<PAGE>
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
(Mark One)
/X/ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
ACT OF 1934
For the quarterly period ended September 30, 1997
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 Identification No.)
of incorporation or organization)
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
N/A
- --------------------------------------------------------------------------------
Former name, former address and former fiscal year, if changed since last report
Indicate by check CK whether the Registrant (1) has filed all reports
required to be filed by Section 13 or 15(d) of the Securities Exchange Act of
1934 during the preceding 12 months (or for such shorter period that the
Registrant was required to file such reports), and (2) has been subject to such
filing requirements for the past 90 days. Yes _CK_ No __
<PAGE>
Part I. FINANCIAL INFORMATION
ITEM 1. FINANCIAL STATEMENTS
PRUDENTIAL-BACHE OPTIMAX FUTURES FUND, L.P.
(a limited partnership)
STATEMENTS OF FINANCIAL CONDITION
(Unaudited)
<TABLE>
<CAPTION>
September 30, December 31,
1997 1996
<S> <C> <C>
- -----------------------------------------------------------------------------------------------------
ASSETS
Equity in commodity trading accounts:
Cash $ 3,106,131 $ 3,794,460
U.S. Treasury bills, at amortized cost 11,666,353 11,147,656
Net unrealized gain on open commodity positions 1,256,278 558,306
Options, at market, net -- 36,701
------------- ------------
Total assets $16,028,762 $15,537,123
------------- ------------
------------- ------------
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable $ 278,444 $ 965,306
Accrued expenses 112,569 141,854
Management fees payable 28,583 30,821
Other transaction fees payable 3,961 2,511
Incentive fees payable 256,411 97,630
------------- ------------
Total liabilities 679,968 1,238,122
------------- ------------
Commitments
Partners' capital
Limited partners (93,362.542 and 99,334.759 OptiMax Units
outstanding) 15,195,154 14,155,921
General partner (944 and 1,004 OptiMax Units outstanding) 153,640 143,080
------------- ------------
Total partners' capital 15,348,794 14,299,001
------------- ------------
Total liabilities and partners' capital $16,028,762 $15,537,123
------------- ------------
------------- ------------
Net asset value per limited and general partnership units (the
'OptiMax Units') $ 162.75 $ 142.51
------------- ------------
------------- ------------
- -----------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements
</TABLE>
2
<PAGE>
PRUDENTIAL-BACHE OPTIMAX FUTURES FUND, L.P.
(a limited partnership)
STATEMENTS OF OPERATIONS
(Unaudited)
<TABLE>
<CAPTION>
OptiMax Units Total Units OptiMax Units
------------- ------------- ------------------------------
Nine months ended Three months ended
September 30, September 30,
------------------------------ ------------------------------
1997 1996 1997 1996
<S> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------
REVENUES
Net realized gain (loss) on commodity
transactions $ 2,684,285 $ 911,098 $ 1,021,233 $ (693,761)
Change in net unrealized gain on open
commodity positions 728,803 468,572 1,061,233 858,843
Change in net unrealized gain on reserve
asset -- (44,012) -- --
Interest from U.S. Treasury bills 437,333 402,695 145,885 141,448
Interest from reserve asset -- 147,823 -- --
Realized gain on reserve asset -- 2,149 -- --
------------- ------------- ------------- -------------
3,850,421 1,888,325 2,228,351 306,530
------------- ------------- ------------- -------------
EXPENSES
Commissions 892,074 812,461 300,468 280,740
Other transaction fees 44,763 57,358 16,570 18,111
Management fees 256,666 251,757 85,254 84,044
Incentive fees 524,772 89,204 256,411 41,847
General and administrative 150,298 179,652 52,827 77,883
Letter of credit fees -- 36,621 -- --
Amortization of organizational costs -- 3,204 -- --
------------- ------------- ------------- -------------
1,868,573 1,430,257 711,530 502,625
------------- ------------- ------------- -------------
Net income (loss) $ 1,981,848 $ 458,068 $ 1,516,821 $ (196,095)
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
ALLOCATION OF NET INCOME (LOSS)
Limited partners $ 1,962,012 $ 456,464 $ 1,501,639 $ (194,133)
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
General partner $ 19,836 $ 1,604 $ 15,182 $ (1,962)
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
NET INCOME (LOSS) PER WEIGHTED AVERAGE
LIMITED AND GENERAL PARTNERSHIP UNIT
Net income (loss) per weighted average
limited and general partnership unit $ 20.17 $ 15.80 $ (1.78)
------------- ------------- -------------
------------- ------------- -------------
Weighted average number of limited and
general partnership units outstanding 98,280.101 96,017.412 110,021.096
------------- ------------- -------------
------------- ------------- -------------
- -----------------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements
</TABLE>
3
<PAGE>
PRUDENTIAL-BACHE OPTIMAX FUTURES FUND, L.P.
