<Page>
2001
- --------------------------------------------------------------------------------
World Monitor Trust--Series A Annual
Report
<Page>
LETTER TO LIMITED OWNERS FOR
WORLD MONITOR TRUST--SERIES A
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--Series A
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 aspects, the
financial position of World Monitor Trust--Series A at December 31, 2001 and
2000 and the results of its operations and changes in trust capital for each of
the three years in the period ended December 31, 2001 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, except for Note H, as to which the date is March 19, 2002
2
<Page>
WORLD MONITOR TRUST--SERIES A
(a Delaware Business Trust)
STATEMENTS OF FINANCIAL CONDITION
<Table>
<Caption>
December 31,
----------------------------
2001 2000
- ----------------------------------------------------------------------------------------------------
ASSETS
Cash $ 5,425,959 $8,755,205
Net unrealized gain on open futures contracts 210,147 531,296
------------- ----------
Total assets $ 5,636,106 $9,286,501
------------- ----------
------------- ----------
LIABILITIES AND TRUST CAPITAL
Liabilities
Commissions payable $ 34,930 $ 64,688
Redemptions payable 8,618 3,042
Management fees payable 919 9,311
------------- ----------
Total liabilities 44,467 77,041
------------- ----------
Commitments
Trust capital
Limited interests (70,712.634 and 120,332.109 interests outstanding) 5,531,871 9,115,823
General interests (764 and 1,236 interests outstanding) 59,768 93,637
------------- ----------
Total trust capital 5,591,639 9,209,460
------------- ----------
Total liabilities and trust capital $ 5,636,106 $9,286,501
------------- ----------
------------- ----------
Net asset value per limited and general interest ('Interests') $ 78.23 $ 75.76
------------- ----------
------------- ----------
- ----------------------------------------------------------------------------------------------------
<Caption>
The accompanying notes are an integral part of these statements.
</Table>
3
<Page>
WORLD MONITOR TRUST--SERIES A
(a Delaware Business Trust)
Condensed Schedule of Investments
At December 31, 2001
<Table>
<Caption>
Net Unrealized
Gain (Loss)
as a % of Net Unrealized
Futures Contracts Trust Capital Gain (Loss)
- ------------------------------------------------------------------------------------------------------
Futures contracts purchased:
Stock indices $ 10,350
Interest rates (59,552)
Currencies 100,156
Commodities (34,889)
--------------
Net unrealized gain on futures contracts purchased 0.29% 16,065
--------------
Futures contracts sold:
Currencies 165,632
Commodities 28,450
--------------
Net unrealized gain on futures contracts sold 3.47 194,082
------ --------------
Net unrealized gain on futures contracts 3.76% $ 210,147
------ --------------
------ --------------
Settlement Currency--Futures Contracts
British pound (1.24)% $ (69,132)
Euro (0.46) (25,874)
Japanese yen 2.17 121,044
U.S. dollar 3.29 184,109
------ --------------
Total 3.76% $ 210,147
------ --------------
------ --------------
<Caption>
- ------------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements.
