UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 10-Q
[X] Quarterly report pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
For the period ended March 31, 1996 or
[ ] Transition report pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
For the transition period from________________to_____________
Commission file number 33-36656
DEAN WITTER PRINCIPAL SECURED FUTURES FUND L.P.
(Exact name of registrant as specified in its charter)
Delaware 13-3589337
(State or other jurisdiction of (I.R.S. Employer
Incorporation or organization) Identification No.)
c/o Demeter Management Corp.
Two World Trade Center, New York, NY 62 Fl. 10048
(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code (212) 392-5454
(Former name, former address, and former fiscal year, if changed
since last report)
Indicate by check mark whether the registrant (1) has filed all
reports required to be filed by Section 13 or 15(d) of the
Securities Exchange Act of 1934 during the preceding 12 months (or
for such shorter period that the registrant was required to file
such reports), and (2) has been subject to such filing requirements
for the past 90 days.
Yes X No
<PAGE>
<TABLE>
DEAN WITTER PRINCIPAL SECURED FUTURES FUND L.P.
INDEX TO QUARTERLY REPORT ON FORM 10-Q
March 31, 1996
<CAPTION>
PART I. FINANCIAL INFORMATION
<S> <C>
Item 1. Financial Statements
Statements of Financial Condition March 31, 1996
(Unaudited) and December 31, 1995..........................2
Statements of Operations for the Quarters Ended
March 31, 1996 and 1995 (Unaudited)........................3
Statements of Changes in Partners' Capital for the
Quarters ended March 31, 1996 and 1995 (Unaudited)..........4
Statements of Cash Flows for the Quarters Ended
March 31, 1996 and 1995 (Unaudited).........................5
Notes to Financial Statements (Unaudited)...............6-10
Item 2. Management's Discussion and Analysis
of Financial Condition and Results of
Operations............................................11-14
PART II. OTHER INFORMATION
Item 6. Exhibits and Reports on Form 8-K.......................15
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER PRINCIPAL SECURED FUTURES FUND L.P.
STATEMENTS OF FINANCIAL CONDITION
<CAPTION>
March 31, December 31,
1996 1995
$ $
(Unaudited)
ASSETS
<S> <C> <C>
Equity in Commodity futures trading accounts:
Cash 77,016,012 78,404,128
Net unrealized gain on open contracts 3,460,054 3,621,113
Total Trading Equity 80,476,066 82,025,241
Interest receivable (DWR) 240,422 252,974
Receivable from DWR 334 -
Total Assets 80,716,822 82,278,215
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable 966,248 738,931
Accrued management fee 268,027 272,903
Accrued administrative expenses 211,545 279,755
Incentive fees payable 145,473 320,038
Accrued brokerage commissions (DWR) 86,445 99,604
Banks fees payable 10,051 21,336
Accrued transaction fees and costs 5,947 6,603
Total Liabilities 1,693,736 1,739,170
Partners' Capital
Limited Partners (45,070.180 and
46,435.540 Units, respectively) 77,381,714 78,914,381
General Partner (956 Units) 1,641,372 1,624,664
Total Partners' Capital 79,023,086 80,539,045
Total Liabilities and Partners' Capital 80,716,822 82,278,215
NET ASSET VALUE PER UNIT 1,716.92 1,699.44
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER PRINCIPAL SECURED FUTURES FUND L.P.
STATEMENTS OF OPERATIONS
(Unaudited)
<CAPTION>
For the Quarters Ended March 31,
1996 1995
$ $
<S> <C> <C>
REVENUES
Trading profit (loss):
Realized 2,068,706 6,512,924
Net change in unrealized (161,059) 9,305,574
Total Trading Results 1,907,647 15,818,498
Interest Income (DWR) 706,912 780,978
Total Revenues 2,614,559 16,599,476
EXPENSES
Management fees 816,003 806,699
Brokerage commissions (DWR) 710,287 1,014,473
Incentive fees 162,402 781,197
Transaction fees and costs 48,058 66,486
Administrative expenses 27,000 27,000
Bank fees 10,826 52,080
Total Expenses 1,774,576 2,747,935
NET INCOME 839,983 13,851,541
NET INCOME ALLOCATION
Limited Partners 823,275 13,609,154
General Partner 16,708 242,387
NET INCOME PER UNIT
Limited Partners 17.48 253.54
General Partner 17.48 253.54
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER PRINCIPAL SECURED FUTURES FUND L.P.
