UNITED STATES
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, 1999

/ / 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 0-18417

PRUDENTIAL-BACHE CAPITAL RETURN FUTURES FUND L.P.
- --------------------------------------------------------------------------------
(Exact name of registrant as specified in its charter)

Delaware 13-3516796
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(State or other jurisdiction of (I.R.S. Employer Identification No.)
incorporation or organization)

One New York Plaza, 13th Floor, New York, New York 10292
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(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
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Securities registered pursuant to Section 12(g) of the Act:
Units of Limited Partnership Interest
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(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 January 26, 1989,
included as part of the Registration Statement on Form S-1 (File No. 33-26777)
filed with the Securities and Exchange Commission on January 31, 1989 pursuant
to Rule 424(b) of the Securities Act of 1933, and amended and restated as of
March 15, 1989, is incorporated by reference into Part IV of this Annual Report
on Form 10-K

Registrant's Annual Report to Limited Partners for the year ended December
31, 1999 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 8 and 9.

PRUDENTIAL-BACHE CAPITAL RETURN FUTURES FUND L.P.
(a limited partnership)

TABLE OF CONTENTS

PART I PAGE

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.......................................................... 4
Item 7 Management's Discussion and Analysis of Financial Condition and Results of
Operations..................................................................... 4
Item 7A Quantitative and Qualitative Disclosures About Market Risk....................... 5
Item 8 Financial Statements and Supplementary Data...................................... 5
Item 9 Changes in and Disagreements with Accountants on Accounting and Financial
Disclosure..................................................................... 5

PART III

Item 10 Directors and Executive Officers of the Registrant............................... 5
Item 11 Executive Compensation........................................................... 6
Item 12 Security Ownership of Certain Beneficial Owners and Management................... 7
Item 13 Certain Relationships and Related Transactions................................... 7

PART IV
Item 14 Exhibits, Financial Statement Schedules and Reports on Form 8-K.................. 8
Financial Statements and Financial Statement Schedules........................... 8
Exhibits......................................................................... 8
Reports on Form 8-K.............................................................. 9
SIGNATURES ................................................................................. 10

PART I

Item 1. Business

General

Prudential-Bache Capital Return Futures Fund L.P. (the 'Registrant'), a
Delaware limited partnership, was formed on January 26, 1989 to engage in the
speculative trading of a portfolio consisting primarily of commodity futures,
forward and options contracts. On May 12, 1989, the Registrant completed its
offering having raised $139,151,000 from the sale of 1,377,053 units of limited
partnership interest and 14,457 units of general partnership interest
(collectively, the 'Units') which resulted in net proceeds to the Registrant of
$137,151,000. The Registrant's fiscal year for book and tax purposes ends on
December 31.

The Registrant is engaged solely in the business of commodity futures,
forward and options trading; therefore, presentation of industry segment
information is not applicable.

Termination of the Registrant

The Registrant will terminate on December 31, 2009 unless terminated sooner
under the provisions of the Amended and Restated Agreement of Limited
Partnership (the 'Partnership Agreement'). These provisions, as set forth in
Article XVII of the Partnership Agreement, include the dissolution of the
Registrant if the Registrant's net asset value declines to less than $10 million
as of the end of any business day. As of March 28, 2000, the Registrant's
estimated net asset value was approximately $10,432,000. Additionally, the
general partner has received first quarter 2000 redemption requests from limited
partners which, when recorded on March 31, 2000, at $121.15 per Unit (the
estimated net asset value per unit as of March 28, 2000), would cause the
Registrant's net asset value to fall below $10 million and would require the
General Partner to dissolve the Registrant and begin its orderly liquidation.
However, the net asset value as of March 31, 2000 is subject to the
Registrant's trading results of March 29 through March 31, 2000.

Trading Manager

Since July 1994, all trading decisions for the Registrant have been made by
John W. Henry & Company, Inc. (the 'Trading Manager'), an independent
commodities trading manager. The general partner retains the authority to
override trading instructions that violate the Registrant's trading policies.

General Partner and its Affiliates

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 and its affiliates have 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 Manager recommends similar
or identical trades to the Registrant and other accounts which it manages, 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 as further discussed

in Notes A, C and D to the Registrant's annual report to limited partners for
the year ended December 31, 1999 ('Registrant's 1999 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

Information with respect to the offering of Units is incorporated by
reference to Note A to the Registrant's 1999 Annual Report, which is filed as an
exhibit hereto.

