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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 September 26, 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
- --------------------------------------------------------------------------------
(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
incorporation or organization) Identification 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>
September 26, December 31,
2003 2002
- ----------------------------------------------------------------------------------------------------
ASSETS
Cash in commodity trading accounts $ 3,671,913 $4,516,118
Net unrealized gain on open futures contracts 161,398 178,518
Accrued interest receivable 3,085 --
------------- ------------
Total assets $ 3,836,396 $4,694,636
------------- ------------
------------- ------------
LIABILITIES AND TRUST CAPITAL
Liabilities
Commissions payable $ 21,687 $ 29,502
Management fees payable 5,846 8,074
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Total liabilities 27,533 37,576
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Commitments
Trust capital
Limited interests (48,289.614 and 55,085.801 interests
outstanding) 3,768,208 4,605,806
General interests (521.000 and 613.000 interests outstanding) 40,655 51,254
------------- ------------
Total trust capital 3,808,863 4,657,060
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Total liabilities and trust capital $ 3,836,396 $4,694,636
------------- ------------
------------- ------------
Net asset value per limited and general interests $ 78.03 $ 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>
September 26, 2003 December 31, 2002
------------------------------- -------------------------------
Net Unrealized Net Unrealized
Gain Gain (Loss)
as a % of Net Unrealized as a % of Net Unrealized
Futures Contracts Trust Capital Gain Trust Capital Gain (Loss)
- -------------------------------------------------------------------------------------------------------------
Futures contracts purchased:
Stock indices $ -- $(12,076)
Interest rates 39,272 97,137
Currencies 58,988 35,638
Commodities -- 5,300
-------------- --------------
Net unrealized gain on futures
contracts purchased 2.58% 98,260 2.70% 125,999
-------------- --------------
Futures contracts sold:
Stock indices 56,712 47,072
Interest rates -- 1,750
Currencies 1,138 3,697
Commodities 5,288 --
-------------- --------------
Net unrealized gain on futures
contracts sold 1.66 63,138 1.13 52,519
------ -------------- ------ --------------
Net unrealized gain on futures
contracts 4.24% $161,398 3.83% $178,518
------ -------------- ------ --------------
------ -------------- ------ --------------
Settlement Currency--Futures Contracts
Euro 0.82% $ 31,317 0.36% $ 16,954
Hong Kong dollar -- -- 0.54 25,146
Japanese yen -- -- 0.10 4,808
U.S. dollar 3.42 130,081 2.83 131,610
------ -------------- ------ --------------
Total 4.24% $161,398 3.83% $178,518
------ -------------- ------ --------------
------ -------------- ------ --------------
<Caption>
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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, 2003 January 1, 2002 June 28, 2003 June 29, 2002
to to to to
September 26, 2003 September 27, 2002 September 26, 2003 September 27, 2002
- ---------------------------------------------------------------------------------------------------------------
REVENUES
Net realized gain (loss) on
commodity transactions $ (25,432) $ 990,345 $ (305,862) $ 304,401
Change in net unrealized
gain on open commodity
positions (17,120) (114,953) 162,404 (115,118)
Interest income 40,703 87,467 10,486 27,644
------------------ ------------------ ------------------ ------------------
(1,849) 962,859 (132,972) 216,927
------------------ ------------------ ------------------ ------------------
EXPENSES
Commissions 235,442 308,733 75,363 99,110
Management fees 60,852 79,854 19,475 25,636
------------------ ------------------ ------------------ ------------------
296,294 388,587 94,838 124,746
------------------ ------------------ ------------------ ------------------
Net income (loss) $ (298,143) $ 574,272 $ (227,810) $ 92,181
------------------ ------------------ ------------------ ------------------
------------------ ------------------ ------------------ ------------------
