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 March 30, 2001
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: 333-83015
WORLD MONITOR TRUST II-SERIES E
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(Exact name of Registrant as specified in its charter)
Delaware 13-4058319
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(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
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(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code (212) 778-7866
N/A
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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 ___
PART I. FINANCIAL INFORMATION
ITEM 1. FINANCIAL STATEMENTS
WORLD MONITOR TRUST II--SERIES E
(a Delaware Business Trust)
STATEMENTS OF FINANCIAL CONDITION
(Unaudited)
March 30, December 31,
2001 2000
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ASSETS
Cash $ 6,380,047 $5,485,764
Net unrealized gain on open futures contracts 829,093 958,857
Net unrealized gain on open forward contracts 11,839 --
Accrued interest receivable 1,073 --
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Total assets $ 7,222,052 $6,444,621
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LIABILITIES AND TRUST CAPITAL
Liabilities
Incentive fees payable $ 169,806 $ 238,625
Accrued expenses payable 56,694 47,623
Commissions and other transaction fees payable 40,012 36,522
Management fees payable 12,826 11,953
Net unrealized loss on open forward contracts -- 3,584
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Total liabilities 279,338 338,307
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Commitments
Trust capital
Limited interests (51,248.829 and 49,983.432 interests
outstanding) 6,842,577 6,016,047
General interests (750 interests outstanding) 100,137 90,267
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Total trust capital 6,942,714 6,106,314
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Total liabilities and trust capital $ 7,222,052 $6,444,621
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Net asset value per limited and general interest ('Interests') $ 133.52 $ 120.36
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The accompanying notes are an integral part of these statements.
2
WORLD MONITOR TRUST II--SERIES E
(a Delaware Business Trust)
STATEMENT OF OPERATIONS
(Unaudited)
For the period from
January 1, 2001 to
March 30, 2001
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REVENUES
Net realized gain on commodity transactions $ 1,041,516
Change in net unrealized gain/loss on open commodity positions (114,341)
Interest income 75,217
-------------------
1,002,392
-------------------
EXPENSES
Commissions and other transaction fees 98,586
Management fees 30,833
Incentive fees 169,806
General and administrative 23,213
-------------------
322,438
-------------------
Net income $ 679,954
-------------------
-------------------
ALLOCATION OF NET INCOME
Limited interests $ 670,084
-------------------
-------------------
General interests $ 9,870
-------------------
-------------------
NET INCOME PER WEIGHTED AVERAGE LIMITED AND GENERAL INTEREST
Net income per weighted average limited and general interest $ 13.32
-------------------
-------------------
Weighted average number of limited and general interests outstanding 51,048
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STATEMENT OF CHANGES IN TRUST CAPITAL
(Unaudited)
LIMITED GENERAL
INTERESTS INTERESTS INTERESTS TOTAL
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Trust capital--December 31, 2000 50,733.432 $6,016,047 $ 90,267 $6,106,314
Contributions 1,922.091 234,100 -- 234,100
Net income 670,084 9,870 679,954
Redemptions (656.694) (77,654) -- (77,654)
----------- ---------- --------- ----------
Trust capital--March 30, 2001 51,998.829 $6,842,577 $100,137 $6,942,714
----------- ---------- --------- ----------
----------- ---------- --------- ----------
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The accompanying notes are an integral part of these statements.
3
WORLD MONITOR TRUST II--SERIES E
(a Delaware Business Trust)
NOTES TO FINANCIAL STATEMENTS
March 30, 2001
(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 II--Series E ('Series E') as of March 30, 2001 and the
results of its operations for the period from January 1, 2001 to March 30, 2001.
Certain information and footnote disclosures normally included in annual
financial statements prepared in accordance with accounting principles generally
accepted in the United States of America have been omitted. It is suggested that
these financial statements be read in conjunction with the financial statements
and notes thereto included in Series E's annual report on Form 10-K filed with
the Securities and Exchange Commission for the year ended December 31, 2000.
