<Page>
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 29, 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: 333-83011
WORLD MONITOR TRUST II--SERIES D
- --------------------------------------------------------------------------------
(Exact name of Registrant as specified in its charter)
Delaware 13-4058318
- --------------------------------------------------------------------------------
(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 __
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PART I. FINANCIAL INFORMATION
ITEM I. FINANCIAL STATEMENTS
WORLD MONITOR TRUST II--SERIES D
(a Delaware Business Trust)
STATEMENTS OF FINANCIAL CONDITION
(Unaudited)
<Table>
<Caption>
June 29, December 31,
2001 2000
- ---------------------------------------------------------------------------------------------------
ASSETS
Cash $3,618,896 $6,114,108
Net unrealized gain on open futures contracts 50,262 61,961
Accrued interest receivable 420 --
---------- ------------
Total assets $3,669,578 $6,176,069
---------- ------------
---------- ------------
LIABILITIES AND TRUST CAPITAL
Liabilities
Unrealized loss on open forward contracts $ 66,141 $ 10,235
Redemptions payable 48,454 10,586
Accrued expenses 36,822 57,594
Commissions and other transaction fees payable 24,027 37,521
Management fees payable 4,407 7,506
---------- ------------
Total liabilities 179,851 123,442
---------- ------------
Commitments
Trust capital
Limited interests (45,126.702 and 68,491.311 interests outstanding) 3,446,877 5,992,086
General interests (561 and 692 interests outstanding) 42,850 60,541
---------- ------------
Total trust capital 3,489,727 6,052,627
---------- ------------
Total liabilities and trust capital $3,669,578 $6,176,069
---------- ------------
---------- ------------
Net asset value per limited and general interest ('Interests') $ 76.38 $ 87.49
---------- ------------
---------- ------------
- ---------------------------------------------------------------------------------------------------
</Table>
The accompanying notes are an integral part of these statements.
2
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WORLD MONITOR TRUST II--SERIES D
(a Delaware Business Trust)
STATEMENTS OF OPERATIONS
(Unaudited)
<Table>
<Caption>
For the period from
March 13, 2000
(commencement For the period from For the period from
For the period from of operations) March 31, 2001 April 1, 2000
January 1, 2001 to to to to
June 29, 2001 June 30, 2000 June 29, 2001 June 30, 2000
- ------------------------------------------------------------------------------------------------------------------------
REVENUES
Net realized gain (loss) on
commodity transactions $(530,215) $ 481,187 $(331,160) $ 451,538
Change in net unrealized
gain/loss on open commodity
positions (67,605) (188,591) 370,192 (58,451)
Interest income 108,860 101,292 39,187 83,094
------------------- ------------------- ------------------- -------------------
(488,960) 393,888 78,219 476,181
------------------- ------------------- ------------------- -------------------
EXPENSES
Commissions and other
transaction fees 156,454 123,580 67,896 104,217
Incentive fees -- 27,238 -- 27,238
Management fees 30,242 21,266 12,900 17,826
General and administrative 36,951 26,004 15,545 21,423
------------------- ------------------- ------------------- -------------------
223,647 198,088 96,341 170,704
------------------- ------------------- ------------------- -------------------
Net income (loss) $(712,607) $ 195,800 $ (18,122) $ 305,477
------------------- ------------------- ------------------- -------------------
------------------- ------------------- ------------------- -------------------
ALLOCATION OF NET INCOME
(LOSS)
Limited interests $(705,222) $ 193,270 $ (17,753) $ 301,394
------------------- ------------------- ------------------- -------------------
------------------- ------------------- ------------------- -------------------
General interests $ (7,385) $ 2,530 $ (369) $ 4,083
------------------- ------------------- ------------------- -------------------
------------------- ------------------- ------------------- -------------------
NET INCOME (LOSS) PER WEIGHTED
AVERAGE LIMITED AND GENERAL
INTEREST
Net income (loss) per weighted
average limited and general
interest $ (11.65) $ 3.52 $ (.34) $ 5.45
------------------- ------------------- ------------------- -------------------
------------------- ------------------- ------------------- -------------------
Weighted average number of
limited and general
interests outstanding 61,163 55,667 52,938 56,077
------------------- ------------------- ------------------- -------------------
------------------- ------------------- ------------------- -------------------
- ------------------------------------------------------------------------------------------------------------------------
</Table>
STATEMENT OF CHANGES IN TRUST CAPITAL
(Unaudited)
<Table>
<Caption>
LIMITED GENERAL
INTERESTS INTERESTS INTERESTS TOTAL
- -----------------------------------------------------------------------------------------------------
Trust capital--December 31, 2000 69,183.311 $5,992,086 $60,541 $6,052,627
Contributions 2,040.729 162,000 -- 162,000
Net loss (705,222) (7,385) (712,607)
Redemptions (25,536.338) (2,001,987) (10,306) (2,012,293)
----------- ---------- --------- ----------
Trust capital--June 29, 2001 45,687.702 $3,446,877 $42,850 $3,489,727
----------- ---------- --------- ----------
----------- ---------- --------- ----------
- -----------------------------------------------------------------------------------------------------
</Table>
The accompanying notes are an integral part of these statements.
