<Page>
2002
- -------------------------------------------------------------------------------
World Monitor Trust--Series C Annual
Report
<Page>
LETTER TO LIMITED OWNERS FOR
WORLD MONITOR TRUST--SERIES C
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 C
In our opinion, the accompanying statements of financial condition, including
the condensed schedules 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--Series C at December 31, 2002 and
2001 and the results of its operations and changes in trust capital for each of
the three years in the period ended December 31, 2002 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
February 24, 2003
2
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WORLD MONITOR TRUST--SERIES C
(a Delaware Business Trust)
STATEMENTS OF FINANCIAL CONDITION
<Table>
<Caption>
December 31,
---------------------------
2002 2001
- ---------------------------------------------------------------------------------------------------
ASSETS
Cash in commodity trading accounts $4,516,118 $5,467,182
Net unrealized gain on open futures contracts 178,518 218,663
------------ ----------
Total assets $4,694,636 $5,685,845
------------ ----------
------------ ----------
LIABILITIES AND TRUST CAPITAL
Liabilities
Commissions payable $ 29,502 $ 33,998
Management fees payable 8,074 9,946
Redemptions payable -- 30,609
------------ ----------
Total liabilities 37,576 74,553
------------ ----------
Commitments
Trust capital
Limited interests (55,085.801 and 74,266.692 interests outstanding) 4,605,806 5,545,728
General interests (613 and 878 interests outstanding) 51,254 65,564
------------ ----------
Total trust capital 4,657,060 5,611,292
------------ ----------
Total liabilities and trust capital $4,694,636 $5,685,845
------------ ----------
------------ ----------
Net asset value per limited and general interests $ 83.61 $ 74.67
------------ ----------
------------ ----------
- ---------------------------------------------------------------------------------------------------
</Table>
The accompanying notes are an integral part of these statements.
3
<Page>
WORLD MONITOR TRUST--SERIES C
(a Delaware Business Trust)
Condensed Schedules of Investments
<Table>
<Caption>
At December 31,
-----------------------------------------------------------------
2002 2001
------------------------------- -------------------------------
Net Unrealized Net Unrealized
Gain (Loss) Gain (Loss)
as a % of Net Unrealized as a % of Net Unrealized
Futures Contracts Trust Capital Gain (Loss) Trust Capital Gain (Loss)
- -------------------------------------------------------------------------------------------------------------
Futures contracts purchased:
Stock indices $(12,076) $ 5,543
Interest rates 97,137 1,047
Currencies 35,638 18,150
Commodities 5,300 11,410
-------------- --------------
Net unrealized gain on futures
contracts purchased 2.70% 125,999 0.64% 36,150
-------------- --------------
Futures contracts sold:
Stock indices 47,072 (1,571)
Interest rates 1,750 94,839
Currencies 3,697 81,825
Commodities -- 7,420
-------------- --------------
Net unrealized gain on futures
contracts sold 1.13 52,519 3.25 182,513
------ -------------- ------ --------------
Net unrealized gain on futures
contracts 3.83% $178,518 3.89% $218,663
------ -------------- ------ --------------
------ -------------- ------ --------------
Settlement Currency--Futures Contracts
Euro 0.36% $ 16,954 1.80% $101,142
Hong Kong dollar 0.54 25,146 (0.12) (6,797)
Japanese yen 0.10 4,808 0.04 2,252
U.S. dollar 2.83 131,610 2.17 122,066
------ -------------- ------ --------------
Total 3.83% $178,518 3.89% $218,663
------ -------------- ------ --------------
------ -------------- ------ --------------
- -------------------------------------------------------------------------------------------------------------
</Table>
The accompanying notes are an integral part of these statements.
