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, 2000 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, 2000
<CAPTION>
PART I. FINANCIAL INFORMATION
<S>
<C>
Item 1. Financial Statements
Statements of Financial Condition September 30, 2000
(Unaudited) and December 31, 1999..........................2
Statements of Operations for the Quarters Ended
September 30, 2000 and 1999 (Unaudited)....................3
Statements of Operations for the Nine Months Ended
September 30, 2000 and 1999 (Unaudited)....................4
Statements of Changes in Partners' Capital for the
Nine Months Ended September 30, 2000 and 1999
(Unaudited)................................................5
Statements of Cash Flows for the Nine Months Ended
September 30, 2000 and 1999 (Unaudited)....................6
Notes to Financial Statements (Unaudited).............. 7-
12
Item 2. Management's Discussion and Analysis of
Financial Condition and Results of Operations...... 13-22
Item 3. Quantitative and Qualitative Disclosures about
Market Risk....................................... 22-31
Part II. OTHER INFORMATION
Item 1. Legal Proceedings......................................32
Item 5. Other Information......................................32
Item 6. Exhibits and Reports on Form 8-K....................32-33
</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,
2000 1999 $
$
(Unaudited)
ASSETS
<S> <C> <C>
Equity in futures interests trading accounts:
Cash 15,455,984 20,485,336
Net unrealized loss on open contracts (MS & Co.)
(615,871) -
Net unrealized gain on open contracts (Carr)______-___
149,925
Total net unrealized gain (loss) on open contracts (615,871)
149,925
Total Trading Equity 14,840,113 20,635,261
Interest receivable (DWR) 60,847 74,011
Total Assets 14,900,960 20,709,272
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable 278,684 381,996
Accrued administrative expenses 45,621 14,457
Accrued management fees 37,138 51,737
Total Liabilities 361,443 448,190
Partners' Capital
Limited Partners (16,428.167 and
20,079.269 Units, respectively)14,268,101 19,950,579
General Partner (312.506 Units) 271,416 310,503
Total Partners' Capital 14,539,517 20,261,082
Total Liabilities and Partners' Capital 14,900,960 20,709,272
NET ASSET VALUE PER UNIT 868.51 993.59
<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 September 30,
2000 1999
$ $
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized (66,878) (677,771)
Net change in unrealized (176,877) 445,032
Total Trading Results (243,755) (232,739)
Interest Income (DWR) 190,083 214,037
Total Revenues (53,672) (18,702)
EXPENSES
Brokerage commissions (DWR) 177,963 268,861
Management fees 113,776 164,635
Administrative expenses 11,661 14,938
Transaction fees and costs ____-___ 15,095
Total Expenses 303,400 463,529
NET LOSS (357,072) (482,231)
NET LOSS ALLOCATION
Limited Partners (350,645)
(475,766)
General Partner (6,427) (6,465)
NET LOSS PER UNIT
Limited Partners
(20.57) (20.69)
General Partner
(20.57) (20.69)
<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,
2000 1999
$ $
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized (1,135,961) 434,576
Net change in unrealized (765,796) 944,627
Total Trading Results (1,901,757) 1,379,203
Interest Income (DWR) 601,146 651,236
Total Revenues (1,300,611) 2,030,439
EXPENSES
Brokerage commissions (DWR) 571,320 709,931
Management fees 387,297 533,726
Administrative expenses 35,484 45,822
Transaction fees and costs 22,249 37,772
Total Expenses 1,016,350 1,327,251
NET INCOME (LOSS) (2,316,961) 703,188
NET INCOME (LOSS) ALLOCATION
Limited Partners (2,277,874) 695,087
General Partner (39,087)
8,101
NET INCOME (LOSS) PER UNIT
Limited Partners
(125.08) 25.92
General Partner
(125.08) 25.92
<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, 2000 and 1999
(Unaudited)
<CAPTION>
Units of
Partnership Limited General
Interest Partners Partner Total
<S> <C> <C> <C> <C>
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 $310,575
$21,471,092
Partners' Capital,
December 31, 1999 20,391.775 $19,950,579 $310,503
$20,261,082
Net Loss
- (2,277,874) (39,087)
(2,316,961)
Redemptions (3,651.102) (3,404,604)
- (3,404,604)
Partners' Capital,
September 30, 2000 16,740.673 $14,268,101 $271,416
$14,539,517
<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,
2000 1999
$ $
CASH FLOWS FROM OPERATING ACTIVITIES
<S> <C> <C>
Net income (loss) (2,316,961) 703,188
Noncash item included in net income (loss):
Net change in unrealized 765,796 (
944,627)
(Increase) decrease in operating assets:
Interest receivable (DWR) 13,164 6,362
Due from DWR
- (6,524)
Increase (decrease) in operating liabilities:
Accrued administrative expenses 31,164
27,502
Accrued management fees (14,599)
(8,065)
Net cash used for operating activities (1,521,436)
(222,164)
CASH FLOWS FROM FINANCING ACTIVITIES
Increase (decrease) in redemptions payable(103,312) 99,175
Redemptions of Units (3,404,604)
(4,020,259)
Net cash used for financing activities (3,507,916)
(3,921,084)
Net decrease in cash (5,029,352) (
4,143,248)
Balance at beginning of period 20,485,336
26,130,701
Balance at end of period 15,455,984
21,987,453
<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 unaudited financial statements contained herein 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, 1999 Annual
Report on Form 10-K.
