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 quarterly period ended September 30, 1999 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. 0-23826
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 Corporation
Two World Trade Center, 62 Fl., New York, NY 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 WORLD CURRENCY FUND L.P.
INDEX TO QUARTERLY REPORT ON FORM 10-Q
September 30, 1999
<CAPTION>
PART I. FINANCIAL INFORMATION
<S> <C>
Item 1. Financial Statements
Statements of Financial Condition September 30, 1999
(Unaudited) and December 31, 1998..........................2
Statements of Operations for the Quarters Ended
September 30, 1999 and 1998 (Unaudited)....................3
Statements of Operations for the Nine Months Ended
September 30, 1999 and 1998 (Unaudited)....................4
Statements of Changes in Partners' Capital for the
Nine Months Ended September 30, 1999 and 1998
(Unaudited)................................................5
Statements of Cash Flows for the Nine Months Ended
September 30, 1999 and 1998 (Unaudited)....................6
Notes to Financial Statements (Unaudited).............. 7-
10
Item 2. Management's Discussion and Analysis of
Financial Condition and Results of Operations...... 11-19
Item 3. Quantitative and Qualitative Disclosures about
Market Risk....................................... 20-28
Part II. OTHER INFORMATION
Item 1. Legal Proceedings..................................... 29
Item 6. Exhibits and Reports on Form 8-K...................... 29
</TABLE>
<PAGE>
<TABLE>
PART I. FINANCIAL INFORMATION
Item 1. Financial Statements
DEAN WITTER WORLD CURRENCY FUND L.P.
STATEMENTS OF FINANCIAL CONDITION
<CAPTION>
September 30, December 31,
1999 1998
$ $
(Unaudited)
ASSETS
<S> <C> <C>
Equity in futures interests trading accounts:
Cash 21,987,453 26,130,701
Net unrealized loss on open contracts (156,813) (1,101,440)
Total Trading Equity 21,830,640 25,029,261
Interest receivable (DWR) 69,764 76,126
Due from DWR 6,524 -
Total Assets 21,906,928 25,105,387
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable 347,673 248,498
Accrued management fees 54,684 62,749
Accrued administrative expenses 33,479 5,977
Total Liabilities 435,836 317,224
Partners' Capital
Limited Partners (21,292.077 and
25,297.735 Units, respectively)21,160,517 24,485,689
General Partner (312.506 Units) 310,575 302,474
Total Partners' Capital 21,471,092 24,788,163
Total Liabilities and Partners' Capital 21,906,928 25,10
5,387
NET ASSET VALUE PER UNIT 993.82 967.90
<FN>
The accompanying notes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER WORLD CURRENCY FUND L.P.
STATEMENTS OF OPERATIONS
(Unaudited)
<CAPTION>
For the Quarters Ended Sepember 30,
1999 1998
$ $
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized (677,771) (1,346,449)
Net change in unrealized 445,032 663,103
Total Trading Results (232,739) (683,346)
Interest Income (DWR) 214,037 271,614
Total Revenues (18,702) (411,732)
EXPENSES
Brokerage commissions (DWR) 268,861 277,920
Management fees 164,635 215,853
Transaction fees and costs 15,095 18,670
Administrative expenses 14,938 18,337
Total Expenses 463,529 530,780
NET LOSS (482,231) (942,512)
NET LOSS ALLOCATION
Limited Partners
(475,766) (903,661)
General Partner
(6,465) (38,851)
NET LOSS PER UNIT
Limited Partners
(20.69) (32.18)
General Partner
(20.69) (32.18)
<FN>
The accompanying notes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER WORLD CURRENCY FUND L.P.
STATEMENTS OF OPERATIONS
(Unaudited)
<CAPTION>
For the Nine Months Ended September 30,
1999 1998
$ $
REVENUES
<S> <C> <C>
Trading profit:
Realized 434,576 153,729
Net change in unrealized 944,627 551,758
Total Trading Results 1,379,203 705,487
Interest Income (DWR) 651,236 864,192
Total Revenues 2,030,439 1,569,679
EXPENSES
Brokerage commissions (DWR) 709,931 797,770
Management fees 533,726 665,534
Administrative expenses 45,822 55,583
Transaction fees and costs 37,772 47,777
Total Expenses 1,327,251 1,566,664
NET INCOME 703,188 3,015
NET INCOME ALLOCATION
Limited Partners
695,087 (988) General
Partner
8,101 4,003
NET INCOME PER UNIT
Limited Partners
25.92
3.31
General Partner
25.92 3.31
<FN>
The accompanying notes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER WORLD CURRENCY FUND L.P.