(a limited partnership)
SCHEDULE TO STATEMENTS OF OPERATIONS
(Unaudited)
<TABLE>
<CAPTION>
OptiMax Class A Class B Total
Units Units Units Units
------------- ------------ ----------- -------------
Six months Nine months
ended Three months ended
September 30, ended September 30,
1996 March 31, 1996 1996
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------
REVENUES
Net realized gain on commodity transactions $ 449,864 $ 378,211 $ 83,023 $ 911,098
Change in net unrealized gain on open
commodity positions 844,388 (308,169) (67,647) 468,572
Change in net unrealized gain on reserve
asset -- (44,012) -- (44,012)
Interest from U.S. Treasury bills 290,300 91,965 20,430 402,695
Interest from reserve asset -- 147,823 -- 147,823
Realized gain on reserve asset -- 2,149 -- 2,149
------------- ------------ ----------- -------------
1,584,552 267,967 35,806 1,888,325
------------- ------------ ----------- -------------
EXPENSES
Commissions 590,052 182,042 40,367 812,461
Other transaction fees 36,582 17,037 3,739 57,358
Management fees 178,428 60,015 13,314 251,757
Incentive fees 89,204 -- -- 89,204
General and administrative 131,787 37,542 10,323 179,652
Letter of credit fees -- 36,621 -- 36,621
Amortization of organizational costs -- 2,858 346 3,204
------------- ------------ ----------- -------------
1,026,053 336,115 68,089 1,430,257
------------- ------------ ----------- -------------
Net income (loss) $ 558,499 $ (68,148) $ (32,283) $ 458,068
------------- ------------ ----------- -------------
------------- ------------ ----------- -------------
ALLOCATION OF NET INCOME (LOSS)
Limited partners $ 552,903 $ (65,441) $ (30,998) $ 456,464
------------- ------------ ----------- -------------
------------- ------------ ----------- -------------
General partner $ 5,596 $ (2,707) $ (1,285) $ 1,604
------------- ------------ ----------- -------------
------------- ------------ ----------- -------------
NET INCOME (LOSS) PER WEIGHTED AVERAGE
LIMITED AND GENERAL PARTNERSHIP UNIT
Net income (loss) per weighted average
limited and general partnership unit $ 4.93 $ (.52) $ (2.07)
------------- ------------ -----------
------------- ------------ -----------
Weighted average number of limited and
general partnership units outstanding 113,280.045 130,224.001 15,619.348
------------- ------------ -----------
------------- ------------ -----------
- --------------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of this schedule
</TABLE>
4
<PAGE>
PRUDENTIAL-BACHE OPTIMAX FUTURES FUND, L.P.
(a limited partnership)
STATEMENT OF CHANGES IN PARTNERS' CAPITAL
(Unaudited)
<TABLE>
<CAPTION>
OPTIMAX LIMITED GENERAL
UNITS PARTNERS PARTNER TOTAL
<S> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------
Partners' capital--December 31, 1996 100,338.759 $14,155,921 $143,080 $14,299,001
Net income -- 1,962,012 19,836 1,981,848
Redemptions (6,032.217) (922,779) (9,276 ) (932,055)
----------- ----------- -------- -----------
Partners' capital--September 30, 1997 94,306.542 $15,195,154 $153,640 $15,348,794
----------- ----------- -------- -----------
----------- ----------- -------- -----------
- ----------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of this statement
</TABLE>
5
<PAGE>
PRUDENTIAL-BACHE OPTIMAX FUTURES FUND, L.P.
