<Page>
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-K
(Mark One)
/X/ ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT
OF 1934
For the fiscal year ended December 31, 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: 0-32689
WORLD MONITOR TRUST II--SERIES F
- --------------------------------------------------------------------------------
(Exact name of Registrant as specified in its charter)
Delaware 13-4058320
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(State or other jurisdiction of (I.R.S. Employer
incorporation or organization) Identification No.)
One New York Plaza, 13th Floor, New York, New York 10292
- --------------------------------------------------------------------------------
(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code: (212) 778-7866
Securities registered pursuant to Section 12(b) of the Act:
None
- --------------------------------------------------------------------------------
Securities registered pursuant to Section 12(g) of the Act:
Limited Interests
- --------------------------------------------------------------------------------
(Title of class)
Indicate by check mark whether the Registrant (1) has filed all reports
required to be filed by Section 13 or 15(d) of the Securities Exchange Act of
1934 during the preceding 12 months (or for such shorter period that the
Registrant was required to file such reports), and (2) has been subject to such
filing requirements for the past 90 days. Yes CK No __
Indicate by check mark if disclosure of delinquent filers pursuant to Item
405 of Regulation S-K is not contained herein, and will not be contained, to the
best of Registrant's knowledge, in definitive proxy or information statements
incorporated by reference in Part III of this Form 10-K or any amendment to this
Form 10-K [CK]
Indicate by check CK whether the Registrant is an accelerated filer (as
defined in Rule 12b-2 of the Securities Exchange Act of 1934). Yes __ No _CK
DOCUMENTS INCORPORATED BY REFERENCE
Prospectus included as part of Post-Effective Amendment No. 4 to the
Registration Statement on Form S-1 (File No. 333-83017) filed with the
Securities and Exchange Commission (the 'SEC') on April 2, 2002, is incorporated
by reference into Parts I, II & III of this Annual Report on Form 10-K
Registrant's Annual Report to Interest holders for the year ended December
31, 2002 is incorporated by reference into Parts II and IV of this Annual Report
on Form 10-K
Index to exhibits can be found on pages 10 and 11.
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WORLD MONITOR TRUST II--SERIES F
(a Delaware Business Trust)
TABLE OF CONTENTS
<Table>
<Caption>
PART I PAGE
Item 1 Business......................................................................... 3
Item 2 Properties....................................................................... 4
Item 3 Legal Proceedings................................................................ 4
Item 4 Submission of Matters to a Vote of Interest Holders.............................. 4
PART II
Item 5 Market for the Registrant's Interests and Related Interest Holder Matters........ 4
Item 6 Selected Financial Data.......................................................... 5
Item 7 Management's Discussion and Analysis of Financial Condition and Results of
Operations..................................................................... 6
Item 7A Quantitative and Qualitative Disclosures about Market Risk....................... 6
Item 8 Financial Statements and Supplementary Data...................................... 6
Item 9 Changes in and Disagreements with Accountants on Accounting and Financial
Disclosure..................................................................... 6
PART III
Item 10 Directors and Executive Officers of the Registrant............................... 6
Item 11 Executive Compensation........................................................... 8
Item 12 Security Ownership of Certain Beneficial Owners and Management................... 8
Item 13 Certain Relationships and Related Transactions................................... 9
Item 14 Controls and Procedures.......................................................... 9
PART IV
Item 15 Exhibits, Financial Statement Schedules, and Reports on Form 8-K
Financial Statements and Financial Statement Schedules........................... 10
Exhibits......................................................................... 10
Reports on Form 8-K.............................................................. 11
SIGNATURES.................................................................................. 12
CERTIFICATIONS.............................................................................. 13
</Table>
2
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PART I
Item 1. Business
General
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 as provided in 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 Trust's fiscal year for book and tax
purposes ends on December 31.
Series F (the 'Registrant') is engaged solely in the business of commodity
futures and forward trading; therefore, presentation of industry segment
information is not applicable.
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 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. The Registrant completed its initial offering on
March 1, 2000 with gross proceeds of $5,185,012, 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').
During the Continuous Offering Period through December 31, 2002, Series F raised
additional gross proceeds of $20,156,536 from the sales of Interests.
Managing Owner and its Affiliates
The managing owner of the Registrant is Prudential Securities Futures
Management Inc. (the 'Managing Owner'), 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 Registrant as well as its 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 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.
