<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 September 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 (I.R.S. Employer
of incorporation 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>
September 30, December 31,
1996 1995
<S> <C> <C>
- ----------------------------------------------------------------------------------------------------
ASSETS
Equity in commodity trading accounts:
Cash $ 3,086,165 $ 4,882,612
U.S. Treasury bills, at amortized cost 11,955,685 15,256,948
Net unrealized gain on open commodity positions 1,478,692 414,130
------------- ------------
Total assets $16,520,542 $20,553,690
------------- ------------
------------- ------------
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable $ 529,263 $ 770,138
Management fees payable 54,774 68,183
Accrued expenses 48,545 51,018
Due to affiliates 39,707 47,676
------------- ------------
Total liabilities 672,289 937,015
------------- ------------
Commitments
Partners' capital
Limited partners (134,107 and 149,378 units outstanding) 15,689,726 18,850,694
General partner (1,355 and 6,070 units outstanding) 158,527 765,981
------------- ------------
Total partners' capital 15,848,253 19,616,675
------------- ------------
Total liabilities and partners' capital $16,520,542 $20,553,690
------------- ------------
------------- ------------
Net asset value per limited and general partnership unit
(``Units'') $ 116.99 $ 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>
Nine months ended Three months ended
September 30, September 30,
-------------------------- -------------------------
1996 1995 1996 1995
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------
REVENUES
Net realized gain (loss) on commodity
transactions $(1,252,819) $7,539,563 $(751,294) $ (95,370)
Change in net unrealized gain/loss on open
commodity positions 1,064,562 (738,098) 838,188 (438,939)
Interest from U.S. Treasury bills 528,471 724,976 162,693 232,845
----------- ---------- --------- -----------
340,214 7,526,441 249,587 (301,464)
----------- ---------- --------- -----------
EXPENSES
Commissions 1,068,008 1,318,008 325,121 427,811
Management fees 531,170 677,827 162,161 211,335
Incentive fees -- 437,793 -- --
General and administrative 122,383 136,865 44,114 41,828
----------- ---------- --------- -----------
1,721,561 2,570,493 531,396 680,974
----------- ---------- --------- -----------
Net income (loss) $(1,381,347) $4,955,948 $(281,809) $ (982,438)
----------- ---------- --------- -----------
----------- ---------- --------- -----------
ALLOCATION OF NET INCOME (LOSS)
Limited partners $(1,343,329) $4,808,070 $(278,991) $ (946,552)
----------- ---------- --------- -----------
----------- ---------- --------- -----------
General partner $ (38,018) $ 147,878 $ (2,818) $ (35,886)
----------- ---------- --------- -----------
----------- ---------- --------- -----------
NET INCOME (LOSS) PER WEIGHTED AVERAGE
LIMITED AND GENERAL PARTNERSHIP UNIT
Net income (loss) per weighted average
limited and general partnership unit $ (9.39) $ 27.53 $ (2.01) $ (5.91)
----------- ---------- --------- -----------
----------- ---------- --------- -----------
Weighted average number of
limited and general partnership units
outstanding 147,056 179,993 139,986 166,175
----------- ---------- --------- -----------
----------- ---------- --------- -----------
- ------------------------------------------------------------------------------------------------------
</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 -- (1,343,329) (38,018) (1,381,347)
Redemptions (19,986) (1,817,639) (569,436) (2,387,075)
------- ----------- --------- -----------
Partners' capital--September 30, 1996 135,462 $15,689,726 $ 158,527 $15,848,253
------- ----------- --------- -----------
------- ----------- --------- -----------
- -----------------------------------------------------------------------------------------------------
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
SEPTEMBER 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 September 30, 1996 and the results of its operations for
the nine and three months ended September 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 nine months ended September 30,
1996 and 1995 were:
<TABLE>
<CAPTION>
1996 1995
<S> <C> <C>
-------------------------------------------------------------------------------
Commissions $1,068,008 $1,318,008
General and administrative 71,641 75,820
---------- ----------
$1,139,649 $1,393,828
---------- ----------
---------- ----------
</TABLE>
The costs incurred for these services for the three months ended September
30, 1996 and 1995 were:
<TABLE>
<CAPTION>
1996 1995
<S> <C> <C>
-------------------------------------------------------------------------------
Commissions $ 325,121 $ 427,811
General and administrative 25,857 22,306
---------- ----------
$ 350,978 $ 450,117
---------- ----------
---------- ----------
</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
September 30, 1996 and December 31, 1995, such segregated assets totalled
$13,091,298 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 $3,208,604 and $3,385,792 at September 30,
1996 and December 31, 1995, respectively. There are no segregation requirements
for assets related to forward trading.
