<PAGE>
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-K
(Mark One)
/X/ ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
ACT OF 1934
For the fiscal year ended December 31, 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 (I.R.S. Employer
of incorporation or organization) Identification No.)
One New York Plaza, 14th Floor, New York, New York 10292
- --------------------------------------------------------------------------------
(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code: (212) 778-7866
Securities registered pursuant to Section 12(b) of the Act:
None
- -------------------------------------------------------------------------------
Securities registered pursuant to Section 12(g) of the Act:
Units of Limited Partnership Interest
- -------------------------------------------------------------------------------
(Title of class)
Indicate by check mark 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 _
Indicate by check mark if disclosure of delinquent filers pursuant to Item
405 of Regulation S-K is not contained herein, and will not be contained, to the
best of Registrant's knowledge, in definitive proxy or information statements
incorporated by reference in Part III of this Form 10-K or any amendment to this
Form 10-K.[CK]
DOCUMENTS INCORPORATED BY REFERENCE
Agreement of Limited Partnership of the Registrant, dated July 12, 1990,
included as part of the Registration Statement on Form S-1 (File No. 33-36216)
filed with the Securities and Exchange Commission on August 3, 1990 pursuant to
Rule 424(b) of the Securities Act of 1933, and amended on October 3, 1990 and
November 5, 1990, is incorporated by reference into Part IV of this Annual
Report on 10-K
Registrant's Annual Report to Limited Partners for the year ended December
31, 1996 is incorporated by reference into Parts II and IV of this Annual Report
on Form 10-K
Index to exhibits can be found on pages 10 through 12.
<PAGE>
PRUDENTIAL-BACHE OPTIMAX FUTURES FUND, L.P.
(a limited partnership)
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PART I PAGE
<S> <C> <C>
Item 1 Business......................................................................... 3
Item 2 Properties....................................................................... 4
Item 3 Legal Proceedings................................................................ 4
Item 4 Submission of Matters to a Vote of Limited Partners.............................. 4
PART II
Item 5 Market for the Registrant's Units and Related Limited Partner Matters............ 4
Item 6 Selected Financial Data.......................................................... 5
Item 7 Management's Discussion and Analysis of Financial Condition and Results of
Operations..................................................................... 7
Item 8 Financial Statements and Supplementary Data...................................... 8
Item 9 Changes in and Disagreements with Accountants on Accounting and Financial
Disclosure..................................................................... 8
PART III
Item 10 Directors and Executive Officers of the Registrant............................... 8
Item 11 Executive Compensation........................................................... 9
Item 12 Security Ownership of Certain Beneficial Owners and Management................... 9
Item 13 Certain Relationships and Related Transactions................................... 9
PART IV
Item 14 Exhibits, Financial Statement Schedules and Reports on Form 8-K
Financial Statements and Financial Statement Schedules........................... 10
Exhibits......................................................................... 10
Reports on Form 8-K.............................................................. 12
SIGNATURES.................................................................................. 13
2
<PAGE>
PART I
Item 1. Business
General
Prudential-Bache OptiMax Futures Fund, L.P. (the ``Registrant''), a Delaware
limited partnership, was formed on July 12, 1990 and will terminate on December
31, 2010 unless terminated sooner under the provisions of the Agreement of
Limited Partnership (the ``Partnership Agreement''), as amended. The Registrant
was formed to engage in speculative trading of a portfolio consisting primarily
of commodity futures, forward and options contracts. On February 15, 1991, the
Registrant completed its offering of units and raised $64,000,000 of Class A
units and $6,309,500 of Class B units from the sale of 633,563 Class A and
62,470 Class B units of limited partnership interest and 6,437 Class A and 625
Class B units of general partnership interest (the ``Class A Units'' and the
``Class B Units,'' and collectively, the ``Units'') which resulted in net
proceeds to the Registrant of $68,609,503. The Registrant's fiscal year for book
and tax purposes ends on December 31.
Through March 31, 1996, the Registrant maintained two classes (each a
``Class'') of Units. At the inception of the Registrant, sixty percent of the
net asset value of the Class A Units was allocated to commodities trading (the
``Class A Traded Assets''). As a protective device in conjunction with the
letter of credit (see further discussion below), the remaining forty percent of
the net asset value of the Class A Units was placed in reserve (the ``Reserve
Assets'') and was not committed to commodities trading until March 31, 1996 (the
``Capital Return Date'') at which time they became available for trading. One
hundred percent of the net asset value of the Class B Units (``Class B Traded
Assets'') was committed to commodities trading. The Class A Traded Assets along
with the Class B Traded Assets are referred to as the Registrant's ``Traded
Assets.'' Quarterly trading gains and losses were apportioned between the Class
A Traded Assets and the Class B Traded Assets based on the relative value of the
Class A Traded Assets and the Class B Traded Assets to the Registrant's Traded
Assets as of the end of the previous quarter. Subject to certain limitations,
limited partners had the option on a quarterly basis to exchange some or all of
their units of one Class for units of the other Class (an ``Exchange'').
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 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 the Capital Return
Date (with no payment required by the Bank) and does not provide protection
thereafter. The Reserve Assets held in connection with the Letter of Credit
matured on April 1, 1996 and their proceeds were allocated evenly to Robert M.
Tamiso (``Tamiso'') and Hyman Beck & Company, Inc. (``Hyman Beck''), new
independent commodities trading managers to the Partnership.
On April 1, 1996, in conjunction with the expiration of the Letter of Credit
and maturity of the Reserve Assets as discussed above, 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.
All trading decisions for the Registrant are being made by Willowbridge
Associates Inc., Chesapeake Capital Corporation, Tamiso and Hyman Beck,
independent commodity trading managers (the ``Trading Managers''). The general
partner retains the authority to override trading instructions that violate the
Registrant's trading policies.
The Registrant is engaged solely in the business of commodity futures,
forward and options trading; therefore, presentation of industry segment
information is not applicable.
3
<PAGE>
General Partner
The general partner of the Registrant is Seaport Futures Management, Inc.
(the ``General Partner'') which is an affiliate of Prudential Securities
Incorporated (``PSI''), the Registrant's commodity broker. Both the General
Partner and PSI are wholly-owned subsidiaries of Prudential Securities Group
Inc. (``PSGI''). The General Partner is required to maintain at least a 1%
interest in the Registrant as long as it is acting as the Registrant's general
partner.
Competition
The General Partner has formed and may continue to form various entities to
engage in the speculative trading of futures, forward and options contracts
which, in part, have certain of the same investment policies as the Registrant.
The Registrant is a closed-end fund which does not currently, and does not
intend in the future, to solicit the sale of additional units. As such, the
Registrant does not compete with other entities to attract new fund
participants. However, to the extent that the Trading Managers recommend similar
or identical trades to the Registrant and other accounts which they manage, the
Registrant may compete with those accounts for the execution of the same or
similar trades.
Employees
The Registrant has no employees. Management and administrative services for
the Registrant are performed by the General Partner and its affiliates pursuant
to the Partnership Agreement. See Notes A, C and D to the Registrant's annual
report to limited partners for the year ended December 31, 1996 (``Registrant's
1996 Annual Report'') which is filed as an exhibit hereto.
Item 2. Properties
The Registrant does not own or lease any property.
Item 3. Legal Proceedings
There are no material legal proceedings pending by or against the Registrant
or the General Partner.
Item 4. Submission of Matters to a Vote of Limited Partners
None
PART II
Item 5. Market for the Registrant's Units and Related Limited Partner Matters
As of March 3, 1997, there were 995 holders of record owning 100,338.759
OptiMax Units which include 1,004.000 units of general partnership interest. A
significant secondary market for the units has not developed, and it is not
expected that one will develop in the future. There are also certain
restrictions set forth in Article XIV of the Partnership Agreement limiting the
ability of a partner to transfer units. The Partnership Agreement does, however,
provide that a limited partner may only redeem its units as of the last business
day of any full calendar quarter at the then current net asset value per unit
reduced by each unit's pro rata portion of unamortized organizational costs.
Consequently, holders of units may not be able to liquidate their investments in
the event of an emergency or any other reason.
There are no material restrictions upon the Registrant's present or future
ability to make distributions in accordance with the provisions of the
Partnership Agreement. No distributions have been made since inception and no
distributions are anticipated in the future.
4
<PAGE>
Item 6. Selected Financial Data
The following table presents selected financial data of the Registrant. This
data should be read in conjunction with the financial statements of the
Registrant and the notes thereto on pages 2 through 16 of the Registrant's 1996
Annual Report which is filed as an exhibit hereto.
As more fully discussed in Item 1 Business, through March 31, 1996, limited
partners owned Class A Units and/or Class B Units and, accordingly, separate
financial data is presented for Class A Units and Class B Units through such
date. On April 1, 1996, 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 to per unit data in prior periods have been
restated. 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.
