<Page>
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
(Mark One)
/X/ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
ACT OF 1934
For the quarterly period ended June 30, 2001
OR
/ / TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
ACT OF 1934
For the transition period from _______________________ to ______________________
Commission file number: 0-23885
PRUDENTIAL SECURITIES STRATEGIC TRUST
- --------------------------------------------------------------------------------
(Exact name of Registrant as specified in its charter)
Delaware 13-7075398
- --------------------------------------------------------------------------------
(State or other jurisdiction of (I.R.S. Employer Identification No.)
incorporation or organization)
One New York Plaza, 13th Floor, New York, New York 10292
- --------------------------------------------------------------------------------
(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code (212) 778-7866
N/A
- --------------------------------------------------------------------------------
Former name, former address and former fiscal year, if changed since last report
Indicate by check CK whether the Registrant (1) has filed all reports
required to be filed by Section 13 or 15(d) of the Securities Exchange Act of
1934 during the preceding 12 months (or for such shorter period that the
Registrant was required to file such reports), and (2) has been subject to such
filing requirements for the past 90 days. Yes _CK_ No __
<Page>
PART I. FINANCIAL INFORMATION
ITEM I. FINANCIAL STATEMENTS
PRUDENTIAL SECURITIES STRATEGIC TRUST
(a Delaware Business Trust)
STATEMENTS OF FINANCIAL CONDITION
(Unaudited)
<Table>
<Caption>
June 30, December 31,
2001 2000
- ---------------------------------------------------------------------------------------------------
ASSETS
Cash $10,352,011 $13,240,014
Net unrealized gain on open futures contracts 73,224 75,883
Other receivable 4,975 895
----------- ------------
Total assets $10,430,210 $13,316,792
----------- ------------
----------- ------------
LIABILITIES AND TRUST CAPITAL
Liabilities
Redemptions payable $ 300,267 $ 222,610
Unrealized loss on open forward contracts 107,638 11,692
Management fees payable 11,805 15,110
----------- ------------
Total liabilities 419,710 249,412
----------- ------------
Commitments
Trust capital
Limited interests (124,918.810 and 146,544.840 interests
outstanding) 9,910,380 12,936,640
General interests (1,262 and 1,481 interests outstanding) 100,120 130,740
----------- ------------
Total trust capital 10,010,500 13,067,380
----------- ------------
Total liabilities and trust capital $10,430,210 $13,316,792
----------- ------------
----------- ------------
Net asset value per limited and general interest ('Interests') $ 79.33 $ 88.28
----------- ------------
----------- ------------
- ---------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements.
2
<Page>
PRUDENTIAL SECURITIES STRATEGIC TRUST
(a Delaware Business Trust)
STATEMENTS OF OPERATIONS
(Unaudited)
<Table>
<Caption>
Six months ended Three months ended
June 30, June 30,
--------------------------- -------------------------
2001 2000 2001 2000
- ------------------------------------------------------------------------------------------------------
REVENUES
Net realized gain (loss) on commodity
transactions $ (919,057) $(3,199,403) $ (496,617) $ 867,998
Change in net unrealized gain/loss on
open commodity positions (98,605) (3,890,761) 402,435 (52,737)
Interest income 249,476 576,172 103,485 271,055
----------- ----------- ---------- ----------
(768,186) (6,513,992) 9,303 1,086,316
----------- ----------- ---------- ----------
EXPENSES
Commissions 435,617 647,736 200,872 226,671
Management fees 78,500 121,657 36,613 30,093
----------- ----------- ---------- ----------
514,117 769,393 237,485 256,764
----------- ----------- ---------- ----------
Net income (loss) $(1,282,303) $(7,283,385) $ (228,182) $ 829,552
----------- ----------- ---------- ----------
----------- ----------- ---------- ----------
ALLOCATION OF NET INCOME (LOSS)
Limited interests $(1,269,472) $(7,210,539) $ (225,898) $ 821,254
----------- ----------- ---------- ----------
----------- ----------- ---------- ----------
General interests $ (12,831) $ (72,846) $ (2,284) $ 8,298
----------- ----------- ---------- ----------
----------- ----------- ---------- ----------
NET INCOME (LOSS) PER WEIGHTED AVERAGE
LIMITED AND GENERAL INTEREST
Net income (loss) per weighted average
limited and general interest $ (9.20) $ (31.32) $ (1.71) $ 3.95
----------- ----------- ---------- ----------
----------- ----------- ---------- ----------
Weighted average number of limited and
general interests outstanding 139,330 232,574 133,578 209,763
----------- ----------- ---------- ----------
----------- ----------- ---------- ----------
- ------------------------------------------------------------------------------------------------------
</Table>
STATEMENT OF CHANGES IN TRUST CAPITAL
(Unaudited)
<Table>
<Caption>
LIMITED GENERAL
INTERESTS INTERESTS INTERESTS TOTAL
- -----------------------------------------------------------------------------------------------------
Trust capital--December 31, 2000 148,025.840 $12,936,640 $130,740 $13,067,380
Net loss (1,269,472) (12,831 ) (1,282,303)
Redemptions (21,845.030) (1,756,788) (17,789 ) (1,774,577)
------------ ----------- --------- -----------
Trust capital--June 30, 2001 126,180.810 $ 9,910,380 $100,120 $10,010,500
------------ ----------- --------- -----------
------------ ----------- --------- -----------
- -----------------------------------------------------------------------------------------------------
</Table>
The accompanying notes are an integral part of these statements.
