<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, 1996
/ / 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: 0-18417
PRUDENTIAL-BACHE CAPITAL RETURN FUTURES FUND L.P.
- --------------------------------------------------------------------------------
(Exact name of Registrant as specified in its charter)
Delaware 13-3516796
- --------------------------------------------------------------------------------
(State or other jurisdiction of incorporation (I.R.S. Employer
or organization) Identification No.)
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 1. FINANCIAL STATEMENTS
PRUDENTIAL-BACHE CAPITAL RETURN FUTURES FUND L.P.
(a limited partnership)
STATEMENTS OF FINANCIAL CONDITION
(Unaudited)
<TABLE>
<CAPTION>
June 30, December 31,
1996 1995
<S> <C> <C>
- ----------------------------------------------------------------------------------------------------
ASSETS
Equity in commodity trading accounts:
Cash $ 3,857,549 $ 4,882,612
U.S. Treasury bills, at amortized cost 13,006,064 15,256,948
Net unrealized gain on open commodity positions 640,504 414,130
------------- ------------
Total assets $17,504,117 $20,553,690
------------- ------------
------------- ------------
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable $ 684,070 $ 770,138
Management fees payable 58,005 68,183
Due to affiliates 56,693 47,676
Accrued expenses 46,024 51,018
------------- ------------
Total liabilities 844,792 937,015
------------- ------------
Commitments
Partners' capital
Limited partners (138,586 and 149,378 units outstanding) 16,492,715 18,850,694
General partner (1,400 and 6,070 units outstanding) 166,610 765,981
------------- ------------
Total partners' capital 16,659,325 19,616,675
------------- ------------
Total liabilities and partners' capital $17,504,117 $20,553,690
------------- ------------
------------- ------------
Net asset value per limited and general partnership unit
(``Units'') $ 119.01 $ 126.19
------------- ------------
------------- ------------
- ----------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements
</TABLE>
2
<PAGE>
PRUDENTIAL-BACHE CAPITAL RETURN FUTURES FUND L.P.
(a limited partnership)
STATEMENTS OF OPERATIONS
(Unaudited)
<TABLE>
<CAPTION>
Six months ended Three months ended
June 30, June 30,
-------------------------- -------------------------
1996 1995 1996 1995
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
REVENUES
Net realized gain (loss) on commodity
transactions $ (501,525) $7,634,933 $(288,293) $ 3,881,950
Change in net unrealized gain on open
commodity positions 226,374 (299,159) 406,244 (3,812,088)
Interest from U.S. Treasury bills 365,778 492,131 170,913 266,029
----------- ---------- --------- -----------
90,627 7,827,905 288,864 335,891
----------- ---------- --------- -----------
EXPENSES
Commissions 742,887 890,197 349,238 485,995
Management fees 369,009 466,492 174,315 241,394
Incentive fees -- 437,793 -- --
General and administrative 78,269 95,037 30,937 47,123
----------- ---------- --------- -----------
1,190,165 1,889,519 554,490 774,512
----------- ---------- --------- -----------
Net income (loss) $(1,099,538) $5,938,386 $(265,626) $ (438,621)
----------- ---------- --------- -----------
----------- ---------- --------- -----------
ALLOCATION OF NET INCOME (LOSS)
Limited partners $(1,064,338) $5,754,622 $(262,969) $ (423,742)
----------- ---------- --------- -----------
----------- ---------- --------- -----------
General partner $ (35,200) $ 183,764 $ (2,657) $ (14,879)
----------- ---------- --------- -----------
----------- ---------- --------- -----------
NET INCOME (LOSS) PER WEIGHTED AVERAGE
LIMITED AND GENERAL PARTNERSHIP UNIT
Net income (loss) per weighted average
limited and general partnership unit $ (7.30) $ 31.77 $ (1.82) $ (2.45)
----------- ---------- --------- -----------
----------- ---------- --------- -----------
Weighted average number of
limited and general partnership units
outstanding 150,591 186,902 145,734 178,939
----------- ---------- --------- -----------
----------- ---------- --------- -----------
- ------------------------------------------------------------------------------------------------------
</TABLE>
STATEMENT OF CHANGES IN PARTNERS' CAPITAL
(Unaudited)
<TABLE>
<CAPTION>
LIMITED GENERAL
UNITS PARTNERS PARTNER TOTAL
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Partners' capital--December 31, 1995 155,448 $18,850,694 $765,981 $19,616,675
Net loss -- (1,064,338) (35,200) (1,099,538)
Redemptions (15,462) (1,293,641) (564,171) (1,857,812)
-------- ----------- -------- -----------
Partners' capital--June 30, 1996 139,986 $16,492,715 $166,610 $16,659,325
-------- ----------- -------- -----------
-------- ----------- -------- -----------
- ----------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements
</TABLE>
3
<PAGE>
PRUDENTIAL-BACHE CAPITAL RETURN FUTURES FUND L.P.
