<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, 1999
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 Identification No.)
incorporation or organization)
One New York Plaza, 13th Floor, New York, New York 10292
- --------------------------------------------------------------------------------
(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code (212) 778-7866
N/A
- --------------------------------------------------------------------------------
Former name, former address and former fiscal year, if changed since last report
Indicate by check CK whether the Registrant (1) has filed all reports
required to be filed by Section 13 or 15(d) of the Securities Exchange Act of
1934 during the preceding 12 months (or for such shorter period that the
Registrant was required to file such reports), and (2) has been subject to such
filing requirements for the past 90 days. Yes _CK_ No __
<PAGE>
PART I. FINANCIAL INFORMATION
ITEM I. FINANCIAL STATEMENTS
DIVERSIFIED FUTURES TRUST I
(a Delaware Business Trust)
STATEMENTS OF FINANCIAL CONDITION
(Unaudited)
<TABLE>
<CAPTION>
September 30, December 31,
1999 1998
<S> <C> <C>
- ----------------------------------------------------------------------------------------------------
ASSETS
Equity in commodity trading accounts:
Cash $53,047,987 $55,481,234
Net unrealized gain (loss) on open commodity positions (932,279) 6,197,212
------------- ------------
Net equity 52,115,708 61,678,446
Other receivables 19,475 8,874
------------- ------------
Total assets $52,135,183 $61,687,320
------------- ------------
------------- ------------
LIABILITIES AND TRUST CAPITAL
Liabilities
Redemptions payable $ 1,990,077 $ 2,543,697
Management fee payable 173,784 205,624
------------- ------------
Total liabilities 2,163,861 2,749,321
------------- ------------
Commitments
Trust capital
Limited interests (254,264.017 and 290,423.624 interests
outstanding) 49,471,478 58,348,534
General interests (2,569 and 2,934 interests outstanding) 499,844 589,465
------------- ------------
Total trust capital 49,971,322 58,937,999
------------- ------------
Total liabilities and trust capital $52,135,183 $61,687,320
------------- ------------
------------- ------------
Net asset value per limited and general interest ('Interests') $ 194.57 $ 200.91
------------- ------------
------------- ------------
- ----------------------------------------------------------------------------------------------------
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>
Nine months ended Three months ended
September 30, September 30,
--------------------------- ---------------------------
1999 1998 1999 1998
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------
REVENUES
Net realized gain (loss) on commodity
transactions $ 8,641,581 $(1,524,504) $ 1,438,185 $(3,234,989)
Change in net unrealized gain/loss on
open commodity positions (7,129,491) 6,772,164 (5,506,945) 13,698,908
Interest income 2,032,452 2,550,915 716,092 828,140
----------- ----------- ----------- -----------
3,544,542 7,798,575 (3,352,668) 11,292,059
----------- ----------- ----------- -----------
EXPENSES
Commissions 3,271,001 3,510,728 1,074,932 1,072,115
Management fees 1,689,171 1,826,280 540,045 587,414
Incentive fee 252,445 97,868 -- 97,868
----------- ----------- ----------- -----------
5,212,617 5,434,876 1,614,977 1,757,397
----------- ----------- ----------- -----------
Net income (loss) $(1,668,075) $ 2,363,699 $(4,967,645) $ 9,534,662
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
ALLOCATION OF NET INCOME (LOSS)
Limited interests $(1,651,382) $ 2,340,065 $(4,917,961) $ 9,439,308
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
General interests $ (16,693) $ 23,634 $ (49,684) $ 95,354
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
NET INCOME (LOSS) PER WEIGHTED AVERAGE
LIMITED AND GENERAL INTEREST
Net income (loss) per weighted average
limited and general interest $ (5.96) $ 6.99 $ (18.60) $ 29.86
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
Weighted average number of limited and
general interests outstanding 279,775 338,255 267,061 319,277
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
- -------------------------------------------------------------------------------------------------------
</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, 1998 293,357.624 $58,348,534 $589,465 $58,937,999
Net loss -- (1,651,382) (16,693 ) (1,668,075)
Redemptions (36,524.607) (7,225,674) (72,928 ) (7,298,602)
------------ ----------- --------- -----------
Trust capital--September 30, 1999 256,833.017 $49,471,478 $499,844 $49,971,322
------------ ----------- --------- -----------
------------ ----------- --------- -----------
- -----------------------------------------------------------------------------------------------------
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
SEPTEMBER 30, 1999
(Unaudited)
A. General
These financial statements have been prepared without audit. In the opinion
of management, the financial statements contain all adjustments (consisting of
only normal recurring adjustments) necessary to present fairly the financial
position of Diversified Futures Trust I (the 'Trust') as of September 30, 1999
and the results of its operations for the nine and three months ended September
30, 1999 and 1998. However, the operating results for the interim periods may
not be indicative of the results expected for the full year.
