<Page>
2001
- -------------------------------------------------------------------------------
World Monitor Trust II--Series D Annual
Report
LETTER TO LIMITED OWNERS FOR
WORLD MONITOR TRUST II--SERIES D
1
<Page>
PricewaterhouseCoopers (LOGO)
PricewaterhouseCoopers LLP
1177 Avenue of the Americas
New York, NY 10036
Telephone (646) 471-4000
Facsimile (646) 471-4100
Report of Independent Accountants
To the Managing Owner and Limited Owners
of World Monitor Trust II--Series D
In our opinion, the accompanying statements of financial condition, including
the condensed schedule of investments, and the related statements of operations
and changes in trust capital present fairly, in all material respects, the
financial position of World Monitor Trust II--Series D at December 31, 2001 and
2000 and the results of its operations and changes in trust capital for the year
ended December 31, 2001 and for the period from March 13, 2000 (commencement of
operations) to December 31, 2000 in conformity with accounting principles
generally accepted in the United States of America. These financial statements
are the responsibility of the Managing Owner; our responsibility is to express
an opinion on these financial statements based on our audits. We conducted our
audits of these statements in accordance with auditing standards generally
accepted in the United States of America, which require that we plan and perform
the audit to obtain reasonable assurance about whether the financial statements
are free of material misstatement. An audit includes examining, on a test basis,
evidence supporting the amounts and disclosures in the financial statements,
assessing the accounting principles used and significant estimates made by the
Managing Owner, and evaluating the overall financial statement presentation. We
believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
January 25, 2002
2
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WORLD MONITOR TRUST II--SERIES D
(a Delaware Business Trust)
STATEMENTS OF FINANCIAL CONDITION
<Table>
<Caption>
December 31,
---------------------------
2001 2000
- ----------------------------------------------------------------------------------------------------
ASSETS
Cash $4,474,005 $ 6,114,108
Net unrealized gain (loss) on open futures contracts (61,284) 61,961
------------ -----------
Total assets $4,412,721 $ 6,176,069
------------ -----------
------------ -----------
LIABILITIES AND TRUST CAPITAL
Liabilities
Accrued expenses $ 52,055 $ 57,594
Redemptions payable 22,989 10,586
Commissions and other transaction fees payable 22,857 37,521
Unrealized loss on open forwards contracts 14,433 10,235
Management fees payable 4,465 7,506
------------ -----------
Total liabilities 116,799 123,442
------------ -----------
Commitments
Trust capital
Limited interests (51,950.299 and 68,491.311 interests outstanding) 4,251,727 5,992,086
General interests (540 and 692 interests outstanding) 44,195 60,541
------------ -----------
Total trust capital 4,295,922 6,052,627
------------ -----------
Total liabilities and trust capital $4,412,721 $ 6,176,069
------------ -----------
------------ -----------
Net asset value per limited and general interests ('Interests') $ 81.84 $ 87.49
------------ -----------
------------ -----------
</Table>
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements.
3
<Page>
WORLD MONITOR TRUST II--SERIES D
(a Delaware Business Trust)
Condensed Schedule of Investments
At December 31, 2001
<Table>
<Caption>
Net Unrealized
Gain (Loss)
as a % of Net Unrealized
Futures and Forward Contracts Trust Capital Gain (Loss)
- ------------------------------------------------------------------------------------------------------
Futures contracts purchased:
Stock indices $ 11,982
Interest rates (67,480)
Currencies (107,230)
--------------
Net unrealized loss on futures contracts purchased (3.79)% (162,728)
--------------
Futures contracts sold:
Stock indices (2,981)
Interest rates 15,412
Currencies 78,413
Commodities 10,600
--------------
Net unrealized gain on futures contracts sold 2.36 101,444
------ --------------
Net unrealized loss on futures contracts (1.43)% $ (61,284)
------ --------------
------ --------------
Forward contracts purchased 0.11% $ 4,929
--------------
Forward contracts sold (0.45) (19,362)
------ --------------
Net unrealized loss on forward contracts (0.34)% $ (14,433)
------ --------------
------ --------------
Settlement Currency--Futures Contracts
British pound 0.71% $ 30,369
Canadian dollar 0.48 20,535
Euro (2.32) (99,368)
Japanese yen 0.01 522
Australian dollar (0.05) (2,248)
U.S. dollar (0.26) (11,094)
------ --------------
Total (1.43)% $ (61,284)
------ --------------
------ --------------
Settlement Currency--Forward Contracts
U.S. dollar (0.34)% $ (14,433)
------ --------------
------ --------------
- ------------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements.
