<PAGE>
                                                         1999
--------------------------------------------------------------------------------
Prudential-Bache                                         Annual
OptiMax Futures Fund, L.P.                               Report

<PAGE>
                       LETTER TO LIMITED PARTNERS FOR
                  PRUDENTIAL-BACHE OPTIMAX FUTURES FUND, L.P.



                                       1
<PAGE>
PricewaterhouseCoopers (LOGO)

                                            PricewaterhouseCoopers LLP
                                            1177 Avenue of the Americas
                                            New York, NY 10036
                                            Telephone (212) 596 8000
                                            Facsimile (212) 596 8910

                       Report of Independent Accountants

To the General Partner and
Limited Partners of
Prudential-Bache OptiMax Futures Fund, L.P.

In our opinion, the accompanying statements of financial condition and the
related statements of operations and changes in partners' capital present
fairly, in all material respects, the financial position of Prudential-Bache
OptiMax Futures Fund at December 31, 1999 and 1998, and the results of its
operations for each of the three years in the period ended December 31, 1999 in
conformity with accounting principles generally accepted in the United States.
These financial statements are the responsibility of the General Partner; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these statements in accordance with
auditing standards generally accepted in the United States which require that we
plan and perform the audit to obtain reasonable assurance about whether the
financial statements are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements, assessing the accounting principles used and
significant estimates made by the General Partner, and evaluating the overall
financial statement presentation. We believe that our audits provide a
reasonable basis for the opinion expresssed above.

/s/ PricewaterhouseCoopers LLP
January 28, 2000

                                       2
<PAGE>
                  PRUDENTIAL-BACHE OPTIMAX FUTURES FUND, L.P.
                            (a limited partnership)
                       STATEMENTS OF FINANCIAL CONDITION
<TABLE>
<CAPTION>
                                                                                December 31,
                                                                        -----------------------------
<S>                                                                     <C>              <C>
                                                                            1999             1998
-----------------------------------------------------------------------------------------------------
ASSETS
Cash                                                                    $ 2,984,501      $ 3,691,861
U.S. Treasury bills, at amortized cost                                   10,363,288       12,336,668
Net unrealized gain on open futures contracts                               910,586          822,226
                                                                        ------------     ------------
Total assets                                                            $14,258,375      $16,850,755
                                                                        ------------     ------------
                                                                        ------------     ------------
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable                                                     $   435,781      $   230,441
Net unrealized loss on open forward contracts                               212,717          237,698
Accrued expenses                                                             94,341           70,377
Management fees payable                                                      23,250           27,570
Other transaction fees payable                                                  778            1,260
                                                                        ------------     ------------
Total liabilities                                                           766,867          567,346
                                                                        ------------     ------------
Commitments
Partners' capital
Limited partners (73,104.467 and 81,916.579 OptiMax Units
  outstanding)                                                           13,356,495       16,120,466
General partner (739 and 828 OptiMax Units outstanding)                     135,013          162,943
                                                                        ------------     ------------
Total partners' capital                                                  13,491,508       16,283,409
                                                                        ------------     ------------
Total liabilities and partners' capital                                 $14,258,375      $16,850,755
                                                                        ------------     ------------
                                                                        ------------     ------------
Net asset value per limited and general partnership unit (the
'OptiMax Units')                                                        $    182.70      $    196.79
                                                                        ------------     ------------
                                                                        ------------     ------------
-----------------------------------------------------------------------------------------------------
                  The accompanying notes are an integral part of these statements.
</TABLE>
                                       3

<PAGE>
                  PRUDENTIAL-BACHE OPTIMAX FUTURES FUND, L.P.
                            (a limited partnership)
                            STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
                                                                    Year ended December 31,
                                                           -----------------------------------------
<S>                                                        <C>             <C>            <C>
                                                              1999            1998           1997
----------------------------------------------------------------------------------------------------
REVENUES
Net realized gain on commodity transactions                $    73,503     $5,398,731     $3,646,141
Change in net unrealized gain/loss on open commodity
  positions                                                    113,341       (510,717)       571,523
Interest from U.S. Treasury bills                              533,757        605,034        584,519
                                                           -----------     ----------     ----------
                                                               720,601      5,493,048      4,802,183
                                                           -----------     ----------     ----------

