<PAGE>
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
(Mark One)
/X/ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
ACT OF 1934
For the quarterly period ended 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: 0-25787
WORLD MONITOR TRUST--SERIES B
--------------------------------------------------------------------------------
(Exact name of Registrant as specified in its charter)
Delaware 13-3985041
--------------------------------------------------------------------------------
(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 B
(a Delaware Business Trust)
STATEMENTS OF FINANCIAL CONDITION
(Unaudited)
<TABLE>
<CAPTION>
September 29, December 31,
2000 1999
<S> <C> <C>
----------------------------------------------------------------------------------------------------
ASSETS
Cash $16,672,223 $25,912,785
Net unrealized gain (loss) on open futures contracts (62,886) 373,042
Accrued interest receivable 2,730 --
------------- ------------
Total assets $16,612,067 $26,285,827
------------- ------------
------------- ------------
LIABILITIES AND TRUST CAPITAL
Liabilities
Redemptions payable $ 183,801 $ 72,082
Commissions payable 120,892 186,575
Management fees payable 32,745 49,811
Incentive fees payable -- 658
------------- ------------
Total liabilities 337,438 309,126
------------- ------------
Commitments
Trust capital
Limited interests (168,444.036 and 210,979.665 interests
outstanding) 16,083,663 25,660,475
General interests (2,000 and 2,600 interests outstanding) 190,966 316,226
------------- ------------
Total trust capital 16,274,629 25,976,701
------------- ------------
Total liabilities and trust capital $16,612,067 $26,285,827
------------- ------------
------------- ------------
Net asset value per limited and general interest ('Interests') $ 95.48 $ 121.63
------------- ------------
------------- ------------
----------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements.
</TABLE>
2
<PAGE>
WORLD MONITOR TRUST--SERIES B
(a Delaware Business Trust)
STATEMENTS OF OPERATIONS
(Unaudited)
<TABLE>
<CAPTION>
For the period For the period For the period For the period
from from from from
January 1, 2000 January 1, 1999 July 1, 2000 June 26, 1999
to to to to
September 29, September 24, September 29, September 24,
2000 1999 2000 1999
<S> <C> <C> <C> <C>
-----------------------------------------------------------------------------------------------------------------
REVENUES
Net realized gain (loss) on futures
contracts $(3,824,545) $ 3,606,293 $(3,166,943) $ 1,443,114
Change in net unrealized gain/loss on open
futures contracts (435,928) (45,126) 305,366 (338,688)
Interest income 1,010,006 630,083 302,323 267,396
--------------- --------------- --------------- ---------------
(3,250,467) 4,191,250 (2,559,254) 1,371,822
--------------- --------------- --------------- ---------------
EXPENSES
Commissions 1,252,494 1,010,408 345,771 421,677
Management fees 322,722 261,719 89,099 109,076
Incentive fees -- 457,852 -- 114,735
--------------- --------------- --------------- ---------------
1,575,216 1,729,979 434,870 645,488
--------------- --------------- --------------- ---------------
Net income (loss) $(4,825,683) $ 2,461,271 $(2,994,124) $ 726,334
--------------- --------------- --------------- ---------------
--------------- --------------- --------------- ---------------
ALLOCATION OF NET INCOME (LOSS)
Limited interests $(4,768,025) $ 2,433,552 $(2,959,754) $ 719,052
--------------- --------------- --------------- ---------------
--------------- --------------- --------------- ---------------
General interests $ (57,658) $ 27,719 $ (34,370) $ 7,282
--------------- --------------- --------------- ---------------
--------------- --------------- --------------- ---------------
NET INCOME (LOSS) PER WEIGHTED AVERAGE
LIMITED AND GENERAL INTEREST
Net income (loss) per weighted average
limited and general interest $ (25.13) $ 16.85 $ (17.32) $ 4.23
--------------- --------------- --------------- ---------------
--------------- --------------- --------------- ---------------
Weighted average number of limited and
general interests outstanding 192,015 146,079 172,860 171,529
--------------- --------------- --------------- ---------------
--------------- --------------- --------------- ---------------
-----------------------------------------------------------------------------------------------------------------
</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 213,579.665 $25,660,475 $316,226 $25,976,701
Contributions 22,421.465 2,461,819 -- 2,461,819
Net loss (4,768,025) (57,658) (4,825,683)
Redemptions (65,557.094) (7,270,606) (67,602) (7,338,208)
----------- ----------- --------- -----------
Trust capital--September 29, 2000 170,444.036 $16,083,663 $190,966 $16,274,629
----------- ----------- --------- -----------
----------- ----------- --------- -----------
-----------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements.
