<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 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: 0-19070
 
              PRUDENTIAL-BACHE CAPITAL RETURN FUTURES FUND 3, L.P.
--------------------------------------------------------------------------------
             (Exact name of Registrant as specified in its charter)
 
Delaware                                        13-3544867
--------------------------------------------------------------------------------
(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 __

<PAGE>
                         Part I. FINANCIAL INFORMATION
                          ITEM 1. FINANCIAL STATEMENTS
              PRUDENTIAL-BACHE CAPITAL RETURN FUTURES FUND 3, L.P.
                            (a limited partnership)
                       STATEMENTS OF FINANCIAL CONDITION
                                  (Unaudited)
<TABLE>
<CAPTION>
                                                                        March 31,      December 31,
                                                                          1997             1996
<S>                                                                    <C>             <C>
---------------------------------------------------------------------------------------------------
ASSETS
Equity in commodity trading accounts:
Cash and cash equivalents                                              $19,594,360     $22,358,921
Net unrealized gain on open commodity positions                          1,791,895         341,870
Options, at market                                                          47,559              --
                                                                       -----------     ------------
Total assets                                                           $21,433,814     $22,700,791
                                                                       -----------     ------------
                                                                       -----------     ------------
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable                                                    $   422,028     $   991,115
Incentive fees payable                                                     226,785         256,496
Accrued expenses                                                            69,728          62,974
Management fees payable                                                     51,709          54,531
Due to affiliates                                                           45,502          77,638
                                                                       -----------     ------------
Total liabilities                                                          815,752       1,442,754
                                                                       -----------     ------------
Commitments
Partners' capital
Limited partners (112,739 and 115,048 units outstanding)                20,411,483      21,045,294
General partner (1,141 and 1,163 units outstanding)                        206,579         212,743
                                                                       -----------     ------------
Total partners' capital                                                 20,618,062      21,258,037
                                                                       -----------     ------------
Total liabilities and partners' capital                                $21,433,814     $22,700,791
                                                                       -----------     ------------
                                                                       -----------     ------------
Net asset value per limited and general partnership unit ('Units')     $    181.05     $    182.93
                                                                       -----------     ------------
                                                                       -----------     ------------
---------------------------------------------------------------------------------------------------
                  The accompanying notes are an integral part of these statements
</TABLE>

                                        2
<PAGE>
              PRUDENTIAL-BACHE CAPITAL RETURN FUTURES FUND 3, L.P.
                            (a limited partnership)
                            STATEMENTS OF OPERATIONS
                                  (Unaudited)
 
<TABLE>
<CAPTION>
                                                                              Three months ended
                                                                                   March 31,
                                                                            -----------------------
                                                                               1997         1996
<S>                                                                         <C>           <C>
---------------------------------------------------------------------------------------------------
REVENUES
Net realized gain (loss) on commodity transactions                          $ (973,338)   $ 487,572
Change in net unrealized gain on open commodity positions                    1,444,749     (527,954)
Interest from U.S. Treasury bills                                              187,985      199,285
                                                                            ----------    ---------
                                                                               659,396      158,903
                                                                            ----------    ---------
EXPENSES
Commissions                                                                    389,496      396,483
Other transaction fees                                                          63,813       56,984
Management fees                                                                151,444      152,322
Incentive fees                                                                 226,785       67,355
General and administrative                                                      45,805       48,947
                                                                            ----------    ---------
                                                                               877,343      722,091
                                                                            ----------    ---------
Net loss                                                                    $ (217,947)   $(563,188)
                                                                            ----------    ---------
                                                                            ----------    ---------
ALLOCATION OF NET LOSS
Limited partners                                                            $ (215,766)   $(548,483)
                                                                            ----------    ---------
                                                                            ----------    ---------
General partner                                                             $   (2,181)   $ (14,705)
                                                                            ----------    ---------
                                                                            ----------    ---------
NET LOSS PER WEIGHTED AVERAGE LIMITED AND GENERAL PARTNERSHIP UNIT
Net loss per weighted average limited and general partnership unit          $    (1.88)   $   (4.18)
                                                                            ----------    ---------
                                                                            ----------    ---------
Weighted average number of limited and general partnership units
  outstanding                                                                  116,211      134,867
                                                                            ----------    ---------
                                                                            ----------    ---------
---------------------------------------------------------------------------------------------------
</TABLE>
 
