<PAGE>
 
                                                     1996
--------------------------------------------------------------------
Willowbridge Strategic Trust                         Annual
                                                     Report

<PAGE>
 
                          WILLOWBRIDGE STRATEGIC TRUST
           LETTER TO THE INTEREST HOLDERS FOR THE PERIOD MAY 1, 1996 
                           THROUGH DECEMBER 31, 1996
 
                                       1
<PAGE>
                         1177 Avenue of the Americas      Telephone 212 596 7000
                         New York, NY 10036               Facsimile 212 596 8910

Price Waterhouse LLP                                      (LOGO)
 
                       Report of Independent Accountants
 
January 29, 1997
 
To the Managing Owner and
Limited Owners of
Willowbridge Strategic Trust
 
In our opinion, the accompanying statement of financial condition and the
related statements of operations and of changes in trust capital present 
fairly, in all material respects, the financial position of
Willowbridge Strategic Trust (the ``Trust'') at December 31, 1996, the
results of its operations for the period from May 1, 1996 to 
December 31, 1996 and the changes in its trust capital for the year 
ended December 31, 1996, in conformity with generally accepted accounting 
principles. The financial statements are the responsibility of 
the managing owner; our responsibility is to express an opinion 
on these financial statements based on our audit. We conducted 
our audit of these statements in accordance with generally 
accepted auditing standards 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 audit provides a reasonable basis for the opinion expressed
above.
 
/s/ Price Waterhouse LLP
 
                                       2
 <PAGE>
<PAGE>
Deloitte &
   Touche LLP
                        --------------------------------------------------------
                        Two World Financial Center     Telephone: (212) 436-2000
                        New York, New York 10281-1414  Facsimile: (212) 436-5000
 

                          INDEPENDENT AUDITORS' REPORT
 
To the Interestholders of
Willowbridge Strategic Trust:
 
We have audited the accompanying statement of financial condition of
Willowbridge Strategic Trust as of December 31, 1995. This financial statement
is the responsibility of the Trust's management. Our responsibility is to
express an opinion on this financial statement based on our audit.
 
We conducted our audit in accordance with generally accepted auditing standards.
Those standards require that we plan and perform the audit to obtain reasonable
assurance about whether the statement of financial condition is free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the statement of financial condition. An audit
also includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall statement of financial
condition presentation. We believe that our audit of the statement of financial
condition provides a reasonable basis for our opinion.
 
In our opinion, such statement of financial condition presents fairly, in all
material respects, the financial position of Willowbridge Strategic Trust as of
December 31, 1995 in conformity with generally accepted accounting principles.
 
/s/ Deloitte & Touche LLP

October 14, 1996

-----------------
Deloitte Touche
Tohmatsu
International
-----------------

                                       2A
<PAGE>
 
                          WILLOWBRIDGE STRATEGIC TRUST
                          (a Delaware Business Trust)
                       STATEMENTS OF FINANCIAL CONDITION
<TABLE>
<CAPTION>
                                                                               December 31,
                                                                      ------------------------------
                                                                          1996              1995
<S>                                                                   <C>               <C>
----------------------------------------------------------------------------------------------------
ASSETS
Equity in commodity trading accounts:
Cash                                                                   $27,465,535        $    1,000
Net unrealized gain on open commodity positions                            354,215                --
                                                                      -------------     ------------
Net equity                                                              27,819,750             1,000
Other receivable                                                             4,224                --
                                                                      -------------     ------------
Total assets                                                           $27,823,974        $    1,000
                                                                      -------------     ------------
                                                                      -------------     ------------
LIABILITIES AND TRUST CAPITAL
Liabilities
Redemptions payable                                                    $   359,352        $       --
Management fee payable                                                      69,560                --
Incentive fee payable                                                      414,894                --
                                                                      -------------     ------------
Total liabilities                                                          843,806                --
                                                                      -------------     ------------
Commitments
Trust capital
Limited interests (258,057 and 0 interests outstanding)                 26,700,158                --
General interests (2,706.31 and 10 interests outstanding)                  280,010             1,000
                                                                      -------------     ------------
Total trust capital                                                     26,980,168             1,000
                                                                      -------------     ------------
Total liabilities and trust capital                                    $27,823,974        $    1,000
                                                                      -------------     ------------
                                                                      -------------     ------------
Net asset value per limited and general interests (``Interests'')      $    103.47        $   100.00
                                                                      -------------     ------------
                                                                      -------------     ------------
----------------------------------------------------------------------------------------------------
                  The accompanying notes are an integral part of these statements
</TABLE>
                                       3
<PAGE>
 