1. Organization
Dean Witter World Currency Fund L.P. is a Delaware 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"). Morgan Stanley & Co., Inc.
("MS & Co.") and Morgan Stanley & Co. International Limited
("MSIL") provide clearing and execution services. Demeter, DWR,
MS & Co. and MSIL are wholly-owned subsidiaries of Morgan Stanley
Dean Witter & Co. John W. Henry & Company and Millburn
Ridgefield Corporation are the trading advisors (collectively,
the "Trading Advisors") to the Partnership.
<PAGE>
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, MS & Co., and MSIL
in futures interests trading accounts to meet margin requirements
as needed. 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 ("FASB")
issued Statement of Financial Accounting Standard ("SFAS") No.
133, "Accounting for Derivative Instruments and Hedging
Activities" effective for fiscal years beginning after June 15,
2000, as amended by SFAS No. 137. The Partnership adopted the
provisions of SFAS No. 133 beginning with the fiscal year ended
December 31, 1998. SFAS No. 133 superceded SFAS Nos. 119 and
<PAGE>
DEAN WITTER WORLD CURRENCY FUND L.P.
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
105, which required the disclosure of average aggregate fair
values and contract/notional values, respectively, of derivative
financial instruments for an entity that carries its assets at
fair value. SFAS No. 133 was further amended by SFAS No. 138,
which clarifies issues surrounding interest rate risk, foreign
currency denominations, normal purchases and sales and net
hedging. The application of SFAS No. 133, as amended by SFAS No.
137, did not have a significant effect on the Partnership's
financial statements, nor will the application of the provisions
of SFAS No. 138 have a significant effect on the Partnership's
financial statements.
SFAS No. 133 defines a derivative as a financial instrument or
other contract that has all three of the following
characteristics:
1) One or more underlying notional amounts or payment
provisions;
2) Requires no initial net investment or a smaller initial net
investment than would be required relative to changes in market
factors;
3) Terms require or permit net settlement.
<PAGE>
DEAN WITTER WORLD CURRENCY FUND L.P.
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
Generally derivatives include futures, forwards, swaps or option
contracts, or other financial instruments with similar
characteristics such as caps, floors and collars.
The net unrealized gain (loss) on open contracts is reported as a
component of "Equity in futures interests trading accounts" on
the statements of financial condition and totaled $(615,871) and
$149,925 at September 30, 2000 and December 31, 1999,
respectively.
The net unrealized loss on open contracts of $615,871 at
September 30, 2000 and the net unrealized gain on open contracts
of $149,925 at December 31, 1999 related to off-exchange-traded
forward currency contracts.
Off-exchange-traded forward currency contracts held by the
Partnership at September 30, 2000 and December 31, 1999 mature
through December 2000 and March 2000, respectively.
The Partnership has 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.
<PAGE>
DEAN WITTER WORLD CURRENCY FUND L.P.
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
The Partnership also has credit risk because DWR, MS & Co., and
MSIL act as the futures commission merchants or the
counterparties with respect to most of the Partnership's assets.
Exchange-traded futures and futures-styled options contracts are
marked to market on a daily basis, with variations in value
settled on a daily basis. DWR, MS & Co., and MSIL each as a
futures commission merchant for the Partnership'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 (loss) on all open futures and futures-styled
options contracts, which funds, in the aggregate, totaled
$15,455,984 and $20,485,336 at September 30, 2000 and December
31, 1999, 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 (loss) 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
<PAGE>
DEAN WITTER WORLD CURRENCY FUND L.P.