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
For the Nine Months Ended September 30, 1999 and 1998
(Unaudited)
<CAPTION>
Units of
Partnership Limited General
Interest Partners Partner Total
<S> <C> <C> <C>
<C>
Partners' Capital,
December 31, 1997 32,073.339 $30,674,029 $1,200,002
$31,874,031
Net Income - (988) 4,003 3,015
Redemptions (4,919.012) (3,909,035) (892,405)
(4,801,440)
Partners' Capital,
September 30, 1998 27,154.327 $26,764,006 $311,600
$27,075,606
Partners' Capital,
December 31, 1998 25,610.241 $24,485,689 $302,474
$24,788,163
Net Income - 695,087 8,101 703,188
Redemptions (4,005.658) (4,020,259) -
(4,020,259)
Partners' Capital,
September 30, 1999 21,604.583 $21,160,517 $310,5
75 $21,471,092
<FN>
The accompanying notes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER WORLD CURRENCY FUND L.P.
STATEMENTS OF CASH FLOWS
(Unaudited)
<CAPTION>
For the Nine Months Ended September 30,
1999 1998
$ $
CASH FLOWS FROM OPERATING ACTIVITIES
<S> <C> <C>
Net income 703,188 3,015
Noncash item included in net income:
Net change in unrealized (944,627) (
551,758)
(Increase) decrease in operating assets:
Interest receivable (DWR) 6,362 21,941
Due from DWR (6,524) -
Net option premiums - 49,687
Increase (decrease) in operating liabilities:
Accrued management fee (8,065) (9,577)
Accrued administrative expenses 27,502
55,578
Net cash used for operating activities (222,164)
(431,114)
CASH FLOWS FROM FINANCING ACTIVITIES
Increase in redemptions payable 99,175 977,105
Redemptions of units (4,020,259)
(4,801,440)
Net cash used for financing activities (3,921,084)
(3,824,335)
Net decrease in cash (4,143,248) (
4,255,449)
Balance at beginning of period 26,130,701
31,327,827
Balance at end of period 21,987,453
27,072,378
<FN>
The accompanying notes are an integral part
of these financial statements.
</TABLE>
<PAGE>
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 of Dean Witter World
Currency Fund L.P. (the "Partnership"). The financial statements
and condensed notes herein should be read in conjunction with the
Partnership's December 31, 1998 Annual Report on Form 10-K.
1. Organization
Dean Witter World Currency Fund L.P. is a limited partnership
organized to engage primarily in the speculative trading of
commodity futures, options and forward contracts on foreign
currencies (collectively, "futures interests"). The general
partner for the Partnership is Demeter Management Corporation
("Demeter"). The non-clearing commodity broker is Dean Witter
Reynolds Inc. ("DWR") and an unaffiliated clearing commodity
broker, Carr Futures Inc. ("Carr"), provides clearing and
execution services. Both Demeter and DWR are wholly-owned
subsidiaries of Morgan Stanley Dean Witter & Co. ("MSDW"). John
W. Henry & Company and Millburn Ridgefield Corporation are the
trading advisors (the "Trading Advisors") to the Partnership.
2. Related Party Transactions
The Partnership's cash is on deposit with DWR and Carr in futures
interests trading accounts to meet margin requirements as needed.
<PAGE>
DEAN WITTER WORLD CURRENCY FUND L.P.
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
DWR pays interest on these funds based on current 13-week U.S.
Treasury bill rates. The Partnership pays brokerage commissions
to DWR.
3. Financial Instruments
The Partnership trades futures, options and forward contracts on
foreign 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.
In June 1998, the Financial Accounting Standards Board issued
Statement of Financial Accounting Standard ("SFAS") No. 133,
"Accounting for Derivative Instruments and Hedging Activities"
effective for fiscal years beginning after June 15, 1999. The
Partnership elected to adopt the provisions of SFAS No. 133
beginning with the fiscal year that ended December 31, 1998.
SFAS No. 133 supersedes SFAS No. 119 and No. 105, which required
the disclosure of average aggregate fair values and
contract/notional values, respectively, of derivative financial
instruments for an
<PAGE>
DEAN WITTER WORLD CURRENCY FUND L.P.
