<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 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: 0-25787
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>
June 30, December 31,
2000 1999
<S> <C> <C>
----------------------------------------------------------------------------------------------------
ASSETS
Cash $20,952,005 $25,912,785
Net unrealized gain (loss) on open futures contracts (368,252) 373,042
Accrued interest receivable 3,422 --
------------- ------------
Total assets $20,587,175 $26,285,827
------------- ------------
------------- ------------
LIABILITIES AND TRUST CAPITAL
Liabilities
Redemptions payable $ 195,162 $ 72,082
Commissions payable 152,068 186,575
Management fees payable 40,820 49,811
Incentive fees payable -- 658
------------- ------------
Total liabilities 388,050 309,126
------------- ------------
Commitments
Trust capital
Limited interests (177,279.076 and 210,979.665 interests
outstanding) 19,973,789 25,660,475
General interests (2,000 and 2,600 interests outstanding) 225,336 316,226
------------- ------------
Total trust capital 20,199,125 25,976,701
------------- ------------
Total liabilities and trust capital $20,587,175 $26,285,827
------------- ------------
------------- ------------
Net asset value per limited and general interest ('Interests') $ 112.67 $ 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 April 1, 2000 March 27, 1999
to to to to
June 30, 2000 June 25, 1999 June 30, 2000 June 25, 1999
<S> <C> <C> <C> <C>
-----------------------------------------------------------------------------------------------------------------
REVENUES
Net realized gain (loss) on futures
contracts $ (657,602) $ 2,163,179 $ 509,716 $ 1,563,293
Change in net unrealized gain/loss on open
futures contracts (741,294) 293,562 (1,287,461) 252,425
Interest income 707,683 362,687 345,223 213,863
--------------- --------------- --------------- ---------------
(691,213) 2,819,428 (432,522) 2,029,581
--------------- --------------- --------------- ---------------
EXPENSES
Commissions 906,723 588,731 424,208 348,822
Management fees 233,623 152,643 109,287 90,692
Incentive fees -- 343,117 -- 275,243
--------------- --------------- --------------- ---------------
1,140,346 1,084,491 533,495 714,757
--------------- --------------- --------------- ---------------
Net income (loss) $(1,831,559) $ 1,734,937 $ (966,017) $ 1,314,824
--------------- --------------- --------------- ---------------
--------------- --------------- --------------- ---------------
ALLOCATION OF NET INCOME (LOSS)
Limited interests $(1,808,271) $ 1,714,500 $ (953,205) $ 1,298,737
--------------- --------------- --------------- ---------------
--------------- --------------- --------------- ---------------
General interests $ (23,288) $ 20,437 $ (12,812) $ 16,087
--------------- --------------- --------------- ---------------
--------------- --------------- --------------- ---------------
NET INCOME (LOSS) PER WEIGHTED AVERAGE
LIMITED AND GENERAL INTEREST
Net income (loss) per weighted average
limited and general interest $ (9.09) $ 13.03 $ (4.99) $ 8.84
--------------- --------------- --------------- ---------------
--------------- --------------- --------------- ---------------
Weighted average number of limited and
general interests outstanding 201,540 133,154 193,470 148,801
--------------- --------------- --------------- ---------------
--------------- --------------- --------------- ---------------
-----------------------------------------------------------------------------------------------------------------
</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 8,047.869 952,729 -- 952,729
Net loss -- (1,808,271) (23,288 ) (1,831,559)
Redemptions (42,348.458) (4,831,144) (67,602 ) (4,898,746)
----------- ----------- --------- -----------
Trust capital--June 30, 2000 179,279.076 $19,973,789 $225,336 $20,199,125
----------- ----------- --------- -----------
----------- ----------- --------- -----------
-----------------------------------------------------------------------------------------------------
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
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 B ('Series B') as of June 30, 2000 and the results
of its operations for the periods from January 1, 2000 to 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 B's Annual Report on Form 10-K filed with the Securities and Exchange
Commission for the year ended December 31, 1999.
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, Second Quarter 2000 and Second Quarter 1999 were $906,723,
$588,731, $424,208 and $348,822, 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 June 30, 2000, a non-U.S. affiliate of the Managing Owner owns 189.783
limited interests of Series B.
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
4
<PAGE>
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
June 30, 2000, such segregated assets totalled $19,240,276. Part 30.7 of the
CFTC regulations also requires PSI to secure assets of Series B related to
foreign futures trading which totalled $1,343,477 at June 30, 2000.
As of June 30, 2000, all open futures contracts mature within six months.
5
<PAGE>
The following table presents the fair value of futures contracts at June 30,
2000 and December 31, 1999.