                          WILLOWBRIDGE STRATEGIC TRUST
                          (a Delaware Business Trust)
                            STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
                                                                                Period from
                                                                                May 1, 1996
                                                                              (commencement of
                                                                               operations) to
                                                                                December 31,
                                                                                    1996
<S>                                                                      <C>
---------------------------------------------------------------------------------------------------
REVENUES
Net realized gain on commodity transactions                                     $  3,130,423
Net unrealized gain on open commodity positions                                      354,215
Interest income                                                                      663,866
                                                                         --------------------------
                                                                                   4,148,504
                                                                         --------------------------
EXPENSES
Commissions                                                                        1,033,462
Incentive fees                                                                       414,894
Management fees                                                                      409,964
                                                                         --------------------------
                                                                                   1,858,320
                                                                         --------------------------
Net income                                                                      $  2,290,184
                                                                         --------------------------
                                                                         --------------------------
ALLOCATION OF NET INCOME
Limited interests                                                               $  2,268,174
                                                                         --------------------------
                                                                         --------------------------
General interests                                                               $     22,010
                                                                         --------------------------
                                                                         --------------------------
NET INCOME PER WEIGHTED AVERAGE LIMITED AND GENERAL INTEREST
Net income per weighted average limited and general interest                    $      10.79
                                                                         --------------------------
                                                                         --------------------------
Weighted average number of limited and general interests outstanding             212,276.447
                                                                         --------------------------
                                                                         --------------------------
 
---------------------------------------------------------------------------------------------------
</TABLE>
 
                     STATEMENT OF CHANGES IN TRUST CAPITAL
<TABLE>
<CAPTION>
                                                              LIMITED        GENERAL
                                             INTERESTS       INTERESTS      INTERESTS        TOTAL
<S>                                         <C>             <C>             <C>           <C>
-----------------------------------------------------------------------------------------------------
Initial trust capital--December 31, 1995          10.00     $        --     $  1,000      $     1,000
Contributions                                283,101.20      26,724,000      257,000       26,981,000
Net income                                           --       2,268,174       22,010        2,290,184
Redemptions                                  (22,347.89)     (2,292,016)          --       (2,292,016)
                                            -----------     -----------     ---------     -----------
Trust capital--December 31, 1996             260,763.31     $26,700,158     $280,010      $26,980,168
                                            -----------     -----------     ---------     -----------
                                            -----------     -----------     ---------     -----------
-----------------------------------------------------------------------------------------------------
                   The accompanying notes are an integral part of these statements
</TABLE>
                                       4
<PAGE>
 
                          WILLOWBRIDGE STRATEGIC TRUST
                          (a Delaware Business Trust)
                         NOTES TO FINANCIAL STATEMENTS
 
A. General
 
   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, options and forward 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 a wholly-owned subsidiary of Prudential Securities Group Inc. PSI is
the principal underwriter and selling agent for the Trust's interests (the
``Interests'') as well as the commodity broker (``Commodity Broker'') of the
Trust.
 
   The Trust is offering a maximum of $100,000,000 of limited interests. 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. Additional Interests are being offered monthly at the then current
net asset value per Interest until no later than January 31, 1998 but in no
event after $100,000,000 in limited interests are sold (the ``Continuous
Offering Period''). A minimum initial contribution of $5,000 ($2,000 for an IRA
account) is required for each new limited owner unless the Managing Owner, in
its sole discretion, approves a contribution of a lesser amount. Existing
limited owners are permitted to make additional contributions in increments of
not less than $100 during the Continuous Offering Period.
 
