<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, 1997
/ / 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 Identification No.)
of incorporation or organization)
One New York Plaza, 14th 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,
1997 1996
<S> <C> <C>
- ---------------------------------------------------------------------------------------------------
ASSETS
Equity in commodity trading accounts:
Cash $ 3,366,422 $ 4,416,242
U.S. Treasury bills, at amortized cost 13,220,882 13,869,729
Net unrealized gain on open commodity positions 796,492 417,876
----------- ------------
Total assets $17,383,796 $18,703,847
----------- ------------
----------- ------------
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable $ 600,980 $ 664,958
Management fees payable 57,544 62,075
Accrued expenses 68,164 61,858
Due to affiliates 52,484 19,472
----------- ------------
Total liabilities 779,172 808,363
----------- ------------
Commitments
Partners' capital
Limited partners (120,021 and 129,302 units outstanding) 16,438,488 17,716,405
General partner (1,213 and 1,307 units outstanding) 166,136 179,079
----------- ------------
Total partners' capital 16,604,624 17,895,484
----------- ------------
Total liabilities and partners' capital $17,383,796 $18,703,847
----------- ------------
----------- ------------
Net asset value per limited and general partnership unit ('Units') $ 136.96 $ 137.02
----------- ------------
----------- ------------
- ---------------------------------------------------------------------------------------------------
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,
-------------------------- -----------------------
1997 1996 1997 1996
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------
REVENUES
Net realized gain (loss) $ 872,638 $ (230,542) $(422,352) $(180,932)
Change in net unrealized gain (83,897) (44,609) 618,861 298,883
Interest from U.S. Treasury bills 343,695 365,778 168,481 170,913
---------- ----------- --------- ---------
1,132,436 90,627 364,990 288,864
---------- ----------- --------- ---------
EXPENSES
Commissions 707,738 742,887 344,244 349,238
Management fees 355,053 369,009 172,096 174,315
General and administrative 69,374 78,269 28,225 30,937
---------- ----------- --------- ---------
1,132,165 1,190,165 544,565 554,490
---------- ----------- --------- ---------
Net income (loss) $ 271 $(1,099,538) $(179,575) $(265,626)
---------- ----------- --------- ---------
---------- ----------- --------- ---------
ALLOCATION OF NET INCOME (LOSS)
Limited partners $ 268 $(1,064,338) $(177,778) $(262,969)
---------- ----------- --------- ---------
---------- ----------- --------- ---------
General partner $ 3 $ (35,200) $ (1,797) $ (2,657)
---------- ----------- --------- ---------
---------- ----------- --------- ---------
NET INCOME (LOSS) PER WEIGHTED AVERAGE
LIMITED AND GENERAL PARTNERSHIP UNIT
Net income (loss) per weighted average
limited and general partnership unit $ -- $ (7.30) $ (1.43) $ (1.82)
---------- ----------- --------- ---------
---------- ----------- --------- ---------
Weighted average number of limited and
general partnership units outstanding 128,116 150,591 125,622 145,734
---------- ----------- --------- ---------
---------- ----------- --------- ---------
- ------------------------------------------------------------------------------------------------------
</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, 1996 130,609 $17,716,405 $179,079 $17,895,484
Net income 268 3 271
Redemptions (9,375) (1,278,185) (12,946) (1,291,131)
-------- ----------- -------- -----------
Partners' capital--June 30, 1997 121,234 $16,438,488 $166,136 $16,604,624
-------- ----------- -------- -----------
-------- ----------- -------- -----------
- ----------------------------------------------------------------------------------------------------
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, 1997
(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, 1997 and the results of its operations for the six
and three months ended June 30, 1997 and 1996. 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, 1996 (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, 1997
and 1996 were:
<TABLE>
<CAPTION>
1997 1996
<S> <C> <C>
-------------------------------------------------------------------------------
Commissions $707,738 $742,887
General and administrative 45,092 45,784
-------- --------
$752,830 $788,671
-------- --------
-------- --------
</TABLE>
The costs incurred for these services for the three months ended June 30,
1997 and 1996 were:
<TABLE>
<CAPTION>
1997 1996
<S> <C> <C>
-------------------------------------------------------------------------------
Commissions $344,244 $349,238
General and administrative 22,071 20,281
-------- --------
$366,315 $369,519
-------- --------
-------- --------
</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.
