<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 quarter ended June 30, 1996
/ / 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: 0-17592
PRUDENTIAL-BACHE DIVERSIFIED FUTURES FUND L.P.
- --------------------------------------------------------------------------------
(Exact name of Registrant as specified in its charter)
Delaware 13-3464456
- --------------------------------------------------------------------------------
(State or other jurisdiction (I.R.S. Employer
of incorporation or organization) Identification No.)
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 DIVERSIFIED FUTURES FUND L.P.
(a limited partnership)
STATEMENTS OF FINANCIAL CONDITION
(Unaudited)
<TABLE>
<CAPTION>
June 30, December 31,
1996 1995
<S> <C> <C>
- ---------------------------------------------------------------------------------------------------
ASSETS
Equity in commodity trading accounts:
Cash $ 3,359,372 $ 3,783,451
U.S. Treasury bills, at amortized cost 13,418,378 14,622,390
Net unrealized gain on open commodity positions 875,569 1,061,597
----------- ------------
Total assets $17,653,319 $19,467,438
----------- ------------
----------- ------------
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable $ 492,645 $ 425,077
Management fees payable 58,719 64,703
Accrued expenses 37,763 56,340
----------- ------------
Total liabilities 589,127 546,120
----------- ------------
Commitments
Partners' capital
Limited partners (51,437 and 54,356 units outstanding) 16,893,408 17,745,997
General partner (520 and 3,600 units outstanding) 170,784 1,175,321
----------- ------------
Total partners' capital 17,064,192 18,921,318
----------- ------------
Total liabilities and partners' capital $17,653,319 $19,467,438
----------- ------------
----------- ------------
Net asset value per limited and general partnership unit
(``Units'') $ 328.43 $ 326.48
----------- ------------
----------- ------------
- ---------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements
</TABLE>
2
<PAGE>
PRUDENTIAL-BACHE DIVERSIFIED FUTURES FUND L.P.
(a limited partnership)
STATEMENTS OF OPERATIONS
(Unaudited)
<TABLE>
<CAPTION>
Six months ended Three months ended
June 30, June 30,
-------------------------- -------------------------
1996 1995 1996 1995
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------
REVENUES
Net realized gain on commodity
transactions $1,121,959 $ 7,796,130 $ 849,490 $ 5,330,977
Change in net unrealized gain on open
commodity positions (186,028) (1,324,524) (112,793) (4,086,739)
Interest from U.S Treasury bills 358,717 408,988 170,645 237,301
---------- ----------- --------- -----------
1,294,648 6,880,594 907,342 1,481,539
---------- ----------- --------- -----------
EXPENSES
Commissions 820,460 814,347 389,392 454,111
Management fees 366,461 383,171 174,784 206,334
Incentive fees -- 268,499 -- 84,709
General and administrative 23,305 38,390 1,928 19,062
---------- ----------- --------- -----------
1,210,226 1,504,407 566,104 764,216
---------- ----------- --------- -----------
Net income $ 84,422 $ 5,376,187 $ 341,238 $ 717,323
---------- ----------- --------- -----------
---------- ----------- --------- -----------
ALLOCATION OF NET INCOME (LOSS)
Limited partners $ 96,950 $ 5,073,585 $ 337,823 $ 675,361
---------- ----------- --------- -----------
---------- ----------- --------- -----------
General partner $ (12,528) $ 302,602 $ 3,415 $ 41,962
---------- ----------- --------- -----------
---------- ----------- --------- -----------
NET INCOME PER WEIGHTED AVERAGE LIMITED
AND GENERAL PARTNERSHIP UNIT
Net income per weighted average limited
and general partnership unit $ 1.52 $ 85.41 $ 6.38 $ 11.66
---------- ----------- --------- -----------
---------- ----------- --------- -----------
Weighted average number of limited and
general partnership units outstanding 55,707 62,944 53,457 61,539
---------- ----------- --------- -----------
---------- ----------- --------- -----------
- ------------------------------------------------------------------------------------------------------
</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, 1995 57,956 $17,745,997 $1,175,321 $18,921,318
Net income (loss) 96,950 (12,528) 84,422
Redemptions (5,999) (949,539) (992,009) (1,941,548)
------ ----------- ---------- -----------
Partners' capital--June 30, 1996 51,957 $16,893,408 $ 170,784 $17,064,192
------ ----------- ---------- -----------
------ ----------- ---------- -----------
- -----------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements
</TABLE>
3
<PAGE>
PRUDENTIAL-BACHE DIVERSIFIED FUTURES FUND L.P.
