Back to GetFilings.com
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, 2003 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 Number 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.)
Demeter Management Corporation
825 Third Avenue, 9th Floor
New York, NY 10022
(Address of principal executive offices) (Zip Code)
Registrant?s telephone number, including area code (212) 310-6444
(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___________
DEAN WITTER WORLD CURRENCY FUND L.P.
INDEX TO QUARTERLY REPORT ON FORM 10-Q
March 31, 2003
PART I. FINANCIAL INFORMATION
Item 1. Financial Statements
Statements of Financial Condition as of March 31, 2003
(Unaudited) and December 31, 2002..........................2
Statements of Operations for the Quarters Ended
March 31, 2003 and 2002 (Unaudited)........................3
Statements of Changes in Partners? Capital for the
Quarters Ended March 31, 2003 and 2002 (Unaudited).........4
Statements of Cash Flows for the Quarters Ended
March 31, 2003 and 2002 (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.........................................18?27
Item 4. Controls and Procedures................................28
Part II. OTHER INFORMATION
Item 1. Legal Proceedings......................................29
Item 5. Other Information...................................29-31
Item 6. Exhibits and Reports on Form 8-K....................31-33
PART I. FINANCIAL INFORMATION
Item 1. Financial Statements
DEAN WITTER WORLD CURRENCY FUND L.P.
STATEMENTS OF FINANCIAL CONDITION
March 31, December 31,
2003 2002
$ $
(Unaudited)
ASSETS
Equity in futures interests trading accounts:
Cash 18,306,161 16,676,595
Net unrealized gain (loss) on open contracts (MS & Co.) (1,143,383) 973,654
Total Trading Equity 17,162,778 17,650,249
Due from Morgan Stanley DW 25,309 18,407
Interest receivable (Morgan Stanley DW) 12,820 13,206
Total Assets 17,200,907 17,681,862
LIABILITIES AND PARTNERS? CAPITAL
Liabilities
Redemptions payable 304,706 156,145
Accrued incentive fees 116,698 ?
Accrued management fees 28,653 29,452
Accrued administrative expenses 11,275 10,436
Total Liabilities 461,332 196,033
Partners? Capital
Limited Partners (12,107.089 and
12,550.127 Units, respectively) 16,550,459 17,235,560
General Partner (138.343 and
182.234 Units, respectively) 189,116 250,269
Total Partners? Capital 16,739,575 17,485,829
Total Liabilities and Partners? Capital 17,200,907 17,681,862
NET ASSET VALUE PER UNIT 1,367.01 1,373.34
The accompanying notes are an integral part
of these financial statements.
DEAN WITTER WORLD CURRENCY FUND L.P.
STATEMENTS OF OPERATIONS
(Unaudited)
For the Quarters Ended March 31,
2003 2002
$ $
REVENUES
Trading profit (loss):
Realized 2,439,754 637,106
Net change in unrealized (2,117,037) (2,424,285)
Total Trading Results 322,717 (1,787,179)
Interest income (Morgan Stanley DW) 37,976 52,974
Total 360,693 (1,734,205)
EXPENSES
Brokerage commissions (Morgan Stanley DW) 203,180 140,825
Incentive fees 118,907 ?
Management fees 89,737 79,151
Administrative expenses 11,275 10,191
Total 423,099 230,167
NET LOSS (62,406) (1,964,372)
NET LOSS ALLOCATION
Limited Partners (61,253) (1,920,970)
General Partner (1,153) (43,402)
NET LOSS PER UNIT
Limited Partners (6.33) (138.89)
General Partner (6.33) (138.89)
The accompanying notes are an integral part
of these financial statements.
DEAN WITTER WORLD CURRENCY FUND L.P.
