<Page>
2002
- --------------------------------------------------------------------------------
World Monitor Trust II-- Annual
Series D Report
<Page>
LETTER TO LIMITED OWNERS FOR
WORLD MONITOR TRUST II--SERIES D
1
<Page>
PricewaterhouseCoopers (LOGO)
PricewaterhouseCoopers LLP
1177 Avenue of the Americas
New York, NY 10036
Telephone (646) 471-4000
Facsimile (646) 471-4100
Report of Independent Accountants
To the Managing Owner and Limited Owners
of World Monitor Trust II--Series D
In our opinion, the accompanying statements of financial condition, including
the condensed schedules of investments, and the related statements of operations
and changes in trust capital present fairly, in all material respects, the
financial position of World Monitor Trust II--Series D at December 31, 2002 and
2001 and the results of its operations for the years ended December 31, 2002 and
2001 and for the period from March 13, 2000 (commencement of operations) to
December 31, 2000, and changes in trust capital for each of the three years
ended December 31, 2002, 2001 and 2000 in conformity with accounting principles
generally accepted in the United States of America. These financial statements
are the responsibility of the Managing Owner; our responsibility is to express
an opinion on these financial statements based on our audits. We conducted our
audits of these statements in accordance with auditing standards generally
accepted in the United States of America, which require that we plan and perform
the audit to obtain reasonable assurance about whether the financial statements
are free of material misstatement. An audit includes examining, on a test basis,
evidence supporting the amounts and disclosures in the financial statements,
assessing the accounting principles used and significant estimates made by the
Managing Owner, and evaluating the overall financial statement presentation. We
believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
February 24, 2003
2
<Page>
WORLD MONITOR TRUST II--SERIES D
(a Delaware Business Trust)
STATEMENTS OF FINANCIAL CONDITION
<Table>
<Caption>
December 31,
---------------------------
2002 2001
- ----------------------------------------------------------------------------------------------------
ASSETS
Cash in commodity trading accounts $7,491,183 $ 4,474,005
Net unrealized gain (loss) on open futures contracts 131,946 (61,284)
------------ -----------
Total assets $7,623,129 $ 4,412,721
------------ -----------
------------ -----------
LIABILITIES AND TRUST CAPITAL
Liabilities
Accrued expenses $ 60,329 $ 52,055
Commissions and other transaction fees payable 41,392 22,857
Management fees payable 8,135 4,465
Redemptions payable -- 22,989
Unrealized loss on open forward contracts -- 14,433
------------ -----------
Total liabilities 109,856 116,799
------------ -----------
Commitments
Trust capital
Limited interests (79,736.725 and 51,950.299 interests outstanding) 7,429,420 4,251,727
General interests (900 and 540 interests outstanding) 83,853 44,195
------------ -----------
Total trust capital 7,513,273 4,295,922
------------ -----------
Total liabilities and trust capital $7,623,129 $ 4,412,721
------------ -----------
------------ -----------
Net asset value per limited and general interests $ 93.17 $ 81.84
------------ -----------
------------ -----------
</Table>
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements.
