-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, KWCBowvKGBr7NsOtPPury+QzWMlMu/es1ZL9IRKL36Xdqv78qVYBnvVtckXRY58q 64ncoqrxRM6ufgpxP5fE5A== 0000895239-97-000004.txt : 19970529 0000895239-97-000004.hdr.sgml : 19970529 ACCESSION NUMBER: 0000895239-97-000004 CONFORMED SUBMISSION TYPE: 10-K/A PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 19961231 FILED AS OF DATE: 19970528 SROS: NONE FILER: COMPANY DATA: COMPANY CONFORMED NAME: WITTER DEAN WORLD CURRENCY FUND L P CENTRAL INDEX KEY: 0000895239 STANDARD INDUSTRIAL CLASSIFICATION: SECURITY BROKERS, DEALERS & FLOTATION COMPANIES [6211] IRS NUMBER: 133700691 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 10-K/A SEC ACT: 1934 Act SEC FILE NUMBER: 000-23826 FILM NUMBER: 97614853 BUSINESS ADDRESS: STREET 1: TWO WORLD TRADE CENTER 62ND FLR STREET 2: C/O DEMETER MANAGEMENT CORP CITY: NEW YORK STATE: NY ZIP: 10048 BUSINESS PHONE: 2123925454 MAIL ADDRESS: STREET 1: C/O DEMETER MANAGEMENT CORP STREET 2: TWO WORLD TRADE CENTER 62ND FL CITY: NEW YORK STATE: NY ZIP: 10048 10-K/A 1 UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-K/A AMENDMENT [X] Annual report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 [Fee Required] For the period ended December 31, 1996 or [ ] Transition report pursuant to Section 13 or 15 (d) of the Securities Exchange Act of 1934 [No Fee Required] For the transition period from ________________to___________________ Commission File Number 33-55806 DEAN WITTER WORLD CURRENCY FUND L.P. (Exact name of registrant as specified in its Limited Partnership Agreement) DELAWARE 13-3700691 (State or other jurisdiction of (I.R.S. Employer incorporation of organization) Identification No.) c/o Demeter Management Corporation Two World Trade Center, New York, N.Y. - 62nd Flr. 10048 (Address of principal executive offices) (Zip Code) Registrant's telephone number, including area code (212) 392-5454 Securities registered pursuant to Section 12(b) of the Act: Name of each exchange Title of each class on which registered None None Securities registered pursuant to Section 12(g) of the Act: Units of Limited Partnership Interest (Title of Class) (Title of Class) 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 Indicate by check mark if disclosure of delinquent filers pursuant to Item 405 of Regulation S-K (section 229.405 of this chapter) is not contained herein, and will not be contained, to the best of registrant's knowledge, in definitive proxy or information statements incorporated by reference in Part III of this Form 10-K or any amendment of this Form 10K. [ X ] State the aggregate market value of the Units of Limited Partnership Interest held by non-affiliates of the registrant. The aggregate market value shall be computed by reference to the price at which units were sold, or the average bid and asked prices of such units, as of a specified date within 60 days prior to the date of filing: $28,710,224.42 at January 31, 1997. DOCUMENTS INCORPORATED BY REFERENCE (See Page 1) DEAN WITTER WORLD CURRENCY FUND L.P. INDEX TO ANNUAL REPORT ON FORM 10-K DECEMBER 31, 1996
Page No. DOCUMENTS INCORPORATED BY REFERENCE. . . . . . . . . . . . . . . . . 1 Part I . Item 1. Business. . . . . . . . . . . . . . . . . . . . . . . 2-3 Item 2. Properties. . . . . . . . . . . . . . . . . . . . . . 4 Item 3. Legal Proceedings. . . . . . . . . . . . . . . . . . . 4-5 Item 4. Submission of Matters to a Vote of Security Holders . . .5 Part II. Item 5. Market for the Registrant's Partnership Units and Related Security Holder Matters . . . . . . . . . . . . .6 Item 6. Selected Financial Data . . . . . . . . . . . . . . . . .7 Item 7. Management's Discussion and Analysis of Financial Condition and Results of Operations. . . . . . . . . .8-13 Item 8. Financial Statements and Supplementary Data. . . . . . .13 Item 9. Changes in and Disagreements with Accountants on Accounting and Financial Disclosure. . . . . . . . . . .13 Part III. Item 10. Directors, Executive Officers, Promoters and Control Persons of the Registrant . . . . . . . . . 14-17 Item 11. Executive Compensation . . . . . . . . . . . . . . . . 17 Item 12. Security Ownership of Certain Beneficial Owners and Management . . . . . . . . . . . . . . . . . . . . 17 Item 13. Certain Relationships and Related Transactions . . . 17-18 Part IV. Item 14. Exhibits, Financial Statement Schedules, and Reports on Form 8-K . . . . . . . . . . . . . . . . . . 19
DOCUMENTS INCORPORATED BY REFERENCE Portions of the following documents are incorporated by reference as follows:
Documents Incorporated Part of Form 10-K Partnership's Registration Statements On Forms S-1, File Nos. 33-55806, 33-61148 and 33-63312 I and IV December 31, 1996 Annual Report for the Dean Witter World Currency Fund L.P. II and IV
PART I Item 1. BUSINESS (a) General Development of Business. Dean Witter World Currency Fund L.P. (the "Partnership") is a Delaware limited partnership formed to engage in the speculative trading of futures and forward contracts and options on futures on a diversified portfolio of foreign currencies and related instruments. Units of limited partnership interest in the Partnership were registered pursuant to a Registration Statement on Form S-1 (File No. 33- 55806) which became effective on February 5, 1993. The offering of units was underwritten on a "best efforts" basis by Dean Witter Reynolds Inc. ("DWR"), a commodity broker and an affiliated corporation of the Partnership's general partner, Demeter Management Corporation ("Demeter"). The Partnership commenced operations on April 2, 1993. Additional units of limited partnership interests in the Partnership were registered pursuant to a Registration Statement on Form S-1 (File No. 33-61148) which became effective on April 27, 1993 and a Registration Statement on Form S- 1 (File No. 33-63312, into which File Nos. 33-61148 and 33-55806 were subsumed), which became effective on June 2, 1993. The Partnership's net asset value per unit, as of December 31, 1996 was $713.17, representing an increase of 12.97 percent from the net asset value per unit of $631.29 at December 31, 1995. For a more detailed description of the Partnership's business see subparagraph (c). (b) Financial Information about Industry Segments. The Partnership's business comprises only one segment for financial reporting purposes, speculative trading of commodity futures contracts and other commodity interests. The relevant financial information is presented in Items 6 and 8. (c) Narrative Description of Business. The Partnership is in the business of speculative trading in commodity futures contracts and other commodity interests, pursuant to trading instructions provided by John W. Henry & Company, Inc. ("JWH") and Millburn Ridgefield Corporation, its independent trading advisors (the "Trading Advisors"). For a detailed description of the different facets of the Partnership's business, see those portions of the Partnership's Prospectus, dated February 5, 1993, filed as part of the Registration Statement on Form S-1 ( File No. 33- 55806) (see "Documents Incorporated by Reference" Page 1), set forth below. Facets of Business 1. Summary 1. "Summary of the Prospectus" (Pages 1-8). 2. Currency Markets 2. "The Currency Markets" (Pages 80-88). 