STATEMENTS OF CHANGES IN PARTNERS? CAPITAL
For the Quarters Ended March 31, 2003 and 2002
(Unaudited)
Units of
Partnership Limited General
Interest Partners Partner Total
$ $ $
Partners? Capital,
December 31, 2001 14,314.630 16,393,224 365,872 16,759,096
Net Loss ? (1,920,970) (43,402) (1,964,372)
Redemptions (265.309) (297,468) ? (297,468)
Partners? Capital,
March 31, 2002 14,049.321 14,174,786 322,470 14,497,256
Partners? Capital,
December 31, 2002 12,732.361 17,235,560 250,269 17,485,829
Net Loss ? (61,253) (1,153) (62,406)
Redemptions (486.929) ( 623,848) (60,000) (683,848)
Partners? Capital,
March 31, 2003 12,245.432 16,550,459 189,116 16,739,575
The accompanying notes are an integral part
of these financial statements.
DEAN WITTER WORLD CURRENCY FUND L.P.
STATEMENTS OF CASH FLOWS
(Unaudited)
For the Quarters Ended March 31,
2003 2002
$ $
CASH FLOWS FROM OPERATING ACTIVITIES
Net Loss (62,406) (1,964,372)
Noncash item included in net loss:
Net change in unrealized 2,117,037 2,424,285
(Increase) decrease in operating assets:
Due from Morgan Stanley DW (6,902) (12,906)
Interest receivable (Morgan Stanley DW) 386 (408)
Increase (decrease) in operating liabilities:
Accrued incentive fees 116,698 (188,820)
Accrued management fees (799) (4,514)
Accrued administrative expenses 839 2,907
Net cash provided by operating activities 2,164,853 256,172
CASH FLOWS FROM FINANCING ACTIVITIES
Increase (decrease) in redemptions payable 148,561 (252,752)
Redemptions of Units (683,848) (297,468)
Net cash used for financing activities (535,287) (550,220)
Net increase (decrease) in cash 1,629,566 (294,048)
Balance at beginning of period 16,676,595 15,739,498
Balance at end of period 18,306,161 15,445,450
The accompanying notes are an integral part
of these financial statements.
DEAN WITTER WORLD CURRENCY FUND L.P.
NOTES TO FINANCIAL STATEMENTS
March 31, 2003
(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, 2002 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 futures contracts, options on futures contracts and
forward contracts on foreign currencies.
The Partnership?s general partner is Demeter Management
Corporation (?Demeter?). The non-clearing commodity broker is
Morgan Stanley DW Inc. (?Morgan Stanley DW?). The clearing
commodity brokers are Morgan Stanley & Co. Incorporated (?MS &
Co.?) and Morgan Stanley & Co. International Limited (?MSIL?).
Demeter, Morgan Stanley DW, MS & Co. and MSIL are wholly-owned
subsidiaries of Morgan Stanley. The trading advisors for the
DEAN WITTER WORLD CURRENCY FUND L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
Partnership are John W. Henry & Company, Inc. and Millburn
Ridgefield Corporation (collectively, the ?Trading Advisors?).
2. Related Party Transactions
The Partnership?s cash is on deposit with Morgan Stanley DW, MS &
Co. and MSIL in futures, forwards and options trading accounts to
meet margin requirements as needed. Morgan Stanley DW pays
interest on these funds based on the average yield on 13-week U.S.
Treasury bills. The Partnership pays brokerage commissions to
Morgan Stanley DW.
3. Financial Instruments
The Partnership trades futures contracts, options on futures
contracts 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.
DEAN WITTER WORLD CURRENCY FUND L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
The market value of contracts is based on closing prices quoted by
the exchange, bank or clearing firm through which the contracts
are traded.
The Partnership?s contracts are accounted for on a trade-date
basis and marked to market on a daily basis. The Partnership
accounts for its derivative investments in accordance with the
provisions of Statement of Financial Accounting Standard No. 133,
?Accounting for Derivative Instruments and Hedging Activities?
(?SFAS No. 133?). 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.
Generally, derivatives include futures, forward, swaps or options
contracts and other financial instruments with similar
characteristics such as caps, floors and collars.
