PRUDENTIAL BACHE DIVERSIFIED FUTURES FUND L P - 10-Q Quarterly Report

Back to GetFilings.com

UNITED STATES
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 quarter ended September 30, 2003

/ / 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: 0-17592

PRUDENTIAL-BACHE DIVERSIFIED FUTURES FUND L.P.
- --------------------------------------------------------------------------------
(Exact name of Registrant as specified in its charter)

Delaware 13-3464456
- --------------------------------------------------------------------------------
(State or other jurisdiction of incorporation (I.R.S. Employer Identification
or organization) No.)

One New York Plaza, 13th Floor, New York, New York 10292
- --------------------------------------------------------------------------------
(Address of principal executive offices) (Zip Code)

Registrant's telephone number, including area code (212) 778-7866

N/A
- --------------------------------------------------------------------------------
Former name, former address and former fiscal year, if changed since last
report.

Indicate by check CK whether the Registrant (1) has filed all reports
required to be filed by Section 13 or 15(d) of the Securities Exchange Act of
1934 during the preceding 12 months (or for such shorter period that the
Registrant was required to file such reports), and (2) has been subject to such
filing requirements for the past 90 days. Yes _CK_ No __

Indicate by check CK whether the Registrant is an accelerated filer (as
defined in Rule 12b-2 of the Securities Exchange Act of 1934). Yes __ No _CK

Part I. FINANCIAL INFORMATION
ITEM 1. FINANCIAL STATEMENTS
PRUDENTIAL-BACHE DIVERSIFIED FUTURES FUND L.P.
(a limited partnership)
STATEMENTS OF FINANCIAL CONDITION
(Unaudited)

2

PRUDENTIAL-BACHE DIVERSIFIED FUTURES FUND L.P.
(a limited partnership)
CONDENSED SCHEDULES OF INVESTMENTS
(Unaudited)

3

PRUDENTIAL-BACHE DIVERSIFIED FUTURES FUND L.P.
(a limited partnership)
STATEMENTS OF OPERATIONS
(Unaudited)

STATEMENT OF CHANGES IN PARTNERS' CAPITAL
(Unaudited)

4

PRUDENTIAL-BACHE DIVERSIFIED FUTURES FUND L.P.
(a limited partnership)
NOTES TO FINANCIAL STATEMENTS
September 30, 2003
(Unaudited)

A. General

These financial statements have been prepared without audit. In the opinion
of Seaport Futures Management, Inc. (the 'General Partner'), the financial
statements contain all adjustments (consisting of only normal recurring
adjustments) necessary to state fairly the financial position of
Prudential-Bache Diversified Futures Fund L.P. (the 'Partnership') as of
September 30, 2003 and December 31, 2002 and the results of its operations for
the nine and three months ended September 30, 2003 and 2002. 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 accounting principles generally
accepted in the United States of America have been omitted. It is suggested that
these financial statements be read in conjunction with the financial statements
and notes thereto included in the Partnership's annual report on Form 10-K filed
with the Securities and Exchange Commission for the year ended December 31,
2002.

In February 2003, Prudential Financial, Inc. ('Prudential') and Wachovia
Corp. ('Wachovia') announced an agreement to combine their separate retail
securities brokerage and clearing businesses under a new holding company named
Wachovia/Prudential Financial Advisors, LLC ('WPFA'), to be owned 62% by
Wachovia and 38% by Prudential. The transaction closed July 1, 2003. As a
result, the retail brokerage operations of Prudential Securities Incorporated
('PSI') were contributed to Wachovia Securities, LLC ('Wachovia Securities').
Wachovia Securities is wholly-owned by WPFA and is a registered broker-dealer
and a member of the National Association of Securities Dealers, Inc. ('NASD')
and all major securities exchanges. Effective July 1, 2003, PSI changed its name
to Prudential Equity Group, Inc. ('PEG'). PEG remains an indirectly wholly-owned
subsidiary of Prudential and is a registered broker-dealer and a member of the
NASD and all major securities exchanges. PEG continues to conduct the equity
research, domestic and international equity sales and trading operations, and
commodity brokerage and derivative operations it previously conducted as PSI.
The General Partner also remains an indirectly wholly-owned subsidiary of
Prudential.

Certain balances from the prior period have been reclassified to conform with
the current financial statement presentation.

B. Related Parties

The General Partner and its affiliates perform services for the Partnership
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. A portion of the
general and administrative expenses of the Partnership for the nine and three
months ended September 30, 2003 and 2002 was borne by PEG, an affiliate of the
General Partner, and its affiliates.

