-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, D51Tqo5VPoKsHunHae8RHVwRNwc7psWPEUqxCpDp52J/XwTZFozWsT50uCUVXER3 kH0p0Yz3TXW1ZoVAChEhIA== 0000898733-97-000556.txt : 19970520 0000898733-97-000556.hdr.sgml : 19970520 ACCESSION NUMBER: 0000898733-97-000556 CONFORMED SUBMISSION TYPE: 10-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 19970331 FILED AS OF DATE: 19970515 SROS: NONE FILER: COMPANY DATA: COMPANY CONFORMED NAME: PRUDENTIAL BACHE CAPITAL RETURN FUTURES FUND 2 L P CENTRAL INDEX KEY: 0000851786 STANDARD INDUSTRIAL CLASSIFICATION: [6221] IRS NUMBER: 133533120 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 10-Q SEC ACT: 1934 Act SEC FILE NUMBER: 000-18418 FILM NUMBER: 97606160 BUSINESS ADDRESS: STREET 1: ONE NEW YORK PLAZA CITY: NEW YORK STATE: NY ZIP: 10005 BUSINESS PHONE: 2128047866 10-Q 1 P-B CAPITAL RETURN FUTURES FUND 2, L.P. 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 March 31, 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: 0-18418 PRUDENTIAL-BACHE CAPITAL RETURN FUTURES FUND 2, L.P. - -------------------------------------------------------------------------------- (Exact name of Registrant as specified in its charter) Delaware 13-3533120 - -------------------------------------------------------------------------------- (State or other jurisdiction of incorporation or organization) (I.R.S. Employer Identification No.) One New York Plaza, 14th Floor New York, New York 10292 - -------------------------------------------------------------------------------- (Address of principal executive offices) (Zip Code) Registrant's telephone number, including area code (212) 778-7866 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 2, L.P. (a limited partnership) STATEMENTS OF FINANCIAL CONDITION (Unaudited)
March 31, December 31, 1997 1996 - ---------------------------------------------------------------------------------------------------- ASSETS Equity in commodity trading accounts: Cash $ 8,076,439 $ 7,947,679 U.S. Treasury bills, at amortized cost 23,527,149 25,015,580 Net unrealized gain on open commodity positions 237,636 658,774 ------------- ------------ Total assets $31,841,224 $33,622,033 ------------- ------------ ------------- ------------ LIABILITIES AND PARTNERS' CAPITAL Liabilities Redemptions payable $ 618,116 $ 1,692,233 Management fees payable 95,469 117,811 Accrued expenses 47,297 49,264 Due to affiliates 35,185 54,587 Options, net, at market 13,828 44,006 Incentive fees payable -- 657,105 ------------- ------------ Total liabilities 809,895 2,615,006 ------------- ------------ Commitments Partners' capital Limited partners (129,125 and 131,697 units outstanding) 30,720,848 30,696,788 General partner (1,305 and 1,331 units outstanding) 310,481 310,239 ------------- ------------ Total partners' capital 31,031,329 31,007,027 ------------- ------------ Total liabilities and partners' capital $31,841,224 $33,622,033 ------------- ------------ ------------- ------------ Net asset value per limited and general partnership unit ('Units') $ 237.92 $ 233.09 ------------- ------------ ------------- ------------ - ---------------------------------------------------------------------------------------------------- The accompanying notes are an integral part of these statements
2 PRUDENTIAL-BACHE CAPITAL RETURN FUTURES FUND 2, L.P. (a limited partnership) STATEMENTS OF OPERATIONS (Unaudited)