(a limited partnership)
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1996
(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 Diversified Futures Fund L.P. (the ``Partnership'')
as of June 30, 1996 and the results of its operations for the six and three
months ended June 30, 1996 and 1995. However, the operating results for the
interim periods may not be indicative of the results expected for the 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, 1995 (the ``Annual
Report'').
Certain balances for prior periods have been reclassified to conform with
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. A portion of the general and administrative expenses of the
Partnership for the six and three months ended June 30, 1996 and 1995 was borne
by Prudential Securities Incorporated (``PSI'') and its affiliates.
Costs and expenses charged to the Partnership for these services for the six
and three months ended June 30, 1996 and 1995 were:
<TABLE>
<CAPTION>
Six months ended Three months ended
June 30, June 30,
--------------------- ---------------------
1996 1995 1996 1995
-------- -------- -------- --------
<S> <C> <C> <C> <C>
Commissions $820,460 $814,347 $389,392 $454,111
Printing services 5,495 4,140 1,010 2,070
-------- -------- -------- --------
$825,955 $818,487 $390,402 $456,181
-------- -------- -------- --------
-------- -------- -------- --------
</TABLE>
Expenses payable to the General Partner and its affiliates (which are
included in accrued expenses) as of June 30, 1996 and December 31, 1995 were
$7,850 and $9,300, respectively.
The Partnership maintains its trading and cash accounts at PSI, the
Partnership's commodity broker and an affiliate of the General Partner.
Approximately 75% of the Partnership's net assets is invested in
interest-bearing U.S. Government obligations (primarily U.S. Treasury bills), a
significant portion of which is utilized for margin purposes for the
Partnership's commodity trading activities. As described in the Annual Report,
all commissions for brokerage services are paid to PSI.
When the Partnership engages in forward foreign currency transactions, it
trades with PSI who simultaneously engages in back-to-back transactions with an
affiliate who, pursuant to the Partnership's prospectus, is obligated to charge
a competitive price.
4
<PAGE>
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.
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 manager 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 manager 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
June 30, 1996 and December 31, 1995, such segregated assets totalled $10,765,534
and $10,874,252, respectively. Part 30.7 of the CFTC regulations also requires
PSI to secure assets of the Partnership related to foreign futures trading which
totalled $6,557,794 and $8,704,525 at June 30, 1996 and December 31, 1995,
respectively. There are no segregation requirements for assets related to
forward trading.
As of June 30, 1996 and December 31, 1995, all open forward contracts mature
within three months, but open futures contracts mature within one year.
5
<PAGE>
At June 30, 1996 and December 31, 1995, gross contract amounts of open
futures and forward contracts are:
<TABLE>
<CAPTION>
June 30 1996 December 31, 1995
-------------- -----------------
<S> <C> <C>
Futures Currency Contracts:
Commitments to purchase $ 1,915,600 $ 3,101,098
Commitments to sell $ 2,628,813 $ 3,918,450
Forward Currency Contracts:
Commitments to purchase $ 18,642,594 $ 275,262
Commitments to sell $ 31,618,473 $ 14,967,152
Financial Futures Contracts:
Commitments to purchase $ 68,323,063 $ 198,771,784
Commitments to sell $ 31,482,319 $ 9,245,157
Other Futures Contracts:
Commitments to purchase $ 2,301,210 $ 3,128,616
Commitments to sell $ 12,441,140 $ 4,522,406
</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 or forward 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
and forward contracts to be the net unrealized gain or loss on the contracts
(plus premiums on options). Thus, the amount at risk associated with
counterparty nonperformance of all contracts is the net unrealized gain included
in the statements of financial condition. The market risk associated with the
Partnership's commitments to purchase commodities is limited to the gross
contract amounts involved, while the market risk associated with its commitments
to sell is unlimited since the Partnership's potential involvement is to make
delivery of an underlying commodity at the contract price; therefore, it must
repurchase the contract at prevailing market prices.
