<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, 1998
/ / 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 (I.R.S. Employer Identification No.)
incorporation or organization)
One New York Plaza, 13th Floor, New York, New York 10292
- --------------------------------------------------------------------------------
(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code (212) 778-7866
N/A
- --------------------------------------------------------------------------------
Former name, former address and former fiscal year, if changed since last report
Indicate by check CK whether the Registrant (1) has filed all reports
required to be filed by Section 13 or 15(d) of the Securities Exchange Act of
1934 during the preceding 12 months (or for such shorter period that the
Registrant was required to file such reports), and (2) has been subject to such
filing requirements for the past 90 days. Yes _CK_ No __
<PAGE>
Part I. FINANCIAL INFORMATION
ITEM 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,
1998 1997
<S> <C> <C>
- ----------------------------------------------------------------------------------------------------
ASSETS
Equity in commodity trading accounts:
Cash $ 2,531,440 $ 3,259,537
U.S. Treasury bills, at amortized cost 11,089,430 13,007,441
Net unrealized gain on open commodity positions 2,270,405 1,177,521
------------- ------------
Total assets $15,891,275 $17,444,499
------------- ------------
------------- ------------
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable $ 360,176 $ 291,915
Management fees payable 52,706 57,913
Accrued expenses 27,830 52,908
Due to affiliates 51,625 17,580
Incentive fee payable -- 12,998
------------- ------------
Total liabilities 492,337 433,314
------------- ------------
Commitments
Partners' capital
Limited partners (102,511 and 113,880 units outstanding) 15,244,870 16,840,972
General partner (1,036 and 1,151 units outstanding) 154,068 170,213
------------- ------------
Total partners' capital 15,398,938 17,011,185
------------- ------------
Total liabilities and partners' capital $15,891,275 $17,444,499
------------- ------------
------------- ------------
Net asset value per limited and general partnership unit ('Units') $ 148.71 $ 147.88
------------- ------------
------------- ------------
- ----------------------------------------------------------------------------------------------------
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,
------------------------- -------------------------
1998 1997 1998 1997
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------
REVENUES
Net realized gain (loss) $ (58,976) $ 654,388 $(1,161,027) $ 718,826
Change in net unrealized gain/loss 1,092,884 536,253 2,929,398 (316,926)
Interest from U.S. Treasury bills 451,070 513,406 140,992 169,711
---------- ---------- ----------- ---------
1,484,978 1,704,047 1,909,363 571,611
---------- ---------- ----------- ---------
EXPENSES
Commissions 912,052 1,049,360 286,552 341,622
Management fees 457,531 526,513 148,546 171,460
General and administrative 121,292 109,742 41,513 40,368
---------- ---------- ----------- ---------
1,490,875 1,685,615 476,611 553,450
---------- ---------- ----------- ---------
Net income (loss) $ (5,897) $ 18,432 $ 1,432,752 $ 18,161
---------- ---------- ----------- ---------
---------- ---------- ----------- ---------
ALLOCATION OF NET INCOME (LOSS)
Limited partners $ (5,832) $ 18,247 $ 1,418,421 $ 17,979
---------- ---------- ----------- ---------
---------- ---------- ----------- ---------
General partner $ (65) $ 185 $ 14,331 $ 182
---------- ---------- ----------- ---------
---------- ---------- ----------- ---------
NET INCOME (LOSS) PER WEIGHTED AVERAGE
LIMITED AND GENERAL PARTNERSHIP UNIT
Net income (loss) per weighted average
limited and general partnership unit $ (.05) $ .15 $ 13.52 $ .15
---------- ---------- ----------- ---------
---------- ---------- ----------- ---------
Weighted average number of limited and
general partnership units outstanding 109,729 125,822 105,969 121,234
---------- ---------- ----------- ---------
---------- ---------- ----------- ---------
- ------------------------------------------------------------------------------------------------------
</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, 1997 115,031 $16,840,972 $170,213 $17,011,185
Net loss -- (5,832) (65) (5,897)
Redemptions (11,484) (1,590,270) (16,080) (1,606,350)
-------- ----------- -------- -----------
Partners' capital--September 30, 1998 103,547 $15,244,870 $154,068 $15,398,938
-------- ----------- -------- -----------
-------- ----------- -------- -----------
- ----------------------------------------------------------------------------------------------------
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, 1998
(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, 1998 and the results of its operations for
the nine and three months ended September 30, 1998 and 1997. 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, 1997.
