<PAGE>
                       SECURITIES AND EXCHANGE COMMISSION
                             Washington, D.C. 20549
 
                                   FORM 10-K
(Mark One)
 
/X/ ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT
    OF 1934
 
For the fiscal year ended December 31, 1996
 
                                       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                   (I.R.S. Employer
of incorporation or organization)              Identification No.)
 
One New York Plaza, 14th Floor, New York, New York                  10292
--------------------------------------------------------------------------------
(Address of principal executive offices)                          (Zip Code)
 
Registrant's telephone number, including area code (212) 778-7866
 
Securities registered pursuant to Section 12(b) of the Act:
                                               None
--------------------------------------------------------------------------------

Securities registered pursuant to Section 12(g) of the Act:
                         Units of Limited Partnership Interest
--------------------------------------------------------------------------------
                                  (Title of class)
 
   Indicate by check mark 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 _
 
   Indicate by check mark if disclosure of delinquent filers pursuant to Item
405 of Regulation S-K is not contained herein, and will not be contained, to the
best of Registrant's knowledge, in definitive proxy or information statements
incorporated by reference in Part III of this Form 10-K or any amendment to this
Form 10-K. [CK]
 
                      DOCUMENTS INCORPORATED BY REFERENCE
 
   Agreement of Limited Partnership of the Registrant, dated November 27, 1989,
included as part of the Registration Statement on Form S-1 (File No. 33-32355)
filed with the Securities and Exchange Commission on November 30, 1989 pursuant
to Rule 424(b) of the Securities Act of 1933, as amended as of January 30, 1990,
is incorporated by reference into Part IV of this Annual Report on Form 10-K.
 
   Registrant's Annual Report to Limited Partners for the year ended December
31, 1996 is incorporated by reference into Parts II and IV of this Annual Report
on Form 10-K.
 
                                Index to exhibits can be found on pages 8 to 10.
<PAGE>
              PRUDENTIAL-BACHE CAPITAL RETURN FUTURES FUND 3, L.P.
                            (a limited partnership)
                               TABLE OF CONTENTS
<TABLE>
<CAPTION>
PART I                                                                                         PAGE
<S>        <C>                                                                                <C>
Item  1    Business.........................................................................     3
Item  2    Properties.......................................................................     4
Item  3    Legal Proceedings................................................................     4
Item  4    Submission of Matters to a Vote of Limited Partners..............................     4
 
PART II
Item  5    Market for the Registrant's Units and Related Limited Partner Matters............     4
Item  6    Selected Financial Data..........................................................     4
Item  7    Management's Discussion and Analysis of Financial Condition and Results of
             Operations.....................................................................     5
Item  8    Financial Statements and Supplementary Data......................................     5
Item  9    Changes in and Disagreements with Accountants on Accounting and Financial
             Disclosure.....................................................................     5
PART III
Item 10    Directors and Executive Officers of the Registrant...............................     5
Item 11    Executive Compensation...........................................................     6
Item 12    Security Ownership of Certain Beneficial Owners and Management...................     7
Item 13    Certain Relationships and Related Transactions...................................     7

PART IV
Item 14    Exhibits, Financial Statement Schedules and Reports on Form 8-K
           Financial Statements and Financial Statement Schedules...........................     8
           Exhibits.........................................................................     8
           Reports on Form 8-K..............................................................    10
SIGNATURES..................................................................................    11
</TABLE>
                                       2
<PAGE>
                                     PART I
 
Item 1. Business
 
General
 
   Prudential-Bache Capital Return Futures Fund 3, L.P. (the ``Registrant''), a
Delaware limited partnership, was formed on November 27, 1989 and will terminate
on December 31, 2009 unless terminated sooner under the provisions of the
Amended and Restated Agreement of Limited Partnership (the ``Partnership
Agreement''). The Registrant was formed to engage primarily in the speculative
trading of a portfolio consisting primarily of commodity futures, forward and
options contracts. On May 30, 1990, the Registrant completed its offering and
raised $65,520,000 from the sale of 648,625 units of limited partnership
interest and 6,575 units of general partnership interest (collectively,
``Units'') which resulted in net proceeds to the Registrant of $64,222,750. The
Registrant's fiscal year for book and tax purposes ends on December 31.
 