B. Related Parties
The Managing Owner of Series E is a wholly-owned subsidiary of Prudential
Securities Incorporated ('PSI'), which, in turn, is a wholly-owned subsidiary of
Prudential Securities Group Inc. Series E pays the Managing Owner or its
affiliates for services they perform for Series E 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. However, the amount of general and administrative
expenses incurred by Series E is limited to 1.5% of its net asset value during
the year. Because general and administrative expenses exceeded this limit, a
portion of the expenses related to services the Managing Owner performed for
Series E for the period from January 1, 2001 to March 30, 2001 have been borne
by the Managing Owner and its affiliates. Additionally, PSI or its affiliates
paid the costs of organizing Series E and continue to pay the costs of offering
its limited interests.
The costs incurred by Series E for services performed by the Managing Owner
and its affiliates for Series E were:
For the period from
January 1, 2001 to
March 30, 2001
-------------------
Commissions $ 92,097
General and administrative 12,008
-------------------
$ 104,105
-------------------
-------------------
Expenses payable to the Managing Owner and its affiliates (which are included
in accrued expenses) as of March 31, 2001 and December 31, 2000 were $1,844 and
$0, respectively.
All of the proceeds of the offering of Series E are received in the name of
Series E and deposited in trading or cash accounts at PSI, Series E's commodity
broker. Series E's assets are maintained with PSI or, for margin purposes, with
the various exchanges on which Series E is permitted to trade. Series E receives
interest income on 100% of its average daily equity maintained in cash in its
accounts with PSI during each month at the 13-week Treasury bill discount rate.
This rate is determined weekly by PSI and represents the rate awarded to all
bidders during each week's auction of 13-week Treasury bills.
Series E, 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 E pursuant to a line of credit. PSI may require that collateral
be posted against the marked-to-market positions of Series E.
4
As of March 30, 2001, a non-U.S. affiliate of the Managing Owner owns 54.284
limited interests of Series E.
C. Derivative Instruments and Associated Risks
Series E 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 E's investment activities (credit risk).
Market risk
Trading in futures and forward (including foreign exchange) 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 many times that of Series E's net assets being
traded, significantly exceeds Series E's future cash requirements since Series E
intends to close out its open positions prior to settlement. As a result, Series
E is generally subject only to the risk of loss arising from the change in the
value of the contracts. As such, Series E considers the 'fair value' of its
derivative instruments to be the net unrealized gain or loss on the contracts.
The market risk associated with Series E's commitments to purchase commodities
is limited to the gross or face amount of the contracts held. However, when
Series E 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 E 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 E holds and the liquidity and inherent
volatility of the markets in which Series E trades.
Credit risk
When entering into futures or forward contracts, Series E is exposed to
credit risk that the counterparty to the contract will not meet its obligations.
The counterparty for futures contracts traded on United States and most foreign
futures exchanges is the clearinghouse associated with such exchanges. In
general, clearinghouses are backed by their corporate members who are required
to share any financial burden resulting from the nonperformance by one of their
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. On the other hand, the sole counterparty to Series E's
forward transactions is PSI, Series E's commodity broker. Series E has entered
into a master netting agreement with PSI and, as a result, presents unrealized
gains and losses on open forward positions as a net amount in the statements of
financial condition. The amount at risk associated with counterparty
nonperformance of all of Series E'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 E.
The Managing Owner attempts to minimize both credit and market risks by
requiring Series E 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 E, the Managing
Owner and the trading advisor, Series E shall automatically terminate the
trading advisor if the net asset value allocated to the trading advisor declines
by 40% from the value at the beginning of any year or since the commencement of
trading activities. Furthermore, the First Amended and Restated Declaration of
Trust and Trust Agreement of the Trust provides that Series E will liquidate its
positions, and eventually dissolve, if Series E experiences a decline in 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
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 E.
5
PSI, when acting as Series E's 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 E all assets of Series E relating to
domestic futures trading and is not allowed to commingle such assets with other
assets of PSI. At March 30, 2001, such segregated assets totalled $4,994,545.