3
<Page>
WORLD MONITOR TRUST II--SERIES D
(a Delaware Business Trust)
Condensed Schedules of Investments
<Table>
<Caption>
At December 31,
--------------------------------------------------------------------
2002 2001
-------------------------------- --------------------------------
Net Unrealized Net Unrealized
Gain (Loss) Gain (Loss)
as a % of Net Unrealized as a % of Net Unrealized
Futures Contracts Trust Capital Gain (Loss) Trust Capital Gain (Loss)
- -------------------------------------------------------------------------------------------------------------
Futures contracts purchased:
Stock indices $ (30,745) $ 11,982
Interest rates 293,123 (67,480)
Currencies 134,410 (107,230)
Commodities (12,350) --
-------------- --------------
Net unrealized gain (loss) on
futures contracts purchased 5.12% 384,438 (3.79)% (162,728)
------ -------------- ------ --------------
Futures contracts sold:
Stock indices 1,984 (2,981)
Interest rates (209,367) 15,412
Currencies (45,109) 78,413
Commodities -- 10,600
-------------- --------------
Net unrealized gain (loss) on
futures contracts sold (3.36) (252,492) 2.36 101,444
------ -------------- ------ --------------
Net unrealized gain (loss) on
futures contracts 1.76% $ 131,946 (1.43)% $ (61,284)
------ -------------- ------ --------------
------ -------------- ------ --------------
Forward currency contracts purchased (0.04)% $ (3,158) 0.11% $ 4,929
Forward currency contracts sold 0.04 3,158 (0.45) (19,362)
------ -------------- ------ --------------
Net unrealized loss on forward
contracts 0.00% $ 0 (0.34)% $ (14,433)
------ -------------- ------ --------------
------ -------------- ------ --------------
Settlement Currency--Futures Contracts
British pound (1.44)% $ (107,988) 0.71% $ 30,369
Canadian dollar (0.56) (42,128) 0.48 20,535
Euro 2.30 172,455 (2.32) (99,368)
Japanese yen (0.10) (7,306) 0.01 522
Australian dollar 0.05 3,790 (0.05) (2,248)
Swiss franc 0.28 20,752 -- --
Swedish krona (0.00) (9) -- --
U.S. dollar 1.23 92,380 (0.26) (11,094)
------ -------------- ------ --------------
Total 1.76% $ 131,946 (1.43)% $ (61,284)
------ -------------- ------ --------------
------ -------------- ------ --------------
Settlement Currency--Forward Contracts
U.S. dollar 0.00% $ 0 (0.34)% $ (14,433)
------ -------------- ------ --------------
------ -------------- ------ --------------
- -------------------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements.
</Table>
4
<Page>
WORLD MONITOR TRUST II--SERIES D
(a Delaware Business Trust)
STATEMENTS OF OPERATIONS
<Table>
<Caption>
For the period from
March 13, 2000
(commencement of
Year ended December 31, operations) to
----------------------- December 31,
2002 2001 2000
- ------------------------------------------------------------------------------------------------------
REVENUES
Net realized gain (loss) on commodity transactions $1,010,594 $ (93,119) $ (708,702)
Change in net unrealized gain/loss on open commodity
positions 207,663 (127,443) 51,726
Interest income 93,161 159,873 281,858
---------- --------- --------------------
1,311,418 (60,689) (375,118)
---------- --------- --------------------
EXPENSES
Commissions and other transaction fees 378,109 282,939 303,680
General and administrative 139,590 119,513 119,152
Management fees 74,362 54,595 58,273
Incentive fees 5,791 -- 27,238
---------- --------- --------------------
597,852 457,047 508,343
General and administrative expenses borne by the
Managing Owner and its affiliates (50,682) (53,745) (48,938)
---------- --------- --------------------
Net expenses 547,170 403,302 459,405
---------- --------- --------------------
Net income (loss) $ 764,248 $(463,991) $ (834,523)
---------- --------- --------------------
---------- --------- --------------------
ALLOCATION OF NET INCOME (LOSS)
Limited interests $ 756,063 $(459,082) $ (824,648)
---------- --------- --------------------
---------- --------- --------------------
General interests $ 8,185 $ (4,909) $ (9,875)
---------- --------- --------------------
---------- --------- --------------------
NET INCOME (LOSS) PER WEIGHTED AVERAGE LIMITED AND
GENERAL INTEREST
Net income (loss) per weighted average limited and
general interest $ 11.41 $ (8.54) $ (13.32)
---------- --------- --------------------
---------- --------- --------------------
Weighted average number of limited and general
interests outstanding 66,962 54,361 62,661
---------- --------- --------------------
---------- --------- --------------------
- ------------------------------------------------------------------------------------------------------
</Table>
STATEMENTS OF CHANGES IN TRUST CAPITAL
<Table>
<Caption>
LIMITED GENERAL
INTERESTS INTERESTS INTERESTS TOTAL
- -------------------------------------------------------------------------------------------------------
Trust capital--December 31, 1999 10.000 $ -- $ 1,000 $ 1,000
Contributions 82,667.756 8,123,644 105,008 8,228,652
Net loss (824,648) (9,875 ) (834,523)
Redemptions (13,494.445) (1,306,910) (35,592 ) (1,342,502)
----------- ----------- --------- -----------
Trust capital--December 31, 2000 69,183.311 5,992,086 60,541 6,052,627
Contributions 12,392.912 1,000,400 6,995 1,007,395
Net loss (459,082) (4,909 ) (463,991)
Redemptions (29,085.924) (2,281,677) (18,432 ) (2,300,109)
----------- ----------- --------- -----------
Trust capital--December 31, 2001 52,490.299 4,251,727 44,195 4,295,922
Contributions 43,717.827 3,781,450 31,473 3,812,923
Net income 756,063 8,185 764,248
Redemptions (15,571.401) (1,359,820) -- (1,359,820)
----------- ----------- --------- -----------
Trust capital--December 31, 2002 80,636.725 $ 7,429,420 $ 83,853 $ 7,513,273
----------- ----------- --------- -----------
----------- ----------- --------- -----------
- -------------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements.
