WORLD MONITOR TRUST II  SERIES E

ANNUAL REPORT

December 31, 2006



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WORLD MONITOR TRUST II  SERIES E



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TABLE OF CONTENTS



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|                                                                                                   |  |      
|-------------------------------------------------------------------------------------------------- |  | -----
|                                                                                                   |  | PAGES
|Report of Independent Registered Public Accounting Firm  Deloitte & Touche LLP                    |  | 1    
|Report of Independent Registered Public Accounting Firm  Arthur F. Bell, Jr. & Associates, L.L.C. |  | 2    
|Financial Statements                                                                               |  |      
|Statements of Financial Condition                                                                  |  | 3    
|Condensed Schedules of Investments                                                                 |  | 4    
|Statements of Operations                                                                           |  | 5    
|Statements of Changes in Trust Capital                                                             |  | 6    
|Notes to Financial Statements                                                                      |  | 7 15



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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Managing Owner and Limited Owners of

World Monitor Trust II 
Series E

We have audited the accompanying statements of financial condition, including the condensed schedule of investments, of World Monitor Trust II
 Series E (the Trust) as of December 31, 2006 and 2005, and the related statements of operations and changes in trust capital for the two years in the period then ended. These financial statements are the responsibility of the
Trusts management. Our responsibility is to express an opinion on these financial statements based on our audits. The statement of operations and statement of changes in trust capital for the year ended December 31, 2004 were audited by
another auditor whose report dated March 25, 2005 expressed an unqualified opinion on those statements.

We conducted our audits in accordance with
the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. The
Trust is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that
are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Trusts internal control over financial reporting. Accordingly, we express no such opinion. An audit also 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 management, as well as evaluating the overall financial statement presentation. We
believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements referred to above present fairly, in all
material respects, the financial position of World Monitor Trust II  Series E at December 31, 2006 and 2005, and the results of its operations and changes in its trust capital for the two years in the period then ended in conformity with
accounting principles generally accepted in the United States of America.

Deloitte & Touche LLP

March 28, 2007



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|     |  | 
|---- |  | 
|LOGO

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Managing Owner and Limited Owners of

World Monitor Trust II - Series
E

We have audited the accompanying statements of operations and changes in trust capital of World Monitor Trust II  Series E for the year ended
December 31, 2004. These financial statements are the responsibility of the Trusts management. Our responsibility is to express an opinion on these financial statements based on our audit.

We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. The Trust is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting.
Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the
Trusts internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. An audit also includes
assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audit provides a reasonable basis for our opinion.

In our opinion, the financial statements referred to above present fairly, in all material respects, the results of operations and changes in trust capital of World
Monitor Trust II  Series E for the year ended December 31, 2004, in conformity with U.S. generally accepted accounting principles.

s/ Arthur F.
Bell, Jr. & Associates, L.L.C.

Hunt Valley, Maryland

March 25, 2005





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WORLD MONITOR TRUST II  SERIES E

