<PAGE>
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
[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
Commission File Number: 0-26932
THE MILLBURN WORLD RESOURCE TRUST
(Exact name of registrant as specified in its charter)
Delaware 06-6415-583
(State or other jurisdiction of (I.R.S. Employer
incorporation or organization) Identification No.)
c/o MILLBURN RIDGEFIELD CORPORATION
411 West Putnam Avenue
Greenwich, Connecticut 06830
(Address of principal executive offices)
Registrant's telephone number, including area code: (203) 625-7554
Securities registered pursuant to Section 12(b) of the Act: None
Securities registered pursuant Units of Beneficial Interest
to Section 12(g) of the Act: (Title of Class)
Indicate by check mark whether the registrant (1) 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 [X] No [ ]
Aggregate market value of the voting and non-voting common equity held by
non-affiliates: $32,882,064.00.
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PART I. FINANCIAL INFORMATION
ITEM I. FINANCIAL STATEMENTS
THE MILLBURN WORLD RESOURCE TRUST
Statements of Financial Condition (UNAUDITED)
<TABLE>
<CAPTION>
30-Jun-00 31-Dec-99
Assets: ------------- -------------
<S> <C> <C>
Investment in U.S. Treasury obligations
- at value (amortized cost $32,378,689
and $44,750,408 at June 30, 2000 and
December 31, 1999 respectively) 32,378,689 44,750,408
Money market funds 3,178,880 2,534,912
Unrealized appreciation on open contracts 450,912 3,240,145
Cash 520,880 2,885,005
------------- -------------
Total Assets $ 36,529,361 $ 53,410,470
============= =============
Liabilities & Unitholders' Capital:
Unrealized depreciation on
open currency contracts 1,241,442 259,646
Accounts payable and accrued expenses 61,291 70,961
Redemptions payable to unit holders, net 1,363,642 2,261,893
Accrued brokerage commissions 223,209 333,354
------------- -------------
Total Liabilities 2,889,584 2,925,854
Trust Capital:
Managing Owner interest 757,713 848,658
Unitholders interest (Units of Beneficial
Interest outstanding - 34,534.086 and
44,722.052 at June 30, 2000 and
December 31, 2000 respectively) 32,882,064 49,635,958
------------- -------------
Total Trust Capital 33,639,777 50,484,616
------------- -------------
Total Liabilities and Trust Capital $ 36,529,361 $ 53,410,470
============= =============
</TABLE>
See accompanying notes to financial statements.
<PAGE>
THE MILLBURN WORLD RESOURCE TRUST
Statements of Operations
For the three months ended June 30, 2000 and 1999 (UNAUDITED)
<TABLE>
<CAPTION>
2000 1999
------------ ------------
<S> <C> <C>
Revenues:
Realized Gain(Loss) on Closed Contracts (1,947,126) 2,547,107
Change in Unrealized Gain(Loss)
on Open Contracts (919,386) 3,022,255
Interest Income 530,482 776,723
Foreign Exchange Gain(Loss) 8,721 (41,288)
------------ ------------
$(2,327,309) $ 6,304,797
Expenses:
Brokerage Commissions 830,896 1,478,563
Administrative 98,934 119,982
------------ ------------
$ 929,830 $ 1,598,545
============ ============
Net Income(Loss) $(3,257,139) $ 4,706,252
Net Income(Loss) allocated to
Managing Owner $ (52,565) $ 78,446
Net Income(Loss) allocated to
Unitholders $(3,204,574) $ 4,627,806
Increase(Decrease) in Redemption Value
for each Unit outstanding throughout
each period $ (87.00) $ 83.67
</TABLE>
See accompanying notes to financial statements.
<PAGE>
THE MILLBURN WORLD RESOURCE TRUST
Statements of Operations
For the six months ended June 30, 2000 and 1999 (UNAUDITED)
<TABLE>
<CAPTION>
2000 1999
------------ ------------
<S> <C> <C>
Revenues:
Realized Gain(Loss) on Closed Contracts (1,599,873) 2,434,295
Change in Unrealized Gain(Loss)
on Open Contracts (3,771,029) (331,593)
Interest Income 1,148,628 1,579,673
Foreign Exchange Gain(Loss) 2,571 23,503
------------ ------------
$(4,219,703) $ 3,705,878
Expenses:
Brokerage Commissions 1,896,936 2,964,410
Administrative 153,393 196,063
------------ ------------
$ 2,050,329 $ 3,160,473
============ ============
Net Income(Loss) $(6,270,032) $ 545,405
Net Income(Loss) allocated to
Managing Owner $ (90,945) $ 44,212
Net Income(Loss) allocated to
Unitholders $(6,179,087) $ 501,193
Increase(Decrease) in Redemption Value
for each Unit outstanding throughout
each period $ (157.72) $ 13.91
</TABLE>
See accompanying notes to financial statements.