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,
1998 and 1997 were:
<TABLE>
<CAPTION>
1998 1997
<S> <C> <C>
-------------------------------------------------------------------------------
Commissions $912,052 $1,049,360
General and administrative 68,850 67,638
-------- ----------
$980,902 $1,116,998
-------- ----------
-------- ----------
</TABLE>
The costs incurred for these services for the three months ended September
30, 1998 and 1997 were:
<TABLE>
<CAPTION>
1998 1997
<S> <C> <C>
-------------------------------------------------------------------------------
Commissions $286,552 $ 341,622
General and administrative 23,123 22,546
-------- ----------
$309,675 $ 364,168
-------- ----------
-------- ----------
</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. Except for the portion of assets that is
deposited as margin to maintain forward currency contract positions as further
discussed below, the Partnership's assets are maintained either with PSI or, for
margin purposes, with the various exchanges on which the Partnership is
permitted to trade.
The Partnership, acting through its trading manager, executes
over-the-counter, spot, forward and/or option foreign exchange transactions with
PSI. PSI then engages in back-to-back trading with an affiliate,
Prudential-Bache Global Markets Inc. ('PBGM'). PBGM attempts to earn a profit on
such transactions. PBGM keeps its prices on foreign currency competitive with
other interbank trading desks. All over-the-
counter currency transactions are conducted between PSI and the Partnership
pursuant to a line of credit. PSI may require that collateral be posted against
the marked-to-market position of the Partnership.
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 in 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 interest 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, 1998 and December 31, 1997, such segregated assets totalled
$5,522,936 and $9,141,872, 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 $9,800,447 and $7,946,743 at September 30, 1998
and December 31, 1997, respectively. There are no segregation requirements for
assets related to forward trading.
As of September 30, 1998 the Partnership's open forward contracts mature
within three months, but open futures contracts mature within one year.
At September 30, 1998 and December 31, 1997, gross contract amounts of open
futures and forward contracts are:
<TABLE>
<CAPTION>
1998 1997
------------ ------------
<S> <C> <C>
Currency Forward Contracts:
Commitments to purchase $ 33,606,490 $ 8,299,224
Commitments to sell 5,604,840 21,741,261
Financial Futures Contracts:
Commitments to purchase 179,369,952 64,953,831
Commitments to sell 2,166,061 28,551,074
Other Futures Contracts:
Commitments to purchase 1,438,714 3,287,779
Commitments to sell 2,939,911 7,476,710
</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, 1998 and December 31, 1997, the fair value of open futures
and forward contracts were:
<TABLE>
<CAPTION>
1998 1997
-------------------------- --------------------------
Assets Liabilities Assets Liabilities
---------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ 527,661 $ -- $ 80,344 $ --
Other 118,001 51,424 611,279 68,124
Foreign exchanges
Financial 1,096,696 -- 250,118 66,494
Other 24,173 12,594 16,249 1,735
Forward Contracts:
Currencies 917,923 350,031 622,474 266,590
---------- ----------- ---------- -----------
$2,684,454 $ 414,049 $1,580,464 $ 402,943
---------- ----------- ---------- -----------
---------- ----------- ---------- -----------
</TABLE>
The following table presents the average fair values of futures and forward
contracts during the nine months ended September 30, 1998 and 1997,
respectively.
<TABLE>
<CAPTION>
1998 1997
-------------------------- --------------------------
Assets Liabilities Assets Liabilities
---------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ 135,466 $ 14,696 $ 89,070 $ 11,333
Currencies -- -- 76,204 18,248
Other 263,626 57,433 243,948 109,636
Foreign exchanges
Financial 390,855 67,305 278,438 58,875
Currencies -- -- 1,324 160
Other 20,953 10,589 3,818 3,972
Forward Contracts:
Currencies 442,497 566,172 579,391 218,918
---------- ----------- ---------- -----------
$1,253,397 $ 716,195 $1,272,193 $ 421,142
---------- ----------- ---------- -----------
---------- ----------- ---------- -----------
</TABLE>
6
<PAGE>
The following table presents the average fair values of futures and forward
contracts during the three months ended September 30, 1998 and 1997,
respectively.
