<Page>
                                                         2001
--------------------------------------------------------------------------------
World Monitor Trust II--Series E                         Annual
                                                         Report

<PAGE>
<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 schedule 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, 2001 and
2000, and the results of its operations and changes in trust capital for the
year ended December 31, 2001 and for the period from April 6, 2000 (commencement
of operations) to December 31, 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
January 25, 2002

                                       2

<Page>

                        WORLD MONITOR TRUST II--SERIES E
                          (a Delaware Business Trust)
                       STATEMENTS OF FINANCIAL CONDITION

<Table>
<Caption>
                                                                                December 31,
                                                                         ---------------------------
                                                                             2001           2000
----------------------------------------------------------------------------------------------------
<S>                                                                      <C>             <C>
ASSETS
Cash                                                                      $ 8,838,511    $ 5,485,764
Net unrealized gain on open futures contracts                                 255,757        958,857
Subscriptions receivable                                                        5,000             --
                                                                         ------------    -----------
Total assets                                                              $ 9,099,268    $ 6,444,621
                                                                         ------------    -----------
                                                                         ------------    -----------
LIABILITIES AND TRUST CAPITAL
Liabilities
Accrued expenses payable                                                  $    61,754    $    47,623
Redemptions payable                                                            60,681             --
Commissions and other transaction fees payable                                 45,475         36,522
Management fees payable                                                        14,408         11,953
Incentive fees payable                                                         13,466        238,625
Net unrealized loss on open forward contracts                                   9,674          3,584
                                                                         ------------    -----------
Total liabilities                                                             205,458        338,307
                                                                         ------------    -----------
Commitments
Trust capital
Limited interests (67,965.112 and 49,983.432 interests outstanding)         8,787,237      6,016,047
General interests (824.300 and 750.000 interests outstanding)                 106,573         90,267
                                                                         ------------    -----------
Total trust capital                                                         8,893,810      6,106,314
                                                                         ------------    -----------
Total liabilities and trust capital                                       $ 9,099,268    $ 6,444,621
                                                                         ------------    -----------
                                                                         ------------    -----------
Net asset value per limited and general interest ('Interests')            $    129.29    $    120.36
                                                                         ------------    -----------
                                                                         ------------    -----------
</Table>

--------------------------------------------------------------------------------

        The accompanying notes are an integral part of these statements.

                                       3

<Page>

                        WORLD MONITOR TRUST II--SERIES E
                          (a Delaware Business Trust)
                       Condensed Schedule of Investments
                              At December 31, 2001
<Table>
<Caption>
                                                                      Net Unrealized
                                                                       Gain (Loss)
                                                                        as a % of       Net Unrealized
Futures and Forward Contracts                                         Trust Capital      Gain (Loss)
------------------------------------------------------------------------------------------------------
<S>                                                                   <C>               <C>
Futures contracts purchased:
  Interest rates                                                                          $    4,010
  Currencies                                                                                 250,488
  Commodities                                                                                 51,792
                                                                                        --------------
     Net unrealized gain on futures contracts purchased                     3.44%            306,290
                                                                          ------        --------------
Futures contracts sold:
  Interest rates                                                                               9,798
  Stock indices                                                                              (12,058)
  Currencies                                                                                 165,385
  Commodities                                                                               (213,658)
                                                                                        --------------
     Net unrealized loss on futures contracts sold                         (0.56)            (50,533)
                                                                          ------        --------------
     Net unrealized gain on futures contracts                               2.88%         $  255,757
                                                                          ------        --------------
                                                                          ------        --------------

Forward contracts purchased:
     Unrealized loss on forward contracts                                  (0.11)%        $   (9,674)
                                                                          ------        --------------
                                                                          ------        --------------

Settlement Currency--Futures Contracts
  British pound                                                             0.41%         $   36,181
  Japanese yen                                                              2.30             205,027
  Swedish krona                                                            (0.01)             (1,090)
  U.S. dollar                                                               0.18              15,639
                                                                          ------        --------------
     Total                                                                  2.88%         $  255,757
                                                                          ------        --------------
                                                                          ------        --------------

Settlement Currency--Forward Contracts
  U.S. dollar                                                              (0.11)%        $   (9,674)
                                                                          ------        --------------
                                                                          ------        --------------
</Table>
--------------------------------------------------------------------------------
           The accompanying notes are an integral part of this schedule.

