<PAGE>
WORLD MONITOR TRUST II--
SERIES F
MONTHLY REPORT/
MARCH 31, 2000
<PAGE>
WORLD MONITOR TRUST II--SERIES F
- --------------------------------------------------------------------------------
Dear Interest Holder:
We are pleased to welcome you as an investor in World Monitor Trust II--Series F
('Series F') which commenced trading on March 1, 2000. As an investor in Series
F, you will receive a Monthly Report containing financial information monthly
and market commentary quarterly.
Enclosed is Series F's report for the period from March 1, 2000 to March 31,
2000. The net asset value of an interest as of March 31, 2000 was $99.18, a
decrease of .82% from Series F's initial value of $100.00.
Quarterly Market Overview
While the Y2K scare passed without incident, the new year brought renewed
volatility to the world's financial markets. As stock indexes reached new highs,
stock valuations appeared driven more by investor interest than each company's
fundamental earnings. March marked a reversal of the differences between 'old'
economy and 'new' economy stocks as the technology laden indexes slumped and
many traditional indexes recovered lost ground.
The U.S. Federal Reserve, European Central Bank, Bank of England, Reserve Bank
of Australia, and Bank of Canada increased interest rates in early February. The
rate increases shared motivation of strong economic growth and concerns about
inflation. Despite rate hikes and news of robust worldwide economic growth,
global bond markets continued to rally partially due to investors seeking refuge
from volatile equity markets.
In the currency markets, the U.S. dollar advanced sharply in early 2000. The
dollar's advance had been driven by strong growth and soaring asset prices,
resulting in record levels of foreign capital coming into the United States.
Since its inception a year ago, the euro has declined more than 17% against the
U.S. dollar, 21% against the Japanese yen and 11% against the British pound. The
euro touched an all time low at .9500 against the U.S. dollar in March. The
currency's weakness has raised political problems for the European Central Bank
and contributed to the recent decision to hike interest rates without any clear
inflation threat. The Swiss franc had spent most of the last few months drifting
lower against the U.S. dollar, tracking the euro's trend. The Japanese yen
rallied sharply, gaining on the U.S. dollar and most other currencies in the
final months of Japan's fiscal year (which ended March 31st). This is attributed
to positive sentiment regarding Japan's economic recovery. Additionally,
uncertainty regarding the direction of U.S. equities prompted many market
participants to convert assets into yen.
Energy prices continued their climb throughout January and February and into the
first week of March. Crude oil futures prices rose above $33 a barrel, the
highest level for a front-month (the most liquid) contract since the Gulf War in
1991. The energy sector reached a high early in March just prior to OPEC's
agreement to increase production sufficiently to stabilize prices. Political
pressure by the United States, along with a desire among OPEC members to
maintain a crude oil price in the range of $22-$28 per barrel, prompted the
cartel to announce a production increase. The May contract closed below $27 a
barrel at quarter end.
Performance of Series F
The following is a summary of performance for the major sectors in which Series
F traded:
Financial (+): Global bond yields generally declined as inflationary pressure
continued to build and economies improved. Long 30-year U.S. Treasury bond
positions resulted in gains.
Energy (-): The energy markets significantly contributed to quarterly
performance. Crude oil's steady price rise reversed in March after OPEC agreed
to increase production. Long crude oil positions produced losses.
Index (-): Extreme volatility in the world's financial markets led to lack of
trending opportunities resulting in losses in NASDAQ and Japanese Nikkei stock
index positions.
Currency (+): Short euro positions and long positions in the Mexican peso
resulted in gains for Series F.
The estimated net asset value per interest as of April 24, 2000 was $97.10. 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 March 1, 2000 (inception of trading)
to March 31, 2000
<S> <C>
Revenues:
Realized loss on commodity
transactions.............................. $(115,498)
Change in unrealized commodity
positions................................. 91,438
Interest income............................. 27,019
---------
2,959
---------
Expenses:
Commissions................................. 27,613
Management fee.............................. 9,200
Other transaction fees...................... 3,511
Other expenses.............................. 7,796
---------
48,120
---------
Net loss.................................... $ (45,161)
---------
---------
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSET VALUE
- ----------------------------------------------------------
For the period from March 1, 2000 (inception of trading)
to March 31, 2000
Per
Total Interest
<S> <C> <C>
---------- --------
Initial contributions (10
interests)....................... $ 1,000 $ 100.00
Additional contributions........... 5,645,012
Net loss........................... (45,161)
Redemptions........................ (9,983)
----------
Net asset value at end of
period (56,373.449 interests).... $5,590,868 99.18
----------
----------
--------
Change in net asset
value per interest........................... $ (.82)
--------
--------
Percentage change.............................. (.82)%
--------
--------
</TABLE>
- ------------------------------------------------------
I hereby affirm that, to the best of my knowledge and belief, the information
contained herein relating to World Monitor Trust II--Series F is accurate and
complete.
PRUDENTIAL SECURITIES FUTURES
MANAGEMENT INC.
/s/ Barbara J. Brooks
--------------------------
by: Barbara J. Brooks
Chief Financial Officer
<PAGE>
