<Page>

                                 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 quarterly period ended September 30, 2002

                                       OR

/ / TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
    ACT OF 1934

For the transition period from _______________________ to ______________________

Commission file number: 0-26004

                          DIVERSIFIED FUTURES TRUST I
--------------------------------------------------------------------------------
             (Exact name of Registrant as specified in its charter)

Delaware                                              13-3780260
--------------------------------------------------------------------------------
(State or other jurisdiction                          (I.R.S. Employer
of incorporation or organization)                     Identification No.)


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

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

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

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

   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_

<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,
                                                                          2002              2001
----------------------------------------------------------------------------------------------------
<S>                                                                   <C>               <C>
ASSETS
Cash                                                                   $27,516,812      $23,096,296
Net unrealized gain (loss) on open futures contracts                     2,357,444          (80,717 )
Net unrealized gain on open forward contracts                                   --        1,281,566
                                                                      -------------     ------------
Net equity                                                              29,874,256       24,297,145
Other receivables                                                            4,236            4,852
                                                                      -------------     ------------
Total assets                                                           $29,878,492      $24,301,997
                                                                      -------------     ------------
                                                                      -------------     ------------
LIABILITIES AND TRUST CAPITAL
Liabilities
Redemptions payable                                                    $ 1,057,659      $   591,415
Net unrealized loss on open forward contracts                              181,537               --
Incentive fees payable                                                   1,005,203               --
Management fees payable                                                     49,495           40,503
                                                                      -------------     ------------
Total liabilities                                                        2,293,894          631,918
                                                                      -------------     ------------
Commitments

Trust capital
Limited interests (108,346.392 and 128,587.499 interests
  outstanding)                                                          27,308,604       23,433,353
General interests (1,095 and 1,299 interests outstanding)                  275,994          236,726
                                                                      -------------     ------------
Total trust capital                                                     27,584,598       23,670,079
                                                                      -------------     ------------
Total liabilities and trust capital                                    $29,878,492      $24,301,997
                                                                      -------------     ------------
                                                                      -------------     ------------

Net asset value per limited and general interest ('Interests')         $    252.05      $    182.24
                                                                      -------------     ------------
                                                                      -------------     ------------
----------------------------------------------------------------------------------------------------
                  The accompanying notes are an integral part of these statements.
</Table>

                                       2

<Page>

                          DIVERSIFIED FUTURES TRUST I
                          (a Delaware Business Trust)

