<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 quarterly period ended September 30, 1996
OR
/ / TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
ACT OF 1934
For the transition period from _______________________ to ______________________
Commission file number: 0-26004
DIVERSIFIED FUTURES TRUST I
- --------------------------------------------------------------------------------
(Exact name of Registrant as specified in its charter)
Delaware 13-3780260
- --------------------------------------------------------------------------------
(State or other jurisdiction of (I.R.S. Employer
incorporation or organization) Identification No.)
One New York Plaza, 13th Floor, New York, New York 10292
- --------------------------------------------------------------------------------
(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code (212) 778-7866
N/A
- --------------------------------------------------------------------------------
Former name, former address and former fiscal year, if changed since last report
Indicate by check CK whether the Registrant (1) has filed all reports
required to be filed by Section 13 or 15(d) of the Securities Exchange Act of
1934 during the preceding 12 months (or for such shorter period that the
Registrant was required to file such reports), and (2) has been subject to such
filing requirements for the past 90 days. Yes _CK_ No __
<PAGE>
<PAGE>
PART I. FINANCIAL INFORMATION
ITEM 1. FINANCIAL STATEMENTS
DIVERSIFIED FUTURES TRUST I
(a Delaware Business Trust)
STATEMENTS OF FINANCIAL CONDITION
(Unaudited)
<TABLE>
<CAPTION>
September 30, December 31,
1996 1995
<S> <C> <C>
- ----------------------------------------------------------------------------------------------------
ASSETS
Equity in commodity trading accounts:
Cash $60,989,889 $46,513,372
Net unrealized gain on open commodity positions 7,605,922 2,991,304
------------- ------------
Net equity 68,595,811 49,504,676
Other receivable 22,245 14,831
------------- ------------
Total assets $68,618,056 $49,519,507
------------- ------------
------------- ------------
LIABILITIES AND TRUST CAPITAL
Liabilities
Redemptions payable $ 2,192,462 $ 2,658,946
Management fee payable 228,726 165,065
Incentive fee payable 43,018 --
------------- ------------
Total liabilities 2,464,206 2,824,011
------------- ------------
Commitments
Trust capital
Limited interests (442,381.092 and 323,307.195 interests
outstanding) 65,492,259 46,119,407
General interests (4,469 and 4,038.530 interests outstanding) 661,591 576,089
------------- ------------
Total trust capital 66,153,850 46,695,496
------------- ------------
Total liabilities and trust capital $68,618,056 $49,519,507
------------- ------------
------------- ------------
Net asset value per limited and general interests (``Interests'') $ 148.04 $ 142.65
------------- ------------
------------- ------------
- ----------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these statements
2
<PAGE>
<PAGE>
DIVERSIFIED FUTURES TRUST I
(a Delaware Business Trust)
STATEMENTS OF OPERATIONS
(Unaudited)
<TABLE>
<CAPTION>
For the period
from
January 5, 1995
(commencement of
Nine Months operations) Three Months ended
ended through September 30,
September 30, September 30, -----------------------------
1996 1995 1996 1995
<S> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------
REVENUES
Net realized gain (loss) on
commodity transactions $ 875,279 $ 13,550,504 $(1,723,720 ) $ (140,086)
Change in net unrealized
gain/loss on commodity
positions 4,614,618 (115,789) 4,653,621 (796,400)
Interest income 2,168,868 1,600,788 782,377 620,858
------------- ---------------- ------------ ------------
7,658,765 15,035,503 3,712,278 (315,628)
------------- ---------------- ------------ ------------
EXPENSES
Commissions 3,331,834 2,186,372 1,179,635 836,068
Management fees 1,735,241 1,173,868 617,286 427,680
Incentive fees 43,018 1,841,206 43,018 --
------------- ---------------- ------------ ------------
5,110,093 5,201,446 1,839,939 1,263,748
------------- ---------------- ------------ ------------
Net income (loss) $ 2,548,672 $ 9,834,057 $ 1,872,339 $ (1,579,376)
------------- ---------------- ------------ ------------
------------- ---------------- ------------ ------------
ALLOCATION OF NET INCOME (LOSS)
Limited interests $ 2,523,115 $ 9,688,801 $ 1,855,290 $ (1,559,320)
------------- ---------------- ------------ ------------
------------- ---------------- ------------ ------------
General interests $ 25,557 $ 145,256 $ 17,049 $ (20,056)
------------- ---------------- ------------ ------------
------------- ---------------- ------------ ------------
NET INCOME (LOSS) PER WEIGHTED
AVERAGE LIMITED AND GENERAL
INTEREST
Net income (loss) per weighted
average limited and general
interest $ 6.34 $ 33.24 $ 4.35 $ (5.10)
