<Page>

                                                         2002
--------------------------------------------------------------------------------
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 schedules 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, 2002
and 2001, and the results of its operations and changes in trust capital for
each of the three years in the period ended December 31, 2002 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

February 24, 2003

                                       2

<Page>

                     PRUDENTIAL SECURITIES STRATEGIC TRUST
                          (a Delaware Business Trust)
                       STATEMENTS OF FINANCIAL CONDITION
<Table>
<Caption>
                                                                               December 31,
                                                                        ---------------------------
                                                                            2002            2001
---------------------------------------------------------------------------------------------------
<S>                                                                     <C>              <C>
ASSETS
Cash in commodity trading accounts                                       $8,527,359      $9,662,833
Net unrealized gain (loss) on open futures contracts                         56,102         (95,924)
Other receivables                                                             1,335           2,120
                                                                        ------------     ----------
Total assets                                                             $8,584,796      $9,569,029
                                                                        ------------     ----------
                                                                        ------------     ----------
LIABILITIES AND TRUST CAPITAL
Liabilities
Redemptions payable                                                      $   40,817      $   93,665
Management fees payable                                                       9,132          10,694
Unrealized loss on open forward contracts                                        --          21,053
                                                                        ------------     ----------
Total liabilities                                                            49,949         125,412
                                                                        ------------     ----------
Commitments

Trust capital
Limited interests (96,797.855 and 113,584.560 interests outstanding)      8,449,304       9,349,125
General interests (980 and 1,148 interests outstanding)                      85,543          94,492
                                                                        ------------     ----------
Total trust capital                                                       8,534,847       9,443,617
                                                                        ------------     ----------
Total liabilities and trust capital                                      $8,584,796      $9,569,029
                                                                        ------------     ----------
                                                                        ------------     ----------

Net asset value per limited and general interest                         $    87.29      $    82.31
                                                                        ------------     ----------
                                                                        ------------     ----------
---------------------------------------------------------------------------------------------------

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

                                       3

<Page>

                     PRUDENTIAL SECURITIES STRATEGIC TRUST
                          (a Delaware Business Trust)
                       Condensed Schedules of Investments
<Table>
<Caption>
                                                                   At December 31,
                                         --------------------------------------------------------------------
                                                       2002                                2001
                                         --------------------------------    --------------------------------