At June 30, 1996 and December 31, 1995, the fair values of futures and
forward contracts were:
<TABLE>
<CAPTION>
June 30, 1996 December 31, 1995
-------------------------- --------------------------
Fair Value Fair Value
-------------------------- --------------------------
Assets Liabilities Assets Liabilities
---------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ -- $ 103,206 $ 361,913 $ --
Currencies 46,765 6,162 10,305 7,450
Other 449,875 16,166 304,613 2,955
Foreign exchanges
Financial 207,720 42,014 507,205 6,565
Other 9,542 776 7,120 1,250
Forward Contracts:
Currencies 386,973 56,982 171,400 282,739
---------- ----------- ---------- -----------
$1,100,875 $ 225,306 $1,362,556 $ 300,959
---------- ----------- ---------- -----------
---------- ----------- ---------- -----------
</TABLE>
6
<PAGE>
The following table presents the average fair value of futures and forward
contracts during the six months ended June 30, 1996 and 1995, respectively.
<TABLE>
<CAPTION>
Six months ended Six months ended
June 30, 1996 June 30, 1995
-------------------------- --------------------------
Average Fair Value Average Fair Value
-------------------------- --------------------------
Assets Liabilities Assets Liabilities
---------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ 373,188 $ 17,376 $ 311,172 $ 10,228
Currencies 58,529 5,740 165,766 34,667
Other 192,458 52,453 379,474 51,031
Foreign exchanges
Financial 353,706 53,279 530,935 29,631
Other 7,623 4,107 2,954 2,131
Forward Contracts:
Currencies 617,035 254,767 1,572,788 401,161
---------- ----------- ---------- -----------
$1,602,539 $ 387,722 $2,963,089 $ 528,849
---------- ----------- ---------- -----------
---------- ----------- ---------- -----------
</TABLE>
The following table presents the average fair value of futures and forward
contracts during the three months ended June 30, 1996 and 1995, respectively.
<TABLE>
<CAPTION>
Three months ended Three months ended
June 30, 1996 June 30, 1995
-------------------------- --------------------------
Average Fair Value Average Fair Value
-------------------------- --------------------------
Assets Liabilities Assets Liabilities
---------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ 382,913 $ 29,227 $ 274,641 $ 12,219
Currencies 46,689 3,304 229,729 43,468
Other 219,305 28,498 192,868 83,511
Foreign exchanges
Financial 172,555 61,949 423,388 32,664
Other 8,234 6,799 2,326 3,107
Forward Contracts:
Currencies 842,284 420,236 2,888,254 533,750
---------- ----------- ---------- -----------
$1,671,980 $ 550,013 $4,011,206 $ 708,719
---------- ----------- ---------- -----------
---------- ----------- ---------- -----------
</TABLE>
7
<PAGE>
The following table presents the net realized gains (losses) and the change
in net unrealized gains/losses of futures and forward contracts during the six
months ended June 30, 1996 and 1995, respectively.