Certain information and footnote disclosures normally included in annual
financial statements prepared in accordance with generally accepted accounting
principles have been omitted. It is suggested that these financial statements be
read in conjunction with the financial statements and notes thereto included in
the Trust's Annual Report on Form 10-K filed with the Securities and Exchange
Commission for the year ended December 31, 1998 (the 'Annual Report').
B. Related Parties
The managing owner of the Trust is Prudential Securities Futures Management
Inc. (the 'Managing Owner'), a wholly owned subsidiary of Prudential Securities
Incorporated ('PSI'). 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 the Trust's routine operational, administrative, legal
and auditing fees as well as costs paid to organize the Trust and offer its
interests. As described in the Annual Report, all commissions for brokerage
services are paid to PSI.
The Trust's assets are maintained either in trading or cash accounts at PSI,
the Trust's commodity broker, or for margin purposes, with the various exchanges
on which the Trust is permitted to trade. PSI credits the Trust monthly with
100% of the interest it earns on the average net assets in the Trust's accounts.
The Trust, acting through its trading manager, executes over-the-counter,
spot, forward and/or option foreign exchange transactions with PSI. PSI then
engages in back-to-back trading with an affiliate, Prudential-Bache Global
Markets, Inc. ('PBGM'). PBGM attempts to earn a profit on such transactions.
PBGM keeps its prices on foreign currency competitive with other interbank
currency trading desks. All over-the-counter currency transactions are conducted
between PSI and the Trust pursuant to a line of credit. PSI may require that
collateral be posted against the marked-to-market positions of the Trust.
As of September 30, 1999, a non-U.S. affiliate of the Managing Owner owns
2,117.885 limited interests of the Trust.
C. Credit and Market Risk
Since the Trust's business is to trade futures and forward (including foreign
exchange transactions) 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 and forward contracts involve varying degrees of off-balance sheet
risk; and changes in the level or volatility of interest rates, foreign currency
exchange rates or the market values of the contracts (or commodities underlying
the contracts) frequently result in changes in the 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 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 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
4
<PAGE>
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, if any, 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 and its 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. Additionally, the
Managing Owner may terminate the trading manager if the net asset value
allocated to the trading manager declines by 33 1/3% during any year or since
the commencement of trading activities. Furthermore, the Trust Agreement
provides that the Trust will liquidate its positions, and eventually dissolve,
if the Trust experiences a decline in the net asset value of 50% in any year or
since the commencement of trading activities. In each case, the decline in the
net asset value is after giving effect for distributions and redemptions. 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 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 trading and is not to commingle such assets with other assets
of PSI. At September 30, 1999, such segregated assets totalled $40,390,845. Part
30.7 of the CFTC regulations also requires PSI to secure assets of the Trust
related to foreign futures trading which totalled $11,755,798 at September 30,
1999. There are no segregation requirements for assets related to forward
trading.
As of September 30, 1999, the Trust's open futures and forward contracts
mature within one year.