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The Trading Advisor
Each Series has its own independent commodity trading advisor that makes that
Series' trading decisions. The Managing Owner, on behalf of the Registrant,
entered into an advisory agreement with Campbell & Company, Inc. (the 'Trading
Advisor') to make the trading decisions for Series F. 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 the Registrant to the Trading Advisor and it is
currently contemplated that the Trading Advisor will continue to be allocated
100% of additional capital raised for the Registrant during the Continuous
Offering Period.
Competition
The Managing Owner and its affiliates have formed, and may continue to form,
various entities to engage in the speculative trading of futures, forward and
options contracts which have certain of the same investment policies as the
Registrant.
The Registrant is an open-end fund which will solicit the sale of additional
Limited Interests on a weekly basis until the Subscription Maximum is reached.
As such, the Registrant may compete with other entities, whether or not formed
by the Managing Owner, to attract new participants. In addition, to the extent
that the Trading Advisor recommends similar or identical trades to the
Registrant and other accounts which it manages, the Registrant may compete with
those accounts for the execution of the same or similar trades, as well as with
other market participants.
Employees
The Registrant has no employees. Management and administrative services for
the Registrant are performed by the Managing Owner and its affiliates pursuant
to the Trust Agreement, as further discussed in Notes A, C and D to the
Registrant's financial statements included in its annual report for the year
ended December 31, 2002 ('Registrant's 2002 Annual Report'), which is filed as
an exhibit hereto.
Other
In addition to the description above, information is incorporated herein by
reference to the Prospectus included as a part of Post-Effective Amendment No. 4
to the Registration Statement on Form S-1 (File No. 333-83017), filed with the
SEC on April 2, 2002 (the 'Prospectus'), and found therein under the following
headings: 'SERIES F--Campbell & Company Trading Program,' 'TRADING LIMITATIONS
AND POLICIES,' 'DUTIES AND COMMITMENTS OF THE MANAGING OWNER' and 'SUMMARY OF
AGREEMENTS.'
Item 2. Properties
The Registrant does not own or lease any property.
Item 3. Legal Proceedings
There are no material legal proceedings pending by or against the Registrant
or the Managing Owner.
Item 4. Submission of Matters to a Vote of Interest Holders
None
PART II
Item 5. Market for the Registrant's Interests and Related Interest Holder
Matters
Information with respect to the offering of Limited Interests and the use of
proceeds is incorporated by reference to Note A to the Registrant's 2002 Annual
Report, which is filed as an exhibit hereto and the Prospectus sections entitled
'THE OFFERING--The Continuous Offering Period' and '--Use of Proceeds'.
A significant secondary market for the Limited Interests has not developed,
and is not expected to develop in the future. There are also certain
restrictions set forth in the Trust Agreement limiting the ability of an
Interest holder to transfer Interests. However, Limited Interests may be
redeemed on a weekly basis, but
4
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are subject to a redemption fee if transacted within one year of the effective
date of purchase. Additionally, 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 and redemptions are
calculated based on 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 or redemption request is effected.
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 for the year ended December 31, 2002.
Amount of
----------------------------------
Date of Sale Interests sold Cash received
- ------------------------- -------------- --------------
January 14, 2002 50 $ 5,321
March 18, 2002 50 4,995
April 15, 2002 50 4,597
May 6, 2002 50 4,904
May 13, 2002 50 4,951
May 27, 2002 50 4,886
July 8, 2002 100 10,331
August 12, 2002 50 5,813
September 9, 2002 50 6,006
October 14, 2002 50 6,007
October 28, 2002 50 5,784
November 11, 2002 100 11,858
December 23, 2002 80 9,407
------ --------------
Total 780 $ 84,860
------ --------------
------ --------------
There are no material restrictions upon the Registrant's present or future
ability to make distributions in accordance with the provisions of the Trust
Agreement. No distributions have been made since inception and no distributions
are anticipated in the future.
As of March 7, 2003, there were 1,577 holders of record owning 218,311.953
Interests which include 2,190 general interests.
Item 6. Selected Financial Data
The following table presents selected financial data of the Registrant. This
data should be read in conjunction with the financial statements of the
Registrant and the notes thereto on pages 2 through 12 of the Registrant's 2002
Annual Report which is filed as an exhibit hereto.