DEAN WITTER WORLD CURRENCY FUND L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
The net unrealized gains (losses) on open contracts, reported as a
component of ?Equity in futures interests trading accounts? on the
statements of financial condition, and their longest contract
maturities were as follows:
Net Unrealized Gains (Losses)
on Open Contracts Longest Maturities
Exchange- Off-Exchange- Exchange- Off-Exchange-
Date Traded Traded Total Traded Traded
$ $ $
Mar. 31, 2003 - (1,143,383) (1,143,383) - Jun. 2003
Dec. 31, 2002 - 973,654 973,654 - Mar. 2003
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 Morgan Stanley DW, 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. Each of Morgan Stanley DW, MS & Co. and
MSIL, 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
DEAN WITTER WORLD CURRENCY FUND L.P.
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
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
gains (losses) on all open futures and futures-styled options
contracts. 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 gains (losses) 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.
Item 2. MANAGEMENT?S DISCUSSION AND ANALYSIS OF FINANCIAL
CONDITION AND RESULTS OF OPERATIONS
Liquidity. The Partnership deposits its assets with Morgan
Stanley DW as non-clearing broker and MS & Co. and MSIL as
clearing brokers in separate futures, forwards and options 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 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. Furthermore, there are no material trends,
demands, commitments, events or uncertainties known at the present
time that will result in, or that are reasonably likely to result
in, the Partnership?s liquidity increasing or decreasing in any
material way.
Capital Resources. The Partnership does not have, nor 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, forwards
and options in subsequent periods. It is not possible to estimate
the amount, and therefore, the impact of future redemptions
of Units.
There are no known material trends, favorable or unfavorable, that
would affect, nor any expected material changes to, the
Partnership?s capital resource arrangements at the present time.
The Partnership has no off-balance sheet arrangements, nor
contractual obligations or commercial commitments to make future
payments that would affect the Partnership?s liquidity or capital
resources. The contracts traded by the Partnership are accounted
for on a trade-date basis and marked to market on a daily basis.
The value of futures contracts is the settlement price on the
exchange on which that futures contract is traded on a particular
day and the value of foreign currency forward contracts is based
on the spot rate as of the close of business, New York City time,
on a given day.
Results of Operations
General. The Partnership?s results depend on the 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 month
periods ended March 31, 2003 and 2002, 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 the Trading
Advisors? trading activities on behalf of the Partnership and how
the Partnership has performed in the past.
The Partnership?s results of operations set forth in the financial
statements on pages 2 through 10 of this report were prepared in
accordance with accounting principles generally accepted in the
United States of America, which require the use of certain
accounting policies that affect the amounts reported in these
financial statements, including the following: The contracts the
Partnership trades are accounted for on a trade-date basis and
marked to market on a daily basis. The difference between their
cost and market value is recorded on the Statements of Operations
as ?Net change in unrealized profit/loss? for open (unrealized)
contracts, and recorded as ?Realized profit/loss? when open
positions are closed out, and the sum of these amounts constitutes
the Partnership?s trading revenues. Interest income revenue, as
well as management fees, incentive fees and brokerage commissions
expenses of the Partnership are recorded on an accrual basis.
Demeter believes that, based on the nature of the operations of
the Partnership, no assumptions relating to the application of
critical accounting policies other than those presently
used could reasonably affect reported amounts.
For the Quarter Ended March 31, 2003
For the quarter ended March 31, 2003, the Partnership recorded
total trading revenues, including interest income, of $360,693
and, after expenses, posted a decrease in net asset value per
Unit. The most significant losses of approximately 6.7% were
recorded from long positions in the Japanese yen versus the U.S.
