<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 March 31, 1997
/ / 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
of incorporation or organization) (I.R.S. Employer Identification No.)
One New York Plaza, 14th Floor, New York, New York
10292
- --------------------------------------------------------------------------------
(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code (212) 778-7866
N/A
- --------------------------------------------------------------------------------
Former name, former address and former fiscal year, if changed since last
report.
Indicate by check CK whether the Registrant (1) has filed all reports
required to be filed by Section 13 or 15(d) of the Securities Exchange Act of
1934 during the preceding 12 months (or for such shorter period that the
Registrant was required to file such reports), and (2) has been subject to such
filing requirements for the past 90 days. Yes _CK_ No __
<PAGE>
Part I. FINANCIAL INFORMATION
ITEM 1. FINANCIAL STATEMENTS
PRUDENTIAL-BACHE DIVERSIFIED FUTURES FUND L.P.
(a limited partnership)
STATEMENTS OF FINANCIAL CONDITION
(Unaudited)
<TABLE>
<CAPTION>
March 31, December 31,
1997 1996
<S> <C> <C>
- ----------------------------------------------------------------------------------------------------
ASSETS
Equity in commodity trading accounts:
Cash $ 4,628,650 $ 4,645,558
U.S. Treasury bills, at amortized cost 15,059,908 16,240,338
Net unrealized gain on open commodity positions 170,368 515,393
------------- ------------
Total assets $19,858,926 $21,401,289
------------- ------------
------------- ------------
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable $ 461,733 $ 1,181,254
Incentive fees payable -- 532,138
Management fees payable 65,967 71,105
Accrued expenses 68,779 69,703
------------- ------------
Total liabilities 596,479 1,854,200
------------- ------------
Commitments
Partners' capital
Limited partners (46,380 and 47,492 units outstanding) 19,069,613 19,351,504
General partner (469 and 480 units outstanding) 192,834 195,585
------------- ------------
Total partners' capital 19,262,447 19,547,089
------------- ------------
Total liabilities and partners' capital $19,858,926 $21,401,289
------------- ------------
------------- ------------
Net asset value per limited and general partnership unit ('Units') $ 411.16 $ 407.47
------------- ------------
------------- ------------
- ----------------------------------------------------------------------------------------------------
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>
Three months ended
March 31,
------------------------
1997 1996
<S> <C> <C>
- --------------------------------------------------------------------------------------------------
REVENUES
Net realized gain on commodity transactions $1,006,952 $ 272,469
Change in net unrealized gain on open commodity positions (345,025) (73,235)
Interest from U.S Treasury bills 184,491 188,072
---------- ---------
846,418 387,306
---------- ---------
EXPENSES
Commissions 447,944 431,068
Management fees 200,877 191,677
General and administrative 20,506 21,377
---------- ---------
669,327 644,122
---------- ---------
Net income (loss) $ 177,091 $(256,816)
---------- ---------
---------- ---------
ALLOCATION OF NET INCOME (LOSS)
Limited partners $ 175,319 $(240,873)
---------- ---------
---------- ---------
General partner $ 1,772 $ (15,943)
---------- ---------
---------- ---------
NET INCOME (LOSS) PER WEIGHTED AVERAGE
LIMITED AND GENERAL PARTNERSHIP UNIT
Net income (loss) per weighted average
limited and general partnership unit $ 3.69 $ (4.43)
---------- ---------
---------- ---------
Weighted average number of
limited and general partnership units outstanding 47,972 57,956
---------- ---------
---------- ---------
- --------------------------------------------------------------------------------------------------
</TABLE>
STATEMENT OF CHANGES IN PARTNERS' CAPITAL
(Unaudited)
<TABLE>
<CAPTION>
LIMITED GENERAL
UNITS PARTNERS PARTNER TOTAL
<S> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------
Partners' capital--December 31, 1996 47,972 $19,351,504 $195,585 $19,547,089
Net income -- 175,319 1,772 177,091
Redemptions (1,123) (457,210) (4,523) (461,733)
------ ----------- -------- -----------
Partners' capital--March 31, 1997 46,849 $19,069,613 $192,834 $19,262,447
------ ----------- -------- -----------
------ ----------- -------- -----------
- ----------------------------------------------------------------------------------------------------
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
March 31, 1997
(Unaudited)
A. General
These financial statements have been prepared without audit. In the opinion
of management, the financial statements contain all adjustments (consisting of
only normal recurring adjustments) necessary to present fairly the financial
position of Prudential-Bache Diversified Futures Fund L.P. (the 'Partnership')
as of March 31, 1997 and the results of its operations for the three months
ended March 31, 1997 and 1996. However, the operating results for the interim
periods may not be indicative of the results expected for 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, 1996 (the 'Annual Report').