</Table>
4
<Page>
WORLD MONITOR TRUST II--SERIES D
(a Delaware Business Trust)
STATEMENTS OF OPERATIONS
<Table>
<Caption>
For the period
from March 13, 2000
Year Ended (commencement of
December 31, operations) to
2001 December 31, 2000
- -----------------------------------------------------------------------------------------------------
REVENUES
Net realized loss on commodity transactions $ (93,119) $ (708,702)
Change in net unrealized gain/(loss) on open commodity
positions (127,443) 51,726
Interest income 159,873 281,858
------------ --------------------
(60,689) (375,118)
------------ --------------------
EXPENSES
Commissions and other transaction fees 282,939 303,680
General and administrative 119,513 119,152
Management fees 54,595 58,273
Incentive fees -- 27,238
------------ --------------------
457,047 508,343
General and administrative expenses borne by the managing
owner and its affiliates (53,745) (48,938)
------------ --------------------
Net expenses 403,302 459,405
------------ --------------------
Net loss $ (463,991) $ (834,523)
------------ --------------------
------------ --------------------
ALLOCATION OF NET LOSS
Limited interests $ (459,082) $ (824,648)
------------ --------------------
------------ --------------------
General interests $ (4,909) $ (9,875)
------------ --------------------
------------ --------------------
NET LOSS PER WEIGHTED AVERAGE LIMITED AND GENERAL INTEREST
Net loss per weighted average limited and general interest $ (8.54) $ (13.32)
------------ --------------------
------------ --------------------
Weighted average number of limited and general interests
outstanding 54,361 62,661
------------ --------------------
------------ --------------------
- -----------------------------------------------------------------------------------------------------
</Table>
STATEMENTS OF CHANGES IN TRUST CAPITAL
<Table>
<Caption>
LIMITED GENERAL
INTERESTS INTERESTS INTERESTS TOTAL
- -------------------------------------------------------------------------------------------------------
Trust capital--December 31, 1999 10.000 $ -- $ 1,000 $ 1,000
Contributions 82,667.756 8,123,644 105,008 8,228,652
Net loss (824,648) (9,875 ) (834,523)
Redemptions (13,494.445) (1,306,910) (35,592 ) (1,342,502)
----------- ----------- --------- -----------
Trust capital--December 31, 2000 69,183.311 5,992,086 60,541 6,052,627
Contributions 12,392.912 1,000,400 6,995 1,007,395
Net loss (459,082) (4,909 ) (463,991)
Redemptions (29,085.924) (2,281,677) (18,432 ) (2,300,109)
----------- ----------- --------- -----------
Trust capital--December 31, 2001 52,490.299 $ 4,251,727 $ 44,195 $ 4,295,922
----------- ----------- --------- -----------
----------- ----------- --------- -----------
- -------------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements.