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 the Partnership Agreement limiting the ability of a
partner to transfer Units. The Partnership Agreement does, however, provide 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. Consequently, holders of
Units may not be able to liquidate their investments in the event of an
emergency or for 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.

As of March 21, 2000, there were 1,074 holders of record owning 86,107 Units,
including 862 units of general partnership interest.

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 10 of the Registrant's 1999
Annual Report which is filed as an exhibit hereto.

Year ended December 31,
-------------------------------------------------------------------

1999 1998 1997 1996 1995
----------- ----------- ----------- ----------- -----------
Total revenues (including
interest) $ 321,395 $ 1,704,817 $ 3,513,055 $ 3,624,267 $ 8,187,598
----------- ----------- ----------- ----------- -----------
----------- ----------- ----------- ----------- -----------
Net income (loss) $(1,450,139) $ (258,576) $ 1,278,585 $ 1,330,842 $ 4,963,090
----------- ----------- ----------- ----------- -----------
----------- ----------- ----------- ----------- -----------
Net income (loss) per weighted
average Unit $ (15.31) $ (2.39) $ 10.34 $ 9.23 $ 28.30
----------- ----------- ----------- ----------- -----------
----------- ----------- ----------- ----------- -----------
Total assets $11,641,092 $15,388,184 $17,444,499 $18,703,847 $20,648,992
----------- ----------- ----------- ----------- -----------
----------- ----------- ----------- ----------- -----------
Net asset value per Unit $ 129.99 $ 146.27 $ 147.88 $ 137.02 $ 126.19
----------- ----------- ----------- ----------- -----------
----------- ----------- ----------- ----------- -----------

Item 7. Management's Discussion and Analysis of Financial Condition and Results
of Operations

This information is incorporated by reference to pages 12 through 14 of the
Registrant's 1999 Annual Report which is filed as an exhibit hereto.

Item 7A. Quantitative and Qualitative Disclosures About Market Risk

Information regarding quantitative and qualitative disclosures about market
risk is not required pursuant to Item 305(e) of Regulation S-K.

Item 8. Financial Statements and Supplementary Data

The financial statements are incorporated by reference to pages 2 through 10
of the Registrant's 1999 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

None

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 and Ten Percent Owners 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
- ------------------------- -----------------------------------------
Eleanor L. Thomas President and Director
Joseph A. Filicetti Executive Vice President and Director
Barbara J. Brooks Chief Financial Officer
Steven Carlino Vice President and Treasurer
Alan J. Brody Director
A. Laurence Norton, Jr. Director
Guy S. Scarpaci Director
Tamara B. Wright Senior Vice President and Director

ELEANOR L. THOMAS, age 45, is the President and a Director of Seaport Futures
Management, Inc. and is the Executive Vice President and a Director of
Prudential Securities Futures Management Inc. She is primarily responsible for
origination, asset allocation, and due diligence for the managed futures
department within PSI. She is also a First Vice President of PSI. Prior to
joining PSI in March 1993, she was with MC Baldwin Financial Company from June
1990 through February 1993 and Arthur Andersen & Co. from 1986 through May 1990.
Ms. Thomas is a certified public accountant.

JOSEPH A. FILICETTI, age 37, is the Executive Vice President and a Director of
Seaport Futures Management, Inc. He had been a Vice President of Seaport Futures
Management, Inc. and Prudential Securities Futures Management Inc. from October
1998 to March 1999. In April 1999, Mr. Filicetti was named to his

current positions at Seaport Futures Management, Inc. and became the President
and a Director of Prudential Securities Futures Management Inc. Mr. Filicetti is
also a Vice President of PSI and the Director of Sales and Marketing for its
managed futures department. Prior to joining PSI, Mr. Filicetti was with Rotella
Capital Management as Director of Sales and Marketing from September 1996
through September 1998, and was with Merrill Lynch as a market maker trading
bonds from July 1992 to August 1996.

BARBARA J. BROOKS, age 51, is the Chief Financial Officer of Seaport Futures
Management, Inc. She is a Senior Vice President of PSI. She is also the 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 36, is a Vice President and Treasurer of Seaport Futures
Management, Inc. He is a First Vice President of PSI. He is also a Vice
President and Treasurer 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.

