<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 June 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 (I.R.S. Employer
of incorporation or organization) Identification No.)
One New York Plaza, 13th Floor, New York, New York 10292
- --------------------------------------------------------------------------------
(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code (212) 778-7866
N/A
- --------------------------------------------------------------------------------
Former name, former address and former fiscal year, if changed since last report
Indicate by check CK whether the Registrant (1) has filed all reports
required to be filed by Section 13 or 15(d) of the Securities Exchange Act of
1934 during the preceding 12 months (or for such shorter period that the
Registrant was required to file such reports), and (2) has been subject to such
filing requirements for the past 90 days. Yes _CK_ No __
<PAGE>
<PAGE>
PART I. FINANCIAL INFORMATION
ITEM 1. FINANCIAL STATEMENTS
DIVERSIFIED FUTURES TRUST I
(a Delaware Business Trust)
STATEMENTS OF FINANCIAL CONDITION
(Unaudited)
<TABLE>
<CAPTION>
June 30, December 31,
1996 1995
<S> <C> <C>
- ---------------------------------------------------------------------------------------------------
ASSETS
Equity in commodity trading accounts:
Cash $58,255,327 $46,513,372
Net unrealized gain on open commodity positions 2,952,301 2,991,304
----------- ------------
Net equity 61,207,628 49,504,676
Other receivable 32,471 14,831
----------- ------------
Total assets $61,240,099 $49,519,507
----------- ------------
----------- ------------
LIABILITIES AND TRUST CAPITAL
Liabilities
Redemptions payable $ 3,175,293 $ 2,658,946
Management fee payable 204,133 165,065
----------- ------------
Total liabilities 3,379,426 2,824,011
----------- ------------
Commitments
Trust capital
Limited interests (395,977.546 and 323,307.195 interests
outstanding) 57,211,576 46,119,407
General interests (4,492.641 and 4,038.530 interests outstanding) 649,097 576,089
----------- ------------
Total trust capital 57,860,673 46,695,496
----------- ------------
Total liabilities and trust capital $61,240,099 $49,519,507
----------- ------------
----------- ------------
Net asset value per limited and general interests (``Interests'') $ 144.48 $ 142.65
----------- ------------
----------- ------------
- ---------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements
</TABLE>
2
<PAGE>
DIVERSIFIED FUTURES TRUST I
(a Delaware Business Trust)
STATEMENTS OF OPERATIONS
(Unaudited)
<TABLE>
<CAPTION>
For the period
from
January 5, 1995
(commencement of
Six Months operations) Three Months ended
ended through June 30,
June 30, June 30, -----------------------------
1996 1995 1996 1995
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------
REVENUES
Net realized gain on commodity
transactions $2,598,999 $ 13,690,590 $2,123,380 $ 10,831,716
Change in net unrealized gain on
commodity positions (39,003) 680,611 52,137 (8,676,266)
Interest income 1,386,491 979,930 737,338 599,015
---------- ---------------- ------------ ------------
3,946,487 15,351,131 2,912,855 2,754,465
---------- ---------------- ------------ ------------
EXPENSES
Commissions 2,152,199 1,350,304 1,125,268 828,868
Management fees 1,117,955 746,188 586,742 436,436
Incentive fees -- 1,841,206 -- 133,522
---------- ---------------- ------------ ------------
3,270,154 3,937,698 1,712,010 1,398,826
---------- ---------------- ------------ ------------
Net income $ 676,333 $ 11,413,433 $1,200,845 $ 1,355,639
---------- ---------------- ------------ ------------
---------- ---------------- ------------ ------------
ALLOCATION OF NET INCOME
Limited interests $ 667,825 $ 11,248,121 $1,188,374 $ 1,336,254
---------- ---------------- ------------ ------------
---------- ---------------- ------------ ------------
General interests $ 8,508 $ 165,312 $ 12,471 $ 19,385
---------- ---------------- ------------ ------------
---------- ---------------- ------------ ------------
NET INCOME PER WEIGHTED AVERAGE
LIMITED AND GENERAL INTEREST
Net income per weighted average
limited and general interest $ 1.74 $ 39.51 $ 2.94 $ 4.44
---------- ---------------- ------------ ------------
---------- ---------------- ------------ ------------
Weighted average number of
limited and general interests
outstanding 388,037 288,846 408,852 305,162
---------- ---------------- ------------ ------------
---------- ---------------- ------------ ------------
- ------------------------------------------------------------------------------------------------------
</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 103,796.592 14,830,900 64,500 14,895,400
Net income -- 667,825 8,508 676,333
Redemptions (30,672.130) (4,406,556) -- (4,406,556)
------------ ----------- --------- -----------
Trust capital--June 30, 1996 400,470.187 $57,211,576 $649,097 $57,860,673
------------ ----------- --------- -----------
------------ ----------- --------- -----------
- -----------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements
</TABLE>
3
<PAGE>
DIVERSIFIED FUTURES TRUST I
(a Delaware Business Trust)
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1996
(Unaudited)
A. General
These financial statements have been prepared without audit. In the opinion
of management, the financial statements contain all adjustments (consisting of
only normal recurring adjustments) necessary to present fairly the financial
position of Diversified Futures Trust I (the ``Trust'') as of June 30, 1996 and
the results of its operations for the six and three months ended June 30, 1996
and 1995. However, the operating results for the interim periods may not be
indicative of the results expected for the full year.