</Table>
4
<Page>
WORLD MONITOR TRUST--SERIES A
(a Delaware Business Trust)
STATEMENTS OF OPERATIONS
<Table>
<Caption>
Year ended December 31,
------------------------------------------
2001 2000 1999
- ------------------------------------------------------------------------------------------------------
REVENUES
Net realized gain (loss) on commodity transactions $ 969,302 $(3,245,181) $(3,253,798)
Change in net unrealized gain (loss) on open commodity
positions (321,149 ) 1,818,026 (1,183,487)
Interest income 301,064 1,149,804 922,393
------------ ----------- -----------
949,217 (277,351) (3,514,892)
------------ ----------- -----------
EXPENSES
Commissions 527,296 1,387,964 1,348,655
Management fees 77,605 229,367 347,528
Incentive fees -- -- 385
------------ ----------- -----------
604,901 1,617,331 1,696,568
------------ ----------- -----------
Net income (loss) $ 344,316 $(1,894,682) $(5,211,460)
------------ ----------- -----------
------------ ----------- -----------
ALLOCATION OF NET INCOME (LOSS)
Limited interests $ 340,847 $(1,876,633) $(5,154,378)
------------ ----------- -----------
------------ ----------- -----------
General interests $ 3,469 $ (18,049) $ (57,082)
------------ ----------- -----------
------------ ----------- -----------
NET INCOME (LOSS) PER WEIGHTED AVERAGE LIMITED AND
GENERAL INTEREST
Net income (loss) per weighted average limited and
general interest $ 3.84 $ (7.42) $ (27.31)
------------ ----------- -----------
------------ ----------- -----------
Weighted average number of limited and general interests
outstanding 89,742 255,349 190,828
------------ ----------- -----------
------------ ----------- -----------
- ------------------------------------------------------------------------------------------------------
</Table>
STATEMENTS OF CHANGES IN TRUST CAPITAL
<Table>
<Caption>
LIMITED GENERAL
INTERESTS INTERESTS INTERESTS TOTAL
- ------------------------------------------------------------------------------------------------------
Trust capital--December 31, 1998 109,968.155 $10,673,116 $ 137,630 $ 10,810,746
Contributions 255,845.193 23,000,355 190,540 23,190,895
Net loss (5,154,378) (57,082) (5,211,460)
Redemptions (42,381.968) (3,789,185) (17,407) (3,806,592)
------------ ----------- --------- ------------
Trust capital--December 31, 1999 323,431.380 24,729,908 253,681 24,983,589
Net loss (1,876,633) (18,049) (1,894,682)
Redemptions (201,863.271) (13,737,452) (141,995) (13,879,447)
------------ ----------- --------- ------------
Trust capital--December 31, 2000 121,568.109 9,115,823 93,637 9,209,460
Net income 340,847 3,469 344,316
Redemptions (50,091.475) (3,924,799) (37,338) (3,962,137)
------------ ----------- --------- ------------
Trust capital--December 31, 2001 71,476.634 $ 5,531,871 $ 59,768 $ 5,591,639
------------ ----------- --------- ------------
------------ ----------- --------- ------------
<Caption>
- ------------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements.
</Table>
5
<Page>
WORLD MONITOR TRUST--SERIES A
(a Delaware Business Trust)
NOTES TO FINANCIAL STATEMENTS
A. General
The Trust, Trustee, Managing Owner and Affiliates
World Monitor Trust (the 'Trust') is a business trust organized under the
laws of Delaware on December 17, 1997. The Trust commenced trading operations on
June 10, 1998 and will terminate on December 31, 2047 unless terminated sooner
as provided in the Second Amended and Restated Declaration of Trust and Trust
Agreement. The Trust consists of three separate and distinct series ('Series'):
Series A, B and C. 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
Beneficial interests in each Series ('Interests') are being offered once each
week until each Series' subscription maximum has been issued either through sale
or exchange or until the Managing Owner suspends the offering of Interests. On
June 10, 1998, a sufficient number of subscriptions for each Series had been
received and accepted by the Managing Owner to permit each Series to commence
trading. Series A completed its initial offering with gross proceeds of
$6,039,177 from the sale of 59,631.775 limited interests and 760 of general
interests. General interests were sold exclusively to the Managing Owner.
Series A was offered until it achieved its subscription maximum of
$34,000,000 during November 1999. Interests in Series B and Series C will
continue to be offered on a weekly basis at the then current net asset value per
Interest until the Managing Owner suspends the offering of Interests (see Note
H) or the subscription maximum of $33,000,000 for each Series is sold
('Continuous Offering Period'). Series B and Series C will continue to be
offered to investors who meet certain established suitability standards, with a
minimum initial subscription of $5,000 ($2,000 for an individual retirement
account) per subscriber, although the minimum purchase for any single Series is
$1,000. Additional purchases may be made in $100 increments.
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 has made contributions (and in return has received
general interests) as were 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 has allocated 100% of the proceeds
from the initial and continuous offering of Series A to its trading advisor. The
Managing Owner, on behalf of the Trust, initially entered into an advisory
agreement (the 'Initial Advisory Agreement') with Eagle Trading Systems, Inc.
(the 'Trading Advisor') to make the trading decisions for Series A utilizing
both the Eagle-Global System and the Eagle-FX System.
Effective December 6, 1999, the Eagle-Global System became the exclusive
trading program used by the Trading Advisor to trade Series A's assets. In
conjunction with this change, the Managing Owner and the Trading Advisor
voluntarily agreed to terminate the Initial Advisory Agreement and enter into a
new advisory agreement (the 'New Advisory Agreement') effective March 21, 2000.