At September 30, 1999 and December 31, 1998, gross contract amounts of open
futures and forward contracts were:
<TABLE>
<CAPTION>
1999 1998
------------ ------------
<S> <C> <C>
Financial Futures Contracts:
Commitments to purchase $508,055,634 $241,713,301
Commitments to sell 213,771,658 450,175,973
Currency Futures Contracts:
Commitments to purchase 84,653,387 29,926,525
Commitments to sell -- 22,716,988
Other Futures Contracts:
Commitments to purchase 11,312,483 2,666,083
Commitments to sell 16,831,994 15,300,056
Currency Forward Contracts:
Commitments to purchase 11,569,504 464,787
Commitments to sell 5,569,210 7,297,275
</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.
5
<PAGE>
At September 30, 1999 and December 31, 1998, the fair value of open futures
and forward contracts was:
<TABLE>
<CAPTION>
1999 1998
-------------------------- --------------------------
Assets Liabilities Assets Liabilities
---------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ 18,374 $ 232,519 $ 59,531 $ 607,294
Currencies 547,826 10,800 969,688 187,500
Other 570,467 2,431,947 589,283 134,120
Foreign exchanges
Financial 726,136 287,203 5,991,154 385,014
Other 202,887 4,565 114,259 11,014
Forward Contracts:
Currencies 105,027 135,962 5,365 207,126
---------- ----------- ---------- -----------
$2,170,717 $ 3,102,996 $7,729,280 $ 1,532,068
---------- ----------- ---------- -----------
---------- ----------- ---------- -----------
</TABLE>
The following table presents the average fair value of futures and forward
contracts during the nine months ended September 30, 1999 and 1998,
respectively.
<TABLE>
<CAPTION>
1999 1998
-------------------------- --------------------------
Assets Liabilities Assets Liabilities
---------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ 348,111 $ 170,991 $ 739,181 $ 84,724
Currencies 1,008,436 162,546 -- --
Other 549,418 407,137 944,498 225,940
Foreign exchanges
Financial 2,702,224 297,396 2,164,032 360,257
Other 121,712 59,551 64,577 25,894
Forward Contracts:
Currencies 565,042 288,323 1,309,506 2,049,928
---------- ----------- ---------- -----------
$5,294,943 $ 1,385,944 $5,221,794 $ 2,746,743
---------- ----------- ---------- -----------
---------- ----------- ---------- -----------
</TABLE>
The following table presents the average fair value of futures and forward
contracts for the three months ended September 30, 1999 and 1998, respectively.
<TABLE>
<CAPTION>
1999 1998
-------------------------- --------------------------
Assets Liabilities Assets Liabilities
---------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ 357,096 $ 204,609 $1,269,316 $ 72,666
Currencies 1,044,210 166,526 -- --
Other 696,985 708,288 799,523 201,249
Foreign exchanges
Financial 2,104,529 252,158 3,255,217 469,737
Other 147,822 98,249 69,392 33,329
Forward Contracts:
Currencies 171,783 381,355 874,695 3,208,432
---------- ----------- ---------- -----------
$4,522,425 $ 1,811,185 $6,268,143 $ 3,985,413
---------- ----------- ---------- -----------
---------- ----------- ---------- -----------
</TABLE>
6
<PAGE>
The following table presents the trading revenues from futures and forward
contracts during the nine months ended September 30, 1999 and 1998,
respectively.
<TABLE>
<CAPTION>
1999 1998
----------- -----------
<S> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $ 1,331,581 $ 3,735,935
Currencies 1,152,750 --
Other (777,550) (2,274,394)
Foreign exchanges
Financial (3,265,976) 6,665,343
Other 686,404 225,294
Forward Contracts:
Currencies 2,384,881 (3,104,518)
----------- -----------
$ 1,512,090 $ 5,247,660
----------- -----------
----------- -----------
</TABLE>
The following table presents the trading revenues from futures and forward
contracts during the three months ended September 30, 1999 and 1998,
respectively.