Costs and expenses charged to the Partnership for these services for the nine
and three months ended September 30, 2003 and 2002 were:

Expenses payable to the General Partner and its affiliates (which are
included in accrued expenses payable) as of September 30, 2003 and December 31,
2002 were $1,916 and $2,713, respectively.

5

The Partnership's assets are maintained either in trading or cash accounts
with PEG, the Partnership's commodity broker and an affiliate of the General
Partner, for margin purposes.

The Partnership, acting through its trading manager, may execute
over-the-counter, spot, forward and/or option foreign exchange transactions with
PEG. PEG 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 PEG and the Partnership pursuant to a line of
credit. PEG may require that collateral be posted against the marked-to-market
positions of the Partnership.

C. Derivative Instruments and Associated Risks

The Partnership is exposed to various types of risk 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 Partnership's investment activities (credit
risk).

Market risk

Trading in futures and forward contracts (including foreign exchange)
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 Partnership's net assets
being traded, significantly exceeds the Partnership's future cash requirements
since the Partnership intends to close out its open positions prior to
settlement. As a result, the Partnership is generally subject only to the risk
of loss arising from the change in the value of the contracts. As such, the
Partnership 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 Partnership's commitments to purchase commodities is limited to the gross or
face amount of the contracts held. However, when the Partnership 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 or settle in cash. Since the repurchase price to which
a commodity can rise is unlimited, entering into commitments to sell commodities
exposes the Partnership 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 Partnership holds and the liquidity and
inherent volatility of the markets in which the Partnership trades.

Credit risk

When entering into futures or forward contracts, the Partnership is exposed
to credit risk that the counterparty to the contract will not meet its
obligations. The counterparty for futures contracts traded on United States and
most foreign futures exchanges is the clearinghouse associated with the
particular exchange. In general, clearinghouses are backed by their corporate
members who are required to share any financial burden resulting from the
nonperformance by one of their 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, there is concentration
risk on forward transactions entered into by the Partnership as PEG, the
Partnership's commodity broker, is the sole counterparty. The Partnership has
entered into a master netting agreement with PEG 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 nonperformance of all of the Partnership's contracts is the net
unrealized gain included in the statements of financial condition; however,
counterparty non-performance on only certain of the partnership contracts may
result in greater loss than non-performance on all of the Partnership contracts.
There can be no assurance that any counterparty, clearing member or
clearinghouse will meet its obligations to the Partnership.

The General Partner attempts to minimize both credit and market risks by
requiring the Partnership and its trading manager to abide by various trading
limitations and policies. The General Partner monitors compliance with these
trading limitations and policies which include, but are not limited to:
executing and clearing all trades with creditworthy counterparties; limiting the
amount of margin or premium required for

6

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 Partnership, the General Partner and the trading manager,
the General Partner has the right, among other rights, to terminate the trading
manager if the net asset value allocated to the trading manager declines by 50%
from the value at the beginning of any year or 40% since the commencement of
trading activities. Furthermore, the Partnership Agreement provides that the
Partnership will liquidate its positions, and eventually dissolve, if the
Partnership experiences a decline in the net asset value to less than 50% of the
value at commencement of trading activities. In each case, the decline in net
asset value is after giving effect for distributions and redemptions. The
General Partner may impose additional restrictions (through modifications of
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
Partnership.

PEG, when acting as the Partnership'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
Partnership all assets of the Partnership relating to domestic futures and
options trading and is not allowed to commingle such assets with other assets of
PEG. At September 30, 2003, such segregated assets totalled $6,403,174. Part
30.7 of the CFTC regulations also requires PEG to secure assets of the
Partnership related to foreign futures and options trading which totalled
$1,490,627 at September 30, 2003. There are no segregation requirements for
assets related to forward trading.

As of September 30, 2003, all of the Partnership's open futures and forward
contracts mature within one year.

D. Financial Highlights

These financial highlights represent the overall results of the Partnership
during the nine and three month periods ended September 30, 2003 and 2002,
respectively. An individual Partner's actual results may differ depending on the
timing of redemptions.

7

PRUDENTIAL-BACHE DIVERSIFIED FUTURES FUND L.P.
(a limited partnership)
ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL
CONDITION AND RESULTS OF OPERATIONS

Liquidity and Capital Resources

The Partnership commenced operations on October 19, 1988 with gross proceeds
of $30,107,800. After accounting for organizational and offering costs, the
Partnership's net proceeds were $29,387,470.