   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. Therefore, it must
contribute to the Trust between $101,000 and $1,010,000 depending upon the total
number of limited interests sold during the Initial & Continuous Offering
Periods. In return, it is entitled to a proportionate number of general
interests with at least a 1% interest in the profits and losses of the Trust.
 
   The Managing Owner, on behalf of the Trust, entered into an agreement (the
``Advisory Agreement'') with Willowbridge Associates Inc., an independent
commodity trading manager (the ``Trading Manager'') to make the Trust's
commodities trading decisions. The Managing Owner has made 100% of the Trust's
assets available for trading by the Trading Manager; however, the Managing Owner
retains the authority to override trading instructions that violate the Trust's
trading policies. The Advisory Agreement is for an initial term of approximately
one year and may be renewed thereafter for additional successive one-year terms.
The Managing Owner retains the right to retain additional or substitute
commodity trading managers at its discretion.
 
B. Summary of Significant Accounting Principles
 
Basis of Accounting
 
   The books and records of the Trust are maintained on the accrual basis of
accounting in accordance with generally accepted accounting principles.
 
   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. Options transactions are reflected in the statements of financial
condition at market value, which is inclusive of the net unrealized gain or
loss. The market value of each contract is based upon the closing quotation on
the exchange, clearing firm or bank on, or through, which the contract is
traded.
 
   The weighted average number of limited and general interests outstanding was
computed for purposes of disclosing net income per weighted average limited and
general interest. The weighted average limited and general interests are equal
to the number of Interests outstanding at period end, adjusted proportionately
for Interests subscribed and redeemed based on their respective time outstanding
during such period.
 
                                       5
 <PAGE>
<PAGE>
 
   The Partnership 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, subscriptions, distributions and redemptions
 
   Net realized profits or losses for tax purposes are allocated first to
Interest holders who redeem Interests to the extent the amounts received on
redemption are greater than or are less than the amounts paid for the redeemed
Interests by the Interest holders. Net realized profits or losses remaining
after these allocations are allocated to each Interest holder in proportion to
such Interest holder's capital account at year-end. Net income or loss for
financial reporting purposes is allocated monthly for all Interest holders on a
pro rata basis based on each Interest holder's number of Interests outstanding
during the month.
 
   Distributions (other than on redemptions of Interests) are made at the sole
discretion of the Managing Owner on a pro rata basis in accordance with the
respective capital accounts of the Interest holders. No distributions have been
made since inception.
 
   Additional Interests are being offered monthly at their month-end NAV per
Interest until the Continuous Offering Period is terminated as discussed in Note
A.
 
   Redemptions are permitted as of the last business day of each month, on at
least 10 days' prior written notice. Redemptions are at the then current net
asset value per Interest; however, Interests redeemed on or prior to the end of
the first and second successive six-month periods after their purchase are
subject to redemption charges of 4% and 3%, respectively, of the net asset value
at which they are redeemed. These redemption charges are paid to the Managing
Owner. Partial redemptions are permitted.
 
C. Fees
 
Organizational, offering, and general and administrative costs
 
   PSI or its affiliates pay the costs of organizing the Trust and offering its
Interests as well as administrative costs incurred by the Managing Owner or its
affiliates for services it performs 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 the Trading Manager a monthly management fee of 1/4 of 1% (3%
per annum) of the Trust's net asset value as of the last day of each month and a
quarterly incentive fee of 20% of ``New High Net Trading Profits'' (as defined
in the Advisory Agreement).
 
