<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, 1999
/ / 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,
1999 1998
<S> <C> <C>
- ----------------------------------------------------------------------------------------------------
ASSETS
Equity in commodity trading accounts:
Cash $ 2,517,227 $ 3,166,467
U.S. Treasury bills, at amortized cost 10,715,025 11,092,586
Net unrealized gain (loss) on open commodity positions (181,422) 1,007,956
------------- ------------
Total assets $13,050,830 $15,267,009
------------- ------------
------------- ------------
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable $ 560,759 $ 408,971
Management fees payable 43,252 50,656
Accrued expenses 47,376 57,613
Due to affiliates 27,954 12,481
------------- ------------
Total liabilities 679,341 529,721
------------- ------------
Commitments
Partners' capital
Limited partners (87,542 and 99,743 units outstanding) 12,247,672 14,589,844
General partner (885 and 1,008 units outstanding) 123,817 147,444
------------- ------------
Total partners' capital 12,371,489 14,737,288
------------- ------------
Total liabilities and partners' capital $13,050,830 $15,267,009
------------- ------------
------------- ------------
Net asset value per limited and general partnership unit ('Units') $ 139.91 $ 146.27
------------- ------------
------------- ------------
- ----------------------------------------------------------------------------------------------------
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,
--------------------------- ---------------------------
1999 1998 1999 1998
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------
REVENUES
Net realized gain (loss) $ 1,638,331 $ (58,976) $ 163,476 $(1,161,027)
Change in net unrealized gain/loss (1,189,378) 1,092,884 (932,322) 2,929,398
Interest from U.S. Treasury bills 358,521 451,070 122,880 140,992
----------- ----------- ----------- -----------
807,474 1,484,978 (645,966) 1,909,363
----------- ----------- ----------- -----------
EXPENSES
Commissions 847,739 912,052 273,314 286,552
Management fees 423,370 457,531 133,440 148,546
General and administrative 109,814 121,292 45,881 41,513
----------- ----------- ----------- -----------
1,380,923 1,490,875 452,635 476,611
----------- ----------- ----------- -----------
Net income (loss) $ (573,449) $ (5,897) $(1,098,601) $ 1,432,752
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
ALLOCATION OF NET INCOME (LOSS)
Limited partners $ (567,709) $ (5,832) $(1,087,607) $ 1,418,421
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
General partner $ (5,740) $ (65) $ (10,994) $ 14,331
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
NET INCOME (LOSS) PER WEIGHTED AVERAGE
LIMITED AND GENERAL PARTNERSHIP UNIT
Net income (loss) per weighted average
limited and general partnership unit $ (5.92) $ (.05) $ (11.89) $ 13.52
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
Weighted average number of limited and
general partnership units outstanding 96,814 109,729 92,435 105,969
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
- -------------------------------------------------------------------------------------------------------
</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, 1998 100,751 $14,589,844 $147,444 $14,737,288
Net loss -- (567,709) (5,740) (573,449)
Redemptions (12,324) (1,774,463) (17,887) (1,792,350)
-------- ----------- -------- -----------
Partners' capital--September 30, 1999 88,427 $12,247,672 $123,817 $12,371,489
-------- ----------- -------- -----------
-------- ----------- -------- -----------
- ----------------------------------------------------------------------------------------------------
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, 1999
(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, 1999 and the results of its operations for
the nine and three months ended September 30, 1999 and 1998. 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, 1998 (the 'Annual Report').
In accordance with the Agreement of Limited Partnership, if the Partnership's
net asset value declines below $10 million, the Partnership will dissolve.