Three Months Ended March 31, ------------------------- 1997 1996 - -------------------------------------------------------------------------------------------------- REVENUES Net realized gain on commodity transactions $1,779,360 $ 273,086 Change in net unrealized gain on open commodity positions (426,019) 357,361 Interest from U.S. Treasury bills 292,367 272,486 ---------- ---------- 1,645,708 902,933 ---------- ---------- EXPENSES Commissions 672,527 686,225 Management fees 290,034 287,838 Incentive fees -- 32,968 General and administrative 40,729 60,012 ---------- ---------- 1,003,290 1,067,043 ---------- ---------- Net income (loss) $ 642,418 $ (164,110) ---------- ---------- ---------- ---------- ALLOCATION OF NET INCOME (LOSS) Limited partners $ 635,990 $ (153,899) ---------- ---------- ---------- ---------- General partner $ 6,428 $ (10,211) ---------- ---------- ---------- ---------- NET INCOME (LOSS) PER WEIGHTED AVERAGE LIMITED AND GENERAL PARTNERSHIP UNIT Net income (loss) per weighted average limited and general partnership unit $ 4.83 $ (1.01) ---------- ---------- ---------- ---------- Weighted average number of limited and general partnership units outstanding 133,028 161,818 ---------- ---------- ---------- ---------- - --------------------------------------------------------------------------------------------------
STATEMENT OF CHANGES IN PARTNERS' CAPITAL (Unaudited)
LIMITED GENERAL UNITS PARTNERS PARTNER TOTAL - ----------------------------------------------------------------------------------------------------- Partners' capital--December 31, 1996 133,028 $30,696,788 $ 310,239 $31,007,027 Net income 635,990 6,428 642,418 Redemptions (2,598) (611,930) (6,186) (618,116) -------- ----------- ----------- ----------- Partners' capital--March 31, 1997 130,430 $30,720,848 $ 310,481 $31,031,329 -------- ----------- ----------- ----------- -------- ----------- ----------- ----------- - ----------------------------------------------------------------------------------------------------- The accompanying notes are an integral part of these statements
3 PRUDENTIAL-BACHE CAPITAL RETURN FUTURES FUND 2, L.P. (a limited partnership) NOTES TO FINANCIAL STATEMENTS MARCH 31, 1997 (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 2, L.P. (the 'Partnership') as of March 31, 1997 and the results of its operations for the three months ended March 31, 1997 and 1996. 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 filed with the Securities and Exchange Commission for the year ended December 31, 1996 (the 'Annual Report'). Certain balances from the prior period have been reclassified to conform with the current financial statement presentation. B. Related Parties Prudential Securities 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 three months ended March 31, 1997 and 1996 were:
1997 1996 - ----------------------------------------------------------------------- Commissions $672,527 $686,225 General and administrative 28,859 28,400 -------- -------- $701,386 $714,625 -------- -------- -------- --------
The General Partner is a wholly-owned subsidiary of Prudential Securities Incorporated ('PSI'). The Partnership maintains its trading and cash accounts at PSI, the Partnership's commodity broker. Approximately 75% of the 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. 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 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 4 (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 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 interest 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 March 31, 1997 and December 31, 1996, such segregated assets totalled $19,811,844 and $24,078,572, 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 $12,229,787 and $9,271,094 at March 31, 1997 and December 31, 1996, respectively. There are no segregation requirements for assets related to forward trading. As of March 31, 1997 and December 31, 1996, the Partnership's open futures, forward and options contracts mature within one year. At March 31, 1997 and December 31, 1996, gross contract amounts of open futures, forward and options contracts are:
