-----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, StkXS/niZTvR9gsfB3q7MlaJWEhWjFbuf8UOWfrQuoZsd5fWldQV/fRx7Av4TkkE rre0xXbJdGxv5l695Ros3w== 0000839945-96-000005.txt : 19960812 0000839945-96-000005.hdr.sgml : 19960812 ACCESSION NUMBER: 0000839945-96-000005 CONFORMED SUBMISSION TYPE: 10-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 19960630 FILED AS OF DATE: 19960809 SROS: NONE FILER: COMPANY DATA: COMPANY CONFORMED NAME: WITTER DEAN DIVERSIFIED FUTURES FUND II L P CENTRAL INDEX KEY: 0000839945 STANDARD INDUSTRIAL CLASSIFICATION: OIL ROYALTY TRADERS [6792] IRS NUMBER: 133490286 STATE OF INCORPORATION: NY FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 10-Q SEC ACT: 1934 Act SEC FILE NUMBER: 000-17446 FILM NUMBER: 96607179 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-Q 1 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 Period ended June 30, 1996 or [ ] Transition report pursuant to Section 13 or 15 (d) of the Securities Exchange Act of 1934 For the transition period from to Commission File No. 33-24662 DEAN WITTER DIVERSIFIED FUTURES FUND II L.P. (Exact name of registrant as specified in its charter) Delaware 13-3490286 (State or other jurisdiction of (I.R.S. Employer Incorporation or organization) Identification No.) c/o Demeter Management Corp. Two World Trade Center, New York, NY 62 Fl. 10048 (Address of principal executive offices) (Zip Code) Registrant's telephone number, including area code (212) 392-5454 (Former name, former address, and former fiscal year, if changed since last report) Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes X No DEAN WITTER DIVERSIFIED FUTURES FUND II L.P. INDEX TO QUARTERLY REPORT ON FORM 10-Q June 30, 1996
PART I. FINANCIAL INFORMATION Item 1. Financial Statements Statements of Financial Condition June 30, 1996 (Unaudited) and December 31, 1995.....................2 Statements of Operations for the Quarters Ended June 30, 1996 and 1995 (Unaudited)....................3 Statements of Operations for the Six Months Ended June 30, 1996 and 1995 (Unaudited)....................4 Statements of Changes in Partners' Capital for the Six Months ended June 30, 1996 and 1995 (Unaudited)...........................................5 Statements of Cash Flows for the Six Months Ended June 30, 1996 and 1995 (Unaudited)....................6 Notes to Financial Statements (Unaudited)................ 7-10 Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations..11-16 Part II. OTHER INFORMATION Item 6. Exhibits and Reports on Form 8-K.................17
DEAN WITTER DIVERSIFIED FUTURES FUND II L.P. STATEMENTS OF FINANCIAL CONDITION
June 30, December 31, 1996 1995 $ $ (Unaudited) ASSETS Equity in commodity futures trading accounts: Cash 11,941,254 14,643,529 Net unrealized gain on open contracts 200,165 852,419 Total Trading Equity 12,141,419 15,495,948 Interest receivable (DWR) 41,821 54,267 Total Assets 12,183,240 15,550,215 LIABILITIES AND PARTNERS' CAPITAL Liabilities Redemptions payable 573,646 781,248 Accrued brokerage commissions (DWR) 91,344 116,587 Accrued management fee (DWFCM) 30,448 38,862 Accrued transaction fees and costs 4,020 5,241 Accrued incentive fee (DWFCM) - 3,299 Total Liabilities 699,458 945,237 Partners' Capital Limited Partners (5,255.870 and 5,657.751 Units, respectively) 11,260,957 14,341,357 General Partner (104 Units) 222,825 263,621 Total Partners' Capital 11,483,782 14,604,978 Total Liabilities and Partners' Capital 12,183,240 15,550,215 NET ASSET VALUE PER UNIT 2,142.55 2,534.82 The accompanying footnotes are an integral part of these financial statements.
DEAN WITTER DIVERSIFIED FUTURES FUND II L.P. STATEMENTS OF OPERATIONS (Unaudited)
For the Quarters Ended June 30, 1996 1995 $ $ REVENUES Trading profit (loss): Realized 494,900 2,907,471 Net change in unrealized (618,638) (2,605,532) Total Trading Results (123,738) 301,939 Interest Income (DWR) 128,405 202,791 Total Revenues 4,667 504,730 EXPENSES Brokerage fees (DWR) 282,808 418,114 Management fees (DWFCM) 94,269 139,372 Transaction fees and costs 21,676 32,176 Incentive fees (DWFCM) - (43,159) Total Expenses 398,753 546,503 NET LOSS (394,086) (41,773) NET LOSS ALLOCATION Limited Partners (386,804) (41,086) General Partner (7,282) (687) NET LOSS PER UNIT Limited Partners (70.03) (6.61) General Partner (70.03) (6.61) The accompanying footnotes are an integral part of these financial statements.