3. Partnership's Trading 3. "Trading Policies" (Page 75) Arrangements and "The Trading Advisors" Policies (Pages 34-74). 4. Management of the Part- 4. "The Management Agreements" nership (Pages 77-80). "The General Partner" (Pages 30-33) and "The Commodity Broker" (Page 76-77). "The Limited Partner- ship Agreement" (Pages 89- 93). 5. Taxation of the Partner- 5. "Federal Income Tax Aspects" ship's Limited Partners and "State and Local Income Tax Aspects" (Pages 97-104). (d) Financial Information About Foreign and Domestic Operations and Export Sales. The Partnership has not engaged in any operations in foreign countries; however, the Partnership (through the commodity broker) enters into forward contract transactions where foreign banks are the contracting party. Item 2. PROPERTIES The executive and administrative offices are located within the offices of DWR. The DWR offices utilized by the Partnership are located at Two World Trade Center, 62nd Floor, New York, NY 10048. Item 3. LEGAL PROCEEDINGS On September 6, 10, and 20, 1996, similar purported class actions were filed in the Superior Court of the State of California, County of Los Angeles, on behalf of all purchasers of interest in limited partnership commodity pools sold by DWR. Named defendants include DWR, Demeter , Dean Witter Futures & Currency Management Inc. ("DWFCM"), Dean Witter, Discover & Co. ("DWD")(all such parties referred to hereafter as the "Dean Witter Parties"), the Partnership, certain other limited partnership commodity pools of which Demeter is the general partner, and certain trading advisors (including JWH) a trading advisor to the Partnership to those pools. Similar purported class actions were also filed on September 18 and 20, 1996, in the Supreme Court of the State of New York, New York County, and on November 14, 1996 in the Superior Court of the State of Delaware, New Castle County, against the Dean Witter Parties and certain trading advisors (including JWH) on behalf of all purchasers of interests in various limited partnership commodity pools, including the Partnership, sold by DWR. Generally, these complaints allege, among other things, that the defendants committed fraud, deceit, misrepresentation, breach of fiduciary duty, fraudulent and unfair business practices, unjust enrichment, and conversion in connection with the sale and operation of the various limited partnership commodity pools. The complaints seek unspecified amounts of compensatory and punitive damages and other relief. It is possible that additional similar actions may be filed and that, in the course of these actions, other parties could be added as defendants. The Dean Witter Parties believe that they and the Partnership have strong defenses to, and they will vigorously contest the actions. Although the ultimate outcome of legal proceedings cannot be predicted with certainty, it is the opinion of management of the Dean Witter Parties that the resolution of the actions will not have a material adverse effect on the financial condition or the results of operations of any of the Dean Witter Parties or the Partnership. Item 4. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS None. PART II Item 5. MARKET FOR THE REGISTRANT'S PARTNERSHIP UNITS AND RELATED SECURITY HOLDER MATTERS There is no established public trading market for the Units of Limited Partnership Interest in the Partnership. The number of holders of Units at December 31, 1996 was approximately 4,257. No distributions have been made by the Partnership since it commenced trading operations on April 2, 1993. Demeter has sole discretion to decide what distributions, if any, shall be made to investors in the Partnership. No determination has yet been made as to future distributions. Item 6. SELECTED FINANCIAL DATA (in dollars)
For the Period from April 2, 1993 (commencement) For the Years Ended December 31, of operations to 1996 1995 1994 December 31, 1993 Total Revenues (including interest) 5,746,636 4,814,020 (12,285,075) (13,521,231) Net Income (Loss) 3,438,844 1,480,810 (19,768,097) (21,491,018) Net Income (Loss) Per Unit (Limited & General Partners) 81.88 12.50 (207.71) (173.50) Total Assets 27,427,364 31,591,379 49,603,246 90,786,961 Total Limited Partners' Capital 25,668,776 29,734,237 46,629,315 88,549,902 Net Asset Value Per Unit of Limited Partnership Interest 713.17 631.29 618.79 826.50
Item 7. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS Liquidity. The Partnership's assets are on deposit in separate commodity interest trading accounts with DWR, the commodity broker, and are used by the Partnership as margin to engage in commodity futures, forward contracts and other commodity interest trading. DWR holds such assets in either designated depositories or in securities approved by the Commodity Futures Trading Commission ("CFTC") for investment of customer funds. The Partnership's assets held by DWR may be used as margin solely for the Partnership's trading. Since the Partnership's sole purpose is to trade in commodity futures contracts and other commodity interests, it is expected that the Partnership will continue to own such liquid assets for margin purposes. The Partnership's investment in commodity futures contracts, forward contracts and other commodity interests may be illiquid. If the price for a futures contract for a particular commodity has increased or decreased by an amount equal to the "daily limit", positions in the commodity can neither be taken nor liquidated unless traders are willing to effect trades at or within the limit. Commodity futures prices have occasionally moved the daily limit for several consecutive days with little or no trading. Such market conditions could prevent the Partnership from promptly liquidating its commodity futures positions. There is no limitation on daily price moves in trading forward contracts on foreign currencies. The markets for some world currencies have low trading volume and are illiquid, which may prevent the Partnership from trading in potentially profitable markets or prevent the Partnership from promptly liquidating unfavorable positions in such markets and subjecting it to substantial losses. Either of these market conditions could result in restrictions on redemptions. Market Risk. The Partnership trades futures, options and forward contracts in interest rates, stock indices, commodities and currencies. In entering into these contracts there exists a risk to the Partnership (market risk) that such contracts may be significantly influenced by market conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures interest positions held by the Partnership at the same time, and if the Trading Advisors were unable to offset futures interest positions of the Partnership, the Partnership could lose all of its assets and the Limited Partners would realize a 100% loss. The Partnership has established Trading Policies, which include standards for liquidity and leverage which help control market risk. Both the Trading Advisors and Demeter monitor the Partnership's trading activities on a daily basis to ensure compliance with the Trading Policies. Demeter may (under terms of the Management Agreements) override the trading instructions of a Trading Advisor to the extent necessary to comply with the Partnership's Trading Policies. Credit Risk. In addition to