</Table>
5
<Page>
WORLD MONITOR TRUST II--SERIES D
(a Delaware Business Trust)
NOTES TO FINANCIAL STATEMENTS
A. General
The Trust, Trustee, Managing Owner and Affiliates
World Monitor Trust II (the 'Trust') is a business trust organized under the
laws of Delaware on April 22, 1999. The Trust consists of three separate and
distinct series ('Series'): Series D, E and F. Series D, E and F commenced
trading operations on March 13, 2000, April 6, 2000 and March 1, 2000,
respectively, and each Series will continue to exist until terminated pursuant
to the provisions of Article XIII of the Second Amended and Restated Declaration
of Trust and Trust Agreement (the 'Trust Agreement'). The assets of each Series
are segregated from those of the other Series, separately valued and
independently managed. Each Series was formed to engage in the speculative
trading of a diversified portfolio of futures, forward and options contracts,
and may, from time to time, engage in cash and spot transactions. The trustee of
the Trust is Wilmington Trust Company. The managing owner, Prudential Securities
Futures Management Inc. (the 'Managing Owner'), is a wholly-owned subsidiary of
Prudential Securities Incorporated ('PSI') which, in turn, is an indirect
wholly-owned subsidiary of Prudential Financial, Inc. ('Prudential'). PSI is the
selling agent for the Trust, as well as its commodity broker ('Commodity
Broker').
In February 2003, Prudential and Wachovia Corp. ('Wachovia') announced an
agreement to combine each company's respective retail securities brokerage and
clearing operations within a new firm, which will be headquartered in Richmond,
Virginia. Under the agreement, Prudential will have a 38% ownership interest in
the new firm and Wachovia will own 62%. The transaction, which includes the
securities brokerage, securities clearing, and debt capital markets operations
of PSI, but does not include the equity sales, trading and research operations
or commodity brokerage and derivative operations of PSI, is anticipated to close
in the third quarter of 2003. The Managing Owner, as well as the Commodity
Broker, will continue to be indirect wholly owned subsidiaries of Prudential.
The Offering
Up to $50,000,000 of limited interests in each Series ('Limited Interests')
are being offered (totalling $150,000,000) ('Subscription Maximum'). Limited
Interests are being offered to investors who meet certain established
suitability standards, with a minimum initial subscription of $5,000 ($2,000 for
an individual retirement account), although the minimum purchase for any single
Series is $1,000. General interests are also being sold exclusively to the
Managing Owner. Limited Interests and general interests are sometimes
collectively referred to as 'Interests'.
Initially, the Limited Interests for each Series were offered for a period of
up to 180 days after the date of the Prospectus ('Initial Offering Period') at
$100 per Interest. The subscription minimum of $5,000,000 for each Series was
reached during the Initial Offering Period permitting Series D, E and F to
commence trading operations. Series D completed its initial offering on March
13, 2000 with gross proceeds of $5,279,158, which was fully allocated to
commodities trading. Until the Subscription Maximum for each Series is reached,
each Series' Limited Interests will continue to be offered on a weekly basis at
the then current net asset value per Interest ('Continuous Offering Period').
The Managing Owner is required to maintain at least a 1% interest in the
capital, profits and losses of each Series so long as it is acting as the
Managing Owner, and it will make such contributions (and in return will receive
general interests) as are necessary to meet this requirement.