4
<Page>
WORLD MONITOR TRUST--SERIES C
(a Delaware Business Trust)
STATEMENTS OF OPERATIONS
<Table>
<Caption>
Year Ended December 31,
--------------------------------------------------
2002 2001 2000
- --------------------------------------------------------------------------------------------------------
REVENUES
Net realized gain (loss) on commodity transactions $1,037,859 $ 54,273 $(2,966,111)
Change in net unrealized gain on open commodity
positions (40,145) (1,145,777) 415,646
Interest income 107,787 322,427 720,545
-------------------- ----------- -----------
1,105,501 (769,077) (1,829,920)
-------------------- ----------- -----------
EXPENSES
Commissions 404,170 607,077 590,991
Management fees 104,539 157,049 152,433
-------------------- ----------- -----------
508,709 764,126 743,424
-------------------- ----------- -----------
Net income (loss) $ 596,792 $(1,533,203) $(2,573,344)
-------------------- ----------- -----------
-------------------- ----------- -----------
ALLOCATION OF NET INCOME (LOSS)
Limited interests $ 589,864 $(1,515,619) $(2,531,322)
-------------------- ----------- -----------
-------------------- ----------- -----------
General interests $ 6,928 $ (17,584) $ (42,022)
-------------------- ----------- -----------
-------------------- ----------- -----------
NET INCOME (LOSS) PER WEIGHTED AVERAGE LIMITED AND
GENERAL INTEREST
Net income (loss) per weighted average limited and
general interest $ 9.14 $ (17.34) $ (17.03)
-------------------- ----------- -----------
-------------------- ----------- -----------
Weighted average number of limited and general
interests outstanding 65,324 88,445 151,116
-------------------- ----------- -----------
-------------------- ----------- -----------
- --------------------------------------------------------------------------------------------------------
</Table>
STATEMENTS OF CHANGES IN TRUST CAPITAL
<Table>
<Caption>
LIMITED GENERAL
INTERESTS INTERESTS INTERESTS TOTAL
- -----------------------------------------------------------------------------------------------------
Trust capital--December 31, 1999 192,411.407 $18,227,946 $239,953 $18,467,899
Contributions 9,814.185 823,864 -- 823,864
Net loss (2,531,322) (42,022) (2,573,344)
Redemptions (97,851.579) (6,887,082) (95,319) (6,982,401)
----------- ----------- --------- -----------
Trust capital--December 31, 2000 104,374.013 9,633,406 102,612 9,736,018
Contributions 3,607.238 323,014 -- 323,014
Net loss (1,515,619) (17,584) (1,533,203)
Redemptions (32,836.559) (2,895,073) (19,464) (2,914,537)
----------- ----------- --------- -----------
Trust capital--December 31, 2001 75,144.692 5,545,728 65,564 5,611,292
Contributions 49.340 4,000 -- 4,000
Net income 589,864 6,928 596,792
Redemptions (19,495.231) (1,533,786) (21,238) (1,555,024)
----------- ----------- --------- -----------
Trust capital--December 31, 2002 55,698.801 $ 4,605,806 $ 51,254 $ 4,657,060
----------- ----------- --------- -----------
----------- ----------- --------- -----------
- -----------------------------------------------------------------------------------------------------
</Table>
The accompanying notes are an integral part of these statements.
5
<Page>
WORLD MONITOR TRUST--SERIES C
(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, Prudential Securities Futures Management Inc. (the
'Managing Owner'), is a wholly-owned subsidiary of Prudential Securities
Incorporated ('PSI'), which, in turn, is an indirect wholly-owned subsidiary of
Prudential Financial, Inc. ('Prudential'). PSI is the selling agent for the
Trust, as well as its commodity broker ('Commodity Broker').
In February 2003, Prudential and Wachovia Corp. ('Wachovia') announced an
agreement to combine each company's respective retail securities brokerage and
clearing operations within a new firm, which will be headquartered in Richmond,
Virginia. Under the agreement, Prudential will have a 38% ownership interest in
the new firm and Wachovia will own 62%. The transaction, which includes the
securities brokerage, securities clearing, and debt capital markets operations
of PSI, but does not include the equity sales, trading and research operations
or commodity brokerage and derivative operations of PSI, is anticipated to close
in the third quarter of 2003. The Managing Owner, as well as the Commodity
Broker, will continue to be indirect wholly owned subsidiaries of Prudential.