   At the inception of the Registrant, sixty percent of the net asset value was
allocated to commodities trading. As a protective device in conjunction with the
letter of credit (see further discussion below), the remaining forty percent of
the net asset value was placed in reserve (the ``Reserve Assets'') and was not
committed to commodities trading until June 30, 1995 (the ``Capital Return
Date''). On the Capital Return Date, the letter of credit expired and the
Reserve Assets were allocated for commodities trading to Willowbridge Associates
Inc. (``Willowbridge''), an independent commodities trading manager.
 
   Since July 1995, all trading decisions have been made by Sjo, Inc. (``Sjo'')
and Willowbridge (the ``Trading Managers''). All trading decisions for the
Registrant from August 1992 through June 1995 were made by Sjo. The general
partner retains the authority to override trading instructions that violate the
Registrant's trading policies.
 
   The Registrant is engaged solely in the business of commodity futures,
forward and options trading; therefore, presentation of industry segment
information is not applicable.
 
General Partner
 
   The general partner of the Registrant is Seaport Futures Management, Inc.
(the ``General Partner'') which is an affiliate of Prudential Securities
Incorporated (``PSI''), the Registrant'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 1%
interest in the Registrant as long as it is acting as the Registrant's general
partner.
 
Letter of Credit
 
   An irrevocable letter of credit (``Letter of Credit'') was issued in favor of
the Registrant by Citibank, N.A. (the ``Bank'') on May 30, 1990. The Letter of
Credit was intended to provide protection to the limited partners against loss
of their initial investment as of the Capital Return Date when the limited
partners had the option to redeem their units and receive the greater of the
then current net asset value per Unit or 100% of their initial investment. As
described above, the Letter of Credit expired on June 30, 1995 (with no payment
required by the Bank) and does not provide protection thereafter.
 
Competition
 
   The General Partner and its affiliates have formed and may continue to form
various entities to engage in the speculative trading of futures, forward and
options contracts which, in part, have certain of the same investment policies
as the Registrant.
 
   The Registrant is a closed-end fund which does not currently, and does not
intend in the future to, solicit the sale of additional Units. As such, the
Registrant does not compete with other entities to attract new fund
participants. However, to the extent that the Trading Managers recommend similar
or identical trades to the Registrant and the other accounts which they manage,
the Registrant may compete with those accounts for the execution of the same or
similar trades.
 
                                       3
<PAGE>
 
Employees
 
   The Registrant has no employees. Management and administrative services for
the Registrant are performed by the General Partner and its affiliates pursuant
to the Partnership Agreement. See Notes A, C and D to the Registrant's annual
report to limited partners for the year ended December 31, 1996 (``Registrant's
1996 Annual Report'') which is filed as an exhibit hereto.
 
Item 2. Properties
 
   The Registrant does not own or lease any property.
 
Item 3. Legal Proceedings
 
   There are no material legal proceedings pending by or against the Registrant
or the General Partner.
 
Item 4. Submission of Matters to a Vote of Limited Partners
 
   None
 
                                    PART II
 
Item 5. Market for the Registrant's Units and Related Limited Partner Matters
 
   As of March 3, 1997 there were 1,412 holders of record owning 116,211 Units,
including 1,163 units of general partnership interest. A significant secondary
market for the Units has not developed, and it is not expected that one will
develop in the future. There are also certain restrictions set forth in the
Partnership Agreement limiting the ability of a partner to transfer Units. The
Partnership Agreement does, however, provide that a limited 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 reduced by each Unit's pro rata portion of
unamortized organizational costs. Consequently, holders of Units may not be able
to liquidate their investments in the event of an emergency or for any other
reason.
 
   There are no material restrictions upon the Registrant's present or future
ability to make distributions in accordance with the provisions of the
Partnership Agreement. No distributions have been made since inception and no
distributions are anticipated in the future.
 
Item 6. Selected Financial Data
 
   The following table presents selected financial data of the Registrant. This
data should be read in conjunction with the financial statements of the
Registrant and the notes thereto on pages 2 through 10 of the Registrant's 1996
Annual Report which is filed as an exhibit hereto.
 
