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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 June 27, 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: 0-25789
WORLD MONITOR TRUST--SERIES C
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(Exact name of Registrant as specified in its charter)
Delaware 13-3985042
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(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
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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 C
(a Delaware Business Trust)
STATEMENTS OF FINANCIAL CONDITION
(Unaudited)
<Table>
<Caption>
June 27, December 31,
2003 2002
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ASSETS
Cash in commodity trading accounts $4,232,204 $4,516,118
Net unrealized gain (loss) on open futures contracts (1,006) 178,518
Accrued interest receivable 5,185 --
---------- ------------
Total assets $4,236,383 $4,694,636
---------- ------------
---------- ------------
LIABILITIES AND TRUST CAPITAL
Liabilities
Redemptions payable $ 27,066 $ --
Commissions payable 25,019 29,502
Management fees payable 6,638 8,074
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Total liabilities 58,723 37,576
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Commitments
Trust capital
Limited interests (50,046.009 and 55,085.801 interests outstanding) 4,134,617 4,605,806
General interests (521.000 and 613.000 interests outstanding) 43,043 51,254
---------- ------------
Total trust capital 4,177,660 4,657,060
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Total liabilities and trust capital $4,236,383 $4,694,636
---------- ------------
---------- ------------
Net asset value per limited and general interests $ 82.62 $ 83.61
---------- ------------
---------- ------------
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<Caption>
The accompanying notes are an integral part of these statements.
</Table>
2
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WORLD MONITOR TRUST--SERIES C
(a Delaware Business Trust)
Condensed Schedules of Investments
(Unaudited)
<Table>
<Caption>
June 27, 2003 December 31, 2002
------------------------------- -------------------------------
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 $ (8,298) $(12,076)
Interest rates -- 97,137
Currencies -- 35,638
Commodities (1,598) 5,300
-------------- --------------
Net unrealized gain (loss) on futures
contracts purchased (0.23)% (9,896) 2.70% 125,999
-------------- --------------
Futures contracts sold:
Stock indices (26) 47,072
Interest rates -- 1,750
Currencies 8,916 3,697
-------------- --------------
Net unrealized gain on futures
contracts sold 0.21 8,890 1.13 52,519
------ -------------- ------ --------------
Net unrealized gain (loss) on futures
contracts (0.02)% $ (1,006) 3.83% $178,518
------ -------------- ------ --------------
------ -------------- ------ --------------
Settlement Currency--Futures Contracts
Euro (0.16)% $ (6,798) 0.36% $ 16,954
Hong Kong dollar -- (27) 0.54 25,146
Japanese yen -- -- 0.10 4,808
U.S. dollar 0.14 5,819 2.83 131,610
------ -------------- ------ --------------
Total (0.02)% $ (1,006) 3.83% $178,518
------ -------------- ------ --------------
------ -------------- ------ --------------
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The accompanying notes are an integral part of these statements.