As of September 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 September 30, 1996 and December 31, 1995, gross contract amounts of open
futures and forward contracts are:
<TABLE>
<CAPTION>
September 30, December 31,
1996 1995
------------- ------------
<S> <C> <C>
Financial Futures Contracts:
Commitments to purchase $ 100,713,049 $70,094,468
Commitments to sell $ 2,345,438 $11,556,783
Currency Forward Contracts:
Commitments to purchase $ 16,870,134 $ 2,908,537
Commitments to sell $ 28,478,682 $12,481,234
Currency Futures Contracts:
Commitments to purchase $ 2,788,065 $ 440,660
Commitments to sell $ 3,756,225 $ 5,021,700
Other Futures Contracts:
Commitments to purchase $ 619,308 $ 537,121
Commitments to sell $ 5,740,705 $ 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 September 30, 1996 and December 31, 1995, the fair values of futures and
forward contracts were:
<TABLE>
<CAPTION>
September 30, 1996 December 31, 1995
-------------------------- ------------------------
Fair Value Fair Value
-------------------------- ------------------------
Assets Liabilities Assets Liabilities
---------- ----------- -------- -----------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ 6,600 $ 50,969 $116,513 $ --
Currencies 86,153 -- 5,771 23,988
Other 162,699 -- 54,057 600
Foreign exchanges
Financial 1,069,957 16,388 358,529 850
Forward Contracts:
Currencies 403,860 183,220 263,960 359,262
---------- ----------- -------- -----------
$1,729,269 $ 250,577 $798,830 $ 384,700
---------- ----------- -------- -----------
---------- ----------- -------- -----------
</TABLE>
The following table presents the average fair values of futures and forward
contracts during the nine months ended September 30, 1996 and 1995,
respectively.
<TABLE>
<CAPTION>
Nine months ended Nine months ended
September 30, 1996 September 30, 1995
-------------------------- --------------------------
Average Fair Value Average Fair Value
-------------------------- --------------------------
Assets Liabilities Assets Liabilities
---------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ 90,709 $ 18,173 $ 83,453 $ 8,039
Currencies 71,951 8,747 184,001 155,621
Other 56,121 11,079 72,368 23,317
Foreign exchanges
Financial 420,394 25,480 264,367 26,288
Forward Contracts:
Currencies 461,052 435,051 1,482,242 521,431
---------- ----------- ---------- -----------
$1,100,227 $ 498,530 $2,086,431 $ 734,696
---------- ----------- ---------- -----------
---------- ----------- ---------- -----------
</TABLE>
The following table presents the average fair values of futures and forward
contracts during the three months ended September 30, 1996 and 1995,
respectively.
<TABLE>
<CAPTION>
Three months ended Three months ended
September 30, 1996 September 30, 1995
-------------------------- --------------------------
Average Fair Value Average Fair Value
-------------------------- --------------------------
Assets Liabilities Assets Liabilities
---------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ 5,025 $ 44,223 $ 32,331 $ 15,706
Currencies 55,040 6,423 126,482 31,888
Other 98,586 4,137 43,576 19,889
Foreign exchanges
Financial 662,064 12,017 119,944 41,020
Forward Contracts:
Currencies 323,266 301,406 409,555 494,557
---------- ----------- ---------- -----------
$1,143,981 $ 368,206 $ 731,888 $ 603,060
---------- ----------- ---------- -----------
---------- ----------- ---------- -----------
</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 nine
months ended September 30, 1996 and 1995, respectively.
<TABLE>
<CAPTION>
Nine months ended September 30, 1996 Nine months ended September 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 $ 163,856 $ (160,882) $ 2,974 $ 490,675 $ (128,688) $ 361,987
Currencies 128,971 104,370 233,341 631,767 92,930 724,697
Other 149,273 109,242 258,515 (77,377) (152,614) (229,991)
Foreign exchanges
Financial (559,723) 695,890 136,167 1,782,269 (345,565) 1,436,704
Currencies (347,421) -- (347,421) (201,761) -- (201,761)
Other -- -- -- 7,256 -- 7,256
Forward Contracts:
Currencies (787,775) 315,942 (471,833) 4,906,734 (204,161) 4,702,573
-------------- -------------- --------- -------------- -------------- ----------
$ (1,252,819) $1,064,562 $(188,257) $7,539,563 $ (738,098) $6,801,465
-------------- -------------- --------- -------------- -------------- ----------
-------------- -------------- --------- -------------- -------------- ----------
</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 September 30, 1996 and 1995, respectively.
<TABLE>
<CAPTION>
Three months ended September 30, 1996 Three months ended September 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 $ (200,357) $ (7,669) $(208,026) $ (78,456) $ (73,775) $(152,231)
Currencies (62,854) 25,911 (36,943) 215,675 (108,305) 107,370
Other 120,540 39,382 159,922 (50,893) (73,932) (124,825)
Foreign exchanges
Financial (110,522) 965,854 855,332 (254,259) 23,733 (230,526)
Currencies (66,536) -- (66,536) (934,984) -- (934,984)
Forward Contracts:
Currencies (431,565) (185,290) (616,855) 1,007,547 (206,660) 800,887
-------------- -------------- --------- -------------- -------------- ---------
$ (751,294) $ 838,188 $ 86,894 $ (95,370) $ (438,939) $(534,309)
-------------- -------------- --------- -------------- -------------- ---------
-------------- -------------- --------- -------------- -------------- ---------
</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 September 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 73% 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 nine and three months ended
September 30, 1996 were $1,817,639 and $523,998, respectively. Redemptions by
the General Partner recorded for the nine and three months ended September 30,
1996 were $569,436 and $5,265, respectively. Redemptions by limited partners and
the General Partner from commencement of operations, May 12, 1989, through
September 30, 1996 totalled $137,533,267 and $1,570,508, 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 September 30, 1996 was $116.99, a decrease
of 7.29% from the December 31, 1995 net asset value per Unit of $126.19.