</Table>
5
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WORLD MONITOR TRUST II--SERIES D
(a Delaware Business Trust)
NOTES TO FINANCIAL STATEMENTS
A. General
The Trust, Trustee, Managing Owner and Affiliates
World Monitor Trust II (the 'Trust') is a business trust organized under the
laws of Delaware on April 22, 1999. The Trust consists of three separate and
distinct series ('Series'): Series D, E and F. Series D, E and F commenced
trading operations on March 13, 2000, April 6, 2000 and March 1, 2000,
respectively, and each Series will continue to exist until terminated pursuant
to the provisions of Article XIII of the First Amended and Restated Declaration
of Trust and Trust Agreement (the 'Trust Agreement'). The assets of each Series
are segregated from those of the other Series, separately valued and
independently managed. Each Series was formed to engage in the speculative
trading of a diversified portfolio of futures, forward and options contracts,
and may, from time to time, engage in cash and spot transactions. The trustee
of the Trust is Wilmington Trust Company. The managing owner is Prudential
Securities Futures Management Inc. (the 'Managing Owner'), a wholly-owned
subsidiary of Prudential Securities Incorporated ('PSI') which, in turn, is an
indirect wholly-owned subsidiary of Prudential Financial, Inc. PSI is the
selling agent for the Trust, as well as its commodity broker ('Commodity
Broker').
The Offering
Up to $50,000,000 of limited interests in each Series ('Limited Interests')
are being offered (totalling $150,000,000) ('Subscription Maximum'). Limited
Interests are being offered to investors who meet certain established
suitability standards, with a minimum initial subscription of $5,000 ($2,000 for
an individual retirement account), although the minimum purchase for any single
Series is $1,000. General interests are also being sold exclusively to the
Managing Owner. Limited Interests and general interests are sometimes
collectively referred to as 'Interests'.
Initially, the Limited Interests for each Series were offered for a period of
up to 180 days after the date of the Prospectus ('Initial Offering Period') at
$100 per Interest. The subscription minimum of $5,000,000 for each Series was
reached during the Initial Offering Period permitting Series D, E and F to
commence trading operations. Series D completed its initial offering on March
13, 2000 with gross proceeds of $5,279,158, which was fully allocated to
commodities trading. Until the Subscription Maximum for each Series is reached,
each Series' Limited Interests will continue to be offered on a weekly basis at
the then current net asset value per Interest ('Continuous Offering Period').
The Managing Owner is required to maintain at least a 1% interest in the
capital, profits and losses of each Series so long as it is acting as the
Managing Owner, and it will make such contributions (and in return will receive
general interests) as are necessary to meet this requirement.
The Trading Advisor
Each Series has its own independent commodity trading advisor that makes that
Series' trading decisions. The Managing Owner, on behalf of Series D, entered
into an advisory agreement with Bridgewater Associates, Inc. (the 'Trading
Advisor') to make the trading decisions for Series D. The advisory agreement may
be terminated for various reasons, including at the discretion of the Managing
Owner. The Managing Owner has allocated 100% of the proceeds from the initial
and continuous offering of Series D to the Trading Advisor and it is currently
contemplated that the Trading Advisor will continue to be allocated 100% of
additional capital raised for Series D during the Continuous Offering Period.
Exchanges, Redemptions and Termination
Interests owned in one series of the Trust (Series D, E or F) may be
exchanged, without any charge, for Interests of one or more other Series on a
weekly basis for as long as Limited Interests in those Series are being offered
to the public. Exchanges are made at the applicable Series' then current net
asset value per Interest as of the close of business on the Friday immediately
preceding the week in which the exchange request is effected. The exchange of
Interests is treated as a redemption of Interests in one Series (with the
related tax consequences) and the simultaneous purchase of Interests in the
other Series.
6
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Redemptions are permitted on a weekly basis. Limited Interests redeemed on or
before the end of the first and second successive six-month periods after their
effective dates of purchase are subject to a redemption fee of 4% and 3%,
respectively, of the net asset value at which they are redeemed. Redemption fees
are paid to the Managing Owner.
In the event that the estimated net asset value per Interest of a Series at
the end of any business day, after adjustments for distributions, declines by
50% or more since the commencement of trading activities or the first day of a
fiscal year, the Series will automatically terminate.
B. Summary of Significant Accounting Policies
Basis of accounting
The financial statements of Series D are prepared in accordance with
accounting principles generally accepted in the United States of America. Such
principles require the Managing Owner to make estimates and assumptions that
affect the reported amounts of liabilities at the date of the financial
statements and the reported amounts of expenses during the reporting period.
Actual results could differ from these estimates.
