<PAGE>
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
(Mark One)
/X/ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
ACT OF 1934
For the quarterly period ended June 30, 2000
OR
/ / TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
ACT OF 1934
For the transition period from _______________________ to ______________________
Commission file number: 333-83015
WORLD MONITOR TRUST II-SERIES E
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(Exact name of Registrant as specified in its charter)
Delaware 13-4058319
--------------------------------------------------------------------------------
(State or other jurisdiction of (I.R.S. Employer Identification No.)
incorporation or organization)
One New York Plaza, 13th Floor, New York, New York 10292
--------------------------------------------------------------------------------
(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code (212) 778-7866
N/A
--------------------------------------------------------------------------------
Former name, former address and former fiscal year, if changed since last report
Indicate by check CK whether the Registrant (1) has filed all reports
required to be filed by Section 13 or 15(d) of the Securities Exchange Act of
1934 during the preceding 12 months (or for such shorter period that the
Registrant was required to file such reports), and (2) has been subject to such
filing requirements for the past 90 days. Yes _CK_ No ___
<PAGE>
PART I. FINANCIAL INFORMATION
ITEM 1. FINANCIAL STATEMENTS
WORLD MONITOR TRUST II--SERIES E
(a Delaware Business Trust)
STATEMENTS OF FINANCIAL CONDITION
(Unaudited)
<TABLE>
<CAPTION>
June 30, December 31,
2000 1999
<S> <C> <C>
----------------------------------------------------------------------------------------------------
ASSETS
Cash $ 4,810,281 $ 1,000
Net unrealized gain on open futures contracts 80,862 --
Accrued interest receivable 796 --
------------- ------------
Total assets $ 4,891,939 $ 1,000
------------- ------------
------------- ------------
LIABILITIES AND TRUST CAPITAL
Liabilities
Net unrealized loss on open forward contracts $ 35,061 $ --
Commissions payable 32,630 --
Redemptions payable 28,169 --
Accrued expenses payable 19,217 --
Management fees payable 9,383 --
------------- ------------
Total liabilities 124,460 --
------------- ------------
Commitments
Trust capital
Limited interests (52,569.519 and 0 interests outstanding) 4,700,422 --
General interests (750 and 10 interests outstanding) 67,057 1,000
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Total trust capital 4,767,479 1,000
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Total liabilities and trust capital $ 4,891,939 $ 1,000
------------- ------------
------------- ------------
Net asset value per limited and general interest ('Interests') $ 89.41 $ 100.00
------------- ------------
------------- ------------
----------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements.
</TABLE>
2
<PAGE>
WORLD MONITOR TRUST II--SERIES E
(a Delaware Business Trust)
STATEMENT OF OPERATIONS
(Unaudited)
<TABLE>
<CAPTION>
For the period
from
April 6, 2000
(commencement
of operations) to
June 30, 2000
<S> <C>
-------------------------------------------------------------------------------------------------
REVENUES
Net realized loss on commodity transactions $(552,678)
Change in net unrealized gain/loss on open commodity positions 45,801
Interest income 72,020
-----------------
(434,857)
-----------------
EXPENSES
Commissions 72,255
Management fees 24,059
Other transaction fees 15,913
General and administrative 19,217
-----------------
131,444
-----------------
Net loss $(566,301)
-----------------
-----------------
ALLOCATION OF NET LOSS
Limited interests $(558,358)
-----------------
-----------------
General interests $ (7,943)
-----------------
-----------------
NET LOSS PER WEIGHTED AVERAGE LIMITED AND GENERAL INTEREST
Net loss per weighted average limited and general interest $ (10.58)
-----------------
-----------------
Weighted average number of limited and general interests outstanding 53,507
-----------------
-----------------
-------------------------------------------------------------------------------------------------
</TABLE>
STATEMENT OF CHANGES IN TRUST CAPITAL
(Unaudited)
<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 56,169.202 5,523,057 74,000 5,597,057
Net loss -- (558,358) (7,943) (566,301)
Redemptions (2,859.683) (264,277) -- (264,277)
----------- ---------- --------- ----------
Trust capital--June 30, 2000 53,319.519 $4,700,422 $67,057 $4,767,479
----------- ---------- --------- ----------
----------- ---------- --------- ----------
-----------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements.