market risk, the Partnership is subject to credit risk in that a counterparty may not be able to meet its obligations to the Partnership. The counterparty of the Partnership for futures contracts traded in the United States and most foreign exchanges on which the Partnership trades is the clearinghouse associated with such exchange. In general, a clearinghouse is backed by the membership of the exchange and will act in the event of non-performance by one of its members or one of its member's customers, and as such, should significantly reduce this credit risk. In cases where the Partnership trades on exchanges where the clearinghouse is not funded or guaranteed by the membership, or where the exchange is a "principals' market" in which performance is the responsibility of the exchange member and not the exchange or a clearinghouse, or when the Partnership enters into off- exchange member and not the exchange or a clearinghouse, or when the Partnership enters into off-exchange contracts with a counterparty, the sole recourse of the Partnership will be the clearinghouse, the exchange member or the off-exchange contract counterparty, as the case may be. or when the Partnership enters into off-exchange contracts with a counterparty, the sole recourse of the Partnership will be the clearinghouse or the counterparty as the case may be. With respect to futures contracts, DWR, in its business as an international commodity broker, constantly monitors the creditworthiness of the exchanges and clearing members of the foreign exchanges with which it does business for clients, including the Partnership. DWR employees also from time to time serve on supervisory or management committees of such exchanges. If DWR believed that there was a problem with the credit-worthiness of an exchange on which the Partnership deals, it would so advise Demeter. With respect to exchanges of which DWR is not a member, DWR acts only through clearing brokers it has determined to be creditworthy. If DWR believed that a clearing broker with which it deals on behalf of clients were not creditworthy, it would terminate its relationship with such broker. While DWR monitors the creditworthiness and risks involved in dealing on the various exchanges (and their clearinghouses) and with other exchange members, there can be no assurance that an exchange (or its clearinghouse) or other exchange member will be able to meet its obligations to the Partnership. DWR has not undertaken to indemnify the Partnership against any loss. Further, the law is unclear, particularly with respect to trading in various non-U.S. jurisdictions, as to whether DWR has any obligation to protect the Partnership from any liability in the event that an exchange or its clearinghouse or another exchange member defaults on its obligations on trades effected for the Partnership. Although DWR monitors the creditworthiness of the foreign exchanges and clearing brokers with which it does business for clients, DWR does not have the capability to precisely quantify the Partnership's exposure to risks inherent in its trading activities on foreign exchanges, and, as a result, the risk is not monitored by DWR on an individual client basis (including the Partnership). In this regard, DWR must clear its customer trades through one or more other clearing brokers on each exchange where DWR is not a clearing member. Such other clearing brokers calculate the net margin requirements of DWR in respect of the aggregate of all of DWR's customer positions carried in DWR's omnibus account with that clearing broker. Similarly, DWR calculates a net margin requirement for the exchange-traded futures positions of each of its customers, including the Partnership. Neither DWR nor DWR's respective clearing brokers on each foreign futures exchange calculates the margin requirements of an individual customer, such as the Partnership, in respect of the customer's aggregate contract positions on any particular exchange. With respect to forward contract trading, the Partnership trades with only those counterparties which Demeter, together with DWR, have determined to be creditworthy. As set forth in the Partnership's Trading Policies, in determining creditworthiness, Demeter and DWR consult with the Corporate Credit Department of DWR. Currently, the Partnership deals solely with DWR as its counterparty on forward contracts. While DWR and Demeter monitor creditworthiness and risk involved in dealing on the various exchanges and with counterparties, there can be no assurance that an exchange or counterparty will be able to meet its obligations to the Partnership. See "Financial Instruments", under Notes to Financial Statements in its 1996 Annual Report to Partners, incorporated by reference in this Form 10-K. Capital Resources. The Partnership does not have, nor does it expect to have, any capital assets. Redemptions of additional Units in the future will impact the amount of funds available for investments in commodity futures, forward contracts on foreign currencies and other commodity interests in subsequent periods. As redemptions are at the discretion of Limited Partners, it is not possible to estimate the amount and therefore, the impact of future redemptions. Results of Operations. As of December 31, 1996, the Partnership's total capital was $26,529,931, a decrease of $3,966,591 from the Partnership's total capital of $30,496,522 at December 31, 1995. For the year ended December 31, 1996, the Partnership generated net income of $3,438,844, and total redemptions aggregated $7,405,435. For the period ended December 31, 1996, the Partnership's total trading revenues including interest income were $5,746,636. The Partnership's total expenses for the period were $2,307,792, resulting in net income of $3,438,844. The value of an individual unit in the Partnership increased from $631.29 at December 31, 1995 to $713.17 at December 31, 1996. As of December 31, 1995, the Partnership's total capital was $30,496,522, a decrease of $16,879,981 from the Partnership's total capital of $47,376,503 at December 31, 1994. For the year ended December 31, 1995, the Partnership generated net income of $1,480,810 and total redemptions aggregated $18,360,791. For the year ended December 31, 1995, the Partnership's total trading revenues including interest income were $4,814,020. The Partnership's total expenses for the year were $3,333,210, resulting in net income of $1,480,810. The value of an individual unit in the Partnership increased from $618.79 at December 31, 1994 to $631.29 at December 31, 1995. As of December 31, 1994, the Partnership's total capital was $47,376,503, a decrease of $42,153,898 from the Partnership's total capital of $89,530,401 at December 31, 1993. For the year ended December 31, 1994, the Partnership incurred a net loss of $19,768,097 and total redemptions aggregated $22,385,801. For the year ended December 31, 1994, the Partnership's total trading losses net of interest income were $12,285,075. The Partnership's total expenses for the year were $7,483,022, resulting in a net loss of $19,768,097. The value of an individual unit in the Partnership decreased from $826.50 at December 31, 1993 to $618.79 at December 31, 1994. The Partnership's overall performance record represents varied