STATEMENTS OF FINANCIAL CONDITION

December 31, 2006 and 2005



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|                                                                                                                   |  |      |            |      |   |           
|------------------------------------------------------------------------------------------------------------------ |  | ---- | ---------- | ---- | - | ----------
|                                                                                                                   |  | 2006 |            | 2005
|ASSETS                                                                                                             |  |      |            |      |   |           
|Cash in commodity trading accounts                                                                                 |  | $    | 23,270,902 |      | $ | 30,045,374
|Interest receivable                                                                                                |  |      | 6,959      |      |   | 0         
|Net unrealized gain on open futures contracts                                                                      |  |      | 499,161    |      |   | 125,337   
|Net unrealized gain on open forward contacts                                                                       |  |      | 293,828    |      |   | 599,873   
|                                                                                                                   |  |      |            |      |   |           
|Total assets                                                                                                       |  | $    | 24,070,850 |      | $ | 30,770,584
|                                                                                                                   |  |      |            |      |   |           
|LIABILITIES                                                                                                        |  |      |            |      |   |           
|Commissions and other transaction fees payable                                                                     |  | $    | 5,221      |      | $ | 4,683     
|Accrued expenses payable                                                                                           |  |      | 184,065    |      |   | 313,916   
|Management fees payable                                                                                            |  |      | 47,973     |      |   | 60,957    
|Redemptions payable                                                                                                |  |      | 60,126     |      |   | 291,894   
|                                                                                                                   |  |      |            |      |   |           
|Total liabilities                                                                                                  |  |      | 297,385    |      |   | 671,450   
|                                                                                                                   |  |      |            |      |   |           
|TRUST CAPITAL                                                                                                      |  |      |            |      |   |           
|Limited interests (143,772.262 and 186,721.969 interests outstanding) at December 31, 2006 and 2005, respectively. |  |      | 23,538,201 |      |   | 29,787,258
|Managing Owner interests (1,437 and 1,955 interests outstanding) at December 31, 2006 and 2005, respectively.      |  |      | 235,264    |      |   | 311,876   
|                                                                                                                   |  |      |            |      |   |           
|Total trust capital                                                                                                |  |      | 23,773,465 |      |   | 30,099,134
|                                                                                                                   |  |      |            |      |   |           
|Total liabilities and trust capital                                                                                |  | $    | 24,070,850 |      | $ | 30,770,584
|                                                                                                                   |  |      |            |      |   |           

Net Asset Value per Limited and Managing Owner Interest



|             |  |         |  |        
|------------ |  | ------- |  | -------
|December 31,
|2006         |  | 2005    |  | 2004   
|$163.72      |  | $159.53 |  | $184.94
|             |  |         |  |        

See accompanying notes.



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WORLD MONITOR TRUST II  SERIES E

CONDENSED SCHEDULES OF INVESTMENTS

December 31, 2006 and 2005



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|                                                     |  |                                                 |    |  |                          |         |   |                                                |       |    |                          |   |         |  
|---------------------------------------------------- |  | ----------------------------------------------- | -- |  | ------------------------ | ------- | - | ---------------------------------------------- | ----- | -- | ------------------------ | - | ------- | -
|                                                     |  | 2006                                            |    |  | 2005                     |        
|Futures and Forward Contracts                        |  | Net UnrealizedGain (Loss)as a % ofTrust Capital |    |  | NetUnrealizedGain (Loss) |         |   | NetUnrealizedGain (Loss)as a % ofTrust Capital |       |    | NetUnrealizedGain (Loss) |  
|Futures contracts purchased:                         |  |                                                 |    |  |                          |         |   |                                                |       |    |                          |   |         |  
|Commodities                                          |  | 0.02                                            | %  |  | $                        | 3,863   |   |                                                | 0.06  | %  |                          | $ | 18,796  |  
|Interest rates                                       |  | (0.26                                           | )% |  |                          | (61,875 | ) |                                                | 0.15  | %  |                          |   | 46,140  |  
|Stock indices                                        |  | 0.81                                            | %  |  |                          | 192,945 |   |                                                | 0.39  | %  |                          |   | 116,243 |  
|                                                     |  |                                                 |    |  |                          |         |   |                                                |       |    |                          |   |         |  
|Net unrealized gain on futures contracts purchased   |  | 0.57                                            | %  |  |                          | 134,933 |   |                                                | 0.60  | %  |                          |   | 181,179 |  
|                                                     |  |                                                 |    |  |                          |         |   |                                                |       |    |                          |   |         |  
|Futures contracts sold:                              |  |                                                 |    |  |                          |         |   |                                                |       |    |                          |   |         |  
|Commodities                                          |  | 0.34                                            | %  |  |                          | 79,926  |   |                                                | (0.12 | )% |                          |   | (35,090 | )
|Interest rates                                       |  | 1.36                                            | %  |  |                          | 323,712 |   |                                                | (0.08 | )% |                          |   | (24,502 | )
|Stock indices                                        |  | (0.17                                           | )% |  |                          | (39,410 | ) |                                                | 0.01  | %  |                          |   | 3,750   |  
|                                                     |  |                                                 |    |  |                          |         |   |                                                |       |    |                          |   |         |  
|Net unrealized gain (loss) on futures contracts sold |  | 1.53                                            | %  |  |                          | 364,228 |   |                                                | (0.19 | )% |                          |   | (55,842 | )
|                                                     |  |                                                 |    |  |                          |         |   |                                                |       |    |                          |   |         |  
|Net unrealized gain on futures contracts             |  | 2.10                                            | %  |  | $                        | 499,161 |   |                                                | 0.41  | %  |                          | $ | 125,337 |  
|                                                     |  |                                                 |    |  |                          |         |   |                                                |       |    |                          |   |         |  
|Forward currency contracts purchased:                |  |                                                 |    |  |                          |         |   |                                                |       |    |                          |   |         |  
|Net unrealized gain on forward contracts purchased   |  | 1.28                                            | %  |  | $                        | 304,870 |   |                                                | 2.15  | %  |                          | $ | 647,296 |  
|                                                     |  |                                                 |    |  |                          |         |   |                                                |       |    |                          |   |         |  
|Forward currency contracts sold:                     |  |                                                 |    |  |                          |         |   |                                                |       |    |                          |   |         |  
|Net unrealized loss on forward contracts sold        |  | (0.05                                           | )% |  |                          | (11,042 | ) |                                                | (0.16 | )% |                          |   | (47,423 | )
|                                                     |  |                                                 |    |  |                          |         |   |                                                |       |    |                          |   |         |  
|Net unrealized gain on forward contracts             |  | 1.23                                            | %  |  | $                        | 293,828 |   |                                                | 1.99  | %  |                          | $ | 599,873 |  
|                                                     |  |                                                 |    |  |                          |         |   |                                                |       |    |                          |   |         |  