The Trading Advisor
Each Series has its own independent commodity trading advisor that makes that
Series' trading decisions. The Managing Owner, on behalf of Series D, entered
into an advisory agreement with Bridgewater Associates, Inc. (the 'Trading
Advisor') to make the trading decisions for Series D. The advisory agreement may
be terminated for various reasons, including at the discretion of the Managing
Owner. The Managing Owner has allocated 100% of the proceeds from the initial
and continuous offering of Series D to the Trading Advisor and it is currently
contemplated that the Trading Advisor will continue to be allocated 100% of
additional capital raised for Series D during the Continuous Offering Period.
6
<Page>
Exchanges, Redemptions and Termination
Interests owned in one series of the Trust (Series D, E or F) may be
exchanged, without any charge, for Interests of one or more other Series on a
weekly basis for as long as Limited Interests in those Series are being offered
to the public. Exchanges are made at the applicable Series' then current net
asset value per Interest as of the close of business on the Friday immediately
preceding the week in which the exchange request is effected. The exchange of
Interests is treated as a redemption of Interests in one Series (with the
related tax consequences) and the simultaneous purchase of Interests in the
other Series.
Redemptions are permitted on a weekly basis. Limited Interests redeemed on or
before the end of the first and second successive six-month periods after their
effective dates of purchase are subject to a redemption fee of 4% and 3%,
respectively, of the net asset value at which they are redeemed. Redemption fees
are paid to the Managing Owner.
In the event that the estimated net asset value per Interest of a Series at
the end of any business day, after adjustments for distributions, declines by
50% or more since the commencement of trading activities or the first day of a
fiscal year, the Series will automatically terminate.
B. Summary of Significant Accounting Policies
Basis of accounting
The financial statements of Series D are prepared in accordance with
accounting principles generally accepted in the United States of America. Such
principles require the Managing Owner to make estimates and assumptions that
affect the reported amounts of liabilities at the date of the financial
statements and the reported amounts of expenses during the reporting period.
Actual results could differ from these estimates.
Commodity futures and forward transactions are reflected in the accompanying
statements of financial condition on trade date. The difference between the
original contract amount and market value is reflected as net unrealized gain or
loss. The market value of each contract is based upon the closing quotation on
the exchange, clearing firm or bank on, or through, which the contract is
traded. Net unrealized gain or loss on open contracts denominated in foreign
currencies and foreign currency holdings are translated into U.S. dollars at the
exchange rates prevailing on the last business day of the year. Realized gains
and losses on commodity transactions are recognized in the period in which the
contracts are closed.
The weighted average number of limited and general interests outstanding was
computed for purposes of disclosing net income (loss) per weighted average
limited and general interest. The weighted average limited and general interests
are equal to the number of Interests outstanding at period end, adjusted
proportionately for Interests subscribed and redeemed based on their respective
time outstanding during such period.
Series D has elected not to provide a Statement of Cash Flows as permitted by
Statement of Financial Accounting Standards No. 102, 'Statement of Cash
Flows--Exemption of Certain Enterprises and Classification of Cash Flows from
Certain Securities Acquired for Resale.'
Certain balances from the prior period have been reclassified to conform with
the current financial statement presentation.
Income taxes
Series D is treated as a partnership for Federal income tax purposes. As
such, Series D is not required to provide for, or pay, any Federal or state
income taxes. Income tax attributes that arise from its operations are passed
directly to the individual Interest holders including the Managing Owner. Series
D may be subject to other state and local taxes in jurisdictions in which it
operates.
Profit and loss allocations and distributions
Series D allocates profits and losses for both financial and tax reporting
purposes to its Interest holders weekly on a pro rata basis based on each
owner's Interests outstanding during the week. Distributions (other than
redemptions of Interests) may be made at the sole discretion of the Managing
Owner on a pro rata basis in accordance with the respective capital balances of
the Interest holders; however, the Managing Owner does not presently intend to
make any distributions.