<Table>
<Caption>
For the period
from March, 1, 2000
(commencement of
Year ended Year ended operations) to
December 31, 2002 December 31, 2001 December 31, 2000
----------------- ----------------- --------------------
Total revenues (including interest) $ 4,198,419 $ 1,019,955 $1,172,280
----------------- ----------------- --------------------
----------------- ----------------- --------------------
Net income (loss) $ 2,184,146 $ (35,150) $ 556,293
----------------- ----------------- --------------------
----------------- ----------------- --------------------
Net income (loss) per weighted average
interest $ 14.83 $ (.36) $ 8.41
----------------- ----------------- --------------------
----------------- ----------------- --------------------
Total assets $22,906,675 $12,410,300 $8,131,557
----------------- ----------------- --------------------
----------------- ----------------- --------------------
Net asset value per Interest $ 118.76 $ 106.40 $ 106.90
----------------- ----------------- --------------------
----------------- ----------------- --------------------
</Table>
5
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Item 7. Management's Discussion and Analysis of Financial Condition and Results
of Operations
This information is incorporated by reference to pages 13 through 16 of the
Registrant's 2002 Annual Report which is filed as an exhibit hereto.
Item 7A. Quantitative and Qualitative Disclosures About Market Risk
Information regarding quantitative and qualitative disclosures about market
risk is not required pursuant to Item 305(e) of Regulation S-K.
Item 8. Financial Statements and Supplementary Data
The financial statements are incorporated by reference to pages 2 through 12
of the Registrant's 2002 Annual Report which is filed as an exhibit hereto.
Selected unaudited quarterly financial data for the years ended December 31,
2002 and 2001 are summarized below.
<Table>
<Caption>
For the period For the period For the period
For the period from March 30, from June 29, from September 28,
from January 1, 2002 to 2002 to 2002 to
2002 to June 28, September 27, December 31,
March 29, 2002 2002 2002 2002
- ------------------------------------------------------------------------------------------------------------
Total revenues (including
interest) $(402,561) $ 1,334,839 $3,216,107 $ 50,034
--------------- -------------- -------------- ------------------
--------------- -------------- -------------- ------------------
Total revenues (including
interest) less commissions and
other transaction fees $(589,622) $ 1,118,971 $2,928,127 $ (290,081)
--------------- -------------- -------------- ------------------
--------------- -------------- -------------- ------------------
Net income (loss) $(676,638) $ 1,022,579 $2,269,768 $ (431,563)
--------------- -------------- -------------- ------------------
--------------- -------------- -------------- ------------------
Net income (loss) per weighted
average Interest $ (5.71) $ 7.58 $ 14.64 $ (2.43)
--------------- -------------- -------------- ------------------
--------------- -------------- -------------- ------------------
</Table>
<Table>
<Caption>
For the period For the period For the period
For the period from March 31, from June 30, from September 29,
from January 1, 2001 to 2001 to 2001 to
2001 to June 29, September 28, December 31,
March 30, 2001 2001 2001 2001
- ------------------------------------------------------------------------------------------------------------
Total Revenues (including
interest) $ 828,942 $ (904,917) $1,235,434 $ (139,504)
--------------- -------------- -------------- ------------------
--------------- -------------- -------------- ------------------
Total Revenues (including
interest) less commissions and
other transaction fees $ 694,446 $ (1,067,909) $1,063,287 $ (325,734)
--------------- -------------- -------------- ------------------
--------------- -------------- -------------- ------------------
Net income (loss) $ 507,324 $ (1,110,300) $ 987,245 $ (419,419)
--------------- -------------- -------------- ------------------
--------------- -------------- -------------- ------------------
Net income (loss) per weighted
average Interest $ 6.28 $ (11.33) $ 9.70 $ (3.93)
--------------- -------------- -------------- ------------------
--------------- -------------- -------------- ------------------
</Table>
Item 9. Changes in and Disagreements with Accountants on Accounting and
Financial Disclosure
None
PART III
Item 10. Directors and Executive Officers of the Registrant
There are no directors or executive officers of the Registrant. The
Registrant is managed by the Managing Owner.
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The Managing Owner's directors and executive officers and any person holding
more than ten percent of the Registrant's Limited Interests ('Ten Percent
Owners') are required to report their initial ownership of such Limited
Interests and any subsequent changes in that ownership to the SEC on Forms 3, 4
or 5. Such executive officers, directors and Ten Percent Owners are required by
SEC regulations to furnish the Registrant with copies of all Forms 3, 4 or 5
they file. All of these filing requirements were satisfied on a timely basis. In
making these disclosures, the Registrant has relied solely on written
representations of the Managing Owner's directors and executive officers and Ten
Percent Owners or copies of the reports that they have filed with the SEC during
and with respect to its most recent fiscal year.