Commissions
 
   The Managing Owner, on behalf of the Trust, entered into an agreement (the
``Brokerage Agreement'') with PSI to act as Commodity Broker whereby the Trust
pays a fixed monthly fee for brokerage and other services rendered. The monthly
fee is equal to .64583 of 1% (7.75% per annum) of the Trust's net asset value as
of the first day of each month. From this fee, PSI pays all of the Trust's
execution (i.e., floor brokerage expenses, give-up charges and NFA, clearing and
exchange fees) and account maintenance costs, as well as compensation to
employees who sell 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.
 
   One hundred percent of the proceeds of this offering are received in the
Trust's name and deposited in cash in segregated trading accounts at PSI and
will remain there for as long as the Trust's Brokerage
                                       6
<PAGE>
Agreement with PSI remains in effect. PSI credits the Trust monthly with 80% of
the interest it earns on the equity in these accounts and retains the remaining
20%.
 
   The costs charged to the Trust for brokerage services for the period from May
1, 1996 (commencement of operations) to December 31, 1996 were $1,033,462.
 
   In connection with the Trust's interbank transactions, PSI engages in foreign
currency forward transactions with the Trust and an affiliate of PSI who, as
principal, attempts to earn a profit on the bid-ask spreads (which must be
competitive) on any foreign currency forward transactions entered into between
the Trust and PSI, on the one hand, and PSI and such affiliate on the other. In
connection with its trading of foreign currencies in the interbank market, PSI
may arrange bank lines of credit at major international banks. To the extent
such lines of credit are arranged, PSI does not charge the Trust for maintaining
such lines of credit, but requires margin deposits with respect to forward
contract transactions.
 
E. Income Taxes
 
   There are no differences between the tax basis and book basis of Interest
holders' capital for the period from May 1, 1996 (commencement of operations) to
December 31, 1996.
 
F. Credit and Market Risk
 
   Since the Trust's business is to trade futures, forward and options
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).
 
   Futures, forward and options contracts involve varying degrees of off-balance
sheet risk; and changes in the level of volatility of interest rates, foreign
currency exchange rates or the market values of the contracts (or commodities
underlying the contracts) frequently result in changes in the Trust's unrealized
gain (loss) on open commodity positions reflected in the statements of financial
condition. The Trust's exposure to market risk is influenced by a number of
factors including the relationships among the contracts held by the Trust as
well as the liquidity of the markets in which the contracts are traded.
 
   Futures and options contracts are traded on organized exchanges and are thus
distinguished from forward contracts which are entered into privately by the
parties. The credit risks associated with futures and options contracts are
typically perceived to be less than those associated with forward contracts
because exchanges typically provide clearinghouse arrangements in which the
collective credit (subject to certain limitations) of the members of the
exchanges is pledged to support the financial integrity of the exchange. On the
other hand, the Trust must rely solely on the credit of its broker (PSI) with
respect to forward transactions.
 
   The Managing Owner attempts to minimize both credit and market risks by
requiring the Trust's Trading Manager 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. The Managing Owner may impose additional
restrictions (through modifications of such trading limitations and policies)
upon the trading activities of the Trading Manager 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 and options 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 and options trading and not to commingle such
assets with other assets of PSI. At December 31, 1996, such segregated assets
totalled $23,463,181. Part 30.7 of the CFTC regulations also requires PSI to
secure assets of the Trust related to foreign futures and options trading which
totalled $4,356,569 at December 31, 1996. There are no segregation requirements
for assets related to forward trading.
 
                                       7
<PAGE>
 
   As of December 31, 1996, all open futures contracts mature within nine
months.
 
