<Page>
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 28, 2002
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: 0-32687
WORLD MONITOR TRUST II-SERIES E
- --------------------------------------------------------------------------------
(Exact name of Registrant as specified in its charter)
Delaware 13-4058319
- --------------------------------------------------------------------------------
(State or other jurisdiction of (I.R.S. Employer Identification No.)
incorporation or organization)
One New York Plaza, 13th Floor, New York, New York 10292
- --------------------------------------------------------------------------------
(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code (212) 778-7866
N/A
- --------------------------------------------------------------------------------
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 ___
<Page>
PART I. FINANCIAL INFORMATION
ITEM 1. FINANCIAL STATEMENTS
WORLD MONITOR TRUST II--SERIES E
(a Delaware Business Trust)
STATEMENTS OF FINANCIAL CONDITION
(Unaudited)
<Table>
<Caption>
June 28, December 31,
2002 2001
- ----------------------------------------------------------------------------------------------------
ASSETS
Cash $13,479,343 $8,838,511
Net unrealized gain on open futures contracts 846,048 255,757
Net unrealized gain on open forward contracts 31,553 --
Accrued interest receivable 688 --
Subscriptions receivable -- 5,000
------------- ------------
Total assets $14,357,632 $9,099,268
------------- ------------
------------- ------------
LIABILITIES AND TRUST CAPITAL
Liabilities
Incentive fees payable $ 67,776 $ 13,466
Commissions and other transaction fees payable 67,043 45,475
Redemptions payable 54,380 60,681
Accrued expenses payable 49,445 61,754
Management fees payable 20,677 14,408
Unrealized loss on open forward contracts -- 9,674
------------- ------------
Total liabilities 259,321 205,458
------------- ------------
Commitments
Trust capital
Limited interests (103,968.879 and 67,965.112 interests
outstanding) 13,910,995 8,787,237
General interests (1,400.000 and 824.300 interests outstanding) 187,316 106,573
------------- ------------
Total trust capital 14,098,311 8,893,810
------------- ------------
Total liabilities and trust capital $14,357,632 $9,099,268
------------- ------------
------------- ------------
Net asset value per limited and general interest ('Interests') $ 133.80 $ 129.29
------------- ------------
------------- ------------
- ----------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements.
</Table>
2
<Page>
WORLD MONITOR TRUST II--SERIES E
(a Delaware Business Trust)
Condensed Schedules of Investments
(Unaudited)
<Table>
<Caption>
June 28, 2002 December 31, 2001
-------------------------------- --------------------------------
Net Unrealized Net Unrealized
Gain (Loss) Gain (Loss)
as a % of Net Unrealized as a % of Net Unrealized
Futures and Forward Contracts Trust Capital Gain (Loss) Trust Capital Gain (Loss)
- -------------------------------------------------------------------------------------------------------------
Futures contracts purchased:
Interest rates $402,338 $ 4,010
Currencies 257,674 250,488
Commodities 102,127 51,792
-------------- --------------
Net unrealized gain on futures
contracts purchased 5.40% 762,139 3.44% 306,290
-------------- --------------
Futures contracts sold:
Interest rates -- 9,798
Stock indices 73,107 (12,058)
Currencies 15,475 165,385
Commodities (4,673) (213,658)
-------------- --------------
Net unrealized gain (loss) on
futures contracts sold 0.60% 83,909 (0.56) (50,533)
------ -------------- ------ --------------
Net unrealized gain on futures
contracts 6.00% $846,048 2.88% $ 255,757
------ -------------- ------ --------------
------ -------------- ------ --------------
Forward currency contracts purchased 0.08% $ 11,512 (0.11)% $ (9,674)
Forward currency contracts sold 0.14% 20,041 -- --
------ -------------- ------ --------------
Net unrealized gain (loss) on
forward contracts 0.22% $ 31,553 (0.11)% $ (9,674)
------ -------------- ------ --------------
------ -------------- ------ --------------
Settlement Currency--Futures Contracts
British pound 0.42% $ 59,405 0.41% $ 36,181
Japanese yen 0.43 60,773 2.30 205,027
Swedish krona -- -- (0.01) (1,090)
U.S. dollar 4.06 572,694 0.18 15,639
Swiss franc 0.48 68,041 -- --
Australian dollar (0.06) (8,483) -- --
Euro 0.39 55,065 -- --
Canadian dollar 0.28 38,553 -- --
------ -------------- ------ --------------
Total 6.00% $846,048 2.88% $ 255,757
------ -------------- ------ --------------
------ -------------- ------ --------------
Settlement Currency--Forward Contracts
U.S. dollar 0.22% $ 31,553 (0.11)% $ (9,674)
------ -------------- ------ --------------
------ -------------- ------ --------------
- -------------------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements.
