<Page> 2002 - -------------------------------------------------------------------------------- World Monitor Trust II-- Annual Series F Report <Page> LETTER TO LIMITED OWNERS FOR WORLD MONITOR TRUST II--SERIES F 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 F 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 F 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 1, 2000 (commencement of operations) to December 31, 2000, and changes in trust capital for 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 F (a Delaware Business Trust) STATEMENTS OF FINANCIAL CONDITION <Table> <Caption> December 31, ---------------------------- 2002 2001 - ---------------------------------------------------------------------------------------------------- ASSETS Cash in commodity trading accounts $ 22,062,970 $ 11,860,858 Net unrealized gain on open futures contracts 843,705 549,442 ------------- ------------ Total assets $ 22,906,675 $ 12,410,300 ------------- ------------ ------------- ------------ LIABILITIES AND TRUST CAPITAL Liabilities Commissions and other transaction fees payable $ 117,938 $ 60,919 Redemptions payable -- 52,294 Accrued expenses 98,802 74,176 Management fee payable 38,860 19,796 Incentive fee payable -- 132 ------------- ------------ Total liabilities 255,600 207,317 ------------- ------------ Commitments Trust capital Limited interests (188,782.991 and 113,525.333 interests outstanding) 22,420,673 12,079,558 General interests (1,940 and 1,160 interests outstanding) 230,402 123,425 ------------- ------------ Total trust capital 22,651,075 12,202,983 ------------- ------------ Total liabilities and trust capital 22,906,675 12,410,300 ------------- ------------ ------------- ------------ Net asset value per limited and general interests $ 118.76 $ 106.40 ------------- ------------ ------------- ------------ </Table> - -------------------------------------------------------------------------------- The accompanying notes are an integral part of these statements. 3 <Page> WORLD MONITOR TRUST II--SERIES F (a Delaware Business Trust) CONDENSED SCHEDULE OF INVESTMENTS <Table> <Caption> December 31, 2002 December 31, 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: Interest rates $ 271,175 $(27,465) Stock Indices (4,115) 15,933 Currencies 1,204,100 136,963 Commodities 23,010 (4,008) ------ -------------- ------ -------------- Net unrealized gain on futures contracts purchased 6.60% 1,494,170 0.99% 121,423 -------------- -------------- Futures contracts sold: Interest rates -- 26,672 Stock Indices 43,901 9,439 Currencies (695,153) 440,077 Commodities 787 (48,169) -------------- -------------- Net unrealized gain (loss) on futures contracts sold (2.87) (650,465) 3.51 428,019 ------ -------------- ------ -------------- Net unrealized gain on futures contracts 3.73% $ 843,705 4.50% $549,442 ------ -------------- ------ -------------- ------ -------------- ------ -------------- Settlement Currency--Futures Contracts - -------------------------------------- British pound .12% $ 25,746 (0.05)% $ (5,935) Canadian Dollar .01 3,147 -- -- Euro .52 118,446 0.19 23,472 Hong Kong .04 8,854 -- -- Japanese yen .26 58,542 (0.20) (24,956) Swiss franc .08 16,992 (0.09) (10,436) U.S. dollar 2.70 611,978 4.65 567,297 ------ -------------- ------ -------------- Total 3.73% $ 843,705 4.50% $549,442 ------ -------------- ------ -------------- ------ -------------- ------ -------------- - ------------------------------------------------------------------------------------------------------------- The accompanying notes are an integral part of these statements. </Table> 4 <Page> WORLD MONITOR TRUST II--SERIES F (a Delaware Business Trust) STATEMENTS OF OPERATIONS <Table> <Caption> For the period from March 1, 2000 (commencement of Year Ended Year Ended operations) to December 31, December 31, December 31, 2002 2001 2000 - ------------------------------------------------------------------------------------------------------ REVENUES Net realized gain on commodity transactions $3,644,035 $ 563,535 $ 404,222 Net unrealized gain/loss on open commodity positions 294,263 115,133 434,309 Interest income 260,121 341,287 333,749 ------------ ------------ ---------------- 4,198,419 1,019,955 1,172,280 ------------ ------------ ---------------- EXPENSES Commissions and other transaction fees 1,031,024 655,865 350,702 Management fees 327,694 205,169 111,401 Incentive fee 532,634 113,844 70,035 General and administrative 144,892 110,646 131,840 ------------ ------------ ---------------- 2,036,244 1,085,524 663,978 General and administrative expenses borne by the Managing Owner and its affiliates (21,971) (30,419) (47,991) ------------ ------------ ---------------- Net expenses 2,014,273 1,055,105 615,987 ------------ ------------ ---------------- Net income (loss) $2,184,146 $ (35,150) $ 556,293 ------------ ------------ ---------------- ------------ ------------ ---------------- ALLOCATION OF NET INCOME (LOSS) Limited interests $2,162,029 $ (34,511) $ 551,120 ------------ ------------ ---------------- ------------ ------------ ---------------- General interests $ 22,117 $ (639) $ 5,173 ------------ ------------ ---------------- ------------ ------------ ---------------- NET INCOME (LOSS) PER WEIGHTED AVERAGE LIMITED AND GENERAL INTEREST Net income (loss) per weighted average limited and general interest $ 14.83 $ (.36) $ 8.41 ------------ ------------ ---------------- ------------ ------------ ---------------- Weighted average number of limited and general interests outstanding 147,269 97,182 66,146 ------------ ------------ ---------------- ------------ ------------ ---------------- - ------------------------------------------------------------------------------------------------------ </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 82,371.909 8,112,830 74,000 8,186,830 Net income 551,120 5,173 556,293 Redemptions (8,244.014) (818,791) -- (818,791) ----------- ----------- --------- ----------- Trust capital--December 31, 2000 74,137.895 7,845,159 80,173 7,925,332 Contributions 60,246.577 6,305,309 53,215 6,358,524 Net loss (34,511) (639 ) (35,150) Redemptions (19,699.139) (2,036,399) (9,324 ) (2,045,723) ----------- ----------- --------- ----------- Trust capital--December 31, 2001 114,685.333 12,079,558 123,425 12,202,983 Contributions 98,830.881 10,710,334 84,860 10,795,194 Net income 2,162,029 22,117 2,184,146 Redemptions (22,793.223) (2,531,248) -- (2,531,248) ----------- ----------- --------- ----------- Trust capital--December 31, 2002 190,722.991 $22,420,673 $230,402 $22,651,075 ----------- ----------- --------- ----------- ----------- ----------- --------- ----------- - ----------------------------------------------------------------------------------------------------- The accompanying notes are an integral part of these statements. </Table> 5 <Page> WORLD MONITOR TRUST II--SERIES F (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 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 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'). 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. Series F completed its initial offering 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'). 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 F, 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 Series F 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 F 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 F 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 those 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 interests. 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 F 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 F is treated as a partnership for Federal income tax purposes. As such, Series F 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 F may be subject to other state and local taxes in jurisdictions in which it operates. Profit and loss allocations and distributions Series F 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 F 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 F 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 F. Series F 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 F 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 F. Additionally, Series F pays the administrative costs incurred by the Managing Owner or its affiliates for services they perform for Series F 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 F exceed 1.5% of Series F's net asset value during the year (with a maximum of 0.5% attributable to other than legal and audit expenses) such amounts will be borne by the Managing Owner and its affiliates. Management and incentive fees Series F pays its Trading Advisor a management fee at an annual rate of 2% 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 F 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 F pays a fixed fee for brokerage services rendered at an annual rate of 6% of Series F's net asset value. The fee is determined weekly and the sum of such weekly amounts is paid monthly. Series F is also obligated to pay all floor brokerage expenses, give-up charges and NFA, clearing and exchange fees incurred in connection with Series F's commodity trading activities. D. Related Parties Series F reimburses the Managing Owner or its affiliates for services they perform for Series F 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 F's net asset value during the year (with a maximum of 0.5% attributable to other than legal and audit expenses) such amounts will be borne by the Managing Owner and its affiliates. Because general and administrative expenses exceeded such limitations, a portion of the expenses related to services the Managing Owner performed for Series F, other than brokerage services, during the years ended December 31, 2002 and 2001 and for the period from March 1, 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 F and will continue to pay all costs of offering its Limited Interests. 8 <Page> The expenses incurred by Series F for services performed by the Managing Owner and its affiliates for Series F were: <Table> <Caption> For the period from March 1, 2000 Year ended Year ended (commencement of December 31, December 31, operations) to 2002 2001 2000 ------------ ------------ ---------------- Commissions $ 977,143 $614,066 $332,814 General and administrative 77,174 57,893 81,740 ------------ ------------ ---------------- 1,054,317 671,959 414,554 General and administrative expenses borne by the Managing Owner and its affiliates (21,971) (30,419) (47,991) ------------ ------------ ---------------- $1,032,346 $641,540 $366,563 ------------ ------------ ---------------- ------------ ------------ ---------------- </Table> Expenses payable to the Managing Owner and its affiliates (which are included in accrued expenses) as of December 31, 2002 and 2001 were $42,289 and $21,805, respectively. All of the proceeds of the offering of Series F are received in the name of Series F and are deposited in trading or cash accounts at PSI. Series F's assets are maintained with PSI for margin purposes. Series F 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 F, 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 F pursuant to a line of credit. PSI may require that collateral be posted against the marked-to-market positions of Series F. 