</Table>
3
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WORLD MONITOR TRUST--SERIES C
(a Delaware Business Trust)
STATEMENTS OF OPERATIONS
(Unaudited)
<Table>
<Caption>
For the For the For the For the
period from period from period from period from
January 1, January 1, March 29, March 30,
2003 to 2002 to 2003 to 2002 to
June 27, 2003 June 28, 2002 June 27, 2003 June 28, 2002
- ----------------------------------------------------------------------------------------------------------------
REVENUES
Net realized gain on commodity transactions $ 280,429 $685,944 $315,793 $191,012
Change in net unrealized gain/loss on open
commodity positions (179,523) 165 4,128 48,076
Interest income 30,217 59,823 15,026 29,881
-------------- -------------- -------------- --------------
131,123 745,932 334,947 268,969
-------------- -------------- -------------- --------------
EXPENSES
Commissions 160,081 209,623 80,561 104,623
Management fees 41,377 54,218 20,815 27,058
-------------- -------------- -------------- --------------
201,458 263,841 101,376 131,681
-------------- -------------- -------------- --------------
Net income (loss) $ (70,335) $482,091 $233,571 $137,288
-------------- -------------- -------------- --------------
-------------- -------------- -------------- --------------
ALLOCATION OF NET INCOME (LOSS)
Limited interests $ (69,410) $476,375 $231,134 $135,710
-------------- -------------- -------------- --------------
-------------- -------------- -------------- --------------
General interests $ (925) $ 5,716 $ 2,437 $ 1,578
-------------- -------------- -------------- --------------
-------------- -------------- -------------- --------------
NET INCOME (LOSS) PER WEIGHTED AVERAGE
LIMITED AND GENERAL INTEREST
Net income (loss) per weighted average
limited and general interest $ (1.32) $ 6.75 $ 4.48 $ 1.99
-------------- -------------- -------------- --------------
-------------- -------------- -------------- --------------
Weighted average number of limited and
general interests outstanding 53,346 71,378 52,121 69,063
-------------- -------------- -------------- --------------
-------------- -------------- -------------- --------------
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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 55,698.801 $4,605,806 $51,254 $4,657,060
Net loss (69,410) (925) (70,335)
Redemptions (5,131.792) (401,779) (7,286) (409,065)
---------- ---------- --------- ----------
Trust capital--June 27, 2003 50,567.009 $4,134,617 $43,043 $4,177,660
---------- ---------- --------- ----------
---------- ---------- --------- ----------
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The accompanying notes are an integral part of these statements.
</Table>
4
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WORLD MONITOR TRUST--SERIES C
(a Delaware Business Trust)
NOTES TO FINANCIAL STATEMENTS
JUNE 27, 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 C ('Series C') as of June 27, 2003 and December 31, 2002
and the results of its operations for the periods from January 1, 2003 to June
27, 2003 ('Year-To-Date 2003') and January 1, 2002 to June 28, 2002
('Year-To-Date 2002'), March 29, 2003 to June 27, 2003 ('Second Quarter 2003')
and March 30, 2002 to June 28, 2002 ('Second 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 C's Annual Report on Form 10-K filed with
the Securities and Exchange Commission for the year ended December 31, 2002.
In February 2003, Prudential Financial, Inc. ('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 Prudential Securities Incorporated
('PSI'), but does not include the equity sales, trading and research operations
or commodity brokerage and derivative operations of PSI (which were renamed
Prudential Equity Group, Inc. upon closing), closed July 1, 2003. The Managing
Owner, as well as the commodity broker, will continue to be indirect wholly
owned subsidiaries of Prudential.
The Managing Owner suspended the offering of interests in World Monitor
Trust--Series B ('Series B') and Series C upon the expiration of selling
registrations, which expired on April 30, 2002.
B. Related Parties
The Managing Owner of Series C is a wholly-owned subsidiary of Prudential
Equities Group, Inc. ('PEG'), which, in turn, is an indirect wholly-owned
subsidiary of Prudential Financial, Inc. 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. Except for costs related to brokerage services, PEG or its affiliates
pay the costs of these services in addition to Series C's routine operational,
administrative, legal and auditing costs. Additionally, PEG or its affiliates
paid the costs associated with offering Series C's interests.
The costs charged to Series C for brokerage services for Year-To-Date 2003,
Year-To-Date 2002, Second Quarter 2003 and Second Quarter 2002 were $160,000,
$210,000, $81,000 and $105,000, 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 PEG, Series C's
commodity broker. Series C's assets are maintained with PEG for margin purposes.
PEG 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 PEG. PEG 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
PEG and Series C pursuant to a line of credit. PEG may require that collateral
be posted against the marked-to-market positions of Series C.
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C. Derivative Instruments and Associated Risks
Series C 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 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 PEG, Series C's commodity broker. Series
C has entered into a master netting agreement with PEG 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 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
6
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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.
PEG, 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 PEG. At June 27, 2003, such segregated assets totalled
$1,384,993. Part 30.7 of the CFTC regulations also requires PEG to secure assets
of Series C related to foreign futures trading which totalled $2,846,205 at June
27, 2003. There are no segregation requirements for assets related to forward
trading.