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
entity which carries its assets at fair value. The application
of SFAS No. 133 does not have a significant effect on the
Partnership's financial statements.
The net unrealized loss on open contracts is reported as a
component of "Equity in futures interests trading accounts" on
the Statements of Financial Condition and totaled $156,813 and
$1,101,440 at September 30, 1999 and December 31, 1998,
respectively.
The net unrealized losses on open contracts of $156,813 at
September 30, 1999 and $1,101,440 at December 31, 1998 related to
off-exchange-traded forward currency contracts.
Off-exchange-traded forward currency contracts held by the
Partnership at September 30, 1999 and December 31, 1998 mature
through December 1999 and March 1999, respectively.
The Partnership is subject to the credit risk associated with
counterparty non-performance. The credit risk associated with
the instruments in which the Partnership is involved is limited
to the amounts reflected in the Partnership's Statements of
Financial Condition. DWR and Carr act as the futures commission
merchants or the counterparties with respect to most of the
Partnership's assets. Exchange-traded futures and futures-styled
<PAGE>
DEAN WITTER WORLD CURRENCY FUND L.P.
NOTES TO FINANCIAL STATEMENTS - (CONCLUDED)
options contracts are marked to market on a daily basis, with
variations in value settled on a daily basis. Each of DWR and
Carr, as a futures commission merchant for all of the Partner-
ship's exchange-traded futures and futures-styled options
contracts, are required, pursuant to regulations of the Commodity
Futures Trading Commission ("CFTC") to segregate from their own
assets, and for the sole benefit of their commodity customers,
all funds held by them with respect to exchange-traded futures
and futures-styled options contracts, including an amount equal
to the net unrealized gain on all open futures and futures-styled
options contracts, which funds, in the aggregate, totaled
$21,987,453 and $26,130,701 at September 30, 1999 and December
31, 1998, 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 Carr, the
sole counterparty on all of such contracts, to perform. Carr's
parent, Credit Agricole Indosuez, has guaranteed to the
Partnership payment of the net liquidating value of the
transactions in the Partnership's account with Carr (including
foreign currency contracts).
<PAGE>
Item 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL
CONDITION AND RESULTS OF OPERATIONS
Liquidity - Assets of the Partnership are deposited with DWR as
non-clearing broker and Carr as clearing broker in separate
futures interest trading accounts. Such assets are held in either
non-interest bearing bank accounts or in securities approved by
the CFTC for investment of customer funds. The Partnership's
assets held by DWR and Carr may be used as margin solely for the
Partnership's trading. Since the Partnership's sole purpose is
to trade in futures interests, it is expected that the
Partnership will continue to own such liquid assets for margin
purposes.
The Partnership's investment in futures interests may, from time
to time, be illiquid. Most United States futures exchanges limit
fluctuations in certain futures interest prices during a single
day by regulations referred to as "daily price fluctuations
limits" or "daily limits". Pursuant to such regulations, during
a single trading day no trades may be executed at prices beyond
the daily limit. If the price for a particular futures interest
has increased or decreased by an amount equal to the daily limit,
positions in such futures interest can neither be taken nor
liquidated unless traders are willing to effect trades at or
within the limit. Futures interests 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 futures interests and result in
restrictions on redemptions.
<PAGE>
There is no limitation on daily price moves in trading forward
contracts on foreign currency. 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 from promptly liquidating unfavorable positions,
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. Future redemptions of Units
of Limited Partnership Interest ("Unit(s)") will affect the
amount of funds available for investment in futures interests in
subsequent periods. Since they are at the discretion of Limited
Partners, it is not possible to estimate the amount and
therefore, the impact of future redemptions of Units.
Results of Operations
For the Quarter and Nine Months Ended September 30, 1999
For the quarter ended September 30, 1999, the Partnership
recorded total trading losses net of interest income of $18,702
and posted a decrease in Net Asset Value per Unit. The most
significant losses were experienced from trading the European
common currency, the euro, and the Swiss franc. Short positions
in these currencies resulted in losses earlier in the quarter as
their values strengthened versus the U.S. dollar due to a better-
than-expected German business sentiment survey and a record U.S.
trade deficit. Losses were recorded during August and September
<PAGE>
from long positions in the euro and Swiss franc as the value of
the U.S. dollar rallied higher versus most major currencies on
August 23 amid a rally in U.S. stock prices and on September 10
after an intervention by the Bank of Japan. As a result, new
short positions were established in these currencies only to
result in additional losses as their values strengthened versus
the dollar during the latter half of September after the U.S.
trade figures reflected a record deficit. During July, long
British pound positions experienced losses as the value of the
pound weakened versus the U.S. dollar on concerns of a
disappearance in the interest rate differential between the U.K.
and the U.S. and continued economic sluggishness in Britain.
