SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-Q (Mark One) /X/ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the quarterly period ended September 30, 1996 / / 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 - -------------------------------------------------------------------------------- (State or other jurisdiction (I.R.S. Employer of incorporation or organization) Identification No.) One New York Plaza, 13th Floor, New York, New York 10292 - -------------------------------------------------------------------------------- (Address of principal executive offices) (Zip Code) Registrant's telephone number, including area code (212) 778-7866 N/A - -------------------------------------------------------------------------------- Former name, former address and former fiscal year, if changed since last report Indicate by check CK whether the Registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the Registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes _CK_ No __ Part I. FINANCIAL INFORMATION ITEM 1. FINANCIAL STATEMENTS PRUDENTIAL-BACHE CAPITAL RETURN FUTURES FUND L.P. (a limited partnership) STATEMENTS OF FINANCIAL CONDITION (Unaudited) September 30, December 31, 1996 1995 - ---------------------------------------------------------------------------------------------------- ASSETS Equity in commodity trading accounts: Cash $ 3,086,165 $ 4,882,612 U.S. Treasury bills, at amortized cost 11,955,685 15,256,948 Net unrealized gain on open commodity positions 1,478,692 414,130 ------------- ------------ Total assets $16,520,542 $20,553,690 ------------- ------------ ------------- ------------ LIABILITIES AND PARTNERS' CAPITAL Liabilities Redemptions payable $ 529,263 $ 770,138 Management fees payable 54,774 68,183 Accrued expenses 48,545 51,018 Due to affiliates 39,707 47,676 ------------- ------------ Total liabilities 672,289 937,015 ------------- ------------ Commitments Partners' capital Limited partners (134,107 and 149,378 units outstanding) 15,689,726 18,850,694 General partner (1,355 and 6,070 units outstanding) 158,527 765,981 ------------- ------------ Total partners' capital 15,848,253 19,616,675 ------------- ------------ Total liabilities and partners' capital $16,520,542 $20,553,690 ------------- ------------ ------------- ------------ Net asset value per limited and general partnership unit (``Units'') $ 116.99 $ 126.19 ------------- ------------ ------------- ------------ - ---------------------------------------------------------------------------------------------------- The accompanying notes are an integral part of these statements 2 PRUDENTIAL-BACHE CAPITAL RETURN FUTURES FUND L.P. (a limited partnership) STATEMENTS OF OPERATIONS (Unaudited) Nine months ended Three months ended September 30, September 30, -------------------------- ------------------------- 1996 1995 1996 1995 - ------------------------------------------------------------------------------------------------------ REVENUES Net realized gain (loss) on commodity transactions $(1,252,819) $7,539,563 $(751,294) $ (95,370) Change in net unrealized gain/loss on open commodity positions 1,064,562 (738,098) 838,188 (438,939) Interest from U.S. Treasury bills 528,471 724,976 162,693 232,845 ----------- ---------- --------- ----------- 340,214 7,526,441 249,587 (301,464) ----------- ---------- --------- ----------- EXPENSES Commissions 1,068,008 1,318,008 325,121 427,811 Management fees 531,170 677,827 162,161 211,335 Incentive fees -- 437,793 -- -- General and administrative 122,383 136,865 44,114 41,828 ----------- ---------- --------- ----------- 1,721,561 2,570,493 531,396 680,974 ----------- ---------- --------- ----------- Net income (loss) $(1,381,347) $4,955,948 $(281,809) $ (982,438) ----------- ---------- --------- ----------- ----------- ---------- --------- ----------- ALLOCATION OF NET INCOME (LOSS) Limited partners $(1,343,329) $4,808,070 $(278,991) $ (946,552) ----------- ---------- --------- ----------- ----------- ---------- --------- ----------- General partner $ (38,018) $ 147,878 $ (2,818) $ (35,886) ----------- ---------- --------- ----------- ----------- ---------- --------- ----------- NET INCOME (LOSS) PER WEIGHTED AVERAGE LIMITED AND GENERAL PARTNERSHIP UNIT Net income (loss) per weighted average limited and general partnership unit $ (9.39) $ 27.53 $ (2.01) $ (5.91) ----------- ---------- --------- ----------- ----------- ---------- --------- ----------- Weighted average number of limited and general partnership units outstanding 147,056 179,993 139,986 166,175 ----------- ---------- --------- ----------- ----------- ---------- --------- ----------- - ------------------------------------------------------------------------------------------------------ STATEMENT OF CHANGES IN PARTNERS' CAPITAL (Unaudited) LIMITED GENERAL UNITS PARTNERS PARTNER TOTAL - ----------------------------------------------------------------------------------------------------- Partners' capital--December 31, 1995 155,448 $18,850,694 $ 765,981 $19,616,675 Net loss -- (1,343,329) (38,018) (1,381,347) Redemptions (19,986) (1,817,639) (569,436) (2,387,075) ------- ----------- --------- ----------- Partners' capital--September 30, 