                                         Net Unrealized                      Net Unrealized
                                          Gain (Loss)                         Gain (Loss)
                                           as a % of       Net Unrealized      as a % of       Net Unrealized
Futures Contracts                        Trust Capital      Gain (Loss)      Trust Capital      Gain (Loss)
-------------------------------------------------------------------------------------------------------------
<S>                                      <C>               <C>               <C>               <C>               <C>
Futures contracts purchased:
  Stock indices                                              $  (36,059)                         $   36,704
  Interest rates                                                261,040                             (92,254)
  Currencies                                                     90,669                            (192,533)
  Commodities                                                   (36,719)                            (33,820)
                                                           --------------                      --------------
     Net unrealized gain (loss) on
       futures contracts purchased             3.27%            278,931           (2.99)%          (281,903)
                                                           --------------                      --------------
Futures contracts sold:
  Stock indices                                                   1,004                                  --
  Interest rates                                               (175,554)                             18,171
  Currencies                                                    (48,279)                            157,050
  Commodities                                                        --                              10,758
                                                           --------------                      --------------
     Net unrealized gain (loss) on
       futures contracts sold                 (2.61)           (222,829)           1.97             185,979
                                             ------        --------------                      --------------
     Net unrealized gain (loss) on
     futures contracts                         0.66%         $   56,102           (1.02)%        $  (95,924)
                                             ------        --------------        ------        --------------
                                             ------        --------------        ------        --------------
Forward currency contracts purchased          (0.04)%        $   (3,158)          (0.22)%        $  (21,053)
Forward currency contracts sold                0.04               3,158              --                  --
                                             ------        --------------        ------        --------------
     Net unrealized loss on forward
       contracts                               0.00%         $        0           (0.22)%        $  (21,053)
                                             ------        --------------        ------        --------------
                                             ------        --------------        ------        --------------
Settlement Currency--Futures Contracts
  British pound                               (1.03)%        $  (87,605)           0.54%         $   51,697
  Canadian dollar                             (0.42)            (36,264)           0.37              34,908
  Euro                                         1.58             134,838           (1.58)           (148,945)
  Japanese yen                                (0.21)            (17,576)           0.05               4,424
  Australian dollar                            0.03               2,770           (0.03)             (2,958)
  Swiss franc                                  0.20              16,844            0.04               3,451
  Swedish krona                               (0.00)               (164)             --                  --
  U.S. dollar                                  0.51              43,259           (0.41)            (38,501)
                                             ------        --------------        ------        --------------
     Total                                     0.66%         $   56,102           (1.02)%        $  (95,924)
                                             ------        --------------        ------        --------------
                                             ------        --------------        ------        --------------
Settlement Currency--Forward Contracts
  U.S. dollar                                  0.00%         $        0           (0.22)%        $  (21,053)
                                             ------        --------------        ------        --------------
     Total                                     0.00%         $        0           (0.22)%        $  (21,053)
                                             ------        --------------        ------        --------------
                                             ------        --------------        ------        --------------
-------------------------------------------------------------------------------------------------------------
                      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,
                                                            ----------------------------------------
                                                               2002          2001           2000
----------------------------------------------------------------------------------------------------
<S>                                                         <C>            <C>           <C>
REVENUES
Net realized gain (loss) on commodity transactions          $1,004,217     $(158,207)    $(5,711,411)
Change in net unrealized gain/loss on open commodity
  positions                                                    173,079      (181,168)     (3,417,019)
Interest income                                                163,669       385,785       1,011,209
                                                            ----------     ---------     -----------
                                                             1,340,965        46,410      (8,117,221)
                                                            ----------     ---------     -----------
EXPENSES
Commissions                                                    677,675       806,004       1,239,674
Management fees                                                119,759       145,698         226,233
                                                            ----------     ---------     -----------
                                                               797,434       951,702       1,465,907
                                                            ----------     ---------     -----------
Net income (loss)                                           $  543,531     $(905,292)    $(9,583,128)
                                                            ----------     ---------     -----------
                                                            ----------     ---------     -----------
ALLOCATION OF NET INCOME (LOSS)
Limited interests                                           $  538,093     $(896,233)    $(9,487,283)
                                                            ----------     ---------     -----------
                                                            ----------     ---------     -----------
General interests                                           $    5,438     $  (9,059)    $   (95,845)
                                                            ----------     ---------     -----------
                                                            ----------     ---------     -----------
NET INCOME (LOSS) PER WEIGHTED AVERAGE LIMITED AND
  GENERAL INTEREST
Net income (loss) per weighted average limited and
  general interest                                          $     5.11     $   (6.96)    $    (47.34)
                                                            ----------     ---------     -----------
                                                            ----------     ---------     -----------
Weighted average number of limited and general interests
  outstanding                                                  106,298       130,085         202,424
                                                            ----------     ---------     -----------
                                                            ----------     ---------     -----------

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

                     STATEMENTS OF CHANGES IN TRUST CAPITAL
<Table>
<Caption>
                                                             LIMITED         GENERAL
                                           INTERESTS        INTERESTS       INTERESTS        TOTAL
------------------------------------------------------------------------------------------------------
<S>                                       <C>              <C>              <C>           <C>
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
Net income                                                      538,093         5,438          543,531
Redemptions                                (16,954.705)      (1,437,914)      (14,387)      (1,452,301)
                                          ------------     ------------     ---------     ------------
Trust capital--December 31, 2002            97,777.855     $  8,449,304     $  85,543     $  8,534,847
                                          ------------     ------------     ---------     ------------
                                          ------------     ------------     ---------     ------------

------------------------------------------------------------------------------------------------------
                   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 Statutory Trust
Act 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, Prudential Securities Futures
Management Inc. (the 'Managing Owner'), is a wholly-owned subsidiary of
Prudential Securities Incorporated ('PSI'), which, in turn, is an indirect
wholly-owned subsidiary of Prudential Financial, Inc. ('Prudential'). 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.

   In February 2003, Prudential and Wachovia Corp. ('Wachovia') announced an
agreement to combine each company's respective retail securities, brokerage and
clearing operations within a new firm, which will be headquartered in Richmond,
Virginia. Under the agreement, Prudential will have a 38% ownership interest in
the new firm and Wachovia will own 62%. The transaction, which includes the
securities brokerage, securities clearing, and debt capital markets operations
of PSI, but does not include the equity sales, trading and research operations
or commodity brokerage and derivative operations of PSI, is anticipated to close
in the third quarter of 2003. The Managing Owner, as well as the Commodity
Broker, will continue to be indirect wholly-owned subsidiaries of Prudential.

