<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, 1996
OR
/ / 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: 0-19805
PRUDENTIAL-BACHE OPTIMAX FUTURES FUND, L.P.
- --------------------------------------------------------------------------------
(Exact name of Registrant as specified in its charter)
Delaware 13-3577395
- --------------------------------------------------------------------------------
(State or other jurisdiction of incorporation (I.R.S. Employer
or organization) Identification No.)
One New York Plaza, 13th Floor, New York, New York 10292
- --------------------------------------------------------------------------------
(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code (212) 778-7866
N/A
- --------------------------------------------------------------------------------
Former name, former address and former fiscal year, if changed since last report
Indicate by check CK whether the Registrant (1) has filed all reports
required to be filed by Section 13 or 15(d) of the Securities Exchange Act of
1934 during the preceding 12 months (or for such shorter period that the
Registrant was required to file such reports), and (2) has been subject to such
filing requirements for the past 90 days. Yes _CK_ No __
<PAGE>
<PAGE>
Part I. FINANCIAL INFORMATION
ITEM 1. FINANCIAL STATEMENTS
PRUDENTIAL-BACHE OPTIMAX FUTURES FUND, L.P.
(a limited partnership)
STATEMENTS OF FINANCIAL CONDITION
(Unaudited)
<TABLE>
<CAPTION>
June 30,
1996
<S> <C>
- -------------------------------------------------------------------------------------------------
ASSETS
Equity in commodity trading accounts:
Cash $ 3,436,474
U.S. Treasury bills, at amortized cost 11,858,762
Net unrealized gain on open commodity positions 510,388
-----------
Total assets $15,805,624
-----------
-----------
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable $ 820,288
Accrued expenses 124,471
Incentive fees payable 47,357
Management fees payable 31,170
Other transaction fees payable 3,616
-----------
Total liabilities 1,026,902
-----------
Commitments
Partners' capital
Limited partners (109,118.092 OptiMax Units outstanding) 14,630,828
General partner (1,103.004 OptiMax Units outstanding) 147,894
-----------
Total partners' capital 14,778,722
-----------
Total liabilities and partners' capital $15,805,624
-----------
-----------
Net asset value per limited and general partnership units (the ``OptiMax Units'') $ 134.08
-----------
-----------
- -------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements
</TABLE>
2
<PAGE>
<PAGE>
PRUDENTIAL-BACHE OPTIMAX FUTURES FUND, L.P.
(a limited partnership)
STATEMENTS OF FINANCIAL CONDITION
(Unaudited)
<TABLE>
<CAPTION>
December 31, 1995
------------------------------------------
Class A Class B Combined
Units Units Units
<S> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------
ASSETS
Equity in commodity trading accounts:
Cash $ 1,968,058 $ 424,826 $ 2,392,884
U.S. Treasury bills, at amortized cost 7,105,513 1,596,924 8,702,437
Net unrealized gain on open commodity positions 737,453 161,880 899,333
Options, at market 12,772 2,804 15,576
----------- ---------- -----------
Net equity 9,823,796 2,186,434 12,010,230
Reserve asset, at amortized cost 7,960,611 -- 7,960,611
Unrealized gain on reserve asset 44,012 -- 44,012
Organizational costs, net 2,858 346 3,204
----------- ---------- -----------
Total assets $17,831,277 $2,186,780 $20,018,057
----------- ---------- -----------
----------- ---------- -----------
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable $ 1,020,444 $ 139,535 $ 1,159,979
Accrued expenses 102,876 16,602 119,478
Management fees payable 21,411 4,776 26,187
Other transaction fees payable 2,305 505 2,810
----------- ---------- -----------
Total liabilities 1,147,036 161,418 1,308,454
----------- ---------- -----------
Commitments
Partners' capital
Limited partners (125,014.001 Class A Units and
14,997.679 Class B Units outstanding) 16,016,742 1,944,752 17,961,494
General partner (5,210 Class A Units and
621.669 Class B Units outstanding) 667,499 80,610 748,109
----------- ---------- -----------
Total partners' capital 16,684,241 2,025,362 18,709,603
----------- ---------- -----------
Total liabilities and partners' capital $17,831,277 $2,186,780 $20,018,057
----------- ---------- -----------
----------- ---------- -----------
Net asset value per limited and general partnership
units (the ``Class A Units'' and the ``Class B Units''
and collectively, the ``Combined Units'') $ 128.12 $ 129.67 $ 128.29
----------- ---------- -----------
----------- ---------- -----------
- -----------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements
</TABLE>
3
<PAGE>
<PAGE>
PRUDENTIAL-BACHE OPTIMAX FUTURES FUND, L.P.
(a limited partnership)
STATEMENTS OF OPERATIONS
(Unaudited)
<TABLE>
<CAPTION>
Total Units Combined Units OptiMax Units Combined Units
---------------- ---------------- ------------------ ------------------
Six months ended Six months ended Three months ended Three months ended
June 30, 1996 June 30, 1995 June 30, 1996 June 30, 1995
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
REVENUES
Net realized gain on
commodity transactions $ 1,604,859 $ 2,350,476 $ 1,143,625 $ 1,225,165
Change in net unrealized
gain on open commodity
positions (390,271) (1,069,044) (14,455) (270,433)
Change in net unrealized
gain on reserve assets (44,012) 109,762 -- 29,070
Interest from U.S.