ALLOCATION OF NET INCOME
(LOSS)
Limited interests $ (294,830) $ 567,590 (225,420) $ 91,215
------------------ ------------------ ------------------ ------------------
------------------ ------------------ ------------------ ------------------
General interests (3,313) $ 6,682 $ (2,390) $ 966
------------------ ------------------ ------------------ ------------------
------------------ ------------------ ------------------ ------------------
NET INCOME (LOSS) PER
WEIGHTED AVERAGE LIMITED
AND GENERAL INTEREST
Net income (loss) per
weighted average limited
and general interest $ (5.72) $ 8.39 $ (4.60) $ 1.47
------------------ ------------------ ------------------ ------------------
------------------ ------------------ ------------------ ------------------
Weighted average number of
limited and general
interests outstanding 52,143 68,434 49,547 62,665
------------------ ------------------ ------------------ ------------------
------------------ ------------------ ------------------ ------------------
- ---------------------------------------------------------------------------------------------------------------
</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 (294,830) (3,313) (298,143)
Redemptions (6,888.187) (542,768) (7,286) (550,054)
---------- ---------- --------- ----------
Trust capital--September 26, 2003 48,810.614 $3,768,208 $40,655 $3,808,863
---------- ---------- --------- ----------
---------- ---------- --------- ----------
<Caption>
- -----------------------------------------------------------------------------------------------------
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
SEPTEMBER 26, 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 September 26, 2003 and December 31,
2002 and the results of its operations for the periods from January 1, 2003 to
September 26, 2003 ('Year-To-Date 2003') and January 1, 2002 to September 27,
2002 ('Year-To-Date 2002'), June 28, 2003 to September 26, 2003 ('Third Quarter
2003') and June 29, 2002 to September 27, 2002 ('Third 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 their separate retail
securities brokerage and clearing businesses under a new holding company named
Wachovia/Prudential Financial Advisors, LLC ('WPFA'), to be owned 62% by
Wachovia and 38% by Prudential. The transaction closed July 1, 2003. As a
result, the retail brokerage operations of Prudential Securities Incorporated
('PSI') were contributed to Wachovia Securities, LLC ('Wachovia Securities').
Wachovia Securities is wholly-owned by WPFA and is a registered broker-dealer
and a member of the National Association of Securities Dealers, Inc. ('NASD')
and all major securities exchanges. Effective July 1, 2003, PSI changed its name
to Prudential Equity Group, Inc. ('PEG'). PEG remains an indirectly wholly-owned
subsidiary of Prudential and is a registered broker-dealer and a member of the
NASD and all major securities exchanges. PEG continues to conduct the equity
research, domestic and international equity sales and trading operations, and
commodity brokerage and derivative operations it previously conducted as PSI.
The Managing Owner also remains an indirectly wholly-owned subsidiary 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 PEG, which, in
turn, is an indirect wholly-owned subsidiary of Prudential. 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, Third Quarter 2003 and Third Quarter 2002 were $235,000,
$309,000, $75,000 and $99,000, 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.
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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.
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
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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.
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 September 26, 2003, such segregated assets totalled
$1,162,896. Part 30.7 of the CFTC regulations also requires PEG to secure assets
of Series C related to foreign futures trading which totalled $2,670,415 at
September 26, 2003. There are no segregation requirements for assets related to
forward trading.
As of September 26, 2003, Series C's open futures contracts mature within one
year, although one interest rate futures contract matures in December 2004.
