<Page>

                                                         2001
--------------------------------------------------------------------------------
Prudential Securities                                    Annual
Strategic Trust                                          Report

<Page>

                          LETTER TO LIMITED OWNERS FOR
                     PRUDENTIAL SECURITIES STRATEGIC TRUST

                                       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 Prudential Securities Strategic Trust

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 Prudential Securities Strategic Trust at December 31, 2001
and 2000 and the results of its operations and changes in trust capital for each
of the three years in the period ended December 31, 2001 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>

                     PRUDENTIAL SECURITIES STRATEGIC TRUST
                          (a Delaware Business Trust)
                       STATEMENTS OF FINANCIAL CONDITION
<Table>
<Caption>
                                                                              December 31,
                                                                      -----------------------------
                                                                          2001             2000
---------------------------------------------------------------------------------------------------
<S>                                                                   <C>               <C>
ASSETS
Cash                                                                   $ 9,662,833      $13,240,014
Net unrealized gain (loss) on open futures contracts                       (95,924)          75,883
Other receivables                                                             2,120              895
                                                                      -------------     -----------
Total assets                                                           $ 9,569,029      $13,316,792
                                                                      -------------     -----------
                                                                      -------------     -----------
LIABILITIES AND TRUST CAPITAL
Liabilities
Redemptions payable                                                    $    93,665      $   222,610
Unrealized loss on open forward contracts                                   21,053           11,692
Management fees payable                                                     10,694           15,110
                                                                      -------------     -----------
Total liabilities                                                          125,412          249,412
                                                                      -------------     -----------
Commitments

Trust capital
Limited interests (113,584.560 and 146,544.840 interests
outstanding)                                                             9,349,125       12,936,640
General interests (1,148 and 1,481 interests outstanding)                   94,492          130,740
                                                                      -------------     -----------
Total trust capital                                                      9,443,617       13,067,380
                                                                      -------------     -----------
Total liabilities and trust capital                                    $ 9,569,029      $13,316,792
                                                                      -------------     -----------
                                                                      -------------     -----------

Net asset value per limited and general interest ('Interests')         $     82.31      $     88.28
                                                                      -------------     -----------
                                                                      -------------     -----------
---------------------------------------------------------------------------------------------------

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

                                       3

<Page>

                     PRUDENTIAL SECURITIES STRATEGIC TRUST
                          (a Delaware Business Trust)
                       Condensed Schedule of Investments
                              At December 31, 2001
<Table>
<Caption>
                                                                      Net Unrealized
                                                                       Gain (Loss)
                                                                        as a % of       Net Unrealized
Futures Contracts                                                     Trust Capital      Gain (Loss)
------------------------------------------------------------------------------------------------------
<S>                                                                   <C>               <C>
Futures contracts purchased:
  Stock indices                                                                           $   36,704
  Interest rates                                                                             (92,254)
  Currencies                                                                                (192,533)
  Commodities                                                                                (33,820)
                                                                                        --------------
     Net unrealized loss on futures contracts purchased                    (2.99)%          (281,903)
                                                                                        --------------
Futures contracts sold:
  Interest rates                                                                              18,171
  Currencies                                                                                 157,050
  Commodities                                                                                 10,758
                                                                                        --------------
     Net unrealized gain on futures contracts sold                          1.97             185,979
                                                                          ------        --------------
     Net unrealized loss on futures contracts                              (1.02)%        $  (95,924)
                                                                          ------        --------------
                                                                          ------        --------------

     Net unrealized loss on forward contracts purchased                    (0.22)%           (21,053)
                                                                          ------        --------------
                                                                          ------        --------------

Settlement Currency--Futures Contracts
  British pound                                                             0.54%         $   51,697
  Canadian dollar                                                           0.37              34,908
  Euro                                                                     (1.58)           (148,945)
  Japanese yen                                                              0.05               4,424
  Australian dollar                                                        (0.03)             (2,958)
  Swiss franc                                                               0.04               3,451
  U.S. dollar                                                              (0.41)            (38,501)
                                                                          ------        --------------
     Total                                                                 (1.02)%        $  (95,924)
                                                                          ------        --------------
                                                                          ------        --------------