Treasury bills 261,247 258,111 148,852 133,044
Interest from reserve
asset 147,823 329,293 -- 163,229
Realized gain on reserve
asset 2,149 4,965 -- 3,975
---------------- ---------------- ------------------ ------------------
1,581,795 1,983,563 1,278,022 1,284,050
---------------- ---------------- ------------------ ------------------
EXPENSES
Commissions 531,721 498,606 309,312 251,172
Other transaction fees 39,247 35,403 18,471 11,886
Management fees 167,713 157,815 94,384 80,151
Incentive fees 47,357 54,466 47,357 54,466
General and
administrative 101,769 82,934 53,904 43,271
Letter of credit fees 36,621 87,192 -- 42,561
Amortization of
organizational costs 3,204 15,291 -- 7,473
---------------- ---------------- ------------------ ------------------
927,632 931,707 523,428 490,980
---------------- ---------------- ------------------ ------------------
Net income $ 654,163 $ 1,051,856 $ 754,594 $ 793,070
---------------- ---------------- ------------------ ------------------
---------------- ---------------- ------------------ ------------------
ALLOCATION OF NET INCOME
Limited partners $ 650,597 $ 1,016,125 $ 747,036 $ 765,824
---------------- ---------------- ------------------ ------------------
---------------- ---------------- ------------------ ------------------
General partner $ 3,566 $ 35,731 $ 7,558 $ 27,246
---------------- ---------------- ------------------ ------------------
---------------- ---------------- ------------------ ------------------
- -----------------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements
</TABLE>
4
<PAGE>
<PAGE>
PRUDENTIAL-BACHE OPTIMAX FUTURES FUND, L.P.
(a limited partnership)
SCHEDULE TO STATEMENTS OF OPERATIONS
(Unaudited)
<TABLE>
<CAPTION>
OptiMax Class A Class B Total Class A
Units Units Units Units Units
------------ ------------ ------------ ------------ ------------
Three months Six months Six months
ended Three months ended ended
June 30, ended June 30, June 30,
1996 March 31, 1996 1996 1995
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
REVENUES
Net realized gain on commodity transactions $ 1,143,625 $ 378,211 $ 83,023 $ 1,604,859 $ 1,915,199
Change in net unrealized gain on open com-
modity positions (14,455) (308,169) (67,647) (390,271) (873,911)
Change in net unrealized gain on reserve
assets -- (44,012) -- (44,012) 109,762
Interest from U.S. Treasury bills 148,852 91,965 20,430 261,247 210,462
Interest from reserve asset -- 147,823 -- 147,823 329,293
Realized gain on reserve asset -- 2,149 -- 2,149 4,965
------------ ------------ ------------ ------------ ------------
1,278,022 267,967 35,806 1,581,795 1,695,770
------------ ------------ ------------ ------------ ------------
EXPENSES
Commissions 309,312 182,042 40,367 531,721 405,416
Other transaction fees 18,471 17,037 3,739 39,247 28,898
Management fees 94,384 60,015 13,314 167,713 128,511
Incentive fees 47,357 -- -- 47,357 41,789
General and administrative 53,904 37,542 10,323 101,769 67,926
Letter of credit fees -- 36,621 -- 36,621 87,192
Amortization of organizational costs -- 2,858 346 3,204 13,581
------------ ------------ ------------ ------------ ------------
523,428 336,115 68,089 927,632 773,313
------------ ------------ ------------ ------------ ------------
Net income (loss) $ 754,594 $ (68,148) $ (32,283) $ 654,163 $ 922,457
------------ ------------ ------------ ------------ ------------
------------ ------------ ------------ ------------ ------------
ALLOCATION OF NET INCOME (LOSS)
Limited partners $ 747,036 $ (65,441) $ (30,998) $ 650,597 $ 890,952
------------ ------------ ------------ ------------ ------------
------------ ------------ ------------ ------------ ------------
General partner $ 7,558 $ (2,707) $ (1,285) $ 3,566 $ 31,505
------------ ------------ ------------ ------------ ------------
------------ ------------ ------------ ------------ ------------
NET INCOME (LOSS) PER WEIGHTED AVERAGE LIM-
ITED AND GENERAL PARTNERSHIP UNIT
Net income (loss) per weighted average
limited and general partnership unit $ 6.49 $ (.52) $ (2.07) $ 5.95
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
Weighted average number of limited and gen-
eral partnership units outstanding 116,338.993 130,224.001 15,619.348 155,021.501
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
- ------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class B Combined Class A Class B Combined
Units Units Units Units Units
------------ ------------ ------------ ------------ ------------
Six months Six months Three months Three months Three months
ended ended ended ended ended
June 30, June 30, June 30, June 30, June 30,
1995 1995 1995 1995 1995
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
REVENUES
Net realized gain on commodity transactions $ 435,277 $ 2,350,476 $ 992,408 $ 232,757 $ 1,225,165
Change in net unrealized gain on open com-
modity positions (195,133) (1,069,044) (219,049) (51,384) (270,433)
Change in net unrealized gain on reserve
assets -- 109,762 29,070 -- 29,070
Interest from U.S. Treasury bills 47,649 258,111 108,527 24,517 133,044
Interest from reserve asset -- 329,293 163,229 -- 163,229
Realized gain on reserve asset -- 4,965 3,975 -- 3,975
------------ ------------ ------------ ------------ ------------