D. Financial Highlights
<Table>
<Caption>
Year-To-Date Year-To-Date Third Quarter Third Quarter
2003 2002 2003 2002
------------- ------------- --------------- ---------------
Performance per Interest
Net asset value, beginning of
period $ 83.61 $ 74.67 $ 82.62 $ 81.63
------------- ------------- --------------- ---------------
Net realized gain and change
in net unrealized gain on
commodity transactions (0.65) 12.96 (2.88) 3.13
Interest income 0.78 1.29 0.21 0.45
Expenses (5.71) (5.71) (1.92) (2.00)
------------- ------------- --------------- ---------------
Increase (decrease) for the
period (5.58) 8.54 (4.59) 1.58
------------- ------------- --------------- ---------------
Net asset value, end of period $ 78.03 $ 83.21 $ 78.03 $ 83.21
------------- ------------- --------------- ---------------
------------- ------------- --------------- ---------------
Total return (6.67)% 11.44% (5.56)% 1.94%
Ratio to average net assets (annualized)
Interest income 1.32% 2.17% 1.07% 2.15%
Expenses 9.59% 9.62% 9.72% 9.70%
</Table>
These financial highlights represent the overall results of Series C during
Year-To-Date 2003, Year-To-Date 2002, Third Quarter 2003 and Third 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 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, Third Quarter 2003 and
for the period from June 10, 1998 (commencement of operations) to September 26,
2003 were $542,768, $140,989 and $14,809,833, respectively. Redemptions of
general interests for Year-To-Date 2003, Third Quarter 2003 and for the period
from June 10, 1998 (commencement of operations) to September 26, 2003 totaled
$7,286, $0, and $143,307, respectively. Future redemptions will impact the
amount of funds available for investment in commodity contracts in subsequent
periods.
At September 26, 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 September 26, 2003 was $78.03, a
decrease of 6.67% from the December 31, 2002 net asset value per interest of
$83.61 and a decrease of 5.56% from the June 27, 2003 net asset value per
interest of $82.62. Past performance is not necessarily indicative of future
results.
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Series C's trading losses before commissions and related fees were $43,000
and $143,000 during Year-To-Date 2003 and Third Quarter 2003 compared to trading
gains of $875,000, and $189,000 during Year-To-Date 2002 and Third 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 Third Quarter 2003 trading results is presented below.
Quarterly Market Overview
In the U.S., the third quarter of 2003 was marked by an economic growth rate
of 7.2 percent--the fastest rate since 1984--which was boosted by strong
consumer and business spending. Leading indicators rose throughout July and
August, but fell 0.2 percent in September, the first decline in four months.
Manufacturing and industrial production grew throughout the quarter, although at
a slower pace, as new orders and production gradually strengthened. Child tax
credit checks arrived in July and August in time for the crucial back-to-school
retail sales period boosting disposable income to its biggest gain in a year.
Consumer spending, which makes up two-thirds of the economy, rose throughout
most of the quarter as retail sales increased 1.4 percent in July--the largest
increase in four months--and 0.6 percent in August, but cooled in September.
Housing, automobile and durable goods markets aided by incentives and
low-interest rates continued at a high clip. However, consumer confidence was
mixed in July and declined in September to the lowest level since the war in
Iraq as a result of higher gas prices and continued job losses. Despite a
slowdown in layoffs, hiring has not picked up as companies continued to focus on
becoming more efficient. The U.S. economy lost 49,000 jobs in July and a record
93,000 jobs in August. The majority of job losses occurred in the manufacturing
sector, which experienced its 38th consecutive monthly drop in employment in
September. Non-farm payrolls, mostly in the private sector, rose for the first
time in eight months in September. Watching over the weak labor market, the U.S.
Federal Reserve maintained the target for the federal funds rate at one percent,
a 45-year low, at both its August and September meetings.
The global economy experienced mixed growth in the third quarter. Widening
deficits, rising unemployment, declining business and consumer confidence and
sluggish economic growth continued to affect the 12-nation euro zone. The
European Central Bank left rates untouched at the end of September. The outlook
was rosier in Japan as capital spending spurred a recovery from its third
recession in a decade. Unemployment reached its lowest level since mid-2001, and
although Japanese consumer spending remained flat, business investments have
gradually grown.