Settlement Currency--Forward Contracts
  U.S. dollar                                                              (0.22)%        $  (21,053)
                                                                          ------        --------------
                                                                          ------        --------------
     Total                                                                                $  (21,053)
                                                                                        --------------
                                                                                        --------------

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

                                       4

<Page>

                     PRUDENTIAL SECURITIES STRATEGIC TRUST
                          (a Delaware Business Trust)
                            STATEMENTS OF OPERATIONS
<Table>
<Caption>
                                                                    Year Ended December 31,
                                                          -------------------------------------------
                                                             2001            2000            1999
-----------------------------------------------------------------------------------------------------
<S>                                                       <C>             <C>             <C>
REVENUES
Net realized gain (loss) on commodity transactions        $  (158,207)    $(5,711,411)    $ 1,076,676
Change in net unrealized gain/loss on open commodity
  positions                                                  (181,168)     (3,417,019)      2,499,725
Interest income                                               385,785       1,011,209       1,497,863
                                                          -----------     -----------     -----------
                                                               46,410      (8,117,221)      5,074,264
                                                          -----------     -----------     -----------
EXPENSES
Commissions                                                   806,004       1,239,674       2,966,784
Management fees                                               145,698         226,233         865,933
Incentive fees                                                     --              --         394,427
                                                          -----------     -----------     -----------
                                                              951,702       1,465,907       4,227,144
                                                          -----------     -----------     -----------
Net income (loss)                                         $  (905,292)    $(9,583,128)    $   847,120
                                                          -----------     -----------     -----------
                                                          -----------     -----------     -----------
ALLOCATION OF NET INCOME (LOSS)
Limited interests                                         $  (896,233)    $(9,487,283)    $   838,655
                                                          -----------     -----------     -----------
                                                          -----------     -----------     -----------
General interests                                         $    (9,059)    $   (95,845)    $     8,465
                                                          -----------     -----------     -----------
                                                          -----------     -----------     -----------
NET INCOME (LOSS) PER WEIGHTED AVERAGE LIMITED AND
  GENERAL INTEREST
Net income (loss) per weighted average limited and
  general interest                                        $     (6.96)    $    (47.34)    $      2.62
                                                          -----------     -----------     -----------
                                                          -----------     -----------     -----------
Weighted average number of limited and general
  interests outstanding                                       130,085         202,424         323,719
                                                          -----------     -----------     -----------
                                                          -----------     -----------     -----------

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

                     STATEMENTS OF CHANGES IN TRUST CAPITAL
<Table>
<Caption>
                                                             LIMITED         GENERAL
                                           INTERESTS        INTERESTS       INTERESTS        TOTAL
------------------------------------------------------------------------------------------------------
<S>                                       <C>              <C>              <C>           <C>
Trust capital--December 31, 1998           363,585.431     $ 44,564,154     $ 450,162     $ 45,014,316
Net income                                                      838,655         8,465          847,120
Redemptions                                (99,413.853)     (11,937,765)     (120,559)     (12,058,324)
                                          ------------     ------------     ---------     ------------
Trust capital--December 31, 1999           264,171.578       33,465,044       338,068       33,803,112
Net loss                                                     (9,487,283)      (95,845)      (9,583,128)
Redemptions                               (116,145.738)     (11,041,121)     (111,483)     (11,152,604)
                                          ------------     ------------     ---------     ------------
Trust capital--December 31, 2000           148,025.840       12,936,640       130,740       13,067,380
Net loss                                                       (896,233)       (9,059)        (905,292)
Redemptions                                (33,293.280)      (2,691,282)      (27,189)      (2,718,471)
                                          ------------     ------------     ---------     ------------
Trust capital--December 31, 2001           114,732.560     $  9,349,125     $  94,492     $  9,443,617
                                          ------------     ------------     ---------     ------------
                                          ------------     ------------     ---------     ------------

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

                                       5

<Page>

                     PRUDENTIAL SECURITIES STRATEGIC TRUST
                          (a Delaware Business Trust)
                         NOTES TO FINANCIAL STATEMENTS

A. General

   Prudential Securities Strategic Trust, formerly known as Willowbridge
Strategic Trust, (the 'Trust') was organized under the Delaware Business Trust
Statute on October 16, 1995 and commenced trading operations on May 1, 1996. The
Trust will terminate on December 31, 2015 unless terminated sooner as provided
in the Second Amended and Restated Declaration of Trust and Trust Agreement (the
'Trust Agreement'). The Trust was formed to engage in the speculative trading of
commodity futures, forward and options contracts. 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 principal underwriter and
selling agent for the Trust's interests ('Interests'), as well as its commodity
broker ('Commodity Broker'). The Managing Owner is required to maintain at least
a 1% interest in the Trust so long as it is acting as the Managing Owner.

