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 30, 1997
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: 33-80443
WILLOWBRIDGE STRATEGIC TRUST
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(Exact name of Registrant as specified in its charter)
Delaware 13-7075398
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(State or other jurisdiction of
incorporation or organization) (I.R.S. Employer Identification No.)
One New York Plaza, 14th 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 __
Part I. FINANCIAL INFORMATION
ITEM 1--FINANCIAL STATEMENTS
WILLOWBRIDGE STRATEGIC TRUST
(a Delaware Business Trust)
STATEMENTS OF FINANCIAL CONDITION
(Unaudited)
September 30, December 31,
1997 1996
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ASSETS
Equity in commodity trading accounts:
Cash $48,973,794 $27,465,535
Net unrealized gain on open commodity positions 224,676 354,215
------------- ------------
Net equity 49,198,470 27,819,750
Other receivable 12,340 4,224
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Total assets $49,210,810 $27,823,974
------------- ------------
------------- ------------
LIABILITIES AND TRUST CAPITAL
Liabilities
Redemptions payable $ 886,820 $ 359,352
Management fee payable 123,027 69,560
Incentive fee payable -- 414,894
------------- ------------
Total liabilities 1,009,847 843,806
------------- ------------
Commitments
Trust capital
Limited interests (461,864.275 and 258,057 interests outstanding) 47,691,548 26,700,158
General interests (4,933.40 and 2,706.31 interests outstanding) 509,415 280,010
------------- ------------
Total trust capital 48,200,963 26,980,168
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Total liabilities and trust capital $49,210,810 $27,823,974
------------- ------------
------------- ------------
Net asset value per limited and general interest ('Interests') $ 103.26 $ 103.47
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The accompanying notes are an integral part of these statements
2
WILLOWBRIDGE STRATEGIC TRUST
(a Delaware Business Trust)
STATEMENTS OF OPERATIONS
(Unaudited)
For the Period from
May 1, 1996 Three months ended
(Commencement of September 30,
Nine months ended Operations) through -------------------------------------
September 30, 1997 September 30, 1996 1997 1996
- ----------------------------------------------------------------------------------------------------------------------
REVENUES
Net realized gain (loss) on
commodity transactions $ 1,870,722 $ (2,858,006) $ 151,270 $ (1,452,482)
Change in net unrealized
gain on commodity
positions (169,114) 2,691,379 (852,064) 2.491,416
Interest income 1,625,529 348,321 588,806 232,148
------------------ ------------------------ --------------------- ------------
3,327,137 181,694 (111,988) 1,271,082
------------------ ------------------------ --------------------- ------------
EXPENSES
Commissions 2,700,306 539,173 1,014,613 355,717
Management fees 1,049,966 207,817 390,519 139,988
Incentive fees 1,220,889 -- 6,481 --
------------------ ------------------------ --------------------- ------------
4,971,161 746,990 1,411,613 495,705
------------------ ------------------------ --------------------- ------------
Net income (loss) $ (1,644,024) $ (565,296) $ (1,523,601) $ 775,377
------------------ ------------------------ --------------------- ------------
------------------ ------------------------ --------------------- ------------
ALLOCATION OF NET INCOME
(LOSS)
Limited interests $ (1,632,429) $ (556,309) $ (1,509,206) $ 768,479
------------------ ------------------------ --------------------- ------------
------------------ ------------------------ --------------------- ------------
General interests $ (11,595) $ (8,987) $ (14,395) $ 6,898
------------------ ------------------------ --------------------- ------------
------------------ ------------------------ --------------------- ------------
NET INCOME (LOSS) PER
WEIGHTED AVERAGE LIMITED AND
GENERAL INTEREST
Net income (loss) per
weighted average limited
and general interest $ (3.96) $ (2.99) $ (3.27) $ 3.59
------------------ ------------------------ --------------------- ------------
------------------ ------------------------ --------------------- ------------
Weighted average number of
limited and general
interests outstanding 414,873.952 189,333.057 466,518.195 215,727.082
------------------ ------------------------ --------------------- ------------
------------------ ------------------------ --------------------- ------------
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STATEMENT OF CHANGES IN TRUST CAPITAL
(Unaudited)
LIMITED GENERAL
INTERESTS INTERESTS INTERESTS TOTAL
- -----------------------------------------------------------------------------------------------------
Trust capital--December 31, 1996 260,763.310 $26,700,158 $280,010 $26,980,168
Contributions 256,968.646 28,312,100 241,000 28,553,100
Net loss -- (1,632,429) (11,595 ) (1,644,024)
Redemptions (50,934.281) (5,688,281) -- (5,688,281)
------------ ----------- --------- -----------
Trust capital--September 30, 1997 466,797.675 $47,691,548 $509,415 $48,200,963
------------ ----------- --------- -----------
------------ ----------- --------- -----------
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The accompanying notes are an integral part of these statements
3
WILLOWBRIDGE STRATEGIC TRUST
(a Delaware Business Trust)
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 1997
(Unaudited)
A. General
These financial statements have been prepared without audit. In the opinion
of management, the financial statements contain all adjustments (consisting of
only normal recurring adjustments) necessary to present fairly the financial
position of Willowbridge Strategic Trust (the 'Trust') as of September 30, 1997
and the results of its operations for the nine and the three months ended
September 30, 1997, for the period from May 1, 1996 (commencement of operations)
through September 30, 1996 and for the three months ended September 30, 1996.