Part 30.7 of the CFTC regulations also requires PSI to secure assets of Series E
related to foreign futures trading which totalled $2,214,595 at March 30, 2001.
There are no segregation requirements for assets related to forward trading.
As of March 30, 2001, Series E's open futures and forward contracts generally
mature within one year, although certain interest rate and currency futures
contracts have maturities as distant as September 2002.
At March 30, 2001 and December 31, 2000, the fair value of futures and
forward contracts was:
March 30, 2001 December 31, 2000
------------------------ --------------------------
Assets Liabilities Assets Liabilities
-------- ----------- ---------- -----------
Futures Contracts:
Domestic exchanges
Interest rates $ 87,159 $ -- $ 275,953 $ --
Stock indices 19,300 4,281 -- --
Currencies 300,360 25,399 260,258 28,675
Commodities 301,574 13,817 132,815 37,116
Foreign exchanges
Interest rates 130,860 13,066 309,325 --
Stock indices 19,496 -- 68,667 5,300
Commodities 99,545 72,638 20,396 37,466
Forward Contracts:
Currencies 29,298 17,459 33,172 36,756
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$987,592 $ 146,660 $1,100,586 $ 145,313
-------- ----------- ---------- -----------
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D. Financial Highlights
First Quarter 2001
-------------------
Performance per Interest
Net asset value, beginning of period $120.36
Net realized gain and change in net unrealized gain/loss
on commodity transactions 17.96
Interest income 1.48
Expenses (6.28)
-------------------
Increase for the period 13.16
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Net asset value, end of period $133.52
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-------------------
Total return 10.93%
Ratio to average net assets
Interest income 4.84%
Expenses, including 10.93% of incentive fees 20.75%
6
WORLD MONITOR TRUST II--SERIES E
(a Delaware Business Trust)
ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION
AND RESULTS OF OPERATIONS
Liquidity and Capital Resources
Series E commenced operations on April 6, 2000 with gross proceeds of
$5,157,459 allocated to commodities trading. Additional contributions raised
through the continuous offering for the period from April 6, 2000 (commencement
of operations) to March 30, 2001 resulted in additional proceeds to Series E of
$949,598. Additional limited interests of Series E will continue to be offered
on a weekly basis at the net asset value per Interest until the subscription
maximum is sold.
Limited interests in Series E 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 from April 6, 2000 (commencement of operations) to
March 30, 2001 were entirely on limited interests and totalled $880,065.
Redemptions for the period from January 1, 2001 to March 30, 2001 totalled
$77,654. Additionally, Interests owned in any series of World Monitor Trust II
(Series D, E or F) may be exchanged, without any charge, for Interests of one or
more other series of World Monitor Trust II 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 March 30, 2001, 100% of Series E's net assets were allocated to
commodities trading. A significant portion of the net assets is held in cash
which is used as margin for trading in commodities. Inasmuch as the sole
business of Series E is to trade in commodities, Series E continues to own such
liquid assets to be used as margin. PSI credits Series E with interest income on
100% of its average daily equity maintained in cash in its accounts with PSI
during each month at the 13-week Treasury bill discount rate. This rate is
determined weekly by PSI and represents the rate awarded to all bidders during
each week's auction of 13-week Treasury bills.
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 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 E from promptly liquidating its commodity
futures positions.
Since Series E's business is to trade futures and forward 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 E'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 E's
speculative trading as well as the development of drastic market occurrences
could result in monthly losses considerably beyond Series E'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
E and its trading advisor to abide by various trading limitations and policies
which include limiting margin amounts, trading only in liquid markets and
permitting the use of stop loss provisions. See Note C to the financial
statements for a further discussion of the credit and market risks associated
with Series E's futures and forward contracts.
Series E does not have, nor does it expect to have, any capital assets.
Results of Operations
Series E commenced trading operations on April 6, 2000, and as such no
comparative information is available for 2000.