The directors and executive officers of the Managing Owner and their
positions with respect to the Registrant are as follows:
Name Position
Alex H. Ladouceur Chairman of the Board of Directors and Director
Eleanor L. Thomas President and Director
Steven Weinreb Treasurer and Chief Financial Officer
Guy S. Scarpaci Director
Tamara B. Wright Senior Vice President and Director
Thomas T. Bales Vice President
Paul Waldman Secretary
ALEX H. LADOUCEUR, born 1960, has been Chairman of the Board of Directors and
a Director of the Managing Owner since November 2001 and also has held such
positions with Seaport Futures Management, Inc. ('Seaport Futures'), an
affiliate of the Managing Owner, since such date. Mr. Ladouceur joined PSI in
August 2001 and is an Executive Vice President and Head of the Global
Derivatives Division. He is responsible for all operating activities of PSI's
Global Derivatives Division including sales and trading, foreign exchange, base
and precious metals, and the trading floors. Mr. Ladouceur joined PSI from
Credit Lyonnais Rouse Ltd. ('CLR'), where he served as president of their United
States operations since 1992 and as a main board director of CLR in London since
1994. In 1998, he was appointed managing director of Global Cash Markets at CLR
with responsibility for leading global market-making and sales for OTC products,
including structured derivative products. Mr. Ladouceur earned his bachelor's
degree in Economics from the University of Calgary in Alberta, Canada, and his
master's degree in European Studies from the College of Europe in Bruges,
Belgium.
ELEANOR L. THOMAS, born 1954, has been a Director and President of the
Managing Owner since September 2000 and was a Director and Executive Vice
President from April 1999 to September 2000. She was a First Vice President of
the Managing Owner and Seaport Futures from October 1998 to April 1999 and a
Director and the President of Seaport Futures since such date. Ms. Thomas is a
Senior Vice President and the Director of Alternative Investment Strategies at
PSI. She is responsible for origination, asset allocation, due diligence,
marketing and sales for the group's product offerings. Prior to joining PSI in
March 1993, she was with MC Baldwin Financial Company from June 1990 through
February 1993 and Arthur Andersen & Co. from 1986 through May 1990. She
graduated Summa Cum Laude from Long Island University with a B.A. in English
Literature, and graduated Baruch College in 1986 with an M.B.A. in Accounting.
Ms. Thomas is a Certified Public Accountant.
STEVEN WEINREB, born 1962, became the Treasurer and Chief Financial Officer
of the Managing Owner in May 2002, at which time he also became the Treasurer
and Chief Financial Officer of Seaport Futures. He is a Senior Vice President
and Controller of PSI. Prior to joining PSI in May 1991, he was with the public
accounting firms Deloitte & Touche from 1986 to 1991 and from 1984 to 1986 with
Laventhol & Horwath. Mr. Weinreb graduated in 1984 from the State University of
New York at Albany with a B.S. in Accounting. Mr. Weinreb is a Certified Public
Accountant.
GUY S. SCARPACI, born 1947, has been a Director of the Managing Owner since
July 1987 and was Assistant Treasurer from May 1988 until December 1989. In
addition, Mr. Scarpaci has been a Director of
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Seaport Futures since May 1989. Mr. Scarpaci was first affiliated with the
Managing Owner in July 1987. Mr. Scarpaci has been employed by PSI in positions
of increasing responsibility since August 1974, and he is currently a Senior
Vice President of the Global Derivatives division.
TAMARA B. WRIGHT, born 1959, has been a Senior Vice President of the Managing
Owner and Seaport Futures since October 1998 and a Director of the Managing
Owner since December 1998. She is also a Senior Vice President and the Chief
Administrative Officer for the International Division at Prudential Securities.
In this capacity, her responsibilities include financial management, risk
management, systems implementation, employment matters and internal control
policies and procedures. Previously, Mrs. Wright served as Director of Consumer
Markets Risk Management, where she led the Domestic and International Branch
efforts in ensuring the timely resolution of audit, compliance and legal
concerns. Prior to joining the firm, Mrs. Wright was a manager with
PricewaterhouseCoopers LLP in its Management Consulting division in New York,
New York.