                   STATEMENT OF CHANGES IN PARTNERS' CAPITAL
                                  (Unaudited)
 
<TABLE>
<CAPTION>
                                                              LIMITED       GENERAL
                                                 UNITS       PARTNERS       PARTNER         TOTAL
<S>                                             <C>         <C>             <C>          <C>
----------------------------------------------------------------------------------------------------
Partners' capital--December 31, 1996            116,211     $21,045,294     $212,743     $21,258,037
Net loss                                             --        (215,766)      (2,181)       (217,947)
Redemptions                                      (2,331)       (418,045)      (3,983)       (422,028)
                                                -------     -----------     --------     -----------
Partners' capital--March 31, 1997               113,880     $20,411,483     $206,579     $20,618,062
                                                -------     -----------     --------     -----------
                                                -------     -----------     --------     -----------
----------------------------------------------------------------------------------------------------
                  The accompanying notes are an integral part of these statements
</TABLE>

                                       3
<PAGE>
              PRUDENTIAL-BACHE CAPITAL RETURN FUTURES FUND 3, 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 3, 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').
 
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 three months ended March
31, 1997 and 1996 were:
 
<TABLE>
<CAPTION>
                                                                       1997          1996
        <S>                                                          <C>           <C>
        -----------------------------------------------------------------------------------
        Commissions                                                  $389,496      $396,483
        General and administrative                                     25,672        27,881
                                                                     --------      --------
                                                                     $415,168      $424,364
                                                                     --------      --------
                                                                     --------      --------
</TABLE>
 
   The Partnership maintains its trading and cash accounts with Prudential
Securities Incorporated ('PSI'), the Partnership's commodity broker and an
affiliate of the General Partner. Approximately 75% of the Partnership's trading
assets 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 (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.

                                    4
<PAGE>
   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 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
March 31, 1997 and December 31, 1996, such segregated assets totalled
$18,641,844 and $20,318,217, 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 $2,791,970 and $2,382,574 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 and options contracts are:
 
<TABLE>
<CAPTION>
                                            March 31,      December 31,
                                               1997            1996
                                           ------------    ------------
<S>                                        <C>             <C>
Financial Futures Contracts:
  Commitments to purchase                  $         --    $229,278,898
  Commitments to sell                      $403,723,040    $ 41,744,989
Other Futures
 and Options Contracts:
  Commitments to purchase                  $ 20,927,169    $      6,484
  Commitments to sell                      $  1,483,658    $    227,403
</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.

                                   5
<PAGE>
   At March 31, 1997 and December 31, 1996, the fair value of futures and
options contracts was:
 
<TABLE>
<CAPTION>
                                                    March 31, 1997                December 31, 1996
                                           --------------------------------    ------------------------
<S>                                        <C>               <C>               <C>         <C>
                                                      Fair Value                      Fair Value
                                           --------------------------------    ------------------------
                                               Assets         Liabilities       Assets     Liabilities
                                           --------------    --------------    --------    ------------
Futures Contracts:
  Domestic exchanges
     Financial                               $  670,900         $     --       $     --      $     --
     Other                                      498,259          115,359             --            --
  Foreign exchanges
     Financial                                  365,370          200,710        333,578       212,627
     Other                                      590,631           17,196        227,403         6,484
Options Contracts:
  Domestic exchanges
     Other                                       47,500               --             --            --
  Foreign exchanges
     Other                                           59               --             --            --
                                           --------------    --------------    --------    ------------
                                             $2,172,719         $333,265       $560,981      $219,111
                                           --------------    --------------    --------    ------------
                                           --------------    --------------    --------    ------------
</TABLE>
 
   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.
 
<TABLE>
<CAPTION>
                                                  Three months ended               Three months ended
                                                    March 31, 1997                   March 31, 1996
                                           --------------------------------    --------------------------
<S>                                        <C>               <C>               <C>           <C>
                                                  Average Fair Value               Average Fair Value
                                           --------------------------------    --------------------------
                                               Assets         Liabilities        Assets      Liabilities
                                           --------------    --------------    ----------    ------------
Futures Contracts:
  Domestic exchanges
     Financial                               $  167,725         $     --       $   69,146      $ 44,115
     Currencies                                  12,591              550           79,150            --
     Other                                      228,526           87,923          768,572       156,737
  Foreign exchanges
     Financial                                  256,671          167,678           68,042        16,632
     Other                                      421,325           31,620          124,917       112,928
Forward Contracts:
     Other                                           --               --            5,292        10,553
Options Contracts:
  Domestic exchanges
     Other                                       11,875               --           33,216            --
  Foreign Exchanges
     Other                                          691               --               --            --
                                           --------------    --------------    ----------    ------------
                                             $1,099,404         $287,771       $1,148,335      $340,965
                                           --------------    --------------    ----------    ------------
                                           --------------    --------------    ----------    ------------
</TABLE>