   As of December 31, 1996, gross contract amounts of open futures contracts
are:
 
<TABLE>
                    <S>                                            <C>
                    Financial Futures Contracts:
                      Commitments to purchase                      $ 61,090,445
                      Commitments to sell                          $ 22,255,035
                    Currency Futures Contracts:
                      Commitments to purchase                      $  2,891,650
                      Commitments to sell                          $ 12,957,888
                    Other Futures Contracts:
                      Commitments to purchase                      $ 11,829,016
                      Commitments to sell                          $  3,189,296
</TABLE>
 
   The gross contract amounts represent the Trust's potential involvement in a
particular class of financial instrument (if it were to take or make delivery on
an underlying futures or options contract). The gross contract amounts
significantly exceed the future cash requirements as the Trust intends to close
out open positions prior to settlement and thus 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, forward and options contracts
to be the net unrealized gain or loss on the contracts (plus premiums on
options). Thus, the amount at risk associated with counterparty nonperformance
of all contracts is the net unrealized gain included in the statements of
financial condition. The market risk associated with the Trust's commitments to
purchase commodities is limited to the gross contract amounts involved, while
the market risk associated with its commitments to sell is unlimited since the
Trust's potential involvement is to make delivery of an underlying commodity at
the contract price; therefore, it must repurchase the contract at prevailing
market prices.
 
      The following table presents the average fair value of futures and options
contracts during the year ended December 31, 1996 and the related fair value of
such contracts as of December 31, 1996.
 
<TABLE>
<CAPTION>
                                      Average Fair Value                  Fair Value
                                    Assets       Liabilities        Assets       Liabilities
                                 ------------    ------------    ------------    ------------
<S>                              <C>             <C>             <C>             <C>
Futures Contracts:
  Domestic exchanges
     Financial                    $  120,518      $   41,843      $   27,000      $   96,094
     Currencies                      426,724          98,904         151,650          56,533
     Other                           373,360         423,556         204,414         160,312
  Foreign exchanges
     Financial                       997,596          33,195          73,065          84,446
     Other                            81,644          23,941         307,291          11,820
Options Contracts:
  Domestic exchanges
     Financial                        15,606              --              --              --
     Currencies                       60,060              --              --              --
     Other                            17,520              --              --              --
  Foreign exchanges
     Financial                         5,650              --              --              --
                                 ------------    ------------    ------------    ------------
                                  $2,098,678      $  621,439      $  763,420      $  409,205
                                 ------------    ------------    ------------    ------------
                                 ------------    ------------    ------------    ------------
</TABLE>
 
                                       8
<PAGE>
 
   The following table presents the net realized gains (losses) and the net
unrealized gains (losses) of futures and options contracts for the period from
May 1, 1996 (commencement of operations) through December 31, 1996.
 
<TABLE>
<CAPTION>
                                             Net Realized
                                                Gains          Net Unrealized
                                               (Losses)        Gains (Losses)          Total
                                             ------------      ---------------      -----------
          <S>                                <C>               <C>                  <C>
          Futures Contracts:
            Domestic exchanges
               Financial                     $    522,445         $ (69,094)        $   453,351
               Currencies                         638,502            95,117             733,619
               Other                           (1,875,153)           44,102          (1,831,051)
            Foreign exchanges
               Financial                        4,491,095           (11,381)          4,479,714
               Other                              (39,746)          295,471             255,725
          Options Contracts:
            Domestic exchanges
               Financial                         (146,094)               --            (146,094)
               Currencies                        (195,150)               --            (195,150)
               Other                             (181,779)               --            (181,779)
            Foreign exchanges
               Financial                          (83,697)               --             (83,697)
                                             ------------      ---------------      -----------
                                             $  3,130,423         $ 354,215         $ 3,484,638
                                             ------------      ---------------      -----------
                                             ------------      ---------------      -----------
</TABLE>
                                       9
<PAGE>
 
                          WILLOWBRIDGE 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 are offered
monthly at the then current net asset value per Interest until no later than
January 31, 1998 but in no event after $100,000,000 in limited interests are
sold.
 
   At December 31, 1996, 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 equity 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, forward and options
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 Managing Owner attempts to minimize these risks
by requiring the Trust's Trading Manager to abide by various trading limitations
and policies. See Note F to the financial statements for a further discussion of
the credit and market risks associated with the Trust's futures, forward and
options contracts.
 