                       CONDENSED SCHEDULES OF INVESTMENTS
<Table>
<Caption>
                                                September 30, 2002                  December 31, 2001
                                         --------------------------------    --------------------------------
                                         Net Unrealized                      Net Unrealized
                                          Gain (Loss)                         Gain (Loss)
                                           as a % of       Net Unrealized      as a % of       Net Unrealized
Futures and Forward Contracts            Trust Capital      Gain (Loss)      Trust Capital      Gain (Loss)
-------------------------------------------------------------------------------------------------------------
<S>                                      <C>               <C>               <C>               <C>
Futures contracts purchased:
  Interest rates                                             $1,773,493                          $   20,022
  Stock Indices                                                      --                             (18,901)
  Commodities                                                    (2,775)                           (194,643)
                                                           --------------                      --------------
     Net unrealized gain (loss) on
     futures contracts purchased               6.42%          1,770,718           (0.82)%          (193,522)
                                                           --------------                      --------------
Futures contracts sold:
  Interest rates                                                     --                             241,725
  Stock indices                                                 411,926                                  --
  Commodities                                                   174,800                            (128,920)
                                                           --------------                      --------------
     Net unrealized gain on futures
     contracts sold                            2.13%            586,726            0.48%            112,805
                                            -------        --------------        ------        --------------
Net unrealized gain (loss) on futures
  contracts                                    8.55%         $2,357,444           (0.34)%        $  (80,717)
                                            -------        --------------        ------        --------------
                                            -------        --------------        ------        --------------
Forward currency contracts purchased:
     Net unrealized gain on forward
     contracts purchased                        .49%         $  134,766            0.01%         $    2,425
                                            -------        --------------        ------        --------------
Forward currency contracts sold:
  Japanese yen/U.S. dollar--crossrates          .14%             39,022            6.01%          1,423,296
  Other                                       (1.29)%          (355,325)          (0.61)%          (144,155)
                                            -------        --------------        ------        --------------
     Net unrealized gain (loss) on
     forward contracts sold                   (1.15)%          (316,303)           5.40%          1,279,141
                                            -------        --------------        ------        --------------
Net unrealized gain (loss) on forward
  contracts                                    (.66)%        $ (181,537)           5.41%         $1,281,566
                                            -------        --------------        ------        --------------
                                            -------        --------------        ------        --------------
Settlement Currency--Futures Contracts
  British pound                                1.08%         $  297,972            0.10%         $   24,354
  Euro                                         3.47%            956,681            1.23%            291,620
  Japanese yen                                 (.08)%           (22,093)          (0.36)%           (84,540)
  Canadian dollar                               .04%             10,479            0.11%             26,431
  Australian dollar                             .34%             93,165            0.16%             36,474
  U.S. dollar                                  3.70%          1,021,240           (1.58)%          (375,056)
                                            -------        --------------        ------        --------------
     Total                                     8.55%         $2,357,444           (0.34)%        $  (80,717)
                                            -------        --------------        ------        --------------
                                            -------        --------------        ------        --------------
Settlement Currency--Forward Contracts
     U.S. dollar                               (.66)%        $ (181,537)           5.41%         $1,281,566
                                            -------        --------------        ------        --------------
                                            -------        --------------        ------        --------------
-------------------------------------------------------------------------------------------------------------
                      The accompanying notes are an integral part of these statements.
</Table>

                                       3

<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,
                                             ---------------------------    --------------------------
                                                2002            2001           2002            2001
------------------------------------------------------------------------------------------------------
<S>                                          <C>             <C>            <C>             <C>
REVENUES
Net realized gain on commodity
  transactions                               $ 9,465,912     $ 6,477,906    $ 7,281,465     $1,103,425
Change in net unrealized gain/loss on open
  commodity positions                            975,058      (4,365,129)    (1,614,135)       784,464
Interest income                                  368,462         947,547        138,602        244,716
                                             -----------     -----------    -----------     ----------
                                              10,809,432       3,060,324      5,805,932      2,132,605
                                             -----------     -----------    -----------     ----------
EXPENSES
Commissions                                    1,352,132       1,612,254        501,394        494,392
Management fees                                  366,418         418,479        139,920        130,316
Incentive fees                                 1,069,763              --      1,005,203             --
                                             -----------     -----------    -----------     ----------
                                               2,788,313       2,030,733      1,646,517        624,708
                                             -----------     -----------    -----------     ----------
Net income                                   $ 8,021,119     $ 1,029,591    $ 4,159,415     $1,507,897
                                             -----------     -----------    -----------     ----------
                                             -----------     -----------    -----------     ----------
ALLOCATION OF NET INCOME
Limited interests                            $ 7,940,855     $ 1,019,285    $ 4,117,798     $1,492,815
                                             -----------     -----------    -----------     ----------
                                             -----------     -----------    -----------     ----------
General interests                            $    80,264     $    10,306    $    41,617     $   15,082
                                             -----------     -----------    -----------     ----------
                                             -----------     -----------    -----------     ----------
NET INCOME PER WEIGHTED AVERAGE LIMITED
  AND GENERAL INTEREST
Net income per weighted average limited
  and general interest                       $     65.99     $      7.10    $     36.60     $    10.95
                                             -----------     -----------    -----------     ----------
                                             -----------     -----------    -----------     ----------
Weighted average number of limited and
  general interests outstanding                  121,553         144,974        113,638        137,669
                                             -----------     -----------    -----------     ----------
                                             -----------     -----------    -----------     ----------