   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 associated with
the assets that were allocated to it from 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.

                                       6

<Page>

   As of January 31, 2003, Gamma was terminated as a trading manager to the
Trust. On February 11, 2003, the Managing Owner and the Trust entered into an
advisory agreement with Graham Capital Management, LP ('Graham') to manage a
portion of the Trust's assets as further discussed in Note H.

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. Net unrealized gain or loss on open contracts denominated in foreign
currencies and foreign currency holdings are translated into U.S. dollars at the
exchange rates prevailing on the last business day of the year. Realized gains
and losses on commodity transactions are recognized in the period in which the
contracts are closed.

   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 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. Partial redemptions are permitted.

New Accounting Guidance

   In November 2002, the Financial Accounting Standards Board issued
Interpretation No. 45 ('FIN 45'), Guarantor's Accounting and Disclosure
Requirements for Guarantees, Including Indirect Guarantees of Indebtedness of
Others, which the Trust adopted at December 31, 2002. FIN 45 elaborates on the
disclosures to be made by a guarantor in its financial statements about its
obligations under certain guarantees that it has issued. Consistent with
standard business practices in the normal course of business, the Trust has
provided general indemnifications to the Managing Owner, its Trading Advisor and
others when they act, in good faith, in the best interests of the Trust. The
Trust is unable to develop an estimate of the maximum potential amount of future
payments that could potentially result from any hypothetical future claim, but
expects the risk of having to make any payments under these general business
indemnifications to be remote.

                                       7

<Page>

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 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. 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. 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, as well as the Trust's routine operational, administrative, legal and
auditing costs, and costs paid to organize the Trust and offer its Interests.

   The Trust's assets are maintained either in trading or cash accounts with PSI
for margin purposes. 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, 2002, a non-U.S. affiliate of the Managing Owner owns
116.497 limited interests of the Trust.

   The costs charged to the Trust for brokerage services for the years ended
December 31, 2002, 2001 and 2000 were $677,675, $806,004, and $1,239,674,
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).

                                       8

<Page>

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 or settle in cash. Since the repurchase
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 the particular exchange.
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, there is concentration risk on
forward transactions entered into by the Trust as PSI, the Trust's commodity
broker, is the sole counterparty. 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; however, counterparty
non-performance on only certain of the Trust's contracts may result in greater
loss than non-performance on all the Trust's contracts. 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 contributions,
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 interest 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 and is not permitted to commingle such assets with
other assets of PSI. At December 31, 2002, such segregated assets totalled
$961,435. Part 30.7 of the CFTC regulations also requires PSI to

                                       9

<Page>

secure assets of the Trust related to foreign futures trading which totalled
$7,622,026 at December 31, 2002. There are no segregation requirements for
assets related to forward trading.

   As of December 31, 2002, all of the Trust's open futures and forward
contracts mature within one year.

G. Financial Highlights

<Table>
<Caption>
                                                                               For the Year Ended
                                                                                  December 31,
                                                                             ----------------------
                                                                                2002          2001
                                                                             -----------     ------
<S>                                                                          <C>             <C>
Performance per Interest
  Net asset value, beginning of period                                         $ 82.31       $88.28
                                                                             -----------     ------
  Net realized gain (loss) and change in net unrealized gain/loss on
     commodity transactions                                                      10.95        (1.56)
  Interest income                                                                 1.54         2.90
  Expenses                                                                       (7.51)       (7.31)
                                                                             -----------     ------
  Net increase (decrease) for the period                                          4.98        (5.97)
                                                                             -----------     ------
  Net asset value, end of period                                               $ 87.29       $82.31
                                                                             -----------     ------
                                                                             -----------     ------
Total return                                                                      6.05%       (6.76)%
Ratio to average net assets
  Interest income                                                                 1.80%        3.46%
  Expenses                                                                        8.75%        8.53%
</Table>

      These financial highlights represent the overall results of the Trust for
the years ended December 31, 2002 and 2001. An individual limited owner's actual
results may differ depending on the timing of redemptions.

