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, 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
June 30, 2000
<CAPTION>
PART I. FINANCIAL INFORMATION
<S> <C>
Item 1. Financial Statements
Statements of Financial Condition June 30, 2000
(Unaudited) and December 31, 1999..........................2
Statements of Operations for the Quarters Ended
June 30, 2000 and 1999 (Unaudited).........................3
Statements of Operations for the Six Months Ended
June 30, 2000 and 1999 (Unaudited).........................4
Statements of Changes in Partners' Capital for the
Six Months Ended June 30, 2000 and 1999
(Unaudited)................................................5
Statements of Cash Flows for the Six Months Ended
June 30, 2000 and 1999 (Unaudited).........................6
Notes to Financial Statements (Unaudited).............. 7-
11
Item 2. Management's Discussion and Analysis of
Financial Condition and Results of Operations...... 12-21
Item 3. Quantitative and Qualitative Disclosures about
Market Risk....................................... 21-30
Part II. OTHER INFORMATION
Item 1. Legal Proceedings.................................. 31-32
Item 5. Other Information...................................32-33
Item 6. Exhibits and Reports on Form 8-K.......................33
</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,
2000 1999 $
$
(Unaudited)
ASSETS
<S> <C> <C>
Equity in futures interests trading accounts:
Cash 16,469,645 20,485,336
Net unrealized loss on open contracts (MS & Co.)
(184,200) -
Net unrealized gain (loss) on open contracts (Carr) (254,794)
149,925
Total net unrealized gain (loss) on open contracts (438,994)
149,925
Total Trading Equity 16,030,651 20,635,261
Interest receivable (DWR) 62,279 74,011
Due from DWR 1,436 _______-__
Total Assets 16,094,366 20,709,272
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable 307,214 381,996
Accrued management fees 40,151 51,737
Accrued administrative expenses 33,960 14,457
Total Liabilities 381,325 448,190
Partners' Capital
Limited Partners (17,360.893 and
20,079.269 Units, respectively)15,435,198 19,950,579
General Partner (312.506 Units) 277,843 310,503
Total Partners' Capital 15,713,041 20,261,082
Total Liabilities and Partners' Capital 16,094,366 20,709,272
NET ASSET VALUE PER UNIT 889.08 993.59
<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 June 30,
2000 1999
$ $
REVENUES
<S>
<C> <C>
Trading profit (loss):
Realized (185,744) 610,805
Net change in unrealized (597,028) (467,693)
Total Trading Results (782,772) 143,112
Interest Income (DWR) 197,819 216,449
Total Revenues (584,953) 359,561
EXPENSES
Brokerage commissions (DWR) 160,206 235,664
Management fees 129,879 182,373
Administrative expenses 11,612 15,469
Transaction fees and costs 8,071 12,965
Total Expenses 309,768 446,471
NET LOSS (894,721) (86,910)
NET LOSS ALLOCATION
Limited Partners (878,931)
(85,438)
General Partner (15,790) (1,472)
NET LOSS PER UNIT
Limited Partners
(50.53) (4.71)
General Partner
(50.53) (4.71)
<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 Six Months Ended June 30,
2000 1999
$ $
REVENUES
<S>
<C> <C>
Trading profit (loss):
Realized (1,069,083) 1,112,347
Net change in unrealized (588,919) 499,595
Total Trading Results (1,658,002) 1,611,942
Interest Income (DWR) 411,063 437,199
Total Revenues (1,246,939) 2,049,141
EXPENSES
Brokerage commissions (DWR) 393,357 441,070
Management fees 273,521 369,091
Administrative expenses 23,823 30,884
Transaction fees and costs 22,249 22,677
Total Expenses 712,950 863,722
NET INCOME (LOSS) (1,959,889) 1,185,419
NET INCOME (LOSS) ALLOCATION
Limited Partners (1,927,229)
1,170,853 General Partner
(32,660) 14,566
NET INCOME (LOSS) PER UNIT
Limited Partners
(104.51) 46.61
General Partner
(104.51) 46.61
<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, 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
- 1,170,853 14,566 1,18
5,419
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
Partners' Capital,
December 31, 1999 20,391.775 $19,950,579 $310,503 $20,261,082
Net Loss
- (1,927,229) (32,660) (1,959,889)
Redemptions (2,718.376) (2,588,152) _____-___
(2,588,152)
Partners' Capital,
June 30, 2000 17,673.399 $15,435,198 $277,843
$15,713,041
<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,
2000 1999
$ $
CASH FLOWS FROM OPERATING ACTIVITIES
<S>
<C> <C>
Net income (loss) (1,959,889) 1
,185,419 Noncash item
included in net income (loss):
Net change in unrealized 588,919 (
499,595)
(Increase) decrease in operating assets:
Interest receivable (DWR) 11,732 4,624