dollar as the value of the yen reversed lower in January amid the
release of negative economic data. Further losses in the
Japanese yen were incurred in February and March as its value
suffered continued short-term price volatility, resulting in
losses from both long and short positions. Additional losses of
approximately 2.4% were recorded from positions in the Singapore
dollar and Korean won versus the U.S. dollar as the value of
these currencies moved without consistent direction in sympathy
with the lack of direction experienced by the yen. Smaller
losses of approximately 0.6% were recorded primarily in mid-March
from long positions in the Swiss franc versus the U.S. dollar as
the value of the dollar increased amid reports of early Coalition
victories against Iraq. Gains of approximately 6.6% recorded
from long positions in the euro versus the U.S. dollar as the
value of the dollar declined primarily during January and
February amid continued economic uncertainty and investors? fears
concerning military action against Iraq. Additional gains of
approximately 3.2% were recorded from long positions in
the South African rand, Australian dollar, and New Zealand dollar
versus the U.S. dollar as the value of these currencies
strengthened on the heels of higher commodity prices. Total
expenses for the three months ended March 31, 2003 were $423,099,
resulting in a net loss of $62,406. The net asset value of a
Unit decreased from $1,373.34 at December 31, 2002 to $1,367.01
at March 31, 2003.
For the Quarter Ended March 31, 2002
For the quarter ended March 31, 2002, the Partnership recorded
total trading losses, net of interest income, of $1,734,205 and
posted a decrease in a net asset value per Unit. The most
significant losses of approximately 3.6% were recorded from short
positions in the euro as its value increased versus the U.S.
dollar due to increased demand for the European currency
following the introduction of euro coins and notes, as well as
improved economic confidence throughout Europe. Additional
losses of approximately 2.6% were experienced from short
positions in the South African rand as its value rebounded from
record lows versus the U.S. dollar. Losses of approximately 2.5%
were recorded in the Japanese yen as its value initially moved
higher versus the U.S. dollar amid an increase in yen
repatriation and renewed hope for a stimulus package and
thereafter reversed lower versus the U.S. dollar on expectations
that such repatriation flows would soon end ahead of the Japanese
fiscal year-end. Smaller losses of approximately 1.2% and
0.8% were recorded in the British pound and the Swiss franc,
respectively, as the value of these currencies moved erratically
versus the U.S. dollar on political unrest in the Middle East and
Swiss National Bank monetary policies. A small portion of these
losses was offset by gains of approximately 0.5% experienced from
long positions in the Australian dollar as its value strengthened
versus the U.S. dollar amid expectations for higher interest
rates in Australia. Total expenses for the three months ended
March 31, 2002 were $230,167, resulting in a net loss of
$1,964,372. The net asset value of a Unit decreased from
$1,170.77 at December 31, 2001 to $1,031.88 at March 31, 2002.
Item 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT
MARKET RISK
Introduction
The Partnership is a commodity pool engaged primarily in the
speculative trading of futures, forwards, and options. 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, forwards and options traded by the Partnership
involve varying degrees of related 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 experience 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 Partnership?s
market risk exposures contain ?forward-looking statements? within
the meaning of the safe harbor from civil liability provided for
such statements by the Private Securities Litigation Reform Act of
1995 (set forth in Section 27A of the Securities Act of 1933 and
Section 21E of the Securities Exchange Act of 1934). All
quantitative disclosures in this section are deemed to be forward-
looking statements for purposes of the safe harbor, except for
statements of historical fact.
The Partnership accounts for open positions on the basis of mark-
to-market accounting principles. 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, forwards and options 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 used 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 upon 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. 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 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.
In other words, one-day VaR for a portfolio is a number such that
losses in this portfolio are estimated to exceed the VaR only one
day in 100. VaR typically does not represent the worst-
case outcome.
VaR is calculated using historical simulation. Demeter uses
approximately four years of daily market data (1,000 observations)
and revalues its portfolio (using delta-gamma approximations) for
each of the historical market moves that occurred over this time
period. This generates a probability distribution of daily
?simulated profit and loss? outcomes. The VaR is the appropriate
percentile of this distribution. For example, the 99% one-day VaR
would represent the 10th worst outcome from Demeter?s simulated
profit and loss series.
The Partnership?s VaR computations are based on the risk
representation of the underlying benchmark for each instrument or
contract and does not distinguish between exchange and non-
exchange-traded instruments and is also not based on exchange-
and/or dealer-based margin requirements.