THOMAS T. BALES, born 1959, is a Vice President of the Managing Owner. He is
also a Senior Vice President of Futures Administration in the Global Derivatives
division for PSI, and he serves in various capacities for other affiliated
companies. Prior to joining the Global Derivatives division, Mr. Bales served as
in-house counsel in the Law Department of PSI from October 1987 through May
1996. Mr. Bales joined PSI in November 1981 as an Analyst in the Credit Analysis
Department and later served as a Section Manager.
PAUL WALDMAN, born 1957, became the Secretary of the Managing Owner in
November 2002, at which time he also became the Secretary of Seaport Futures.
Prior to being elected Secretary, Mr. Waldman had served as Assistant Secretary
for both the Managing Owner and Seaport Futures since December 1997. He is a
First Vice President and Associate General Counsel of PSI. Mr. Waldman is
responsible for the day-to-day corporate governance of PSI and its subsidiary
companies. Prior to joining PSI in September 1988, Mr. Waldman worked for E.A.
Sheslow & Co., a specialist firm on the NYSE and American Stock Exchange in
1986, and for F.P. Quinn & Co., a member firm of the Chicago Board Options
Exchange, from 1984 to 1985. Mr. Waldman received a B.A. in Journalism from the
University of Georgia in 1979, an M.A. in Political Science from Boston
University in 1981, and a Juris Doctor from New York Law School in 1992. He is
admitted to the New York and Connecticut bars.
Effective May 2002, Steven Weinreb was elected by the Board of Directors of
the Managing Owner as Chief Financial Officer replacing Barbara Brooks.
Effective November 2002, Paul Waldman was elected by the Board of Directors
of the Managing Owner as Secretary replacing David Buchalter.
There are no family relationships among any of the foregoing directors or
executive officers. All of the foregoing directors and/or executive officers
have indefinite terms.
Item 11. Executive Compensation
The Registrant does not pay or accrue any fees, salaries or any other form of
compensation to directors and officers of the Managing Owner for their services.
Certain directors and officers of the Managing Owner receive compensation from
affiliates of the Managing Owner, not from the Registrant, for services
performed for various affiliated entities, which may include services performed
for the Registrant; however, the Managing Owner believes that any compensation
attributable to services performed for the Registrant is immaterial. (See also
Item 13, Certain Relationships and Related Transactions, for information
regarding compensation to the Managing Owner.)
Item 12. Security Ownership of Certain Beneficial Owners and Management
As of March 7, 2003, no director or executive officer of the Managing Owner
owns directly or beneficially any interest in the voting securities of the
Managing Owner.
As of March 7, 2003, no director or executive officer of the Managing Owner
owns directly or beneficially any of the Limited Interests issued by the
Registrant.
8
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As of March 7, 2003, no owner of Limited Interests beneficially owns more
than five percent (5%) of the Limited Interests issued by the Registrant.
Item 13. Certain Relationships and Related Transactions
The Registrant has and will continue to have certain relationships with the
Managing Owner and its affiliates. However, there have been no direct financial
transactions between the Registrant and the directors or officers of the
Managing Owner.
Reference is made to Notes A, C and D to the financial statements in the
Registrant's 2002 Annual Report which is filed as an exhibit hereto, which
identify the related parties and discuss the services provided by these parties
and the amounts paid or payable, if any, for their services. Additionally,
reference is made to the Prospectus section entitled 'SUMMARY OF
AGREEMENTS--Brokerage Agreement.'
Item 14. Controls and Procedures
Within the 90 days prior to the date of this report, the Managing Owner
carried out an evaluation, under the supervision and with the participation of
the officers of the Managing Owner, including the Managing Owner's Chief
Executive Officer and Chief Financial Officer, of the effectiveness of the
design and operation of the Registrant's disclosure controls and procedures.
Based upon that evaluation, the Managing Owner's Chief Executive Officer and
Chief Financial Officer concluded that the Registrant's disclosure controls and
procedures are effective. There were no significant changes in the Registrant's
internal controls or in other factors that could significantly affect these
controls subsequent to the date of their evaluation.