(a limited partnership)
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1996
(Unaudited)
A. General
These financial statements have been prepared without audit. In the opinion
of management, the financial statements contain all adjustments (consisting of
only normal recurring adjustments) necessary to present fairly the financial
position of Prudential-Bache Capital Return Futures Fund L.P. (the
``Partnership'') as of June 30, 1996 and the results of its operations for the
six and three months ended June 30, 1996 and 1995. However, the operating
results for the interim periods may not be indicative of the results expected
for a full year.
Certain information and footnote disclosures normally included in annual
financial statements prepared in accordance with generally accepted accounting
principles have been omitted. It is suggested that these financial statements be
read in conjunction with the financial statements and notes thereto included in
the Partnership's Annual Report on Form 10-K as filed with the Securities and
Exchange Commission for the year ended December 31, 1995 (the ``Annual
Report'').
Certain balances from the prior period have been reclassified to conform with
the current financial statement presentation.
B. Related Parties
Seaport Futures Management, Inc. (the ``General Partner'') and its affiliates
perform services for the Partnership 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.
The costs incurred for these services for the six months ended June 30, 1996
and 1995 were:
<TABLE>
<CAPTION>
1996 1995
<S> <C> <C>
-------------------------------------------------------------------------------
Commissions $742,887 $890,197
General and administrative 45,784 53,514
-------- --------
$788,671 $943,711
-------- --------
-------- --------
</TABLE>
The costs incurred for these services for the three months ended June 30,
1996 and 1995 were:
<TABLE>
<CAPTION>
1996 1995
<S> <C> <C>
-------------------------------------------------------------------------------
Commissions $349,238 $485,995
General and administrative 20,281 26,415
-------- --------
$369,519 $512,410
-------- --------
-------- --------
</TABLE>
The Partnership maintains its trading and cash accounts at Prudential
Securities Incorporated (``PSI''), the Partnership's commodity broker and an
affiliate of the General Partner. Approximately 75% of the Partnership's net
asset value is invested in interest-bearing U.S. Government obligations
(primarily U.S. Treasury bills), a significant portion of which is utilized for
margin purposes for the Partnership's commodity trading activities. As described
in the Annual Report, all commissions for brokerage services are paid to PSI.
When the Partnership engages in forward foreign currency transactions it
trades with PSI who simultaneously engages in back-to-back transactions with an
affiliate who, pursuant to the Partnership's prospectus, is obligated to charge
a competitive price.
C. Credit and Market Risk
Since the Partnership'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).
4
<PAGE>
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 Partnership's
unrealized gain (loss) on open commodity positions reflected on the statements
of financial condition. The Partnership's exposure to market risk is influenced
by a number of factors including the relationships among the contracts held by
the Partnership 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 Partnership must rely solely on the credit of its broker (PSI)
with respect to forward transactions. The Partnership presents unrealized gains
and losses on open forward positions as a net amount in the statements of
financial condition because it has a master netting agreement with PSI.
