<PAGE>
UNITED STATES
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 September 30, 1999
/ / 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 (I.R.S. Employer Identification No.)
incorporation or organization)
One New York Plaza, 13th Floor, New York, New York 10292
- --------------------------------------------------------------------------------
(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code (212) 778-7866
N/A
- --------------------------------------------------------------------------------
Former name, former address and former fiscal year, if changed since last
report.
Indicate by check CK whether the Registrant (1) has filed all reports
required to be filed by Section 13 or 15(d) of the Securities Exchange Act of
1934 during the preceding 12 months (or for such shorter period that the
Registrant was required to file such reports), and (2) has been subject to such
filing requirements for the past 90 days. Yes _CK_ No __
<PAGE>
Part I. FINANCIAL INFORMATION
ITEM 1. FINANCIAL STATEMENTS
PRUDENTIAL-BACHE DIVERSIFIED FUTURES FUND L.P.
(a limited partnership)
STATEMENTS OF FINANCIAL CONDITION
(Unaudited)
<TABLE>
<CAPTION>
September 30, December 31,
1999 1998
<S> <C> <C>
- ----------------------------------------------------------------------------------------------------
ASSETS
Equity in commodity trading accounts:
Cash $ 3,758,797 $ 3,671,967
U.S. Treasury bills, at amortized cost 11,541,282 12,676,437
Net unrealized gain (loss) on open commodity positions (278,537) 1,700,674
------------- ------------
Total assets $15,021,542 $18,049,078
------------- ------------
------------- ------------
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable $ 212,703 $ 276,765
Management fees payable 49,924 59,976
Accrued expenses 44,380 56,613
------------- ------------
Total liabilities 307,007 393,354
------------- ------------
Commitments
Partners' capital
Limited partners (34,517 and 38,588 units outstanding) 14,567,245 17,479,065
General partner (349 and 390 units outstanding) 147,290 176,659
------------- ------------
Total partners' capital 14,714,535 17,655,724
------------- ------------
Total liabilities and partners' capital $15,021,542 $18,049,078
------------- ------------
------------- ------------
Net asset value per limited and general partnership unit ('Units') $ 422.03 $ 452.97
------------- ------------
------------- ------------
- ----------------------------------------------------------------------------------------------------
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>
Nine Months Ended Three Months Ended
September 30, September 30,
-------------------------- --------------------------
1999 1998 1999 1998
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------
REVENUES
Net realized gain (loss) on commodity
transactions $ 2,013,391 $ (215,080) $ 305,288 $ (365,719)
Change in net unrealized gain/loss on
open commodity positions (1,979,211) 2,158,568 (1,690,341) 4,096,390
Interest from U.S Treasury bills 424,869 498,253 147,475 156,173
----------- ---------- ----------- ----------
459,049 2,441,741 (1,237,578) 3,886,844
----------- ---------- ----------- ----------
EXPENSES
Commissions 998,072 1,145,891 323,421 334,092
Incentive fees -- 61,366 -- 61,366
Management fees 497,098 525,414 156,456 172,257
General and administrative 57,295 58,522 19,875 21,783
----------- ---------- ----------- ----------
1,552,465 1,791,193 499,752 589,498
----------- ---------- ----------- ----------
Net income (loss) $(1,093,416) $ 650,548 $(1,737,330) $3,297,346
----------- ---------- ----------- ----------
----------- ---------- ----------- ----------
ALLOCATION OF NET INCOME (LOSS)
Limited partners $(1,082,484) $ 644,034 $(1,719,942) $3,264,354
----------- ---------- ----------- ----------
----------- ---------- ----------- ----------
General partner $ (10,932) $ 6,514 $ (17,388) $ 32,992
----------- ---------- ----------- ----------
----------- ---------- ----------- ----------
NET INCOME (LOSS) PER WEIGHTED AVERAGE
LIMITED AND GENERAL PARTNERSHIP UNIT
Net income (loss) per weighted average
limited and general partnership unit $ (29.40) $ 15.30 $ (49.12) $ 80.08
----------- ---------- ----------- ----------
----------- ---------- ----------- ----------
Weighted average number of
limited and general partnership units
outstanding 37,197 42,514 35,370 41,177
----------- ---------- ----------- ----------
----------- ---------- ----------- ----------
- ------------------------------------------------------------------------------------------------------
</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, 1998 38,978 $17,479,065 $176,659 $17,655,724
Net loss -- (1,082,484) (10,932) (1,093,416)
Redemptions (4,112) (1,829,336) (18,437) (1,847,773)
------ ----------- -------- -----------
Partners' capital--September 30, 1999 34,866 $14,567,245 $147,290 $14,714,535
------ ----------- -------- -----------
------ ----------- -------- -----------
- ----------------------------------------------------------------------------------------------------
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
September 30, 1999
(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 September 30, 1999 and the results of its operations for the nine and
three months ended September 30, 1999 and 1998. 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, 1998.