The Offering
Beneficial interests in each Series ('Interests') were offered once each week
until each Series' subscription maximum was met either through sale or exchange
or until the Managing Owner suspended 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. World
Monitor Trust--Series C ('Series C') completed its initial offering with gross
proceeds of $5,706,177 from the sale of 56,301.770 limited interests and 760
general interests. General interests were sold exclusively to the Managing
Owner.
World Monitor Trust--Series A was offered until it achieved its subscription
maximum of $34,000,000 during November 1999. Interests in World Monitor
Trust--Series B ('Series B') and Series C continued to be offered on a weekly
basis at the then current net asset value per Interest until the Managing Owner
suspended the offering of Interests for each Series. The Managing Owner
suspended the offering of Interests in Series B and Series C and allowed all
selling registrations to expire by April 30, 2002. As such, Interests owned in
one Series of the Trust may no longer be exchanged for Interests of one or more
other Series. While the Managing Owner does not anticipate doing so, it may, at
its own election, reinstate the offering of Interests in Series B and Series C
in the future.
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.
The Trading Advisor
Each Series has its own independent commodity trading advisor that makes that
Series' trading decisions. As of June 7, 2000, Hyman Beck & Company, Inc.
('Hyman Beck') ceased to serve as a trading advisor to Series C. The advisory
agreement among Series C, the Managing Owner and Hyman Beck was automatically
terminated when the assets allocated to Hyman Beck declined by greater than
33 1/3% from their initial allocation on June 10, 1998.
On November 13, 2000, the Managing Owner entered into a new advisory
agreement with Northfield Trading L.P. (the 'Trading Advisor'), an independent
commodities trading advisor, to make the trading decisions for Series C. The new
advisory agreement may be terminated for various reasons, including at the
6
<Page>
discretion of the Managing Owner. The management fee paid to the Trading Advisor
equals 0.0385% of Series C's allocated assets determined as of the close of
business each Friday (an annual rate of 2%), the same as was previously paid to
Hyman Beck. The quarterly incentive fee paid to the Trading Advisor equals 20%
of the 'New High Net Trading Profits' as defined in the advisory agreement among
Series C, the Managing Owner and the Trading Advisor, as compared to 23% paid to
Hyman Beck. Additionally, the Trading Advisor must recoup the cumulative trading
losses of Hyman Beck before it is paid an incentive fee. Furthermore, since
Series C's assets were not allocated to commodities trading from June 8, 2000
until the new Trading Advisor began trading, Series C was not subject to
management fees or commissions during that period.
The Managing Owner has allocated 100% of the proceeds from the initial and
continuous offering of Series C to the Trading Advisor.
Exchanges, Redemptions and Termination
As a result of the Managing Owner having suspended the offering of Interests
in Series B and Series C as discussed in Note A, Interests owned in one Series
of the Trust (Series A, B or C) may no longer be exchanged for Interest of one
or more other Series.
Redemptions are permitted on a weekly basis at the then current net asset
value per Interest. 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 C are prepared in accordance with
accounting principles generally accepted in the United States of America.
Commodity futures and/or 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. Net unrealized gain or loss on open contracts
denominated in foreign currencies and foreign currency holdings are translated
into U.S. dollars at the exchange rates prevailing on the last business day of
the year. Realized gains and losses on commodity transactions are recognized in
the period in which the contracts are closed.
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 C 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 C is treated as a partnership for Federal income tax purposes. As
such, Series C 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
C may be subject to other state and local taxes in jurisdictions in which it
operates.
Profit and loss allocations and distributions
Series C 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
7
<Page>
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.
