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, 1997 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 No. 33-55806
DEAN WITTER WORLD CURRENCY FUND L.P.
(Exact name of registrant as specified in its charter)
Delaware 13-3700691
(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
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<TABLE>
DEAN WITTER WORLD CURRENCY FUND L.P.
INDEX TO QUARTERLY REPORT ON FORM 10-Q
March 31, 1997
<CAPTION>
PART I. FINANCIAL INFORMATION
<S> <C>
Item 1. Financial Statements
Statements of Financial Condition March 31, 1997
(Unaudited) and December 31, 1996.....................2
Statements of Operations for the Quarters Ended
March 31, 1997 and 1996 (Unaudited)...................3
Statements of Changes in Partners' Capital for the
Quarters Ended March 31, 1997 and 1996
(Unaudited)...........................................4
Statements of Cash Flows for the Quarters Ended
March 31, 1997 and 1996 (Unaudited)...................5
Notes to Financial Statements (Unaudited)... .. 6-11
Item 2. Management's Discussion and Analysis of
Financial Condition and Results of Operations...... ...12-16
Part II. OTHER INFORMATION
Item 1. Legal Proceedings..............................17-18
Item 6. Exhibits and Reports on Form 8-K..................19
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<TABLE>
DEAN WITTER WORLD CURRENCY FUND L.P.
STATEMENTS OF FINANCIAL CONDITION
<CAPTION>
March 31, December 31,
1997 1996
$ $
(Unaudited)
ASSETS
<S> <C> <C>
Equity in Commodity futures trading accounts:
Cash 31,457,573 25,825,801
Net unrealized gain (loss) on open contracts (88,023) 1,242,668
Net option premiums - 230,200
Total Trading Equity 31,369,550 27,298,669
Interest receivable (DWR) 110,044 87,895
Due from DWR - 40,800
Total Assets 31,479,594 27,427,364
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Accrued incentive fees 489,472 -
Redemptions payable 465,560 779,025
Accrued management fees 76,963 68,410
Accrued administrative expenses 40,536 21,908
Accrued brokerage commissions 11,880 26,388
Accrued transaction fees and costs 705 1,702
Total Liabilities 1,085,116 897,433
Partners' Capital
Limited Partners (34,374.871 and
35,992.609 Units, respectively) 29,363,026 25,668,776
General Partner (1,207.506 Units) 1,031,452 861,155
Total Partners' Capital 30,394,478 26,529,931
Total Liabilities and Partners' Capital 31,479,594 27,427,364
NET ASSET VALUE PER UNIT 854.20 713.17
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
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<TABLE>
DEAN WITTER WORLD CURRENCY FUND L.P.
STATEMENTS OF OPERATIONS
(Unaudited)
<CAPTION>
For the Quarters Ended March 31,
1997 1996
$ $
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized 7,226,184 118,505
Net change in unrealized (1,330,691) 468,301
Total Trading Results 5,895,493 586,806
Interest Income (DWR) 304,271 305,303
Total Revenues 6,199,764 892,109
EXPENSES
Incentive fees 489,505 -
Brokerage commissions (DWR) 235,860 281,111
Management fees 231,664 234,967
Administrative expenses 18,628 19,852
Transaction fees and costs 15,220 18,412
Total Expenses 990,877 554,342
NET INCOME 5,208,887 337,767
NET INCOME ALLOCATION
Limited Partners 5,038,590 330,403
General Partner 170,297 7,364
NET INCOME PER UNIT
Limited Partners 141.03 6.10
General Partner 141.03 6.10
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
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<TABLE>
DEAN WITTER WORLD CURRENCY FUND L.P.
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
For the Quarters Ended March 31, 1997 and 1996
(Unaudited)
<CAPTION>
Units of
Partnership Limited General
Interest Partners Partner Total
<S> <C> <C> <C> <C>
Partners' Capital,
December 31, 1995 48,308.363 $29,734,237 $762,285 $30,496,522
Net Income - 330,403 7,364 337,767
Redemptions (2,385.715) (1,563,775) - (1,563,775)
Partners' Capital,
March 31, 1996 45,922.648 $28,500,865 $769,649 $29,270,514
Partners' Capital,
December 31, 1996 37,200.115 $25,668,776 $861,155 $26,529,931
Net Income - 5,038,590 170,297 5,208,887
Redemptions (1,617.738) (1,344,340) - (1,344,340)
Partners' Capital,
March 31, 1997 35,582.377 $29,363,026 $1,031,452 $30,394,478
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
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<TABLE>
DEAN WITTER WORLD CURRENCY FUND L.P.
