<PAGE>
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
(Mark One)
/X/ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
ACT OF 1934
For the quarterly period ended June 30, 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>
June 30, December 31,
1997 1996
<S> <C> <C>
- ----------------------------------------------------------------------------------------------------
ASSETS
Equity in commodity trading accounts:
Cash $ 3,394,506 $ 3,794,460
U.S. Treasury bills, at amortized cost 11,025,999 11,147,656
Net unrealized gain on open commodity positions 191,837 558,306
Options, at market, net 16,460 36,701
----------- ------------
Total assets $14,628,802 $15,537,123
----------- ------------
----------- ------------
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable $ 362,509 $ 965,306
Accrued expenses 126,255 141,854
Management fees payable 26,328 30,821
Other transaction fees payable 3,293 2,511
Incentive fees payable -- 97,630
----------- ------------
Total liabilities 518,385 1,238,122
----------- ------------
Commitments
Partners' capital
Limited partners (95,056.412 and 99,334.759 OptiMax Units
outstanding) 13,969,192 14,155,921
General partner (961 and 1,004 OptiMax Units outstanding) 141,225 143,080
----------- ------------
Total partners' capital 14,110,417 14,299,001
----------- ------------
Total liabilities and partners' capital $14,628,802 $15,537,123
----------- ------------
----------- ------------
Net asset value per limited and general partnership units (the
'OptiMax Units') $ 146.96 $ 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 OptiMax Units
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
Six months Six months Three months Three months
ended ended ended ended
June 30, 1997 June 30, 1996 June 30, 1997 June 30, 1996
- ----------------------------------------------------------------------------------------------------------
REVENUES
Net realized gain on commodity
transactions $ 1,663,052 $ 1,604,859 $ 33,807 $ 1,143,625
Change in net unrealized gain on open
commodity positions (332,430) (390,271) (741,563) (14,455)
Change in net unrealized gain on
reserve asset -- (44,012) -- --
Interest from U.S. Treasury bills 291,448 261,247 148,011 148,852
Interest from reserve asset -- 147,823 -- --
Realized gain on reserve asset -- 2,149 -- --
------------- ------------- ------------- -------------
1,622,070 1,581,795 (559,745) 1,278,022
------------- ------------- ------------- -------------
EXPENSES
Commissions 591,606 531,721 286,296 309,312
Other transaction fees 28,193 39,247 16,153 18,471
Management fees 171,412 167,713 77,807 94,384
Incentive fees 268,361 47,357 -- 47,357
General and administrative 97,471 101,769 44,942 53,904
Letter of credit fees -- 36,621 -- --
Amortization of organizational costs -- 3,204 -- --
------------- ------------- ------------- -------------
1,157,043 927,632 425,198 523,428
------------- ------------- ------------- -------------
Net income (loss) $ 465,027 $ 654,163 $ (984,943) $ 754,594
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
ALLOCATION OF NET INCOME (LOSS)
Limited partners $ 460,373 $ 650,597 $ (975,088) $ 747,036
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
General partner $ 4,654 $ 3,566 $ (9,855) $ 7,558
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
NET INCOME (LOSS) PER WEIGHTED AVERAGE
LIMITED AND GENERAL PARTNERSHIP UNIT
Net income (loss) per weighted average
limited and general partnership unit $ 4.68 $ (10.00) $ 6.49
------------- ------------- -------------
------------- ------------- -------------
Weighted average number of limited and
general partnership units outstanding 99,411.446 98,484.132 116,338.993
------------- ------------- -------------
------------- ------------- -------------
- ----------------------------------------------------------------------------------------------------------
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
------------- ------------ ----------- -------------
Three months Three months Six months
ended ended ended
June 30, 1996 March 31, 1996 June 30, 1996
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
REVENUES
Net realized gain on commodity transactions $ 1,143,625 $ 378,211 $ 83,023 $ 1,604,859
Change in net unrealized gain on open
