<Page>
2002
- -------------------------------------------------------------------------------
World Monitor Trust II-- Annual
Series E Report
<Page>
LETTER TO LIMITED OWNERS FOR
WORLD MONITOR TRUST II--SERIES E
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 E
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 E 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 April 6, 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 E
(a Delaware Business Trust)
STATEMENTS OF FINANCIAL CONDITION
<Table>
<Caption>
December 31,
---------------------------
2002 2001
- ----------------------------------------------------------------------------------------------------
ASSETS
Cash in commodity trading accounts $ 25,058,188 $ 8,838,511
Net unrealized gain on open futures contracts 1,772,644 255,757
Net unrealized gain on open forward contracts 43,721 --
Subscriptions receivable -- 5,000
------------- -----------
Total assets $ 26,874,553 $ 9,099,268
------------- -----------
------------- -----------
LIABILITIES AND TRUST CAPITAL
Liabilities
Commissions and other transaction fees payable $ 135,497 $ 45,475
Accrued expenses payable 89,968 61,754
Incentive fees payable 65,555 13,466
Management fees payable 43,883 14,408
Redemptions payable -- 60,681
Unrealized loss on open forward contracts -- 9,674
------------- -----------
Total liabilities 334,903 205,458
------------- -----------
Commitments
Trust capital
Limited interests (165,673.643 and 67,965.112 interests outstanding) 26,238,737 8,787,237
General interests (1,900 and 824.300 interests outstanding) 300,913 106,573
------------- -----------
Total trust capital 26,539,650 8,893,810
------------- -----------
Total liabilities and trust capital $ 26,874,553 $ 9,099,268
------------- -----------
------------- -----------
Net asset value per limited and general interest $ 158.38 $ 129.29
------------- -----------
------------- -----------
</Table>
- -------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements.
3
<Page>
WORLD MONITOR TRUST II--SERIES E
(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 and Forward Contracts Trust Capital Gain (Loss) Trust Capital Gain (Loss)
- -------------------------------------------------------------------------------------------------------------
Futures contracts purchased:
Interest rates $ 421,731 $ 4,010
Currencies 989,817 250,488
Commodities 204,590 51,792
-------------- --------------
Net unrealized gain on futures
contracts purchased 6.09% 1,616,138 3.44% 306,290
------ -------------- ------ --------------
Futures contracts sold:
Interest rates (421) 9,798
Stock indices 63,999 (12,058)
Currencies 104,559 165,385
Commodities (11,631) (213,658)
-------------- --------------
Net unrealized gain (loss) on
futures contracts sold 0.59 156,506 (0.56) (50,533)
------ -------------- ------ --------------
Net unrealized gain on futures
contracts 6.68% $1,772,644 2.88% $255,757
------ -------------- ------ --------------
------ -------------- ------ --------------
Forward currency contracts purchased:
Net unrealized gain (loss) on
forward contracts purchased .01% $ 2,833 (0.11)% $ (9,674)
Forward currency contracts sold:
Net unrealized gain on forward
contracts sold 0.15 40,888 -- --
------ -------------- ------ --------------
Net unrealized gain (loss) on
forward contracts 0.16% $ 43,721 (0.11)% $ (9,674)
------ -------------- ------ --------------
------ -------------- ------ --------------
Settlement Currency--Futures Contracts
British pound 0.50% $ 133,017 0.41% $ 36,181
Australian Dollar 0.16 41,875 -- --
Canadian Dollar 0.52 137,683 -- --
Swiss Francs 0.79 210,417 -- --
Euro 1.10 290,715 -- --
Japanese yen 0.13 35,657 2.30 205,027
Swedish krona 0.00 -- (0.01) (1,090)
U.S. dollar 3.48 923,280 0.18 15,639
------ -------------- ------ --------------
Total 6.68% $1,772,644 2.88% $255,757
------ -------------- ------ --------------
------ -------------- ------ --------------
Settlement Currency--Forward Contracts
U.S. dollar 0.16% $ 43,721 (0.11)% $ (9,674)
------ -------------- ------ --------------
------ -------------- ------ --------------
<Caption>
- -------------------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements.
