<PAGE>
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-K
(Mark One)
/X/ ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT
OF 1934
For the fiscal year ended December 31, 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, 14th Floor, New York, New York 10292
- --------------------------------------------------------------------------------
(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code: (212) 778-7866
Securities registered pursuant to Section 12(b) of the Act:
None
- --------------------------------------------------------------------------------
Securities registered pursuant to Section 12(g) of the Act:
Limited Interests
- --------------------------------------------------------------------------------
(Title of class)
Indicate by check mark 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 __
Indicate by check mark if disclosure of delinquent filers pursuant to Item
405 of Regulation S-K is not contained herein, and will not be contained, to the
best of registrant's knowledge, in definitive proxy or information statements
incorporated by reference in Part III of this Form 10-K or any amendment to this
Form 10-K [CK]
DOCUMENTS INCORPORATED BY REFERENCE
Amended and Restated Declaration of Trust and Trust Agreement of the
Registrant dated as of August 25, 1994, included as part of the Registration
Statement on Form S-1 (File No. 33-81534) filed with the Securities and Exchange
Commission on September 13, 1994, pursuant to Rule 424(b) of the Securities Act
of 1933, is incorporated by reference into Part IV of this Annual Report on Form
10-K
Registrant's Annual Report to Interest holders for the year ended December
31, 1996 is incorporated by reference into Parts II and IV of this Annual Report
on Form 10-K
Index to exhibits can be found on pages 7 and 8.
<PAGE>
DIVERSIFIED FUTURES TRUST I
(a Delaware Business Trust)
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PART I PAGE
<S> <C> <C>
Item 1 Business......................................................................... 3
Item 2 Properties....................................................................... 4
Item 3 Legal Proceedings................................................................ 4
Item 4 Submission of Matters to a Vote of Interest Holders.............................. 4
PART II
Item 5 Market for the Registrant's Interests and Related Interest Holder Matters........ 4
Item 6 Selected Financial Data.......................................................... 4
Item 7 Management's Discussion and Analysis of Financial Condition and Results of
Operations..................................................................... 5
Item 8 Financial Statements and Supplementary Data...................................... 5
Item 9 Changes in and Disagreements with Accountants on Accounting and Financial
Disclosure..................................................................... 5
PART III
Item 10 Directors and Executive Officers of the Registrant............................... 5
Item 11 Executive Compensation........................................................... 6
Item 12 Security Ownership of Certain Beneficial Owners and Management................... 6
Item 13 Certain Relationships and Related Transactions................................... 6
PART IV
Item 14 Exhibits, Financial Statement Schedules and Reports on Form 8-K
Financial Statements and Financial Statement Schedules........................... 7
Exhibits......................................................................... 7
Reports on Form 8-K.............................................................. 8
SIGNATURES.................................................................................. 9
</TABLE>
2
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<PAGE>
PART I
Item 1. Business
General
Diversified Futures Trust I (the ``Registrant''), a Delaware Business Trust,
was organized under the Delaware Business Trust Act on May 18, 1994 and will
terminate on December 31, 2014 unless terminated sooner under the provisions of
the Amended and Restated Declaration of Trust and Trust Agreement (the ``Trust
Agreement''). The Registrant's trustee is Wilmington Trust Company. The
Registrant was formed to engage in the speculative trading of commodity futures
and forward contracts. On January 5, 1995, the Registrant completed its offering
and raised $25,262,800 from the sale of 249,628 limited interests (``Limited
Interests'') and 3,000 general interests (``General Interests'') (collectively,
the ``Interests'') and commenced operations. The Registrant's fiscal year for
book and tax purposes ends on December 31.
The Registrant was permitted to sell a maximum of $50,000,000 of Limited
Interests, plus $50,000,000 of additional Limited Interests when Prudential
Securities Incorporated (``PSI'') and Prudential Securities Futures Management
Inc. (the ``Managing Owner'') exercised the over-subscription option granted to
them by the Trust Agreement. Following the close of the initial offering period
(which closed on December 12, 1994), additional Interests were offered and sold
monthly at their month-end net asset value (``NAV'') per Interest during a
continuous offering period (``Continuous Offering Period'') which expired on
August 31, 1996. Additional contributions raised during the Continuous Offering
Period resulted in additional proceeds to the Registrant of $41,129,100 from the
sale of 299,640 Limited Interests and 1,628 General Interests.
All trading decisions for the Registrant are being made by John W. Henry &
Co., Inc. (the ``Trading Manager''), an independent commodity trading manager
which manages the Registrant's assets pursuant to five trading programs
developed by the Trading Manager. The Managing Owner retains the authority to
override trading instructions that violate the Registrant's trading policies.
The Registrant is engaged solely in the business of commodity futures and
forward trading; therefore, presentation of industry segment information is not
applicable.
Managing Owner
The Managing Owner of the Registrant is a wholly-owned subsidiary of PSI, the
Registrant's commodity broker and principal underwriter and selling agent of its
Interests. PSI is a wholly-owned subsidiary of Prudential Securities Group Inc.
The Managing Owner is required to maintain at least a 1% interest in the
Registrant as long as it is acting as the Registrant's managing owner.
Competition
The Managing Owner and its affiliates have formed, and may continue to form,
various entities to invest in the speculative trading of futures and forward
contracts which have certain of the same investment policies as the Registrant.