New Accounting Guidance
In November 2002, the Financial Accounting Standards Board issued
Interpretation No. 45 ('FIN 45'), Guarantor's Accounting and Disclosure
Requirements for Guarantees, Including Indirect Guarantees of Indebtedness of
Others, which Series C adopted at December 31, 2002. FIN 45 elaborates on the
disclosures to be made by a guarantor in its financial statements about its
obligations under certain guarantees that it has issued. Consistent with
standard business practices in the normal course of business, Series C has
provided general indemnifications to the Managing Owner, its Trading Advisor and
others when they act, in good faith, in the best interests of Series C. Series C
is unable to develop an estimate of the maximum potential amount of future
payments that could potentially result from any hypothetical future claim, but
expects the risk of having to make any payments under these general business
indemnifications to be remote.
C. Fees
Organizational, offering, general and administrative costs
PSI or its affiliates paid the costs of organizing Series C 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 C. 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
Series C paid Hyman Beck a management fee at an annual rate of 2% and a
quarterly incentive fee equal to 23% of the 'New High Net Trading Profits' until
June 2000 when Hyman Beck ceased to serve as trading advisor. As of November 13,
2000 a new advisory agreement was executed with the new Trading Advisor whereby
Series C pays the new Trading Advisor a management fee at an annual rate of 2%
and a quarterly incentive fee equal to 20% of the 'New High Net Trading Profits'
as more fully discussed in Note A. The management fee is determined weekly and
the sum of such weekly amounts is paid monthly. 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 C pays a fixed fee for
brokerage services rendered at an annual rate of 7.75% of Series C'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 C, 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 C's routine operational,
administrative, legal and auditing costs. Additionally, PSI or its affiliates
paid the costs associated with offering Series C's Interests.
The costs charged to Series C for brokerage services for the years ended
December 31, 2002, 2001 and 2000 were $404,170, $607,077 and $590,991,
respectively.
All of the proceeds of the offering of Series C were received in the name of
Series C and were deposited in trading or cash accounts at PSI, Series C's
commodity broker. Series C's assets are maintained with PSI for margin purposes.
PSI credits Series C monthly with 100% of the interest it earns on the average
net assets in Series C's accounts.
Series C, 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
8
<Page>
over-the-counter currency transactions are conducted between PSI and Series C
pursuant to a line of credit. PSI may require that collateral be posted against
the marked-to-market positions of Series C.
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 C 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 C'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 C's net assets being
traded, significantly exceeds Series C's future cash requirements since Series C
intends to close out its open positions prior to settlement. As a result, Series
C is generally subject only to the risk of loss arising from the change in the
value of the contracts. As such, Series C 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 C's commitments to purchase commodities
is limited to the gross or face amount of the contracts held. However, when
Series C 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 or settle in cash. Since the repurchase
price to which a commodity can rise is unlimited, entering into commitments to
sell commodities exposes Series C 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 C holds and the liquidity and inherent
volatility of the markets in which Series C trades.
Credit risk
When entering into futures or forward contracts, Series C 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 C enters into forward
transactions, the sole counterparty is PSI, Series C's commodity broker. Series
C 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 on all of Series C's contracts is
the net unrealized gain included in the statements of financial condition;
however, counterparty non-performance on only certain of Series C's contracts
may result in greater loss than non-performance on all of Series C's contracts.
There can be no assurance that any counterparty, clearing member or
clearinghouse will meet its obligations to Series C.
The Managing Owner attempts to minimize both credit and market risks by
requiring Series C 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 C, the Managing
Owner and the trading advisor, Series C shall automatically terminate the
Trading Advisor if the net asset value allocated to the Trading Advisor declines
by 33 1/3% from
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the value at the beginning of any year or since the effective date of the
advisory agreement. Furthermore, the Second Amended and Restated Declaration of
Trust and Trust Agreement provides that Series C will liquidate its positions,
and eventually dissolve, if Series C 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 C.
PSI, when acting as Series C'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 C all assets of Series C relating to
domestic futures trading and is not permitted to commingle such assets with
other assets of PSI. At December 31, 2002, such segregated assets totalled
$1,676,320. Part 30.7 of the CFTC regulations also requires PSI to secure assets
of Series C related to foreign futures trading which totalled $3,018,316 at
December 31, 2002. There are no segregation requirements for assets related to
forward trading.
