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 June 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
June 30, 1999
<CAPTION>
PART I. FINANCIAL INFORMATION
<S> <C>
Item 1. Financial Statements
Statements of Financial Condition June 30, 1999
(Unaudited) and December 31, 1998..........................2
Statements of Operations for the Quarters Ended
June 30, 1999 and 1998 (Unaudited).........................3
Statements of Operations for the Six Months Ended
June 30, 1999 and 1998 (Unaudited).........................4
Statements of Changes in Partners' Capital for the
Six Months Ended June 30, 1999 and 1998
(Unaudited)................................................5
Statements of Cash Flows for the Six Months Ended
June 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>
June 30, December 31,
1999 1998
$ $
(Unaudited)
ASSETS
<S> <C> <C>
Equity in futures interests trading accounts:
Cash 23,947,604 26,130,701
Net unrealized loss on open contracts (601,845) (1,101,440)
Total Trading Equity 23,345,759 25,029,261
Interest receivable (DWR) 71,502 76,126
Due from DWR 29,076 -
Total Assets 23,446,337 25,105,387
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable 377,092 248,498
Accrued management fees 58,543 62,749
Accrued administrative expenses 29,221 5,977
Total Liabilities 464,856 317,224
Partners' Capital
Limited Partners (22,340.303 and
25,297.735 Units, respectively)22,664,441 24,485,689
General Partner (312.506 Units) 317,040 302,474
Total Partners' Capital 22,981,481 24,788,163
Total Liabilities and Partners' Capital 23,446,337 25,1
05,387
NET ASSET VALUE PER UNIT 1,014.51 967.90
<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 June 30,
1999 1998
$ $
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized 610,805 2,408,497
Net change in unrealized (467,693) (590,272)
Total Trading Results 143,112 1,818,225
Interest Income (DWR) 216,449 285,996
Total Revenues 359,561 2,104,221
EXPENSES
Brokerage commissions (DWR) 235,664 301,092
Management fees 182,373 221,632
Administrative expenses 15,469 18,385
Transaction fees and costs 12,965 17,391
Total Expenses 446,471 558,500
NET INCOME (LOSS) (86,910) 1,545,721
NET INCOME (LOSS) ALLOCATION
Limited Partners
(85,438) 1,481,122
General Partner (1,472)
64,599
NET INCOME (LOSS) PER UNIT
Limited Partners
(4.71) 53.50
General Partner
(4.71) 53.50
<FN>
The accompanying notes are an integral part
of these financial statements.
</TABLE>
<apge>
<TABLE>
DEAN WITTER WORLD CURRENCY FUND L.P.
STATEMENTS OF OPERATIONS
(Unaudited)
<CAPTION>
For the Six Months Ended June 30,
1999 1998
$ $
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized 1,112,347 1,500,178
Net change in unrealized 499,595 (111,345)
Total Trading Results 1,611,942 1,388,833
Interest Income (DWR) 437,199 592,578
Total Revenues 2,049,141 1,981,411
EXPENSES
Brokerage commissions (DWR) 441,070 519,850
Management fees 369,091 449,681
Administrative expenses 30,884 37,246
Transaction fees and costs 22,677 29,107
Total Expenses 863,722 1,035,884
NET INCOME 1,185,419 945,527
NET INCOME ALLOCATION
Limited Partners
1,170,853 902,673
General Partner
14,566 42,854
NET INCOME PER UNIT
Limited Partners
46.61 35.49
General Partner
46.61 35.49
<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 Six Months Ended June 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 - 902,673 42,854
945,527
Redemptions (2,855.767) (2,746,636) -
(2,746,636)
Partners' Capital,
June 30, 1998 29,217.572 $28,830,066 $1,242,856
$30,072,922
Partners' Capital,
December 31, 1998 25,610.241 $24,485,689 $302,474
$24,788,163
Net Income - 1,170,853 14,566
1,185,419
Redemptions (2,957.432) (2,992,101) -
(2,992,101)
Partners' Capital,
June 30, 1999 22,652.809 $22,664,441 $317,040
$22,981,481
<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 Six Months Ended June 30,
1999 1998
$ $
CASH FLOWS FROM OPERATING ACTIVITIES
<S> <C> <C>
Net income 1,185,419 945,527
Noncash item included in net income:
Net change in unrealized (499,595) 111,345
(Increase) decrease in operating assets:
Interest receivable (DWR) 4,624 13,569
Due from DWR (29,076) (49,606)
Net option premiums - (
204,551)
Increase (decrease) in operating liabilities:
Accrued management fees (4,206) (4,642)
Accrued administrative expenses 23,244
37,241
Net cash provided by operating activities 680,410
848,883
CASH FLOWS FROM FINANCING ACTIVITIES
Increase (decrease) in redemptions payable 128,594 (50,900)
Redemptions of units (2,992,101)
(2,746,636)
Net cash used for financing activities (2,863,507)
(2,797,536)
Net decrease in cash (2,183,097) (
1,948,653)
Balance at beginning of period 26,130,701
31,327,827
Balance at end of period 23,947,604
29,379,174
<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.
