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 March 31, 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
March 31, 2000
<CAPTION>
PART I. FINANCIAL INFORMATION
Item 1. Financial Statements
<S>
<C>
Statements of Financial Condition March 31, 2000
(Unaudited) and December 31, 1999 2
Statements of Operations for the Quarters Ended
March 31, 2000 and 1999 (Unaudited) 3
Statements of Changes in Partners' Capital for
the Quarters Ended March 31, 2000 and 1999 (Unaudited) 4
Statements of Cash Flows for the Quarters Ended
March 31, 2000 and 1999 (Unaudited) 5
Notes to Financial Statements (Unaudited) 6-10
Item 2. Management's Discussion and Analysis of
Financial Condition and Results of Operations 11-17
Item 3. Quantitative and Qualitative Disclosures about
Market Risk 17-26
Part II. OTHER INFORMATION
Item 1. Legal Proceedings 27
Item 5. Other Information 27
Item 6. Exhibits and Reports on Form 8-K 28
</TABLE>
<PAGE>
<TABLE>
PART I. FINANCIAL INFORMATION
Item 1. Financial Statements
DEAN WITTER WORLD CURRENCY FUND L.P.
STATEMENTS OF FINANCIAL CONDITION
<CAPTION>
March 31, December 31,
2000 1999
$ $
(Unaudited)
ASSETS
<S> <C> <C>
Equity in futures interests trading accounts:
Cash 17,895,674 20,485,336
Net unrealized gain on open contracts 158,034 149,925
Total Trading Equity 18,053,708 20,635,261
Interest receivable (DWR) 72,664 74,011
Due from DWR 22,056 -
Total Assets 18,148,428 20,709,272
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable 597,532 381,996
Accrued management fees 45,315 51,737
Accrued administrative expenses 22,349 14,457
Total Liabilities 665,196 448,190
Partners' Capital
Limited Partners (18,294.421 and
20,079.269 Units, respectively)17,189,599 19,950,579
General Partner (312.506 Units) 293,633 310,503
Total Partners' Capital 17,483,232 20,261,082
Total Liabilities and Partners' Capital18,148,428 20,709,272
NET ASSET VALUE PER UNIT 939.61 993.59
<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 March 31,
2000 1999
$ $
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized (883,339) 501,542
Net change in unrealized 8,109 967,288
Total Trading Results (875,230) 1,468,830
Interest Income (DWR) 213,244 220,750
Total Revenues (661,986) 1,689,580
EXPENSES
Brokerage commissions (DWR) 233,151 205,406
Management fees 143,642 186,718
Administrative expenses 12,211 15,415
Transaction fees and costs 14,178 9,712
Total Expenses 403,182 417,251
NET INCOME (LOSS) (1,065,168) 1,272,329
NET INCOME (LOSS) ALLOCATION
Limited Partners (1,048,298) 1,256,291
General Partner (16,870) 16,038
NET INCOME (LOSS) PER UNIT
Limited Partners (53.98) 51.32
General Partner (53.98) 51.32
<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 Quarters Ended March 31, 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 - 1,256,291 16,0381,272,329
Redemptions
(1,617.480) (1,606,608) - (1,606,608)
Partners' Capital,
March 31, 1999
23,992.761 $24,135,372 $318,512$24,453,884
Partners' Capital,
December 31, 1999
20,391.775 $19,950,579 $310,503 $20,261,082
Net Loss - (1,048,298)(16,870)(1,065,168)
Redemptions
(1,784.848) (1,712,682) - (1,712,682)
Partners' Capital,
March 31, 2000
18,606.927 $17,189,599 $293,633$17,483,232
<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 Quarters Ended March 31,
2000 1999
$ $
CASH FLOWS FROM OPERATING ACTIVITIES
<S> <C> <C>
Net income (loss) (1,065,168) 1,272,329
Noncash item included in net income (loss):
Net change in unrealized (8,109) (967,288)
(Increase) decrease in operating assets:
Interest receivable (DWR) 1,347 (1,183)
Due from DWR (22,056) -
Increase (decrease) in operating liabilities:
Accrued management fees (6,422) 46
Accrued administrative expenses 7,892
7,775
Net cash provided by (used for) operating activities (1,092,516)
311,679
CASH FLOWS FROM FINANCING ACTIVITIES
Increase in redemptions payable 215,536 352,742
Redemptions of Units (1,712,682) (1,606,608)
Net cash used for financing activities (1,497,146)
(1,253,866)
Net decrease in cash (2,589,662) (942,187)
Balance at beginning of period 20,485,336 26,130,701
Balance at end of period 17,895,674 25,188,514
<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, 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") 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. John W. Henry &
Company and Millburn Ridgefield Corporation are the trading
advisors (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 and Carr 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,
1999. In June 1999, the FASB issued SFAS No. 137, "Accounting
for Derivative Instruments and Hedging Activities - Deferral of
the Effective Date of SFAS No. 133," which defers the
required
<PAGE>
DEAN WITTER WORLD CURRENCY FUND L.P.