The Partnership's performance resulted in an overall decline in net asset
value in the month of July. Profits in the energies sector were offset by losses
in the currencies, financials, metals and stock indices sectors. In the energies
sector, reports that the U.S. was about to endorse procedures for the
implementation of the Iraqi/U.N. oil sales agreement pushed crude oil prices
down, but prices firmed by month's end proving profitable for long positions in
heating and light crude oil. In foreign exchange markets, losses were incurred
as some investors sold off U.S. assets in a bearish U.S. stock market in favor
of stronger European currencies. The flight from the U.S. dollar during the
month strengthened the Japanese yen and the Swiss franc. Losses occurred in the
Australian dollar, Japanese yen and Swiss franc positions. In the financials
8
<PAGE>
sector, gains in European bonds were offset by losses in Japanese bond
positions. The Nikkei logged its biggest single-day point decline in more than a
year as overseas investors sold off assets in the face of a skid on Wall Street.
Uncertainty over the direction of Japanese interest rates also unsettled the
market, keeping institutional investors on the sidelines for much of July. In
the metals sector, short positions in gold and silver proved unprofitable. The
weakness in the U.S. stock market negatively impacted both European and Asian
stock markets and trading in stock indices was unprofitable.
The Partnership's performance was slightly positive in the month of August.
Profits in the financials, energies and stock indices sectors offset losses in
the currencies, metals and grains sectors. For the summertime month of August,
the volume of trading was light in most markets. In the financials sector,
market participants remained cautious and edgy, with few willing to take
positions prior to key central bank policy meetings and economic reports
scheduled at month end. Positions in Japanese and Australian bonds were
profitable. In the energies sector, prices of both crude and heating oil soared
to four-month highs as a slump in European oil supplies increased demand from
developing nations and the hurricane season unsettled the market. Long positions
in heating and light crude oil were profitable. In the currencies sector,
positions in the German mark, Swiss franc and Japanese yen were unprofitable.
The U.S. dollar, German mark and Japanese yen fluctuated as investors responded
to various economic reports and policy decisions on interest rates. In the
metals sector, positions in gold and silver were unprofitable and trading in the
grains was flat.
The Partnership's performance was positive in the month of September. Profits
in the financials, currencies, metals and energies sectors offset losses in the
stock indices sector. In the financials sector, positions in German, Italian,
French, British and Japanese bonds were profitable. European nations seeking
membership in the European Monetary Union (EMU) were under pressure to keep
interest rates low while Japan's slow economic recovery made higher rates
unlikely. Foreign central banks shifted assets to the relatively high yields of
the U.S. bond markets. In the currencies sector, positions in the Japanese yen
and Canadian dollar were profitable. By month's end, the dollar was trading at
near ten-week highs against the Japanese currency as weak industrial production
figures out of Japan sparked a wave of dollar buying. In the metals sector,
positions in gold and silver were profitable. Investors were net sellers in gold
upon news of the International Monetary Fund's plan to sell five million ounces
from its own reserves to help pay the debts of the poorest nations. In the
energies sector, the price of heating oil reached its highest level in five
years amid worries that Middle East hostilities could threaten supplies just as
winter approaches in the U.S. with stockpiles at historically low levels.
Positions in heating and light crude oil were profitable.
Interest income from U.S. Treasury bills decreased by approximately $197,000
and $70,000 for the nine and three months ended September 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 $250,000 and $103,000 for the nine and
three months ended September 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 $147,000 and $49,000 for
the nine and three months ended September 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 nine months ended September 30, 1996 but approximately $438,000 was earned
for the six months ended June 30, 1995.
General and administrative expenses decreased by approximately $14,000 for
the nine months ended September 30, 1996 but increased by approximately $2,000
for the three months ended September 30, 1996 as compared to the same periods 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. The nine month decrease was 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--None
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: November 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> Sep-30-1996
<PERIOD-TYPE> 9-Mos
<CASH> 3,086,165
<SECURITIES> 13,434,377
<RECEIVABLES> 0
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 16,520,542
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 16,520,542
<CURRENT-LIABILITIES> 672,289
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 15,848,253
<TOTAL-LIABILITY-AND-EQUITY> 16,520,542
<SALES> 0
<TOTAL-REVENUES> 340,214
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 1,721,561
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 0
<INCOME-TAX> 0
<INCOME-CONTINUING> 0
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> (1,381,347)
<EPS-PRIMARY> (9.39)
<EPS-DILUTED> 0
</TABLE>