In connection with the Partnership's interbank transactions, PSI engages in
foreign currency forward transactions with the Partnership and an affiliate of
PSI who, as principal, attempts to earn a profit on the bid-ask spreads (which
must be competitive) on any foreign currency forward transactions entered into
between the Partnership and PSI, on the one hand, and PSI and such affiliate on
the other. In connection with its trading of foreign currencies in the interbank
market, PSI may arrange bank lines of credit at major international banks. To
the extent such lines of credit are arranged, PSI does not charge the
Partnership for maintaining such lines of credit, but requires margin deposits
with respect to forward contract transactions.
4
<PAGE>
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).
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, 1997 and December 31, 1996, such segregated assets totalled $15,893,975
and $17,277,553, 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 $1,179,090 and $1,148,057 at June 30, 1997 and December
31, 1996, respectively. There are no segregation requirements for assets related
to forward trading.
As of June 30, 1997 and December 31, 1996, the Partnership's open forward
contracts mature within three months, but open futures contracts mature within
one year.
5
<PAGE>
At June 30, 1997 and December 31, 1996, gross contract amounts of open
futures and forward contracts are:
<TABLE>
<CAPTION>
June 30, December 31,
1997 1996
------------ ------------
<S> <C> <C>
Currency Forward Contracts:
Commitments to purchase $ 30,919,299 $14,780,831
Commitments to sell $ 17,020,182 $21,404,866
Currency Futures Contracts:
Commitments to purchase $ 3,533,520 $ 1,527,963
Commitments to sell $ 2,139,890 $ 2,058,838
Financial Futures Contracts:
Commitments to purchase $142,378,026 $37,638,257
Commitments to sell $ 17,763,970 $ 8,448,337
Other Futures Contracts:
Commitments to purchase $ 2,557,919 $ 419,159
Commitments to sell $ 8,429,268 $ 2,628,405
</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 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, 1997 and December 31, 1996, the fair value of futures and forward
contracts were:
<TABLE>
<CAPTION>
June 30, 1997 December 31, 1996
-------------------------- ------------------------
Fair Value Fair Value
-------------------------- ------------------------
Assets Liabilities Assets Liabilities
---------- ----------- -------- -----------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ 139,769 $ -- $ 13,200 $ 13,625
Currencies 76,175 5,423 74,723 175
Other 239,342 81,278 80,797 1,456
Foreign exchanges
Financial 175,960 75,384 129,424 143,249
Other 16,600 -- -- --
Forward Contracts:
Currencies 606,794 296,063 522,582 244,345
---------- ----------- -------- -----------
$1,254,640 $ 458,148 $820,726 $ 402,850
---------- ----------- -------- -----------
---------- ----------- -------- -----------
</TABLE>
6
<PAGE>
The following table presents the average fair values of futures and forward
contracts during the six months ended June 30, 1997 and 1996, respectively.
<TABLE>
<CAPTION>
Six months ended Six months ended
June 30, 1997 June 30, 1996
-------------------------- --------------------------
Average Fair Value Average Fair Value
-------------------------- --------------------------
Assets Liabilities Assets Liabilities
---------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ 36,219 $ 11,639 $ 126,713 $ 5,934
Currencies 60,786 8,795 81,222 10,106
Other 161,161 26,035 41,473 13,481
Foreign exchanges
Financial 149,004 81,790 237,649 32,410
Other 3,275 602 -- --
Forward Contracts:
Currencies 665,747 236,884 560,640 477,997
---------- ----------- ---------- -----------
$1,076,192 $ 365,745 $1,047,697 $ 539,928
---------- ----------- ---------- -----------
---------- ----------- ---------- -----------
</TABLE>
The following table presents the average fair values of futures and forward
contracts during the three months ended June 30, 1997 and 1996, respectively.
<TABLE>
<CAPTION>
Three months ended Three months ended
June 30, 1997 June 30, 1996
-------------------------- ------------------------
Average Fair Value Average Fair Value
-------------------------- ------------------------
Assets Liabilities Assets Liabilities
---------- ----------- -------- -----------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ 58,653 $ 13,752 $134,552 $ 9,484
Currencies 35,984 9,444 68,516 4,834
Other 213,808 44,083 52,224 6,794
Foreign exchanges
Financial 145,068 99,747 112,910 27,037
Other 5,731 1,053 -- --
Forward Contracts:
Currencies 427,864 155,978 570,733 532,900
---------- ----------- -------- -----------
$ 887,108 $ 324,057 $938,935 $ 581,049
---------- ----------- -------- -----------
---------- ----------- -------- -----------
</TABLE>
7
<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, 1997 and 1996, respectively.