(a limited partnership)
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. General
These financial statements have been prepared without audit. In the opinion
of management, the financial statements contain all adjustments (consisting of
only normal recurring adjustments) necessary to present fairly the financial
position of Prudential-Bache OptiMax Futures Fund, L.P. (the 'Partnership') as
of September 30, 1997 and the results of its operations for the nine and three
months ended September 30, 1997 and 1996. However, the operating results for the
interim periods may not be indicative of the results expected for the full year.
Certain information and footnote disclosures normally included in annual
financial statements prepared in accordance with generally accepted accounting
principles have been omitted. It is suggested that these financial statements be
read in conjunction with the financial statements and notes thereto included in
the Partnership's Annual Report on Form 10-K filed with the Securities and
Exchange Commission for the year ended December 31, 1996 ('Annual Report').
Through March 31, 1996, limited partners owned Class A Units and/or Class B
Units and, accordingly, separate financial statements are presented for Class A
Units and Class B Units through such date.
On March 31, 1996, the Partnership's letter of credit expired. Additionally,
the assets held in reserve in connection with the letter of credit matured on
April 1, 1996 and their proceeds were allocated to commodities trading.
Also on April 1, 1996, Seaport Futures Management, Inc. (the 'General
Partner') merged the Class A Units and the Class B Units in accordance with
Article X, Section B(16) of the Partnership Agreement into a newly created Class
of Units called the OptiMax Units. Each Class A Unit was exchanged into one new
OptiMax Unit and each Class B Unit was exchanged into .99467 new OptiMax Unit.
Accordingly, all references in the financial statements to outstanding Units and
per Unit data in prior periods have been restated to reflect the merger.
Prior to April 1, 1996, trading gains and losses and expenses (other than
those expenses that were particular to Class A Units) were allocated between the
Class A Units and Class B Units based upon the pro rata portion of the
Partnership's traded assets to each Class. The allocation was adjusted quarterly
to take into account the effect of redemptions. The quarterly allocation between
the Class A Units and Class B Units was 82% and 18%, respectively, during the
three months ended March 31, 1996.
As of May 1, 1997, Chesapeake Capital Corporation ('Chesapeake') ceased to
serve as a trading advisor to the Partnership. All assets previously managed by
Chesapeake were allocated to Eagle Trading Systems, Inc. ('Eagle') pursuant to
its Eagle-Global System trading program. The monthly management fee paid to
Eagle equals 1/6 of 1% (a 2% annual rate) of its traded assets as compared to
1/5 of 1% (a 2.5% annual rate) paid to Chesapeake. The quarterly incentive fee
paid to Eagle equals 23% of the New High Net Trading Profits (as defined in the
Advisory Agreement between the Partnership, the General Partner and Eagle) as
compared to 20% of the New High Net Trading Profits paid to Chesapeake.
Certain balances from prior periods have been reclassified to conform with
the current period's financial statement presentation.
6
<PAGE>
B. Related Parties
The General Partner and its affiliates perform services for the Partnership
which include, but are not limited to: brokerage services; accounting and
financial management; registrar, transfer and assignment functions; investor
communications; printing services and other administrative services.
The costs incurred for these services were:
<TABLE>
<CAPTION>
OptiMax Units Total Units OptiMax Units
------------- ------------- ------------------------------
Nine months ended Three months ended
September 30, September 30,
------------------------------ ------------------------------
1997 1996 1997 1996
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------
Commissions $ 892,074 $ 812,461 $ 300,468 $ 280,740
Letter of credit fees -- 8,138 -- --
General and administrative 76,921 106,853 28,669 57,029
------------- ------------- ------------- -------------
$ 968,995 $ 927,452 $ 329,137 $ 337,769
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
</TABLE>
Expenses payable to the General Partner and its affiliates (which are
included in accrued expenses) were $48,077 and $62,525 as of September 30, 1997
and December 31, 1996, respectively.
The Partnership maintains its trading and cash accounts at Prudential
Securities Incorporated ('PSI'), the Partnership's commodity broker and an
affiliate of the General Partner. Approximately seventy-five percent (75%) of
the Partnership's net assets are invested in interest-earning U.S. Treasury
obligations (primarily U.S. Treasury bills), a significant portion of which is
utilized for margin purposes for the Partnership's commodity trading activities.