7
<Page>
New Accounting Guidance
In November 2002, the Financial Accounting Standards Board issued
Interpretation No. 45 ('FIN 45'), Guarantor's Accounting and Disclosure
Requirements for Guarantees, Including Indirect Guarantees of Indebtedness of
Others, which Series D adopted at December 31, 2002. FIN 45 elaborates on the
disclosures to be made by a guarantor in its financial statements about its
obligations under certain guarantees that it has issued. Consistent with
standard business practices in the normal course of business, Series D has
provided general indemnifications to the Managing Owner, its Trading Advisor and
others when they act, in good faith, in the best interests of Series D. Series D
is unable to develop an estimate of the maximum potential amount of future
payments that could potentially result from any hypothetical future claim, but
expects the risk of having to make any payments under these general business
indemnifications to be remote.
C. Fees
Organizational and offering costs
PSI or its affiliates paid the costs of organizing Series D and will continue
to pay all costs of offering its Limited Interests.
General and administrative costs
Routine legal, audit, postage, and other routine third party administrative
costs are paid by Series D. Additionally, Series D pays the administrative costs
incurred by the Managing Owner or its affiliates for services they perform for
Series D which include, but are not limited to, those costs discussed in Note D
below. However, to the extent that general and administrative costs incurred by
Series D exceed 1.5% of Series D's net asset value during the year (with a
maximum of 1.25% attributable to other than legal and audit expenses) such
amounts will be borne by the Managing Owner and its affiliates.
Management and incentive fees
Series D pays its Trading Advisor a management fee at an annual rate of 1.25%
of the net asset value allocated to its management. The management fee is
determined weekly and the sum of such weekly amounts is paid monthly. Series D
also pays its Trading Advisor a quarterly incentive fee equal to 22% of such
Trading Advisor's 'New High Net Trading Profits' (as defined in the advisory
agreement). The incentive fee also accrues weekly.
Commissions
The Managing Owner and the Trust entered into a brokerage agreement with PSI
to act as Commodity Broker for each Series whereby Series D pays a fixed fee for
brokerage services rendered at an annual rate of 6% of Series D's net asset
value. The fee is determined weekly and the sum of such weekly amounts is paid
monthly. Series D is also obligated to pay all floor brokerage expenses, give-up
charges and NFA, clearing and exchange fees incurred in connection with Series
D's commodity trading activities.
D. Related Parties
Series D reimburses the Managing Owner or its affiliates for services they
perform for Series D, 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 D's net asset value during the year (with a maximum of 1.25% 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 D, other than brokerage services, during the
years ended December 31, 2002 and 2001 and the period from March 13, 2000
(commencement of operations) to December 31, 2000 have been borne by the
Managing Owner and its affiliates. Additionally, PSI or its affiliates paid the
costs of organizing Series D and will continue to pay all costs of offering its
Limited Interests.
8
<Page>
The expenses incurred by Series D for services performed by the Managing
Owner and its affiliates for Series D were:
<Table>
<Caption>
For the period from
March 13, 2000
(commencement of
Year ended December 31, operations) to
---------------------------- December 31,
2002 2001 2000
------------ ------------ --------------------
Commissions $357,464 $262,448 $279,774
General and administrative 73,616 65,701 76,150
------------ ------------ --------------------
431,080 328,149 355,924
General and administrative expenses borne by
the Managing Owner and its affiliates (50,682) (53,745) (48,938)
------------ ------------ --------------------
$380,398 $274,404 $306,986
------------ ------------ --------------------
------------ ------------ --------------------
</Table>
Expenses payable to the Managing Owner and its affiliates (which are included
in accrued expense) as of December 31, 2002 and 2001 were $4,880 and $922,
respectively.
All of the proceeds of the offering of Series D are received in the name of
Series D and are deposited in trading or cash accounts at PSI. Series D's assets
are maintained with PSI for margin purposes. Series D receives interest income
on 100% of its average daily equity maintained in its accounts with PSI during
each month at the 13-week Treasury bill discount rate.
Series D, 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 D pursuant to a line of credit. PSI may require that collateral
be posted against the marked-to-market positions of Series D.
E. Income Taxes
There have been no differences between the tax basis and book basis of
Interest holders' capital since inception of the Trust.