The Registrant was an open-end fund which solicited the sale of additional
Interests on a monthly basis until the Continuous Offering Period expired. As
such, the Registrant does not compete with other entities to attract new
participants. However, to the extent that the Trading Manager recommends similar
or identical trades to the Registrant and other accounts which they manage, the
Registrant may compete with those accounts for the execution of the same or
similar trades.
Employees
The Registrant has no employees. Management and administrative services for
the Registrant are performed by the Managing Owner and its affiliates pursuant
to the Trust Agreement. See Notes A, C and D to the Registrant's annual report
to Interest holders for the year ended December 31, 1996 (``Registrant's 1996
Annual Report'') which is filed as an exhibit hereto.
3
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Item 2. Properties
The Registrant does not own or lease any property.
Item 3. Legal Proceedings
There are no material legal proceedings pending by or against the Registrant
or the Managing Owner.
Item 4. Submission of Matters to a Vote of Interest Holders
None
PART II
Item 5. Market for the Registrant's Interests and Related Interest Holder
Matters
As of March 3, 1997, there were 3,008 holders of record owning 405,844
Interests which include 4,059 General Interests. A significant secondary market
for the Interests has not developed, and it is not expected that one will
develop in the future. There are also certain restrictions set forth in the
Trust Agreement limiting the ability of an Interest holder to transfer
Interests. The Trust Agreement provides that an Interest holder may redeem its
Interests as of the last business day of any full calendar quarter (beginning
with the end of the first full calendar quarter of the Registrant's operations,
which was June 30, 1996) at the then current NAV per Interest. Consequently,
holders of Interests may not be able to liquidate their investments in the event
of an emergency or for any other reason.
There are no material restrictions upon the Registrant's present or future
ability to make distributions in accordance with the provisions of the Trust
Agreement. No distributions have been made since inception and no distributions
are anticipated in the future.
Item 6. Selected Financial Data
The following table presents selected financial data of the Registrant. This
data should be read in conjunction with the financial statements of the
Registrant and the notes thereto on pages 2 through 9 of the Registrant's 1996
Annual Report which is filed as an exhibit hereto.
<TABLE>
<CAPTION>
Year Ended Period from January 5, 1995
December 31, (commencement of operations)
1996 to December 31, 1995
------------ ----------------------------
<S> <C> <C>
Net realized gain on commodity transactions $22,881,256 $ 13,730,954
----------- ----------------
----------- ----------------
Change in net unrealized gain on open commodity
positions $(1,477,961 ) $ 2,991,304
----------- ----------------
----------- ----------------
Commissions $ 4,747,920 $ 3,084,349
----------- ----------------
----------- ----------------
Management fees $ 2,529,237 $ 1,647,574
----------- ----------------
----------- ----------------
Incentive fees $ 2,098,515 $ 1,841,206
----------- ----------------
----------- ----------------
Net income $15,110,020 $ 12,430,489
----------- ----------------
----------- ----------------
Allocation of net income:
Limited Interests $14,958,815 $ 12,254,400
----------- ----------------
----------- ----------------
General Interests $ 151,205 $ 176,089
----------- ----------------
----------- ----------------
Net income per weighted average Interest $ 36.56 $ 40.56
----------- ----------------
----------- ----------------
Total assets $81,040,831 $ 49,519,507
----------- ----------------
----------- ----------------
Redemptions $13,822,703 $ 8,618,193
----------- ----------------
----------- ----------------
Net asset value per Interest $ 176.16 $ 142.65
</TABLE>
4
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Item 7. Management's Discussion and Analysis of Financial Condition and Results
of Operations
This information is incorporated by reference to pages 10 and 11 of the
Registrant's 1996 Annual Report which is filed as an exhibit hereto.
Item 8. Financial Statements and Supplementary Data
The financial statements are incorporated by reference to pages 2 through 9
of the Registrant's 1996 Annual Report which is filed as an exhibit hereto.
Supplementary data specified by Item 302 of Regulation S-K (selected
quarterly financial data) is not applicable.
Item 9. Changes in and Disagreements with Accountants on Accounting and
Financial Disclosure
Reference is made to the Registrant's Current Report on Form 8-K dated May
14, 1996, as filed with the Securities and Exchange Commission on May 16, 1996
regarding the change in the Registrant's certifying accountant from Deloitte &
Touche LLP to Price Waterhouse LLP.
PART III
Item 10. Directors and Executive Officers of the Registrant
There are no directors or executive officers of the Registrant. The
Registrant is managed by the Managing Owner.
The Managing Owner's directors and executive officers and any person holding
more than ten percent of the Registrant's Interests (``Ten Percent Owners'') are
required to report their initial ownership of such Interests and any subsequent
changes in that ownership to the Securities and Exchange Commission on Forms 3,
4 or 5. Such executive officers, directors and Ten Percent Owners are required
by Securities and Exchange Commission regulations to furnish the Registrant with
copies of all Forms 3, 4 or 5 they file. All of these filing requirements were
satisfied on a timely basis. In making these disclosures, the Registrant has
relied solely on written representations of the Managing Owner's directors and
executive officers or copies of the reports that they have filed with the
Securities and Exchange Commission during and with respect to its most recent
fiscal year.
