<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, 2000
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
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(Exact name of Registrant as specified in its charter)
Delaware 13-3780260
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(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
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(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>
June 30, December 31,
2000 1999
<S> <C> <C>
----------------------------------------------------------------------------------------------------
ASSETS
Cash $30,930,795 $43,317,270
Net unrealized gain on open futures contracts 394,794 1,417,732
Net unrealized gain on open forward contracts -- 49,621
Other receivables 14,142 8,209
------------- ------------
Total assets $31,339,731 $44,792,832
------------- ------------
------------- ------------
LIABILITIES AND TRUST CAPITAL
Liabilities
Redemptions payable $ 3,267,050 $ 4,079,581
Net unrealized loss on open forward contracts 230,509 --
Management fees payable 103,697 149,309
------------- ------------
Total liabilities 3,601,256 4,228,890
------------- ------------
Commitments
Trust capital
Limited interests (184,527.723 and 231,028.868 interests
outstanding) 27,461,077 40,158,237
General interests (1,864 and 2,334 interests outstanding) 277,398 405,705
------------- ------------
Total trust capital 27,738,475 40,563,942
------------- ------------
Total liabilities and trust capital $31,339,731 $44,792,832
------------- ------------
------------- ------------
Net asset value per limited and general interest ('Interests') $ 148.82 $ 173.82
------------- ------------
------------- ------------
----------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements.
</TABLE>
2
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DIVERSIFIED FUTURES TRUST I
(a Delaware Business Trust)
STATEMENTS OF OPERATIONS
(Unaudited)
<TABLE>
<CAPTION>
Six months ended Three months ended
June 30, June 30,
--------------------------- --------------------------
2000 1999 2000 1999
<S> <C> <C> <C> <C>
-------------------------------------------------------------------------------------------------------
REVENUES
Net realized gain (loss) on commodity
transactions $(3,011,731) $ 7,203,396 $(1,187,476) $4,180,609
Change in net unrealized gain/loss on open
commodity positions (1,303,068) (1,622,546) (1,805,644) 2,798,887
Interest income 1,061,363 1,316,360 497,138 659,248
----------- ----------- ----------- ----------
(3,253,436) 6,897,210 (2,495,982) 7,638,744
----------- ----------- ----------- ----------
EXPENSES
Commissions 1,437,787 2,196,069 654,302 1,075,506
Management fees 726,446 1,149,126 327,203 576,977
Incentive fees -- 252,445 -- 252,445
----------- ----------- ----------- ----------
2,164,233 3,597,640 981,505 1,904,928
----------- ----------- ----------- ----------
Net income (loss) $(5,417,669) $ 3,299,570 $(3,477,487) $5,733,816
----------- ----------- ----------- ----------
----------- ----------- ----------- ----------
ALLOCATION OF NET INCOME (LOSS)
Limited interests $(5,363,480) $ 3,266,579 $(3,442,703) $5,676,479
----------- ----------- ----------- ----------
----------- ----------- ----------- ----------
General interests $ (54,189) $ 32,991 $ (34,784) $ 57,337
----------- ----------- ----------- ----------
----------- ----------- ----------- ----------
NET INCOME (LOSS) PER WEIGHTED AVERAGE
LIMITED AND GENERAL INTEREST
Net income (loss) per weighted average
limited and general interest $ (24.53) $ 11.53 $ (16.69) $ 20.56
----------- ----------- ----------- ----------
----------- ----------- ----------- ----------
Weighted average number of limited and
general interests outstanding 220,854 286,132 208,345 278,907
----------- ----------- ----------- ----------
----------- ----------- ----------- ----------
-------------------------------------------------------------------------------------------------------
</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, 1999 233,362.868 $40,158,237 $405,705 $40,563,942
Net loss -- (5,363,480) (54,189 ) (5,417,669)
Redemptions (46,971.145) (7,333,680) (74,118 ) (7,407,798)
------------ ----------- --------- -----------
Trust capital--June 30, 2000 186,391.723 $27,461,077 $277,398 $27,738,475
------------ ----------- --------- -----------
------------ ----------- --------- -----------
-----------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements.