As of December 31, 2002, all of Series C's open futures contracts mature
within six months.
G. Financial Highlights
<Table>
<Caption>
Year ended December 31,
--------------------------------------
2002 2001
----------------- -----------------
Performance per Interest
Net asset value, beginning of period $ 74.67 $ 93.28
-------- -----------------
Net realized gain and change in net unrealized gain on
commodity transactions 15.13 (13.51)
Interest income 1.65 3.53
Expenses (7.84) (8.63)
-------- -----------------
Net increase (decrease) for the period 8.94 (18.61)
-------- -----------------
Net asset value, end of period $ 83.61 $ 74.67
-------- -----------------
-------- -----------------
Total return 11.97% (19.95)%
Ratio to average net assets
Interest income 2.07% 4.11%
Expenses 9.76% 9.74%
</Table>
These financial highlights represent the overall results of Series C
during 2002 and 2001. An individual limited owner's actual results may differ
depending on the timing of contributions and redemptions.
10
<Page>
- --------------------------------------------------------------------------------
I hereby affirm that, to the best of my knowledge and belief, the
information contained herein relating to World Monitor Trust--Series C is
accurate and complete.
PRUDENTIAL SECURITIES
FUTURES MANAGEMENT INC.
(Managing Owner)
By: Steven Weinreb
Chief Financial Officer
- --------------------------------------------------------------------------------
11
<Page>
WORLD MONITOR TRUST--SERIES C
(a Delaware Business Trust)
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL
CONDITION AND RESULTS OF OPERATIONS
Liquidity and Capital Resources
Series C commenced operations on June 10, 1998 with gross proceeds of
$5,706,177 allocated to commodities trading. Additional contributions raised
through the continuous offering from the sales of Interests for the years ended
December 31, 2002 and 2001 and for the period from June 10, 1998 (commencement
of operations) to December 31, 2002 result in additional gross proceeds to
Series C of $4,000, $323,014 and $18,027,985, respectively. The Managing Owner
suspended the offering of Interests in Series B and Series C and allowed all
selling registrations to expire by April 30, 2002 as more fully discussed in
Note A to the financial statements.
Interests in Series C 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 and general interests for the year ended
December 31, 2002 were $1,533,786 and $21,238, respectively; for the year ended
December 31, 2001 were $2,895,073 and $19,464, respectively; and for the period
from June 10, 1998 (commencement of operations) to December 31, 2002 were
$14,267,065 and $136,021, respectively. Future redemptions will impact the
amount of funds available for investment in commodity contracts in subsequent
periods.
At December 31, 2002, 100% of Series C's net assets were allocated to
commodities trading. A significant portion of the net assets was held in cash,
which was used as margin for Series C's trading in commodities. Inasmuch as the
sole business of Series C is to trade in commodities, Series C continues to own
such liquid assets to be used as margin. PSI credits Series C monthly with 100%
of the interest it earns on the average net assets in Series C'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 C from promptly liquidating its commodity
futures positions.
Since Series C'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 C'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 C's speculative trading, as well as the development of drastic market
occurrences, could result in monthly losses considerably beyond Series C'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 C 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 C's futures and forward contracts.
Series C 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, 2002 was $83.61, an
increase of 11.97% from the December 31, 2001 net asset value per Interest of
$74.67, which was a decrease of 19.95% from the December 31, 2000 net asset
value per Interest of $93.28. The CISDM Fund/Pool Qualified Universe Index
(formerly the Zurich Fund/Pool Qualified Universe Index) returned 11.99% and
7.52% for the years ended December 31, 2002 and 2001, respectively. The CISDM
Fund/Pool Qualified Universe Index is the dollar weighted, total return of all
commodity pools tracked by Managed Account Reports, LLC. Past performance is not
necessarily indicative of future results.