The directors and executive officers of Prudential Securities Futures
Management Inc. and their positions with respect to the Registrant are as
follows:
Name Position
James M. Kelso President and Director
Barbara J. Brooks Treasurer and Chief Financial Officer
Steven Carlino Vice President and Chief Accounting Officer
A. Laurence Norton, Jr. Director
Guy S. Scarpaci Director
JAMES M. KELSO, age 42, is the President and a Director of Prudential
Securities Futures Management Inc. He is a Senior Vice President of Futures
Administration of PSI. He is also the President and a Director of Seaport
Futures Management, Inc. and serves in various capacities for other affiliated
companies. He has held several positions within PSI since July 1981.
BARBARA J. BROOKS, age 48, is the Treasurer and Chief Financial Officer of
Prudential Securities Futures Management Inc. She is a Senior Vice President of
PSI. She is also the Treasurer and Chief Financial Officer of Seaport Futures
Management, Inc. and serves in various capacities for other affiliated
companies. She has held several positions within PSI since April 1983. Ms.
Brooks is a certified public accountant.
STEVEN CARLINO, age 33, is a Vice President of Prudential Securities Futures
Management Inc. He is a First Vice President of PSI. He is also a Vice President
of Seaport Futures Management, Inc. and serves in
5
<PAGE>
<PAGE>
various capacities for other affiliated companies. Prior to joining PSI in
October 1992, he was with Ernst & Young for six years. Mr. Carlino is a
certified public accountant.
A. LAURENCE NORTON, JR., age 58, is a Director of Prudential Securities
Futures Management Inc. He is an Executive Vice President of PSI and head of its
Futures Division. He is also a Director of Seaport Futures Management, Inc. Most
recently, he held the position of Executive Director of Retail Development and
Retail Strategies at PSI. Prior to joining PSI in 1991, Mr. Norton was a Senior
Vice President and Branch Manager of Shearson Lehman Brothers.
GUY S. SCARPACI, age 50, is a Director of Prudential Securities Futures
Management Inc. He is a First Vice President of the Futures Division of PSI. He
is also a Director of Seaport Futures Management, Inc. Mr. Scarpaci has been
employed by PSI in positions of increasing responsibility since August 1974.
There are no family relationships among any of the foregoing directors or
executive officers. All of the foregoing directors and/or executive officers
have indefinite terms.
Item 11. Executive Compensation
The Registrant does not pay or accrue any fees, salaries or any other form of
compensation to directors and officers of the Managing Owner for their services.
Certain directors and officers of the Managing Owner receive compensation from
affiliates of the Managing Owner, not from the Registrant, for services
performed for various affiliated entities, which may include services performed
for the Registrant; however, the Managing Owner believes that any compensation
attributable to services performed for the Registrant is immaterial. (See also
Item 13, Certain Relationships and Related Transactions, for information
regarding compensation to the Managing Owner.)
Item 12. Security Ownership of Certain Beneficial Owners and Management
As of March 3, 1997, no director or executive officer of the Managing Owner
owns directly or beneficially any interest in the voting securities of the
Managing Owner.
As of March 3, 1997, no director or executive officer of the Managing Owner
owns directly or beneficially any of the Interests issued by the Registrant.
As of March 3, 1997, no owners of Limited Interests beneficially own more
than five percent (5%) of the Limited Interests issued by the Registrant.
Item 13. Certain Relationships and Related Transactions
The Registrant has and will continue to have certain relationships with the
Managing Owner and its affiliates. However, there have been no direct financial
transactions between the Registrant and the directors or officers of the
Managing Owner.
Reference is made to Notes A, C and D to the financial statements in the
Registrant's 1996 Annual Report which is filed as an exhibit hereto, which
identify the related parties and discuss the services provided by these parties
and the amounts paid or payable for their services.
6
<PAGE>
PART IV
<TABLE>
<CAPTION>
Page
Number
------------
<S> <C> <C> <C>
Item 14. Exhibits, Financial Statement Schedules and Reports on Form 8-K
(a) 1. Financial Statements and Reports of Independent Accountants--Incorporated
by reference to the Registrant's 1996 Annual Report which is filed as an
exhibit hereto
Reports of Independent Accountants:
Report of Independent Accountants as of December 31, 1996 and for the
year then ended 2
Independent Auditors' Report as of December 31, 1995 and the period from
January 5, 1995 (commencement of operations) to December 31, 1995 2A
Financial Statements:
Statements of Financial Condition--December 31, 1996 and 1995 3
Statements of Operations--Year Ended December 31, 1996 and the period
from January 5, 1995 (commencement of operations) to December 31, 1995 4
Statements of Changes in Trust Capital--Year ended December 31, 1996 and
the period from January 5, 1995 (commencement of operations) to December
31, 1995 4
Notes to Financial Statements 5
2. Financial Statement Schedules
All schedules have been omitted because they are not applicable or the
required information is included in the financial statements or notes
thereto.
3. Exhibits
Description:
3.1 Amended and Restated Declaration of Trust and Trust Agreement of the
and Registrant dated as of August 25, 1994, (incorporated by reference to
4.1 Exhibits 3.1 and 4.1 of Registrant's Quarterly Report on 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)
10.1 Escrow Agreement, dated as of September 13, 1994, among the Registrant,
Prudential Securities Futures Management Inc., Prudential Securities
Incorporated and The Bank of New York (incorporated by reference to
Exhibit 10.1 of the Registrant's Quarterly Report on Form 10-Q for the
period ended September 30, 1994)
</TABLE>
7
<PAGE>
<PAGE>
<TABLE>
<S> <C> <C> <C>
10.2 Brokerage Agreement, dated as of January 4, 1995, between the Registrant
and Prudential Securities Incorporated (incorporated by reference to
Exhibit 10.2 of the Registrant's Annual Report on Form 10-K for the year
ended December 31, 1994)
10.3 Advisory Agreement, dated as of September 13, 1994, among the Registrant,
Prudential Securities Futures Management Inc., and John W. Henry & Co.,
Inc. (incorporated by reference to Exhibit 10.3 of the Registrant's
Quarterly Report on Form 10-Q for the period ended September 30, 1994)
10.4 Representation Agreement Concerning the Registration Statement and the
Prospectus, dated as of September 13, 1994, among the Registrant,
Prudential Securities Futures Management Inc., Prudential Securities
Incorporated, Wilmington Trust Company and John W. Henry & Co., Inc.