B. Related Parties
Seaport Futures Management, Inc. (the 'General Partner') and its affiliates
perform services for the Partnership which include, but are not limited to:
brokerage services, accounting and financial management, registrar, transfer and
assignment functions, investor communications, printing and other administrative
services. A portion of the general and administrative expenses of the
Partnership for the three months ended March 31, 1997 and 1996 was borne by
Prudential Securities Incorporated ('PSI') and its affiliates.
Costs and expenses charged to the Partnership for these services for the
three months ended March 31, 1997 and 1996 were:
<TABLE>
<CAPTION>
Three months ended
March 31,
---------------------
1997 1996
-------- --------
<S> <C> <C>
Commissions $447,944 $431,068
Printing services 4,426 4,485
-------- --------
$452,370 $435,553
-------- --------
-------- --------
</TABLE>
Expenses payable to the General Partner and its affiliates (which are
included in accrued expenses) as of March 31, 1997 and December 31, 1996 were
$4,224 and $4,524, respectively.
The Partnership maintains its trading and cash accounts at PSI. 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.
In connection with the Partnership's interbank transactions, PSI engages in
foreign currency forward transactions with the Partnership and an affiliate of
PSI who, as principal, attempts to earn a profit on the bid-ask spreads (which
must be competitive) on any foreign currency forward transactions entered into
between the Partnership and PSI, on the one hand, and PSI and such affiliate on
the other. In connection with its trading of foreign currencies in the interbank
market, PSI may arrange bank lines of credit at major international banks. To
the extent such lines of credit are arranged, PSI does not charge the
Partnership for maintaining such lines of credit, but requires margin deposits
with respect to forward contract transactions.
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
March 31, 1997 and December 31, 1996, such segregated assets totalled
$12,455,573 and $14,167,179, respectively. Part 30.7 of the CFTC regulations
also requires PSI to secure assets of the Partnership related to foreign futures
and options trading which totalled $7,559,088 and $7,047,560 at March 31, 1997
and December 31, 1996, respectively. There are no segregation requirements for
assets related to forward trading.
As of March 31, 1997 and December 31, 1996, all open forward contracts mature
within three months, and all open futures contracts mature within one year.
5
<PAGE>
At March 31, 1997 and December 31, 1996, gross contract amounts of open
futures and forward contracts are:
<TABLE>
<CAPTION>
March 31, 1997 December 31, 1996
-------------- -----------------
<S> <C> <C>
Futures Currency Contracts:
Commitments to purchase $ 1,968,253 $ 1,109,825
Commitments to sell $ 2,789,187 $ 1,480,663
Forward Currency Contracts:
Commitments to purchase $ 441,085 $20,657,538
Commitments to sell $ 10,064,478 $15,746,034
Financial Futures Contracts:
Commitments to purchase $ 9,881,415 $73,942,614
Commitments to sell $ 62,852,877 $24,695,270
Other Futures Contracts:
Commitments to purchase $ 1,875,141 $ 1,028,076
Commitments to sell $ 1,859,037 $ 9,895,757
</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.
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 March 31, 1997 and December 31, 1996, the fair values of open futures and
forward contracts were:
<TABLE>
<CAPTION>
March 31, 1997 December 31, 1996
------------------------ ------------------------
Fair Value Fair Value
------------------------ ------------------------
Assets Liabilities Assets Liabilities
-------- ----------- -------- -----------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $184,788 $ -- $ 9,450 $ 46,687
Currencies 10,850 6,898 57,048 1,538
Other 97,295 15,980 286,710 14,936
Foreign exchanges
Financial 93,639 37,894 219,373 184,813
Other 3,573 3,270 4,236 --
Forward Contracts:
Currencies 57,601 213,336 420,042 233,492
-------- ----------- -------- -----------
$447,746 $ 277,378 $996,859 $ 481,466
-------- ----------- -------- -----------
-------- ----------- -------- -----------
</TABLE>
6
<PAGE>
The following table presents the average fair value of futures and forward
contracts during the three months ended March 31, 1997 and 1996, respectively.
<TABLE>
<CAPTION>
Three months ended Three months ended
March 31, 1997 March 31, 1996
-------------------------- --------------------------
Average Fair Value Average Fair Value
-------------------------- --------------------------
Assets Liabilities Assets Liabilities
---------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ 52,410 $ 20,958 $ 402,598 $ 4,500
Currencies 51,784 6,329 61,748 7,048
Other 274,477 12,858 147,984 70,827
Foreign exchanges
Financial 227,840 68,325 516,631 41,085
Other 4,043 1,029 5,724 2,531
Forward Contracts:
Currencies 633,074 329,411 605,102 362,745
---------- ----------- ---------- -----------
$1,243,628 $ 438,910 $1,739,787 $ 488,736
---------- ----------- ---------- -----------
---------- ----------- ---------- -----------
</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 March 31, 1997 and 1996, respectively.