However, the operating results for the interim periods may not be indicative of
the results expected for the full year.
Certain information and footnote disclosures normally included in annual
financial statements prepared in accordance with generally accepted accounting
principles have been omitted. It is suggested that these financial statements be
read in conjunction with the financial statements and notes thereto included in
the Trust's Annual Report on Form 10-K filed with the Securities and Exchange
Commission for the year ended December 31, 1996 (the 'Annual Report').
B. Related Parties
Prudential Securities Futures Management Inc. (the 'Managing Owner') or its
affiliates perform services for the Trust 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. The costs charged to the Trust for brokerage services for the nine and
three months ended September 30, 1997 were $2,700,000 and $1,015,000,
respectively, and for the period from May 1, 1996 through September 30, 1996 and
for the three months ended September 30, 1996 were $539,000 and $356,000,
respectively.
The Trust maintains its trading and cash accounts with Prudential Securities
Incorporated ('PSI'), the Trust's commodity broker and an affiliate of the
Managing Owner. PSI credits the Trust monthly with 80% of the interest it earns
on the equity in these accounts and retains the remaining 20%. As described in
the Annual Report, all commissions for brokerage services are paid to PSI.
In connection with the Trust's interbank transactions, PSI engages in foreign
currency forward transactions with the Trust and an affiliate of PSI who, as
principal, attempts to earn a profit on the bid-ask spreads (which must be
competitive) on any foreign currency forward transactions entered into between
the Trust and PSI, on the one hand, and PSI and such affiliate on the other. In
connection with its trading of foreign currencies in the interbank market, PSI
may arrange bank lines of credit at major international banks. To the extent
such lines of credit are arranged, PSI does not charge the Trust for maintaining
such lines of credit, but requires margin deposits with respect to forward
contract transactions.
C. Credit and Market Risk
Since the Trust's business is to trade futures, forward and options
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).
Futures, forward and options contracts involve varying degrees of off-balance
sheet risk; and changes in the level of volatility of interest rates, foreign
currency exchange rates or the market values of the contracts (or commodities
underlying the contracts) frequently result in changes in the Trust's unrealized
gain (loss) on open commodity positions reflected in the statements of financial
condition. The Trust's exposure to market risk is influenced by a number of
factors including the relationships among the contracts held by the Trust as
well as the liquidity of the markets in which the contracts are traded.
Futures and options contracts are traded on organized exchanges and are thus
distinguished from forward contracts which are entered into privately by the
parties. The credit risks associated with futures and options contracts are
typically perceived to be less than those associated with forward contracts
because exchanges typically provide clearinghouse arrangements in which the
collective credit (subject to certain
4
limitations) of the members of the exchanges is pledged to support the financial
integrity of the exchange. On the other hand, the Trust must rely solely on the
credit of its broker (PSI) with respect to forward transactions. The Trust
presents unrealized gains and losses on open forward positions as a net amount
in the statements of financial condition because it has a master netting
agreement with PSI.
The Managing Owner attempts to minimize both credit and market risks by
requiring the Trust's trading manager 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 (currently, PSI is the sole
counterparty or broker); 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. The Managing Owner may impose additional
restrictions (through modifications of such trading limitations and policies)
upon the trading activities of the trading manager as it, in good faith, deems
to be in the best interests of the Trust.