</Table>
3
<Page>
WORLD MONITOR TRUST II--SERIES E
(a Delaware Business Trust)
STATEMENTS OF OPERATIONS
(Unaudited)
<Table>
<Caption>
For the period from For the period from For the period from For the period from
January 1, 2002 to January 1, 2001 to March 30, 2002 to March 31, 2001 to
June 28, 2002 June 29, 2001 June 28, 2002 June 29, 2001
- -------------------------------------------------------------------------------------------------------------------
REVENUES
Net realized gain (loss) on
commodity transactions $ 576,098 $ 916,760 $ 1,074,737 $(124,756)
Change in net unrealized
gain/loss on open
commodity positions 631,518 (704,804) 562,191 (590,463)
Interest income 89,803 140,391 49,436 65,174
------------------- ------------------- ------------------- -------------------
1,297,419 352,347 1,686,364 (650,045)
------------------- ------------------- ------------------- -------------------
EXPENSES
Commissions and other
transaction fees 339,239 212,590 191,229 114,004
Management fees 104,896 65,432 58,497 34,599
Incentive fees 67,776 169,806 67,776 --
General and administrative 62,165 70,514 31,084 40,158
------------------- ------------------- ------------------- -------------------
574,076 518,342 348,586 188,761
General and administrative
expenses borne by the
Managing Owner and its
affiliates (10,471) (41,104) (3,899) (33,961)
------------------- ------------------- ------------------- -------------------
Net expenses 563,605 477,238 344,687 154,800
------------------- ------------------- ------------------- -------------------
Net income (loss) $ 733,814 $(124,891) $ 1,341,677 $(804,845)
------------------- ------------------- ------------------- -------------------
------------------- ------------------- ------------------- -------------------
ALLOCATION OF NET INCOME
(LOSS)
Limited interests $ 724,486 $(124,985) $ 1,324,103 $(795,069)
------------------- ------------------- ------------------- -------------------
------------------- ------------------- ------------------- -------------------
General interests $ 9,328 $ 94 $ 17,574 $ (9,776)
------------------- ------------------- ------------------- -------------------
------------------- ------------------- ------------------- -------------------
NET INCOME (LOSS) PER
WEIGHTED AVERAGE LIMITED
AND GENERAL INTEREST
Net income (loss) per
weighted average limited
and general interest $ 8.57 $ (2.29) $ 14.01 $ (13.90)
------------------- ------------------- ------------------- -------------------
------------------- ------------------- ------------------- -------------------
Weighted average number of
limited and general
interests outstanding 85,660 54,548 95,756 57,888
------------------- ------------------- ------------------- -------------------
------------------- ------------------- ------------------- -------------------
- -------------------------------------------------------------------------------------------------------------------
</Table>
STATEMENT OF CHANGES IN TRUST CAPITAL
(Unaudited)
<Table>
<Caption>
LIMITED GENERAL
INTERESTS INTERESTS INTERESTS TOTAL
- -----------------------------------------------------------------------------------------------------
Trust capital--December 31, 2001 68,789.412 $ 8,787,237 $106,573 $ 8,893,810
Contributions 43,933.318 5,286,213 71,415 5,357,628
Net income 724,486 9,328 733,814
Redemptions (7,353.851) (886,941) -- (886,941)
------------ ----------- --------- -----------
Trust capital--June 28, 2002 105,368.879 $13,910,995 $187,316 $14,098,311
------------ ----------- --------- -----------
------------ ----------- --------- -----------
- -----------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements.