<TABLE>
<CAPTION>
Three months ended March 31, 1997 Three months ended March 31, 1996
------------------------------------------- ---------------------------------------------
Change in Change in
Net Realized Net 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 $ (288,506) $ 222,025 $ (66,481) $ 324,844 $ 154,544 $ 479,388
Currencies 86,898 (51,558 ) 35,340 75,495 19,967 95,462
Other 240,838 (190,459 ) 50,379 (280,738) (209,838) (490,576)
Foreign exchanges
Financial 36,896 21,185 58,081 5,257 (259,025) (253,768)
Other 3,147 (3,933 ) (786) 2,304 (11,968) (9,664)
Forward Contracts:
Currencies 927,679 (342,285 ) 585,394 145,307 233,085 378,392
------------ ------------ --------- ------------ ------------ -----------
$1,006,952 $ (345,025 ) $ 661,927 $ 272,469 $ (73,235) $ 199,234
------------ ------------ --------- ------------ ------------ -----------
------------ ------------ --------- ------------ ------------ -----------
</TABLE>
D. Subsequent Events
All trading decisions for the Partnership are made by John W. Henry & Co.,
Inc. (the 'Trading Manager'). As of April 1, 1997, the General Partner
reallocated assets previously traded pursuant to the Trading Manager's Global
Diversified and International Foreign Exchange Portfolios to its World Financial
Perspective Portfolio, increasing the percentage of the Partnership's assets
allocated to that Portfolio by 10%. Additionally, the General Partner
reallocated $2 million previously traded pursuant to the Trading Manager's
Financial and Metals Portfolio to its Original Investment Portfolio, also
increasing the percentage of the Partnership's assets allocated to that
Portfolio by 10%.
7
<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 March 31, 1997, 100% of the Partnership's total net assets were allocated
to commodities trading (the 'Net Asset Value'). A significant portion of the Net
Asset Value was held in U.S. Treasury bills (which represented approximately 76%
of the Net Asset Value at March 31, 1997 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 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.
Redemptions by limited partners and the general partner recorded for the
three months ended March 31, 1997 were $457,210 and $4,523, respectively.
Redemptions by limited partners and the general partner from commencement of
operations (October 19, 1988) through March 31, 1997 totalled $40,301,179 and
$1,012,011, respectively. Future redemptions will impact the amount of funds
available for investment in commodity contracts in subsequent periods.
The Partnership does not have, nor does it expect to have, any capital
assets.
As of April 1, 1997, the general partner reallocated assets previously traded
pursuant to the Trading Manager's Global Diversified and International Foreign
Exchange Portfolios to its World Financial Perspective Portfolio, increasing the
percentage of the Partnership's assets allocated to that Portfolio by 10%.
Additionally, the general partner reallocated $2 million previously traded
pursuant to the Trading Manager's Financial and Metals Portfolio to its Original
Investment Portfolio, also increasing the percentage of the Partnership's assets
allocated to that Portfolio by 10%.
Results of Operations
The Net Asset Value per Unit as of March 31, 1997 was $411.16, an increase of
0.91% from the December 31, 1996 Net Asset Value per Unit of $407.47.
January's positive performance resulted from profits earned in the metal,
currency, financial and stock index sectors. The energy, grain and soft sectors
incurred losses. In the metal sector, the Partnership profited when gold prices
declined to October 1993 levels as investors shifted assets into the booming
equity markets. Copper and aluminum positions posted gains as well. In the
currency markets investors
8
<PAGE>
remained focused on economic fundamentals which pushed the U.S. dollar to new
highs against the Japanese yen. The German mark also declined against the dollar
as investors became cautious in the face of bearish news on the German economy.
Political realities took their toll on the British pound, as prospects for an
interest rate hike in Britain weakened causing the pound to fall. Japanese yen,
German mark, Swiss franc and French franc positions were profitable with losses
posted in the British pound. In the financial sector, the U.S. government bond
market was volatile as economic data revived inflation concerns resulting in
losses for the Partnership. German, Italian, French, Australian and Japanese
bond positions were profitable. In the energy sector, crude oil prices were
volatile caused by the quirky structure of the U.N./Iraq oil agreement which
exaggerated market movements, both up and down. As a result, heating oil and
light crude oil positions posted losses.