                        6
<PAGE>
   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:
 
<TABLE>
<CAPTION>
                                  Three months ended March 31, 1997                   Three months ended March 31, 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               $ (680,718)        $  670,900       $  (9,818)       $ 221,536          $  (36,031)      $ 185,505
     Currencies                (146,417)                --        (146,417)        (108,315)             14,988         (93,327)
     Other                      304,625            382,900         687,525          757,605             120,589         878,194
  Foreign exchanges
     Financial                 (856,199)            43,709        (812,490)        (226,616)           (619,968)       (846,584)
     Other                      224,899            352,516         577,415          (56,070)             11,689         (44,381)
Forward Contracts:
     Other                           --                 --              --           24,002             (15,784)          8,218
Options Contracts:
  Domestic exchanges
     Currencies                 183,984                 --         183,984               --                  --              --
     Other                           50              3,250           3,300         (104,882)             (3,437)       (108,319)
  Foreign exchanges
     Other                       (3,562)            (8,526)        (12,088)         (19,688)                 --         (19,688)
                           --------------     --------------     ---------     ---------------     --------------     ---------
                             $ (973,338)        $1,444,749       $ 471,411        $ 487,572          $ (527,954)      $ (40,382)
                           --------------     --------------     ---------     ---------------     --------------     ---------
                           --------------     --------------     ---------     ---------------     --------------     ---------
</TABLE>

                             7<PAGE>
<PAGE>
              PRUDENTIAL-BACHE CAPITAL RETURN FUTURES FUND 3, 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 30, 1990 with gross proceeds of
$65,520,000. After accounting for organizational and offering costs, the
Partnership's net proceeds were $64,222,750. At the inception of the
Partnership, sixty percent of the net proceeds was allocated to trading activity
and forty percent was placed in reserve and invested in investment grade
interest-bearing obligations ('Reserve Assets'). On June 30, 1995, the Reserve
Assets matured and the resulting proceeds were allocated to commodities trading.
 
   As of March 31, 1997, 100% of the Partnership's 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 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 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
three months ended March 31, 1997 were $418,045 and $3,983, respectively, and
from commencement of operations, May 30, 1990, through March 31, 1997 totalled
$60,403,668 and $716,172, respectively. Future redemptions will impact the
amount of funds available for investment in commodity contracts in subsequent
periods.
 
Results of Operations
 
   The net asset value per Unit as of March 31, 1997 was $181.05, a decrease of
1.03% from the December 31, 1996 net asset value per Unit of $182.93.
 
   The Partnership's negative performance during the month of January resulted
from losses in the financial, stock index, currency and energy sectors which
outpaced gains in the grain and metal sectors. In the financial sector, losses
were experienced in U.S., Australian, British, Canadian, French, German, Italian
and Spanish bond positions. The bull market in global bonds came to a halt in
January in reaction to increased U.S. interest rates. Early in the month, U.S.
interest rate markets fell as concerns that stronger U.S. growth might prompt
the Federal Reserve to raise interest rates. The markets subsequently rose on
robust fourth quarter economic results, while prices and wages remained well
contained. The Japanese bond market continued to move independently of higher
U.S. interest rates and rose mostly as a reaction to falling Japanese stock
prices. In the stock index sector, positions in the S&P 500 were unprofitable as
were light crude positions in the energy sector. In the currency sector, German
mark and Japanese yen positions

                                        8<PAGE>
<PAGE>
incurred losses. In the grain sector, soybean and bean meal positions profited
following the release of a January 10th report on the short supply of soybeans.
In the metal sector, gold prices fell, partially due to market concerns about
central banks selling off a portion of their gold reserves. Positions in gold,
aluminum and silver were profitable.
 