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
For the Quarters Ended March 31, 1996 and 1995
(Unaudited)
<CAPTION>
Units of
Partnership Limited General
Interest Partners Partner Total
<S> <C> <C> <C> <C>
Partners' Capital
December 31, 1994 56,372.344 $75,121,362 $1,295,936 $76,417,298
Net Income - 13,609,154 242,387 13,851,541
Redemptions (3,393.773) (5,019,692) - (5,019,692)
Partners' Capital
March 31, 1995 52,978.571 $83,710,824 $1,538,323 $85,249,147
Partners' Capital
December 31, 1995 47,391.540 $78,914,381 $1,624,664 $80,539,045
Net Income - 823,275 16,708 839,983
Redemptions (1,365.360) (2,355,942) - (2,355,942)
Partners' Capital
March 31, 1996 46,026.180 $77,381,714 $1,641,372 $79,023,086
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER PRINCIPAL SECURED FUTURES FUND L.P.
STATEMENTS OF CASH FLOWS
(Unaudited)
<CAPTION>
For the Quarters Ended March 31,
1996 1995
$ $
CASH FLOWS FROM OPERATING ACTIVITIES
<S> <C> <C>
Net income 839,983 13,851,541
Noncash item included in net income:
Net change in unrealized 161,059 (9,305,574)
(Increase) decrease in operating assets:
Interest receivable (DWR) 12,552 (3,293)
Receivable from DWR (334) -
Increase (decrease) in operating liabilities:
Accrued management fee (4,876) 32,899
Accrued administrative expenses (68,210) (12,737)
Incentive fee payable (174,565) 781,197
Accrued brokerage commissions (DWR) (13,159) 45,403
Bank fees payable (11,285) 52,080
Accrued transaction fees and costs (656) 3,375
Net cash provided by operating activities 740,509 5,444,891
CASH FLOWS FROM FINANCING ACTIVITIES
Increase in redemptions payable 227,317 1,004,854
Redemptions of units (2,355,942) (5,019,692)
Net cash used for financing activities (2,128,625) (4,014,838)
Net increase (decrease) in cash (1,388,116) 1,430,053
Balance at beginning of period 78,404,128 74,414,633
Balance at end of period 77,016,012 75,844,686
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
DEAN WITTER PRINCIPAL SECURED FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
The financial statements include, in the opinion of management, all
adjustments necessary for a fair presentation of the results of
operations and financial condition. The financial statements and
condensed notes herein should be read in conjunction with the
Partnership's December 31, 1995 Annual Report on Form 10-K.
1. Organization
Dean Witter Principal Secured Futures Fund L.P. (the "Partnership")
is a limited partnership organized to engage in the speculative
trading of commodity futures contracts, commodity options contracts
and forward contracts on foreign currencies. Demeter Management
Corporation ("the General Partner") has retained John W. Henry &
Co. as the trading manager of the Partnership. Both the General
Partners and the commodity broker, Dean Witter Reynolds, Inc.
("DWR") are wholly owned subsidiaries of Dean Witter, Discover &
Co.
<PAGE>
DEAN WITTER PRINCIPAL SECURED FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
2. Related Party Transactions
The Partnership's cash is on deposit with DWR in commodity trading
accounts to meet margin requirements as needed. DWR pays interest
on these funds based on current 13-week U.S. Treasury Bill rates.
brokerage expenses incurred by the Partnership are paid to DWR.
3. Financial Instruments
The Partnership trades futures and forward contracts in interest
rates, stock indices, commodities, currencies, petroleum and
precious metals. Futures and forwards represents contracts for
delayed delivery of an instrument at a specified date and price.
Risk arises from changes in the value of these contracts and the
potential inability of counterparties to perform under the terms of
the contracts. There are numerous factors which may significantly
influence the market value of these contracts, including interest
rate volatility. At March 31, 1996 open contracts were:
Contract or
Notional Amount
$
Exchange-Traded Contracts
Financial Futures:
Commitments to Purchase 3,747,000
Commitments to Sell 127,198,000
Commodity Futures:
Commitments to Purchase 13,856,000
Commitments to Sell 10,058,000
Foreign Futures:
Commitments to Purchase 2,020,000
Commitments to Sell 109,290,000
Off-Exchange-Traded Forward
Currency Contracts
Commitments to Purchase 75,901,000
Commitments to Sell 112,938,000
<PAGE>
DEAN WITTER PRINCIPAL SECURED FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
A portion of the amounts indicated as off-balance-sheet risk in
forward currency contracts is due to offsetting forward commitments
to purchase and to sell the same currency on the same date in the
future. These commitments are economically offsetting, but are not
offset in the forward market until the settlement date.