<TABLE>
<CAPTION>
Six months ended June 30, 1997 Six months ended June 30, 1996
----------------------------------------------- ------------------------------------------------
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 $ (181,219) $ 140,194 $ (41,025) $ 364,213 $ (153,213) $ 211,000
Currencies 65,290 (3,796) 61,494 191,825 78,459 270,284
Other (200,358) 78,723 (121,635) 28,733 69,860 98,593
Foreign exchanges
Financial 24,735 114,401 139,136 (449,201) (269,964) (719,165)
Other 10,410 16,600 27,010 -- -- --
Forward Contracts:
Currencies 686,325 32,494 718,819 (354,566) 501,232 146,666
Foreign Currencies 467,455 (462,513) 4,942 (11,546) (270,983) (282,529)
-------------- -------------- --------- -------------- -------------- ----------
$ 872,638 $ (83,897) $ 788,741 $ (230,542) $ (44,609) $ (275,151)
-------------- -------------- --------- -------------- -------------- ----------
-------------- -------------- --------- -------------- -------------- ----------
</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, 1997 and 1996, respectively.
<TABLE>
<CAPTION>
Three months ended June 30, 1997 Three months ended June 30, 1996
----------------------------------------------- -----------------------------------------------
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 $ (88,688) $ 71,738 $ (16,950) $ 275,982 $ (216,606) $ 59,376
Currencies (64,213) 68,354 4,141 97,232 26,578 123,810
Other (235,161) 154,050 (81,111) 75,227 103,270 178,497
Foreign exchanges
Financial (80,019) 90,784 10,765 (343,991) (61,955) (405,946)
Other 10,410 16,600 27,010 -- -- --
Forward Contracts:
Currencies (434,814) 344,273 (90,541) (280,335) 554,957 274,622
Foreign Currencies 470,133 (126,938) 343,195 (5,047) (107,361) (112,408)
-------------- -------------- --------- -------------- -------------- ---------
$ (422,352) $ 618,861 $ 196,509 $ (180,932) $ 298,883 $ 117,951
-------------- -------------- --------- -------------- -------------- ---------
-------------- -------------- --------- -------------- -------------- ---------
</TABLE>
8
<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, 1997, 100% of the Partnership's 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 77% 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, 1997 were $1,278,185 and $594,954, respectively. Redemptions by the
General Partner recorded for the six and three months ended June 30, 1997 were
$12,946 and $6,026, respectively. Redemptions by limited partners and the
General Partner from commencement of operations, May 12, 1989, through June 30,
1997 totalled $139,469,832 and $1,590,031, 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.
John W. Henry & Co., Inc. (the 'Trading Manager') has determined that its Yen
Financial Portfolio no longer meets its original investment objectives and
therefore, terminated its Yen Financial Portfolio effective March 31, 1997.
Accordingly, as of April 1, 1997, the General Partner reallocated assets
previously traded pursuant to the Yen Financial Portfolio (representing
approximately 32% of the Partnership's assets) to the Trading Manager's Original
Investment Program.
Results of Operations
The net asset value per Unit as of June 30, 1997 was $136.96, a decrease of
.04% from the December 31, 1996 net asset value per Unit of $137.02.
9
<PAGE>
The net asset value declined during April. Losses were incurred in the
financial and grain sectors while profits were earned in the currency, soft,
metal, energy and stock index sectors. Global equity markets tracked the
downward movement of U.S. bond and stock prices as economic reports seemed to
strengthen the argument for another short-term rate increase by the U.S. Federal
Reserve Bank during the first two weeks of the month. However, bearish sentiment
gave way to exuberance in the second half as new data, strong corporate earnings
and a budget deal in Washington restored investor confidence. This sharp shift
in the interest rate markets resulted in losses for the Partnership, as U.S.,
Australian, Japanese, Canadian, British, German and French bond positions were
unprofitable. In the currency sector, the Partnership benefited from continuing
trends. There was little to shift the U.S. dollar from its position of strength
in world markets. Talk of central bank intervention to stem the dollar's rise
against the Japanese yen ruffled the markets throughout the month. However, the
dollar continued to rise in the weeks leading up to the meeting of G-7 finance
ministers on April 27, 1997 reaching new highs against both the yen and German
mark. In the final week of trading, new economic data dampened expectations for
a second U.S. rate hike and the dollar sagged against its major counterparts.
Positions in Japanese yen, German mark, Canadian dollar and Swiss franc posted
gains. In the soft sector, supply concerns continued to push coffee prices
upward. Long coffee positions were profitable.