3
<Page>
PRUDENTIAL SECURITIES STRATEGIC TRUST
(a Delaware Business Trust)
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2001
(Unaudited)
A. General
These financial statements have been prepared without audit. In the opinion
of Prudential Securities Futures Management Inc. (the 'Managing Owner'), the
financial statements contain all adjustments (consisting of only normal
recurring adjustments) necessary to state fairly the financial position of
Prudential Securities Strategic Trust (the 'Trust') as of June 30, 2001 and the
results of its operations for the six and three months ended June 30, 2001 and
2000. However, the operating results for these interim periods may not be
indicative of the results expected for the full year.
Certain information and footnote disclosures normally included in annual
financial statements prepared in accordance with accounting principles generally
accepted in the United States of America have been omitted. It is suggested that
these financial statements be read in conjunction with the financial statements
and notes thereto included in the Trust's Annual Report on Form 10-K filed with
the Securities and Exchange Commission for the year ended December 31, 2000.
B. Related Parties
The Managing Owner is a wholly-owned subsidiary of Prudential Securities
Incorporated ('PSI'), which, in turn, is a wholly-owned subsidiary of Prudential
Securities Group Inc. 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 bear 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 costs charged to the Trust for brokerage services for the six and three
months ended June 30, 2001 and 2000 were $435,617, $200,872, $647,736 and
$226,671, respectively.
The Trust's assets are maintained either in trading or cash accounts at PSI
or, for margin purposes, with the various exchanges on which the Trust is
permitted to trade. PSI credits the Trust monthly with 80% of the interest it
earns on the average net assets in the Trust's accounts and retains the
remaining 20%.
The Trust, acting through its trading managers, executes over-the-counter,
spot, forward and/or option foreign exchange transactions with PSI. PSI then
engages in back-to-back trading with an affiliate, Prudential-Bache Global
Markets Inc. ('PBGM'). PBGM attempts to earn a profit on such transactions. PBGM
keeps its prices on foreign currency competitive with other interbank currency
trading desks. All over-the-counter currency transactions are conducted between
PSI and the Trust pursuant to a line of credit. PSI may require that collateral
be posted against the marked-to-market position of the Trust.
As of June 30, 2001, a non-U.S. affiliate of the Managing Owner owns 362.197
limited interests of the Trust.
C. Derivative Instruments and Associated Risks
The Trust is exposed to various types of risks associated with the derivative
instruments and related markets in which it invests. These risks include, but
are not limited to, risk of loss from fluctuations in the value of derivative
instruments held (market risk) and the inability of counterparties to perform
under the terms of the Trust's investment activities (credit risk).
Market Risk
Trading in futures and forward (including foreign exchange) contracts
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
4
<Page>
the net unrealized gain or loss on the contracts. The market risk associated
with the Trust's commitments to purchase commodities is limited to the gross or
face amount of the contracts held. However, when the Trust enters into a
contractual commitment to sell commodities, it must make delivery of the
underlying commodity at the contract price and then repurchase the contract at
prevailing market prices. Since the repurchase price to which a commodity can
rise is unlimited, entering into commitments to sell commodities exposes the
Trust to unlimited risk.