The General Partner attempts to minimize both credit and market risks by
requiring the Partnership's trading manager to abide by various trading
limitations and policies. The General Partner 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 General Partner
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 Partnership.
PSI, when acting as the Partnership'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
Partnership all assets of the Partnership relating to domestic futures and
options trading and is not to commingle such assets with other assets of PSI. At
June 30, 1996 and December 31, 1995, such segregated assets totalled $13,919,905
and $17,263,200, respectively. Part 30.7 of the CFTC regulations also requires
PSI to secure assets of the Partnership related to foreign futures and options
trading which totalled $3,178,282 and $3,385,792 at June 30, 1996 and December
31, 1995, respectively. There are no segregation requirements for assets related
to forward trading.
As of June 30, 1996 and December 31, 1995, the Partnership's open forward
contracts mature within three months but open futures contracts mature within
one year.
At June 30, 1996 and December 31, 1995, gross contract amounts of open
futures and forward contracts are:
<TABLE>
<CAPTION>
June 30, December 31,
1996 1995
----------- ------------
<S> <C> <C>
Financial Futures Contracts:
Commitments to purchase $35,183,682 $70,094,468
Commitments to sell $18,850,657 $11,556,783
Currency Forward Contracts:
Commitments to purchase $18,827,087 $ 2,908,537
Commitments to sell $31,211,675 $12,481,234
Currency Futures Contracts:
Commitments to purchase $ 2,680,988 $ 440,660
Commitments to sell $ 3,661,325 $ 5,021,700
Other Futures Contracts:
Commitments to purchase $ 571,240 $ 537,121
Commitments to sell $ 3,469,295 $ 1,300,800
</TABLE>
The gross contract amounts represent the Partnership's potential involvement
in a particular class of financial instrument (if it were to take or make
delivery on an underlying futures or forward contract). The
5
<PAGE>
gross contract amounts significantly exceed the future cash requirements as the
Partnership 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 Partnership considers the ``fair value'' of its
futures and forward contracts to be the net unrealized gain or loss on the
contracts. 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 Partnership'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 Partnership'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.
At June 30, 1996 and December 31, 1995, the fair values of futures and
forward contracts were:
<TABLE>
<CAPTION>
June 30, 1996 December 31, 1995
------------------------ ------------------------
Fair Value Fair Value
------------------------ ------------------------
Assets Liabilities Assets Liabilities
-------- ----------- -------- -----------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ -- $ 36,700 $116,513 $ --
Currencies 69,205 8,963 5,771 23,988
Other 123,440 123 54,057 600
Foreign exchanges
Financial 107,859 20,144 358,529 850
Forward Contracts:
Currencies 607,024 201,094 263,960 359,262
-------- ----------- -------- -----------
$907,528 $ 267,024 $798,830 $ 384,700
-------- ----------- -------- -----------
-------- ----------- -------- -----------
</TABLE>
The following table presents the average fair values of futures and forward
contracts during the six months ended June 30, 1996 and 1995, respectively.
<TABLE>
<CAPTION>
Six months ended Six months ended
June 30, 1996 June 30, 1995
-------------------------- --------------------------
Average Fair Value Average Fair Value
-------------------------- --------------------------
Assets Liabilities Assets Liabilities
---------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ 126,713 $ 5,934 $ 114,093 $ 4,052
Currencies 81,222 10,106 192,775 204,094
Other 41,473 13,481 87,247 21,959
Foreign exchanges
Financial 237,649 32,410 328,783 22,654
Forward Contracts:
Currencies 560,640 477,997 1,893,364 493,161
---------- ----------- ---------- -----------
$1,047,697 $ 539,928 $2,616,262 $ 745,920
---------- ----------- ---------- -----------
---------- ----------- ---------- -----------
</TABLE>
The following table presents the average fair values of futures and forward
contracts during the three months ended June 30, 1996 and 1995, respectively.
