<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, 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>
June 30, December 31,
1999 1998
<S> <C> <C>
- ---------------------------------------------------------------------------------------------------
ASSETS
Equity in commodity trading accounts:
Cash $ 3,680,315 $ 3,166,467
U.S. Treasury bills, at amortized cost 10,447,390 11,092,586
Net unrealized gain on open commodity positions 750,900 1,007,956
----------- ------------
Total assets $14,878,605 $15,267,009
----------- ------------
----------- ------------
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable $ 731,628 $ 408,971
Management fees payable 49,373 50,656
Accrued expenses 31,281 57,613
Due to affiliates 35,474 12,481
----------- ------------
Total liabilities 847,756 529,721
----------- ------------
Commitments
Partners' capital
Limited partners (91,510 and 99,743 units outstanding) 13,890,442 14,589,844
General partner (925 and 1,008 units outstanding) 140,407 147,444
----------- ------------
Total partners' capital 14,030,849 14,737,288
----------- ------------
Total liabilities and partners' capital $14,878,605 $15,267,009
----------- ------------
----------- ------------
Net asset value per limited and general partnership unit ('Units') $ 151.79 $ 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>
Six months ended Three months ended
June 30, June 30,
-------------------------- --------------------------
1999 1998 1999 1998
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------
REVENUES
Net realized gain $1,474,855 $ 1,102,050 $ 909,631 $ 1,127,244
Change in net unrealized gain (257,056) (1,836,513) 291,376 (1,121,423)
Interest from U.S. Treasury bills 235,641 310,078 113,929 142,338
---------- ----------- ---------- -----------
1,453,440 (424,385) 1,314,936 148,159
---------- ----------- ---------- -----------
EXPENSES
Commissions 574,425 625,500 285,289 295,453
Management fees 289,930 308,985 145,979 147,107
General and administrative 63,933 79,779 29,158 38,682
---------- ----------- ---------- -----------
928,288 1,014,264 460,426 481,242
---------- ----------- ---------- -----------
Net income (loss) $ 525,152 $(1,438,649) $ 854,510 $ (333,083)
---------- ----------- ---------- -----------
---------- ----------- ---------- -----------
ALLOCATION OF NET INCOME (LOSS)
Limited partners $ 519,898 $(1,424,253) $ 845,961 $ (329,749)
---------- ----------- ---------- -----------
---------- ----------- ---------- -----------
General partner $ 5,254 $ (14,396) $ 8,549 $ (3,334)
---------- ----------- ---------- -----------
---------- ----------- ---------- -----------
NET INCOME (LOSS) PER WEIGHTED AVERAGE
LIMITED AND GENERAL PARTNERSHIP UNIT
Net income (loss) per weighted average
limited and general partnership unit $ 5.30 $ (12.89) $ 8.79 $ (3.08)
---------- ----------- ---------- -----------
---------- ----------- ---------- -----------
Weighted average number of limited and
general partnership units outstanding 99,003 111,609 97,255 108,186
---------- ----------- ---------- -----------
---------- ----------- ---------- -----------
- ------------------------------------------------------------------------------------------------------
</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 income -- 519,898 5,254 525,152
Redemptions (8,316) (1,219,300) (12,291) (1,231,591)
-------- ----------- -------- -----------
Partners' capital--June 30, 1999 92,435 $13,890,442 $140,407 $14,030,849
-------- ----------- -------- -----------
-------- ----------- -------- -----------
- ----------------------------------------------------------------------------------------------------
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, 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 June 30, 1999 and the results of its operations for the six
and three months ended June 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.
New Accounting Guidance
In June 1999, the Financial Accounting Standards Board ('FASB') issued
Statement No. 137, Accounting for Derivative Instruments and Hedging
Activities--Deferral of the Effective Date of FASB Statement No. 133--an
amendment of FASB Statement No. 133, which delayed the effective date of FASB
Statement No. 133, Accounting for Derivative Instruments and Hedging Activities
('SFAS 133'). The Partnership does not believe the effect of adoption of SFAS
133, now required effective January 1, 2001, will be material.
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, 1999
and 1998 were:
<TABLE>
<CAPTION>
1999 1998
<S> <C> <C>
-------------------------------------------------------------------------------
Commissions $574,425 $625,500
General and administrative 31,208 45,727
-------- --------
$605,633 $671,227
-------- --------
-------- --------
</TABLE>
The costs incurred for these services for the three months ended June 30,
1999 and 1998 were:
<TABLE>
<CAPTION>
1999 1998
<S> <C> <C>
-------------------------------------------------------------------------------
Commissions $285,289 $295,453
General and administrative 14,858 22,777
-------- --------
$300,147 $318,230
-------- --------
-------- --------
</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,
4
<PAGE>
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.