(incorporated by reference to Exhibit 10.4 of the Registrant's Quarterly
Report on Form 10-Q for the period ended September 30, 1994)
10.5 Net Worth Agreement, dated as of September 13, 1994, between Prudential
Securities Futures Management Inc. and Prudential Securities Incorporated
(incorporated by reference to Exhibit 10.5 of the Registrant's Quarterly
Report on Form 10-Q for the period ended September 30, 1994)
10.6 Secured Demand Note, dated as of January 4, 1995, between Prudential
Securities Group Inc. and Prudential Securities Futures Management Inc.
(incorporated by reference to Exhibit 10.6 of the Registrant's Annual
Report on Form 10-K for the year ended December 31, 1994)
10.7 Secured Demand Note Collateral Agreement, dated as of January 4, 1995,
between Prudential Securities Futures Management Inc. and Prudential
Securities Group Inc. (incorporated by reference to Exhibit 10.7 of the
Registrant's Annual Report on Form 10-K for the year ended December 31,
1994)
10.8 Form of Foreign Currency Addendum to Brokerage Agreement between the
Registrant and Prudential Securities Incorporated (incorporated by
reference to Exhibit 10.8 of the Registrant's Quarterly Report on Form
10-Q for the period ended March 31, 1996)
13. Registrant's 1996 Annual Report (with the exception of the information
and data incorporated by reference in Items 7 and 8 of this Annual Report
on Form 10-K, no other information or data appearing in the Registrant's
1996 Annual Report is to be deemed filed as part of this report) (filed
herewith)
16.1 Letter dated May 14, 1996 from Deloitte & Touche LLP to the Securities
and Exchange Commission regarding change in certifying accountant
(incorporated by reference to Exhibit 16.1 to the Registrant's Current
Report on Form 8-K dated May 14, 1996)
27.1 Financial Data Schedule (filed herewith)
(b) Reports on Form 8-K
No reports on Form 8-K were filed during the last quarter of the period
covered by this report.
</TABLE>
8
<PAGE>
SIGNATURES
Pursuant to the requirements of Section 13 or 15(d) 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: March 27, 1997
----------------------------------------
Steven Carlino
Vice President and Chief Accounting
Officer
Pursuant to the requirements of the Securities Exchange Act of 1934, this
report has been signed below by the following persons on behalf of the
Registrant and in the capacities (with respect to the Managing Owner) and on the
dates indicated.
By: Prudential Securities Futures Management Inc.
A Delaware corporation, Managing Owner
By: /s/ James M. Kelso Date: March 27, 1997
-----------------------------------------
James M. Kelso
President and Director
By: /s/ Barbara J. Brooks Date: March 27, 1997
-----------------------------------------
Barbara J. Brooks
Treasurer and Chief Financial Officer
By: /s/ Steven Carlino Date: March 27, 1997
-----------------------------------------
Steven Carlino
Vice President
By: /s/ A. Laurence Norton, Jr. Date: March 27, 1997
-----------------------------------------
A. Laurence Norton, Jr.
Director
By: /s/ Guy S. Scarpaci Date: March 27, 1997
-----------------------------------------
Guy S. Scarpaci
Director
9
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1996
- --------------------------------------------------------------------------------
Diversif ied Futures Trust I Annual
Report
<PAGE>
DIVERSIFIED FUTURES TRUST I
LETTER TO THE INTEREST HOLDERS FOR THE YEAR ENDED DECEMBER 31, 1996
1
<PAGE>
1177 Avenue of the Americas Telephone 212 596 7000
New York, NY 10036 Facsimile 212 596 8910
Price Waterhouse LLP (LOGO)
Report of Independent Accountants
January 29, 1997
To the Interestholders of
Diversified Futures Trust I
In our opinion, the accompanying statement of financial condition and the
related statements of operations and of changes in trust capital present fairly,
in all material respects, the financial position of Diversified Futures Trust I
(the ``Trust'') at December 31, 1996, and the results of its operations and the
changes in its trust capital for the year then ended, in conformity with
generally accepted accounting principles. These financial statements are the
responsibility of the managing owner; our responsibility is to express an
opinion on these financial statements based on our audit. We conducted our audit
of these statements in accordance with generally accepted auditing standards
which require that we plan and perform the audit to obtain reasonable assurance
about whether the financial statements are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by the managing owner, and evaluating the
overall financial statement presentation. We believe that our audit provides a
reasonable basis for the opinion expressed above.