Pursuant to the New Advisory Agreement, the Trading Advisor was to be paid a
weekly management fee at an annual rate of 1% of Series A's net asset value
until the net asset value per Interest was at least $80 for a period of 10
consecutive business days, at which time the weekly management fee was to be
increased to an annual rate of 2% (i.e. the rate pursuant to the Initial
Advisory Agreement). Effective October 31, 2001, Series A sustained a net asset
value per Interest greater than $80 for 10 consecutive business days. As a
result, the Trading Advisor has been paid a weekly management fee at an annual
rate of 2% since November 1, 2001. Additionally, although the term of the New
Advisory Agreement commenced on March 21, 2000,
6
<Page>
the Trading Advisor must recoup all trading losses incurred under the Initial
Advisory Agreement before an incentive fee is paid. The incentive fee is
discussed further in Note C. Furthermore, the New Advisory Agreement resets the
net asset value for purpose of its termination provisions, as more fully
discussed in Note F. The New Advisory Agreement may be terminated for a variety
of reasons, including at the discretion of the Managing Owner.
Exchanges, Redemptions and Termination
Interests owned in one series of the Trust (Series A, B or C) may be
exchanged, without any charge, for Interests of one or more other Series on a
weekly basis for as long as Interests in those Series are being offered to the
public. Once the suspension of the offering of Interests takes effect (see Note
H), Interests owned in one series of the Trust may no longer be exchanged for
Interests of one or more other Series. 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.
Redemptions are permitted on a weekly basis. Interests redeemed on or before
the end of the first and second successive six-month periods after their
effective dates of purchase were subject to a redemption fee of 4% and 3%,
respectively, of the net asset value at which they were redeemed. Redemption
fees were 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 terminate.
B. Summary of Significant Accounting Policies
Basis of accounting
The financial statements of Series A are prepared in accordance with
accounting principles generally accepted in the United States of America.
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 income (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 A 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.'
Income taxes
Series A is treated as a partnership for Federal income tax purposes. As
such, Series A 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
A may be subject to other state and local taxes in jurisdictions in which it
operates.
Profit and loss allocations and distributions
Series A 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.
7
<Page>
Financial Reporting by Commodity Pools
During March 2001, the Accounting Standards Executive Committee 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 A. Under the new requirements, Series A 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 A's financial
position or results of operations.
C. Fees
Organizational, offering, general and administrative costs
PSI or its affiliates paid the costs of organizing Series A and offering its
Interests and continue to pay the administrative costs incurred by the Managing
Owner or its affiliates for services they perform for Series A. These costs
include, but are not limited to, those discussed in Note D below. Routine legal,
audit, postage and other routine third party administrative costs also are paid
by PSI or its affiliates.
Management and incentive fees
Through March 2000, Series A paid its Trading Advisor a management fee at an
annual rate of 2% of Series A's net asset value allocated to its management. In
March 2000, the management fee was reduced to 1% and in November 2001 was
increased back to 2%, as defined in the New Advisory Agreement and previously
discussed in Note A. The management fee is determined weekly and the sum of such
weekly amounts is paid monthly. Series A also pays its Trading Advisor a
quarterly incentive fee equal to 23% of such Trading Advisor's 'New High Net
Trading Profits' (as defined in the New 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 A pays a fixed fee for
brokerage services rendered at an annual rate of 7.75% of Series A's net asset
value. The fee is determined weekly and the sum of such weekly amounts is paid
monthly. From this fee, PSI pays execution costs (including floor brokerage
expenses, give-up charges and NFA, clearing and exchange fees), as well as
compensation to employees who sell Interests.
D. Related Parties
The Managing Owner or its affiliates perform services for Series A, 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. As further described
in Note C, except for costs related to brokerage services, PSI or its affiliates
pay the costs of these services in addition to Series A's routine operational,
administrative, legal and auditing costs.
The costs charged to Series A for brokerage services for the years ended
December 31, 2001, 2000 and 1999, were $527,296, $1,387,964 and $1,348,655,
respectively.
Series A's assets are maintained either in trading or cash accounts with PSI,
Series A's commodity broker, or, for margin purposes, with the various exchanges
on which Series A is permitted to trade. PSI credits Series A monthly with 100%
of the interest it earns on the average net assets in Series A's accounts.
