<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, 2000
/ / 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,
2000 1999
<S> <C> <C>
----------------------------------------------------------------------------------------------------
ASSETS
Cash $ 2,432,720 $ 2,812,735
U.S. Treasury bills, at amortized cost 5,396,554 9,753,685
Net unrealized gain (loss) on open futures contracts (293,533) 435,838
------------- ------------
Total assets $ 7,535,741 $13,002,258
------------- ------------
------------- ------------
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable $ 396,642 $ 1,066,423
Net unrealized loss on open forward contracts 147,359 23,437
Accrued expenses payable 43,290 61,298
Management fees payable 24,484 43,063
------------- ------------
Total liabilities 611,775 1,194,221
------------- ------------
Commitments
Partners' capital
Limited partners (24,643 and 31,656 units outstanding) 6,854,428 11,689,137
General partner (250 and 322 units outstanding) 69,538 118,900
------------- ------------
Total partners' capital 6,923,966 11,808,037
------------- ------------
Total liabilities and partners' capital $ 7,535,741 $13,002,258
------------- ------------
------------- ------------
Net asset value per limited and general partnership unit ('Units') $ 278.15 $ 369.26
------------- ------------
------------- ------------
----------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements.
</TABLE>
2
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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,
--------------------------- ---------------------------
2000 1999 2000 1999
<S> <C> <C> <C> <C>
-------------------------------------------------------------------------------------------------------
REVENUES
Net realized gain (loss) on commodity
transactions $(1,164,138) $ 2,013,391 $ (18,828) $ 305,288
Change in net unrealized gain/loss on
open commodity positions (853,293) (1,979,211) (412,338) (1,690,341)
Interest from U.S Treasury bills 302,165 424,869 85,945 147,475
----------- ----------- ----------- -----------
(1,715,266) 459,049 (345,221) (1,237,578)
----------- ----------- ----------- -----------
EXPENSES
Commissions 577,055 998,072 156,571 323,421
Management fees 280,720 497,098 76,557 156,456
General and administrative 50,544 57,295 16,953 19,875
----------- ----------- ----------- -----------
908,319 1,552,465 250,081 499,752
----------- ----------- ----------- -----------
Net loss $(2,623,585) $(1,093,416) $ (595,302) $(1,737,330)
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
ALLOCATION OF NET LOSS
Limited partners $(2,597,250) $(1,082,484) $ (589,331) $(1,719,942)
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
General partner $ (26,335) $ (10,932) $ (5,971) $ (17,388)
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
NET LOSS PER WEIGHTED AVERAGE
LIMITED AND GENERAL PARTNERSHIP UNIT
Net loss per weighted average
limited and general partnership unit $ (90.95) $ (29.40) $ (22.62) $ (49.12)
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
Weighted average number of
limited and general partnership units
outstanding 28,845 37,197 26,319 35,370
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
-------------------------------------------------------------------------------------------------------
</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, 1999 31,978 $11,689,137 $118,900 $11,808,037
Net loss (2,597,250) (26,335) (2,623,585)
Redemptions (7,085) (2,237,459) (23,027) (2,260,486)
------ ----------- -------- -----------
Partners' capital--September 30, 2000 24,893 $ 6,854,428 $ 69,538 $ 6,923,966
------ ----------- -------- -----------
------ ----------- -------- -----------
----------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements.
</TABLE>
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PRUDENTIAL-BACHE DIVERSIFIED FUTURES FUND L.P.
(a limited partnership)
NOTES TO FINANCIAL STATEMENTS
September 30, 2000
(Unaudited)
A. General
These financial statements have been prepared without audit. In the opinion
of Seaport Futures Management, Inc. (the 'General Partner'), 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, 2000 and the results of its operations for the nine and three
months ended September 30, 2000 and 1999. 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, 1999.
New Accounting Guidance
In June 2000, the Financial Accounting Standards Board ('FASB') issued
Statement No. 138, Accounting for Certain Derivative Instruments and Certain
Hedging Activities--an amendment of FASB Statement No. 133 ('SFAS 138'), which
became effective for the Partnership on July 1, 2000. SFAS 138 amends the
accounting and reporting standards of FASB Statement No. 133 for certain
derivative instruments and certain hedging activities. SFAS 138 has not had a
material effect on the carrying value of assets and liabilities within the
financial statements.