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 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
June 30, 1999, such segregated assets totalled $10,483,164. 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 $4,378,212 at June 30,
1999. There are no segregation requirements for assets related to forward
trading.
As of June 30, 1999, the Partnership's open futures and forward contracts
mature within one year.
5
<PAGE>
At June 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 $ 3,786,455 $ 546,406
Commitments to sell 15,219,134 1,960,358
Currency Futures Contracts:
Commitments to purchase -- 5,617,987
Commitments to sell 13,385,212 4,238,887
Financial Futures Contracts:
Commitments to purchase 1,541,760 39,193,849
Commitments to sell 153,691,757 83,475,164
Other Futures Contracts:
Commitments to purchase 1,663,207 1,139,330
Commitments to sell 4,196,550 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 June 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 $ 124,948 $ 10,975 $ 9,844 $ 106,650
Currencies 68,387 16,100 178,225 41,112
Other 189,920 61,195 114,222 42,294
Foreign exchanges
Financial 482,128 7,902 1,080,633 88,960
Other 20,890 56,430 29,238 4,015
Forward Contracts:
Currencies 143,131 125,902 6,297 127,472
---------- ----------- ---------- -----------
$1,029,404 $ 278,504 $1,418,459 $ 410,503
---------- ----------- ---------- -----------
---------- ----------- ---------- -----------
</TABLE>
6
<PAGE>
The following table presents the average fair values of futures and forward
contracts during the six months ended June 30, 1999 and 1998, respectively.
<TABLE>
<CAPTION>
1999 1998
-------------------------- --------------------------
Assets Liabilities Assets Liabilities
---------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ 71,874 $ 24,414 $ 79,325 $ 16,748
Currencies 168,196 27,936 -- --
Other 112,577 51,007 278,276 61,695
Foreign exchanges
Financial 567,067 58,349 249,017 71,364
Other 28,543 19,090 20,847 9,911
Forward Contracts:
Currencies 378,985 228,103 481,374 437,052
---------- ----------- ---------- -----------
$1,327,242 $ 408,899 $1,108,839 $ 596,770
---------- ----------- ---------- -----------
---------- ----------- ---------- -----------
</TABLE>
The following table presents the average fair values of futures and forward
contracts during the three months ended June 30, 1999 and 1998, respectively.
<TABLE>
<CAPTION>
1999 1998
-------------------------- --------------------------
Assets Liabilities Assets Liabilities
---------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ 94,628 $ 4,137 $ 42,939 $ 29,310
Currencies 168,922 29,742 -- --
Other 120,438 65,807 197,940 62,013
Foreign exchanges
Financial 365,513 45,144 178,438 78,071
Other 32,604 29,894 20,521 13,466
Forward Contracts:
Currencies 438,837 141,013 494,305 329,698
---------- ----------- ---------- -----------
$1,220,942 $ 315,737 $ 934,143 $ 512,558
---------- ----------- ---------- -----------
---------- ----------- ---------- -----------
</TABLE>
The following table presents the Partnership's trading revenues for the six
and three months ended June 30, 1999 and 1998, respectively.
<TABLE>
<CAPTION>
Six Months Ended Three Months Ended
June 30, June 30,
------------------------ ------------------------
1999 1998 1999 1998
---------- --------- ---------- ---------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ 518,735 $(189,142) $ 207,608 $(113,188)
Currencies 197,617 -- 256,135 --
Other (160,004) (77,868) (8,975) 251,232
Foreign exchanges
Financial (292,470) (198,877) 455,348 (99,195)
Other 12,994 52,247 (37,311) 963
Forward Contracts:
Currencies 940,927 (320,823) 328,202 (33,991)
---------- --------- ---------- ---------
$1,217,799 $(734,463) $1,201,007 $ 5,821
---------- --------- ---------- ---------
---------- --------- ---------- ---------
</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 June 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 71% 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 six and three months ended June 30,
1999 were $1,219,300 and $724,342, respectively. Redemptions by the General
Partner recorded for the six and three months ended June 30, 1999 were $12,291
and $7,286, respectively. Redemptions by limited partners and the General
Partner from commencement of operations, May 12, 1989, through June 30, 1999
totalled $143,547,313 and $1,631,215, 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 June 30, 1999 was $151.79, an increase of
3.77% from the December 31, 1998 net asset value per Unit of $146.27.