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 nine and three months ended September 30, 1999 and 1998 was
borne by Prudential Securities Incorporated ('PSI') and its affiliates.
Costs and expenses charged to the Partnership for these services for the nine
and three months ended September 30, 1999 and 1998 were:
<TABLE>
<CAPTION>
For the nine months ended For the three months ended
September 30, September 30,
------------------------- --------------------------
1999 1998 1999 1998
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------
Commissions $ 998,072 $1,145,891 $ 323,421 $334,092
General and administrative 3,716 8,130 940 2,377
---------- ---------- ------------- --------
$1,001,788 $1,154,021 $ 324,361 $336,469
---------- ---------- ------------- --------
---------- ---------- ------------- --------
</TABLE>
Expenses payable to the General Partner and its affiliates (which are
included in accrued expenses) as of September 30, 1999 and December 31, 1998
were $3,916 and $6,853, respectively.
The Partnership's assets are maintained either in trading or cash accounts
with PSI, the Partnership's commodity broker and an affiliate of the General
Partner, or for margin purposes, with the various exchanges on which the
Partnership is permitted to trade.
The Partnership, acting through its trading manager, executes
over-the-counter, spot, forward and/or option foreign exchange transactions
with PSI. PSI then engages in back-to-back trading with an affiliate,
Prudential-Bache Global Markets Inc. ('PBGM'). PBGM attempts to earn a profit
on such transactions. PBGM keeps its prices on foreign currency competitive
with other interbank currency trading desks. All over-the-counter currency
transactions are conducted between PSI and the Partnership pursuant to a line
of credit. PSI may require that collateral be posted against the
marked-to-market position of the Partnership.
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 or volatility of interest rates, foreign
currency exchange rates or the market values of the contracts (or commodities
underlying the contracts) frequently result in changes in 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 and its 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. Additionally, pursuant to the
Advisory Agreement among the Partnership, the General Partner and the trading
manager, the General Partner has the right, among other rights, to terminate the
trading manager if the net asset value allocated to the trading manager declines
by 50% from the value at the beginning of any year or 40% since the commencement
of trading activities. Furthermore, the Amended and Restated Agreement of
Limited Partnership provides that the Partnership will liquidate its positions,
and eventually dissolve, if the Partnership experiences a decline in the net
asset value to less than 50% of the value at commencement of trading activities.
In each case, the decline in net asset value is after giving effect for
distributions and redemptions. The General Partner may impose additional
restrictions (through modifications of such trading limitations and policies)
upon the trading activities of the trading 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
September 30, 1999, such segregated assets totalled $11,197,005. 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 $3,824,537 at
September 30, 1999. There are no segregation requirements for assets related to
forward trading.
As of September 30, 1999, all open futures and forward contracts mature
within one year.