</Table>
4
<Page>
WORLD MONITOR TRUST II--SERIES E
(a Delaware Business Trust)
STATEMENTS OF OPERATIONS
<Table>
<Caption>
For the period
from April 6, 2000
(commencement of
Year ended December 31, operations) to
------------------------ December 31,
2002 2001 2000
- ----------------------------------------------------------------------------------------------------
REVENUES
Net realized gain on commodity transactions $4,349,429 $2,004,232 $ 474,366
Change in net unrealized gain/loss on open
commodity positions 1,570,282 (709,190) 955,273
Interest income 244,746 240,960 230,425
---------- ---------- ---------------------
6,164,457 1,536,002 1,660,064
---------- ---------- ---------------------
EXPENSES
Commissions and other transaction fees 982,336 469,966 250,449
Management fees 312,130 144,767 76,878
Incentive fees 986,144 303,423 238,625
General and administrative 151,895 110,663 123,130
---------- ---------- ---------------------
2,432,505 1,028,819 689,082
General and administrative expenses borne by the
Managing Owner and its affiliates (36,257) (33,371) (64,786)
---------- ---------- ---------------------
Net expenses 2,396,248 995,448 624,296
---------- ---------- ---------------------
Net income 3,768,209 $ 540,554 $ 1,035,768
---------- ---------- ---------------------
---------- ---------- ---------------------
ALLOCATION OF NET INCOME
Limited interests $3,720,264 $ 531,488 $ 1,020,501
---------- ---------- ---------------------
---------- ---------- ---------------------
General interests $ 47,945 $ 9,066 $ 15,267
---------- ---------- ---------------------
---------- ---------- ---------------------
NET INCOME PER WEIGHTED AVERAGE LIMITED AND
GENERAL INTEREST
Net income per weighted average limited and
general interest $ 34.59 $ 9.39 $ 19.41
---------- ---------- ---------------------
---------- ---------- ---------------------
Weighted average number of limited and general
interests outstanding 108,949 57,547 53,350
---------- ---------- ---------------------
---------- ---------- ---------------------
<Caption>
- ----------------------------------------------------------------------------------------------------
</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 59,172.609 5,797,957 74,000 5,871,957
Net income 1,020,501 15,267 1,035,768
Redemptions (8,449.177) (802,411) -- (802,411)
----------- ----------- --------- -----------
Trust capital--December 31, 2000 50,733.432 6,016,047 90,267 6,106,314
Contributions 39,201.839 4,857,318 26,816 4,884,134
Net income 531,488 9,066 540,554
Redemptions (21,145.859) (2,617,616) (19,576 ) (2,637,192)
----------- ----------- --------- -----------
Trust capital--December 31, 2001 68,789.412 8,787,237 106,573 8,893,810
Contributions 116,679.715 16,221,867 146,395 16,368,262
Net income 3,720,264 47,945 3,768,209
Redemptions (17,895.484) (2,490,631) -- (2,490,631)
----------- ----------- --------- -----------
Trust capital--December 31, 2002 167,573.643 $26,238,737 $300,913 $26,539,650
----------- ----------- --------- -----------
----------- ----------- --------- -----------
<Caption>
- -----------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements.
</Table>
5
<Page>
WORLD MONITOR TRUST II--SERIES E
(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
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 E completed its initial offering April 6,
2000 with gross proceeds of $5,157,459, 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 E, entered
into an advisory agreement with Graham Capital Management, L.P. (the 'Trading
Advisor') to make the trading decisions for Series E. 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 E 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 E 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 E 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 per weighted average limited and
general interest. The weighted average Limited Interests 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 E 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 E is treated as a partnership for Federal income tax purposes. As
such, Series E 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
E may be subject to other state and local taxes in jurisdictions in which it
operates.
Profit and loss allocations and distributions
Series E 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 E 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 E 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 E. Series E
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 E 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 E. Additionally, Series E pays the administrative costs
incurred by the Managing Owner or its affiliates for services they perform for
Series E 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 E exceed 1.5% of Series E's net asset value during the year (with a
maximum of 0.5% attributable to other than legal and audit expenses) such
amounts will be borne by the Managing Owner and its affiliates.