</TABLE>
<TABLE>
<CAPTION>
Nine Months
ended Three Months
December 31, ended Year ended
1996 March 31, December 31,
------------ 1996 1996
OptiMax -------------------------- --------------
Units A Units B Units Total Units
------------ ----------- ----------- --------------
<S> <C> <C> <C> <C>
Net realized gain on commodity
transactions............................... $ 2,787,947 $ 378,211 $ 83,023 $ 3,249,181
------------ ----------- ----------- --------------
------------ ----------- ----------- --------------
Change in net unrealized gain on open
commodity positions........................ $ (1,118) $ (308,169) $ (67,647) $ (376,934)
------------ ----------- ----------- --------------
------------ ----------- ----------- --------------
Commissions.................................. $ 893,683 $ 182,042 $ 40,367 $ 1,116,092
------------ ----------- ----------- --------------
------------ ----------- ----------- --------------
Management fees.............................. $ 272,742 $ 60,015 $ 13,314 $ 346,071
------------ ----------- ----------- --------------
------------ ----------- ----------- --------------
Incentive fees............................... $ 186,834 $ -- $ -- $ 186,834
------------ ----------- ----------- --------------
------------ ----------- ----------- --------------
Net income (loss)............................ $ 1,651,464 $ (68,148) $ (32,283) $ 1,551,033
------------ ----------- ----------- --------------
------------ ----------- ----------- --------------
Allocation of net income (loss)
Limited partners........................... $ 1,634,928 $ (65,441) $ (30,998) $ 1,538,489
------------ ----------- ----------- --------------
------------ ----------- ----------- --------------
General partner............................ $ 16,536 $ (2,707) $ (1,285) $ 12,544
------------ ----------- ----------- --------------
------------ ----------- ----------- --------------
Net income (loss) per weighted average
unit....................................... $ 14.85 $ (.52) $ (2.07)
------------ ----------- -----------
------------ ----------- -----------
Total assets................................. $ 15,537,123
--------------
--------------
Redemptions.................................. $ 2,196,879 $ 3,511,297 $ 253,459 $ 5,961,635
------------ ----------- ----------- --------------
------------ ----------- ----------- --------------
Net asset value per OptiMax Unit............. $ 142.51
--------------
--------------
</TABLE>
5
<PAGE>
<TABLE>
<CAPTION>
Year ended December 31, 1995
-----------------------------------------
<S> <C> <C> <C>
Combined
A Units B Units Units
----------- ----------- -----------
Net realized gain on commodity transactions.............. $ 1,997,178 $ 453,270 $ 2,450,448
----------- ----------- -----------
----------- ----------- -----------
Change in net unrealized gain on open commodity
positions.............................................. $ (427,620) $ (96,372) $ (523,992)
----------- ----------- -----------
----------- ----------- -----------
Commissions.............................................. $ 766,777 $ 174,102 $ 940,879
----------- ----------- -----------
----------- ----------- -----------
Management fees.......................................... $ 248,039 $ 56,077 $ 304,116
----------- ----------- -----------
----------- ----------- -----------
Incentive fees........................................... $ 41,789 $ 12,677 $ 54,466
----------- ----------- -----------
----------- ----------- -----------
Net income............................................... $ 1,245,756 $ 159,073 $ 1,404,829
----------- ----------- -----------
----------- ----------- -----------
Allocation of net income
Limited partners....................................... $ 1,201,035 $ 153,387 $ 1,354,422
----------- ----------- -----------
----------- ----------- -----------
General partner........................................ $ 44,721 $ 5,686 $ 50,407
----------- ----------- -----------
----------- ----------- -----------
Net income per weighted average Unit..................... $ 8.40 $ 8.70
----------- -----------
----------- -----------
Total assets............................................. $17,831,277 $ 2,186,780 $20,018,057
----------- ----------- -----------
----------- ----------- -----------
Redemptions.............................................. $ 3,531,189 $ 503,958 $ 4,035,147
----------- ----------- -----------
----------- ----------- -----------
Net asset value per Unit................................. $ 128.12 $ 129.67 $ 128.29
----------- ----------- -----------
----------- ----------- -----------
</TABLE>
<TABLE>
<CAPTION>
Year ended December 31, 1994
-----------------------------------------
<S> <C> <C> <C>
Combined
A Units B Units Units
----------- ----------- -----------
Net realized loss on commodity transactions.............. $ (83,874) $ (3,619) $ (87,493)
----------- ----------- -----------
----------- ----------- -----------
Change in net unrealized gain on open commodity
positions.............................................. $ (272,248) $ (57,849) $ (330,097)
----------- ----------- -----------
----------- ----------- -----------
Commissions.............................................. $ 970,525 $ 229,696 $ 1,200,221
----------- ----------- -----------
----------- ----------- -----------
Management fees.......................................... $ 300,290 $ 71,499 $ 371,789
----------- ----------- -----------
----------- ----------- -----------
Incentive fees........................................... $ 58,690 $ 19,015 $ 77,705
----------- ----------- -----------
----------- ----------- -----------
Net loss................................................. $(1,571,227) $ (345,683) $(1,916,910)
----------- ----------- -----------
----------- ----------- -----------
Allocation of net loss
Limited partners....................................... $(1,528,511) $ (336,738) $(1,865,249)
----------- ----------- -----------
----------- ----------- -----------
General partner........................................ $ (42,716) $ (8,945) $ (51,661)
----------- ----------- -----------
----------- ----------- -----------
Net loss per weighted average Unit....................... $ (8.80) $ (14.81)
----------- -----------
----------- -----------
Total assets............................................. $20,012,993 $ 2,693,915 $22,706,908
----------- ----------- -----------
----------- ----------- -----------
Redemptions.............................................. $ 4,560,017 $ 656,030 $ 5,216,047
----------- ----------- -----------
----------- ----------- -----------
Net asset value per Unit................................. $ 119.54 $ 120.52 $ 119.65
----------- ----------- -----------
----------- ----------- -----------
</TABLE>
6
<PAGE>
<TABLE>
<CAPTION>
Year ended December 31, 1993
-----------------------------------------
<S> <C> <C> <C>
Combined
A Units B Units Units
----------- ----------- -----------
Net realized gain on commodity transactions.............. $ 8,455,784 $ 1,047,166 $ 9,502,950
----------- ----------- -----------
----------- ----------- -----------
Change in net unrealized gain on open commodity
positions.............................................. $ 128,680 $ (3,812) $ 124,868
----------- ----------- -----------
----------- ----------- -----------
Commissions.............................................. $ 2,522,002 $ 289,511 $ 2,811,513
----------- ----------- -----------
----------- ----------- -----------
Management fees.......................................... $ 803,887 $ 92,558 $ 896,445
----------- ----------- -----------
----------- ----------- -----------
Incentive fees........................................... $ 1,253,063 $ 158,748 $ 1,411,811
----------- ----------- -----------
----------- ----------- -----------
Net income............................................... $ 5,575,955 $ 541,657 $ 6,117,612
----------- ----------- -----------
----------- ----------- -----------
Allocation of net income
Limited partners....................................... $ 5,501,309 $ 530,506 $ 6,031,815
----------- ----------- -----------
----------- ----------- -----------
General partner........................................ $ 74,646 $ 11,151 $ 85,797
----------- ----------- -----------
----------- ----------- -----------
Net income per weighted average Unit..................... $ 13.05 $ 19.36
----------- -----------
----------- -----------
Total assets............................................. $52,160,909 $ 3,486,430 $55,647,339
----------- ----------- -----------
----------- ----------- -----------
Redemptions.............................................. $33,187,449 $ 884,602 $34,072,051
----------- ----------- -----------
----------- ----------- -----------
Net asset value per Unit................................. $ 127.73 $ 134.92 $ 128.55
----------- ----------- -----------
----------- ----------- -----------
<CAPTION>
Year ended December 31, 1992
-----------------------------------------
Combined
A Units B Units Units
----------- ----------- -----------
<S> <C> <C> <C>
Net realized gain on commodity transactions.............. $ 7,241,690 $ 1,168,434 $ 8,410,124
----------- ----------- -----------
----------- ----------- -----------
Change in net unrealized gain on open commodity
positions.............................................. $(2,842,357) $ (519,566) $(3,361,923)
----------- ----------- -----------
----------- ----------- -----------
Commissions.............................................. $ 2,527,494 $ 374,461 $ 2,901,955
----------- ----------- -----------
----------- ----------- -----------
Management fees.......................................... $ 793,317 $ 117,988 $ 911,305
----------- ----------- -----------
----------- ----------- -----------
Incentive fees........................................... $ 370,142 $ 73,847 $ 443,989
----------- ----------- -----------
----------- ----------- -----------
Net income............................................... $ 2,993,099 $ 133,528 $ 3,126,627
----------- ----------- -----------
----------- ----------- -----------
Allocation of net income
Limited partners....................................... $ 2,943,617 $ 129,582 $ 3,073,199
----------- ----------- -----------
----------- ----------- -----------
General partner........................................ $ 49,482 $ 3,946 $ 53,428
----------- ----------- -----------
----------- ----------- -----------
Net income per weighted average Unit..................... $ 5.86 $ 3.04
----------- -----------
----------- -----------
Total assets............................................. $54,168,842 $ 3,921,990 $58,090,832
----------- ----------- -----------
----------- ----------- -----------
Redemptions.............................................. $12,600,433 $ 2,505,120 $15,105,553
----------- ----------- -----------
----------- ----------- -----------
Net asset value per Unit................................. $ 115.21 $ 116.97 $ 115.32
----------- ----------- -----------
----------- ----------- -----------
</TABLE>
Item 7. Management's Discussion and Analysis of Financial Condition and Results
of Operations
This information is incorporated by reference to pages 17 through 19 of the
Registrant's 1996 Annual Report which is filed as an exhibit hereto.