EXPENSES
Commissions                                                  1,242,436      1,296,436      1,191,476
Other transaction fees                                          39,484         71,761         62,540
Management fees                                                309,746        345,315        338,498
Incentive fees                                                  59,653      1,012,240        609,850
General and administrative                                     132,363        113,167        176,821
                                                           -----------     ----------     ----------
                                                             1,783,682      2,838,919      2,379,185
                                                           -----------     ----------     ----------
Net income (loss)                                          $(1,063,081)    $2,654,129     $2,422,998
                                                           -----------     ----------     ----------
                                                           -----------     ----------     ----------
ALLOCATION OF NET INCOME (LOSS)
Limited partners                                           $(1,052,435)    $2,627,581     $2,398,743
                                                           -----------     ----------     ----------
                                                           -----------     ----------     ----------
General partner                                            $   (10,646)    $   26,548     $   24,255
                                                           -----------     ----------     ----------
                                                           -----------     ----------     ----------
NET INCOME (LOSS) PER WEIGHTED AVERAGE LIMITED AND
  GENERAL PARTNERSHIP UNIT
Net income (loss) per weighted average limited and
  general partnership unit                                 $    (13.36)    $    29.85     $    24.91
                                                           -----------     ----------     ----------
                                                           -----------     ----------     ----------
Weighted average number of limited and general
  partnership units outstanding                                 79,547         88,924         97,287
                                                           -----------     ----------     ----------
                                                           -----------     ----------     ----------
----------------------------------------------------------------------------------------------------
                  The accompanying notes are an integral part of these statements.
</TABLE>
                                       4

<PAGE>
                  PRUDENTIAL-BACHE OPTIMAX FUTURES FUND, L.P.
                            (a limited partnership)
                   STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
<TABLE>
<CAPTION>
                                             OPTIMAX          LIMITED       GENERAL
                                              UNITS          PARTNERS       PARTNER         TOTAL
<S>                                        <C>              <C>             <C>          <C>
----------------------------------------------------------------------------------------------------
Partners' capital--December 31, 1996        100,338.759     $14,155,921     $143,080     $14,299,001
Net income                                      --            2,398,743       24,255       2,422,998
Redemptions                                  (7,249.098)     (1,124,341)     (11,456)     (1,135,797)
                                           ------------     -----------     --------     -----------
Partners' capital--December 31, 1997         93,089.661      15,430,323      155,879      15,586,202
Net income                                      --            2,627,581       26,548       2,654,129
Redemptions                                 (10,345.082)     (1,937,438)     (19,484)     (1,956,922)
                                           ------------     -----------     --------     -----------
Partners' capital--December 31, 1998         82,744.579      16,120,466      162,943      16,283,409
Net loss                                        --           (1,052,435)     (10,646)     (1,063,081)
Redemptions                                  (8,901.112)     (1,711,536)     (17,284)     (1,728,820)
                                           ------------     -----------     --------     -----------
Partners' capital--December 31, 1999         73,843.467     $13,356,495     $135,013     $13,491,508
                                           ------------     -----------     --------     -----------
                                           ------------     -----------     --------     -----------
----------------------------------------------------------------------------------------------------
                  The accompanying notes are an integral part of these statements.
</TABLE>
                                       5
<PAGE>
                  PRUDENTIAL-BACHE OPTIMAX FUTURES FUND, L.P.
                            (a limited partnership)
                         NOTES TO FINANCIAL STATEMENTS

A. General

   Prudential-Bache OptiMax Futures Fund, L.P. (the 'Partnership') is a Delaware
limited partnership formed on July 12, 1990 to engage in the speculative trading
of commodity futures, forward and options contracts. The Partnership will
terminate on December 31, 2010 unless ended sooner under the provisions of the
Agreement of Limited Partnership, as amended (the 'Partnership Agreement').
These provisions, as set forth in Article XVII of the Partnership Agreement
include, but are not limited to, the dissolution of the Partnership if the
Partnership's net asset value declines to less than $10 million as of the end of
any business day. On February 15, 1991, the Partnership completed its offering
of units and raised $64,000,000 of Class A units and $6,309,500 of Class B units
from the sale of 633,563 Class A and 62,470 Class B units of limited partnership
interest and 6,437 Class A and 625 Class B units of general partnership interest
and commenced operations.

   Through March 31, 1996, the Partnership maintained two classes (each a
'Class') of units. Class A units provided a downside protection for a period of
approximately five years by investing 40% of its assets in U.S. Treasury bills,
zero coupon bonds and a Guaranteed Investment Contract ('Reserve Assets').
Additionally, an irrevocable letter of credit was issued in favor of the
Partnership by Citibank, N.A. and was intended to provide added protection to
the Class A units against loss of their initial investment as of April 1, 1996.
The remaining assets of the Class A units and 100% of the Class B units were
committed to commodities trading. On April 1, 1996, when the letter of credit
expired and proceeds from the maturity of the Reserve Assets were committed to
commodities trading, the general partner merged the Class A units and Class B
units in accordance with the Partnership Agreement into a newly created Class of
units called the OptiMax Units.