9
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PART IV
<Table>
<Caption>
Annual Report
Page
Number
--------------
Item 15. Exhibits, Financial Statement Schedules, and Reports on Form 8-K
(a) 1. Financial Statements and Report of Independent
Accountants--incorporated by reference to the Registrant's 2002 Annual
Report which is filed as an exhibit hereto
Report of Independent Accountants 2
Financial Statements:
Statements of Financial Condition--December 31, 2002 and 2001 3
Condensed Schedules of Investments at December 31, 2002 and 2001 4
Statements of Operations--Years ended December 31, 2002 and 2001 and
the period from March 1, 2000 (commencement of operations) to December
31, 2000 5
Statements of Changes in Trust Capital--Three years ended December 31,
2002 5
Notes to Financial Statements 6
2. Financial Statement Schedules
All schedules have been omitted because they are not applicable or the
required information is included in the financial statements or notes
thereto.
</Table>
3. Exhibits
(a) Description:
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 Exhibits 3.1 and 4.1 to
Post-Effective Amended No. 4 to Series F's Registration Statement
on Form S-1, File No. 333-83017, filed on April 2, 2002)
4.2--Form of Request for Redemption (incorporated by reference to
Exhibit 4.2 to Post-Effective Amendment No. 4 to Series F's
Registration Statement on Form S-1, File No. 333-83017, filed on
April 2, 2002)
4.3--Form of Exchange Request (incorporated by reference to Exhibit 4.3
to Post-Effective Amendment No. 4 to Series F's Registration
Statement on Form S-1, File No. 333-83017, filed on April 2, 2002)
4.4--Form of Subscription Agreement (incorporated by reference to
Exhibit 4.4 to Post-Effective Amendment No. 4 to Series F's
Registration Statement on Form S-1, File No. 333-83017, filed on
April 2, 2002)
10.1--Form of Escrow Agreement among the Trust, Managing Owner, PSI and
the Chase Manhattan Bank (incorporated by reference to Exhibit 10.1
to Series F's Registration Statement on Form S-1, File No.
333-83017, filed on September 17, 1999)
10
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10.2--Form of Brokerage Agreement among the Trust and PSI (incorporated
by reference to Exhibit 10.2 to Series F's Registration Statement
on Form S-1, File No. 333-83017, filed on September 17, 1999)
10.3--Form of Advisory Agreement among the Registrant, Managing Owner,
and the Trading Advisor (incorporated by reference to Exhibit 10.3
to Series F's Registration Statement on Form S-1, File No.
333-83017, filed on September 17, 1999)
10.4--Form of Representation Agreement Concerning the Registration
Statement and the Prospectus among the Registrant, Managing Owner,
PSI, Wilmington Trust Company and the Trading Advisor (incorporated
by reference to Exhibit 10.4 to Series F's Registration Statement
on Form S-1, File No. 333-83017, filed on September 17, 1999)
10.5--Form of Net Worth Agreement between the Managing Owner and
Prudential Securities Group Inc. (incorporated by reference to
Exhibit 10.5 to Series F's Registration Statement on Form S-1, File
No. 333-83017, filed on September 17, 1999)
13.1--Registrant's 2002 Annual Report (with the exception of the
information and data incorporated by reference in Items 5, 7 and 8
of this Annual Report on Form 10-K, no other information or data
appearing in the Registrant's 2002 Annual Report is to be deemed
filed as part of this report) (filed herewith)
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
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SIGNATURES
Pursuant to the requirements of Section 13 or 15(d) 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 F
By: Prudential Securities Futures Management Inc.
A Delaware corporation, Managing Owner
By: /s/ Steven Weinreb Date: March 18, 2003
----------------------------------------
Steven Weinreb
Treasurer and Chief Financial Officer
Pursuant to the requirements of the Securities Exchange Act of 1934, this
report has been signed below by the following persons on behalf of the
Registrant and in the capacities (with respect to the Managing Owner) and on the
dates indicated.
By: Prudential Securities Futures Management Inc.
