<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, 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 (I.R.S. Employer
incorporation 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>
September 30,
1996
- ---------------------------------------------------------------------------------------------------
<S> <C>
ASSETS
Equity in commodity trading accounts:
Cash $ 2,472,631
U.S. Treasury bills, at amortized cost 10,817,503
Net unrealized gain on open commodity positions 1,401,164
Options, at market 81,958
-------------
Total assets $14,773,256
-------------
-------------
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable $ 411,285
Accrued expenses 115,775
Incentive fees payable 41,847
Management fees payable 29,429
Other transaction fees payable 3,578
-------------
Total liabilities 601,914
-------------
Commitments
Partners' capital
Limited partners (106,040.359 OptiMax Units outstanding) 14,029,511
General partner (1,072.004 OptiMax Units outstanding) 141,831
-------------
Total partners' capital 14,171,342
-------------
Total liabilities and partners' capital $14,773,256
-------------
-------------
Net asset value per limited and general partnership units (the ``OptiMax Units'') $ 132.30
-------------
-------------
- ---------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these statements
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
----------- ---------- -----------
----------- ---------- -----------
- -----------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these statements
3
<PAGE>
<PAGE>
PRUDENTIAL-BACHE OPTIMAX FUTURES FUND, L.P.
(a limited partnership)
STATEMENTS OF OPERATIONS
(Unaudited)
<TABLE>
<CAPTION>
Combined Combined
Total Units Units OptiMax Units Units
------------- ------------- ------------- -------------
Nine months Nine months Three months Three months
ended ended ended ended
September 30, September 30, September 30, September 30,
1996 1995 1996 1995
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
REVENUES
Net realized gain (loss) on commodity
transactions $ 911,098 $ 1,779,383 $ (693,761) $(571,093)
Change in net unrealized gain on open
commodity positions 468,572 (1,156,792) 858,843 (87,748)
Change in net unrealized gain on
reserve assets (44,012) 82,379 -- (27,383)
Interest from U.S. Treasury bills 402,695 385,239 141,448 127,128
Interest from reserve asset 147,823 490,816 -- 161,523
Realized gain on reserve asset 2,149 9,281 -- 4,316
------------- ------------- ------------- -------------
1,888,325 1,590,306 306,530 (393,257)
------------- ------------- ------------- -------------
EXPENSES
Commissions 812,461 724,084 280,740 225,478
Other transaction fees 57,358 48,787 18,111 13,384
Management fees 251,757 230,035 84,044 72,220
Incentive fees 89,204 54,466 41,847 --
General and administrative 179,652 123,725 77,883 40,791
Letter of credit fees 36,621 128,061 -- 40,869
Amortization of organizational costs 3,204 22,446 -- 7,155
------------- ------------- ------------- -------------
1,430,257 1,331,604 502,625 399,897
------------- ------------- ------------- -------------
Net income (loss) $ 458,068 $ 258,702 $ (196,095) $(793,154)
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
ALLOCATION OF NET INCOME (LOSS)
Limited partners $ 456,464 $ 251,272 $ (194,133) $(764,853)
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
General partner $ 1,604 $ 7,430 $ (1,962) $ (28,301)
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
NET LOSS PER WEIGHTED AVERAGE LIMITED
AND GENERAL PARTNERSHIP UNIT
Net loss per weighted average limited
and general partnership unit $ (1.78)
-------------
-------------
Weighted average number of limited and
general partnership units outstanding 110,021.096
-------------
-------------
- ----------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these statements
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
------------- ------------ ----------- ------------- -------------
Six months Nine months Nine months
ended Three months ended ended
September 30, ended September 30, September 30,
1996 March 31, 1996 1996 1995
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
REVENUES
Net realized gain (loss) on commodity
transactions $ 449,864 $ 378,211 $ 83,023 $ 911,098 $ 1,446,906
Change in net unrealized gain on open commodity
positions 844,388 (308,169) (67,647) 468,572 (946,515)
Change in net unrealized gain on reserve assets -- (44,012) -- (44,012) 82,379
Interest from U.S. Treasury bills 290,300 91,965 20,430 402,695 313,921
Interest from reserve asset -- 147,823 -- 147,823 490,816
Realized gain on reserve asset -- 2,149 -- 2,149 9,281
------------- ------------ ----------- ------------- -------------
1,584,552 267,967 35,806 1,888,325 1,396,788
------------- ------------ ----------- ------------- -------------
EXPENSES
Commissions 590,052 182,042 40,367 812,461 589,525
Other transaction fees 36,582 17,037 3,739 57,358 39,872
Management fees 178,428 60,015 13,314 251,757 187,467
Incentive fees 89,204 -- -- 89,204 41,789
General and administrative 131,787 37,542 10,323 179,652 101,379
Letter of credit fees -- 36,621 -- 36,621 128,061
Amortization of organizational costs -- 2,858 346 3,204 19,950
------------- ------------ ----------- ------------- -------------
1,026,053 336,115 68,089 1,430,257 1,108,043
------------- ------------ ----------- ------------- -------------