                                       4
<PAGE>
 
<TABLE>
<CAPTION>
                                                          Year ended December 31,
                                    --------------------------------------------------------------------
                                       1996          1995          1994          1993           1992
                                    -----------   -----------   -----------   -----------    -----------
<S>                                 <C>           <C>           <C>           <C>            <C>
Net realized gain on commodity
  transactions                      $ 6,497,225   $ 3,827,887   $ 6,529,871   $ 2,228,827    $ 6,012,112
                                    -----------   -----------   -----------   -----------    -----------
                                    -----------   -----------   -----------   -----------    -----------
Change in net unrealized gain on
  open commodity positions          $(1,002,361)  $ 1,180,234   $(1,703,856)  $ 1,607,453    $(1,968,777)
                                    -----------   -----------   -----------   -----------    -----------
                                    -----------   -----------   -----------   -----------    -----------
Commissions                         $ 1,518,807   $ 1,225,644   $   937,130   $ 1,075,292    $ 1,511,400
                                    -----------   -----------   -----------   -----------    -----------
                                    -----------   -----------   -----------   -----------    -----------
Management fees                     $   600,463   $   503,036   $   412,191   $   451,733    $   605,713
                                    -----------   -----------   -----------   -----------    -----------
                                    -----------   -----------   -----------   -----------    -----------
Incentive fees                      $   597,331   $   206,647   $   684,373   $     3,445    $   262,118
                                    -----------   -----------   -----------   -----------    -----------
                                    -----------   -----------   -----------   -----------    -----------
Net income                          $ 3,180,481   $ 3,800,144   $ 2,847,113   $ 2,695,520    $ 3,797,528
                                    -----------   -----------   -----------   -----------    -----------
                                    -----------   -----------   -----------   -----------    -----------
Allocation of net income:
  Limited partners                  $ 3,157,728   $ 3,721,494   $ 2,802,550   $ 2,651,320    $ 3,729,018
                                    -----------   -----------   -----------   -----------    -----------
                                    -----------   -----------   -----------   -----------    -----------
  General partner                   $    22,753   $    78,650   $    44,563   $    44,200    $    68,510
                                    -----------   -----------   -----------   -----------    -----------
                                    -----------   -----------   -----------   -----------    -----------
Net income per weighted average
  Unit                              $     24.90   $     23.30   $     13.42   $      9.78    $     10.25
                                    -----------   -----------   -----------   -----------    -----------
                                    -----------   -----------   -----------   -----------    -----------
Total assets                        $22,700,791   $22,270,965   $26,446,594   $29,950,177    $35,946,284
                                    -----------   -----------   -----------   -----------    -----------
                                    -----------   -----------   -----------   -----------    -----------
Redemptions                         $ 3,046,093   $ 7,969,201   $ 5,808,038   $ 8,430,289    $14,524,006
                                    -----------   -----------   -----------   -----------    -----------
                                    -----------   -----------   -----------   -----------    -----------
Net asset value per Unit            $    182.93   $    156.63   $    134.29   $    121.63    $    111.75
                                    -----------   -----------   -----------   -----------    -----------
                                    -----------   -----------   -----------   -----------    -----------
</TABLE>
 
Item 7. Management's Discussion and Analysis of Financial Condition and Results
        of Operations
 
   This information is incorporated by reference to pages 11 and 12 of the
Registrant's 1996 Annual Report which is filed as an exhibit hereto.
 
Item 8. Financial Statements and Supplementary Data
 
   The financial statements are incorporated by reference to pages 2 through 10
of the Registrant's 1996 Annual Report which is filed as an exhibit hereto.
 
   Supplementary data specified by item 302 of Regulation S-K (selected
quarterly financial data) is not applicable.
 
Item 9. Changes in and Disagreements with Accountants on Accounting and
        Financial Disclosure
 
   Reference is made to the Registrant's Current Report on Form 8-K dated May
14, 1996, as filed with the Securities and Exchange Commission on May 16, 1996
regarding the change in the Registrant's certifying accountant from Deloitte &
Touche LLP to Price Waterhouse LLP.
 
                                    PART III
 
Item 10. Directors and Executive Officers of the Registrant
 
   There are no directors or executive officers of the Registrant. The
Registrant is managed by the General Partner.
 
   The General Partner's directors and executive officers, and any persons
holding more than ten percent of the Registrant's Units (``Ten Percent Owners'')
are required to report their initial ownership of such Units and any subsequent
changes in that ownership to the Securities and Exchange Commission on Forms 3,
4 or 5. Such executive officers, directors and Ten Percent Owners are required
by Securities and Exchange Commission regulations to furnish the Partnership
with copies of all Forms 3, 4 and 5 they file. All of these filing

                                       5
<PAGE>
requirements were satisfied on a timely basis. In making these disclosures, the
Registrant has relied solely on written representations of the General Partner's
directors and executive officers, or copies of the reports that they have filed
with the Securities and Exchange Commission during and with respect to its most
recent fiscal year.
 