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,
1999 and 1998 were:
<TABLE>
<CAPTION>
1999 1998
<S> <C> <C>
-------------------------------------------------------------------------------
Commissions $847,739 $912,052
General and administrative 52,845 68,850
-------- --------
$900,584 $980,902
-------- --------
-------- --------
</TABLE>
The costs incurred for these services for the three months ended September
30, 1999 and 1998 were:
<TABLE>
<CAPTION>
1999 1998
<S> <C> <C>
-------------------------------------------------------------------------------
Commissions $273,314 $286,552
General and administrative 21,637 23,123
-------- --------
$294,951 $309,675
-------- --------
-------- --------
</TABLE>
The Partnership's assets are maintained either in trading or cash accounts
with Prudential Securities Incorporated ('PSI'), the Partnership's commodity
broker, 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 currency 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
positions 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 or 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, if any, 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 and its 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. Additionally, the
Advisory Agreement among the Partnership, the General Partner and the trading
manager may be terminated if the net asset value allocated to the trading
manager as of the last day of the then current year declines by 40% from the
beginning of any year and will terminate automatically if the net asset value
declines by 33 1/3% since the initial allocation of assets to the trading
manager (September 1, 1990). Furthermore, the Agreement of Limited Partnership
provides that the Partnership will liquidate its positions, and eventually
dissolve, if the Partnership experiences a decline in the net asset value of 50%
since the commencement of trading activities. In each case, the decline in the
net asset value is after giving effect for distributions and redemptions. 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, 1999, such segregated assets totalled $10,757,527. 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 $2,328,998 at
September 30, 1999. There are no segregation requirements for assets related to
forward trading.
As of September 30, 1999, the Partnership's open futures and forward
contracts mature within one year.
5
<PAGE>
At September 30, 1999 and December 31, 1998, gross contract amounts of open
futures and forward contracts were:
<TABLE>
<CAPTION>
1999 1998
------------ ------------
<S> <C> <C>
Currency Forward Contracts:
Commitments to purchase $ 13,055,835 $ 546,406
Commitments to sell 6,410,579 1,960,358
Currency Futures Contracts:
Commitments to purchase 15,294,075 5,617,987
Commitments to sell -- 4,238,887
Financial Futures Contracts:
Commitments to purchase 88,940,677 39,193,849
Commitments to sell 38,605,136 83,475,164
Other Futures Contracts:
Commitments to purchase 2,275,910 1,139,330
Commitments to sell 3,646,955 3,588,609
</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 September 30, 1999 and December 31, 1998, the fair value of open futures
and forward contracts was:
<TABLE>
<CAPTION>
1999 1998
-------------------------- --------------------------
Assets Liabilities Assets Liabilities
---------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ 4,125 $ 42,437 $ 9,844 $ 106,650
Currencies 96,838 2,300 178,225 41,112
Other 125,944 440,266 114,222 42,294
Foreign exchanges
Financial 123,701 55,169 1,080,633 88,960
Other 45,842 2,005 29,238 4,015
Forward Contracts:
Currencies 119,158 154,853 6,297 127,472
---------- ----------- ---------- -----------
$ 515,608 $ 697,030 $1,418,459 $ 410,503
---------- ----------- ---------- -----------
---------- ----------- ---------- -----------
</TABLE>
6
<PAGE>
The following table presents the average fair values of futures and forward
contracts during the nine months ended September 30, 1999 and 1998,
respectively.
<TABLE>
<CAPTION>
1999 1998
-------------------------- --------------------------
Assets Liabilities Assets Liabilities
---------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ 64,348 $ 31,290 $ 135,466 $ 14,696
Currencies 188,814 30,422 -- --
Other 117,976 86,287 263,626 57,433
Foreign exchanges
Financial 503,612 59,087 390,855 67,305
Currencies -- -- -- --
Other 29,542 26,712 20,953 10,589
Forward Contracts:
Currencies 321,721 263,274 442,497 566,172
---------- ----------- ---------- -----------
$1,226,013 $ 497,072 $1,253,397 $ 716,195
---------- ----------- ---------- -----------
---------- ----------- ---------- -----------
</TABLE>
The following table presents the average fair values of futures and forward
contracts during the three months ended September 30, 1999 and 1998,
respectively.