2. 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 $601,845 and
$1,101,440 at June 30, 1999 and December 31, 1998, respectively.
The net unrealized losses on open contracts of $601,845 at June
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 June 30, 1999 and December 31, 1998 mature through
September 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
$23,947,604 and $26,130,701 at June 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 Six Months Ended June 30, 1999
For the quarter ended June 30, 1999, the Partnership recorded
total trading revenues including interest income of $359,561, and
after expenses, posted a decrease in Net Asset Value per Unit.
The most significant net trading losses were experienced during
May from short positions in the euro versus the Japanese yen.
The value of the yen weakened versus the euro on widening
interest rate differentials between Japan and the United States
and on talk that China may devalue its currency. Short Japanese
yen positions were unprofitable versus the U.S. dollar during mid-
June as the value of the yen strengthened temporarily on
<PAGE>
reports of stronger-than-expected gross domestic product data
from Japan, reports that U.S. assets had declined on inflationary
jitters and expectations of a U.S. interest rate hike. Newly
established long yen positions resulted in additional losses
later in the month as the yen's value weakened versus the U.S.
dollar after the Bank of Japan intervened to prevent a rise in
the yen in an effort to assist economic recovery in Japan.
Additional losses were recorded from short positions in the
Singapore dollar as the value of most Far Eastern currencies
rallied during April amid increased optimism regarding the
potential for economic recovery in that region and during June
due to the short-lived strength in the Japanese yen. Smaller
losses were incurred from long British pound positions as the
value of the pound receded during May after the Bank of England
stated that it might cut interest rates to stem any undesirable
appreciation of the pound and during June as U.K. inflation
reached a six-year low. These losses were partially offset by
gains from short positions in the euro and Swiss franc as the
value of these European currencies weakened steadily versus the
U.S. dollar during April due to the lack of economic growth in
the European community, the ongoing military conflict in Kosovo
and strong economic data out of the U.S. During June month-end,
the U.S. dollar strengthened relative to these European
currencies after tame U.S. inflation data eased fears that the
Federal Reserve was about to embark on a series of rate hikes.
Total expenses for the three months ended June 30, 1999 were
$446,471, resulting in a net loss of $86,910. The value of a
<PAGE>
Unit decreased from $1,019.22 at March 31, 1999 to $1,014.51 at
June 30, 1999.
For the six months ended June 30, 1999, the Partnership recorded
total trading revenues including interest income of $2,049,141
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. Additional
gains were recorded from short Swiss franc positions as the value
of the U.S. dollar increased versus the franc during March and
April as investors reasoned that the U.S. is the safest place to
invest during the crisis in Kosovo. These gains were partially
offset by losses experienced during January and February from
long Japanese yen positions as the value of the yen fell to a 2 1/2
month low versus the U.S. dollar after several key Tokyo
officials suggested that Japanese policy makers were satisfied
with a weaker yen. Additional losses were experienced during
March from newly established short Japanese yen positions as the
value of the yen increased relative to the U.S. dollar amid
positive investor reaction to the Bank of Japan's decision to
leave the official discount rate unchanged. Short Japanese yen
positions were also unprofitable during June as the value of the
yen temporarily strengthened versus the U.S. dollar on reports of
stronger-than-expected gross domestic product data from Japan.
<PAGE>
Newly established long Japanese yen positions during June were
also unprofitable as the value of the yen weakened versus the
U.S. dollar after the Bank of Japan intervened to prevent a rise
in the yen. Additional losses were recorded during late March
from long British pound positions as the value of the pound
retreated 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.
Smaller losses were recorded during January from short Norwegian
krone positions as its value strengthened versus the U.S. dollar
due to stable oil prices and the possibility that this
Scandinavian currency could be linked to the euro sometime in the
future. During March, losses were experienced from short
Norwegian krone positions as its value strengthened versus the
U.S. dollar in reaction to the rally in oil prices. Total
expenses for the six months ended June 30, 1999 were $863,722,
resulting in net income of $1,185,419. The value of a Unit
increased from $967.90 at December 31, 1998 to $1,014.51 at June
30, 1999.
For the Quarter and Six Months Ended June 30, 1998
For the quarter ended June 30, 1998, the Partnership recorded
total trading revenues including interest income of $2,104,221
and posted an increase in Net Asset Value per Unit. The most
significant gains were recorded from short positions in the South
African rand held throughout the quarter. Gains were recorded in
April as this currency weakened versus the U.S. dollar and in May
from a devaluation relative to the U.S. dollar late in the month.