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. Please further note that VaR as described above may
not be comparable to similarly titled measures used by
other entities.
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 risk category at March 31, 2003 and 2002. At
March 31, 2003 and 2002, the Partnership?s total capitalization
was approximately $17 million and $14 million, respectively.
Primary Market March 31, 2003 March 31, 2002
Risk Category Value at Risk Value at Risk
Currency (2.04)% (1.32)%
The VaR for a market category represents the one-day downside risk
for the aggregate exposures associated with this market category.
The table above represents the VaR of the Partnership?s open
positions at March 31, 2003 and 2002 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, forwards and
options, 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 April 1,
2002 through March 31, 2003.
Primary Market Risk Category High Low Average
Currency (4.74)% (2.04)% (3.87)%
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 usually 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 caused by 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 its market risk exposure at March 31, 2003 and 2002, and for
the end of the four quarterly reporting periods from April 1, 2002
through March 31, 2003. 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 once in 100 trading
days.
Non-Trading Risk
The Partnership has non-trading market risk on its foreign
cash balances not needed for margin. The Partnership did not have
any foreign currency balances at March 31, 2003.
At March 31, 2003, the Partnership?s cash balance at Morgan
Stanley DW was approximately 102% 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 to be material.
Materiality, as used throughout this section, is based on an
assessment of reasonably possible market movements and any
associated potential losses, taking into account the leverage,
optionality and multiplier features of the Partnership?s market-
sensitive instruments, in relation to the Partnership?s net
assets.
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 at March 31, 2003. It may be anticipated, however,
that market exposure will vary materially over time.
Currency. The Partnership?s currency exposure at March 31, 2003
was 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 a large number of
currencies, including cross-rates - i.e., positions between two
currencies other than the U.S. dollar. At March 31, 2003, the
Partnership?s major exposures were to euro and Japanese yen
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
U.S.-based Partnership in expressing VaR in a functional currency
other than U.S. dollars.
Qualitative Disclosures Regarding Non-Trading Risk Exposure
At March 31, 2003, there was no non-trading risk exposure because
the Partnership did not have any foreign currency balances.
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 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.
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.
Item 4. CONTROLS AND PROCEDURES
(a) As of a date within 90 days of the filing date of this
quarterly report, the President and Chief Financial
Officer of the general partner, Demeter, have
evaluated the effectiveness of the Partnership?s
disclosure controls and procedures (as defined in
Rules 13a-14 and 15d-14 of the Exchange Act), and have
judged such controls and procedures to be effective.
(b) There have been no significant changes in the
Partnership?s internal controls or in other factors
that could significantly affect these controls
subsequent to the date of their evaluation.
PART II. OTHER INFORMATION
Item 1. LEGAL PROCEEDINGS
None.
Item 5. OTHER INFORMATION
Changes in Management. The following changes have been made to
the Board of Directors and Officers of Demeter Management
Corporation, the general partner:
Mr. Anthony J. DeLuca resigned the position of Director of
Demeter.
Mr. Edward C. Oelsner resigned the position of Director of
Demeter.
Mr. Joseph G. Siniscalchi resigned the position of Director of
Demeter.
Mr. Douglas J. Ketterer, age 37, was named a Director of Demeter,
subject to Mr. Ketterer being confirmed as a principal of Demeter
by the National Futures Association. Mr. Ketterer is a Managing
Director and head of the Strategic Solutions Group, which is
comprised of the Global Product Development Group, Financial
Planning, Mutual Fund Advisory Group, Retirement Strategies,
Education Strategies, Gifting Strategies, External Mutual Funds
and the Global Portfolio Analysis and Research
Departments. Mr. Ketterer joined the firm in 1990 in the
Corporate Finance Division as a part of the Retail Products
Group. He later moved to the origination side of Investment
Banking, and then, after the merger between Morgan Stanley and
Dean Witter, served in the Product Development Group at Morgan
Stanley Dean Witter Advisors (now known as Morgan Stanley Funds).