March 31, December 31, 1997 1996 ------------ ------------ Currency Forward Contracts: Commitments to purchase $ 244,443 $27,427,116 Commitments to sell $ 11,843,700 $19,223,534 Currency Futures and Options Contracts: Commitments to purchase $ 3,854,839 $ 7,651,893 Commitments to sell $ 7,173,356 $15,877,256 Financial Futures and Options Contracts: Commitments to purchase $ 11,964,824 $110,757,098 Commitments to sell $191,152,826 $38,688,741 Other Futures and Options Contracts: Commitments to purchase $ 1,491,100 -- Commitments to sell $ 98,802 $ 320,262
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 5 close out open positions prior to settlement and thus is generally subject only to the risk of loss arising from the change in the value of the contracts. As such, the Partnership considers the 'fair value' of its futures, forward and options contracts to be the net unrealized gain or loss on the contracts (plus premiums on options). Thus, the amount at risk associated with counterparty nonperformance of all contracts is the net unrealized gain included in the statements of financial condition. The market risk associated with the Partnership's commitments to purchase commodities is limited to the gross contract amounts, while the 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 March 31, 1997 and December 31, 1996, the fair value of open futures, forward and options contracts was:
March 31, 1997 December 31, 1996 ------------------------ -------------------------- Fair Value Fair Value ------------------------ -------------------------- Assets Liabilities Assets Liabilities -------- ----------- ---------- ----------- Futures Contracts: Domestic exchanges Financial $305,963 $ -- $ -- $ (55,900) Currencies 52,592 (15,565) 194,561 (96,820) Other 35,640 (16,755) 313,497 (6,743) Foreign exchanges Financial 129,754 (41,883) 316,218 (238,492) Other 3,500 (1,375) 4,092 -- Forward Contracts: Currencies 61,833 (276,068) 535,753 (307,392) Options Contracts: Domestic exchanges Financial -- (22,063) -- (10,000) Currencies -- (24,200) -- -- Other 15,020 (1,250) -- (23,168) Foreign exchanges Financial 22,093 (3,428) -- (10,838) -------- ----------- ---------- ----------- $626,395 $ (402,587) $1,364,121 $ (749,353) -------- ----------- ---------- ----------- -------- ----------- ---------- -----------
6 The following table presents the average fair value of futures, forward and options contracts during the three months ended March 31, 1997 and 1996, respectively.
Three months ended Three months ended March 31, 1997 March 31, 1996 -------------------------- -------------------------- Average Fair Value Average Fair Value -------------------------- -------------------------- Assets Liabilities Assets Liabilities ---------- ----------- ---------- ----------- Futures Contracts: Domestic exchanges Financial $ 86,694 $ (27,373) $ 506,566 $ (4,944) Currencies 439,976 (38,977) 361,084 (256,146) Other 291,449 (8,320) 4,329 (70,860) Foreign exchanges Financial 324,073 (86,444) 761,634 (54,268) Other 6,886 (5,394) -- -- Forward Contracts: Currencies 796,321 (450,203) 736,468 (448,658) Options Contracts: Domestic exchanges Financial -- (12,513) -- -- Currencies -- (91,738) 18,816 (7,794) Other 18,352 (7,089) -- -- Foreign exchanges Financial 5,523 (5,620) -- -- ---------- ----------- ---------- ----------- $1,969,274 $ (733,671) $2,388,897 $ (842,670) ---------- ----------- ---------- ----------- ---------- ----------- ---------- -----------
The following table presents the net realized gains (losses) and the change in net unrealized gains/ losses of futures, forward and options contracts during the three months ended March 31, 1997 and 1996, respectively.