7
<PAGE>
Item 8. Financial Statements and Supplementary Data
The financial statements are incorporated by reference to pages 2 through 16
of the Registrant's 1996 Annual Report which is filed as an exhibit hereto.
Supplementary data specified by Item 302 of Regulation S-K (selected
quarterly financial data) is not applicable.
Item 9. Changes in and Disagreements with Accountants on Accounting and
Financial Disclosure
Reference is made to the Registrant's Current Report on Form 8-K dated May
14, 1996, as filed with the Securities and Exchange Commission on May 16, 1996
regarding the change in the Registrant's certifying accountant from Deloitte &
Touche LLP to Price Waterhouse LLP.
PART III
Item 10. Directors and Executive Officers of the Registrant
There are no directors or executive officers of the Registrant. The
Registrant is managed by the General Partner.
The General Partner's directors and executive officers, and any persons
holding more than ten percent of the Registrant's units (``Ten Percent Owners'')
are required to report their initial ownership of such units and any subsequent
changes in that ownership to the Securities and Exchange Commission on Forms 3,
4 or 5. Such executive officers, directors and Ten Percent Owners are required
by Securities and Exchange Commission regulations to furnish the Registrant with
copies of all Forms 3, 4 and 5 they file. All of these filing requirements were
satisfied on a timely basis. In making these disclosures, the Registrant has
relied solely on written representations of the General Partner's directors and
executive officers or copies of the reports that they have filed with the
Securities and Exchange Commission during and with respect to its most recent
fiscal year.
The directors and executive officers of Seaport Futures Management, Inc. and
their positions with respect to the Registrant are as follows:
Name Position
James M. Kelso President and Director
Barbara J. Brooks Treasurer and Chief Financial Officer
Steven Carlino Vice President and Chief Accounting Officer
A. Laurence Norton, Jr. Director
Guy S. Scarpaci Director
JAMES M. KELSO, age 42, is the President and a Director of Seaport Futures
Management, Inc. He is a Senior Vice President of Futures Administration of PSI.
He is also the President and a Director of Prudential Securities Futures
Management Inc. and serves in various capacities for other affiliated companies.
He has held several positions within PSI since July 1981.
BARBARA J. BROOKS, age 48, is the Treasurer and Chief Financial Officer of
Seaport Futures Management, Inc. She is a Senior Vice President of PSI. She is
also the Treasurer and Chief Financial Officer of Prudential Securities Futures
Management Inc. and serves in various capacities for other affiliated companies.
She has held several positions within PSI since April 1983. Ms. Brooks is a
certified public accountant.
STEVEN CARLINO, age 33, is a Vice President of Seaport Futures Management,
Inc. He is a First Vice President of PSI. He is also a Vice President of
Prudential Securities Futures Management Inc. and serves in various capacities
for other affiliated companies. Prior to joining PSI in October 1992, he was
with Ernst & Young for six years. Mr. Carlino is a certified public accountant.
A. LAURENCE NORTON, JR., age 58, is a Director of Seaport Futures Management,
Inc. He is an Executive Vice President of PSI and head of its Futures Division.
He is also a Director of Prudential Securities
8
<PAGE>
<PAGE>
Futures Management Inc. Most recently, he held the position of Executive
Director of Retail Development and Retail Strategies at Prudential Securities
Incorporated. Prior to joining PSI in 1991, Mr. Norton was a Senior Vice
President and Branch Manager of Shearson Lehman Brothers.
GUY S. SCARPACI, age 50, is a Director of Seaport Futures Management, Inc. He
is a First Vice President of the Futures Division of PSI. He is also a Director
of Prudential Securities Futures Management Inc. Mr. Scarpaci has been employed
by PSI in positions of increasing responsibility since August 1974.
There are no family relationships among any of the foregoing directors or
executive officers. All of the foregoing directors and/or executive officers
have indefinite terms.
Item 11. Executive Compensation
The Registrant does not pay or accrue any fees, salaries or any other form of
compensation to directors and officers of the General Partner for their
services. Certain directors and officers of the General Partner receive
compensation from affiliates of the General Partner, not from the Registrant,
for services performed for various affiliated entities, which may include
services performed for the Registrant; however, the General Partner believes
that any compensation attributable to services performed for the Registrant is
immaterial. (See also Item 13, Certain Relationships and Related Transactions,
for information regarding compensation to the General Partner.)
Item 12. Security Ownership of Certain Beneficial Owners and Management
As of March 3, 1997, no director or officer of the General Partner owns
directly or beneficially any interest in the voting securities of the General
Partner.
As of March 3, 1997, no director or officer of the General Partner owns
directly or beneficially any of the units issued by the Registrant.
As of March 3, 1997, one owner of limited partnership units beneficially owns
more than five percent (5%) of the limited partnership units of the Registrant
as follows:
<TABLE>
<CAPTION>
Name and Address Amount
of and Nature of Percent of
Title of Class Beneficial Owner Beneficial Ownership Class
- ------------------------ ------------------------ ------------------------ -----------
<S> <C> <C> <C>
Units of Limited Dr. Hugo Rene Gonzalez 7,360 OptiMax Units 7%
Partnership Interest 13125 East Freeway
Houston, Texas
77015-5803
</TABLE>
Item 13. Certain Relationships and Related Transactions
The Registrant has and will continue to have certain relationships with the
General Partner and its affiliates. However, there have been no direct financial
transactions between the Registrant and the directors or officers of the General
Partner.
Reference is made to Notes A, C and D to the financial statements of the
Registrant's 1996 Annual Report which is filed as an exhibit hereto, which
identify the related parties and discuss the services provided by these parties
and the amounts paid or payable for their services.
9
<PAGE>
PART IV
<TABLE>
<CAPTION>
Page in
Annual Report
<S> <C> <C> <C>
Item 14. Exhibits, Financial Statement Schedules and Reports on Form 8-K
(a) 1. Financial Statements and Reports of Independent
Accountants--Incorporated by reference to the Registrant's 1996 Annual
Report which is filed as an exhibit hereto
Reports of Independent Accountants:
Report of Independent Accountants as of December 31, 1996 and for the
year then ended 2
Independent Auditors' Report as of December 31, 1995 and for the years
ended December 31, 1995 and 1994 2A
Financial Statements:
Statements of Financial Condition--December 31, 1996 and 1995 3
Statements of Operations--Three years ended December 31, 1996 5
Schedule to Statements of Operations--Three years ended December 31,
1996 6
Statements of Changes in Partners' Capital--Three years ended December
31, 1996 8
Notes to Financial Statements 9
2. Financial Statement Schedules
All schedules have been omitted because they are not applicable or the
required information is included in the financial statements or notes
thereto.
3. Exhibits
Description:
1.1 Underwriting Agreement, dated November 5, 1990, between the Registrant,
Seaport Futures Management, Inc. and Prudential-Bache Securities Inc.