F. Derivative Instruments and Associated Risks
Series D is exposed to various types of risks 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 D'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 D's net assets being
traded, significantly exceeds Series D's future cash requirements since Series D
intends to close out its open positions prior to settlement. As a result, Series
D is generally subject only to the risk of loss arising from the change in the
value of the contracts. As such, Series D 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 D's commitments to purchase commodities
is limited to the gross or face amount of the contracts held. However, when
Series D 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 D 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
9
<Page>
diversification effects among the derivative instruments Series D holds and the
liquidity and inherent volatility of the markets in which Series D trades.
Credit risk
When entering into futures or forward contracts, Series D 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, there is concentration risk on
forward transactions entered into by Series D as PSI, Series D's commodity
broker, is the sole counterparty. Series D 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
non-performance of all of Series D's contracts is the net unrealized gain
included in the statements of financial condition; however, counterparty
non-performance on only certain of Series D's contracts may result in greater
loss than non-performance on all of Series D's contracts. There can be no
assurance that any counterparty, clearing member or clearinghouse will meet its
obligations to Series D.
The Managing Owner attempts to minimize both credit and market risks by
requiring Series D 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 D, the Managing
Owner and the Trading Advisor, Series D 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 Trust Agreement of the Trust provides that
Series D will liquidate its positions, and eventually dissolve, if Series D
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 interest of Series D.
PSI, when acting as Series D'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 D all assets of Series D relating to
domestic futures trading and is not permitted to commingle such assets with
other assets of PSI. At December 31, 2002, such segregated assets totalled
$2,584,851. Part 30.7 of the CFTC regulations also requires PSI to secure assets
of Series D related to foreign futures trading which totalled $5,038,278 at
December 31, 2002. There are no segregation requirements for assets related to
forward trading.
As of December 31, 2002, all of Series D's open futures contracts mature
within one year.
10
<Page>
G. Financial Highlights
<Table>
<Caption>
Year ended December 31,
----------------------------
2002 2001
------------ ------------
Performance per Interest
Net asset value, beginning of period $81.84 $87.49
------------ ------------
Net realized gain (loss) and change in net unrealized gain/loss
on commodity transactions 18.01 (1.01)
Interest income 1.39 2.82
Net expenses (8.07) (7.46)
------------ ------------
Net increase (decrease) for the period 11.33 (5.65)
------------ ------------
Net asset value, end of period $93.17 $81.84
------------ ------------
------------ ------------
Total return 13.84% (6.46)%
Ratio to average net assets
Interest income 1.58% 3.63%
Net expenses, including incentive fees of 0.10% during 2002 9.29% 9.16%
</Table>
These financial highlights represent the overall results of Series D
during 2002 and 2001. An individual limited owner's actual results may differ
depending on the timing of contributions and redemptions.
11
<Page>
- --------------------------------------------------------------------------------
I hereby affirm that, to the best of my knowledge and belief, the
information contained herein relating to World Monitor Trust II--Series D is
accurate and complete.
PRUDENTIAL SECURITIES
FUTURES MANAGEMENT INC.
(Managing Owner)
By: Steven Weinreb
Chief Financial Officer
- --------------------------------------------------------------------------------
12
<Page>
WORLD MONITOR TRUST II--SERIES D
(a Delaware Business Trust)
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION
AND RESULTS OF OPERATIONS
Liquidity and Capital Resources
Series D commenced operations on March 13, 2000 with gross proceeds of
$5,279,158 allocated to commodities trading. Additional contributions raised
through the continuous offering from the sales of Interests for the year ended
December 31, 2002 and 2001 and for the period from March 13, 2000 (commencement
of operations) to December 31, 2002 resulted in additional gross proceeds to
Series D of $3,812,923, $1,007,395 and $7,770,812, respectively. Additional
Limited Interests of Series D 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 D 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 the years ended December 31,
2002 and 2001 and for the period from March 13, 2000 (commencement of
operations) to December 31, 2002 were $1,359,820, $2,281,677 and $4,948,407,
respectively. Redemptions of general interests for the year ended December 31,
2001 and for the period from March 13, 2000 (commencement of operations) to
December 31, 2002 were $18,432 and $54,024, respectively. There were no
redemptions of general interest for year ended December 31, 2002. Additionally,
Interests owned in any series of the Trust (Series D, E or F) may be exchanged,
without any charge, for Interests of one or more other Series on a weekly basis
for as long as Limited 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 December 31, 2002, 100% of Series D'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 D is to trade in commodities, Series D continues to own such
liquid assets to be used as margin. PSI credits Series D with interest income on
100% of its average daily equity maintained 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 D from promptly liquidating its commodity
futures positions.