Newly established short pound positions resulted in additional
losses as the pound's value rose versus the U.S. dollar later in
July after revised first quarter GDP figures showed that the
British economy grew faster than had previously been expected. A
portion of these losses was offset by gains recorded throughout
the quarter from long Japanese yen positions as the value of the
yen strengthened versus the U.S. dollar on positive economic data
out of that country and optimism regarding the Japanese economy.
Despite an intervention by the Bank of Japan to prevent the yen's
recent rise from continuing, the yen climbed to a 44-month high
versus the U.S. dollar during September after the Bank of Japan
decided to leave that country's monetary policy unchanged.
Smaller gains were recorded from short Thai baht positions as the
value of the Thai baht fell to a new 12-month low versus the U.S.
dollar following lower-than-expected second quarter GDP data out
<PAGE>
of Thailand, the earthquakes in Taiwan and comments on the Thai
economy by various cabinet ministers. Total expenses for the
three months ended September 30, 1999 were $463,529, resulting in
a net loss of $482,231. The value of a Unit decreased from
$1,014.51 at June 30, 1999 to $993.82 at September 30, 1999.
For the nine months ended September 30, 1999, the Partnership
recorded total trading revenues including interest income of
$2,030,439 and posted an increase in Net Asset Value per Unit.
The most significant gains were recorded throughout a majority of
the first half of the year from short positions in the euro as
the value of the European common currency declined relative to
the U.S. dollar on the strength of the U.S. economy, concerns
pertaining to the economic health of Europe and Japan and growing
uncertainty about the military action in Yugoslavia. Smaller
gains were recorded from short Thai baht positions as the value
of the Thai baht fell to a new 12-month low versus the U.S.
dollar following lower-than-expected second quarter GDP data out
of Thailand, the earthquakes in Taiwan and comments on the Thai
economy by various cabinet ministers. A portion of the
Partnership's overall gains was offset by losses experienced from
long British pound positions as the value of the pound weakened
versus the U.S. dollar during late March when a member of the
Bank of England's Monetary Policy committee said that he
confidently expected Britain to switch from the pound to the
European Union's single currency, the euro. During July, losses
were recorded in this market from long pound positions on
concerns of a disappearance in the interest rate differential
<PAGE>
between the U.K. and the U.S. and continued economic sluggishness
in Britain. Newly established short British pound positions
resulted in additional losses during the third quarter as the
pound's value rose versus the U.S. dollar later in July after
revised first quarter GDP figures showed that the British economy
grew faster than had previously been expected. Smaller losses
were incurred during January and March from short Norwegian krone
positions as its value strengthened versus the U.S. dollar due to
a rise in oil prices and the possibility that this Scandinavian
currency could be linked to the euro sometime in the future.
Total expenses for the nine months ended September 30, 1999 were
$1,327,251, resulting in net income of $703,188. The value of a
Unit increased from $967.90 at December 31, 1998 to $993.82 at
September 30, 1999.
For the Quarter and Nine Months Ended September 30, 1998
For the quarter ended September 30, 1998, the Partnership
recorded total trading losses net of interest income of $411,732
and posted a decrease in Net Asset Value per Unit. The most
significant losses were recorded from long British pound
positions as its value moved lower versus the U.S. dollar during
July after showing signs of trending higher earlier in the month.