DEAN WITTER DIVERSIFIED FUTURES FUND II L.P. STATEMENTS OF OPERATIONS (Unaudited)
For the Six Months Ended June 30, 1996 1995 $ $ REVENUES Trading profit (loss): Realized (1,028,811) 3,426,690 Net change in unrealized (652,254) (1,232,773) Total Trading Results (1,681,065) 2,193,917 Interest Income (DWR) 261,863 389,439 Total Revenues (1,419,202) 2,583,356 EXPENSES Brokerage fees (DWR) 586,617 802,037 Management fees (DWFCM) 195,539 267,346 Transaction fees and costs 51,985 70,057 Incentive fees (DWFCM) (2,590) 164,727 Total Expenses 831,551 1,304,167 NET INCOME (LOSS) (2,250,753) 1,279,189 NET INCOME (LOSS) ALLOCATION Limited Partners (2,209,957) 1,258,715 General Partner (40,796) 20,474 NET INCOME (LOSS) PER UNIT Limited Partners (392.27) 196.86 General Partner (392.27) 196.86 The accompanying footnotes are an integral part of these financial statements.
DEAN WITTER DIVERSIFIED FUTURES FUND II L.P. STATEMENTS OF CHANGES IN PARTNERS' CAPITAL For the Six Months Ended June 30, 1996 and 1995 (Unaudited)
Units of Partnership Limited General Interest Partners Partner Total Partners' Capital December 31, 1994 6,492.295 $16,676,005 $271,481 $16,947,486 Net Income - 1,258,715 20,474 1,279,189 Redemptions (287.482) (808,135) - (808,135) Partners' Capital June 30, 1995 6,204.813 $17,126,585 $291,955 $17,418,540 Partners' Capital December 31, 1995 5,761.751 $14,341,357 $263,621 $14,604,978 Net Loss - (2,209,957) (40,796) (2,250,753) Redemptions (401.881) (870,443) - (870,443) Partners' Capital June 30, 1996 5,359.870 $11,260,957 $222,825 $11,483,782 The accompanying footnotes are an integral part of these financial statements.
DEAN WITTER DIVERSIFIED FUTURES FUND II L.P. STATEMENTS OF CASH FLOWS (Unaudited)
For the Six Months Ended June 30, 1996 1995 $ $ CASH FLOWS FROM OPERATING ACTIVITIES Net income (loss) (2,250,753) 1,279,189 Noncash item included in net income (loss): Net change in unrealized 652,254 1,232,773 (Increase) decrease in operating assets: Interest receivable (DWR) 12,446 (388) Increase (decrease) in operating liabilities: Accrued brokerage commissions (DWR) (25,243) 4,490 Accrued management fee (DWFCM) (8,414) 1,496 Accrued transaction fees and costs (1,221) 1,515 Accrued incentive fee (DWFCM) (3,299) 149,477 Net cash provided by (used for) operating activities (1,624,230) 2,668,552 CASH FLOWS FROM FINANCING ACTIVITIES Decrease in redemptions payable (207,602) (27,951) Redemptions of units (870,443) (808,135) Net cash used for financing activities (1,078,045) (836,086) Net increase (decrease) in cash (2,702,275) 1,832,466 Balance at beginning of period 14,643,529 15,466,376 Balance at end of period 11,941,254 17,298,842 The accompanying footnotes are an integral part of these financial statements.