<TABLE>
<CAPTION>
Three months ended Three months ended
June 30, 1996 June 30, 1995
-------------------------- --------------------------
Average Fair Value Average Fair Value
-------------------------- --------------------------
Assets Liabilities Assets Liabilities
---------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ 134,552 $ 9,484 $ 110,795 $ 4,950
Currencies 68,516 4,834 166,491 54,671
Other 52,224 6,794 34,018 37,832
Foreign exchanges
Financial 112,910 27,037 190,660 21,911
Forward Contracts:
Currencies 570,733 532,900 2,884,922 288,523
---------- ----------- ---------- -----------
$ 938,935 $ 581,049 $3,386,886 $ 407,887
---------- ----------- ---------- -----------
---------- ----------- ---------- -----------
</TABLE>
6
<PAGE>
The following table presents the net realized gains (losses) and the change
in net unrealized gains/losses of futures and forward contracts during the six
months ended June 30, 1996 and 1995, respectively.
<TABLE>
<CAPTION>
Six months ended June 30, 1996 Six months ended June 30, 1995
----------------------------------------------- ------------------------------------------------
Change in Change in
Net Realized Net Unrealized Net Realized Net Unrealized
Gains (Losses) Gains/Losses Total Gains (Losses) Gains/Losses Total
-------------- -------------- --------- -------------- -------------- ----------
<S> <C> <C> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ 364,213 $ (153,213) $ 211,000 $ 569,131 $ (54,913) $ 514,218
Currencies 191,825 78,459 270,284 416,092 201,235 617,327
Other 28,733 69,860 98,593 (26,484) (78,682) (105,166)
Foreign exchanges
Financial (449,201) (269,964) (719,165) 2,036,528 (369,298) 1,667,230
Currencies (280,885) -- (280,885) 733,222 -- 733,222
Other -- -- -- 7,257 -- 7,257
Forward Contracts:
Currencies (356,210) 501,232 145,022 3,899,187 2,499 3,901,686
-------------- -------------- --------- -------------- -------------- ----------
$ (501,525) $ 226,374 $(275,151) $7,634,933 $ (299,159) $7,335,774
-------------- -------------- --------- -------------- -------------- ----------
-------------- -------------- --------- -------------- -------------- ----------
</TABLE>
The following table presents the net realized gains (losses) and the change
in net unrealized gains/losses of futures and forward contracts during the three
months ended June 30, 1996 and 1995, respectively.
<TABLE>
<CAPTION>
Three months ended June 30, 1996 Three months ended June 30, 1995
----------------------------------------------- -----------------------------------------------
Change in Change in
Net Realized Net Unrealized Net Realized Net Unrealized
Gains (Losses) Gains/Losses Total Gains (Losses) Gains/Losses Total
-------------- -------------- --------- -------------- -------------- ---------
<S> <C> <C> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ 275,982 $ (216,606) $ 59,376 $ 393,975 $ 7,275 $ 401,250
Currencies 97,232 26,578 123,810 79,745 (247,807) (168,062)
Other 75,227 103,270 178,497 (137,249) 79,547 (57,702)
Foreign exchanges
Financial (343,991) (61,955) (405,946) 376,144 (51,563) 324,581
Currencies (110,764) -- (110,764) 110,863 -- 110,863
Other -- -- -- 7,257 -- 7,257
Forward Contracts:
Currencies (281,979) 554,957 272,978 3,051,215 (3,599,540) (548,325)
-------------- -------------- --------- -------------- -------------- ---------
$ (288,293) $ 406,244 $ 117,951 $3,881,950 $ (3,812,088) $ 69,862
-------------- -------------- --------- -------------- -------------- ---------
-------------- -------------- --------- -------------- -------------- ---------
</TABLE>
7
<PAGE>
PRUDENTIAL-BACHE CAPITAL RETURN FUTURES FUND L.P.