Series A, 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 A pursuant to a line of credit. PSI may require that collateral
be posted against the marked-to-market position of Series A.
As of December 31, 2001, a non-U.S. affiliate of the Managing Owner owns
101.112 limited interests of Series A.
8
<Page>
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 A 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 A'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 A's net assets being
traded, significantly exceeds Series A's future cash requirements since Series A
intends to close out its open positions prior to settlement. As a result, Series
A is generally subject only to the risk of loss arising from the change in the
value of the contracts. As such, Series A 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 A's commitments to purchase commodities
is limited to the gross or face amount of the contract held. However, when
Series A 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 A 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 A holds and the liquidity and inherent
volatility of the markets in which Series A trades.
Credit risk
When entering into futures or forward contracts, Series A 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 A enters into forward
transactions, the sole counterparty is PSI, Series A's commodity broker. Series
A 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 A'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 A.
The Managing Owner attempts to minimize both credit and market risks by
requiring Series A 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 New Advisory Agreement among Series A, the
Managing Owner and the Trading Advisor, Series A shall automatically terminate
the Trading Advisor if the net asset value allocated to the Trading Advisor
declines by 33 1/3% from the value at the beginning of any year or since the
effective date of the New Advisory Agreement (i.e., March 2000). Furthermore,
the Second Amended and Restated Declaration of Trust and Trust Agreement
provides that Series A will liquidate its positions, and eventually dissolve, if
Series A experiences a decline in net asset value of 50% from the value at the
beginning of any year or since the commencement of trading activities. In each
case, the decline in net asset value is after giving effect for distributions,
contributions and
9
<Page>
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 A.
PSI, when acting as Series A'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 A all assets of Series A relating to
domestic futures trading (subject to the opt out provisions discussed below) and
is not allowed to commingle such assets with other assets of PSI. At December
31, 2001, such segregated assets totalled $3,314,643. Part 30.7 of the CFTC
regulations also requires PSI to secure assets of Series A related to foreign
futures trading which totalled $2,321,463 at December 31, 2001. There are no
segregation requirements for assets related to forward trading.
The CFTC promulgated rules that allow futures commission merchants to permit
certain customers, including Series A, to opt out of segregation with regard to
trading on certain exchanges, but PSI has not done so to date. If Series A were
to opt out, its funds could be held in a broader and potentially riskier range
of investments than are allowed for segregated funds.
As of December 31, 2001, all open futures contracts mature within three
months.
The following table presents the fair value of futures contracts at December
31, 2000.
<Table>
<Caption>
2000
--------------------------
Assets Liabilities
---------- -----------
Futures Contracts:
Domestic exchanges
Interest rates $ 344,677 $ --
Currencies 202,200 --
Commodities 36,563 37,300
Foreign exchanges
Interest rates 492,521 23,022
Stock indices 66,353 --
Commodities -- 550,696
---------- -----------
$1,142,314 $ 611,018
---------- -----------
---------- -----------
</Table>
G. Financial Highlights
<Table>
<Caption>
For the year
ended
December 31, 2001
-----------------
Performance per Interest
Net asset value, beginning of period $ 75.76
--------
Net realized gain and change in net unrealized gain on commodity
transactions 6.04
Interest income 3.16
Expenses (6.73)
--------
Net increase for the period 2.47
--------
Net asset value, end of period $ 78.23
--------
--------
Total return 3.26%
Ratio to average net assets
Interest income 4.40%
Expenses 8.84%
</Table>
These financial highlights represent the overall results of Series A during
2001. An individual limited owner's actual results may differ depending on the
timing of redemptions.
10
<Page>
H. Subsequent Event
On February 25, 2002, the Managing Owner elected to suspend the offering of
Interests in Series B and Series C upon the expiration of current selling
registrations. The registration expired in many states on March 24, 2002 and all
registrations will expire by April 30, 2002. As a result, limited owners of
Series A will no longer be able to exchange out of Series A. While the Managing
Owner does not anticipate doing so, it may, at its election, reinstate the
offering of Interests in Series B and Series C in the future.
11
<Page>
I hereby affirm that, to the best of my knowledge and belief, the information
contained herein relating to World Monitor Trust--Series A is accurate and
complete.
PRUDENTIAL SECURITIES
FUTURES MANAGEMENT INC.