------------- ---------------- ------------ ------------
------------- ---------------- ------------ ------------
Weighted average number of
limited and general interests
outstanding 402,042 295,863 430,051 309,898
------------- ---------------- ------------ ------------
------------- ---------------- ------------ ------------
- ---------------------------------------------------------------------------------------------------------
</TABLE>
STATEMENT OF CHANGES IN TRUST CAPITAL
(Unaudited)
<TABLE>
<CAPTION>
LIMITED GENERAL
INTERESTS INTERESTS INTERESTS TOTAL
<S> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------
Trust capital--December 31, 1995 327,345.725 $46,119,407 $576,089 $46,695,496
Contributions 164,986.430 23,425,200 83,500 23,508,700
Net income -- 2,523,115 25,557 2,548,672
Redemptions (45,482.063) (6,575,463) (23,555 ) (6,599,018)
------------ ----------- --------- -----------
Trust capital--September 30, 1996 446,850.092 $65,492,259 $661,591 $66,153,850
------------ ----------- --------- -----------
------------ ----------- --------- -----------
- -----------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these statements
3
<PAGE>
<PAGE>
DIVERSIFIED FUTURES TRUST I
(a Delaware Business Trust)
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 1996
(Unaudited)
A. General
These financial statements have been prepared without audit. In the opinion
of management, the financial statements contain all adjustments (consisting of
only normal recurring adjustments) necessary to present fairly the financial
position of Diversified Futures Trust I (the ``Trust'') as of September 30, 1996
and the results of its operations for the nine and three months ended September
30, 1996 and 1995. However, the operating results for the interim periods may
not be indicative of the results expected for the full year.
Certain information and footnote disclosures normally included in annual
financial statements prepared in accordance with generally accepted accounting
principles have been omitted. It is suggested that these financial statements be
read in conjunction with the statements of financial condition and notes thereto
included in the Partnership's Annual Report on Form 10-K filed with the
Securities and Exchange Commission for the year ended December 31, 1995 (the
``Annual Report'').
Certain balances for prior periods have been reclassified to conform with
current financial statement presentation.
Following the close of its initial offering period, the Trust commenced
operations on January 5, 1995 and continued to offer interests on a monthly
basis until its continuous offering period expired on August 31, 1996.
B. Related Parties
Prudential Securities Futures Management Inc. (the ``Managing Owner'') and
its affiliates perform services for the Trust 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. The Managing Owner is a wholly-owned subsidiary of
Prudential Securities Incorporated (``PSI''). Except for costs related to
brokerage services, PSI or its affiliates pay the costs of these services in
addition to costs of organizing the Trust and offering its interests as well as
its routine operational, administrative, legal and auditing fees.
The Trust maintains its trading and cash accounts at PSI, the Trust's
commodity broker. A significant portion of the Trust's cash is utilized for
margin purposes for the Trust's commodity trading activities. PSI credits the
Trust monthly with 100% of the interest it earns on the equity in these
accounts. As described in the Annual Report, all commissions for brokerage
services are paid to PSI.
When the Trust engages in forward foreign currency transactions, it trades
with PSI who simultaneously engages in back-to-back transactions with an
affiliate who, pursuant to the Trust's prospectus, is obligated to charge a
competitive price.
As of September 30, 1996, a non-U.S. affiliate of the Managing Owner owns
6,092 limited interests of the Trust.
C. Credit and Market Risk
Since the Trust'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 Trust's unrealized
gain (loss) on open commodity positions reflected in the statements of financial
condition. The Trust's exposure to market risk is influenced by a number of
factors including the relationships among the contracts held by the Trust 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
4
<PAGE>
<PAGE>
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 Trust 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 Managing Owner attempts to minimize both credit and market risks by
requiring the Trust's trading manager to abide by various trading limitations
and policies. The Managing Owner 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 Managing Owner 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 Trust.