DEAN WITTER DIVERSIFIED FUTURES FUND II L.P. NOTES TO FINANCIAL STATEMENTS (UNAUDITED) The financial statements include, in the opinion of management, all adjustments necessary for a fair presentation of the results of operations and financial condition. The financial statements and condensed notes herein should be read in conjunction with the Partnership's December 31, 1995 Annual Report on Form 10-K. 1. Organization Dean Witter Diversified Futures Fund II L.P. (the "Partnership") was organized to engage in the speculative trading of commodity futures and futures-related contracts, including forward contracts on foreign currencies. The General Partner for the Partnership is Demeter Management Corporation (the "General Partner"). The commodity broker is Dean Witter Reynolds Inc. ("DWR"). The trading manager who makes all trading decisions for the Partnership is Dean Witter Futures and Currency Management, Inc. (DWFCM"), an affiliate of DWR. The General Partner, DWR and DWFCM are all wholly owned subsidiaries of Dean Witter, Discover & Co. 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 based on current 13-week U.S. Treasury Bill rates. Brokerage expenses incurred by the Partnership are paid to DWR. Management and incentive fees incurred by the Partnership are paid to DWFCM. DEAN WITTER DIVERSIFIED FUTURES FUND II L.P. NOTES TO FINANCIAL STATEMENTS (CONTINUED) 3. Financial Instruments The Partnership trades futures and forward contracts in interest rates, stock indices, commodities, currencies, petroleum and precious metals. 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. At June 30, 1996, open contracts were: Contract or Notional Amount $ Exchange-Traded Contracts Financial Futures: Commitments to Purchase 246,000 Commitments to Sell 4,465,000 Commodity Futures: Commitments to Purchase 1,871,000 Commitments to Sell 4,074,000 Foreign Futures: Commitments to Purchase 11,798,000 Commitments to Sell 18,025,000 Off-Exchange-Traded Forward Currency Contracts Commitments to Purchase 39,525,000 Commitments to Sell 41,091,000 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. DEAN WITTER DIVERSIFIED FUTURES FUND II L.P. NOTES TO FINANCIAL STATEMENTS (CONTINUED) The unrealized gain on open contracts is reported as a component of "Equity in Commodity futures trading accounts" on the Statement of Financial Condition and totaled $200,165 at June 30, 1996. Of this amount, $365,842 related to exchange-traded futures contracts and ($165,677) related to off-exchange-traded forward currency contracts. Exchange-traded futures contracts held by the Partnership at June 30, 1996 mature through March 1997. Off-exchange-traded forward currency contracts held by the Partnership at June 30, 1996 mature through August 1996. The contract amounts in the above table represent the 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 Partnership's assets. Exchange-traded futures contracts are marked to market on a daily basis, with variations in value credited or charged to the Fund's account on a daily basis. DWR, as the futures commission merchant for all of the Partnership's exchange-traded futures contracts, is required DEAN WITTER DIVERSIFIED FUTURES FUND II L.P. NOTES TO FINANCIAL STATEMENTS (CONCLUDED) 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 contracts including an amount equal to the net unrealized gain on all open futures contracts which funds totaled $12,307,096 at June 30, 1996. 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 such contracts, to perform. For the quarter ended June 30, 1996, the average fair value of financial instruments held for trading purposes was as follows: Assets Liabilities $ $ Exchange-Traded Contracts: Financial Futures 21,144,000 16,847,000 Commodity Futures 11,963,000 3,225,000 Foreign Futures 20,073,000 9,479,000 Off-Exchange-Traded Forward Currency Contracts 37,877,000 47,397,000 4. Subsequent Event Effective September 1, 1996, brokerage commissions will be accrued at 80% of DWR's published non-member rates on a half-turn basis with maximum total brokerage commissions and transaction fees chargeable to the Partnership capped at .65% per month of adjusted Net Assets as defined in the Limited Partnership Agreement. Item 2. 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, 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 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, forward contracts on foreign currencies 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, forward contracts and other commodity interests may be illiquid. If the price for the 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. 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. As redemptions are at the discretion of the Limited Partners, it is not possible to estimate the amount and therefore, the impact of future redemptions. Results of Operations For the Quarter and Six Months Ended June 30, 1996 For the quarter ended June 30, 1996, the Partnership's total trading revenues including interest income were $4,667. During the second quarter, the Partnership posted a decrease in Net Asset Value per Unit. The most significant trading losses during the quarter were recorded in the financial futures markets as trendless price movement was experienced in non-U.S. interest rate futures, particularly in Australian, Japanese and European interest rate futures. Trading gains recorded during April and May from short U.S. interest rate futures positions, as prices in these markets moved lower, offset a portion of these losses. Additional losses for the Partnership were recorded in global stock index futures as prices moved without consistent direction throughout the quarter. In soft commodities, losses experienced from short-term volatile movement in sugar and coffee futures prices during April and May, as well as from losses in coffee and cocoa futures during June, more than offset gains recorded in June from short cotton positions as prices moved lower and from long sugar positions as prices moved higher. In currency trading, gains were recorded during April from short German mark and Swiss franc positions as the value of the German mark and Swiss franc moved lower relative to the U.S. dollar and other world currencies. Smaller trading