Certain information and footnote disclosures normally included in annual
financial statements prepared in accordance with generally accepted accounting
principles have been omitted. It is suggested that these financial statements be
read in conjunction with the 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.
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 June 30, 1996, a non-U.S. affiliate of the Managing Owner owns 1,596
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 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
4
<PAGE>
<PAGE>
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 June 30, 1996 and December 31, 1995,
such segregated assets totalled $50,055,822 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 $10,023,894 and
$11,074,805 at June 30, 1996 and December 31, 1995, respectively. There are no
segregation requirements for assets related to forward trading.
As of June 30, 1996 and December 31, 1995, the Trust's open forward and
futures contracts mature within one year.
At June 30, 1996 and December 31, 1995, gross contract amounts of open
futures and forward contracts are:
<TABLE>
<CAPTION>
June 30, 1996 December 31, 1995
--------------------------- ----------------------------
<S> <C> <C> <C> <C>
Commitments Commitments Commitments Commitments
to Purchase to Sell to Purchase to Sell
----------- ------------ ------------ ------------
Futures Contracts:
Domestic exchanges
Financial $ -- $126,190,250 $207,316,313 $ --
Other 13,249,860 31,883,728 9,454,717 12,169,237
Foreign exchanges
Financial 171,846,109 40,791,089 148,065,286 43,243,625
Other 716,781 -- -- 500,569
Forward Contracts:
Currencies 55,299,590 106,283,646 2,211,904 65,731,133
</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 June 30, 1996 and December 31, 1995, the fair values of futures and
forward contracts were:
<TABLE>
<CAPTION>
June 30, 1996 December 31, 1995
-------------------------- --------------------------
Fair Value Fair Value
-------------------------- --------------------------
Assets Liabilities Assets Liabilities
---------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ -- $ 353,373 $ 780,969 $ --
Other 2,002,431 91,926 1,264,572 5,200
Foreign exchanges
Financial 581,470 324,957 975,707 4,182
Other 10,744 -- 2,706 --
Forward Contracts:
Currencies 1,289,955 162,043 597,726 620,994
---------- ----------- ---------- -----------
$3,884,600 $ 932,299 $3,621,680 $ 630,376
---------- ----------- ---------- -----------
---------- ----------- ---------- -----------
</TABLE>
The following table presents the average fair value of futures and forward
contracts during the six months ended June 30, 1996 and 1995, respectively.
<TABLE>
<CAPTION>
Six months ended Six months ended
June 30, 1996 June 30, 1995
-------------------------- --------------------------
<S> <C> <C> <C> <C>
Average Average
Fair Value Fair Value
-------------------------- --------------------------
Assets Liabilities Assets Liabilities
---------- ----------- ---------- -----------
Futures Contracts:
Domestic exchanges
Financial $ 956,931 $ 54,501 $ 411,359 $ 10,300
Currencies -- -- 1,624,992 114,346
Other 874,898 179,950 558,304 109,864
Foreign exchanges
Financial 830,928 227,336 636,351 58,011
Other 11,995 5,713 4,065 2,305
Forward Contracts:
Currencies 1,929,021 558,824 2,382,947 415,210
---------- ----------- ---------- -----------
$4,603,773 $ 1,026,324 $5,618,018 $ 710,036
---------- ----------- ---------- -----------
---------- ----------- ---------- -----------
</TABLE>
6
<PAGE>
The following table presents the average fair value of futures and forward
contracts during the three months ended June 30, 1996 and 1995, respectively.
