<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, 1998
 
                                       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        (I.R.S. Employer Identification No.)
incorporation or organization)                 
 
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 __

<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,
                                                                          1998             1997
<S>                                                                    <C>             <C>
---------------------------------------------------------------------------------------------------
ASSETS
Equity in commodity trading accounts:
Cash                                                                   $ 3,622,828     $ 3,247,888
U.S. Treasury bills, at amortized cost                                  13,085,429      14,063,335
Net unrealized gain on open commodity positions                            556,094         795,209
Options, at market                                                         100,442         124,575
                                                                       -----------     ------------
Total assets                                                           $17,364,793     $18,231,007
                                                                       -----------     ------------
                                                                       -----------     ------------
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable                                                    $   706,728     $   587,036
Accrued expenses                                                            60,248          64,500
Management fees payable                                                     36,147          37,646
Due to affiliates                                                           43,305          20,512
                                                                       -----------     ------------
Total liabilities                                                          846,428         709,694
                                                                       -----------     ------------
Commitments
Partners' capital
Limited partners (98,804 and 103,033 units outstanding)                 16,352,857      17,346,056
General partner (1,000 and 1,041 units outstanding)                        165,508         175,257
                                                                       -----------     ------------
Total partners' capital                                                 16,518,365      17,521,313
                                                                       -----------     ------------
Total liabilities and partners' capital                                $17,364,793     $18,231,007
                                                                       -----------     ------------
                                                                       -----------     ------------
Net asset value per limited and general partnership unit ('Units')     $    165.51     $    168.35
                                                                       -----------     ------------
                                                                       -----------     ------------
---------------------------------------------------------------------------------------------------
</TABLE>
            The accompanying notes are an integral part of these statements.

                                       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,
                                                                            -----------------------
                                                                              1998          1997
<S>                                                                         <C>          <C>
---------------------------------------------------------------------------------------------------
REVENUES
Net realized gain (loss) on commodity transactions                          $ 370,561    $ (973,338)
Change in net unrealized gain on open commodity positions                    (302,688)    1,444,749
Interest from U.S. Treasury bills                                             182,166       187,985
                                                                            ---------    ----------
                                                                              250,039       659,396
                                                                            ---------    ----------
EXPENSES
Commissions                                                                   333,091       389,496
Other transaction fees                                                         57,348        63,813
Management fees                                                               111,225       151,444
Incentive fees                                                                     --       226,785
General and administrative                                                     44,595        45,805
                                                                            ---------    ----------
                                                                              546,259       877,343
                                                                            ---------    ----------
Net loss                                                                    $(296,220)   $ (217,947)
                                                                            ---------    ----------
                                                                            ---------    ----------
ALLOCATION OF NET LOSS
Limited partners                                                            $(293,257)   $ (215,766)
                                                                            ---------    ----------
                                                                            ---------    ----------
General partner                                                             $  (2,963)   $   (2,181)
                                                                            ---------    ----------
                                                                            ---------    ----------
NET LOSS PER WEIGHTED AVERAGE LIMITED AND GENERAL PARTNERSHIP UNIT
Net loss per weighted average limited and general partnership unit          $   (2.85)   $    (1.88)
                                                                            ---------    ----------
                                                                            ---------    ----------
Weighted average number of limited and general partnership units
  outstanding                                                                 104,074       116,211
                                                                            ---------    ----------
                                                                            ---------    ----------
---------------------------------------------------------------------------------------------------
</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, 1997            104,074     $17,346,056     $175,257     $17,521,313
Net loss                                             --        (293,257)      (2,963)       (296,220)
Redemptions                                      (4,270)       (699,942)      (6,786)       (706,728)
                                                -------     -----------     --------     -----------
Partners' capital--March 31, 1998                99,804     $16,352,857     $165,508     $16,518,365
                                                -------     -----------     --------     -----------
                                                -------     -----------     --------     -----------
----------------------------------------------------------------------------------------------------
                  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, 1998
                                  (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, 1998 and the results of its operations for the
three months ended March 31, 1998 and 1997. 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, 1997.
 