H. Subsequent Event

   As of January 31, 2003 Gamma was terminated as a trading manager to the
Trust. On February 11, 2003 the Managing Owner and the Trust entered into an
advisory agreement with Graham Capital Management, LP ('Graham') to manage a
portion of the Trust's assets. Pursuant to the advisory agreement, Graham is to
be paid a monthly management fee equal to 1/6 of 1% (approximately 2% annually)
and an incentive fee of 20% of the 'New High Net Trading Profits' on the portion
of Trust assets allocated to Graham, the same as was paid to Gamma. Graham does
not have to recoup Gamma's cumulative trading losses before earning any
incentive fees. The Trust did not incur commissions and management fees from the
period February 1, 2003 to February 13, 2003 on the portion of assets
unallocated to trading (i.e. the portion of assets previously managed by Gamma).
The advisory agreement may be terminated for a variety of reasons, including at
the discretion of the Managing Owner.

                                       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)

     /s/ Steven Weinreb
     By: Steven Weinreb
     Chief Financial Officer
--------------------------------------------------------------------------------

                                       11

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                     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 from the sales of Interests 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, 2002, 2001 and 2000 were $1,437,914, $2,691,282 and $11,041,121,
respectively. Redemptions by the Managing Owner for the years ended December 31,
2002, 2001 and 2000 were $14,387, $27,189 and $111,483, respectively.
Redemptions of limited interests and general interests from the commencement of
operations, May 1, 1996, to December 31, 2002 totalled $53,325,707 and $427,013,
respectively. Future redemptions will impact the amount of funds available for
investment in commodity contracts in subsequent periods.

   At December 31, 2002, 100% of the Trust's net assets were allocated to
commodities trading. A significant portion of the net assets of the Trust was
held in cash, which was 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 balances 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 F 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, 2002 was $87.29, an
increase of 6.05% from the December 31, 2001 net asset value per Interest of
$82.31, which was a decrease of 6.76% from the December 31, 2000 net asset value
per Interest of $88.28. The CISDM Fund/Pool Qualified Universe Index (formerly
the Zurich Fund/Pool Qualified Universe Index) returned 11.99% and 7.52% for the
years ended December 31, 2002 and 2001, respectively. The CISDM Fund/Pool
Qualified Universe Index is the dollar

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weighted, total return of all commodity pools tracked by Managed Account
Reports, LLC. Past performance is not necessarily indicative of future results.

   The Trust's trading gains/(losses) before commissions were $1,177,000,
$(339,000) and $(9,128,000) during the years ended December 31, 2002, 2001 and
2000, 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 2002 trading results is presented below.

   Net losses for the Trust were experienced in the index, metals and energy
sectors. Profits were the result of gains in the currency and financial sectors.

   Global equity indices began the year choppily due to continuing weak
economies and concerns about balance sheet reporting and accounting
irregularities. Positive data and hopes of an economic recovery boosted stock
markets towards the middle of the first quarter. However, as investor confidence
collapsed in response to concerns about accounting transparency at some firms,
heightened tension in the Middle East, and decreased corporate sales and
profits, global equity markets moved sharply lower throughout the second
quarter. This resulted in investors re-evaluating their outlook for a near-term
economic recovery. Equity markets rallied in mid October, triggered by a surge
of global economic optimism, but fell once again towards the end of the year
providing a negative return for the third consecutive year. Overall, equity
markets around the world showed poor performance for 2002. In the U.S., the Dow
Jones Industrial Average was down 16.76% for the year while the S&P 500 was down
23.37%. The London FTSE returned a negative 24.48% and the Hong Kong Hang Seng
Index ended the year down 18.21%. Overall, long positions in the S&P 500, Euro
DAX and Tokyo TOPIX resulted in net losses for the Trust.

   Gold and other precious metals soared throughout most of the first quarter in
response to weaknesses in the U.S. dollar and global equity markets and
instability in the Middle East. Base metals also began the year on a rise as
global economic activity showed signs of recovery. Gold prices reversed at first
quarter-end as a result of profit taking by traders and the sentiment that U.S.
and Japanese central banks would support the U.S. dollar. Gold ended the year
above $300 an ounce. Base metal prices fell in the second half of the year due
to weak economies and decreased industrial production. Gains earned by long gold
and silver positions in the second quarter of the year were not sufficient to
offset losses incurred during the rest of the year resulting in net losses for
the Trust.