</TABLE>
3
<PAGE>
WORLD MONITOR TRUST II--SERIES E
(a Delaware Business Trust)
NOTES TO FINANCIAL STATEMENTS
June 30, 2000
(Unaudited)
A. General
These financial statements have been prepared without audit. In the opinion
of Prudential Securities Futures Management Inc. (the 'Managing Owner'), the
financial statements contain all adjustments (consisting of only normal
recurring adjustments) necessary to present fairly the financial position of
World Monitor Trust II--Series E ('Series E') as of June 30, 2000 and the
results of its operations for the period from April 6, 2000 (commencement of
operations) to June 30, 2000.
Certain information and footnote disclosures normally included in annual
financial statements prepared in accordance with generally accepted accounting
principles have been omitted. It is suggested that these financial statements be
read in conjunction with the financial statements and notes thereto included in
World Monitor Trust II's (the 'Trust') annual report on Form 10-K filed with the
Securities and Exchange Commission for the year ended December 31, 1999.
On April 6, 2000, a sufficient number of subscriptions for Series E had been
received and accepted by the Managing Owner to permit Series E to commence
trading.
B. Related Parties
The Managing Owner of Series E is a wholly owned subsidiary of Prudential
Securities Incorporated ('PSI'), which, in turn, is a wholly owned subsidiary of
Prudential Securities Group Inc. Series E reimburses the Managing Owner or its
affiliates for services it performs 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, the amount of general and administrative
expenses incurred by Series E is limited to 1.5% of its net asset value during
the year. As a result, a portion of the expenses for the period from April 6,
2000 (commencement of operations) to June 30, 2000 have been borne by the
Managing Owner or its affiliates. Additionally, PSI or its affiliates pay the
costs of organizing Series E and offering its Interests.
The costs incurred by Series E for brokerage services performed by the
Managing Owner and its affiliates for Series E for the period from April 6, 2000
(commencement of operations) to June 30, 2000 were $72,255. Due to the 1.5%
limitation discussed above, the Partnership did not incur any costs for services
provided by the Managing Owner and its affiliates, other than brokerage
services, during the period from April 6, 2000 (commencement of operations) to
June 30, 2000 and, as such, there are no general and administrative expenses
payable to the Managing Owner and its affiliates as of June 30, 2000.
All of the proceeds of the offering of Series E are received in the name of
Series E and deposited in trading or cash accounts at PSI, Series E's commodity
broker. Series E's assets are maintained either on deposit 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, executes 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 June 30, 2000, a non-U.S. affiliate of the Managing Owner owns 102.613
limited interests of Series E.
4
<PAGE>
C. Derivative Instruments and Associated Risks
Series E is exposed to various types of risk 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 (including foreign exchange transactions)
contracts 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 in the United States and on most
foreign futures exchanges is the clearinghouse associated with such exchanges.
In general, clearinghouses are backed by the corporate members of the
clearinghouse who are required to share any financial burden resulting from the
nonperformance by one of its 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 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 (currently,
PSI is the sole counterparty or broker); 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 First Amended and Restated Declaration of Trust and Trust
Agreement of the Trust provides that Series E will liquidate its positions, and
eventually dissolve, if Series E experiences a decline in 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 such 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.
5
<PAGE>
PSI, when acting as Series E's futures commission merchant in accepting
orders for the purchase or sale of domestic futures contracts, is required by
Commodity Futures Trading Commission ('CFTC') regulations to separately account
for and segregate as belonging to Series E all assets of Series E relating to
domestic futures trading and is not to commingle such assets with other assets
of PSI. At June 30, 2000, such segregated assets totalled $4,408,817. Part 30.7
of the CFTC regulations also requires PSI to secure assets of Series E related
to foreign futures trading which totalled $482,326 at June 30, 2000. There are
no segregation requirements for assets related to forward trading.
As of June 30, 2000, Series E's open futures and forward contracts generally
mature within one year.
