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UNITED STATES
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 28, 2003
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: 0-25787
WORLD MONITOR TRUST--SERIES B
- --------------------------------------------------------------------------------
(Exact name of Registrant as specified in its charter)
Delaware 13-3985041
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(State or other jurisdiction of (I.R.S. Employer Identification No.)
incorporation or organization)
One New York Plaza, 13th Floor, New York, New York 10292
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(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code (212) 778-7866
N/A
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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 __
Indicate by check CK whether the Registrant is an accelerated filer (as
defined in Rule 12b-2 of the Securities Exchange Act of 1934). Yes __ No _CK
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PART I. FINANCIAL INFORMATION
ITEM I. FINANCIAL STATEMENTS
WORLD MONITOR TRUST--SERIES B
(a Delaware Business Trust)
STATEMENTS OF FINANCIAL CONDITION
(Unaudited)
<Table>
<Caption>
March 28, December 31,
2003 2002
- ---------------------------------------------------------------------------------------------------
ASSETS
Cash in commodity trading accounts $9,832,886 $8,801,236
Net unrealized (loss) gain on open futures contracts (51,118) 386,286
Net unrealized gain on open forward contracts -- 138,419
Accrued interest receivable 11,934 --
---------- ------------
Total assets $9,793,702 $9,325,941
---------- ------------
---------- ------------
LIABILITIES AND TRUST CAPITAL
Liabilities
Net unrealized loss on open forward contracts $ 118,196 $ --
Commissions payable 56,926 60,800
Redemptions payable 36,324 --
Management fees payable 11,200 15,911
---------- ------------
Total liabilities 222,646 76,711
---------- ------------
Commitments
Trust capital
Limited interests (74,032.543 and 76,607.531 interests outstanding) 9,457,614 9,143,245
General interests (888.000 interests outstanding) 113,442 105,985
---------- ------------
Total trust capital 9,571,056 9,249,230
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Total liabilities and trust capital $9,793,702 $9,325,941
---------- ------------
---------- ------------
Net asset value per limited and general interest ('Interests') $ 127.75 $ 119.35
---------- ------------
---------- ------------
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The accompanying notes are an integral part of these statements.
</Table>
2
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WORLD MONITOR TRUST--SERIES B
(a Delaware Business Trust)
Condensed Schedules of Investments
(Unaudited)
<Table>
<Caption>
March 28, 2003 December 31, 2002
-------------------------------- --------------------------------
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 $ 13,520 $ --
Interest rates (4,677) 260,697
Currencies -- 144,825
Commodities (108,943) (3,277)
-------------- --------------
Net unrealized (loss) gain on
futures contracts purchased (1.04)% (100,100) 4.35% 402,245
-------------- --------------
Futures contracts sold:
Stock indices (16,449) 19,803
Interest rates (19,522) --
Commodities 84,953 (35,762)
-------------- --------------
Net unrealized gain (loss) on
futures contracts sold 0.51 48,982 (0.17) (15,959)
------ -------------- ------ --------------
Net unrealized (loss) gain on
futures contracts (0.53)% $ (51,118) 4.18% $386,286
------ -------------- ------ --------------
------ -------------- ------ --------------
Forward currency contracts purchased (0.87)% $ (83,346) 1.66% $153,111
Forward currency contracts sold (0.36) (34,850) (0.16) (14,692)
------ -------------- ------ --------------
Net unrealized (loss) gain on
forward contracts (1.23)% $ (118,196) 1.50% $138,419
------ -------------- ------ --------------
------ -------------- ------ --------------
Settlement Currency--Futures Contracts
Euro (0.08)% $ (8,019) 1.42% $131,347
Japanese yen (0.22) (20,546) 0.27 25,184
Australian dollar (0.05) (5,052) 0.77 70,714
U.S. dollar (0.18) (17,501) 1.72 159,041
------ -------------- ------ --------------
Total (0.53)% $ (51,118) 4.18% $386,286
------ -------------- ------ --------------
------ -------------- ------ --------------
Settlement Currency--Forward Contracts
Japanese yen (0.01)% $ (947) (0.34)% $(31,459)
U.S. dollar (1.22) (117,249) 1.84 169,878
------ -------------- ------ --------------
Total (1.23)% $ (118,196) 1.50% $138,419
------ -------------- ------ --------------
------ -------------- ------ --------------
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The accompanying notes are an integral part of these statements.