(incorporated by reference to Exhibit 1.1 of the Registrant's Annual
Report to Limited Partners for the year ended December 31, 1990 on Form
10-K)
3.1 Agreement of Limited Partnership of the Registrant, dated as of
and November 5, 1990, as amended (incorporated by reference to Exhibit A to
4.1 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)
10.1 Escrow Agreement, dated November 5, 1990 among the Registrant, Seaport
Futures Management, Inc., Prudential-Bache Securities Inc. and Bankers
Trust Company (incorporated by reference to Exhibit 10.1 of the
Registrant's Annual Report to Limited Partners on Form 10-K for the
year ended December 31, 1990)
</TABLE>
10
<PAGE>
<TABLE>
<S> <C> <C> <C>
10.2 Brokerage Agreement dated February 15, 1991 between the Registrant and
Prudential-Bache Securities Inc. (incorporated by reference to Exhibit
10.2 of the Registrant's Annual Report to Limited Partners on Form 10-K
for the year ended December 31, 1990)
10.3 Advisory Agreement dated November 5, 1990 among the Registrant, Seaport
Futures Management, Inc., Campbell & Company Management, Inc., Chesa-
peake Capital Corporation and Reynwood Trading Corporation
(incorporated by reference to Exhibit 10.3 of the Registrant's Annual
Report to Limited Partners on Form 10-K for the year ended December 31,
1990)
10.5 Representation Agreement Concerning the Registration Statement and the
Prospectus, dated November 5, 1990 among the Registrant, Seaport
Futures Management, Inc., Prudential-Bache Securities Inc., Campbell &
Company, Inc., Chesapeake Capital Corporation and Reynwood Trading
Corporation (incorporated by reference to Exhibit 10.5 of the
Registrant's Annual Report to Limited Partners on Form 10-K for the
year ended December 31, 1990)
10.6 Net Worth Agreement, dated November 5, 1990 between Seaport Futures
Management, Inc. and Prudential Securities Group Inc. (incorporated by
reference to Exhibit 10.6 of the Registrant's Annual Report to Limited
Partners on Form 10-K for the year ended December 31, 1990)
10.7 Letter of Credit and Reimbursement Agreement dated November 5, 1990 be-
tween the Registrant, Seaport Futures Management, Inc., Prudential
Securities Group Inc. and Citibank, N.A. (incorporated by reference to
Exhibit 10.7 of the Registrant's Annual Report to Limited Partners on
Form 10-K for the year ended December 31, 1990)
10.8 Secured Demand Note Collateral Agreement dated February 15, 1991
between Seaport Futures Management, Inc. and Prudential Securities
Group Inc. (incorporated by reference to Exhibit 10.8 of the
Registrant's Annual Report to Limited Partners on Form 10-K for the
year ended December 31, 1990)
10.9 Amendment No. 1 to Letter of Credit and Reimbursement Agreement dated
March 28, 1991 between the Registrant, Seaport Futures Management,
Inc., Prudential Securities Group Inc. and Citibank, N.A. (incorporated
by reference to Exhibit 10 of the Quarterly Report on Form 10-Q for the
period ended March 31, 1993)
10.10 Amendment No. 2 to Letter of Credit and Reimbursement Agreement dated
April 15, 1993 between the Registrant, Citibank, N.A., Seaport Futures
Management, Inc. and Prudential Securities Group Inc. (incorporated by
reference to Exhibit 10.1 of the Registrant's Quarterly Report on Form
10-Q for the period ended March 31, 1993)
10.11 Addendum to Advisory Agreement dated December 1, 1994 between the
Registrant, Seaport Futures Management, Inc. and Chesapeake Capital
Corporation (incorporated by reference to Exhibit 10.11 of the
Registrant's Quarterly Report on Form 10-Q for the period ended June
30, 1995)
10.12 Advisory Agreement dated July 17, 1995 between the Registrant, Seaport
Futures Management, Inc. and Willowbridge Associates Inc. (incorporated
by reference to Exhibit 10.12 of the Registrant's Quarterly Report on
Form 10-Q for the period ended June 30, 1995)
10.13 Advisory Agreement dated April 1, 1996 between the Registrant, Seaport
Futures Management, Inc. and Robert M. Tamiso (incorporated by
reference to Exhibit 10.13 of the Registrant's Quarterly Report on Form
10-Q for the period ended March 31, 1996)
</TABLE>
11
<PAGE>
<TABLE>
<S> <C> <C> <C>
10.14 Advisory Agreement dated April 1, 1996 between the Registrant, Seaport
Futures Management, Inc. and Hyman Beck & Company, Inc. (incorporated
by reference to Exhibit 10.14 of the Registrant's Quarterly Report on
Form 10-Q for the period ended March 31, 1996)
10.15 Form of Foreign Currency Addendum to Brokerage Agreement between the
Registrant and Prudential Securities Incorporated (incorporated by
reference to Exhibit 10.15 of the Registrant's Quarterly Report on Form
10-Q for the period ended March 31, 1996)
13 Registrant's 1996 Annual Report (with the exception of the information
and data incorporated by reference in Items 7 and 8 of this Annual
Report on Form 10-K, no other information or data appearing in the
Registrant's 1996 Annual Report is to be deemed filed as part of this
report) (filed herewith)
16.1 Letter dated May 15, 1996 from Deloitte & Touche LLP to the Securities
and Exchange Commission regarding change in certifying accountant
(incorporated by reference to Exhibit 16.1 of the Registrant's Current
Report on Form 8-K dated May 14, 1996)
27 Financial Data Schedule (filed herewith)
(b) Reports on Form 8-K
No reports on Form 8-K were filed during the last quarter of the period
covered by this report.
</TABLE>
12
<PAGE>
SIGNATURES
Pursuant to the requirements of Section 13 or 15(d) 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: March 27, 1997
----------------------------------------------
Steven Carlino
Vice President and Chief Accounting Officer
Pursuant to the requirements of the Securities Exchange Act of 1934, this
report has been signed below by the following persons on behalf of the
Registrant and in the capacities (with respect to the General Partner) and on
the dates indicated.
By: Seaport Futures Management, Inc.
A Delaware corporation, General Partner
By: /s/ James M. Kelso Date: March 27, 1997
---------------------------------------------------
James M. Kelso
President and Director
By: /s/ Barbara J. Brooks Date: March 27, 1997
---------------------------------------------------
Barbara J. Brooks
Treasurer and Chief Financial Officer
By: /s/ Steven Carlino Date: March 27, 1997
---------------------------------------------------
Steven Carlino
Vice President
By: /s/ A. Laurence Norton, Jr. Date: March 27, 1997
----------------------------------------------------
A. Laurence Norton, Jr.
Director
By: /s/ Guy S. Scarpaci Date: March 27, 1997
----------------------------------------------------
Guy S. Scarpaci
Director
13
<PAGE>
1996
- --------------------------------------------------------------------------------
Prudential-Bache Annual
OptiMax Futures Fund, L.P. Report
<PAGE>
<PAGE>
PRUDENTIAL-BACHE OPTIMAX FUTURES FUND, L.P.
Letter to Limited Partners
1
<PAGE>
1177 Avenue of the Americas Telephone 212 596 7000
New York, NY 10036 Facsimile 212 596 8910
Price Waterhouse LLP (LOGO)
Report of Independent Accountants
January 29, 1997
To the General Partner and
Limited Partners of
Prudential-Bache OptiMax Futures Fund, L.P.
In our opinion, the accompanying statement of financial condition and the
related statements of operations and of changes in partners' capital present
fairly, in all material respects, the financial position of Prudential-Bache
OptiMax Futures Fund, L.P. (the 'Partnership') at December 31, 1996, and the
results of its operations and the changes in its partners' capital for the year
then ended, in conformity with generally accepted accounting principles. These
financial statements are the responsibility of the general partner; our
responsibility is to express an opinion on these financial statements based on
our audit. We conducted our audit of these statements in accordance with
generally accepted auditing standards which require that we plan and perform the
audit to obtain reasonable assurance about whether the financial statements are
free of material misstatement. An audit includes examining, on a test basis,
evidence supporting the amounts and disclosures in the financial statements,
assessing the accounting principles used and significant estimates made by the
general partner, and evaluating the overall financial statement presentation. We
believe that our audit provides a reasonable basis for the opinion expressed
above.
/s/ Price Waterhouse LLP
2
<PAGE>
Deloitte &
Touche LLP
--------------------------------------------------------
Two World Financial Center Telephone: (212) 436-2000
New York, New York 10281-1414 Facsimile: (212) 436-5000
INDEPENDENT AUDITORS' REPORT
To the Partners of
Prudential-Bache OptiMax Futures Fund, L.P.
We have audited, by unit classes and in total, the accompanying statements of
financial condition of Prudential-Bache OptiMax Futures Fund, L.P. as of
December 31, 1995 and the related statements of operations and changes in
partners' capital for the years ended December 31, 1995 and 1994.
These financial statements are the responsibility of the Partnership's
management. Our responsibility is to express an opinion on these financial
statements based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, such financial statements present fairly, by unit classes and in
total, in all material respects, the financial position of Prudential-Bache
OptiMax Futures Fund, L.P. as of December 31, 1995 and the results of its
operations for the years ended December 31, 1995 and 1994 in
conformity with generally accepted accounting principles.
/s/ Deloitte & Touche LLP
January 29, 1996, except as matters with respect to the new
OptiMax Units as to which the date is March 17, 1997
- -----------------
Deloitte Touche
Tohmatsu
International
- -----------------
2A
<PAGE>
PRUDENTIAL-BACHE OPTIMAX FUTURES FUND, L.P.
(a limited partnership)
STATEMENT OF FINANCIAL CONDITION
<TABLE>
<CAPTION>
December 31,
1996
<S> <C>
- ---------------------------------------------------------------------------------------------------
ASSETS
Cash $ 3,794,460
U.S. Treasury bills, at amortized cost 11,147,656
Net unrealized gain on open commodity positions 558,306
Options, at market, net 36,701
-----------------
Total assets $15,537,123
-----------------
-----------------
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable $ 965,306
Accrued expenses 141,854
Incentive fees payable 97,630
Management fees payable 30,821
Other transaction fees payable 2,511
-----------------
Total liabilities 1,238,122
-----------------
Commitments
Partners' capital
Limited partners (99,334.759 OptiMax Units outstanding) 14,155,921
General partner (1,004.000 OptiMax Units outstanding) 143,080
-----------------
Total partners' capital 14,299,001
-----------------
Total liabilities and partners' capital $15,537,123
-----------------
-----------------
Net asset value per limited and general partnership units (the 'OptiMax
Units') $ 142.51
-----------------
-----------------
- ---------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of this statement
</TABLE>
3
<PAGE>
PRUDENTIAL-BACHE OPTIMAX FUTURES FUND, L.P.
(a limited partnership)
STATEMENTS OF FINANCIAL CONDITION
<TABLE>
<CAPTION>
December 31, 1995
------------------------------------------------
A Units B Units Combined Units
<S> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------
ASSETS
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 assets, at amortized cost 7,960,611 -- 7,960,611
Unrealized gain on reserve assets 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>
4
<PAGE>
PRUDENTIAL-BACHE OPTIMAX FUTURES FUND, L.P.
