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WORLD MONITOR TRUST II--
SERIES F
MONTHLY REPORT/
SEPTEMBER 29, 2000
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WORLD MONITOR TRUST II--SERIES F
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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 F ('Series F'). The net asset value of an
interest as of September 29, 2000 was $96.11, a decrease of 2.26% from the
August 25, 2000 value of $98.33. The year-to-date return for Series F, which
commenced trading March 1, 2000, was a decrease of 3.89% as of September 29,
2000. Additionally, the return for the quarterly period from July 1, 2000 to
September 29, 2000 was a decrease of 3.67%.
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 22, 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 F
The following is a summary of performance for the major sectors in which Series
F traded:
Financial (): Losses were incurred in long domestic, European and Japanese bond
positions. The Japanese Government Bond was the largest contributor to negative
performance as prices fell in the wake of the BOJ's decision to abandon its
zero-interest rate policy and raise rates 25 basis points.
Energy (): Short light crude oil and unleaded gas positions resulted in losses
as the energy sector continued to push higher driven by demand and uncertainty
regarding outlook for future production and supply levels.
Metals (): Short aluminum and nickel positions incurred losses as strong demand
drove prices higher.
Currency (): The U.S. Federal Reserve Bank kept interest rates unchanged as
inflation appeared to be under control. The dollar gained against the Swiss
franc resulting in gains for short Swiss franc positions. The New Zealand dollar
declined to a 15-year low against the U.S. dollar, primarily due to concerns
regarding poor economic performance and reluctance by the Reserve Bank of New
Zealand to take action in support of its currency. Short positions in the New
Zealand dollar yielded gains.
The estimated net asset value per interest as of October 23, 2000 was $99.53.
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 gain on commodity transactions...... $ 328,428
Change in unrealized commodity positions..... (464,000)
Interest income.............................. 43,476
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(92,096)
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Expenses:
Commissions.................................. 41,174
Management fee............................... 13,780
Other transaction fees....................... 2,752
Other expenses............................... 10,350
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68,056
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Net loss..................................... $(160,152)
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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 (70,375.046 interests)..... $6,919,745 $ 98.33
Contributions....................... 302,620
Net loss............................ (160,152)
Redemptions......................... (103,260)
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Net asset value at end of
period (72,407.504 interests)..... $6,958,953 96.11
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Change in net asset
value per interest............................ $ (2.22)
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Percentage change............................... (2.26)%
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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 F is accurate and
complete.
PRUDENTIAL SECURITIES FUTURES
MANAGEMENT INC.
/s/ Barbara J. Brooks
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by: Barbara J. Brooks
Chief Financial Officer
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