Management and incentive fees
Series E pays its Trading Advisor a management fee at an annual rate of 2% of
its net asset value allocated to its management. The management fee is
determined weekly and the sum of such weekly amounts is paid monthly. Series E
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 E pays a fixed fee for
brokerage services rendered at an annual rate of 6% of Series E's net asset
value. The fee is determined weekly and the sum of such weekly amounts is paid
monthly. Series E is also obligated to pay all floor brokerage expenses, give-up
charges and NFA, clearing and exchange fees incurred in connection with Series
E's commodity trading activities.
D. Related Parties
Series E reimburses the Managing Owner or its affiliates for services they
perform for Series E which include but are not limited to: brokerage services;
accounting and financial management; registrar, transfer and assignment
functions; investor communications; printing and other administrative services.
However, to the extent that general and administrative expenses exceed 1.5% of
Series E's net asset value during the year (with a maximum of 0.5% attributable
to other than legal and audit expenses) such amounts will be borne by the
Managing Owner and its affiliates. Because general and administrative expenses
exceeded such limitations, a portion of the expenses related to services the
Managing Owner performed for Series E, other than brokerage services, during the
years ended December 31, 2002 and 2001 and the period from April 6, 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 E and will continue to pay all costs of offering its
Limited Interests.
The expenses incurred by Series E for services performed by the Managing
Owner and its affiliates for Series E were:
8
<Page>
<Table>
<Caption>
For the period
from April 6,
2000
(commencement of
Year ended December 31, operations) to
---------------------------- December 31,
2002 2001 2000
------------ ------------ ----------------
Commissions $ 929,926 $432,867 $229,887
General and administrative 83,486 56,254 76,601
------------ ------------ ----------------
1,013,412 489,121 306,488
General and administrative expenses borne by the
Managing Owner and its affiliates (36,257) (33,371) (64,786)
------------ ------------ ----------------
$ 977,155 $455,750 $241,702
------------ ------------ ----------------
------------ ------------ ----------------
</Table>
Expenses payable to the Managing Owner and its affiliates as of December 31,
2002 and December 31, 2001 were $31,671 and $9,058, respectively.
All of the proceeds of the offering of Series E are received in the name of
Series E and are deposited in trading or cash accounts at PSI. Series E's assets
are maintained with PSI for margin purposes. Series E 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 E, acting through its trading advisor, may execute over-the-counter,
spot, forward and/or option foreign exchange transactions with PSI. PSI then
engages in back-to-back trading with an affiliate, Prudential-Bache Global
Markets Inc. ('PBGM'). PBGM attempts to earn a profit on such transactions. PBGM
keeps its prices on foreign currency competitive with other interbank currency
trading desks. All over-the-counter currency transactions are conducted between
PSI and Series E pursuant to a line of credit. PSI may require that collateral
be posted against the marked-to-market positions of Series E.
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 E 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 E's investment activities (credit risk).
Market risk
Trading in futures and forward contracts (including foreign exchange)
involves entering into contractual commitments to purchase or sell a particular
commodity at a specified date and price. The gross or face amount of the
contracts, which is typically many times that of Series E's net assets being
traded, significantly exceeds Series E's future cash requirements since Series E
intends to close out its open positions prior to settlement. As a result, Series
E is generally subject only to the risk of loss arising from the change in the
value of the contracts. As such, Series E considers the 'fair value' of its
derivative instruments to be the net unrealized gain or loss on the contracts.
The market risk associated with Series E's commitments to purchase commodities
is limited to the gross or face amount of the contracts held. However, when
Series E enters into a contractual commitment to sell commodities, it must make
delivery of the underlying commodity at the contract price and then repurchase
the contract at prevailing market prices. Since the repurchase price to which a
commodity can rise is unlimited, entering into commitments to sell commodities
exposes Series E to unlimited risk.
Market risk is influenced by a wide variety of factors including government
programs and policies, political and economic events, the level and volatility
of interest rates, foreign currency exchange rates, the diversification effects
among the derivative instruments Series E holds and the liquidity and inherent
volatility of the markets in which Series E trades.