1996 135,462 $15,689,726 $ 158,527 $15,848,253 ------- ----------- --------- ----------- ------- ----------- --------- ----------- - ----------------------------------------------------------------------------------------------------- The accompanying notes are an integral part of these statements 3 PRUDENTIAL-BACHE CAPITAL RETURN FUTURES FUND L.P. (a limited partnership) NOTES TO FINANCIAL STATEMENTS SEPTEMBER 30, 1996 (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 Capital Return Futures Fund L.P. (the ``Partnership'') as of September 30, 1996 and the results of its operations for the nine and three months ended September 30, 1996 and 1995. However, the operating results for the interim periods may not be indicative of the results expected for a 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 as filed with the Securities and Exchange Commission for the year ended December 31, 1995 (the ``Annual Report''). Certain balances from the prior period have been reclassified to conform with the current financial statement presentation. B. Related Parties Seaport Futures Management, Inc. (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 and other administrative services. The costs incurred for these services for the nine months ended September 30, 1996 and 1995 were: 1996 1995 ------------------------------------------------------------------------------- Commissions $1,068,008 $1,318,008 General and administrative 71,641 75,820 ---------- ---------- $1,139,649 $1,393,828 ---------- ---------- ---------- ---------- The costs incurred for these services for the three months ended September 30, 1996 and 1995 were: 1996 1995 ------------------------------------------------------------------------------- Commissions $ 325,121 $ 427,811 General and administrative 25,857 22,306 ---------- ---------- $ 350,978 $ 450,117 ---------- ---------- ---------- ---------- The Partnership maintains its trading and cash accounts at Prudential Securities Incorporated (``PSI''), the Partnership's commodity broker and an affiliate of the General Partner. Approximately 75% of the Partnership's net asset value is invested in interest-bearing U.S. Government obligations (primarily U.S. Treasury bills), a significant portion of which is utilized for margin purposes for the Partnership's commodity trading activities. As described in the Annual Report, all commissions for brokerage services are paid to PSI. When the Partnership engages in forward foreign currency transactions it trades with PSI who simultaneously engages in back-to-back transactions with an affiliate who, pursuant to the Partnership's prospectus, is obligated to charge a competitive price. C. Credit and Market Risk 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). 4 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 on the statements of financial condition. The Partnership's exposure to market risk is influenced by a number of factors including the relationships among the contracts held by the Partnership as well as the liquidity of the markets in which the contracts are traded. Futures and options contracts are traded on organized exchanges and are thus distinguished from forward contracts which are entered into privately by the parties. The credit risks associated with futures and options contracts are typically perceived to be less than those associated with forward contracts, because exchanges typically provide clearinghouse arrangements in which the collective credit (subject to certain limitations) of the members of the exchanges is pledged to support the financial integrity of the exchange. On the other hand, the Partnership must rely solely on the credit of its broker (PSI) with respect to forward transactions. The Partnership presents unrealized gains and losses on open forward positions as a net amount in the statements of financial condition because it has a master netting agreement with PSI. The General Partner attempts to minimize both credit and market risks by requiring the Partnership's trading manager 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 manager as it, in good faith, deems to be in the best interests of the Partnership. PSI, when acting as the Partnership's futures commission merchant in accepting orders for the purchase or sale of domestic futures and options contracts, is required by Commodity Futures Trading Commission (``CFTC'') regulations to separately account for and segregate as belonging to the Partnership all assets of the Partnership relating to domestic futures and options trading and is not to commingle such assets with other assets of PSI. At September 30, 1996 and December 31, 1995, such segregated assets totalled $13,091,298 and $17,263,200, 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 $3,208,604 and $3,385,792 at September 30, 1996 and December 31, 1995, respectively. There are no segregation requirements for assets related to forward trading. As of September 30, 1996 and December 31, 1995, the Partnership's open forward contracts mature within three months but open futures contracts mature within one year. At September 30, 1996 and December 31, 1995, gross contract amounts of open futures and forward contracts