Market risk is influenced by a wide variety of factors, including government
programs and policies, political and economic events, the level and volatility
of interest rates, foreign currency exchange rates, the diversification effects
among the derivative instruments the Trust holds and the liquidity and inherent
volatility of the markets in which the Trust trades.
Credit risk
When entering into futures and forward contracts, the Trust is exposed to
credit risk that the counterparty to the contract will not meet its obligations.
The counterparty for futures contracts traded on United States and most foreign
futures exchanges is the clearinghouse associated with such exchanges. In
general, clearinghouses are backed by their corporate members who are required
to share any financial burden resulting from the non-performance by one of their
members and, as such, should significantly reduce this credit risk. In cases
where the clearinghouse is not backed by the clearing members (i.e., some
foreign exchanges), it is normally backed by a consortium of banks or other
financial institutions. On the other hand, if the Trust enters into forward
transactions, the sole counterparty is PSI, the Trust's commodity broker. The
Trust has entered into a master netting agreement with PSI and, as a result,
when applicable, presents unrealized gains and losses on open forward positions
as a net amount in the statements of financial condition. The amount at risk
associated with counterparty non-performance of all of the Trust's contracts is
the net unrealized gain included in the statements of financial condition. There
can be no assurance that any counterparty, clearing member or clearinghouse will
meet its obligations to the Trust.
The Managing Owner attempts to minimize both credit and market risks by
requiring the Trust and its trading managers to abide by various trading
limitations and policies. The Managing Owner monitors compliance with these
trading limitations and policies which, include, but are not limited to,
executing and clearing all trades with creditworthy counterparties; limiting the
amount of margin or premium required for any one commodity or all commodities
combined; and generally limiting transactions to contracts which are traded in
sufficient volume to permit the taking and liquidating of positions.
Additionally, pursuant to the advisory agreements among the Trust, the Managing
Owner and each trading manager, the Trust shall automatically terminate a
trading manager if the net asset value allocated to that trading manager
declines by 33 1/3% from the value at the beginning of any year or since the
initial allocation of assets to that trading manager. Furthermore, the Second
Amended and Restated Declaration of Trust and Trust Agreement provides that the
Trust will liquidate its positions, and eventually dissolve, if the Trust
experiences a decline in the net asset value of 50% from the value at the
beginning of any year or since the commencement of trading activities. In each
case, the decline in net asset value is after giving effect for distributions
and redemptions. The Managing Owner may impose additional restrictions (through
modifications of trading limitations and policies) upon the trading activities
of the trading managers as it, in good faith, deems to be in the best interests
of the Trust.
PSI, when acting as the Trust's futures commission merchant in accepting
orders for the purchase or sale of domestic futures contracts, is required by
Commodity Futures Trading Commission ('CFTC') regulations to separately account
for and segregate as belonging to the Trust all assets of the Trust relating to
domestic futures trading (subject to the recent opt out provisions discussed
below) and is not allowed to commingle such assets with other assets of PSI. At
June 30, 2001, such segregated assets totalled $479,851. Part 30.7 of the CFTC
regulations also requires PSI to secure assets of the Trust related to foreign
futures trading, which totalled $9,945,384 at June 30, 2001. There are no
segregation requirements for assets related to forward trading.
The CFTC recently promulgated rules that allow futures commission merchants
to permit certain customers, including the Trust, to opt out of segregation with
regard to trading on certain exchanges, but PSI has not done so to date. If the
Trust were to opt out, its funds could be held in a broader and riskier range of
investments.
As of June 30, 2001, the Trust's open futures and forward contracts mature
within one year.