</Table>
4
<Page>
WORLD MONITOR TRUST II--SERIES E
(a Delaware Business Trust)
NOTES TO FINANCIAL STATEMENTS
June 28, 2002
(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 II--Series E ('Series E') as of June 28, 2002 and the results of
its operations for the periods from January 1, 2002 to June 28, 2002
('Year-To-Date 2002'), January 1, 2001 to June 29, 2001 ('Year-To-Date 2001'),
March 30, 2002 to June 28, 2002 ('Second Quarter 2002') and March 31, 2001 to
June 29, 2001 ('Second Quarter 2001'). 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 E's annual report on Form 10-K filed with
the Securities and Exchange Commission for the year ended December 31, 2001.
Certain balances from 2001 have been reclassified to conform with the current
financial statement presentation.
B. Related Parties
The Managing Owner of Series E is a wholly-owned subsidiary of Prudential
Securities Incorporated ('PSI'), which, in turn, is an indirect wholly-owned
subsidiary of Prudential Financial, Inc. Series E reimburses the Managing Owner
or its affiliates for services they perform for Series E, 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. However, to the extent that general and
administrative expenses exceed 1.5% of Series E's net asset value during the
year (with a maximum of 0.5% attributable to other than legal and audit
expenses) such amounts will be borne by the Managing Owner and its affiliates.
Because general and administrative expenses exceeded such limitations, a portion
of the expenses related to services the Managing Owner performed for Series E,
other than brokerage services, during Year-To-Date 2002, Year-To-Date 2001,
Second Quarter 2002 and Second Quarter 2001 have been borne by the Managing
Owner and its affiliates. Additionally, PSI or its affiliates paid the costs of
organizing Series E and continue to pay the costs of offering its limited
interests.
The expenses incurred by Series E for services performed by the Managing
Owner and its affiliates for Series E were:
<Table>
<Caption>
Year-To-Date Year-To-Date Second Quarter Second Quarter
2002 2001 2002 2001
------------ ------------ -------------- --------------
Commissions $315,092 $195,636 $175,728 $103,539
General and administrative 33,103 47,677 16,551 28,526
------------ ------------ -------------- --------------
348,195 243,313 192,279 132,065
General and administrative
expenses borne by the
Managing Owner and its
affiliates (10,471) (41,104) (3,899) (33,961)
------------ ------------ -------------- --------------
$337,724 $202,209 $188,380 $ 98,104
------------ ------------ -------------- --------------
------------ ------------ -------------- --------------
</Table>
Expenses payable to the Managing Owner and its affiliates (which are included
in accrued expenses) as of June 28, 2002 and December 31, 2001 were $20,530 and
$9,058, respectively.
All of the proceeds of the offering of Series E are received in the name of
Series E and deposited in trading or cash accounts at PSI, Series E's commodity
broker. Series E's assets are maintained with PSI or,
5
<Page>
for margin purposes, with the various exchanges on which Series E is permitted
to trade. Series E receives interest income on 100% of its average daily equity
maintained in cash in its accounts with PSI during each month at the 13-week
Treasury bill discount rate.
Series E, acting through its trading advisor, may execute over-the-counter,
spot, forward and/or option foreign exchange transactions with PSI. PSI then
engages in back-to-back trading with an affiliate, Prudential-Bache Global
Markets Inc. ('PBGM'). PBGM attempts to earn a profit on such transactions. PBGM
keeps its prices on foreign currency competitive with other interbank currency
trading desks. All over-the-counter currency transactions are conducted between
PSI and Series E pursuant to a line of credit. PSI may require that collateral
be posted against the marked-to-market positions of Series E.
As of June 28, 2002, a non-U.S. affiliate of the Managing Owner owned 54.284
limited interests of Series E.
C. Derivative Instruments and Associated Risks
Series E 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 E'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 E's net assets being
traded, significantly exceeds Series E's future cash requirements since Series E
intends to close out its open positions prior to settlement. As a result, Series
E is generally subject only to the risk of loss arising from the change in the
value of the contracts. As such, Series E 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 E's commitments to purchase commodities
is limited to the gross or face amount of the contracts held. However, when
Series E 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. Since the repurchase price to which a
commodity can rise is unlimited, entering into commitments to sell commodities
exposes Series E 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 E holds and the liquidity and inherent
volatility of the markets in which Series E trades.