results of trading in different commodity markets. For a further description of trading results, refer to the letter to the Limited Partners in the accompanying 1996 Annual Report to Partners, incorporated by reference in this Form 10-K. The Partnership's gains and losses are allocated among its Limited Partners for income tax purposes. Item 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA The information required by this Item appears in the attached 1996 Annual Report to Partners and is incorporated by reference in this Annual Report on Form 10-K. Item 9. CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND FINANCIAL DISCLOSURE None. PART III Item 10. DIRECTORS, EXECUTIVE OFFICERS, PROMOTERS AND CONTROL PERSONS OF THE REGISTRANT General Partner Demeter, a Delaware corporation, was formed on August 18, 1977 to act as a commodity pool operator and is registered with the CFTC as a commodity pool operator and currently is a member of the National Futures Association ("NFA") in such capacity. Demeter is wholly-owned by DWD and is an affiliate of DWR. DWD, DWR and Demeter may each be deemed to be "promoters" and/or a "parent" of the Partnership within the meaning of the federal securities laws. Dean Witter Reynolds Inc. DWR is a financial services company which provides to its individual, corporate and institutional clients services as a broker in securities and commodity interest contracts, a dealer in corporate, municipal and government securities, an investment banker, an investment adviser and an agent in the sale of life insurance and various other products and services. DWR is a member firm of the New York Stock Exchange, the American Stock Exchange, the Chicago Board Options Exchange, and other major securities exchanges, and is a clearing member of the Chicago Board of Trade, the Chicago Mercantile Exchange, the Commodity Exchange Inc., and other major commodities exchanges. DWR is registered with the CFTC as a futures commission merchant and is a member of the NFA in such capacity. DWR is currently servicing its clients through a network of 371 branch offices with approximately 9,080 account executives servicing individual and institutional client accounts. Directors and Officers of the General Partner The directors and officers of Demeter as of December 31, 1996 are as follows: Richard M. DeMartini, age 44, is the Chairman of the Board and a Director of Demeter. Mr. DeMartini is also the Chairman of the Board and a Director of DWFCM, a registered commodity trading advisor. Mr. DeMartini has served as President and Chief Operating Officer of Dean Witter Capital, a division of DWR since January 1989. From January 1988 until January 1989, Mr. DeMartini served as President and Chief Operating Officer of the Consumer Banking Division of DWD, and from May 1985 until January 1988 was President and Chief Executive Officer of the Consumer Markets Division of DWD. Mr. DeMartini currently serves as a Director of DWD and DWR, and has served as an officer of DWR for the past five years. Mr. DeMartini has been with DWD and its affiliates for 22 years. Mark J. Hawley, age 53, is President and a Director of Demeter. Mr. Hawley joined DWR in February 1989 and currently serves as Executive Vice President and Director of DWR's Managed Futures and Precious Metals Department. Mr. Hawley also serves as President of DWFCM. From 1978 to 1989, Mr. Hawley was a member of the senior management team at Heinold Asset Management, Inc., a commodity pool operator, and was responsible for a variety of projects in public futures funds. From 1972 to 1978, Mr. Hawley was a Vice President in charge of institutional block trading for the Mid-West at Kuhn Loeb & Co. Lawrence Volpe, age 49, is a Director of Demeter and DWFCM. Mr. Volpe joined DWR as a Senior Vice President and Controller in September 1983, and currently holds those positions. From July 1979 to September 1983, he was associated with E.F. Hutton & Company Inc. and prior to his departure, held the positions of First Vice President and Assistant Controller. From 1970 to July 1979, he was associated with ARthur Anderson & Co. and prior to his departure he served as audit manager in the financial services division. Joseph G. Siniscalchi, age 51, is a Director of Demeter. Mr. Siniscalchi joined DWR in July 1984 as a First Vice President, Director of General Accounting. He is currently Senior Vice President and Controller of the Dean Witter Financial Division of DWR. From February 1980 to July 1984, Mr. Siniscalchi was Director of Internal Audit at Lehman Brothers Kuhn Loeb, Inc. Laurence E. Mollner, age 55, is a Director of Demeter. Mr. Mollner joined DWR in May 1979 as Vice President and Director of Commercial Sales. He is currently Executive Vice President and Deputy Director of the Futures Markets Division of DWR. Edward C. Oelsner III, age 54, is a Director of Demeter. Mr. Oelsner joined DWR in March 1981 as a Managing Director in the Corporate Finance Department. He currently manages DWR's Retail Products Group within the Corporate Finance Department. While Mr. Oelsner has extensive experience in the securities industry, he has no experience in commodity interests trading. Robert E. Murray, age 36, is a Director of Demeter. Mr. Murray is currently a Senior Vice President of the DWR Managed Futures Division and is a Director and the Senior Administrative Officer of DWFCM. Mr. Murray graduated from Geneseo State University in May 1983 with a B.A. degree in Finance. Mr. Murray began at DWR in 1984 and is currently the Director of Product Development for the Managed Futures Division and is responsible for the development and maintenance of the proprietary Fund Management System utilized by Demeter and DWFCM for organizing information and producing reports for monitoring investors' accounts. Patti L. Behnke, age 36, is Vice President and Chief Financial Officer of Demeter. Ms. Behnke joined DWR in 1991 as Assistant Vice President of Financial Reporting and is currently First Vice President and Director of Financial Reporting and Managed Futures Accounting in the Capital Markets division of DWR. From August 1988 to September 1990, Ms. Behnke was Assistant Controller of L.F. Rothschild & Co. and from September 1986 to August 1988, she was associated with Carteret Savings Bank as Assistant Vice President - Financial Analysis. From April 1982 to September 1986, Ms. Behnke was an auditor at Arthur Andersen & Co. Item 11. EXECUTIVE COMPENSATION The Partnership has no directors and executive officers. As a limited partnership, the business of the Partnership is managed by Demeter which is responsible for the administration of the business affairs of the Partnership but receives no compensation for such services. Item 12. SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT (a) Security Ownership of Certain Beneficial Owners - As of December 31, 1996, there were no persons as beneficial owners of more than 5 percent of the Units of Limited Partnership Interest in the Partnership. (b) Security Ownership of Management - At December 31, 1996, Demeter owned 1,207.506 Units of General Partnership Interest representing a 3.25 percent interest in the Partnership. (c) Changes in Control - None Item 13. CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS Refer to