5
<PAGE>
At September 30, 1999 and December 31, 1998, gross contract amounts of open
futures and forward contracts are:
<TABLE>
<CAPTION>
1999 1998
-------------- -----------------
<S> <C> <C>
Futures Currency Contracts:
Commitments to purchase $ 24,657,150 $ 10,565,568
Commitments to sell 996,975 4,949,313
Forward Currency Contracts:
Commitments to sell -- 4,219,516
Financial Futures Contracts:
Commitments to purchase 166,148,737 78,684,333
Commitments to sell 74,816,060 146,222,704
Other Futures Contracts:
Commitments to purchase 2,702,568 696,677
Commitments to sell 5,659,000 3,973,905
</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 September 30, 1999 and December 31, 1998, the fair values of open futures
and forward contracts were:
<TABLE>
<CAPTION>
1999 1998
------------------------ --------------------------
Assets Liabilities Assets Liabilities
-------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ 22,400 $ 64,650 $ 76,613 $ 186,825
Currencies 182,635 12,500 313,683 34,663
Other 180,552 788,760 118,553 37,369
Foreign exchanges
Financial 275,979 101,455 1,616,559 110,998
Other 28,622 1,360 17,057 2,810
Forward Contracts:
Currencies -- -- -- 69,126
-------- ----------- ---------- -----------
$690,188 $ 968,725 $2,142,465 $ 441,791
-------- ----------- ---------- -----------
-------- ----------- ---------- -----------
</TABLE>
6
<PAGE>
The following tables present the average fair value of futures and forward
contracts during the nine and three months ended September 30, 1999 and 1998,
respectively:
<TABLE>
<CAPTION>
For the nine months ended
---------------------------------------------------------
September 30, 1999 September 30, 1998
-------------------------- --------------------------
<S> <C> <C> <C> <C>
Assets Liabilities Assets Liabilities
---------- ----------- ---------- -----------
Futures Contracts:
Domestic exchanges
Financial $ 119,544 $ 58,125 $ 252,685 $ 31,819
Currencies 344,836 73,586 129,835 31,873
Other 150,686 135,188 298,047 65,876
Foreign exchanges
Financial 759,695 93,760 674,464 98,256
Other 17,952 16,582 10,739 6,215
Forward Contracts:
Currencies 105,266 24,784 252,043 462,832
---------- ----------- ---------- -----------
$1,497,979 $ 402,025 $1,617,813 $ 696,871
---------- ----------- ---------- -----------
---------- ----------- ---------- -----------
</TABLE>
<TABLE>
<CAPTION>
For the three months ended
---------------------------------------------------------
September 30, 1999 September 30, 1998
-------------------------- --------------------------
<S> <C> <C> <C> <C>
Assets Liabilities Assets Liabilities
---------- ----------- ---------- -----------
Futures Contracts:
Domestic exchanges
Financial $ 106,814 $ 66,986 $ 420,507 $ 39,163
Currencies 340,769 93,367 71,968 41,997
Other 212,562 226,902 220,712 79,002
Foreign exchanges
Financial 673,436 74,108 1,068,096 118,818
Other 19,009 29,576 12,558 8,979
Forward Contracts:
Currencies 12,539 40,551 239,985 702,375
---------- ----------- ---------- -----------
$1,365,129 $ 531,490 $2,033,826 $ 990,334
---------- ----------- ---------- -----------
---------- ----------- ---------- -----------
</TABLE>
7
<PAGE>
The following tables present trading revenues from futures and forward
contracts during the nine and three months ended September 30, 1999 and 1998,
respectively:
<TABLE>
<CAPTION>
For the nine months
ended For the three months ended
September 30, September 30,
------------------------ ---------------------------
1999 1998 1999 1998
--------- ---------- ----------- -----------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ 190,393 $1,230,549 $ (551,886) $ 1,570,846
Currencies 322,487 (203,500) (20,158) (102,726)
Other (413,041) (863,996) (428,469) (388,617)
Foreign exchanges
Financial (750,520) 2,312,625 (298,084) 2,723,555
Other 54,620 15,599 44,801 (8,936)
Forward Contracts:
Currencies 630,241 (547,789) (131,257) (63,451)
--------- ---------- ----------- -----------
$ 34,180 $1,943,488 $(1,385,053) $ 3,730,671
--------- ---------- ----------- -----------
--------- ---------- ----------- -----------
</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 costs, the
Partnership's net proceeds were $29,387,470.