   The general partner of the Partnership is Seaport Futures Management, Inc.
(the 'General Partner') which is an affiliate of Prudential Securities
Incorporated ('PSI'), the Partnership's commodity broker. Both the General
Partner and PSI are wholly owned subsidiaries of Prudential Securities Group
Inc. ('PSGI'). The General Partner is required to maintain at least a one
percent interest in the Partnership as long as it is acting as the Partnership's
general partner.

   The General Partner generally maintains not less than 75% of the
Partnership's net asset value 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. The
remaining 25% of the Partnership's net asset value is held in cash in the
Partnership's commodity trading accounts.

   All trading decisions for the Partnership are currently being made by Eagle
Trading Systems, Inc. ('Eagle'), Robert M. Tamiso ('Tamiso') and Hyman Beck &
Company, Inc. ('Hyman Beck'). Effective May 1, 1997, all assets managed by
Chesapeake Capital Corporation ('Chesapeake') were reallocated to Eagle pursuant
to its Eagle-Global System trading program. The monthly management fee paid to
Eagle equals 1/6 of 1% (a 2% annual rate) of its net asset value as compared to
5/24 of 1% (a 2.5% annual rate) paid to Chesapeake. The quarterly incentive fee
paid to Eagle equals 23% of the New High Net Trading Profits (as defined in the
Advisory Agreement among the Partnership, the General Partner and Eagle) as
compared to 17% of the New High Net Trading Profits paid to Chesapeake. During
July 1998, Willowbridge Associates Inc. ('Willowbridge') ceased to serve as a
trading manager to the Partnership. All assets previously managed by
Willowbridge were reallocated to Tamiso. The monthly management fee paid to
Tamiso equals 1/6 of 1% (a 2% annual rate) of its net asset value as compared to
1/4 of 1% (a 3% annual rate) paid to Willowbridge. The quarterly incentive fee
paid to Tamiso equals 17% of the New High Net Trading Profits as compared to 20%
of the New High Net Trading Profits paid to Willowbridge. The General Partner
retains the authority to override trading instructions that violate the
Partnership's trading policies.

B. Summary of Significant Accounting Policies

Basis of accounting

   The financial statements of the Partnership are prepared in accordance with
generally accepted accounting principles.

                                       6
<PAGE>
   The preparation of financial statements in conformity with generally accepted
accounting principles requires the General Partner to make estimates and
assumptions that affect the reported amounts of liabilities at the date of the
financial statements and the reported amounts of expenses during the reporting
period. Actual results could differ from those estimates.

   Commodity futures and forward transactions are reflected in the accompanying
statements of financial condition on trade date. The difference between the
original contract amount and market value of futures and forward contracts is
reflected as net unrealized gain or loss. The market value of each contract is
based upon the closing quotation on the exchange, clearing firm or bank on, or
through, which the contract is traded.

   To the extent practicable, the Partnership invests a significant portion of
its net asset value in U.S. Treasury bills which are often used to fulfill
margin requirements. U.S. Treasury bills are carried at amortized cost, which
approximates market. Interest on U.S. Treasury bills accrues for the benefit of
the Partnership.

   The weighted average number of limited and general partnership units
outstanding was computed for purposes of disclosing net income (loss) per
weighted average limited and general partnership unit. The weighted average
limited and general partnership units are equal to the number of units
outstanding at year end, adjusted proportionately for the units redeemed based
on their respective time outstanding during such year.

   The Partnership has elected not to provide a Statement of Cash Flows as
permitted by Statement of Financial Accounting Standards No. 102, 'Statement of
Cash Flows--Exemption of Certain Enterprises and Classification of Cash Flows
from Certain Securities Acquired for Resale.'

   Certain balances from the prior year have been reclassified to conform with
the current financial statement presentation.

Income taxes

   The Partnership is not required to provide for, or pay, any Federal or state
income taxes. Income tax attributes that arise from the Partnership's operations
are passed directly to the individual partners. The Partnership may be subject
to other state and local taxes in jurisdictions in which it operates.

Profit and loss allocations, distributions and redemptions

   Net realized profits or losses for tax purposes are allocated first to
partners who redeem units to the extent the amounts received on redemption are
greater than or are less than the amounts paid for the redeemed units by the
partners. Net realized profits or losses remaining after these allocations are
allocated to each partner in proportion to such partner's capital account at
year-end. Net income or loss for financial reporting purposes is allocated
quarterly to all partners on a pro rata basis based on each partner's number of
units outstanding during the quarter.