5
<Page>
At June 30, 2001 and December 31, 2000, the fair values of futures and
forward contracts were:
<Table>
<Caption>
2001 2000
------------------------ --------------------------
Assets Liabilities Assets Liabilities
-------- ----------- ---------- -----------
Futures Contracts:
Domestic exchanges
Interest rates $ 24,519 $ 16,234 $ 23,200 $ 178,704
Stock indices -- 5,488 17,350 --
Currencies 261,595 114,255 288,497 15,500
Commodities 4,100 9,360 -- 2,812
Foreign exchanges
Interest rates 8,271 77,624 31,675 88,797
Stock indices 3,587 19,690 20,397 15,369
Commodities 14,238 435 4,250 8,304
Forward Contracts:
Currencies -- 107,638 -- 11,692
-------- ----------- ---------- -----------
$316,310 $ 350,724 $ 385,369 $ 321,178
-------- ----------- ---------- -----------
-------- ----------- ---------- -----------
</Table>
D. Financial Highlights
<Table>
<Caption>
For the For the
Six Months Ended Three Months Ended
June 30, 2001 June 30, 2001
------------------- -------------------
Performance per Interest
Net asset value, beginning of period $ 88.28 $ 80.99
---------- ----------
Net realized loss and change in net
unrealized gain/loss on commodity
transactions (7.04) (.65)
Interest income 1.78 .77
Expenses (3.69) (1.78)
---------- ----------
Decrease for the period (8.95) (1.66)
---------- ----------
Net asset value, end of period $ 79.33 $ 79.33
---------- ----------
---------- ----------
Total return (10.14)% (2.05)%
Ratio to average net assets
Interest income 4.29% 3.85%
Expenses 8.83% 8.85%
</Table>
6
<Page>
PRUDENTIAL SECURITIES STRATEGIC TRUST
(a Delaware Business Trust)
ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION
AND RESULTS OF OPERATIONS
Liquidity and Capital Resources
The Trust commenced operations on May 1, 1996 with gross proceeds of
$12,686,200 allocated to commodities trading. Additional Interests were offered
monthly at the then current net asset value per Interest until the continuous
offering period expired on January 31, 1998. Additional contributions made
during the continuous offering period totalled $51,242,700 including $375,000 of
contributions from the Managing Owner.
The Trust Agreement provides that an Interest holder may redeem its Interests
as of the last day of any month at the then current net asset value per
Interest. Redemptions of limited interests for the six and three months ended
June 30, 2001 were $1,756,788 and $793,775, respectively. Redemptions of general
interests for the six and three months ended June 30, 2001 were $17,789 and
$8,064, respectively. Redemptions of limited and general interest from May 1,
1996 (commencement of operations) to June 30, 2001 were $50,953,299 and
$403,226, respectively. Future redemptions will impact the amount of funds
available for investment in commodity contracts in subsequent periods.
At June 30, 2001, 100% of the Trust's net assets were allocated to
commodities trading. A significant portion of the net assets of the Trust are
held in cash, which is used as margin for the Trust's trading in commodities.
Inasmuch as the sole business of the Trust is to trade in commodities, the Trust
continues to own such liquid assets to be used as margin. PSI credits the Trust
monthly with 80% of the interest it earns on the average net assets in these
accounts and retains the remaining 20%.
The commodities contracts are subject to periods of illiquidity because of
market conditions, regulatory considerations and other reasons. For example,
commodity exchanges limit fluctuations in commodity futures contract prices
during a single day by regulations referred to as 'daily limits.' During a
single day, no trades may be executed at prices beyond the daily limit. Once the
price of a futures contract for a particular commodity has increased or
decreased by an amount equal to the daily limit, positions in the commodity can
neither be taken nor liquidated unless traders are willing to effect trades at
or within the limit. Commodity futures prices have occasionally moved the daily
limit for several consecutive days with little or no trading. Such market
conditions could prevent the Trust from promptly liquidating its commodity
futures positions.
Since the Trust's business is to trade futures and forward contracts, its
capital is at risk due to changes in the value of these contracts (market risk)
or the inability of counterparties to perform under the terms of the contracts
(credit risk). The Trust's exposure to market risk is influenced by a number of
factors, including the volatility of interest rates and foreign currency
exchange rates, the liquidity of the markets in which the contracts are traded
and the relationships among the contracts held. The inherent uncertainty of the
Trust's speculative trading, as well as the development of drastic market
occurrences, could result in monthly losses considerably beyond the Trust's
experience to date and could ultimately lead to a loss of all or substantially
all of investors' capital. The Managing Owner attempts to minimize these risks
by requiring the Trust's trading managers to abide by various trading
limitations and policies, which include limiting margin amounts, trading only in
liquid markets and permitting the use of stop loss provisions. See Note C to the
financial statements for a further discussion of the credit and market risks
associated with the Trust's futures and forward contracts.
The Trust does not have, nor does it expect to have, any capital assets.
