<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 September 28, 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: 0-32685
WORLD MONITOR TRUST II--SERIES D
- --------------------------------------------------------------------------------
(Exact name of Registrant as specified in its charter)
Delaware 13-4058318
- --------------------------------------------------------------------------------
(State or other jurisdiction of incorporation or organization)
(I.R.S. Employer Identification No.)
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 __
<Page>
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>
September 28, December 31,
2001 2000
- ----------------------------------------------------------------------------------------------------
ASSETS
Cash $ 3,676,090 $6,114,108
Net unrealized gain on open futures contracts 192,061 61,961
Accrued interest receivable 407 --
------------- ------------
Total assets $ 3,868,558 $6,176,069
------------- ------------
------------- ------------
LIABILITIES AND TRUST CAPITAL
Liabilities
Unrealized loss on open forward contracts $ 130,195 $ 10,235
Accrued expenses 44,063 57,594
Commissions and other transaction fees payable 18,821 37,521
Management fees payable 3,523 7,506
Redemptions payable -- 10,586
------------- ------------
Total liabilities 196,602 123,442
------------- ------------
Commitments
Trust capital
Limited interests (46,304.379 and 68,491.311 interests
outstanding) 3,634,748 5,992,086
General interests (474 and 692 interests outstanding) 37,208 60,541
------------- ------------
Total trust capital 3,671,956 6,052,627
------------- ------------
Total liabilities and trust capital $ 3,868,558 $6,176,069
------------- ------------
------------- ------------
Net asset value per limited and general interest ('Interests') $ 78.50 $ 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
For the period from (commencement For the period from For the period from
January 1, 2001 to of operations) to June 30, 2001 to July 1, 2000 to
September 28, 2001 September 29, 2000 September 28, 2001 September 29, 2000
- ------------------------------------------------------------------------------------------------------------------------
REVENUES
Net realized gain (loss) on
commodity transactions $(453,354) $(750,386) $ 76,861 $(1,231,573)
Change in net unrealized
gain/loss on open commodity
positions 10,140 26,338 77,745 214,929
Interest income 139,027 192,174 30,167 90,882
------------------- ------------------- ------------------- -------------------
(304,187) (531,874) 184,773 (925,762)
------------------- ------------------- ------------------- -------------------
EXPENSES
Commissions and other
transaction fees 216,092 209,549 59,638 85,969
General and administrative 50,579 48,553 13,628 22,549
Management fees 41,550 39,932 11,308 18,666
Incentive fees -- 27,238 -- --
------------------- ------------------- ------------------- -------------------
308,221 325,272 84,574 127,184
------------------- ------------------- ------------------- -------------------
Net income (loss) $(612,408) $(857,146) $ 100,199 $(1,052,946)
------------------- ------------------- ------------------- -------------------
------------------- ------------------- ------------------- -------------------
ALLOCATION OF NET INCOME
(LOSS)
Limited interests $(605,925) $(846,926) $ 99,297 $(1,040,196)
------------------- ------------------- ------------------- -------------------
------------------- ------------------- ------------------- -------------------
General interests $ (6,483) $ (10,220) $ 902 $ (12,750)
------------------- ------------------- ------------------- -------------------
------------------- ------------------- ------------------- -------------------
NET INCOME (LOSS) PER WEIGHTED
AVERAGE LIMITED AND GENERAL
INTEREST
Net income (loss) per weighted
average limited and general
interest $ (10.88) $ (14.46) $ 2.17 $ (16.75)
------------------- ------------------- ------------------- -------------------
------------------- ------------------- ------------------- -------------------
Weighted average number of
limited and general
interests outstanding 56,300 59,263 46,200 62,848
------------------- ------------------- ------------------- -------------------
------------------- ------------------- ------------------- -------------------
<Caption>
- ------------------------------------------------------------------------------------------------------------------------
</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 5,061.684 395,300 1,582 396,882
Net loss (605,925) (6,483) (612,408)
Redemptions (27,466.616) (2,146,713) (18,432) (2,165,145)
----------- ---------- --------- ----------
Trust capital--September 28, 2001 46,778.379 $3,634,748 $37,208 $3,671,956
----------- ---------- --------- ----------
----------- ---------- --------- ----------
- -----------------------------------------------------------------------------------------------------
</Table>
The accompanying notes are an integral part of these statements.
3
<Page>
WORLD MONITOR TRUST II--SERIES D
(a Delaware Business Trust)
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 28, 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 September 28, 2001 and the results
of its operations for the periods from January 1, 2001 to September 28, 2001
('Year-To-Date 2001'), March 13, 2000 (commencement of operations) to September
29, 2000 ('Year-To-Date 2000'), July 1, 2001 to September 28, 2001 ('Third
Quarter 2001') and July 1, 2000 to September 29, 2000 ('Third 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.