   On May 1, 1996, the Trust completed its initial offering with gross proceeds
of $12,686,200 from the sale of 125,352 limited interests and 1,510 general
interests. General interests were sold exclusively to the Managing Owner.
Additional Interests were offered monthly at the then current net asset value
per Interest until the continuous offering period expired on January 31, 1998.
Additional contributions raised during the continuous offering period resulted
in additional proceeds to the Trust of $51,242,700.

   At inception of the Trust's trading activities, Willowbridge Associates Inc.
('Willowbridge') made all the Trust's commodity trading decisions. During July
1998, Willowbridge ceased trading approximately 50% of the Trust's assets and,
during August 1998, these assets were reallocated to Bridgewater Associates,
Inc. ('Bridgewater'). As of February 15, 2000, Willowbridge ceased to serve as a
trading manager to the Trust when the remaining assets allocated to
Willowbridge, after adjusting for redemptions, declined by greater than 33 1/3%
from their balance at the beginning of the year. On July 5, 2000, these assets
were reallocated to Gamma Capital Management, LLC ('Gamma'). As a result of the
changes in the Trust's independent commodity trading managers discussed above,
during a majority of July and August 1998, as well as from February 16, 2000
through July 4, 2000, a portion of the Trust's assets were not allocated to
commodities trading and, as a result, were not subject to management fees and
commissions. The monthly management fees paid on traded assets and the quarterly
incentive fees paid on 'New High Net Trading Profits' (as defined in each
advisory agreement among the Trust, Managing Owner and each trading manager) to
each trading manager are as follows:

<Table>
<Caption>
                                       Monthly                               Quarterly
        Trading                      Management                              Incentive
        Manager                          Fee                                    Fee
-----------------------   ---------------------------------   ---------------------------------------
<S>                       <C>                                 <C>
Willowbridge              3% annually of traded assets        20% of 'New High Net Trading Profits'
Bridgewater               .9756% annually of traded assets    20% of 'New High Net Trading Profits'
Gamma                     2% annually of traded assets        20% of 'New High Net Trading Profits'
</Table>

   Additionally, Gamma must recoup the cumulative trading losses of Willowbridge
before it is paid an incentive fee. The advisory agreements may be terminated
for a variety of reasons, including at the discretion of the Managing Owner.

B. Summary of Significant Accounting Policies

Basis of accounting

   The financial statements of the Trust are prepared in accordance with
accounting principles generally accepted in the United States of America.

   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.

                                       6

<Page>

   The weighted average number of limited and general interests outstanding was
computed for purposes of disclosing net income (loss) per weighted average
limited and general interest. The weighted average limited and general interests
are equal to the number of Interests outstanding at year end, adjusted
proportionately for Interests subscribed and redeemed based on their respective
time outstanding during such year.

   The Trust 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.'

Income taxes

   The Trust is treated as a partnership for Federal income tax purposes. As
such, the Trust 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. The Trust may be subject to other
state and local taxes in jurisdictions in which it operates.

Profit and loss allocation, distributions, contributions and redemptions

   The Trust allocates profits and losses for both financial and tax reporting
purposes to its Interest holders monthly on a pro rata basis based on each
owner's Interests outstanding during the month. 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, no distributions have been made since inception,
nor does the Managing Owner presently intend to make any distributions in the
future.

   Additional Interests were offered monthly at their month-end net asset value
per Interest until the continuous offering period expired as discussed in Note
A.

   Redemptions are permitted as of the last day of each month, on at least 10
days prior written notice. Redemptions are at the then current net asset value
per Interest. Prior to February 1999, Interests redeemed on or prior to the end
of the first and second successive six-month periods after their effective date
of purchase were subject to redemption charges of 4% and 3%, respectively, of
the net asset value at which they were redeemed. These redemption charges were
paid to the Managing Owner. Partial redemptions are permitted.