Losses continued to be recorded throughout the remainder of the
quarter from transactions involving the British pound as its
value continued to move without consistent direction. Additional
losses were incurred from short Japanese yen positions during
<PAGE>
August and September as the value of the yen strengthened versus
the U.S. dollar. This increase in the yen was spurred by several
remarks from a top finance official in Tokyo stating that Japan
was close to intervening in order to support the yen. As a
result of this increase in the yen, new long positions were
established during mid-September, only to result in additional
losses as the value of the yen reversed lower due to the failure
of the Japanese government to present any new initiatives toward
economic reform in that country. Smaller losses were recorded
from transactions involving the Australian dollar during July and
September. These losses were partially offset by gains recorded
during September from long German mark positions as the U.S.
dollar weakened relative to most European currencies due to fears
over the White House scandal, continued concerns about emerging
markets and anticipation of an interest rate cut by the Federal
Reserve. Additional currency gains were recorded from long
positions in the French franc as its value also strengthened
versus the U.S. dollar during September. Total expenses for the
three months ended September 30, 1998 were $530,780, resulting in
a net loss of $942,512. The value of a Unit decreased from
$1,029.28 at June 30, 1998 to $997.10 at September 30, 1998.
For the nine months ended September 30, 1998, the Partnership
recorded total trading revenues including interest income of
$1,569,679 and posted an increase in Net Asset Value per Unit.
The most significant trading gains were recorded from short South
African rand positions as its value moved sharply lower relative
<PAGE>
to the U.S. dollar during the second quarter despite an effort by
the South African government to prevent its currency from
declining further. Profits were also recorded from short rand
positions during August as many of the world's emerging market
currencies weakened significantly against the U.S. dollar in lieu
of the Russian ruble devaluation. Additional gains were recorded
from short Japanese yen positions as the U.S. dollar strengthened
versus the yen during March. Short Japanese yen positions
continued to profit throughout the second quarter and early half
of the third quarter as the yen reached a seven and a half year
low relative to the U.S. dollar. Smaller gains were recorded
from short positions in the New Zealand dollar during the first
half of 1998. A portion of the Partnership's overall gains was
offset by losses from trendless movement in the value of the
British pound relative to the U.S. dollar during the second and
third quarters. Smaller losses were recorded from short Swiss
franc positions as the value of this currency strengthened versus
the U.S. dollar during April, May and July. Total expenses for
the nine months ended September 30, 1998 were $1,566,664,
resulting in net income of $3,015. The value of a Unit increased
from $993.79 at December 31, 1997 to $997.10 at September 30,
1998.
Year 2000 Problem. Commodity pools, like financial and business
organizations and individuals around the world, depend on the
smooth functioning of computer systems. Many computer systems in
use today cannot recognize the computer code for the year 2000,
but revert to 1900 or some other date. This is commonly known as
<PAGE>
the "Year 2000 Problem". The Partnership could be adversely
affected if computer systems used by it or any third party with
whom it has a material relationship do not properly process and
calculate date-related information and data concerning dates on
or after January 1, 2000. Such a failure could adversely affect
the handling or determination of futures trades and prices and
other services.
MSDW began its planning for the Year 2000 Problem in 1995, and
currently has several hundred employees working on the matter.
It has developed its own Year 2000 compliance plan to deal with
the problem and had the plan approved by the company's executive
management, Board of Directors and Information Technology
Department. Demeter is coordinating with MSDW to address the Year
2000 Problem with respect to Demeter's computer systems that
affect the Partnership. This includes hardware and software
upgrades, systems consulting and computer maintenance.
Beyond the challenge facing internal computer systems, the
systems failure of any of the third parties with whom the
Partnership has a material relationship - the futures exchanges
and clearing organizations through which it trades, Carr, or the
Trading Advisors - could result in a material financial risk to
the Partnership. All U.S. futures exchanges are subject to
monitoring by the CFTC of their Year 2000 preparedness and the
major foreign futures exchanges are also expected to be subject
to market-wide testing of their Year 2000 compliance during 1999.
Demeter intends to monitor the progress of Carr and the Trading
<PAGE>
Advisors throughout 1999 in their Year 2000 compliance and, where
applicable, to test its external interface with Carr and the
Trading Advisors.
A worst case scenario would be one in which trading of contracts
on behalf of the Partnership becomes impossible as a result of
the Year 2000 problem encountered by any third parties. A less
catastrophic but more likely scenario would be one in which
trading opportunities diminish as a result of technical problems
resulting in illiquidity and fewer opportunities to make
profitable trades. MSDW has begun developing various "contingency
plans" in the event that the systems of such third parties fail.
Demeter intends to consult closely with MSDW in implementing
those plans. Despite the best efforts of both Demeter and MSDW,
however, it is possible that these steps will not be sufficient
to avoid any adverse impact to the Partnership.