Note 2 - "Related Party Transactions" of "Notes to Financial Statements", in the accompanying 1996 Annual Report to Partners, incorporated by reference in this Form 10-K. In its capacity as the Partnership's retail commodity broker, DWR received commodity brokerage commissions (paid and accrued by the Partnership) of $1,280,404 for the year ended December 31, 1996. PART IV Item 14. EXHIBITS, FINANCIAL STATEMENT SCHEDULES, AND REPORTS ON FORM 8-K (a) 1. Listing of Financial Statements The following financial statements and report of independent public accountants, all appearing in the accompanying 1996 Annual Report to Partners, are incorporated by reference in this Form 10-K: - Report of Deloitte & Touche LLP, independent auditors, for the years ended December 31, 1996, 1995 and 1994. - Statements of Financial Condition as of December 31, 1996 and 1995. - Statements of Operations, Changes in Partners' Capital, and Cash Flows for the years ended December 31, 1996, 1995 and 1994. - Notes to Financial Statements. With exception of the aforementioned information and the information incorporated in Items 7, 8 and 13, the 1996 Annual Report to Partners is not deemed to be filed with this report. 2. Listing of Financial Statement Schedules No financial statement schedules are required to be filed with this report. (b) Reports on Form 8-K No reports on Form 8-K have been filed by the Partnership during the last quarter of the period covered by this report. (c) Exhibits Refer to Exhibit Index on Page E-1. SIGNATURES Pursuant to the requirement of Sections 13 or 15(d) 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 March 27, 1997 BY: /s/ Mark J. Hawley Mark J. Hawley, Director and President Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. Demeter Management Corporation. BY: /s/ Mark J. Hawley March 27, 1997 Mark J. Hawley, Director and President /s/ Richard M. DeMartini March 27, 1997 Richard M. DeMartini, Director and Chairman of the Board /s/ Lawrence Volpe March 27, 1997 Lawrence Volpe, Director /s/ Laurence E. Mollner March 27, 1997 Laurence E. Mollner, Director /s/ Joseph G. Siniscalchi March 27, 1997 Joseph G. Siniscalchi, Director /s/ Edward C. Oelsner III March 27, 1997 Edward C. Oelsner III, Director /s/ Robert E. Murray March 27, 1997 Robert E. Murray, Director /s/ Patti L. Behnke March 27, 1997 Patti L. Behnke, Chief Financial Officer and Principal Accounting Officer EXHIBIT INDEX ITEM METHOD OF FILING -3. Limited Partnership Agreement of the Partnership, dated as of December 8, 1992. (1) - -10. Form of the Management Agreements among the Partnership, Demeter Management Corporation and CCA Capital Manage- (2) ment Inc., Colorado Commodities Management Corporation, Ezra Zask Associates Inc. and Millburn Ridgefield Corporation dated as of March 1, 1993. - -10. Customer Agreement Between the Partnership and Dean Witter Reynolds Inc., dated as of (3) March 1, 1993. - -10. Management Agreement among the Partnership, Demeter Management Corporation and John W. Henry & Co., Inc., dated as of June 1, 1995. (4) - -99. December 31, 1996 Annual Report to Limited Partners. (5) (1) 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). (2) Incorporated by reference to Exhibit 10.02 of the Partnership's Registration Statement on Form S-1 (File No. 33-55806). (3) Incorporated by reference to Exhibit 10.01 of the Partnership's Registration Statement on Form S-1 (File No. 33-55806). (4) Incorporated by reference to Exhibit 10.03 of the Partnership's Annual Report on Form 10K for the fiscal year ended December 31, 1995. (5) Filed herewith. EX-27 2
5 The schedule contains summary financial information extracted from Dean Witter World Currency Fund L.P. and is qualified in its entirety by references to such financial instruments. 12-MOS DEC-31-1996 DEC-31-1996 25,825,801 0 87,895 0 0 0 0 0 27,427,364 0 0 0 0 0 0 27,427,364 0 5,746,636 0 0 2,307,792 0 0 3,438,844 0 3,438,844 0 0 0 3,438,844 0 0 In addition to cash and receivables, total assets include net unrealized gain on open contracts of $1,242,668 and net option premiums of $230,200. Liabilities include redemptions payable of $779,025, accrued brokerage commissions of $26,388, accrued transaction fees and costs of $1,702, accrued management fees of $68,410 and accrued administrative expenses payable of $21,908. Total revenues include realized trading revenue of $2,720,213, net change in unrealized of $1,877,237 and interest income of $1,149,186.
EX-99 3 ANNUAL REPORT World Currency Fund December 31, 1996 Annual Report [LOGO]DEAN WITTER DEAN WITTER Two World Trade Center 62nd Floor New York, NY 10048 Telephone (212) 392-8899 DEAN WITTER WORLD CURRENCY FUND L.P. ANNUAL REPORT 1996 Dear Limited Partner: This marks the fourth annual report for the Dean Witter World Currency Fund L.P. (the "Fund"). The Fund began the year trading at a Net Asset Value per Unit of $631.29, and increased by 13.0% to $713.17 on December 31, 1996. The Fund has decreased by 28.7% since its inception of trading in April 1993 ( a compound annualized return of -8.6%). In January, the Fund recorded significant gains as short positions in the Japanese yen profited from a decrease in value relative to the U.S. dollar. Additional gains were recorded from short positions in the Swiss franc, German mark and British pound as the value of these currencies also moved lower during the month. A portion of these gains were given back during February due to a sharp reversal upward in the value of the Japanese yen and most major European currencies versus the U.S. dollar. During March, small losses were experienced from short positions in European currencies as the value of these currencies moved higher versus the U.S. dollar. During April, profits were recorded from short positions in the German mark and Swiss franc as the value of these currencies moved lower relative to the U.S. dollar and other world currencies. Additional gains were recorded from short positions in the French franc as its value also declined. In May, the Fund recorded small losses as the value of the Japanese yen moved without consistent direction relative to the U.S. dollar. Additional losses were recorded from short-term volatility in the value of the German mark. The Fund experienced gains during June as the value of the Japanese yen moved lower, thus resulting in profits for the Fund's short yen positions. Smaller gains were recorded from short positions in the Singapore dollar and Swiss franc as the value of these currencies also moved lower versus the U.S. dollar. The Fund recorded losses during July from previously established short positions in the Swiss franc and Japanese yen as the value of these currencies moved sharply higher. In August, the Fund recorded losses due to trend reversals and choppy movement in the value of most major world currencies relative to the U.S. dollar. The most significant losses were recorded from long German mark and French franc positions as the value of these currencies moved lower versus the U.S. dollar early in the month. The Fund experienced small profits in September due primarily to a downward trend in the value of the Japanese yen versus the U.S. dollar. Additional gains were recorded from long British pound and Canadian dollar positions as the value of these currencies