ALAN J. BRODY, age 48, is a Director of Seaport Futures Management, Inc. and
Prudential Securities Futures Management Inc. Mr. Brody has been a Senior Vice
President and Director of International Sales and Marketing for PSI since 1996.
Based in London, Mr. Brody is currently responsible for the marketing and sales
of all PSI products and services to international clientele throughout the
firm's global branch system. Additionally, Mr. Brody has overall responsibility
for the managed futures department within PSI. Prior to joining PSI, Mr. Brody
was an Executive Director and Senior Vice President with Lehman Brothers'
Financial Services Division in London and President of Lehman Brothers Futures
Asset Management Corp. from 1990 to 1996. Prior to joining Lehman Brothers, Mr.
Brody served as President and Chief Executive Officer of Commodity Exchange,
Inc. from 1980 to 1989. Earlier in his career, Mr. Brody was associated with the
law firm of Baer Marks & Upham from 1977 to 1980.

A. LAURENCE NORTON, JR., age 61, is a Director of Seaport Futures Management,
Inc. He is an Executive Vice President of PSI and, since March 1994, has been
the director of the International and Futures Divisions of PSI. He is also a
Director of Prudential Securities Futures Management Inc. and is a member of
PSI's Operating Committee. From October 1991 to March 1994, he held the position
of Executive Director of Retail Development and Retail Strategies at PSI. Prior
to joining PSI in 1991, Mr. Norton was a Senior Vice President and Branch
Manager of Shearson Lehman Brothers.

GUY S. SCARPACI, age 53, 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.

TAMARA B. WRIGHT, age 41, is a Senior Vice President and Director of Seaport
Futures Management, Inc. She is a Senior Vice President and Chief Administrative
Officer for the International and Futures Divisions of PSI. She is also a Senior
Vice President and Director of Prudential Securities Futures Management Inc. and
serves in various capacities for other affiliated companies. Prior to joining
PSI in July 1988, she was a manager with Price Waterhouse.

Effective April 1999, i->Eleanor L. Thomas and Joseph A. Filicetti were
elected as Directors of both Seaport Futures Management, Inc. and Prudential
Securities Futures Management Inc. In addition, Ms. Thomas was elected as
President of Seaport Futures Management, Inc. replacing Thomas M. Lane, Jr. and
Mr. Filicetti was elected as the Executive Vice President of Seaport Futures
Management, Inc. Additionally, Alan J. Brody was elected as a Director of
Seaport Futures Management, Inc. and Prudential Securities Futures Management
Inc. during May 1999.

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 officers and directors 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 21, 2000, 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 21, 2000, no director or officer of the General Partner owns
directly or beneficially any of the Units issued by the Registrant.

As of March 21, 2000, the following owner of limited partnership units
beneficially owns more than five percent (5%) of the limited partnership units
issued by the Registrant.

Title Name and Address of Amount and Nature of Percent of
of Class Beneficial Owner Beneficial Ownership Class
- ------------------ --------------------------- ---------------------------- ----------

units of Eugene Ramos 5,000 units of limited 6%
limited FBO Julia Ramos partnership interest
partnership 7035 Gleneagle Drive
interest Miami Lakes, FL 33014-6509

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 in the
Registrant's 1999 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.

PART IV

Page in
Annual Report

Item 14. Exhibits, Financial Statement Schedules and Reports on Form 8-K

(a) 1. Financial Statements and Report of Independent
Accountants--incorporated by reference to the Registrant's 1999
Annual Report which is filed as an exhibit hereto

Report of Independent Accountants 2

Financial Statements:

Statements of Financial Condition--December 31, 1999 and 1998 3

Statements of Operations--Three years ended December 31, 1999 4

Statements of Changes in Partners' Capital--Three years ended
December 31, 1999 4

Notes to Financial Statements 5

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
the notes thereto.