<TABLE>
<CAPTION>
1999 1998
-------------------------- --------------------------
Assets Liabilities Assets Liabilities
---------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ 66,329 $ 38,244 $ 230,157 $ 12,560
Currencies 194,788 31,190 -- --
Other 145,411 141,753 210,101 51,768
Foreign exchanges
Financial 387,196 47,581 580,654 89,016
Other 29,127 47,481 23,335 13,945
Forward Contracts:
Currencies 176,861 290,480 281,485 876,308
---------- ----------- ---------- -----------
$ 999,712 $ 596,729 $1,325,732 $ 1,043,597
---------- ----------- ---------- -----------
---------- ----------- ---------- -----------
</TABLE>
The following table presents the Partnership's trading revenues for the nine
and three months ended September 30, 1999 and 1998, respectively.
<TABLE>
<CAPTION>
Nine Months Ended Three Months Ended
September 30, September 30,
------------------------- -------------------------
1999 1998 1999 1998
---------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ 243,667 $ 677,796 $ (275,068) $ 866,938
Currencies 249,997 -- 52,380 --
Other (367,012) (347,502) (207,008) (269,634)
Foreign exchanges
Financial (592,851) 1,179,943 (300,381) 1,378,820
Other 79,442 43,857 66,448 (8,390)
Forward Contracts:
Currencies 835,710 (520,186) (105,217) (199,363)
---------- ---------- ---------- ----------
$ 448,953 $1,033,908 $ (768,846) $1,768,371
---------- ---------- ---------- ----------
---------- ---------- ---------- ----------
</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 September 30, 1999, 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 83% 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 continues 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 Partnership's exposure to market risk is
influenced by a number of factors including the volatility of interest rates and
foreign currency exchange rates, the liquidity of the markets in which the
contracts are traded and the relationships among the contracts held. The
inherent uncertainty of the Partnership's speculative trading as well as the
development of drastic market occurrences could result in monthly losses
considerably beyond the Partnership's experience to date and could ultimately
lead to a loss of all or substantially all of investors' capital. The General
Partner attempts to minimize these risks by requiring the Partnership and its
trading manager to abide by various trading limitations and policies, which
include limiting margin amounts, trading only in liquid markets and utilizing
stop loss provisions. See Note C to the financial statements for a further
discussion on the credit and market risks associated with the Partnership's
futures and forward contracts.
Redemptions by limited partners for the nine and three months ended September
30, 1999 were $1,774,463 and $555,163, respectively. Redemptions by the General
Partner recorded for the nine and three months ended September 30, 1999 were
$17,887 and $5,596, respectively. Redemptions by limited partners and the
General Partner from commencement of operations, May 12, 1989, through September
30, 1999 totalled $144,102,476 and $1,636,811, 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.
In accordance with the Agreement of Limited Partnership, if the Partnership's
net asset value declines below $10 million, the Partnership will dissolve.
Results of Operations
The net asset value per Unit as of September 30, 1999 was $139.91, a decrease
of 4.35% from the December 31, 1998 net asset value per Unit of $146.27, and a
decrease of 7.83% from the June 30, 1999 net asset value per Unit of $151.79.
8
<PAGE>
Quarterly Market Overview
During the quarter, global financial markets experienced heavy volatility. In
July, U.S. Federal Reserve policy gave markets a boost. However, record trade
deficits, higher employment costs, fears of inflation and higher interest rates
in the U.S. quickly caused a reversal in U.S. stock and bond markets. Global
stock and bond markets followed U.S. markets demonstrating increased volatility.
The U.S. dollar also experienced fluctuations throughout the quarter as signs of
a stronger U.S. economy versus the European community supported the dollar's
rise to new highs against most major currencies. However, later in the quarter
as a record trade gap and stronger than expected European economic data were
reported, the U.S. dollar came under pressure and continued to fall against most
major currencies and to record lows against the Japanese yen. In the commodities
markets, energy prices rose as OPEC members agreed to maintain cuts in oil
output. The metal sector experienced extreme movement as gold prices rose to a
two-year high following reports that 15 European central banks would limit sales
and retain higher gold reserves.
Quarterly Partnership Performance
Trading in the financial sector incurred losses for the Partnership due to
positions in Japanese government bonds and U.S. Treasury bonds. Global interest
rate markets followed the lead of the U.S. bond market as rates moved higher. On
August 24th, the Federal Open Market Committee decided to increase the U.S.
federal funds rate by 25 basis points. In Japan, long-term interest rates rose
during the first half of the quarter on concerns that more government bonds may
be issued to finance the bailout of weaker Japanese banks.