7
The net asset value per Interest as of March 30, 2001 was $133.52, an
increase of 10.93% from the December 31, 2000 net asset value per Interest of
$120.36. Past performance is not necessarily indicative of future results.
Series E's gross trading gains were approximately $927,000 during the period
January 1, 2001 to March 30, 2001. A detailed discussion of the trading results
is presented below.
Quarterly Market Overview
The first quarter of 2001 brought a global economic slowdown to most world
markets, characterized by negative earning reports, layoffs and low
manufacturing numbers. Investor concerns regarding earnings sparked lower equity
prices and tighter terms on credit. Consumer spending and business capital
investment decelerated markedly, partly due to decreased consumer and business
confidence. This weakening, which was especially evident in durable goods
industries, led to large cutbacks in manufacturing outputs as numerous firms
attempted to cut excess inventory. In addition, elevated energy costs drained
consumer purchasing power and added to business costs, adversely affecting
profits and stock market valuations. Except for energy prices, inflation rates
remained subdued throughout the quarter.
In light of the rapid weakening in economic expansion in recent months and
deterioration in business and consumer confidence, the U.S. Federal Reserve
followed a relatively aggressive policy, lowering rates three times during the
first quarter of 2001. The Fed's attempt to avoid recession in the U.S. included
a surprising 50 basis point cut between regularly scheduled Federal Open Market
Committee meetings for a total 150 basis point reduction for the quarter. The
Fed saw little inflation risk due to reduced pressure on resources which stemmed
from sluggish performance of the economy and relatively subdued expectations of
inflation. Other central banks followed the Fed's lead lowering interest rates
as well. In Japan, ongoing economic weakness reinforced expectations that the
Bank of Japan (BOJ) would reinstate its zero interest rate policy. While it
stopped short of directly cutting rates, in March the BOJ announced that it
would take other measures to guide rates lower. As poor corporate earnings and
weak economic data were released throughout the quarter, investors moved assets
from equity markets to fixed income, driving bond markets higher.
Equity markets performed poorly across the board during the first quarter as
foreign stock markets generally followed the downtrend of the U.S. markets.
Technology stocks led the way and the NASDAQ fell to its lowest level in nearly
two years. Losses in the Dow Jones and NASDAQ brought these indices under the
key 10,000 and 2,000 levels, respectively, and the DAX, FTSE, CAC-40 and Nikkei
experienced similar losses.
In foreign exchange markets, the U.S. dollar rose slightly against many
foreign currencies throughout the quarter, reflecting expectations that some of
those economies might be adversely affected by slower economic growth in the
United States. Additionally, the U.S. dollar strengthened as investors around
the globe felt that it was safest in this time of economic uncertainty. The
dollar also rose versus the Japanese yen throughout the quarter, reflecting
continuing economic stagnation in Japan. The euro rose against the U.S. dollar
at the beginning of the quarter as prospects for U.S. short-term economic growth
deteriorated relative to those for Europe. Later in the quarter, the euro traded
lower against the dollar as weak economic data was released in Germany and the
European Central Bank decided to leave interest rates unchanged, which dampened
the outlook for European Union growth.
Energy prices generally remained high throughout most of the quarter. Crude
oil prices increased in January as OPEC announced a likely 5% cut in production.
In March, an agreement by OPEC members to cut production for the second time
this year was not enough to overcome concerns that slowing economies will reduce
oil consumption and prices declined slightly.
Quarterly Performance of Series E
The following is a summary of performance for the major sectors in which
Series E traded:
Interest rates (+): Fear of a U.S. recession and falling equity prices
together with the U.S. Federal Reserve's rate reduction strategy resulted in a
flight to quality in the bond market. Bond prices soared throughout the quarter
and gains resulted from long positions in U.S. Treasury notes, eurobonds and
Japanese government bonds.
Softs (+): Short cotton positions resulted in gains as prices declined amid a
decrease in U.S. export levels, which generally results in increased supply.