PSI, when acting as the Trust'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 Trust all assets of the
Trust relating to domestic futures and options trading and is not to commingle
such assets with other assets of PSI. At September 30, 1996 and December 31,
1995, such segregated assets totalled $54,002,546 and $38,453,139, respectively.
Part 30.7 of the CFTC regulations also requires PSI to secure assets of the
Trust related to foreign futures and options trading which totalled $13,238,735
and $11,074,805 at September 30, 1996 and December 31, 1995, respectively. There
are no segregation requirements for assets related to forward trading.
As of September 30, 1996 and December 31, 1995, the Trust's open forward and
futures contracts mature within one year.
At September 30, 1996 and December 31, 1995, gross contract amounts of open
futures and forward contracts are:
<TABLE>
<CAPTION>
September 30, December 31,
1996 1995
------------- ------------
<S> <C> <C>
Financial Futures Contracts:
Commitments to purchase $ 616,648,200 $355,381,599
Commitments to sell $ 23,820,375 $ 43,243,625
Currency Forward Contracts:
Commitments to purchase $ 73,707,319 $ 2,211,904
Commitments to sell $ 116,598,452 $ 65,731,133
Other Futures Contracts:
Commitments to purchase $ 12,500,314 $ 9,454,717
Commitments to sell $ 55,645,036 $ 12,669,806
</TABLE>
The gross contract amounts represent the Trust'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 Trust 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
Trust considers the ``fair value'' of its futures, forward and options contracts
to be the net unrealized gain or loss on the contracts (plus premiums on
options). Thus, the amount at risk associated with counterparty nonperformance
of all contracts is the net unrealized gain included in the statements of
financial condition. The market risk associated with the Trust'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
Trust'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.
5
<PAGE>
<PAGE>
At September 30, 1996 and December 31, 1995, the fair values of futures and
forward contracts were:
<TABLE>
<CAPTION>
September 30, 1996 December 31, 1995
-------------------------- --------------------------
Fair Value Fair Value
-------------------------- --------------------------
Assets Liabilities Assets Liabilities
---------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ 66,300 $ 530,031 $ 780,969 $ --
Other 2,294,450 155,232 1,264,572 5,200
Foreign exchanges
Financial 4,697,015 133,277 975,707 4,182
Other 12,167 -- 2,706 --
Forward Contracts:
Currencies 1,766,476 411,946 597,726 620,994
---------- ----------- ---------- -----------
$8,836,408 $ 1,230,486 $3,621,680 $ 630,376
---------- ----------- ---------- -----------
---------- ----------- ---------- -----------
</TABLE>
The following table presents the average fair value of futures and forward
contracts during the nine months ended September 30, 1996 and 1995,
respectively.
<TABLE>
<CAPTION>
Nine months ended Nine months ended
September 30, 1996 September 30, 1995
-------------------------- --------------------------
<S> <C> <C> <C> <C>
Average Average
Fair Value Fair Value
-------------------------- --------------------------
Assets Liabilities Assets Liabilities
---------- ----------- ---------- -----------
Futures Contracts:
Domestic exchanges
Financial $ 693,183 $ 167,801 $ 288,159 $ 42,524
Currencies -- -- 1,483,672 111,558
Other 1,048,386 198,414 519,100 149,256
Foreign exchanges
Financial 1,735,903 186,544 547,808 64,955
Other 14,291 3,999 8,585 2,162
Forward Contracts:
Currencies 1,694,817 733,801 1,747,852 480,213
---------- ----------- ---------- -----------
$5,186,580 $ 1,290,559 $4,595,176 $ 850,668
---------- ----------- ---------- -----------
---------- ----------- ---------- -----------
</TABLE>
6
<PAGE>
<PAGE>
The following table presents the average fair value of futures and forward
contracts during the three months ended September 30, 1996 and 1995,
respectively.