See accompanying notes.



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WORLD MONITOR TRUST II  SERIES E

STATEMENTS OF OPERATIONS

For the Years Ended December 31, 2006, 2005 and
2004



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|                                                                            |  |      |           |      |   |            |      |  |   |            |  
|--------------------------------------------------------------------------- |  | ---- | --------- | ---- | - | ---------- | ---- |  | - | ---------- | -
|                                                                            |  | 2006 |           | 2005 |   |            | 2004 | 
|REVENUES                                                                    |  |      |           |      |   |            |      |  |   |            |  
|Realized                                                                    |  | $    | 1,954,646 |      | $ | (3,776,377 | )    |  | $ | 8,439,997  |  
|Change in unrealized                                                        |  |      | 67,779    |      |   | (20,563    | )    |  |   | (2,252,362 | )
|Interest income                                                             |  |      | 1,335,649 |      |   | 1,045,577  |      |  |   | 553,074    |  
|                                                                            |  |      |           |      |   |            |      |  |   |            |  
|Total revenues (loss)                                                       |  |      | 3,358,074 |      |   | (2,751,363 | )    |  |   | 6,740,709  |  
|                                                                            |  |      |           |      |   |            |      |  |   |            |  
|EXPENSES                                                                    |  |      |           |      |   |            |      |  |   |            |  
|Brokerage commissions and othertransaction fees                             |  |      | 1,917,566 |      |   | 2,260,312  |      |  |   | 2,734,304  |  
|Management fees                                                             |  |      | 542,975   |      |   | 676,143    |      |  |   | 860,862    |  
|Incentive fees                                                              |  |      | 0         |      |   | 0          |      |  |   | 1,209,951  |  
|General and administrative                                                  |  |      | 100,463   |      |   | 113,066    |      |  |   | 278,229    |  
|                                                                            |  |      |           |      |   |            |      |  |   |            |  
|Total expenses                                                              |  |      | 2,561,004 |      |   | 3,049,521  |      |  |   | 5,083,346  |  
|                                                                            |  |      |           |      |   |            |      |  |   |            |  
|NET INCOME (LOSS)                                                           |  | $    | 797,070   |      | $ | (5,800,884 | )    |  | $ | 1,657,363  |  
|                                                                            |  |      |           |      |   |            |      |  |   |            |  
|NET INCOME (LOSS) PER WEIGHTED                                              |  |      |           |      |   |            |      |  |   |            |  
|AVERAGE LIMITED AND MANAGING OWNER INTEREST                                 |  |      |           |      |   |            |      |  |   |            |  
|Net income (loss) per weighted average Limited and Managing Owner interest  |  | $    | 4.85      |      | $ | (27.37     | )    |  | $ | 6.64       |  
|                                                                            |  |      |           |      |   |            |      |  |   |            |  
|Weighted average number of Limited and Managing Owner interests outstanding |  |      | 164,499   |      |   | 211,921    |      |  |   | 249,680    |  
|                                                                            |  |      |           |      |   |            |      |  |   |            |  

See accompanying notes.