</TABLE>
3
<PAGE>
WORLD MONITOR TRUST--SERIES B
(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--Series B ('Series B') as of September 29, 2000 and the
results of its operations for the periods from January 1, 2000 to September 29,
2000 ('Year-To-Date 2000'), January 1, 1999 to September 24, 1999 ('Year-To-Date
1999'), July 1, 2000 to September 29, 2000 ('Third Quarter 2000') and June 26,
1999 to September 24, 1999 ('Third 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 B's Annual Report on Form 10-K filed with the Securities and Exchange
Commission for the year ended December 31, 1999.
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 B 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 B 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 B 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 B and offering
its Interests as well as the routine operational, administrative, legal and
auditing costs.
The costs charged to Series B for brokerage services for Year-To-Date 2000,
Year-To-Date 1999, Third Quarter 2000 and Third Quarter 1999 were $1,252,494,
$1,010,408, $345,771 and $421,677, respectively.
All of the proceeds of the offering of Series B are received in the name of
Series B and are deposited in trading or cash accounts at PSI, Series B's
commodity broker. Series B's assets are maintained either with PSI or, for
margin purposes, with the various exchanges on which Series B is permitted to
trade. PSI credits Series B monthly with 100% of the interest it earns on the
average net assets in Series B's accounts.
Series B, 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 B pursuant to a line of credit. PSI may require that collateral
be posted against the marked-to-market positions of Series B.
As of September 29, 2000, a non-U.S. affiliate of the Managing Owner owns
189.783 limited interests of Series B.
4
<PAGE>
C. Derivative Instruments and Associated Risks
Series B 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 B's investment activities (credit risk).
Market risk
Trading in futures 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 B's net assets being traded, significantly exceeds Series B's future cash
requirements since Series B intends to close out its open positions prior to
settlement. As a result, Series B is generally subject only to the risk of loss
arising from the change in the value of the contracts. As such, Series B
considers the 'fair value' of its derivative instruments to be net unrealized
gain or loss on the contracts. The market risk associated with Series B's
commitments to purchase commodities is limited to the gross or face amount of
the contracts held. However, when Series B 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 B 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 B holds and the liquidity and inherent
volatility of the markets in which Series B trades.
Credit risk
When entering into futures contracts, Series B 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 nonperformance 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. The amount at risk associated with counterparty
nonperformance of all of Series B'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 B.
The Managing Owner attempts to minimize both credit and market risks by
requiring Series B and its trading advisor to abide by various trading
limitations and policies. The Managing Owner monitors compliance with these
trading limitations and policies which include, but are not limited to,
executing and clearing all trades with creditworthy counterparties; limiting the
amount of margin or premium required for 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 B, the Managing
Owner and the trading advisor, Series B 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. Furthermore, the Second Amended and Restated Declaration
of Trust and Trust Agreement provides that Series B will liquidate its
positions, and eventually dissolve, if Series B 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 B.
PSI, when acting as the 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 B all assets of Series B relating to domestic
futures trading and is not to commingle such assets with other assets of PSI. At
September 29, 2000, such
5
<PAGE>
segregated assets totalled $15,922,944. Part 30.7 of the CFTC regulations also
requires PSI to secure assets of Series B related to foreign futures trading
which totalled $686,393 at September 29, 2000.
As of September 29, 2000, all open futures contracts mature within six
months.
The following table presents the fair value of futures contracts at September
29, 2000 and December 31, 1999.
<TABLE>
<CAPTION>
2000 1999
-------------------------- ------------------------
Assets Liabilities Assets Liabilities
---------- ----------- -------- -----------
<S> <C> <C> <C> <C>
Domestic exchanges
Stock indices $ -- $ 69,950 $ -- $ 20,100
Interest rates 174,106 -- 126,538 --
Currencies 25,878 129,015 35,254 130,915
Commodities 38,390 139,160 12,320 23,740
Foreign exchanges
Stock indices 22,906 33,878 17,878 --
Interest rates 12,975 10,673 110,580 9,267
Commodities 159,896 114,361 360,789 106,295
---------- ----------- -------- -----------
$ 434,151 $ 497,037 $663,359 $ 290,317
---------- ----------- -------- -----------
---------- ----------- -------- -----------
</TABLE>
6
<PAGE>
WORLD MONITOR TRUST--SERIES B
(a Delaware Business Trust)
ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL
CONDITION AND RESULTS OF OPERATIONS
Liquidity and Capital Resources
Series B commenced operations on June 10, 1998 with gross proceeds of
$5,709,093 allocated to commodities trading. Additional contributions raised
through the continuous offering for the period from June 10, 1998 (commencement
of operations) to September 29, 2000 resulted in additional gross proceeds to
Series B of $23,507,875. Additional Interests of Series B will continue to be
offered on a weekly basis at the net asset value per Interest until the
subscription maximum of $33,000,000 is sold.