<PAGE>
Short positions in the rand continued to profit as the value of
the South African rand trended sharply lower relative to the U.S.
dollar in June despite intervention by that country's central
bank late in the month. Additional gains were recorded from
short Japanese yen positions as the value of the yen fell to a
seven and a half year low versus the U.S. dollar during May amid
growing concerns regarding the Asian economic crisis. Short
Japanese yen positions held during June contributed additional
profits as the value of the yen decreased versus the U.S. dollar
despite coordinated intervention by the U.S. and Japanese
governments during the third week of June in an effort to halt
the downward slide of the yen. Smaller currency gains were
recorded from short positions in the Australian and New Zealand
dollars. A portion of the Partnership's overall gains for the
second quarter was offset by losses recorded from short positions
in the German mark and Swiss franc as the value of these
currencies strengthened relative to other world currencies in
April and May. Transactions involving the German mark continued
to result in losses during June. Smaller losses were experienced
from long British pound positions held during May as the value of
the pound decreased relative to the U.S. dollar, and short pound
positions held during June as the value of the pound increased
sharply during mid-month. Total expenses for the three months
ended June 30, 1998 were $558,500, resulting in net income of
$1,545,721. The value of a Unit increased from $975.78 at March
31, 1998 to $1,029.28 at June 30, 1998.
<PAGE>
For the six months ended June 30, 1998, the Partnership recorded
total trading revenues including interest income of $1,981,411
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 to the
U.S. dollar during the second quarter. 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 during the second quarter as the
yen reached a seven and a half year low relative to the U.S.
dollar during May and preceded lower until mid-June. A portion
of the Partnership's overall gains was offset by losses from
trading the German mark and British pound throughout the second
quarter. Smaller currency gains recorded from short Australian
and New Zealand dollar positions also contributed to the
Partnership's profits during the first half of 1998. Total
expenses for the six months ended June 30, 1998 were $1,035,884,
resulting in net income of $945,527. The value of a Unit
increased from $993.79 at December 31, 1997 to $1,029.28 at June
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
the "Year 2000 Problem". The Partnership could be adversely
affected if computer systems used by it or any third party with
<PAGE>
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
Advisors throughout 1999 in their Year 2000 compliance and, where
<PAGE>
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 June 30, 1999. As of June 30, 1999, the
Partnership's total capitalization was approximately $23 million.
Primary Market June 30, 1999
Risk Category Value at Risk
Currency (4.30)%
Aggregate Value at Risk (4.30)%
The table above represents the VaR of the Partnership's open
positions at June 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 July 1,
1998 through June 30, 1999.
<PAGE>
Primary Market Risk Category High Low Average
Currency (4.30)% (1.41)% (2.92)%
Aggregate Value at Risk (4.30)% (1.41)% (2.92)%
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 June 30, 1999
and for the end of the four quarterly reporting periods from
July 1, 1998 through June 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
91%) 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 June 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 second 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 June 30, 1999:
<PAGE>
Foreign Currency Balances. The Partnership's primary foreign
currency balances are in euros, Swiss francs, Japanese yen, South
African rands and British pounds. 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:
With respect to the plaintiff's consolidated action in
California, on July 1, 1999, the Superior Court of the State of
California, ruling from the bench, denied the plaintiffs' motion
to have their lawsuit certified as a class action, stating, among
other things, that plaintiffs' lawsuit did not present common
questions of fact.
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)
August 13, 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> 6-MOS
<FISCAL-YEAR-END> DEC-31-1999
<PERIOD-END> JUN-30-1999
<CASH> 23,947,604
<SECURITIES> 0
<RECEIVABLES> 100,578<F1>
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 0
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 23,446,337<F2>
<CURRENT-LIABILITIES> 0
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 0
<TOTAL-LIABILITY-AND-EQUITY> 23,446,337<F3>
<SALES> 0
<TOTAL-REVENUES> 2,049,141<F4>
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 863,722
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 1,185,419
<INCOME-TAX> 0
<INCOME-CONTINUING> 1,185,419
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> 1,185,419
<EPS-BASIC> 0
<EPS-DILUTED> 0
<FN>
<F1>Receivables include interest receivable of $71,502 and due from
DWR of $29,076.
<F2)In addition to cash and receivables, total assets include net
unrealized loss on open contracts of $601,845.
<F3>Liabilities include redemptions payable of $377,092, accrued
management fees of $58,543, and accrued administrative expenses of
$29,221.
<F4>Total revenues include realized trading revenue of $1,112,347, net
change in unrealized of $499,595 and interest income of $437,199.
</FN>
</TABLE>