   Distributions (other than redemptions of units) are made at the sole
discretion of the General Partner on a pro rata basis in accordance with the
respective capital accounts of the partners. No distributions have been made
since inception.

   The Partnership Agreement provides that a partner may redeem its units as of
the last business day of any full calendar quarter at the then current net asset
value per unit.

Accounting for Derivative Instruments

   In June 1998, the Financial Accounting Standards Board issued Statement of
Financial Accounting Standards ('SFAS') No. 133, Accounting for Derivative
Instruments and Hedging Activities, which the Partnership adopted effective
October 1, 1999. SFAS No. 133 establishes accounting and reporting standards for
derivative instruments and for hedging activities and requires that an entity
recognize all derivatives as assets or liabilities measured at fair value. SFAS
No. 133 supersedes SFAS No. 119, Disclosure about Derivative Financial
Instruments and Fair Value of Financial Instruments and SFAS No. 105, Disclosure
of Information about Financial Instruments with Off-Balance Sheet Risk and
Financial Instruments with Concentrations of Credit Risk which required the
disclosure of average aggregate fair values and contract/notional values,
respectively, of derivative financial instruments for an entity like the
Partnership which carries its assets at fair value. The General Partner does not
believe the adoption of SFAS No. 133 has a material effect on the carrying value
of assets and liabilities within the financial statements.

                                       7
<PAGE>
C. Costs, Fees and Expenses

Commissions

   The General Partner, on behalf of the Partnership, entered into an agreement
with PSI to act as commodity broker for the Partnership. The Partnership pays
PSI commissions at a rate of 2/3 of 1% per month (an 8% annual rate) of the
Partnership's net asset value as of the first day of each month. In addition,
the Partnership is obligated to pay the National Futures Association, floor
brokerage, exchange and clearing fees incurred in connection with the
Partnership's commodity trading activities.

Management and incentive fees

   The Partnership pays each trading manager a monthly management fee of 1/6 of
1% (a 2% annual rate) of the portion of the net asset value allocated to each
trading manager as of the end of each month.

   In addition, the Partnership pays each trading manager a quarterly incentive
fee ranging from 17% to 23% of the '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).

   See Note A for further information concerning changes to management and
incentive fees during 1998 and 1997.

General and administrative expenses

   In addition to the costs, fees and expenses previously discussed, the
Partnership reimburses the General Partner and its affiliates for actual
Partnership operating expenses payable by, or allocable to, the Partnership. The
amount of reimbursement from the Partnership is limited by the provisions of the
Partnership Agreement. The Partnership also pays amounts directly to unrelated
parties for certain operating expenses.

D. Related Parties

   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 services and other administrative services.

   The costs incurred for these services for the years ended December 31, 1999,
1998 and 1997 were:

<TABLE>
<CAPTION>
                                                               1999           1998           1997
                                                            ----------     ----------     ----------
<S>                                                         <C>            <C>            <C>
         Commissions                                        $1,242,436     $1,296,436     $1,191,476
         General and administrative                             60,703         65,324         80,720
                                                            ----------     ----------     ----------
                                                            $1,303,139     $1,361,760     $1,272,196
                                                            ----------     ----------     ----------
                                                            ----------     ----------     ----------
</TABLE>

   Expenses payable to the General Partner and its affiliates (which are
included in accrued expenses) as of December 31, 1999 and 1998 were $40,493 and
$15,295, respectively.

   The Partnership's assets are maintained either in trading or cash accounts
with PSI, the Partnership's commodity broker, 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.

                                       8
<PAGE>
E. Income Taxes

   The following is a reconciliation of net income (loss) for financial
reporting purposes to net income (loss) for tax reporting purposes for the years
ended December 31, 1999, 1998 and 1997:

<TABLE>
<CAPTION>
                                                              1999            1998           1997
                                                           -----------     ----------     ----------
<S>                                                        <C>             <C>            <C>
Net income (loss) per financial statements                 $(1,063,081)    $2,654,129     $2,422,998
Change in unrealized gain/loss on nonregulated
  commodity positions                                         (320,108)      (285,928)        85,051
                                                           -----------     ----------     ----------
Tax basis net income (loss)                                $(1,383,189)    $2,368,201     $2,508,049
                                                           -----------     ----------     ----------
                                                           -----------     ----------     ----------
</TABLE>

   The differences between the tax and book bases of partners' capital are
attributable primarily to the cumulative effect of the book to tax income
adjustments.

F. 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 or 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 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.