As of June 27, 2003, Series C's open futures contracts mature within three
months.
D. Financial Highlights
<Table>
<Caption>
Year-To-Date Year-To-Date Second Quarter Second Quarter
2003 2002 2003 2002
------------- ------------- --------------- ---------------
Performance per Interest
Net asset value, beginning of
period $ 83.61 $ 74.67 $ 78.13 $ 79.50
------------- ------------- --------------- ---------------
Net realized gain and change
in net unrealized gain on
commodity transactions 2.23 9.83 6.15 3.61
Interest income 0.57 0.84 0.29 0.43
Expenses (3.79) (3.71) (1.95) (1.91)
------------- ------------- --------------- ---------------
Increase (decrease) for the
period (0.99) 6.96 4.49 2.13
------------- ------------- --------------- ---------------
Net asset value, end of period $ 82.62 $ 81.63 $ 82.62 $ 81.63
------------- ------------- --------------- ---------------
------------- ------------- --------------- ---------------
Total return (1.18)% 9.32% 5.75% 2.68%
Ratio to average net assets (annualized)
Interest income 1.43% 2.17% 1.45% 2.20%
Expenses 9.51% 9.57% 9.78% 9.71%
</Table>
These financial highlights represent the overall results of Series C during
Year-To-Date 2003, Year-To-Date 2002, Second Quarter 2003 and Second Quarter
2002. An individual limited owner's actual results may differ depending on the
timing of contributions and redemptions.
7
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WORLD MONITOR TRUST--SERIES C
(a Delaware Business Trust)
ITEM 2. 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 period from
June 10, 1998 (commencement of operations) to April 30, 2002 resulted in
additional gross proceeds to Series C of $18,027,985. 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 interests of
one or more other series of World Monitor Trust.
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 for Year-To-Date 2003, Second Quarter 2003 and
for the period from June 10, 1998 (commencement of operations) to June 27, 2003
were $401,779, $202,196 and $14,668,844, respectively. Redemptions of general
interests for Year-To-Date 2003, Second Quarter 2003 and for the period from
June 10, 1998 (commencement of operations) to June 27, 2003 totaled $7,286,
$7,286 and $143,308, respectively. Future redemptions will impact the amount of
funds available for investment in commodity contracts in subsequent periods.
At June 27, 2003, 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. PEG 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 C to the financial
statements for a further discussion of 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 June 27, 2003 was $82.62, a decrease
of 1.18% from the December 31, 2002 net asset value per interest of $83.61 and
an increase of 5.75% from the March 28, 2003 net asset value per interest of
$78.13. Past performance is not necessarily indicative of future results.
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Series C's trading gains before commissions and related fees were $101,000
and $320,000 during Year-To-Date 2003 and Second Quarter 2003 compared to
trading gains of $686,000, and $239,000 during Year-To-Date 2002 and Second
Quarter 2002, respectively. Due to the nature of Series C's trading activities,
a period to period comparison of its trading results is not meaningful. However,
a detailed discussion of Series C's Second Quarter 2003 trading results is
presented below.
Quarterly Market Overview
In the U.S., the beginning of the second quarter of 2003 saw few signs of
relief from a sluggish economy with a growth rate of 2.4 percent. Nominal GDP
continued to trend downward in hand with falling consumer and producer prices
and interest rates. Concerns about the slump in American telecom and internet
industries, accounting fraud and the largest budget deficit the U.S. has ever
faced have hampered investments in the U.S. Despite resolution to the war in
Iraq, consumer and business confidence remained tepid. Companies desiring to
improve profits remained unwilling to make big capital spending commitments or
increase their workforces and inventories. Orders to U.S. factories for
big-ticket items and production figures fell in April. In June, the unemployment
rate jumped to a nine-year high of 6.4 percent. Payroll slashes in manufacturing
and information industries generated the greatest job losses. As companies
attempted to do more with leaner workforces, overall productivity rose and
provided support for household income. The rise in income, combined with low
interest rates, reduced taxes, and availability of substantial home equity
spurred gains in consumer spending and increased sales of new homes. Toward the
end of the quarter, manufacturing rose slightly, but still indicated that the
sector shrank for the fourth straight month. Meanwhile, new orders for durable
goods, machinery, automobiles, electrical equipment, home supplies and computers
increased, reversing previous downward trends.