Losses were incurred in the metal sector due to short gold and silver
positions. The European Central Bank's decision to limit both gold sales and
lending triggered strong movement in the gold market. Gold prices rose to
two-year highs over a ten-day period, causing short positions to incur losses
for the Partnership. Silver prices moved in conjunction with gold prices as they
rallied towards the quarter end.
Sydney Futures Exchange (Australia) and Nikkei Dow (Japan) positions
accumulated losses in the index sector. Australian markets were trendless, as
strong economic activity was counteracted by Reserve Bank of Australia (RBA)
statements suggesting that the RBA did not need to follow the U.S. by raising
interest rates. In Japan, the Nikkei Dow moved sideways and downward though not
demonstrating a bear trend, closing lower by quarter end.
Long corn positions in the grain sector also experienced losses. Corn reached
an eleven-year low as ideal weather conditions prevailed in the early part of
the quarter improving the outlook for a large crop.
In the currency sector, positions in the Swiss franc and the Euro recorded
losses for the Partnership. The Swiss franc bottomed out early in the quarter
after trading passed an 8-year low against the U.S. dollar. It had moved in sync
with the Euro in the first half of the quarter until the Euro surged against the
U.S. dollar. The strengthening Euro was short lived as investors unloaded Euros
for a stronger Japanese yen.
Profits were derived from long positions in the energy sector as light crude
and crude oil prices rose. OPEC's production cuts continued to prove effective
for oil markets. Expectations that current output levels could be maintained for
the foreseeable future also contributed to the bullish sentiment.
Interest income is earned on the Partnership's investment in U.S. Treasury
bills and, therefore, varies monthly based on interest rates as well as the
effect of trading performance and redemptions on the level of funds available
for investment in U.S. Treasury bills. Interest income from U.S. Treasury bills
decreased by $93,000 and $18,000 for the nine and three months ended September
30, 1999 as compared to the same periods in 1998 due to the effect of lower
interest rates during 1999 as well as the effect of fewer funds available for
investments in U.S. Treasury bills resulting from the liquidation of such
investments for the payment of redemptions.
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 $64,000 and $13,000 for the nine and three months ended
September 30, 1999 as compared to the same periods in 1998 primarily due to the
effect of redemptions on the monthly net asset values.
All trading decisions are currently made by John W. Henry & Company, 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 $34,000 and $15,000 for
9
<PAGE>
the nine and three months ended September 30, 1999 as compared to the same
periods in 1998 for the same reasons commissions decreased as discussed above.
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, 1999 and 1998.
General and administrative expenses decreased by $11,000 but increased by
$4,000 for the nine and three months ended September 30, 1999 as compared to the
same periods in 1998. 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.
Year 2000 Risk
A discussion of Year 2000 risk and its effect on the operations of the
Partnership is included in the Partnership's Annual Report.
ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
Information regarding quantitative and qualitative disclosures about market
risk is not required pursuant to Item 305(e) of Regulation S-K.
10
<PAGE>
PART II. OTHER INFORMATION
Item 1. Legal Proceedings--There are no material legal proceedings pending by or
against the 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 12, 1999
----------------------------------------
Steven Carlino
Vice President and Treasurer
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-31-1999
<PERIOD-START> Jan-1-1999
<PERIOD-END> Sep-30-1999
<PERIOD-TYPE> 9-Mos
<CASH> 2,517,227
<SECURITIES> 10,533,603
<RECEIVABLES> 0
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 13,050,830
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 13,050,830
<CURRENT-LIABILITIES> 679,341
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 12,371,489
<TOTAL-LIABILITY-AND-EQUITY> 13,050,830
<SALES> 0
<TOTAL-REVENUES> 807,474
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 1,380,923
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 0
<INCOME-TAX> 0
<INCOME-CONTINUING> 0
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> (573,449)
<EPS-BASIC> (5.92)
<EPS-DILUTED> 0
</TABLE>