<TABLE>
<CAPTION>
Three months ended Three months ended
June 30, 1996 June 30, 1995
------------------------ ------------------------
<S> <C> <C> <C> <C>
Average Average
Fair Value Fair Value
------------------------ ------------------------
Assets Liabilities Assets Liabilities
---------- ---------- ---------- ----------
Futures Contracts:
Domestic exchanges
Financial $1,083,991 $ 88,795 $ 449,741 $ 15,450
Currencies -- -- 2,008,753 110,250
Other 1,028,900 142,648 555,595 149,937
Foreign exchanges
Financial 522,036 345,412 584,057 84,245
Other 18,641 9,461 3,084 3,457
Forward Contracts:
Currencies 2,010,448 642,923 3,396,925 336,434
---------- ---------- ---------- ----------
$4,664,016 $1,229,239 $6,998,155 $ 699,773
---------- ---------- ---------- ----------
---------- ---------- ---------- ----------
</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 six
months ended June 30, 1996 and 1995, respectively.
<TABLE>
<CAPTION>
Six months ended June 30, 1996 Six months ended June 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 $2,683,403 $ (1,134,342) $ 1,549,061 $ 2,502,571 $ 357,856 $ 2,860,427
Currencies -- -- -- 4,998,601 81,500 5,080,101
Other 238,030 651,133 889,163 (806,965) 555,623 (251,342)
Foreign exchanges
Financial (3,707,780) (715,012) (4,422,792) 3,978,609 (115,107) 3,863,502
Currencies -- -- -- (872,145) -- (872,145)
Other (45,572) 8,038 (37,534) (35,419) 12,338 (23,081)
Forward Contracts:
Currencies 3,430,918 1,151,180 4,582,098 3,925,338 (211,599) 3,713,739
-------------- -------------------- ----------- -------------- -------------------- -----------
$2,598,999 $ (39,003) $ 2,559,996 $ 13,690,590 $ 680,611 $14,371,201
-------------- -------------------- ----------- -------------- -------------------- -----------
-------------- -------------------- ----------- -------------- -------------------- -----------
</TABLE>
The following table presents the net realized gains (losses) and the change
in net unrealized gains/losses of futures and forward contracts during the three
months ended June 30, 1996 and 1995, respectively.
<TABLE>
<CAPTION>
Three months ended June 30, 1996 Three months ended June 30, 1995
--------------------------------------------------- ---------------------------------------------------
<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 $2,225,022 $ (1,820,767) $ 404,255 $ 1,747,371 $ (42,520) $ 1,704,851
Currencies -- -- -- 3,953,644 (3,904,663) 48,981
Other 1,079,244 1,368,131 2,447,375 181,523 166,596 348,119
Foreign exchanges
Financial (3,282,531) (398,274) (3,680,805) 1,976,674 (646,288) 1,330,386
Currencies -- -- -- (872,145) -- (872,145)
Other (45,572) 48,588 3,016 922 13,359 14,281
Forward Contracts:
Currencies 2,147,217 854,459 3,001,676 3,843,727 (4,262,750) (419,023)
-------------- -------------------- ----------- -------------- -------------------- -----------
$2,123,380 $ 52,137 $ 2,175,517 $ 10,831,716 $ (8,676,266) $ 2,155,450
-------------- -------------------- ----------- -------------- -------------------- -----------
-------------- -------------------- ----------- -------------- -------------------- -----------
</TABLE>
7
<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.
At June 30, 1996, 100% of the Trust's net assets were allocated to commodity
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 managers 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 six and three months ended June 30,
1996 were $4,406,556 and $3,175,293, respectively, and from the commencement of
operations, January 5, 1995, to June 30, 1996 were $13,024,749. Additional
contributions raised through the continuous offering resulted in additional
gross proceeds to the Trust of $14,895,400 and $5,535,600 for the six and three
months ended June 30, 1996, respectively, and $32,515,800 from the commencement
of operations to June 30, 1996. Future redemptions and contributions 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 June 30, 1996 was $144.48, an increase
of 1.28% from the December 31, 1995 net asset value per Interest of $142.65.