Since Series D'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 D'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 D's
speculative trading, as well as the development of drastic market occurrences,
could result in monthly losses considerably beyond Series D'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
D 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 F to the financial
statements for a further discussion on the credit and market risks associated
with Series D's futures and forward contracts.
Series D does not have, nor does it expect to have, any capital assets.
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Results of Operations
The net asset value per Interest as of December 31, 2002 was $93.17, an
increase of 13.84% from the December 31, 2001 net asset value per Interest of
$81.84, which was a decrease of 6.46% from the December 31, 2000 net asset value
per Interest of $87.49. The CISDM Fund/Pool Qualified Universe Index (formerly
known as the Zurich Fund/Pool Qualified Universe Index) returned 11.99% and
7.52% for the years ended December 31, 2002 and 2001, respectively. The CISDM
Fund/Pool Qualified Universe Index is the dollar weighted, total return of all
commodity pools tracked by Managed Accounts Reports, LLC. Past performance is
not necessarily indicative of future results.
Series D had trading gains (losses) before commissions and related fees of
$1,218,000, $(221,000) and $(657,000) for the years ended December 31, 2002 and
2001 and for the period from March 13, 2000 (commencement of operations) to
December 31, 2000, respectively. Due to the nature of Series D's trading
activities a period to period comparison of its trading results is not
meaningful. However, a detailed discussion of Series D's 2002 trading results is
presented below.
Net losses for Series D were experienced in the index and metals sectors.
Profits were the result of gains in the currency and financial sectors.
Equity indices began the year choppily due to a continuing weak economy and
concerns about balance sheet reporting and accounting irregularities. Positive
data and hopes of an economic recovery boosted stock markets towards the middle
of the first quarter. However, 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, global equity markets
moved sharply lower throughout the second quarter. In Japan, the Nikkei Index
hit new lows in the third quarter as the economy continued to struggle with
structural problems and the Japanese government prepared new fiscal policy
initiatives. Equity markets rallied in mid-October, triggered by a surge of
global economic optimism, but fell once again towards the end of the year
providing a negative return for the third consecutive year. Overall, equity
markets around the world showed poor performance for 2002. In the U.S., the Dow
Jones Industrial Average was down 16.76% for the year while the S&P 500 was down
23.37%. The London FTSE returned a negative 24.48% and the Hong Kong Hang Seng
Index ended the year down 18.21%. Long positions in the S&P 500, London FTSE and
Tokyo TOPIX incurred losses in the second and third quarters of the year
resulting in net losses for Series D in this sector.
Base metals began the year on a rise as global economic activity showed signs
of recovery but fell towards the end of the year due to weak economies and
decreased industrial production. Long positions in copper resulted in gains in
the second quarter as a result of supply cutbacks initiated by some producers.
These gains were not sufficient to offset the losses incurred in copper
positions the rest of the year resulting in net losses for Series D.
In foreign exchange markets, the U.S. dollar began the year strong against
most major foreign currencies as the U.S. economy exhibited signs of recovery.
The trend reversed in the second quarter as weak U.S. economic growth in
relation to other economies and concerns regarding accounting irregularities in
major U.S. corporations drove the dollar downward. Most European currencies and
the euro were weak early in the year but rallied in March amid hopes of an
economic recovery. In the third quarter, the euro surpassed parity with the U.S.
dollar as investors' desire for U.S. assets decreased, but ended the quarter
lower. The British pound rose against the U.S. dollar early in the year amid
perceived strength in the British economy and positive economic data. Towards
the end of the year, the U.S. dollar began the quarter up amid evidence of a
firming U.S. economy, but traded lower against many major foreign currencies in
December. The market reacted to the sluggish U.S. economy, weaker foreign demand
for the U.S. dollar and expectations of war with Iraq. Gains for long euro,
Australian dollar and British pound currency positions during the first, second
and fourth quarter offset losses incurred during the third quarter. This
resulted in net gains for Series D.