</Table>
3
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WORLD MONITOR TRUST--SERIES B
(a Delaware Business Trust)
STATEMENTS OF OPERATIONS
(Unaudited)
<Table>
<Caption>
For the period from For the period from
January 1, 2003 January 1, 2002
to to
March 28, 2003 March 29, 2002
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REVENUES
Net realized gain (loss) on commodity transactions $1,539,130 $ (235,344)
Change in net unrealized gain/loss on open commodity
positions (694,019) 167,044
Interest income 33,514 56,055
-------------------- --------------------
878,625 (12,245)
-------------------- --------------------
EXPENSES
Commissions 180,861 192,058
Management fees 46,605 49,492
-------------------- --------------------
227,466 241,550
-------------------- --------------------
Net income (loss) $ 651,159 $ (253,795)
-------------------- --------------------
-------------------- --------------------
ALLOCATION OF NET INCOME (LOSS)
Limited interests $ 643,702 $ (250,604)
-------------------- --------------------
-------------------- --------------------
General interests $ 7,457 $ (3,191)
-------------------- --------------------
-------------------- --------------------
NET INCOME (LOSS) PER WEIGHTED AVERAGE LIMITED
AND GENERAL INTEREST
Net income (loss) per weighted average limited
and general interest $ 8.53 $ (2.65)
-------------------- --------------------
-------------------- --------------------
Weighted average number of limited and general
interests outstanding 76,342 95,922
-------------------- --------------------
-------------------- --------------------
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</Table>
STATEMENT OF CHANGES IN TRUST CAPITAL
(Unaudited)
<Table>
<Caption>
LIMITED GENERAL
INTERESTS INTERESTS INTERESTS TOTAL
- -----------------------------------------------------------------------------------------------------
Trust capital--December 31, 2002 77,495.531 $9,143,245 $105,985 $9,249,230
Net income 643,702 7,457 651,159
Redemptions (2,574.988) (329,333) -- (329,333)
---------- ---------- --------- ----------
Trust capital--March 28, 2003 74,920.543 $9,457,614 $113,442 $9,571,056
---------- ---------- --------- ----------
---------- ---------- --------- ----------
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The accompanying notes are an integral part of these statements.
</Table>
4
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WORLD MONITOR TRUST--SERIES B
(a Delaware Business Trust)
NOTES TO FINANCIAL STATEMENTS
March 28, 2003
(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--Series B ('Series B') as of March 28, 2003 and December 31, 2002
and the results of its operations for the periods from January 1, 2003 to March
28, 2003 ('First Quarter 2003') and January 1, 2002 to March 29, 2002 ('First
Quarter 2002'). However, the operating results for the 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 B's Annual Report on Form 10-K filed with
the Securities and Exchange Commission for the year ended December 31, 2002.
The Managing Owner suspended the offering of Interests in Series B and World
Monitor Trust--Series C ('Series C') upon the expiration of selling
registrations, which expired by April 30, 2002.
B. Related Parties
The Managing Owner of Series B is a wholly-owned subsidiary of Prudential
Securities Incorporated ('PSI'), which, in turn, is an indirect wholly-owned
subsidiary of Prudential Financial, Inc. The Managing Owner or its affiliates
perform services for Series B 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. Except for costs related to brokerage services, PSI or its affiliates
pay all costs of these services in addition to Series B's routine operational,
administrative, legal and auditing costs. Additionally, PSI or its affiliates
paid the costs associated with offering Series B's Interests.
The costs charged to Series B for brokerage services for First Quarter 2003
and First Quarter 2002 were $180,861, and $192,058, respectively.
All of the proceeds of the offering of Series B were received in the name of
Series B and were deposited in trading or cash accounts at PSI, Series B's
commodity broker. Series B's assets are maintained with PSI for margin purposes.
PSI credits Series B monthly with 100% of the interest it earns on the average
net assets in Series B's accounts.
Series B, 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 B pursuant to a line of credit. PSI may require that collateral
be posted against the marked-to-market positions of Series B.
C. Derivative Instruments and Associated Risks
Series B is exposed to various types of risk 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 B'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 B's net assets being
traded, significantly exceeds Series B's future cash requirements since Series B
intends to close out its open positions
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prior to settlement. As a result, Series B is generally subject only to the risk
of loss arising from the change in the value of the contracts. As such, Series B
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
B's commitments to purchase commodities is limited to the gross or face amount
of the contracts held. However, when Series B 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 B 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 B holds and the liquidity and inherent
volatility of the markets in which Series B trades.