Due from DWR (1,436) (29,076)
Increase (decrease) in operating liabilities:
Accrued management fees (11,586) (4,206)
Accrued administrative expenses 19,503
23,244
Net cash provided by (used for) operating activities(1,352,757)
680,410
CASH FLOWS FROM FINANCING ACTIVITIES
Increase (decrease) in redemptions payable(74,782) 128,594
Redemptions of Units (2,588,152)
(2,992,101)
Net cash used for financing activities(2,662,934)
(2,863,507)
Net decrease in cash (4,015,691) (
2,183,097)
Balance at beginning of period 20,485,336
26,130,701
Balance at end of period 16,469,645
23,947,604
<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"). Morgan Stanley & Co., Inc.
("MS & Co.") and Morgan Stanley & Co. International Limited
("MSIL") provide clearing and execution services. Prior to May
2000, Carr Futures Inc. provided 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,
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 (loss) on open contracts are reported as
a component of "Equity in futures interests trading accounts" on
the statements of financial condition and totaled $(438,994) and
$149,925 at June 30, 2000 and December 31, 1999, respectively.
The net unrealized loss on open contracts of $438,994 at June 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 June 30, 2000 and December 31, 1999 mature through
<PAGE>
DEAN WITTER WORLD CURRENCY FUND L.P.
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
September 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.
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
$16,469,645 and $20,485,336 at June 30, 2000 and December 31,
1999, respectively.
<PAGE>
DEAN WITTER WORLD CURRENCY FUND L.P.
NOTES TO FINANCIAL STATEMENTS - (CONCLUDED)
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
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 quarter and six months ended June 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 Six Months Ended June 30, 2000
For the quarter ended June 30, 2000, the Partnership recorded
total trading losses net of interest income of $584,953 and
posted a decrease in Net Asset Value per Unit. The most
significant losses of approximately 3.9% were recorded primarily
from long British pound positions as the value of the pound
weakened relative to the U.S. dollar during April. Newly
established short British pound positions contributed to these
<PAGE>
losses during the remainder of the quarter as the pound's value
strengthened versus the U.S. dollar following the strengthening
euro and on speculation that U.S. interest rates may have topped
in the medium term. Additional losses of approximately 2.1% were
experienced from long Japanese yen positions as the value of the
yen weakened versus the U.S. dollar amid fears of additional Bank
of Japan intervention during April and repositioning ahead of the
tankan survey during June. Short euro/British pound crossrate
positions incurred losses during May of approximately 0.8% as the
value of the European common currency strengthened versus the
British pound amid renewed expectation of central bank support
for the euro. Smaller losses of approximately 0.7% were recorded
from long Mexican peso positions as its value dropped versus the
U.S. dollar during April amid losses on the Mexican IPC stock
index, as well as the weakness in U.S. technology issues. Short
Australian dollar positions incurred losses of approximately 0.6%
as its value strengthened versus the U.S. dollar during mid-June
on higher gold prices and stronger-than-expected Australian
economic growth data. A portion of overall Partnership losses
was offset by gains of approximately 1.0% recorded from short
positions in the European common currency during April. The
euro's value dropped to record lows versus the U.S. dollar due
primarily to the European Central Bank's ("ECB") passive stance
towards its currency and increasing concern that the ECB should
be more aggressive in combating inflation. Additional gains of
approximately 1.2% resulted from short South African rand
<PAGE>
positions during April and May as its value receded to 20-month
lows versus the U.S. dollar amid speculation that Zimbabwe was on
the verge of devaluing its currency. Smaller gains of
approximately 0.9% were recorded from short Thai baht positions
during May as its value weakened versus the U.S. dollar on a
slide in the Indonesian rupiah. Total expenses for the three
months ended June 30, 2000 were $309,768, resulting in a net loss
of $894,721. The value of a Unit decreased from $939.61 at March
31, 2000 to $889.08 at June 30, 2000.