3
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WORLD MONITOR TRUST II--SERIES D
(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 state fairly the financial position of World
Monitor Trust II--Series D ('Series D') as of June 29, 2001 and the results of
its operations for the periods from January 1, 2001 to June 29, 2001
('Year-To-Date 2001'), March 13, 2000 (commencement of operations) to June 30,
2000 ('Year-To-Date 2000'), March 31, 2001 to June 29, 2001 ('Second Quarter
2001') and April 1, 2000 to June 30, 2000 ('Second Quarter 2000'). However, the
operating results for these 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 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 D's annual report on Form 10-K filed with
the Securities and Exchange Commission for the year ended December 31, 2000.
Certain balances from 2000 have been reclassified to conform with the current
financial statement presentation.
B. Related Parties
The Managing Owner of Series D is a wholly-owned subsidiary of Prudential
Securities Incorporated ('PSI'), which, in turn, is a wholly-owned subsidiary of
Prudential Securities Group Inc. Series D pays the Managing Owner or its
affiliates for services they perform for Series D, 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 D is limited to 1.5% of its net asset value during
the year (with a maximum of 1.25% attributable to non-legal and audit expenses).
Because general and administrative expenses exceeded this limit, all or a
portion of the expenses related to services the Managing Owner performed for
Series D for Year-To-Date 2001, Year-To-Date 2000, Second Quarter 2001 and
Second Quarter 2000 have been borne by the Managing Owner and its affiliates.
Additionally, PSI or its affiliates paid the costs of organizing Series D and
continue to pay the costs of offering its limited interests.
The costs incurred by Series D for services performed by the Managing Owner
and its affiliates for Series D were:
<Table>
<Caption>
Year-To-Date 2001 Year-To-Date 2000 Second Quarter 2001 Second Quarter 2000
----------------- ----------------- ------------------- -------------------
Commissions $ 145,380 $ 101,904 $62,013 $85,395
General and
administrative 1,410 2,674 (5,460) 2,471
----------------- ----------------- ------------------- -------------------
$ 146,790 $ 104,578 $56,553 $87,866
----------------- ----------------- ------------------- -------------------
----------------- ----------------- ------------------- -------------------
</Table>
Expenses payable to the Managing Owner and its affiliates (which are included
in accrued expenses) as of June 29, 2001 and December 31, 2000 were $4,406 and
$13,916, respectively.
All of the proceeds of the offering of Series D are received in the name of
Series D and are deposited in trading or cash accounts at PSI, Series D's
commodity broker. Series D's assets are maintained with PSI or, for margin
purposes, with the various exchanges on which Series D is permitted to trade.
Series D 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 D, acting through its trading advisor, executes over-the-counter,
spot, forward and/or option foreign exchange transactions with PSI. PSI then
engages in back-to-back trading with an affiliate,
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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 D pursuant to a line of
credit. PSI may require that collateral be posted against the marked-to-market
positions of Series D.
As of June 29, 2001, a non-U.S. affiliate of the Managing Owner owns 54.067
limited interests of Series D.
C. Derivative Instruments and Associated Risks
Series D is exposed to various types of risks 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 D'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 D's net assets being
traded, significantly exceeds Series D's future cash requirements since Series D
intends to close out its open positions prior to settlement. As a result, Series
D is generally subject only to the risk of loss arising from the change in the
value of the contracts. As such, Series D 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 D's commitments to purchase commodities
is limited to the gross or face amount of the contracts held. However, when
Series D 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 D 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 D holds and the liquidity and inherent
volatility of the markets in which Series D trades.