The unrealized gain on open contracts is reported as a component of
"Equity in Commodity futures trading accounts" on the Statement of
Financial Condition and totaled $3,460,054 at March 31, 1996. Of
this amount, $3,291,037 related to exchange-traded futures
contracts and $169,017 related to off-exchange-traded forward
currency contracts.
Exchange-traded futures contracts held by the Partnership at March
31, 1996 mature through March 1997. Off-exchange-traded forward
currency contracts held at March 31, 1996 mature through June 1996.
The contract amounts in the above table represent the Partnership's
extent of involvement in the particular class of financial
instrument, but not the credit risk associated with counterparty
non-performance. The credit risk associated with these instruments
is limited to the amounts reflected in the Partnership's Statements
of Financial Condition.
<PAGE>
DEAN WITTER PRINCIPAL SECURED FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
The Partnership also has credit risk because the sole counterparty
with respect to most of the Partnership's assets, is DWR.
Exchange-traded futures contracts are marked to market on a daily
basis, with variations in value settled on a daily basis. DWR, as
the futures commission merchant for all of the Partnership's
exchange-traded futures contracts, is required pursuant to
regulations of the Commodity Futures Trading Commission to
segregate from its own assets and for the sole benefit of its
commodity customers, all funds held by DWR with respect to
exchange-traded futures contracts including an amount equal to the
net unrealized gains on all open futures contracts, which funds
totaled $80,307,049 at March 31, 1996. With respect to the
Partnership's off-exchange-traded forward currency contracts, there
are no daily settlements of variations in value nor is there any
requirement that an amount equal to the net unrealized gain on open
forward contracts be segregated. With respect to those off-
exchange-traded forward currency contracts, the Partnership is at
risk to the ability of DWR, the counterparty on all of such
contracts, to perform.
<PAGE>
DEAN WITTER PRINCIPAL SECURED FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS - (CONCLUDED)
For the quarter ended March 31, 1996, the average fair value of
financial instruments held for trading purposes was as follows:
Assets Liabilities
$ $
Exchange-Traded Contracts:
Financial Futures 59,029,000 67,050,000
Commodity Futures 24,396,000 5,890,000
Foreign Futures 70,101,000 45,421,000
Off-Exchange-Traded Forward
Currency Contracts 72,661,000 116,150,000
<PAGE>
Item 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL
CONDITION AND RESULTS OF OPERATIONS
Liquidity - The Partnership's assets are on deposit in separate
commodity interest trading accounts with DWR, and are used by the
Partnership as margin to engage in commodity futures, forward
contracts on foreign currencies and other commodity interest
trading. DWR holds such assets in either designated depositories
or in securities approved by the Commodity Futures Trading
Commission for investment of customer funds. The Partnership's
assets held by DWR may be used as margin solely for the
Partnership's trading. Since the Partnership's sole purpose is to
trade in commodity futures contracts, forward contracts on foreign
currencies and other commodity interests, it is expected that the
Partnership will continue to own such liquid assets for margin
purposes.
The Partnership's investment in commodity futures and forward
contracts and other commodity interests may be illiquid. If the
price of the 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.
<PAGE>
There is no limitation on daily price moves in trading forward
contracts on foreign currencies. The markets for some world
currencies have low trading volume and are illiquid, which may
prevent the Partnership from trading in potentially profitable
markets or prevent the Partnership from promptly liquidating
unfavorable positions in such markets and subjecting it to
substantial losses. Either of these market conditions could result
in restrictions on redemptions.
Capital Resources - The Partnership does not have, nor does it
expect to have, any capital assets. Redemptions of additional
Units in the future will impact the amount of funds available for
investments in commodity futures and forward contracts and other
commodity interests. As redemptions are at the discretion of
Limited Partners, it is not possible to estimate the amount and
therefore, the impact of future redemptions.
Results of Operations
For the Quarter Ended March 31, 1996
For the quarter ended March 31, 1996, the Partnership's total
trading revenues including interest income were $2,614,559. During
the first quarter, the Partnership posted an increase in Net Asset
Value per Unit. The most significant trading gains were recorded
in the currency and financial futures markets. In the currency
markets, gains were experienced in January as a declining trend in
the value of the Japanese yen lead to profits in short Japanese yen
positions. In March, gains were recorded from long Australian
<PAGE>
dollar positions as the value of the Australian dollar increased
relative to the U.S. dollar and other European currencies.