287,793 1,983,563 1,078,160 205,890 1,284,050
------------ ------------ ------------ ------------ ------------
EXPENSES
Commissions 93,190 498,606 204,295 46,877 251,172
Other transaction fees 6,505 35,403 9,614 2,272 11,886
Management fees 29,304 157,815 65,166 14,985 80,151
Incentive fees 12,677 54,466 41,789 12,677 54,466
General and administrative 15,008 82,934 35,403 7,868 43,271
Letter of credit fees -- 87,192 42,561 -- 42,561
Amortization of organizational costs 1,710 15,291 6,633 840 7,473
------------ ------------ ------------ ------------ ------------
158,394 931,707 405,461 85,519 490,980
------------ ------------ ------------ ------------ ------------
Net income (loss) $ 129,399 $ 1,051,856 $ 672,699 $ 120,371 $ 793,070
------------ ------------ ------------ ------------ ------------
------------ ------------ ------------ ------------ ------------
ALLOCATION OF NET INCOME (LOSS)
Limited partners $ 125,173 $ 1,016,125 $ 649,394 $ 116,430 $ 765,824
------------ ------------ ------------ ------------ ------------
------------ ------------ ------------ ------------ ------------
General partner $ 4,226 $ 35,731 $ 23,305 $ 3,941 $ 27,246
------------ ------------ ------------ ------------ ------------
------------ ------------ ------------ ------------ ------------
NET INCOME (LOSS) PER WEIGHTED AVERAGE LIM-
ITED AND GENERAL PARTNERSHIP UNIT
Net income (loss) per weighted average
limited and general partnership unit $ 6.69 $ 4.44 $ 6.33
------------ ------------ ------------
------------ ------------ ------------
Weighted average number of limited and gen-
eral partnership units outstanding 19,334.938 151,349.001 19,004.210
------------ ------------ ------------
------------ ------------ ------------
- ------------------------------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of this schedule
</TABLE>
5
<PAGE>
<PAGE>
PRUDENTIAL-BACHE OPTIMAX FUTURES FUND, L.P.
(a limited partnership)
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
(Unaudited)
<TABLE>
<CAPTION>
CLASS A LIMITED GENERAL
UNITS PARTNERS PARTNER TOTAL
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------
Partners' capital--December 31, 1995 130,224.001 $ 16,016,742 $ 667,499 $ 16,684,241
Net loss -- (65,441) (2,707) (68,148)
Redemptions (27,518.000) (2,977,674) (533,623) (3,511,297)
------------ ------------ --------- ------------
Partners' capital--March 31, 1996 102,706.001 12,973,627 131,169 13,104,796
Merger into OptiMax Units (102,706.001) (12,973,627) (131,169) (13,104,796)
------------ ------------ --------- ------------
Partners' capital--April 1, 1996 -- $ -- $ -- $ --
------------ ------------ --------- ------------
------------ ------------ --------- ------------
<CAPTION>
CLASS B LIMITED GENERAL
UNITS PARTNERS PARTNER TOTAL
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------
Partners' capital--December 31, 1995,
as previously reported 15,703.045 $ 1,944,752 $ 80,610 $ 2,025,362
Adjustment for merger into
OptiMax Units (83.697) -- -- --
------------ ------------ --------- ------------
Partners' capital--December 31, 1995,
as restated 15,619.348 1,944,752 80,610 2,025,362
Net loss -- (30,998) (1,285) (32,283)
Redemptions (1,986.356) (191,649) (61,810) (253,459)
------------ ------------ --------- ------------
Partners' capital--March 31, 1996 13,632.992 1,722,105 17,515 1,739,620
Merger into OptiMax Units (13,632.992) (1,722,105) (17,515) (1,739,620)
------------ ------------ --------- ------------
Partners' capital--April 1, 1996 -- $ -- $ -- $ --
------------ ------------ --------- ------------
------------ ------------ --------- ------------
<CAPTION>
COMBINED LIMITED GENERAL
UNITS PARTNERS PARTNER TOTAL
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------
Partners' capital--December 31, 1995,
as previously reported 145,927.046 $ 17,961,494 $ 748,109 $ 18,709,603
Adjustment for merger into
OptiMax Units (83.697) -- -- --
------------ ------------ --------- ------------
Partners' capital--December 31, 1995,
as restated 145,843.349 17,961,494 748,109 18,709,603
Net loss -- (96,439) (3,992) (100,431)
Redemptions (29,504.356) (3,169,323) (595,433) (3,764,756)
------------ ------------ --------- ------------
Partners' capital--March 31, 1996 116,338.993 14,695,732 148,684 14,844,416
Merger into OptiMax Units (116,338.993) (14,695,732) (148,684) (14,844,416)
------------ ------------ --------- ------------
Partners' capital--April 1, 1996 -- $ -- $ -- $ --
------------ ------------ --------- ------------
------------ ------------ --------- ------------
<CAPTION>
OPTIMAX LIMITED GENERAL
UNITS PARTNERS PARTNERS TOTAL
<S> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------
Partners' capital--April 1, 1996 116,338.993 $ 14,695,732 $148,684 $14,844,416
Net income -- 747,036 7,558 754,594
Redemptions (6,117.897) (811,940) (8,348 ) (820,288)
----------- ------------ -------- -----------
Partners' capital--June 30, 1996 110,221.096 $ 14,630,828 $147,894 $14,778,722
----------- ------------ -------- -----------
----------- ------------ -------- -----------
- ----------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements
</TABLE>
6
<PAGE>
<PAGE>
PRUDENTIAL-BACHE OPTIMAX FUTURES FUND, L.P.
