<Page> Alternative Investment Strategies WORLD MONITOR TRUST II-- SERIES F MONTHLY REPORT/ JUNE 28, 2002 (Logo) Prudential Financial <Page> WORLD MONITOR TRUST II--SERIES F - -------------------------------------------------------------------------------- Dear Interest Holder: Enclosed is the report for the period from June 1, 2002 to June 28, 2002 for World Monitor Trust II--Series F ('Series F'). The net asset value of an interest as of June 28, 2002 was $107.39, an increase of 7.89% from the May 31, 2002 value of $99.54. The calendar year-to-date return for Series F was an increase of .93% as of June 28, 2002. Additionally, the return for the Quarterly Period from March 30, 2002 to June 28, 2002 was an increase of 6.68% 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 F The following is a summary of performance for the major sectors in which Series F traded: Currencies (+): Long Japanese yen, Australian 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. Interest rates (+): Global bond markets rose as interest rates declined during the quarter in response to poor equity market performance. Long positions in U.S. and Japanese bonds resulted in gains. Energies (-): Energy prices declined amid increased U.S. stock suggesting ample supply for the summer season and anticipation that Russia would discontinue output restrictions. Long heating oil, crude oil and unleaded gas positions incurred losses. Metals (-): Short copper positions incurred losses as copper rallied due to supply cutbacks initiated by some producers. Short aluminum and zinc positions resulted in losses as industrial metals rallied on the back of the output cuts in copper. Indices (-): Long positions in the S&P 500, NASDAQ and Nikkei Dow resulted in losses as equity indices fell amid concerns regarding U.S. economic recovery, accounting irregularities and weaker than expected corporate earnings. The estimated net asset value per interest as of July 31, 2002 was $114.76. Past performance is not necessarily indicative of future results. Should you have any questions, please contact your Prudential Securities Financial Advisor. For account status inquiries, contact Prudential Securities Client Services at (212) 778-2443. Sincerely yours, Eleanor L. Thomas President and Director PRUDENTIAL SECURITIES FUTURES MANAGEMENT INC. Please note that the unit value which appears on your Prudential Securities statement is an estimated value at calendar month-end. The actual value as of the last Friday of the month is contained in this report. STATEMENT OF OPERATIONS - -------------------------------------------------------------- For the period from June 1, 2002 to June 28, 2002 Revenues: Realized gain on commodity transactions......... $1,122,632 Change in unrealized commodity positions........ 93,662 Interest income................................. 19,188 ---------- 1,235,482 ---------- Expenses: Commissions..................................... 68,584 Management fee.................................. 22,893 Other transaction fees.......................... 8,241 Other expenses.................................. 9,615 ---------- 109,333 ---------- Net gain........................................ $1,126,149 ---------- ---------- STATEMENT OF CHANGES IN NET ASSET VALUE - --------------------------------------------------------------- For the period from June 1, 2002 to June 28, 2002 Per Total Interest ----------- ------- Net asset value at beginning of period (141,858.884 interests)............... $14,120,128 $ 99.54 Contributions.......................... 241,200 Net gain............................... 1,126,149 Redemptions............................ (213,488) ----------- Net asset value at end of period (142,225.062 interests)........ $15,273,989 107.39 ----------- ----------- ------- Change in net asset value per interest................................. $ 7.85 ------- ------- Percentage change................................... 7.89% ------- ------- - --------------------------------------------------------------- I hereby affirm that, to the best of my knowledge and belief, the information contained herein relating to World Monitor Trust II--Series F is accurate and complete. PRUDENTIAL SECURITIES FUTURES MANAGEMENT INC. by: Steven Weinreb Chief Financial Officer