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WORLD MONITOR TRUST II--
SERIES D
MONTHLY REPORT/
SEPTEMBER 29, 2000
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WORLD MONITOR TRUST II--SERIES D
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Dear Interest Holder:
Enclosed is the report for the period from August 26, 2000 to September 29, 2000
for World Monitor Trust II--Series D ('Series D'). The net asset value of an
interest as of September 29, 2000 was $87.06, a decrease of 7.51% from the
August 25, 2000 value of $94.13. The year-to-date return for Series D, which
commenced trading on March 13, 2000, was a decrease of 12.94% as of September
29, 2000. Additionally, the return for the quarterly period from July 1, 2000 to
September 29, 2000 was a decrease of 15.43%.
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 a 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 D
The following is a summary of performance for the major sectors in which Series
D traded:
Currency (): Long positions in the euro yielded losses despite a brief rally
after intervention by the European Central Bank and other G-7 central banks to
boost the failing euro. The Reserve Bank of Australia raised interest rates by
25 basis points in August, but this failed to boost their currency. The
Australian dollar lost ground and long positions incurred losses.
Financial (): Losses were incurred in long domestic and European bond positions.
The slowing global economy resulted in negative performance.
Metals (): Long copper positions provided positive performance for the quarter
as strong demand and weakening foreign currencies drove prices higher.
The estimated net asset value per interest as of October 23, 2000 was $78.24.
Past performance is not necessarily indicative of future results.
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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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>
<CAPTION>
STATEMENT OF OPERATIONS
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<S> <C>
For the period from August 26, 2000
to September 29, 2000
Revenues:
Realized loss on commodity transactions.... $(1,151,998)
Change in unrealized commodity positions... 679,220
Interest income............................ 37,926
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(434,852)
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Expenses:
Commissions................................ 35,484
Management fees............................ 7,381
Other transaction fees..................... 5,881
Other expenses............................. 8,919
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57,665
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Net loss................................... $ (492,517)
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</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSET VALUE
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<S> <C> <C>
For the period from August 26, 2000
to September 29, 2000
Per
Total Interest
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Net asset value at beginning of
period (67,711.084 interests).... $ 6,373,675 $ 94.13
Additional contributions........... 286,872
Net loss........................... (492,517)
Redemptions........................ (91,481)
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Net asset value at end of period
(69,794.499 interests)........... $ 6,076,549 87.06
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Change in net asset
value per interest............................ $ (7.07)
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Percentage change............................... (7.51)%
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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 II--Series D is accurate and
complete.
PRUDENTIAL SECURITIES FUTURES
MANAGEMENT INC.
/s/ Barbara J. Brooks
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by: Barbara J. Brooks
Chief Financial Officer