gains were recorded by the Partnership during May from long Australian dollar positions as the value of the Australian dollar moved higher relative to other world currencies. Additional gains were recorded in metals trading from short copper, gold and silver futures positions as prices moved lower during June. In the agricultural markets, gains recorded from long corn and wheat futures positions as prices moved higher during April, offset losses in corn and soybean products in June. Smaller gains were recorded in the energy markets as gains in natural gas futures more than offset losses in other gas and oil products. Total expenses for the quarter were $398,753, resulting in a net loss of $394,086. The value of an individual Unit in the Partnership increased from $2,212.58 at March 31, 1996 to $2,142.55 at June 30, 1996. For the six months ended June 30, 1996, the Partnership's total trading losses net of interest income were $1,419,202. During the first half of the year, the Partnership posted a decrease in Net Asset Value per Unit primarily as a result of a sudden and sharp trend reversal during February in the downward move in the value of the Japanese yen and most major European currencies, which had resulted in gains during January. Trading gains recorded during March from transactions involving the Australian dollar and Japanese yen offset a portion of the overall losses experienced in the currency markets during February. Additionally, trendless price movement in global interest rate futures trading during the second quarter, resulted in losses for the Partnership. In energy trading, gains in natural gas futures during June, as well as from gains in natural gas futures during June, as well as from gains in crude oil futures during March, offset a portion of overall losses for the first half of the year. In agricultural trading, long positions in corn and wheat futures profited from increasing prices early in the second quarter. These gains helped to mitigate losses experienced from trading soybean futures during the first quarter. Short-term volatile price movement in soft commodities futures resulted in losses for the Partnership during a majority of the first half of the year. Total expenses for the period were $831,551, resulting in a net loss of $2,250,753. The value of an individual Unit in the Partnership decreased from $2,534.82 at December 31, 1995 to $2,142.55 at June 30, 1996. For the Quarter and Six Months Ended June 30, 1995 For the quarter ended June 30, 1995 the Partnership's total revenues including interest income were $504,730. During the second quarter, the Partnership posted a decrease in Net Asset Value per Unit. The most significant trading losses during the quarter were recorded from transactions involving most European currencies versus the U.S. dollar during May and June. Additional losses were recorded in the agricultural markets as a result of losses in soybean products and livestock futures. Trading losses were also experienced in the metals markets as base metals prices moved in a trendless pattern throughout the quarter. In soft commodities trading losses in cotton, cocoa and orange juice more than offset smaller gains in coffee trading. Trading losses experienced in the energy markets were the result of losses in heating oil, natural gas and gas oil during April and June. Trading gains in the financial futures markets during April and May offset a portion of overall losses recorded by the Partnership during the second quarter. The majority of these gains were recorded from trading both global interest rate and stock index futures. Total expenses for the period were $546,503, resulting in a net loss of $41,773. The value of an individual Unit in the Partnership decreased from $2,813.87 at March 31, 1995 to $2,807.26 at June 30, 1995. For the six months ended June 30, 1995 the Partnership's total revenues including interest income were $2,583,356. During the first six months, the Partnership posted an increase in Net Asset Value per Unit. The most significant trading gains were recorded during February and March in the currency markets as a result of a decrease in value of the U.S. dollar versus the Japanese yen and major European currencies such as the Swiss franc, German mark and French franc. Additional gains were recorded in the financial futures markets as a result of trading Japanese and U.S. interest rate futures and global stock index futures during the first half of the year. A portion of the Partnership's gains recorded during the first half of the year were offset due to losses recorded in the agricultural markets from trading soybean products and in soft commodities as a result of trading losses in sugar, cotton, coffee and cocoa. Additional losses were recorded in the energy and metals markets during the first half of 1995. Total expenses for the period were $1,304,167, resulting in net income of $1,279,189. The value of an individual Unit in the Partnership increased from $2,610.40 at December 31, 1994 to $2,807.26 at June 30, 1995. PART II. OTHER INFORMATION Item 6. Exhibits and Reports on Form 8-K (A) Exhibits - None. (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 Diversified Futures Fund II L.P. (Registrant) By: Demeter Management Corporation (General Partner) August 9, 1996 By: /s/ Patti L. Behnke Patti L. Behnke 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. EX-27 2
5 The schedule contains summary financial information extracted from Dean Witter Diversified Futures Fund II L.P. and is qualified in its entirety by references to such financial instruments. 6-MOS JUN-30-1996 JUN-30-1996 11,941,254 0 41,821 0 0 0 0 0 12,183,240 0 0 0 0 0 0 12,183,240 0 (1,419,202) 0 0 831,551 0 0 (2,250,753) 0 (2,250,753) 0 0 0 (2,250,753) 0 0 In addition to cash and receivables, total assets include net unrealized gain on open contracts of $200,165. Liabilities include redemptions payable of $573,646, accrued brokerage commissions of $91,344, accrued management fees of $30,448 and accrued transaction fees and costs of $4,020. Total revenues includes realized trading revenue of $(1,028,811), net change in unrealized of $(652,254), and interest income of $261,863.
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