Net income (loss) $ 558,499 $ (68,148) $ (32,283) $ 458,068 $ 288,745
------------- ------------ ----------- ------------- -------------
------------- ------------ ----------- ------------- -------------
ALLOCATION OF NET INCOME (LOSS)
Limited partners $ 552,903 $ (65,441) $ (30,998) $ 456,464 $ 279,960
------------- ------------ ----------- ------------- -------------
------------- ------------ ----------- ------------- -------------
General partner $ 5,596 $ (2,707) $ (1,285) $ 1,604 $ 8,785
------------- ------------ ----------- ------------- -------------
------------- ------------ ----------- ------------- -------------
NET INCOME (LOSS) PER WEIGHTED AVERAGE
LIMITED AND GENERAL PARTNERSHIP UNIT
Net income (loss) per weighted average limited
and general partnership unit $ 4.93 $ (.52) $ (2.07) $ 1.90
------------- ------------ ----------- -------------
------------- ------------ ----------- -------------
Weighted average number of limited and general
partnership units outstanding 113,280.045 130,224.001 15,619.348 151,787.001
------------- ------------ ----------- -------------
------------- ------------ ----------- -------------
- ------------------------------------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of this schedule
<CAPTION>
Class B Combined Class A Class B Combined
Units Units Units Units Units
------------- ------------- ------------- ------------- -------------
Nine months Nine months Three months Three months Three months
ended ended ended ended ended
September 30, September 30, September 30, September 30, September 30,
1995 1995 1995 1995 1995
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
REVENUES
Net realized gain (loss) on commodity
transactions $ 332,477 $ 1,779,383 $ (468,293) $ (102,800) $(571,093)
Change in net unrealized gain on open commodity
positions (210,277) (1,156,792) (72,604) (15,144) (87,748)
Change in net unrealized gain on reserve assets -- 82,379 (27,383) -- (27,383)
Interest from U.S. Treasury bills 71,318 385,239 103,459 23,669 127,128
Interest from reserve asset -- 490,816 161,523 -- 161,523
Realized gain on reserve asset -- 9,281 4,316 -- 4,316
------------- ------------- ------------- ------------- -------------
193,518 1,590,306 (298,982) (94,275) (393,257)
------------- ------------- ------------- ------------- -------------
EXPENSES
Commissions 134,559 724,084 184,109 41,369 225,478
Other transaction fees 8,915 48,787 10,974 2,410 13,384
Management fees 42,568 230,035 58,956 13,264 72,220
Incentive fees 12,677 54,466 -- -- --
General and administrative 22,346 123,725 33,453 7,338 40,791
Letter of credit fees -- 128,061 40,869 -- 40,869
Amortization of organizational costs 2,496 22,446 6,369 786 7,155
------------- ------------- ------------- ------------- -------------
223,561 1,331,604 334,730 65,167 399,897
------------- ------------- ------------- ------------- -------------
Net income (loss) $ (30,043) $ 258,702 $ (633,712) $ (159,442) $(793,154)
------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- -------------
ALLOCATION OF NET INCOME (LOSS)
Limited partners $ (28,688) $ 251,272 $ (610,992) $ (153,861) $(764,853)
------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- -------------
General partner $ (1,355) $ 7,430 $ (22,720) $ (5,581) $ (28,301)
------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- -------------
NET INCOME (LOSS) PER WEIGHTED AVERAGE
LIMITED AND GENERAL PARTNERSHIP UNIT
Net income (loss) per weighted average limited
and general partnership unit $ (1.60) $ (4.36) $ (8.98)
------------- ------------- -------------
------------- ------------- -------------
Weighted average number of limited and general
partnership units outstanding 18,809.918 145,318.001 17,759.878
------------- ------------- -------------
------------- ------------- -------------
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of this schedule
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 -- $ -- $ -- $ --
------------ ------------ --------- ------------
------------ ------------ --------- ------------
</TABLE>
<TABLE>
<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 -- $ -- $ -- $ --
------------ ------------ --------- ------------
------------ ------------ --------- ------------
</TABLE>
<TABLE>
<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 -- $ -- $ -- $ --
------------ ------------ --------- ------------
------------ ------------ --------- ------------
</TABLE>
<TABLE>
<CAPTION>
OPTIMAX LIMITED GENERAL
UNITS PARTNERS PARTNER TOTAL
<S> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------
Partners' capital--April 1, 1996 116,338.993 $ 14,695,732 $148,684 $14,844,416
Net income -- 552,903 5,596 558,499
Redemptions (9,226.630) (1,219,124) (12,449) (1,231,573)
----------- ------------ -------- -----------
Partners' capital--September 30, 1996 107,112.363 $ 14,029,511 $141,831 $14,171,342
----------- ------------ -------- -----------
----------- ------------ -------- -----------
- ----------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements
</TABLE>
6
<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 September 30, 1996 and the results of its operations for the nine and three
months ended September 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 82% and 18%, respectively, during 1995
and 1996, except for the three months ended June 30, 1995 which was 81% and 19%,
respectively.