Commodity futures and forward transactions are reflected in the accompanying
statements of financial condition on trade date. The difference between the
original contract amount and market value is reflected as net unrealized gain or
loss. The market value of each contract is based upon the closing quotation on
the exchange, clearing firm or bank on, or through, which the contract is
traded.
The weighted average number of limited and general interests outstanding was
computed for purposes of disclosing net loss per weighted average limited and
general interest. The weighted average limited and general interests are equal
to the number of Interests outstanding at period end, adjusted proportionately
for Interests subscribed and redeemed based on their respective time outstanding
during such period.
Series D has elected not to provide a Statement of Cash Flows as permitted by
Statement of Financial Accounting Standards No. 102, 'Statement of Cash
Flows--Exemption of Certain Enterprises and Classification of Cash Flows from
Certain Securities Acquired for Resale.'
Certain balances from the prior period have been reclassified to conform with
the current financial statement presentation.
Income taxes
Series D is treated as a partnership for Federal income tax purposes. As
such, Series D is not required to provide for, or pay, any Federal or state
income taxes. Income tax attributes that arise from its operations are passed
directly to the individual Interest holders including the Managing Owner. Series
D may be subject to other state and local taxes in jurisdictions in which it
operates.
Profit and loss allocations and distributions
Series D allocates profits and losses for both financial and tax reporting
purposes to its Interest holders weekly on a pro rata basis based on each
owner's Interests outstanding during the week. Distributions (other than
redemptions of Interests) may be made at the sole discretion of the Managing
Owner on a pro rata basis in accordance with the respective capital balances of
the Interest holders; however, the Managing Owner does not presently intend to
make any distributions.
Financial Reporting by Commodity Pools
During March 2001, the Accounting Standards Executive Committee ('AcSEC')
issued Statement of Position ('SOP') 01-1, Amendment to Scope of Statement of
Position 95-2, Financial Reporting by Nonpublic Investment Partnerships, to
Include Commodity Pools, which is effective for financial statements issued for
periods ending after December 15, 2001. This SOP amends SOP 95-2, Financial
Reporting by Nonpublic Investment Partnerships, to include within its scope
commodity pools such as Series D. Under the new requirements, Series D is
required to present a condensed schedule of investments and certain other
information in accordance with the American Institute of Certified Public
Accountants' Audit and Accounting Guide 'Audits of Investment Companies.' The
adoption of the requirements of SOP 01-1 has not had a material effect on Series
D's financial position or results of operations.
7
<Page>
C. Fees
Organizational and offering costs
PSI or its affiliates paid the costs of organizing Series D and continue to
pay the costs of offering its Limited Interests.
General and administrative costs
Routine legal, audit, postage, and other routine third party administrative
costs are paid by Series D. Additionally, Series D pays the administrative costs
incurred by the Managing Owner or its affiliates for services they perform for
Series D which include, but are not limited to, those costs discussed in Note D
below. However, to the extent that general and administrative costs incurred by
Series D exceed 1.5% of Series D's net asset value during the year (with a
maximum of 1.25% attributable to other than legal and audit expenses) such
amounts will be borne by the Managing Owner and its affiliates.
Management and incentive fees
Series D pays its Trading Advisor a management fee at an annual rate of 1.25%
of the net asset value allocated to its management. The management fee is
determined weekly and the sum of such weekly amounts is paid monthly. Series D
also pays its Trading Advisor a quarterly incentive fee equal to 22% of such
Trading Advisor's 'New High Net Trading Profits' (as defined in the advisory
agreement). The incentive fee also accrues weekly.
Commissions
The Managing Owner and the Trust entered into a brokerage agreement with PSI
to act as Commodity Broker for each Series whereby Series D pays a fixed fee for
brokerage services rendered at an annual rate of 6% of Series D's net asset
value. The fee is determined weekly and the sum of such weekly amounts is paid
monthly. Series D is also obligated to pay all floor brokerage expenses, give-up
charges and NFA, clearing and exchange fees incurred in connection with Series
D's commodity trading activities.