   The directors and executive officers of Seaport Futures Management, Inc. and
their positions with respect to the Registrant are as follows:
 
            Name                                      Position
----------------------------    ----------------------------------------------
James M. Kelso                  President and Director
Barbara J. Brooks               Treasurer and Chief Financial Officer
Steven Carlino                  Vice President and Chief Accounting Officer
A. Laurence Norton, Jr.         Director
Guy S. Scarpaci                 Director
 
   JAMES M. KELSO, age 42, is the President and a Director of Seaport Futures
Management, Inc. He is a Senior Vice President of Futures Administration of PSI.
He is also the President and a Director of Prudential Securities Futures
Management Inc. and serves in various capacities for other affiliated companies.
He has held several positions within PSI since July 1981.
 
   BARBARA J. BROOKS, age 48, is the Treasurer and Chief Financial Officer of
Seaport Futures Management, Inc. She is a Senior Vice President of PSI. She is
also the Treasurer and Chief Financial Officer of Prudential Securities Futures
Management Inc. and serves in various capacities for other affiliated companies.
She has held several positions within PSI since April 1983. Ms. Brooks is a
certified public accountant.
 
   STEVEN CARLINO, age 33, is a Vice President of Seaport Futures Management,
Inc. He is a First Vice President of PSI. He is also a Vice President of
Prudential Securities Futures Management Inc. and serves in various capacities
for other affiliated companies. Prior to joining PSI in October 1992, he was
with Ernst & Young for six years. Mr. Carlino is a certified public accountant.
 
  A. LAURENCE NORTON, JR., age 58, is a Director of Seaport Futures Management,
Inc. He is an Executive Vice President of PSI and head of its Futures Division.
He is also a Director of Prudential Securities Futures Management Inc. Most
recently, he held the position of Executive Director of Retail Development and
Retail Strategies at PSI. Prior to joining PSI in 1991, Mr. Norton was a Senior
Vice President and Branch Manager of Shearson Lehman Brothers.
 
  GUY S. SCARPACI, age 50, is a Director of Seaport Futures Management, Inc. He
is a First Vice President of the Futures Division of PSI. He is also a Director
of Prudential Securities Futures Management Inc. Mr. Scarpaci has been employed
by PSI in positions of increasing responsibility since August 1974.
 
  There are no family relationships among any of the foregoing directors or
executive officers. All of the foregoing directors and/or executive officers
have indefinite terms.
 
Item 11. Executive Compensation
 
   The Registrant does not pay or accrue any fees, salaries or any other form of
compensation to directors and officers of the General Partner for their
services. Certain directors and officers of the General Partner receive
compensation from affiliates of the General Partner, not from the Registrant,
for services performed for various affiliated entities, which may include
services performed for the Registrant; however, the General Partner believes
that any compensation attributable to services performed for the Registrant is
immaterial. (See also Item 13, Certain Relationships and Related Transactions,
for information regarding compensation to the General Partner.)
 
                                       6
<PAGE>
 
Item 12. Security Ownership of Certain Beneficial Owners and Management
 
   As of March 3, 1997, no director or officer of the General Partner owns
directly or beneficially any interest in the voting securities of the General
Partner.
 
   As of March 3, 1997, no director or officer of the General Partner owns
directly or beneficially any of the Units issued by the Registrant.
 
   As of March 3, 1997, no partner beneficially owns more than five percent (5%)
of the limited partnership units issued by the Registrant.
 
Item 13. Certain Relationships and Related Transactions
 
   The Registrant has and will continue to have certain relationships with the
General Partner and its affiliates. However, there have been no direct financial
transactions between the Registrant and the directors or officers of the General
Partner.
 
   Reference is made to Notes A, C and D to the financial statements in the
Registrant's 1996 Annual Report which is filed as an exhibit hereto, which
identify the related parties and discuss the services provided by these parties
and the amounts paid or payable for their services.
 