NOTES TO FINANCIAL STATEMENTS - (CONCLUDED)
MS & Co., the sole counterparty on all of such contracts, to
perform. The Partnership has a netting agreement with MS & Co.
This agreement, which seeks to reduce both the Partnership's and
MS & Co.'s exposure on off-exchange-traded forward currency
contracts, should materially decrease the Partnership's credit
risk in the event of MS & Co.'s bankruptcy or insolvency.
<PAGE>
Item 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL
CONDITION AND RESULTS OF OPERATIONS
Liquidity - The Partnership deposits its assets with DWR as non-
clearing broker and MS & Co. and MSIL as clearing brokers in
separate futures trading accounts established for each Trading
Advisor, which assets are used as margin to engage in trading.
The assets are held in either non-interest-bearing bank accounts
or in securities and instruments permitted by the CFTC for
investment of customer segregated or secured funds. The
Partnership's assets held by the commodity brokers may be used as
margin solely for the Partnership's trading. Since the
Partnership's sole purpose is to trade in futures, forwards, and
options, it is expected that the Partnership will continue to own
such liquid assets for margin purposes.
The Partnership's investment in futures, forwards, and options
may, from time to time, be illiquid. Most U.S. futures exchanges
limit fluctuations in prices during a single day by regulations
referred to as "daily price fluctuations limits" or "daily
limits". Trades may not be executed at prices beyond the daily
limit. If the price for a particular futures or options contract
has increased or decreased by an amount equal to the daily limit,
positions in that futures or options contract can neither be
taken
<PAGE>
nor liquidated unless traders are willing to effect trades at or
within the limit. Futures prices have occasionally moved the
daily limit for several consecutive days with little or no
trading. These market conditions could prevent the Partnership
from promptly liquidating its futures or options contracts and
result in restrictions on redemptions.
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, subjecting it to
substantial losses. Either of these market conditions could
result in restrictions on redemptions.
The Partnership has never had illiquidity affect a material
portion of its assets.
Capital Resources. The Partnership does not have, or expect to
have, any capital assets. Redemptions of additional units of
limited partnership interest ("Unit(s)") in the future will
affect the amount of funds available for investment in futures
interests in subsequent periods. It is not possible to estimate
the amount and therefore, the impact of future redemptions of
Units.
<PAGE>
Results of Operations
General. The Partnership's results depend on its Trading
Advisors and the ability of the Trading Advisors' trading
programs to take advantage of price movements or other profit
opportunities in the futures, forwards, and options markets. The
following presents a summary of the Partnership's operations for
the quarters and nine months ended September 30, 2000 and 1999,
respectively, and a general discussion of its trading activities
during each period. It is important to note, however, that the
Trading Advisors trade in various markets at different times and
that prior activity in a particular market does not mean that
such market will be actively traded by the Trading Advisors or
will be profitable in the future. Consequently, the results of
operations of the Partnership are difficult to discuss other than
in the context of its Trading Advisors' trading activities on
behalf of the Partnership as a whole and how the Partnership has
performed in the past.
For the Quarter and Nine Months Ended September 30, 2000
For the quarter ended September 30, 2000, the Partnership
recorded total trading losses net of interest income of $53,672
and posted a decrease in Net Asset Value per Unit. The most
significant losses of approximately 3.2% were recorded primarily
during August from short Japanese yen positions as the value of
the yen strengthened versus the U.S. dollar following comments by
a senior Japanese official stating that the Bank of Japan could
<PAGE>
raise interest rates further by December. Newly established long
Japanese yen positions incurred additional losses during
September as the value of the yen weakened against the U.S.
dollar on warnings that the Japanese economy may shrink in the
fourth quarter because of lethargic consumer spending.
Additional losses of approximately 1.0% were recorded from long
Australian dollar positions as its value declined versus the U.S.
dollar on weakness in the euro and fading of Australian interest
rate expectations during August. Smaller losses of approximately
0.7% resulted from long Canadian dollar positions as its value
weakened relative to the U.S. dollar on technical factors and
general weakness in commodity-related currencies. A portion of
overall Partnership losses was offset by gains of approximately
1.9% recorded primarily during September from short Thai baht
positions as its value weakened versus the U.S. dollar due to
poor market sentiment in the Asian Pacific region. Additional
gains of approximately 0.9% resulted from short New Zealand
dollar positions during August as its value dropped alongside the
euro and after worse-than-expected trade figures were released.