/s/ Price Waterhouse LLP
2
<PAGE>
Deloitte &
Touche LLP
--------------------------------------------------------
Two World Financial Center Telephone: (212) 436-2000
New York, New York 10281-1414 Facsimile: (212) 436-5000
INDEPENDENT AUDITORS' REPORT
To the Interestholders of
Diversified Futures Trust I
We have audited the accompanying statement of financial condition of
Diversified Futures Trust I as of December 31, 1995, and the related statements
of operations and changes in trust capital for the period from January 5, 1995
(commencement of operations) to December 31, 1995. These financial statements
are the responsibility of the Trust's management. Our responsibility is to
express an opinion on these financial statements based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, such financial statements present fairly, in all material
respects, the financial position of Diversified Futures Trust I as of December
31, 1995, and the results of its operations for the period from January 5, 1995
(commencement of operations) to December 31, 1995 in conformity with generally
accepted accounting principles.
/s/ Deloitte & Touche LLP
January 29, 1996
- -----------------
Deloitte Touche
Tohmatsu
International
- -----------------
2A
<PAGE>
DIVERSIFIED FUTURES TRUST I
(a Delaware Business Trust)
STATEMENTS OF FINANCIAL CONDITION
<TABLE>
<CAPTION>
December 31,
-------------------------------
1996 1995
<S> <C> <C>
- -----------------------------------------------------------------------------------------------------
ASSETS
Equity in commodity trading accounts:
Cash $79,506,881 $ 46,513,372
Net unrealized gain on open commodity positions 1,513,343 2,991,304
------------- -------------
Net equity 81,020,224 49,504,676
Other receivable 20,607 14,831
------------- -------------
Total assets $81,040,831 $ 49,519,507
------------- -------------
------------- -------------
LIABILITIES AND TRUST CAPITAL
Liabilities
Redemptions payable $ 7,223,685 $ 2,658,946
Management fee payable 270,136 165,065
Incentive fee payable 2,055,497 --
------------- -------------
Total liabilities 9,549,318 2,824,011
------------- -------------
Commitments
Trust capital
Limited interests (401,784.703 and 323,307.195 interests
outstanding) 70,776,499 46,119,407
General interests (4,059 and 4,038.53 interests outstanding) 715,014 576,089
------------- -------------
Total trust capital 71,491,513 46,695,496
------------- -------------
Total liabilities and trust capital $81,040,831 $ 49,519,507
------------- -------------
------------- -------------
Net asset value per limited and general interests (``Interests'') $ 176.16 $ 142.65
------------- -------------
------------- -------------
- -----------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements
</TABLE>
3
<PAGE>
DIVERSIFIED FUTURES TRUST I
(a Delaware Business Trust)
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
Period from
January 5, 1995
(commencement of
Year Ended operations) to
December 31, December 31,
1996 1995
<S> <C> <C>
- ----------------------------------------------------------------------------------------------------
REVENUES
Net realized gain on commodity transactions $ 22,881,256 $ 13,730,954
Change in net unrealized gain on open commodity
positions (1,477,961) 2,991,304
Interest income 3,082,397 2,281,360
------------ --------------------------
24,485,692 19,003,618
------------ --------------------------
EXPENSES
Commissions 4,747,920 3,084,349
Management fees 2,529,237 1,647,574
Incentive fees 2,098,515 1,841,206
------------ --------------------------
9,375,672 6,573,129
------------ --------------------------
Net income $ 15,110,020 $ 12,430,489
------------ --------------------------
------------ --------------------------
ALLOCATION OF NET INCOME
Limited interests $ 14,958,815 $ 12,254,400
------------ --------------------------
------------ --------------------------
General interests $ 151,205 $ 176,089
------------ --------------------------
------------ --------------------------
NET INCOME PER WEIGHTED AVERAGE LIMITED AND GENERAL
INTEREST
Net income per weighted average limited and general
interest $ 36.56 $ 40.56
------------ --------------------------
------------ --------------------------
Weighted average number of limited and general
interests outstanding 413,243.780 306,476.399
------------ --------------------------
------------ --------------------------
- ----------------------------------------------------------------------------------------------------
</TABLE>
STATEMENTS OF CHANGES IN TRUST CAPITAL
<TABLE>
<CAPTION>
LIMITED GENERAL
INTERESTS INTERESTS INTERESTS TOTAL
<S> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------
Initial trust capital--December 31, 1994 10.000 $ -- $ 1,000 $ 1,000
Contributions 388,899.267 42,483,200 399,000 42,882,200
Net income -- 12,254,400 176,089 12,430,489
Redemptions (61,563.542) (8,618,193) -- (8,618,193)
----------- ----------- --------- -----------
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 -- 14,958,815 151,205 15,110,020
Redemptions (86,488.452) (13,726,923) (95,780 ) (13,822,703)
----------- ----------- --------- -----------
Trust capital--December 31, 1996 405,843.703 $70,776,499 $715,014 $71,491,513
----------- ----------- --------- -----------
----------- ----------- --------- -----------
- -----------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements
</TABLE>
4
<PAGE>
DIVERSIFIED FUTURES TRUST I
(a Delaware Business Trust)
NOTES TO FINANCIAL STATEMENTS
A. General
Diversified Futures Trust I (the ``Trust'') was organized under the Delaware
Business Trust Act on May 18, 1994 and will continue until December 31, 2014
unless terminated sooner under the provisions of the Amended and Restated
Declaration of Trust and Trust Agreement (the ``Trust Agreement''). On January
5, 1995, the Trust completed its initial offering having raised $25,262,800 from
the sale of 249,628 limited interests (``Limited Interests'') and 3,000 general
interests (``General Interests'') (collectively, the ``Interests'') and
commenced operations. The Trust was formed to engage in the speculative trading
of commodity futures and forward contracts. The Trust's trustee is Wilmington
Trust Company. The managing owner of the Trust is Prudential Securities Futures
Management Inc. (the ``Managing Owner''), a wholly-owned subsidiary of
Prudential Securities Incorporated (``PSI''), which, in turn, is a wholly-owned
subsidiary of Prudential Securities Group Inc. (``PSGI''). PSI was the principal
underwriter of the Interests and is the commodity broker of the Trust. The
Managing Owner is required to maintain at least a 1% interest in the Trust so
long as it is acting as the Managing Owner.