Credit risk
When entering into futures or forward contracts, Series B 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 nonperformance 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, there is concentration risk on
forward transactions entered into by Series B as PSI, Series B's commodity
broker, is the sole counterparty. Series B 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
nonperformance of all of Series B's contracts is the net unrealized gain
included in the statements of financial condition; however, counterparty
nonperformance on only certain of Series B's contracts may result in greater
loss than nonperformance on all of Series B's contracts. There can be no
assurance that any counterparty, clearing member or clearinghouse will meet its
obligations to Series B.
The Managing Owner attempts to minimize both credit and market risks by
requiring Series B 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 B, the Managing
Owner and the trading advisor, Series B 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 commencement
of trading activities. Furthermore, the Second Amended and Restated Declaration
of Trust and Trust Agreement provides that Series B will liquidate its
positions, and eventually dissolve, if Series B experiences a decline in the net
asset value of 50% from the value at the beginning of any year or since the
commencement of trading activities. In each case, the decline in net asset value
is after giving effect for distributions, contributions and redemptions. The
Managing Owner may impose additional restrictions (through modifications of
trading limitations and policies) upon the trading activities of the trading
advisor as it, in good faith, deems to be in the best interests of Series B.
PSI, when acting as Series B'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 B all assets of Series B relating to
domestic futures trading and is not permitted to commingle such assets with
other assets of PSI. At March 28, 2003, such segregated assets totalled
$5,617,530. Part 30.7 of the CFTC regulations also requires PSI to secure assets
of Series B related to foreign futures trading which totalled $4,164,238 at
March 28, 2003. There are no segregation requirements for assets related to
forward trading.
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As of March 28, 2003, all of Series B's open futures and forward contracts
mature within three months.
D. Financial Highlights
<Table>
<Caption>
First Quarter 2003 First Quarter 2002
------------------ ------------------
Performance per Interest
Net asset value, beginning of period $ 119.35 $ 108.57
Net realized gain (loss) and change in
net unrealized gain/loss
on commodity transactions 10.95 (0.73)
Interest income 0.44 0.59
Expenses (2.99) (2.52)
------------------ ------------------
Net increase (decrease) for the period 8.40 (2.66)
------------------ ------------------
Net asset value, end of period $ 127.75 $ 105.91
------------------ ------------------
------------------ ------------------
Total return 7.04% (2.45)%
Ratio to average net assets (annualized)
Interest income 1.39% 2.19%
Expenses 9.40% 9.42%
</Table>
These financial highlights represent the overall results of Series B during
First Quarter 2003 and First Quarter 2002. An individual limited owner's actual
results may differ depending on the timing of contributions and redemptions.
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WORLD MONITOR TRUST--SERIES B
(a Delaware Business Trust)
ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL
CONDITION AND RESULTS OF OPERATIONS
Liquidity and Capital Resources
Series B commenced operations on June 10, 1998 with gross proceeds of
$5,709,093 allocated to commodities trading. Additional contributions raised
through the continuous offering for the period from June 10, 1998 (commencement
of operations) to April 30, 2002 resulted in additional gross proceeds to Series
B of $24,385,015. 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 World Monitor Trust may no
longer be exchanged for the Interests of one or more other Series.
Interests in Series B 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 2003 and for the period from
June 10, 1998 (commencement of operations) to March 28, 2003 were $329,333 and
$21,677,012, respectively. While there were no redemptions of general interests
for First Quarter 2003, redemptions of general interests for the period from
June 10, 1998 (commencement of operations) to March 28, 2003 totalled $188,201.
Future redemptions will impact the amount of funds available for investment in
commodity contracts in subsequent periods.
At March 28, 2003, 100% of Series B'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 B's trading in commodities. Inasmuch as the
sole business of Series B is to trade in commodities, Series B continues to own
such liquid assets to be used as margin. PSI credits Series B monthly with 100%
of the interest it earns on the average net assets in Series B'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 B from promptly liquidating its commodity
futures positions.
Since Series B'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 B'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 B's
speculative trading as well as the development of drastic market occurrences
could result in monthly losses considerably beyond Series B'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
B 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 B's futures and forward contracts.