<TABLE>
<CAPTION>
Six months ended June 30, 1996 Six months ended June 30, 1995
--------------------------------------------- ---------------------------------------------
Change in Change in
Net Realized Net Net Realized Net
Gains Unrealized Gains Unrealized
(Losses) Gains/Losses Total (Losses) Gains/Losses Total
------------ ------------ ----------- ------------ ------------ -----------
<S> <C> <C> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ 1,116,688 $ (465,119) $ 651,569 $1,797,781 $ (280,293 ) $ 1,517,488
Currencies 141,425 37,748 179,173 494,635 32,418 527,053
Other (53,723) 132,051 78,328 340,134 (551,293 ) (211,159)
Foreign exchanges
Financial (761,733) (334,934) (1,096,667) 2,374,889 (610,398 ) 1,764,491
Other (7,555) 2,896 (4,659) (8,361) 1,275 (7,086)
Forward Contracts:
Currencies 686,857 441,330 1,128,187 2,797,052 83,767 2,880,819
------------ ------------ ----------- ------------ ------------ -----------
$ 1,121,959 $ (186,028) $ 935,931 $7,796,130 $(1,324,524 ) $ 6,471,606
------------ ------------ ----------- ------------ ------------ -----------
------------ ------------ ----------- ------------ ------------ -----------
</TABLE>
The following table presents the net realized gains (losses) and the change
in net unrealized gains/losses of futures and forward contracts during the three
months ended June 30, 1996 and 1995, respectively.
<TABLE>
<CAPTION>
Three months ended June 30, 1996 Three months ended June 30, 1995
------------------------------------------- ---------------------------------------------
Change in Change in
Net Realized Net Net Realized Net
Gains Unrealized Gains Unrealized
(Losses) Gains/Losses Total (Losses) Gains/Losses Total
------------ ------------ --------- ------------ ------------ -----------
<S> <C> <C> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ 791,844 $ (619,663) $ 172,181 $1,060,500 $ (26,681) $ 1,033,819
Currencies 65,930 17,781 83,711 251,382 (385,414) (134,032)
Other 227,015 341,889 568,904 (194,251) (11,385) (205,636)
Foreign exchanges
Financial (766,990) (75,909) (842,899) 1,238,010 (352,583) 885,427
Other (9,859) 14,864 5,005 2,686 5,347 8,033
Forward Contracts:
Currencies 541,550 208,245 749,795 2,972,650 (3,316,023) (343,373)
------------ ------------ --------- ------------ ------------ -----------
$ 849,490 $ (112,793) $ 736,697 $5,330,977 $(4,086,739) $ 1,244,238
------------ ------------ --------- ------------ ------------ -----------
------------ ------------ --------- ------------ ------------ -----------
</TABLE>
8
<PAGE>
PRUDENTIAL-BACHE DIVERSIFIED FUTURES FUND 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 October 19, 1988 with gross proceeds
of $30,107,800. After accounting for organizational and offering expenses, the
Partnership's net proceeds were $29,387,470.
At June 30, 1996, 100% of the Partnership's total net assets were allocated
to commodities trading. A significant portion of net assets was held in U.S.
Treasury bills (which represented approximately 76% of net assets at June 30,
1996 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 the U.S. Treasury bills bear to the net assets varies
each day, and from month to month, as the market values of commodity interests
change. The balance of the net assets is held in cash. All interest earned on
the Partnership's interest-bearing funds is paid to the Partnership.
The commodities contracts are subject to periods of illiquidity because of
market conditions, regulatory considerations and other reasons. For example,
commodity exchanges limit fluctuations in certain commodity futures contract
prices during a single day by regulations referred to as ``daily limits.''
During a single day, no trades may be executed at prices beyond the daily limit.
Once the price of a futures contract for a particular commodity has increased or
decreased by an amount equal to the daily limit, positions in the commodity can
neither be taken nor liquidated unless traders are willing to effect trades at
or within the limit. Commodity futures prices have occasionally moved the daily
limit for several consecutive days with little or no trading. Such market
conditions could prevent the Partnership from promptly liquidating its commodity
futures positions.