Global economies remained weak in the second quarter of 2003 and were further
hampered by the decline of the U.S. dollar which made overseas goods more
expensive, thus curtailing demand. In May, Germany, Italy and the Netherlands
reported an unexpected contraction in their economies during the first three
months of the year with Germany and Netherlands experiencing a second quarter of
negative growth. The European Union stated that overall economic growth had
stalled and consequently, applied pressure on the central banks to ease interest
rates. Business investment dropped sharply while domestic demand remained bleak.
The Japanese economy continued to stumble as other Asian economies began to
recover from the effects of the SARS outbreak. Furthermore, fears of deflation
loomed over already troubled global economies.
Indices: Despite economic data indicating the worst is not yet over, global
equity markets surged in the second quarter of 2003. Spurred by the easing of
geopolitical tensions, massive short covering, excess liquidity, some positive
first quarter earnings reports, and optimism that economic recovery is near,
investors flocked toward equities. A rally in Japanese stocks was fueled
primarily by foreign mutual funds, hedge funds and other non-Japanese
institutional investors who invested more than ten times as much as local
investors in June. The Japanese Nikkei, London FTSE, Dow Jones Industrial
Average, NASDAQ and S&P 500 all ended the quarter higher.
Interest rates: Fixed income markets in May witnessed a drop in interest
rates of developed countries due to the U.S. Federal Reserve (the 'Fed')
deflation talk as well as institutions and hedge funds borrowing to purchase
longer maturities, possible Fed purchases of longer maturities, hedging by
mortgage investors as rates fell, and central banks buying dollars and investing
in Treasuries. The decline in interest rates led to gains in German, Japanese,
U.S. Treasury and Eurodollar bond prices. In June, the market reacted with
disappointment to the Fed's quarter point cut in short-term interest rates and
as a result, intermediate and long-term rates rose. Investors in Japan moved
capital into the equity markets at the expense of U.S. Treasury and Japanese
bonds. Concern about deteriorating public finances in most large economies and a
renewed interest in equities in hopes of an economic recovery resulted in
falling bond prices through the quarter and the subsequent rising of long-term
rates.
Currencies: In the foreign exchange markets, the U.S. dollar moved sharply
lower against most major currencies during the quarter. Investors shifted their
focus from the war in Iraq to concerns about U.S. economic health with its
widening current account deficit and lower relative interest rate resulting in
the dollar's three-year low against the Canadian and Australian dollar and
four-year low against the Euro. The reversal of the U.S.'s strong dollar policy
by Treasury Secretary Snow led to a further sell off of the greenback leading to
a 4.5-year low against the Swiss franc.
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Energies: Energy price declines began in March and continued as the war in
Iraq became inevitable. Because supplies were secured and unthreatened by the
war, the prices of crude oil, unleaded gasoline and London gas oil were down in
April of 2003. Natural gas prices were largely unaffected by events in the
Middle East, Nigeria and Venezuela. In order to stave off the declining prices
and correct an oversupply as crude demand reached a seasonal low, OPEC members
agreed to cut current output by seven percent in April. Toward the end of the
quarter, energy prices, in general, were higher due to Nigeria's general
worker's strike, low U.S. oil inventory levels and expectations of U.S. economic
growth.
Quarterly Performance of Series C
The following is a summary of performance for the major sectors in which
Series C traded:
Interest rates (+): Weak global economies, fears of deflation and renewed
interest in equities resulted in falling global bond prices. Short U.S. Treasury
and European bond positions led to net gains for Series C.