commodity positions (14,455) (308,169) (67,647) (390,271)
Change in net unrealized gain on reserve
asset -- (44,012) -- (44,012)
Interest from U.S. Treasury bills 148,852 91,965 20,430 261,247
Interest from reserve asset -- 147,823 -- 147,823
Realized gain on reserve asset -- 2,149 -- 2,149
------------- ------------ ----------- -------------
1,278,022 267,967 35,806 1,581,795
------------- ------------ ----------- -------------
EXPENSES
Commissions 309,312 182,042 40,367 531,721
Other transaction fees 18,471 17,037 3,739 39,247
Management fees 94,384 60,015 13,314 167,713
Incentive fees 47,357 -- -- 47,357
General and administrative 53,904 37,542 10,323 101,769
Letter of credit fees -- 36,621 -- 36,621
Amortization of organizational costs -- 2,858 346 3,204
------------- ------------ ----------- -------------
523,428 336,115 68,089 927,632
------------- ------------ ----------- -------------
Net income (loss) $ 754,594 $ (68,148) $ (32,283) $ 654,163
------------- ------------ ----------- -------------
------------- ------------ ----------- -------------
ALLOCATION OF NET INCOME (LOSS)
Limited partners $ 747,036 $ (65,441) $ (30,998) $ 650,597
------------- ------------ ----------- -------------
------------- ------------ ----------- -------------
General partner $ 7,558 $ (2,707) $ (1,285) $ 3,566
------------- ------------ ----------- -------------
------------- ------------ ----------- -------------
NET INCOME (LOSS) PER WEIGHTED AVERAGE
LIMITED AND GENERAL PARTNERSHIP UNIT
Net income (loss) per weighted average
limited and general partnership unit $ 6.49 $ (.52) $ (2.07)
------------- ------------ -----------
------------- ------------ -----------
Weighted average number of limited and
general partnership units outstanding 116,338.993 130,224.001 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 -- 460,373 4,654 465,027
Redemptions (4,321.347) (647,102) (6,509) (653,611)
----------- ----------- -------- -----------
Partners' capital--June 30, 1997 96,017.412 $13,969,192 $141,225 $14,110,417
----------- ----------- -------- -----------
----------- ----------- -------- -----------
- ----------------------------------------------------------------------------------------------------
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 June 30, 1997 and the results of its operations for the six and three months
ended June 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 fees
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.
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.
6
<PAGE>
The costs incurred for these services were:
<TABLE>
<CAPTION>
OPTIMAX UNITS OPTIMAX UNITS
------------- -------------
Three months Six months
ended ended
June 30, 1997 June 30, 1997
- ---------------------------------------------------------------------------------------------------
<S> <C> <C>
Commissions $ 286,296 $ 591,606
General and administrative 19,355 48,252
------------- -------------
$ 305,651 $ 639,858
------------- -------------
------------- -------------
</TABLE>
<TABLE>
<CAPTION>
OPTIMAX UNITS CLASS A UNITS CLASS B UNITS TOTAL UNITS
------------- ------------- ------------- -------------
Three months Three months Six months
ended ended ended
June 30, March 31, June 30,
1996 1996 1996
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Commissions $ 309,312 $ 182,042 $ 40,367 $ 531,721
Letter of credit fees -- 8,138 -- 8,138
General and administrative 24,912 19,281 5,631 49,824
------------- ------------- ------------- -------------
$ 334,224 $ 209,461 $ 45,998 $ 589,683
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
</TABLE>
Expenses payable to the General Partner and its affiliates (which are
included in accrued expenses) were $65,031 and $62,525 as of June 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.
7
<PAGE>
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
June 30, 1997 and December 31, 1996, such segregated assets totalled $6,920,248
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 $7,890,667 and $7,837,283 at June 30, 1997 and December
31, 1996, respectively. There are no segregation requirements for assets related
to forward trading.
As of June 30, 1997 and December 31, 1996, all open futures, forward and
options contracts mature within one year.