   Certain balances from the prior year 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 three months ended March
31, 1998 and 1997 were:
 
<TABLE>
<CAPTION>
                                                                       1998          1997
        <S>                                                          <C>           <C>
        -----------------------------------------------------------------------------------
        Commissions                                                  $333,091      $389,496
        General and administrative                                     25,650        25,672
                                                                     --------      --------
                                                                     $358,741      $415,168
                                                                     --------      --------
                                                                     --------      --------
</TABLE>
 
   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. Except for the portion of assets that is
deposited as margin to maintain forward currency contract positions as further
discussed below, the Partnership's assets are maintained either with PSI or, for
margin purposes, with the various exchanges on which the Partnership is
permitted to trade.
 
   The Partnership acting through its trading managers, executes
over-the-counter, spot, forward and/or option foreign exchange transactions with
PSI. PSI then engages in back-to-back trading with an affiliate,
Prudential-Bache Global Markets Inc. ('PBGM'). PBGM attempts to earn a profit on
such transactions. PBGM keeps its prices on foreign currency competitive with
other interbank currency trading desks. All over-the-counter currency
transactions are conducted between PSI and the Partnership pursuant to a line of
credit. PSI may require that collateral be posted against the marked-to-market
position of the Partnership.
 
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 Partnership presents unrealized gains
and losses on open forward positions as a net amount in the statements of
financial condition because it has a master netting agreement with PSI.
 
   The General Partner attempts to minimize both credit and market risks by
requiring the Partnership's trading managers to abide by various trading
limitations and policies. The General Partner monitors compliance with these
trading limitations and policies which include, but are not limited to,
executing and clearing all trades with creditworthy counterparties (currently,
PSI is the sole counterparty or broker); limiting the amount of margin or
premium required for any one commodity or all commodities combined; and
generally limiting transactions to contracts which are traded in sufficient
volume to permit the taking and liquidating of positions. The General Partner
may impose additional restrictions (through modifications of such trading
limitations and policies) upon the trading activities of the trading managers 
as it, in good faith, deems to be in the best interests of the Partnership.
 
   PSI, when acting as the Partnership's futures commission merchant in
accepting orders for the purchase or sale of domestic futures and options
contracts, is required by Commodity Futures Trading Commission ('CFTC')
regulations to separately account for and segregate as belonging to the
Partnership all assets of the Partnership relating to domestic futures and
options trading and is not to commingle such assets with other assets of PSI. 
At March 31, 1998 and December 31, 1997, such segregated assets totalled
$12,734,610 and $13,304,825, 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 $4,498,587 and $4,996,751 at March 31, 1998
and December 31, 1997, respectively. There are no segregation requirements for
assets related to forward trading.
 
   As of March 31, 1998, the Partnership's open futures, forward and options
contracts mature within one year.
 
   At March 31, 1998 and December 31, 1997, gross contract amounts of open
futures, forward and options contracts are:
 
<TABLE>
<CAPTION>
                                               1998            1997
                                           ------------    ------------
<S>                                        <C>             <C>
Financial Futures and Options Contracts:
  Commitments to purchase                  $ 72,452,651    $232,456,787
  Commitments to sell                       148,637,064       3,415,906
Currency Futures and Options Contracts:
  Commitments to purchase                    26,726,732       3,813,407
  Commitments to sell                        24,720,225      20,598,159
Other Futures and Options Contracts:
  Commitments to purchase                     3,797,640       3,477,900
  Commitments to sell                         6,317,339       7,212,160
Currency Forward Contracts:
  Commitments to purchase                     4,147,099       2,621,143
  Commitments to sell                                --         477,804
Other Forward Contracts:
  Commitments to purchase                     3,912,761         333,510
</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,
                                       5
<PAGE>

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, 1998 and December 31, 1997, the fair value of open futures,
forward and options contracts was:
 