Financial Reporting by Commodity Pools

   During March 2001, the Accounting Standards Executive Committee 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 the Trust. Under the new requirements, the Trust 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 the Trust's financial
position or results of operations.

C. Fees

Organizational, offering and general and administrative costs

   PSI or its affiliates paid the costs of organizing the Trust and offering its
Interests and continue to pay administrative costs incurred by the Managing
Owner or its affiliates for services they perform for the Trust. These costs
include, but are not limited to, those discussed in Note D below. Routine legal,
audit, postage and other third party costs are also paid by PSI or its
affiliates.

Management and incentive fees

   The Trust pays each trading manager a monthly management fee on the portion
of the Trust's net assets allocated to each trading manager as of the last day
of each month. In addition, the Trust pays each trading manager a quarterly
incentive fee based on 'New High Net Trading Profits' (as defined in the
advisory agreements among the Trust, the Managing Owner and each trading
manager). See Note A for a discussion

                                       7

<Page>

of changes to the Trust's trading managers and the rates paid to each trading
manager since inception of the Trust.

Commissions

   The Managing Owner, on behalf of the Trust, entered into an agreement with
PSI to act as Commodity Broker whereby the Trust pays a fixed monthly fee for
brokerage services rendered. Effective September 1, 1998, the Trust pays PSI
commissions at a flat rate of 5/8 of 1% (7.5% per annum) of the Trust's net
asset value as of the first day of each month. Prior to September 1, 1998, the
Trust paid commissions at a flat rate of .64583 of 1% (7.75% per annum). From
this fee, PSI pays all of the Trust's execution (including floor brokerage
expenses, give-up charges and NFA, clearing and exchange fees) and account
maintenance costs, as well as compensation to employees who sold Interests in
the Trust.

D. Related Parties

   The Managing Owner or its affiliates perform services for the Trust, 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. Except for costs
related to brokerage services, PSI or its affiliates pay the costs of these
services in addition to the Trust's routine operational, administrative, legal
and auditing costs, as well as costs paid to organize the Trust and offer its
Interests.

   The Trust's assets are maintained either in trading or cash accounts at PSI
or, for margin purposes, with the various exchanges on which the Trust is
permitted to trade. PSI credits the Trust monthly with 80% of the interest it
earns on the average net assets in the Trust's accounts and retains the
remaining 20%.

   The Trust, acting through its trading managers, 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 the Trust pursuant to a line of credit. PSI may require that collateral
be posted against the marked-to-market positions of the Trust.

   As of December 31, 2001, a non-U.S. affiliate of the Managing Owner owns
362.197 limited interests of the Trust.

   The costs charged to the Trust for brokerage services for the years ended
December 31, 2001, 2000 and 1999 were $806,004, $1,239,674, and $2,966,784,
respectively.

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

   The Trust 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 the Trust'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 the Trust's net assets being
traded, significantly exceeds the Trust's future cash requirements since the
Trust intends to close out its open positions prior to settlement. As a result,
the Trust is generally subject only to the risk of loss arising from the change
in the value of the contracts. As such, the Trust considers the 'fair value' of
its futures and forwards to be the net unrealized gain or loss on the contracts.
The market risk associated with the Trust's commitments to purchase commodities
is limited to the gross or face amount of the contracts held. However, when the
Trust 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

                                       8

<Page>

price to which a commodity can rise is unlimited, entering into commitments to
sell commodities exposes the Trust 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 the Trust holds and the liquidity and inherent
volatility of the markets in which the Trust trades.

Credit risk

   When entering into futures and forward contracts, the Trust 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 non-performance by one of their
members and, as such, should significantly reduce this credit risk. In cases
where the clearinghouse is not backed by the clearing members (i.e., some
foreign exchanges), it is normally backed by a consortium of banks or other
financial institutions. On the other hand, if the Trust enters into forward
transactions, the sole counterparty is PSI, the Trust's commodity broker. The
Trust has entered into a master netting agreement with PSI and, as a result,
when applicable, presents unrealized gains and losses on open forward positions
as a net amount in the statements of financial condition. The amount at risk
associated with counterparty non-performance of all of the Trust'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 the Trust.