At September 30, 1999, 100% of the Partnership's net asset value was
allocated to commodities trading. A significant portion of the net asset value
was held in U.S. Treasury bills (which represented approximately 77% of the net
asset value prior to redemptions payable) and cash, which are used as margin for
the Partnership's trading in commodities. Inasmuch as the sole business of the
Partnership is to trade in commodities, the Partnership continues to own such
liquid assets to be used as margin.
The percentage that U.S. Treasury bills bears to the net 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 Partnership's exposure to market risk is
influenced by a number of factors including the volatility of interest rates and
foreign currency exchange rates, the liquidity of the markets in which the
contracts are traded and the relationships among the contracts held. The
inherent uncertainty of the Partnership's speculative trading as well as the
development of drastic market occurrences could result in monthly losses
considerably beyond the Partnership's experience to date and could ultimately
lead to a loss of all or substantially all of investors' capital. The General
Partner attempts to minimize these risks by requiring the Partnership and its
trading manager to abide by various trading limitations and policies, which
include limiting margin amounts, trading only in liquid markets and utilizing
stop loss provisions. See Note 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 recorded for the nine and three months ended September 30, 1999
were $1,829,336 and $210,593, respectively, for the limited partners and $18,437
and $2,110, respectively, for the General Partner, and from commencement of
operations, October 19, 1988 through September 30, 1999, totalled $45,380,473
for the limited partners and $1,063,400 for the General Partner. 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.
Results of Operations
The net asset value per Unit as of September 30, 1999 was $422.03, a decrease
of 6.83% from the December 31, 1998 net asset value per Unit of $452.97 and a
decrease of 10.43% from the June 30, 1999 net asset value per Unit of $471.15.
Quarterly Market Overview
During the quarter, global financial markets experienced heavy volatility. In
July, U.S. Federal Reserve policy gave markets a boost. However, record trade
deficits, higher employment costs, fears of inflation and higher interest rates
in the U.S. quickly caused a reversal in U.S. stock and bond markets. Global
stock and
9
<PAGE>
bond markets followed U.S. markets demonstrating increased volatility. The U.S.
dollar also experienced fluctuations throughout the quarter as signs of a
stronger U.S. economy versus the European community supported the dollar's rise
to new highs against most major currencies. However, later in the quarter as a
record trade gap and stronger than expected European economic data were
reported, the U.S. dollar came under pressure and continued to fall against most
major currencies and to record lows against the Japanese yen. In the commodities
markets, energy prices rose as OPEC members agreed to maintain cuts in oil
output. The metal sector experienced extreme movement as gold prices rose to a
two-year high following reports that 15 European Central banks would limit sales
and retain higher gold reserves.
Quarterly Partnership Performance
The Partnership experienced losses in the financial sector, particularly in
Japanese government and U.S. Treasury bonds. Except for Japan, global interest
rate markets followed the lead of the U.S. bond market as rates moved higher. On
August 24th, the Federal Open Market Committee decided to increase the U.S.
federal funds rate by 25 basis points. European bond prices were weaker than
U.S. bond prices due to fear of a tightening bias and a rate hike by the
European Central Bank (ECB). ECB President Duisenberg made a public statement
about tightening monetary policy in response to inflationary pressures within
the euro-zone. In Japan, long-term interest rates rose during the first half of
the quarter on concerns that more government bonds may be issued to finance the
bailout of weaker Japanese banks.