PSI, when acting as the Trust's futures commission merchant in accepting
orders for the purchase or sale of domestic futures and options contracts, is
required by Commodity Futures Trading Commission ('CFTC') regulations to
separately account for and segregate as belonging to the Trust all assets of the
Trust relating to domestic futures and options trading and not to commingle such
assets with other assets of PSI. At September 30, 1997 and December 31, 1996,
such segregated assets totalled $45,228,012 and $23,463,181, respectively. Part
30.7 of the CFTC regulations also requires PSI to secure assets of the Trust
related to foreign futures and options trading which totalled $3,856,358 and
$4,356,569 at September 30, 1997 and December 31, 1996, respectively. There are
no segregation requirements for assets related to forward trading.
As of September 30, 1997 and December 31, 1996, all open futures, forward and
options contracts mature within one year.
As of September 30, 1997 and December 31, 1996, gross contract amounts of
open futures, forward and options contracts are:
September 30, December 31,
1997 1996
------------- -------------
Financial Futures Contracts:
Commitments to purchase $71,251,191 $61,090,445
Commitments to sell $35,937,131 $22,255,035
Currency Futures Contracts:
Commitments to purchase $23,955,425 $ 2,891,650
Commitments to sell $ -- $12,957,888
Other Futures and Options
Contracts:
Commitments to purchase $34,516,238 $11,829,016
Commitments to sell $ -- $ 3,189,296
Other Forward Contracts:
Commitments to purchase $ 3,298,008 $ --
The gross contract amounts represent the Trust's potential involvement in a
particular class of financial instrument (if it were to take or make delivery on
an underlying futures or forward contract). The gross contract amounts
significantly exceed the future cash requirements as the Trust intends to close
out open positions prior to settlement and thus is generally subject only to the
risk of loss arising from the change in the value of the contracts. As such, the
Trust considers the 'fair value' of its futures, forward and options contracts
to be the net unrealized gain or loss on the contracts (plus premiums on
options). Thus, the amount at risk associated with counterparty nonperformance
of all contracts is the net unrealized gain included in the statements of
financial condition. The market risk associated with the Trust's commitments to
purchase commodities is limited to the gross contract amounts involved, while
the market risk associated with its commitments to sell is unlimited since the
Trust's potential involvement is to make delivery of an underlying commodity at
the contract price; therefore, it must repurchase the contract at prevailing
market prices.
5
At September 30, 1997 and December 31, 1996, the fair values of futures and
forward contracts were:
September 30, 1997 December 31, 1996
--------------------------- ---------------------------
Assets Liabilities Assets Liabilities
----------- ----------- ----------- -----------
Futures Contracts:
Domestic exchanges
Financial $ -- $ 74,938 $ 27,000 $ 96,094
Currencies 143,038 15,875 151,650 56,533
Other 927,623 589,800 204,414 160,312
Foreign exchanges
Financial 321,575 166,193 73,065 84,446
Other 73,917 508,771 307,291 11,820
Forward Contracts:
Other 114,100 -- -- --
----------- ----------- ----------- -----------
$ 1,580,253 $ 1,355,577 $ 763,420 $ 409,205
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
The following table presents the average fair value of futures, forward and
options contracts during the nine and three months ended September 30, 1997, the
period from May 1, 1996 (commencement of operations) through September 30, 1996
and the three months ended September 30, 1996.