The Trust's performance was positive in the month of April. Profits were
earned in the currencies, energies, metals, grains and softs sectors while
losses occurred in the financials and stock indices sectors. The U.S. dollar was
the currency of choice in world markets as relatively high U.S. bond yields
attracted investors. Profits in the currencies sector were reaped from positions
in the German mark and Swiss franc as the dollar's position in world currency
markets was boosted by bearish economic news from Germany. Prices soared in
crude oil as refiners rushed to meet the summertime demand for gasoline. Profits
were generated in gold and silver although metals markets in general remained
trendless. A run-up in commodity prices occurred in April which generated
profits and positions in corn benefited from expectations of a poor wheat crop.
With the exception of the U.S. sector, positions in interest rates overall were
unprofitable as global markets responded to the threat of U.S. inflation.
The Trust's performance was negative in the month of May. Profits earned in
the currencies sector were offset by losses in the financials, stock indices,
softs, metals, energies, and grains sectors. Among the factors affecting foreign
exchange markets in May were the continued strength of the U.S. dollar against
most major currencies and a comparatively vigorous U.S. economy. Gains were made
in Swiss franc and
8
<PAGE>
<PAGE>
Japanese yen positions. In the financials sector, bond markets remained volatile
as investors struggled to interpret conflicting U.S. economic reports out of
Washington. Losses were taken in Japanese, British and German bond positions. In
the softs sector, cotton prices reacted to U.S. weather conditions, dropping in
price late in the month. Coffee prices reversed as anticipated freezes in Brazil
became less likely to occur. Positions in both were unprofitable. In the
energies sector, political pressure and prospects of increasing supply brought
crude oil and heating oil prices down; positions in light crude were
unprofitable. In the base metals sector, copper declined on increased selling of
metals from the Far East and market expectations that a surplus of copper could
occur in the second half of this year.
The Trust's performance was positive in the month of June. Profits earned in
the metals, currencies, energies, softs and grains sectors offset losses in the
financials and stock indices sectors. Metal markets were impacted by
repercussions from the Sumitomo copper trading losses, providing profits in
copper positions. Profits were also reaped in gold and silver positions as the
world supply of gold increased and both gold and silver prices continued their
downward trends. In the currency markets, the U.S. dollar reached a 28-month
high against the Japanese yen early in June, ending down somewhat at month's end
as investors turned to higher yielding currencies such as the British pound.
Positions in the Japanese yen and British pound were profitable. In the energies
sector, positions in light crude oil were profitable despite threats to world
oil supplies in light of renewed tension between Iraq and the UN's inspection
team and the bombing of the U.S. military base in Saudi Arabia. Crude oil prices
rose close to $1.50, reflecting continued inventory shortages. In the financials
sector, losses were taken in positions in CBOT, German, Australian and Japanese
bonds. Volatility in the global interest rate markets negatively impacted
performance. Bond markets worldwide largely reacted to the U.S. bond market
which remained particularly sensitive to U.S. economic data and hints of
inflation.
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 $407,000 and $138,000
for six and three months ended June 30, 1996 compared to the corresponding
periods in 1995 primarily due to a higher net equity in the Trust as a result of
additional contributions and strong trading performance in 1995.
Commissions are calculated on the Trust's net asset value at the beginning of
the month and, therefore, vary according to trading performance, contributions
and redemptions. Commissions for the six and three months ended June 30, 1996
increased approximately $802,000 and $297,000 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 in 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 six and
three months ended June 30, 1996 increased approximately $372,000 and $150,000
as compared to the corresponding periods in 1995 because of additional
contributions and strong trading performance in 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
$1,841,000 and $134,000 generated during the six and three months ended June 30,
1995, respectively, were the result of favorable trading performance during
those periods. No incentive fees were generated during the six months ended June
30, 1996.
9
<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
Registrant's Current Report on Form 8-K dated May 14, 1996, as filed
with the Securities and Exchange Commission on May 16, 1996,
relating to Item 4 regarding the change in the Registrant's
certifying accountant from Deloitte & Touche LLP to Price Waterhouse
LLP.
10
<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: August 14, 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> Jun-30-1996
<PERIOD-TYPE> 6-Mos
<CASH> 58,255,327
<SECURITIES> 2,952,301
<RECEIVABLES> 32,471
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 0
<PP&E> 0
<DEPRECIATION> 0
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0
0
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</TABLE>