</TABLE>
3
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DIVERSIFIED FUTURES TRUST I
(a Delaware Business Trust)
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2000
(Unaudited)
A. General
These financial statements have been prepared without audit. In the opinion
of Prudential Securities Futures Management Inc. (the 'Managing Owner'), 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, 2000 and the results of
its operations for the six and three months ended June 30, 2000 and 1999.
However, the operating results for the interim periods may not be indicative of
the results expected for the full year.
Certain information and footnote disclosures normally included in annual
financial statements prepared in accordance with generally accepted accounting
principles have been omitted. It is suggested that these financial statements be
read in conjunction with the financial statements and notes thereto included in
the Trust's annual report on Form 10-K filed with the Securities and Exchange
Commission for the year ended December 31, 1999 (the 'Annual Report').
B. Related Parties
The Managing Owner of the Trust is a wholly owned subsidiary of Prudential
Securities Incorporated ('PSI'), which, in turn, is a wholly owned subsidiary of
Prudential Securities Group 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. Except for costs related to brokerage services, PSI or its affiliates
pay the costs of these services as well as the Trust's routine operational,
administrative, legal and auditing costs. As described in the Annual Report, all
commissions for brokerage services are paid to PSI.
The costs charged to the Trust for brokerage services for the six months
ended June 30, 2000 and 1999 were $1,437,787 and $2,196,069, respectively, and
for the three months ended June 30, 2000 and 1999 were $654,302 and $1,075,506,
respectively.
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 June 30, 2000, a non-U.S. affiliate of the Managing Owner owns 923.439
limited interests of the Trust.
C. Derivative Instruments and Associated Risks
The Trust is exposed to various types of risks associated with the derivative
instruments and related markets in which it invests. These risks include, but
are not limited to, risk of loss from fluctuations in the value of derivative
instruments held (market risk) and the inability of counterparties to perform
under the terms of the Trust's investment activities (credit risk).
Market Risk
Trading in futures and forward (including foreign exchange transactions)
contracts involves entering into contractual commitments to purchase or sell a
particular commodity at a specified date and price. The gross or face amount of
the contracts, which is typically many times that of the Trust's net assets
being
4
<PAGE>
traded, significantly exceeds the Trust's future cash requirements since the
Trust intends to close out its open positions prior to settlement. As a result,
the Trust 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 derivative instruments to be the net unrealized gain or loss on the
contracts. The market risk associated with the Trust's commitments to purchase
commodities is limited to the gross or face amount of the contracts held.
However, when the Trust enters into a contractual commitment to sell
commodities, it must make delivery of the underlying commodity at the contract
price and then repurchase the contract at prevailing market prices. Since the
repurchase price to which a commodity can rise is unlimited, entering into
commitments to sell commodities exposes the Trust to unlimited risk.
Market risk is influenced by a wide variety of factors including government
programs and policies, political and economic events, the level and volatility
of interest rates, foreign currency exchange rates, the diversification effects
among the derivative instruments the Trust holds and the liquidity and inherent
volatility of the markets in which the Trust trades.
Credit Risk
When entering into futures or forward contracts, the Trust is exposed to
credit risk that the counterparty to the contract will not meet its obligations.
The counterparty for futures contracts traded in the United States and on most
foreign futures exchanges is the clearinghouse associated with such exchanges.
In general, clearinghouses are backed by the corporate members of the
clearinghouse who are required to share any financial burden resulting from the
non-performance by one of its members and, as such, should significantly reduce
this credit risk. In cases where the clearinghouse is not backed by the clearing
members (i.e., some foreign exchanges), it is normally backed by a consortium of
banks or other financial institutions. On the other hand, the sole counterparty
to the Trust's forward transactions is PSI, the Trust's commodity broker. The
Trust has entered into a master netting agreement with PSI and, as a result,
presents unrealized gains and losses on open forward positions as a net amount
in the statements of financial condition. The amount at risk associated with
counterparty non-performance of all of the Trust's contracts is the net
unrealized gain included in the statements of financial condition. There can be
no assurance that any counterparty, clearing member or clearinghouse will meet
its obligations to the Trust.
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, pursuant
to the Advisory Agreement among the Trust, the Managing Owner and the trading
manager, the Trust shall automatically terminate the trading manager if the net
asset value allocated to the trading manager declines by 33 1/3% from the value
at the beginning of any year or since the commencement of trading activities.