<TABLE>
<CAPTION>
1998 1997
-------------------------- --------------------------
Assets Liabilities Assets Liabilities
---------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ 230,157 $ 12,560 $ 194,234 $ 7,963
Currencies -- -- 103,180 31,585
Other 210,101 51,768 387,674 248,847
Foreign exchanges
Financial 580,654 89,016 479,327 22,900
Currencies -- -- 3,311 400
Other 23,335 13,945 7,963 8,877
Forward Contracts:
Currencies 281,485 876,308 435,119 206,766
---------- ----------- ---------- -----------
$1,325,732 $ 1,043,597 $1,610,808 $ 527,338
---------- ----------- ---------- -----------
---------- ----------- ---------- -----------
</TABLE>
The following table presents the Partnership's trading revenues for the nine
and three months ended September 30, 1998 and 1997, respectively.
<TABLE>
<CAPTION>
Nine Months Ended Three Months Ended
September 30, September 30,
------------------------- -------------------------
1998 1997 1998 1997
---------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ 677,796 $ (43,006) $ 866,938 $ (1,981)
Currencies -- 24,502 -- (36,992)
Other (347,502) (574,379) (269,634) (452,744)
Foreign exchanges
Financial 1,179,943 1,195,100 1,378,820 1,055,964
Other 43,857 (82,226) (8,390) (109,236)
Forward Contracts:
Currencies (520,186) 665,708 (199,363) (53,111)
Foreign Currencies -- 4,942 -- --
---------- ---------- ---------- ----------
$1,033,908 $1,190,641 $1,768,371 $ 401,900
---------- ---------- ---------- ----------
---------- ---------- ---------- ----------
</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.
As of September 30, 1998, 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 70% 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. 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, 1998 were $1,590,270 and $356,607, respectively. Redemptions by
the General Partner recorded for the nine and three months ended September 30,
1998 were $16,080 and $3,569, respectively. Redemptions by limited partners and
the General Partner from commencement of operations, May 12, 1989, through
September 30, 1998 totalled $141,923,138 and $1,614,828, 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.
Year 2000 Risk
Investment funds, like financial and business organizations and individuals
around the world, depend on the smooth functioning of computer systems. The year
2000, however, holds the potential for a significant disruption in the operation
of these systems. Many computer systems in use today cannot distinguish the year
2000 from the year 1900 because of the way in which dates are encoded. This is
commonly known as the 'Year 2000 Problem.' The Partnership could be adversely
affected if computer systems used by it or any third party with whom it has a
material relationship do not properly perform date comparisons and calculations
concerning dates on or after January 1, 2000, which in turn could have a
negative impact on the handling or determination of trades and prices and the
services provided to the Partnership.
The Partnership has engaged third parties to perform primarily all of the
services it needs. Accordingly, the Partnership's Year 2000 problems, if any,
are not its own but those that center around the ability of the General Partner,
Prudential Securities Incorporated, its trading manager and any other third
party with whom the Partnership has a material relationship (individually, a
'Service Provider,' and collectively, the
8
<PAGE>
'Service Providers') to address and correct problems that may cause their
systems not to function as intended as a result of the Year 2000 Problem.
The Partnership has received assurances from its General Partner and
Prudential Securities Incorporated that they anticipate being able to continue
their operations without any material adverse impact from the Year 2000 Problem.
Although other Service Providers, such as the Partnership's trading manager,
have not made similar representations to the Partnership, the Partnership has no
reason to believe that these Service Providers will not take steps necessary to
avoid any material adverse impact on the Partnership, though there can be no
assurance that this will be the case. The costs or consequences of incomplete or
untimely resolution of the Year 2000 Problem by the Service Providers, or by
governments, exchanges, clearing houses, regulators, banks and other third
parties, are unknown to the Partnership at this time, but could have a material
adverse impact on the operations of the Partnership. The General Partner will
promptly notify the Partnership's limited partners in the event it determines
that the Year 2000 Problem will have a material adverse impact on the
Partnership's operations.