At June 30, 1997 and December 31, 1996, gross contract amounts of open
futures, forward and options contracts were:
<TABLE>
<CAPTION>
June 30, December 31,
1997 1996
------------- ------------
<S> <C> <C>
Financial Futures and Options Contracts:
Commitments to purchase $ 272,239,747 $59,731,780
Commitments to sell $ 56,146,644 $10,663,117
Currency Futures and Options Contracts:
Commitments to purchase $ 2,575 $ 4,367,551
Commitments to sell $ 4,040,338 $ 5,391,289
Currency Forward Contracts:
Commitments to purchase $ 19,561,982 $19,229,072
Commitments to sell $ 19,146,580 $19,694,712
Other Futures and Options Contracts:
Commitments to purchase $ 5,524,284 $ 2,695,541
Commitments to sell $ 3,005,243 $ 3,903,333
</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 June 30, 1997 and December 31, 1996, respectively, the fair values of
futures, forward and options contracts were:
<TABLE>
<CAPTION>
June 30, 1997 December 31, 1996
-------------------------- ------------------------
Fair Value Fair Value
-------------------------- ------------------------
Assets Liabilities Assets Liabilities
---------- ----------- -------- -----------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ 173,763 $ 22,687 $ 2,587 $ 21,181
Currencies 4,838 -- 138,623 2,143
Other 71,118 39,091 88,437 22,665
Foreign exchanges
Financial 105,987 24,410 110,601 28,084
Other 218,602 114,170 82,373 25,804
Forward Contracts:
Currencies 173,123 355,236 308,705 73,143
Options Contracts:
Domestic exchanges
Financial -- -- 12,500 3,093
Currencies 2,800 -- 12,922 --
Other -- -- 3,280 --
Foreign exchanges
Financial -- -- 11,092 --
Other 13,660 -- -- --
---------- ----------- -------- -----------
$ 763,891 $ 555,594 $771,120 $ 176,113
---------- ----------- -------- -----------
---------- ----------- -------- -----------
</TABLE>
9
<PAGE>
The following tables present the average fair value of futures, forward and
options contracts during the six and three months ended June 30, 1997 and 1996,
respectively.
<TABLE>
<CAPTION>
For the six months ended
---------------------------------------------------------
June 30, 1997 June 30, 1996
-------------------------- --------------------------
Average Fair Value Average Fair Value
-------------------------- --------------------------
Assets Liabilities Assets Liabilities
---------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ 90,512 $ 10,768 $ 86,554 $ 29,089
Currencies 108,702 8,563 155,346 25,716
Other 182,418 38,634 474,629 94,680
Foreign exchanges
Financial 118,911 44,737 130,903 25,216
Other 217,304 54,528 37,184 73,806
Forward Contracts:
Currencies 538,931 247,186 204,072 97,564
Other -- -- 789 1,573
Options Contracts:
Domestic exchanges
Financial 1,786 442 2,929 --
Currencies 2,551 -- 2,971 --
Other 4,444 -- 6,198 1,550
Foreign exchanges
Financial 1,713 -- -- --
Other 2,073 -- -- --
---------- ----------- ---------- -----------
$1,269,345 $ 404,858 $1,101,575 $ 349,194
---------- ----------- ---------- -----------
---------- ----------- ---------- -----------
<CAPTION>
For the three months ended
---------------------------------------------------------
June 30, 1997 June 30, 1996
-------------------------- --------------------------
Average Fair Value Average Fair Value
-------------------------- --------------------------
Assets Liabilities Assets Liabilities
---------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ 135,477 $ 7,383 $ 65,597 $ 10,761
Currencies 11,706 8,130 203,696 35,159
Other 169,070 32,991 476,920 107,695
Foreign exchanges
Financial 73,126 41,026 99,662 31,488
Other 243,391 77,789 45,005 101,701
Forward Contracts:
Currencies 259,076 355,949 357,127 170,737
Other -- -- 1,381 2,753
Options Contracts:
Domestic exchanges
Currencies 700 -- 5,200 --
Other 5,413 -- 3,413 2,713
Foreign exchanges
Other 3,420 -- -- --
---------- ----------- ---------- -----------
$ 901,379 $ 523,268 $1,258,001 $ 463,007
---------- ----------- ---------- -----------
---------- ----------- ---------- -----------
</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 six and three months ended June 30, 1997 and 1996, respectively.