Certain balances from prior periods have been reclassified to conform with
the current period'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
Six months Three months Nine months
ended ended ended
September 30, March 31, September 30,
1996 1996 1996
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Commissions and Letter of Credit fees $ 590,052 $ 190,180 $ 40,367 $ 820,599
General and administrative 81,941 19,281 5,631 106,853
------------- ------------- ------------- -------------
$ 671,993 $ 209,461 $ 45,998 $ 927,452
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
</TABLE>
<TABLE>
<CAPTION>
CLASS A UNITS CLASS B UNITS COMBINED UNITS
Nine months ended Nine months ended
September 30, 1995 September 30, 1995
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Commissions and Letter of Credit fees $ 617,981 $ 134,558 $752,539
General and administrative 51,129 11,478 62,607
------------- ------------- ------------------
$ 669,110 $ 146,036 $815,146
------------- ------------- ------------------
------------- ------------- ------------------
</TABLE>
<TABLE>
<CAPTION>
COMBINED
OPTIMAX UNITS CLASS A UNITS CLASS B UNITS UNITS
Three months Three months Three months
ended ended ended
September 30, September 30, September 30,
1996 1995 1995
- ---------------------------------------------------- ----------------------------------------------
<S> <C> <C> <C> <C>
Commissions and Letter of Credit fees $ 280,740 $ 193,190 $ 41,368 $ 234,558
General and administrative 57,029 17,412 3,822 21,234
------------- ------------- ------------- -------------
$ 337,769 $ 210,602 $ 45,190 $ 255,792
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
</TABLE>
Expenses payable to the General Partner and its affiliates (which are
included in accrued expenses) were $58,230 as of September 30, 1996 for the
OptiMax Units and $48,140 as of December 31, 1995 for the Combined 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
8
<PAGE>
<PAGE>
(or commodities underlying the contracts) frequently result in changes in the
Partnership's unrealized gain (loss) on open commodity positions reflected in
the statements of financial condition. The Partnership's exposure to market risk
is influenced by a number of factors including the relationships among the
contracts held by the Partnership as well as the liquidity of the markets in
which the contracts are traded.
Futures and options contracts are traded on organized exchanges and are thus
distinguished from forward contracts which are entered into privately by the
parties. The credit risks associated with futures and options contracts are
typically perceived to be less than those associated with forward contracts
because exchanges typically provide clearinghouse arrangements in which the
collective credit (subject to certain limitations) of the members of the
exchanges is pledged to support the financial integrity of the exchange. On the
other hand, the Partnership must rely solely on the credit of its broker (PSI)
with respect to forward transactions. The Partnership presents unrealized gains
and losses on open forward positions as a net amount in the statements of
financial condition because it has a master netting agreement with PSI.
The General Partner attempts to minimize both credit and market risks by
requiring the Partnership's trading 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
September 30, 1996 and December 31, 1995, such segregated assets totalled
$7,824,533 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 $6,738,153 and $3,444,512 at September 30, 1996
and December 31, 1995, respectively. There are no segregation requirements for
assets related to forward trading.
As of September 30, 1996 and December 31, 1995, all open futures, forward and
options contracts mature within nine months and one year, respectively.