<TABLE>
<CAPTION>
                                                         1998                             1997
                                           --------------------------------    --------------------------
                                               Assets         Liabilities        Assets      Liabilities
                                           --------------    --------------    ----------    ------------
<S>                                        <C>               <C>               <C>           <C>
Futures Contracts:
  Domestic exchanges
     Financial                               $  112,195         $ 15,875       $  204,288      $ 83,550
     Currencies                                 473,732           40,322          171,503        10,585
     Other                                      118,066          140,649          279,386        41,549
  Foreign exchanges
     Financial                                   70,065           95,741          396,408         9,479
     Other                                       27,319           84,292           63,081       103,725
Forward Contracts:
     Currencies                                      --           19,542               --        68,270
     Other                                      151,138               --               --         2,299
Options Contracts:
  Domestic exchanges
     Financial                                   49,875               --           23,375            --
     Currencies                                  34,650               --          101,200            --
  Foreign exchanges
     Other                                       15,917               --               --            --
                                           --------------    --------------    ----------    ------------
                                             $1,052,957         $396,421       $1,239,241      $319,457
                                           --------------    --------------    ----------    ------------
                                           --------------    --------------    ----------    ------------
</TABLE>
 
   The following table presents the average fair value of futures, forward and
options contracts during the three months ended March 31, 1998 and 1997,
respectively.
 
<TABLE>
<CAPTION>
                                                         1998                             1997
                                           --------------------------------    --------------------------
                                               Assets         Liabilities        Assets      Liabilities
                                           --------------    --------------    ----------    ------------
<S>                                        <C>               <C>               <C>           <C>
Futures Contracts:
  Domestic exchanges
     Financial                               $  162,289         $ 38,893       $  167,725      $     --
     Currencies                                 201,153           30,952           12,591           550
     Other                                      155,886          101,500          228,526        87,923
  Foreign exchanges
     Financial                                  552,424           32,279          256,671       167,678
     Other                                       77,135           80,815          421,325        31,620
Forward Contracts:
     Currencies                                      --           95,466               --            --
     Other                                       95,096              575               --            --
Options Contracts:
  Domestic exchanges
     Financial                                   18,313               --               --            --
     Currencies                                  33,963               --               --            --
     Other                                           --               --           11,875            --
  Foreign exchanges
     Other                                        3,979               --              691            --
                                           --------------    --------------    ----------    ------------
                                             $1,300,238         $380,480       $1,099,404      $287,771
                                           --------------    --------------    ----------    ------------
                                           --------------    --------------    ----------    ------------
</TABLE>
                                       6
<PAGE>
   The following table presents the Partnership's trading revenues for the three
months ended March 31, 1998 and 1997.
 
<TABLE>
<CAPTION>
                                                       1998          1997
                                                    ----------     ---------
                        <S>                         <C>            <C>
                        Futures Contracts:
                          Domestic exchanges
                             Financial              $ (259,713)    $  (9,818)
                             Currencies               (171,104)     (146,417)
                             Other                    (347,872)      687,525
                          Foreign exchanges
                             Financial               1,115,381      (812,490)
                             Other                    (198,049)      577,415
                        Forward Contracts:
                             Currencies               (124,937)           --
                             Other                     194,234            --
                        Options Contracts:
                          Domestic exchanges
                             Financial                 (46,735)           --
                             Currencies                (88,275)      183,984
                             Other                          --         3,300
                          Foreign exchanges
                             Other                      (5,057)      (12,088)
                                                    ----------     ---------
                                                    $   67,873     $ 471,411
                                                    ----------     ---------
                                                    ----------     ---------
</TABLE>
                                       7
<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, 60% of the net proceeds was allocated to trading activity. In
conjunction with a letter of credit ('Letter of Credit'), the remaining 40% was
placed in reserve and invested in investment grade interest-bearing obligations
('Reserve Assets'). On June 30, 1995, the Letter of Credit expired and the
Reserve Assets matured with the resulting proceeds allocated to commodities
trading.
 
   As of March 31, 1998, 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 76% 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, 1998 were $699,942 and $6,786, respectively, and
from commencement of operations, May 30, 1990, through March 31, 1998 totalled
$62,729,553 and $739,749, 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, 1998 was $165.51, a decrease of
1.69% from the December 31, 1997 net asset value per Unit of $168.35.
 