Credit risk
When entering into futures or forward contracts, Series E is exposed to
credit risk that the counterparty to the contract will not meet its obligations.
The counterparty for futures contracts traded on United States and most foreign
futures exchanges is the clearinghouse associated with the particular exchange.
In general,
9
<Page>
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 E as PSI, Series E's commodity broker, is
the sole counterparty. Series E has entered into a master netting agreement with
PSI and, as a result, when applicable, presents unrealized gains and losses on
open forward positions as a net amount in the statements of financial condition.
The amount at risk associated with counterparty nonperformance on all of Series
E's contracts is the net unrealized gain included in the statements of financial
condition; however, counterparty non-performance on only certain of Series E's
contracts may result in greater loss than non-performance on all of Series E's
contracts. There can be no assurance that any counterparty, clearing member or
clearinghouse will meet its obligations to Series E.
The Managing Owner attempts to minimize both credit and market risks by
requiring Series E and its Trading Advisor to abide by various trading
limitations and policies. The Managing Owner monitors compliance with these
trading limitations and policies which include, but are not limited to,
executing and clearing all trades with creditworthy counterparties; limiting the
amount of margin or premium required for any one commodity or all commodities
combined; and generally limiting transactions to contracts which are traded in
sufficient volume to permit the taking and liquidating of positions.
Additionally, pursuant to the advisory agreement among Series E, the Managing
Owner and the Trading Advisor, Series E shall automatically terminate the
Trading Advisor if the net asset value allocated to the Trading Advisor declines
by 40% from the value at the beginning of any year or since the commencement of
trading activities. Furthermore, the Trust Agreement of the Trust provides that
Series E will liquidate its positions, and eventually dissolve, if Series E
experiences a decline in the net asset value of 50% from the value at the
beginning of any year or since the commencement of trading activities. In each
case, the decline in net asset value is after giving effect for distributions,
contributions and redemptions. The Managing Owner may impose additional
restrictions (through modifications of trading limitations and policies) upon
the trading activities of the Trading Advisor as it, in good faith, deems to be
in the best interest of Series E.
PSI, when acting as Series E's futures commission merchant in accepting
orders for the purchase or sale of domestic futures contracts, is required by
Commodity Futures Trading Commission ('CFTC') regulations to separately account
for and segregate as belonging to Series E all assets of Series E relating to
domestic futures trading and is not permitted to commingle such assets with
other assets of PSI. At December 31, 2002, such segregated assets totalled
$9,456,944. Part 30.7 of the CFTC regulations also requires PSI to secure assets
of Series E related to foreign futures trading which totalled $17,373,888 at
December 31, 2002. There are no segregation requirements for assets related to
forward trading.
As of December 31, 2002, Series E's open futures and forward contracts
generally mature within one year, although certain interest rate futures
contracts have maturities as distant as June 2004.
G. Financial Highlights
<Table>
<Caption>
Year ended December 31,
----------------------------
2002 2001
------------ ------------
Performance per Interest
Net asset value, beginning of period $ 129.29 $ 120.36
Net realized gain and change in net unrealized gain/loss
on commodity transactions 48.09 22.04
Interest income 2.25 4.30
Net expenses (21.25) (17.41)
------------ ------------
Net increase for the period 29.09 8.93
------------ ------------
Net asset value, end of period $ 158.38 $ 129.29
------------ ------------
------------ ------------
Total return 22.50% 7.42%
Ratio to average net assets
Interest income 1.60% 3.37%
Net expenses, including incentive fees of 6.44% and
4.25%, respectively 15.64% 13.94%
</Table>
These financial highlights represent the overall results of Series E during
the years ended December 31, 2002 and 2001. An individual limited owner's actual
results may differ depending on the timing of contributions and redemptions.
10
<Page>
- --------------------------------------------------------------------------------
I hereby affirm that, to the best of my knowledge and belief, the information
contained herein relating to World Monitor Trust II--Series E is accurate and
complete.
PRUDENTIAL SECURITIES
FUTURES MANAGEMENT INC.