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 F 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 F'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 F's net assets being traded, significantly exceeds Series F's future cash requirements since Series F intends to close out its open positions prior to settlement. As a result, Series F is generally subject only to the risk of loss arising from the change in the value of the contracts. As such, Series F 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 F's commitments to purchase commodities is limited to the gross or face amount of the contracts held. However, when Series F 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 F 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 F holds and the liquidity and inherent volatility of the markets in which Series F trades. Credit risk When entering into futures or forward contracts, Series F is exposed to credit risk that the counterparty to the contract will not meet its obligations. The counterparty for futures contracts traded on United States and most foreign futures exchanges is the clearinghouse associated with the particular exchange. In general, clearinghouses are backed by their corporate members who are required to share any financial burden resulting from the nonperformance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearinghouse is not backed by the clearing members (i.e., some foreign exchanges), it is normally backed by a consortium of banks or other financial institutions. On the other hand, there is concentration risk on forward transactions entered into by Series F as PSI, Series F's commodity broker, is the sole counterparty. Series F 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 F's contracts is the net unrealized gain included in the statements of financial condition; however, counterparty non-performance on only certain of Seres F's contracts may result in greater loss than non-performance on all of Series F's contracts. There can be no assurance that any counterparty, clearing member or clearinghouse will meet its obligations to Series F. The Managing Owner attempts to minimize both credit and market risks by requiring Series F 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 that are traded in sufficient volume to permit the taking and liquidating of positions. Additionally, pursuant to the Advisory Agreement among Series F, the Managing Owner and the trading advisor, Series F 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 provides that Series F will liquidate its positions, and eventually dissolve, if Series F 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 F. PSI, when acting as Series F'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 F all assets of Series F 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 $6,062,662. Part 30.7 of the CFTC regulations also requires PSI to secure assets of Series F related to foreign futures trading which totalled $16,844,013 at December 31, 2002. There are no segregation requirements for assets related to forward trading. As of December 31, 2002, all of Series F's open futures contracts mature within one year. 10 <Page> G. Financial Highlights <Table> <Caption> Year ended Year ended December 31, 2002 December 31, 2001 ----------------- ----------------- Performance per Interest Net asset value, beginning of period $106.40 $106.90 ----------------- ----------------- Net realized gain and change in net unrealized gain/loss on commodity transactions 23.99 6.90 Interest income 1.77 3.64 Net expenses (13.40) (11.04) ----------------- ----------------- Net increase (decrease) for the period 12.36 (.50) ----------------- ----------------- Net asset value, end of period $118.76 $106.40 ----------------- ----------------- ----------------- ----------------- Total return 11.62% (0.47)% Ratio to average net assets Interest income 1.62% 3.36% Net expenses, including incentive fees of 3.32% and 1.12%, respectively 12.54% 10.40% </Table> These financial highlights represent the overall results of Series F during the years ended December 31, 2002 and 2001. An individual interest 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 F is accurate and complete. PRUDENTIAL SECURITIES FUTURES MANAGEMENT INC. (Managing Owner) By: Steven Weinreb Chief Financial Officer - -------------------------------------------------------------------------------- 12 <Page> WORLD MONITOR TRUST II--SERIES F (a Delaware Business Trust) MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS Liquidity and Capital Resources Series F commenced operations on March 1, 2000 with gross proceeds of $5,185,012 allocated to commodities trading. Additional contributions raised through the continuous offering from the sales of Interests for the years ended December 31, 2002 and 2001 and for the period from