Furthermore, the Amended and Restated Declaration of Trust and 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% from the value
at the beginning of any year or since the commencement of trading activities. In
each case, the decline in 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 June 30, 2000, such segregated assets totalled $24,098,354. Part 30.7
of the CFTC regulations also requires PSI to secure assets of the Trust related
to foreign futures trading which totalled $7,227,235 at June 30, 2000. There are
no segregation requirements for assets related to forward trading.
As of June 30, 2000, the Trust's open futures and forward contracts mature
within one year.
5
<PAGE>
At June 30, 2000 and December 31, 1999, the fair value of open futures and
forward contracts was:
<TABLE>
<CAPTION>
2000 1999
------------------------------------- -------------------------------------
Assets Liabilities Assets Liabilities
----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Interest rates $ 77,694 $ 3,313 $ 565,484 $ --
Currencies -- 267,313 664,038 212,790
Commodities 404,394 12,105 376,057 277,867
Foreign exchanges
Interest rates 185,841 122,961 254,975 151,117
Stock indices 283,635 61,080 112,677 --
Commodities 50,310 140,308 111,455 25,180
Forward Contracts:
Currencies 153 230,662 157,101 107,480
----------------- ----------------- ----------------- -----------------
$ 1,002,027 $ 837,742 $ 2,241,787 $ 774,434
----------------- ----------------- ----------------- -----------------
----------------- ----------------- ----------------- -----------------
</TABLE>
6
<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.
The Trust Agreement provides that an Interest holder may redeem its Interests
as of the last day of any full calendar quarter at the then current net asset
value per Interest. Redemptions of limited interests and general interests for
the six months ended June 30, 2000 were $7,333,680 and $74,118, respectively.
Redemptions of limited interests and general interests for the three months
ended June 30, 2000 were $3,234,310 and $32,740, respectively. Redemptions of
limited interests and general interests from the commencement of operations,
January 5, 1995, to June 30, 2000 totalled $61,161,111 and $487,908,
respectively. Future redemptions will impact the amount of funds available for
investment in commodity contracts in subsequent periods.
At June 30, 2000, 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 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 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.
Results of Operations
The net asset value per Interest as of June 30, 2000 was $148.82, a decrease
of 14.38% from the December 31, 1999 net asset value per Interest of $173.82,
and a decrease of 10.08% from the March 31, 2000 net asset value per Interest of
$165.51.
The Trust's gross trading gains/(losses) were ($4,315,000) and ($2,993,000)
during the six and three months ended June 30, 2000 compared to $5,581,000 and
$6,979,000 for the corresponding periods in the prior year. Due to the nature of
the Trust's trading activities, a period to period comparison of its trading
results is not meaningful. However, a detailed discussion of the Trust's current
quarter trading results is presented below.
7
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Quarterly Market Overview
U.S. economic growth remained rapid throughout April and May, evidenced by
economic indicators across the board. Consumer spending trended upward strongly
and housing demand was high. Industrial production and wages expanded briskly in
response to burgeoning domestic demand. Labor markets continued to be very tight
as employment surged. Signs of an economic slowdown appeared towards the end of
the quarter as markets reacted to higher than expected unemployment numbers at
the end of May. However, economic expansion remained robust in most world
markets throughout the quarter. The Japanese economy showed indications of
increased demand in the first five months of 2000. Economic activity in
developing countries also continued. Key South American economies recovered from
recent recessions, while several Asian emerging market countries settled into
growth at a more sustained rate.
During the quarter, financial markets were dominated by continued volatility
in the equity sector. U.S. equity markets, especially more speculative
technology stocks, experienced a sell-off in April as investors' confidence
declined. Stock indices rallied toward the end of June, but the S&P, Dow, and
NASDAQ all ended the first half of the year down.
Global bond markets mirrored the volatility of the equity markets. Early in
the quarter, both U.S. and European prices on interest rate instruments fell due
to a rate hike by the European Central Bank at the end of April and a strong
U.S. economy. Global bond prices plummeted again in May in anticipation of a
U.S. interest rate hike. The U.S. Federal Reserve raised rates by 50 basis
points to 6.5%. This forceful policy (more than the 25 basis point increases
implemented since mid 1999) was due to the persistent strength of overall demand
and growing pressure in a tight labor market. As the quarter continued and new
economic data was released, it became apparent that the U.S. economy was
decelerating and bond prices rallied slightly.
