-term rates in April and June.
Series A's average net asset levels during Second Quarter 2000 have increased
from Second Quarter 1999, primarily due to additional contributions received
during 1999, partially offset by the effect of poor trading performance during
1999 and 2000 on Series A's weekly net asset value. The rising asset levels have
led to proportionate increases in the amount of interest earned by Series A as
well as commissions and management fees incurred. Also contributing to these
increases were six additional days during Year To Date 2000 versus Year To Date
1999.
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 increased $326,000 and $128,000
during Year To Date 2000 and Second Quarter 2000, respectively, as compared to
Year To Date 1999 and Second Quarter 1999, respectively, primarily due to the
increase in net assets as discussed above as well as higher interest rates
during Year To Date 2000 versus Year To Date 1999.
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 increased $293,000 and $79,000 during Year To Date
2000 and Second Quarter 2000, respectively, as compared to Year To Date 1999 and
Second Quarter 1999, respectively, primarily due to the increase in net assets
as discussed above.
Effective December 6, 1999, the Eagle-Global System became the exclusive
trading program used by Eagle Trading Systems, Inc. (the 'Trading Advisor') to
trade Series A's assets. In conjunction with this change, the Managing Owner and
the Trading Advisor voluntarily agreed to terminate its initial advisory
agreement and enter into a new advisory agreement effective March 21, 2000,
whereby the Trading Advisor is paid a weekly management fee at an annual rate of
1% of Series A's net asset value until the net asset value per Interest is at
least $80 for ten consecutive business days, at which time the weekly management
fee will be increased to an annual rate of 2% (i.e. the rate pursuant to the
initial advisory agreement).
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 increased $20,000 during Year To
Date 2000 as compared to Year To Date 1999 primarily due to the increase in net
assets as discussed above, partially offset by a decreased weekly management fee
rate pursuant to the new advisory agreement discussed above. Management fees
decreased $29,000 during Second Quarter 2000 as compared to Second Quarter 1999
due to the decreased weekly management fee rate as discussed above.
Incentive fees are based on the New High Net Trading Profits generated by the
Trading Advisor, as defined in the Advisory Agreement among the Trust, the
Managing Owner and the Trading Advisor. No incentive fees were generated during
Year To Date 2000 while a negligible amount were generated during Year To Date
1999.
ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
Item 305(c) of Regulation S-K requires disclosure during each interim
reporting period of material changes in the quantitative and qualitative market
risk information provided as of the end of the immediately preceding year. The
following information should be read in conjunction with Series A's Form 10-K as
filed with the Securities and Exchange Commission for the year ended December
31, 1999.
9
<PAGE>
The following table presents the trading Value at Risk associated with Series
A's open positions by market sector at June 30, 2000 and December 31, 1999. All
open position trading risk exposures of Series A have been included in
calculating the figures set forth below. At June 30, 2000 and December 31, 1999,
Series A had total capitalizations of approximately $19.4 million and $25.0
million, respectively.
<TABLE>
<CAPTION>
June 30, 2000 December 31, 1999
----------------------------- -----------------------------
<S> <C> <C> <C> <C>
Value at % of Total Value at % of Total
Market Sector Risk Capitalization Risk Capitalization
--------------- ----------- -------------- ----------- --------------
Interest rates $ 1,978,924 10.18% $ 658,154 2.63%
Stock indices 662,337 3.40 490,048 1.96
Commodities 440,500 2.27 238,700 .96
Currencies 294,957 1.52 8,943 .04
----------- ------- ----------- -----
Total $ 3,376,718 17.37% $ 1,395,845 5.59%
----------- ------- ----------- -----
----------- ------- ----------- -----
</TABLE>
The following table presents the average trading Value at Risk of Series A's
open positions by market sector for Year To Date 2000 and Second Quarter 2000.
<TABLE>
<CAPTION>
Year-To-Date 2000 Second Quarter 2000
--------------------------------- ---------------------------------
<S> <C> <C> <C> <C>
Value at % of Average Total Value at % of Average Total
Market Sector Risk Capitalization Risk Capitalization
---------------- ----------- ------------------ ----------- ------------------
Interest rates $ 1,009,977 4.72% $ 1,409,469 7.14%
Stock indices 271,777 1.27 219,091 1.11
Commodities 507,936 2.37 546,975 2.77
Currencies 393,545 1.84 472,867 2.40
----------- ------- ----------- -------
Total $ 2,183,235 10.20% $ 2,648,402 13.42%
----------- ------- ----------- -------
----------- ------- ----------- -------
</TABLE>
Throughout both Year To Date 2000 and Second Quarter 2000, Series A
experienced an overall increase in its Value at Risk as compared to December 31,
1999, relative to capitalization levels, reflecting increases in a variety of
positions.
Interest rates: The largest increase in Series A's Value at Risk during both
Year To Date 2000 and Second Quarter 2000 was in the Interest Rate sector. These
increases included positions in TSE (Tokyo) Treasury bonds, Eurex Bund, LIFFE 3
month Euribor, CBOT Treasury bonds and notes and CME Eurodollar. These increases
were partially offset by decreases in LIFFE Gilt and TIFFE yen positions during
Second Quarter 2000.
Stock indices: The Stock Indices sector, although having a higher Value at
Risk as of June 30, 2000 as compared to December 31, 1999, had a lower average
Value at Risk during both the Year To Date 2000 and Second Quarter 2000.
Positions in the LIFFE FTSE 100 Index and the CME S&P 500 Index reflected a
lower Value at Risk during these periods. Partially offsetting these decreases
was an increase in the OSI Nikkei 225 Index during both the Year To Date 2000
and Second Quarter 2000. Additionally, Series A held significant positions in
LIFFE FTSE 100 Index, DAX (Germany) Index and OSI Nikkei 225 Index at June 30,
2000.
Commodities: The Commodities sector Value at Risk increased during both the
Year To Date 2000 and the Second Quarter 2000. These increases were mainly due
to positions in Light Crude Oil, Heating Oil and Natural Gas. These increases
were partially offset by decreases in Value at Risk of Comex Silver, CBOT Corn
and CBOT Wheat positions.
Currencies: The Currency sector showed an increase in its Value at Risk
during both the Year To Date 2000 and Second Quarter 2000. Positions in CME
Japanese yen, CME British pound, CME Swiss francs, CME Euro currencies and CME
Canadian dollars were the reason for the variances.
10
<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 July 2000, Joseph A. Filicetti resigned as
President and as a Director of Prudential Securities Futures Management
Inc.
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
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
Registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.
WORLD MONITOR TRUST--SERIES A
By: Prudential Securities Futures Management Inc.
A Delaware corporation, Managing Owner
By: /s/ Steven Carlino Date: August 14, 2000
----------------------------------------
Steven Carlino
Vice President and Treasurer
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