Credit risk
When entering into futures or forward contracts, Series E is exposed to
credit risk that the counterparty to the contract will not meet its obligations.
The counterparty for futures contracts traded on United States and most foreign
futures exchanges is the clearinghouse associated with the particular exchange.
In general, clearinghouses are backed by their corporate members who are
required to share any financial burden resulting from the nonperformance by one
of their members and, as such, should significantly reduce this credit risk. In
cases where the clearinghouse is not backed by the clearing members (i.e., some
foreign exchanges), it is normally backed by a consortium of banks or other
financial institutions. On the other hand, if Series E enters into forward
transactions, the sole counterparty is PSI, Series E's commodity broker. Series
E has entered into a master netting agreement with PSI and, as a result, when
applicable, presents unrealized gains and losses on open forward positions as a
net amount in the statements of financial condition. The amount at risk
associated with counterparty nonperformance of all of Series E's contracts is
the net unrealized gain included in the statements of financial condition;
however, counterparty nonperformance on only certain of Series E's contracts may
result in greater loss than nonperformance on all of Series E's contracts. There
can be no assurance that any counterparty, clearing member or clearinghouse will
meet its obligations to Series E.
The Managing Owner attempts to minimize both credit and market risks by
requiring Series E 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
6
<Page>
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 E, the Managing Owner and the trading
advisor, Series E shall automatically terminate the trading advisor if the net
asset value allocated to the trading advisor declines by 40% from the value at
the beginning of any year or since the commencement of trading activities.
Furthermore, the Second Amended and Restated Declaration of Trust and Trust
Agreement of World Monitor Trust II provides that Series E will liquidate its
positions, and eventually dissolve, if Series E experiences a decline in the net
asset value of 50% from the value at the beginning of any year or since the
commencement of trading activities. In each case, the decline in net asset value
is after giving effect for distributions, contributions and redemptions. The
Managing Owner may impose additional restrictions (through modifications of
trading limitations and policies) upon the trading activities of the trading
advisor as it, in good faith, deems to be in the best interests of Series E.
PSI, when acting as Series E'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 E all assets of Series E relating to
domestic futures trading and is not allowed to commingle such assets with other
assets of PSI. At June 28, 2002, such segregated assets totalled $4,564,473.
Part 30.7 of the CFTC regulations also requires PSI to secure assets of Series E
related to foreign futures trading which totalled $9,760,918 at June 28, 2002.
There are no segregation requirements for assets related to forward trading.
As of June 28, 2002, Series E's open futures and forward contracts generally
mature within one year, although certain interest rate futures contracts have
maturities as distant as December 2003.
D. Financial Highlights
<Table>
<Caption>
Year-To-Date Year-To-Date Second Quarter Second Quarter
2002 2001 2002 2001
------------ ------------ -------------- --------------
Performance per Interest
Net asset value, beginning
of period $ 129.29 $ 120.36 $ 121.78 $ 133.52
------------ ------------ -------------- --------------
Net realized gain (loss) and
change in net unrealized
gain/loss on commodity
transactions 9.84 4.35 15.00 (13.61)
Interest income 1.04 2.61 0.51 1.13
Net expenses (6.37) (8.91) (3.49) (2.63)
------------ ------------ -------------- --------------
Net increase (decrease) for
the period 4.51 (1.95) 12.02 (15.11)
------------ ------------ -------------- --------------
Net asset value, end of
period $ 133.80 $ 118.41 $ 133.80 $ 118.41
------------ ------------ -------------- --------------
------------ ------------ -------------- --------------
Total return 3.49% (1.62)% 9.87% (11.32)%
Ratio to average net assets (annualized)
Interest income 1.70% 4.30% 1.71% 3.82%
Net expenses, including
1.28%, 5.20%, 2.35% and
0% of incentive fees
during Year-To-Date 2002,
Year-To-Date 2001, Second
Quarter 2002 and Second
Quarter 2001,
respectively 10.68% 14.62% 11.93% 9.07%
</Table>
These financial highlights represent the overall results of Series E during
Year-To-Date 2002, Year-To-Date 2001, Second Quarter 2002 and Second Quarter
2001. An individual limited owner's actual results may differ depending on the
timing of contributions and redemptions.