   The Managing Owner attempts to minimize both credit and market risks by
requiring the Trust and its trading managers 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 agreements among the Trust, the Managing
Owner and each trading manager, the Trust shall automatically terminate a
trading manager if the net asset value allocated to that trading manager
declines by 33 1/3% from the value at the beginning of any year or since the
initial allocation of assets to that trading manager. Furthermore, the Second
Amended and Restated Declaration of Trust and Trust Agreement provides that the
Trust will liquidate its positions, and eventually dissolve, if the Trust
experiences a decline in the net asset value of 50% from the value at the
beginning of any year or since the commencement of trading activities. In each
case, the decline in net asset value is after giving effect for distributions
and redemptions. The Managing Owner may impose additional restrictions (through
modifications of trading limitations and policies) upon the trading activities
of the trading managers as it, in good faith, deems to be in the best interests
of the Trust.

   PSI, when acting as the Trust'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 the Trust all assets of the Trust 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 $1,004,378. Part 30.7 of the CFTC
regulations also requires PSI to secure assets of the Trust related to foreign
futures trading which totalled $8,562,531 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 custumers, including the Trust, to opt out of segregation with regard to
trading on certain exchanges, but PSI has not done so to date. If the Trust 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, all open futures and forward contracts mature within
one year.

                                       9

<Page>

   At December 31, 2000, the fair values of futures and forward contracts were:

<Table>
<Caption>
                                           2000
                                ---------------------------
                                  Assets        Liabilities
                                -----------     -----------
<S>                             <C>             <C>
Futures Contracts:
  Domestic exchanges
     Interest rates             $    23,200      $  178,704
     Stock indices                   17,350              --
     Currencies                     288,497          15,500
     Commodities                         --           2,812
  Foreign exchanges
     Interest rates                  31,675          88,797
     Stock indices                   20,397          15,369
     Commodities                      4,250           8,304
Forward Contracts:
     Currencies                          --          11,692
                                -----------     -----------
                                $   385,369      $  321,178
                                -----------     -----------
                                -----------     -----------
</Table>

G. Financial Highlights

<Table>
<Caption>
                                                                               Year Ended
                                                                            December 31, 2001
                                                                           -------------------
   <S>                                                                     <C>
   Performance per Interest
     Net asset value, beginning of period                                        $ 88.28
                                                                              ----------
     Net realized loss and change in net unrealized gain/loss on
        commodity transactions                                                     (1.56)
     Interest income                                                                2.90
     Expenses                                                                      (7.31)
                                                                              ----------
     Net decrease for the period                                                   (5.97)
                                                                              ----------
     Net asset value, end of period                                              $ 82.31
                                                                              ----------
                                                                              ----------
   Total return                                                                    (6.76)%
   Ratio to average net assets
     Interest income                                                                3.46%
     Expenses                                                                       8.53%
</Table>

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

                                       10

<Page>

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

   I hereby affirm that, to the best of my knowledge and belief, the information
contained herein relating to Prudential Securities Strategic Trust is accurate
and complete.

     PRUDENTIAL SECURITIES
     FUTURES MANAGEMENT INC.
     (Managing Owner)

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

                                       11

<Page>

                     PRUDENTIAL SECURITIES STRATEGIC TRUST
                          (a Delaware Business Trust)
               MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL
                      CONDITION AND RESULTS OF OPERATIONS

Liquidity and Capital Resources

   The Trust commenced operations on May 1, 1996 with gross proceeds of
$12,686,200 allocated to commodities trading. Additional Interests were offered
monthly at the then current net asset value per Interest until the continuous
offering period expired on January 31, 1998. Additional contributions made
during the continuous offering period totalled $51,242,700, including $375,000
of contributions from the Managing Owner.

   The Trust Agreement provides that an Interest holder may redeem its Interests
as of the last day of any month at the then current net asset value per
Interest. Redemptions of limited interests recorded for the years ended December
31, 2001, 2000 and 1999 were $2,691,282, $11,041,121 and $11,937,765,
respectively. Redemptions by the Managing Owner for the years ended December 31,
2001, 2000 and 1999 were $27,189, $111,483 and $120,559, respectively.
Redemptions of limited interests and general interests from the commencement of
operations, May 1, 1996 through December 31, 2001 totalled $51,887,793 and
$412,626, respectively. Future redemptions will impact the amount of funds
available for investment in commodity contracts in subsequent periods.