                                       7
<PAGE>
                                    PART IV
 
<TABLE>
<CAPTION>
                                                                                           Page in
                                                                                        Annual Report
<S>    <C>    <C>                                                                      <C>
Item 14. Exhibits, Financial Statement Schedules and Reports on Form 8-K
(a)       1.  Financial Statements and Reports of Independent
              Accountants--Incorporated by reference to the Registrant's 1996 Annual
              Report which is filed as an exhibit hereto
              Reports of Independent Accountants:
              Report of Indpendent Accountants as of December 31, 1996 and for the
              year then ended                                                                 2
              Independent Auditors' Report as of December 31, 1995 and for the years
              ended December 31, 1995 and 1994                                               2A
              Financial Statements:
              Statements of Financial Condition--December 31, 1996 and 1995                   3
              Statements of Operations--Three years ended December 31, 1996                   4
              Statements of Changes in Partners' Capital--Three years ended December
              31, 1996                                                                        4
              Notes to Financial Statements                                                   5
          2.  Financial Statement Schedules
              All schedules have been omitted because they are not applicable or the
              required information is included in the financial statements or notes
              thereto.
          3.  Exhibits
              Description:
         3.1
         and  Agreement of Limited Partnership of the Registrant, dated as of
         4.1  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)
        10.1  Escrow Agreement, dated February 1, 1990 among the Registrant, Seaport
              Futures Management, Inc., Prudential-Bache Securities Inc., and
              Bankers Trust Company (incorporated by reference to Exhibit 10.1 to
              the Registrant's Quarterly Report on Form 10-Q for the period ended
              June 30, 1990)
        10.2  Brokerage Agreement dated May 30, 1990 between the Registrant and
              Prudential-Bache Securities Inc. (incorporated by reference to
              Exhibit 10.2 to the Registrant's Quarterly Report on Form 10-Q for
              the period ended June 30, 1990)
        10.3  Advisory Agreement dated February 1, 1990 among the Registrant,
              Seaport Futures Management, Inc., and Elm Financial, Inc.
              (incorporated by reference to Exhibit 10.3 to the Registrant's
              Quarterly Report on Form 10-Q for the period ended June 30, 1990)
</TABLE>
 
                                       8
<PAGE>
<TABLE>
<S>    <C>    <C>                                                                      <C>
        10.4  Representation Agreement Concerning the Registration Statement and the
              Prospectus, dated as of February 1, 1990 among the Registrant, Seaport
              Futures Management, Inc., Prudential-Bache Securities Inc., and Elm
              Financial, Inc. (incorporated by reference to Exhibit 10.4 to the
              Registrant's Quarterly Report on Form 10-Q for the period ended June
              30, 1990)
        10.5  Net Worth Agreement, dated as of February 1, 1990 between Seaport
              Futures Management, Inc. and Prudential Securities Group Inc.
              (incorporated by reference to Exhibit 10.5 to the Registrant's
              Quarterly Report on Form 10-Q for the period ended June 30, 1990)
        10.6  Promissory Note issued by Prudential Securities Group Inc. to Seaport
              Futures Management, Inc., dated May 30, 1990 (incorporated by
              reference to Exhibit 10.6 to the Registrant's Quarterly Report on Form
              10-Q for the period ended June 30, 1990)
        10.7  Letter of Credit and Reimbursement Agreement among the Registrant,
              Seaport Futures Management, Inc., Prudential Securities Group Inc. and
              Citibank, N.A. dated February 1, 1990 (incorporated by reference to
              Exhibit 10.7 to the Registrant's Quarterly Report on Form 10-Q for the
              period ended June 30, 1990)
        10.8  Secured Demand Note Collateral Agreement dated February 15, 1991 be-
              tween Seaport Futures Management, Inc. and Prudential Securities Group
              Inc. (incorporated by reference to Exhibit 10.8 to the Registrant's
              Quarterly Report on Form 10-Q for the period ended March 31, 1991)
        10.9  Advisory Agreement dated June 3, 1991 among the Registrant, Seaport
              Futures Management, Inc., and Sjo, Inc. (incorporated by reference to
              Exhibit 10.9 to the Registrant's Quarterly Report on Form 10-Q for the
              period ended June 30, 1991)
       10.10  Amendment No. 1 to Letter of Credit and Reimbursement Agreement dated
              February 15, 1991 between Citibank, N.A., Seaport Futures Management,
              Inc. and Prudential Securities Group Inc. (incorporated by reference
              to Exhibit 10.10 to the Registrant's Quarterly Report on Form 10-Q for
              the period ended June 30, 1991)
       10.11  Amendment No. 2 to Letter of Credit and Reimbursement Agreement dated
              March 28, 1991 between Citibank, N.A., Seaport Futures Management,
              Inc. and Prudential Securities Group Inc. (incorporated by reference
              to Exhibit 10.11 to the Registrant's Quarterly Report on Form 10-Q for
              the period ended March 31, 1991)
       10.12  Amendment to Advisory Agreement dated November 5, 1991 among the
              Registrant, Seaport Futures Management, Inc., and Sjo, Inc.
              (incorporated by reference to Exhibit 10.12 to the Registrant's Annual
              Report on Form 10-K for the year ended December 31, 1991)
       10.13  Advisory Agreement dated November 18, 1991 among the Registrant, Sea-
              port Futures Management, Inc., and A.O. Management Corporation
              (incorporated by reference to Exhibit 10.13 to the Registrant's Annual
              Report on Form 10-K for the year ended December 31, 1991)
       10.14  Advisory Agreement dated August 1, 1992 among Seaport Futures Manage-
              ment, Inc., Kenneth M. Jakubzak and the Registrant (incorporated by
              reference to Exhibit 10.14 to the Registrant's Quarterly Report on
              Form 10-Q for the period ended September 30, 1992)
</TABLE>
 