B. Related Parties
The General Partner and its affiliates perform services for the Partnership
which include, but are not limited to: brokerage services; accounting and
financial management; registrar, transfer and assignment functions; investor
communications, printing and other administrative services. A portion of the
general and administrative expenses of the Partnership for the nine and three
months ended September 30, 2000 and 1999 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, 2000 and 1999 were:
<TABLE>
<CAPTION>
For the three months
For the nine months ended ended
September 30, September 30,
--------------------------- -------------------------
2000 1999 2000 1999
<S> <C> <C> <C> <C>
----------------------------------------------------------
Commissions $577,055 $ 998,072 $156,571 $323,421
General and administrative 7,499 3,716 2,513 940
-------- ---------- -------- --------
$584,554 $1,001,788 $159,084 $324,361
-------- ---------- -------- --------
-------- ---------- -------- --------
</TABLE>
Expenses payable to the General Partner and its affiliates (which are
included in accrued expenses payable) as of September 30, 2000 and December 31,
1999 were $4,667 and $4,750, 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
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of credit. PSI may require that collateral be posted against the
marked-to-market positions of the Partnership.
C. Derivative Instruments and Associated Risks
The Partnership is exposed to various types of risk associated with the
derivative instruments and related markets in which it invests. These risks
include, but are not limited to, risk of loss from fluctuations in the value of
derivative instruments held (market risk) and the inability of counterparties to
perform under the terms of the Partnership's investment activities (credit
risk).
Market risk
Trading in futures and forward (including foreign exchange transactions)
contracts involves entering into contractual commitments to purchase or sell a
particular commodity at a specified date and price. The gross or face amount of
the contracts, which is typically many times that of the Partnership's net
assets being traded, significantly exceeds the Partnership's future cash
requirements since the Partnership intends to close out its open positions prior
to settlement. As a result, the Partnership 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 derivative instruments to be the
net unrealized gain or loss on the contracts. The market risk associated with
the Partnership's commitments to purchase commodities is limited to the gross or
face amount of the contracts held. However, when the Partnership enters into a
contractual commitment to sell commodities, it must make delivery of the
underlying commodity at the contract price and then repurchase the contract at
prevailing market prices. Since the repurchase price to which a commodity can
rise is unlimited, entering into commitments to sell commodities exposes the
Partnership to unlimited risk.
Market risk is influenced by a wide variety of factors including government
programs and policies, political and economic events, the level and volatility
of interest rates, foreign currency exchange rates, the diversification effects
among the derivative instruments the Partnership holds and the liquidity and
inherent volatility of the markets in which the Partnership trades.
Credit risk
When entering into futures or forward contracts, the Partnership is exposed
to credit risk that the counterparty to the contract will not meet its
obligations. The counterparty for futures contracts traded in the United States
and on most foreign futures exchanges is the clearinghouse associated with such
exchanges. In general, clearinghouses are backed by the corporate members of the
clearinghouse who are required to share any financial burden resulting from the
nonperformance by one of its members and, as such, should significantly reduce
this credit risk. In cases where the clearinghouse is not backed by the clearing
members (i.e., some foreign exchanges), it is normally backed by a consortium of
banks or other financial institutions. On the other hand, the sole counterparty
to the Partnership's forward transactions is PSI, the Partnership's commodity
broker. The Partnership has entered into a master netting agreement with PSI
and, as a result, presents unrealized gains and losses on open forward positions
as a net amount in the statements of financial condition. The amount at risk
associated with counterparty nonperformance of all of the Partnership's
contracts is the net unrealized gain included in the statements of financial
condition. There can be no assurance that any counterparty, clearing member or
clearinghouse will meet its obligations to the Partnership.
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 Partnership Agreement 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
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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 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 trading and is not to commingle
such assets with other assets of PSI. At September 30, 2000, such segregated
assets totalled $4,470,062. Part 30.7 of the CFTC regulations also requires PSI
to secure assets of the Partnership related to foreign futures trading which
totalled $3,065,679 at September 30, 2000. There are no segregation requirements
for assets related to forward trading.
As of September 30, 2000, all open futures and forward contracts mature
within one year.