As described in the Annual Report, all commissions for brokerage services are
paid to PSI.
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.
C. Credit and Market Risk
The quantitative disclosures presented below through March 31, 1996 are for
combined Class A and Class B Units. Allocation of these amounts to each class of
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.
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.
7
<PAGE>
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
September 30, 1997 and December 31, 1996, such segregated assets totalled
$7,005,324 and $7,464,278, 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 $8,873,102 and $7,837,283 at September 30, 1997
and December 31, 1996, respectively. There are no segregation requirements for
assets related to forward trading.
As of September 30, 1997 and December 31, 1996, all open futures, forward and
options contracts mature within nine months and one year, respectively.
At September 30, 1997 and December 31, 1996, gross contract amounts of open
futures, forward and options contracts were:
<TABLE>
<CAPTION>
September 30, December 31,
1997 1996
<S> <C> <C>
------------- ------------
Financial Futures and Options Contracts:
Commitments to purchase $ 276,068,938 $59,731,780
Commitments to sell $ 55,473,198 $10,663,117
Currency Futures and Options Contracts:
Commitments to purchase $ 589,630 $ 4,367,551
Commitments to sell $ 713,418 $ 5,391,289
Other Futures and Options Contracts:
Commitments to purchase $ 5,485,500 $ 2,695,541
Commitments to sell $ 3,739,781 $ 3,903,333
Currency Forward Contracts:
Commitments to purchase $ 4,118,458 $19,229,072
Commitments to sell $ 7,642,961 $19,694,712
Other Forward Contracts:
Commitments to purchase $ 321,999 $ --
</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 involved, while the market risk associated with its
commitments to sell is unlimited since the Partnership's potential involvement
is to make delivery of an underlying commodity at the contract price; therefore,
it must repurchase the contract at prevailing market prices.
8
<PAGE>
At September 30, 1997 and December 31, 1996, respectively, the fair values of
futures, forward and options contracts were:
<TABLE>
<CAPTION>
September 30, 1997 December 31, 1996
-------------------------- ------------------------
Fair Value Fair Value
-------------------------- ------------------------
Assets Liabilities Assets Liabilities
---------- ----------- -------- -----------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ 248,895 $ -- $ 2,587 $ 21,181
Currencies 8,808 2,170 138,623 2,143
Other 166,666 -- 88,437 22,665
Foreign exchanges
Financial 778,097 30,107 110,601 28,084
Other 51,645 115,891 82,373 25,804
Forward Contracts:
Currencies 224,522 85,196 308,705 73,143
Other 11,009 -- -- --
Options Contracts:
Domestic exchanges
Financial -- -- 12,500 3,093
Currencies -- -- 12,922 --
Other -- -- 3,280 --
Foreign exchanges
Financial -- -- 11,092 --
---------- ----------- -------- -----------
$1,489,642 $ 233,364 $771,120 $ 176,113
---------- ----------- -------- -----------
---------- ----------- -------- -----------
</TABLE>
9
<PAGE>
The following tables present the average fair value of futures, forward and
options contracts during the nine and three months ended September 30, 1997 and
1996, respectively.