The Trust was permitted to sell a maximum of $50,000,000 of Limited
Interests, plus $50,000,000 of additional Limited Interests when PSI and the
Managing Owner exercised the over-subscription option granted to them by the
Trust Agreement. Following the close of the initial offering period, additional
Interests were offered and sold monthly at their month-end net asset value
(``NAV'') per Interest during a continuous offering period which expired on
August 31, 1996. Additional contributions raised during the
Continuous Offering Period resulted in additional proceeds to the Trust of
$41,129,100 from the sale of 299,640 Limited Interests and 1,628 General
Interests.
All trading decisions are made for the Trust by John W. Henry & Co., Inc.
(the ``Trading Manager''). The Trading Manager was initially allocated the
Trust's assets to be traded pursuant to five of its trading programs as follows:
50% to the Financial and Metals Portfolio; 20% to the Global Financial
Portfolio; 20% to the Original Investment Program; 5% to the G-7 Currency
Portfolio; and 5% to the Yen Financial Portfolio. The Trading Manager may alter
the relative percentages only if the Managing Owner does not object to any such
alteration. No alterations have been made to date; however, the relative
percentages change from time to time as a result of the performance of the
various trading programs. The Managing Owner retains the authority to override
trading instructions that violate the Trust's trading policies.
B. Summary of Significant Accounting Principles
Basis of accounting
The books and records of the Trust are maintained on the accrual basis of
accounting in accordance with generally accepted accounting principles.
Commodity futures and forward transactions are reflected in the accompanying
statements of financial condition on trade date. The difference between the
original contract amount and market value is reflected as net unrealized gain or
loss. The market value of each contract is based upon the closing quotation on
the exchange, clearing firm or bank on, or through, which the contract is
traded.
The weighted average number of limited and general interests outstanding was
computed for purposes of disclosing net income per weighted average limited and
general interest. The weighted average limited and general interests are equal
to the number of Interests outstanding at period end, adjusted proportionately
for Interests subscribed and redeemed based on their respective time outstanding
during such period.
The Partnership has elected not to provide a Statement of Cash Flows as
permitted by Statement of Financial Accounting Standards No. 102, ``Statement of
Cash Flows--Exemption of Certain Enterprises and Classification of Cash Flows
from Certain Securities Acquired for Resale.''
5
<PAGE>
Income taxes
The Trust is treated as a partnership for Federal income tax purposes. As
such, the Trust is not required to provide for, or pay, any Federal or state
income taxes. Income tax attributes that arise from its operations are passed
directly to the individual Interest holders. The Trust may be subject to other
state and local taxes in jurisdictions in which it operates.
Profit and loss allocation, subscriptions, distributions and redemptions
Net realized profits or losses for tax purposes are allocated first to
Interest holders who redeem Interests to the extent the amounts received on
redemption are greater than or are less than the amounts paid for the redeemed
Interests by the Interest holders. Net realized profits or losses remaining
after these allocations are allocated to each Interest holder in proportion to
such Interest holder's capital account at year-end. Net income or loss for
financial reporting purposes is allocated monthly for all Interest holders on a
pro rata basis based on each Interest holder's number of Interests outstanding
during the month.
Distributions (other than on redemptions of Interests) are made at the sole
discretion of the Managing Owner on a pro rata basis in accordance with the
respective capital accounts of the Interest holders. No distributions have been
made since inception.
Additional Interests were offered monthly at their month-end NAV per Interest
until the continuous offering period expired on August 31, 1996 as further
discussed in Note A.
The Trust Agreement provides that an Interest holder may redeem its Interests
as of the last business day of any full calendar quarter (beginning with the end
of the first full calendar quarter of the Trust's operations, which was June 30,
1995) at the then current NAV per Interest.
C. Fees
Organizational and general and administrative costs
PSI or its affiliates paid the costs of organizing the Trust and offering its
Interests and pay the routine operational, administrative, legal and auditing
expenses.
Management and incentive fees
The Trust pays the Trading Manager a monthly management fee equal to 1/3 of
1% (a 4% annual rate) of the Trust's NAV as of the end of each month.
In addition, the Trust pays the Trading Manager a quarterly incentive fee
equal to 15% of the New High Net Trading Profits (as defined in the Advisory
Agreement between the Trust, the Managing Owner and the Trading Manager).
Commissions
The Managing Owner, on behalf of the Trust, entered into an agreement with
PSI as commodity broker whereby the Trust pays a fixed monthly fee for brokerage
services rendered. The monthly fee equals .64583 of 1% (7.75% per annum) of the
Trust's NAV as of the first day of each month. From this fee, PSI pays all of
the Trust's execution (i.e., floor brokerage expenses and NFA, clearing and
exchange fees) and account maintenance costs.