Losses were incurred in the metal sector from gold and silver positions. The
ECB's decision to limit both gold sales and lending triggered strong movement in
the gold market. Gold prices rose to two-year highs over a 10-day period,
causing short positions to incur losses for the Partnership. Silver prices moved
in conjunction with gold prices as they rallied towards the quarter end.
In the index sector, the Partnership incurred losses due to positions in the
Nikkei Dow. Directionless, the Nikkei Dow movement was contained within a range,
but closed lower at quarter end.
Long corn positions in the grain sector also experienced losses. Corn reached
an eleven-year low as ideal weather conditions prevailed in the early part of
the quarter, improving the outlook for a large crop.
The Partnership captured gains in the energy sector from long positions in
light crude, crude, and heating oil. OPEC's production cuts continued to prove
effective for oil markets. Expectations that current output levels could be
maintained for the foreseeable future also contributed to the bullish sentiment.
Interest income is earned on the Partnership's investment in U.S. Treasury
bills and varies monthly according to interest rates, as well as the effect of
trading performance and redemptions on the level of interest-bearing funds.
Interest income from U.S. Treasury bills for the nine and three months ended
September 30, 1999 decreased by approximately $73,000 and $9,000 as compared to
the corresponding periods in 1998. The decline in interest income was the result
of lower interest rates in 1999 as well as fewer funds being invested in U.S.
Treasury bills due to redemptions and weak 1999 trading performance.
Commissions paid to PSI are calculated on the Partnership's net asset value
on the first day of each month and, therefore, vary according to trading
performance and redemptions. Commissions decreased by approximately $148,000 and
$11,000 for the nine and three months ended September 30, 1999 as compared to
the corresponding periods in 1998 principally due to the effect of redemptions
and weak 1999 trading performance on the monthly net asset values as well as a
reduction in the annual commission rate from 9% to 8% of the monthly net asset
values which took effect August 1, 1998.
All trading decisions for the Partnership are made by John W. Henry &
Company, Inc. Management fees are calculated on the Partnership's net asset
value as of the end of each month and, therefore, are affected by trading
performance and redemptions. Management fees decreased by approximately $28,000
and $16,000 for the nine and three months ended September 30, 1999 as compared
to the corresponding periods in 1998. These variances reflect the effect of
redemptions on the monthly net asset values which were further impacted by weak
1999 trading performance.
Incentive fees are based on the New High Net Trading Profits generated by the
trading manager, as defined in the Advisory Agreement among the Partnership, the
General Partner and the trading manager. No incentive fees were earned during
the nine and three months ended September 30, 1999. Incentive fees of
approximately $61,000 were earned during the three months ended September 30,
1998.
10
<PAGE>
General and administrative expenses include audit, tax and legal fees as well
as printing and postage costs. General and administrative expenses for the nine
and three months ended September 30, 1999 were comparable to the corresponding
periods in 1998.
Year 2000 Risk
A discussion of Year 2000 risk and its effect on the operations of the
Partnership is included in the Partnership's annual report on Form 10-K filed
with the Securities and Exchange Commission for the year ended December 31,
1998.
ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
Information regarding quantitative and qualitative disclosures about market
risk is not required pursuant to Item 305(e) of Regulation S-K.
11
<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
12
<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: November 15, 1999
----------------------------------------
Steven Carlino
Vice President and Treasurer
13
<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-31-1999
<PERIOD-START> Jan-1-1999
<PERIOD-END> Sep-30-1999
<PERIOD-TYPE> 9-MOS
<CASH> 3,758,797
<SECURITIES> 11,262,745
<RECEIVABLES> 0
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 15,021,542
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 15,021,542
<CURRENT-LIABILITIES> 307,007
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 14,714,535
<TOTAL-LIABILITY-AND-EQUITY> 15,021,542
<SALES> 0
<TOTAL-REVENUES> 459,049
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 1,552,465
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 0
<INCOME-TAX> 0
<INCOME-CONTINUING> 0
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> (1,093,416)
<EPS-BASIC> (29.40)
<EPS-DILUTED> 0
</TABLE>