(a limited partnership)
NOTES TO FINANCIAL STATEMENTS
(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 OptiMax Futures Fund, L.P. (the ``Partnership'') as
of June 30, 1996 and the results of its operations for the six and three months
ended June 30, 1996 and 1995. However, the operating results for the interim
periods may not be indicative of the results expected for the 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 filed with the Securities and
Exchange Commission for the year ended December 31, 1995 (``Annual Report'').
Through March 31, 1996, limited partners owned Class A Units and/or Class B
Units and, accordingly, separate financial statements are presented for Class A
Units and Class B Units through such date. In accordance with the Partnership
Agreement, combined financial statements for the Class A and Class B Units are
presented in the ``Combined Units'' columns and collectively, with the OptiMax
Units, in the ``Total Units'' columns.
On April 1, 1996, in conjunction with the expiration of the Letter of Credit
and maturity of the Reserve Assets as discussed below, Seaport Futures
Management, Inc. (the ``General Partner'') merged the Class A Units and the
Class B Units in accordance with Article X, Section B(16) of the Partnership
Agreement into a newly created Class of Units called the OptiMax Units. Each
Class A Unit was exchanged into one new OptiMax Unit and each Class B Unit was
exchanged into .99467 new OptiMax Unit. Accordingly, all references in the
financial statements to outstanding units and per unit data in prior periods
have been restated to reflect the merger.
An irrevocable letter of credit (``Letter of Credit'') was issued in favor of
the Partnership by Citibank, N.A. (the ``Bank'') on February 15, 1991. The
Letter of Credit was intended to provide protection to the Class A limited
partners against loss of their initial investment as of March 31, 1996 (the
``Capital Return Date'') when the limited partners had the option to redeem
their Class A Units and receive the greater of the then current net asset value
per Class A Unit or 100% of their initial investment. The Letter of Credit
expired on March 31, 1996 (with no payment required by the Bank) and does not
provide protection thereafter. The assets held in reserve (``Reserve Assets'')
in connection with the Letter of Credit matured on April 1, 1996 and their
proceeds were allocated evenly to Robert M. Tamiso and Hyman Beck & Company
Inc., new independent commodities trading managers to the Partnership.
Prior to April 1, 1996, trading gains and losses and expenses (other than
those expenses that were particular to Class A Units) were allocated between the
Class A Units and Class B Units based upon the pro rata portion of the
Partnership's traded assets to each Class. The allocation was adjusted quarterly
to take into account the effect of redemptions. The quarterly allocation between
the Class A Units and Class B Units was 81% and 19%, respectively, for the three
months ended June 30, 1995 and 82% and 18%, respectively, for the three months
ended March 31, 1996 and 1995.
Certain reclassifications have been made to prior year balances to conform
with the current year's financial statement presentation.
7
<PAGE>
<PAGE>
B. Related Parties
The General Partner and its affiliates perform services for the Partnership
which include, but are not limited to: brokerage and Letter of Credit services;
accounting and financial management; registrar, transfer and assignment
functions; investor communications; printing services and other administrative
services.
The costs incurred for these services were:
<TABLE>
<CAPTION>
OPTIMAX UNITS CLASS A UNITS CLASS B UNITS TOTAL UNITS
Three months Three months Six months
ended ended ended
June 30, 1996 March 31, 1996 June 30, 1996
<S> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------
Commissions and Letter of Credit fees $ 309,312 $ 190,180 $ 40,367 $ 539,859
General and administrative 24,912 19,281 5,631 49,824
------------- ------------- ------------- -------------
$ 334,224 $ 209,461 $ 45,998 $ 589,683
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
<CAPTION>
CLASS A UNITS CLASS B UNITS COMBINED UNITS
Six months ended Six months ended
June 30, 1995 June 30, 1995
<S> <C> <C> <C>
- ----------------------------------------------------------------------------------------------
Commissions and Letter of Credit fees $ 425,791 $ 93,190 $518,981
General and administrative 33,751 7,658 41,409
------------- ------------- ------------------
$ 459,542 $ 100,848 $560,390
------------- ------------- ------------------
------------- ------------- ------------------
<CAPTION>
CLASS A UNITS CLASS B UNITS COMBINED UNITS
Three months ended Three months ended
June 30, 1995 June 30, 1995
<S> <C> <C> <C>
- ---------------------------------------------------------------------------------------------
Commissions and Letter of Credit fees $ 213,753 $46,877 $260,630
General and administrative 17,160 3,768 20,928
------------- ------------- ------------------
$ 230,913 $50,645 $281,558
------------- ------------- ------------------
------------- ------------- ------------------
</TABLE>
Expenses payable to the General Partner and its affiliates (which are
included in accrued expenses) were $64,676 as of June 30, 1996 for the OptiMax
Units and $48,140 as of December 31, 1995 for the combined Class A and Class B
Units.