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WORLD MONITOR TRUST II  SERIES E

STATEMENTS OF CHANGES IN TRUST CAPITAL

For the Years Ended December 31,
2006, 2005 and 2004



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|                                                |  |             |   |  |                   |            |   |                          |   |         |       |  |   |            |  
|----------------------------------------------- |  | ----------- | - |  | ----------------- | ---------- | - | ------------------------ | - | ------- | ----- |  | - | ---------- | -
|                                                |  | Interests   |   |  | Limited Interests |            |   | Managing Owner Interests |   |         | Total | 
|Trust capital at December 31, 2003              |  | 273,142.850 |   |  | $                 | 47,714,287 |   |                          | $ | 482,055 |       |  | $ | 48,196,342 |  
|Redemptions                                     |  | (44,362.495 | ) |  |                   | (7,482,887 | ) |                          |   | (60,968 | )     |  |   | (7,543,855 | )
|Net income for the year ended December 31, 2004 |  |             |   |  |                   | 1,639,965  |   |                          |   | 17,398  |       |  |   | 1,657,363  |  
|                                                |  |             |   |  |                   |            |   |                          |   |         |       |  |   |            |  
|Trust capital at December 31, 2004              |  | 228,780.355 |   |  |                   | 41,871,365 |   |                          |   | 438,485 |       |  |   | 42,309,850 |  
|Redemptions                                     |  | (40,103.386 | ) |  |                   | (6,343,040 | ) |                          |   | (66,792 | )     |  |   | (6,409,832 | )
|Net (loss) for the year ended December 31, 2005 |  |             |   |  |                   | (5,741,067 | ) |                          |   | (59,817 | )     |  |   | (5,800,884 | )
|                                                |  |             |   |  |                   |            |   |                          |   |         |       |  |   |            |  
|Trust capital at December 31, 2005              |  | 188,676.969 |   |  |                   | 29,787,258 |   |                          |   | 311,876 |       |  |   | 30,099,134 |  
|Redemptions                                     |  | (43,467.707 | ) |  |                   | (7,037,382 | ) |                          |   | (85,357 | )     |  |   | (7,122,739 | )
|Net income for the year ended December 31, 2006 |  |             |   |  |                   | 788,325    |   |                          |   | 8,745   |       |  |   | 797,070    |  
|                                                |  |             |   |  |                   |            |   |                          |   |         |       |  |   |            |  
|Trust capital at December 31, 2006              |  | 145,209.262 |   |  | $                 | 23,538,201 |   |                          | $ | 235,264 |       |  | $ | 23,773,465 |  
|                                                |  |             |   |  |                   |            |   |                          |   |         |       |  |   |            |  

See accompanying notes.



-6-



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WORLD MONITOR TRUST II  SERIES E

NOTES TO FINANCIAL STATEMENTS



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Note 1. ORGANIZATION



| | A. | General Description of the Trust
| | -- | --------------------------------

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 Third 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 term (Managing Owner), as used herein, refers to Prudential Securities Futures Management Inc. (PSFM) up to September 30, 2004. As of October 1, 2004, Preferred Investment
Solutions Corp. (Preferred) acquired from Prudential Securities Group Inc. (PSG) all of the outstanding stock of PSFM. Immediately after such acquisition, PSFM was merged with and into Preferred. Accordingly, as of
October 1, 2004 all of the board of directors and officers of PSFM resigned. Following Preferreds acquisition of PSFM and its merger with and into Preferred, Preferred became the successor Managing Owner of Series E.