March 1, 2000 (commencement of operations) to December 31, 2002 resulted in additional gross proceeds to Series F of $10,795,194, $6,358,524 and $20,156,536, respectively. Additional Limited Interests of Series F will continue to be offered on a weekly basis at the net asset value per Interest until the subscription maximum is sold. Limited Interests in Series F 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 were $2,531,248 and $2,036,399, respectively. Redemptions of General interests for the year ended December 31, 2001 was $9,324. There were no redemptions of general interests for the year ended December 31, 2002. Redemptions of Limited interests and general interests for the period from March 1, 2000 (commencement of operations) to December 31, 2002 were $5,386,438 and $9,324, respectively. Additionally, Interests owned in any series of World Monitor Trust II (Series D, E or F) may be exchanged, without any charge, for Interests of one or more other series of World Monitor Trust II on a weekly basis for as long as 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 F's net assets were allocated to commodities trading. A significant portion of the net assets was held in cash which is used as margin for trading in commodities. Inasmuch as the sole business of Series F is to trade in commodities, Series F continues to own such liquid assets to be used as margin. PSI credits Series F 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 F from promptly liquidating its commodity futures positions. Since Series F'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 F'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 F's speculative trading as well as the development of drastic market occurrences could result in monthly losses considerably beyond Series F'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 F 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 F's futures contracts. Series F does not have, nor does it expect to have, any capital assets. 13 <Page> Results of Operations The net asset value per Interest as of December 31, 2002, was $118.76, an increase of 11.62% from the December 31, 2001 net asset value per Interest of $106.40 which was a decrease of 0.47% from the December 31, 2000 net asset value per Interest of $106.90. 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 Account Reports, LLC. Past performance is not necessarily indicative of future results. Series F's trading gains before commissions and related fees for the years ended December 31, 2002 and 2001 and for the period from March 1, 2000 (commencement of operations) to December 31, 2000 were $3,938,000, $679,000 and $839,000, respectively. Due to the nature of Series F's trading activities, a period to period comparison of its trading results is not meaningful. However, a detailed discussion of the trading results for the year ended December 31, 2002 is presented below. Net losses for Series F were experienced in the energy and metals sectors. Profits were the result of gains in the financial, currency, and index sectors. Energy markets were volatile at the beginning of the year, but rose toward the first quarter-end as the escalating conflict in the Middle East prompted fears of an interruption in supplies. This, together with hopes for increased U.S. energy demand due to a recovering economy, reinforced the normal seasonal upward pressure on energy prices. Energy prices declined in the second quarter amid increased U.S. stock suggesting ample supply for the summer season and anticipation that Russia would discontinue output restrictions. Energy markets climbed through the end of the year as fears of impending war with Iraq and the Venezuelan oil strike pushed crude oil prices up significantly. Crude oil rose from the low $201s per barrel earlier in the year to approximately $30 a barrel at year-end. Gains made in the first and third quarter from long heating oil, crude oil and natural gas positions did not offset losses incurred throughout the year. Gold and other precious metals soared throughout most of the first half of the year in response to weaknesses in the U.S. dollar and global equity markets and instability in the Middle East. Base metals also began the year on a rise as global economic activity showed signs of recovery. Gold prices reversed at second quarter-end as a result of profit taking by traders and the sentiment that U.S. and Japanese central banks would support the U.S. dollar. Gold ended the year above $300 an ounce. Base metal prices fell in the second half of the year due to weak economies and decreased industrial production. Gains earned by long gold positions in the first and last quarters of the year were not sufficient to offset second and third quarter losses. 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. Short U.S. Treasury bond positions in the first quarter resulted in gains. 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 as well. In the second half of the year, the Japanese bond market was particularly strong as the Japanese economy continued to struggle with recession and investors fled to bonds for safety. Global bond prices in the fourth quarter were slightly weaker as interest rates rose in 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'. U.S., Japanese and European bond markets ended the year strong resulting in net gains for long U.S. Treasury, Japanese and European bond positions. 