The following table presents the fair value of futures and forward contracts
at June 30, 2000:
<TABLE>
<CAPTION>
Assets Liabilities
-------- -----------
<S> <C> <C>
Futures Contracts:
Domestic exchanges
Interest rates $ 47 $ 18,300
Stock indices 1,430 --
Currencies 7,937 11,055
Commodities 142,809 25,015
Foreign exchanges
Interest rates 18,872 20,867
Stock indices 1,283 5,192
Commodities 27,384 38,471
Forward Contracts:
Currencies 18,324 53,385
-------- -----------
$218,086 $ 172,285
-------- -----------
-------- -----------
</TABLE>
6
<PAGE>
WORLD MONITOR TRUST II--SERIES E
(a Delaware Business Trust)
ITEM 2. 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 period from April 6, 2000 (commencement
of operations) to June 30, 2000 resulted in additional proceeds to Series E of
$440,598. Additional 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.
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 from April 6, 2000 (commencement of operations) to June 30, 2000
were entirely on limited interests and totalled $264,277. 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 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 June 30, 2000, 100% of Series E's net assets were allocated to commodities
trading. A significant portion of the net assets is 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 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
utilizing stop loss provisions. See Note C to the financial statements for a
further discussion of 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 no
comparative information is available for 1999.
The net asset value per Interest as of June 30, 2000 was $89.41, a decrease
of 10.59% from the April 6, 2000 initial net asset value per Interest of
$100.00.
7
<PAGE>
Series E's gross trading losses were $507,000 during the period from April 6,
2000 (commencement of operations) to June 30, 2000. A detailed discussion of
Series E's trading results during this period is presented below.
Quarterly Market Overview
U.S. economic growth remained rapid throughout April and May, evidenced by
economic indicators across the board. Consumer spending trended upward strongly
and housing demand was high. Industrial production and wages expanded briskly in
response to burgeoning domestic demand. Labor markets continued to be very tight
as employment surged. Signs of an economic slowdown appeared towards the end of
the quarter as markets reacted to higher than expected unemployment numbers at
the end of May. However, economic expansion remained robust in most world
markets throughout the quarter. The Japanese economy showed indications of
increased demand in the first five months of 2000. Economic activity in
developing countries also continued. Key South American economies recovered from
recent recessions, while several Asian emerging market countries settled into
growth at a more sustained rate.
During the quarter, financial markets were dominated by continued volatility
in the equity sector. U.S. equity markets, especially more speculative
technology stocks, experienced a sell-off in April as investors' confidence
declined. Stock indices rallied toward the end of June, but the S&P, Dow, and
NASDAQ all ended the first half of the year down.
Global bond markets mirrored the volatility of the equity markets. Early in
the quarter, both U.S. and European prices on interest rate instruments fell due
to a rate hike by the European Central Bank at the end of April and a strong
U.S. economy. Global bond prices plummeted again in May in anticipation of a
U.S. interest rate hike. The U.S. Federal Reserve raised rates by 50 basis
points to 6.5%. This forceful policy (more than the 25 basis point increases
implemented since mid 1999) was due to the persistent strength of overall demand
and growing pressure in a tight labor market. As the quarter continued and new
economic data was released, it became apparent that the U.S. economy was
decelerating and bond prices rallied slightly.
The value of the U.S. dollar appreciated considerably against most major
currencies at the beginning of the quarter, reflecting, in part, the larger
increases in U.S. long-term yields relative to rates in most foreign countries.
The dollar's rise against the euro was sizable, but it also made moderate gains
against the British pound, Japanese yen, and Canadian dollar. In June, as the
U.S. economy showed signs of slowing down, the U.S. dollar weakened against most
major currencies. The euro reached all time lows in May before rallying in June
as a result of solid European economic data and sentiment that the currency was
undervalued. In May, the Japanese yen rose against the U.S. dollar supported by
expectations of a possible change in the Bank of Japan's zero-interest rate
policy. As the Japanese economy failed to sustain its recovery momentum, the yen
lost some ground. The Canadian dollar rallied towards the end of the quarter due
to steady Canadian economic data combined with signs of softening in the U.S.
economy.
Increased demand caused oil prices to surge at the beginning of the quarter.
In June, OPEC countries agreed to increase oil production as higher gas prices
put inflationary pressure on global economies and oil prices reversed downward.
In the metals markets, the trend of falling prices in April and May reversed
itself later in the quarter as gold soared driven, in part, by weakening in the
U.S. dollar and U.S. economy.