A Delaware corporation, Managing Owner
By: /s/ Alex H. Ladouceur Date: March 18, 2003
-----------------------------------------
Alex H. Ladouceur
Chairman of the Board of Directors and
Director
By: /s/ Eleanor L. Thomas Date: March 18, 2003
-----------------------------------------
Eleanor L. Thomas
President and Director
By: /s/ Steven Weinreb Date: March 18, 2003
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Steven Weinreb
Treasurer and Chief Financial Officer
(chief accounting officer)
By: /s/ Guy S. Scarpaci Date: March 18, 2003
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Guy S. Scarpaci
Director
By: Date:
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Tamara B. Wright
Senior Vice President and Director
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CERTIFICATIONS
I, Eleanor L. Thomas, certify that:
1. I have reviewed this annual report on Form 10-K of World Monitor Trust
II--Series F ('Series F');
2. Based on my knowledge, this annual report does not contain any untrue
statement of a material fact or omit to state a material fact necessary
to make the statements made, in light of the circumstances under which
such statements were made, not misleading with respect to the period
covered by this annual report;
3. Based on my knowledge, the financial statements, and other financial
information included in this annual report, fairly present in all
material respects the financial condition, results of operations and cash
flows of Series F as of, and for, the periods presented in this annual
report;
4. Series F's other certifying officers and I are responsible for
establishing and maintaining disclosure controls and procedures (as
defined in Exchange Act Rules 13a-14 and 15d-14) for Series F and we
have:
a) designed such disclosure controls and procedures to ensure
that material information relating to Series F, including its
consolidated subsidiaries, is made known to us by others
within those entities, particularly during the period in
which this annual report is being prepared;
b) evaluated the effectiveness of Series F's disclosure controls
and procedures as of a date within 90 days prior to the
filing date of this annual report (the 'Evaluation Date');
and
c) presented in this annual report our conclusions about the
effectiveness of the disclosure controls and procedures based
on our evaluation as of the Evaluation Date;
5. Series F's other certifying officers and I have disclosed, based on our
most recent evaluation, to Series F's auditors and the board of directors
of the managing owner of Series F:
a) all significant deficiencies in the design or operation of
internal controls which could adversely affect Series F's
ability to record, process, summarize and report financial
data and have identified for Series F's auditors any material
weaknesses in internal controls; and
b) any fraud, whether or not material, that involves management
or other employees who have a significant role in Series F's
internal controls; and
6. Series F's other certifying officers and I have indicated in this annual
report whether or not there were significant changes in internal controls
or in other factors that could significantly affect internal controls
subsequent to the date of our most recent evaluation, including any
corrective actions with regard to significant deficiencies and material
weaknesses.
Date: March 18, 2003 /s/ Eleanor L. Thomas
--------------------------------------
Eleanor L. Thomas
President (chief executive officer)
of the managing owner of Series F
13
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I, Steven Weinreb, certify that:
1. I have reviewed this annual report on Form 10-K of World Monitor Trust
II--Series F ('Series F');
2. Based on my knowledge, this annual report does not contain any untrue
statement of a material fact or omit to state a material fact necessary
to make the statements made, in light of the circumstances under which
such statements were made, not misleading with respect to the period
covered by this annual report;
3. Based on my knowledge, the financial statements, and other financial
information included in this annual report, fairly present in all
material respects the financial condition, results of operations and cash
flows of Series F as of, and for, the periods presented in this annual
report;
4. Series F's other certifying officers and I are responsible for
establishing and maintaining disclosure controls and procedures (as
defined in Exchange Act Rules 13a-14 and 15d-14) for Series F and we
have:
a) designed such disclosure controls and procedures to ensure
that material information relating to Series F, including its
consolidated subsidiaries, is made known to us by others
within those entities, particularly during the period in
which this annual report is being prepared;
b) evaluated the effectiveness of Series F's disclosure controls
and procedures as of a date within 90 days prior to the
filing date of this annual report (the 'Evaluation Date');
and
c) presented in this annual report our conclusions about the
effectiveness of the disclosure controls and procedures based
on our evaluation as of the Evaluation Date;
5. Series F's other certifying officers and I have disclosed, based on our
most recent evaluation, to Series F's auditors and the board of directors
of the managing owner of Series F:
a) all significant deficiencies in the design or operation of
internal controls which could adversely affect Series F's
ability to record, process, summarize and report financial
data and have identified for Series F's auditors any material
weaknesses in internal controls; and
b) any fraud, whether or not material, that involves management
or other employees who have a significant role in Series F's
internal controls; and
6. Series F's other certifying officers and I have indicated in this annual
report whether or not there were significant changes in internal controls
or in other factors that could significantly affect internal controls
subsequent to the date of our most recent evaluation, including any
corrective actions with regard to significant deficiencies and material
weaknesses.
Date: March 18, 2003 /s/ Steven Weinreb
--------------------------------------
Steven Weinreb
Chief Financial Officer
of the managing owner of Series F
14