D. Related Parties
Series D reimburses 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, to the extent that general and administrative expenses exceed 1.5% of
Series D's net asset value during the year (with a maximum of 1.25% attributable
to other than legal and audit expenses) such amounts will be borne by the
Managing Owner and its affiliates. Because general and administrative expenses
exceeded such limitations, all or a portion of the expenses related to services
the Managing Owner performed for Series D, other than brokerage services, during
the year ended December 31, 2001 and the period from March 13, 2000
(commencement of operations) to December 31, 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 expenses incurred by Series D for services performed by the Managing
Owner and its affiliates for Series D were:
<Table>
<Caption>
For the period from
March 13, 2000
(commencement of
Year ended operations) to
December 31, 2001 December 31, 2000
----------------- ----------------------
Commissions $ 262,448 $279,774
General and administrative 65,701 76,150
----------------- ------------
328,149 355,924
General and administrative expenses borne by
the Managing Owner and its affiliates (53,745) (48,938)
----------------- ------------
$ 274,404 $306,986
----------------- ------------
----------------- ------------
</Table>
8
<Page>
As of December 31, 2001, there were no expenses payable to the Managing Owner
and its affiliates. Expenses payable to the Managing Owner and its affiliates
(which are included in accrued expense) as of December 31, 2000 were $13,916.
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 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, 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 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 December 31, 2001, a non-U.S. affiliate of the Managing Owner owned
54.067 Limited Interests of Series D.
E. Income Taxes
There have been no differences between the tax basis and book basis of
Interest holders' capital since inception of the Trust.
F. 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 contracts (including foreign exchange)
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
9
<Page>
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 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 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 December 31, 2001, such segregated assets totalled $2,628,195.
Part 30.7 of the CFTC regulations also requires PSI to secure assets of Series D
related to foreign futures trading which totalled $1,784,526 at December 31,
2001. There are no segregation requirements for assets related to forward
trading.
As of December 31, 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 December 31, 2000:
<Table>
<Caption>
2000
------------------------
Assets Liabilities
-------- -----------
Futures Contracts:
Domestic exchanges
Interest rates $ 36,273 $ 151,533
Stock indices 17,350 --
Currencies 215,083 10,850
Commodities -- 2,813
Foreign exchanges
Interest rates 4,281 42,656
Stock indices 16,034 15,045
Commodities -- 4,163
Forward Contracts:
Currencies -- 10,235
-------- -----------
$289,021 $ 237,295
-------- -----------
-------- -----------
</Table>
10
<Page>
G. Financial Highlights
<Table>
<Caption>
Year ended
December 31, 2001
-----------------
Performance per Interest
Net asset value, beginning of period $ 87.49
--------
Net realized loss and change in net unrealized gain/(loss)
on commodity transactions (1.01)
Interest income 2.82
Net expenses (7.46)
--------
Net decrease for the period (5.65)
--------
Net asset value, end of period $ 81.84
--------
--------
Total return (6.46)%
Ratio to average net assets
Interest income 3.63%
Net expenses 9.16%
</Table>
These financial highlights represent the overall results of Series D during
2001. An individual limited owner's actual results may differ depending on the
timing of contributions and redemptions.
11
<Page>
- --------------------------------------------------------------------------------
I hereby affirm that, to the best of my knowledge and belief, the information
contained herein relating to World Monitor Trust II--Series D is accurate and
complete.
PRUDENTIAL SECURITIES
FUTURES MANAGEMENT INC.
(Managing Owner)
By: Barbara J. Brooks
Chief Financial Officer
- --------------------------------------------------------------------------------
12
<Page>
WORLD MONITOR TRUST II--SERIES D
(a Delaware Business Trust)
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 year ended December 31, 2001 and for the
period from March 13, 2000 (commencement of operations) to December 31, 2001
resulted in additional gross proceeds to Series D of $1,007,395 and $3,957,889,
respectively. 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 effected date
of purchase. Redemptions of Limited Interests and general interests for the year
ended December 31, 2001 were $2,281,677 and $18,432, respectively and for the
period from March 13, 2000 (commencement of operations) to December 31, 2001
were $3,588,587 and $54,024, respectively. Additionally, Interests owned in any
series of the Trust (Series D, E or F) may be exchanged, without any charge,
for Interests of one or more other Series on a weekly basis for as long
as Limited 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 December 31, 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 F 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.