   At December 31, 2001, 100% of the Trust's net assets were allocated to
commodities trading. A significant portion of the net assets are held in cash,
which is used as margin for the Trust's trading in commodities. Inasmuch as the
sole business of the Trust is to trade in commodities, the Trust continues to
own such liquid assets to be used as margin. PSI credits the Trust monthly with
80% of the interest it earns on the average net assets in these accounts and
retains the remaining 20%.

   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 the Trust from promptly liquidating its commodity
futures positions.

   Since the Trust'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). The Trust'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 the
Trust's speculative trading, as well as the development of drastic market
occurrences, could result in monthly losses considerably beyond the Trust'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 the Trust's trading managers 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 C to the
financial statements for a further discussion of the credit and market risks
associated with the Trust's futures and forward contracts.

   The Trust does not have, nor does it expect to have, any capital assets.

Results of Operations

   The net asset value per Interest as of December 31, 2001 was $82.31, a
decrease of 6.76% from the December 31, 2000 net asset value per Interest of
$88.28, which was a decrease of 31.01% from the December 31, 1999 net asset
value per Interest of $127.96. 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, returned 7.52% and 9.41% for the years ended
December 31, 2001 and 2000, respectively. Past performance is not necessarily
indicative of future results.

                                       12

<Page>

   The Trust's gross trading gains/(losses) were $(339,000), $(9,128,000) and
$3,576,000 during the years ended December 31, 2001, 2000 and 1999,
respectively. Due to the nature of the Trust's trading activities, a period to
period comparison of its trading results is not meaningful. However, a detailed
discussion of the Trust's 2001 trading results is presented below.

   Net losses for the Trust were experienced in the currency, index and energy
sectors. Profits were the result of net gains in the interest rate and metals
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 resulting in losses for long Australian dollar and Canadian
dollar positions during the first half of the year. Short Japanese yen positions
resulted in gains as the yen fell due to continued signs of weakness in the
Japanese economy and expectations that the Bank of Japan would reinstate its
zero-interest rate policy. 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. The U.S. dollar strengthened slightly towards year-end amid hopes of a
recovery in the U.S. economy.

   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. Long S&P 500 and London
FTSE positions incurred losses during the fist half of the year. The terrorist
attacks of September 11th further weakened sluggish U.S. and global economies
plunging equity markets downward throughout the world in the week following the
attacks. In the week following the attacks, the Dow Jones industrial average
suffered its worst weekly 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 U.S. Federal Reserve (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 may be emerging from
recession. Equity markets reversed in December providing a negative return for
the second consecutive year. Losses were incurred in equity index positions
during the first and third quarters of the year.

   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 second and fourth
quarters of the year resulting in net losses for the Trust in this sector.

   In light of the rapid weakening in economic expansion and deterioration in
business and consumer confidence, 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
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 by 50 basis points.

                                       13

<Page>

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 resulting from long euro and Australian bond positions during
the third and fourth quarters of the year were sufficient to offset losses
incurred during the rest of the year and this sector produced net gains for the
Trust.

   Gold prices rallied to a ten-month high in May before reversing course amid
rumors that Russia would sell a portion of its gold reserve. Short gold
positions resulted in gains. Short copper and aluminum positions resulted in
gains during the third quarter as fears of a global economic recession and
decreasing industrial production lowered prices of industrial commodities.

   Fluctuations in overall average net asset levels have led to corresponding
fluctuations in interest earned and commissions and management fees incurred by
the Trust, which are largely based on the level of net assets. The Trust's
average net asset levels were significantly lower during the year ended December
31, 2001 versus the prior year, primarily from redemptions and unfavorable
trading performance in 2001. The Trust's average net asset levels were also
significantly lower during the year ended December 31, 2000 versus the year
ended December 31, 1999, primarily from redemptions and unfavorable trading
performance.