At September 30, 1996 and December 31, 1995, gross contract amounts of open
futures, forward and options contracts were:
<TABLE>
<CAPTION>
September 30, December 31,
1996 1995
------------- ------------
<S> <C> <C>
Financial Futures and Options Contracts:
Commitments to purchase $85,805,468 $99,523,854
Commitments to sell $ 4,766,932 $ 7,832,307
Currency Futures and Options Contracts:
Commitments to purchase $ 3,027,108 $ 744,386
Commitments to sell $13,320,441 $ 2,274,913
Currency Forward Contracts:
Commitments to purchase $17,664,592 $ --
Commitments to sell $19,104,540 $ --
Other Futures and Options Contracts:
Commitments to purchase $ 6,043,226 $14,542,575
Commitments to sell $ 6,596,899 $ 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
9
<PAGE>
<PAGE>
the change in the value of the contracts. As such, the Partnership considers the
``fair value'' of its futures, 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 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, 1996 and December 31, 1995, respectively, the fair values of
futures, forward and options contracts were:
<TABLE>
<CAPTION>
September 30, 1996 December 31, 1995
-------------------------- --------------------------
Fair Value Fair Value
-------------------------- --------------------------
Assets Liabilities Assets Liabilities
---------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ 42,500 $ 8,425 $ 139,122 $ 95,750
Currencies 239,385 2,080 21,812 11,533
Other 200,288 150,887 755,571 65,294
Foreign exchanges
Financial 858,398 12,269 190,697 7,455
Other 74,781 51,097 10,912 38,749
Forward Contracts:
Currencies 248,312 37,742 -- --
Options Contracts:
Domestic exchanges
Currencies 1,900 -- -- --
Other 43,562 -- 15,576 --
Foreign exchanges
Financial 36,496 -- -- --
---------- ----------- ---------- -----------
$1,745,622 $ 262,500 $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 nine and three months ended September 30, 1996 and
1995, respectively.
<TABLE>
<CAPTION>
For the nine months ended
---------------------------------------------------------
September 30, 1996 September 30, 1995
-------------------------- --------------------------
Average Fair Value Average Fair Value
-------------------------- --------------------------
Assets Liabilities Assets Liabilities
---------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ 67,099 $ 22,035 $ 74,204 $ 3,745
Currencies 136,821 28,338 141,281 40,493
Other 379,008 90,635 241,064 45,164
Foreign exchanges
Financial 252,556 27,273 312,536 33,287
Other 42,824 62,919 102,432 148,383
Forward Contracts:
Currencies 215,313 180,526 -- --
Other 553 1,101 -- --
Options Contracts:
Domestic exchanges
Financial 5,503 -- 5,403 --
Currencies 16,235 436 1,030 --
Other 17,106 1,085 7,077 --
Foreign exchanges
Financial 6,264 -- 1,557 3,409
Currencies -- -- -- 19,670
Other -- -- 5,237 --
---------- ----------- ---------- -----------
$1,139,282 $ 414,348 $ 891,821 $ 294,151
---------- ----------- ---------- -----------
---------- ----------- ---------- -----------
<CAPTION>
For the three months ended
---------------------------------------------------------
September 30, 1996 September 30, 1995
-------------------------- --------------------------
Average Fair Value Average Fair Value
-------------------------- --------------------------
Assets Liabilities Assets Liabilities
---------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ 24,091 $ 11,057 $ 25,944 $ 3,680
Currencies 80,238 41,794 71,202 3,724
Other 226,596 67,713 189,252 51,841
Foreign exchanges
Financial 425,357 30,155 141,579 24,476
Other 65,385 45,589 10,167 137,223
Forward Contracts:
Currencies 226,713 319,314 -- --
Options Contracts:
Domestic exchanges
Financial 8,633 -- 12,313 --
Currencies 35,388 1,090 2,574 --
Other 31,918 -- 16,162 --
Foreign exchanges
Financial 15,660 -- 3,893 8,522
Currencies -- -- -- 49,175
Other -- -- 13,093 --
---------- ----------- ---------- -----------
$1,139,979 $ 516,712 $ 486,179 $ 278,641
---------- ----------- ---------- -----------
---------- ----------- ---------- -----------
</TABLE>
11
<PAGE>
<PAGE>
The following table presents the net realized gains (losses) and the change
in net unrealized
gains/losses of futures, forward and options contracts during the nine and three
months ended September 30, 1996 and 1995, respectively.
