<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 March 29, 2002
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 (I.R.S. Employer Identification
incorporation or organization) 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>
March 29, December 31,
2002 2001
- ---------------------------------------------------------------------------------------------------
ASSETS
Cash $4,508,244 $4,474,005
Net unrealized gain (loss) on open futures contracts 42,716 (61,284)
Unrealized gain on open forward contracts 27,486 --
Accrued interest receivable 439 --
---------- ------------
Total assets $4,578,885 $4,412,721
---------- ------------
---------- ------------
LIABILITIES AND TRUST CAPITAL
Liabilities
Accrued expenses $ 34,021 $ 52,055
Commissions and other transaction fees payable 26,574 22,857
Redemptions payable 15,445 22,989
Management fees payable 5,355 4,465
Unrealized loss on open forward contracts -- 14,433
---------- ------------
Total liabilities 81,395 116,799
---------- ------------
Commitments
Trust capital
Limited interests (54,508.437 and 51,950.299 interests outstanding) 4,448,523 4,251,727
General interests (600 and 540 interests outstanding) 48,967 44,195
---------- ------------
Total trust capital 4,497,490 4,295,922
---------- ------------
Total liabilities and trust capital $4,578,885 $4,412,721
---------- ------------
---------- ------------
Net asset value per limited and general interest ('Interests') 81.61 $ 81.84
---------- ------------
---------- ------------
- ---------------------------------------------------------------------------------------------------
</Table>
The accompanying notes are an integral part of these statements.
2
<Page>
WORLD MONITOR TRUST II--SERIES D
(a Delaware Business Trust)
Condensed Schedules of Investments
(Unaudited)
<Table>
<Caption>
March 29, 2002 December 31, 2001
-------------------------------- --------------------------------
Net Unrealized Net Unrealized
Gain (Loss) Gain (Loss)
as a % of Net Unrealized as a % of Net Unrealized
Futures and Forward Contracts Trust Capital Gain (Loss) Trust Capital Gain (Loss)
- -------------------------------------------------------------------------------------------------------------
Futures contracts purchased:
Stock indices $ (710) $ 11,982
Interest rates (177,122) (67,480)
Currencies 2,017 (107,230)
-------------- --------------
Net unrealized loss on futures
contracts purchased (3.91)% (175,815) (3.79)% (162,728)
-------------- --------------
Futures contracts sold:
Stock indices -- (2,981)
Interest rates 196,482 15,412
Currencies 31,100 78,413
Commodities (9,051) 10,600
-------------- --------------
Net unrealized gain on futures
contracts sold 4.86 218,531 2.36 101,444
------ -------------- ------ --------------
Net unrealized gain (loss) on
futures contracts 0.95% $ 42,716 (1.43)% $ (61,284)
------ -------------- ------ --------------
------ -------------- ------ --------------
Forward currency contracts purchased 0.62% $ 27,834 0.11% $ 4,929
Forward currency contracts sold (0.01) (348) (0.45) (19,362)
------ -------------- ------ --------------
Net unrealized gain (loss) on
forward contracts 0.61% $ 27,486 (0.34)% $ (14,433)
------ -------------- ------ --------------
------ -------------- ------ --------------
Settlement Currency--Futures Contracts
British pound 1.18% $ 53,222 0.71% $ 30,369
Canadian dollar (1.35) (60,660) 0.48 20,535
Euro (1.81) (81,426) (2.32) (99,368)
Japanese yen 0.00 46 0.01 522
Australian dollar 0.04 1,619 (0.05) (2,248)
U.S. dollar 2.89 129,915 (0.26) (11,094)
------ -------------- ------ --------------
Total 0.95% $ 42,716 (1.43)% $ (61,284)
------ -------------- ------ --------------
------ -------------- ------ --------------
Settlement Currency--Forward Contracts
Euro (0.05)% $ (2,170) 0.00% $ --
U.S. dollar 0.66 29,656 (0.34) (14,433)
------ -------------- ------ --------------
Total 0.61% $ 27,486 (0.34)% $ (14,433)
------ -------------- ------ --------------
------ -------------- ------ --------------
<Caption>
- -------------------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements.