Smaller gains of approximately 0.8% were experienced from short
British pound positions as its value weakened against the U.S.
dollar during July after June data showed Britain's manufacturing
sector grew at its slowest rate since June 1999. Short British
pound positions were also profitable during September as the
pound's value weakened relative to the U.S. dollar amid a
combination of capital flow considerations, expectations of
<PAGE>
peaking U.K. interest rate hikes and a sagging euro. Total
expenses for the three months ended September 30, 2000 were
$303,400, resulting in a net loss of $357,072. The value of a
Unit decreased from $889.08 at June 30, 2000 to $868.51 at
September 30, 2000.
For the nine months ended September 30, 2000, the Partnership
recorded total trading losses net of interest income of
$1,300,611 and posted a decrease in Net Asset Value per Unit.
The most significant losses of approximately 7.1% were recorded
from trading the Japanese yen. Long Japanese yen positions
incurred losses during the first half of the year as the value of
the yen weakened versus the U.S. dollar following Bank of Japan
interventions in both April and June. During August, short
Japanese yen positions were unprofitable as the value of the yen
strengthened versus the U.S. dollar on concerns about potential
interest rates increases expected by December. Newly established
long Japanese yen positions resulted in additional losses during
September as the yen's value weakened against the U.S. dollar on
warnings that the Japanese economy may shrink in the fourth
quarter. Losses of approximately 4.7% were recorded from
transactions involving the British pound during the first half of
the year. Long British pound positions incurred losses during
the first quarter amid the U.S. dollar's strength versus other
major currencies and interest rate increases by the European
Central Bank ("ECB") and the U.S. Federal Reserve. Newly
<PAGE>
established short British pound positions incurred losses in the
second quarter as the pound's value strengthened versus the U.S.
dollar on the back of a strengthening euro and on speculation
that U.S. interest rates may have topped in the medium term.
Smaller losses of approximately 2.4% resulted from long Canadian
dollar positions throughout the first nine months of the year as
its value weakened relative to the U.S. dollar on technical
factors and general weakness in commodity-related currencies.
Losses of approximately 2.2% resulted from short Australian
dollar positions as its value strengthened versus the U.S. dollar
during mid June on higher gold prices and stronger-than-expected
Australian economic growth data. During August, long Australian
dollar positions contributed to these losses as its value
declined versus the U.S. dollar on weakness in the euro and the
fading of Australian interest rate expectations. A portion of
overall Partnership losses was offset by gains of approximately
3.8% recorded from transactions involving the euro. Short
positions in the euro recorded gains as its value weakened versus
the U.S. dollar during the first half of the year due to
skepticism about Europe's economic outlook, expectations that the
ECB would hold interest rates steady and the ECB's passive stance
towards its currency. Additional gains of approximately 1.9%
were recorded during September from short Thai baht positions as
its value weakened versus the U.S. dollar due to poor market
sentiment in the Asian Pacific region. Smaller gains of
approximately 1.6% were experienced from short South African rand
<PAGE>
positions during April and May as its value receded relative to
the U.S. dollar amid speculation that Zimbabwe was on the verge
of devaluing its currency. Total expenses for the nine months
ended September 30, 2000 were $1,016,350, resulting in a net loss
of $2,316,961. The value of a Unit decreased from $993.59 at
December 31, 1999 to $868.51 at September 30, 2000.
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 of approximately 10.6% were experienced
primarily from trading 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 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
<PAGE>
British pound positions experienced losses of approximately 1.2%
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 Gross Domestic
Product ("GDP") figures showed that the British economy grew
faster than had previously been expected. A portion of these
losses was offset by gains of approximately 10.1% recorded
throughout the quarter primarily 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 of approximately 1.7%
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. 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.
<PAGE>
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 of approximately 7.8% were recorded
throughout a majority of the first half of the year primarily
from short positions in the euro as its value 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 of approximately 1.2% 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 of approximately 3.9% experienced primarily 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
euro. During July, losses were recorded in this market from long
pound positions 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
British pound positions resulted in additional losses during the
third quarter as the pound's value rose versus the U.S. dollar
<PAGE>
later in July after revised first quarter GDP figures showed that
the British economy grew faster than had previously been
expected. Smaller losses of approximately 3.5% were incurred
primarily 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.