<TABLE>
<CAPTION>
1999 1998
----------- -----------
<S> <C> <C>
Futures Contracts:
Domestic exchanges
Financial $(1,492,266) $ 4,895,876
Currencies 342,449 --
Other (1,256,782) (1,050,342)
Foreign exchanges
Financial (1,604,634) 7,794,671
Other 426,453 (12,764)
Forward Contracts:
Currencies (483,980) (1,163,522)
----------- -----------
$(4,068,760) $10,463,919
----------- -----------
----------- -----------
</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. The Trust continued to offer
interests on a monthly basis until the continuous offering period ended on
August 31, 1996, resulting in additional gross proceeds to the Trust of
$41,129,100.
At September 30, 1999, 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 average net assets 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 and forward contracts, its
capital is at risk due to change in the value of these contracts (market risk)
or the inability of counterparties to perform under the terms of the contracts
(credit risk). The Trust's exposure to market risk is influenced by a number of
factors including the volatility of interest rates and foreign currency exchange
rates, the liquidity of the markets in which the contracts are traded and the
relationships among the contracts held. The inherent uncertainty of the Trust's
speculative trading as well as the development of drastic market occurrences
could result in monthly losses considerably beyond the Trust's experience to
date and could ultimately lead to a loss of all or substantially all of
investors' capital. The Managing Owner attempts to minimize these risks by
requiring the Trust and its trading manager to abide by various trading
limitations and policies, which include limiting margin amounts, trading only in
liquid markets and utilizing stop loss provisions. See Note C to the financial
statements for a further discussion on the credit and market risks associated
with the Trust's futures and forward 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, 1999 were $7,225,674 and $1,970,231, respectively. Redemptions of
general interests for the nine and three months ended September 30, 1999 were
$72,928 and $19,846, respectively. Redemptions of limited and general interests
from commencement of operations, January 5, 1995 to September 30, 1999 totalled
$49,788,697 and $372,943, respectively. 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, 1999 was $194.57, a
decrease of 3.16% from the December 31, 1998 net asset value per Interest of
$200.91, and a decrease of 8.73% from the June 30, 1999 net asset value per
Interest of $213.17.
Quarterly Market Overview
During the quarter, global financial markets experienced heavy volatility. In
July, U.S. Federal Reserve policy gave markets a boost. However, record trade
deficits, higher employment costs, fears of inflation and higher interest rates
in the U.S. quickly caused a reversal in U.S. stock and bond markets. Global
stock and bond markets followed U.S. markets demonstrating increased volatility.
The U.S. dollar also experienced fluctuations throughout the quarter as signs of
a stronger U.S. economy versus the European community supported the dollar's
rise to new highs against most major currencies. However, later in the quarter
as a
8
<PAGE>
record trade gap and stronger than expected European economic data were
reported, the U.S. dollar came under pressure and continued to fall against most
major currencies and to record lows against the Japanese yen. In the commodities
markets, energy prices rose as OPEC members agreed to maintain cuts in oil
output. The metal sector experienced extreme movement as gold prices rose to a
two-year high following reports that 15 European central banks would limit sales
and retain higher gold reserves.
Quarterly Trust Performance
The Trust incurred losses in the financial sector particularly due to trading
in Japanese government bonds, U.S. Treasury bonds, and U.S. Treasury 10-year
notes. Global interest rate markets followed the lead of the U.S. bond market as
rates moved higher. On August 24th, the Federal Open Market Committee decided to
increase the U.S. federal funds rate by 25 basis points. In Japan, long-term
interest rates rose during the first half of the quarter on concerns that more
government bonds may be issued to finance the bailout of the weaker Japanese
banks.
Positions in the metal sector also experienced losses as gold prices surged
towards the quarter end. The European Central Bank's decision to limit both gold
sales and lending triggered extreme movement in the gold market. Gold prices
rose to two-year highs over a 10-day period, causing short positions to incur
losses.