| | B. | Regulation
| | -- | ----------

As a registrant with the Securities and
Exchange Commission, the Trust is subject to the regulatory requirements under the Securities Act of 1933 and the Securities Exchange Act of 1934. As a commodity pool, the Trust is subject to the regulations of the Commodity Futures Trading
Commission, an agency of the United States (U.S.) government which regulates most aspects of the commodity futures industry; rules of the National Futures Association, an industry self-regulatory organization; and the requirements of the various
commodity exchanges where the Trust executes transactions. Additionally, the Trust is subject to the requirements of the futures commission merchants (brokers) and interbank market makers through which the Trust trades.



| | C. | The Offering
| | -- | ------------

Up to $50,000,000 of limited interests in
each Series (Limited Interests) were being offered (totaling $150,000,000) (Subscription Maximum) until each Series Subscription Maximum was met either through sale or exchange or until the Managing Owner suspended the
offering of Limited Interests as discussed below. Interests were offered to investors who met 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 was $1,000. General Interests were also 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. Series E and F interests were offered until they substantially achieved their subscription maximum of $50,000,000 on the sale of Limited
Interests during June 2003 and July 2003, respectively. In addition, since July 2003, the weekly offering of interests in Series D and Series F has been suspended. Accordingly, at this time, interests in Series E may not be offered or exchanged.



-7-



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WORLD MONITOR TRUST II  SERIES E

NOTES TO FINANCIAL STATEMENTS (CONTINUED)



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Note 1. ORGANIZATION (CONTINUED)



| | C. | The Offering (Continued)
| | -- | ------------------------

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 acting as the Managing Owner.



| | D. | 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 assets of Series E to the Trading Advisor.



| | E. | Exchanges, Redemptions and Termination
| | -- | --------------------------------------

Interests owned in
one series of the Trust (Series D, E or F) were exchangeable, without any charge, for Interests of one or more other Series on a weekly basis for as long as Limited Interests in those Series were being offered to the public. Exchanges were 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 was effected. The exchange of Interests was treated as a redemption of
Interests in one Series (with the related tax consequences) and the simultaneous purchase of Interests in the other Series. Series E and Series F are no longer offered to the public as those series substantially achieved their subscription maximums
during June 2003 and July 2003, respectively. In addition, since July 2003, the offering of interests in Series D has been temporarily suspended. Accordingly, at this time, Interests may not be exchanged. Future redemptions and exchanges will impact
the amount of funds available for investment in commodity contracts in subsequent periods.

Redemptions are permitted on a weekly basis.

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
and redemptions, declines by 50% or more since the commencement of trading activities or the first day of a fiscal year, the Series will automatically terminate.

Note 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES



| | A. | 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 assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.



-8-



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WORLD MONITOR TRUST II  SERIES E

NOTES TO FINANCIAL STATEMENTS (CONTINUED)



---

Note 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)



| | A. | Basis of Accounting (Continued)
| | -- | -------------------------------

Commodity futures and
forward transactions are reflected in the accompanying statements of financial condition on trade date. Net unrealized gain or loss on open contracts (the difference between contract trade price and market price) is reflected in the statement of
financial condition in accordance with Financial Accounting Standards Board Interpretation No. 39  Offsetting of Amounts Related to Certain Contracts. The market value of futures (exchange-traded) contracts is based upon the
closing quotation on the various futures exchanges on which the contract is traded. The fair value of swap and forward (non-exchange traded) contracts is extrapolated on a forward basis from the spot prices. Any change in net unrealized gain or loss
during the current period is reported in the statement of operations. Realized gains and losses on commodity transactions are recognized in the period in which the contracts are closed.

The weighted average number of Limited and General Interests outstanding was computed for purposes of disclosing net income / (loss) per weighted average
Limited and General Interest. The weighted average Limited Interests and General Interests are equal to the number of Interests outstanding at period end, adjusted proportionately for Interests 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 Account Standards
No. 102, Statement of Cash Flows  Exemption of Certain Enterprises and Classification of Cash Flows from Certain Securities Acquired for Resale.

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.