At September 30, 2003, 100% of the Partnership's total net assets was
allocated to commodities trading. A significant portion of the net asset value
was held in U.S. Treasury bills (which represented approximately 80% of the net
asset value prior to redemptions payable) and cash, which are used as margin for
the Partnership's trading in commodities. Inasmuch as the sole business of the
Partnership is to trade in commodities, the Partnership continues to own such
liquid assets to be used as margin.

The percentage that U.S. Treasury bills bears to the total net assets varies
each day, and from month to month, as the market values of commodity interests
change. The balance of the net assets is held in the Partnership's commodity
trading accounts. All interest earned on the Partnership's interest-bearing
funds is paid to the Partnership.

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 Partnership from promptly liquidating its commodity
futures positions.

Since the Partnership'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 Partnership'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 Partnership's speculative trading as well as the development of drastic
market occurrences could result in monthly losses considerably beyond the
Partnership's experience to date and could ultimately lead to a loss of all or
substantially all of investors' capital. The General Partner attempts to
minimize these risks by requiring the Partnership and its trading manager to
abide by various trading limitations and policies, which include limiting margin
amounts, trading only in liquid markets and permitting the use of stop loss
provisions. See Note C to the financial statements for a further discussion of
the credit and market risks associated with the Partnership's futures and
forward contracts.

Redemptions by limited partners were $438,979 and $21,645 for the nine and
three months ended September 30, 2003, respectively, and General Partner
redemptions for the nine and three months ended September 30, 2003, totalled
$4,602 and $481, respectively. Redemptions recorded from commencement of
operations (October 19, 1988) through September 30, 2003 totalled $51,743,153
and $1,127,241 for the limited partners and General Partner, respectively.
Limited partners may redeem units as of the last business day of any calendar
quarter at the then current net asset value per Unit. Future redemptions will
impact the amount of funds available for investment in commodity contracts in
subsequent periods.

The Partnership does not have, nor does it expect to have, any capital
assets.

Results of Operations

The net asset value per Unit as of September 30, 2003 was $480.99, an
increase of 6.81% from the December 31, 2002 net asset value per Unit of $450.33
and a decrease of 6.23% from the June 30, 2003 net asset value per Unit of
$512.96. Past performance is not necessarily indicative of future results.

The Partnership's trading gains (losses) before commissions were $1,275,000
and $(330,000) during the nine and three months ended September 30, 2003,
respectively, compared to gains of $3,796,000 and

8

$2,330,000 for the corresponding periods in the prior year. Due to the nature of
the Partnership's trading activities, a period to period comparison of its
trading results is not meaningful. However, a detailed discussion of the
Partnership's current quarter trading results is presented below.

Quarterly Market Overview

In the U.S., the third quarter of 2003 was marked by an economic growth rate
of 7.2 percent--the fastest rate since 1984--which was boosted by strong
consumer and business spending. Leading indicators rose throughout July and
August, but fell 0.2 percent in September, the first decline in four months.
Manufacturing and industrial production grew throughout the quarter, although at
a slower pace, as new orders and production gradually strengthened. Child tax
credit checks arrived in July and August in time for the crucial back-to-school
retail sales period boosting disposable income to its biggest gain in a year.
Consumer spending, which makes up two-thirds of the economy, rose throughout
most of the quarter as retail sales increased 1.4 percent in July--the largest
increase in four months--and 0.6 percent in August, but cooled in September.
Housing, automobile and durable goods markets aided by incentives and
low-interest rates continued at a high clip. However, consumer confidence was
mixed in July and declined in September to the lowest level since the war in
Iraq as a result of higher gas prices and continued job losses. Despite a
slowdown in layoffs, hiring has not picked up as companies continued to focus on
becoming more efficient. The U.S. economy lost 49,000 jobs in July and a record
93,000 jobs in August. The majority of job losses occurred in the manufacturing
sector, which experienced its 38th consecutive monthly drop in employment in
September. Non-farm payrolls, mostly in the private sector, rose for the first
time in eight months in September. Watching over the weak labor market, the U.S.
Federal Reserve maintained the target for the federal funds rate at one percent,
a 45-year low, at both its August and September meetings.

The global economy experienced mixed growth in the third quarter. Widening
deficits, rising unemployment, declining business and consumer confidence and
sluggish economic growth continued to dog the 12-nation euro zone. The European
Central Bank left rates untouched at the end of September. The outlook was
rosier in Japan as capital spending spurred a recovery from its third recession
in a decade. Unemployment reached its lowest level since mid-2001, and although
Japanese consumer spending remained flat, business investments have gradually
grown.