STATEMENTS OF CASH FLOWS
(Unaudited)
<CAPTION>
For the Quarters Ended March 31,
1997 1996
$ $
CASH FLOWS FROM OPERATING ACTIVITIES
<S> <C> <C>
Net income 5,208,887 337,767
Noncash item included in net income:
Net change in unrealized 1,330,691 (468,301)
(Increase)decrease in operating assets:
Net option premiums 230,200 (577,749)
Interest receivable (22,149) 13,737
Receivable from DWR 40,800 -
Increase (decrease) in operating liabilities:
Accrued incentive fees 489,472 -
Accrued management fees 8,553 (3,980)
Accrued administrative expenses 18,628 (84,717)
Accrued brokerage commissions (DWR) (14,508) 828
Accrued transaction fees and costs (997) 141
Net cash provided by (used for) operating activities 7,289,577 (782,274)
CASH FLOWS FROM FINANCING ACTIVITIES
Decrease in redemptions payable (313,465) (361,388)
Redemption of units (1,344,340) (1,563,775)
Net cash used for financing activities (1,657,805) (1,925,163)
Net increase (decrease) in cash 5,631,772 (2,707,437)
Balance at beginning of period 25,825,801 31,916,332
Balance at end of period 31,457,573 29,208,895
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
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DEAN WITTER WORLD CURRENCY 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, 1996 Annual Report on Form 10K.
1. Organization
Dean Witter World Currency 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. The
general partner for the Partnership is Demeter Management
Corporation ("Demeter"). The commodity broker is Dean Witter
Reynolds Inc. ("DWR"). Both Demeter and DWR are wholly owned
subsidiaries of Dean Witter, Discover & Co. ("DWD"). Demeter has
retained John W. Henry & Company, Inc. ("JWH") and Millburn
Ridgefield Corporation as the trading advisors of the
Partnership.
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DEAN WITTER WORLD CURRENCY 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 contracts, forward contracts,
options on futures contracts and related instruments in
currencies. Futures and forwards represent 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, 1997 and
December 31, 1996, open contracts were:
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DEAN WITTER WORLD CURRENCY FUND L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
Contract or Notional Amount
March 31, 1997 December 31, 1996
$ $
Exchange-Traded Contracts
Financial Futures:
Commitments to Purchase 819,000 8,348,000
Commitments to Sell 30,350,000 64,040,000
Off-Exchange-Traded
Forward Currency Contracts
Commitments to Purchase 90,678,000 111,517,000
Commitments to Sell 99,186,000 131,009,000
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 net unrealized gain (loss) on open contracts is reported as a
component of "Equity in Commodity futures trading accounts" on
the Statement of Financial Condition and totaled $(88,023) and
$1,242,668 at March 31, 1997 and December 31, 1996, respectively.
Of the $(88,023) net unrealized loss on open contracts at March
31, 1997, $65,884 related to exchange-traded futures contracts
<PAGE>
DEAN WITTER WORLD CURRENCY FUND L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
and $(153,907) related to off-exchange-traded forward currency
contracts. Of the $1,242,668 net unrealized gain on open
contracts at December 31, 1996, $1,289,462 related to exchange-
traded futures contracts and $(46,794) related to off-exchange-
traded forward currency contracts.
Exchange-traded futures contracts held by the Partnership at
March 31, 1997 and December 31, 1996 mature through June 1997 and
March 1997, respectively. Off-exchange-traded forward currency
contracts held by the Partnership at March 31, 1997 and December
31, 1996 mature through June 1997 and March 1997, respectively.
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 nonperformance. The credit risk associated with
these instruments is limited to the amounts reflected in the
Partnership's Statements of Financial Condition.
The Partnership also has credit risk because DWR acts as the
futures commission merchant or the sole counterparty, with
respect to most of the Partnership's assets. Exchange-traded
futures and
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DEAN WITTER WORLD CURRENCY FUND L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
options 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 and options 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 and options contracts including an amount
equal to the net unrealized gains on all open futures contracts
which funds totaled $31,523,457 and $27,115,263 at March 31, 1997
and December 31, 1996, respectively. 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 WORLD CURRENCY FUND L.P.
NOTES TO FINANCIAL STATEMENTS - (CONCLUDED)
For the quarter ended March 31, 1997 and the year ended December
31, 1996, the average fair value of financial instruments held
for trading purposes was as follows:
March 31, 1997
Assets Liabilities
$ $
Exchange-Traded Contracts
Futures Contracts 1,665,000 39,707,000
Off-Exchange-Traded Forward
Currency Contracts 116,331,000 136,042,000
December 31, 1996
Assets Liabilities
$ $
Exchange-Traded Contracts
Futures Contracts 11,267,000 36,511,000
Options on Financial Futures 31,535,000 -
Off-Exchange-Traded Forward
Currency Contracts 150,360,000 162,534,000
<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 and 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 interest may be illiquid. If the
price of the futures and options 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
<PAGE>
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.
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.
<PAGE>
Results of Operations
For the Quarter Ended March 31, 1997
For the quarter ended March 31, 1997, the Partnership's total
trading revenues including interest income were $6,199,764.
During the first quarter, the Partnership posted an increase in
Net Asset Value per Unit. The most significant trading gains
were recorded during January as a strengthening in the value of
the U.S. dollar relative to most major world currencies emerged.
As a result, gains were recorded from short positions in the
Japanese yen, German mark and both the Swiss and French francs.