Credit risk
When entering into futures or forward contracts, Series D 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 non-performance 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, if Series D enters into forward
transactions, the sole counterparty is PSI, Series D's commodity broker. Series
D has entered into a master netting agreement with PSI and, as a result, when
applicable, 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 non-performance of all of Series D'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 D.
The Managing Owner attempts to minimize both credit and market risks by
requiring Series D 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 D, the Managing
Owner and the trading advisor, Series D 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 provides that Series D will liquidate its positions,
and eventually dissolve, if Series D experiences a decline in the net asset
value of 50% from the
5
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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 D.
PSI, when acting as Series D'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 D all assets of Series D relating to
domestic futures trading and is not allowed to commingle such assets with other
assets of PSI. At June 29, 2001, such segregated assets totalled $2,699,856.
Part 30.7 of the CFTC regulations also requires PSI to secure assets of Series D
related to foreign futures trading, which totalled $969,302 at June 29, 2001.
There are no segregation requirements for assets related to forward trading.
As of June 29, 2001, Series D's open futures and forward contracts mature
within one year.
The following table presents the fair value of futures and forward contracts
at June 29, 2001 and December 31, 2000:
<Table>
<Caption>
2001 2000
------------------------- -------------------------
Assets Liabilities Assets Liabilities
-------- ----------- -------- -----------
Futures Contracts:
Domestic exchanges
Interest rates $ 16,647 $ 475 $ 36,273 $ 151,533
Stock indices 280 -- 17,350 --
Currencies 153,488 71,768 215,083 10,850
Commodities 700 -- -- 2,813
Foreign exchanges
Interest rates 4,671 44,729 4,281 42,656
Stock indices 957 9,859 16,034 15,045
Commodities 350 -- -- 4,163
Forward Contracts:
Currencies -- 66,141 -- 10,235
-------- ----------- -------- -----------
$177,093 $ 192,972 $289,021 $ 237,295
-------- ----------- -------- -----------
-------- ----------- -------- -----------
</Table>
D. Financial Highlights
<Table>
<Caption>
Year-To-Date Second Quarter
2001 2001
------------ -------------------
Performance per Interest
Net asset value, beginning of period $ 87.49 $ 77.35
------------ ----------
Net realized loss and change in unrealized gain/loss
on commodity transactions (9.18) 0.12
Interest income 1.74 0.73
Expenses (3.67) (1.82)
------------ ----------
Decrease for the period (11.11) (0.97)
------------ ----------
Net asset value, end of period $ 76.38 $ 76.38
------------ ----------
------------ ----------
Total return (12.70)% (1.25)%
Ratio to average net assets
Interest income 4.39% 3.72%
Expenses 9.02% 9.14%
</Table>
6
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WORLD MONITOR TRUST II--SERIES D
(a Delaware Business Trust)
ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL
CONDITION AND RESULTS OF OPERATIONS
Liquidity and Capital Resources
Series D commenced operations on March 13, 2000 with gross proceeds of
$5,279,158 allocated to commodities trading. Additional contributions raised
through the continuous offering for the period from March 13, 2000 (commencement
of operations) to June 29, 2001 resulted in additional gross proceeds to Series
D of $3,111,494. Additional limited interests of Series D 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 D 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 2001, Second
Quarter 2001 and for the period from March 13, 2000 (commencement of operations)
to June 29, 2001 were $2,001,987, $1,835,069 and $3,308,897, respectively.
Redemptions of general interests for Second Quarter 2001 and for the period from
March 13, 2000 (commencement of operations) to June 29, 2001 were $10,306 and
$45,898, respectively. Additionally, Interests owned in one 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 June 29, 2001, 100% of Series D'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 trading in commodities. Inasmuch as the sole business of Series D
is to trade in commodities, Series D continues to own such liquid assets to be
used as margin. PSI credits Series D 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 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 D from promptly liquidating its commodity
futures positions.
Since Series D'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 D'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 D's
speculative trading, as well as the development of drastic market occurrences,
could result in monthly losses considerably beyond Series D'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
D 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 on the credit and market risks associated
with Series D's futures and forward contracts.
Series D does not have, nor does it expect to have, any capital assets.