SFE Index (Australia) and Nikkei Dow (Japan) positions accumulated losses in
the index sector. Australian markets were trendless as strong economic activity
was counteracted by statements from the Reserve Bank of Australia (RBA)
suggesting that the RBA did not need to follow the U.S. by raising interest
rates. In Japan, the Nikkei Dow moved sideways and downward though not
demonstrating a bear trend, closing lower by quarter end.
Long corn positions in the grain sector also experienced losses. Corn reached
an 11-year low as ideal weather conditions prevailed in the early part of the
quarter improving the outlook for a large crop.
In the currency sector, positions in the Swiss franc and the Euro recorded
losses for the Trust. The Swiss franc bottomed out early in the quarter after
trading passed an 8-year low against the U.S. dollar. It had moved in sync with
the Euro in the first half of the quarter until the Euro surged against the U.S.
dollar. The strengthening Euro was short lived as investors unloaded Euros for a
stronger yen. With signs of a recovering Japanese economy, investors seemed to
move capital into Japanese markets.
Profits were derived from long positions in the energy sector as light crude
and crude oil prices rose. OPEC's production cuts continued to prove effective
for oil markets. Expectations that current output levels could be maintained for
the foreseeable future also contributed to the bullish sentiment.
Interest income is earned on the net assets held at PSI and, therefore,
varies monthly according to interest rates, trading performance, and
redemptions. Interest income decreased $518,000 and $112,000 for the nine and
three months ended September 30, 1999 compared to the corresponding periods in
1998. These decreases were primarily due to lower interest rates as well as
lower net assets in the Trust as a result of redemptions offset, in part, by
positive trading performance during August and September 1998.
Commissions are calculated on the Trust's net asset value at the beginning of
each month and, therefore, vary according to trading performance and
redemptions. Commissions decreased $240,000 for the nine months ended September
30, 1999 compared to the corresponding period in 1998 due to lower monthly net
asset values as a result of redemptions. Despite the nine month decrease,
commissions during the three months ended September 30, 1999 were comparable to
the corresponding period in 1998 as the effect of income generated during August
and September 1998 offset the effect of redemptions on the monthly net asset
values.
All trading decisions for the Trust are made by John W. Henry & Company, 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 and redemptions. Management fees for the nine and three months ended
September 30, 1999 decreased $137,000 and $47,000 compared to the corresponding
periods in 1998 primarily due to lower monthly net asset values as a result of
redemptions.
Incentive fees are based on the New High Net Trading Profits generated by the
Trading Manager, as defined in the Advisory Agreement among the Trust, the
Managing Owner and the Trading Manager. Incentive fees of $252,000 were
generated during the nine months ended September 30, 1999 due to strong
9
<PAGE>
trading performance during the second quarter of 1999. Incentive fees of $98,000
were generated during the three months ended September 30, 1998.
Year 2000 Risk
A discussion of Year 2000 risk and its effect on the operations of the Trust
is included in the Trust's Annual Report.
ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
No material changes exist between the period covered by this report and the
Registrant's most recent fiscal year end. Therefore, pursuant to Item 305(c) of
Regulation S-K, information regarding quantitative and qualitative disclosures
about market risk is not required.
10
<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)
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)
27.1--Financial Data Schedule (filed herewith)
(b) Reports on Form 8-K--None
11
<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 12, 1999
----------------------------------------
Steven Carlino
Vice President and Treasurer
12
<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-31-1999
<PERIOD-START> Jan-1-1999
<PERIOD-END> Sep-30-1999
<PERIOD-TYPE> 9-Mos
<CASH> 53,047,987
<SECURITIES> (932,279)
<RECEIVABLES> 19,475
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 52,135,183
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 52,135,183
<CURRENT-LIABILITIES> 2,163,861
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 49,971,322
<TOTAL-LIABILITY-AND-EQUITY> 52,135,183
<SALES> 0
<TOTAL-REVENUES> 3,544,542
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 5,212,617
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 0
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<NET-INCOME> (1,668,075)
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</TABLE>