(Managing Owner)
By: /s/ Steven Weinreb
Chief Financial Officer
- -------------------------------------------------------------------------------
11
<Page>
WORLD MONITOR TRUST II--SERIES E
(a Delaware Business Trust)
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION
AND RESULTS OF OPERATIONS
Liquidity and Capital Resources
Series E commenced operations on April 6, 2000 with gross proceeds of
$5,157,459 allocated to commodities trading. Additional contributions raised
through the continuous offering from the sales of Interests for the years ended
December 31, 2002 and 2001 and for the period from April 6, 2000 (commencement
of operations) to December 31, 2002 resulted in additional gross proceeds to
Series E of $16,368,262, $4,884,134 and $21,967,894, respectively. Additional
Limited Interests of Series E will continue to be offered on a weekly basis at
the net asset value per Interest until the subscription maximum is sold.
Limited Interests in Series E may be redeemed on a weekly basis, but are
subject to a redemption fee if transacted within one year of the effective date
of purchase. Redemptions of Limited Interests for the years ended December 31,
2002 and 2001 were $2,490,631 and $2,617,616, respectively, and redemptions of
general interests were $19,576 for the year ended December 31, 2001 and there
were no such redemptions in 2002. Redemptions of Limited Interests and general
interests for the period from April 6, 2000 (commencement of operations) to
December 31, 2002 were $5,910,658 and $19,576, 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 E's net assets were allocated to
commodities trading. A significant portion of the net assets was held in cash
which was used as margin for trading in commodities. Inasmuch as the sole
business of Series E is to trade in commodities, Series E continues to own such
liquid assets to be used as margin. PSI credits Series E with interest income on
100% of its average daily equity maintained in its accounts with PSI during each
month at the 13-week Treasury bill discount rate.
The commodities contracts are subject to periods of illiquidity because of
market conditions, regulatory considerations and other reasons. For example,
commodity exchanges limit fluctuations in certain commodity futures contract
prices during a single day by regulations referred to as 'daily limits.' During
a single day, no trades may be executed at prices beyond the daily limit. Once
the price of a futures contract for a particular commodity has increased or
decreased by an amount equal to the daily limit, positions in the commodity can
neither be taken nor liquidated unless traders are willing to effect trades at
or within the limit. Commodity futures prices have occasionally moved the daily
limit for several consecutive days with little or no trading. Such market
conditions could prevent Series E from promptly liquidating its commodity
futures positions.
Since Series E's business is to trade futures and forward contracts, its
capital is at risk due to changes in the value of these contracts (market risk)
or the inability of counterparties to perform under the terms of the contracts
(credit risk). Series E's exposure to market risk is influenced by a number of
factors including the volatility of interest rates and foreign currency exchange
rates, the liquidity of the markets in which the contracts are traded and the
relationships among the contracts held. The inherent uncertainty of Series E's
speculative trading as well as the development of drastic market occurrences
could result in monthly losses considerably beyond Series E's experience to date
and could ultimately lead to a loss of all or substantially all of investors'
capital. The Managing Owner attempts to minimize these risks by requiring Series
E and its trading advisor to abide by various trading limitations and policies
which include limiting margin amounts, trading only in liquid markets and
permitting the use of stop loss provisions. See Note F to the financial
statements for a further discussion on the credit and market risks associated
with Series E's futures and forward contracts.
Series E does not have, nor does it expect to have, any capital assets.
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Results of Operations
The net asset value per Interest as of December 31, 2002 was $158.38, an
increase of 22.50% from the December 31, 2001 net asset value per Interest of
$129.29 which was an increase of 7.42% from the December 31, 2000 net asset
value per Interest of $120.36. 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 no guarantee of future results.
Series E's trading gains before commissions and related fees for the years
ended December 31, 2002 and 2001 and the period from April 6, 2000 (commencement
of operations) to December 31, 2000 were $5,920,000, $1,295,000 and $1,430,000,
respectively. Due to the nature of Series E's trading activities, a period to
period comparison of its trading results is not meaningful. However, a detailed
discussion of the trading results for the year ended December 31, 2002 is
presented below.
Net losses for Series E were experienced in the metals and energy sectors.
Profits were the result of gains in the financial, currency, and grain sectors.