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 other than 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 and certain third party costs for Year-To-Date 2001, Year-To-Date
2000, Third Quarter 2001 and Third 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 Year-To-Date Third Quarter Third Quarter
2001 2000 2001 2000
------------ ------------ ------------- -------------
Commissions $199,740 $191,621 $54,360 $89,717
General and administrative -- 6,253 (1,410) 3,579
------------ ------------ ------------- -------------
$199,740 $197,874 $52,950 $93,296
------------ ------------ ------------- -------------
------------ ------------ ------------- -------------
</Table>
Expenses payable to the Managing Owner and its affiliates (which are included
in accrued expenses) as of September 28, 2001 and December 31, 2000 were $1,512
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, Prudential-Bache Global
Markets Inc. ('PBGM'). PBGM attempts to earn a profit on such transactions.
4
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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 September 28, 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 September 28, 2001, such segregated assets totalled
$2,284,658. Part 30.7 of the CFTC regulations also requires PSI to secure assets
of Series D related to foreign futures trading, which totalled $1,583,493 at
September 28, 2001. There are no segregation requirements for assets related to
forward trading.
As of September 28, 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 September 28, 2001 and December 31, 2000:
<Table>
<Caption>
2001 2000
------------------------- -------------------------
Assets Liabilities Assets Liabilities
-------- ----------- -------- -----------
Futures Contracts:
Domestic exchanges
Interest rates $ 90,288 $ -- $ 36,273 $ 151,533
Stock indices 1,103 -- 17,350 --
Currencies 50,138 96,283 215,083 10,850
Commodities 7,850 -- -- 2,813
Foreign exchanges
Interest rates 137,110 6,798 4,281 42,656
Stock indices 23,882 15,548 16,034 15,045
Commodities 319 -- -- 4,163
Forward Contracts:
Currencies -- 130,195 -- 10,235
-------- ----------- -------- -----------
$310,690 $ 248,824 $289,021 $ 237,295
-------- ----------- -------- -----------
-------- ----------- -------- -----------
</Table>
D. Financial Highlights
<Table>
<Caption>
Year-To-Date Third Quarter
2001 2001
------------ ------------------
Performance per Interest
Net asset value, beginning of period $ 87.49 $ 76.38
------------ ----------
Net realized gain (loss) and change in unrealized gain
on commodity transactions (5.88) 3.30
Interest income 2.39 .65
Expenses (5.50) (1.83)
------------ ----------
Increase (decrease) for the period (8.99) 2.12
------------ ----------
Net asset value, end of period $ 78.50 $ 78.50
------------ ----------
------------ ----------
Total return (10.28)% 2.78%
Ratio to average net assets
Interest income 4.10% 3.33%
Expenses 9.08% 9.34%
</Table>
6
<Page>
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
$5,280,158 allocated to commodities trading. Additional contributions raised
through the continuous offering for the period from March 13, 2000 (commencement
of operations) to September 28, 2001 resulted in additional gross proceeds to
Series D of $3,346,376. 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, Third
Quarter 2001 and for the period from March 13, 2000 (commencement of operations)
to September 28, 2001 were $2,146,713, $144,726 and $3,453,623, respectively.
Redemptions of general interests for Year-To-Date 2001, Third Quarter 2001 and
for the period from March 13, 2000 (commencement of operations) to September 28,
2001 were $18,432, $8,126 and $54,024, 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 September 28, 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
After the attacks of September 11th, the Managing Owner contacted Series D's
trading advisor who reported that there was no material disruption to its
ability to follow its trading systems and to function normally. Additionally,
there was no material disruption to the Managing Owner's ability to maintain
operations and perform its functions as a result of the tragic events.
The net asset value per Interest as of September 28, 2001 was $78.50, a
decrease of 10.28% from the December 31, 2000 net asset value per Interest of
$87.49 and an increase of 2.78% from the June 29, 2001 net asset value per
Interest of $76.38. Past performance is not necessarily indicative of future
results.
Series D's gross trading gains (losses) were $(443,000), $(724,000), $155,000
and $(1,017,000) during Year-To-Date 2001, Year-To-Date 2000, Third Quarter 2001
and Third 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 Third Quarter 2001
trading results is presented below.
Quarterly Market Overview
The pace of global economic activity remained slow throughout the third
quarter of 2001. Weakened business expenditure and efforts to reduce inventory
resulted in decreased manufacturing activity. Labor demand declined in most
sectors and the unemployment rate edged up to 4.9% in August. After a period of
strength, the U.S. dollar fell against most major foreign currencies,
particularly the Japanese yen, the euro and the Swiss franc. Global equity
markets fell throughout most of the quarter while short- and long-term interest
rates declined pushing bond prices higher. Consumer spending weakened slightly,
but generally remained strong through most of the quarter, supported in part by
low mortgage rates, tax rebates, declining energy prices and widespread
discounting of retail prices. Consumer confidence remained at moderately
favorable levels during the first two months of the quarter and helped moderate
economic weakness. Growth in many foreign industrial economies, including Japan
and much of Europe, weakened during the third quarter as well. Financial
conditions deteriorated markedly in Argentina and many other developing
countries.