Risks Associated With the Euro. On January 1, 1999, eleven
countries in the European Union established fixed conversion
rates on their existing sovereign currencies and converted to a
common single currency (the "euro"). During a three-year
transition period, the sovereign currencies will continue to
exist but only as a fixed denomination of the euro. Conversion
to the euro prevents the Trading Advisors from trading in certain
currencies and thereby limits their ability to take advantage of
potential market opportunities that might otherwise have existed
had separate currencies been available to trade. This could
adversely affect the performance results of the Partnership.
<PAGE>
Item 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET
RISK
Introduction
The Partnership is a commodity pool engaged primarily in the
speculative trading of futures interests. The market sensitive
instruments held by the Partnership are acquired solely for
speculative trading purposes and, as a result, all or
substantially all of the Partnership's assets are subject to the
risk of trading loss. Unlike an operating company, the risk of
market sensitive instruments is integral, not incidental, to the
Partnership's primary business activities.
The futures interests traded by the Partnership involve varying
degrees of related market risk. Such market risk is often
dependent upon changes in the level or volatility of interest
rates, exchange rates, and/or market values of financial
instruments and commodities. Fluctuations in related market risk
based upon the aforementioned factors result in frequent changes
in the fair value of the Partnership's open positions, and,
consequently, in its earnings and cash flow.
The Partnership's total market risk is influenced by a wide
variety of factors, including the diversification effects among
the Partnership's existing open positions, the volatility present
within the market(s), and the liquidity of the market(s). At
varying times, each of these factors may act to exacerbate or
mute the market risk associated with the Partnership.
<PAGE>
The Partnership's past performance is not necessarily indicative
of its future results. Any attempt at quantifying the
Partnership's market risk must be qualified by the inherent
uncertainty of its speculative trading, which may cause future
losses and volatility (i.e. "risk of ruin") far in excess of the
Partnership's experience to date and/or any reasonable
expectation premised upon historical changes in the fair value of
its market sensitive instruments.
Quantifying the Partnership's Trading Value at Risk
The following quantitative disclosures regarding the
Partnership's market risk exposures contain "forward-looking
statements" within the meaning of the safe harbor from civil
liability provided for such statements by the Private Securities
Litigation Reform Act of 1995 (set forth in Section 27A of the
Securities Act of 1933 and Section 21E of the Securities Exchange
Act of 1934). All quantitative disclosures in this section are
deemed to be forward-looking statements for purposes of the safe
harbor, except for statements of historical fact.
The Partnership accounts for open positions on the basis of mark-
to-market accounting principles. As such, any loss in the fair
value of the Partnership's open positions is directly reflected
in the Partnership's earnings, whether realized or unrealized,
and the Partnership's cash flow, as profits and losses on open
positions of exchange-traded futures interests are settled daily
through variation margin.
<PAGE>
The Partnership's risk exposure in the various market sectors
traded by the Trading Advisors is estimated below in terms of
Value at Risk ("VaR"). The VaR model employed by the Partnership
incorporates numerous variables that could impact the fair value
of the Partnership's trading portfolio. The Partnership
estimates VaR using a model based on historical simulation with a
confidence level of 99%. Historical simulation involves
constructing a distribution of hypothetical daily changes in
trading portfolio value. The VaR model generally takes into
account linear exposures to price and interest rate risk. Market
risks that are incorporated in the VaR model include equity and
commodity prices, interest rates, foreign exchange rates, as well
as correlation that exists among these variables. The
hypothetical changes in portfolio value are based on daily
observed percentage changes in key market indices or other market
factors ("market risk factors") to which the portfolio is
sensitive. In the case of the Partnership's VaR, the historical
observation period is approximately four years. The
Partnership's one-day 99% VaR corresponds to the negative change
in portfolio value that, based on observed market risk factor
moves, would have been exceeded once in 100 trading days.
VaR models such as the Partnership's are continually evolving as
trading portfolios become more diverse and modeling techniques
and systems capabilities improve. It must also be noted that the
VaR model is used to quantify market risk for historic reporting
<PAGE>
purposes only and is not utilized by either Demeter or the
Trading Advisors in their daily risk management activities.
The Partnership's Value at Risk in Different Market Sectors
The following table indicates the VaR associated with the
Partnership's open positions as a percentage of total Net Assets
by market category as of September 30, 1999. As of September 30,
1999, the Partnership's total capitalization was approximately
$21 million.