From the summer of 2000 to the summer of 2002, Mr. Ketterer
served as the Chief Administrative Officer for Morgan Stanley
Investment Management, where he headed the Strategic Planning &
Administrative Group. Mr. Ketterer received his M.B.A. from New
York University?s Leonard N. Stern School of Business and his
B.S. in Finance from the University at Albany?s School of
Business.
Mr. Jeffrey S. Swartz, age 36, was named a Director of Demeter,
subject to Mr. Swartz being confirmed as a principal of Demeter
by the National Futures Association. Mr. Swartz is a Managing
Director and Chief Operating Officer of Investor Advisory
Services (?IAS?). Mr. Swartz began his career with Morgan
Stanley in 1990, working as a Financial Advisor in Boston. He
was appointed Sales Manager of the Boston office in 1994, and
served in that role for two years. In 1996, he was named Branch
Manager of the Cincinnati office. In 1999, Mr. Swartz was named
Associate Director of the Midwest region, which consisted of 10
states and approximately 90 offices. Mr. Swartz served in this
capacity until October of 2001, when he was named Director
of IAS Strategy and relocated to IAS headquarters in New York.
In December of 2002, Mr. Swartz was promoted to Managing Director
and Chief Operating Officer of IAS. Mr. Swartz received his
degree in Business Administration from the University of New
Hampshire.
Mr. Jeffrey D. Hahn, Chief Financial Officer of Demeter, was
named a Director 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 (a) Management Agreement among the Partnership, Demeter,
and CCA Capital Management Inc., dated as of April 2,
1993, is incorporated by reference to Exhibit 10.01(a) of
the Partnership?s Quarterly Report on Form 10-Q for the
quarter ended June 30, 2002.
(b) Management Agreement among the Partnership, Demeter,
and Colorado Commodities Management Corporation, dated as
of April 2, 1993, is incorporated by reference to Exhibit
10.01(b) of the Partnership?s Quarterly Report on From
10-Q for the quarter ended June 30, 2002.
(c) Management Agreement among the Partnership, Demeter,
and Ezra Zask Associates Inc., dated as of April 2, 1993,
is incorporated by reference to Exhibit 10.01(c) of the
Partnership?s Quarterly Report on Form 10-Q for the
quarter ended June 30, 2002.
(d) Management Agreement among the Partnership, Demeter,
and Millburn Ridgefield Corporation, dated as of April
2, 1993, is incorporated by reference to Exhibit
10.01(d) of the Partnership?s Quarterly Report on From
10-Q for the quarter ended June 30, 2002.
10.02 Management Agreement among the Partnership, Demeter and
John W. Henry & Company, Inc., dated as of June 1, 1995,
is incorporated by reference to Exhibit 10.03 of the
Partnership?s Annual Report on Form 10-K for the fiscal
year ended December 31, 1995.
10.03 Amended and Restated Customer Agreement between the
Partnership and Morgan Stanley DW, dated as of June 22,
2000, is incorporated by reference to Exhibit 10.01 of
the Partnership?s Form 8-K (File No. 0-23826) filed with
the Securities and Exchange Commission on November 13,
2001.
10.04 Commodity Futures Customer Agreement between MS & Co. and
the Partnership, and acknowledged and agreed to by Morgan
Stanley DW, dated as of May 1, 2000, is incorporated by
reference to Exhibit 10.02 of the Partnership?s Form 8-K
(File No. 0-23826) filed with the Securities and Exchange
Commission on November 13, 2001.
10.05 Foreign Exchange and Options Master Agreement between MS
& Co. and the Partnership, dated as of April 30, 2000, is
incorporated by reference to Exhibit 10.04 of the
Partnership?s Form 8-K (File No. 0-23826) filed with the
Securities and Exchange Commission on November 13, 2001.
10.06 Securities Account Control Agreement among the
Partnership, MS & Co. and Morgan Stanley DW, dated as of
May 1, 2000, is incorporated by reference to Exhibit
10.03 of the Partnership?s Form 8-K (File No. 0-23826)
filed with the Securities and Exchange Commission on
November 13, 2001.