   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 and its 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. Additionally, pursuant
to the Advisory Agreements among the Partnership, the General Partner and each
trading manager, a trading manager will automatically be terminated if the net
asset value allocated to that trading manager declines by 33 1/3% since the
first day of any calendar year or since the initial allocation of assets to that
trading manager. Furthermore, the Agreement of Limited Partnership provides that
the Partnership will liquidate its positions, and eventually dissolve, if the
Partnership experiences a decline in the net asset value of 50% since the
commencement of trading activities. In each case, the decline in the net asset
value is after giving effect for distributions and redemptions. 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
December 31, 1999, such segregated assets totalled $8,028,726. Part 30.7 of the
CFTC regulations also requires PSI to secure assets of the Partnership related
to foreign futures and options

                                       9

<PAGE>
trading which totalled $6,229,649 at December 31, 1999. There are no segregation
requirements for assets related to forward trading.

   As of December 31, 1999, all open futures and forward contracts mature within
one year.

   Gross contract amounts represent the Partnership's potential involvement in a
particular class of financial instrument (if it were to take or make delivery on
an underlying futures or forward contract). Gross contract amounts significantly
exceed future cash requirements as the Partnership intends to close out open
positions prior to settlement and thus is generally subject only to the risk of
loss arising from the change in the value of the contracts. As such, the
Partnership considers the 'fair value' of its futures and forward contracts to
be the net unrealized gain or loss on the contracts. Thus, the amount at risk
associated with counterparty nonperformance of all contracts is the net
unrealized gain included in the statements of financial condition. The market
risk associated with the Partnership's commitments to purchase commodities is
limited to the gross contract amounts involved, while the market risk associated
with its commitments to sell is unlimited since the Partnership's potential
involvement is to make delivery of an underlying commodity at the contract
price; therefore, it must repurchase the contract at prevailing market prices.

   At December 31, 1998, gross contract amounts of open futures and forward
contracts were:

                                           1998
                                       ------------
Stock Index Futures:
  Commitments to purchase              $   245,410
Interest Rate Futures:
  Commitments to purchase               45,301,774
  Commitments to sell                   50,274,885
Currency Futures:
  Commitments to purchase                  216,163
  Commitments to sell                    1,262,608
Currency Forwards:
  Commitments to purchase                7,750,478
  Commitments to sell                    7,482,181
Commodity Futures:
  Commitments to purchase                  138,101
  Commitments to sell                    8,197,840

   At December 31, 1999 and 1998, the fair value of open futures and forward
contracts was:

<TABLE>
<CAPTION>
                                                       1999                            1998
                                           ----------------------------    ----------------------------
          <S>                              <C>             <C>             <C>             <C>
                                              Assets       Liabilities        Assets       Liabilities
                                           ------------    ------------    ------------    ------------
          Futures Contracts:
            Domestic exchanges
               Interest rates               $  207,534       $     --        $    175        $  3,572
               Stock indices                    87,680             --           3,225              --
               Currencies                       23,261          3,150          20,106           3,388
               Commodities                      12,827         24,975          97,898          22,075
            Foreign exchanges
               Interest rates                   31,830         10,611         635,972           3,568
               Stock indices                   419,307             --           8,536              --
               Commodities                     185,986         19,103          95,112           6,195
          Forward Contracts:
               Currencies                       69,218        281,935              --         237,698
                                           ------------    ------------    ------------    ------------
                                            $1,037,643       $339,774        $861,024        $276,496
                                           ------------    ------------    ------------    ------------
                                           ------------    ------------    ------------    ------------
</TABLE>

                                       10
<PAGE>
   The following table presents the average fair value of futures, forward and
options contracts during the year ended December 31, 1998.

<TABLE>
<CAPTION>
                                                1998
                                   ------------------------------
<S>                                <C>               <C>
                                      Assets         Liabilities
                                   ------------      ------------
Futures Contracts:
  Domestic exchanges
     Interest rates                 $  121,530         $  7,776
     Stock indices                      12,213            1,904
     Currencies                        205,413           27,874
     Commodities                       160,882           30,397
  Foreign exchanges
     Interest rates                    489,348           28,700
     Stock indices                      31,619            6,869
     Commodities                        46,884          138,318
Forward Contracts:
     Currencies                        347,672          281,380
     Commodities                         9,756           13,365
Options Contracts:
  Domestic exchanges
     Interest rates                      5,219               --
     Currencies                          3,175               --
  Foreign exchanges
     Interest rates                        571               --
     Commodities                         1,116               --
                                   ------------      ------------
                                    $1,435,398         $536,583
                                   ------------      ------------
                                   ------------      ------------
</TABLE>
                                       11
<PAGE>
   The following table presents trading revenues from futures, forward and
options contracts for the years ended December 31, 1998 and 1997, respectively:

<TABLE>
<CAPTION>
                                     1998           1997
                                  ----------     ----------
<S>                               <C>            <C>
Futures Contracts:
  Domestic exchanges
     Interest rates               $  928,969     $  557,572
     Stock indices                  (135,513)      (296,710)
     Currencies                     (355,979)       523,171
     Commodities                     263,362        335,196
  Foreign exchanges
     Interest rates                4,712,211        918,969
     Stock indices                  (222,009)       194,240
     Commodities                    (232,652)       141,588

Forward Contracts:
     Currencies                      212,300      1,985,427
     Commodities                    (111,484)       (14,860)

Options Contracts:
  Domestic exchanges
     Interest rates                  (90,705)         1,888
     Stock indices                        --        (11,400)
     Currencies                      (66,612)       (56,626)
     Commodities                          --        (10,356)
  Foreign exchanges
     Interest rates                   (8,148)       (25,079)
     Commodities                      (5,726)       (25,356)
                                  ----------     ----------
                                  $4,888,014     $4,217,664
                                  ----------     ----------
                                  ----------     ----------
</TABLE>
                                       12
<PAGE>
--------------------------------------------------------------------------------

   I hereby affirm that, to the best of my knowledge and belief, the information
contained herein relating to Prudential-Bache OptiMax Futures Fund, L.P. is
accurate and complete.

     SEAPORT FUTURES
     MANAGEMENT, INC.
     (General Partner)

     By: Barbara J. Brooks
     Chief Financial Officer
--------------------------------------------------------------------------------

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                  PRUDENTIAL-BACHE OPTIMAX FUTURES FUND, L.P.
                            (a limited partnership)
               MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL
                      CONDITION AND RESULTS OF OPERATIONS

Liquidity and Capital Resources

   The Partnership commenced operations on February 15, 1991 with gross proceeds
of $70,309,500. After accounting for organizational and offering expenses, the
Partnership's net proceeds were $62,452,578 for Class A units and $6,156,925 for
Class B units. Through March 31, 1996, the Partnership maintained two classes
(each a 'Class') of units. Class A units provided a downside protection for a
period of approximately five years by investing 40% of its assets in U.S.
Treasury bills, zero coupon bonds and a Guaranteed Investment Contract ('Reserve
Assets'). Additionally, an irrevocable letter of credit was issued in favor of
the Partnership by Citibank, N.A. and was intended to provide added protection
to the Class A units against loss of their initial investment as of April 1,
1996. The remaining assets of the Class A units and 100% of the Class B units
were committed to commodities trading. On April 1, 1996, when the letter of
credit expired and proceeds from the maturity of the Reserve Assets were
committed to commodities trading, the general partner merged the Class A units
and Class B units in accordance with the Partnership Agreement into a newly
created Class of units called the OptiMax Units.

   At December 31, 1999, 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 net asset value 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 Partnership's exposure to market risk is
influenced by a number of factors including the volatility of interest rates and
foreign currency exchange rates, the liquidity of the markets in which the
contracts are traded and the relationship among the contracts held. The inherent
uncertainty of the Partnership's speculative trading as well as the development
of drastic market occurrences could result in monthly losses considerably beyond
the Partnership's experience to date and could ultimately lead to a loss of all
or substantially all of investors' capital. The General Partner attempts to
minimize these risks by requiring the Partnership and its trading managers to
abide by various trading limitations and policies which include limiting margin
amounts, trading only in liquid markets and utilizing stop loss provisions. See
Note F to the financial statements for a further discussion on the credit and
market risks associated with the Partnership's futures and forward contracts.

   The Partnership does not have, nor does it expect to have, any capital
assets.

   Redemptions by limited partners recorded for the years ended December 31,
1999, 1998 and 1997 were $1,711,536, $1,937,438 and $1,124,341, respectively.
Additionally, redemptions by the General Partner recorded for the years ended
December 31, 1999, 1998 and 1997 were $17,284, $19,484 and $11,456,
respectively. Redemptions by limited partners and the General Partner recorded
from commencement of

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operations, February 15, 1991, through December 31, 1999 totalled $76,355,940
(including $816,522 General Partner redemptions). Future redemptions will impact
the amount of funds available for investment in commodity contracts in
subsequent periods.

   In accordance with the Agreement of Limited Partnership, if the Partnership's
net asset value declines below $10 million as of the end of any business day,
the Partnership will dissolve.