Primary Market September 30, 1999
Risk Category Value at Risk
Currency (3.26)%
Aggregate Value at Risk (3.26)%
The table above represents the VaR of the Partnership's open
positions at September 30, 1999 only and is not necessarily
representative of either the historic or future risk of an
investment in the Partnership. As the Partnership's sole
business is the speculative trading of primarily futures
interests, the composition of its portfolio of open positions can
change significantly over any given time period or even within a
single trading day. Such changes in open positions could
materially impact market risk as measured by VaR either
positively or negatively.
The table below supplements the quarter-end VaR by presenting the
Partnership's high, low and average VaR as a percentage of total
Net Assets for the four quarterly reporting periods from October
1, 1998 through September 30, 1999.
<PAGE>
Primary Market Risk Category High Low Average
Currency (4.30)% (1.41)% (3.08)%
Aggregate Value at Risk (4.30)% (1.41)% (3.08)%
Limitations on Value at Risk as an Assessment of Market Risk
The face value of the market sector instruments held by the
Partnership is typically many times the applicable margin require-
ments, as such margin requirements generally range between 2% and
15% of contract face value. Additionally, due to the use of
leverage, the face value of the market sector instruments held by
the Partnership is typically many times the total capitalization
of the Partnership. The financial magnitude of the Partnership's
open positions thus creates a "risk of ruin" not typically found
in other investment vehicles. Due to the relative size of the
positions held, certain market conditions may cause the
Partnership to incur losses greatly in excess of VaR within a
short period of time. The foregoing VaR tables, as well as the
past performance of the Partnership, gives no indication of such
"risk of ruin". In addition, VaR risk measures should be
interpreted in light of the methodology's limitations, which
include the following: past changes in market risk factors will
not always yield accurate predictions of the distributions and
correlations of future market movements; changes in portfolio
value in response to market movements may differ from the
responses implicit in a VaR model; published VaR results reflect
past trading positions while future risk depends on future
positions; VaR using a one-day time horizon does not fully
capture the market risk of positions that cannot be liquidated or
hedged
<PAGE>
within one day; and the historical market risk factor data used
for VaR estimation may provide only limited insight into losses
that could be incurred under certain unusual market movements.
The foregoing VaR tables present the results of the Partnership's
VaR for the Partnership's market risk exposure at September 30,
1999 and for the end of the four quarterly reporting periods from
October 1, 1998 through September 30, 1999. Since VaR is based
on historical data, VaR should not be viewed as predictive of the
Partnership's future financial performance or its ability to
manage and monitor risk and there can be no assurance that the
Partnership's actual losses on a particular day will not exceed
the VaR amounts indicated or that such losses will not occur more
than 1 in 100 trading days.
Non-Trading Risk
The Partnership has non-trading market risk on its foreign cash
balances not needed for margin. However, such balances, as well
as any market risk they may represent, are immaterial. The
Partnership also maintains a substantial portion (approximately
90%) of its available assets in cash at DWR. A decline in short-
term interest rates will result in a decline in the Partnership's
cash management income. This cash flow risk is not considered
material.
Materiality, as used throughout this section, is based on an
assessment of reasonably possible market movements and the
potential losses caused by such movements, taking into account
the
<PAGE>
leverage, optionality and multiplier features of the
Partnership's market sensitive instruments.
Qualitative Disclosures Regarding Primary Trading Risk Exposures
The following qualitative disclosures regarding the Partnership's
market risk exposures - except for (i) those disclosures that are
statements of historical fact and (ii) the descriptions of how
the Partnership manages its primary market risk exposures -
constitute forward-looking statements within the meaning of
Section 27A of the Securities Act and Section 21E of the
Securities Exchange Act. The Partnership's primary market risk
exposures as well as the strategies used and to be used by
Demeter and the Trading Advisors for managing such exposures are
subject to numerous uncertainties, contingencies and risks, any
one of which could cause the actual results of the Partnership's
risk controls to differ materially from the objectives of such
strategies. Government interventions, defaults and
expropriations, illiquid markets, the emergence of dominant
fundamental factors, political upheavals, changes in historical
price relationships, an influx of new market participants,
increased regulation and many other factors could result in
material losses as well as in material changes to the risk
exposures and the risk management strategies of the Partnership.