Series B does not have, nor does it expect to have, any capital assets.
Results of Operations
The net asset value per Interest as of March 28, 2003 was $127.75, an
increase of 7.04% from the December 31, 2002 net asset value per Interest of
$119.35. Past performance is not necessarily indicative of future results.
Series B's trading gains (losses) before commissions were $845,000 during
First Quarter 2003 compared to $(68,000) for the corresponding period in the
prior year. Due to the nature of Series B's trading activities, a
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period to period comparison of its trading results is not meaningful. However, a
detailed discussion of Series B's First Quarter 2003 trading results is
presented below.
Quarterly Market Overview
Global economic activity for the first quarter of 2003 was characterized by
weakness and volatility. The U.S. economy exhibited signs of a slowdown as
consumers and businesses continued to reduce spending due to concerns regarding
the war in Iraq, SARS outbreak, high oil price premiums, weak corporate profits
and depressed global economies. With the exception of steady automobile orders
and existing home sales fueled by attractive interest rates, retail sales
continued to be sluggish. Labor market indicators were negative and
manufacturing contracted. Foreign economies generally mirrored that of the U.S.
In Europe and Asia, economic recovery appeared to have slowed, but Canada
recorded moderate economic expansion.
Indices: Major global equity markets rallied early in the quarter but slid on
fears of an impending war with Iraq, possible terrorism and geopolitical
tension. Anticipation of a quick decisive victory in Iraq resulted in a brief
market run up in mid-March. However, toward the end of the quarter, markets were
whipsawed as investors responded to every turn of military events in the Middle
East. Ultimately, the markets ended the quarter lower as investors awaited a
resolution. The Dow Jones Industrial Average closed down 4.2% and the S&P 500
dropped 3.2%. Several encouraging earnings reports boosted the Nasdaq Composite
resulting in a net gain of 0.42% for the quarter. Japan's Nikkei 225 stock index
hit a 20-year low at the end of the first quarter.
Interest rates: At both the January and March meetings, the U.S. Federal
Reserve left the federal funds rate unchanged at the 41-year low of 1.25%. In
mid-March, initial optimism for the Coalition Forces' success in Iraq resulted
in a shift by investors to junk bonds and stocks marking the worst setback for
the U.S. Treasury markets in 18 months. U.S. Treasury yields increased by 41
basis points from a 44-year low, incurring the biggest weekly increase in yield
since November 2001. Toward the end of the quarter, uncertainty about the war
led investors to take defensive positions, with the price of 10-year Treasury
notes ending the quarter up 3.81%. In Europe, the European Central Bank cut
interest rates by 0.25% in the beginning of March. The lowered interest rate
coupled with weak global economic growth prospects resulted in the strengthening
of European bond prices.
Currencies: Perceptions of quick success in Iraq boosted the U.S. dollar
versus many foreign currencies. However, concerns that the war would disrupt the
U.S. economy strengthened the euro against the U.S. dollar. For the first time
in three years, the exchange rate between the euro and U.S. dollar reached
$1.10. As a result, the U.S. dollar ended the quarter down against the euro and
the Japanese yen. In Canada, the Bank of Canada increased its overnight
interest rate in March in response to inflation concerns, resulting in the
strengthening of the Canadian dollar.
Energies: Price increases in the world oil markets at the beginning of the
first quarter were fed by concerns of supply disruptions due to the conflict in
Iraq, civil strife in Venezuela, anticipation of a Nigerian strike and tensions
on the Korean peninsula. In mid-March, anticipation of a quick resolution of the
war in Iraq coupled with the end of an extended cold snap in the northeastern
United States led to a significant reversal in energy prices. However, at
quarter-end, fears of the possibility of a prolonged war in Iraq and low
supplies pushed energy futures prices higher despite the securing of Iraqi oil
wells.
Softs: Cocoa prices declined as a result of the continuing political
stability in the Ivory Coast. Expectations for less rain in the U.S. plains
states boosted wheat prices toward the end of the quarter and corn prices rose
as a result of bullish prospective planting and stocks data released by U.S.
Department of Agriculture. Soybean futures declined as a result of rain in key
growing regions in Southern Argentina and weaker overseas prices.
Quarterly Performance of Series B
The following is a summary of performance for the major sectors in which
Series B traded:
Interest rates: (+): Concerns around the war in Iraq, poor performance in the
equity markets and weak global economies strengthened Japanese, U.S. Treasury
and European bond prices resulting in net gains for long positions.