Results of Operations
The net asset value per Interest as of June 30, 2001 was $79.33, a decrease
of 10.14% from the December 31, 2000 net asset value per Interest of $88.28, and
a decrease of 2.05% from the March 31, 2001 net asset value per Interest of
$80.99. Past performance is not necessarily indicative of future results.
The Trust's gross trading gains (losses) were $(1,018,000) and $(94,000)
during the six and three months ended June 30, 2001 compared to $(7,090,000) and
$815,000 for the corresponding periods in the prior year. Due to the nature of
the Trust's trading activities, a period to period comparison of its trading
results is
7
<Page>
not meaningful. However, a detailed discussion of the Trust's current quarter
trading results is presented below.
Quarterly Market Overview
The global economy remained sluggish during the second quarter of 2001 and as
a result, U.S. and global stock markets continued their downward trend. In the
U.S., heightened concerns regarding cutbacks in industrial production and future
sales caused downward revisions of corporate earnings. Business investment and
capital spending were weak and appeared to be decreasing further, reflecting in
part the downtrend in manufacturing output. Labor demand weakened considerably
and unemployment rose. Consumer spending held up relatively well despite
deceleration in income, reduced household net worth, and deterioration in
consumer sentiment. Economic activity in foreign industrial countries
decelerated as well, due in part to softening of the U.S. economy, weakness in
world high-tech markets and the downward adjustment in global equity prices.
Expansion in Europe, including the United Kingdom, and Canada slowed
significantly, while the Japanese economy slowed after a brief rebound late last
year. In addition, economic growth in many developing countries softened,
reflecting, in part, weaker external demand. In the U.S., overall inflation, as
measured by the Consumer Price Index (CPI), increased slightly, but was held
down by a deceleration in energy prices.
As a result of weak global economies, equity markets continued to perform
poorly during most of the quarter. In April, U.S. equity markets, particularly
the NASDAQ, rallied briefly after the U.S. Federal Reserve (Fed) called an
unscheduled meeting to lower interest rates before falling once again amid
continuing softening economies and fears of weak corporate earnings. Markets
rose briefly once again in June following the U.S. Federal Reserve's 25 basis
point interest rate cut. This smaller than anticipated rate reduction seemed to
signal a cessation of the Fed's recent series of aggressive rate cuts and caused
many investors to exit the bond market and invest in equities.
Interest rate instruments trended upward throughout most of the quarter as
major central banks cut short-term interest rates in an attempt to bolster
slowing economies. The U.S. Federal Reserve cut rates three times during the
quarter lowering rates from 4.50% to 3.75%. The European Central Bank and the
Bank of England cut interest rates by 25 basis points in May. This was the third
interest rate reduction in five months for the Bank of England. Global bonds
reversed downward towards quarter-end as the Fed cut rates by only 25 basis
points, driving many investors out of interest rate instruments and into
equities.
In foreign exchange markets, the Japanese yen started the quarter strong
before weakening against the U.S. dollar and other foreign currencies. This
followed a government report that Japan's GDP shrank in the first quarter,
generating fears that the Japanese economy may be slipping into recession. The
Canadian dollar posted gains against the U.S. dollar as economic reports showed
a 1.7% increase in exports to the U.S. in June. The British pound reached a 15
year low against the U. S. dollar in June amid concern that England would join
the European Monetary Union. The euro declined against the U.S. dollar as well,
amid signs of continuing weakness in the European economy.
Energy prices fell in response to growing inventory levels of crude oil and
related products. The American Petroleum Institute reported that the U.S.
gasoline supply had reached its highest level in two years. Swelling energy
inventories fed fears of an overall weakening demand for fuels in the slowing
global economy. Additionally, the market fell when tropical storm Allison caused
less damage along the Gulf Coast than was originally feared.
Quarterly Trust Performance
The following is a summary of performance for the major sectors in which the
Trust traded:
Interest rates (-): Prices of most interest rate instruments trended upward
throughout most of the quarter due to short-term interest rate cuts by major
central banks in an attempt to bolster slowing economies. Short U.S., Australian
and euro bond positions resulted in losses for the Trust.
Energies (-): Long crude oil and natural gas positions resulted in losses as
increased inventories and weakening demand drove prices downward.
Stock indices (+): Weak global economies and concerns regarding corporate
earnings resulted in continued poor performance in the equity markets. S&P 500
and TOPIX positions resulted in gains for the Trust.