7
<Page>
WORLD MONITOR TRUST II--SERIES E
(a Delaware Business Trust)
ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION
AND RESULTS OF OPERATIONS
Liquidity and Capital Resources
Series E commenced operations on April 6, 2000 with gross proceeds of
$5,157,459 allocated to commodities trading. Additional contributions raised
through the continuous offering during Year-To-Date 2002, Second Quarter 2002
and for the period from April 6, 2000 (commencement of operations) to June 28,
2002 resulted in additional proceeds to Series E of $5,357,628, $3,337,437 and
$10,957,260, respectively. Additional limited interests of Series E will
continue to be offered on a weekly basis at the net asset value per Interest
until the subscription maximum of $50,000,000 is sold.
Limited interests in Series E 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 2002, Second
Quarter 2002 and for the period from April 6, 2000 (commencement of operations)
to June 28, 2002 totalled $886,941, $712,089 and $4,306,968, respectively. Since
inception, the only redemptions of general interests occurred during Second
Quarter 2001 totalling $19,576. Additionally, Interests owned in any series of
World Monitor Trust II (Series D, E or F) may be exchanged, without any charge,
for Interests of one or more other series of World Monitor Trust II on a weekly
basis for as long as Interests in those series are being offered to the public.
Future contributions, redemptions and exchanges will impact the amount of funds
available for investment in commodity contracts in subsequent periods.
At June 28, 2002, 100% of Series E'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 trading in commodities. Inasmuch as the sole business of Series E
is to trade in commodities, Series E continues to own such liquid assets to be
used as margin. PSI credits Series E with interest income on 100% of its average
daily equity maintained in cash in its accounts with PSI during each month at
the 13-week Treasury bill discount rate.
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 E from promptly liquidating its commodity
futures positions.
Since Series E'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 E'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 E's
speculative trading as well as the development of drastic market occurrences
could result in monthly losses considerably beyond Series E'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
E 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 E's futures and forward contracts.
Series E does not have, nor does it expect to have, any capital assets.
Results of Operations
The net asset value per Interest as of June 28, 2002 was $133.80, an increase
of 3.49% from the December 31, 2001 net asset value per Interest of $129.29 and
an increase of 9.87% from the March 29, 2002 net asset value per Interest of
$121.78. Past performance is not necessarily indicative of future results.
8
<Page>
Series E's gross trading gains (losses) were approximately $1,208,000,
$212,000, $1,637,000 and $(715,000) during Year-To-Date 2002, Year-To-Date 2001,
Second Quarter 2002 and Second Quarter 2001, respectively. Due to the nature of
Series E's trading activities, a period to period comparison of its trading
results is not meaningful. However, a detailed discussion of Series E's Second
Quarter 2002 trading results is presented below.
Quarterly Market Overview
Despite reports by the Federal Reserve Board (the 'Fed') indicating that
overall economic activity expanded at a moderate pace during the second quarter
of 2002, investor sentiment remained bleak. Most major U.S. equity indices
reached new lows as investor confidence worldwide was battered by reports of
corporate leadership misconduct and accounting irregularities. Continued
uncertainty in the Middle East and weaker than expected second quarter corporate
earnings added to investor uncertainty. The U.S. dollar fell against most major
foreign currencies during the quarter, while the price of interest rate
instruments rose. In the U.S., residential real estate markets generally
remained robust, but weakness persisted in most commercial markets. Retail sales
were generally flat and labor markets remained weak. Consumer spending and
manufacturing activity, which helped boost U.S. economic growth in previous
quarters, remained stagnant at a relatively high level. Additionally, continued
softness in the labor markets helped weaken consumer confidence. European and
Asian economic activity mirrored that of the U.S., but to a lesser extent.