<TABLE>
<CAPTION>
For the nine months ended September 30, 1996 For the nine months ended September 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 $ 44,132 $ (9,297) $ 34,835 $ 678,174 $ 50,931 $ 729,105
Currencies 214,906 227,026 441,932 531,065 (98,572) 432,493
Other 963,552 (640,876) 322,676 (256,708) (306,864) (563,572)
Foreign exchanges
Financial 97,178 662,887 760,065 1,031,442 (29,718) 1,001,724
Other 95,551 51,521 147,072 (45,446) (768,572) (814,018)
Forward Contracts:
Currencies (288,933) 210,570 (78,363) -- -- --
Other 1,200 -- 1,200 -- -- --
Options Contracts:
Domestic exchanges
Financial (63,266) -- (63,266) (6,119) -- (6,119)
Currencies (68,145) (2,700) (70,845) (5,762) -- (5,762)
Other (26,057) (43,435) (69,492) (128,640) (6,980) (135,620)
Foreign exchanges
Financial (51,595) 12,876 (38,719) (18,623) -- (18,623)
Currencies -- -- -- -- 6,086 6,086
Other (7,425) -- (7,425) -- (3,103) (3,103)
-------------- -------------- ---------- -------------- -------------- ----------
$ 911,098 $ 468,572 $1,379,670 $1,779,383 $ (1,156,792) $ 622,591
-------------- -------------- ---------- -------------- -------------- ----------
-------------- -------------- ---------- -------------- -------------- ----------
</TABLE>
<TABLE>
<CAPTION>
For the three months ended September 30, 1996 For the three months ended September 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 $ (167,579) $ 30,325 $ (137,254) $ (14,050) $ 17,194 $ 3,144
Currencies (230,545) 260,951 30,406 69,038 27,065 96,103
Other (18,544) (362,041) (380,585) (460,509) 89,962 (370,547)
Foreign exchanges
Financial 280,244 778,346 1,058,590 5,372 (22,852) (17,480)
Other 128,384 (93) 128,291 (32,609) (216,875) (249,484)
Forward Contracts:
Currencies (535,772) 183,288 (352,484) -- -- --
Other (180) -- (180) -- -- --
Options Contracts:
Domestic exchanges
Financial (40,813) -- (40,813) (6,119) (8,025) (14,144)
Currencies (58,057) (2,700) (60,757) (5,762) 7,901 2,139
Other 696 (42,109) (41,413) (109,450) (5,855) (115,305)
Foreign exchanges
Financial (51,595) 12,876 (38,719) (17,004) 20,754 3,750
Currencies -- -- -- -- 6,086 6,086
Other -- -- -- -- (3,103) (3,103)
-------------- -------------- ---------- -------------- -------------- ----------
$ (693,761) $ 858,843 $ 165,082 $ (571,093) $ (87,748) $ (658,841)
-------------- -------------- ---------- -------------- -------------- ----------
-------------- -------------- ---------- -------------- -------------- ----------
</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 September 30, 1996, a significant portion of the Partnership's net
assets was held in U.S. Treasury bills (which represented approximately 74% 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 bears 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 September 30, 1996 totalled $70,569,095 (including $758,607 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 September 30, 1996 was $132.30, a
1996 year-to-date increase of 3.26% for a former Class A Unit and 2.03% for a
former Class B Unit.
The Partnership's net asset value declined in the month of July. Profits in
the financials, meats and softs sectors were offset by losses in the currencies,
stock indices, grains, energies and metals sectors. In the financials sector,
uncertainty in the direction of U.S. interest rates coupled with the U.S. stock
market correction caused investors to buy U.S. interest rate instruments,
thereby pushing prices up and yields down. Despite the Bundesbank not lowering
interest rates, investors speculation on anticipated interest rate cuts in both
Germany and France caused bonds to finish higher for the month, producing gains
in long German, French, U.S. and Australian bond positions. The U.S. dollar,
following the correction of the stock market, lost ground against most major
currencies. Losses were incurred in Japanese yen, German mark and Australian
dollar positions. In the grains sector, long positions in corn, soybean
by-products and wheat were unprofitable. Despite a rise in international demand
for grains and historically low reserves, grain prices fell as the critical July
growing period experienced higher rainfall and favorable growing conditions in
the Midwest. In the energy markets, profits in light crude oil were offset by
losses in natural gas futures. Natural gas prices had been on the upswing due to
higher demand and drained reserves, yet prices fell in July as reserves were
replenished and more supply prospects became available.