Interests in Series B 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 for Year-To-Date 2000, Third Quarter 2000 and
for the period from June 10, 1998 (commencement of operations) to September 29,
2000 were $7,270,606, $2,439,462 and $10,225,267, respectively, and redemptions
of general interests for both Year-To-Date 2000 and for the period from June 10,
1998 (commencement of operations) to September 29, 2000 were $67,602.
Additionally, Interests owned in one series may be exchanged, without 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. World Monitor
Trust--Series A is no longer offered to the public as it achieved its
subscription maximum during November 1999. 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 B'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 B's trading in commodities. Inasmuch as the
sole business of Series B is to trade in commodities, Series B continues to own
such liquid assets to be used as margin. PSI credits Series B monthly with 100%
of the interest it earns on the average net assets in Series B'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 B from promptly liquidating its commodity
futures positions.
Since Series B's business is to trade futures 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 B'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 B's
speculative trading as well as the development of drastic market occurrences
could result in monthly losses considerably beyond Series B'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
B 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 B's
futures contracts.
Series B does not have, nor does it expect to have, any capital assets.
Results of Operations
The net asset value per Interest as of September 29, 2000 was $95.48, a
decrease of 21.50% from the December 31, 1999 net asset value per Interest of
$121.63 and a decrease of 15.26% from the June 30, 2000 net asset value per
Interest of $112.67.
7
<PAGE>
Series B's gross trading gains/(losses) were approximately $(4,260,000) and
$(2,862,000) during Year-To-Date 2000 and Third Quarter 2000, respectively,
compared to $3,561,000 and $1,104,000 for Year-To-Date 1999 and Third Quarter
1999, respectively. Due to the nature of Series B's trading activities, a period
to period comparison of its trading results is not meaningful. However, a
detailed discussion of Series B's Third Quarter 2000 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 the 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 B
The following is a summary of performance for the major sectors in which
Series B traded:
Currencies (-): The U.S. Federal Reserve Bank kept interest rates unchanged
as inflation appeared to be under control. The dollar gained against the British
pound, Swiss franc and euro resulting in losses for long positions in these
currencies.
Stock indices (-): The global economic slowdown negatively affected the major
stock indices. Long positions in the S&P 500, European DAX, Nikkei Dow, and
London FTSE resulted in losses.
Interest rates (-): Losses were incurred in long domestic, Australian and
European bond positions. The slowing global economy contributed to this negative
performance.
Energies (-): Short light crude oil positions resulted in losses as the
energy sector continued to push prices higher driven by increased demand and
uncertainty regarding future production and supply levels.
8
<PAGE>
Metals (+): Long copper positions provided positive performance for the
quarter as strong demand drove prices higher.
Series B's average net asset levels were higher during Year-To-Date 2000 as
compared to Year-To-Date 1999 levels, primarily from additional contributions
and favorable trading performance in 1999 offset, in part, by redemptions and
unfavorable trading performance in 2000. Conversely, Series B's average net
asset levels were lower during Third Quarter 2000 as compared to Third Quarter
1999 levels, primarily from redemptions and unfavorable trading performance in
2000 offset, in part, by additional contributions. These fluctuations in overall
average net asset levels have led to corresponding fluctuations in commissions
and management fees incurred, and interest earned by Series B, which are largely
based on the level of net assets. Also contributing to the fluctuations in
commissions, management fees and interest were six additional days in
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 by approximately
$380,000 and $35,000 during Year-To-Date 2000 and Third Quarter 2000,
respectively, as compared to Year-To-Date 1999 and Third Quarter 1999,
respectively, due to the fluctuations in average net asset levels discussed
above in combination with higher interest rates during Year-To-Date 2000 and
Third Quarter 2000 versus the prior year comparable periods.
Commissions are calculated on Series B's net asset value at the end of each
week and, therefore, vary according to weekly trading performance, contributions
and redemptions. Commissions increased by approximately $242,000 during
Year-To-Date 2000 as compared to Year-To-Date 1999, but decreased by
approximately $76,000 during Third Quarter 2000 as compared to Third Quarter
1999, due to the fluctuations in average net asset levels as discussed above.