finished the month higher versus the U.S. dollar and other world currencies. The fourth quarter began with significant gains during October due primarily to short positions in the Japanese yen as its value continued to trend lower relative to the U.S. dollar. Additional gains were recorded from long British pound positions as its value surged higher versus the U.S. dollar and other world currencies. Gains were also recorded from short Swiss franc positions as its value moved lower. The Fund recorded small losses during November from previously established short Japanese yen positions as its value moved higher relative to the U.S. dollar. Smaller losses were recorded from transactions involving the Italian lira, Singapore dollar, French franc and Spanish peseta. During December, gains were recorded from short Swiss franc and Japanese yen positions as the value of these currencies moved lower relative to the U.S. dollar. Smaller gains were recorded from long British pound positions as its value finished the month higher. Overall, the Fund profited during the year due primarily to short positions in the British pound during January, and from long British pound positions during October. Additional Fund gains were experienced from short Japanese yen positions during January, June, September and the majority of the fourth quarter as its value moved lower versus the U.S. dollar and other world currencies. The Fund also profited from transactions involving the Swiss franc as gains recorded in January and the second quarter more than offset losses experienced from transactions involving this currency during July, February and March. Should you have any questions concerning this report, please feel free to contact Demeter Management Corporation at Two World Trade Center, 62nd Floor, New York, NY 10048, or your Dean Witter Account Executive. I hereby affirm, that to the best of my knowledge and belief, the information contained in this report is accurate and complete. Past performance is not a guarantee of future results. Sincerely, /s/ Mark J. Hawley Mark J. Hawley President Demeter Management Corporation General Partner DEAN WITTER WORLD CURRENCY FUND L.P. INDEPENDENT AUDITORS' REPORT The Limited Partners and the General Partner: We have audited the accompanying statements of financial condition of Dean Witter World Currency Fund L.P. (the "Partnership") as of December 31, 1996 and 1995 and the related statements of operations, changes in partners' capital, and cash flows for each of the three years in the period ended December 31, 1996. These statements are the responsibility of the Partnership's management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits in accordance with generally accepted auditing standards. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, such financial statements present fairly, in all material respects, the financial position of Dean Witter World Currency Fund L.P. as of December 31, 1996 and 1995 and the results of its operations and its cash flows for each of the three years in the period ended December 31, 1996 in conformity with generally accepted accounting principles. /s/ Deloitte & Touche LLP February 17, 1997 New York, New York DEAN WITTER WORLD CURRENCY FUND L.P. STATEMENTS OF FINANCIAL CONDITION
DECEMBER 31, --------------------- 1996 1995 ---------- ---------- $ $ ASSETS Equity in Commodity futures trading accounts: Cash 25,825,801 31,916,332 Net unrealized gain (loss) on open contracts 1,242,668 (634,569) Net option premiums 230,200 195,738 ---------- ---------- Total Trading Equity 27,298,669 31,477,501 Interest receivable (DWR) 87,895 113,878 Due from DWR 40,800 -- ---------- ---------- Total Assets 27,427,364 31,591,379 ========== ========== LIABILITIES AND PARTNERS' CAPITAL LIABILITIES Redemptions payable 779,025 905,887 Accrued management fees 68,410 78,670 Accrued brokerage commissions (DWR) 26,388 12,384 Accrued administrative expenses 21,908 97,297 Accrued transaction fees and costs 1,702 619 ---------- ---------- Total Liabilities 897,433 1,094,857 ---------- ---------- PARTNERS' CAPITAL Limited Partners (35,992.609 and 47,100.857 Units, respectively) 25,668,776 29,734,237 General Partner (1,207.506 Units) 861,155 762,285 ---------- ---------- Total Partners' Capital 26,529,931 30,496,522 ---------- ---------- Total Liabilities and Partners' Capital 27,427,364 31,591,379 ========== ========== NET ASSET VALUE PER UNIT 713.17 631.29 ========== ==========
The accompanying notes are an integral part of these financial statements. DEAN WITTER WORLD CURRENCY FUND L.P. STATEMENTS OF OPERATIONS
FOR THE YEARS ENDED DECEMBER 31, 1996 1995 1994 --------- --------- ----------- $ $ $ REVENUES Trading Profit (Loss): Realized 2,720,213 1,451,982 (14,680,185) Net change in unrealized 1,877,237 1,539,185 201,992 --------- --------- ----------- Total Trading Results 4,597,450 2,991,167 (14,478,193) Interest income (DWR) 1,149,186 1,822,853 2,193,118 --------- --------- ----------- Total Revenues 5,746,636 4,814,020 (12,285,075) --------- --------- ----------- EXPENSES Brokerage commissions (DWR) 1,280,404 1,730,874 4,960,895 Management fees 871,626 1,225,699 1,956,579 Transaction fees and costs 81,225 270,444 457,548 Administrative expenses 74,537 106,193 108,000 --------- --------- ----------- Total Expenses 2,307,792 3,333,210 7,483,022 --------- --------- ----------- NET INCOME (LOSS) 3,438,844 1,480,810 (19,768,097) ========= ========= =========== NET INCOME (LOSS) ALLOCATION: Limited Partners 3,339,974 1,465,713 (19,512,786) General Partner 98,870 15,097 (255,311) NET INCOME (LOSS) PER UNIT: Limited Partners 81.88 12.50 (207.71) General Partner 81.88 12.50 (207.71)
STATEMENT OF CHANGES IN PARTNERS' CAPITAL FOR THE YEARS ENDED DECEMBER 31, 1996, 1995 AND 1994
UNITS OF PARTNERSHIP LIMITED GENERAL INTEREST PARTNERS PARTNER TOTAL ----------- ----------- -------- ----------- $ $ $ Partners' Capital, December 31, 1993 108,324.197 88,549,902 980,499 89,530,401 Net Loss -- (19,512,786) (255,311) (19,768,097) Subscription Adjustment -- (22,000) 22,000 -- Redemptions (31,760.580) (22,385,801) -- (22,385,801) ----------- ----------- -------- ----------- Partners' Capital, December 31, 1994 76,563.617 46,629,315 747,188 47,376,503 Net Income -- 1,465,713 15,097 1,480,810 Redemptions (28,255.254) (18,360,791) -- (18,360,791) ----------- ----------- -------- ----------- Partners' Capital, December 31, 1995 48,308.363 29,734,237 762,285 30,496,522 Net Income -- 3,339,974 98,870 3,438,844 Redemptions (11,108.248) (7,405,435) -- (7,405,435) ----------- ----------- -------- ----------- Partners' Capital, December 31, 1996 37,200.115 25,668,776 861,155 26,529,931 =========== =========== ======== ===========
The accompanying notes are an integral part of these financial statements. DEAN WITTER WORLD CURRENCY FUND L.P. STATEMENTS OF CASH FLOWS