Energies (+): Long natural gas positions resulted in net gains as prices rose
amid expectations of unseasonable cold weather in Northeastern U.S. and sharp
drawdown of storage levels.
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Currencies (+): The U.S. dollar fell against many foreign currencies amid
concerns that the war in Iraq would disrupt the U.S. economy. Long Australian
dollar/U.S. dollar positions resulted in net gains.
Indices (+): Global equity markets declined throughout the quarter resulting
in net gains for short positions in the Euro DAX and S&P 500 indexes.
Metals (+): Short gold positions resulted in gains as gold prices declined
from highs earlier in the year.
Decreases in interest income, commissions and management fees during First
Quarter 2003 as compared to First Quarter 2002 are primarily due to the effect
of redemptions during 2003 and 2002 on Series B's weekly net asset values
offset, in part, by favorable trading performance during 2002 and 2003, as
further discussed below.
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 by $23,000 during First
Quarter 2003 as compared to First Quarter 2002 due to the decrease in average
net asset levels discussed above as well as lower overall interest rates during
2003 versus 2002.
Commissions are calculated on Series B's net asset value at the end of each
week and, therefore, vary according to weekly trading performance, contributions
and redemptions. Commissions decreased by $11,000 during First Quarter 2003 as
compared to First Quarter 2002 due to the decrease in average net asset levels
as discussed above.
All trading decisions for Series B are made by Eclipse Capital Management,
Inc. (the 'Trading Advisor'). Management fees are calculated on Series B's net
asset value at the end of each week and, therefore, are affected by weekly
trading performance, contributions and redemptions. Management fees decreased by
$3,000 during First Quarter 2003 as compared to First Quarter 2002 due to the
decrease in average net asset levels as discussed above.
Incentive fees are based on the 'New High Net Trading Profits' generated by
the Trading Advisor, as defined in the advisory agreement among Series B, the
Managing Owner and the trading advisor. Series B did not incur an incentive fee
during First Quarter 2003 or First Quarter 2002.
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.
ITEM 4. CONTROLS AND PROCEDURES
Within 90 days prior to the date of this report, the Managing Owner carried
out an evaluation, under the supervision and with the participation of the
officers of the Managing Owner, including the Managing Owner's Chief Executive
Officer and Chief Financial Officer, of the effectiveness of the design and
operation of Series B's disclosure controls and procedures. Based upon that
evaluation, the Managing Owner's Chief Executive Officer and Chief Financial
Officer concluded that Series B's disclosure controls and procedures are
effective. There were no significant changes in Series B's internal controls or
in other factors that could significantly affect these controls subsequent to
the date of their evaluation.
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PART II. OTHER INFORMATION
Item 1. Legal Proceedings--There are no material legal proceedings pending by or
against the Registrant or the Managing Owner.
Item 2. Changes in Securities--None
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. Exhibits and Reports on Form 8-K:
(a) Exhibits--
3.1
and
4.1--Second Amended and Restated Declaration of Trust and Trust
Agreements of World Monitor Trust dated as of March 17, 1998
(incorporated by reference to Exhibits 3.1 and 4.1 to Series B's
Registration Statement on Form S-1, File No. 333-43041)
4.2--Form of Request for Redemption (incorporated by reference
to Exhibit 4.2 to Series B's Registration Statement on Form
S-1, File No. 333-43041)
4.3--Form of Exchange Request (incorporated by reference
to Exhibit 4.3 to Series B's Registration Statement
on Form S-1, File No. 333-43041)
4.4--Form of Subscription Agreement (incorporated by reference to
Exhibit 4.4 to Series B's Registration Statement on Form S-1,
File No. 333-43041)
99.1--Certificate pursuant to 18 U.S.C. Section 1350 as adopted
pursuant to Section 906 of the SARBANES-OXLEY Act of
2002 (filed herewith)
(b) Reports on Form 8-K--None
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
Registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.
WORLD MONITOR TRUST--SERIES B
By: Prudential Securities Futures Management Inc.