May's negative performance resulted from losses in the currency, energy and
financial sectors offsetting profits earned in the grain, index, metal and soft
sectors. In the currency sector, the Fund suffered losses in Japanese yen,
British pound and Canadian dollar positions. Upset elections in France and Great
Britain, verbal intervention by Japanese officials, another U.S. Federal Reserve
meeting on interest rate policy, and extraordinary public bickering between the
German government and central bank contributed to a general state of confusion
in the foreign exchange markets. In Japan, official warnings of intervention to
cap the U.S. dollar's rise against the Japanese yen and a report that the Bank
of Japan might raise a key interest rate pushed the dollar to a 4 1/2 month low
against the yen. Towards month end, the dollar reversed itself as Japanese
officials warned of intervention and said interest rates would not be increased.
In the financial sector, bond markets were equally unsettled reflecting U.S.
interest rate concerns and renewed doubts about monetary union in Europe.
Japanese and European bond positions were unprofitable. In the soft sector, the
Partnership benefited from coffee's continuous upward trend as intermittent
labor unrest and heavy rains in major producing countries threatened to reduce
already tight inventories. Positions in cotton, cocoa and sugar were also
profitable. In the world equity markets, both the Nikkei and the Australian All
Ordinaries indices soared, reflecting renewed investor confidence in their
respective economies. Positions in both were profitable.
June's positive performance resulted from gains in the financial, currency,
metal, index and grain sectors, which were slightly offset by losses in the soft
and energy sectors. In the financial sector, the Partnership achieved gains in
U.S, Australian, Italian and German bonds. This was attributed, in part, to
continued uncertainty surrounding the European Monetary Union (EMU). Italian
bonds strengthened on improved prospects for Italy's entry into the EMU. In the
currency sector, solid gains were also achieved as investors sorted through the
European political upsets of May and paid close heed to economic fundamentals,
pushing the British pound to new records against the German mark. The G-7 summit
meeting at month end also helped to restore a semblance of order in the currency
markets by carefully circumventing politically sensitive trade and monetary
issues that might jar the U.S. dollar/Japanese yen relationship. All of these
factors helped the Partnership achieve gains in British pound/German mark cross
rate positions as well as Japanese yen/German mark cross rate positions. In the
metal sector, the Partnership profited as gold prices fell to a four year low.
The Partnership also had gains within the index sector in the Nikkei Dow and the
Australian index. The Partnership realized losses in the soft and energy
sectors. In the soft sector, the Partnership had losses in coffee as a result of
improved supplies. The availability of 2.5 million bags of coffee promised by
the Colombian Coffee Federation, Brazilian exports at record rates to take
advantage of high prices, and good weather prognostications in Brazil helped to
drive coffee prices down. In the energy sector, light crude oil positions were
unprofitable as OPEC pressure caused prices to rise.
Interest income from U.S. Treasury bills decreased by approximately $22,000
and $2,000 for the six and three months ended June 30, 1997 as compared to the
same periods in 1996 due to the effect of redemptions on the funds available for
investment in U.S. Treasury bills.
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
10
<PAGE>
$35,000 and $5,000 for the six and three months ended June 30, 1997 as compared
to the same periods in 1996 primarily due to the effect of redemptions on the
monthly net asset values.
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 $14,000 and $2,000 for the six and
three months ended June 30, 1997 as compared to the same periods in 1996
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
during the six months ended June 30, 1997 and 1996.
General and administrative expenses decreased by approximately $9,000 and
$3,000 for the six and three months ended June 30, 1997 as compared to the same
period in 1996. 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.
11
<PAGE>
<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--
No reports on Form 8-K were filed for the period covered by this
report.
12
<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, 1997
----------------------------------------
Steven Carlino
Vice President
Chief Accounting Officer for the Registrant
13
<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-31-1997
<PERIOD-START> Jan-1-1997
<PERIOD-END> Jun-30-1997
<PERIOD-TYPE> 6-Mos
<CASH> 3,366,422
<SECURITIES> 14,017,374
<RECEIVABLES> 0
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 17,383,796
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 17,383,796
<CURRENT-LIABILITIES> 779,172
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 16,604,624
<TOTAL-LIABILITY-AND-EQUITY> 17,383,796
<SALES> 0
<TOTAL-REVENUES> 1,132,436
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 1,132,165
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 0
<INCOME-TAX> 0
<INCOME-CONTINUING> 0
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> 271
<EPS-PRIMARY> 0
<EPS-DILUTED> 0
</TABLE>