8
Currencies (+): Short Japanese yen positions resulted in gains as the yen
dropped due to continued signs of weakness in the Japanese economy and
expectations that the Bank of Japan would reinstate its zero interest rate
policy. The U.S. dollar hit its highest level against the Canadian dollar in
March and short positions in this currency resulted in gains.
Stock indices (+): Weakness in the U.S. economy and negative earning reports
from blue chip and technology companies caused U.S. and foreign equity markets
to tumble throughout the quarter. Short positions in the Hong Kong Hang Seng
Index, MATIF CAC-40 and TOPIX indices resulted in gains.
Metals (+): Gold markets declined in March as the Bank of England's auction
of a portion of its reserves was met with a disappointing response. In addition,
signs of a global economic slowdown, which could lead to a decline in demand,
helped push gold prices lower. Short gold positions resulted in gains toward
quarter-end.
Energies (-): Short energy positions resulted in losses as prices generally
remained high during the first quarter of the year.
Interest income is earned on the average daily equity maintained in cash with
PSI at the 13-week Treasury bill discount rate and, therefore, varies weekly
according to interest rates, trading performance, contributions and redemptions.
Interest income was $75,217 for the period from January 1, 2001 to March 30,
2001.
Commissions are calculated on Series E's net asset value at the end of each
week and therefore, vary according to weekly trading performance, contributions
and redemptions. Other transaction fees consist of National Futures Association,
exchange and clearing fees as well as floor brokerage costs and give-up charges,
which are based on the number of trades the trading advisor executes, as well as
which exchange, clearing firm or bank on, or through, which the contract is
traded. Commissions and other transaction fees were $98,586 for the period from
January 1, 2001 to March 30, 2001.
All trading decisions for Series E are made by Graham Capital Management,
L.P. (the 'Trading Advisor'). Management fees are calculated on Series E's net
asset value at the end of each week and therefore, are affected by weekly
trading performance, contributions and redemptions. Management fees were $30,833
for the period from January 1, 2001 to March 30, 2001.
Incentive fees are based on the 'New High Net Trading Profits' generated by
the Trading Advisor, as defined in the advisory agreement among the Trust, the
Managing Owner and the Trading Advisor. Incentive fees generated for the period
from January 1, 2001 to March 30, 2001 were $169,806.
General and administrative expenses were $23,213 for the period from January
1, 2001 to March 30, 2001. These expenses include reimbursement of costs
incurred by the Managing Owner on behalf of Series E, in addition to accounting,
audit, tax and legal fees as well as printing and postage costs related to
reports sent to limited owners. The amount of general and administrative
expenses charged to Series E is limited to 1.5% of its net asset value during
any year.
Item 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
Information regarding quantitative and qualitative disclosures about market
risk is not required pursuant to Item 305(e) of Regulation S-K.
9
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 February 2001 and March 2001, respectively,
Alan J. Brody and A. Laurence Norton, Jr. resigned as Directors of
Prudential Securities Futures Management Inc.
Item 6. Exhibits and Reports on Form 8-K
(a) Exhibits--
3.1
and
4.1--First Amended and Restated Declaration of Trust and Trust
Agreement of World Monitor Trust II dated as of May 15, 1999
(incorporated by reference to Exhibit 3.1 and 4.1 to Series
E's Registration Statement on Form S-1, File No. 333-83015)
4.2--Form of Request for Redemption (incorporated by
reference to Exhibit 4.2 to Series E's Registration
Statement on Form S-1, File No. 33-83015)
4.3--Form of Exchange Request (incorporated by
reference to Exhibit 4.3 to Series E's
Registration Statement on Form S-1, File No. 333-83015)
4.4--Form of Subscription Agreement
(incorporated by reference to Exhibit 4.4
to Series E's Registration Statement on
Form S-1, File No. 333-83015)
(b) Reports on Form 8-K--None
10
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 II--SERIES E
By: Prudential Securities Futures Management Inc.
A Delaware corporation, Managing Owner
By: /s/ Steven Carlino Date: May 11, 2001
----------------------------------------
Steven Carlino
Vice President and Treasurer
11