Quarterly Performance of Series E
The following is a summary of performance for the major sectors in which
Series E traded:
Financial (-): Bond prices rallied following a higher than expected May
unemployment number and lack of action by the U. S. Federal Reserve at its
meeting in June resulting in losses in short 5-, 10- and 30-year U.S. bond
positions. Losses in long 3-month Euribor and 5- and 10-year euro bond positions
were due to actions taken by the European Central Bank to raise short term-term
interest rates in April and June.
Grain (-): Long positions in corn incurred losses. Starting in early May,
favorable growing conditions faced the corn market with a potentially large
crop, consequently prices trended downward.
Index (-): The second quarter brought a reversal to some global equity
markets. A strong U.S. economy began showing signs of slowdown and U.S. equity
markets experienced an April sell-off. Overall, continued volatility in world
markets resulted in losses in S&P and Nikkei Dow positions.
8
<PAGE>
Metal (-): Short positions in copper, gold and zinc incurred losses as metal
markets rallied due to a weakening U.S. economy.
Currency (+): Long British pound positions were profitable for Series E as
the Bank of England left interest rates unchanged and the pound sterling bounced
back from its decline in May. Long euro positions resulted in gains as the euro
rallied in June on news of strong European economic data.
Energy (+): Long oil and gas positions resulted in gains for Series E as
energy prices soared due to increased demand.
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 monthly
according to interest rates, trading performance, contributions and redemptions.
Interest income was $72,020 for the period from April 6, 2000 (commencement of
operations) to June 30, 2000.
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. Commissions were $72,255 for the period from April 6, 2000
(commencement of operations) to June 30, 2000.
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 were $24,059
for the period from April 6, 2000 (commencement of operations) to June 30, 2000.
Incentive fees are based on the New High Net Trading Profits generated by the
Trading Advisor, as defined in the Advisory Agreement among the Trust, the
Managing Owner and the Trading Advisor. No incentive fees were generated for the
period from April 6, 2000 (commencement of operations) to June 30, 2000.
Other transaction fees consist of National Futures Association, exchange,
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.
Other transaction fees were $15,913 for the period from April 6, 2000
(commencement of operations) to June 30, 2000.
General and administrative expenses were $19,217 for the period from April 6,
2000 (commencement of operations) to June 30, 2000. These expenses include
accounting, audit, tax and legal fees as well as printing and postage costs
related to reports sent to limited owners. The amount of general and
administrative expenses charged to Series E is limited to 1.5% of its net asset
value during any one year and, as a result, there were no expenses incurred to
reimburse the Managing Owner and its affiliates for costs incurred on behalf of
Series E for the period from April 6, 2000 (commencement of operations) to June
30, 2000.
Item 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
Information regarding quantitative and qualitative disclosures about market
risk is not required pursuant to Item 305(e) of Regulation S-K.
9
<PAGE>
PART II. OTHER INFORMATION
Item 1. Legal Proceedings--There are no material legal proceedings pending by or
against the Registrant or the Managing Owner
Item 2. Changes in Securities--None
Item 3. Defaults Upon Senior Securities--None
Item 4. Submission of Matters to a Vote of Security Holders--None
Item 5. Other Information--Effective July 2000, Joseph A. Filicetti resigned as
President and as a Director of Prudential Securities Futures Management Inc.
Item 6. Exhibits and Reports on Form 8-K
(a) Exhibits--
3.1
and
4.1--First Amended and Restated Declaration of Trust and Trust
Agreement of World Monitor Trust II dated as of May 15, 1999
(incorporated by reference to Exhibit 3.1 and 4.1 to Series E's
Registration Statement on Form S-1, File No. 333-83015)
4.2--Form of Request for Redemption (incorporated by reference to
Exhibit 4.2 to Series E's Registration Statement on Form S-1,
File No. 33-83015)
4.3--Form of Exchange Request (incorporated by reference to
Exhibit 4.3 to Series E's Registration Statement on
Form S-1, File No. 333-83015)
4.4--Form of Subscription Agreement (incorporated by
reference to Exhibit 4.4 to Series E's
Registration Statement on Form S-1, File No.
333-83015)
27.1--Financial Data Schedule (filed herewith)
(b) Reports on Form 8-K--None
10
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
Registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.
WORLD MONITOR TRUST II--SERIES E
By: Prudential Securities Futures Management Inc.
A Delaware corporation, Managing Owner
By: /s/ Steven Carlino Date: August 14, 2000
----------------------------------------
Steven Carlino
Vice President and Treasurer
11