</Table>
3
<Page>
WORLD MONITOR TRUST II--SERIES D
(a Delaware Business Trust)
STATEMENTS OF OPERATIONS
(Unaudited)
<Table>
<Caption>
For the period from For the period from
January 1, 2002 to January 1, 2001 to
March 29, 2002 March 30, 2001
- --------------------------------------------------------------------------------------------------------
REVENUES
Net realized loss on commodity transactions $ (78,173) $(199,055)
Change in net unrealized gain (loss) on open commodity
positions 145,919 (437,797)
Interest income 17,105 69,673
------------------- -------------------
84,851 (567,179)
------------------- -------------------
EXPENSES
Commissions and other transaction fees 66,018 88,558
General and administrative 30,919 32,588
Management fees 13,053 17,342
------------------- -------------------
109,990 138,488
General and administrative expenses borne by the Managing
Owner and its affiliates (14,649) (11,182)
------------------- -------------------
Net expenses 95,341 127,306
------------------- -------------------
Net loss $ (10,490) $(694,485)
------------------- -------------------
------------------- -------------------
ALLOCATION OF NET LOSS
Limited interests $ (10,569) $(687,469)
------------------- -------------------
------------------- -------------------
General interests $ 79 $ (7,016)
------------------- -------------------
------------------- -------------------
NET LOSS PER WEIGHTED AVERAGE LIMITED AND GENERAL
INTEREST
Net loss per weighted average limited and general
interest $ (.19) $ (10.10)
------------------- -------------------
------------------- -------------------
Weighted average number of limited and general interests
outstanding 54,058 68,711
------------------- -------------------
------------------- -------------------
- --------------------------------------------------------------------------------------------------------
</Table>
STATEMENT OF CHANGES IN TRUST CAPITAL
(Unaudited)
<Table>
<Caption>
LIMITED GENERAL
INTERESTS INTERESTS INTERESTS TOTAL
- -----------------------------------------------------------------------------------------------------
Trust capital--December 31, 2001 52,490.299 $4,251,727 $44,195 $4,295,922
Contributions 5,622.236 442,400 4,693 447,093
Net income (loss) (10,569) 79 (10,490)
Redemptions (3,004.098) (235,035) -- (235,035)
----------- ---------- --------- ----------
Trust capital--March 29, 2002 55,108.437 $4,448,523 $48,967 $4,497,490
----------- ---------- --------- ----------
----------- ---------- --------- ----------
- -----------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements.
</Table>
4
<Page>
WORLD MONITOR TRUST II--SERIES D
(a Delaware Business Trust)
NOTES TO FINANCIAL STATEMENTS
MARCH 29, 2002
(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 March 29, 2002 and the results of
its operations for the periods from January 1, 2002 to March 29, 2002 ('First
Quarter 2002'), and January 1, 2001 to March 30, 2001 ('First Quarter 2001').
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, 2001.
Certain balances from the prior period have been reclassified to conform with
the current financial statement presentation.
B. Related Parties
The Managing Owner of Series D is a wholly-owned subsidiary of Prudential
Securities Incorporated ('PSI'), which, in turn, is an indirect wholly-owned
subsidiary of Prudential Financial, 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, a
portion of the expenses related to services the Managing Owner performed for
Series D and certain third party costs for First Quarter 2002 and First Quarter
2001 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>
First Quarter 2002 First Quarter 2001
------------------ ------------------
Commissions $ 62,744 $ 83,367
General and administrative 16,931 18,052
------------------ ------------------
$ 79,675 $101,419
------------------ ------------------
General and administrative expenses borne by
the Managing Owner and its affiliates (14,649) (11,182)
------------------ ------------------
$ 65,026 $ 90,237
------------------ ------------------
------------------ ------------------
</Table>
Expenses payable to the Managing Owner and its affiliates (which are included
in accrued expenses) as of March 29, 2002 were $644. As of December 31, 2001,
there were no expenses payable to the Managing Owner and its affiliates.
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.
5
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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. 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 March 29, 2002, a non-U.S. affiliate of the Managing Owner owned 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 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 the particular exchange.
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
6
<Page>
value at the beginning of any year or since the commencement of trading
activities. Furthermore, the Second Amended and Restated Declaration of Trust
and Trust Agreement of World Monitor Trust II 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 interest
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 March 29, 2002, such segregated assets totalled $2,478,682.