Three months ended
May 1, 1996 September 30,
(commencement of ------------------------------------------------------
Nine months ended operations) through
September 30, 1997 September 30, 1996 1997 1996
------------------------- ------------------------- ------------------------- -------------------------
Assets Liabilities Assets Liabilities Assets Liabilities Assets Liabilities
---------- ----------- ---------- ----------- ---------- ----------- ---------- -----------
Futures
Contracts:
Domestic
exchanges
Financial $ 406,350 $ 35,031 $ 84,191 $ 37,349 $ 464,342 $ 23,234 $ 82,677 $ 42,233
Currencies 983,915 206,216 294,827 139,072 1,724,134 402,694 332,852 159,090
Other 898,058 309,928 423,194 554,746 426,299 221,110 484,481 547,183
Foreign
exchanges
Financial 291,249 160,998 719,619 19,563 344,150 121,846 899,524 18,856
Other 735,114 297,858 -- 17,359 561,388 615,353 -- 16,618
Forward
Contracts:
Other 11,410 8 -- -- 28,525 -- -- --
Options
Contracts:
Domestic
exchanges
Financial 21,330 -- 24,969 -- 53,325 -- 31,211 --
Currencies 2,460 -- 96,100 -- 6,150 -- 120,125 --
Other 41,871 -- 27,836 -- 62,771 -- 34,796 --
Foreign
exchanges
Financial -- -- 9,039 -- -- -- 11,299 --
Other 45,025 -- -- -- 111,335 -- -- --
---------- ----------- ---------- ----------- ---------- ----------- ---------- -----------
$3,436,782 $ 1,010,039 $1,679,775 $ 768,089 $3,782,419 $ 1,384,237 $1,996,965 $ 783,980
---------- ----------- ---------- ----------- ---------- ----------- ---------- -----------
---------- ----------- ---------- ----------- ---------- ----------- ---------- -----------
6
The following tables present the net realized gains (losses) and the change
in net unrealized gains/losses of futures, forward and options contracts during
the nine and three months ended September 30, 1997, the period from May 1, 1996
(commencement of operations) through September 30, 1996 and the three months
ended September 30, 1996.
For the period from
May 1, 1996
(commencement of
Nine months ended September 30, 1997 operations) through
------------------------------------------- September 30, 1996
Net Realized Change in ---------------------------------------------------
Gains Net Unrealized Net Realized Net Unrealized
(Losses) Gains/Losses Total Gains (Losses) Gains/Losses Total
------------ -------------- ----------- -------------- -------------------- -----------
Futures Contracts:
Domestic exchanges
Financial $(3,049,600 ) $ (5,844) $(3,055,444) $ (403,681) $ 121,481 $ (282,200)
Currencies 5,461,481 32,046 5,493,527 (1,103,423) 916,150 (187,273)
Other 1,113,848 293,721 1,407,569 (1,496,089) (519,308) (2,015,397)
Foreign exchanges
Financial (3,005,444 ) 166,763 (2,838,681) 634,886 2,294,830 2,929,716
Other 1,771,176 (730,325) 1,040,851 (20,933) (25,865) (46,798)
Forward Contracts:
Other -- 114,100 114,100 -- -- --
Options Contracts:
Domestic exchanges
Financial 123,224 -- 123,224 (146,094) -- (146,094)
Currencies (174,734 ) -- (174,734) (195,150) -- (195,150)
Other (180,197 ) -- (180,197) (43,825) (95,909) (139,734)
Foreign exchanges
Financial (14,941 ) -- (14,941) (83,697) -- (83,697)
Other (174,091 ) (39,575) (213,666) -- -- --
------------ -------------- ----------- -------------- -------------------- -----------
$ 1,870,722 $ (169,114) $ 1,701,608 $ (2,858,006) $2,691,379 $ (166,627)
------------ -------------- ----------- -------------- -------------------- -----------
------------ -------------- ----------- -------------- -------------------- -----------
Three months ended September 30, 1997 Three months ended September 30, 1996
--------------------------------------------------- ---------------------------------------------------
Change in Change in
Net Realized Net Unrealized Net Realized Net Unrealized
Gains (Losses) Gains/Losses Total Gains (Losses) Gains/Losses Total
-------------- -------------- ----------- -------------- -------------- -----------
Futures Contracts:
Domestic exchanges
Financial $ (1,909,506) $ (126,969) $(2,036,475) $ (90,056) $ 61,200 $ (28,856)
Currencies 2,753,776 (11,297) 2,742,479 (1,153,085) 946,918 (206,167)
Other (309,204) 174,577 (134,627) (467,638) (687,839) (1,155,477)
Foreign exchanges
Financial (503,412) 287,325 (216,087) 688,871 2,272,608 2,961,479
Other 661,314 (1,257,506) (596,192) (20,933) (5,562) (26,495)
Forward Contracts:
Other -- 114,100 114,100 -- -- --
Options Contracts:
Domestic exchanges
Financial (229,634) -- (229,634) (146,094) -- (146,094)
Currencies (148,234) (2,026) (150,260) (147,900) -- (147,900)
Other (35,816) -- (35,816) (31,950) (95,909) (127,859)
Foreign exchanges
Financial -- -- -- (83,697) -- (83,697)
Other (128,014) (30,268) (158,282) -- -- --
-------------- -------------- ----------- -------------- -------------- -----------
$ 151,270 $ (852,064) $ (700,794) $ (1,452,482) $2,491,416 1,038,934
-------------- -------------- ----------- -------------- -------------- -----------
-------------- -------------- ----------- -------------- -------------- -----------
7
WILLOWBRIDGE STRATEGIC TRUST
(a Delaware Business Trust)
ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION
AND RESULTS OF OPERATIONS
Liquidity and Capital Resources
The Trust commenced operations on May 1, 1996 with gross proceeds of
$12,686,200 allocated to commodities trading. Additional Interests are offered
monthly at the then current net asset value per Interest until no later than
January 31, 1998 but in no event after $100,000,000 in limited interests are
sold.