10.07 Amendment to Management Agreement among the Partnership,
Morgan Stanley DW and John W. Henry & Company, Inc.,
dated as of November 30, 2000, is incorporated by
reference to Exhibit 10.1 of the Partnership?s Form 8-K
filed with the Securities and Exchange Commission on
January 3, 2001.
10.08 Amendment to Management Agreement between the Partnership
and Millburn Ridgefield Corporation, dated as of November
30, 2000, is incorporated by reference to Exhibit 10.2 of
the Partnership?s Form 8-K filed with the Securities and
Exchange Commission on January 3, 2001.
99.01 Certification of President of Demeter Management
Corporation, general partner of the Partnership, pursuant
to 18 U.S.C. Section 1350, as adopted, pursuant to
Section 906 of the Sarbanes-Oxley Act of 2002.
99.02 Certification of Chief Financial Officer of Demeter
Management Corporation, general partner of the
Partnership, pursuant to 18 U.S.C. Section 1350, as
adopted, pursuant to Section 906 of the Sarbanes-Oxley
Act of 2002.
(B) Reports on Form 8-K. ? None.
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 15, 2003 By: /s/Jeffrey D. Hahn
Jeffrey D. Hahn
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.
CERTIFICATIONS
I, Jeffrey A. Rothman, President of Demeter Management
Corporation, the general partner of the registrant, certify that:
1. I have reviewed this quarterly report on Form 10-Q of the
registrant;
2. Based on my knowledge, this quarterly report does not contain
any untrue statement of a material fact or omit to state a
material fact necessary to make the statements made, in light
of the circumstances under which such statements were made,
not misleading with respect to the period covered by this
quarterly report;
3. Based on my knowledge, the financial statements, and other
financial information included in this quarterly report,
fairly present in all material respects the financial
condition, results of operations and cash flows of the
registrant as of, and for, the periods presented in this
quarterly report;
4. The registrant?s other certifying officers and I are
responsible for establishing and maintaining disclosure
controls and procedures (as defined in Exchange Act Rules
13a-14 and 15d-14) for the registrant and we have:
a) designed such disclosure controls and procedures to
ensure that material information relating to the
registrant, including its consolidated subsidiaries,
is made known to us by others within those entities,
particularly during the period in which this quarterly
report is being prepared;
b) evaluated the effectiveness of the registrant?s
disclosure controls and procedures as of a date within
90 days prior to the filing date of this quarterly
report (the ?Evaluation Date?); and
c) presented in this quarterly report our conclusions
about the effectiveness of the disclosure controls and
procedures based on our evaluation as of the
Evaluation Date;
5. The registrant?s other certifying officers and I have
disclosed, based on our most recent evaluation, to the
registrant?s auditors and the audit committee of Demeter?s
board of directors (or persons performing the equivalent
function):
a) all significant deficiencies in the design or
operation of internal controls which could adversely
affect the registrant?s ability to record, process,
summarize and report financial data and have
identified for the registrant?s auditors any material
weaknesses in internal controls; and
b) any fraud, whether or not material, that involves
management or other employees who have a significant
role in the registrant?s internal controls; and
6. The registrant?s other certifying officers and I have
indicated in this quarterly report whether or not there were
significant changes in internal controls or in other factors
that could significantly affect internal controls subsequent
to the date of our most recent evaluation, including any
corrective actions with regard to significant deficiencies
and material weaknesses.