The Partnership maintains its trading and cash accounts at Prudential
Securities Incorporated (``PSI''), the Partnership's commodity broker and an
affiliate of the General Partner. Approximately 75% of the assets allocated to
commodities trading are invested in interest-earning U.S. Treasury obligations
(primarily U.S. Treasury bills), a significant portion of which is utilized for
margin purposes for the Partnership's commodity trading activities. As described
in the Annual Report, all commissions for brokerage services are paid to PSI.
When the Partnership engages in forward foreign currency transactions it
trades with PSI who simultaneously engages in back-to-back transactions with an
affiliate who, pursuant to the Partnership's prospectus, is obligated to charge
a competitive price.
C. Credit and Market Risk
The quantitative disclosures presented below through March 31, 1996 are for
Combined Units. Allocation of these amounts to the Class A Units and Class B
Units can be made in conjunction with the quarterly allocation percentages as
more fully discussed in Note A.
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
8
<PAGE>
<PAGE>
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 managers 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 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 managers 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, 1996 and December 31, 1995, such segregated assets totalled $12,674,504
and $8,565,718, respectively. Part 30.7 of the CFTC regulations also requires
PSI to secure assets of the Partnership related to foreign futures and options
trading which totalled $3,103,838 and $3,444,512 at June 30, 1996 and December
31, 1995, respectively. There are no segregation requirements for assets
related to forward trading.
As of June 30, 1996 and December 31, 1995, all open futures, forward and
options contracts mature within six months and one year, respectively.
At June 30, 1996 and December 31, 1995, gross contract amounts of open
futures, forward and options contracts were:
<TABLE>
<CAPTION>
June 30, December 31,
1996 1995
<S> <C> <C>
----------- ------------
Financial Futures Contracts:
Commitments to purchase $25,788,389 $99,523,854
Commitments to sell 33,573,455 $ 7,832,307
Currency Futures Contracts:
Commitments to purchase $ 3,568,570 $ 737,561
Commitments to sell $13,092,676 $ 2,274,913
Currency Forward Contracts:
Commitments to purchase $21,600,052 $ --
Commitments to sell $22,932,207 $ --
Other Futures and Options
Contracts:
Commitments to purchase $ 7,217,980 $14,549,400
Commitments to sell $ 7,661,694 $ 2,676,016
</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, forward or options 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,
9
<PAGE>
<PAGE>
forward and options contracts to be the net unrealized gain or loss on the
contracts (plus premiums on options). 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 associatrd 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, 1996 and December 31, 1995, respectively, the fair values of
futures, forward and options contracts were:
<TABLE>
<CAPTION>
June 30, 1996 December 31, 1995
------------------------ --------------------------
Fair Value Fair Value
------------------------ --------------------------
Assets Liabilities Assets Liabilities
-------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ 31,250 $ 27,500 $ 139,122 $ 95,750
Currencies 40,159 63,805 21,812 11,533
Other 438,706 27,264 755,571 65,294
Foreign exchanges
Financial 92,185 24,402 190,697 7,455
Other 93,590 69,813 10,912 38,749
Forward Contracts:
Currencies 182,227 154,945 -- --
Options Contracts:
Domestic exchanges
Other -- -- 15,576 --
-------- ----------- ---------- -----------
$878,117 $ 367,729 $1,133,690 $ 218,781
-------- ----------- ---------- -----------
-------- ----------- ---------- -----------
</TABLE>
10
<PAGE>
<PAGE>
The following table presents the average fair value of futures, forward and
options contracts during the six and three months ended June 30, 1996 and 1995,
respectively.
<TABLE>
<CAPTION>
For the six months ended
---------------------------------------------------------
June 30, 1996 June 30, 1995
-------------------------- --------------------------
Average Fair Value Average Fair Value
-------------------------- --------------------------
Assets Liabilities Assets Liabilities
---------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ 86,554 $ 29,089 $ 93,849 $ 3,814
Currencies 155,346 25,716 161,855 55,719
Other 474,629 94,680 268,599 37,523
Foreign exchanges
Financial 130,903 25,216 393,353 36,910
Other 37,184 73,806 142,341 138,457
Forward Contracts:
Currencies 204,072 97,564 -- --
Other 789 1,573 -- --
Options Contracts:
Domestic exchanges
Financial 2,929 -- 4,146 --
Currencies 2,971 -- 986 --
Other 6,198 1,550 3,585 --
Foreign exchanges
Financial -- -- 1,610 2,581
---------- ----------- ---------- -----------
$1,101,575 $ 349,194 $1,070,324 $ 275,004
---------- ----------- ---------- -----------
---------- ----------- ---------- -----------
<CAPTION>
For the three months ended
---------------------------------------------------------
June 30, 1996 June 30, 1995
-------------------------- --------------------------
Average Fair Value Average Fair Value
-------------------------- --------------------------
Assets Liabilities Assets Liabilities
---------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ 65,597 $ 10,761 $ 128,620 $ 1,699
Currencies 203,696 35,159 97,840 34,539
Other 476,920 107,695 103,451 27,711
Foreign exchanges
Financial 99,662 31,488 537,643 25,600
Other 45,005 101,701 13,790 116,355
Forward Contracts:
Currencies 357,127 170,737 -- --
Other 1,381 2,753 -- --
Options Contracts:
Domestic exchanges
Financial -- -- 7,255 --
Currencies 5,200 -- 1,725 --
Other 3,413 2,713 6,274 --
Foreign exchanges
Financial -- -- 2,817 4,517
---------- ----------- ---------- -----------
$1,258,001 $ 463,007 $ 899,415 $ 210,421
---------- ----------- ---------- -----------
---------- ----------- ---------- -----------
</TABLE>
11
<PAGE>
<PAGE>
The following table represents the net realized gains (losses) and the change
in net unrealized gains/losses of futures, forward and options contracts during
the six and three months ended June 30, 1996 and 1995, respectively.