Indices (+): Overall long positions in the NASDAQ and S&P 500 indices led to
net gains as global equity markets rose throughout the quarter.
Energies (+): Nigeria's general worker's strike, low U.S. oil inventory
levels and expectation of economic growth led to rising energy prices toward the
end of the quarter. Long positions in crude oil and natural gas resulted in net
gains.
Currencies (-): The U.S. dollar fell against many foreign currencies amid
concerns of a weak U.S. economy. Short euro and yen positions resulted in net
losses.
Series C's average net asset levels during Year-To-Date 2003 and Second
Quarter 2003 have decreased from Year-To-Date 2002 and Second Quarter 2002,
primarily from redemptions during 2002 and Year-To-Date 2003. The declining
asset levels have led to proportionate decreases in the amount of interest
earned by Series C, as well as commissions and management fees incurred.
Interest income is earned on the average net assets held at PEG and,
therefore, varies weekly according to interest rates, trading performance,
contributions and redemptions. Interest income decreased $30,000 and $15,000
during Year-To-Date 2003 and Second Quarter 2003 as compared to Year-To-Date
2002 and Second Quarter 2002, respectively, due to lower interest rates during
Year-To-Date 2003 as compared to Year-To-Date 2002, as well as the decrease in
average net asset levels as discussed above.
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 $50,000 and $24,000 during Year-To-Date
2003 and Second Quarter 2003 as compared to Year-To-Date 2002 and Second Quarter
2002, respectively, due to the decrease in average net asset levels as discussed
above.
All trading decisions for Series C are made by Northfield Trading L.P. (the
'Trading Advisor'). 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 $13,000
and $6,000 during Year-To-Date 2003 and Second Quarter 2003 as compared to
Year-To-Date 2002 and Second Quarter 2002, respectively, 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 C, the
Managing Owner and the Trading Advisor. No incentive fees were paid during
Year-To-Date 2003 or Year-To-Date 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
As of the end of the period covered by this report, the General Partner
carried out an evaluation, under the supervision and with the participation of
the officers of the General Partner, including the Managing Owner's Chief
Executive Officer and Chief Financial Officer, of the effectiveness of the
design and operation of Series C's disclosure controls and procedures. Based
upon that evaluation, the General Partner's Chief Executive Officer and Chief
Financial Officer concluded that Series C's disclosure controls and procedures
are effective.
10
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PART II. OTHER INFORMATION
Item 1. Legal Proceedings--There are no material legal proceedings pending by
or against Series C 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--Effective May 2003, Ronald J. Ivans was elected by
the Board of Directors of Prudential Securities Futures Management Inc. as Chief
Financial Officer and Treasurer replacing Steven Weinreb.
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 C's
Registration Statement on Form S-1, File No. 333-43043)
4.2--Form of Request for Redemption (incorporated by reference to
Exhibit 4.2 to Series C's Registration Statement on Form S-1,
File No. 333-43043)
4.3--Form of Exchange Request (incorporated by reference to
Exhibit 4.3 to Series C's Registration Statement on
Form S-1, File No. 333-43043)
4.4--Form of Subscription Agreement (incorporated by
reference to Exhibit 4.4 to Series C's Registration
Statement on Form S-1, File No. 333-43043)
31.1--Certification pursuant to Exchange Act Rules 13a-14 and
15d-14 (filed herewith)
31.2--Certification pursuant to Exchange Act Rules 13a-14 and
15d-14 (filed herewith)
32.1--Certification pursuant to 18 U.S.C. Section 1350 as adopted
pursuant to Section 906 of the SARBANES-OXLEY Act of 2002
(furnished herewith)
32.2--Certification pursuant to 18 U.S.C. Section 1350
as adopted pursuant to Section 906 of the SARBANES-OXLEY
Act of 2002 (furnished 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 C
By: Prudential Securities Futures Management Inc.
A Delaware corporation, Managing Owner
By: /s/ Ronald J. Ivans Date: August 11, 2003
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Ronald J. Ivans
Chief Financial Officer
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