(Managing Owner)
By: Barbara J. Brooks
Chief Financial Officer
- --------------------------------------------------------------------------------
12
<Page>
WORLD MONITOR TRUST--SERIES A
(a Delaware Business Trust)
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL
CONDITION AND RESULTS OF OPERATIONS
Liquidity and Capital Resources
Series A commenced operations on June 10, 1998 with gross proceeds of
$6,039,177 allocated to commodities trading. Interests in Series A continued to
be offered weekly until Series A achieved its subscription maximum of
$34,000,000 during November 1999.
Interests in Series A may be redeemed on a weekly basis. Redemptions of
limited interests and general interests for the year ended December 31, 2001
were $3,924,799 and $37,338, respectively, for the year ended December 31, 2000
were $13,737,452 and $141,995, respectively, and for the period from June 10,
1998 (commencement of operations) to December 31, 2001 were $21,579,588 and
$196,740, respectively. Additionally, Interests owned in one series of the Trust
(Series A, B or C) may be exchanged, without any charge, for Interests of one or
more other Series on a weekly basis for as long as Interests in those Series are
being offered to the public. Since Interests in Series A are no longer being
offered, participants can no longer exchange their Interests from Series B
and/or Series C into Series A; however, participants can currently continue to
exchange their Interests from Series A to Series B and/or Series C. As further
discussed in Note H to the financial statements, the Managing Owner elected to
suspend the offering of Interests in Series B and Series C upon the expiration
of current selling registrations. Once the suspension of the offering of
Interests takes effect, Interests owned in one series of the Trust may no longer
be exchanged for Interests of one or more other Series. Future 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 A'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 Series A's trading in commodities. Inasmuch as the
sole business of Series A is to trade in commodities, Series A continues to own
such liquid assets to be used as margin. PSI credits Series A monthly with 100%
of the interest it earns on the average net assets in Series A's accounts.
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 A from promptly liquidating its commodity
futures positions.
Since Series A'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 contract
(credit risk). Series A'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 relationship among the contracts held. The inherent uncertainty of
Series A's speculative trading, as well as the development of drastic market
occurrences could result in monthly losses considerably beyond Series A'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 A 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 A's futures and forward contracts.
Series A does not have, nor does it expect to have, any capital assets.
Results of Operations
The net asset value per Interest as of December 31, 2001 was $78.23, an
increase of 3.26% from the December 31, 2000 net asset value per Interest of
$75.76, which was a decrease of 1.93% from the
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December 31, 1999 net asset value per Interest of $77.25. The Zurich Fund/Pool
Qualified Universe Index (formerly the MAR Fund/Pool Index), which tracked the
performance of 272 futures funds at December 31, 2001, returned 7.52% and 9.41%
for the years ended December 31, 2001 and 2000, respectively. Past performance
is not necessarily indicative of future results.
Series A's gross trading gains/(losses) were $648,000, $(1,427,000) and
$(4,437,000) during the years ended December 31, 2001, 2000 and 1999,
respectively. Due to the nature of Series A's trading activities, a period to
period comparison of its trading results is not meaningful. However, a detailed
discussion of Series A's 2001 trading results is presented below.
Net gains for Series A were experienced in the index and interest rate
sectors. Net losses were experienced in the currency and energy sectors.
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 S&P 500 and London
FTSE positions resulted in gains during the first quarter. 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.
In the week following the attacks ,the Dow Jones industrial average suffered its
worst weekly 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 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 may be emerging from its recession. Equity
markets reversed in December providing a negative return for the second
consecutive year. Losses incurred in equity index positions during the second
quarter were offset by gains during the rest of the year, producing net gains
for the index sector.
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 by 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 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
resulted from long euro and Japanese bond positions during the first, third and
fourth quarters of the year.
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. In the second quarter, the Canadian dollar rose slightly
against the U.S. dollar due to an increase of Canadian exports to the U.S.
resulting in losses for short positions. Long British pound positions incurred
losses as the pound reached a 15-year low against the U.S. dollar in June. 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
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losses for short euro, British pound and Swiss franc positions. The U.S. dollar
strengthened slightly towards year-end amid hopes of an economic recovery in the
U.S.