At September 30, 1997, 100% of the Trust's net assets were allocated to
commodities trading. A significant portion of the net assets are held in cash
which is used as margin for the Trust's trading in commodities. Inasmuch as the
sole business of the Trust is to trade in commodities, the Trust continues to
own such liquid assets to be used as margin. PSI credits the Trust monthly with
80% of the interest it earns on the equity in these accounts and retains the
remaining 20%.
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 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 the Trust from promptly liquidating its commodity
futures positions.
Since the Trust's business is to trade futures, forward and options
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). The Managing Owner attempts to minimize these risks
by requiring the Trust's trading manager to abide by various trading limitations
and policies. See Note C to the financial statements for a further discussion of
the credit and market risks associated with the Trust's futures, forward and
options contracts.
Redemptions of limited interests for the nine and three months ended
September 30, 1997 were $5,688,281 and $2,953,996, respectively, and since the
commencement of operations (May 1, 1996) were $7,980,297. Additional
contributions raised through the continuous offering for the period from May 1,
1996 to September 30, 1997 resulted in additional gross proceeds to the Trust of
$42,848,900. Future redemptions and contributions will impact the amount of
funds available for investment in commodity contracts in subsequent periods.
The Trust does not have, nor does it expect to have, any capital assets.
Results of Operations
The net asset value per Interest as of September 30, 1997 was $103.26, a
decrease of 0.20% from the December 31, 1996 net asset value per Interest of
$103.47.
The Trust's positive performance in July was the result of profits recognized
in the currency, financial, index, energy, meat and metal sectors. Losses were
incurred in the soft sector. In the currency sector, the U.S. dollar rose
against the German mark partly on concerns that the planned European Monetary
Union would offer a weaker currency with the dollar seen as a safe haven against
the EMU. The mark was also affected by sluggish economic news in Germany which
contributed to the mark's fall in value to a six-year low against the dollar.
Profits were achieved in the Australian dollar, German mark and the Swiss franc.
In the financial sector, profits were realized in the U.S. bond market and the
Standard & Poor1s 500 stock index. At the beginning of the month, a slight rise
in the U.S. Labor Department's June unemployment report eased concerns about
wage pressures. The report, combined with the Federal Reserve's decision not to
raise short-term interest rates, renewed market optimism for a scenario of a
U.S. economy with low inflation and continued growth. In the foreign financial
markets, German and Italian bond prices rose on slow economic news. In the metal
sector, gold provided significant profits as it reached its lowest level in 11
years. One major contributor to this price drop was gold sales by the Australian
central bank. Losses were experienced
8
in the soft sector as shifting inventory expectations and fickle weather
patterns altered investor sentiment, specifically in cotton and cocoa.
The Trust's negative performance in August was the result of losses incurred
in the currency, financial, metal, index, meat and grain sectors. Profits were
achieved in the soft and energy sectors. The majority of the Trust's losses in
August were the result of market reversals early in the month in the currency
and financial sectors. The currency reversals were accompanied by a higher
United Kingdom base interest rate and market concerns about a possible rise in
U.S. interest rates. While the Trust took early profits in the U.S. dollar
relative to European currencies, this was not enough to offset losses in the
Japanese yen and British pound. The effect of the currency reversals and the
concerns about possible higher interest rates caused a sharp reversal as well in
U.S. and international bond prices and in U.S. and European stock markets. As a
result, in the financial sector the Trust incurred losses in U.S., Swiss,
German, Italian, French and Japanese bonds. In addition, in the index sector the
Trust incurred losses in the S&P 500 and CAC 40 indices. In the metal sector,
base metal prices declined in the latter part of August as low global rates of
inflation were viewed as negative to commodity prices by some market
participants. There were also some market concerns about possible lower levels
of Far East demand for base metals. In the soft sector, the Trust recognized
gains in cocoa, coffee and sugar positions.