Indices: The three major U.S. market gauges (Dow Jones Industrial Average,
S&P 500 and NASDAQ) boasted a second quarter of gains after three years of
declines, even though they finished lower in September. Stronger corporate
earnings, growth in capital and consumer spending and a third consecutive month
of manufacturing growth boosted stock prices. Toward the end of September, the
Dow Jones Industrial Average, S&P 500 and NASDAQ declined based on weak economic
data and a rush by investors to lock in third quarter gains. Japanese stocks
experienced their biggest sell-off in two years as a result of the pullback in
U.S. equities and the U.S. dollar's 33-month low against the yen. Investors were
concerned about poor consumer confidence figures, weak third-quarter earnings
results, high stock valuations, sketchy corporate governance, persistent job
market weakness, escalating conflict in the Middle East, and a production cut by
OPEC. Nonetheless, the Japanese Nikkei reached a 15-month high in mid-September
with an overall gain of 12.5 percent. Most Asian markets reported robust returns
with European markets edging upwards throughout the quarter resulting in two
consecutive quarters of gains for global stock markets.

Interest Rates: Volatility marked the performance of U.S. Treasuries, as
prices fell 1.9 percent with yields rising to 3.9 percent in the third quarter.
The majority of damage occurred in July as U.S. Treasuries posted their worst
monthly return in more than two decades when investors shifted their allocations
from bonds to stocks on the basis of stronger economic data. Prices rebounded in
August, but dipped again in mid-September as a result of profit taking ahead of
economic data reports. U.S. Treasury prices jumped at the end of September on
the back of soft consumer confidence figures, depressed job market reports,
slower manufacturing activity reports, and a weaker dollar. As a result of
improved world growth, global bond yields began low at the beginning of the
quarter and rose in every major developed bond market with Japanese bonds
experiencing the greatest rise in yields.

Currencies: In the foreign exchange markets, the U.S. dollar remained weak
and fell at the end of September when the Group of 7 and the U.S. Treasury
Secretary John Snow called for more exchange rate flexibility and further
supported a weak dollar policy. The dollar declined to a 33-month low against
the Japanese yen reversing only after intervention by the Bank of Japan. News of
the intervention forced

9

European currencies lower. However, the Euro ended the quarter at its highest
level against the dollar since mid-June.

Energies: To hedge against inflation, investors began buying oil in August.
Unexpected growth in U.S. inventories drove oil prices lower, reaching
four-month lows. Oil prices spiked in September as OPEC announced an output
reduction of 3.5 percent ahead of peak winter demand to stem the decline in
prices. Prices stabilized slightly when investors realized supplies appeared to
be sufficient but ended the quarter at the highest level in three weeks.

Quarterly Partnership Performance

The following is a summary of performance for the major sectors in which the
Partnership traded:

Currencies (-): The U.S. dollar fell at the end of September against many
foreign currencies. Short British pound/U.S. dollar, Aussie dollar/U.S. dollar
and euro/U.S. dollar cross-rate positions resulted in net losses for the
Partnership.

Softs (-): High volatility in the softs markets led to net losses in long
cotton, sugar and coffee positions.

Interest Rates (-): As a result of improved world growth, global bond prices
declined in every major developed bond market. Long European and British bond
positions resulted in net losses.

Energies (-): OPEC's announcement to cut production caused a significant
rally in energy prices. Short light crude, crude oil and heating oil positions
led to net losses.

Grains (-): Short corn and soybean oil positions resulted in net losses as
drought conditions drove prices upward.

Indices (+): Long Japanese Nikkei Dow, NASDAQ and German DAX index positions
resulted in net gains as U.S. and major global stock markets rose for the second
consecutive quarter.

Metals (+): Speculation that manufacturers will boost metal purchases
increased base metal prices and led to net gains in long nickel and copper
positions.

Interest income is earned on the Partnership's investment in U.S. Treasury
bills and varies monthly according to interest rates, as well as the effect of
trading performance and redemptions on the level of interest-bearing funds.
Interest income from U.S. Treasury bills decreased by $17,000 and $7,000 for the
nine and three months ended September 30, 2003 as compared to the corresponding
period in 2002, respectively. These declines in interest income were principally
due to lower interest rates during the nine and three months ended September 30,
2003 versus the corresponding periods in 2002. These declines were partially
offset by higher overall investment in U.S. Treasury bills primarily due to the
effect of favorable trading performance during 2002 and the first half of 2003
on the monthly net asset values, which in turn was offset, in part, by the
effect of redemptions on the monthly net asset values.