<TABLE>
<CAPTION>
For the six months ended June 30, 1997 For the six months ended June 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 $ (193,939) $ 169,670 $ (24,269) $ 211,711 $ (39,622) $ 172,089
Currencies 264,057 (131,642) 132,415 445,451 (33,925) 411,526
Other 424,662 (33,745) 390,917 982,096 (278,835) 703,261
Foreign exchanges
Financial (507,397) (940) (508,337) (183,066) (115,459) (298,525)
Other 250,844 47,863 298,707 (32,833) 51,614 18,781
Forward Contracts:
Currencies 1,464,523 (417,675) 1,046,848 246,839 27,282 274,121
Other -- -- -- 1,380 -- 1,380
Options Contracts:
Domestic exchanges
Financial 69,406 (10,424) 58,982 (22,453) -- (22,453)
Currencies (33,980) 6,192 (27,788) (10,088) -- (10,088)
Other (30,977) 27,240 (3,737) (26,753) (1,326) (28,079)
Foreign exchanges
Financial (36,877) 11,798 (25,079) -- -- --
Other (7,270) (767) (8,037) (7,425) -- (7,425)
-------------- -------------- ---------- -------------- -------------- -----------
$1,663,052 $ (332,430) $1,330,622 $1,604,859 $ (390,271) $ 1,214,588
-------------- -------------- ---------- -------------- -------------- -----------
-------------- -------------- ---------- -------------- -------------- -----------
<CAPTION>
For the three months ended June 30, 1997 For the three months ended June 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 $ 38,250 $ (109,493) $ (71,243) $ 47,599 $ (49,568) $ (1,969)
Currencies 155,404 6,985 162,389 472,702 (126,446) 346,256
Other 111,332 (303,614) (192,282) 554,171 60,568 614,739
Foreign exchanges
Financial (636,195) 2,217 (633,978) (104,479) 23,260 (81,219)
Other 189,526 (210,104) (20,578) (43,865) 44,962 1,097
Forward Contracts:
Currencies 204,696 (131,502) 73,194 248,242 27,282 275,524
Other -- -- -- (6,969) 5,487 (1,482)
Options Contracts:
Domestic exchanges
Currencies (3,200) 225 (2,975) (10,088) -- (10,088)
Other (19,832) 1,873 (17,959) (13,688) -- (13,688)
Foreign exchanges
Other (6,174) 1,850 (4,324) -- -- --
-------------- -------------- ---------- -------------- -------------- -----------
$ 33,807 $ (741,563) $ (707,756) $1,143,625 $ (14,455) $ 1,129,170
-------------- -------------- ---------- -------------- -------------- -----------
-------------- -------------- ---------- -------------- -------------- -----------
</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 June 30, 1997, a significant portion of the Partnership's net assets
was held in U.S. Treasury bills (which represented approximately 76% of the net
assets prior to redemptions payable) and cash, which are used as margin for the
Partnership's trading in commodities. Inasmuch as the sole business of the
Partnership is to trade in commodities, the Partnership continues to own such
liquid assets to be used as margin. The percentage that U.S. Treasury bills
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 six
months ended June 30, 1997 were $647,102 and $6,509, respectively, and from
commencement of operations, February 15, 1991, through June 30, 1997 totalled
$71,413,205 and $774,807, 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.
Results of Operations
The net asset value per OptiMax Unit as of June 30, 1997 was $146.96, an
increase of 3.12% from the December 31, 1996 value of $142.51.
12
<PAGE>
April's decline in net asset value resulted from losses in the financial,
stock index, metal, soft, meat and energy sectors. Profits were earned in the
currency and grain sectors. In the financial sector, losses were incurred in
U.S., German, Italian, French, Japanese, Australian and Canadian bond positions.
In the U.S. financial markets, long-term interest rates, which had risen above
the 7% level at the end of March, dropped sharply during April. Lower long-term
interest rates resulted from renewed expectations that the U.S. would be able to
enjoy good economic growth combined with well-controlled inflation. This more
encouraging attitude toward bond yields was accentuated by the signing of a
balanced budget accord between the Clinton Administration and key Republican
lawmakers. In the international interest rate markets, changing expectations
about the rates of economic growth and the timing and the degree of certainty of
the formation of the European Union caused prices to move abruptly. In the metal
sector, positions in copper, silver, aluminum, nickel and zinc posted losses as
these metals came under pressure following earlier rising price trends. Copper's
volatility largely resulted from uncertainties about supplies and also the
extent of copper buying, particularly in the international markets. In the
currency sector, profits were earned in Canadian dollar, Japanese yen, Swiss
franc and French franc positions. The U.S. dollar traded sideways. Although it
seemed the market is still in favor of a higher U.S. dollar, the fear of
intervention from the central banks and the possibility of excessive dollar
appreciation kept the dollar within a narrow range.
May's relatively flat performance resulted from gains in the currency, metal
and soft sectors which were offset by losses in the grain, index, energy and
financial sectors. In the metal sector, gains were realized from significant
copper positions. Copper prices rose in May due to signs of higher demand and
indications of declining inventories. In addition, a brief strike at Chile's
state owned copper smelter drove prices upward. Zinc positions also posted
gains. In the currency sector, large gains were experienced in the Japanese yen
as the Partnership benefited from rising prices versus the U.S. dollar. The yen
rose against the dollar on the possibility of central bank intervention in the
currency markets and signs of accelerating Japanese growth. There were also
market expectations of rising Japanese interest rates. In May, prices fell
across the grain sector, providing losses for the Partnership. Wheat and
soybeans were affected the most by the U.S. Agriculture Department's report
projecting an increase in worldwide wheat and soybean production. In the index
sector, positions were also unprofitable, specifically in the S&P 500 and Hong
Kong HangSeng positions. In the energy sector, losses were experienced in all
contracts. Oil prices reversed during the month as the election of a moderate
candidate in Iran lessened market concerns about Middle East political stability
driving prices lower.