------------------------------------------------------------------------------------------------------
</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, 2001            129,886.499     $23,433,353     $236,726      $23,670,079
Net income                                           --       7,940,855       80,264        8,021,119
Redemptions                                 (20,445.107)     (4,065,604)     (40,996 )     (4,106,600)
                                           ------------     -----------     ---------     -----------
Trust capital--September 30, 2002           109,441.392     $27,308,604     $275,994      $27,584,598
                                           ------------     -----------     ---------     -----------
                                           ------------     -----------     ---------     -----------

-----------------------------------------------------------------------------------------------------
                  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
                               SEPTEMBER 30, 2002
                                  (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 state fairly the financial position of
Diversified Futures Trust I (the 'Trust') as of September 30, 2002 and December
31, 2001 and the results of its operations for the nine and three months ended
September 30, 2002 and 2001. 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 Trust's Annual Report on Form 10-K filed with
the Securities and Exchange Commission for the year ended December 31, 2001.

B. Related Parties

   The Managing Owner of the Trust is a wholly owned subsidiary of Prudential
Securities Incorporated ('PSI'), which, in turn, is an indirect wholly owned
subsidiary of Prudential Financial, 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.

   The costs charged to the Trust for brokerage services for the nine months
ended September 30, 2002 and 2001 were $1,352,132 and $1,612,254, respectively,
and for the three months ended September 30, 2002 and 2001 were $501,394 and
$494,392, 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 position of the Trust.

   As of September 30, 2002, a non-U.S. affiliate of the Managing Owner owned
222.005 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 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 Trust's net assets being
traded, significantly exceeds the Trust's future cash requirements since the
Trust intends to close out its open positions

                                       5

<Page>

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 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 non-performance 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, 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 on all of the Trust's contracts is the net unrealized gain
included in the statements of financial condition; however, counterparty
nonperformance on only certain of the Trust's contracts may result in greater
loss than nonperformance on all of the Trust's contracts. 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; 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 contributions, distributions and redemptions. The
Managing Owner 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 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 permitted to commingle such assets with
other assets of PSI. At September 30, 2002, such segregated assets totalled
$11,577,870. Part 30.7 of the CFTC regulations also requires PSI to secure
assets of the Trust related to foreign futures trading, which totalled
$18,296,386 at September 30, 2002. There are no segregation requirements for
assets related to forward trading.

   As of September 30, 2002, the Trust's open futures and forward contracts
mature within one year.

                                       6

<Page>

D. Financial Highlights

<Table>
<Caption>
                                                          Nine Months Ended      Three Months Ended
                                                            September 30,           September 30,
                                                         -------------------     -------------------
                                                          2002        2001        2002        2001
<S>                                                      <C>         <C>         <C>         <C>
Performance per Interest
  Net asset value, beginning of period                   $182.24     $190.97     $215.45     $186.40
                                                         -------     -------     -------     -------
  Net realized gain and change in net unrealized
     gain/loss on commodity transactions                   90.36       13.90       49.87       13.71
  Interest income                                           3.05        6.49        1.22        1.78
  Expenses                                                (23.60)     (14.00)     (14.49)      (4.53)
                                                         -------     -------     -------     -------
  Net increase (decrease) for the period                   69.81        6.39       36.60       10.96
                                                         -------     -------     -------     -------
  Net asset value, end of period                         $252.05     $197.36     $252.05     $197.36
                                                         -------     -------     -------     -------
                                                         -------     -------     -------     -------
Total return                                               38.31%       3.35%      16.99%       5.88%
Ratio to average net assets (annualized)
  Interest income                                           2.09%       4.56%       2.08%       3.76%
  Expenses, including 6.08% and 15.10% of incentive
     fees for the nine and three months ended
     September 30, 2002, respectively                      15.84%       9.77%      24.73%       9.59%
</Table>

   These financial highlights represent the overall results of the Trust during
the nine and three month periods ended September 30, 2002 and 2001,
respectively. An individual interest holder's actual results may differ
depending on the timing of redemptions.

                                       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.