Results of Operations
Series D commenced trading operations on March 13, 2000 and, as such, a
comparative analysis of the 2001 full year results versus the 2000 partial year
results is not meaningful. However, Series D's average net asset levels have
continually decreased throughout 2001, primarily from poor trading performance
and
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redemptions. These decreased average net asset levels have led to proportionate
decreases in the amount of interest earned by Series D, as well as the
commissions and management fees paid by Series D.
The net asset value per Interest as of December 31, 2001 was $81.84, a
decrease of 6.46% from the December 31, 2000 net asset value per Interest of
$87.49, which was a decrease of 12.51% from the March 13, 2000 initial net asset
value per Interest of $100.00. The Zurich Fund/Pool Qualified Universe Index
(formerly known as the MAR Fund/Pool Index), which tracked the performance of
272 futures funds at December 31, 2001, returned 7.52% and 9.33% for the year
ended December 31, 2001 and for the period from March through December 2000,
respectively. Past performance is not necessarily indicative of future results.
Series D had gross trading losses of $221,000 and $657,000 for the year ended
December 31, 2001 and for the period from March 13, 2000 (commencement of
operations) to December 31, 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 2001 trading results is
presented below.
Net losses for Series D were experienced in the currency and index sectors.
Profits were the result of gains in the interest rate and metals sectors.
In foreign exchange markets, the U.S. dollar rose slightly against many
foreign currencies during the first half of the year, 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 the safest currency in this time of
economic uncertainty. Losses were incurred in long Australian dollar and
Canadian dollar positions as these currencies fell against the U.S. dollar
during the first half of the year. The U.S. dollar fell against most major
currencies during the third quarter, particularly the Japanese yen, the euro
and the Swiss franc. The U.S. dollar's downward trend against many currencies
accelerated after September 11th. As a result of the attacks, many investors
switched exposure from the U.S. dollar to other currencies which rose against
the U.S. dollar resulting in losses for short euro, Canadian dollar and
Australian dollar positions. The U.S. dollar strengthened slightly towards
year-end amid hopes of an economic recovery in the U.S.
Equity markets performed poorly across the board during the first half of the
year as foreign stock markets generally followed the downtrend of the U.S.
markets. Technology stocks led this market downturn 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, with the DAX,
FTSE, CAC-40 and Nikkei experiencing similar losses. Short positions in the DAX,
MATIF CAC-40 and S&P 500 resulted in gains. The terrorist attacks of September
11th further weakened sluggish U.S. and global economies plunging equity markets
downward throughout the world 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 (the
'Fed') and fiscal stimuli by Congress combined to help stimulate an economic
rebound. Global equity markets followed suit rebounding from earlier lows as
well. U.S. and global equity markets rallied in November amid positive
developments in the war in Afghanistan and sentiment that the U.S. economy might
be emerging from its recession. Equity markets reversed in December providing a
negative return for the second consecutive year. Gains in short equity index
positions during the first half of the year were not sufficient to offset losses
incurred during the last two quarters and the index sector produced net losses
for the year.
In light of the rapid weakening in economic expansion and deterioration in
business and consumer confidence, the Fed followed a relatively aggressive
policy, lowering interest rates three times during the first quarter of 2001.
Other central banks followed the Fed's lead lowering interest rates as well.