All trading decisions for Series B are made by Eclipse Capital Management,
Inc. (the 'Trading Advisor'). Management fees are calculated on Series B's net
asset value at the end of each week and, therefore, are affected by weekly
trading performance, contributions and redemptions. Management fees increased by
approximately $61,000 during Year-To-Date 2000 as compared to Year-To-Date 1999,
but decreased by approximately $20,000 during Third Quarter 2000 as compared to
Third Quarter 1999, due to the fluctuations in average net asset levels 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 Series B, the
Managing Owner and the Trading Advisor. Incentive fees were approximately
$458,000 and $115,000 for Year-To-Date 1999 and Third Quarter 1999,
respectively. Series B did not incur an Incentive fee during Year-To-Date 2000.
New Accounting Guidance
In June 2000, FASB issued SFAS 138 which became effective for Series B 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
Item 305(c) of Regulation S-K requires disclosures 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 B'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
B's open positions by market sector at September 29, 2000 and December 31, 1999.
All open position trading risk exposures of Series B have been included in
calculating the figures set forth below. At September 29, 2000 and December 31,
1999, Series B had total capitalizations of approximately $16.3 million and
$26.0 million, respectively.
<TABLE>
<CAPTION>
September 29, 2000 December 31, 1999
----------------------------- -----------------------------
<S> <C> <C> <C> <C>
Value at % of Total Value at % of Total
Market Sector Risk Capitalization Risk Capitalization
--------------- ----------- -------------- ----------- --------------
Commodities $ 480,600 2.95% $ 305,000 1.17%
Interest rates 300,949 1.85 508,359 1.96
Stock indices 209,625 1.29 96,070 .37
Currencies 209,321 1.29 301,887 1.16
----------- ------- ----------- -----
Total $ 1,200,495 7.38% $ 1,211,316 4.66%
----------- ------- ----------- -----
----------- ------- ----------- -----
</TABLE>
The following table presents the average trading Value at Risk of Series B's
open positions by market sector for Year-To-Date 2000 and Third Quarter 2000.
<TABLE>
<CAPTION>
Year-To-Date 2000 Third Quarter 2000
--------------------------------- ---------------------------------
<S> <C> <C> <C> <C>
Value at % of Average Total Value at % of Average Total
Market Sector Risk Capitalization Risk Capitalization
--------------- ----------- ------------------ ----------- ------------------
Commodities $ 539,610 2.51% $ 426,413 2.38%
Interest rates 774,201 3.60 569,466 3.18
Stock indices 187,506 .87 233,414 1.30
Currencies 434,156 2.02 374,778 2.09
----------- ------- ----------- -------
Total $ 1,935,473 9.00% $ 1,604,071 8.95%
----------- ------- ----------- -------
----------- ------- ----------- -------
</TABLE>
Throughout Year-To-Date 2000 and Third Quarter 2000, Series B experienced an
overall increase in its Value at Risk, relative to capitalization levels,
reflecting increases in a variety of positions. Some of the more significant
increases were in euro dollar and SFE 10-year Treasury bond positions within the
interest rates sector; euro positions within the currencies sector; natural gas,
light crude oil, Comex gold and LME copper positions within the commodities
sector and Nikkei, S&P 500 and DAX positions within the stock indices sector.
Some of the more significant decreases were in SFE Treasury bills, U.S. Treasury
bonds and euro bund positions within the interest rates sector, Australian
dollar, Swiss franc and Australian dollar/yen crossrate positions within the
currencies sector; aluminum positions within the commodities sector and FTSE 100
and SFE Index positions within the stock indices sector.
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 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. Exhibits and Reports on Form 8-K:
(a) Exhibits--
3.1
and
4.1--Second Amended and Restated Declaration of Trust and Trust
Agreements of World Monitor Trust dated as of March 17, 1998
(incorporated by reference to Exhibits 3.1 and 4.1 to Series B's
Registration Statement on Form S-1, File No. 333-43041)
4.2--Form of Request for Redemption (incorporated by reference
to Exhibit 4.2 to Series B's Registration Statement on Form
S-1, File No. 333-43041)
4.3--Form of Exchange Request (incorporated by reference
to Exhibit 4.3 to Series B's Registration Statement
on Form S-1, File No. 333-43041)
4.4--Form of Subscription Agreement (incorporated
by reference to Exhibit 4.4 to Series B's
Registration Statement on Form S-1, File No. 333-43041)
27.1--Financial Data Schedule (filed herewith)
(b) Reports on Form 8-K--None
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<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 B
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
12