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 investors1 desire for U.S. assets decreased, but ended the quarter lower. The British 14 <Page> pound rose against the U.S. dollar early in the year amid perceived strength in the British economy and gained as a result of 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. Long euro, Australian dollar and New Zealand/U.S. dollar cross-rate positions resulted in gains. Equity indexes began the year choppy 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. This resulted in investors re-evaluating their outlook for a near-term economic recovery. 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%. Overall, short positions in the London FTSE, EURSTOX 50 and EUR DAX Indexes resulted in gains. Increasing overall average net asset levels have led to corresponding increases in commissions and management fees incurred by Series F. Series F'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 during 2002 offset, in part, by redemptions during 2002. Series F's average net asset levels were higher during the year ended December 31, 2001 as compared to the period from March 1, 2000 (commencement of operations) to December 31, 2000, primarily from additional contributions during 2000 and 2001 and favorable trading performance in the Fourth Quarter of 2000 offset, in part, by redemptions during 2001. Additionally, there was a full year of operations in 2001 as compared to ten months in the period ended December 31, 2000. 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 $81,000 for the year ended December 31, 2002 as compared to 2001 primarily due to the overall decrease in interest rates during 2002 offset, in part, by the increase in net assets as discussed above. Interest income increased $8,000 for the year ended December 31, 2001 as compared to the period from March 1, 2000 (commencement of operations) to December 31, 2000 primarily due to the difference in the length of the 2001 and 2000 periods covered as well as higher overall net asset levels as discussed above. However, lower overall interest rates in 2001 as compared with interest rates in 2000 offset most of the increase. Commissions are calculated on Series F's net asset value at the end of each week and therefore, vary according to weekly trading performance, contributions and redemptions. Other transaction fees consist of National Futures Association, exchange and clearing fees as well as floor brokerage costs and give-up charges, which are based on the number of trades the Trading Advisor executes, as well as which exchange, clearing firm or bank on, or through, which the contract is traded. Commissions and other transaction fees increased $375,000 for the year ended December 31, 2002 as compared to 2001 and increased $305,000 for the year ended December 31, 2001 as compared to the period from March 1, 2000 (commencement of operations) to December 31, 2000 due to the increase in net asset levels discussed above. All trading decisions for Series F are made by Campbell & Company, Inc. (the 'Trading Advisor'). Management fees are calculated on Series F's net asset value at the end of each week, and therefore, are affected by weekly trading performance, contributions and redemptions. Management fees increased $123,000 for the year ended December 31, 2002 as compared to 2001 and increased $94,000 for the year ended December 31, 2001 as compared to the period from March 1, 2000 (commencement of operations) to December 31, 2000 due to the increase in net asset levels 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 F, the Managing Owner and the Trading Advisor. Incentive fees incurred during the years ended December 31, 2002 and 2001 and the period from March 1, 2000 (commencement of operations) to December 31, 2000 were $533,000, $114,000 and $70,000, respectively. 15 <Page> General and administrative expenses for the years ended December 31, 2002 and 2001 and the period from March 1, 2000 (commencement of operations) to December 31, 2000 were $145,000, $111,000 and $132,000, 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 reimbursements of costs incurred by the Managing Owner on behalf of Series F. To the extent that general and administrative expenses exceed 1.5% of Series F's net asset value during such year (with a maximum of 0.5% attributable to other than legal and audit expenses) such amounts are borne by the Managing Owner and its affiliates. Because applicable expenses exceeded these limits, a portion of these expenses have been borne by the Managing Owner and its affiliates, resulting in a net cost to Series F of $123,000, $80,000 and $84,000, respectively. The net cost to Series F has been increasing primarily as a result of applying these limitations to increasing net asset levels as discussed above. Inflation Inflation has had no material impact on operations or on the financial condition of Series F from inception through December 31, 2002. 16 <Page> OTHER INFORMATION The actual round-turn equivalent of brokerage commissions paid per contract for the year ended December 31, 2002 was $76. Series F'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 F/0TH Peck Slip Station P.O. Box 2303 New York, New York 10273-0005 17 <Page> 0TH PRESORTED Peck Slip Station STANDARD P.O. Box 2303 U.S. POSTAGE New York, NY 10273-0005 PAID Automatic Mail 9N17220