Results of Operations

   The net asset value per OptiMax Unit as of December 31, 1999 was $182.70, a
decrease of 7.16% from the December 31, 1998 net asset value per OptiMax Unit of
$196.79, which was an increase of 17.54% from the December 31, 1997 net asset
value per OptiMax Unit of $167.43. The MAR (Managed Account Reports) Fund/Pool
Index, which tracked the performance of 317 and 281 futures funds in 1999 and
1998, returned gains of 1.48% and 6.81%, respectively. Past performance is not
necessarily indicative of future results.

   The Partnership's unfavorable performance in 1999 resulted from losses in the
metal, financial, and index sectors, offset by gains in the currency, energy,
grain, and soft sectors.

   Volatility in the silver market throughout 1999 provided for significant
metal sector losses. Silver began the year with a rally, but events in
Yugoslavia forced a reversal. Into the second quarter silver failed to recognize
a trend. In September, the European Central Bank's (ECB) decision to limit both
gold sales and lending triggered strong movement in the gold market. Gold prices
rose to two year highs over a ten-day period, causing short positions to incur
losses for the Partnership. Silver moved in conjunction with gold as prices
rallied towards the end of the third quarter and into the fourth also generating
losses.

   In the financial sector, profits earned in the second and third quarters were
not enough to offset losses in the first and fourth quarters. Volatility
throughout the interest rate markets in the first quarter forced many positions
to be closed at a loss. In the fourth quarter, global bond markets fell as a
resurgence of inflation and interest rate fears were initiated by consistently
strong U.S. economic data, evidence of rising inflation in Germany, and
increased oil prices. Long positions in European and Australian bonds incurred
losses.

   Gains in the first half of the year outpaced losses in the second half for
the Partnership's currency sector positions. Short Swiss franc positions
profited in the first quarter and into the second quarter as a strong U.S.
economy caused the dollar to rise in value against it and most major currencies.
Additionally, the Swiss franc lost value versus the U.S. dollar in the second
quarter after losing its safe haven attraction as the war in Kosovo ended in
May. Short positions in the euro benefited the Partnership during the first half
of 1999. The euro fell in the first quarter amid a considerable slowdown in
European growth and speculation that the European Central Bank would have to cut
interest rates to smooth the transition to the new currency. A continuing strong
U.S. economy and deteriorating confidence drove the euro's slide into the second
quarter.

   Second and third quarter gains made for a profitable energy sector in 1999.
Long positions, particularly crude oil and derivative products, provided gains
when prices rose as extremely hot U.S. weather drove increased utility demand
during June and following statements by Saudi Arabian and Mexican oil ministers
reporting a high degree of compliance with OPEC production cuts. These
production cuts continued to prove beneficial for the Partnership into the third
quarter.

   Surpluses in the grain sector drove gains in short soybean and wheat
positions. Weak Asian demand during the first quarter and the alleviation in
August of drought-related supply concerns caused soybean prices to fall.

   Interest income is earned on the Partnership's investment in U.S. Treasury
bills and varies monthly based on interest rates as well as the effect of
trading performance and redemptions on the level of funds available for
investment in U.S. Treasury bills. Weak trading performance during 1999, the
liquidation of U.S. Treasury bills for the payment of redemptions, and lower
interest rates during 1999 were the primary reasons for the decrease in interest
income from U.S. Treasury bills of approximately $71,000 for the year ended
December 31, 1999 as compared to 1998. The increase in interest income during
1998 versus 1997 of $21,000 was the result of strong trading performance during
1998, partially offset by the liquidation of U.S. Treasury bills for the payment
of redemptions.

   Commissions are calculated on the net asset value on the first day of each
month and, therefore, vary due to trading performance and redemptions. Weak
trading performance and redemptions during 1999 resulted

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in a decrease of approximately $54,000 in commissions for the year ended
December 31, 1999 as compared to 1998. Commissions increased approximately
$105,000 for the year ended December 31, 1998 compared to 1997 due primarily to
strong trading performance in 1998, partially offset by redemptions.

   Other transaction fees consist of National Futures Association, exchange and
clearing fees which are based on the number of trades the trading managers
execute, as well as which exchange, clearing firm or bank on, or through, which
the contract is traded. Other transaction fees decreased approximately $32,000
for the year ended December 31, 1999 as compared to 1998, but increased
approximately $9,000 for the year ended December 31, 1998 as compared to 1997
primarily due to fluctuations in trading volume.