are: September 30, December 31, 1996 1995 ------------- ------------ Financial Futures Contracts: Commitments to purchase $ 100,713,049 $70,094,468 Commitments to sell $ 2,345,438 $11,556,783 Currency Forward Contracts: Commitments to purchase $ 16,870,134 $ 2,908,537 Commitments to sell $ 28,478,682 $12,481,234 Currency Futures Contracts: Commitments to purchase $ 2,788,065 $ 440,660 Commitments to sell $ 3,756,225 $ 5,021,700 Other Futures Contracts: Commitments to purchase $ 619,308 $ 537,121 Commitments to sell $ 5,740,705 $ 1,300,800 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 or forward contract). The 5 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 and forward contracts to be the net unrealized gain or loss on the contracts. Thus, the amount at risk associated with counterparty nonperformance of all contracts is the net unrealized gain included in the statements of financial condition. The market risk associated with the Partnership's commitments to purchase commodities is limited to the gross contract amounts involved, while the market risk associated with its commitments to sell is unlimited since the Partnership's potential involvement is to make delivery of an underlying commodity at the contract price; therefore, it must repurchase the contract at prevailing market prices. At September 30, 1996 and December 31, 1995, the fair values of futures and forward contracts were: September 30, 1996 December 31, 1995 -------------------------- ------------------------ Fair Value Fair Value -------------------------- ------------------------ Assets Liabilities Assets Liabilities ---------- ----------- -------- ----------- Futures Contracts: Domestic exchanges Financial $ 6,600 $ 50,969 $116,513 $ -- Currencies 86,153 -- 5,771 23,988 Other 162,699 -- 54,057 600 Foreign exchanges Financial 1,069,957 16,388 358,529 850 Forward Contracts: Currencies 403,860 183,220 263,960 359,262 ---------- ----------- -------- ----------- $1,729,269 $ 250,577 $798,830 $ 384,700 ---------- ----------- -------- ----------- ---------- ----------- -------- ----------- The following table presents the average fair values of futures and forward contracts during the nine months ended September 30, 1996 and 1995, respectively. Nine months ended Nine months ended September 30, 1996 September 30, 1995 -------------------------- -------------------------- Average Fair Value Average Fair Value -------------------------- -------------------------- Assets Liabilities Assets Liabilities ---------- ----------- ---------- ----------- Futures Contracts: Domestic exchanges Financial $ 90,709 $ 18,173 $ 83,453 $ 8,039 Currencies 71,951 8,747 184,001 155,621 Other 56,121 11,079 72,368 23,317 Foreign exchanges Financial 420,394 25,480 264,367 26,288 Forward Contracts: Currencies 461,052 435,051 1,482,242 521,431 ---------- ----------- ---------- ----------- $1,100,227 $ 498,530 $2,086,431 $ 734,696 ---------- ----------- ---------- ----------- ---------- ----------- ---------- ----------- The following table presents the average fair values of futures and forward contracts during the three months ended September 30, 1996 and 1995, respectively. Three months ended Three months ended September 30, 1996 September 30, 1995 -------------------------- -------------------------- Average Fair Value Average Fair Value -------------------------- -------------------------- Assets Liabilities Assets Liabilities ---------- ----------- ---------- ----------- Futures Contracts: Domestic exchanges Financial $ 5,025 $ 44,223 $ 32,331 $ 15,706 Currencies 55,040 6,423 126,482 31,888 Other 98,586 4,137 43,576 19,889 Foreign exchanges Financial 662,064 12,017 119,944 41,020 Forward Contracts: Currencies 323,266 301,406 409,555 494,557 ---------- ----------- ---------- ----------- $1,143,981 $ 368,206 $ 731,888 $ 603,060 ---------- ----------- ---------- ----------- ---------- ----------- ---------- ----------- 6 The following table presents the net realized gains (losses) and the change in net unrealized gains/losses of futures and forward contracts during the nine months ended September 30, 1996 and 1995, respectively. Nine months ended September 30, 1996 Nine months ended September 30, 1995 ----------------------------------------------- ------------------------------------------------ Change in Change in Net Realized Net Unrealized Net Realized Net Unrealized Gains (Losses) Gains/Losses Total Gains (Losses) Gains/Losses Total -------------- -------------- --------- -------------- -------------- ---------- Futures Contracts: Domestic exchanges Financial $ 163,856 $ (160,882) $ 2,974 $ 490,675 $ (128,688) $ 361,987 Currencies 128,971 104,370 233,341 631,767 92,930 724,697 Other 149,273 109,242 258,515 (77,377) (152,614) (229,991) Foreign exchanges Financial (559,723) 695,890 136,167 1,782,269 (345,565) 1,436,704 Currencies (347,421) -- (347,421) (201,761) -- (201,761) Other -- -- -- 7,256 -- 7,256 Forward Contracts: Currencies (787,775) 315,942 (471,833) 4,906,734 (204,161) 4,702,573 -------------- -------------- --------- -------------- -------------- ---------- $ (1,252,819) $1,064,562 $(188,257) $7,539,563 $ (738,098) $6,801,465 -------------- -------------- --------- -------------- -------------- ---------- -------------- -------------- --------- -------------- -------------- ---------- The following table presents the net realized gains (losses) and the change in net unrealized gains/losses of futures and forward contracts during the three months ended September 30, 1996 and 1995, respectively. Three months ended September 30, 1996 Three months ended September 30, 1995 ----------------------------------------------- ----------------------------------------------- Change in Change in Net Realized Net Unrealized Net Realized Net Unrealized Gains (Losses) Gains/Losses Total Gains (Losses) Gains/Losses Total -------------- -------------- --------- -------------- -------------- --------- Futures Contracts: Domestic exchanges Financial $ (200,357) $ (7,669) $(208,026) $ (78,456) $ (73,775) $(152,231) Currencies (62,854) 25,911 (36,943) 215,675 (108,305) 107,370 Other 120,540 39,382 159,922 (50,893) (73,932) (124,825) Foreign exchanges Financial (110,522) 965,854 855,332 (254,259) 23,733 (230,526) Currencies (66,536) -- (66,536) (934,984) -- (934,984) Forward Contracts: Currencies (431,565) (185,290) (616,855) 1,007,547 (206,660) 800,887 -------------- -------------- --------- -------------- -------------- --------- $ (751,294) $ 838,188 $ 86,894 $ (95,370) $ (438,939) $(534,309) -------------- -------------- --------- -------------- -------------- --------- -------------- -------------- --------- -------------- -------------- --------- 7 PRUDENTIAL-BACHE CAPITAL RETURN 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 May 12, 1989 with gross proceeds of $139,151,000. After accounting for organizational and offering costs, the Partnership's net proceeds were $137,151,000. At the inception of the Partnership, sixty percent of the net proceeds was allocated to commodities trading activity and forty percent was placed in reserve and invested in investment grade interest-bearing obligations (``Reserve Assets''). On June 30, 1994, the Reserve Assets matured and the resulting proceeds were allocated to commodities trading. As of September 30, 1996, 100% of the Partnership's total net assets were allocated to commodities trading. A significant portion of the net asset value was held in U.S. Treasury bills (which represented approximately 73% of the net asset value 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 will continue to own such liquid assets to be used as margin. The percentage that U.S. Treasury bills bears to the net asset value varies each day, and from month to month, as the market value of commodity interests change. The balance of the net asset value 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 manager to abide by various trading limitations and policies. See Note C to the financial statements for a further discussion on the credit and market risks associated with the Partnership's futures, forward and options contracts. Redemptions by limited partners recorded for the nine and three months ended September 30, 1996 were $1,817,639 and $523,998, respectively. Redemptions by the General Partner recorded for the nine and three months ended September 30, 1996 were $569,436 and $5,265, respectively. Redemptions by limited partners and the General Partner from commencement of operations, May 12, 1989, through September 30, 1996 totalled $137,533,267 and $1,570,508, respectively. Future redemptions will impact the amount of funds available for investment in commodity contracts in subsequent periods. The Partnership does not have, nor does it expect to have, any capital assets. Results of Operations The net asset value per Unit as of September 30, 1996 was $116.99, a decrease of 7.29% from the December 31, 1995 net asset value per Unit of $126.19. The Partnership's performance resulted in an overall decline in net asset value in the month of July. Profits in the energies sector were offset by losses in the currencies, financials, metals and stock indices sectors. In the energies sector, reports that the U.S. was about to endorse procedures for the implementation of the Iraqi/U.N. oil sales agreement pushed crude oil prices down, but prices firmed by month's end proving profitable for long positions in heating and light crude oil. In foreign exchange markets, losses were incurred as some investors sold off U.S. assets in a bearish U.S. stock market in favor of stronger European currencies. The flight from the U.S. dollar during the month strengthened the Japanese yen and the Swiss franc. Losses occurred in the Australian dollar, Japanese yen and Swiss franc positions. In the financials 8 sector, gains in European bonds were offset by losses in Japanese bond positions. The Nikkei logged its biggest single-day point decline in more than a year as overseas investors sold off assets in the face of a skid on Wall Street. Uncertainty over the direction of Japanese interest rates also unsettled the market, keeping institutional investors on the sidelines for much of July. In the metals sector, short positions in gold and silver proved unprofitable. The weakness in the U.S. stock market negatively impacted both European and Asian stock markets and trading in stock indices was