A Delaware corporation, Managing Owner
By: /s/ Steven Weinreb Date: May 12, 2003
----------------------------------------
Steven Weinreb
Chief Financial Officer
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CERTIFICATIONS
I, Eleanor L. Thomas, certify that:
1. I have reviewed this quarterly report on Form 10-Q of World Monitor
Trust--Series B ('Series B');
2. Based on my knowledge, this quarterly report does not contain any untrue
statement of a material fact or omit to state a material fact necessary
to make the statements made, in light of the circumstances under which
such statements were made, not misleading with respect to the period
covered by this quarterly report;
3. Based on my knowledge, the financial statements, and other financial
information included in this quarterly report, fairly present in all
material respects the financial condition, results of operations and cash
flows of Series B as of, and for, the periods presented in this quarterly
report;
4. Series B's other certifying officers and I are responsible for
establishing and maintaining disclosure controls and procedures (as
defined in Exchange Act Rules 13a-14 and 15d-14) for Series B and we
have:
a) designed such disclosure controls and procedures to ensure
that material information relating to Series B, including its
consolidated subsidiaries, is made known to us by others
within those entities, particularly during the period in
which this quarterly report is being prepared;
b) evaluated the effectiveness of Series B's disclosure controls
and procedures as of a date within 90 days prior to the
filing date of this quarterly report (the 'Evaluation Date');
and
c) presented in this quarterly report our conclusions about the
effectiveness of the disclosure controls and procedures based
on our evaluation as of the Evaluation Date;
5. Series B's other certifying officers and I have disclosed, based on our
most recent evaluation, to Series B's auditors and the board of directors
of the managing owner of Series B:
a) all significant deficiencies in the design or operation of
internal controls which could adversely affect Series B's
ability to record, process, summarize and report financial
data and have identified for Series B's auditors any material
weaknesses in internal controls; and
b) any fraud, whether or not material, that involves management
or other employees who have a significant role in Series B's
internal controls; and
6. Series B's other certifying officers and I have indicated in this
quarterly report whether or not there were significant changes in
internal controls or in other factors that could significantly affect
internal controls subsequent to the date of our most recent evaluation,
including any corrective actions with regard to significant deficiencies
and material weaknesses.
Date: May 12, 2003 /s/ Eleanor L. Thomas
--------------------------------------
Eleanor L. Thomas
President (chief executive officer)
of the managing owner of Series B
I, Steven Weinreb, certify that:
1. I have reviewed this quarterly report on Form 10-Q of World Monitor
Trust--Series B ('Series B');
2. Based on my knowledge, this quarterly report does not contain any untrue
statement of a material fact or omit to state a material fact necessary
to make the statements made, in light of the circumstances under which
such statements were made, not misleading with respect to the period
covered by this quarterly report;
3. Based on my knowledge, the financial statements, and other financial
information included in this quarterly report, fairly present in all
material respects the financial condition, results of operations and cash
flows of Series B as of, and for, the periods presented in this quarterly
report;
13
<Page>
4. Series B's other certifying officers and I are responsible for
establishing and maintaining disclosure controls and procedures (as
defined in Exchange Act Rules 13a-14 and 15d-14) for Series B and we
have:
a) designed such disclosure controls and procedures to ensure
that material information relating to Series B, including its
consolidated subsidiaries, is made known to us by others
within those entities, particularly during the period in
which this quarterly report is being prepared;
b) evaluated the effectiveness of Series B's disclosure controls
and procedures as of a date within 90 days prior to the
filing date of this quarterly report (the 'Evaluation Date');
and
c) presented in this quarterly report our conclusions about the
effectiveness of the disclosure controls and procedures based
on our evaluation as of the Evaluation Date;
5. Series B's other certifying officers and I have disclosed, based on our
most recent evaluation, to Series B's auditors and the board of directors
of the managing owner of Series B:
a) all significant deficiencies in the design or operation of
internal controls which could adversely affect Series B's
ability to record, process, summarize and report financial
data and have identified for Series B's auditors any material
weaknesses in internal controls; and
b) any fraud, whether or not material, that involves management
or other employees who have a significant role in Series B's
internal controls; and
6. Series B's other certifying officers and I have indicated in this
quarterly report whether or not there were significant changes in
internal controls or in other factors that could significantly affect
internal controls subsequent to the date of our most recent evaluation,
including any corrective actions with regard to significant deficiencies
and material weaknesses.
Date: May 12, 2003 /s/ Steven Weinreb
--------------------------------------
Steven Weinreb
Chief Financial Officer
of the managing owner of Series B
14