Three months ended March 31, 1997 Three months ended March 31, 1996 ------------------------------------------------ ------------------------------------------------ Change in Net Change in Net Net Realized Unrealized Net Realized Unrealized Gains (Losses) Gains/Losses Total Gains (Losses) Gains/Losses Total -------------- ---------------- ---------- -------------- ---------------- ---------- Futures Contracts: Domestic exchanges Financial $ (449,263) $ 361,863 $ (87,400) $ 403,450 $ 164,169 $ 567,619 Currencies 514,560 (60,714) 453,846 159,680 332,698 492,378 Other 432,576 (287,869) 144,707 (372,070) (12,785) (384,855) Foreign exchanges Financial 97,947 10,145 108,092 (94,598) (485,458) (580,056) Other 13,284 (1,967) 11,317 -- -- -- Forward Contracts: Currencies 1,053,384 (442,596) 610,788 105,707 335,237 440,944 Options Contracts: Domestic exchanges Financial 1,581 (20,827) (19,246) -- -- -- Currencies 67,050 (32,964) 34,086 70,917 23,500 94,417 Other 42,168 28,171 70,339 -- -- -- Foreign exchanges Financial 6,073 20,739 26,812 -- -- -- -------------- ---------------- ---------- -------------- ---------------- ---------- $1,779,360 $ (426,019) $1,353,341 $ 273,086 $ 357,361 $ 630,447 -------------- ---------------- ---------- -------------- ---------------- ---------- -------------- ---------------- ---------- -------------- ---------------- ----------
7 PRUDENTIAL-BACHE CAPITAL RETURN FUTURES FUND 2, 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 trading operations on October 6, 1989 with gross proceeds of $101,010,000. After accounting for organizational and offering costs, the Partnership's net proceeds were $99,010,000. 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 January 3, 1995, the Reserve Assets matured and the resulting proceeds were allocated to commodities trading. At March 31, 1997, 100% of the Partnership's assets are allocated to commodities trading. A significant portion of the net asset value was held in U.S. Treasury bills (which represented approximately 74% 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 continues to own such liquid assets to be used as margin. The percentage that U.S. Treasury bills bears to the total net assets varies each day, and from month to month, as the market values 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 certain 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, forwards and options contracts. Redemptions by limited partners and the general partner recorded for the three months ended March 31, 1997 were $611,930 and $6,186, respectively. Redemptions by limited partners and the general partner from commencement of operations, October 6, 1989, through March 31, 1997 totalled $115,891,912 and $1,716,531, 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 March 31, 1997 was $237.92, an increase of 2.07% from the December 31, 1996 net asset value per Unit of $233.09. January's positive performance began the New Year with a bang. With the exception of the energy sector, all sectors traded were profitable. Profitable sectors included the metal, currency, financial, stock index, soft, meat and grain sectors. In the metal sector, the Partnership profited as gold prices declined to October 1993 levels as investors shifted assets into the booming equity markets. Smaller gains were posted in zinc. In the currency sector, the U.S. dollar continued to strengthen due to continued direct investments in the U.S., strong U.S. financial markets and favorable trade data. However, European and Japanese economies continued to struggle. Negative real interest rates, a weak outlook for 1997 growth and a huge sell-off in the Nikkei 225 plagued the Japanese yen. Unprecedented levels of unemployment in Germany made interest 8 rate hikes unlikely in the near future and will keep the Deutschemark under further pressure. The British pound plummeted initially on concerns by the Bank of England on the effect of currency strength. The pound continued to weaken further on unfavorable industrial production and trade data. The Partnership's German mark, British pound, Japanese yen and Swiss franc positions posted gains. In the financial sector, the U.S. bond market was volatile as economic data revived inflation concerns resulting in losses for the Partnership. German, Italian, French, Australian and Japanese bond positions posted profits. In the stock index sector, Nikkei, S&P 500, DTB, FTSE and CAC 40 positions were profitable. February's negative performance was the result of losses incurred in the metal, financial, stock index and energy sectors. Profits were posted in the currency, soft, meat and grain sectors. In the metal sector, gold prices rose as the lowest spot prices since 1993 rekindled demand. Prices also rose on news that the European Union would not condone the sale of central bank gold reserves to reduce government budget deficits. As a result, short positions in gold were unprofitable. In the financial sector, U.S., Italian, Spanish, Australian and Japanese bond positions posted losses. Continued speculation on the direction of interest rates fueled volatility in global interest rate markets. Early in the month, the central banks in Germany, England and the U.S. announced their intention to keep rates stable, but speculation