In February, a continued upward trend in the value of the U.S.
dollar resulted in additional currency gains for the
Partnership's short positions in most major European currencies,
as well as in the Japanese yen and Singapore dollar. In March,
the previous upward move in the value of the U.S. dollar failed
to continue versus major European currencies. As a result,
losses were experienced from short positions in the German mark,
Swiss franc, Italian lira and French franc. A portion of these
losses was offset by gains recorded from short positions in the
Singapore dollar as its value continued to move lower versus the
U.S. dollar during March. Total expenses for the period were
$990,877, generating net income of $5,208,887. The value of an
individual Unit in the Partnership
<PAGE>
increased from $713.17 at December 31, 1996 to $854.20 at March
31, 1997.
For the Quarter Ended March 31, 1996
For the quarter ended March 31, 1996, the Partnership's total
trading revenues including interest income were $892,109. During
the first quarter, the Partnership posted an increase in Net
Asset Value per Unit. The most significant trading gains were
recorded in this currency-only Partnership during January as the
value of the Japanese yen moved lower in relation to the U.S.
dollar. As a result, the Partnership's previously established
short yen positions profited. Significant gains were also
recorded from short positions in the Swiss franc, German mark and
British pound as the value of these currencies also moved lower
during the month. In February, the previous downward move in the
value of the Japanese yen and most major European currencies
failed to
continue and a sharp increase in value followed. As a result,
losses were recorded from transactions involving the Japanese
yen, German mark and both Swiss and French francs. The value of
most major European currencies continued to move slightly higher
during March resulting in additional losses for the Partnership's
short European currency positions. However, the losses recorded
during
<PAGE>
March were offset by trading gains recorded from short Japanese
yen positions and long Australian dollar positions as the value
of the yen moved lower, while the value of the Australian dollar
moved higher in relation to other world currencies. Total
expenses for the period were $554,342, generating net income of
$337,767. The value of an individual Unit in the Partnership
increased from $631.29 at December 31, 1995 to $637.39 at March
31, 1996.
<PAGE>
PART II. OTHER INFORMATION
Item 1. LEGAL PROCEEDINGS
On September 6, 10, and 20, 1996, and on March 13, 1997, similar
purported class actions were filed in the Superior Court of the
State of California, County of Los Angeles, on behalf of all
purchasers of interests in limited partnership commodity pools
sold by DWR. Named defendants include DWR, Demeter, Dean Witter
Futures & Currency Management, Inc., DWD (all such parties
referred to hereafter as the "Dean Witter Parties"), the
Partnership, certain other limited partnership commodity pools of
which Demeter is the general partner, and certain trading
advisors (including JWH) to those pools. Similar purported class
actions were also filed on September 18 and 20, 1996 in the
Supreme Court of the State of New York, New York County, and on
November 14, 1996 in the Superior Court of the State of Delaware,
New Castle County, against the Dean Witter Parties and certain
trading advisors (including JWH) on behalf of all purchasers of
interests in various limited partnership commodity pools
including the Partnership, sold by DWR. Generally, these
complaints allege, among other things, that the defendants
committed fraud, deceit, misrepresentation, breach of fiduciary
duty, fraudulent and unfair business practices, unjust
enrichment, and conversion in
<PAGE>
connection with the sale and operation of the various limited
partnership commodity pools. The complaints seek unspecified
amounts of compensatory and punitive damages and other relief.
It is possible that additional similar actions may be filed and
that, in the course of these actions, other parties could be
added as defendants. The Dean Witter Parties believe that they
have strong defenses to, and they and the Partnership will
vigorously contest, the actions. Although the ultimate outcome
of legal proceedings cannot be predicted with certainty, it is
the opinion of management of the Dean Witter Parties that the
resolution of the actions will not have a material adverse effect
on the financial condition or the results of operations of any of
the Dean Witter Parties or the Partnership.
<PAGE>
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 World Currency Fund
L.P. (Registrant)
By: Demeter Management Corporation
(General Partner)
May 13, 1997 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.
<TABLE> <S> <C>
<ARTICLE> 5
<LEGEND>
The schedule contains summary financial information extracted from Dean
Witter World Currency 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-31-1997
<PERIOD-END> MAR-31-1997
<CASH> 31,457,573
<SECURITIES> 0
<RECEIVABLES> 110,044
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 0
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 31,479,594<F1>
<CURRENT-LIABILITIES> 0
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 0
<TOTAL-LIABILITY-AND-EQUITY> 31,479,594<F2>
<SALES> 0
<TOTAL-REVENUES> 6,199,764<F3>
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 990,877
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 5,208,887
<INCOME-TAX> 0
<INCOME-CONTINUING> 5,208,887
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> 5,208,887
<EPS-PRIMARY> 0
<EPS-DILUTED> 0
<FN>
<F1>In addition to cash and receivables, total assets include net unrealized
loss on open contracts of $88,023.
<F2>Liabilities include redemptions payable of $465,560, accrued brokerage
commissions of $11,880, accrued management fees of $76,963, accrued
administrative expenses of $40,536, accrued transaction fees and costs
of $705 and accrued incentive fees of $489,472.
<F3>Total revenues include realized trading revenue of $7,226,184, net
change in unrealized of ($1,330,691) and interest income of $304,271.
</FN>
</TABLE>