Since the Partnership's business is to trade futures, forward and options
contracts, its capital is at risk due to changes in the value of these contracts
(market risk) or the inability of counterparties to perform under the terms of
the contracts (credit risk). The General Partner attempts to minimize these
risks by requiring the Partnership's trading manager 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 recorded for the six and three months ended
June 30, 1996 were $949,539 and $487,719, respectively. Redemptions by the
general partner recorded for the corresponding periods were $992,009 and $4,926,
respectively. Redemptions by limited partners and the general partner from
commencement of operations (October 19, 1988) through June 30, 1996 totalled
$38,319,326 and $992,019, 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 June 30, 1996 was $328.43, an increase of
0.60% from the December 31, 1995 net asset value per Unit of $326.48.
The Partnership's performance was positive in the month of April. Profits
were earned in the currencies, stock indices, energies, grains and metals
sectors. Losses were incurred in the financials and softs sectors. The U.S.
dollar was the currency of choice in world markets as relatively high U.S. bond
yields attracted investors. Profits in the currencies sector were reaped from
positions in the German mark and Swiss franc as the dollar's position in world
currency markets was boosted by bearish economic news from Germany. Prices
soared in crude oil as refiners rushed to meet the summertime demand for
gasoline. Positions in the Nikkei were profitable as the stock indices sector
received support from institutional buyers lured into the equities market by
deregulation. A run-up in commodity prices occurred in April which generated
profits and positions in corn benefited from expectations of a poor wheat crop.
Profits were generated in gold and silver although metals markets in general
remained trendless. Except for the U.S. sector, positions in interest rates were
unprofitable as global markets responded to the threat of U.S. inflation.
9
<PAGE>
The Partnership's performance was negative in the month of May. Profits
earned in the currencies and grains sectors were offset by losses in the stock
indices, financials, energies, metals and softs sectors. Among the factors
affecting foreign exchange markets in May were the continued strength of the
U.S. dollar against most major currencies and a comparatively vigorous U.S.
economy. Gains were made in Swiss franc and Australian dollar positions. In the
grains sector, export demand was strong and worries about weather conditions for
spring planting replaced earlier concerns about devastated winter crops. Profits
in corn positions offset losses taken in soybeans. In the financials sector,
bond markets remained volatile as investors struggled to interpret conflicting
U.S. economic reports out of Washington. Losses were taken in Japanese and
British bond positions. In the energies sector, political pressure and prospects
of increasing supply brought crude oil and heating oil prices down making
positions in both unprofitable. In base metals, copper prices declined on
increased selling in the Far East and market expectations that a copper surplus
could occur in the second half of this year.
The Partnership's performance was positive in the month of June. Profits were
reaped in the metals, currencies, softs and energies sectors. Losses were
incurred in the financials, grains and stock indices sectors. Metals markets
were impacted by repercussions from the Sumitomo copper trading losses,
providing profits in copper positions. Profits were also reaped in gold and
silver positions as the world supply of gold increased and both gold and silver
prices continued their downward trends. In the currency markets, the U.S. dollar
reached a 28-month high against the Japanese yen early in June, ending down
somewhat at month's end as investors turned to higher yielding currencies such
as the British pound. Positions in the Japanese yen and British pound were
profitable. In the energies sector, positions in crude and heating oil were
profitable despite threats to world oil supplies in light of renewed tension
between Iraq and the UN's inspection team and the bombing of the U.S. military
base in Saudi Arabia. Crude oil prices rose close to $1.50, reflecting continued
inventory shortages. Slight losses were incurred in the financial sectors as
trading was more difficult in global bond and stock index markets where
trendless price patterns prevailed.
Interest income from U.S. Treasury bills decreased by approximately $50,000
and $67,000 for the six and three months ended June 30, 1996 as compared to the
corresponding periods in 1995 primarily due to decreases in funds available for
investment in U.S. Treasury bills as a result of redemptions and a decline in
interest rates in 1996.