For the six months ended June 30, 2000, the Partnership recorded
total trading losses net of interest income of $1,246,939 and
posted a decrease in Net Asset Value per Unit. The most
significant losses of approximately 5.4% were recorded primarily
from transactions involving the British pound. Long British
pound positions incurred losses during January and February amid
the U.S. dollar's strength versus other major currencies and
interest rate increases by the ECB and the U.S. Federal Reserve.
Newly established short British pound positions incurred losses
in the second quarter as the pound's value strengthened versus
the U.S. dollar following a strengthening of the euro and on
speculation that U.S. interest rates may have topped out in the
medium term. Additional losses of approximately 4.6% were
recorded from long Japanese yen positions as the value of the yen
weakened against the U.S. dollar during January following a Bank
of Japan intervention and improving sentiment in the U.S. bond
<PAGE>
market. The value of the yen weakened again versus the U.S.
dollar during April on additional Bank of Japan intervention and
repositioning ahead of the tankan survey during June. As a
result, losses were experienced from long yen positions. Long
Canadian dollar positions also incurred losses of approximately
1.8% as its value weakened relative to the U.S. dollar. Smaller
losses of approximately 1.5% were incurred 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. A portion of overall
Partnership losses was offset by gains of approximately 4.1%
recorded from transactions involving the euro. Short positions
in the European common currency recorded gains as its value
weakened versus the U.S. dollar during January due to skepticism
about Europe's economic outlook and during quarter-end on
expectations that the ECB would hold interest rates steady.
During April, short euro positions were profitable as its value
moved to record lows versus the U.S. dollar due primarily to the
ECB's passive stance towards its currency and increasing concern
that it should be more aggressive in combating inflation.
Additional gains of approximately 1.2% were recorded from short
South African rand positions during April and May as its value
receded to 20-month lows relative to the U.S. dollar amid
speculation that Zimbabwe was on the verge of devaluing its
currency. Smaller gains of approximately 0.5% were recorded from
short Norwegian krone positions as its value was pushed lower
<PAGE>
versus the U.S. dollar by the euro's weakness during April.
Total expenses for the six months ended June 30, 2000 were
$712,950, resulting in a net loss of $1,959,889. The value of a
Unit decreased from $993.59 at December 31, 1999 to $889.08 at
June 30, 2000.
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
primarily from trading in Japanese yen. Losses of approximately
3.1% resulted primarily from short Japanese yen positions versus
the U.S. dollar during mid June as the value of the yen
strengthened temporarily on 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
contributed to these 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 of approximately
1.7% 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
<PAGE>
recovery in that region and during June due to the short-lived
strength in the Japanese yen. Smaller losses of approximately
1.6% were incurred from long British pound positions as the value
of the pound receded primarily during May after the Bank of
England stated that it might cut interest rates to stem any
undesirable appreciation of the pound during June as U.K.
inflation reached a six-year low. These losses were partially
offset by gains of approximately 7.6% primarily 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, 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 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 of approximately 14.0% 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
<PAGE>
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 4.5% 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 of
approximately 8.7% from trading in the Japanese yen. Losses were
experienced primarily 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.
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 of approximately 2.8% were
recorded primarily during late March from long British pound
<PAGE>
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 of
approximately 2.6% were recorded primarily 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.
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.