D. Related Parties
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. 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 the routine operational, administrative, legal and auditing fees.
6
<PAGE>
The costs charged to the Trust for brokerage services for the year ended
December 31, 1996 and for the period from January 5, 1995 (commencement of
operations) to December 31, 1995 were $4,747,920 and $3,084,349, respectively.
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.
In connection with the Trust's interbank transactions, PSI engages in foreign
currency forward transactions with the Trust and an affiliate of PSI who, as
principal, attempts to earn a profit on the bid-ask spreads (which must be
competitive) on any foreign currency forward transactions entered into between
the Trust and PSI, on the one hand and, PSI and such affiliate on the other. In
connection with its trading of foreign currencies in the interbank market, PSI
may arrange bank lines of credit at major international banks. To the extent
such lines of credit are arranged, PSI does not charge the Partnership for
maintaining such lines of credit, but requires margin deposits with respect to
forward contract transactions.
As of December 31, 1996, a non-U.S. affiliate of the Managing Owner owns
5,170.071 Limited Interests of the Trust.
E. Income Taxes
There are no differences between the tax basis and book basis of Interest
holders' capital for the year ended December 31, 1996 and for the period from
January 5, 1995 (commencement of operations) to December 31, 1995.
F. 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 transactions. The Trust presents unrealized gains and losses
on open forward positions at 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 December 31, 1996 and 1995, such
segregated assets totalled $53,711,518 and $38,453,139, respectively.
7
<PAGE>
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 $26,551,088
and $11,074,805 at December 31, 1996 and 1995 respectively. There are no
segregation requirements for assets related to forward trading.
As of December 31, 1996 and 1995, the Trust's open forward and futures
contracts mature within one year.
At December 31, 1996 and 1995, gross contract amounts of open futures and
forward contracts are:
<TABLE>
<CAPTION>
December 31, December 31,
1996 1995
------------ ------------
<S> <C> <C>
Financial Futures Contracts:
Commitments to purchase $246,536,386 $355,381,599
Commitments to sell $ 85,149,239 $ 43,243,625
Currency Forward Contracts:
Commitments to purchase $ 55,393,671 $ 2,211,904
Commitments to sell $ 61,497,457 $ 65,731,133
Other Futures Contracts:
Commitments to purchase $ 6,735,960 $ 9,454,717
Commitments to sell $ 25,980,949 $ 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 and forward contracts to be
the net unrealized gain or loss on the contracts. Thus, the amount at risk
associated with counterparty nonperformance of all contracts is the net
unrealized gain included in the statements of financial condition. The market
risk associated with the 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.
At December 31, 1996 and 1995, the fair value of open futures and forward
contracts was:
<TABLE>
<CAPTION>
December 31, 1996 December 31, 1995
------------------------------------- -------------------------------------
<S> <C> <C> <C> <C>
Fair Value Fair Value
------------------------------------- -------------------------------------
Assets Liabilities Assets Liabilities
----------------- ----------------- ----------------- -----------------
Futures Contracts:
Domestic exchanges
Financial $ 66,450 $ 175,344 $ 780,969 $ --
Other 1,219,801 58,011 1,264,572 5,200
Foreign exchanges
Financial 542,415 847,344 975,707 4,182
Other 7,758 -- 2,706 --
Forward Contracts:
Currencies 1,592,852 835,234 597,726 620,994
----------------- ----------------- ----------------- -----------------
$ 3,429,276 $ 1,915,933 $ 3,621,680 $ 630,376
----------------- ----------------- ----------------- -----------------
----------------- ----------------- ----------------- -----------------
</TABLE>
8
<PAGE>
The following table presents the average fair value of futures and options
contracts during the years ended December 31, 1996 and 1995, respectively.
<TABLE>
<CAPTION>
Year ended Year ended
December 31, 1996 December 31, 1995
-------------------------------------- --------------------------------------
<S> <C> <C> <C> <C>
Average Fair Value Average Fair Value
-------------------------------------- --------------------------------------
Assets Liabilities Assets Liabilities
----------------- ----------------- ----------------- -----------------
Futures Contracts:
Domestic exchanges
Financial $ 687,217 $ 142,565 $ 368,334 $ 31,913
Currencies -- -- 1,227,367 122,872
Other 1,170,685 209,225 591,415 142,176
Foreign exchanges
Financial 2,812,953 208,886 675,573 58,066
Other 15,044 3,121 7,333 3,210
Forward Contracts:
Currencies 2,543,797 761,951 1,818,978 945,462
----------------- ----------------- ----------------- -----------------
$ 7,229,696 $ 1,325,748 $ 4,689,000 $ 1,303,699
----------------- ----------------- ----------------- -----------------
----------------- ----------------- ----------------- -----------------
</TABLE>
The following table presents the net realized gains (loses) and the change in
net unrealized gains/losses of futures and options contracts during the years
ended December 31, 1996 and 1995, respectively:
<TABLE>
<CAPTION>
Year ended Year ended
December 31, 1996 December 31, 1995
--------------------------------------------- ---------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Change in Change in
Net Realized Net Unrealized Net Realized Net Unrealized
Gains (Losses) Gains/Losses Total Gains (Losses) Gains/Losses Total
-------------- -------------- ----------- -------------- -------------- -----------
Futures Contracts:
Domestic exchanges
Financial $ 1,636,103 $ (889,863) $ 746,240 $ 2,181,679 $ 780,969 $ 2,962,648
Currencies -- -- -- 5,428,763 -- 5,428,763
Other 4,450,476 (97,582) 4,352,894 (2,467,767) 1,259,372 (1,208,395)
Foreign exchanges
Financial 9,207,763 (1,276,454) 7,931,309 4,191,506 971,524 5,163,030
Other (12,364) 5,052 (7,312) (54,848) 2,706 (52,142)
Forward Contracts:
Currencies 7,599,278 780,886 8,380,164 4,451,621 (23,267) 4,428,354
-------------- -------------- ----------- -------------- -------------- -----------
$ 22,881,256 $ (1,477,961) $21,403,295 $ 13,730,954 $2,991,304 $16,722,258
-------------- -------------- ----------- -------------- -------------- -----------
-------------- -------------- ----------- -------------- -------------- -----------
</TABLE>
9
<PAGE>
DIVERSIFIED FUTURES TRUST I
(a Delaware Business Trust)
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 December 31, 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 these 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 F to the financial statements for a further discussion on
the credit and market risks associated with the Trust's futures, forward and
options contracts.