<PAGE>
THE MILLBURN WORLD RESOURCE TRUST
Statements of Trust Capital
For the six months ended June 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
Unit Managing
Holders Owner Total
------------ ------------ ------------
<S> <C> <C> <C>
Trust Equity at December 31, 1999
(44,722.052 Units) 49,635,958 848,658 50,484,616
Addition of 592.047 Units 596,316 - 596,316
Redemption of 10,780.013 Units (11,171,123) - (11,171,123)
Net Gain(Loss) in Trust Equity (6,179,087) (90,945) (6,270,032)
------------ ------------ ------------
Trust Equity at June 30, 2000 32,882,064 757,713 33,639,777
(34,534.086 Units) ============ ============ ============
Redemption Value per Unit
at June 30, 2000 952.16
============
</TABLE>
Net Asset Value per Unit
Changes in net asset value per Unit during the six months ended June 30, 2000
and 1999 were as follows:
<TABLE>
<CAPTION>
2000 1999
------------ ------------
<S> <C> <C>
Net realized and unrealized gains
(losses)on currency contracts $ (182.26) $ (10.53)
Interest Income 28.35 27.69
Foreign exchange gain (loss) 0.09 0.23
Profit share expenses 0.00 0.00
Administrative expense (3.90) (3.48)
------------ ------------
Net income (loss) per unit (157.72) 13.91
Net asset value per Unit,
beginning of period 1,109.88 1,234.38
------------ ------------
Net asset value per Unit,
end of Period $ 952.16 $ 1,248.29
============ ============
</TABLE>
<PAGE>
ITEM II. NOTES TO FINANCIAL STATEMENTS
THE MILLBURN WORLD RESOURCE TRUST
The accompanying financial statements are unaudited but, in the opinion of
management, include all adjustments (consisting only of normal recurring
adjustments) necessary for a fair presentation of the Trust's financial
condition at June 30, 2000 and December 31, 1999 (unaudited) and the results
of its operations for the three months ended June 30, 2000 and 1999. These
financial statements present the results of interim periods and do not include
all disclosures normally provided in annual financial statements. It is
suggested that these financial statements be read in conjunction with the
financial statements and notes included in the Trust's annual report on
Form 10-K filed with the Securities and Exchange Commission for the year ended
December 31, 1999.
Management discussion and analysis of the financial statements for the six
months ended June 30, 2000:
<TABLE>
<CAPTION>
30-Jun-00 31-Dec-99
------------- -------------
<S> <C> <C>
Ending Equity $ 33,639,777 $ 50,484,616
</TABLE>
The Trust's net assets decreased 33.37% in the first half of 2000. The fund
suffered sizable losses during the quarter. Trading in the energy sector
continued to be very profitable as rising prices again generated sizable gains
on long positions throughout the complex. A long sugar position was also
profitable as prices surged. Elsewhere, however, the situation was distinctly
different.
Uncertainties about interest rates worldwide unsettled trading
conditions in all financial markets. Would the Federal Reserve continue to
raise rates to slow the economy, and, if so, what effect would that have on
soaring equity markets? Would the zero interest rate policy in Japan ever come
to an end, and, if it did, how would the nascent growth rebound in Japan fare?
How long can Japanese long bond interest rates remain low in the face of huge
fiscal deficits? Will the European Central Bank accelerate its interest rate
increases, and, hence stunt the economic recovery now gathering momentum in
Europe? In the face of all these questions financial markets displayed erratic
non-directional price swings in broad ranges during the second quarter.
Consequently, losses were registered in all five financial sectors that
are traded in the fund: interest rates, dollar trading, nondollar cross-rates,
exotic currencies, and stock index futures. Indeed, over 80% of the financial
market traded during the April - June period (37 of 46) were not profitable.
While nontrending price action will always characterize some markets, it is
unusual for such patterns to be so widespread for such an extended period.
While this recent period of poor performance is more severe than normal, we
do not believe it is evidence of a permanent change in market environment.