<TABLE>
<CAPTION>
For the nine months ended
---------------------------------------------------------
September 30, 1997 September 30, 1996
-------------------------- --------------------------
Average Fair Value Average Fair Value
-------------------------- --------------------------
Assets Liabilities Assets Liabilities
---------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ 182,040 $ 7,537 $ 67,099 $ 22,035
Currencies 121,392 8,156 136,821 28,338
Other 149,447 30,298 379,008 90,635
Foreign exchanges
Financial 272,641 37,100 252,556 27,273
Other 184,816 81,083 42,824 62,919
Forward Contracts:
Currencies 590,295 321,276 215,313 180,526
Other 1,101 -- 553 1,101
Options Contracts:
Domestic exchanges
Financial 3,393 309 5,503 --
Currencies 1,786 -- 16,235 436
Other 3,111 -- 17,106 1,085
Foreign exchanges
Financial 1,199 -- 6,264 --
Other 7,930 -- -- --
---------- ----------- ---------- -----------
$1,519,151 $ 485,759 $1,139,282 $ 414,348
---------- ----------- ---------- -----------
---------- ----------- ---------- -----------
<CAPTION>
For the three months ended
---------------------------------------------------------
September 30, 1997 September 30, 1996
-------------------------- --------------------------
Average Fair Value Average Fair Value
-------------------------- --------------------------
Assets Liabilities Assets Liabilities
---------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ 340,147 $ 5,672 $ 24,091 $ 11,057
Currencies 114,461 5,405 80,238 41,794
Other 72,164 17,909 226,596 67,713
Foreign exchanges
Financial 500,005 20,563 425,357 30,155
Other 136,408 135,827 65,385 45,589
Forward Contracts:
Currencies 575,888 459,423 226,713 319,314
Other 2,752 -- -- --
Options Contracts:
Domestic exchanges
Financial 5,356 -- 8,633 --
Currencies 700 -- 35,388 1,090
Other -- -- 31,918 --
Foreign exchanges
Financial -- -- 15,660 --
Other 19,612 -- -- --
---------- ----------- ---------- -----------
$1,767,493 $ 644,799 $1,139,979 $ 516,712
---------- ----------- ---------- -----------
---------- ----------- ---------- -----------
</TABLE>
10
<PAGE>
The following tables present the net realized gains (losses) and the change
in net unrealized gains/losses of futures, forward and options contracts
during the nine and three months ended September 30, 1997 and 1996,
respectively.
<TABLE>
<CAPTION>
For the nine months ended September 30, 1997 For the nine months ended September 30, 1996
------------------------------------------------ ------------------------------------------------
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 $ (64,801) $ 267,489 $ 202,688 $ 44,132 $ (9,297) $ 34,835
Currencies 616,082 (129,842) 486,240 214,906 227,026 441,932
Other 275,256 100,894 376,150 963,552 (640,876) 322,676
Foreign exchanges
Financial (116,085) 665,473 549,388 97,178 662,887 760,065
Other 341,630 (120,815) 220,815 95,551 51,521 147,072
Forward Contracts:
Currencies 1,730,564 (96,236) 1,634,328 (288,933) 210,570 (78,363)
Other -- 11,009 11,009 1,200 -- 1,200
Options Contracts:
Domestic exchanges
Financial 45,787 (10,424) 35,363 (63,266) -- (63,266)
Currencies (50,668) 5,967 (44,701) (68,145) (2,700) (70,845)
Other (34,997) 27,240 (7,757) (26,057) (43,435) (69,492)
Foreign exchanges
Financial (36,877) 11,798 (25,079) (51,595) 12,876 (38,719)
Other (21,606) (3,750) (25,356) (7,425) -- (7,425)
-------------- -------------- ---------- -------------- -------------- ----------
$2,684,285 $ 728,803 $3,413,088 $ 911,098 $ 468,572 $1,379,670
-------------- -------------- ---------- -------------- -------------- ----------
-------------- -------------- ---------- -------------- -------------- ----------
<CAPTION>
For the three months ended September 30, 1997 For the three months ended September 30, 1996
------------------------------------------------ ------------------------------------------------
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 $ 129,138 $ 97,819 $ 226,957 $ (167,579) $ 30,325 $ (137,254)
Currencies 352,025 1,800 353,825 (230,545) 260,951 30,406
Other (149,406) 134,639 (14,767) (18,544) (362,041) (380,585)
Foreign exchanges
Financial 391,312 666,413 1,057,725 280,244 778,346 1,058,590
Other 90,786 (168,678) (77,892) 128,384 (93) 128,291
Forward Contracts:
Currencies 266,041 321,439 587,480 (535,772) 183,288 (352,484)
Other -- 11,009 11,009 (180) -- (180)
Options Contracts:
Domestic exchanges
Financial (23,619) -- (23,619) (40,813) -- (40,813)
Currencies (16,688) (225) (16,913) (58,057) (2,700) (60,757)
Other (4,020) -- (4,020) 696 (42,109) (41,413)
Foreign exchanges
Financial -- -- -- (51,595) 12,876 (38,719)
Other (14,336) (2,983) (17,319) -- -- --
-------------- -------------- ---------- -------------- -------------- ----------
$1,021,233 $ 1,061,233 $2,082,466 $ (693,761) $ 858,843 $ 165,082
-------------- -------------- ---------- -------------- -------------- ----------
-------------- -------------- ---------- -------------- -------------- ----------
</TABLE>
11
<PAGE>
PRUDENTIAL-BACHE OPTIMAX FUTURES FUND, L.P.