Energy prices generally remained high throughout most of the first quarter of
2001. Crude oil prices increased in January as OPEC announced a likely 5% cut in
production. During the second quarter, energy prices fell in response to growing
inventory levels of crude oil and related products. Energy prices peaked sharply
immediately after the September 11th attacks amid worries of a potential
interruption in supplies. 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 saw no need to alter output and assured that there will be
no disruption in supplies. Fear of continued terrorist attacks, sluggish
economies and mild winter weather continued to limit growth in global demand for
oil during the fourth quarter. A coordinated cut in oil output by OPEC and
non-OPEC producers was agreed upon as OPEC tried to regain control of crude oil
prices. Heating and crude oil positions incurred losses during the first, second
and fourth quarters of the year resulting in net losses for Series A in this
sector.
Effective December 6, 1999, the Eagle-Global System became the exclusive
trading program used by the Trading Advisor to trade Series A's assets. In
conjunction with this change, the Managing Owner and the Trading Advisor
voluntarily agreed to terminate the Initial Advisory Agreement and enter into
the New Advisory Agreement effective March 21, 2000.
Pursuant to the New Advisory Agreement, the Trading Advisor was to be paid a
weekly management fee at an annual rate of 1% of Series A's net asset value
until the net asset value per Interest was at least $80 for a period of 10
consecutive business days, at which time the weekly management fee was to be
increased to an annual rate of 2% (i.e., the rate pursuant to the Initial
Advisory Agreement). Effective October 31, 2001, Series A sustained a net asset
value per Interest greater than $80 for 10 consecutive business days. As a
result, the Trading Advisor has been paid a weekly management fee at an annual
rate of 2% since November 1, 2001. Additionally, although the term of the New
Advisory Agreement commenced on March 21, 2000, the Trading Advisor must recoup
all trading losses incurred under the Initial Advisory Agreement before an
incentive fee is paid. Furthermore, the New Advisory Agreement resets the net
asset value for purposes of its termination provisions (see Note F to the
financial statements). The New Advisory Agreement may be terminated for a
variety of reasons, including at the discretion of the Managing Owner.
Fluctuations in overall average net asset levels have led to corresponding
fluctuations in interest earned and commissions and management fees incurred by
Series A, which are largely based on the level of net assets. Series A's average
net asset levels were significantly lower during the year ended December 31,
2001 versus the prior year, primarily due to redemptions in 2001 and the 4th
quarter of 2000. Series A's average net asset levels were slightly higher during
the year ended December 31, 2000 versus the prior year, primarily from
additional contributions in the 4th quarter of 1999 offset, in part, by
redemptions and unfavorable trading performance in 1999 and 2000.
Interest income is earned on the average net assets held at PSI and,
therefore, varies weekly according to interest rates, trading performance,
contributions and redemptions. Interest income decreased $849,000 during 2001 as
compared to 2000 and increased $227,000 during 2000 as compared to 1999. These
increases were due primarily to changes in net asset levels as discussed above.
Additionally, lower overall interest rates in 2001 versus 2000 contributed to
the decrease in 2001 and higher overall interest rates in 2000 versus 1999
contributed to the increase in 2000.
Commissions are calculated on Series A's net asset value at the end of each
week and, therefore, vary according to weekly trading performance, contributions
and redemptions. Commissions decreased $861,000 during 2001 as compared to 2000
and increased $39,000 during 2000 as compared to 1999, due to fluctuations in
average net asset levels as discussed above.
All trading decisions for Series A are made by the Trading Advisor.
Management fees are calculated on Series A's net asset value at the end of each
week and, therefore, are affected by weekly trading performance, contributions
and redemptions. Management fees decreased $152,000 during 2001 as compared to
2000, and decreased $118,000 during 2000 as compared to 1999, due to the
fluctuations in average net asset levels, as well as the reduction in the
management fee rate during March 2000 as discussed above.
Incentive fees are based on the 'New High Net Trading Profits' generated by
the Trading Advisor, as defined in the New Advisory Agreement among Series A,
the Managing Owner and the Trading Advisor.
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Series A did not incur an incentive during the years ended December 31, 2001 and
2000, and incurred only a negligible amount for the year ended December 31,
1999.
Financial Reporting by Commodity Pools
During March 2001, the Accounting Standards Executive Committee 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 A. Under the new requirements, Series A 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 A's financial
position or results of operations.
Inflation
Inflation has had no material impact on operations or on the financial
condition of Series A 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 2001 was $48.
Series A'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--Series A/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