The Partnership has considered various alternatives as a contingency plan. If
the Year 2000 Problems are systemic, for example, the federal government, the
banking system, exchanges or utilities are affected materially, there may be no
adequate contingency plan for the Partnership to follow other than to suspend
operations. If the Year 2000 Problems are related to one or more of the other
Service Providers selected by the Partnership, the Partnership believes that
each such Service Provider is prepared to address any Year 2000 Problems which
arise that could have a material adverse impact on Partnership's operations.
Results of Operations
The net asset value per Unit as of September 30, 1998 was $148.71, an
increase of .56% from the December 31, 1997 net asset value per Unit of $147.88.
Additionally, the net asset value per Unit increased 10.0% during the third
quarter.
Third quarter trading resulted in gains. Profitable sectors included the
financial, grain and meat sectors. Partially offsetting gains were losses
experienced in the soft, currency, metal, index and energy sectors. Continuing
effects of June's Japanese yen intervention resulted in a rough start for the
Partnership in the third quarter. However, markets subsequently began to shift
in more favorable directions. The financial sector began the quarter with
considerable volatility. As the quarter progressed, the sector began to draw
attention as an alternative to the falling stock market. This
'flight-to-quality' resulted in significant profits for the Partnership,
particularly in German ten-year, Japanese, U.S. ten-year, Eurodollar and U.S.
Treasury bonds. In the grain sector, beneficial growing weather early on in the
quarter caused prices of corn and wheat to plunge, profiting the Partnership's
short exposure. In the soft sector, losses in coffee and cotton offset gains in
sugar and cocoa. Currency sector exposure led to losses as positions in the
British pound, Japanese yen and Australian dollar lost value as market
uncertainty led to increased volatility. In the metal sector, both silver and
copper trading were unprofitable for the Partnership.
Interest income from U.S. Treasury bills decreased by approximately $62,000
and $29,000 for the nine and three months ended September 30, 1998 as compared
to the same periods in 1997. These decreases are primarily due to the effect of
declining interest rates during the current year, poor trading
performance during the first six months of 1998 and redemptions offset, in
part, by strong performance during the third quarter, 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 $137,000 and $55,000 for the nine and
three months ended September 30, 1998 as compared to the same periods in 1997
primarily due to the effect of poor trading performance in the first six
months of 1998 and redemptions offset, in part, by strong performance
during the third quarter, 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 $69,000 and $23,000 for the nine and
three months ended September 30, 1998 as compared to the same periods in 1997
for the same reasons commissions decreased as discussed above.
9
<PAGE>
Incentive fees are based on New High Net Trading Profits generated by the
trading manager, as defined in the Advisory Agreement among the Partnership, the
General Partner and the trading manager. No incentive fees were earned for the
nine and three months ended September 30, 1998 and 1997.
General and administrative expenses increased by approximately $12,000 and
$1,000 for the nine and three months ended September 30, 1998 as compared to
the same periods in 1997. 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.
10
<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)
27.1 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.
11
<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 16, 1998
----------------------------------------
Steven Carlino
Vice President
Chief Accounting Officer for the Registrant
12
<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-31-1998
<PERIOD-START> Jan-1-1998
<PERIOD-END> Sep-30-1998
<PERIOD-TYPE> 9-Mos
<CASH> 2,531,440
<SECURITIES> 13,359,835
<RECEIVABLES> 0
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 15,891,275
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 15,891,275
<CURRENT-LIABILITIES> 492,337
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 15,398,938
<TOTAL-LIABILITY-AND-EQUITY> 15,891,275
<SALES> 0
<TOTAL-REVENUES> 1,484,978
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 1,490,875
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 0
<INCOME-TAX> 0
<INCOME-CONTINUING> 0
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> (5,897)
<EPS-PRIMARY> (.05)
<EPS-DILUTED> 0
</TABLE>