The Trust's negative performance in September was the result of losses
incurred in the index, currency, soft, grain and meat sectors. Profits were
achieved in the energy and metal sectors. During September, the Trust
experienced losses as the financial markets remained volatile throughout the
month. U.S. stock index futures reversed direction several times, experiencing
substantial intra-day price movements. U.S. and international stock indexes
reflected particular sensitivity to market expectations regarding economic and
monetary conditions throughout the month. In the interest rate markets, losses
were incurred in U.S. financials and slight profits were recognized in
international government bonds. Significant price moves in the soft sector
resulted in losses for the Trust. Coffee declined, plunging 9.3% in one day's
trading, on expectations of new supplies from Brazil and the transfer of
European coffee beans to the U.S. market. Sugar prices also dropped amid
projections of large Brazilian exports following the elimination of the sugar
export tax. Positions in cocoa were unprofitable as well. Losses were somewhat
offset by gains in the Trust's metal positions as precious metals prices,
including silver and gold, rose on indications of strengthening demand. The
Trust saw profits in the energy sector as positions in natural gas, light crude
and heating oil profited, partly due to increasing inventories following this
summer's lows.
Interest income, commissions and management fees are higher during 1997
versus 1996 principally due to additional contributions received during the
continuous offering period.
Interest income is earned on the equity balances held at PSI and, therefore,
varies monthly according to interest rates, trading performance, contributions
and redemptions. Interest income was approximately $1,626,000 and $589,000 for
the nine and three months ended September 30, 1997, $348,000 for the period from
May 1, 1996 to September 30, 1996 and $232,000 for the three months ended
September 1996.
Commissions are calculated on the Trust's net asset value at the beginning of
each month and, therefore, vary according to trading performance, contributions
and redemptions. Commissions were approximately $2,700,000 and $1,015,000 for
the nine and three months ended September 30, 1997, $539,000 for the period from
May 1, 1996 to September 30, 1996 and $356,000 for the three months ended
September 1996.
All trading decisions for the Trust are made by Willowbridge Associates Inc.,
the trading manager. Management fees are based on the Trust's net asset value at
the end of each month and, therefore, are affected by trading performance,
contributions and redemptions. Management fees were approximately $1,050,000 and
$391,000 for the nine and three months ended September 30, 1997, $208,000 for
the period from May 1, 1996 to September 30, 1996 and $140,000 for the three
months ended September 30, 1996.
Incentive fees are based on the New High Net Trading Profits generated by the
trading manager, as defined in the Advisory Agreement between the Trust, the
Managing Owner and the trading manager. Incentive fees for the nine months ended
September 30, 1997 were approximately $1,221,000 as a result of strong trading
performance during the first quarter. No incentive fees were earned during the
period from May 1, 1996 through September 30, 1996.
9
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. (a) Exhibits--
3.1
and
4.1-- Second Amended and Restated Declaration of Trust and Trust
Agreement of the Registrant dated as of December 14, 1995
(incorporated by reference to Exhibit 3.1 to 4.1 to the
Registrant's Registration Statement on Form S-1, File No.
33-80443, dated as of December 14, 1995)
4.2-- Subscription Agreement (incorporated by reference to
Exhibit 4.2 to the Registrant's Registration Statement on
Form S-1, File No. 33-80443, dated as of December 14, 1995)
4.3-- Request for Redemption (incorporated by reference to
Exhibit 4.3 to the Registrant's Registration
Statement on Form S-1, File No. 33-80443, dated as of
December 14, 1995)
27.1-- Financial Data Schedule (filed herewith)
(b) Reports on Form 8-K--None
10
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.
WILLOWBRIDGE STRATEGIC TRUST
By: Prudential Securities Futures Management
Inc.A Delaware corporation, Managing Owner
By: /s/ Steven Carlino Date: November 14, 1997
----------------------------------------
Steven Carlino
Vice President
Chief Accounting Officer for the
Registrant
11