(a limited partnership)
ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL
CONDITION AND RESULTS OF OPERATIONS
Liquidity and Capital Resources
The Partnership commenced operations on February 15, 1991 with gross proceeds
of $70,309,500. After accounting for organizational and offering expenses, the
Partnership's net proceeds were $62,452,578 for Class A Units and $6,156,925 for
Class B Units. At the inception of the Partnership, sixty percent of the initial
net proceeds of the Class A Units and one hundred percent of the initial net
proceeds of the Class B Units were allocated to trading activity ('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 Partnership's letter of credit expired. Additionally,
the Reserve Assets matured on April 1, 1996 and the resulting proceeds were
allocated for commodities trading. As such, 100% of the Partnership's net assets
are currently 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, 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.
As of September 30, 1997, a significant portion of the Partnership's net
assets was held in U.S. Treasury bills (which represented approximately 75% of
the net assets prior to redemptions payable) and cash, which are used as margin
for the Partnership's trading in commodities. Inasmuch as the sole business of
the Partnership is to trade in commodities, the Partnership continues to own
such liquid assets to be used as margin. The percentage that U.S. Treasury bills
bears to the net assets varies each day, and from month to month, as the market
value of commodity interests change. The balance of the total net assets is held
in cash. All interest earned on the Partnership's interest-bearing funds is paid
to the Partnership.
The commodities contracts are subject to periods of illiquidity because of
market conditions, regulatory considerations and other reasons. For example,
commodity exchanges limit fluctuations in commodity futures contract prices
during a single day by regulations referred to as 'daily limits.' During a
single day, no trades may be executed at prices beyond the daily limit. Once the
price of a futures contract for a particular commodity has increased or
decreased by an amount equal to the daily limit, positions in the commodity can
neither be taken nor liquidated unless traders are willing to effect trades at
or within the limit. Commodity futures prices have occasionally moved the daily
limit for several consecutive days with little or no trading. Such market
conditions could prevent the Partnership from promptly liquidating its commodity
futures positions.
Since the Partnership's business is to trade futures, forward and options
contracts, its capital is at risk due to changes in the value of these contracts
(market risk) or the inability of counterparties to perform under the terms of
the contracts (credit risk). The General Partner attempts to minimize these
risks by requiring the Partnership's trading managers to abide by various
trading limitations and policies. See Note C to the financial statements for a
further discussion on the credit and market risks associated with the
Partnership's futures, forward and options contracts.
The Partnership does not have, nor does it expect to have, any capital
assets.
Redemptions by limited partners and the General Partner recorded for the nine
months ended September 30, 1997 were $922,779 and $9,276, respectively, and from
commencement of operations, February 15, 1991, through September 30, 1997
totalled $71,688,882 and $777,574, respectively. Future redemptions will impact
the amount of funds available for investment in commodity contracts in
subsequent periods.
In accordance with the Agreement of Limited Partnership, if the Partnership's
net asset value declines below $10 million, the Partnership will dissolve.
12
<PAGE>
Results of Operations
The net asset value per OptiMax Unit as of September 30, 1997 was $162.75, an
increase of 14.20% from the December 31, 1996 value of $142.51.
During July, the Partnership recognized gains in the financial, currency,
metal and index sectors. Positions in the grain, soft and energy sectors were
unprofitable. Following the Federal Reserve Chairman's generally upbeat
congressional testimony on the state of the U.S. economy, investor sentiment
soared, sending U.S. bond prices higher and the yield on the benchmark 30-year
U.S. Treasury bond down to levels not seen in 18 months. Positions in U.S.
Treasury, German, French, Australian and Eurodollar bonds resulted in strong
gains as did positions in Japanese Government bonds. As the Australian central
bank sold approximately 60% of their gold reserves, prices tumbled profiting the
Partnership's gold and silver positions. In the metal sector, aluminum positions
were also profitable. In the currency sector, strong gains were experienced in
the Deutsche mark, Australian dollar, and Singapore dollar as the U.S. dollar
soared in response to investors exchanging foreign currencies for U.S. dollars.