   The Partnership's positive performance in the month of February resulted from
profits in the metal, grain and financial sectors. Losses were incurred in the
stock index, currency and energy sectors. In the metal sector, positions in
copper, aluminum, nickel and zinc posted gains. Base metal prices rose during
the month on expectations of rising demand from developing and industrialized
countries. Copper prices also soared on news of decreased London stockpiles. In
the grain sector, corn, wheat, soybean and soybean by-products positions were
profitable. Prices rose as the markets focused attention on historically low
supplies in the major grain producing regions of the world coupled with signs of
stronger demand. In the financial sector, U.S., German, Italian, French and
Spanish bond positions were profitable. In the second half of the month, prices
fell as they reflected concerns about possible delays to European economic and
monetary union.
 
   The Partnership's positive performance during March resulted from profits in
the grain, stock index and financial sectors. Losses were incurred in the metal,
currency, energy and soft sectors. In the grain sector, positions in soybeans,
soybean meal, corn and wheat posted gains. The price of soybean futures moved
higher on reports from the U.S. Department of Agriculture which showed continued
high levels of export sales. In other grain markets, wheat futures rose on
strong export demand, particularly from Asia, and weather concerns for
wheat-planting regions. In the stock index sector, short S&P positions profited
as U.S. stock markets tumbled in anticipation of further interest rate
increases. Hong Kong Hang Seng positions also provided gains for the
Partnership. In the financial sector, U.S., Italian, Eurodollar and Eurolira
positions were profitable. Positions in U.S. bonds gained after the U.S. Federal
Reserve raised its key short-term interest rate by a quarter of a percentage
point, the first increase in more than two years. The rise in the targeted
federal funds rate to 5.5% was intended to 'cool off' the U.S. economy and stem
potential inflationary pressures. Upon the announcement, the U.S. bond market
initially moved higher, but prices fell as worries set in that the raise in
rates could be the first in a series. In the metal sector, positions in silver,
gold and aluminum were unprofitable. Precious metals markets were volatile,
reflecting turmoil in world equity markets.
 
   Interest income from U.S. Treasury bills decreased by $11,300 for the three
months ended March 31, 1997 as compared to the same period in 1996 due to the
effect of redemptions on funds available for investment in U.S. Treasury bills.
 
   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 $6,987 for the three months ended March 31, 1997 as
compared to the same period in 1996 primarily due to the effect of redemptions
on the monthly net asset values.
 
   Other transaction fees consist of National Futures Association, exchange,
floor brokerage and clearing fees which are based on the number of trades the
trading managers execute. Other transaction fees increased by $6,829 for the
three months ended March 31, 1997 as compared to the same period in 1996
primarily due to increased trading volume.
 
   All trading decisions are currently being made by Sjo, Inc. and Willowbridge
Associates Inc. (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 were relatively unchanged for the three months ended March 31, 1997 as
compared to the same period in 1996.
 
   Incentive fees are based on New High Net Trading Profits generated by each
Trading Manager, as defined in the Advisory Agreements between the Partnership,
the General Partner and each Trading Manager. Despite overall net trading losses
for the Partnership, Willowbridge Associates Inc. generated profits during the
three months ended March 31, 1997 and 1996, earning incentive fees of $226,785
and $67,355, respectively.
 
   General and administrative expenses decreased by $3,142 for the three months
ended March 31, 1997 as compared to the same period in 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.
 <PAGE>
                                         9
<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
 
              4.1   Agreement of Limited Partnership of the Registrant, dated as
                    of November 27, 1989 as amended and restated as of January
                    30, 1990 (incorporated by reference to Exhibits 3.1 and 4.1
                    to the Registrant's Quarterly Report on Form 10-Q for the
                    period ended June 30, 1990)
 
              4.2   Subscription Agreement (incorporated by reference to
                    Exhibit 4.2 to the Registrant's Registration
                    Statement on Form S-1, File No. 33-32355)
 
              4.3   Request for Redemption (incorporated by
                    reference to Exhibit 4.3 to the Registrant's
                    Registration Statement on Form S-1, File No.
                    33-32355)
 
             27.1   Financial Data Schedule (filed herewith)
 
       (b) Reports on Form 8-K--None

                                 10
<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 Capital Return Futures Fund 3, L.P.
 
By: Seaport Futures Management, Inc.
    A Delaware corporation, General Partner
 
     By: /s/ Steven Carlino                       Date: May 15, 1997
     ----------------------------------------
     Steven Carlino
     Vice President
     Chief Accounting Officer for the
     Registrant

                                     11