<TABLE>
<CAPTION>
2000 1999
-------------------------- ------------------------
Assets Liabilities Assets Liabilities
---------- ----------- -------- -----------
<S> <C> <C> <C> <C>
Domestic exchanges
Stock indices $ -- $ 14,513 $ -- $ 20,100
Interest rates -- 33,200 126,538 --
Currencies 38,424 89,270 35,254 130,915
Commodities 89,030 -- 12,320 23,740
Foreign exchanges
Stock indices 30,372 38,334 17,878 --
Interest rates 3,782 20,724 110,580 9,267
Commodities 29,681 363,500 360,789 106,295
---------- ----------- -------- -----------
$ 191,289 $ 559,541 $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 June 30, 2000 resulted in additional gross proceeds to Series
B of $21,998,785. 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, Second Quarter 2000 and
for the period from June 10, 1998 (commencement of operations) to June 30, 2000
were $4,831,144, $2,302,236 and $7,785,805, respectively, and redemptions of
general interests were $67,602 for each of those same periods. 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. Future contributions, 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 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 June 30, 2000 was $112.67, a decrease
of 7.37% from the December 31, 1999 net asset value per Interest of $121.63 and
a decrease of 4.19% from the March 31, 2000 net asset value per Interest of
$117.60.
Series B's gross trading gains/(losses) were approximately $(1,399,000) and
$(778,000) during Year To Date 2000 and Second Quarter 2000, respectively,
compared to $2,457,000 and $1,816,000 for Year To Date 1999 and Second Quarter
1999, respectively. Due to the nature of Series B's trading activities, a period
7
<PAGE>
to period comparison of its trading results is not meaningful. However, a
detailed discussion of Series B'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 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 (-): The Swiss franc fell to new eleven-year lows 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. 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.
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 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.
Series B's asset levels during Year To Date 2000 and Second Quarter 2000 have
increased from Year To Date 1999 and Second Quarter 1999, primarily from
additional contributions and favorable trading performance in 1999 offset, in
part, by redemptions and unfavorable trading performance in 2000. These higher
overall levels of net assets during Year To Date 2000 and Second Quarter 2000
have led to proportionate increases in the amount of interest earned by Series B
as well as commissions and management fees incurred. Also contributing to these
increases 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
$345,000 and $131,000 during Year To Date 2000 and Second Quarter 2000,
respectively, as compared to Year To Date 1999 and Second Quarter 1999,
respectively, 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 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 $318,000 and $75,000
during Year To Date 2000 and Second Quarter 2000, respectively, as compared to
Year To Date 1999 and Second Quarter 1999, respectively, due to the increase in
net assets 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 $81,000 and $19,000 during Year To Date 2000 and Second Quarter
2000, respectively, as compared to Year To Date 1999 and Second Quarter 1999,
respectively, due to the increase in net assets 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
$343,000 and $275,000 for Year To Date 1999 and Second Quarter 1999,
respectively. Series B did not incur an Incentive fee during Year To Date 2000.
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.
The following table presents the trading Value at Risk associated with Series
B's open positions by market sector at June 30, 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 June 30, 2000 and December 31, 1999,
Series B had total capitalizations of approximately $20.2 million and $26.0
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 $ 504,039 2.50% $ 508,359 1.96%
Currencies 415,916 2.06 301,887 1.16
Commodities 372,500 1.84 305,000 1.17
Stock indices 164,825 .81 96,070 .37
----------- ------- ----------- -----
Total $ 1,457,280 7.21% $ 1,211,316 4.66%
----------- ------- ----------- -----
----------- ------- ----------- -----
</TABLE>
9
<PAGE>
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 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 $ 852,598 3.65% $ 949,789 4.32%
Currencies 465,480 1.99 477,403 2.17
Commodities 580,421 2.48 607,675 2.76
Stock indices 158,032 .68 203,194 .92
----------- ------- ----------- -------
Total $ 2,056,531 8.80% $ 2,238,061 10.17%
----------- ------- ----------- -------
----------- ------- ----------- -------
</TABLE>
Throughout Year To Date 2000 and Second 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 Japanese government bonds and SFE 3-year Treasury bonds within
the interest rates sector; yen and euro/yen crossrate positions within the
currencies sector; natural gas and light crude oil 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 and U.S. Treasury bonds within the interest rates sector, Australian
dollar and Swiss Franc positions within the currencies sector and FTSE 100
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 July 2000, Joseph A. Filicetti resigned as
President and as a Director of Prudential Securities
Futures Management Inc.
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
11
<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: August 14, 2000
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Steven Carlino
Vice President and Treasurer
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