<TABLE>
<CAPTION>
For the six months ended June 30, 1996 For the six months ended June 30, 1995
------------------------------------------------ ------------------------------------------------
Change in Change in
Net Realized Net Unrealized Net Realized Net Unrealized
Gains (Losses) Gains/Losses Total Gains (Losses) Gains/Losses Total
-------------- -------------- ---------- -------------- -------------- ----------
<S> <C> <C> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ 211,711 $ (39,622) $ 172,089 $ 692,224 $ 33,737 $ 725,961
Currencies 445,451 (33,925) 411,526 462,027 (125,637) 336,390
Other 982,096 (278,835) 703,261 203,801 (396,826) (193,025)
Foreign exchanges
Financial (183,066) (115,459) (298,525) 1,026,070 (6,866) 1,019,204
Other (32,833) 51,614 18,781 (12,837) (551,697) (564,534)
Forward Contracts:
Currencies 246,839 27,282 274,121 -- -- --
Other 1,380 -- 1,380 -- -- --
Options Contracts:
Domestic exchanges
Financial (22,453) -- (22,453) -- 8,025 8,025
Currencies (10,088) -- (10,088) -- (7,901) (7,901)
Other (26,753) (1,326) (28,079) (19,190) (1,125) (20,315)
Foreign exchanges
Financial -- -- -- (1,619) (20,754) (22,373)
Other (7,425) -- (7,425) -- -- --
-------------- -------------- ---------- -------------- -------------- ----------
$1,604,859 $ (390,271) $1,214,588 $2,350,476 $ (1,069,044) $1,281,432
-------------- -------------- ---------- -------------- -------------- ----------
-------------- -------------- ---------- -------------- -------------- ----------
<CAPTION>
For the three months ended June 30, 1996 For the three months ended June 30, 1995
------------------------------------------------ ------------------------------------------------
Change in Change in
Net Realized Net Unrealized Net Realized Net Unrealized
Gains (Losses) Gains/Losses Total Gains (Losses) Gains/Losses Total
-------------- -------------- ---------- -------------- -------------- ----------
<S> <C> <C> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ 47,599 $ (49,568) $ (1,969) $ 613,003 $ (75,613) $ 537,390
Currencies 472,702 (126,446) 346,256 (163,525) (240,696) (404,221)
Other 554,171 60,568 614,739 (151,238) 201,468 50,230
Foreign exchanges
Financial (104,479) 23,260 (81,219) 1,241,408 (414,518) 826,890
Other (43,865) 44,962 1,097 (293,674) 280,681 (12,993)
Forward Contracts:
Currencies 248,242 27,282 275,524 -- -- --
Other (6,969) 5,487 (1,482) -- -- --
Options Contracts:
Domestic exchanges
Financial -- -- -- -- 8,025 8,025
Currencies (10,088) -- (10,088) -- (7,901) (7,901)
Other (13,688) -- (13,688) (19,190) (1,125) (20,315)
Foreign exchanges
Financial -- -- -- (1,619) (20,754) (22,373)
-------------- -------------- ---------- -------------- -------------- ----------
$1,143,625 $ (14,455) $1,129,170 $1,225,165 (270,433) $ 954,732
-------------- -------------- ---------- -------------- -------------- ----------
-------------- -------------- ---------- -------------- -------------- ----------
</TABLE>
12
<PAGE>
<PAGE>
PRUDENTIAL-BACHE OPTIMAX 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 February 15, 1991 with gross proceeds
of $70,309,500. After accounting for organizational and offering expenses, the
Partnership's net proceeds were $62,452,578 for Class A Units and $6,156,925 for
Class B Units. At the inception of the Partnership, sixty percent of the initial
net proceeds of the Class A Units and one hundred percent of the initial net
proceeds of the Class B Units were allocated to trading activity. The remaining
forty percent of the initial net proceeds of the Class A Units was placed in
reserve and invested in investment grade interest-bearing obligations (``Reserve
Assets'').
In conjunction with the expiration of the Letter of Credit (see discussion
below), on April 1, 1996, the Reserve Assets matured and the resulting proceeds
were allocated to commodities trading and, therefore, 100% of the Partnership's
assets are currently allocated to commodities trading. Additionally, on April 1,
1996, the General Partner merged the Class A Units and the Class B Units in
accordance with Article X, section B(16) of the Partnership Agreement into a
newly created Class of Units called the OptiMax Units. See Note A to the
financial statements for further details.
As of June 30, 1996, a significant portion of the Partnership's net assets
was held in U.S. Treasury bills (which represented approximately 76% of the net
assets 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 bear to the net assets varies each
day, and from month to month, as the market value of commodity interests change.
The balance of the total net assets is held in cash. All interest earned on the
Partnership's interest-bearing funds is paid to the Partnership.