The SEC Staff Accounting Bulletin 108 (SAB 108) Considering the
Effects of Prior Year Misstatements When Quantifying Misstatements in Current Year Financial Statements, which provides guidance on quantifying and evaluating the materiality of unrecorded misstatements. It is effective for the first annual
period ending after November 15, 2006. Preferred as Managing Owner of Series E has evaluated the impact, if any, the implementation of SAB 108 may have on its financial statements. In Preferreds opinion, no material unrecorded
misstatements are in existence as of December 31, 2006 that would require a cumulative effect adjustment to the financial statements.



-9-



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WORLD MONITOR TRUST II  SERIES E

NOTES TO FINANCIAL STATEMENTS (CONTINUED)



---

Note 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)



| | A. | Basis of Accounting (Continued)
| | -- | -------------------------------

In July 2006, the
Financial Accounting Standards Board (FASB) issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxesan interpretation of FASB Statement No. 109 (FIN 48), which clarifies the
accounting for uncertainty in tax positions. FIN 48 requires that Series E recognize in its financial statements, the impact of a tax position if that position is more likely than not of being sustained on audit, based on the technical merits of the
position. The provisions of FIN 48 are effective for fiscal years beginning after December 15, 2006, with the cumulative effect of the change in accounting principle recorded as an adjustment to opening retained earnings. Preferred as Managing
Owner of Series E has evaluated the impact of adopting FIN 48 on Series Es financial statements. In Preferreds opinion as of December 31, 2006 FIN 48 has no material impact on Series E, as Series Es tax position is based on
established tax precedence for the tax treatment of investment partnerships as flow through tax entities.

In September 2006, the FASB
issued SFAS No. 157, Fair Value Measurements, which defines fair value, establishes a framework for measuring fair value, and expands disclosures about fair value measurements. The provisions of SFAS No. 157 are effective for
fiscal years beginning after November 15, 2007. Series E is currently evaluating the impact of adopting SFAS No. 157 on its financial statements. At this time, the impact to Series Es financial statements has not been determined.

Cash represents amounts deposited with clearing brokers, a portion of which is restricted for purposes of meeting margin requirements,
which typically range from 0% to 35% of the notional amounts of the derivatives traded. Series E receives interest on all cash balances held by the clearing brokers at prevailing rates.



| | B. | 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.



| | C. | 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. The Managing Owner has not and does not presently intend to make any distributions.



| | D. | Foreign Currency Transaction
| | -- | ----------------------------

Series Es functional
currency is the U.S. dollar; however, it transacts business in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other then the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of
the statement of financial condition. Income and expense items denominated in currencies other than U.S. dollars are translated into U.S. dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S.
dollars are reported in operations currently.



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WORLD MONITOR TRUST II  SERIES E

NOTES TO FINANCIAL STATEMENTS (CONTINUED)



---

Note 3. FEES



| | A. | Organizational and General and Administrative Costs
| | -- | ---------------------------------------------------

Prudential Equity Group Inc. (PEG) or its affiliates paid the costs of organizing Series E and all costs of offering its Limited Interests and continued to pay the administrative costs incurred by the Managing Owner or its
affiliates for services they performed for Series E through September 30, 2004. Preferred may engage third parties to perform such services for Series E. These services will be paid by Preferred to the extent they are not reimbursable by Series
E. Administrative costs include, but are not limited to, those costs discussed in Note 4 below.

Routine legal, audit, postage, and other
routine third party administrative costs are paid by Series E. 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.



| | B. | Management and Incentive Fees
| | -- | -----------------------------

Series E pays its Trading
Advisor a management fee at an annual rate of 2% of Series Es 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.



| | C. | Commissions
| | -- | -----------

Prior to January 1, 2004, PSFM as
Managing Owner, and the Trust entered into a brokerage agreement with PEG 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.

On January 1, 2004, PEG, a wholly owned subsidiary of PSG, transferred its Global Derivatives Division to
Prudential Financial Derivatives LLC (PFD) and Pru Global Securities, LLC, two other indirect wholly-owned subsidiaries of PSG. In connection with this transfer, PEG assigned its brokerage agreement with Series E to PFD, a properly
qualified futures commission merchant.