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
implementation of SFAS No. 133 until fiscal years beginning after
June 15, 2000. However, the Partnership had previously elected
to adopt the provisions of SFAS No. 133 beginning with the fiscal
year 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 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 gain on open contracts are reported as a
component of "Equity in futures interests trading accounts" on
the statements of financial condition and totaled $158,034 and
$149,925 at March 31, 2000 and December 31, 1999, respectively.
The net unrealized gains on open contracts of $158,034 at March
31, 2000 and $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 March 31, 2000 and December 31, 1999 mature
through June 2000 and March 2000, respectively.
<PAGE>
DEAN WITTER WORLD CURRENCY FUND L.P.
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
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.
The Partnership also has credit risk because 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 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
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 on all open futures and futures-
styled options contracts, which funds, in the aggregate, totaled
$17,895,674 and $20,485,336 at March 31, 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 on open
forward
<PAGE>
DEAN WITTER WORLD CURRENCY FUND L.P.
NOTES TO FINANCIAL STATEMENTS - (CONCLUDED)
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. The Partnership has a netting agreement
with Carr. This agreement, which seeks to reduce both the
Partnership's and Carr's exposure on off-exchange-traded forward
currency contracts, should materially decrease the Partnership's
credit risk in the event of Carr's bankruptcy or insolvency.
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 - The Partnership deposits its assets with DWR as non-
clearing broker and Carr as clearing broker 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 and 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 investments 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 three months ended March 31, 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 Ended March 31, 2000
For the quarter ended March 31, 2000, the Partnership recorded
total trading losses net of interest income of $661,986 and
posted a decrease in Net Asset Value per Unit. The most
significant losses of approximately 2.7% were recorded from long
Japanese yen positions as the value of the yen weakened versus
the U.S. dollar during January following a Bank of Japan
intervention and improving sentiment in the U.S. bond market.
<PAGE>
Short Japanese yen positions resulted in losses during March as
the yen's value reversed higher relative to the U.S. dollar and
major European currencies on reports of yen repatriation by
institutions ahead of the Japanese fiscal year-end on March 31.
Additional losses of approximately 1.9% were experienced from
long positions in the British pound during January and February
as the value of the pound weakened versus the U.S. dollar amid
the dollar's strength versus other major currencies and interest
rate increases by the European Central Bank and the U.S. Federal
Reserve. Smaller losses of approximately 1.3% resulted during
February from long Canadian dollar positions as its value
weakened against the U.S. dollar after a weak December wholesale
trade report cast some doubt on the Bank of Canada's ability to
match future U.S. Federal Reserve rate hikes. A portion of
overall Partnership losses was offset by gains of approximately
1.0% recorded from short positions in the European common
currency as its value weakened to a lifetime low versus the U.S.
dollar during January on skepticism about Europe's economic
outlook. The value of the euro finished the quarter lower versus
the U.S. dollar on expectations that interest rates would be held
steady by the European Central Bank, resulting in additional
gains for short positions. Additional gains of approximately
0.7% were recorded during January from short positions in the
Swiss franc as the value of this currency shared many of the same
woes as the euro. Long Mexican peso positions also resulted in
gains of approximately 0.7% as its value strengthened relative to
<PAGE>
the U.S. dollar amid gains for Mexico's benchmark IPC stock index
during March. Total expenses for the three months ended March
31, 2000 were $403,182, resulting in a net loss of $1,065,168.
The value of a Unit decreased from $993.59 at December 31, 1999
to $939.61 at March 31, 2000.
For the Quarter Ended March 31, 1999
For the quarter ended March 31, 1999, the Partnership recorded
total trading revenues, including interest income, of $1,689,580
and posted an increase in Net Asset Value per Unit. The most
significant gains of approximately 9.8% were recorded throughout
a majority of the quarter 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 of approximately 2.5% were recorded from short Swiss franc
positions as the value of the U.S. dollar increased versus the
franc during March to its highest level in more than six months
as investors reasoned that the United States is the safest place
to invest during the crisis in Kosovo due to the fact that it is
far from the actual conflict and possesses a powerful military
force. These gains were partially offset by losses of
approximately 5.6% recorded 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
<PAGE>
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. Losses of approximately 1.3%
were also experienced 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, smaller 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 three months ended March 31, 1999 were $417,251,
resulting in net income of $1,272,329. The value of a Unit
increased from $967.90 at December 31, 1998 to $1,019.22 at March
31, 1999.