At September 30, 2000 and December 31, 1999, the fair values of open futures
and forward contracts were:
<TABLE>
<CAPTION>
2000 1999
-------------------------- --------------------------
Assets Liabilities Assets Liabilities
---------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Stock indices $ 1,900 $ 2,600 $ 25,150 $ --
Interest rates 53,168 17,563 138,494 9,609
Currencies 44,540 324,715 255,065 86,970
Commodities 80,909 28,966 116,930 88,085
Foreign exchanges
Stock indices 50,734 9,309 35,511 9,447
Interest rates 7,941 150,819 78,774 30,983
Commodities 25,933 24,686 18,593 7,585
Forward Contracts:
Currencies 354 147,713 6,413 29,850
---------- ----------- ---------- -----------
$ 265,479 $ 706,371 $ 674,930 $ 262,529
---------- ----------- ---------- -----------
---------- ----------- ---------- -----------
</TABLE>
D. Subsequent Event
On October 1, 2000, the advisory agreement among the Partnership, the General
Partner and the trading manager was amended. The new agreement reduces the
monthly management fee paid to the trading manager from 1/3 of 1% (a 4% annual
rate) of the Partnership's net asset value to 1/6 of 1% (a 2% annual rate).
Additionally, if the trading manager recoups its cumulative trading losses to
date and achieves a new trading high, the trading manager will earn a quarterly
incentive fee of 20% as compared to 15% previously paid.
6
<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, 2000, 100% of the Partnership's net assets was allocated to
commodities trading. A significant portion of the net asset value was held in
U.S. Treasury bills (which represented approximately 74% of the net asset value
prior to redemptions payable) and cash, which are used as margin for the
Partnership's trading in commodities. Inasmuch as the sole business of the
Partnership is to trade in commodities, the Partnership continues to own such
liquid assets to be used as margin.
The percentage that U.S. Treasury bills bears to the net 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 and forward 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 and forward contracts.
Redemptions recorded for the nine and three months ended September 30, 2000
were $2,237,459 and $392,747, respectively, for the limited partners and $23,027
and $3,895, respectively, for the General Partner, and from commencement of
operations, October 19, 1988 through September 30, 2000, totalled $48,674,386
for the limited partners and $1,096,396 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, 2000 was $278.15, a decrease
of 24.67% from the December 31, 1999 net asset value per Unit of $369.26 and a
decrease of 7.52% from the June 30, 2000 net asset value per Unit of $300.77.
The Partnership's gross trading gains/(losses) were approximately
$(2,017,000) and $(431,000) during the nine and three months ended September 30,
2000, respectively, compared to $34,000 and $(1,385,000) for the corresponding
periods in the prior year. Due to the nature of the Partnership's trading
activities, a period to period comparison of its trading results is not
meaningful. However, a detailed discussion of the Partnership's current quarter
trading results is presented below.
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Quarterly Market Overview
U.S. economic activity expanded at a moderate pace at the beginning of the
third quarter and showed signs of slowing down near quarter-end. Growth in
consumer spending slowed from the outsized gains earlier in the year, and sales
of new homes dropped from earlier highs. However, business spending continued to
surge and industrial production trended upward. Even though expansion in
employment slowed considerably in recent months, labor markets remained tight by
historical standards and some measures of labor compensation continued to
accelerate. The recent decrease in consumer spending resulted from moderate
growth of real disposable income in recent months coupled with dips in stock
market valuation. Nevertheless, consumer sentiment continued to be buoyant.
Consumer prices, as measured by the CPI, increased in June in response to a
surge in energy prices, but climbed only modestly in July and August.
U.S. Treasury markets were choppy throughout the quarter but ended slightly
higher, while Japanese government bonds fell sharply on news of a 25 basis point
rate hike. The U.S. Federal Reserve Bank maintained interest rates at 6.50%
throughout the quarter due to increasing indications of a slow down in aggregate
demand and rising productivity. Conversely, there was a shift by other European
and Asian central banks toward tighter domestic monetary policy. At its monetary
policy meeting held in August, the Bank of Japan (BOJ) decided to raise rates
from 0% to 0.25%. In February 1999, the BOJ adopted a zero interest rate policy,
unprecedented both in and out of Japan, to counter the possibility of mounting
deflationary pressure and prevent further deterioration of Japan's economy. Over
the past year and a half, Japan's economy substantially improved; consequently,
the BOJ felt confident that Japan's economy had reached the stage where
deflation was no longer an immediate threat.