Redemptions of Limited Interests for the year ended December 31, 1996 and for
the period from January 5, 1995 (commencement of operations) to December 31,
1995 were $13,726,923 and $8,618,193, respectively. Redemptions of General
Interests for the year ended December 31, 1996 were $95,780. Redemptions of
Limited and General Interests from the commencement of operations, January 5,
1995, to December 31, 1996 were $22,345,116 and $95,780, 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 during the year ended December 31,
1996 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.
The Trust does not have, nor does it expect to have, any capital assets.
Results of Operations
The net asset value per Interest as of December 31, 1996 was $176.16, an
increase of 23.49% from the December 31, 1995 net asset value per Interest of
$142.65, which was an increase of 42.65% from the Trust's initial net asset
value per Interest of $100. The Trust outperformed the MAR (Managed Account
Reports) Fund/Pool Index return in 1996 of 11.89%. The MAR tracked the
performance of 420 futures funds in 1996. Past performance is not necessarily
indicative of future results.
The global interest rate, currency and metal sectors were solid performers
for 1996. Trends in world currency markets reflected economic fundamentals as
well as political developments, particularly the progress of the planned
European Monetary Union. Global bond markets gained momentum in the second half
of the year due to the low interest rate policies set by the U.S. Federal
Reserve Bank and the central banks of Europe. After reaching a five year high in
February, gold prices began a relentless decline throughout the year.
10
<PAGE>
Interest income earned and commissions and management fees incurred during
the year ended December 31, 1996 were not comparable to the prior period, and
increased in connection with the increase in traded assets as a result of the
additional contributions discussed in Liquidty and Capital Resources above.
Interest income is earned on deposits held at PSI and, therefore, varies
monthly according to interest rates, trading performance, contributions and
redemptions. Interest income was approximately $3,082,000 and $2,281,000 for the
year ended December 31, 1996 and for the period from January 5, 1995
(commencement of operations) to December 31, 1995, respectively. The increase in
interest income during 1996 was offset, in part, by a decline in interest rates
in 1996 versus 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 were approximately $4,748,000 and $3,084,000 for
the year ended December, 31, 1996 and for the period from January 5, 1995 to
December 31, 1995, respectively.
All trading decisions for the Trust are made by John W. Henry & Co., Inc.
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 were approximately $2,529,000 and $1,648,000 for
the year ended December 31, 1996 and for the period from January 5, 1995 to
December 31, 1995, respectively.
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
$2,099,000 and $1,841,000 resulted from strong trading performance for the year
ended December 31, 1996 and for the period from January 5, 1995 through December
31, 1995, respectively.
Inflation
Inflation has had no material impact on operations or on the financial
condition of the Trust from inception through December 31, 1996.
11
<PAGE>
- --------------------------------------------------------------------------------
I hereby affirm that, to the best of my knowledge and belief, the
information contained herein relating to Diversified Futures Trust I is accurate
and complete.
PRUDENTIAL SECURITIES
FUTURES MANAGEMENT INC.
(Managing Owner)
By: Barbara J. Brooks
Treasurer and Chief Financial Officer
- --------------------------------------------------------------------------------
12
<PAGE>
OTHER INFORMATION
The actual round-turn equivalent of brokerage commissions paid per contract
for the year ended December 31, 1996 was $126.
The Trust's Annual Report on Form 10-K as filed with the Securities and
Exchange Commission is available to limited Interest holders without charge upon
written request to:
Diversified Futures Trust I
P.O. Box 2016
Peck Slip Station
New York, New York 10272-2016
13
<PAGE>
Peck Slip Station BULK RATE
P.O. Box 2016 U.S. POSTAGE
New York, NY 10272 PAID
Automatic Mail
PBDF1/171534
<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> Dec-31-1996
<PERIOD-TYPE> 12-Mos
<CASH> 79,506,881
<SECURITIES> 1,513,343
<RECEIVABLES> 20,607
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 81,040,831
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 81,040,831
<CURRENT-LIABILITIES> 9,549,318
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 71,491,513
<TOTAL-LIABILITY-AND-EQUITY> 81,040,831
<SALES> 0
<TOTAL-REVENUES> 24,485,692
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 9,375,672
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 0
<INCOME-TAX> 0
<INCOME-CONTINUING> 0
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> 15,110,020
<EPS-PRIMARY> 36.56
<EPS-DILUTED> 0
</TABLE>