The Partnership's net asset value declined in the month of August. Profits in
the financials, energies, grains, meats and stock indices sectors were offset by
losses in the currencies, softs and metals sectors. In the financials sector,
positions in Japanese and Australian bonds were profitable. As the possibility
of an interest rate increase was reduced on worse than expected business
confidence, yields drifted lower producing profits in long Japanese bond
positions. Long Australian bond positions also recorded profits as prices moved
higher on anticipation of lower interest rates due to the upcoming release of a
new deficit reducing budget. In the energies sector, long positions in light
crude oil, heating oil, crude oil and gas oil were profitable. Increased demand
helped push prices higher while the markets ignored the possibility of the
resumption of the sale of Iraqi oil. In the grains sector, forecasts of
shortages forced prices higher despite improving weather conditions in the grain
growing regions of the U.S., producing profits in long soybean by-product
positions. In the currencies sector, positions in the German mark, Australian
dollar and Japanese yen were unprofitable due to a reversal in prices. In the
softs sector, positions in cocoa, coffee and cotton were unprofitable. After
coffee reached a one year high late in the month, fears of short supplies
suddenly eased and prices retreated.
The Partnership's net asset value increased in the month of September.
Profits in the financials, currencies, energies, stock indices, metals and meats
sectors offset losses in the grains and softs sectors. In the financials sector,
positions in German, Italian, French, and Japanese bonds were profitable. The
decision of the U.S. Federal Reserve to leave interest rates unchanged left bond
prices stable. Unchanged interest rates in Germany and a weak economy in France
benefited the Partnership's long German and French bond positions. Japanese bond
prices continued higher as economic growth was not emerging as rapidly as
expected. In the currencies sector, positions in the Japanese yen, German mark,
Swiss franc and Canadian dollar were profitable. The U.S. dollar began to
strengthen early in the month as the conflict between the U.S. and Iraq caused
traders to seek a safe haven in the U.S. dollar and on rumors of a U.S. Federal
Reserve interest rate hike. In the energies sector, long energy positions
produced profits as the crisis in the Middle East pushed energy prices to their
highest level since the Gulf War. Fears of a disruption in supplies and the
suspension of the U.N. agreement with Iraq to ship oil for humanitarian purposes
added to price pressures. In the metals sector, short gold positions produced
profits, as investors shied away due to uncertainty over the direction of U.S.
interest rates, forcing prices lower. The pressure on gold helped bring the
prices of silver and platinum down with short positions in these metals adding
to profits.
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 September 30,
14
<PAGE>
<PAGE>
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 as well as a
decline in interest rates in 1996, resulted in increases in interest income from
U.S. Treasury bills of $17,000 and $14,000, respectively, for the nine and three
months ended September 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 result, interest income from Reserve Assets
decreased $343,000 for the nine months ended September 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 $88,000 and $55,000, respectively, for the nine and three
months ended September 30, 1996 compared to 1995 primarily due to the increase
in traded 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 $9,000 and $5,000, respectively, for
the nine and three months ended September 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 $22,000 and $12,000, respectively, for the nine and three months
ended September 30, 1996 compared to 1995.
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 nine and three months ended September 30, 1996 totalled $89,000 and
$42,000, respectively, as compared to $54,000 and $0 for the same periods in
1995.
General and administrative expenses increased $56,000 and $37,000,
respectively, for the nine and three months ended September 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, as well as the timing of certain expense accruals
recorded during the respective periods.
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:
3.1 Agreement of Limited Partnership of the Partnership, dated as of July
and 12, 1990 as amended as of October 3, 1990 (incorporated by reference to
4.1 Exhibit A to the Registrant's 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--None
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: November 14, 1996
----------------------------------------
Steven Carlino
Vice President
Chief Accounting Officer for the
Registrant
17
<PAGE>
<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> Sep-30-1996
<PERIOD-TYPE> 9-Mos
<CASH> 2,472,631
<SECURITIES> 12,300,625
<RECEIVABLES> 0
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 14,773,256
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 14,773,256
<CURRENT-LIABILITIES> 601,914
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 14,171,342
<TOTAL-LIABILITY-AND-EQUITY> 14,773,256
<SALES> 0
<TOTAL-REVENUES> 1,888,325
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 1,430,257
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 0
<INCOME-TAX> 0
<INCOME-CONTINUING> 0
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> 458,068
<EPS-PRIMARY> 3.69
<EPS-DILUTED> 0
</TABLE>