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
<PAGE>
to the euro prevents the Trading Advisors from trading those
sovereign 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.
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
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.
<PAGE>
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
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.
<PAGE>
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 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, and correlation among these
variables.
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 Partnership's
<PAGE>
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 continually 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 tables indicate the VaR associated with the
Partnership's open positions as a percentage of total Net Assets
by primary market category as of March 31, 2000 and 1999. As of
March 31, 2000 and 1999, the Partnership's total capitalization
was approximately $17 million and $24 million, respectively.
Primary Market March 31, 2000 March 31, 1999
Risk Category Value at Risk Value at Risk
Currency (3.29)% (3.37)%
The table above represents the VaR of the Partnership's open
positions at March 31, 2000 and 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
<PAGE>
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 April 1,
1999 through March 31, 2000.
Primary Market Risk Category High Low Average
Currency (4.30)% (3.26)% (3.55)%
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
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
<PAGE>
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, gives
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.
The VaR tables above present the results of the Partnership's VaR
for the Partnership's market risk exposure at March 31, 2000 and
<PAGE>
for the end of the four quarterly reporting periods from April 1,
1999 through March 31, 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. 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 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 March 31, 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. For the first quarter of 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 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 March 31, 2000:
Foreign Currency Balances - The Partnership does not have
foreign currency balances as of March 31, 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
On March 3, 2000, the plaintiffs in the New York action filed an
appeal of the order dismissing the consolidated complaint.
(Please refer to Legal Proceedings previously disclosed in the
Partnership's Form 10-K for the year ended December 31, 1999 for
a more detailed discussion).
Item 5. OTHER INFORMATION
Effective January 31, 2000, Mark J. Hawley resigned as Chairman
of the Board and a Director of Demeter and Dean Witter Futures
and Currency Management Inc. ("DWFCM") and Robert E. Murray
replaced him as Chairman of the Board of Demeter and DWFCM.
Demeter has determined, commencing in May 2000, to transfer the
Partnership's futures and options clearing from Carr to Morgan
Stanley & Co. Incorporated ("MS & Co."), an affiliate of Demeter,
while trades on the London Metal Exchange will be cleared by
Morgan Stanley & Co. International Limited ("MSIL"), also an
affiliate of Demeter. In addition, MS & Co. and MSIL, rather
than Carr will act as the counterparty on all of the
Partnership's foreign currency forward trades. DWR will continue
to act as the non-clearing commodity broker for the Partnership.
<PAGE>
Item 6. EXHIBITS AND REPORTS ON FORM 8-K
(A) Exhibits - None.
(B) Reports on Form 8-K. - None.
<PAGE>
SIGNATURE
Pursuant to the requirements of the Securities Exchange Act of
1934, the Registrant has duly caused this report to be signed on
its behalf by the undersigned, thereunto duly authorized.
Dean Witter World Currency Fund L.P.
(Registrant)
By: Demeter Management Corporation
(General Partner)
May 12, 2000 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 conttains 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> 3-MOS
<FISCAL-YEAR-END> DEC-31-2000
<PERIOD-END> MAR-31-2000
<CASH> 17,895,674
<SECURITIES> 0
<RECEIVABLES> 94,720<F1>
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 0
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 18,148,428<F2>
<CURRENT-LIABILITIES> 0
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 0
<TOTAL-LIABILITY-AND-EQUITY> 18,148,428<F3>
<SALES> 0
<TOTAL-REVENUES> (661,986)<F4>
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 403,182
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> (1,065,168)
<INCOME-TAX> 0
<INCOME-CONTINUING> (1,065,168)
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> (1,065,168)
<EPS-BASIC> 0
<EPS-DILUTED> 0
<FN>
<F1>Receivables include interest receivable of $72,664 and Due from
DWR of $22,056.
<F2>In addition to cash and receivables, total assets include net
unrealized gain on open contracts of $158,034.
<F3>Liabilities include redemptions payable of $597,532, accrued
management fees of $45,315, and accrued administrative expenses
of $22,349.
<F4>Total revenues include realized trading revenue of $(883,339), net
change in unrealized of $8,109 and interest income of $213,244.
</FN>
</TABLE>