Date: May 15, 2003 /s/Jeffrey A. Rothman
Jeffrey A. Rothman
President,
Demeter Management Corporation,
general partner of the registrant
CERTIFICATIONS
I, Jeffrey D. Hahn, Chief Financial Officer of Demeter Management
Corporation, the general partner of the registrant, certify that:
1. I have reviewed this quarterly report on Form 10-Q of the
registrant;
2. Based on my knowledge, this quarterly report does not contain
any untrue statement of a material fact or omit to state a
material fact necessary to make the statements made, in light
of the circumstances under which such statements were made,
not misleading with respect to the period covered by this
quarterly report;
3. Based on my knowledge, the financial statements, and other
financial information included in this quarterly report,
fairly present in all material respects the financial
condition, results of operations and cash flows of the
registrant as of, and for, the periods presented in this
quarterly report;
4. The registrant?s other certifying officers and I are
responsible for establishing and maintaining disclosure
controls and procedures (as defined in Exchange Act Rules 13a-
14 and 15d-14) for the registrant and we have:
a) designed such disclosure controls and procedures to
ensure that material information relating to the
registrant, including its consolidated subsidiaries, is
made known to us by others within those entities,
particularly during the period in which this quarterly
report is being prepared;
b) evaluated the effectiveness of the registrant?s
disclosure controls and procedures as of a date within
90 days prior to the filing date of this quarterly
report (the ?Evaluation Date?); and
c) presented in this quarterly report our conclusions about
the effectiveness of the disclosure controls and
procedures based on our evaluation as of the Evaluation
Date;
5. The registrant?s other certifying officers and I have
disclosed, based on our most recent evaluation, to the
registrant?s auditors and the audit committee of Demeter?s
board of directors (or persons performing the equivalent
function):
a) all significant deficiencies in the design or operation
of internal controls which could adversely affect the
registrant?s ability to record, process, summarize and
report financial data and have identified for the
registrant?s auditors any material weaknesses in
internal controls; and
b) any fraud, whether or not material, that involves
management or other employees who have a significant
role in the registrant?s internal controls; and
6. The registrant?s other certifying officers and I have
indicated in this quarterly report whether or not there were
significant changes in internal controls or in other factors
that could significantly affect internal controls subsequent
to the date of our most recent evaluation, including any
corrective actions with regard to significant deficiencies
and material weaknesses.
Date: May 15, 2003 /s/Jeffrey D. Hahn
Jeffrey D. Hahn
Chief Financial Officer,
Demeter Management Corporation,
general partner of the registrant
EXHIBIT 99.01
CERTIFICATION PURSUANT TO
18 U.S.C. SECTION 1350
AS ADOPTED PURSUANT TO
SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002
In connection with the Quarterly Report of Dean Witter World
Currency Fund L.P. (the ?Partnership?) on Form 10-Q for the period
ended March 31, 2003 as filed with the Securities and Exchange
Commission on the date hereof (the ?Report?), I, Jeffrey A.
Rothman, President, Demeter Management Corporation, general
partner of the Partnership, certify, pursuant to 18 U.S.C. Section
1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act
of 2002, that:
(1) The Report fully complies with the requirements of Section
13 or 15(d) of the Securities Exchange Act of 1934; and
(2) The information contained in the Report fairly presents,
in all material respects, the financial condition and
results of operations of the Partnership.
By: /s/Jeffrey A. Rothman
Name: Jeffrey A. Rothman
Title: President
Date: May 15, 2003
EXHIBIT 99.02
CERTIFICATION PURSUANT TO
18 U.S.C. SECTION 1350
AS ADOPTED PURSUANT TO
SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002
In connection with the Quarterly Report of Dean Witter World
Currency Fund L.P. (the ?Partnership?) on Form 10-Q for the period
ended March 31, 2003 as filed with the Securities and Exchange
Commission on the date hereof (the ?Report?), I, Jeffrey D. Hahn,
Chief Financial Officer, Demeter Management Corporation, general
partner of the Partnership, certify, pursuant to 18 U.S.C. Section
1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act
of 2002, that:
(1) The Report fully complies with the requirements of Section
13 or 15(d) of the Securities Exchange Act of 1934; and
(2) The information contained in the Report fairly presents,
in all material respects, the financial condition and
results of operations of the Partnership.
By: /s/Jeffrey D. Hahn
Name: Jeffrey D. Hahn
Title: Chief Financial Officer
Date: May 15, 2003
DEAN WITTER WORLD CURRENCY FUND L.P.
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)