<TABLE>
<CAPTION>
Three months ended Three months ended
September 30, 1996 September 30, 1995
------------------------ ------------------------
<S> <C> <C> <C> <C>
Average Average
Fair Value Fair Value
------------------------ ------------------------
Assets Liabilities Assets Liabilities
---------- ---------- ---------- ----------
Futures Contracts:
Domestic exchanges
Financial $ 58,328 $ 412,469 $ 125,984 $ 85,428
Currencies -- -- 921,150 79,488
Other 1,590,502 204,103 490,936 192,542
Foreign exchanges
Financial 3,031,001 149,760 318,684 128,552
Other 17,422 -- 16,302 1,408
Forward Contracts:
Currencies 1,183,744 897,071 363,769 516,089
---------- ---------- ---------- ----------
$5,880,997 $1,663,403 $2,236,825 $1,003,507
---------- ---------- ---------- ----------
---------- ---------- ---------- ----------
</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 nine
months ended September 30, 1996 and 1995, respectively.
<TABLE>
<CAPTION>
Nine months ended September 30, 1996 Nine months ended September 30, 1995
-------------------------------------------------- ---------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Change in Net Change in Net
Net Realized Unrealized Net Realized Unrealized
Gains (Losses) Gains/Losses Total Gains (Losses) Gains/Losses Total
-------------- -------------------- ---------- -------------- -------------------- -----------
Futures Contracts:
Domestic exchanges
Financial $ 930,808 $ (1,244,700) $ (313,892) $ 1,935,739 $ 27,913 $ 1,963,652
Currencies -- -- -- 5,570,500 (131,850) 5,438,650
Other 1,360,553 879,846 2,240,399 (1,625,130) 233,774 (1,391,356)
Foreign exchanges
Financial (2,450,892) 3,592,213 1,141,321 2,686,818 476,325 3,163,143
Other (71,380) 9,461 (61,919) (14,592) 10,968 (3,624)
Forward Contracts:
Currencies 1,106,190 1,377,798 2,483,988 4,997,169 (732,919) 4,264,250
-------------- -------------------- ---------- -------------- ----------- -----------
$ 875,279 $ 4,614,618 $5,489,897 $ 13,550,504 $ (115,789) $13,434,715
-------------- -------------------- ---------- -------------- ---------- -----------
-------------- -------------------- ---------- -------------- ---------- -----------
</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 September 30, 1996 and 1995, respectively.
<TABLE>
<CAPTION>
Three months ended September 30, 1996 Three months ended September 30, 1995
--------------------------------------------------- ---------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Change in Net Change in Net
Net Realized Unrealized Net Realized Unrealized
Gains (Losses) Gains/Losses Total Gains (Losses) Gains/Losses Total
-------------- -------------------- ----------- -------------- -------------------- -----------
Futures Contracts:
Domestic exchanges
Financial $ (1,752,595) $ (110,358) $(1,862,953) $ (566,832) $ (329,943) $ (896,775)
Currencies -- -- -- 1,444,044 (213,350) 1,230,694
Other 1,122,523 228,713 1,351,236 (818,165) (321,849) (1,140,014)
Foreign exchanges
Financial 1,256,888 4,307,225 5,564,113 (1,291,791) 591,432 (700,359)
Other (25,808) 1,423 (24,385) 20,827 (1,370) 19,457
Forward Contracts:
Currencies (2,324,728) 226,618 (2,098,110) 1,071,831 (521,320) 550,511
-------------- -------------------- ----------- -------------- ---------- ------------
$ (1,723,720) $4,653,621 $ 2,929,901 $ (140,086) $ (796,400) $ (936,486)
-------------- -------------------- ----------- -------------- ---------- ------------
-------------- -------------------- ----------- -------------- ---------- ------------
</TABLE>
7
<PAGE>
<PAGE>
DIVERSIFIED FUTURES TRUST I
(a Delaware Business Trust)
ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL
CONDITION AND RESULTS OF OPERATIONS
Liquidity and Capital Resources
The Trust commenced operations on January 5, 1995 with gross proceeds of
$25,262,800 allocated to commodities trading. The Trust continued to offer
interests on a monthly basis until the continuous offering period ended
pursuant to the terms of the offering on August 31, 1996.
At September 30, 1996, 100% of the Trust's net assets were allocated to
commodities trading. A significant portion of the net assets was held in cash
which is used as margin for the Trust's trading in commodities. Inasmuch as the
sole business of the Trust is to trade in commodities, the Trust continues to
own such liquid assets to be used as margin. PSI credits the Trust monthly with
100% of the interest it earns on the equity in its trading and cash accounts.
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 Trust from promptly liquidating its commodity
futures positions.