Indices: The three major U.S. market gauges (Dow Jones Industrial Average,
S&P 500 and NASDAQ) boasted a second quarter of gains after three years of
declines, even though they finished lower in September. Stronger corporate
earnings, growth in capital and consumer spending and a third consecutive month
of manufacturing growth boosted stock prices. Toward the end of September, the
Dow Jones Industrial Average, S&P 500 and NASDAQ declined based on weak economic
data and a rush by investors to lock in third quarter gains. Japanese stocks
experienced their biggest sell-off in two years as a result of the pullback in
U.S. equities and the U.S. dollar's 33-month low against the yen. Investors were
concerned about poor consumer confidence figures, weak third-quarter earnings
results, high stock valuations, sketchy corporate governance, persistent job
market weakness, escalating conflict in the Middle East, and a production cut by
OPEC. Nonetheless, the Japanese Nikkei reached a 15-month high in mid-September
with an overall gain of 12.5 percent. Most Asian markets reported robust returns
with European markets edging upwards throughout the quarter resulting in two
consecutive quarters of gains for global stock markets.
Interest Rates: Volatility marked the performance of U.S. Treasuries, as
prices fell 1.9 percent with yields rising to 3.9 percent in the third quarter.
The majority of damage occurred in July as U.S. Treasuries posted their worst
monthly return in more than two decades when investors shifted their allocations
from bonds to stocks on the basis of stronger economic data. Prices rebounded in
August, but dipped again in mid-September as a result of profit taking ahead of
economic data reports. U.S. Treasury prices jumped at the end of September on
the back of soft consumer confidence figures, depressed job market reports,
slower manufacturing activity reports, and a weaker dollar. As a result of
improved world growth, global bond yields began low at the beginning of the
quarter and rose in every major developed bond market with Japanese bonds
experiencing the greatest rise in yields.
Currencies: In the foreign exchange markets, the U.S. dollar remained weak
and fell at the end of September when the Group of 7 and the U.S. Treasury
Secretary John Snow called for more exchange rate flexibility and further
supported a weak dollar policy. The dollar declined to a 33-month low against
the
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Japanese yen reversing only after intervention by the Bank of Japan. News of the
intervention forced European currencies lower. However, the Euro ended the
quarter at its highest level against the dollar since mid-June.
Energies: To hedge against inflation, investors began buying oil in August.
Unexpected growth in U.S. inventories drove oil prices to four-month lows. Oil
prices spiked in September as OPEC announced an output reduction of 3.5 percent
ahead of peak winter demand to stem the decline in prices. Prices stabilized
slightly when investors realized supplies appeared to be sufficient but ended
the quarter at the highest level in three weeks.
Quarterly Performance of Series C
The following is a summary of performance for the major sectors in which
Series C traded:
Indices (-): Short Mini S&P and German DAX index positions resulted in net
losses as U.S. and major global stock markets rose for the second consecutive
quarter.
Energies (-): OPEC's announcement to cut production caused a significant
rally in energy prices. Short heating oil, crude oil and light crude positions
led to net losses.
Currencies (-): The Group of 7's support of a weak U.S. dollar led to the
strengthening of major global currencies. Short Mexican peso, Swiss franc and
euro positions resulted in net losses.
Interest Rates (+): As a result of improved economic growth, domestic bond
prices declined resulting in net gains for short U.S. Treasury bond positions.
Series C's average net asset levels during Year-To-Date 2003 and Third
Quarter 2003 have decreased from Year-To-Date 2002 and Third Quarter 2002,
primarily from redemptions and net losses during 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 $47,000 and $17,000
during Year-To-Date 2003 and Third Quarter 2003 as compared to Year-To-Date 2002
and Third 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 $73,000 and $24,000 during Year-To-Date
2003 and Third Quarter 2003 as compared to Year-To-Date 2002 and Third 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 $19,000
and $6,000 during Year-To-Date 2003 and Third Quarter 2003 as compared to
Year-To-Date 2002 and Third 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.
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There have not been any changes in our internal controls over financial
reporting (as defined in Rules 13a-15(f) and 15d-15(f) under the Securities
Exchange Act of 1934, as amended) during the fiscal quarter to which this report
relates that have materially affected, or are reasonably likely to materially
affect, our internal controls over financial reporting.
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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--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 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: November 10, 2003
----------------------------------------
Ronald J. Ivans
Chief Financial Officer
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