   The Trust Agreement provides that an Interest holder may redeem its Interests
as of the last day of any calendar quarter at the then current NAV per Interest.
Redemptions of limited interests and general interests for the nine months ended
September 30, 2002 were $4,065,604 and $40,996, respectively; and for the three
months ended September 30, 2002 were $1,047,073 and $10,586 respectively.
Redemptions of limited interests and general interests from the commencement of
operations, January 5, 1995, to September 30, 2002 totalled $75,079,008 and
$628,428, respectively. Future redemptions will impact the amount of funds
available for investment in commodity contracts in subsequent periods.

   At September 30, 2002, 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 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 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 September 30, 2002 was $252.05, an
increase of 38.31% from the December 31, 2001 net asset value per Interest of
$182.24, and an increase of 16.99% from the June 30, 2002 net asset value per
interest of $215.45. Past performance is not necessarily indicative of future
results.

   The Trust's trading gains before commissions were $10,441,000 and $5,667,000
during the nine and three months ended September 30, 2002 compared to $2,113,000
and $1,888,000 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.

                                       8

<Page>

Quarterly Market Overview

   Throughout the third quarter of 2002, household wealth continued to decrease
as the result of pervasive declines in global equity markets and uncertainty
regarding worldwide economies. As a result, U.S. consumer spending, which helped
boost U.S. economic growth in the past, was adversely impacted. Additionally,
the higher cost of equity capital, heightened degree of risk aversion and
uncertainty regarding debt and equity markets further inhibited consumer and
business investment worldwide. In the U.S., decreasing wealth stemming from
losses on equities were offset, in part, by continuing increases in home equity
values. Low mortgage interest rates remained a key factor in sustaining the
housing market at a relatively elevated level. Fears of slowing global economies
resulted in major declines in long-term interest rates and bond markets surged.
Foreign economies followed the lead of the U.S. with persistent weakness evident
in European, Asian and Latin American economies, particularly in Japan and
Brazil.

   In the interest rate sector, negative economic news throughout the quarter
coupled with significant downturns in world equity markets and disappointing
corporate profits caused a flight to quality into bond markets around the world.
The U.S. Federal Reserve Bank left interest rates unchanged at 1.75% in its two
meetings this quarter, switching its economic outlook for the near future from
'uncertain' to a bias toward 'economic weakness'. The European Central Bank left
short-term interest rates unchanged as well. The Japanese bond market was
particularly strong as the Japanese economy continued to struggle with recession
and investors fled to bonds for safety.

   The S&P 500 fell 17.63%, the Dow Jones Industrial Average decreased 17.87%
and the London FTSE dropped 20.07% for the quarter as investor confidence
collapsed in response to continued concerns about accounting transparency,
government investigations, heightened tension in the Middle East, and decreased
corporate sales and profits. In Japan, the Nikkei Index hit new lows as the
economy continued to struggle with structural problems and the Japanese
government prepared new fiscal policy initiatives.

   In foreign exchange markets, the U.S. dollar began the quarter down against
many foreign currencies, but reversed its trend towards quarter-end. The euro
surpassed parity with the U.S. dollar early in the quarter as investors' desire
for U.S. assets decreased, but ended the quarter lower. The British pound rose
against the U.S. dollar early in the quarter amid perceived strength in the
British economy, while the Japanese yen weakened as worries regarding the
Japanese economy persisted.

   Energy markets continued their upward climb as fears of impending war with
Iraq pushed crude oil prices up significantly. Crude oil rose from the low $20's
per barrel earlier in the year to approximately $30 a barrel at quarter-end.

   Gold and other precious metals soared throughout most of the quarter in
response to weaknesses in the U.S. dollar and global equity markets and
instability in the Middle East. In commodities markets, drought in the
Mid-Western United States drove price increases in corn, wheat and soybean
markets. Cocoa prices soared as supply deficits and violence in the Ivory Coast
pushed the markets to sixteen-year highs.

Quarterly Trust Performance

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

   Interest rates (+): Interest rate instruments rose throughout the quarter in
response to weak economies and poor equity market performance worldwide. Long
positions in U.S., European, British and Japanese bonds resulted in gains.