<PAGE>
ITEM III. QUANTITATIVE AND QUALITATIVE DISCLOSURES OF MARKET RISK
The Trust's a speculative commodity pool. The market sensitive
instruments held by it are acquired for speculative trading purposes,
and all or substantially all of the Trust's assets are subject
to the risk of trading loss. Unlike an operating company, the risk of
market sensitive instruments is integral, not incidental, to the
Trust's main line of business.
Market movements result in frequent changes in the fair market value
of the Trust's open positions and, consequently, in its earnings
and cash flow. The Trust's market risk is influenced by a wide
variety of factors, including the level and volatility of interest
rates, exchange rates, equity price levels, the market value of financial
instruments and contracts, the diversification effects among the
Trust's open positions and the liquidity of the markets in which
it trades.
The Trust rapidly acquires and liquidates both long and short
positions in a wide range of different markets. Consequently, it is
not possible to predict how a particular future market scenario will
affect performance, and the Trust's past performance is not
necessarily indicative of its future results.
Value at Risk is a measure of the maximum amount which the Partnership
could reasonable be expected to lose in a given market sector. However,
the inherent uncertainty of the Trust's speculative trading and
the recurrence in the markets traded by the Trust of market
movements far exceeding expectations could result in actual trading or
non trading losses far beyond the indicated Value at Risk or the
Trust's experience to date (i.e., "risk of ruin"). In light of
the foregoing as well as the risks and uncertainties intrinsic to all
future projections, the inclusion of the quantification included in this
section should not be considered to constitute any assurance or
representation that the Trust's losses in any market sector will
be limited to Value at Risk or by the Trust's attempts to manage
its market risk.
Exchange maintenance margin requirements have been used by the Partnership
as the measure of its Value at Risk. Maintenance margin requirements are
set by exchanges to equal or exceed the maximum losses reasonably expected
to be incurred in the fair value of any given contract in 95% - 99% of any
one day intervals. Maintenance margin has been used rather than the more
generally available initial margin, because initial margin includes a credit
risk component, which is not relevant to Value at Risk.
<PAGE>
THE TRUST'S TRADING VALUE AT RISK IN DIFFERENT MARKET SECTORS
The following table indicates the average, highest and lowest amounts of
trading Value at Risk associated with the Trust's open positions by market
category for six months ended June 30, 2000 and the actual trading Value at
Risk as of June 30, 2000. During the six months ended June 30, 2000, the
Trust's average total capitalization was approximately $41,829,208. As of
June 30, 2000, the Trust's total capitalization was approximately $33.6 million.
As of June 30, 2000
Average Value % of Average Highest Value Lowest Value
Market Sector at Risk Capitalization at Risk at Risk
Interest Rates $ 1.50 3.3% $ 1.80 $ 1.10
Currencies 3.60 8.2% 4.10 3.10
Stock Indices 0.40 0.9% 0.50 0.30
Metals 0.60 1.3% 0.60 0.50
Commodities 0.30 0.7% 0.40 0.20
Energies 0.50 1.2% 0.60 0.40
Total $ 6.90 15.6%
Average, highest and lowest Value at Risk amounts relate to the quarter-end
amounts for each calendar quarter-end during the period ended June 30, 2000.
Average Capitalization is the average of the Trust's capitalization at the
end of each calendar quarter through June 30, 2000. Dollar amounts represent
millions of dollars.
<PAGE>
THE MILLBURN WORLD RESOURCE TRUST INDEX
Financial Statements: Pages
Statements of Financial Condition at
June 30, 2000 and 1999 2
Statements of Operations for the Periods Ended
June 30, 2000 and 1999 3
Statements of Changes in Trust Capital for the
Periods Ended June 30, 2000 and 1999 5
Notes to Financial Statements 6
PART II. OTHER INFORMATION
ITEM I. Legal Proceedings - None
ITEM 2. Changes in Securities and Use of Proceeds - None
ITEM 3. Defaults Upon Senior Securities - None
ITEM 4. Submission of Matters to a Vote of Security Holders - None
ITEM 5. Other Information - None
ITEM 6. (a) Exhibits - None
(b) Reports on Form 8-K - None
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SIGNATURES
Pursuant to the requirements of Section 13 or 15(d) 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, in the City of New York
and State of New York on the 28th day of July 2000.
THE MILLBURN WORLD RESOURCE TRUST
By: Millburn Ridgefield Corporation,
Managing Owner
By /s/ Tod A. Tanis July 28, 2000
Tod A. Tanis
Vice-President