(a limited partnership)
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
Total
Units Combined Units
---------- --------------------------
Year ended December 31,
-----------------------------------------
<S> <C> <C> <C>
1996 1995 1994
- ----------------------------------------------------------------------------------------------------
REVENUES
Net realized gain (loss) on commodity transactions $3,249,181 $2,450,448 $ (87,493)
Change in net unrealized gain on open commodity
positions (376,934) (523,992) (330,097)
Change in unrealized gain/loss on reserve assets (44,012) 51,479 (1,225,966)
Interest from U.S. Treasury bills 542,880 497,168 446,683
Interest from reserve assets 147,823 647,621 732,748
Realized gain on reserve assets 2,149 12,584 680,060
---------- ---------- -----------
3,521,087 3,135,308 215,935
---------- ---------- -----------
EXPENSES
Commissions 1,116,092 940,879 1,200,221
Other transaction fees 66,954 62,885 83,728
Letter of credit fees 36,621 166,923 200,832
Management fees 346,071 304,116 371,789
Incentive fees 186,834 54,466 77,705
General and administrative 214,278 171,994 163,164
Amortization of organizational costs 3,204 29,216 35,406
---------- ---------- -----------
1,970,054 1,730,479 2,132,845
---------- ---------- -----------
Net income (loss) $1,551,033 $1,404,829 $(1,916,910)
---------- ---------- -----------
---------- ---------- -----------
ALLOCATION OF NET INCOME (LOSS)
Limited partners $1,538,489 $1,354,422 $(1,865,249)
---------- ---------- -----------
---------- ---------- -----------
General partner $ 12,544 $ 50,407 $ (51,661)
---------- ---------- -----------
---------- ---------- -----------
- ----------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements
</TABLE>
5
<PAGE>
PRUDENTIAL-BACHE OPTIMAX FUTURES FUND, L.P.
(a limited partnership)
SCHEDULE TO STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
OptiMax Class A Class B Total Class A
Units Units Units Units Units
------------- ------------ ----------- ------------- -------------
<S> <C> <C> <C> <C> <C>
Nine months Year Year
ended Three months ended ended
December 31, ended December 31, December 31,
1996 March 31, 1996 1996 1995
- ------------------------------------------------------------------------------------------------------------------------------
REVENUES
Net realized gain (loss) on commodity
transactions $ 2,787,947 $ 378,211 $ 83,023 $ 3,249,181 $ 1,997,178
Change in net unrealized gain/loss on open
commodity positions (1,118) (308,169) (67,647) (376,934) (427,620)
Change in net unrealized gain/loss on reserve
assets -- (44,012) -- (44,012) 51,479
Interest from U.S. Treasury bills 430,485 91,965 20,430 542,880 405,709
Interest from reserve assets -- 147,823 -- 147,823 647,621
Realized gain on reserve assets -- 2,149 -- 2,149 12,584
------------- ------------ ----------- ------------- -------------
3,217,314 267,967 35,806 3,521,087 2,686,951
------------- ------------ ----------- ------------- -------------
EXPENSES
Commissions 893,683 182,042 40,367 1,116,092 766,777
Other transaction fees 46,178 17,037 3,739 66,954 51,433
Letter of credit fees -- 36,621 -- 36,621 166,923
Management fees 272,742 60,015 13,314 346,071 248,039
Incentive fees 186,834 -- -- 186,834 41,789
General and administrative 166,413 37,542 10,323 214,278 140,249
Amortization of organizational costs -- 2,858 346 3,204 25,985
------------- ------------ ----------- ------------- -------------
1,565,850 336,115 68,089 1,970,054 1,441,195
------------- ------------ ----------- ------------- -------------
Net income (loss) $ 1,651,464 $ (68,148) $ (32,283) $ 1,551,033 $ 1,245,756
------------- ------------ ----------- ------------- -------------
------------- ------------ ----------- ------------- -------------
ALLOCATION OF NET INCOME (LOSS)
Limited partners $ 1,634,928 $ (65,441) $ (30,998) $ 1,538,489 $ 1,201,035
------------- ------------ ----------- ------------- -------------
------------- ------------ ----------- ------------- -------------
General partner $ 16,536 $ (2,707) $ (1,285) $ 12,544 $ 44,721
------------- ------------ ----------- ------------- -------------
------------- ------------ ----------- ------------- -------------
NET INCOME (LOSS) PER WEIGHTED AVERAGE
LIMITED AND GENERAL PARTNERSHIP UNIT
Net income (loss) per weighted average limited
and general partnership unit $ 14.85 $ (.52) $ (2.07) $ 8.40
------------- ------------ ----------- -------------
------------- ------------ ----------- -------------
Weighted average number of limited and general
partnership units outstanding 111,224.151 130,224.001 15,619.348 148,387.751
------------- ------------ ----------- -------------
------------- ------------ ----------- -------------
- ------------------------------------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of this schedule
<CAPTION>
Class B Combined Class A Class B Combined
Units Units Units Units Units
------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C>
Year Year Year Year Year
ended ended ended ended ended
December 31, December 31, December 31, December 31, December 31,
1995 1995 1994 1994 1994
- ------------------------------------------------------------------------------------------------------------------------------
REVENUES
Net realized gain (loss) on commodity
transactions $ 453,270 $ 2,450,448 $ (83,874) $ (3,619) $ (87,493)
Change in net unrealized gain/loss on open
commodity positions (96,372) (523,992) (272,248) (57,849) (330,097)
Change in net unrealized gain/loss on reserve
assets -- 51,479 (1,225,966) -- (1,225,966)
Interest from U.S. Treasury bills 91,459 497,168 360,939 85,744 446,683
Interest from reserve assets -- 647,621 732,748 -- 732,748
Realized gain on reserve assets -- 12,584 680,060 -- 680,060
------------- ------------- ------------- ------------- -------------
448,357 3,135,308 191,659 24,276 215,935
------------- ------------- ------------- ------------- -------------
EXPENSES
Commissions 174,102 940,879 970,525 229,696 1,200,221
Other transaction fees 11,452 62,885 68,110 15,618 83,728
Letter of credit fees -- 166,923 200,832 -- 200,832
Management fees 56,077 304,116 300,290 71,499 371,789
Incentive fees 12,677 54,466 58,690 19,015 77,705
General and administrative 31,745 171,994 133,167 29,997 163,164
Amortization of organizational costs 3,231 29,216 31,272 4,134 35,406
------------- ------------- ------------- ------------- -------------
289,284 1,730,479 1,762,886 369,959 2,132,845
------------- ------------- ------------- ------------- -------------
Net income (loss) $ 159,073 $ 1,404,829 $ (1,571,227) $ (345,683) $(1,916,910)
------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- -------------
ALLOCATION OF NET INCOME (LOSS)
Limited partners $ 153,387 $ 1,354,422 $ (1,528,511) $ (336,738) $(1,865,249)
------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- -------------
General partner $ 5,686 $ 50,407 $ (42,716) $ (8,945) $ (51,661)
------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- -------------
NET INCOME (LOSS) PER WEIGHTED AVERAGE
LIMITED AND GENERAL PARTNERSHIP UNIT
Net income (loss) per weighted average limited
and general partnership unit $ 8.70 $ (8.80) $ (14.81)
------------- ------------- -------------
------------- ------------- -------------
Weighted average number of limited and general
partnership units outstanding 18,281.333 178,535.751 23,339.507
------------- ------------- -------------
------------- ------------- -------------
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
6
<PAGE>
PRUDENTIAL-BACHE OPTIMAX FUTURES FUND, L.P.
(a limited partnership)
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
<TABLE>
<CAPTION>
CLASS A LIMITED GENERAL
UNITS PARTNERS PARTNER TOTAL
<S> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------
Partners' capital--December 31, 1993 196,550.001 $24,441,604 $665,494 $25,107,098
Net loss -- (1,528,511) (42,716) (1,571,227)
Redemptions (37,806.000) (4,560,017) -- (4,560,017)
Exchanges (50.000) (6,180) -- (6,180)
------------ ----------- -------- -----------
Partners' capital--December 31, 1994 158,694.001 18,346,896 622,778 18,969,674
Net income -- 1,201,035 44,721 1,245,756
Redemptions (28,470.000) (3,531,189) -- (3,531,189)
------------ ----------- -------- -----------
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, 1993,
as previously reported 25,081.045 $ 3,281,911 $ 83,869 $ 3,365,780
Adjustment for merger into OptiMax Units (133.682) -- -- --
------------ ----------- -------- -----------
Partners' capital--December 31, 1993, as
restated 24,947.363 3,281,911 83,869 3,365,780
Net loss -- (336,738) (8,945) (345,683)
Redemptions (5,329.553) (656,030) -- (656,030)
Exchanges 47.856 6,180 -- 6,180
------------ ----------- -------- -----------
Partners' capital--December 31, 1994 19,665.666 2,295,323 74,924 2,370,247
Net income -- 153,387 5,686 159,073
Redemptions (4,046.318) (503,958) -- (503,958)
------------ ----------- -------- -----------
Partners' capital--December 31, 1995 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 -- $ -- $ -- $ --
------------ ----------- -------- -----------
------------ ----------- -------- -----------
- -----------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements
</TABLE>
7
<PAGE>
PRUDENTIAL-BACHE OPTIMAX FUTURES FUND, L.P.