                                       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        operations) to
                                                                December 31,        December 31,
                                                                    2001                2000
--------------------------------------------------------------------------------------------------
<S>                                                           <C>                 <C>
REVENUES
Net realized gain on commodity transactions                      $2,004,232          $  474,366
Change in net unrealized gain/loss on open commodity
  positions                                                        (709,190)            955,273
Interest income                                                     240,960             230,425
                                                              ----------------    ----------------
                                                                  1,536,002           1,660,064
                                                              ----------------    ----------------
EXPENSES
Commissions and other transaction fees                              469,966             250,449
Management fees                                                     144,767              76,878
Incentive fees                                                      303,423             238,625
General and administrative                                          110,663             123,130
                                                              ----------------    ----------------
                                                                  1,028,819             689,082
General and administrative expenses borne by the Managing
  Owner and its affiliates                                          (33,371)            (64,786)
                                                              ----------------    ----------------
Net expenses                                                        995,448             624,296
                                                              ----------------    ----------------
Net income                                                       $  540,554          $1,035,768
                                                              ----------------    ----------------
                                                              ----------------    ----------------
ALLOCATION OF NET INCOME
Limited interests                                                $  531,488          $1,020,501
                                                              ----------------    ----------------
                                                              ----------------    ----------------
General interests                                                $    9,066          $   15,267
                                                              ----------------    ----------------
                                                              ----------------    ----------------
NET INCOME PER WEIGHTED AVERAGE LIMITED AND GENERAL
INTEREST
Net income per weighted average limited and general
  interest                                                       $     9.39          $    19.41
                                                              ----------------    ----------------
                                                              ----------------    ----------------
Weighted average number of limited and general interests
  outstanding                                                        57,547              53,350
                                                              ----------------    ----------------
                                                              ----------------    ----------------

--------------------------------------------------------------------------------------------------
</Table>

                     STATEMENTS OF CHANGES IN TRUST CAPITAL
<Table>
<Caption>
                                                                LIMITED        GENERAL
                                               INTERESTS       INTERESTS      INTERESTS       TOTAL
------------------------------------------------------------------------------------------------------
<S>                                           <C>             <C>             <C>           <C>
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
                                              -----------     -----------     ---------     ----------
                                              -----------     -----------     ---------     ----------

------------------------------------------------------------------------------------------------------
</Table>
         The accompanying notes are an integral part of these statements.

                                       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 First 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. PSI is the
selling agent for the Trust as well as its commodity broker ('Commodity
Broker').

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.

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.

                                       6

<Page>

   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.

   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.

Financial Reporting by Commodity Pools

   During March 2001, the Accounting Standards Executive Committee ('AcSEC')
issued Statement of Position ('SOP') 01-1, Amendment to Scope of Statement of
Position 95-2, Financial Reporting by Nonpublic Investment Partnerships, to
Include Commodity Pools, which is effective for financial statements issued for
periods ending after December 15, 2001. This SOP amends SOP 95-2, Financial
Reporting by Nonpublic Investment Partnerships, to include within its scope
commodity pools such as Series E. Under the new requirements, Series E is
required to present a condensed schedule of investments and certain other
information in accordance with the American Institute of Certified Public
Accountants' Audit and Accounting Guide 'Audits of Investment Companies.' The
adoption of the requirements of SOP 01-1 has not had a material effect on Series
E's financial position or results of operations.

                                       7

<Page>

C. Fees

Organizational and offering costs

   PSI or its affiliates paid the costs of organizing Series E and continue to
pay the 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, all or a portion of the expenses related to services
the Managing Owner performed for Series E, other than brokerage services, during
the year ended December 31, 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 continue to pay the 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:

<Table>
<Caption>
                                                                                   For the period from
                                                                                      April 6, 2000
                                                                                    (commencement of
                                                                    Year ended       operations) to
                                                                   December 31,       December 31,
                                                                       2001               2000
                                                                   ------------    -------------------
<S>                                                                <C>             <C>
Commissions                                                          $432,867           $ 229,887
General and administrative                                             56,254              76,601
                                                                   ------------    -------------------
                                                                      489,121             306,488
General and administrative expenses borne by the Managing
  Owner and its affiliates                                            (33,371)            (64,786)
                                                                   ------------    -------------------
                                                                     $455,750           $ 241,702
                                                                   ------------    -------------------
                                                                   ------------    -------------------
</Table>

                                       8

<Page>

   Expenses payable to the Managing Owner and its affiliates as of December 31,
2001 and December 31, 2000 were $9,058 and $4,029, 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 or, for margin purposes, with the various exchanges on
which Series E is permitted to trade. Series E receives interest income on 100%
of its average daily equity maintained in cash in its accounts with PSI during
each month at the 13-week Treasury bill discount rate. This rate is determined
weekly by PSI, and represents the rate awarded to all bidders during each week's
auction of 13-week Treasury bills.