Since the Trust'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 Managing Owner attempts to minimize these risks
by requiring the Trust'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 Trust's futures, forward and
options contracts.
The Trust does not have, nor does it expect to have, any capital assets.
Redemptions of limited interests for the nine and three months ended
September 30, 1996 were $6,575,463 and $2,168,907, respectively. Redemptions of
general interests for the three months ended September 30, 1996 were $23,555.
Redemptions of limited and general interests from the commencement of
operations, January 5, 1995, to September 30, 1996 were $15,193,656 and $23,555,
respectively. Additional contributions raised through the continuous offering
period, which began on January 5, 1995 and expired on August 31, 1996, resulted
in additional gross proceeds to the Trust of $23,508,700 and $8,613,300 during
the nine and three months ended September 30, 1996, respectively, and
$41,129,100 from the commencement of operations to August 31, 1996. Future
redemptions will impact the amount of funds available for investment in
commodity contracts in subsequent periods.
Results of Operations
The net asset value per Interest as of September 30, 1996 was $148.04, an
increase of 3.78% from the December 31, 1995 net asset value per Interest of
$142.65.
The Trust's net asset value per Interest declined during the month of July.
Profits earned in the softs, financial and energies sectors were offset by
losses in the currencies, metals, grains and stock indices sectors. In the softs
sector, gains were taken in short coffee and long sugar positions. Further
profits were incurred in the financials sector with long positions in
Australian, German, British and French bonds. Whipsawed by a volatile U.S. stock
market, global bond markets recovered somewhat by month's end as reports
indicated a slowing U.S. economy. In the energies sector, reports that the U.S.
was about to endorse procedures for the implementation of the Iraq/U.N. oil
sales agreement pushed crude oil prices down, but prices firmed by month's end
proving profitable for long positions in light crude oil. Trading as a whole in
foreign exchange was unprofitable. The U.S. dollar weakened against major
European currencies and the Japanese yen, as some investors fled U.S. assets in
search of more stable markets. Gains in British pound and German mark positions
were outweighted by losses in Japanese yen, Swiss franc and Australian dollar
positions. In the metals sector, short positions in gold, silver and copper
proved unprofitable. In the grains
8
<PAGE>
<PAGE>
sector, long corn positions caused losses as rainy weather improved the outlook
for this largely Midwestern crop, thereby lowering prices. The weakness in the
U.S. stock market negatively impacted both European and Asian stock markets as
trading in stock indices was unprofitable.
The Trust's performance was relatively flat during the month of August.
Profits earned in the financials and energies sectors were offset by losses in
the currencies, softs, metals, grains and stock indices sectors. Trading was
thin in both the financial and commodity markets as summer vacations lowered
participation. In the financials markets, positions in Australian and Japanese
bonds were profitable. Japanese government bonds benefitted from a key report
indicating the business outlook for the Japanese economy had worsened. With
fears of rising rates abated, bond prices of that nation hit new contract highs.
In the energies sector, long positions in light crude oil were profitable when
prices soared as increasing demand from developing nations, low inventories
worldwide and a potentially disruptive hurricane season caused concern. In the
currencies sector, positions in the Swiss franc, German mark and Australian
dollar were unprofitable. The U.S. dollar, German mark and Japanese yen
fluctuated as investors responded to various economic reports and policy
decisions on interest rates. In the softs sector, positions in coffee and cotton
were unprofitable. Prices of corn, cotton and coffee were buffeted by shifting
weather patterns and concerns over the late development of crops. In the grains
sector, positions in corn and soybean oil were also unprofitable.
The Trust's performance was positive in the month of September. Profits
earned in the financials, energies, metals, grains and currencies sectors offset
losses in the stock indices and softs sectors. In the financials sector, German,
Italian, French, Japanese and Australian bond positions were profitable. Global
bond markets remained sensitive to economic reports and short-term interest rate
scenarios in the major industrialized nations. However, by month's end foreign
investors were shifting assets into the higher yielding U.S. bond markets as it
became clear that European interest rates would remain comparatively low. In the
energies sector, light crude oil positions also resulted in strong gains as
renewed tensions in the Middle East pressured prices. In the metals sector,
investors were net sellers of gold on news of the International Monetary Fund's
plan to sell five million ounces from its own reserves to help pay the debts of
the poorest nations. Positions in gold and silver produced gains. In the grains
sector, profits were taken in corn positions. In the currencies sector, the U.S.
dollar strengthened against most major currencies, reflecting new confidence in
the formation of the European Monetary Union, an unexpected decline in
Switzerland's key interest rate, and weak industrial production reports from
Japan. Profits in Japanese yen positions more than offset losses in German mark
and Swiss franc positions.