   All trading decisions for the Partnership are currently being made by Eagle
Trading Systems, Inc. ('Eagle'), Robert M. Tamiso ('Tamiso') and Hyman Beck &
Company, Inc. ('Hyman Beck'). Effective May 1, 1997, all assets previously
managed by Chesapeake Capital Corporation ('Chesapeake') were reallocated to
Eagle pursuant to its Eagle-Global System trading program. Eagle is paid a
monthly management fee at a 2% annual rate on its net asset value compared to
2.5% paid to Chesapeake. Additionally, during July 1998, Willowbridge Associates
Inc. ('Willowbridge') ceased to serve as a trading manager to the Partnership.
All assets previously managed by Willowbridge were reallocated to Tamiso. Tamiso
is paid a monthly management fee at a 2% annual rate on its net asset value
compared to 3% paid to Willowbridge.

   Management fees are calculated on the portion of the net asset value
allocated to each trading manager at the end of each month, and, therefore, are
affected by trading performance and redemptions. Management fees decreased
$36,000 for the year ended December 31, 1999 as compared to 1998 primarily due
to lower monthly net asset values as a result of weak trading performance and
redemptions during 1999, as well as a reduction in the management fee rate from
a 3% annual rate to 2% on the portion of the net assets that were reallocated
from Willowbridge to Tamiso as discussed above. Management fees increased $7,000
for the year ended December 31, 1998 as compared to 1997 primarily due to the
effect of strong trading performance during 1998 offset, in part, by redemptions
and a reduction in the management fee rates paid to Tamiso and Eagle as compared
to Willowbridge and Chesapeake, respectively, as discussed above.

   Incentive fees are based on the 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. Incentive fees of
$60,000, $1,012,000 and $610,000 were earned during the years ended December 31,
1999, 1998 and 1997, respectively. Although the Partnership ended 1999 with an
overall loss, incentive fees were earned by Tamiso from positive trading
performance during the first six months of 1999. The payment of these fees is
not contingent upon the future trading performance of the trading managers,
either collectively or individually, and therefore, is unaffected by the
Partnership's weak trading performance during the remainder of the year.

   General and administrative expenses increased approximately $19,000 for the
year ended December 31, 1999 as compared to 1998. 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. General
and administrative expenses decreased by approximately $64,000 for the year
ended December 31, 1998 as compared to 1997 due, in part, to costs incurred
during the first quarter of 1997 relating to the expiration of the letter of
credit and the merger of the A and B units as discussed in Note A to the
financial statements.

Accounting for Derivative Instruments

   In June 1998, the Financial Accounting Standards Board issued Statement of
Financial Accounting Standards ('SFAS') No. 133, Accounting for Derivative
Instruments and Hedging Activities, which the Partnership adopted effective
October 1, 1999. SFAS No. 133 establishes accounting and reporting standards for
derivative instruments and for hedging activities and requires that an entity
recognize all derivatives as assets or liabilities measured at fair value. SFAS
No. 133 supersedes SFAS No. 119, Disclosure about Derivative Financial
Instruments and Fair Value of Financial Instruments and SFAS No. 105, Disclosure
of Information about Financial Instruments with Off-Balance Sheet Risk and
Financial Instruments with Concentrations of Credit Risk which required the
disclosure of average aggregate fair values and contract/notional values,
respectively, of derivative financial instruments for an entity like the
Partnership which carries its assets at fair value. The General Partner does not
believe the adoption of SFAS No. 133 has a material effect on the carrying value
of assets and liabilities within the financial statements.

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Year 2000 Risk

      The arrival of year 2000 was much anticipated and raised serious concerns
about whether or not computer systems around the world would continue to
function properly and the degree of 'Year 2000 Problems' that would have to be
resolved.

   The Partnership engages third parties to perform primarily all of the
services it needs and also relies on other third parties such as governments,
exchanges, clearinghouses, vendors and banks. The Partnership has not
experienced any material adverse impact on operations related to Year 2000
Problems. While the Partnership believes that it has mitigated its Year 2000
risk, the Partnership cannot guarantee that an as yet unknown Year 2000 failure
will not have a material adverse effect on the Partnership's operations.

Inflation

   Inflation has had no material impact on operations or on the financial
condition of the Partnership from inception through December 31, 1999.

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                               OTHER INFORMATION

   The actual round-turn equivalent of brokerage commissions paid per trade for
the year ended December 31, 1999 was $88.

   The Partnership's Annual Report on Form 10-K as filed with the Securities and
Exchange Commission is available to limited partners without charge upon written
request to:

        Prudential-Bache OptiMax Futures Fund, L.P.
        P.O. Box 2016
        Peck Slip Station
        New York, NY 10272-2016

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Peck Slip Station                                   BULK RATE
P.O. Box 2016                                     U.S. POSTAGE
New York, NY 10272-2016                               PAID
                                                  Automatic Mail

OPTIA/171976