(a limited partnership)
ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL
CONDITION AND RESULTS OF OPERATIONS
Liquidity and Capital Resources
The Partnership commenced operations on May 12, 1989 with gross proceeds of
$139,151,000. After accounting for organizational and offering costs, the
Partnership's net proceeds were $137,151,000. At the inception of the
Partnership, sixty percent of the net proceeds was allocated to commodities
trading activity and forty percent was placed in reserve and invested in
investment grade interest-bearing obligations (``Reserve Assets''). On June 30,
1994, the Reserve Assets matured and the resulting proceeds were allocated to
commodities trading.
As of June 30, 1996, 100% of the Partnership's total net assets were
allocated to commodities trading. A significant portion of the net asset value
was held in U.S. Treasury bills (which represented approximately 75% of the net
asset value prior to redemptions payable) and cash, which are used as margin for
the Partnership's trading in commodities. Inasmuch as the sole business of the
Partnership is to trade in commodities, the Partnership will continue to own
such liquid assets to be used as margin.
The percentage that U.S. Treasury bills bears to the net asset value varies
each day, and from month to month, as the market value of commodity interests
change. The balance of the net asset value is held in cash. All interest earned
on the Partnership's interest-bearing funds is paid to the Partnership.
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 Partnership from promptly liquidating its commodity
futures positions.
Since the Partnership'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 General Partner attempts to minimize these
risks by requiring the Partnership's trading manager to abide by various trading
limitations and policies. See Note C to the financial statements for a further
discussion on the credit and market risks associated with the Partnership's
futures, forward and options contracts.
Redemptions by limited partners recorded for the six and three months ended
June 30, 1996 were $1,293,641 and $677,167, respectively. Redemptions by the
General Partner recorded for the six and three months ended June 30, 1996 were
$564,171 and $6,903, respectively. Redemptions by limited partners and the
General Partner from commencement of operations, May 12, 1989, through June 30,
1996 totalled $137,009,269 and $1,565,243, respectively. Future redemptions will
impact the amount of funds available for investment in commodity contracts in
subsequent periods.
The Partnership does not have, nor does it expect to have, any capital
assets.
Results of Operations
The net asset value per Unit as of June 30, 1996 was $119.01, a decrease of
5.69% from the December 31, 1995 net asset value per Unit of $126.19.
The Partnership's performance was flat in the month of April. Profits in the
stock indices, currencies, energies and metals sectors offset losses in the
financials sectors. Positions in the Nikkei were profitable as the stock indices
sector received support from institutional buyers lured into the equities market
by deregulation. The U.S. dollar was the currency of choice in world markets as
relatively high U.S. bond yields attracted investors. Profits in the currencies
sector were reaped by positions in the German mark and Swiss franc as the
dollar's position in world currency markets was boosted by bearish economic news
from Germany. Prices soared in crude oil as refiners rushed to meet the
summertime demand for gasoline. Profits
8
<PAGE>
were generated in gold and silver although metals markets in general remained
trendless. Except for the U.S. sector, positions in interest rates were
unprofitable as global markets responded to the threat of U.S. inflation.
The Partnership's performance was negative in the month of May. Losses were
incurred in the stock indices, financials, currencies, energies and metals
sectors. In the financials sector, bond markets remained volatile as investors
struggled to interpret conflicting U.S. economic reports out of Washington.
Losses were taken in Japanese and British bond positions. Among the factors
affecting foreign exchange markets in May were the continued strength of the
U.S. dollar against most major currencies and a comparatively vigorous U.S.
economy. Gains made in Swiss franc and Australian dollar positions were offset
by losses in Japanese yen and German mark positions. Oil prices declined as the
energy markets felt political pressure to keep prices down and Iraq reached an
agreement with the U.N. on the sale of crude oil to raise money for humanitarian
purposes. Positions in crude and heating oil were unprofitable. In the metals
sector, losses were taken in silver and gold positions.
The Partnership's performance was positive in the month of June. The
currencies, metals, energies and stock indices sectors were profitable. Losses
were incurred in the financials sector. In the currency markets, the U.S. dollar
reached a 28-month high against the Japanese yen early in June, ending down
somewhat at month's end, as investors turned to higher yielding currencies such
as the British pound. Positions in the Japanese yen and British pound were
profitable. Metals markets were impacted by an increase in the world supply of
gold. Consequently, gold and silver prices continued their downward trends
resulting in profits from short positions. Slight losses were made in the
financials sector as trading was more difficult in global bond and stock index
markets where trendless price patterns prevailed.