Interest rate instruments trended upward throughout most of the second and third
quarters as major central banks cut short-term interest rates in an attempt to
bolster slowing economies. The bond market rally continued in the wake of
September 11th as the Fed 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 Swiss
National Central Bank who also lowered their rates 50 basis points. U.S. and
European interest rate instruments began the fourth quarter up as data indicated
persistent weakness in the U.S. economy. In an effort to stimulate the economy,
the Fed lowered interest rates by 50 basis points in October and again in early
November. The European Central Bank and the Bank of England each cut rates by 50
basis points in November. In mid-November, some positive economic news, the fall
of Kabul, Afghanistan and an announcement by the U.S. Treasury regarding the
cessation of sales of 30-year bonds, resulted in one of the greatest reversals
the U.S. bond market has seen in recent times. Interest rates
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climbed sharply in the U.S. and Europe causing bond prices to fall. In December,
the Fed lowered rates by another 25 basis points and bond prices climbed
slightly. Gains in long euro bond positions during the third quarter offset
losses incurred during the rest of the year resulting in net gains for the
interest rate sector.
Rate cuts by U.S. and European central banks during the first half of the
year stirred fears of inflation driving metal prices higher. Long copper
positions resulted in gains during the second quarter. In the third quarter,
short copper positions resulted in gains as fears of a global economic recession
and decreasing industrial production lowered prices of industrial commodities.
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 $160,000 and $282,000 for the year ended December 31, 2001
and for the period from March 13, 2000 (commencement of operations) to December
31, 2000, respectively. The decrease in interest income during 2001 versus 2000
was due to the decrease in net asset levels as discussed above, as well as
declining interest rates in 2001.
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 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 $283,000 and $304,000 for
the year ended December 31, 2001 and for the period from March 13, 2000
(commencement of operations) to December 31, 2000, respectively, due to the
declining average net asset levels, as discussed above.
All trading decisions for Series D are made by 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 $55,000 and $58,000 for the year ended
December 31, 2001 and for the period from March 13, 2000 (commencement of
operations) to December 31, 2000, respectively, due to the declining average 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 Series D, the
Managing Owner and the Trading Advisor. Series D did not pay an incentive during
2001. Incentive fees for the period from March 13, 2000 (commencement of
operations) to December 31, 2000 were $27,000.
General and administrative expenses for the year ended December 31, 2001 and
for the period from March 13, 2000 (commencement of operations) to December 31,
2000 were $120,000 and $119,000, respectively. These expenses are before
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. To the extent that
general and administrative expenses exceed 1.5% of Series D's net asset value
during the year (with a minimum of 1.25% attributable to other than legal and
audit expenses) such amounts are borne by the Managing Owner and its affiliates.
Because applicable expenses exceeded these limits, a portion of the expenses
have been borne by the Managing Owner and its affiliates, resulting in a net
cost to Series D of $66,000 and $70,000, respectively.
Financial Reporting by Commodity Pools
During March 2001, AcSEC issued SOP 01-1, Amendment to Scope of Statement of
Position 95-2, Financial Reporting by Nonpublic Investment Partnerships, to
Include Commodity Pools, which is effective for financial statements issued for
periods ending after December 15, 2001. This SOP amends SOP 95-2, Financial
Reporting by Nonpublic Investment Partnerships, to include within its scope
commodity pools such as Series D. Under the new requirements, Series D is
required to present a condensed schedule of investments and certain other
information in accordance with the American Institute of Certified Public
Accountants' Audit and Accounting Guide 'Audits of Investment Companies.' The
adoption of the requirements of SOP 01-1 has not had a material effect on Series
D's financial position or results of operations.
Inflation
Inflation has had no material impact on operations or on the financial
condition of Series D from inception through December 31, 2001.
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OTHER INFORMATION
The actual round-turn equivalent of brokerage commissions paid per contract
for the year ended December 31 2001, was $57.
Series D's Annual Report on Form 10-K as filed with the Securities and
Exchange Commission is available to limited owners without charge upon written
request to:
World Monitor Trust II--Series D/0TH
Peck Slip Station
P.O. Box 2303
New York, New York 10273-0005
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0TH PRESORTED
Peck Slip Station STANDARD
P.O. Box 2303 U.S. POSTAGE
New York, NY 10273 PAID
Automatic Mail
PFT1/17152