February's negative performance resulted from losses incurred in the metal,
financial, stock index and energy sectors. Profits were earned in the currency,
soft and grain sectors. In the metal sector, gold prices rose as the lowest spot
prices since 1993 rekindled demand. Gold also spiked higher on reports that the
European Union would not condone the sale of gold reserves by central banks to
reduce government budget deficits. As a result, short positions in gold were
unprofitable. In the financial sector, U.S., Australian and Japanese bond
positions posted losses. Continued speculation on the direction of interest
rates fueled volatility in the global interest rate markets. Early in the month,
the central banks of Germany, England and the U.S. announced their intention to
keep rates stable, but speculation continued as the focus in the U.S. turned
immediately to the Federal Reserve's next policy committee meeting in March.
Despite the best efforts of the G-7 nations to talk the U.S. dollar down from
its lofty peaks, market players pushed the greenback to new highs against the
German mark, Japanese yen and Swiss franc. As the month moved on, hints by the
Chairman of the U.S. Federal Reserve of a possible interest rate hike sent the
dollar soaring as it seemed the U.S. currency would retain its high-yield status
in the global marketplace. German mark, British pound, Swiss franc and French
franc positions posted gains. In the soft sector, coffee positions were
profitable. The two-month bull trend in coffee prices continued as unfavorable
weather in Brazil and Colombia threatened 1997-1998 crop production and labor
strife threatened delivery of supplies.
March's negative performance resulted from losses in the metal, financial,
energy and stock index sectors. Profits were earned in the currency, grain and
soft sectors. In the metal sector, positions in silver and aluminum posted
losses. Precious metals were volatile during the month, reflecting turmoil in
the world equity markets. Bond markets in the U.S. were buffeted by economic
reports indicating a strengthening economy and a growing conviction that
interest rate hikes would follow. Gains in U.S. bonds were offset by losses in
German, French and British bond positions. In the energy sector, improving crude
oil and natural gas inventories pushed prices down as positions in both resulted
in losses. In the currency sector, positions in the Japanese yen, Swiss franc
and Singapore dollar were profitable. The largest profits were earned in the
Japanese yen as that currency continued to decline throughout the month
profiting the Partnership's short positions. In the grain sector, positions in
soybean meal and corn were profitable as short-term supply concerns drove prices
upward.
Interest income is earned on U.S. Treasury bills and, therefore, varies
monthly according to interest rates, trading performances and redemptions.
Interest income from U.S. Treasury bills decreased approximately $4,000 for the
three months ended March 31, 1997 as compared to the corresponding period 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 $17,000 for the
three months ended March 31, 1997 as compared to the corresponding period in
1996 primarily due to higher 1997 monthly Net Asset Values as a result of strong
trading performance during the fourth quarter of 1996.
Management fees are calculated on the Partnership's Net Asset Value at the
end of each month and, therefore, are affected by trading performance and
redemptions. Management fees increased by approximately $9,000 for the three
months ended March 31, 1997 as compared to the corresponding period in 1996 due
to the same reasons commissions increased as discussed above.
9
<PAGE>
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 during the three months
ended March 31, 1997 and 1996.
General and administrative expenses include audit, tax and legal fees as well
as printing and postage costs. General and administrative expenses for the three
months ended March 31, 1997 were comparable to the corresponding period in the
prior year.
10
<PAGE>
PART II. OTHER INFORMATION
Item 1. Legal Proceedings--There are no material legal proceedings pending by
or against the Registrant or the General Partner.
Item 2. Changes in Securities--None
Item 3. Defaults Upon Senior Securities--None
Item 4. Submission of Matters to a Vote of Security Holders--None
Item 5. Other Information--None
Item 6. (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--None
11
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
Registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.
PRUDENTIAL-BACHE DIVERSIFIED FUTURES FUND L.P.
By: Seaport Futures Management, Inc.
A Delaware corporation, General Partner
By: /s/ Steven Carlino Date: May 15, 1997
----------------------------------------
Steven Carlino
Vice President
Chief Accounting Officer for the Registrant
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-31-1997
<PERIOD-START> Jan-1-1997
<PERIOD-END> Mar-31-1997
<PERIOD-TYPE> 3-MOS
<CASH> 4,628,650
<SECURITIES> 15,230,276
<RECEIVABLES> 0
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 19,858,926
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 19,858,926
<CURRENT-LIABILITIES> 596,479
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 19,262,447
<TOTAL-LIABILITY-AND-EQUITY> 19,858,926
<SALES> 0
<TOTAL-REVENUES> 846,418
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 669,327
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 0
<INCOME-TAX> 0
<INCOME-CONTINUING> 0
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> 177,091
<EPS-PRIMARY> 411.16
<EPS-DILUTED> 0
</TABLE>