The commodities contracts are subject to periods of illiquidity because of
market conditions, regulatory considerations and other reasons. For example,
commodity exchanges limit fluctuations in certain 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 managers 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 recorded from commencement of operations, February 15, 1991,
through June 30, 1996 totalled $70,157,810 (including $754,506 General Partner
redemptions). Future redemptions will impact the amount of funds available for
investment in commodity contracts in subsequent periods. From the inception of
the Partnership until the merger of the units on April 1, 1996, there were
exchanges of 90 Class B Units for 91.001 Class A Units and exchanges of 350
Class A Units for 341.268 Class B Units.
The Letter of Credit was intended to provide protection to the Class A
limited partners against loss of their initial investment as of the Capital
Return Date (March 31, 1996) when the limited partners had the option to redeem
their Class A Units and receive the greater of the then current net asset value
per Class A Unit or 100% of their initial investment. The Letter of Credit
expired on the Capital Return Date (with no payment required by the Bank) and
does not provide protection thereafter. Following the Capital Return Date, if
the Partnership's net asset value declines below $10 million the Partnership
will dissolve.
13
<PAGE>
<PAGE>
The Partnership does not have nor does it expect to have any capital assets.
Results of Operations
The net asset value per OptiMax Unit as of June 30, 1996 was $134.08, a 1996
year-to-date increase of 4.65% for a former Class A Unit and 3.40% for a former
Class B Unit.
The Partnership's performance was positive in the month of April. Profits in
the grains, currencies, energies, stock indices, financials and meats sectors
offset losses in the metals and softs sectors. Profits were reaped in the grains
sector as prices rose on strong demand, especially from the Far East. Corn and
wheat prices continued to rise throughout the month as news of deteriorating
crop conditions spread throughout the market. In the currencies sector, gains
were derived from the strength of the U.S. dollar in relation to the Deutsche
mark and the Swiss franc. In the energies sector, profits were realized on the
upward move of energy prices as diminishing supplies continued to push the price
of oil and gas higher.
The Partnership's performance was negative in the month of May. Profits in
the currencies sector were offset by losses in the metals, softs, energies,
stock indices, financials, grains and meats sectors. Among the factors affecting
foreign exchange markets in May were the continued strength of the U.S. dollar
against most major currencies and a comparatively vigorous U.S. economy. Profits
in British pound positions offset losses in Japanese yen and German mark
positions. In the metals sector, an unexpected rise in stockpiles caused the
price of copper to fall which caused losses for the Partnership. In the softs
sector, long coffee positions were liquidated as prices fell when the
Association of Coffee Producing Countries extended its agreement on the amount
of coffee members can export. In the financials sector, U.S. bond markets
remained volatile, which affected bond markets worldwide, as investors struggled
to interpret conflicting U.S. economic reports. Losses were incurred in French
and Japanese bond positions. In the grains markets, profits in corn were offset
by losses in wheat and soybean by-products. Corn prices rose steadily during
most of May as heavy rains in the U.S. prevented farmers from planting their
spring crops. However, late in the month, forecasts for clear weather in these
regions pushed corn prices down thereby reducing profits. In the energies
sector, political pressure and prospects of increasing supply brought crude oil
and heating oil prices down causing losses in light crude and unleaded gas
positions.
The Partnership's performance was positive in the month of June. Profits in
the metals, energies, softs and stock indices sectors offset losses in the
financials, grains and currencies sectors. June's positive performance was
primarily due to reestablished trends in the London Metal Exchange base metals
as well as gains in precious metals and in the energy sector. Copper positions
produced profits as prices tumbled when Sumitomo Corporation reported losing
$1.8 billion in copper trading over a 10-year period. The plunge in copper
prices also brought down other metals prices as short positions in gold, silver
and aluminum produced profits. In the energies sector, positions in natural gas
and light crude oil were profitable. The Partnership incurred losses in the
grains sector. More favorable weather conditions during June and reports of
cancellations of some grain export orders caused grain futures to decline during
the month. However, month-end prices were somewhat boosted by new indications of
tight grain supply and hot weather conditions. In the financials sector,
volatility in the global interest rate markets negatively impacted performance.
Bond markets worldwide largely reacted to the U.S. bond market which remained
particularly sensitive to U.S. economic data and hints of inflation. In the
currencies sector, losses in positions in the German mark and French franc
offset gains in the Japanese yen and Italian lira.
Prior to April 1, 1996, trading gains and losses and expenses (other than
those expenses that were particular to Class A Units) were allocated between the
Class A Units and Class B Units based on the pro rata portion of the
Partnership's traded assets to each Class. See Note A to the financial
statements for further details.
As discussed in Liquidity and Capital Resources above, the Letter of Credit
expired on the Capital Return Date. As a result, there were no letter of credit
fees charged during the three months ended June 30, 1996. With the expiration of
the Letter of Credit, Reserve Assets were allocated to commodities trading thus
increasing the Partnership's investment in U.S. Treasury bills. This increase in
U.S. Treasury bills, partially offset by the liquidation of U.S. Treasury bills
for the payment of redemptions and a decline in interest rates in 1996, resulted
in increases in interest income from U.S. Treasury bills of $3,000 and $16,000,
respectively, for the six and three months ended June 30, 1996 as compared to
1995. However, interest income from Reserve Assets was eliminated following the
allocation of Reserve Assets to commodities trading and as a
14
<PAGE>
<PAGE>
result, interest income from Reserve Assets decreased $181,000 for the six
months ended June 30, 1996 as compared to 1995.