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Series C's trading gains/(losses) before commissions were $998,000,
$(1,092,000) and $(2,550,000) during the years ended December 31, 2002, 2001 and
2000, respectively. Due to the nature of Series C's trading activities, a period
to period comparison of its trading results is not meaningful. Additionally,
Series C did not participate in commodities trading during the period from the
termination of Hyman Beck as a trading advisor to Series C to the commencement
of trading activities by Northfield Trading L.P. as further discussed below.
However, a detailed discussion of Series C's 2002 trading results is presented
below.
Net losses for Series C were experienced in the softs sector. Profits were
the result of gains in the energy, currency, interest rate and index sectors.
In the commodity markets, cotton rallied in the second quarter of the year as
news of excessive rain and unseasonably cold weather in China led to a reduction
of the estimated cotton crop output. Short cotton positions incurred losses
resulting in net losses for Series C.
Energy markets were volatile at the beginning of the year, but rose toward
the first 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. Energy prices declined in the second quarter
amid increased U.S. stock suggesting ample supply for the summer season and
anticipation that Russia would discontinue output restrictions. Through the end
of the year, energy markets climbed as fears of impending war with Iraq and the
Venezuelan oil strike pushed crude oil prices up significantly. Crude oil rose
from the low $20's per barrel earlier in the year to approximately $30 a barrel
at year-end. Net gains for the Trust resulted from long natural gas and crude
oil positions.
In foreign exchange markets, the U.S. dollar remained strong in the first
quarter against most major foreign currencies as the U.S. economy exhibited
signs of recovery. The Japanese yen started the first 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 first quarter but rallied in March amid hopes of an economic recovery. In
the second quarter, weak U.S. economic growth in relation to other economies and
concerns regarding accounting irregularities in major U.S. corporations drove
the dollar downward against the euro, British pound, Swiss franc and Japanese
yen. The U.S. dollar reversed its trend in the beginning of the fourth quarter
but traded lower against many major foreign currencies in December. The euro
surpassed parity with the U.S. dollar early in the fourth quarter as investors1
desire for U.S. assets decreased, but ended the quarter lower, while the
Japanese yen weakened as worries regarding the Japanese economy persisted. The
market reacted to the sluggish U.S. economy, weaker foreign demand for the U.S.
dollar and expectations of war with Iraq. The Japanese yen was weak throughout
the quarter as a result of Japan's poor economy and the country's banking crisis
while the British pound and Canadian dollar strengthened as a result of positive
economic data. Long Japanese yen and euro positions resulted in net gains for
Series C.
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 first quarter in response to
stronger than expected economic data and indications that the U.S. Federal
Reserve Bank (the 'Fed') would lean towards increasing rates in the near future.
The Fed kept rates unchanged at 1.75% throughout the first three quarters of the
year. Other central banks, including the European Central Bank and the Bank of
Japan, generally followed the lead of the Fed leaving rates unchanged and
foreign bond markets rose as well. In the second half of the year, the Japanese
bond market was particularly strong as the Japanese economy continued to
struggle with recession and investors fled to bonds for safety. Global bond
prices in the fourth quarter were slightly weaker as interest rates rose in
response to the stock market rally and optimism on economic prospects. This
trend reversed when the Fed cut interest rates by 50 basis points to 1.25%, a
new 40-year low, at its first quarterly meeting in November. This was the first
rate cut of 2002, following 11 cuts in 2001. The Fed also switched its economic
outlook for the near future from a bias toward 'economic weakness' to
'balanced'. U.S., Japanese and European bond markets ended the year strong,
resulting in net gains for long European and U.S. Treasury bond positions.
Global equity indices began the year choppily due to continuing weak
economies and concerns about balance sheet reporting and accounting
irregularities. Positive data and hopes of an economic recovery boosted stock
markets towards the middle of the first quarter. However, as investor confidence
collapsed in response to concerns about accounting transparency at some firms,
heightened tension in the Middle East, and decreased corporate sales and
profits, global equity markets moved sharply lower throughout the second
quarter. This resulted in investors re-evaluating their outlook for a near-term
economic recovery. Equity markets rallied in mid October, triggered by a surge
of global economic optimism, but fell once again
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towards the end of the year providing a negative return for the third
consecutive year. Overall, equity markets around the world showed poor
performance for 2002. In the U.S., the Dow Jones Industrial Average was down
16.76% for the year while the S&P 500 was down 23.37%. The London FTSE returned
a negative 24.48% and the Hong Kong Hang Seng Index ended the year down 18.21%.