Global bond markets trended lower through most of the first quarter amid
growing prospects for imminent interest rate hikes by central banks. In the
U.S., interest rates rose towards the end of the first quarter in response to
stronger than expected economic data and indications that the U.S. Federal
Reserve Bank (the 'Fed') would lean towards increasing rates in the near future.
The Fed kept rates unchanged at 1.75% throughout the first three quarters of the
year. 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. Global bond prices were slightly weaker at the start
of the last quarter as interest rates rose in
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response to the stock market rally and optimism on economic prospects. This
trend reversed when the Fed cut interest rates by 50 basis points to 1.25%, a
new 40-year low, at its first quarterly meeting in November. This was the first
rate cut of 2002, following 11 cuts in 2001. The Fed also switched its economic
outlook for the near future from a bias toward 'economic weakness' to
'balanced'. Long positions in European bonds during the last three quarters
resulted in net gains for Series D.
Fluctuations in overall average net asset levels have led to corresponding
fluctuations in interest earned and commissions and management fees incurred by
Series D, which are largely based on the level of net assets. Series D's average
net asset levels were significantly higher during the year ended December 31,
2002 as compared to the prior year, primarily from additional contributions and
favorable trading performance throughout 2002 offset, in part, by redemptions
during 2002. Series D's average net asset levels were lower during the year
ended December 31, 2001 as compared to the prior year, primarily from
redemptions and unfavorable trading performance, as well as a full year of
operations in 2001 as compared to approximately ten months in 2000 offset, in
part, by contributions during 2001.
Interest income is earned on the average daily equity maintained in its
accounts 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 $67,000 for the year ended December
31, 2002 as compared to the prior year and decreased $122,000 for the year ended
December 31, 2001 as compared to the prior period. These decreases were
primarily due to declining interest rates throughout 2002 and 2001. In addition,
the fluctuation in average net asset levels, as discussed above, effected the
amount of interest income earned.
Commissions are calculated on Series D's net asset level 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 $95,000 for
the year ended December 31, 2002 as compared to the prior year and decreased
$21,000 for the year ended December 31, 2001 as compared to the prior period due
to the fluctuation in net asset levels as discussed above.
All trading decisions for Series D are made by the Trading Advisor.
Management fees are calculated on Series D's net asset value at the end of each
week and, therefore, are affected by weekly trading performance, contributions
and redemptions. Management fees increased $20,000 for the year ended December
31, 2002 as compared to the prior year and decreased $4,000 for the year ended
December 31, 2001 as compared to the prior period due to the fluctuation 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 D, the
Managing Owner and the Trading Advisor. Incentive fees were $6,000 and $27,000
for the year ended December 31, 2002 and for the period from March 13, 2000
(commencement of operations) to December 31, 2000, respectively. There were no
incentive fees earned for the year ended December 31, 2001.
General and administrative expenses for the years ended December 31, 2002 and
2001 and for the period from March 13, 2000 (commencement of operations) to
December 31, 2000 were $140,000, $120,000 and $119,000, 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 D. To
the extent that general and administrative expenses exceed 1.5% of Series D's
net asset value during the year (with a minimum of 1.25% 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
the expenses has been borne by the Managing Owner and its affiliates, resulting
in a net cost to Series D of $89,000, $66,000 and $70,000, respectively.
Inflation
Inflation has had no material impact on operations or on the financial
condition of Series D from inception through December 31, 2002.
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OTHER INFORMATION
The actual round-turn equivalent of brokerage commissions paid per contract
for the year ended December 31 2002, was $64.
Series D's Annual Report on Form 10-K as filed with the Securities and
Exchange Commission is available to limited owners without charge upon written
request to:
World Monitor Trust II--Series D/0TH
Peck Slip Station
P.O. Box 2303
New York, New York 10273-0005
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0TH PRESORTED
Peck Slip Station STANDARD
P.O. Box 2303 U.S. POSTAGE
New York, NY 10273 PAID
Automatic Mail
PFT1/17152