Interest income from U.S. Treasury bills decreased by approximately $126,000
and $95,000 for the six and three months ended June 30, 1996 as compared to the
same periods in 1995 due to the effect of redemptions on the funds available for
investment in U.S. Treasury bills as well as a decrease in interest rates in
1996.
Commissions are calculated on the net asset value on the first day of each
month and, therefore, vary based on monthly trading performance and redemptions.
Commissions decreased by approximately $147,000 and $137,000 for the six and
three months ended June 30, 1996 as compared to the same periods in 1995
primarily due to the effect of redemptions on the monthly net asset values.
All trading decisions are currently made by John W. Henry & Co., Inc. (the
``Trading Manager''). Management fees are calculated on the net asset value as
of the end of each month and, therefore, are affected by trading performance and
redemptions. Management fees decreased by approximately $97,000 and $67,000 for
the six and three months ended June 30, 1996 as compared to the same periods in
1995 primarily due to the effect of redemptions on the monthly net asset values.
Incentive fees are based on New High Net Trading Profits generated by the
Trading Manager, as defined in the Advisory Agreement between the Partnership,
the General Partner and the Trading Manager. No incentive fees were earned for
the six months ended June 30, 1996 but approximately $438,000 was earned for the
six months ended June 30, 1995.
General and administrative expenses decreased by approximately $17,000 and
$16,000 for the six and three months ended June 30, 1996 as compared to the same
period in 1995. These expenses include reimbursements of cost incurred by the
General Partner on behalf of the Partnership in addition to accounting, audit,
tax and legal fees as well as printing and postage costs related to reports sent
to limited partners. These decreases were primarily due to a reduction in
overall costs associated with administering the Partnership.
9
<PAGE>
PART II. OTHER INFORMATION
Item 1. Legal Proceedings--There are no material legal proceedings pending by or
against the Registrant or the General Partner.
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
4.1 Agreement of Limited Partnership of the Registrant, dated
as of January 26, 1989, as amended and restated as of
March 15, 1989. (Incorporated by reference to Exhibits 3.1
and 4.1 to the Registrant's Annual Report on Form 10-K for
the period ended December 31, 1989)
4.2 Subscription Agreement. (Incorporated by reference to
Exhibit 4.2 to the Registrant's Annual Report on Form
10-K for the period ended December 31, 1989)
4.3 Request for Redemption. (Incorporated by reference to
Exhibit 4.3 to the Registrant's Annual Report on Form
10-K for the period ended December 31, 1989)
27 Financial Data Schedule (filed herewith)
(b) Reports on Form 8-K--
Registrant's Current Report on Form 8-K dated May 14, 1996, as
filed with the Securities and Exchange Commission on May 16, 1996,
relating to Item 4 regarding the change in the Registrant's
certifying accountant from Deloitte & Touche LLP to Price
Waterhouse LLP.
10
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
Registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.
Prudential-Bache Capital Return Futures Fund L.P.
By: Seaport Futures Management, Inc.
A Delaware corporation, General Partner
By: /s/ Steven Carlino Date: August 14, 1996
----------------------------------------
Steven Carlino
Vice President
Chief Accounting Officer for the
Registrant
11
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 5
<LEGEND>
The Schedule contains summary financial
information extracted from the financial
statements for P-B Capital Return Futures Fund L.P.
and is qualified in its entirety by reference
to such financial statements
</LEGEND>
<RESTATED>
<CIK> 0000846176
<NAME> P-B Capital Return Futures Fund L.P.
<MULTIPLIER> 1
<FISCAL-YEAR-END> Dec-31-1996
<PERIOD-START> Jan-1-1996
<PERIOD-END> Jun-30-1996
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0
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