7
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Results of Operations
The net asset value per Interest as of June 29, 2001 was $76.38, a decrease
of 12.70% from the December 31, 2000 net asset value per Interest of $87.49 and
a decrease of 1.25% from the March 30, 2001 net asset value per Interest of
77.35. Past performance is not necessarily indicative of future results.
Series D's gross trading gains (losses) were $(598,000), $293,000, $39,000
and $393,000 during Year-To-Date 2001, Year-To-Date 2000, Second Quarter 2001
and Second Quarter 2000, respectively. Due to the nature of Series D's trading
activities, a period to period comparison of its trading results is not
meaningful. However, a detailed discussion of Series D's Second Quarter 2001
trading results is presented below.
Quarterly Market Overview
The global economy remained sluggish during the second quarter of 2001 and as
a result, U.S. and global stock markets continued their downward trend. In the
U.S., heightened concerns regarding cutbacks in industrial production and future
sales caused downward revisions of corporate earnings. Business investment and
capital spending were weak and appeared to be decreasing further, reflecting in
part the downtrend in manufacturing output. Labor demand weakened considerably
and unemployment rose. Consumer spending held up relatively well despite
deceleration in income, reduced household net worth, and deterioration in
consumer sentiment. Economic activity in foreign industrial countries
decelerated as well, due in part to softening of the U.S. economy, weakness in
world high-tech markets and the downward adjustment in global equity prices.
Expansion in Europe, including the United Kingdom, and Canada slowed
significantly, while the Japanese economy slowed after a brief rebound late last
year. In addition, economic growth in many developing countries softened,
reflecting, in part, weaker external demand. In the U.S., overall inflation, as
measured by the Consumer Price Index (CPI), increased slightly, but was held
down by a deceleration in energy prices.
As a result of weak global economies, equity markets continued to perform
poorly during most of the quarter. In April, U.S. equity markets, particularly
the NASDAQ, rallied briefly after the U.S. Federal Reserve (Fed) called an
unscheduled meeting to lower interest rates before falling once again amid
continuing softening economies and fears of weak corporate earnings. Markets
rose briefly once again in June following the U.S. Federal Reserve's 25 basis
point interest rate cut. This smaller than anticipated rate reduction seemed to
signal a cessation of the Fed's recent series of aggressive rate cuts and caused
many investors to exit the bond market and invest in equities.
Interest rate instruments trended upward throughout most of the quarter as
major central banks cut short-term interest rates in an attempt to bolster
slowing economies. The U.S. Federal Reserve cut rates three times during the
quarter lowering rates from 4.50% to 3.75%. The European Central Bank and the
Bank of England cut interest rates by 25 basis points in May. This was the third
interest rate reduction in five months for the Bank of England. Global bonds
reversed downward towards quarter-end as the Fed cut rates by only 25 basis
points, driving many investors out of interest rate instruments and into
equities.
In foreign exchange markets, the Japanese yen started the quarter strong
before weakening against the U.S. dollar and other foreign currencies. This
followed a government report that Japan's GDP shrank in the first quarter,
generating fears that the Japanese economy may be slipping into recession. The
Canadian dollar posted gains against the U.S. dollar as economic reports showed
a 1.7% increase in exports to the U.S. in June. The British pound reached a 15
year low against the U.S. dollar in June amid concern that England would join
the European Monetary Union. The euro declined against the U.S. dollar as well,
amid signs of continuing weakness in the European economy.
Energy prices fell in response to growing inventory levels of crude oil and
related products. The American Petroleum Institute reported that the U.S.
gasoline supply had reached its highest level in two years. Swelling energy
inventories fed fears of an overall weakening demand for fuels in the slowing
global economy. Additionally, the market fell when tropical storm Allison caused
less damage along the Gulf Coast than was originally feared.
8
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Quarterly Performance of Series D
The following is a summary of performance for the major sectors in which
Series D traded:
Interest rates (-): Prices of most interest rate instruments trended upward
throughout most of the quarter due to short-term interest rate cuts by major
central banks in an attempt to bolster slowing economies. Short positions in
Australian government and euro bonds resulted in losses for Series D.
Currencies (+): The Canadian dollar rose against the U.S. dollar amid signs
of a weak U.S. economy and an increase of Canadian exports to the U.S.,
resulting in gains for long positions. Long Australian dollar positions resulted
in gains in April as prices rallied following a 50 basis point interest rate cut
by the Reserve Bank of Australia. Short British pound positions resulted in
gains as the pound reached a 15 year low against the U.S. dollar in June.