Commissions are calculated on the Partnership's net asset value on the first
day of each month and, therefore, vary monthly according to trading performance
and redemptions. Accordingly, they must be compared to the fluctuations in the
monthly net asset values. Commissions increased by approximately $6,000 but
decreased by approximately $65,000 for the six and three months ended June 30,
1996 as compared to the corresponding periods in 1995. The six month increase
was primarily due to increasing monthly net asset values as a result of strong
trading performance during February 1995 through April 1995. The three month
decrease was primarily the result of redemptions.
All trading decisions for the Partnership are made by John W. Henry & Co.,
Inc. (the ``Trading Manager''). Management fees are calculated on the
Partnership's net asset value at the end of the month and, therefore, are
affected by trading performance and redemptions. Management fees decreased by
approximately $17,000 and $32,000 for the six and three months ended June 30,
1996 as compared to the corresponding periods in 1995 primarily due to
redemptions.
Incentive fees are based on the New High Net Trading Profits as defined in
the Advisory Agreement, as amended, between the Partnership, the General Partner
and the Trading Manager. No incentive fees were earned for the six and three
months ended June 30, 1996. Incentive fees for the six and three months ended
June 30, 1995 were approximately $269,000 and $85,000 respectively.
General and administrative expenses include audit, tax and legal fees as well
as printing and postage costs. General and administrative expenses decreased by
approximately $15,000 and $17,000 for the six and three months ended June 30,
1996 as compared to the corresponding periods in 1995 primarily due to the
timing of certain expense accruals recorded in the respective periods.
10
<PAGE>
<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. (a) Exhibits
4.1 Agreement of Limited Partnership of the Registrant,
dated as of May 25, 1988 as amended and restated
as of July 12, 1988 (incorporated by reference to
Exhibit 3.1 and 4.1 of Registrant's Annual Report
on Form 10-K for the period ended December 31, 1988)
4.2 Subscription Agreement (incorporated by reference
to Exhibit 4.2 to the Registrant's Registration
Statement on Form S-1, File No. 33-22100)
4.3 Request for Redemption (incorporated by reference to
Exhibit 4.3 to the Registrant's Registration
Statement on Form S-1, File No. 33-22100)
27.1 Financial Data Schedule (filed herewith)
(b) Reports on Form 8-K--Registrant's Current Report on Form 8-K
dated May 14, 1996, as filed with the Securities and Exchange
Commission on May 16, 1996, relating to Item 4 regarding the
change in the Registrant's certifying accountant from Deloitte &
Touche LLP to Price Waterhouse LLP.
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 DIVERSIFIED FUTURES FUND L.P.
By: Seaport Futures Management, Inc.
A Delaware corporation, General Partner
By: /s/ Steven Carlino Date: August 14, 1996
----------------------------------------
Steven Carlino
Vice President
Chief Accounting Officer for the
Registrant
12
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 5
<LEGEND>
The Schedule contains summary financial
information extracted from the financial
statements for Prudential Bache Diversified Futures
Fund, L.P. and is qualified in its entirety by reference
to such financial statements
</LEGEND>
<RESTATED>
<CIK> 0000833225
<NAME> Prudential Bache Diversified Futures Fund, L.P.
<MULTIPLIER> 1
<FISCAL-YEAR-END> Dec-31-1996
<PERIOD-START> Jan-1-1996
<PERIOD-END> Jun-30-1996
<PERIOD-TYPE> 6-Mos
<CASH> 3,359,372
<SECURITIES> 14,293,947
<RECEIVABLES> 0
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 17,653,319
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 17,653,319
<CURRENT-LIABILITIES> 589,127
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 17,064,192
<TOTAL-LIABILITY-AND-EQUITY> 17,653,319
<SALES> 0
<TOTAL-REVENUES> 1,294,648
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 1,210,226
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 0
<INCOME-TAX> 0
<INCOME-CONTINUING> 0
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> 84,422
<EPS-PRIMARY> 1.52
<EPS-DILUTED> 0
</TABLE>