   Redemptions of limited interests for the period from May 1, 1996
(commencement of operations) through December 31, 1996 were $2,292,016.
Additional contributions raised through the continuous offering resulted in
additional gross proceeds to the Trust of $14,295,800 for the period from May 1,
1996 (commencement of operations) to December 31, 1996 and $13,221,200 for
January 1, 1997 through March 1, 1997. Future redemptions and contributions will
impact the amount of funds available for investment in commodity contracts in
subsequent periods.
 
   The Trust does not have, nor does it expect to have, any capital assets.
 
Results of Operations
 
   The Trust commenced trading on May 1, 1996 posting a gain of 3.47% for the
period ended December 31, 1996. The MAR (Managed Account Reports) Fund/Pool
Index, which tracked the performance of 420 futures funds, returned 9.45% for
the comparable period in 1996, outperforming the Trust. The net asset value per
Interest as of December 31, 1996 was $103.47. Past performance is not
necessarily indicative of future results.
 
   The international interest rate, stock index and currency sectors were the
solid performers in 1996, especially during the fourth quarter. In the financial
sector, German, French and Japanese bond positions were profitable. With
sluggish economic growth in Europe and Japan and only moderate U.S. growth, the
Trust profited from rising bond prices in the major international countries as
the financial markets adjusted to slower rates of growth in the second half of
1996. In the stock index sector, long U.S. stock index positions posted gains as
U.S. stock prices rose on expectations that moderate U.S. economic growth would
be accompanied by continuing low rates of inflation.
 
   In the energy sector, tight supplies of natural gas drove prices higher also
impacting crude and heating oil. Long positions in these commodities were
profitable. The grain sector was profitable early in the year due to rising
international demand and historically low reserves; however, especially
favorable weather
                                       10

<PAGE>
conditions in the second half of the year increased crop expectations, causing
grain prices to decline. Thus, the Trust's long positions experienced losses. In
the soft sector, coffee and cotton positions were unprofitable as changing
expectations in their growing conditions caused widely volatile price moves.
 
   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 was $663,866 for the period from May 1, 1996
(commencement of operations) through December 31, 1996.
 
   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 for the period from May 1, 1996 through December
31, 1996 were $1,033,462.
 
   All trading decisions for the Trust are made by Willowbridge Associates Inc.,
the Trading Manager. Management fees are calculated on the Trust's net asset
value at the end of each month and, therefore, are affected by trading
performance, contributions and redemptions. Management fees for the period from
May 1, 1996 through December 31, 1996 were $409,964.
 
   Incentive fees are based on the New High Net Trading Profits generated by the
Trading Manager, as defined in the Advisory Agreement between the Trust, the
Managing Owner and the Trading Manager. Incentive fees earned during the period
from May 1, 1996 through December 31, 1996 were $414,894.
 
Inflation
 
   Inflation has had no material impact on operations or on the financial
condition of the Trust from inception through December 31, 1996.
 
                                       11
<PAGE>
 
--------------------------------------------------------------------------------
      I hereby affirm that, to the best of my knowledge and belief, the
information contained herein relating to Willowbridge Strategic Trust is
accurate and complete.
 
     PRUDENTIAL SECURITIES
     FUTURES MANAGEMENT INC.
     (Managing Owner)
 
     By: Barbara J. Brooks
     Treasurer and Chief Financial Officer
--------------------------------------------------------------------------------
 
                                       12
<PAGE>
 
                               OTHER INFORMATION
 
   The actual round-turn equivalent of brokerage commissions paid per contract
for the year ended December 31, 1996 was $49.
 
   The Trust's Annual Report on Form 10-K as filed with the Securities and
Exchange Commission is available to limited interest holders without charge upon
written request to:
 
       Willowbridge Strategic Trust
        P.O. Box 2016
        Peck Slip Station
        New York, New York 10272-2016
 
                                       13
<PAGE>
Peck Slip Station                                  BULK RATE
P.O. Box 2016                                     U.S. POSTAGE
New York, NY 10272                                    PAID
                                                 Automatic Mail
 
WILLO/17225