Investors must be prepared to lose all or substantially all of
their investment in the Partnership.
<PAGE>
The following was the primary trading risk exposure of the
Partnership as of September 30, 1999. It may be anticipated
however, that market exposure will vary materially over time.
Currency. The Partnership's currency exposure is to exchange
rate fluctuations, primarily fluctuations which disrupt the
historical pricing relationships between different currencies and
currency pairs. Interest rate changes as well as political and
general economic conditions influence these fluctuations. The
Partnership trades in a large number of currencies, including
cross-rates - i.e., positions between two currencies other than
the U.S. dollar. For the third quarter of 1999, the
Partnership's major exposures were in the euro currency crosses
and outright U.S. dollar positions. (Outright positions consist
of the U.S. dollar vs. other currencies. These other currencies
include the major and minor currencies). Demeter does not
anticipate that the risk profile of the Partnership's currency
sector will change significantly in the future. The currency
trading VaR figure includes foreign margin amounts converted into
U.S. dollars with an incremental adjustment to reflect the
exchange rate risk inherent to the dollar-based Partnership in
expressing VaR in a functional currency other than dollars.
Qualitative Disclosures Regarding Non-Trading Risk Exposure
The following was the only non-trading risk exposure of the
Partnership as of September 30, 1999:
<PAGE>
Foreign Currency Balances. The Partnership's primary foreign
currency balances are in Japanese yen, euros, British pounds,
Singapore dollars and South African rands. The Partnership
controls the non-trading risk of these balances by regularly
converting these balances back into dollars upon liquidation of
the respective position.
Qualitative Disclosures Regarding Means of Managing Risk Exposure
The means by which the Partnership and the Trading Advisors,
severally, attempt to manage the risk of the Partnership's open
positions are essentially the same in all market categories
traded. Demeter attempts to manage the Partnership's market
exposure by (i) diversifying the Partnership's assets among
different Trading Advisors, each of whose strategies focus on
different market sectors and trading approaches, and (ii),
monitoring the performance of the Trading Advisors on a daily
basis. In addition, the Trading Advisors establish diversi-
fication guidelines, often set in terms of the maximum margin to
be committed to positions in any one market sector or market
sensitive instrument. One should be aware that certain Trading
Advisors treat their risk control policies as strict rules,
whereas others treat such policies as general guidelines.
Demeter monitors and controls the risk of the Partnership's non-
trading instrument, cash, which is the only Partnership
investment directed by Demeter, rather than the Trading Advisors.
<PAGE>
PART II. OTHER INFORMATION
Item 1. LEGAL PROCEEDINGS
The following supplements Legal Proceedings previously disclosed
in the Partnership's 1998 Form 10-K:
In the New York action, the motion to dismiss the amended
complaint with prejudice has been fully briefed and argued and
the Dean Witter Parties are awaiting the New York Supreme Court's
decision.
In the California action, on September 24, 1999, the Superior
Court in the State of California entered an order dismissing the
consolidated amended complaint without prejudice on consent.
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)
November 12, 1999 By:/s/Lewis A. Raibley, III
Lewis A. Raibley, III
Director and 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
reference to such financial statements.
</LEGEND>
<S> <C>
<PERIOD-TYPE> 9-MOS
<FISCAL-YEAR-END> DEC-31-1999
<PERIOD-END> SEP-30-1999
<CASH> 21,987,453
<SECURITIES> 0
<RECEIVABLES> 76,288<F1>
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 0
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 21,906,928<F2>
<CURRENT-LIABILITIES> 0
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 0
<TOTAL-LIABILITY-AND-EQUITY> 21,906,928<F3>
<SALES> 0
<TOTAL-REVENUES> 2,030,439<F4>
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 1,327,251
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 703,188
<INCOME-TAX> 0
<INCOME-CONTINUING> 703,188
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> 703,188
<EPS-BASIC> 0
<EPS-DILUTED> 0
<FN>
<F1>Receivables include interest receivable of $69,764 and due from
DWR of $6,524.
<F2)In addition to cash and receivables, total assets include net
unrealized loss on open contracts of $156,813.
<F3>Liabilities include redemptions payable of $347,673, accrued
management fee of $54,684, and accrued administrative expenses of
$33,479.
<F4>Total revenues include realized trading revenue of $434,576, net
change in unrealized of $944,627 and interest income of $651,236.
</FN>
</TABLE>