The terrorist attacks of September 11th further weakened the sluggish U.S.
and global economies. Equity markets throughout the world plunged in the week
following the attacks. The Dow Jones industrial average suffered its worst
percentage loss since the Great Depression due to uncertainty about how the
economy would perform as a result of these attacks and other threats of
terrorism. U.S. equity indices recovered somewhat at the end of September as
interest rate cuts by the U.S. Federal Reserve and fiscal stimuli by Congress
combined to help fuel an economic rebound. Global equity markets followed suit,
rebounding from earlier lows as well.
The U.S. dollar's downward trend against many foreign currencies accelerated
after September 11th. As a result of the attacks, many investors switched
exposure from the U.S. dollar to other currencies such as the Swiss franc,
British pound and euro, all of which rose against the U.S. dollar.
U.S. and European interest rate instruments rose throughout most of the
quarter as data indicated persistent weakness in the U.S. economy. The U.S.
Federal Reserve lowered interest rates by 25 basis points in August in an effort
to stimulate the economy. Interest rate instruments continued to rally in the
wake of September 11th as the U.S. Federal Reserve moved to inject liquidity
into the economy, cutting interest rates 50 basis points on September 17th to
3%. This move was soon followed by the Central Bank of Canada, the European
Central Bank and the Swiss National Central Bank, who also lowered their rates
0.50%.
Energy prices began the quarter low, but peaked sharply immediately after the
September 11th attacks amid worries of a potential interruption in supplies.
Energy prices soon reversed course as concerns of decreased demand caused by a
global economic recession outweighed fears of scarcity. Two weeks after the
attacks, oil prices plunged more than 12% to a 22-month low of $23 a barrel.
OPEC leaders announced that with prices within their $22 to $28 a barrel target,
they see no need to alter output and assured that there will be no disruption in
supplies.
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 (+): Long European and Australian bond positions resulted in
gains throughout the quarter as many central banks lowered interest rates in an
effort to boost weakening economies.
Metals (+): Short copper positions resulted in gains as fears of a global
economic recession and decreasing industrial production lowered prices of
industrial commodities.
Currencies (-): Short Japanese yen, euro, Canadian dollar and Australian
dollar positions resulted in losses for Series D as these currencies
strengthened against the U.S. dollar. The U.S. dollar continued to decline
against foreign currencies after September 11th as investors sought to decrease
their exposure to the dollar.
Indices (-): The attacks on September 11th further weakened slowing global
economies and declining equity markets. Long positions in the S&P 500, London
FTSE, Tokyo TOPIX and MIB 30 index incurred losses 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 asset levels during Third
Quarter 2001 have decreased from Third 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 $139,000 and $192,000 for Year-To-Date 2001 and Year-To-Date
2000, respectively. Interest income decreased $61,000 during Third Quarter 2001
as compared to Third Quarter 2000 due to the decrease in net asset levels, as
discussed above, as well as the decline in interest rates during Third Quarter
2001 versus Third 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 $216,000 and $210,000 for
Year-To-Date 2001 and Year-To-Date 2000, respectively. Commissions and other
transaction fees decreased $26,000 during Third Quarter 2001 as compared to
Third 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 $42,000 and
$40,000 for Year-To-Date 2001 and Year-To-Date 2000, respectively. Management
fees decreased $7,000 during Third Quarter 2001 as compared to Third 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.
General and administrative expenses were $51,000 and $49,000 for Year-To-Date
2001 and Year-To-Date 2000, respectively and decreased $9,000 during Third
Quarter 2001 as compared to Third 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 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 other than legal and audit expenses). Since the net asset
levels decreased during Third Quarter 2001 versus Third
9
<Page>
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 $9,000 decrease mentioned above. The portion of general and
administrative expenses that exceeded the limit discussed above was borne by the
Managing Owner or its affiliates.
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--The following table presents sales of
unregistered interests (i.e., general interests) exempt from
registration under section 4(2) of the Securities Act of 1933 during the
period from June 30, 2001 to September 28, 2001.
<Table>
<Caption>
Amount of
---------------------------------
Date of Sale Interests sold Cash received
-------------------------------- -------------- -------------
August 10, 2001 20 $ 1,582
</Table>
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: November 9, 2001
----------------------------------------
Steven Carlino
Vice President and Treasurer
12