The BOJ's increase in short-term interest rates in August caused the yen to
rally sharply against the British pound and U.S. dollar. The U.S. dollar was
strong against most major currencies at the beginning of the quarter. The end of
September brought a sharp reversal to this trend following intervention by the
G-7 central banks to support the euro. This move drove the euro up 5% against
the U.S. dollar and the Japanese yen. The euro surged to a high of above $0.90
after the initial wave of euro buying before settling down more than $0.02 below
its intervention peaks.
Global equity markets experienced choppiness in July and August before
declining in September. This was due to growing concern over near record energy
costs and warnings of earning shortfalls, particularly from U.S. technology
companies.
Energy prices continued their upward trend throughout the quarter. In August,
the American Petroleum Institute reported that crude inventories were at a
24-year low and by month's end the price per barrel had moved to over $33. On
September 22nd, the U.S. announced that it would release 30 million barrels of
oil from the U.S. strategic petroleum reserve over the next month in an effort
to cap surging energy prices; crude oil prices fell by $2 a barrel.
Quarterly Partnership Performance
The following is a summary of performance for the major sectors in which the
Partnership traded:
Interest rates (-): Losses were incurred in long domestic, European and
Japanese bond positions. The Japanese government bond was the largest
contributor to negative performance as prices fell in the wake of the BOJ's
decision to abandon its zero-interest rate policy and raise rates 25 basis
points.
Stock indices (-): The global economic slowdown negatively affected the major
indices. Long positions in the European DAX, S&P 500 and Sydney Futures Exchange
resulted in losses.
Currencies (-): Short positions in the Japanese Yen yielded losses despite a
brief rally after intervention by the European Central Bank and other G-7
central banks to boost the failing euro. Increasing European productivity and
growth coupled with rising energy prices have been the contributing factors to
weakening foreign currencies.
Energies (+): Long light crude oil, crude oil and heating oil positions
resulted in gains as the energy sector continued to push prices higher driven by
demand and uncertainty about future production and supply levels.
Interest income is earned on the Partnership's investments 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
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interest-bearing funds. Interest income from U.S. Treasury bills for the nine
and three months ended September 30, 2000 decreased by approximately $123,000
and $62,000 as compared to the corresponding periods in 1999. These declines in
interest income were the result of fewer funds being invested in U.S. Treasury
bills principally due to redemptions, as well as weak trading performance since
July 1999. These declines were partially offset by higher interest rates during
the nine and three months ended September 30, 2000 versus the corresponding
periods in 1999.
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 $421,000 and
$167,000 for the nine and three months ended September 30, 2000 as compared to
the corresponding periods in 1999 principally due to the effect of weak trading
performance since July 1999 and redemptions on the monthly net asset values.
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 $216,000
and $80,000 for the nine and three months ended September 30, 2000 as compared
to the corresponding periods in 1999 primarily due to fluctuations in monthly
net asset values as described in the discussion on commissions above.
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, 2000 and 1999.
General and administrative expenses include audit, tax and legal fees as well
as printing and postage costs. General and administrative expenses decreased by
$7,000 and $3,000 for the nine and three months ended September 30, 2000 as
compared to the corresponding periods in 1999.
On October 1, 2000, the advisory agreement among the Partnership, the General
Partner and the trading manager was amended. The new agreement reduces the
monthly management fee paid to the trading manager from 1/3 of 1% (a 4% annual
rate) of the Partnership's net asset value to 1/6 of 1% (a 2% annual rate).
Additionally, if the trading manager recoups its cumulative trading losses to
date and achieves a new trading high, the trading manager will earn a quarterly
incentive fee of 20% as compared to 15% previously paid.
New Accounting Guidance
In June 2000, FASB issued SFAS 138 which became effective for the Partnership
on July 1, 2000. SFAS 138 amends the accounting and reporting standards of FASB
Statement No. 133 for certain derivative instruments and certain hedging
activities. SFAS 138 has not had a material effect on the carrying value of
assets and liabilities within the financial statements.
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.
9
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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)
10.10 Amendment to Advisory Agreement, dated
October 1, 2000, among the Registrant,
Seaport Futures Management, Inc. and John W.
Henry & Company, Inc. (filed herewith)
27.1 Financial Data Schedule (filed herewith)
(b) Reports on Form 8-K--None
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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 13, 2000
----------------------------------------
Steven Carlino
Vice President and Treasurer
11