Metals (+): Rate cuts by U.S. and European central banks stirred fears of
inflation driving metal prices higher. Long copper positions resulted in gains.
Stock indices (+): Weak global economies and concerns regarding corporate
earnings resulted in continued poor performance in the equity markets. S&P 500,
London FTSE and MIB 30 index positions resulted in gains for Series D.
Series D commenced trading activities on March 13, 2000, and as such, a
comparison of Year-To-Date 2001 versus Year-To-Date 2000 operating results is
not meaningful. Additionally, Series D's average net assets levels during Second
Quarter 2001 have decreased from Second Quarter 2000, primarily due to
redemptions and poor trading performance since July 2000, offset, in part, by
contributions received. The declining asset levels have led to proportionate
decreases in the amount of interest earned by Series D, as well as commissions,
management fees and general and administrative expenses incurred, as further
discussed below.
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 monthly
according to interest rates, trading performance, contributions and redemptions.
Interest income was $109,000 and $101,000 for Year-To-Date 2001 and Year-To-Date
2000, respectively. Interest income decreased $44,000 during Second Quarter 2001
as compared to Second Quarter 2000 due to the decrease in net asset levels, as
discussed above, as well as the decline in interest rates during Second Quarter
2001 versus Second Quarter 2000.
Commissions are calculated on Series D'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, 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 $156,000 and $124,000 for
Year-To-Date 2001 and Year-To-Date 2000, respectively. Commissions and other
transaction fees decreased $36,000 during Second Quarter 2001 as compared to
Second Quarter 2000 due to the decrease in net asset levels, as discussed above.
All trading decisions for Series D are made by Bridgewater Associates, Inc.
(the 'Trading Advisor'). Management fees are calculated on Series D's net asset
value at the end of each week and, therefore, are affected by weekly trading
performance, contributions and redemptions. Management fees were $30,000 and
$21,000 for Year-To-Date 2001 and Year-To-Date 2000, respectively. Management
fees decreased $5,000 during Second Quarter 2001 as compared to Second Quarter
2000 due to the decrease in net asset levels, 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 the Trust, the
Managing Owner and the Trading Advisor. No incentive fees were paid during
Year-To-Date 2001. Incentive fees were $27,000 during Year-To-Date 2000, which
were incurred during the Second Quarter 2000.
General and administrative expenses were $37,000 and $26,000 for Year-To-Date
2001 and Year-To-Date 2000, respectively. General and administrative expenses
decreased $6,000 during Second Quarter 2001 as compared to Second Quarter 2000.
These expenses include reimbursement of costs incurred by the Managing Owner on
behalf of Series D, in addition to accounting, audit, tax and legal fees, as
well as printing and postage costs related to reports sent to limited owners.
The total amount of general and
9
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administrative expenses charged to Series D in any year is limited to 1.5% of
its net asset value during such year (with a maximum of 1.25% attributable to
non-legal and audit expenses). Since the net asset levels decreased during
Second Quarter 2001 versus Second Quarter 2000, as discussed above, the
application of the limit led to a decrease in general and administrative
expenses incurred by Series D and was the primary cause of the $6,000 decrease
mentioned above.
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.
10
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PART II. OTHER INFORMATION
Item 1. Legal Proceedings--There are no material legal proceedings pending by or
against Series D 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--None
Item 6. (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 Exhibits 3.1 and 4.1 to Series D's Registration Statement
on Form S-1, File No. 333-83011)
4.2-- Form of Request for Redemption (incorporated by reference to Exhibit 4.2
to Series D's Registration Statement on Form S-1, File No. 333-83011)
4.3-- Form of Exchange Request (incorporated by reference to Exhibit 4.3 to
Series D's Registration Statement on Form S-1, File No. 333-83011)
4.4-- Form of Subscription Agreement (incorporated by reference to Exhibit 4.4
to Series D's Registration Statement on Form S-1, File No. 333-83011)
(b) Reports on Form 8-K--None
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, Series D
has duly caused this report to be signed on its behalf by the undersigned
thereunto duly authorized.
WORLD MONITOR TRUST II--SERIES D
By: Prudential Securities Futures Management Inc.
A Delaware corporation, Managing Owner
By: /s/ Steven Carlino Date: August 10, 2001
---------------------------------
Steven Carlino
Vice President and Treasurer
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