Commissions paid to PEG are calculated on the Partnership's net asset value
on the first day of each month and, therefore, vary monthly according to trading
performance and redemptions. Commissions increased by $109,000 and $10,000 for
the nine and three months ended September 30, 2003 as compared to the
corresponding periods in 2002, respectively. These increases were primarily due
to the effect of favorable trading performance (offset, in part, by redemptions)
during 2002 and the first half of 2003 on the monthly net asset values.

All trading decisions for the Partnership are made by John W. Henry &
Company, Inc. (the 'Trading Manager'). Management fees are calculated on the
Partnership's net asset value as of the end of each month and, therefore, are
affected by trading performance and redemptions. Management fees increased by
$24,000 for the nine months ended September 30, 2003 as compared to the
corresponding period in 2002 and decreased by $2,000 for the three months ended
September 30, 2003 as compared to the corresponding period in 2002. The increase
was primarily due to fluctuations in monthly net asset values as further
discussed above and the decrease was primarily due to the effect of unfavorable
trading performance during the three months ended September 30, 2003 on the
monthly net asset values.

Incentive fees are based on the 'New High Net Trading Profits' generated by
the Trading Manager, as defined in the advisory agreement among the Partnership,
the General Partner and the Trading Manager. Incentive fees incurred for the
nine months ended September 30, 2003 totalled $23,000. No incentive fees

10

were incurred during the three months ended September 30, 2003 and the nine
months ended September 30, 2002.

General and administrative expenses include audit, tax and legal fees as well
as printing and postage costs. General and administrative expenses for the nine
and three months ended September 30, 2003 were relatively comparable to the
corresponding periods in 2002.

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Information regarding quantitative and qualitative disclosures about market
risk is not required pursuant to Item 305(e) of Regulation S-K.

ITEM 4. CONTROLS AND PROCEDURES

As of the end of the period covered by this report, the General Partner
carried out an evaluation, under the supervision and with the participation of
the officers of the General Partner, including the General Partner's chief
executive officer and chief financial officer, of the effectiveness of the
design and operation of the Partnership's disclosure controls and procedures.
Based upon that evaluation, the General Partner's chief executive officer and
chief financial officer concluded that the Partnership's disclosure controls and
procedures are effective.

There have not been any changes in our internal controls over financial
reporting (as defined in Rules 13a-15(f) and 15d-15(f) under the Securities
Exchange Act of 1934, as amended) during the fiscal quarter to which this report
relates that have materially affected, or are reasonably likely to materially
affect, our internal controls over financial reporting.

11

PART II. OTHER INFORMATION

Item 1. Legal Proceedings--There are no material legal proceedings pending by or
against the Registrant or the General Partner.

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

4.1 Agreement of Limited Partnership of the Registrant, dated as of
May 25, 1988 as amended and restated as of July 12, 1988
(incorporated by reference to Exhibit 3.1 and 4.1 of
Registrant's Annual Report on Form 10-K for the period ended
December 31, 1988)

4.2 Subscription Agreement (incorporated by reference to
Exhibit 4.2 to the Registrant's Registration Statement on
Form S-1, File No. 33-22100)

4.3 Request for Redemption (incorporated by reference to
Exhibit 4.3 to the Registrant's Registration
Statement on Form S-1, File No. 33-22100)

31.1--Certification pursuant to Exchange Act Rules 13a-14
and 15d-14 (filed herewith)

31.2--Certification pursuant to Exchange Act Rules 13a-14
and 15d-14 (filed herewith)

32.1--Certification pursuant to 18 U.S.C. Section 1350 as adopted
pursuant to Section 906 of the SARBANES-OXLEY Act of 2002
(furnished herewith)

32.2--Certification pursuant to 18 U.S.C. Section 1350 as
adopted pursuant to Section 906 of the SARBANES-OXLEY Act
of 2002 (furnished herewith)

(b) Reports on Form 8-K--None

12

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.

PRUDENTIAL-BACHE DIVERSIFIED FUTURES FUND L.P.

By: Seaport Futures Management, Inc.
A Delaware corporation, General Partner

By: /s/ Ronald J. Ivans Date: November 14, 2003
----------------------------------------
Ronald J. Ivans
Chief Financial Officer

13