   Indices (+): Short positions in the Nikkei Dow, London FTSE, NASDAQ and Euro
DAX resulted in gains as weak economic data and disappointing earning reports
pressed global equity markets downward throughout the quarter.

   Energies (+): Energy prices rallied amid speculation of imminent war with
Iraq, low crude oil stock in the U.S. and seasonal demand pressure. Long crude
oil, heating oil and natural gas positions resulted in gains.

   Grains (+): Drought conditions in the Mid-Western United States drove corn,
wheat and soybean prices higher resulting in gains for long positions.

   Currencies (-): The U.S. dollar reversed its downward trend against many
foreign currencies toward quarter-end resulting in losses for long Swiss
franc/U.S. dollar, Japanese yen/U.S. dollar, British pound/U.S. dollar and
euro/U.S. dollar cross-rate positions.

                                       9

<Page>

   Metals (-): Short gold and silver positions incurred losses as precious metal
prices rose in response to uncertainty in the Middle East and the weak global
economy.

   Softs (-): Coffee prices rose as frosts threatened the Brazilian crop
resulting in losses for short positions.

   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 $579,000 and $106,000 for the nine and
three months ended September 30, 2002 compared to the corresponding periods in
2001. These decreases were due to lower interest rates during the first nine
months of 2002 versus 2001. Additionally net assets were lower as a result of
redemptions and weak trading performance during 2001 through the first quarter
of 2002 offset, in part by strong trading performance during the second and
third quarters of 2002.

   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 nine and three months ended September 30, 2002
decreased $260,000 and increased $7,000, respectively, compared to the
corresponding periods in 2001. The decrease for the nine months ended 2002
versus 2001 was due to lower monthly net asset values as a result of
redemptions, and weak trading performance during 2001 through the first quarter
of 2002. The increase for the three months ended September 30, 2002 versus 2001
was due to strong trading performance during the second and third quarters of
2002.

   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, 2002 decreased approximately $52,000 and increased $10,000,
respectively, compared to the corresponding periods in 2001 for the same reasons
commissions decreased and increased as previously 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. Incentive fees of approximately
$1,070,000 and $1,005,000 were incurred during the nine and three months ended
September 30, 2002, as a result of strong trading performance during the second
and third quarters of 2002. No incentive fees were incurred for the nine and
three months ended September 30, 2001.

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, additional information regarding quantitative and qualitative
disclosures about market risk is not required.

ITEM 4. CONTROLS AND PROCEDURES

   Within the 90 days prior to the date of this report, the Managing Owner
carried out an evaluation, under the supervision and with the participation of
the officers of the Managing Owner, including the Managing Owner's Chief
Executive Officer and Chief Financial Officer, of the effectiveness of the
design and operation of the Trust's disclosure controls and procedures. Based
upon that evaluation, the Managing Owner's Chief Executive Officer and Chief
Financial Officer concluded that the Trust's disclosure controls and procedures
are effective. There were no significant changes in the Trust's internal
controls or in other factors that could significantly affect these controls
subsequent to the date of their evaluation.

                                       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)

         99.1-- Certificate pursuant to 18 U.S.C. Section 1350 as adopted
                pursuant to Section 906 of the SARBANES-OXLEY Act of 2002
                (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 Weinreb                       Date: November 14, 2002
     ----------------------------------------
     Steven Weinreb
     Chief Financial Officer


                                 CERTIFICATIONS

I, Eleanor L. Thomas, certify that:

   1.  I have reviewed this quarterly report on Form 10-Q of Diversified Futures
       Trust I (the 'Trust');

   2.  Based on my knowledge, this quarterly report does not contain any untrue
       statement of a material fact or omit to state a material fact necessary
       to make the statements made, in light of the circumstances under which
       such statements were made, not misleading with respect to the period
       covered by this quarterly report;

   3.  Based on my knowledge, the financial statements, and other financial
       information included in this quarterly report, fairly present in all
       material respects the financial condition, results of operations and cash
       flows of the Trust as of, and for, the periods presented in this
       quarterly report;