3. Exhibits:

3.1 Agreement of Limited Partnership of the Registrant, dated as of
and January 26, 1989 as amended and restated as of March 15, 1989
4.1 (incorporated by reference to Exhibits 3.1 and 4.1 to the
Registrant's Annual Report on Form 10-K for the period ended
December 31, 1989)

4.2 Subscription Agreement (incorporated by reference to Exhibit 4.2 to
the Registrant's Annual Report on Form 10-K for the period ended
December 31, 1989)

4.3 Request for Redemption (incorporated by reference to Exhibit 4.3 to
the Registrant's Annual Report on Form 10-K for the period ended
December 31, 1989)

10.1 Escrow Agreement, dated March 17, 1989 among the Registrant, Seaport
Futures Management, Inc., Prudential-Bache Securities Inc. and
Bankers Trust Company (incorporated by reference to Exhibit 10.1 to
the Registrant's Annual Report on Form 10-K for the period ended
December 31, 1989)

10.2 Brokerage Agreement dated May 12, 1989 between the Registrant and
Prudential-Bache Securities Inc. (incorporated by reference to
Exhibit 10.2 to the Registrant's Annual Report on Form 10-K for the
period ended December 31, 1989)

10.4 Advisory Agreement, dated September 1, 1990 between the Registrant,
Seaport Futures Management, Inc. and John W. Henry & Co., Inc.
(incorporated by reference to Exhibit 10.4 to the Registrant's
Annual Report on Form 10-K for the year ended December 31, 1990)

10.6 Net Worth Agreement, dated as of March 17, 1989 between Seaport
Futures Management, Inc. and Prudential Securities Group Inc.
(incorporated by reference to Exhibit 10.6 to the Registrant's
Annual Report on Form 10-K for the period ended December 31, 1989)

10.7 Promissory Note issued by Prudential Securities Group Inc. to
Seaport Futures Management, Inc., dated May 12, 1989 (incorporated
by reference to Exhibit 10.7 to the Registrant's Annual Report on
Form 10-K for the period ended December 31, 1989)

10.9 Secured Demand Note Collateral Agreement dated February 15, 1991
between Seaport Futures Management, Inc. and Prudential Securities
Group Inc. (incorporated by reference to Exhibit 28.2 to the
Registrant's Quarterly Report on Form 10-Q for the period ended
March 31, 1991)

10.16 Amendment to Advisory Agreement dated June 30, 1994 among the
Registrant, Seaport Futures Management, Inc. and John W. Henry &
Company, Inc. (incorporated by reference to Exhibit 10.16 to the
Registrant's Quarterly Report on Form 10-Q for the period ended June
30, 1994)

10.17 Addendum to Brokerage Agreement dated July 1, 1994 among the
Registrant, Seaport Futures Management, Inc. and Prudential
Securities Incorporated (incorporated by reference to Exhibit 10.17
to the Registrant's Quarterly Report on Form 10-Q for the period
ended September 30, 1994)

10.18 Form of Foreign Currency Addendum to Brokerage Agreement between the
Registrant and Prudential Securities Incorporated (incorporated by
reference to Exhibit 10.18 of the Registrant's Quarterly Report on
Form 10-Q for the period ended March 31, 1996)

13.1 Registrant's 1999 Annual Report (with the exception of the
information and data incorporated by reference in Items 5, 7 and 8
of this Annual Report on Form 10-K, no other information or data
appearing in the Registrant's 1999 Annual Report is to be deemed
filed as part of this report) (filed herewith)

27.1 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

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 Capital Return Futures Fund L.P.

By: Seaport Futures Management, Inc.
A Delaware corporation, General Partner

By: /s/ Steven Carlino Date: March 30, 2000
-------------------------------------------
Steven Carlino
Vice President and Treasurer

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/ Eleanor L. Thomas Date: March 30, 2000
---------------------------------------------
Eleanor L. Thomas
President and Director

By: /s/ Joseph A. Filicetti Date: March 30, 2000
---------------------------------------------
Joseph A. Filicetti
Executive Vice President and Director
By: /s/ Barbara J. Brooks Date: March 30, 2000
---------------------------------------------
Barbara J. Brooks
Chief Financial Officer
By: /s/ Steven Carlino Date: March 30, 2000
---------------------------------------------
Steven Carlino
Vice President and Treasurer
By: /s/ Alan J. Brody Date: March 30, 2000
--------------------------------------------
Alan J. Brody
Director
By: Date:
--------------------------------------------
A. Laurence Norton, Jr.
Director
By: /s/ Guy S. Scarpaci Date: March 30, 2000
-------------------------------------------
Guy S. Scarpaci
Director
By: Date:
-------------------------------------------
Tamara B. Wright
Senior Vice President and Director