<PAGE>
WORLD MONITOR TRUST II--
SERIES E
MONTHLY REPORT/
MAY 26, 2000
<PAGE>
WORLD MONITOR TRUST II--SERIES E
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Dear Interest Holder:
Enclosed is the report for the period from April 29, 2000 to May 26, 2000 for
World Monitor Trust II--Series E ('Series E'). The net asset value of an
interest as of May 26, 2000 was $96.74, a decrease of 2.16% from the April 28,
2000 value of $98.88. The year-to-date return for Series E, which commenced
trading on April 6, 2000, was a decrease of 3.26% as of May 26, 2000.
The estimated net asset value per interest as of June 14, 2000 was $90.72. Past
performance is not necessarily indicative of future results.
Should you have any questions, please contact your Prudential Securities
Financial Advisor. For account status inquiries, contact Prudential Securities
Client Services at 1-800-535-2077.
Sincerely yours,
/s/ Joseph A. Filicetti
--------------------------
Joseph A. Filicetti
President and Director
PRUDENTIAL SECURITIES
FUTURES MANAGEMENT INC.
Please note that the value which appears on your Prudential Securities statement
is an estimated value at calendar month-end. The actual value as of the last
Friday of the month is contained in this report.
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
----------------------------------------------------
For the period from April 29, 2000
to May 26, 2000
<S> <C>
Revenues:
Realized loss on commodity
transactions.......................... $(225,384)
Change in unrealized commodity
positions............................. 129,120
Interest income......................... 24,469
---------
(71,795)
---------
Expenses:
Commissions............................. 24,320
Management fees......................... 8,096
Other transaction fees.................. 6,205
Other expenses.......................... 6,114
---------
44,735
---------
Net loss................................ $(116,530)
---------
---------
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSET VALUE
------------------------------------------------------
For the period from April 29, 2000
to May 26, 2000
Per
Total Interest
<S> <C> <C>
---------- --------
Net asset value at beginning of
period (53,550.331
interests)................... $5,295,308 $98.88
Contributions.................. 50,000
Net loss....................... (116,530)
Redemptions.................... (22,691)
----------
Net asset value at end of
period (53,816.305
interests)................... $5,206,087 96.74
----------
----------
Change in net asset
value per interest....................... $(2.14)
--------
--------
Percentage change.......................... (2.16)%
--------
--------
</TABLE>
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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.
/s/ Barbara J. Brooks
-----------------------
by: Barbara J. Brooks
Chief Financial Officer