Part 30.7 of the CFTC regulations also requires PSI to secure assets of Series D
related to foreign futures trading, which totalled $2,072,278 at March 29, 2002.
There are no segregation requirements for assets related to forward trading.
As of March 29, 2002, Series D's open futures and forward contracts mature
within one year.
D. Financial Highlights
<Table>
<Caption>
First Quarter 2002 First Quarter 2001
------------------ ------------------
Performance per Interest
Net asset value, beginning of period $ 81.84 $ 87.49
---------- ----------
Net realized loss and change in unrealized gain
(loss) on commodity transactions 1.21 (9.30)
Interest income .32 1.01
Net expenses (1.76) (1.85)
---------- ----------
Net decrease for the period (.23) (10.14)
---------- ----------
Net asset value, end of period $ 81.61 $ 77.35
---------- ----------
---------- ----------
Total return (.28)% (11.59)%
Ratio to average net assets (annualized)
Interest income 1.58% 4.87%
Net expenses 8.80% 8.90%
</Table>
These financial highlights represent the overall results of Series D for
First Quarter 2002 and First Quarter 2001. An individual limited Owner's actual
results may differ depending on the timing of contributions and redemptions.
7
<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
$5,279,158 allocated to commodities trading. Additional contributions raised
through the continuous offering during First Quarter 2002 and for the period
from March 13, 2000 (commencement of operations) to March 29, 2002 resulted in
additional gross proceeds to Series D of $447,093 and $4,404,982. 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 of $50,000,000
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 First Quarter 2002 and for the
period from March 13, 2000 (commencement of operations) to March 29, 2002 were
$235,035 and $3,823,622, respectively. Redemptions of general interests for the
period from March 13, 2000 (commencement of operations) to March 29, 2002 were
$54,024. Additionally, Interests owned in any series of World Monitor Trust II
(Series D, E or F) may be exchanged, without any charge, for Interests of one or
more other series of World Monitor Trust II on a weekly basis for as long as
Interests in those series are being offered to the public. Future contributions,
redemptions and exchanges will impact the amount of funds available for
investment in commodity contracts in subsequent periods.
At March 29, 2002, 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.
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.
Results of Operations
The net asset value per Interest as of March 29, 2002 was $81.61, a decrease
of .28% from the December 31, 2001 net asset value per Interest of $81.84. Past
performance is not necessarily indicative of future results.
8
<Page>
Series D's gross trading gains (losses) were $68,000 and $(637,000) during
First Quarter 2002 and First Quarter 2001, 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 First
Quarter 2002 trading results is presented below.
Quarterly Market Overview
While the first quarter of 2002 was generally characterized by continued
weakness in global economies, there was definite evidence of economic recovery.
The combination of post September 11th economic activity, infusions of
government spending and unseasonably warm weather helped jumpstart the economy
during the first quarter. Jobless claims moderated to levels that suggested that
the labor market was no longer contracting, manufacturing activity increased
slightly and consumer spending and housing activity remained stable, helping the
economy achieve a 5.8% growth rate for the quarter. U.S. economic recovery
helped boost global growth, but to a lesser extent than in the U.S. The U.K.'s
economy expanded by 0.1% during the first quarter while economic activity in
Europe and Canada remained stable. The Japanese economy remained weak.
Global bond markets trended lower through most of the first quarter amid
growing prospects for imminent interest rate hikes by central banks. In the
U.S., interest rates rose towards the end of the quarter in response to stronger
than expected economic data and indications that the Federal Reserve (the 'Fed')
would lean towards increasing rates in the near future. The Fed kept rates
unchanged at 1.75% during its two meetings this quarter, a marked change from
the eleven rate decreases in 2001. Additionally, the Fed shifted its perception
of the economy's 'balance of risks' from 'economic weakness' to 'balanced'
during the March 19th meeting. This reinforced comments made by Alan Greenspan,
the Fed's Chairman, during his congressional testimony where he stated that
recent evidence suggests an economic expansion is under way. European and
Australian interest rate instruments fell amid indications that the global
recession is showing signs of abatement. Conversely, Japanese interest rates
declined as a result of weak economic data in Japan despite the short-term rise
in the stock market.