During June, the Partnership's negative performance was the result of losses
incurred in the financial, energy, metal, soft and grain sectors. Positions in
the currency and index sectors were profitable. In the financial sector, the
Partnership experienced losses in a variety of bond positions. While the
strength in the Japanese economy has been larger than the financial markets had
generally anticipated, the recovery has neither been broad enough nor
accompanied by inflationary pressures to cause significantly higher interest
rates. Thus, Japanese bond positions experienced losses. In the energy sector,
the Partnership suffered losses in light crude oil due to OPEC pressure to raise
prices. In the metal sector, the majority of losses were in copper as it
reversed direction mid-month, falling on market concerns that included a
possible seasonal decline in demand in the northern hemisphere. Additionally,
there was news that output at Chile's El Teniente mine would return to normal
and production at Inco's strike-bound Sudbury facility in Canada might resume
production. Aluminum and nickel positions were unprofitable as well. The
Partnership was able to mitigate losses with gains in the currency and index
sectors. In the currency sector, British pound, Australian dollar and Japanese
yen positions were profitable. The index sector was profitable as the French
CAC-40 and Japanese Nikkei rallied on signs of strengthening economies.
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 six months ended June 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, 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 $30,000 for the six months ended June 30, 1997 as
compared to 1996. Interest income from U.S. Treasury bills for the three months
ended June 30, 1997 was relatively flat compared with
13
<PAGE>
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. As a
result, commissions increased $60,000 for the six months ended June 30, 1997
compared to 1996. However, commissions decreased $23,000 for the three months
ended June 30, 1997 as compared to 1996 primarily due to the effect of
redemptions on the monthly net asset values.
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 $11,000 and $2,000, respectively, for
the six and three months ended June 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. (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 a result, management fees increased
$4,000 for the six months ended June 30, 1997 compared to 1996. However,
management fees decreased $17,000 for the three months ended June 30, 1997 as
compared to 1996 primarily due to the effect or redemptions on the monthly net
asset values.
Incentive fees are based on the New High Net Trading Profits generated by
each Trading Manager, as defined in the Advisory Agreement between the
Partnership, the General Partner and each Trading Manager. Incentive fees of
$114,000, $64,000, $58,000 and $32,000 were earned by Robert M. Tamiso,
Willowbridge Associates Inc., Hyman Beck & Company, Inc. and Chesapeake,
respectively, during the six months ended June 30, 1997. No incentive fees were
earned during the three months ended June 30, 1997. Incentive fees of $20,000,
$18,000 and $9,000 were earned by Willowbridge Associates Inc., Robert M. Tamiso
and Chesapeake, respectively, during the six and three months ended June 30,
1996.
General and administrative expenses decreased $4,000 and $9,000,
respectively, for the six and three months ended June 30, 1997 as compared to
1996. These expenses include reimbursements of costs incurred by the General
Partner on behalf of the Partnership, in addition to accounting, audit, tax and
legal fees as well as printing and postage costs related to reports sent to
limited partners.
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>
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
Registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.
PRUDENTIAL-BACHE OPTIMAX FUTURES FUND, L.P.
By: Seaport Futures Management, Inc.
A Delaware corporation, General Partner
By: /s/ Steven Carlino Date: August 14, 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> Jun-30-1997
<PERIOD-TYPE> 6-Mos
<CASH> 3,394,506
<SECURITIES> 11,234,296
<RECEIVABLES> 0
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 14,628,802
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 14,628,802
<CURRENT-LIABILITIES> 518,385
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 14,110,417
<TOTAL-LIABILITY-AND-EQUITY> 14,628,802
<SALES> 0
<TOTAL-REVENUES> 1,622,070
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 1,157,043
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 0
<INCOME-TAX> 0
<INCOME-CONTINUING> 0
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> 465,027
<EPS-PRIMARY> 4.68
<EPS-DILUTED> 0
</TABLE>