FOR THE YEARS ENDED DECEMBER 31, 1996 1995 1994 ---------- ----------- ----------- $ $ $ CASH FLOWS FROM OPERATING ACTIVITIES Net income (loss) 3,438,844 1,480,810 (19,768,097) Noncash item included in net income (loss): Net change in unrealized (1,877,237) (1,539,185) (201,992) (Increase) decrease in operating assets: Net option premiums (34,462) 608,212 (689,912) Interest receivable (DWR) 25,983 86,762 (2,548) Due from DWR (40,800) 86,859 107,195 Increase (decrease) in operating liabilities: Accrued management fees (10,260) (45,137) (102,853) Accrued brokerage commissions (DWR) 14,004 12,384 (49,815) Accrued administrative expenses (75,389) 30,668 9,149 Accrued transaction fees and costs 1,083 619 (2,125) ---------- ----------- ----------- Net cash provided by (used for) operating activities 1,441,766 721,992 (20,700,998) ---------- ----------- ----------- CASH FLOWS FROM FINANCING ACTIVITIES Increase (decrease) in redemptions payable (126,862) (1,130,420) 1,115,827 Redemptions of units (7,405,435) (18,360,791) (22,385,801) ---------- ----------- ----------- Net cash used for financing activities (7,532,297) (19,491,211) (21,269,974) ---------- ----------- ----------- Net decrease in cash (6,090,531) (18,769,219) (41,970,972) Balance at beginning of period 31,916,332 50,685,551 92,656,523 ---------- ----------- ----------- Balance at end of period 25,825,801 31,916,332 50,685,551 ========== =========== ===========
The accompanying notes are an integral part of these financial statements. DEAN WITTER WORLD CURRENCY FUND L.P. NOTES TO FINANCIAL STATEMENTS 1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES ORGANIZATION--Dean Witter World Currency Fund L.P. (the "Partnership") is a limited partnership organized to engage in the speculative trading of commodity futures contracts, commodity options contracts and forward contracts on foreign currencies. The general partner for the Partnership is Demeter Management Corporation ("Demeter"). The commodity broker is Dean Witter Reynolds Inc. ("DWR"). Both DWR and Demeter are wholly-owned subsidiaries of Dean Witter, Discover & Co. ("DWD"). Demeter has retained John W. Henry & Company, Inc. ("JWH") and Millburn Ridgefield Corporation ("Millburn") as the trading advisors of the Partnership. Demeter is required to maintain a 1% minimum interest in the equity of the Partnership and income (losses) are shared by the General and Limited Partners based upon their proportional ownership interests. BASIS OF ACCOUNTING--The preparation of financial statements in conformity with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts in the financial statements. REVENUE RECOGNITION--Commodity futures contracts, commodity options and forward contracts on foreign currencies are open commitments until settlement date. They are valued at market and the resulting unrealized gains and losses are reflected in income. Monthly, DWR pays the Partnership interest income based upon 80% of the average daily Net Assets for the month at a rate equal to the average yield on 13-week U.S. Treasury Bills issued during the month. For purposes of such interest payments, Net Assets do not include monies due the Partnership on forward contracts and other commodity interests, but not actually received. NET INCOME (LOSS) PER UNIT--Net income (loss) per Unit is computed using the weighted average number of units outstanding during the period. EQUITY IN COMMODITY FUTURES TRADING ACCOUNTS--The Partnership's asset "Equity in Commodity futures trading accounts" consists of cash on deposit at DWR to be used as margin for trading and the net asset or liability related to unrealized gains or losses on open contracts and the net option premiums paid and/or received. The asset or liability related to the unrealized gains or losses on forward contracts is presented as a net amount because the Partnership has a master netting agreement with DWR. DEAN WITTER WORLD CURRENCY FUND L.P. NOTES TO FINANCIAL STATEMENTS--(CONTINUED) BROKERAGE COMMISSIONS AND RELATED TRANSACTION FEES AND COSTS--The Partnership accrues brokerage commissions on a half-turn basis at 80% of DWR's published non-member rates. Transaction fees and costs are accrued on a half-turn basis. Prior to September 1, 1996 brokerage commissions were capped at 3/4 of 1% per month of the Net Assets allocated to each trading advisor as defined in the Limited Partnership Agreement. Effective September 1, 1996, brokerage commissions and transaction fees chargeable to the Partnership have been capped at 13/20 of 1% per month of the Partnership's month-end Net Assets as defined in the Limited Partnership Agreement. OPERATING EXPENSES--The Partnership bears all operating expenses related to its trading activities, to a maximum of 1/4 of 1% annually of the Partnership's average month end Net Assets. These include filing fees, clerical, administrative, auditing, accounting, mailing, printing, and other incidental operating expenses as permitted by the Limited Partnership Agreement. In addition, the Partnership incurs a monthly management fee and may incur an incentive fee. REDEMPTIONS--Limited Partners may redeem some or all of their Units at 100% of the Net Asset Value per Unit as of the end of the last day that is six months after the closing at which a person becomes a limited partner, upon five business days advance notice by redemption form to Demeter. Thereafter, Units may be redeemed as of the end of any month upon five business days advance notice by redemption form to Demeter. However, any Units redeemed at or prior to the end of the twelfth, eighteenth or twenty-fourth full month following the closing at which such person first became a limited partner, was subject to a redemption charge equal to 3%, 2% or 1%, respectively, of the Net Asset Value per Unit on the date of such redemption. Limited Partners who obtained their units via an exchange from another DWR sponsored commodity pool are not subject to the six month holding period or the redemption charges. DISTRIBUTIONS--Distributions, other than on redemptions of Units, are made on a pro-rata basis at the sole discretion of Demeter. No distributions have been made to date. INCOME TAXES--No provision for income taxes has been made in the accompanying financial statements, as partners are individually responsible for reporting income or loss based upon their respective share of the Partnership's revenues and expenses for income tax purposes. DEAN WITTER WORLD CURRENCY FUND L.P. NOTES TO FINANCIAL STATEMENTS--(CONTINUED) DISSOLUTION OF THE PARTNERSHIP--The Partnership will terminate on December 31, 2025 or at an earlier date if certain conditions set forth in the Limited Partnership Agreement occur. 2. RELATED PARTY TRANSACTIONS The Partnership's cash is on deposit with DWR in commodity trading accounts to meet margin requirements as needed. DWR pays interest on these funds as described in Note 1. Under its Customer Agreement with DWR, the Partnership pays DWR brokerage commissions as described in Note 1. 3. TRADING ADVISORS Compensation to JWH and Millburn consists of a management fee and an incentive fee as follows: MANAGEMENT FEE--The Partnership pays a monthly management fee equal to 1/4 of 1% per month of the Partnership's adjusted Net Assets, as defined, as of the last day of each month. INCENTIVE FEE--The Partnership will pay a quarterly incentive fee to each trading advisor equal to 17.5% of the trading advisor's "Trading Profits", as defined in the Limited Partnership Agreement, experienced by the Net Assets allocated to such trading advisor as of the end of each calendar quarter. If a trading advisor has experienced "Trading Losses" with respect to its allocated Net Assets at the time of any supplemental closing, the trading advisor must earn back such losses plus a pro rata amount related to the funds allocated to the trading advisor at such supplemental closing before the trading advisor is eligible for an incentive fee. Such incentive fee is accrued in each month in which "Trading Profits" occur. In those months in which "Trading Profits" are negative, previous accruals, if any, during the incentive period will be reduced. In those instances, in which a Limited Partner redeems an investment, the incentive fee (if earned through a redemption date) is to be paid to such advisor on those redemptions in the month of such redemptions. DEAN WITTER WORLD CURRENCY FUND L.P. NOTES TO FINANCIAL STATEMENTS--(CONTINUED) 4. FINANCIAL INSTRUMENTS The Partnership trades futures, options and forward contracts in interest rates, stock indices, commodities, currencies, petroleum, and precious metals. Futures, options 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. At December 31, 1996 and 1995, open contracts were:
CONTRACT OR NOTIONAL AMOUNT --------------------------- 1996 1995 ------------- ------------- $ $ EXCHANGE-TRADED FINANCIAL FUTURES CONTRACTS Commitments to Purchase 8,348,000 -- Commitments to Sell 64,040,000 38,370,000 OFF-EXCHANGE-TRADED FORWARD CURRENCY CONTRACTS Commitments to Purchase 111,517,000 119,578,000 Commitments to Sell 131,009,000 137,044,000
A portion of the amounts indicated as off-balance-sheet risk in forward currency contracts is due to offsetting forward commitments to purchase and to sell the same currency on the same date in the future. These commitments are economically offsetting, but are not offset in the forward market until the settlement date. The unrealized gains (losses) on open contracts are reported as a component of "Equity in Commodity futures trading accounts" on the Statements of Financial Condition and totaled $1,242,668 and $(634,569) at December 31, 1996 and 1995, respectively. Of the $1,242,668, net unrealized gain on open contracts at December 31, 1996, $1,289,462 related to exchange-traded futures contracts and $(46,794) related to off-exchange-traded forward currency contracts. Of the $(634,569) net unrealized loss on open contracts at December 31, 1995, $(7,960) related to exchange-traded futures contracts and $(626,609) related to off-exchange-traded forward currency contracts. Exchange-traded futures contracts held by the Partnership at December 31, 1996 and 1995 mature through March 1997 and March 1996, respectively. Off-exchange- traded forward currency contracts held by the Partnership at December 31, 1996 and 1995 mature through March 1997 and January 1996, respectively. The contract amounts in the above table represent the DEAN WITTER WORLD CURRENCY FUND L.P. NOTES TO FINANCIAL STATEMENTS--(CONTINUED) Partnership's extent of involvement in the particular class of financial instrument, but not the credit risk associated with counterparty nonperformance. The credit risk associated with these instruments is limited to the amounts reflected in the Partnership's Statements of Financial Condition. The Partnership also has credit risk because DWR acts as the futures commission merchant or the sole counterparty, with respect to most of the Partnerships' assets. Exchange-traded futures and options contracts are marked to market on a daily basis, with variations in value settled on a daily basis. DWR, as the futures commission merchant for of all of the Partnership's exchange-traded futures and options contracts, is required pursuant to regulations of the Commodity Futures Trading Commission to segregate from its own assets, and for the sole benefit of its commodity customers, all funds held by DWR with respect to exchange-traded futures and option contracts including an amount equal to the net unrealized gain on all open futures and option contracts which, funds totaled $27,115,263 and $31,908,372 at December 31, 1996 and 1995, respectively. With respect to the Partnership's off-exchange-traded forward currency contracts, there are no daily settlements of variations in value nor is there any requirement that an amount equal to the net unrealized gain on open forward contracts be segregated. With respect to those off-exchange-traded forward currency contracts, the Partnership is at risk to the ability of DWR, the counterparty on all of such contracts, to perform. For the years ended December 31, 1996 and 1995, the average fair value of financial instruments held for trading purposes was as follows:
1996 ----------------------- ASSETS LIABILITIES ----------- ----------- $ $ EXCHANGE-TRADED CONTRACTS Financial Futures 11,267,000 36,511,000 Options on Financial Futures 31,535,000 -- OFF-EXCHANGE-TRADED FORWARD CURRENCY CONTRACTS 150,360,000 162,534,000 1995 ----------------------- ASSETS LIABILITIES ----------- ----------- $ $ EXCHANGE-TRADED FINANCIAL FUTURES CONTRACTS: 6,196,000 12,734,000 OFF-EXCHANGE-TRADED FORWARD CURRENCY CONTRACTS 268,907,000 292,311,000
DEAN WITTER WORLD CURRENCY FUND L.P. NOTES TO FINANCIAL STATEMENTS--(CONCLUDED) 5. LEGAL MATTERS On September 6, 10, and 20, 1996, similar purported class actions were filed in the Superior Court of the State of California, County of Los Angeles, on behalf of all purchasers of interests in limited partnership commodity pools sold by DWR. Named defendants include DWR, Demeter, Dean Witter Futures & Currency Management Inc., DWD (all such parties referred to hereafter as the "Dean Witter Parties"), the Partnership, certain other limited partnership commodity pools of which Demeter is the general partner, and certain trading advisors (including JWH) to those pools. Similar purported class actions were also filed on September 18 and 20, 1996, in the Supreme Court of the State of New York, New York County, and on November 14, 1996 in the Superior Court of the State of Delaware, New Castle County, against the Dean Witter Parties and certain trading advisors (including JWH) on behalf of all purchasers of interests in various limited partnership commodity pools, including the Partnership, sold by DWR. Generally, these complaints allege, among other things, that the defendants committed fraud, deceit, misrepresentation, breach of fiduciary duty, fraudulent and unfair business practices, unjust enrichment, and conversion in connection with the sale and operation of the various limited partnership commodity pools. The complaints seek unspecified amounts of compensatory and punitive damages and other relief. It is possible that additional similar actions may be filed and that, in the course of these actions, other parties could be added as defendants. The Dean Witter Parties believe that they and the Partnership have strong defenses to, and they will vigorously contest, the actions. Although the ultimate outcome of legal proceedings cannot be predicted with certainty, it is the opinion of management of the Dean Witter Parties that the resolution of the actions will not have a material adverse effect on the financial condition or the results of operations of any of the Dean Witter Parties or the Partnership. DEAN WITTER REYNOLDS INC. Two World Trade Center 62nd Floor New York, NY 10048 FIRST-CLASS MAIL ZIP + 4 PRESORT U.S. POSTAGE PAID BROOKLYN, NY PERMIT NO. 148 -----END PRIVACY-ENHANCED MESSAGE-----