Item 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET
RISK
Introduction
The Partnership is a commodity pool involved in the speculative
trading of futures interests. The market-sensitive instruments
held by the Partnership are acquired for speculative trading
purposes only and, as a result, all or substantially all of the
Partnership's assets are at risk of trading loss. Unlike an
operating company, the risk of market-sensitive instruments is
central, not incidental, to the Partnership's main business
activities.
The futures interests traded by the Partnership involve varying
degrees of market risk. Market risk is often dependent upon
changes in the level or volatility of interest rates, exchange
<PAGE>
rates, and prices of financial instruments and commodities.
Fluctuations in market risk based upon these 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 among the
Partnership's open positions, the volatility present within the
markets, and the liquidity of the markets. At different times,
each of these factors may act to increase or decrease the market
risk associated with the Partnership.
The Partnership's past performance is not necessarily indicative
of its future results. Any attempt to numerically quantify the
Partnership's market risk is limited by the uncertainty of its
speculative trading. The Partnership's speculative trading may
cause future losses and volatility (i.e. "risk of ruin") that far
exceed the Partnership's experiences to date or any reasonable
expectations based upon historical changes in market value.
Quantifying the Partnership's Trading Value at Risk
The following quantitative disclosures regarding the Partner-
ship'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
<PAGE>
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 using mark-to-market
accounting principles. Any loss in the market value of the
Partnership's open positions is directly reflected in the
Partnership's earnings, whether realized or unrealized, and its
cash flow. Profits and losses on open positions of exchange-
traded futures interests are settled daily through variation
margin.
The Partnership's risk exposure in the market sectors traded by
the Trading Advisors is estimated below in terms of Value at Risk
("VaR"). The VaR model employed by the Partnership includes many
variables that could change the market 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 the value of a trading portfolio.
The VaR model 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, and correlation among these variables.
<PAGE>
The hypothetical changes in portfolio value are based on daily
percentage changes observed in key market indices or other market
factors ("market risk factors") to which the portfolio is
sensitive. The historical observation period of the Partner-
ship's VaR is approximately four years. The one-day 99%
confidence level of the Partnership's VaR corresponds to the
negative change in portfolio value that, based on observed market
risk factors, would have been exceeded once in 100 trading days.
VaR models, including the Partnership's, are continuously
evolving as trading portfolios become more diverse and modeling
techniques and systems capabilities improve. Please note that
the VaR model is used to numerically quantify market risk for
historic reporting 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 primary market category as of September 30, 2000 and 1999. As
of September 30, 2000 and 1999, the Partnership's total
capitalization was approximately $15 million and $21 million,
respectively.
<PAGE>
Primary Market September 30, 2000 September 30, 1999
Risk Category Value at Risk Value at Risk
Currency (4.01)% (3.26)%
The table above represents the VaR of the Partnership's open
positions at September 30, 2000 and 1999 only and is not
necessarily representative of either the historic or future risk
of an investment in the Partnership. Because the Partnership's
only business is the speculative trading of futures interests,
the composition of its trading portfolio can change significantly
over any given time period or even within a single trading day.
Any changes in open positions could positively or negatively
materially impact market risk as measured by VaR.
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, 1999 through September 30, 2000.
Primary Market Risk Category High Low Average
Currency (4.01)% (1.60)% (2.75)%
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
requirements. Margin requirements generally range between 2% and
15% of contract face value. Additionally, the use of leverage
causes the face value of the market sector instruments held by
<PAGE>
the Partnership to typically be many times the total
capitalization of the Partnership. The value of the
Partnership's open positions thus creates a "risk of ruin" not
typically found in other investments. The relative size of the
positions held may cause the Partnership to incur losses greatly
in excess of VaR within a short period of time, given the effects
of the leverage employed and market volatility. The VaR tables
above, as well as the past performance of the Partnership, give
no indication of such "risk of ruin". In addition, VaR risk
measures should be viewed in light of the methodology's
limitations, which include the following:
past changes in market risk factors will not always result
in accurate predictions of the distributions and correlations of
future market movements;
changes in portfolio value in response to market movements
may differ from those of the VaR model;
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
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.