   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.

   As of December 31, 2001, a non-U.S. affiliate of the Managing Owner owned
54.284 Limited Interests 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 such exchanges. In
general, clearinghouses are backed by their corporate members who are required
to share any financial burden resulting from the nonperformance by one of their
members and, as such, should significantly reduce this credit risk. In cases
where the clearinghouse is not backed by the clearing members (i.e., some
foreign exchanges), it is normally backed by a consortium of banks or other
financial institutions. On the other hand, the sole counterparty to Series E's
forward transactions is PSI, Series E's commodity broker. Series E has entered

                                       9

<Page>

into a master netting agreement with PSI and, as a result, 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 of all of Series E's contracts is the net unrealized gain
included in the statements of financial condition. 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 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 interests
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 (subject to the opt out provisions discussed below) and
is not allowed to commingle such assets with other assets of PSI. At December
31, 2001, such segregated assets totalled $2,555,787. Part 30.7 of the CFTC
regulations also requires PSI to secure assets of Series E related to foreign
futures trading which totalled $6,538,481 at December 31, 2001. There are no
segregation requirements for assets related to forward trading.

   The CFTC promulgated rules that allow futures commission merchants to permit
certain customers, including Series E, to opt out of segregation with regard to
trading on certain exchanges, but PSI has not done so to date. If Series E were
to opt out, its funds could be held in a broader and potentially riskier range
of investments than are allowed for segregated funds.

   As of December 31, 2001, Series E's open futures and forward contracts mature
within one year.

   The following table presents the fair value of futures and forward contracts
at December 31, 2000:

<Table>
<Caption>
                                                                     2000
                                                          --------------------------
                                                            Assets       Liabilities
                                                          ----------     -----------
<S>                                                       <C>            <C>
Futures Contracts:
  Domestic exchanges
     Interest rates                                       $  275,953      $       --
     Currencies                                              260,258          28,675
     Commodities                                             132,815          37,116
  Foreign exchanges
     Interest rates                                          309,325              --
     Stock indices                                            68,667           5,300
     Commodities                                              20,396          37,466
Forward Contracts:
     Currencies                                               33,172          36,756
                                                          ----------     -----------
                                                          $1,100,586      $  145,313
                                                          ----------     -----------
                                                          ----------     -----------
</Table>

                                       10

<Page>

G. Financial Highlights

<Table>
<Caption>
                                                                               Year ended
                                                                            December 31, 2001
                                                                            -----------------
     <S>                                                                    <C>
     Performance per Interest
       Net asset value, beginning of period                                      $120.36
       Net realized gain and change in net unrealized gain/loss on
          commodity transactions                                                   22.04
       Interest income                                                              4.30
       Net expenses                                                               (17.41)
                                                                            -----------------
       Net increase for the period                                                  8.93
                                                                            -----------------
       Net asset value, end of period                                            $129.29
                                                                            -----------------
                                                                            -----------------
     Total return                                                                  7.42%
     Ratio to average net assets
       Interest income                                                             3.37%
       Net expenses, including incentive fees of 4.25%                            13.94%
</Table>

   These financial highlights represent the overall results of Series E during
2001. An individual limited owner's actual results may differ depending on the
timing of contributions and redemptions.

                                       11

<Page>

--------------------------------------------------------------------------------

   I hereby affirm that, to the best of my knowledge and belief, the information
contained herein relating to World Monitor Trust II--Series E is accurate and
complete.

     PRUDENTIAL SECURITIES
     FUTURES MANAGEMENT INC.
     (Managing Owner)

     By: Barbara J. Brooks
     Chief Financial Officer
--------------------------------------------------------------------------------

                                       12

<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 for the year ended December 31, 2001 and for the
period from April 6, 2000 (commencement of operations) to December 31, 2001
resulted in additional gross proceeds to Series E of $4,884,134 and $5,599,632,
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 and general interests for the year
ended December 31, 2001 were $2,617,616 and $19,576, respectively, and for the
period from April 6, 2000 (commencement of operations) to December 31, 2001 were
$3,420,027 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, 2001, 100% of Series E's net assets were allocated to
commodities trading. A significant portion of the net assets was held in cash
which is used as margin for trading in commodities. Inasmuch as the sole
business of Series 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 cash in its accounts with PSI
during each month at the 13-week Treasury bill discount rate. This rate is
determined weekly by PSI and represents the rate awarded to all bidders during
each week's auction of 13-week Treasury bills.

   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.