8
<PAGE>
Quarterly Market Overview
In the United States, as economic indicators strengthened and the Federal
Reserve Bank announced they would raise interest rates, the U.S. dollar rose
against most major currencies, especially European which were spurred by
deteriorating confidence in the Euro. Throughout the second quarter, several
issues weighed on world markets including significant price declines in global
long-term interest bonds, the U.S. Federal Reserve's tightening of monetary
policy and an increased supply of corporate debt. Furthermore, as the U.S.
economy generated strength, investors feared possible inflation. U.S. bond
prices fell, followed by European bonds which were depressed by rumors regarding
Italy's retreat from the European Economic Union. Global stock markets recorded
gains over the quarter, supported by solid corporate earnings and improved
economies (especially Asian). In the commodity markets, the energy sector
rallied as OPEC announced production cuts and lower inventories in oil and
gasoline. A consistent tone prevailed in the agricultural and soft commodity
markets as favorable seasonal growing conditions continued to weigh on prices.
Quarterly Partnership Performance
Currency sector positions led by the Euro, Swiss franc, and Japanese yen
captured gains for the Partnership. Weakness in the Euro continued due to
deteriorating confidence in that currency and Italy's possible retraction from
the European Economic Union. Consequently, the European Central Bank has been
rumored to be considering an interest rate increase. The Swiss franc fell in
value versus the U.S. dollar after losing its safe haven attraction as the war
in Kosovo ended, and as the U.S. dollar gained strength when the Federal Reserve
increased U.S. interest rates by 0.25%. In Japan, the economy showed signs of a
recovery, but officials feared a premature strengthening of the yen might dampen
growth. In reaction to this concern, the Bank of Japan intervened by selling
yen.
The Partnership recorded profits in the financial sector driven by Japanese
government and U.S. Treasury bonds. Throughout the quarter, the Japanese economy
appeared to strengthen prompting a bond market rally. U.S. Treasury bond prices
declined continuing a trend that had existed for several months. U.S. interest
rates rose and bond prices fell during June as strong consumer demand and an
improving manufacturing sector caused economic growth to exceed most market
expectations. European bonds followed the lead of the U.S. bond markets.
Partnership gains were also attributable to the index sector. In the first
week of January, the Nikkei Dow recorded a low near 13,050 and proceeded to
accelerate up to the 18,455 mark within the last two weeks of June. Capital
flows out of the U.S. market and into the Asian region helped to drive the
Nikkei Dow's upward move under the perception that the Asian economies have
formed a base from which to improve.
In the energy sector, trading in light crude and crude oil provided profits.
Crude oil products rallied as extremely hot U.S. weather drove utility demand
during June. The rally continued following statements by oil ministers from
Saudi Arabia and Mexico regarding the high degree of compliance with current
OPEC production cuts.
Losses were experienced in the soft sector as coffee and cotton prices fell.
Coffee prices plummeted as seasonably warm weather in Brazil reduced the
likelihood that a winter freeze would damage the vulnerable crop, thus promising
ample supplies.
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 $74,000 and $28,000 for the six and
three months ended June 30, 1999 as compared to the same periods
in 1998 due to the effect of declining interest rates 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 $51,000 and $10,000 for the six and three months ended
June 30, 1999 as compared to the same periods in 1998 primarily due to lower
monthly net asset values as a result of quarterly redemptions offset, in part,
by positive trading performance during the second half of 1998 and the second
quarter of 1999.
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
9
<PAGE>
affected by trading performance and redemptions. Management fees decreased by
$19,000 for the six months ended June 30, 1999 but remained relatively stable
for the three months ended June 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
six and three months ended June 30, 1999 and 1998.
General and administrative expenses decreased by $16,000 and $10,000 for the
six and three months ended June 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. These decreases are due to a reduction in overall costs
associated with administering the Partnership including continuing declines in
printing and postage costs as limited partners redeem their units.
New Accounting Guidance
In June 1999, the Financial Accounting Standards Board ('FASB') issued
Statement No. 137, Accounting for Derivative Instruments and Hedging
Activities--Deferral of the Effective Date of FASB Statement No. 133--an
amendment of FASB Statement No. 133, which delayed the effective date of FASB
Statement No. 133, Accounting for Derivative Instruments and Hedging Activities
('SFAS 133'). The Partnership does not believe the effect of adoption of SFAS
133, now required effective January 1, 2001, will be material.
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: August 13, 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> Jun-30-1999
<PERIOD-TYPE> 6-Mos
<CASH> 3,680,315
<SECURITIES> 11,198,290
<RECEIVABLES> 0
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 14,878,605
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 14,878,605
<CURRENT-LIABILITIES> 847,756
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 14,030,849
<TOTAL-LIABILITY-AND-EQUITY> 14,878,605
<SALES> 0
<TOTAL-REVENUES> 1,453,440
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 928,288
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 0
<INCOME-TAX> 0
<INCOME-CONTINUING> 0
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> 525,152
<EPS-BASIC> 5.30
<EPS-DILUTED> 0
</TABLE>