unprofitable. The Partnership's performance was slightly positive in the month of August. Profits in the financials, energies and stock indices sectors offset losses in the currencies, metals and grains sectors. For the summertime month of August, the volume of trading was light in most markets. In the financials sector, market participants remained cautious and edgy, with few willing to take positions prior to key central bank policy meetings and economic reports scheduled at month end. Positions in Japanese and Australian bonds were profitable. In the energies sector, prices of both crude and heating oil soared to four-month highs as a slump in European oil supplies increased demand from developing nations and the hurricane season unsettled the market. Long positions in heating and light crude oil were profitable. In the currencies sector, positions in the German mark, Swiss franc and Japanese yen were unprofitable. The U.S. dollar, German mark and Japanese yen fluctuated as investors responded to various economic reports and policy decisions on interest rates. In the metals sector, positions in gold and silver were unprofitable and trading in the grains was flat. The Partnership's performance was positive in the month of September. Profits in the financials, currencies, metals and energies sectors offset losses in the stock indices sector. In the financials sector, positions in German, Italian, French, British and Japanese bonds were profitable. European nations seeking membership in the European Monetary Union (EMU) were under pressure to keep interest rates low while Japan's slow economic recovery made higher rates unlikely. Foreign central banks shifted assets to the relatively high yields of the U.S. bond markets. In the currencies sector, positions in the Japanese yen and Canadian dollar were profitable. By month's end, the dollar was trading at near ten-week highs against the Japanese currency as weak industrial production figures out of Japan sparked a wave of dollar buying. In the metals sector, positions in gold and silver were profitable. Investors were net sellers in gold upon news of the International Monetary Fund's plan to sell five million ounces from its own reserves to help pay the debts of the poorest nations. In the energies sector, the price of heating oil reached its highest level in five years amid worries that Middle East hostilities could threaten supplies just as winter approaches in the U.S. with stockpiles at historically low levels. Positions in heating and light crude oil were profitable. Interest income from U.S. Treasury bills decreased by approximately $197,000 and $70,000 for the nine and three months ended September 30, 1996 as compared to the same periods in 1995 due to the effect of redemptions on the funds available for investment in U.S. Treasury bills as well as a decrease in interest rates in 1996. Commissions are calculated on the net asset value on the first day of each month and, therefore, vary based on monthly trading performance and redemptions. Commissions decreased by approximately $250,000 and $103,000 for the nine and three months ended September 30, 1996 as compared to the same periods in 1995 primarily due to the effect of redemptions on the monthly net asset values. All trading decisions are currently made by John W. Henry & Co., Inc. (the ``Trading Manager''). Management fees are calculated on the net asset value as of the end of each month and, therefore, are affected by trading performance and redemptions. Management fees decreased by approximately $147,000 and $49,000 for the nine and three months ended September 30, 1996 as compared to the same periods in 1995 primarily due to the effect of redemptions on the monthly net asset values. Incentive fees are based on New High Net Trading Profits generated by the Trading Manager, as defined in the Advisory Agreement between the Partnership, the General Partner and the Trading Manager. No incentive fees were earned for the nine months ended September 30, 1996 but approximately $438,000 was earned for the six months ended June 30, 1995. General and administrative expenses decreased by approximately $14,000 for the nine months ended September 30, 1996 but increased by approximately $2,000 for the three months ended September 30, 1996 as compared to the same periods in 1995. These expenses include reimbursements of cost 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. The nine month decrease was primarily due to a reduction in overall costs associated with administering the Partnership. 9 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 4.1 Agreement of Limited Partnership of the Registrant, dated as of January 26, 1989, as amended and restated as of March 15, 1989. (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) 27 Financial Data Schedule (filed herewith) (b) Reports on Form 8-K--None 10 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 Capital Return Futures Fund L.P. By: Seaport Futures Management, Inc. A Delaware corporation, General Partner By: /s/ Steven Carlino Date: November 14, 1996 ---------------------------------------- Steven Carlino Vice President Chief Accounting Officer for the Registrant 11