(a limited partnership)
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL--continued
<TABLE>
<CAPTION>
COMBINED LIMITED GENERAL
UNITS PARTNERS PARTNER TOTAL
<S> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------
Partners' capital--December 31, 1993,
as previously reported 221,631.046 $27,723,515 $749,363 $28,472,878
Adjustment for merger into OptiMax Units (133.682) -- -- --
------------ ----------- -------- -----------
Partners' capital--December 31, 1993, as
restated 221,497.364 27,723,515 749,363 28,472,878
Net loss -- (1,865,249) (51,661) (1,916,910)
Redemptions (43,135.553) (5,216,047) -- (5,216,047)
Exchanges (2.144) -- -- --
------------ ----------- -------- -----------
Partners' capital--December 31, 1994 178,359.667 20,642,219 697,702 21,339,921
Net income -- 1,354,422 50,407 1,404,829
Redemptions (32,516.318) (4,035,147) -- (4,035,147)
------------ ----------- -------- -----------
Partners' capital--December 31, 1995 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 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 -- 1,634,928 16,536 1,651,464
Redemptions (16,000.234) (2,174,739) (22,140) (2,196,879)
------------ ----------- -------- -----------
Partners' capital--December 31, 1996 100,338.759 $14,155,921 $143,080 $14,299,001
------------ ----------- -------- -----------
------------ ----------- -------- -----------
- -----------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements
</TABLE>
8
<PAGE>
PRUDENTIAL-BACHE OPTIMAX FUTURES FUND, L.P.
(a limited partnership)
NOTES TO FINANCIAL STATEMENTS
A. General
Prudential-Bache OptiMax Futures Fund, L.P. (the 'Partnership') is a Delaware
limited partnership formed on July 12, 1990 which will terminate on December 31,
2010 unless ended sooner under the provisions of the Agreement of Limited
Partnership (the 'Partnership Agreement'). The Partnership was formed to engage
in the speculative trading of a portfolio consisting primarily of commodity
futures, forward and options contracts. On February 15, 1991, the Partnership
completed its offering of units and raised $64,000,000 of Class A units and
$6,309,500 of Class B units from the sale of 633,563 Class A and 62,470 Class B
units of limited partnership interest and 6,437 Class A and 625 Class B units of
general partnership interest. The general partner of the Partnership is Seaport
Futures Management, Inc. (the 'General Partner') which is an affiliate of
Prudential Securities Incorporated ('PSI'), the Partnership's commodity broker.
Both the General Partner and PSI are wholly-owned subsidiaries of Prudential
Securities Group Inc. ('PSGI'). The General Partner is required to maintain at
least a 1% interest in the Partnership as long as it is acting as the
Partnership's general partner.
Through March 31, 1996, the Partnership maintained two classes (each a
'Class') of Units. Sixty percent (60%) of the initial net asset value of the
Class A Units and one hundred percent of the initial net asset value of the
Class B Units were deposited in the Partnership's trading accounts for commodity
trading purposes (referred to as the Partnerships 'Traded Assets'). The
remaining forty percent (40%) of the initial net asset value of the Class A
Units ('Class A Reserve Assets') was held in reserve as a protective device in
conjunction with the letter of credit (see discussion below) and invested in
U.S. Government interest-bearing obligations, zero coupon bonds and a guaranteed
investment contract ('GIC'). The General Partner generally maintains not less
than seventy-five percent (75%) of the Partnership's Traded Assets in
interest-bearing U.S. Government obligations (primarily U.S. Treasury bills), a
significant portion of which is utilized for margin purposes for the
Partnership's commodity trading activities. The remaining twenty-five percent
(25%) of the Partnership's Traded Assets is held in cash in the Partnership's
commodity trading accounts.
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 the
Capital Return Date (with no payment required by the Bank) and does not provide
protection thereafter. The Reserve Assets held in connection with the Letter of
Credit matured on April 1, 1996 and their proceeds were allocated evenly to
Robert M. Tamiso ('Tamiso') and Hyman Beck & Company, Inc. ('Hyman Beck'), new
independent commodities trading managers to the Partnership.
On April 1, 1996, in conjunction with the expiration of the Letter of Credit
and maturity of the Reserve Assets as discussed above, 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.
Prior to April 1, 1996, trading gains and losses and expenses (other than
those expenses that are 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 the
quarter ended March 31, 1996 and during the year ended December 31, 1995, except
for the three months ended June 30, 1995 which was 81% and 19%, respectively.
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
9
<PAGE>
Units are presented in the 'Combined Units' columns and collectively, with the
OptiMax Units, in the 'Total Units' columns.
All trading decisions are being made for the Partnership by Willowbridge
Associates Inc., Chesapeake Capital Corporation, Tamiso and Hyman Beck (the
'Trading Managers'). During July 1995, Willowbridge Associates Inc. replaced
Campbell & Company, Inc. as a trading manager to the Partnership. The General
Partner retains the authority to override trading instructions that violate the
Partnership's trading policies.
B. Summary of Significant Accounting Policies
Basis of accounting
The books and records of the Partnership are maintained on the accrual basis
of accounting in accordance with generally accepted accounting principles.
The preparation of financial statements in conformity with generally accepted
accounting principles requires the General Partner to make estimates and
assumptions that affect the reported amounts of liabilities at the date of the
financial statements and the reported amounts of expenses during the reporting
period. Actual results could differ from those estimates.
Commodity futures and forward transactions are reflected in the accompanying
statements of financial condition on trade date. The difference between the
original contract amount and market value of futures and forward contracts is
reflected as net unrealized gain or loss. Options transactions are reflected in
the statements of financial condition at market value which is inclusive of the
net unrealized gain or loss. The market value of each contract is based upon the
closing quotation on the exchange, clearing firm or bank on, or through, which
the contract is traded.
To the extent practicable, the Partnership invests a significant portion of
its Traded Assets in U.S. Treasury bills to fulfill original margin
requirements. U.S. Treasury bills are carried at amortized cost, which
approximates market. As of December 31, 1995, Class A Reserve Assets were
invested in a guaranteed investment contract ('GIC') and carried at its market
value. Interest on the Reserve Asset accrued for the benefit of the Class A
unitholders and all other interest on interest-bearing assets accrues for the
benefit of the Partnership.
The weighted average number of limited and general partnership units
outstanding was computed for purposes of disclosing net income (loss) per
weighted average limited and general partnership unit. The weighted average
limited and general partnership units are equal to the number of Units
outstanding at year end, adjusted proportionately for the Units redeemed based
on their respective time outstanding during such year.
The Partnership has elected not to provide a Statement of Cash Flows as
permitted by Statement of Financial Accounting Standards No. 102, 'Statement of
Cash Flows--Exemption of Certain Enterprises and Classification of Cash Flows
from Certain Securities Acquired for Resale.'
Certain reclassifications have been made to prior year balances to conform
with the current financial statement presentation.
Income taxes
The Partnership is not required to provide for, or pay, any Federal or state
income taxes. Income tax attributes that arise from the Partnership's operations
are passed directly to the individual partners. The Partnership may be subject
to other state and local taxes in jurisdictions in which it operates.
Profit and loss allocations, distributions, redemptions and exchanges
Net realized profits or losses for tax purposes are allocated first to
partners who redeem Units to the extent the amounts received on redemption are
greater than or are less than the amounts paid for the redeemed Units by the
partners. Net realized profits or losses remaining after these allocations are
allocated to each partner in proportion to such partner's capital account at
year-end. Net income or loss for financial reporting purposes is allocated
quarterly to all partners on a pro rata basis based on each partner's number of
Units outstanding during the quarter.
10
<PAGE>
Distributions (other than on redemptions of Units) are made at the sole
discretion of the General Partner on a pro rata basis in accordance with the
respective capital accounts of the partners. No distributions have been made
since inception.
The Partnership Agreement provides that a partner may redeem its Units as of
the last business day of any full calendar quarter at the then current net asset
value per Unit reduced by each Unit's pro rata portion of unamortized
organizational costs.
C. Costs, Fees and Expenses
Organizational Costs
Costs incurred to organize the Partnership, including but not limited to
legal, accounting, registration fees and certain printing costs, were considered
deferred organizational costs. These costs were capitalized and amortized over a
60-month period ending in 1996.
Commissions
The General Partner, on behalf of the Partnership, entered into an agreement
with PSI to act as commodity broker for the Partnership. The Partnership pays
PSI commissions at a rate of 2/3 of 1% per month (an 8% annual rate) of the
Partnership's Traded Assets as of the first day of each month. In addition, the
Partnership is obligated to pay the National Futures Association, floor
brokerage, exchange and clearing fees incurred in connection with the
Partnership's commodity trading activities.
Letter of Credit fees
Through March 31, 1996, Letter of Credit fees was calculated as follows: (i)
.0007291 (an annualized rate of 7/8 of 1%) of the outstanding Letter of Credit
amount as of the first day of each month was due to the Bank for issuing and
maintaining the Letter of Credit and (ii) .0002083 (an annualized rate of 1/4 of
1%) of the outstanding Letter of Credit amount as of the first day of each month
was due to PSGI for being obligated to make payment of the General Partner's
repayment obligation in the event the General Partner was unable to do so.
Following the expiration of the Letter of Credit on March 31, 1996 (see Note A),
the Partnership was no longer obligated to pay these fees.
Management and incentive fees
The Partnership pays each Trading Manager monthly management fees ranging
from 1/4 of 1% (a 3% annual rate) to 5/24 of 1% (a 2 1/2% annual rate) of the
portion of the Traded Assets allocated to that Trading Manager as of the end of
each month.
In addition, the Partnership pays each Trading Manager a quarterly incentive
fee ranging from 17% to 20% of 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).
General and administrative expenses
In addition to the costs, fees and expenses previously discussed, the
Partnership reimburses the General Partner and its affiliates for actual
Partnership operating expenses payable by, or allocable to, the Partnership. The
amount of reimbursement from the Partnership is limited by the provisions of the
Partnership Agreement. The Partnership also pays amounts directly to unrelated
parties for certain operating expenses.