8
<Page>
Currencies (+): Long Australian dollar positions resulted in gains in April
as prices rallied following a 50 basis point interest rate cut by the Reserve
Bank of Australia. The Canadian dollar rose against the U.S. dollar amid signs
of a weak U.S. economy and an increase of Canadian exports to the U.S.,
resulting in gains for long positions. Short British pound positions resulted in
gains as the pound reached a 15 year low against the U.S. dollar in June.
Metals (+): Gold prices rallied to a ten month high in May before reversing
course amid rumors that Russia would sell a portion of its gold reserve. Short
gold positions resulted in gains for the Trust. Rate cuts by U.S. and European
central banks stirred fears of inflation driving metal prices higher. Long
silver and copper positions resulted in gains for the Trust.
Decreases in overall average net asset levels of the Trust have led to
corresponding decreases 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 assets levels were significantly lower during the six and
three months ended June 30, 2001 as compared to the corresponding period in the
prior year, primarily due to redemptions and unfavorable trading performance
during 2000 and the first half of 2001.
At June 30, 2001, all trading decisions were made by Bridgewater Associates,
Inc. ('Bridgewater') and Gamma Capital Management, LLC ('Gamma'). As of February
15, 2000, Willowbridge Associates Inc. ('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 these changes 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
- ----------------------- --------------------------------- ---------------------------------------
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'
Willowbridge 3% 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 $327,000 and $168,000 for the six and three months
ended June 30, 2001, respectively, as compared to the corresponding periods in
2000. These decreases were primarily due to the decline in average net asset
levels, as discussed above, as well as the decline in interest rates during 2001
versus 2000.
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 $212,000 and $26,000 for the six and three
months ended June 30, 2001, respectively, as compared to the corresponding
periods in 2000. These decreases were primarily due to the decline in average
net asset levels, offset, in part, by the fact that no commissions were charged
to the Trust by PSI on a portion of net assets while they were not allocated to
commodities trading, as discussed above.
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 $43,000, but increased
by $7,000 for the six and three months ended June 30, 2001, respectively, as
compared to the corresponding periods in 2000. The decrease for the six months
ended June 30, 2001 was primarily due to the decline in average net asset
levels, as well as the change in the rate paid to Gamma versus Willowbridge,
offset, in part, by the lack of management fees on a portion of net assets while
they were not allocated to commodities trading as discussed above. The increase
for the three months ended June 30, 2001 was primarily due to the lack of
management fees on a portion of net assets
9
<Page>
while they were not allocated to commodities trading, offset, in part, by the
decline in average net asset levels, as 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 fees were paid during the
six and three months ended June 30, 2001 or 2000.
ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
Information regarding quantitative and qualitative disclosures about market
risk is not required pursuant to Item 305(e) of Regulation S-K.
10
<Page>
PART II. OTHER INFORMATION
Item 1. Legal Proceedings--There are no material legal proceedings pending by or
against the Trust or the Managing Owner
Item 2. Changes in Securities--None
Item 3. Defaults Upon Senior Securities--None
Item 4. Submission of Matters to a Vote of Security Holders--None
Item 5. Other information--None
Item 6. Exhibits and Reports on Form 8-K:
(a) Exhibits
3.1
and
4.1--Second Amended and Restated Declaration of Trust and Trust
Agreement of the Trust dated as of December 14, 1995
(incorporated by reference to Exhibit 3.1 to 4.1 to the Trust's
Registration Statement on Form S-1, File No. 33-80443)
4.2--Subscription Agreement (incorporated by reference to
Exhibit 4.2 to the Trust's Registration Statement on
Form S-1, File No. 33-80443)
4.3--Request for Redemption (incorporated by
reference to Exhibit 4.3 to the Trust's
Registration Statement on Form S-1, File
No. 33-80443)
(b) Reports on Form 8-K--None
11
<Page>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
Trust has duly caused this report to be signed on its behalf by the undersigned
thereunto duly authorized.
PRUDENTIAL SECURITIES STRATEGIC TRUST
By: Prudential Securities Futures Management Inc.
A Delaware corporation, Managing Owner
By: /s/ Steven Carlino Date: August 14, 2001
----------------------------------------
Steven Carlino
Vice President and Treasurer
12