On October 1, 2004, an agreement was executed between Preferred and PFD, which amended and
restated the brokerage commissions which were previously paid to PFD (at an annual rate of 6% of Series Es net asset value) excluding transaction fees which will be paid to PFD. The agreement incorporates the previous PFD brokerage
agreements terms, including the total fees paid by Series E.



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WORLD MONITOR TRUST II  SERIES E

NOTES TO FINANCIAL STATEMENTS (CONTINUED)



---

Note 4. RELATED PARTIES

Series E reimburses the
Managing Owner or its affiliates for services they performed for Series E, which included, 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 exceeded 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. Additionally, PEG or its affiliates paid the costs of organizing Series E and all costs of organizing and offering Series E Interests.

The expenses incurred by Series E for services performed by the Managing Owner and its affiliates for Series E were:



|                           |  |      |           |      |   |           |  |   |           
|-------------------------- |  | ---- | --------- | ---- | - | --------- |  | - | ----------
|                           |  | 2006 |           | 2005 |   | 2004     
|Commissions                |  | $    | 1,630,907 |      | $ | 2,030,892 |  | $ | 2,570,762 
|General and administrative |  |      | 25,180    |      |   | 14,797    |  |   | 91,866    
|                           |  |      |           |      |   |           |  |   |           
|                           |  | $    | 1,656,087 |      | $ | 2,045,689 |  |   | $2,662,628
|                           |  |      |           |      |   |           |  |   |           

Expenses payable to the Managing Owner and its affiliates as of December 31, 2006 and 2005
were $150,251 and $4,683, respectively.

Series E, acting through its Trading Advisor may execute over-the-counter, spot, forward and/or
option foreign exchange transactions with its broker. The broker then engages in back-to-back trading with 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 Series E and its broker pursuant to a line of credit. The broker may require that collateral be posted against the
marked-to-market positions of Series E.

Note 5. INCOME TAX REPORTING

There have been no differences between the tax basis and book basis of Interest holders capital since inception of the Trust.



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WORLD MONITOR TRUST II  SERIES E

NOTES TO FINANCIAL STATEMENTS (CONTINUED)



---

Note 6. 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 or
settle in cash. 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,
clearinghouses are backed by their corporate members who are required to share any financial burden resulting from the non-performance by one of their members and, as such, should significantly reduce this credit risk. In cases where the
clearinghouse is not backed by the clearing members (i.e. some foreign exchanges), it is normally backed by a consortium of banks or other financial institutions. On the other hand, there is concentration risk on forward transactions entered into by
Series E as Series Es commodity broker (as defined in Note 4), is the sole counterparty. Series E has entered into a master netting agreement with its broker 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 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.



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WORLD MONITOR TRUST II  SERIES E

NOTES TO FINANCIAL STATEMENTS (CONTINUED)



---

Note 6. DERIVATIVE INSTRUMENTS AND ASSOCIATED RISKS (CONTINUED)

Credit Risk (Continued)

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 Third Amended and Restated Declaration of Trust and Trust Agreement 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, 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.

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 allowed to
commingle such assets with its other assets. At December 31, 2006 and 2005, such segregated assets totaled $6,173,755 and $5,015,706, respectively. Part 30.7 of the CFTC regulations also requires Series Es futures commission merchant to
secure assets of Series E related to foreign futures trading which totaled $(1,242,325) and $25,772,044 at December 31, 2006 and 2005, respectively. There are no segregation requirements for assets related to forward trading.

At December 31, 2006, Series Es open futures and forward contracts generally mature within six months.



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WORLD MONITOR TRUST II  SERIES E

NOTES TO FINANCIAL STATEMENTS (CONTINUED)



---

Note 7. FINANCIAL HIGHLIGHTS

The following
information presents performance per interest data and other supplemental financial data for the years ended December 31, 2006, 2005 and 2004. This information has been derived from information presented in the financial statements.