<PAGE>
The VaR tables above present the results of the Partnership's VaR
for the Partnership's market risk exposure at September 30, 2000
and for the end of the four quarterly reporting periods from
October 1, 1999 through September 30, 2000. 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 or monitor risk. There can be no assurance that the
Partnership's actual losses on a particular day will not exceed
the VaR amounts indicated above 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. These balances and any market
risk they may represent are immaterial. At September 30, 2000
the Partnership's cash balance at DWR was approximately 106% of
its total Net Asset Value. 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 leverage, optionality and multiplier features of the
Partnership's market-sensitive instruments.
<PAGE>
Qualitative Disclosures Regarding Primary Trading Risk Exposures
The following qualitative disclosures regarding the Partnership's
market risk exposures - except for (A) those disclosures that are
statements of historical fact and (B) 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.
The following was the primary trading risk exposure of the
Partnership as of September 30, 2000. It may be anticipated
however, that market exposure will vary materially over time.
<PAGE>
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. At September 30, 2000, 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 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, 2000:
Foreign Currency Balances. The Partnership did not have
foreign currency balances as of September 30, 2000.
<PAGE>
Qualitative Disclosures Regarding Means of Managing Risk Exposure
The Partnership and the Trading Advisors, separately, attempt to
manage the risk of the Partnership's open positions in
essentially the same manner in all market categories traded.
Demeter attempts to manage market exposure by diversifying the
Partnership's assets among different Trading Advisors, each of
whose strategies focus on different market sectors and trading
approaches, and monitoring the performance of the Trading
Advisors daily. In addition, the Trading Advisors establish
diversification 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. Cash is the only Partnership
investment directed by Demeter, rather than the Trading Advisors.
<PAGE>
PART II. OTHER INFORMATION
Item 1. LEGAL PROCEEDINGS
Please refer to Legal Proceedings previously disclosed in the
Partnership's Form 10-Q(s) for the quarters ended March 31, 2000
and June 30, 2000 and Form 10-K for the year ended December 31,
1999.
Item 5. OTHER INFORMATION
Commencing December 1, 2000, the management fee paid by the
Partnership to each Trading Advisor will be reduced from a 3% to
a 2% annual rate. Additionally, the quarterly incentive fee paid
by the Partnership to each Trading Advisor will be changed from
17.5% to 20% of the Partnership's trading profits.
Item 6. EXHIBITS AND REPORTS ON FORM 8-K
(A) Exhibits
3.01 Limited Partnership Agreement of the Partnership, dated as
of December 8, 1992 is incorporated by reference to Exhibit 3.01
and Exhibit 3.02 of the Partnership's Registration Statement on
Form S-1 (File No. 33-55806).
10.01 Form of the Management Agreements among the
Partnership, Demeter and CCA Capital Management Inc., Colorado
Commodities Management Corporation, Ezra Zask Associates Inc.
and Millburn Ridgefield Corporation dated as of March 1, 1993
is incorporated by reference to Exhibit 10.02 of the
Partnership's Registration Statement on Form S-1 (File No. 33-
55806).
<PAGE>
10.02 Management Agreement among the Partnership, Demeter
and JWH dated as of June 1, 1995 is incorporated by
reference to Exhibit 10.03 of the Partnership's Annual Report
on Form 10K for the fiscal year ended December 31, 1995.
10.03 Amended and Restated Customer Agreement, dated as of
December 1, 1997, between the Partnership and Dean Witter
Reynolds Inc. is incorporated by reference to Exhibit 10.03
of the Partnership's Form 10-K (File No. 0-23826) for fiscal
year ended December 31, 1998.
10.04 Customer Agreement, dated as of December 1, 1997,
among the Partnership, Carr Futures Inc., and Dean Witter
Reynolds Inc. is incorporated by reference to Exhibit 10.04 of
the Partnership's Form 10-K (File NO. 0-23826) for fiscal year
ended December 31, 1998.
10.05 International Foreign Exchange Master Agreement, dated
as of August 1, 1997, between the Partnership and Carr Futures,
Inc. is incorporated by reference to Exhibit 10.05 of the
Partnership's Form 10-K (File No. 0-23826) for fiscal year ended
December 31, 1998.
10.06 Customer Agreement, dated as of May 1, 2000 between
Morgan Stanley & Co. Incorporated, the Partnership and Dean
Witter Reynolds Inc. is incorporated by reference to Exhibit
10.06 of the Partnership's Quarterly Report on Form 10-Q for
the quarter ended June 30, 2000, (File No. 0-23826).
(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 14, 2000 By:/s/Raymond E. Koch______________
Raymond E. Koch
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.