Overall, short positions in the Hong Kong Hang Seng and Euro DAX resulted in net
gains for Series C.
As of June 7, 2000, Hyman Beck ceased to serve as trading advisor to Series
C. The advisory agreement among Series C, the Managing Owner and Hyman Beck was
automatically terminated when the assets allocated to Hyman Beck declined by
greater than 33 1/3% from their initial allocation on June 10, 1998.
On November 13, 2000, the Managing Owner entered into a new advisory
agreement with the Trading Advisor to make the trading decisions for Series C.
The management fee paid to the Trading Advisor equals 0.0385% of Series C's
allocated assets determined as of the close of business each Friday (an annual
rate of 2%), the same fee as was previously paid to Hyman Beck. The quarterly
incentive fee paid to the Trading Advisor equals 20% of the 'New High Net
Trading Profits' as defined in the advisory agreement among Series C, the
Managing Owner and the Trading Advisor, as compared to 23% paid to Hyman Beck.
Additionally, the Trading Advisor must recoup the cumulative trading losses of
Hyman Beck before it is paid an incentive fee. Furthermore, since Series C's
assets were not allocated to commodities trading from June 8, 2000 until the new
Trading Advisor began trading, Series C was not subject to management fees or
commissions during that period.
Fluctuations in overall average net asset levels have led to corresponding
fluctuations in interest earned and commissions and management fees incurred by
Series C, which are largely based on the level of its net assets. Series C's
average net asset levels were significantly lower during the year ended December
31, 2002 versus 2001, primarily due to redemptions offset, in part, by favorable
trading performance during 2002. Series C's average net asset levels were
significantly lower during the year ended December 31, 2001 versus 2000,
primarily from redemptions and unfavorable trading performance during 2001.
Interest income is earned on Series C's average net assets held at PSI and,
therefore, varies weekly according to weekly trading performance, contributions
and redemptions. Interest income decreased by $215,000 during 2002 as compared
to 2001, primarily due to fluctuations in net asset levels as discussed above.
Interest income decreased $398,000 during 2001 as compared to 2000 due to the
fluctuations in net asset levels as discussed above. Additionally, declining
interest rates during 2002 and 2001 contributed to the decrease in interest
income earned.
Commissions are calculated on Series C's net asset value at the end of each
week and, therefore, vary according to weekly trading performance, contributions
and redemptions. Commissions decreased $203,000 during 2002 as compared to 2001,
but increased $16,000 during 2001 as compared to 2000 due to the fluctuations in
average net asset levels, as well as the postponement of commissions charged to
Series C by PSI on the net assets unallocated to commodities trading as
discussed above.
Management fees are calculated on Series C's net asset value at the end of
each week and, therefore, are affected by weekly trading performance,
contributions and redemptions. Management fees decreased $53,000 during 2002 as
compared to 2001, but increased $5,000 during 2001 as compared to 2000 due to
the fluctuations in average net asset levels, as well as the termination of
Hyman Beck as the trading advisor of Series C 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 C, the
Managing Owner and the trading advisor. Series C did not incur an incentive fee
during 2000, 2001 and 2002.
Inflation
Inflation has had no material impact on operations or on the financial
condition of Series C from inception through December 31, 2002.
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OTHER INFORMATION
The actual round-turn equivalent of brokerage commissions paid per contract
for the year ended December 31, 2002 was $22.
Series C'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 C/0TH
Peck Slip Station
P.O. Box 2303
New York, New York 10273-0005
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0TH
Peck Slip Station BULK RATE
P.O. Box 2303 U.S. POSTAGE
New York, NY 10273-0005 PAID
Automatic Mail