Interest income is earned on the net equity held at PSI and, therefore,
varies monthly according to interest rates, trading performance, contributions
and redemptions. Interest income increased approximately $568,000 and $162,000
for the nine and three months ended September 30, 1996 compared to the
corresponding periods in 1995 primarily due to a higher net equity as a result
of additional contributions and strong trading performance during the first half
of 1995.
Commissions are calculated on the Trust's net asset value at the beginning of
each month and, therefore, vary according to trading performance, contributions
and redemptions. Commissions for the nine and three months ended September 30,
1996 increased approximately $1,145,000 and $344,000 compared to the
corresponding periods in 1995. These increases were primarily due to a higher
monthly net asset values as a result of additional contributions and strong
trading performance during the first half of 1995.
All trading decisions for the Trust are made by John W. Henry & Co., Inc.
(the ``Trading Manager''). Management fees are calculated on the Trust's net
asset value at the end of each month and, therefore, are affected by trading
performance, contributions and redemptions. Management fees for the nine and
three months ended September 30, 1996 increased approximately $561,000 and
$190,000 as compared to the corresponding periods in 1995 because of additional
contributions and strong trading performance during the first half of 1995.
Incentive fees are based on the New High Net Trading Profits generated by the
Trading Manager, as defined in the Advisory Agreement between the Trust, the
Managing Owner and the Trading Manager. Incentive fees of approximately $43,000
and $1,841,000 were generated during the three months ended September 30, 1996
and the period from January 5, 1995 through June 30, 1995 as a result of
favorable trading performance during the respective periods.
9
<PAGE>
<PAGE>
PART II. OTHER INFORMATION
Item 1. Legal Proceedings--There are no material legal proceedings pending by
or against the Registrant or the Managing Owner.
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--
3.1
and
4.1--Amended and Restated Declaration of Trust and Trust Agreement of
the Registrant dated as of August 25, 1994, as amended and
restated as of September 14, 1994 (incorporated by reference to
Exhibits 3.1 and 4.1 of the Registrant's Form 10-Q for the period
ended September 30, 1994)
4.2--Subscription Agreement (incorporated by reference to
Exhibit C to the Registrant's Registration Statement on
Form S-1, File No. 33-81534, dated as of September 13,
1994)
4.3--Request for Redemption (incorporated by reference to
Exhibit D to the Registrant's Registration Statement
on Form S-1, File No. 33-81534, dated as of September
13, 1994)
27.1--Financial Data Schedule (filed herewith)
(b) Reports on Form 8-K--None
10
<PAGE>
<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.
Diversified Futures Trust I
By: Prudential Securities Futures Management Inc.
A Delaware corporation, Managing Owner
By: /s/ Steven Carlino Date: November 13, 1996
----------------------------------------
Steven Carlino
Vice President
Chief Accounting Officer for the
Registrant
11
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 5
<LEGEND>
The Schedule contains summary financial
information extracted from the financial
statements for Diversified Futures Trust I
and is qualified in its entirety by reference
to such financial statements
</LEGEND>
<RESTATED>
<CIK> 0000926805
<NAME> Diversified Futures Trust I
<MULTIPLIER> 1
<FISCAL-YEAR-END> Dec-31-1996
<PERIOD-START> Jan-1-1996
<PERIOD-END> Sep-30-1996
<PERIOD-TYPE> 9-Mos
<CASH> 60,989,889
<SECURITIES> 7,605,922
<RECEIVABLES> 22,245
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 68,618,056
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 68,618,056
<CURRENT-LIABILITIES> 2,464,206
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 66,153,850
<TOTAL-LIABILITY-AND-EQUITY> 68,618,056
<SALES> 0
<TOTAL-REVENUES> 7,658,765
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 5,110,093
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 0
<INCOME-TAX> 0
<INCOME-CONTINUING> 0
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> 2,548,672
<EPS-PRIMARY> 6.34
<EPS-DILUTED> 0
</TABLE>