Per Interest Performance

|                                                                                             |  |      |        |    |      |   |        |      |  |   |        |   
|-------------------------------------------------------------------------------------------- |  | ---- | ------ | -- | ---- | - | ------ | ---- |  | - | ------ | --
|(for an interest outstanding throughout the entire year)                                     |  | 2006 |        |    | 2005 |   |        | 2004 | 
|Net asset value per interest at beginning of year                                            |  | $    | 159.53 |    |      | $ | 184.94 |      |  | $ | 176.45 |   
|                                                                                             |  |      |        |    |      |   |        |      |  |   |        |   
|Net realized gain (loss) and change in net realized gain (loss) on commodity transactions(1) |  |      | 11.64  |    |      |   | (15.95 | )    |  |   | 26.63  |   
|Interest income(1)                                                                           |  |      | 8.12   |    |      |   | 4.93   |      |  |   | 2.22   |   
|Expenses(1)                                                                                  |  |      | (15.57 | )  |      |   | (14.39 | )    |  |   | (20.36 | ) 
|                                                                                             |  |      |        |    |      |   |        |      |  |   |        |   
|Net increase (decrease) for the year                                                         |  |      | 4.19   |    |      |   | (25.41 | )    |  |   | 8.49   |   
|                                                                                             |  |      |        |    |      |   |        |      |  |   |        |   
|Net asset value per interest at end of year                                                  |  | $    | 163.72 |    |      | $ | 159.53 |      |  | $ | 184.94 |   
|                                                                                             |  |      |        |    |      |   |        |      |  |   |        |   
|Total Return                                                                                 |  |      |        |    |      |   |        |      |  |   |        |   
|Total return before incentive fees                                                           |  |      | 2.62   | %  |      |   | (13.74 | )%   |  |   | 7.65   | % 
|Incentive fees                                                                               |  |      | 0.00   | %  |      |   | 0.00   | %    |  |   | (2.84  | )%
|                                                                                             |  |      |        |    |      |   |        |      |  |   |        |   
|Total return after incentive fees                                                            |  |      | 2.62   | %  |      |   | (13.74 | )%   |  |   | 4.81   | % 
|                                                                                             |  |      |        |    |      |   |        |      |  |   |        |   
|Supplemental Data                                                                            |  |      |        |    |      |   |        |      |  |   |        |   
|                                                                                             |  |      |       
|Ratios to average net asset value:                                                           |  |      |        |    |      |   |        |      |  |   |        |   
|Net investment (loss) before incentive fees(2)                                               |  |      | (4.53  | )% |      |   | (5.95  | )%   |  |   | (7.80  | )%
|Incentive fees                                                                               |  |      | 0.00   | %  |      |   | 0.00   | %    |  |   | (2.84  | )%
|                                                                                             |  |      |        |    |      |   |        |      |  |   |        |   
|Net investment (loss) after incentive fees                                                   |  |      | (4.53  | )% |      |   | (5.95  | )%   |  |   | (10.64 | )%
|                                                                                             |  |      |        |    |      |   |        |      |  |   |        |   
|Interest income                                                                              |  |      | 4.94   | %  |      |   | 3.10   | %    |  |   | 1.30   | % 
|                                                                                             |  |      |        |    |      |   |        |      |  |   |        |   
|Incentive fees                                                                               |  |      | 0.00   | %  |      |   | 0.00   | %    |  |   | 2.84   | % 
|Other expenses                                                                               |  |      | 9.47   | %  |      |   | 9.05   | %    |  |   | 9.10   | % 
|                                                                                             |  |      |        |    |      |   |        |      |  |   |        |   
|Total expenses                                                                               |  |      | 9.47   | %  |      |   | 9.05   | %    |  |   | 11.94  | % 
|                                                                                             |  |      |        |    |      |   |        |      |  |   |        |   

Total returns are calculated based on the change in value of an interest during the year. An
individual interestholders total returns and ratios may vary from the above total returns and ratios based on the timing of additions and redemptions.

---

|(1) | Interest income per interest and expenses per interest are calculated by dividing interest income and
expenses by the weighted average number of interests outstanding during the year. Net realized gain (loss) and change in net unrealized gain (loss) on commodity transactions is a balancing amount necessary to reconcile the change in net asset value
per interest with the other per interest information.
|--- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(2) | Represents interest income less total expenses (exclusive of incentive fees).
|--- | -----------------------------------------------------------------------------



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