Additional gains in the currency markets were experienced in
January from short positions in the Swiss franc and German mark.
These gains more than offset the losses recorded in February as a
result of a sharp reversal in the value of the Japanese yen and
most major European currencies relative to the U.S. dollar. In the
financial futures markets, long European interest rate futures
positions experienced gains in January as prices moved higher
during the month. During March, gains were recorded from trading
U.S. interest rate futures. A portion of these gains was offset by
losses experienced in February from previously established long
positions in European bond futures as prices moved lower. Losses
were experienced in the metals markets in February and March as
trendless price movements resulted in losses from trading precious
metals futures. In the energy markets, losses were recorded in
January as a sharp and sudden price reversal downward in crude oil
prices resulted in losses for the Fund's previously established
long positions. These losses more than offset gains recorded in
March as crude and heating oil prices moved higher. Smaller losses
were recorded in the soft commodities and agricultural markets
during the quarter. Total expenses for the period were $1,774,575,
resulting in net income of $839,984. The value of an individual
Unit in the Partnership increased from $1,699.44 at December 31,
1995 to $1,716.92 at March 31, 1995.
<PAGE>
For the Quarter Ended March 31, 1995
For the quarter ended March 31, 1995, the Partnership's total
trading revenues including interest income were $16,599,476.
During the first quarter, the Partnership posted an increase in Net
Asset Value per Unit. The most significant trading gains were
recorded in the currency markets as a result of the decrease in
value of the U.S. dollar versus the Japanese yen and major European
currencies during February and March. Gains were also recorded in
the financial futures markets as a result of trading U.S. interest
rate futures as well as Japanese bond and Nikkei stock index
futures during the quarter. Additional trading gains were recorded
from transactions involving crude oil in March. Smaller trading
losses in the sugar, soybean products, silver and coffee offset a
portion of overall gains for the Partnership during the quarter.
Total expenses for the period were $2,747,935, resulting in net
income of $13,851,541. The value of an individual Unit in the
Partnership increased from $1,355.58 at December 31, 1994 to
$1,609.12 at March 31, 1995.
<PAGE>
PART II. OTHER INFORMATION
Item 6. Exhibits and Reports on Form 8-K
A) Exhibits.
None.
B) Reports on Form 8-K. - None.
<PAGE>
SIGNATURE
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.
Dean Witter Principal Secured
Futures Fund L.P. (Registrant)
By: Demeter Management Corporation
(General Partner)
May 7, 1996 By:/s/ Patti L. Behnke
Patti L. Behnke
Chief Financial Officer
The General Partner which signed the above is the only party
authorized to act for the Registrant. The Registrant has no
principal executive officer, principal financial officer,
controller, or principal accounting officer and has no Board of
Directors.
<PAGE>
<TABLE> <S> <C>
<ARTICLE> 5
<LEGEND>
The schedule contains summary financial information extracted from Dean
Witter Principal Secured Futures Fund L.P. and is qualified in its
entirety by references to such financial instruments.
</LEGEND>
<S> <C>
<PERIOD-TYPE> 3-MOS
<FISCAL-YEAR-END> MAR-31-1996
<PERIOD-END> MAR-31-1996
<CASH> 77,016,012
<SECURITIES> 0
<RECEIVABLES> 240,756<F1>
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 0
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 80,716,822<F2>
<CURRENT-LIABILITIES> 0
<BONDS> 0
<COMMON> 0
0
0
<OTHER-SE> 0
<TOTAL-LIABILITY-AND-EQUITY> 80,716,822<F3>
<SALES> 0
<TOTAL-REVENUES> 2,614,559<F4>
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 1,774,576
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 839,983
<INCOME-TAX> 0
<INCOME-CONTINUING> 839,983
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> 839,983
<EPS-PRIMARY> 0
<EPS-DILUTED> 0
<FN>
<F1>Receivables include interest receivable of $240,422 and receivable from
DWR of $334.
<F2>In addition to cash and receivables, total assets include net unrealized
gain on open contracts of $3,460,054.
<F3>Liabilities include redemptions payable of $966,248, accrued brokerage
commissions of $86,445, accrued management fees of $268,027, accrued
administrative expenses of $211,545, banks fees payable of $10,051, accrued
transaction fees and costs of $5,947 and incentive fee payable of $145,473.
<F4>Total revenues includes realized trading revenue of $2,068,706, net
change in unrealized of $(161,059) and interest income of $706,912.
</FN>
</TABLE>