Positions in the Japanese yen and British pound were unprofitable. In the index
sector, gains were seen from positions in the French CAC 40 and S&P 500 as both
markets increased in value. Losses were experienced in the grain sector as
unseasonably hot weather in the midwest raised concerns that grain crops would
be damaged during critical developmental stages. In the soft sector, shifting
inventory expectations and fickle weather patterns altered investor sentiment
making positions in cotton, cocoa and coffee unprofitable.
During August, the Partnership incurred losses in the metal, currency,
financial, energy, index, soft and grain sectors. Subsequent to the U.S. equity
markets falling, a chain reaction occurred as worldwide fixed income instrument
prices tumbled followed by the declining value of the U.S. dollar driving losses
in both the financial and currency sectors. In the financial sector, fears of
inflation and higher interest rates caused a sharp sell-off in bonds which was
felt across the U.S. and Europe. As a result, the Partnership incurred losses in
Eurodollars and U.S., German, and French bonds. In the currency sector, the
dollar tumbled against the German mark and other major currencies after the
Bundesbank warned that it would monitor exchange rates if the German economy
continued to show signs of inflation. Losses were experienced in the British
pound, German mark, Australian dollar, French franc and Italian lira. In the
soft sector, coffee prices rose on fears that Central American and Colombian
harvests would not replenish low supplies to support strong consumer demands,
thus providing losses for the Partnership's short positions. In the energy
sector, the Partnership incurred losses in heating oil and light crude oil
positions after reports of a shutdown at a major oil refinery in Texas
overshadowed data showing an unexpected increase in U.S. inventories of crude
oil.
During September, the Partnership realized gains in the financial, currency,
metal, energy, grain and soft sectors. Losses were seen in the index sector. The
main factor for the financial sector was the drop in U.S. long-term interest
rates from 6.75% to 6.40%. This fall in U.S. interest rates impacted Japanese
and European bond prices as they both trended higher, contributing to the
positive performance of the Partnership. In addition, country specific factors
affected the upward movement in global bond prices. In Europe, the anticipation
that Italy and Spain will be included in the first round of the European
Monetary Union persisted. Thus, long-term interest rates in those countries
continued to fall as their yields must eventually converge with German bond
yields, the benchmark for the bond market in Europe. In the currency sector, the
Partnership experienced significant gains across several currencies. These
included the Malaysian ringgit, the Canadian dollar and the French franc. In the
metal sector, long metal positions profited as precious metals prices, including
gold and silver, rose on indications of strengthening demand. Non-precious
metals, specifically copper, also experienced gains. The index sector was the
only sector with negative net returns. Specifically, losses were seen in S&P 500
and Hang Seng index positions.
Prior to April 1, 1996, trading gains and losses and expenses (other than
those expenses that were particular to Class A Units) were allocated between the
Class A Units and Class B Units based on the pro rata portion of the
Partnership's Traded Assets to each Class. See Note A to the financial
statements for further details.
As discussed in Liquidity and Capital Resources above, the letter of credit
expired on March 31, 1996. As a result, there were no letter of credit fees
charged during the nine months ended September 30, 1997. With the expiration of
the letter of credit, Reserve Assets were allocated to commodities trading thus
increasing the Partnership's investment in U.S. Treasury bills. This increase in
U.S. Treasury bills, coupled with additional increases in U.S. Treasury bills as
a result of the strong trading performance of the Partnership since
13
<PAGE>
September 1996, partially offset by 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 $35,000 and $4,000, respectively, for the nine and three
months ended September 30, 1997 as compared to 1996. However, interest income
from Reserve Assets, which totalled $148,000 for the three months ended March
31, 1996, was eliminated following the allocation of Reserve Assets to
commodities trading.
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. In
addition to this increase in Traded Assets, the strong trading performance of
the Partnership since September 1996 offset, in part, by redemptions, caused
additional increases in Traded Assets in 1997 resulting in an increase in
commissions of $80,000 and $20,000, respectively, for the nine and three months
ended September 30, 1997 as compared to 1996.
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 decreased $13,000 and $2,000, respectively, for
the nine and three months ended September 30, 1997 as compared to 1996 due to
decreased trading volume.