<PAGE>
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.
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"
<PAGE>
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 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
<PAGE>
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 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 tables indicate the VaR associated with the
Partnership's open positions as a percentage of total Net Assets
by primary market category as of June 30, 2000 and 1999. As of
June 30, 2000 and 1999, the Partnership's total capitalization
was approximately $16 million and $23 million, respectively.
<PAGE>
Primary Market June 30, 2000 June 30, 1999
Risk Category Value at Risk Value at Risk
Currency (1.60)% (4.30)%
The table above represents the VaR of the Partnership's open
positions at June 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 July 1,
1999 through June 30, 2000.
Primary Market Risk Category High Low Average
Currency (4.30)% (1.60)% (3.14)%
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
<PAGE>
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
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
<PAGE>
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 June 30, 2000 and
for the end of the four quarterly reporting periods from July 1,
1999 through June 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. However, such balances, as well
as any market risk they may represent, are immaterial. At June
30, 2000 the Partnership's cash balance at DWR was approximately
103% 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
<PAGE>
potential losses caused by such movements, taking into account
the 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 (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.
<PAGE>
The following was the primary trading risk exposure of the
Partnership as of June 30, 2000. 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 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 June 30, 2000:
<PAGE>
Foreign Currency Balances. The Partnership did not have
foreign currency balances as of June 30, 2000.
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
The following supplements Legal Proceedings previously disclosed
in the Partnership's Form 10-Q for the quarter ended March 31,
2000 and Form 10-K for the year ended December 31, 1999:
On October 25, 1996, the Market Surveillance Committee (the
"Committee") of the National Association of Securities Dealers
("NASD") filed a formal complaint against MS & Co. and seven
current and former traders, alleging violations of certain NASD
rules relating to manipulative and deceptive practices, locked
and crossed markets, and failure to supervise. Hearings were
held in June and July 1997. On April 13, 1998 the Committee
ruled that MS & Co. and the seven traders had engaged in
manipulative and deceptive practices and improperly locked or
crossed markets, but not that MS & Co. had failed to supervise
its traders. The Committee levied a fine of $1,000,000 on MS &
Co., a fine of $100,000 and a 90-day suspension on one of its
former traders, and fines of $25,000 and 30-day suspensions on
each of the remaining current and former traders. On January 18,
2000 the National Adjudicatory Council, which heard the appeal,
issued a ruling which upheld the Committee's April 1998 decision,
however, the National Adjudicatory Council reduced the firm's
fine to $495,000, reversed all previously imposed suspensions
<PAGE>
against the traders, reduced the fine for each of six traders to
$2,500 and dismissed all charges against the seventh trader.
On January 11, 1999, the Securities and Exchange Commission
brought an action against 28 NASDAQ market makers, including MS &
Co., and 51 individuals, including one current and one former
trader employed by MS & Co., for certain conduct during 1994.
The core of the charges against MS & Co. concerns improper or
undisclosed coordination of price quotes with other broker-
dealers and related reporting, recordkeeping and supervisory
deficiencies in violation of Sections 15(b)(4)(E), 15(c)(1) and
(2) and 17(a) of the Securities Exchange Act and Rules 15c1-2,
15c2-7 and 17a-3 promulgated thereunder. Without admitting or
denying the charges, MS & Co. consented to the entry of a cease
and desist order and to the payment of a civil penalty of
$350,000, disgorgement of $4,170 and to submit certain of its
procedures to an independent consultant for review. In addition,
one current and one former trader employed by MS & Co. accepted
suspensions of less than two months each and were fined $25,000
and $30,000 respectively.
Item 5. OTHER INFORMATION
Effective July 1, 2000, Lewis A. Raibley, III resigned as Chief
Financial Officer and a Director of Demeter and Dean Witter
Futures Currency Management Inc. Effective July 10, 2000,
<PAGE>
Raymond E. Koch replaced Lewis A. Raibley, III as Chief Financial
Officer of Demeter.
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).
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 filed herewith.
(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 10, 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.