   The Partnership's positive performance during the month of January resulted
from profits in the financial, index, energy and metal sectors, which were
somewhat offset by losses in the currency, soft and grain sectors. As U.S. bond
yields fell below 6%, global bond prices rose during the first two weeks of
January. During the second half of the month, fears over a possible acceleration
of the Asian financial crisis began to subside. Consequently, global bond prices
declined from their mid-January peak as investors pulled back from bonds. This
correction caused the Partnership to cover many long bond positions resulting in
profits in German, U.S., French, Italian, British and Euroswiss bonds. In the
index sector, gains were achieved in the U.S. Dollar Index, the French CAC 40
and the Hong Kong Hang Seng. Gains were somewhat offset by losses, particularly
in the soft sector as coffee prices surged on supply concerns prompted by tight

                                       8
<PAGE>
stockpiles and dry weather conditions. Currency sector positions were
unprofitable as fears regarding the Far East waned and investors were no longer
as concerned with the flight to quality. This shift resulted in the Partnership
experiencing losses in Japanese yen, Australian dollar and British pound
positions and in Canadian dollar/Japanese yen and Japanese yen/British pound
crossrate positions.
 
   The Partnership's negative performance during the month of February resulted
from losses in the currency, soft, index and energy sectors. Gains were achieved
in the metal, grain and financial sectors. Currency sector positions lost value
as a reversal in the Japanese yen on hopes that the Japanese government might
take stronger fiscal action to improve the economy, led to losses in the
Partnership's short positions. Positions in the German deutsche mark and British
pound lost, and crossrate positions in the Japanese yen/deutsche mark, Canadian
dollar/deutsche mark and Canadian dollar/Japanese yen were also unprofitable.
Prices in both coffee and cocoa declined during the month resulting in losses
for the soft sector. As U.S. indices continued to rally, short S&P 500 positions
experienced losses. Additionally, positions in the Hong Kong Hang Seng and
Japanese Nikkei were not profitable. Long positions in silver profited as prices
soared in response to significant buying by a larger investor, helping to offset
Partnership losses. Positions in zinc and aluminum added value as well. In the
grain sector, the Partnership gained from positions in corn, soybean meal and
soybean oil.
 
   The Partnership's negative performance during the month of March resulted
from losses in the financial, metal, soft, energy, grain and index sectors.
Gains were achieved in the currency sector. In the financial sector, U.S. bond
yields reversed direction and rose due to reduced deflationary market
expectations. Additionally, in Japan, bond prices varied widely on reports that
a government stimulus package would fall short of necessary measures. Both
market actions generated losses for the Partnership. Euroswiss and French
notional bond positions lost value as well. Short gold positions in the metal
sector were the most unprofitable for the Partnership as prices soared on
renewed buying as a hedge against inflation. Positions in nickel and zinc also
suffered losses. A pledge by OPEC members to curtail production caused crude and
light crude oil prices to spike, resulting in losses for the Partnership in the
energy sector. On the positive side, the Partnership profited in the currency
sector as investors began to move away from the Swiss franc. Japanese yen
positions and Japanese yen/deutsche mark crossrates were profitable.
 
   Interest income from U.S. Treasury bills decreased by $5,819 for the three
months ended March 31, 1998 as compared to the same period in 1997 primarily 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.
The monthly net asset values during the first three months of 1997 were boosted
by strong trading performance during the latter part of 1996 and continued
positive trading performance during the first three months of 1997. However, the
effect of poor trading performance during the second quarter of 1997 as well as
redemptions on the monthly net asset values caused commissions to decrease by
$56,405 for the three months ended March 31, 1998 as compared to the same period
in 1997.
 
   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 decreased by $6,465 for the
three months ended March 31, 1998 as compared to the same period in 1997
primarily due to lower 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 decreased by $40,219 for the three months ended March 31, 1998 as compared
to the same period in 1997 for the same reasons commissions decreased as
discussed above.
 
   Incentive fees are based on New High Net Trading Profits generated by each
Trading Manager, as defined in the Advisory Agreements among the Partnership,
the General Partner and each Trading Manager. Despite overall net trading losses
for the Partnership in 1997, Willowbridge Associates Inc., earned incentive fees
of $226,785. These fees were primarily attributable to strong trading
performance during the latter part of 1996 capped off by positive trading
performance during the first three months of 1997. There were no incentive fees
earned during the three months ended March 31, 1998.
 
                                       9
<PAGE>

   General and administrative expenses decreased by $1,210 for the three months
ended March 31, 1998 as compared to the same period in 1997. 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.
 
                                       10
<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
 
                                       11
<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 14, 1998
     ----------------------------------------
     Steven Carlino
     Vice President
     Chief Accounting Officer for the Registrant

                                       12