continued, as the focus in the U.S. turned immediately to the Federal Reserve's next policy committee meeting in March. Despite the best efforts of G-7 nations to talk the U.S. dollar down from its lofty peaks, defiant market players pushed the greenback to new highs against the German mark, Japanese yen and Swiss franc. Later in the month, hints by the Chairman of the U.S. Federal Reserve of a possible interest rate hike sent the dollar soaring as it seemed the U.S. currency would retain its high-yield status in the global marketplace. Canadian dollar, German mark, British pound and French franc positions posted gains. In the soft sector, coffee and cocoa positions were profitable. The two-month bull trend in coffee prices continued as unfavorable weather in Brazil and Colombia threatened 1997-1998 crop production and labor strife threatened delivery of supplies. March's negative performance resulted from losses in the metal, financial, soft and energy sectors. However, profits were achieved in the currency, grain and stock index sectors. In the metal sector, silver and gold positions posted losses. Precious metals markets became more volatile, reflecting turmoil in world equity markets. In the financial sector, German, French, British and Japanese bond positions were unprofitable. Opportunities for gains in the global interest rate markets were limited as continued speculation over the direction of U.S. interest rates produced volatile and trendless markets. Additionally, U.S. bond markets were buffeted by economic reports indicating a strengthening economy and a growing conviction that interest rate hikes would follow. In Europe, renewed speculation about a delay in the European Union's plans for economic and monetary union pushed the German mark higher against the U.S. dollar. The mark also realized hefty gains against the British pound, as upcoming general elections in Britain kept the market on edge and investors took profits in the pound. The largest profits were earned in the Japanese yen as that currency continued to decline throughout the month resulting in profits for the Partnership's short positions. The U.S. dollar, which was expected to benefit from increasing rates in the U.S., was buffeted over the short term by volatility in stock and bond markets. Canadian dollar, French franc and Japanese yen positions resulted in gains. Interest income from U.S. Treasury bills for the three months ended March 31, 1997 increased by approximately $20,000 as compared to the same period in 1996. This increase was due to a greater amount of funds invested in U.S. Treasury bills during 1997 following a strong 1996 fourth quarter. 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 $14,000 for the three months ended March 31, 1997 as compared to the same period in 1996 principally due to the impact of 1996 redemptions on the monthly net asset values. All trading decisions are currently being made by John W. Henry & Co., Inc., Welton Investment System Corp. and Analytic/TSA Capital Management (the 'Trading Managers'). Management fees are calculated on the net asset value allocated to each Trading Manager as of the end of each month and, therefore, are affected by trading performance and redemptions. Management fees increased by approximately $2,000 for the three months ended March 31, 1997 as compared to the same period in 1996. 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. 9 Trading performance for the three months ended March 31, 1997 did not result in incentive fees. Approximately $33,000 in incentive fees were earned for the three months ended March 31, 1996. General and administrative expenses decreased by approximately $19,000 for the three months ended March 31, 1997 as compared to the same period in 1996. These expenses include reimbursement 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. 10 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 June 8, 1989 as amended and restated as of July 21, 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 Registration Statement on Form S-1, File No. 33-29039) 4.3 Request for Redemption (incorporated by reference to Exhibit 4.3 to the Registrant's Registration Statement on Form S-1, File No. 33-29039) 27 Financial Data Schedule (filed herewith) (b) Reports on Form 8-K-- No reports on Form 8-K were filed during the quarter. 11 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 hereunto duly authorized. Prudential-Bache Capital Return Futures Fund 2, L.P. By: Prudential Securities Futures Management Inc.A Delaware corporation, General Partner By: /s/ Steven Carlino Date: May 14, 1997 ---------------------------------------- Steven Carlino Vice President Chief Accounting Officer for the Registrant 12 EX-27 2 ART. 5 FDS FOR 1ST QUARTER 10-Q
5 The Schedule contains summary financial information extracted from the financial statements for P-B Capital Return Futures Fund 2, L.P. and is qualified in its entirety by reference to such financial statements 0000851786 P-B Capital Return Futures Fund 2, L.P. 1 Dec-31-1997 Jan-1-1997 Mar-31-1997 3-Mos 8,076,439 23,764,785 0 0 0 31,841,224 0 0 31,841,224 809,895 0 0 0 0 31,031,329 31,841,224 0 1,645,708 0 0 1,003,290 0 0 0 0 0 0 0 0 642,418 4.83 0
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