                                       9
<PAGE>
<TABLE>
<S>    <C>    <C>                                                                      <C>
       10.15  Addendum to Advisory Agreement dated October 1, 1992 among the Regis-
              trant, Seaport Futures Management, Inc., and Sjo, Inc. (incorporated
              by reference to Exhibit 10.15 to the Registrant's Annual Report on
              Form 10-K for the year ended December 31, 1992)
       10.16  Amendment No. 3 to Letter of Credit and Reimbursement Agreement dated
              April 15, 1993 between Citibank, N.A., Seaport Futures Management,
              Inc. and Prudential Securities Group Inc. (incorporated by reference
              to Exhibit 10.16 to the Registrant's Quarterly Report on Form 10-Q for
              the period ended March 31, 1993)
       10.17  Addendum to Brokerage Agreement dated July 1, 1995 among the Regis-
              trant, Seaport Futures Management, Inc. and Prudential Securities
              Incorporated (incorporated by reference to Exhibit 10.13 to the
              Registrant's Quarterly Report on Form 10-Q for the period ended June
              30, 1995)
       10.18  Advisory Agreement dated July 10, 1995 among the Registrant, Seaport
              Futures Management, Inc. and Willowbridge Associates Inc.
              (incorporated by reference to Exhibit 10.14 to the Registrant's
              Quarterly Report on Form 10-Q for the period ended June 30, 1995)
       10.19  Form of Foreign Currency Addendum to Brokerage Agreement between the
              Registrant and Prudential Securities Incorporated (incorporated by
              reference to Exhibit 10.15 of the Registrant's Quarterly Report on
              Form 10-Q for the period ended March 31, 1996)
        13.1  Registrant's 1996 Annual Report (with the exception of the information
              and data incorporated by reference in Items 7 and 8 of this Annual
              Report on Form 10-K, no other information or data appearing in the
              Registrant's 1996 Annual Report is to be deemed filed as part of this
              report) (filed herewith)
        16.1  Letter dated May 15, 1996 from Deloitte & Touche LLP to the Securities
              and Exchange Commission regarding change in certifying accountant
              (incorporated by reference to Exhibit 16.1 to the Registrant's Current
              Report in Form 8-K dated May 14, 1996)
        27.1  Financial Data Schedule (filed herewith)
(b)           Reports on Form 8-K
              No reports on Form 8-K were filed during the last quarter of the
              period covered by this report
</TABLE>
 
                                       10
<PAGE>
 
                                   SIGNATURES
 
   Pursuant to the requirements of Section 13 or 15(d) 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: March 27, 1997
     ----------------------------------------
     Steven Carlino
     Vice President and Chief Accounting Officer
 
   Pursuant to the requirements of the Securities Exchange Act of 1934, this
report has been signed below by the following persons on behalf of the
Partnership and in the capacities (with respect to the General Partner) and on
the dates indicated.
 
By: Seaport Futures Management, Inc.
    A Delaware Corporation, General Partner
     By: /s/ James M. Kelso                       Date: March 27, 1997
     ----------------------------------------
     James M. Kelso
     President and Director

     By: /s/ Barbara J. Brooks                    Date: March 27, 1997
     ----------------------------------------
     Barbara J. Brooks
     Treasurer and Chief Financial Officer

     By: /s/ Steven Carlino                       Date: March 27, 1997
     ----------------------------------------
     Steven Carlino
     Vice President

     By: /s/ A. Laurence Norton, Jr.              Date: March 27, 1997
     ----------------------------------------
     A. Laurence Norton, Jr.
     Director

     By: /s/ Guy S. Scarpaci                      Date: March 27, 1997
     ----------------------------------------
     Guy S. Scarpaci
     Director

                                       11