Global equity markets moved sharply lower throughout the quarter as investor
confidence collapsed in response to concerns about accounting transparency at
some firms, heightened tension in the Middle East, and decreased corporate sales
and profits. This resulted in investors re-evaluating their outlook for a
near-term economic recovery. In the U.S., concerns that unannounced accounting
problems will eliminate expected corporate profits continued to keep equity
markets down. At quarter-end, the year-to-date returns for the S&P 500, the
NASDAQ and the London FTSE were -14%, -25% and -10.75%, respectively.
In bond markets, prices rose as interest rates fell in the U.S. on concerns
regarding a weak economic recovery and declines in the equity markets.
Additionally, declining equity markets led investors to switch allocations from
equity markets to fixed income markets, which are perceived as the current safe
haven for wealth. The Fed left interest rates unchanged at 1.75% in its two
meetings this quarter, declaring that its economic outlook for the near future
remained 'uncertain'. Other central banks, including the European Central Bank
and the Bank of Japan, generally followed the lead of the Fed leaving rates
unchanged and foreign bond markets rose as well.
In foreign exchange markets, the U.S. dollar moved sharply lower against most
major currencies throughout the quarter, falling to new lows against some
currencies. Weak U.S. economic growth in relation to other economies and
concerns regarding accounting irregularities in major U.S. corporations drove
the dollar downward. Additionally, the decline in U.S. equity markets and
investor confidence decreased the desire to hold U.S. assets driving the U.S.
dollar lower against the euro, British pound, Swiss franc and Japanese yen.
Gold and other precious metals soared throughout most of the quarter in
response to weaknesses in the U.S. dollar and global equity markets and
instability in the Middle East. Gold prices reversed at quarter-end as a result
of profit taking by traders and sentiment that the U.S. dollar would be
supported by U.S. and Japanese central banks.
Quarterly Performance of Series E
The following is a summary of performance for the major sectors in which
Series E traded:
Currencies (+): Long Japanese yen, British pound, Australian dollar, Canadian
dollar, euro and Swiss franc positions resulted in gains as a weak U.S. economy
and falling equity markets caused the U.S. dollar to fall against these
currencies.
Indices (+): Short positions in the S&P 500, NASDAQ and euro DAX resulted in
gains as equity indices fell amid concerns regarding U.S. economic recovery,
accounting irregularities and weaker than expected corporate earnings.
Grains (+): Gains resulted from short soybean meal positions as the commodity
declined following a projected soybean supply increase by the U.S. Department of
Agriculture.
9
<Page>
Energies (-): Energy prices declined amid increased U.S. supplies suggesting
ample supply for the summer season and anticipation that Russia would
discontinue output restrictions. Long crude oil, unleaded gas and natural gas
positions incurred losses.
Interest rates (-): Global bond markets rose as interest rates declined
during the quarter in response to poor equity market performance. Short
positions in U.S., British and European bonds incurred losses.
Metals (-): Short aluminum, nickel and zinc positions incurred losses as
industrial metals rallied on the back of output cuts in copper.
Softs (-): Cotton rallied as news of excessive rain and unseasonably cold
weather in China led to a reduction of the estimated cotton crop output. Short
cotton positions incurred losses.
Increases in commissions and other transaction fees and management fees
during Year-To-Date 2002 as compared to Year-To-Date 2001 and Second Quarter
2002 as compared to Second Quarter 2001 are primarily due to the effect of
contributions during 2001 and Year-To-Date 2002 on Series E's weekly net asset
values offset, in part, by redemptions, as further discussed below.
Interest income is earned on the average daily equity maintained in cash with
PSI at the 13-week Treasury bill discount rate and, therefore, varies weekly
according to interest rates, trading performance, contributions and redemptions.
Interest income decreased $51,000 and $16,000 during Year-To-Date 2002 as
compared to Year-To-Date 2001 and Second Quarter 2002 as compared to Second
Quarter 2001, respectively. These declines were due to lower overall interest
rates during 2002 versus 2001. The impact of lower overall interest rates was
partially offset by the increase in average net asset levels as discussed above.