   Energy markets were volatile at the beginning of the year, but rose toward
the first quarter-end as the escalating conflict in the Middle East prompted
fears of an interruption in supplies. This, together with hopes for increased
U.S. energy demand due to a recovering economy, reinforced the normal seasonal
upward pressure on energy prices. Energy prices declined in the second quarter
amid increased U.S. stock suggesting ample supply for the summer season and
anticipation that Russia would discontinue output restrictions. Through the end
of the year, energy markets climbed as fears of impending war with Iraq and the
Venezuelan oil strike pushed crude oil prices up significantly. Crude oil rose
from the low $20's per barrel earlier in the year to approximately $30 a barrel
at year-end. Gains earned from long crude oil positions in the second half of
the year were insufficient to offset losses, resulting in a net loss for the
Trust.

   In foreign exchange markets, the U.S. dollar began the year strong against
most major foreign currencies as the U.S. economy exhibited signs of recovery.
The trend reversed in the second quarter as weak U.S. economic growth in
relation to other economies and concerns regarding accounting irregularities in
major U.S. corporations drove the dollar downward. Most European currencies and
the euro were weak early in the year but rallied in March amid hopes of an
economic recovery. In the third quarter, the euro surpassed parity with the U.S.
dollar as investors' desire for U.S. assets decreased, but ended the quarter
lower. The British pound rose against the U.S. dollar early in the year amid
perceived strength in the British economy and positive economic data. Towards
the end of the year, the U.S. dollar began the quarter up amid evidence of a
firming U.S. economy, but traded lower against many major foreign currencies in
December. The market reacted to the sluggish U.S. economy, weaker foreign demand
for the U.S. dollar and expectations of war with Iraq. Gains for long euro,
Australian dollar and British pound currency positions during the second and
fourth quarter offset losses incurred during the third quarter. This resulted in
net gains for the Trust.

   Global bond markets trended lower through most of the first quarter amid
growing prospects for imminent interest rate hikes by central banks. In the
U.S., interest rates rose towards the end of the first quarter in response to
stronger than expected economic data and indications that the U.S. Federal
Reserve Bank (the 'Fed') would lean towards increasing rates in the near future.
The Fed kept rates unchanged at 1.75%

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throughout the first three quarters of the year. Other central banks, including
the European Central Bank and the Bank of Japan, generally followed the lead of
the Fed leaving rates unchanged and foreign bond markets rose as well. In the
second half of the year, the Japanese bond market was particularly strong as the
Japanese economy continued to struggle with recession and investors fled to
bonds for safety. Global bond prices in the fourth quarter were slightly weaker
as interest rates rose in response to the stock market rally and optimism on
economic prospects. This trend reversed when the Fed cut interest rates by 50
basis points to 1.25%, a new 40-year low, at its first quarterly meeting in
November. This was the first rate cut of 2002, following 11 cuts in 2001. The
Fed also switched its economic outlook for the near future from a bias toward
'economic weakness' to 'balanced'. U.S., Japanese and European bond markets
ended the year strong resulting in net gains for long European and Japanese bond
positions.

   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 lower during the year ended December 31, 2002
versus the prior year, primarily from redemptions offset, in part, by favorable
trading performance in 2002. 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.

   At inception of the Trust's trading activities, 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. 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. 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 and redemptions.
Interest income decreased by $222,000 for the year ended December 31, 2002 as
compared to 2001 and decreased by $625,000 for the year ended December 31, 2001
as compared to 2000. These decreases were due primarily to the decline in net
asset levels as discussed above. Additionally, declining interest rates in 2002
and 2001 compounded these decreases.

   Commissions are calculated on the Trust's net asset value at the beginning of
each month and, therefore, vary according to trading performance and
redemptions. Commissions decreased by $128,000 for the year ended December 31,
2002 as compared to 2001 and decreased by $434,000 for the year ended December
31, 2001 as compared to 2000 due to the decline in average net asset levels
offset, in part, by the postponement of commissions charged to the Trust by PSI
on the net assets unallocated to commodities trading during 2000 as discussed
above.

   At December 31, 2002, 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 and redemptions. Management fees decreased by $26,000 for
the year ended December 31, 2002 as compared to 2001 and decreased by $81,000
for the year ended December 31, 2001 as compared to 2000. The decreases were due
to the decline in average net asset levels

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offset, in part, by 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. No incentive fee was earned during the
three years ended December 31, 2002.

Inflation

   Inflation has had no material impact on operations or on the financial
condition of the Trust from inception through December 31, 2002.

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                               OTHER INFORMATION

   The actual round-turn equivalent of brokerage commissions paid per contract
for the year ended December 31, 2002 was $93.

   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

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




WILLO/17225