Results of Operations

   Series E commenced trading operations on April 6, 2000, and as such, a
comparative analysis of the 2001 full year results versus the 2000 partial year
results is not meaningful. However, Series E's asset levels

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have increased since the commencement of operations primarily from additional
contributions and favorable trading performance offset, in part, by redemptions.
The rising asset levels have led to increases in the amount of interest earned
by Series E as well as commissions and other transaction fees and management
fees incurred.

   The net asset value per Interest as of December 31, 2001 was $129.29, an
increase of 7.42% from the December 31, 2000 net asset value per Interest of
$120.36 which was an increase of 20.36% from the April 6, 2000 initial net asset
value per Interest of $100.00. These returns compare favorably to the Zurich
Fund/Pool Qualified Universe Index (formerly the MAR Fund/Pool Index), which
tracked the performance of 272 futures funds at December 31, 2001, and returned
7.52% and 10.44% for the year ended December 31, 2001 and for the April through
December 2000 period, respectively. Past performance is not necessarily
indicative of future results.

   Series E's gross trading gains for the year ended December 31, 2001 and the
period from April 6, 2000 (commencement of operations) to December 31, 2000 were
$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, 2001 is presented below.

   Series E's favorable performance in 2001 was the result of net gains in the
interest rate, index and metals sectors. Losses were experienced in the energy
and currency sectors.

   In light of the rapid weakening in economic expansion and deterioration in
business and consumer confidence, the U.S. Federal Reserve (the 'Fed') followed
a relatively aggressive policy, lowering interest rates three times during the
first quarter of 2001. Other central banks followed the Fed's lead lowering
interest rates as well. Interest rate instruments trended upward throughout most
of the second and third quarters as major central banks cut short-term interest
rates in an attempt to bolster slowing economies. The bond market rally
continued in the wake of the September 11th as the Fed moved to inject liquidity
into the economy, cutting interest rates 50 basis points on September 17th to
3%. This move was soon followed by the Central Bank of Canada, the European
Central Bank and Swiss National Central Bank who also lowered their rates 50
basis points. U.S. and European interest rate instruments began the fourth
quarter up as data indicated persistent weakness in the U.S. economy. In an
effort to stimulate the economy, the Fed lowered interest rates by 50 basis
points in October and again in early November. The European Central Bank and the
Bank of England each cut rates by 50 basis points in November. In mid-November,
some positive economic news, the fall of Kabul, Afghanistan and an announcement
by the U.S. Treasury regarding the cessation of sales of 30-year bonds, resulted
in one of the greatest reversals the U.S. bond market has seen in recent times.
Interest rates climbed sharply in the U.S. and Europe causing bond prices to
fall. In December, the Fed lowered rates by another 25 basis points and bond
prices climbed slightly. Gains in long euro, Australian and Japanese bond
positions during the first and third quarters offset losses incurred during the
second and fourth quarters of the year resulting in net gains for the interest
rate sector.

   Equity markets performed poorly across the board during the first half of the
year as foreign stock markets generally followed the downtrend of the U.S.
markets. Technology stocks led this market downturn and the NASDAQ fell to its
lowest level in nearly two years. Losses in the Dow Jones and NASDAQ brought
these indices under the key 10,000 and 2,000 levels, respectively, with the DAX,
FTSE, CAC-40 and Nikkei experiencing similar losses. Short positions in the Hong
Kong Hang Seng Index, MATIF CAC-40 and TOPIX resulted in gains during the first
quarter. The terrorist attacks of September 11th further weakened the sluggish
U.S. and global economies plunging equity markets downward throughout the world
in the week following the attacks. The Dow Jones industrial average suffered its
worst percentage loss since the Great Depression due to uncertainty about how
the economy would perform as a result of these attacks and other threats of
terrorism. U.S. equity indices recovered somewhat at the end of September as
interest rate cuts by the Fed and fiscal stimuli by Congress combined to
stimulate an economic rebound. Global equity markets followed suit rebounding
from earlier lows as well. U.S. and global equity markets rallied in November
amid positive developments in the war in Afghanistan and sentiment that the U.S.
economy might be emerging from its recession. Equity markets reversed in
December providing a negative return for the second consecutive year. Gains in
short equity index positions during the first and third quarters of the year
offset losses incurred during the second and fourth quarters producing net gains
for the index sector.

   Signs of a global economic slowdown, which could lead to a decline in demand,
pushed gold prices lower resulting in gains for short positions during the first
quarter. Short copper, zinc and aluminum

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positions resulted in gains during the third quarter as fears of a global
economic recession and decreasing industrial production lowered prices of
industrial commodities.