Commissions are calculated on Series E's net asset value at the end of each
week and, therefore, vary according to weekly trading performance, contributions
and redemptions. Other transaction fees consist of National Futures Association,
exchange and clearing fees as well as floor brokerage costs and give-up charges,
which are based on the number of trades the trading advisor executes, as well as
which exchange, clearing firm or bank on, or through, which the contract is
traded. Commissions and other transaction fees increased $127,000 and $77,000
during Year-To-Date 2002 as compared to Year-To-Date 2001 and Second Quarter
2002 as compared to Second Quarter 2001, respectively, due to the increase in
average net asset levels as discussed above.
All trading decisions for Series E are made by Graham Capital Management,
L.P. (the 'Trading Advisor'). Management fees are calculated on Series E's net
asset value at the end of each week and, therefore, are affected by weekly
trading performance, contributions and redemptions. Management fees increased
$39,000 and $24,000 during Year-To-Date 2002 as compared to Year-To-Date 2001
and Second Quarter 2002 as compared to Second Quarter 2001, respectively, due to
the increase 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 E, the
Managing Owner and the Trading Advisor. Incentive fees generated during
Year-To-Date 2002, Year-To-Date 2001 and Second Quarter 2002 were $68,000,
$170,000 and $68,000, respectively. Series E did not incur an incentive fee
during Second Quarter 2001.
General and administrative expenses were $62,000, $71,000, $31,000 and
$40,000 for Year-To-Date 2002, Year-To-Date 2001, Second Quarter 2002 and Second
Quarter 2001, respectively. These expenses include accounting, audit, tax and
legal fees as well as printing and postage costs related to reports sent to
limited owners, and are before reimbursement of costs incurred by the Managing
Owner on behalf of Series E. To the extent that general and administrative
expenses exceed 1.5% of Series E's net asset value during the year (with a
maximum of 0.5% attributable to other than legal and audit expenses) such
amounts are borne by the Managing Owner and its affiliates. Because applicable
expenses exceeded these limits, a portion of these expenses has been borne by
the Managing Owner and its affiliates, resulting in a net cost to Series E of
$52,000, $29,000, $27,000 and $6,000 during Year-To-Date 2002, Year-To-Date
2001, Second Quarter 2002 and 2001, respectively.
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.
10
<Page>
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--The following table presents sales of
unregistered interests (i.e. general interests) exempt from registration
under Section 4(2) of the Securities Act of 1933 during the period from
January 1, 2002 to June 28, 2002.
<Table>
<Caption>
Amount of
-------------------------------
Date of Sale Interests sold Cash received
--------------------------------------------------------
February 18, 2002 275.7 $35,631
May 20, 2002 300.0 35,784
------- -------------
Total 575.7 $71,415
------- -------------
------- -------------
</Table>
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 2002, Steven Weinreb was elected by the
Board of Directors of Prudential Securities Futures Management Inc. as
Chief Financial Officer replacing Barbara Brooks.
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
Agreement of World Monitor Trust II dated as of March 28, 2002
(incorporated by reference to Exhibit 3.1 and 4.1 to Post-
Effective Amendment No. 4 to Series E's Registration Statement
on Form S-1, File No. 333-83015)
4.2-- Form of Request for Redemption (incorporated by reference to
Exhibit 4.2 to Post-Effective Amendment No. 4 to Series E's
Registration Statement on Form S-1, File No. 333-83015)
4.3-- Form of Exchange Request (incorporated by reference to
Exhibit 4.3 to Post-Effective Amendment No. 4 to Series E's
Registration Statement on Form S-1, File No. 333-83015)
4.4-- Form of Subscription Agreement (incorporated by reference to
Exhibit 4.4 to Post-Effective Amendment No. 4 to Series E's
Registration Statement on Form S-1, File No. 333-83015)
99.1-- Certificate pursuant to 18 U.S.C. Section 1350 as adopted
pursuant to Section 906 of the SARBANES-OXLEY Act of 2002
(filed herewith)
(b) Reports on Form 8-K--None
11
<Page>
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 II--SERIES E
By: Prudential Securities Futures Management Inc.
A Delaware corporation, Managing Owner
By: /s/ Steven Weinreb Date: August 12, 2002
----------------------------------------
Steven Weinreb
Chief Financial Officer
12