Base metals began the year on a rise as global economic activity showed signs
of recovery but fell in the second half of the year due to weak economies and
decreased industrial production. Short positions in aluminum and zinc early in
the year and long positions in copper, zinc and nickel in the second half led to
net losses in this sector.
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. Expectations for colder March weather,
together with concerns regarding the safety of nuclear power plants, helped
drive natural gas prices higher. Energy markets continued their upward climb
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 $20's per barrel earlier in the year to approximately $30 a barrel
at year-end. Gains earned in the third quarter from long crude oil positions did
not offset losses incurred throughout the year.
Global bond markets trended lower through most of the first quarter of 2002
amid growing prospects for 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. In the
second and third quarters, significant downturns in world equity markets and
disappointing corporate profits caused a flight to quality into bond markets
around the world. 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 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 second half of the year resulted in net gains for
Series E.
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 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
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and expectations of war with Iraq. Long euro, Swiss franc and New Zealand
dollar positions resulted in net gains.
In commodities markets, drought in the mid-western U.S. during the second
half of the year drove price increases in corn, wheat and soybean markets. Long
positions in corn and wheat resulted in gains.
Equity indexes 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%. Overall, short positions in the euro DAX,
NASDAQ and S&P 500 during the second, third and fourth quarters of the year
resulted in net gains for Series E.
Increasing average net asset levels have led to increases in interest earned
and commissions and management fees incurred by Series E. Series E'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 E's average net assets levels were higher during the year ended
December 31, 2001 as compared to the prior period, primarily from additional
contributions and favorable trading performance during 2000 and 2001 offset, in
part, by redemptions during 2001. Additionally, there was a full year of
operations in 2001 as compared to approximately nine months in the period ended
December 2000.
Interest income is earned on the average daily equity maintained 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 increased by $4,000 during 2002 as compared to 2001 and increased by
$11,000 during 2001 as compared to the 2000 period due to the increases in
average net asset levels as discussed above, which were significantly offset by
the impact of declining interest rates. There were lower overall interest rates
during 2002 versus 2001 and lower overall interest rates during 2001 versus the
2000 period.
Commissions are calculated on Series E's net asset value at the end of each
week and, therefore, vary according to weekly trading performance, contributions
and redemptions. Other transaction fees consist of National Futures Association,
exchange and clearing fees as well as floor brokerage costs and give-up charges,
which are based on the number of trades the trading advisor executes, as well as
which exchange, clearing firm or bank on, or through, which the contract is
traded. Commissions and other transaction fees increased by $512,000 during 2002
as compared to 2001 and increased by $220,000 during 2001 as compared to the
2000 period due to the increases in average net asset levels as discussed above.
All trading decisions for Series E are made by Graham Capital Management,
L.P. (the 'Trading Advisor'). Management fees are calculated on Series E's net
asset value at the end of each week and, therefore, are affected by weekly
trading performance, contributions and redemptions. Management fees increased by
$167,000 during 2002 as compared to 2001 and increased by $68,000 during 2001 as
compared to the 2000 period due to the increases in average net asset levels as
discussed above.
Incentive fees are based on the 'New High Net Trading Profits' generated by
the Trading Advisor, as defined in the Advisory Agreement among Series E, the
Managing Owner and the Trading Advisor. Incentive fees incurred during the years
ended December 31, 2002 and 2001 and the period from April 6, 2000 (commencement
of operations) to December 31, 2000 were $986,000, $303,000 and $239,000,
respectively.
General and administrative expenses for the years ended December 31, 2002 and
2001 and the period from April 6, 2000 (commencement of operations) to December
31, 2000 were $152,000, $111,000 and $123,000, 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
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the Managing Owner on behalf of Series E. To the extent that general and
administrative expenses exceed 1.5% of Series E's net asset value during the
year (with a maximum of 0.5% attributable to other than legal and audit
expenses) such amounts are borne by the Managing Owner and its affiliates.
Because applicable expenses exceeded these limits, a portion of these expenses
has been borne by the Managing Owner and its affiliates, resulting in a net cost
to Series E of $116,000, $77,000 and $58,000, respectively. The net cost to
Series E 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 E 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 $84.
Series E'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 E/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 10273-0005 PAID
Automatic Mail
WMT2/17219