   At inception of the Trust's trading activities, Willowbridge Associates Inc.
('Willowbridge') made all the Trust's commodity trading decisions. During July
1998, Willowbridge ceased trading approximately 50% of the Trust's assets and,
during August 1998, these assets were reallocated to Bridgewater Associates,
Inc. ('Bridgewater'). As of February 15, 2000, Willowbridge ceased to serve as a
trading manager to the Trust when the remaining assets allocated to
Willowbridge, after adjusting for redemptions, declined by greater than 33 1/3%
from their balance at the beginning of the year. On July 5, 2000, these assets
were reallocated to Gamma Capital Management, LLC ('Gamma'). As a result of the
changes in the Trust's independent commodity trading managers discussed above,
during a majority of July and August 1998, as well as from February 16, 2000
through July 4, 2000, a portion of the Trust's assets were not allocated to
commodities trading and, as a result, were not subject to management fees and
commissions. The monthly management fees paid on traded assets and the quarterly
incentive fees paid on 'New High Net Trading Profits' (as defined in each
advisory agreement among the Trust, Managing Owner and each trading manager) to
each trading manager are as follows:

<Table>
<Caption>
                                       Monthly                               Quarterly
        Trading                      Management                              Incentive
        Manager                          Fee                                    Fee
-----------------------   ---------------------------------   ---------------------------------------
<S>                       <C>                                 <C>
Willowbridge              3% annually of traded assets        20% of 'New High Net Trading Profits'
Bridgewater               .9756% annually of traded assets    20% of 'New High Net Trading Profits'
Gamma                     2% annually of traded assets        20% of 'New High Net Trading Profits'
</Table>

   Additionally, Gamma must recoup the cumulative trading losses of Willowbridge
before it is paid an incentive fee. The advisory agreements may be terminated
for a variety of reasons, including at the discretion of the Managing Owner.

   Interest income is earned on the equity balances held at PSI and, therefore,
varies monthly according to interest rates, trading performance, contributions
and redemptions. Interest income decreased by $625,000 for the year ended
December 31, 2001 as compared to 2000 and decreased by $487,000 for the year
ended December 31, 2000 as compared to 1999. These decreases were due primarily
to the decline in net asset levels as discussed above. Additionally, lower
overall interest rates in 2001 compounded the decrease in 2001, while higher
overall interest rates in 2000 offset part of the decrease in 2000.

   Commissions are calculated on the Trust's net asset value at the beginning of
each month and, therefore, vary according to trading performance, contributions
and redemptions. Commissions decreased by $434,000 for the year ended December
31, 2001 as compared to 2000 and decreased by $1,727,000 for the year ended
December 31, 2000 as compared to 1999 due to the decline in average net asset
levels, as well

                                       14

<Page>

as the postponement of commissions charged to the Trust by PSI on the net assets
unallocated to commodities trading as discussed above.

   At December 31, 2001, all trading decisions were made by Gamma and
Bridgewater. Management fees are calculated on the net asset value allocated to
each trading manager at the end of each month and, therefore, are affected by
trading performance, contributions and redemptions. Management fees decreased by
$81,000 for the year ended December 31, 2001 as compared to 2000 and decreased
by $640,000 for the year ended December 31, 2000 as compared to 1999. The
decreases were due to the decline in average net asset levels in addition to the
effect of the 2000 reallocation of Trust assets to a different trading manager
who is paid differently, as well as the postponement of management fees on the
portion of Trust assets not allocated to commodities trading, as more fully
discussed above.

   Incentive fees are based on the 'New High Net Trading Profits' generated by
each trading manager, as defined in the advisory agreements among the Trust, the
Managing Owner and each trading manager. Incentive fees of $394,000, were earned
for the year ended December 31, 1999. The payment of incentive fees is not
contingent upon future trading performance and, therefore, is unaffected by the
Trust's poor trading performance in 2001 and 2000. None of the Trust's trading
managers earned an incentive fee in 2001 and 2000.

Financial Reporting by Commodity Pools

   During March 2001, the Accounting Standards Executive Committee 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 the Trust. Under the new requirements, the Trust 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 the Trust's financial
position or results of operations.

Inflation

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

                                       15

<Page>

                               OTHER INFORMATION

   The actual round-turn equivalent of brokerage commissions paid per contract
for the year ended December 31, 2001 was $96.

   The Trust'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:

        Prudential Securities Strategic Trust/0TH
        Peck Slip Station
        P.O. Box 2303
        New York, New York 10273-0005

                                       16

<Page>

0TH                                      PRESORTED
Peck Slip Station                        STANDARD
P.O. Box 2303                          U.S. POSTAGE
New York, NY 10273-0005                    PAID
                                      Automatic Mail


WILLO/17225