11
<PAGE>
D. 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 for the year ended December 31, 1996
were:
<TABLE>
<CAPTION>
OPTIMAX UNITS CLASS A UNITS CLASS B UNITS TOTAL UNITS
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
Nine months Three months Year
ended ended ended
December 31, March 31, December 31,
1996 1996 1996
- -------------------------------------------------------------------------------------------------------
Commissions $ 893,683 $ 182,042 $40,367 $ 1,116,092
Letter of Credit fees -- 8,138 -- 8,138
General and administrative 90,677 19,281 5,631 115,589
------------- ------------- ------------- -------------
$ 984,360 $ 209,461 $45,998 $ 1,239,819
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
</TABLE>
The costs incurred for these services for the year ended December 31, 1995
were:
<TABLE>
<CAPTION>
CLASS A UNITS CLASS B UNITS COMBINED UNITS
<S> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------
Commission $766,777 $174,102 $ 940,879
Letter of Credit fees 37,098 -- 37,098
General and administrative 69,150 15,435 84,585
-------------- -------------- --------------
$873,025 $189,537 $1,062,562
-------------- -------------- --------------
-------------- -------------- --------------
</TABLE>
The costs incurred for these services for the year ended December 31, 1994
were:
<TABLE>
<CAPTION>
CLASS A UNITS CLASS B UNITS COMBINED UNITS
<S> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------
Commission $ 970,525 $229,696 $1,200,221
Letter of Credit fees 44,628 -- 44,628
General and administrative 66,810 14,994 81,804
-------------- -------------- --------------
$1,081,963 $244,690 $1,326,653
-------------- -------------- --------------
-------------- -------------- --------------
</TABLE>
Expenses payable to the General Partner and its affiliates (which are
included in accrued expenses) as of December 31, 1996 were $62,525 and as of
December 31, 1995 were $40,883 for Class A Units and $7,257 for Class B Units.
The Partnership maintains its trading and cash accounts at PSI. Approximately
seventy-five percent (75%) of the Traded Assets is 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.
In connection with the Partnership's interbank transactions, PSI engages in
foreign currency forward transactions with the Partnership and an affiliate of
PSI who, as principal, attempts to earn a profit on the bid-ask spreads (which
must be competitive) on any foreign currency forward transactions entered into
between the Partnership and PSI, on the one hand, and PSI and such affiliate on
the other. In connection with its trading of foreign currencies in the interbank
market, PSI may arrange bank lines of credit at major international banks. To
the extent such lines of credit are arranged, PSI does not charge the
Partnership for maintaining such lines of credit, but requires margin deposits
with respect to forward contract transactions.
Additionally, the Partnership maintained an 8.17% GIC which matured on April
1, 1996 with The Prudential Asset Management Company, Inc., an affiliate of the
General Partner. Interest earned on the GIC for the years ended December 31,
1996, 1995 and 1994 was $147,823, $647,621 and $730,357, respectively. Realized
gain on the GIC was $2,149, $12,584 and $491,488 and the change in unrealized
gain/loss on the
12
<PAGE>
GIC was $(44,012), $51,479 and $(1,015,293) for the years ended December 31,
1996, 1995 and 1994, respectively.
E. Income Taxes
The following is a reconciliation of net income (loss) for financial
reporting purposes to net income (loss) for tax reporting purposes for the year
ended December 31, 1996:
<TABLE>
<CAPTION>
OPTIMAX UNITS CLASS A UNITS CLASS B UNITS TOTAL UNITS
------------- --------------- --------------- -------------
<S> <C> <C> <C> <C>
Nine months Three months Year
ended ended ended
December 31, March 31, December 31,
1996 1996 1996
- -------------------------------------------------------------------------------------------------------
Net income (loss) per
financial statements $ 1,651,464 $ (68,148) $ (32,283) $ 1,551,033
Change in unrealized
gain/loss on GIC -- 44,012 -- 44,012
Other (98,197) (2,958) (636) (101,791)
------------- --------------- --------------- -------------
Tax basis net income (loss) $ 1,553,267 $ (27,094) $ (32,919) $ 1,493,254
------------- --------------- --------------- -------------
------------- --------------- --------------- -------------
</TABLE>
The following is a reconciliation of net income for financial reporting
purposes to net income for tax reporting purposes for the year ended December
31, 1995:
<TABLE>
<CAPTION>
CLASS A UNITS CLASS B UNITS COMBINED UNITS
<S> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------
Net income per financial statements $ 1,245,756 $ 159,073 $1,404,829
Change in unrealized gain/loss on strips and
GIC (51,479) -- (51,479)
Other 131,735 26,265 158,000
--------------- --------------- --------------
Tax basis net income $ 1,326,012 $ 185,338 $1,511,350
--------------- --------------- --------------
--------------- --------------- --------------
</TABLE>
The following is a reconciliation of net loss for financial reporting
purposes to net loss for tax reporting purposes for the year ended December 31,
1994:
<TABLE>
<CAPTION>
CLASS A UNITS CLASS B UNITS COMBINED UNITS
<S> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------
Net loss per financial statements $(1,571,227) $(345,683) $ (1,916,910)
Change in unrealized gain/loss on strips and
GIC 1,225,966 -- 1,225,966
Original issue discount adjustment to income 72,202 -- 72,202
Other (154,424) (26,686) (181,110)
--------------- --------------- --------------
Tax basis net loss $ (427,483) $(372,369) $ (799,852)
--------------- --------------- --------------
--------------- --------------- --------------
</TABLE>
The differences between the tax and book bases of partners' capital are
attributable primarily to the cumulative effect of the book to tax income
adjustments.
F. 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 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.
13
<PAGE>
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 the taking and liquidating of positions. The General Partner
may impose additional restrictions (through modifications of such trading
limitations and policies) upon the trading activities of the Trading 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
December 31, 1996 and 1995, such segregated assets totalled $7,464,278 and
$11,814,307, 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 $7,837,283 and $195,923 at December 31, 1996 and 1995,
respectively. There are no segregation requirements for assets related to
forward trading.
As of December 31, 1996 and 1995, open futures, forward and options contracts
mature within one year.
At December 31, 1996 and 1995, gross contract amounts of open futures,
forward and options contracts are:
<TABLE>
<CAPTION>
December 31, December 31,
1996 1995
<S> <C> <C>
------------ ------------
Financial Futures and Options Contracts:
Commitments to purchase $59,731,780 $99,523,854
Commitments to sell $10,663,117 $ 7,832,307
Currency Futures and Options Contracts:
Commitments to purchase $ 4,367,551 $ 744,386
Commitments to sell $ 5,391,289 $ 2,274,913
Currency Forward Contracts:
Commitments to purchase $19,229,072 $ --
Commitments to sell $19,694,712 $ --
Other Futures and Options Contracts:
Commitments to purchase $ 2,695,541 $14,542,575
Commitments to sell $ 3,903,333 $ 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, 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, while the
14
<PAGE>
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 December 31, 1996 and 1995, the fair value of open futures, forward and
options contracts was:
<TABLE>
<CAPTION>
December 31, 1996 December 31, 1995
---------------------------- ----------------------------
<S> <C> <C> <C> <C>
Fair Value Fair Value
Assets Liabilities Assets Liabilities
------------ ------------ ------------ ------------
Futures Contracts:
Domestic exchanges
Financial $ 2,587 $ 21,181 $ 139,122 $ 95,750
Currencies 138,623 2,143 21,812 11,533
Other 88,437 22,665 755,571 65,294
Foreign exchanges
Financial 110,601 28,084 190,697 7,455
Other 82,373 25,804 10,912 38,749
Forward Contracts:
Currencies 308,705 73,143 -- --
Options Contracts:
Domestic exchanges
Financial 12,500 3,093 -- --
Currencies 12,922 -- -- --
Other 3,280 -- 15,576 --
Foreign exchanges
Financial 11,092 -- -- --
------------ ------------ ------------ ------------
$771,120 $176,113 $1,133,690 $218,781
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
</TABLE>
The following table presents the average fair value of futures, forward and
options contracts during the years ended December 31, 1996 and 1995,
respectively.
<TABLE>
<CAPTION>
Year ended Year ended
December 31, 1996 December 31, 1995
---------------------------- ----------------------------
<S> <C> <C> <C> <C>
Average Fair Value Average Fair Value
---------------------------- ----------------------------
Assets Liabilities Assets Liabilities
------------ ------------ ------------ ------------
Futures Contracts:
Domestic exchanges
Financial $ 63,648 $ 19,407 $ 81,552 $ 11,555
Currencies 167,954 22,876 137,763 39,635
Other 325,241 76,245 295,708 54,196
Foreign exchanges
Financial 356,007 23,799 304,356 30,447
Other 50,934 60,626 88,762 137,818
Forward Contracts:
Currencies 357,696 188,949 -- --
Other 425 847 233 --
Options Contracts:
Domestic exchanges
Financial 5,195 238 4,503 --
Currencies 13,550 335 858 --
Other 15,525 835 7,289 --
Foreign exchanges
Financial 10,236 -- 1,298 2,841
Currencies -- -- -- 16,392
Other -- -- 4,364 --
------------ ------------ ------------ ------------
$1,366,411 $394,157 $926,686 $292,884
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
</TABLE>
15
<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 years ended December 31, 1996 and 1995, respectively.