Through April 1997, all trading decisions for the Partnership were made by
Willowbridge Associates Inc., Chesapeake Capital Corporation ('Chesapeake'),
Robert M. Tamiso and Hyman Beck & Company Inc. (collectively the 'Trading
Managers'). During May 1997, Eagle Trading Systems, Inc. ('Eagle') replaced
Chesapeake as a Trading Manager for the Partnership. All assets previously
managed by Chesapeake were allocated to Eagle pursuant to its Eagle-Global
System trading program. Management fees are calculated on the portion of the
Traded Assets allocated to each Trading Manager at the end of the month, and,
therefore, are affected by trading performance and redemptions and the
additional allocation of assets to commodities trading as discussed above. As
discussed in commissions above, the monthly Traded Assets increased in 1997
versus 1996 resulting from the net effect of a strong trading performance, the
additional allocation of assets to commodity trading, and redemptions.
Offsetting the effect of these 1997 increases in Traded Assets on management
fees was a decrease in the rate of the monthly management fee paid to Eagle.
Beginning in April 1997, Eagle is paid a management fee at a 2% annual rate on
its Traded Assets compared to 2.5% paid to Chesapeake. As a result of the above,
management fees increased $5,000 for the nine months ended September 30, 1997
compared to 1996. Management fees for the three months ended September 30, 1997
were relatively flat as compared to 1996.
Incentive fees are based on the New High Net Trading Profits generated by
each Trading Manager, as defined in the Advisory Agreements between the
Partnership, the General Partner and each Trading Manager. Incentive fees earned
in the nine and three months ended September 30, 1997 increased $436,000 and
$215,000, respectively, as a result of the strong trading performance of the
Partnership in 1997 as compared to 1996.
General and administrative expenses decreased $29,000 and $25,000,
respectively, for the nine and three months ended September 30, 1997 as compared
to 1996 mainly due to the costs associated with the expiration of the letter of
credit and the merger of the A and B units in 1996 as discussed above.
14
<PAGE>
PART II. OTHER INFORMATION
Item 1. Legal Proceedings--There are no material legal proceedings pending by or
against the Registrant or the General Partner.
Item 2. Changes in Securities--None
Item 3. Defaults Upon Senior Securities--None
Item 4. Submission of Matters to a Vote of Security Holders--None
Item 5. Other Information--None
Item 6. Exhibits and Reports on Form 8-K
(a) Exhibits
Description:
3.1 Agreement of Limited Partnership of the Partnership, dated as
of July 12, 1990 as amended as of October 3, 1990 (incorporated
and by reference to Exhibit A to the Registrant's
4.1 Registration Statement on Form S-1, File No. 33-36216)
4.2 Subscription Agreement (incorporated by reference to Exhibit E
to the Registrant's Registration Statement on Form S-1,
File No. 33-36216)
4.3 Request for Redemption (incorporated by reference to Exhibit B
to the Registrant's Registration Statement on Form S-1,
File No. 33-36216)
4.4 Request for Exchange (incorporated by reference to Exhibit B
to the Registrant's Registration Statement on Form S-1,
File No. 33-36216)
27 Financial Data Schedule (filed herewith)
(b) Reports on Form 8-K--None
15
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
Registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.
PRUDENTIAL-BACHE OPTIMAX FUTURES FUND, L.P.
By: Seaport Futures Management, Inc.
A Delaware corporation, General Partner
By: /s/ Steven Carlino Date: November 14, 1997
----------------------------------------
Steven Carlino
Vice President
Chief Accounting Officer for the
Registrant
16
<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-31-1997
<PERIOD-START> Jan-1-1997
<PERIOD-END> Sep-30-1997
<PERIOD-TYPE> 9-Mos
<CASH> 3,106,131
<SECURITIES> 12,922,631
<RECEIVABLES> 0
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 16,028,762
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 16,028,762
<CURRENT-LIABILITIES> 679,968
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 15,348,794
<TOTAL-LIABILITY-AND-EQUITY> 16,028,762
<SALES> 0
<TOTAL-REVENUES> 3,850,421
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 1,868,573
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 0
<INCOME-TAX> 0
<INCOME-CONTINUING> 0
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> 1,981,848
<EPS-PRIMARY> 20.17
<EPS-DILUTED> 0
</TABLE>