The value of the U.S. dollar appreciated considerably against most major
currencies at the beginning of the quarter, reflecting, in part, the larger
increases in U.S. long-term yields relative to rates in most foreign countries.
The dollar's rise against the euro was sizable, but it also made moderate gains
against the British pound, Japanese yen, and Canadian dollar. In June, as the
U.S. economy showed signs of slowing down, the U.S. dollar weakened against most
major currencies. The euro reached all time lows in May before rallying in June
as a result of solid European economic data and sentiment that the currency was
undervalued. In May, the Japanese yen rose against the U.S. dollar supported by
expectations of a possible change in the Bank of Japan's zero-interest rate
policy. As the Japanese economy failed to sustain its recovery momentum, the yen
lost some ground. The Canadian dollar rallied towards the end of the quarter due
to steady Canadian economic data combined with signs of softening in the U.S.
economy.
Increased demand caused oil prices to surge at the beginning of the quarter.
In June, OPEC countries agreed to increase oil production as higher gas prices
put inflationary pressure on global economies and oil prices reversed downward.
In the metals markets, the trend of falling prices in April and May reversed
itself later in the quarter as gold soared driven, in part, by weakening in the
U.S. dollar and U.S. economy.
Quarterly Trust Performance
The following is a summary of performance for the major sectors in which the
Trust traded:
Financial (-): Short U.S. bond positions lost value as bond prices rallied
following a higher than expected unemployment number in May and lack of action
by the U. S. Federal Reserve at its meeting in June. Losses in long five and ten
year euro bond positions were due to actions taken by the European Central Bank
to raise short-term rates in April and June.
Currency (-): Shifting expectations regarding the timing of tightening
monetary policy by the Bank of Japan reversed the direction of the yen downward,
resulting in losses for long yen positions. The Swiss franc fell to new
eleven-year lows against the U.S. dollar, resulting in losses for Swiss franc
positions. The Swiss franc continues to be plagued by the euro's poor price
action as the market remains disappointed over the lack of central bank support
for the euro.
Metal (-): Short gold and copper positions incurred losses as metal prices
rose driven by a weakening U.S. economy.
Energy (+): Long heating oil and gas positions resulted in gains for the
Trust as energy prices soared due to increased demand.
8
<PAGE>
Index (+): The second quarter brought a reversal to some trends in global
equity markets. A strong U.S. economy started showing signs of slowdown and U.S.
equity markets experienced an April sell-off. Overall, continued volatility in
world markets resulted in gains in Nikkei Dow and London FTSE positions.
Grain (+): Short corn positions recognized gains. In early May, favorable
growing conditions faced the corn market with a potentially large crop which
forced prices downward.
Interest income is earned on the average net assets held at PSI and,
therefore, varies monthly according to interest rates, trading performance, and
redemptions. Interest income decreased approximately $255,000 and $162,000 for
the six and three months ended June 30, 2000 compared to the corresponding
periods in 1999. These decreases were primarily due to lower net assets in the
Trust as a result of weak trading performance during the second half of 1999 and
2000 and redemptions offset, in part, by higher interest rates during the
current year.
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 for the six and three months ended June 30, 2000
decreased approximately $758,000 and $421,000 compared to the corresponding
periods in 1999. These decreases were primarily due to lower monthly net asset
values as a result of weak trading performance during the second half of 1999
and 2000 and redemptions.
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 six and three months ended
June 30, 2000 decreased approximately $423,000 and $250,000 compared to the
corresponding periods in 1999 for the same reasons commissions decreased as
discussed above.
Incentive fees are based on the New High Net Trading Profits generated by the
Trading Manager, as defined in the Advisory Agreement among the Trust, the
Managing Owner and the Trading Manager. No incentive fees were generated during
the six months ended June 30, 2000. Incentive fees of $252,000 were generated
during the six months ended June 30, 1999 due to strong trading performance
during the second quarter of 1999.
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.
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--Effective July 2000, Joseph A. Filicetti resigned as
President and a Director of the Managing Owner.
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
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, 2000
----------------------------------------
Steven Carlino
Vice President and Treasurer
11