Commissions paid to PSI are calculated on the net asset value of the traded
assets on the first day of each month and, therefore, vary due to trading
performance and redemptions. Accordingly, they must be compared in relation to
the fluctuations in the monthly net asset values of the traded assets.
Commissions increased $33,000 and $58,000, respectively, for the six and three
months ended June 30, 1996 compared to 1995 primarily due to the increase in net
assets when the Letter of Credit expired and Reserve Assets were allocated to
commodities trading as discussed above, partially offset by the effect of
redemptions on the monthly net asset values of traded assets.
Other transaction fees consist of National Futures Association, exchange and
clearing fees which are based on the number of trades the trading managers
execute. Other transaction fees increased $4,000 and $7,000, respectively, for
the six and three months ended June 30, 1996 as compared to 1995 due to
increased trading volume.
All trading decisions for the Partnership are currently being made by
Willowbridge Associates Inc., Chesapeake Capital Corporation, Robert M. Tamiso
and Hyman Beck & Company Inc. (the ``Trading Managers''). Management fees are
calculated on the portion of the traded assets allocated to each Trading Manager
at the end of the month, and, therefore, are affected by trading performance and
redemptions. Additionally, the traded assets increased when Reserve Assets were
allocated to commodities trading as discussed above. As a result, management
fees increased $10,000 and $14,000, respectively, for the six and three months
ended June 30, 1996 compared to 1995. The increases were partially offset by the
effect of redemptions on the Partnership's traded assets.
Incentive fees are based on the New High Net Trading Profits generated by
each Trading Manager, as defined in the advisory agreement between the
Partnership, the General Partner and each Trading Manager. Incentive fees earned
during the six months ended June 30, 1996 totalled $47,000 as compared to
$54,000 for the same period in 1995.
General and administrative expenses increased $19,000 and $11,000,
respectively, for the six and three months ended June 30, 1996 as compared to
1995 primarily due to increased overall costs associated with administering the
Partnership, including costs associated with the activities in conjunction with
the expiration of the Letter of Credit as more fully discussed in Note A to the
financial statements.
15
<PAGE>
<PAGE>
PART II. OTHER INFORMATION
Item 1. Legal Proceedings--There are no material legal proceedings pending by or
against the Registrant or the General Partner.
Item 2. Changes in Securities--None
Item 3. Defaults Upon Senior Securities--None
Item 4. Submission of Matters to a Vote of Security Holders--None
Item 5. Other Information--None
Item 6. Exhibits and Reports on Form 8-K
(a) Exhibits
Description:
<TABLE>
<C> <S>
3.1 Agreement of Limited Partnership of the Partnership, dated as of July 12, 1990 as amended
and as of October 3, 1990 (incorporated by reference to Exhibit A to the Registrant's
4.1 Registration Statement on Form S-1, File No. 33-36216)
4.2 Subscription Agreement (incorporated by reference to Exhibit E to the Registrant's
Registration Statement on Form S-1, File No. 33-36216)
4.3 Request for Redemption (incorporated by reference to Exhibit B to the Registrant's
Registration Statement on Form S-1, File No. 33-36216)
4.4 Request for Exchange (incorporated by reference to Exhibit B to the Registrant's
Registration Statement on Form S-1, File No. 33-36216)
27 Financial Data Schedule (filed herewith)
(b) Reports on Form 8-K--
Registrant's Current Report on Form 8-K dated May 14, 1996, as filed with the
Securities
and Exchange Commission on May 16, 1996, relating to Item 4 regarding the change in
the Registrant's certifying accountant from Deloitte & Touche LLP to Price Waterhouse
LLP.
</TABLE>
16
<PAGE>
<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 OPTIMAX FUTURES FUND, L.P.
By: Seaport Futures Management, Inc.
A Delaware corporation, General Partner
By: /s/ Steven Carlino Date: August 14, 1996
----------------------------------------
Steven Carlino
Vice President
Chief Accounting Officer for the
Registrant
17
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 5
<LEGEND>
The Schedule contains summary financial
information extracted from the financial
statements for Prudential-Bache OptiMax Futures
Fund, LP and is qualified in its entirety by
reference to such financial statements
</LEGEND>
<RESTATED>
<CIK> 0000866533
<NAME> Prudential-Bache OptiMax Futures Fund, LP
<MULTIPLIER> 1
<FISCAL-YEAR-END> Dec-31-1996
<PERIOD-START> Jan-1-1996
<PERIOD-END> Jun-30-1996
<PERIOD-TYPE> 6-Mos
<CASH> 3,436,474
<SECURITIES> 12,369,150
<RECEIVABLES> 0
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 15,805,624
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 15,805,624
<CURRENT-LIABILITIES> 1,026,902
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 14,778,722
<TOTAL-LIABILITY-AND-EQUITY> 15,805,624
<SALES> 0
<TOTAL-REVENUES> 1,581,795
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 927,632
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 0
<INCOME-TAX> 0
<INCOME-CONTINUING> 0
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> 654,163
<EPS-PRIMARY> 4.99
<EPS-DILUTED> 0
</TABLE>