   4.  The Trust's other certifying officers and I are responsible for
       establishing and maintaining disclosure controls and procedures (as
       defined in Exchange Act Rules 13a-14 and 15d-14) for the Trust and we
       have:

        a)  designed such disclosure controls and procedures to ensure
            that material information relating to the Trust, including
            its consolidated subsidiaries, is made known to us by others
            within those entities, particularly during the period in
            which this quarterly report is being prepared;

        b)  evaluated the effectiveness of the Trust's disclosure
            controls and procedures as of a date within 90 days prior to
            the filing date of this quarterly report (the 'Evaluation
            Date'); and

        c)  presented in this quarterly report our conclusions about the
            effectiveness of the disclosure controls and procedures based
            on our evaluation as of the Evaluation Date;

   5.  The Trust's other certifying officers and I have disclosed, based on our
       most recent evaluation, to the Trust's auditors and the board of
       directors of the managing owner of the Trust:

        a)  all significant deficiencies in the design or operation of
            internal controls which could adversely affect the Trust's
            ability to record, process, summarize and report financial
            data and have identified for the Trust's auditors any
            material weaknesses in internal controls; and

        b)  any fraud, whether or not material, that involves management
            or other employees who have a significant role in the Trust's
            internal controls; and

   6.  The Trust's other certifying officers and I have indicated in this
       quarterly report whether or not there were significant changes in
       internal controls or in other factors that could significantly affect
       internal controls subsequent to the date of our most recent evaluation,
       including any corrective actions with regard to significant deficiencies
       and material weaknesses.

Date:  November 14, 2002               /s/ Eleanor L. Thomas
                                       --------------------------------------
                                       Eleanor L. Thomas
                                       President (chief executive officer)
                                        of the managing owner of the Trust

                                       12

<Page>

I, Steven Weinreb, certify that:

   1.  I have reviewed this quarterly report on Form 10-Q of Diversified Futures
       Trust I (the 'Trust');

   2.  Based on my knowledge, this quarterly report does not contain any untrue
       statement of a material fact or omit to state a material fact necessary
       to make the statements made, in light of the circumstances under which
       such statements were made, not misleading with respect to the period
       covered by this quarterly report;

   3.  Based on my knowledge, the financial statements, and other financial
       information included in this quarterly report, fairly present in all
       material respects the financial condition, results of operations and cash
       flows of the Trust as of, and for, the periods presented in this
       quarterly report;

   4.  The Trust's other certifying officers and I are responsible for
       establishing and maintaining disclosure controls and procedures (as
       defined in Exchange Act Rules 13a-14 and 15d-14) for the Trust and we
       have:

        a)  designed such disclosure controls and procedures to ensure
            that material information relating to the Trust, including
            its consolidated subsidiaries, is made known to us by others
            within those entities, particularly during the period in
            which this quarterly report is being prepared;

        b)  evaluated the effectiveness of the Trust's disclosure
            controls and procedures as of a date within 90 days prior to
            the filing date of this quarterly report (the 'Evaluation
            Date'); and

        c)  presented in this quarterly report our conclusions about the
            effectiveness of the disclosure controls and procedures based
            on our evaluation as of the Evaluation Date;

   5.  The Trust's other certifying officers and I have disclosed, based on our
       most recent evaluation, to the Trust's auditors and the board of
       directors of the managing owner of the Trust:

        a)  all significant deficiencies in the design or operation of
            internal controls which could adversely affect the Trust's
            ability to record, process, summarize and report financial
            data and have identified for the Trust's auditors any
            material weaknesses in internal controls; and

        b)  any fraud, whether or not material, that involves management
            or other employees who have a significant role in the Trust's
            internal controls; and

   6.  The Trust's other certifying officers and I have indicated in this
       quarterly report whether or not there were significant changes in
       internal controls or in other factors that could significantly affect
       internal controls subsequent to the date of our most recent evaluation,
       including any corrective actions with regard to significant deficiencies
       and material weaknesses.

Date:  November 14, 2002               /s/ Steven Weinreb
                                       --------------------------------------
                                       Steven Weinreb
                                       Chief Financial Officer
                                        of the managing owner of the Trust

                                       13