<TABLE>
<CAPTION>
Year Ended December 31, 1996 Year Ended December 31, 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 $ 177,943 $ (61,966) $ 115,977 $ 792,379 $ 62,403 $ 854,782
Currencies 742,821 126,201 869,022 541,621 (120,339) 421,282
Other 915,456 (624,505) 290,951 320,609 85,272 405,881
Foreign exchanges
Financial 1,668,429 (100,725) 1,567,704 1,216,723 5,349 1,222,072
Other 80,226 84,406 164,632 (291,728) (558,004) (849,732)
Forward Contracts:
Currencies 71,623 235,562 307,185 -- -- --
Other 1,200 -- 1,200 -- -- --
Options Contracts:
Domestic exchanges
Financial (86,366) 10,424 (75,942) (7,650) -- (7,650)
Currencies (88,029) (5,967) (93,996) 45,088 -- 45,088
Other (130,223) (28,566) (158,789) (143,945) 1,327 (142,618)
Foreign exchanges
Financial (96,474) (11,798) (108,272) (18,624) -- (18,624)
Other (7,425) -- (7,425) (4,025) -- (4,025)
-------------- ----------------- ---------- -------------- ----------------- ----------
$3,249,181 $(376,934) $2,872,247 $2,450,448 $ (523,992) $1,926,456
-------------- ----------------- ---------- -------------- ----------------- ----------
-------------- ----------------- ---------- -------------- ----------------- ----------
</TABLE>
16
<PAGE>
PRUDENTIAL-BACHE OPTIMAX FUTURES FUND, L.P.
(a limited partnership)
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 ('Class A Traded Assets') and one hundred
percent of the initial net proceeds of the Class B Units ('Class B Traded
Assets') were allocated to trading activity ('Traded Assets'). 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').
On March 31, 1996, the Letter of Credit expired and the Reserve Assets became
available for commodities trading. On April 1, 1996, these assets were allocated
for commodities trading evenly to Robert M. Tamiso and Hyman Beck & Company,
Inc., new independent trading managers to the Partnership. As such, at December
31, 1996, 100% of the Partnership's net assets were allocated to commodities
trading. Also, on April 1, 1996, in conjunction with the expiration of the
Letter of Credit and maturity of the Reserve Assets as discussed above, 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. See Note A to the financial statements for further information.
At December 31, 1996, a significant portion of the Traded Assets was held in
U.S. Treasury bills (which represented approximately 73% of the Traded 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 Traded 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 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 F to the financial statements for a
further discussion on the credit and market risks associated with the
Partnership's futures, forward and options contracts.
The Partnership does not have, nor does it expect to have, any capital
assets.
Redemptions by limited partners recorded for the years ended December 31,
1996, 1995 and 1994 were $5,344,062, $4,035,147 and $5,216,047, respectively.
Additionally, redemptions by the General Partner recorded for the year ended
December 31, 1996 were $617,573. Redemptions by limited partners and the General
Partner recorded from commencement of operations, February 15, 1991, through
December 31, 1996 totalled $71,534,401 (including $768,298 General Partner
redemptions). Future redemptions will impact the amount of funds available for
investment in commodity contracts in subsequent periods.
17
<PAGE>
Results of Operations
The net asset value per OptiMax Unit as of December 31, 1996 was $142.51, a
1996 year-to-date increase of 11.23% for a former Class A Unit and 9.90% for a
former Class B Unit. The net asset values as of December 31, 1995 reflect
increases of 7.18% and 7.59% for the former Class A Units and former Class B
Units, respectively, as compared to December 31, 1994. The MAR (Managed Account
Reports) Fund/Pool Index, which tracked the performance of 420 futures funds in
1996, returned 11.89%, outperforming the Partnership. Past performance is not
necessarily indicative of future results.
The global interest rate, currency and metal sectors were the solid
performers in 1996. Worldwide bonds gained strength during October and November
in reaction to low inflation and attempts to stimulate moribund economies in
Europe and Japan. Trends in the world currency markets reflected economic
fundamentals as well as political developments, particularly the progress of the
planned European Monetary Union. Gold prices fell as its status weathered in the
world monetary system and on moderate worldwide inflation.
Prior to April 1, 1996 trading gains and losses and expenses (other than
those expenses that were particular to Class A Units) are 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. See Note A in the financial
statements for further details.
As discussed in Liquidity and Capital Resources above, the Letter of Credit
expired on March 31, 1996 and as a result, there were no Letter of Credit fees
charged since that date. With the expiration of the Letter of Credit, Reserve
Assets were allocated to commodities trading thus increasing the Partnership's
Traded Assets, including its investment in U.S. Treasury bills. The increase in
U.S. Treasury bills, partially offset by a decrease in interest rates in 1996
versus 1995 and the liquidation of U.S. Treasury bills for the payment of
redemptions, resulted in an increase in interest income from U.S.Treasury bills
of $46,000 for the year ended December 31, 1996 as compared to 1995. Interest
income from U.S. Treasury bills also increased $50,000 for the year ended
December 31, 1995 as compared to 1994 due to favorable interest rates in 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 $500,000 for the year ended December 31,
1996 as compared to 1995. Additionally, interest on Reserve Assets decreased
$85,000 for the year ended December 31, 1995 as compared to 1994 due to the
liquidation of Reserve Assets for the payment of redemptions.
Commissions are calculated on the Traded Assets on the first day of each
month and, therefore, vary due to trading performance and redemptions.
Additionally, the Traded Assets increased when the Letter of Credit expired and
Reserve Assets were allocated to commodities trading as discussed above. As a
result, commissions increased $175,000 for the year ended December 31, 1996 as
compared to 1995 but decreased $259,000 for the year ended December 31, 1995
compared to 1994.
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 for the year ended December 31,
1996 as compared to 1995 but decreased $21,000 for the year ended December 31,
1995 as compared to 1994 primarily due to fluctuations in trading volume.
The current trading managers are Willowbridge Associates Inc., Chesapeake
Capital Corporation, Robert M. Tamiso and Hyman Beck & Company, Inc. As further
discussed in Note A to the financial statements, the assets previously held in
reserve were allocated evenly to Robert M. Tamiso and Hyman Beck & Company, Inc.
for commodities trading. During July 1995, Willowbridge Associates Inc. replaced
Campbell & Company, Inc. as a trading manager to the Partnership. Management
fees are calculated on the portion of the Partnership's Traded Assets allocated
to each Trading Manager at the end of each month, and, therefore, are affected
by trading performance, redemptions and the additional allocation of assets to
commodities trading as discussed above. As a result, management fees increased
$42,000 for the year ended December 31, 1996 as compared to 1995 but decreased
$68,000 for the year ended December 31, 1995 compared to 1994.
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. Although the
Partnership experienced an overall loss for 1994, Chesapeake Capital Corporation
earned sufficient trading profits to earn an incentive fee in that year as well
as in 1995 and 1996. Accordingly,
18
<PAGE>
incentive fees of $19,000, $55,000 and $78,000 were paid to Chesapeake Capital
Corporation for the years ended December 31, 1996, 1995 and 1994, respectively.
Additional incentive fees of $102,000, $18,000 and $48,000 were paid during the
year ended December 31, 1996 to Willowbridge Associates Inc., Robert M. Tamiso
and Hyman Beck & Company, Inc., respectively.
General and administrative expenses increased $42,000 for the year ended
December 31, 1996 as compared to 1995. This variance was primarily due to an
increase in 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. General and administrative expenses remained relatively
constant for the year ended December 31, 1995 compared to 1994.
Inflation
Inflation has had no material impact on operations or on the financial
condition of the Partnership from inception through December 31, 1995.
19
<PAGE>
- --------------------------------------------------------------------------------
I hereby affirm that, to the best of my knowledge and belief, the information
contained herein relating to Prudential-Bache OptiMax Futures Fund, L.P. is
accurate and complete.
SEAPORT FUTURES
MANAGEMENT, INC.
(General Partner)
By: Barbara J. Brooks
Treasurer and Chief Financial Officer
- --------------------------------------------------------------------------------
20
<PAGE>
OTHER INFORMATION
The actual round-turn equivalents of brokerage commissions paid per trade for
the year ended December 31, 1996 were $57.
The Partnership's Annual Report on Form 10-K as filed with the Securities and
Exchange Commission is available to limited partners without charge upon written
request to:
Prudential-Bache OptiMax Futures Fund, L.P.
P.O. Box 2016
Peck Slip Station
New York, NY 10272-2016
21
<PAGE>
Peck Slip Station
BULK RATE
P.O. Box 2016 U.S. POSTAGE
New York, NY 10272-2016 PAID
Automatic Mail
OPTIA/171976
<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> Dec-31-1996
<PERIOD-TYPE> 12-Mos
<CASH> 3,794,460
<SECURITIES> 11,742,663
<RECEIVABLES> 0
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 15,537,123
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 15,537,123
<CURRENT-LIABILITIES> 1,238,122
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 14,299,001
<TOTAL-LIABILITY-AND-EQUITY> 15,537,123
<SALES> 3,521,087
<TOTAL-REVENUES> 3,521,087
<CGS> 0
<TOTAL-COSTS> 1,970,054
<OTHER-EXPENSES> 0
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 0
<INCOME-TAX> 0
<INCOME-CONTINUING> 0
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> 1,551,033
<EPS-PRIMARY> 12.94
<EPS-DILUTED> 0
</TABLE>