   Energy prices generally remained high throughout most of the first quarter of
2001. Crude oil prices increased in January as OPEC announced a likely 5% cut in
production. During the second quarter, energy prices fell in response to growing
inventory levels of crude oil and related products. Energy prices peaked sharply
immediately after the September 11th attacks amid worries of a potential
interruption in supplies. Prices soon reversed course as concerns of decreased
demand caused by a global economic recession outweighed fears of scarcity. Two
weeks after the attacks, oil prices plunged more than 12% to a 22-month low of
$23 a barrel. OPEC leaders announced that with prices within their $22 to $28 a
barrel target, they saw no need to alter output and assured that there will be
no disruption in supplies. Fear of continued terrorist attacks, sluggish
economies and mild winter weather continued to limit growth in global demand for
oil during the fourth quarter. A coordinated cut in oil output by OPEC and
non-OPEC producers was agreed upon as OPEC tried to regain control of crude oil
prices. Crude oil positions incurred losses during the first and third quarters
of the year resulting in net losses for Series E in this sector.

   In foreign exchange markets, the U.S. dollar rose slightly against many
foreign currencies during the first half of the year, reflecting expectations
that some of those economies might be adversely affected by slower economic
growth in the United States. Additionally, the U.S. dollar strengthened as
investors around the globe felt that it was the safest currency in this time of
economic uncertainty. In the second quarter, the Canadian dollar rose slightly
against the U.S. dollar due to an increase of Canadian exports to the U.S.
resulting in losses for short Canadian dollar positions. Short Australian dollar
positions resulted in losses during April as prices rallied following a 50 basis
point interest rate cut by the Reserve Bank of Australia. The U.S. dollar fell
against most major currencies during the third quarter, particularly the
Japanese yen, the euro and the Swiss franc. The U.S. dollar's downward trend
against many currencies accelerated after September 11th. As a result of the
attacks, many investors switched exposure from the U.S. dollar to other
currencies which rose against the U.S. dollar resulting in losses for short
euro, Canadian dollar and Australian dollar positions. The U.S. dollar
strengthened slightly towards year-end amid hopes of an economic recovery in the
U.S.

   Interest income is earned on the average daily equity maintained in cash 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 for the year ended December 31, 2001 and the period from April
6, 2000 (commencement of operations) to December 31, 2000 was $241,000 and
$230,000, respectively. As discussed above, the increase in interest income
during 2001 versus 2000 was due primarily to the difference in the length of the
2001 and 2000 periods covered as well as higher overall net asset levels.
However, lower overall interest rates in 2001 as compared with interest rates in
2000 offset most of the increase.

   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 for the year ended December 31,
2001 and the period from April 6, 2000 (commencement of operations) to December
31, 2000 were $470,000 and $250,000, respectively.

   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 for the year
ended December 31, 2001 and the period from April 6, 2000 (commencement of
operations) to December 31, 2000 were $145,000 and $77,000, respectively.

   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 generated for the year
ended December 31, 2001 and the period from April 6, 2000 (commencement of
operations) to December 31, 2000 were $303,000 and $239,000, respectively.

   General and administrative expenses for the year ended December 31, 2001 and
the period from April 6, 2000 (commencement of operations) to December 31, 2000
were $111,000 and $123,000, respectively.

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<Page>

These expenses are before reimbursement of costs incurred by the Managing Owner
on behalf of Series E, in addition to accounting, audit, tax and legal fees as
well as printing and postage costs related to reports sent to limited owners. 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 have been borne by the Managing Owner and its affiliates,
resulting in a net cost to Series E of $77,000 and $58,000, respectively.

Financial Reporting by Commodity Pools

   During March 2001, the Accounting Standards Executive Committee ('AcSEC')
issued Statement of Position ('SOP') 01-1, Amendment to Scope of Statement of
Position 95-2, Financial Reporting by Nonpublic Investment Partnerships, to
Include Commodity Pools, which is effective for financial statements issued for
periods ending after December 15, 2001. This SOP amends SOP 95-2, Financial
Reporting by Nonpublic Investment Partnerships, to include within its scope
commodity pools such as Series E. Under the new requirements, Series E is
required to present a condensed schedule of investments and certain other
information in accordance with the American Institute of Certified Public
Accountants' Audit and Accounting Guide 'Audits of Investment Companies.' The
adoption of the requirements of SOP 01-1 has not had a material effect on Series
E's financial position or results of operations.

Inflation

   Inflation has had no material impact on operations or on the financial
condition of Series E from inception through December 31, 2001.

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                               OTHER INFORMATION

   The actual round-turn equivalent of brokerage commissions paid per contract
for the year ended December 31, 2001 was $54.

   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