Equity indices began the quarter choppily due to a continuing weak economy
and concerns about balance sheet reporting and accounting irregularities. Stock
markets climbed towards mid-quarter as a result of positive data and hopes of an
economic recovery. U.S. stock markets moved upward as a result of Fed Chairman
Alan Greenspan's testimony to Congress that economic expansion was well under
way. Despite continued weakness in the Japanese economy, the Nikkei rallied in
March to its highest level since August.
In foreign exchange markets, the U.S. dollar remained strong against most
major foreign currencies as the U.S. economy exhibited signs of recovery. The
Japanese yen started the quarter down against the U.S. dollar, but rose towards
quarter-end as a result of a rally in the Japanese stock market and investors
repatriating capital in anticipation of Japan's March 31st fiscal year-end. Most
European currencies and the euro were weak early in the quarter but rallied in
March amid hopes of an economic recovery.
Energy markets were volatile at the beginning of the quarter but rose toward
quarter-end as the escalating conflict in the Middle East prompted fears of an
interruption in supplies. This, together with hopes for increased U.S. energy
demand due to a recovering economy, reinforced the normal seasonal upward
pressure on energy prices. In particular, crude oil reached a six-month high at
the end of the quarter as the conflict in the Middle East gained momentum.
Natural gas prices moved higher in March as the American Gas Association
released better than expected storage numbers. Expectations for colder March
weather, together with concerns regarding the safety of nuclear power plants,
helped drive prices higher.
Quarterly Performance of Series D
The following is a summary of performance for the major sectors in which
Series D traded:
Currencies (+): Long Japanese yen positions resulted in gains as the yen was
bolstered by the repatriation of capital in anticipation on Japan's March 31st
fiscal year-end. Short Australian dollar positions resulted in gains as the
Australian dollar fell due to speculation that the Reserve Bank of Australia
would raise interest rates. Short Swiss franc and New Zealand dollar/U.S. dollar
cross-rate positions resulted in gains for Series D as the U.S. dollar rallied
against these currencies amid positive U.S. economic news.
Stock indices (+): Long positions in the TOPIX and London FTSE resulted in
gains as equity indices rose amid optimism regarding an economic recovery.
9
<Page>
Interest rates (-): Global bond markets fell on prospects of economic growth
and news in March that the Fed shifted their view on the economy from weak to
neutral. Long euro bond positions resulted in losses.
Metals (-): Base metals climbed as global economic activity showed signs of
recovery. Short copper positions resulted in losses.
Series D's average net asset levels during First Quarter 2002 have decreased
from First Quarter 2001, primarily due to redemptions and poor trading
performance during 2001, 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 decreased $53,000 during First Quarter 2002 as compared to First
Quarter 2001 primarily due to lower interest rates during First Quarter 2002 as
compared to First Quarter 2001, as well as the decrease in net asset levels, as
discussed above.
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 decreased $23,000 during First
Quarter 2002 as compared to First Quarter 2001 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 decreased $4,000
during First Quarter 2002 as compared to First Quarter 2001 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 First
Quarter 2002 and First Quarter 2001.
General and administrative expenses were $31,000 and $33,000 for First
Quarter 2002 and First Quarter 2001, respectively. These expenses include
accounting, audit, tax and legal fees, as well as printing and postage costs
related to reports sent to limited owners and are before reimbursement of costs
incurred by the Managing Owner on behalf of Series D. 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 are borne by the Managing Owner and its affiliates.
Because applicable expenses exceeded the limits, a portion of these expenses has
been borne by the Managing Owner and its affiliates, resulting in a net cost to
Series D of $16,270 and $21,406 during First Quarter 2002 and First Quarter
2001, respectively.
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
<Page>
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 January 1, 2002 to March 29, 2002.
<Table>
<Caption>
Amount of
---------------------------------
Date of Sale Interests sold Cash received
-------------------------------- -------------- -------------
February 22, 2002 60 $ 4,693
</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--Second Amended and Restated Declaration of Trust and Trust Agreement of
World Monitor Trust II dated as of March 28, 2002 (incorporated by
reference to Exhibits 3.1 and 4.1 to Post-Effective Amendment No. 4 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 Post-Effective Amendment No. 4 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
Post-Effective Amendment No. 4 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 Post-Effective Amendment No. 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/ Barbara J. Brooks Date: May 13, 2002
----------------------------------------
Barbara J. Brooks
Chief Financial Officer
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