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WORLD MONITOR TRUST--
SERIES B
MONTHLY REPORT/
JUNE 30, 2000
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WORLD MONITOR TRUST--SERIES B
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Dear Interest Holder:
Enclosed is the report for the period from May 27, 2000 to June 30, 2000 for
World Monitor Trust--Series B ('Series B'). The net asset value of an interest
as of June 30, 2000 was $112.67, a decrease of 3.15% from the May 26, 2000 value
of $116.34. The year-to-date return for Series B was a decrease of 7.37% as of
June 30, 2000. Additionally, the return for the quarterly period from April 1,
2000 to June 30, 2000 was a decrease of 4.19%
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 B
The following is a summary of performance for the major sectors in which Series
B traded:
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 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.
Metal (-): Short gold, copper and zinc positions incurred losses as prices in
metals markets rose driven by a weakening U.S. economy.
Currency (-): An interest rate hike by the Swiss National Bank sent the Swiss
franc lower against the U.S. dollar resulting in losses for Swiss franc
positions. Shifting expectations regarding the timing of tightening monetary
policy by the Bank of Japan reversed the direction of the yen downward, causing
losses for long yen positions. Short euro positions incurred losses as the euro
rallied in June on news of strong European economic data.
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 S&P and euro DAX positions.
Energy (+): Long crude oil and natural gas positions resulted in gains for
Series B as energy prices soared due to increased demand.
The estimated net asset value per interest as of July 24, 2000 was $108.06. Past
performance is not necessarily indicative of future results.
Effective July 2000, Joseph A. Filicetti has resigned as President and Director
of Prudential Securities Futures Management Inc.
Should you have any questions, please contact your Prudential Securities
Financial Advisor. For account status inquiries, contact Prudential Securities
Client Services at 1-800-535-2077.
Sincerely yours,
/s/ Eleanor L. Thomas
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Eleanor L. Thomas
Executive Vice President and Director
PRUDENTIAL SECURITIES
FUTURES MANAGEMENT INC.
Please note that the value which appears on your Prudential Securities statement
is an estimated value at calendar month-end. The actual value as of the last
Friday of the month is contained in this report.
<TABLE>
<S> <C>
STATEMENT OF OPERATIONS
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For the period from May 27, 2000 to
June 30, 2000
Revenues:
Realized gain on commodity transactions.... $ 1,019,610
Change in unrealized commodity positions... (1,651,639)
Interest income............................ 137,681
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(494,348)
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Expenses:
Commissions................................ 158,412
Management fee............................. 40,819
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199,231
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Net loss................................... $ (693,579)
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<TABLE>
STATEMENT OF CHANGES IN NET ASSET VALUE
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For the period from May 27, 2000 to
June 30, 2000
<CAPTION>
Per
Total Interest
<S> <C> <C>
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Net asset value at beginning of
period (192,816.782 interests)... $22,432,716 $116.34
Contributions...................... 20,015
Net loss........................... (693,579)
Redemptions........................ (1,560,027)
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Net asset value at end of
period (179,279.076 interests)... $20,199,125 112.67
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Change in net asset
value per interest............................ $(3.67)
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Percentage change............................... (3.15)%
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</TABLE>
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I hereby affirm that, to the best of my knowledge and belief, the information
contained herein relating to World Monitor Trust--Series B is accurate and
complete.
PRUDENTIAL SECURITIES FUTURES
MANAGEMENT INC.
/s/ Barbara J. Brooks
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by: Barbara J. Brooks
Chief Financial Officer
